95610202120100102 - State of Michigan

*95610202120100102*HEALTH QUARTERLY STATEMENT

AS OF JUNE 30, 2021

OF THE CONDITION AND AFFAIRS OF THE

Blue Care Network of Michigan

NAIC Group Code 0572 0572 NAIC Company Code 95610 Employer's ID Number 38-2359234

(Current) (Prior)

Organized under the Laws of Michigan , State of Domicile or Port of Entry MI

Country of Domicile United States of America

Licensed as business type: Health Maintenance Organization

Is HMO Federally Qualified? Yes [ ] No [ X ]

Incorporated/Organized 05/06/1981 Commenced Business 05/13/1981

Statutory Home Office 20500 Civic Center Drive , Southfield, MI, US 48076

(Street and Number) (City or Town, State, Country and Zip Code)

Main Administrative Office 20500 Civic Center Drive

(Street and Number)

Southfield, MI, US 48076 , 248-799-6400

(City or Town, State, Country and Zip Code) (Area Code) (Telephone Number)

Mail Address 20500 Civic Center Drive MC C455 , Southfield, MI, US 48076

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

Primary Location of Books and Records 20500 Civic Center Drive

(Street and Number)

Southfield, MI, US 48076 , 313-225-9095

(City or Town, State, Country and Zip Code) (Area Code) (Telephone Number)

Internet Website Address www.BCBSM.com

Statutory Statement Contact Kenneth A. Bluhm , 313-225-9095

(Name) (Area Code) (Telephone Number)

[email protected] , 800-556-4348

(E-mail Address) (FAX Number)

OFFICERS

President & Chief Executive Officer Kathryn Galardi Levine Treasurer Waymond Eli Harris #

Secretary Sheela Rao Manyam

OTHER

DIRECTORS OR TRUSTEESJulie Anne Angott Mark Robert Bartlett William Harrison Black

David Bing Kenneth Ray Dallafior Sarah Winston Doyle

Valeriah Ann Holmon DNP, FNP-BC Robert Paul Kelch MD Melvin Lyle Larsen

Kathryn Galardi Levine Paula Jean Manderfield RN, JD Richard Earl Posthumus

Gregory Alan Sudderth Mary Ann Weaver Bruce Alan Wolf D.O.

SS:State of Michigan

County of Oakland

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

Kathryn Galardi Levine Waymond Eli Harris Sheela Rao Manyam

President & Chief Executive Officer Treasurer Secretary

a. Is this an original filing? Yes [ X ] No [ ]

Subscribed and sworn to before me this b. If no,

day of 1. State the amendment number

2. Date filed

3. Number of pages attached

Elizabeth Caroline Filips

STATEMENT AS OF JUNE 30, 2021 OF THE Blue Care Network of Michigan

ASSETSCurrent Statement Date 4

1

Assets

2

Nonadmitted Assets

3Net Admitted Assets

(Cols. 1 - 2)

December 31Prior Year Net

Admitted Assets

1. Bonds 1,868,207,412 1,868,207,412 1,695,862,052

2. Stocks:

2.1 Preferred stocks 296,912 296,912 528,384

2.2 Common stocks 216,861,755 216,861,755 272,659,087

3. Mortgage loans on real estate:

3.1 First liens 0 0

3.2 Other than first liens 0 0

4. Real estate:

4.1 Properties occupied by the company (less $

encumbrances) 0 0

4.2 Properties held for the production of income (less

$ encumbrances) 0 0

4.3 Properties held for sale (less $

encumbrances) 0 0

5. Cash ($ 36,827,563 ), cash equivalents

($ 120,585,605 ) and short-term

investments ($ 357,618,975 ) 515,032,143 515,032,143 567,636,716

6. Contract loans (including $ premium notes) 0 0

7. Derivatives 0 0

8. Other invested assets 189,862,742 189,862,742 112,731,917

9. Receivables for securities 14,479,712 14,479,712 0

10. Securities lending reinvested collateral assets 9,110,445 9,110,445 4,713,555

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

12. Subtotals, cash and invested assets (Lines 1 to 11) 2,813,851,121 0 2,813,851,121 2,654,131,711

13. Title plants less $ charged off (for Title insurers

only) 0 0

14. Investment income due and accrued 15,549,645 15,549,645 13,827,972

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection 4,596,969 926,870 3,670,099 16,281,448

15.2 Deferred premiums, agents' balances and installments booked but

deferred and not yet due (including $

earned but unbilled premiums) 0 0

15.3 Accrued retrospective premiums ($ 37,972,454 ) and

contracts subject to redetermination ($ ) 37,972,454 37,972,454 34,569,032

16. Reinsurance:

16.1 Amounts recoverable from reinsurers 0 0

16.2 Funds held by or deposited with reinsured companies 0 0

16.3 Other amounts receivable under reinsurance contracts 0 0

17. Amounts receivable relating to uninsured plans 53,614,578 53,614,578 45,765,063

18.1 Current federal and foreign income tax recoverable and interest thereon 121,154 121,154 190,204

18.2 Net deferred tax asset 0 0

19. Guaranty funds receivable or on deposit 0 0

20. Electronic data processing equipment and software 272,259 272,259 0 0

21. Furniture and equipment, including health care delivery assets

($ ) 9,145,530 9,145,530 0 0

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

23. Receivables from parent, subsidiaries and affiliates 52,673,099 52,673,099 16,845,274

24. Health care ($ 105,449,605 ) and other amounts receivable 109,844,291 4,394,686 105,449,605 89,927,174

25. Aggregate write-ins for other than invested assets 3,095,815 475,498 2,620,317 756,468

26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 to 25) 3,100,736,915 15,214,843 3,085,522,072 2,872,294,346

27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts 0 0

28. Total (Lines 26 and 27) 3,100,736,915 15,214,843 3,085,522,072 2,872,294,346

DETAILS OF WRITE-INS

1101.

1102.

1103.

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

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

2501. Prepaid expenses 475,498 475,498 0 0

2502. Modified reinsurance experience adjustment 2,620,317 2,620,317 756,468

2503.


2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 3,095,815 475,498 2,620,317 756,468

2


LIABILITIES, CAPITAL AND SURPLUSCurrent Period Prior Year

1Covered

2Uncovered

3Total

4Total

1. Claims unpaid (less $ 0 reinsurance ceded) 347,888,203 13,263,811 361,152,014 398,069,314

2. Accrued medical incentive pool and bonus amounts 87,813,066 87,813,066 105,473,494

3. Unpaid claims adjustment expenses 9,722,210 9,722,210 9,722,430

4. Aggregate health policy reserves, including the liability of

$ 22,265,406 for medical loss ratio rebate per the Public

Health Service Act 113,219,777 113,219,777 113,140,472

5. Aggregate life policy reserves 0 0

6. Property/casualty unearned premium reserve 0 0

7. Aggregate health claim reserves 0 0

8. Premiums received in advance 94,908,281 94,908,281 101,823,315

9. General expenses due or accrued 67,111,744 67,111,744 31,226,347

10.1 Current federal and foreign income tax payable and interest thereon

(including $ on realized gains (losses)) 0 0

10.2 Net deferred tax liability 0 0

11. Ceded reinsurance premiums payable 5,688,677 5,688,677 0

12. Amounts withheld or retained for the account of others 1,136,770 1,136,770 1,089,095

13. Remittances and items not allocated 4,422,255 4,422,255 5,930

14. Borrowed money (including $ current) and

interest thereon $ 42,000 (including

$ 42,000 current) 50,042,000 50,042,000 50,044,625

15. Amounts due to parent, subsidiaries and affiliates 253,811,041 253,811,041 89,796,233

16. Derivatives 0 0

17. Payable for securities 57,787,419 57,787,419 8,897,585

18. Payable for securities lending 9,110,445 9,110,445 4,713,555

19. Funds held under reinsurance treaties (with $

authorized reinsurers, $ unauthorized

reinsurers and $ certified reinsurers) 0 0

20. Reinsurance in unauthorized and certified ($ )

companies 0 0

21. Net adjustments in assets and liabilities due to foreign exchange rates 0 0

22. Liability for amounts held under uninsured plans 26,785,721 26,785,721 42,756,530

23. Aggregate write-ins for other liabilities (including $

current) 4,617,268 0 4,617,268 7,017,740

24. Total liabilities (Lines 1 to 23) 1,134,064,877 13,263,811 1,147,328,688 963,776,665

25. Aggregate write-ins for special surplus funds XXX XXX 0 0

26. Common capital stock XXX XXX 10,000 10,000

27. Preferred capital stock XXX XXX

28. Gross paid in and contributed surplus XXX XXX 15,703,045 15,703,045

29. Surplus notes XXX XXX

30. Aggregate write-ins for other than special surplus funds XXX XXX 0 0

31. Unassigned funds (surplus) XXX XXX 1,922,480,339 1,892,804,636

32. Less treasury stock, at cost:

32.1 shares common (value included in Line 26

$ ) XXX XXX

32.2 shares preferred (value included in Line 27

$ ) XXX XXX

33. Total capital and surplus (Lines 25 to 31 minus Line 32) XXX XXX 1,938,193,384 1,908,517,681

34. Total liabilities, capital and surplus (Lines 24 and 33) XXX XXX 3,085,522,072 2,872,294,346


2301. Escheats 4,617,268 4,617,268 5,333,467

2302. Premium Refunds 0 1,684,273

2303.


2399. Totals (Lines 2301 through 2303 plus 2398)(Line 23 above) 4,617,268 0 4,617,268 7,017,740

2501. XXX XXX 0

2502. XXX XXX

2503. XXX XXX

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

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) XXX XXX 0 0

3001. XXX XXX

3002. XXX XXX

3003. XXX XXX

3098. Summary of remaining write-ins for Line 30 from overflow page XXX XXX 0 0

3099. Totals (Lines 3001 through 3003 plus 3098)(Line 30 above) XXX XXX 0 0

3


STATEMENT OF REVENUE AND EXPENSES Current Year

To DatePrior YearTo Date

Prior Year Ended December 31

1Uncovered

2Total

3Total

4Total

1. Member Months XXX 4,066,845 4,396,739 8,663,457

2. Net premium income ( including $ non-health

premium income) XXX 1,980,121,499 2,063,598,554 4,097,146,131

3. Change in unearned premium reserves and reserve for rate credits XXX (726,926) (10,263,117) (2,695,873)

4. Fee-for-service (net of $ medical expenses) XXX

5. Risk revenue XXX

6. Aggregate write-ins for other health care related revenues XXX 10,710 19,998 31,433

7. Aggregate write-ins for other non-health revenues XXX 0 0 0

8. Total revenues (Lines 2 to 7) XXX 1,979,405,283 2,053,355,435 4,094,481,691

Hospital and Medical:

9. Hospital/medical benefits 22,985,253 1,292,888,418 1,076,731,661 2,347,511,559

10. Other professional services 1,542,455 92,870,463 78,981,964 171,062,442

11. Outside referrals 44,492,728 44,492,728 36,353,802 77,181,629

12. Emergency room and out-of-area 2,541,293 106,023,047 96,747,199 206,371,555

13. Prescription drugs 213,220,919 257,620,289 511,469,743

14. Aggregate write-ins for other hospital and medical 0 0 0 0

15. Incentive pool, withhold adjustments and bonus amounts 33,474,349 52,304,900 90,660,430

16. Subtotal (Lines 9 to 15) 71,561,729 1,782,969,924 1,598,739,815 3,404,257,358

Less:

17. Net reinsurance recoveries (61,244) 164,070 (12,504)

18. Total hospital and medical (Lines 16 minus 17) 71,561,729 1,783,031,168 1,598,575,745 3,404,269,862

19. Non-health claims (net)

20. Claims adjustment expenses, including $ 29,093,467 cost

containment expenses 64,609,326 99,677,425 160,422,951

21. General administrative expenses 202,603,301 217,735,776 481,755,761

22. Increase in reserves for life and accident and health contracts

(including $ increase in reserves for life only) (19,879,400) (17,750,000) 4,258,801

23. Total underwriting deductions (Lines 18 through 22) 71,561,729 2,030,364,395 1,898,238,946 4,050,707,375

24. Net underwriting gain or (loss) (Lines 8 minus 23) XXX (50,959,112) 155,116,489 43,774,316

25. Net investment income earned 27,159,856 31,616,568 51,318,758

26. Net realized capital gains (losses) less capital gains tax of

$ 52,786,972 6,546,382 37,563,534

27. Net investment gains (losses) (Lines 25 plus 26) 0 79,946,828 38,162,950 88,882,292

28. Net gain or (loss) from agents’ or premium balances charged off [(amount

recovered $ )

(amount charged off $ )]

29. Aggregate write-ins for other income or expenses 0 0 0 0

30. Net income or (loss) after capital gains tax and before all other federal income taxes (Lines 24 plus 27 plus 28 plus 29) XXX 28,987,716 193,279,439 132,656,607

31. Federal and foreign income taxes incurred XXX 78,000 39,300 301,832

32. Net income (loss) (Lines 30 minus 31) XXX 28,909,716 193,240,139 132,354,775


0601. Other Revenue XXX 10,710 19,998 31,433

0602. XXX

0603. XXX

0698. Summary of remaining write-ins for Line 6 from overflow page XXX 0 0 0

0699. Totals (Lines 0601 through 0603 plus 0698)(Line 6 above) XXX 10,710 19,998 31,433

0701. XXX

0702. XXX

0703. XXX

0798. Summary of remaining write-ins for Line 7 from overflow page XXX 0 0 0

0799. Totals (Lines 0701 through 0703 plus 0798)(Line 7 above) XXX 0 0 0

1401.

1402.

1403



2901.

2902.

2903



4


STATEMENT OF REVENUE AND EXPENSES (Continued)1

Current Yearto Date

2Prior Year

to Date

3Prior Year Ended

December 31

CAPITAL AND SURPLUS ACCOUNT

33. Capital and surplus prior reporting year 1,908,517,681 1,728,923,443 1,728,923,443

34. Net income or (loss) from Line 32 28,909,716 193,240,139 132,354,775

35. Change in valuation basis of aggregate policy and claim reserves

36. Change in net unrealized capital gains (losses) less capital gains tax of $ (10,508,713) (3,563,278) 47,388,505

37. Change in net unrealized foreign exchange capital gain or (loss)

38. Change in net deferred income tax 0 (371,067)

39. Change in nonadmitted assets 11,274,700 3,616,273 222,025

40 Change in unauthorized and certified reinsurance 0 0 0

41. Change in treasury stock 0 0 0

42. Change in surplus notes 0 0 0

43. Cumulative effect of changes in accounting principles

44. Capital Changes:

44.1 Paid in 0

44.2 Transferred from surplus (Stock Dividend) 0 0 0

44.3 Transferred to surplus

45. Surplus adjustments:

45.1 Paid in 0 0 0

45.2 Transferred to capital (Stock Dividend)

45.3 Transferred from capital

46. Dividends to stockholders

47. Aggregate write-ins for gains or (losses) in surplus 0 0 0

48. Net change in capital & surplus (Lines 34 to 47) 29,675,703 193,293,134 179,594,238

49. Capital and surplus end of reporting period (Line 33 plus 48) 1,938,193,384 1,922,216,577 1,908,517,681


4701.

4702.

4703.

4798. Summary of remaining write-ins for Line 47 from overflow page 0 0 0

4799. Totals (Lines 4701 through 4703 plus 4798)(Line 47 above) 0 0 0

5


CASH FLOW1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

Cash from Operations

1. Premiums collected net of reinsurance 2,007,094,003 2,082,826,610 4,098,222,317

2. Net investment income 34,410,216 32,314,976 62,289,392

3. Miscellaneous income 10,710 19,998 31,433

4. Total (Lines 1 to 3) 2,041,514,929 2,115,161,584 4,160,543,142

5. Benefit and loss related payments 1,842,759,046 1,641,309,180 3,413,837,465

6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts

7. Commissions, expenses paid and aggregate write-ins for deductions 257,548,245 249,779,134 643,883,831

8. Dividends paid to policyholders

9. Federal and foreign income taxes paid (recovered) net of $ tax on capital

gains (losses) 8,950 (30,884) 255,327

10. Total (Lines 5 through 9) 2,100,316,241 1,891,057,430 4,057,976,623

11. Net cash from operations (Line 4 minus Line 10) (58,801,312) 224,104,154 102,566,518

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds 1,009,382,406 1,108,992,168 1,855,664,752

12.2 Stocks 205,323,155 22,321,510 84,364,172

12.3 Mortgage loans 0 0 0

12.4 Real estate 0 0 0

12.5 Other invested assets 5,418,646 11,578,297 25,361,067

12.6 Net gains or (losses) on cash, cash equivalents and short-term investments (472,263) (254,369) (1,512,590)

12.7 Miscellaneous proceeds 48,889,834 62,176,725 4,783,626

12.8 Total investment proceeds (Lines 12.1 to 12.7) 1,268,541,778 1,204,814,331 1,968,661,027

13. Cost of investments acquired (long-term only):

13.1 Bonds 1,189,538,191 1,257,325,705 2,012,730,450

13.2 Stocks 120,431,721 71,465,570 101,448,311

13.3 Mortgage loans 0 0 0

13.4 Real estate 0 0 0

13.5 Other invested assets 69,823,187 19,816,956 31,846,147

13.6 Miscellaneous applications 18,876,602 22,053,052 289,547

13.7 Total investments acquired (Lines 13.1 to 13.6) 1,398,669,701 1,370,661,283 2,146,314,455

14. Net increase (or decrease) in contract loans and premium notes 0 0 0

15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) (130,127,923) (165,846,952) (177,653,428)

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes 0 0 0

16.2 Capital and paid in surplus, less treasury stock 0 0 0

16.3 Borrowed funds (2,625) 0 0

16.4 Net deposits on deposit-type contracts and other insurance liabilities 0 0 0

16.5 Dividends to stockholders 0 0 0

16.6 Other cash provided (applied) 136,327,287 (15,688,221) 47,355,191

17. Net cash from financing and miscellaneous sources (Line 16.1 through Line 16.4 minus Line 16.5 plus Line 16.6) 136,324,662 (15,688,221) 47,355,191

RECONCILIATION OF CASH, CASH EQUIVALENTS AND SHORT-TERM INVESTMENTS

18. Net change in cash, cash equivalents and short-term investments (Line 11, plus Lines 15 and 17) (52,604,573) 42,568,981 (27,731,718)

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

19.1 Beginning of year 567,636,716 595,368,434 595,368,434

19.2 End of period (Line 18 plus Line 19.1) 515,032,143 637,937,415 567,636,716

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

6


EXHIBIT OF PREMIUMS, ENROLLMENT AND UTILIZATION1 Comprehensive

(Hospital & Medical)4 5 6 7 8 9 10

Total

2

Individual

3

GroupMedicare

SupplementVisionOnly

DentalOnly

Federal Employees

Health Benefit Plan

Title XVIIIMedicare

Title XIXMedicaid Other

Total Members at end of:

1. Prior Year 704,385 124,246 464,788 10,614 0 0 15,374 89,363 0 0

2. First Quarter 674,315 120,614 437,597 10,062 0 0 15,302 90,740 0 0

3. Second Quarter 673,596 122,603 434,953 9,991 15,144 90,905

4. Third Quarter 0

5. Current Year 0

6. Current Year Member Months 4,066,845 735,505 2,634,019 60,625 91,847 544,849

Total Member Ambulatory Encounters for Period:

7 Physician 2,029,486 325,500 1,077,009 57,630 60,965 508,382

8. Non-Physician 1,398,102 276,558 795,614 46,037 37,682 242,211

9. Total 3,427,588 602,058 1,872,623 103,667 0 0 98,647 750,593 0 0

10. Hospital Patient Days Incurred 114,913 3,246 60,248 3,664 2,027 45,728

11. Number of Inpatient Admissions 25,853 750 15,818 708 539 8,038

12. Health Premiums Written (a) 1,993,000,571 317,878,642 1,059,827,445 15,118,403 56,978,924 543,197,157

13. Life Premiums Direct 0

14. Property/Casualty Premiums Written 0

15. Health Premiums Earned 1,992,273,645 317,106,349 1,059,872,842 15,118,380 56,978,924 543,197,150

16. Property/Casualty Premiums Earned 0

17. Amount Paid for Provision of Health Care Services 1,842,743,177 262,095,764 1,012,027,451 8,845,349 49,850,548 509,924,065

18. Amount Incurred for Provision of Health Care Services 1,782,969,924 253,350,506 955,558,835 9,172,474 53,101,435 511,786,674

(a) For health premiums written: amount of Medicare Title XVIII exempt from state taxes or fees $ 543,197,157

7


CLAIMS UNPAID AND INCENTIVE POOL, WITHHOLD AND BONUS (Reported and Unreported)Aging Analysis of Unpaid Claims

1Account

21 - 30 Days

331 - 60 Days

461 - 90 Days

591 - 120 Days

6Over 120 Days

7Total

Claims Unpaid (Reported)

0299999 Aggregate accounts not individually listed-uncovered 0

0399999 Aggregate accounts not individually listed-covered 104,534,791 3,029,763 401,249 107,965,803

0499999 Subtotals 104,534,791 3,029,763 401,249 0 0 107,965,803

0599999 Unreported claims and other claim reserves 250,962,137

0699999 Total amounts withheld 2,224,074

0799999 Total claims unpaid 361,152,014

0899999 Accrued medical incentive pool and bonus amounts 87,813,066

8


UNDERWRITING AND INVESTMENT EXHIBIT

ANALYSIS OF CLAIMS UNPAID - PRIOR YEAR - NET OF REINSURANCE

Claims Paid Year to Date

LiabilityEnd of Current Quarter

5 6

Line of Business

1

OnClaims Incurred Prior

to January 1 ofCurrent Year

2

OnClaims IncurredDuring the Year

3

OnClaims Unpaid

Dec. 31of Prior Year

4

OnClaims IncurredDuring the Year

Claims Incurred inPrior Years

(Columns 1 + 3)

Estimated ClaimReserve andClaim Liability

December 31 ofPrior Year

1. Comprehensive (hospital and medical) 284,226,950 947,446,091 12,462,847 238,945,376 296,689,797 289,868,340

2. Medicare Supplement 1,825,578 7,019,771 56,902 2,343,851 1,882,480 2,073,628

3. Dental Only 0 0

4. Vision Only 0 0

5. Federal Employees Health Benefits Plan 7,292,182 40,494,900 646,120 11,680,296 7,938,302 8,009,015

6. Title XVIII - Medicare 94,298,944 409,019,852 3,126,743 91,889,879 97,425,687 98,118,331

7 Title XIX - Medicaid 0 0

8. Other health 0 0

9. Health subtotal (Lines 1 to 8) 387,643,654 1,403,980,614 16,292,612 344,859,402 403,936,266 398,069,314

10. Healthcare receivables (a) 4,394,686 105,449,605 4,394,686 104,694,141

11. Other non-health 0 0

12. Medical incentive pools and bonus amounts 50,977,858 156,920 54,496,387 33,316,679 105,474,245 105,473,494

13. Totals (Lines 9-10+11+12) 434,226,826 1,298,687,929 70,788,999 378,176,081 505,015,825 398,848,667

(a) Excludes $ loans or advances to providers not yet expensed.

9


NOTES TO FINANCIAL STATEMENTS

NOTE 1 Summary of Significant Accounting Policies and Going Concern

A. Accounting Practices

NET INCOME(1)

(2)

(3)

(4)

SURPLUS

(5) State basis (Page 3, Line 33, Columns 3 & 4)

(6) State Prescribed Practices that are an increase/(decrease) from NAIC SAP:

(7) State Permitted Practices that are an increase/(decrease) from NAIC SAP:

(8) NAIC SAP (5-6-7=8)

C. Accounting Policy

D. Going Concern

NOTE 2 Accounting Changes and Corrections of Errors

Not applicable.

NOTE 3 Business Combinations and Goodwill

Not applicable.

NOTE 4 Discontinued Operations

Not applicable.

NOTE 5 Investments

D. Loan-Backed Securities(1)

(2)

(3)

The financial statements of Blue Care Network of Michigan (BCN) are presented on the basis of accounting practices required by the Michigan Department of Insurance and Financial Services (DIFS).

DIFS has adopted the National Association of Insurance Commissioners’ (NAIC) Accounting Practices and Procedures Manual and the related NAIC Annual Statement Instructions (NAIC SAP) for determining and reporting the financial condition and results of operations of an insurance company. DIFS requires the use of NAIC SAP to the extent that practices, procedures, and reporting standards are not modified by the Michigan Insurance Code or by the DIFS Forms and Instructions for Required Filings in Michigan as prescribed or permitted practices.

A reconciliation of BCN’s net income and capital and surplus between NAIC SAP and practices prescribed and permitted by the State of Michigan is shown below:

F/S F/S

SSAP # Page Line # 2021 2020

State basis (Page 4, Line 32, Columns 2 & 4) XXX XXX XXX $ 28,909,716 $ 132,354,775

State Prescribed Practices that are an increase/(decrease) from NAIC SAP:

State Permitted Practices that are an increase/(decrease) from NAIC SAP:

NAIC SAP (1-2-3=4) XXX XXX XXX $ 28,909,716 $ 132,354,775

XXX XXX XXX $ 1,938,193,384 $ 1,908,517,681

XXX XXX XXX $ 1,938,193,384 $ 1,908,517,681

(2) Bonds not backed by other loans – that have a NAIC designation of one or two are stated at amortized cost using the scientific interest method. Bonds with a NAIC designation of three to six are carried at the lower of amortized cost or fair market value. BCN has not elected to use the Systematic approach for their SVO identified investments.

(6)Loan-backed securities – stated at amortized cost. Premiums and discounts on loan-backed securities and structured securities are amortized using the retrospective method based on anticipated prepayments at the date of purchase. Prepayment assumptions are obtained from broker dealer survey values or internal estimates. Changes in estimated cash flows from the original purchase assumptions are accounted for using the prospective method. Should the present value of anticipated cash flows collected be less than the amortized cost basis, a determination will be made on whether the decline in value is other-than-temporary. If BCN has the ability and intent to hold the security to maturity, but does not expect recovery of the carrying value, the credit portion of the decline is recognized as an impairment loss.

Management has evaluated BCN’s ability to continue as a going concern and does not have any substantial doubt about BCN’s ability to continue as a going concern.

Description of of Sources used to Determine Prepayment Assumptions

Loan-backed securities designated highest-quality and high-quality (NAIC designations 1 and 2, respectively) are reported at amortized cost; securities that are designated medium quality, low quality, lowest quality and in or near default (NAIC designations 3 to 6, respectively) shall be reported at the lower of amortized cost or fair value. Premiums and discounts on loan-backed bonds and structured securities are amortized using the retrospective method based on anticipated prepayments at the date of purchase. Prepayment assumptions are obtained from broker-dealer survey values or internal estimates. Changes in estimated cash flows from the original purchase assumptions are accounted for using the prospective method.

Other-Than-Temporary Impairments

Not applicable.

Recognized Other-Than-Temporary Impairments by Cusip

Not applicable.

10



(4)

a) The aggregate amount of unrealized losses:

1. Less than 12 Months

2. 12 Months or Longer

b)The aggregate related fair value of securities with unrealized losses:

1. Less than 12 Months

2. 12 Months or Longer

(5)

Because BCN has determined the investments, noted in (4)b above, have not been subject to credit losses and BCN does not have the intent

to sell the securities and has the ability to hold such securities, BCN does not consider these investments to be other-than-temporarily impaired.

E. Dollar Repurchase Agreements and/or Securities Lending Transactions

(3) Collateral Received

F. Repurchase Agreements Transactions Accounted for as Secured Borrowing

Not applicable.

G. Reverse Repurchase Agreements Transactions Accounted for as Secured Borrowing

Not applicable.

H. Repurchase Agreements Transactions Accounted for as a Sale

Not applicable.

I. Reverse Repurchase Agreements Transactions Accounted for as a Sale

Not applicable.

M. Working Capital Finance Investments

Not applicable, including 5M(2) and 5M(3).

N. Offsetting and Netting of Assets and Liabilities

Not applicable.

R. Reporting Entity’s Share of Cash Pool by Asset Type

Not applicable.

NOTE 6 Joint Ventures, Partnerships and Limited Liability Companies

Not applicable.

NOTE 7 Investment Income

No significant changes.

NOTE 8 Derivative Instruments

Not applicable, including note 8A(8), 8B(2)a, 8B(2)b and 8B(2)c.

NOTE 9 Income Taxes


NOTE 10 Information Concerning Parent, Subsidiaries, Affiliates and Other Related Parties


NOTE 11 Debt

B. FHLB (Federal Home Loan Bank) Agreements

(1)

(2) FHLB Capital Stock

a. Aggregate Totals

1. Current Year

(a) Membership Stock - Class A

(b) Membership Stock - Class B

(c) Activity Stock

(d) Excess Stock

(e) Aggregate Total (a+b+c+d)

$ (1,770,953)

$ 181,804,418

Information Investor Considered in Reaching Conclusion that Impairments are not Other-Than-Temporary

b. The fair value of that collateral and of the portion of that collateral that it has sold orrepledged

Of the $9,110,445 collateral received, none has been sold or re-pledged at June 30, 2021.

BCN became a member of the Federal Home Loan Bank of Indianapolis (FHLBI) on December 1, 2009, in order to obtain short-term, long-term and line-of-credit borrowing privileges. On October 8, 2015, BCN borrowed $50,000,000 at a rate of 1.56% on a 60 month loan. Effective November 8, 2019, this loan was refinanced resulting in a new rate of 1.89% on a 60 month loan. BCN plans to utilize any funding obtained to cover operational needs or longer-term strategic plans. Borrowings are accounted for consistent with SSAP No. 15, Debt and Holding Company Obligations. The loans are collateralized by government securities at 105% of the outstanding loan balance. BCN calculates the actual or estimated borrowing capacity based on current FHLBI stock.

Total

$ 4,205,500

$ 4,205,500

10.1



2. Prior Year-end

(a) Membership Stock - Class A

(b) Membership Stock - Class B

(c) Activity Stock

(d) Excess Stock

(e) Aggregate Total (a+b+c+d)

11B(2)a1(f) should be equal to or greater than 11B(4)a1(d)

11B(2)a2(f) should be equal to or greater than 11B(4)a2(d)

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

Membership Stock

1. Class A

2. Class B

11B(2)b1 Current Year Total (Column 1) should equal 11B(2)a1(a) Total (Column 1)

11B(2)b2 Current Year Total (Column 1) should equal 11B(2)a1(b) Total (Column 1)

(3) Collateral Pledged to FHLB

a. Amount Pledged as of Reporting Date

11B(3)a1 (Columns 1, 2 and 3) should be equal to or less than 11B(3)b1 (Columns 1, 2 and 3 respectively)




b. Maximum Amount Pledged During Reporting Period

(4) Borrowing from FHLB

a. Amount as of Reporting Date

1. Current Year

(a) Debt

(b) Funding Agreements

(c) Other

(d) Aggregate Total (a+b+c)

2. Prior Year end

(a) Debt

(b) Funding Agreements

(c) Other

(d) Aggregate Total (a+b+c)

b. Maximum Amount During Reporting Period (Current Year)

1. Debt

2. Funding Agreements

3. Other

4. Aggregate Total (Lines 1+2+3)

11B(4)b4 (Columns 1, 2 and 3) should be equal to or greater than 11B(4)a1(d) (Columns 1, 2 and 3 respectively)

c. FHLB - Prepayment Obligations

1. Debt

2. Funding Agreements

3. Other

(f) Actual or estimated Borrowing Capacity as Determined by theInsurer $ 93,455,556

$ 4,205,500

$ 4,205,500

(f) Actual or estimated Borrowing Capacity as Determined by theInsurer $ 93,455,556

1 2 Eligible for Redemption

Current Year Total(2+3+4+5+6)

Not Eligible for Redemption

3

Less Than6 Months

46 Months toLess Than

1 Year

5

1 to Less Than3 Years

6

3 to 5 Years

$ -

$ 4,205,500 $ 4,205,500

1

Fair Value

2

Carrying Value

3Aggregate Total

Borrowing

1. Current Year Total Collateral Pledged $ 57,908,945 $ 56,062,116 $ 50,000,000

2. Prior Year-end Total Collateral Pledged $ 58,840,690 $ 56,801,929 $ 50,000,000

1

Fair Value

2

Carrying Value

3Amount

Borrowed at Time ofMaximumCollateral

1. Current Year Total Maximum Collateral Pledged $ 58,714,345 $ 56,680,146 $ 50,000,000

2. Prior Year-end Total Maximum Collateral Pledged $ 59,984,450 $ 57,875,075 $ 50,000,000

Total

Funding Agreements

Reserves Established

XXX

$ 50,000,000

XXX

$ 50,000,000 $ -

XXX

$ 50,000,000 $ -

XXX

$ 50,000,000 $ -

Total

$ 50,000,000

$ 50,000,000

Does the company have prepayment obligations under

the following arrangements (YES/NO)?

No

No

No

10.2


NOTES TO FINANCIAL STATEMENTSNOTE 12

Not applicable, including note 12A(4).

NOTE 13 Capital and Surplus, Dividend Restrictions and Quasi-Reorganizations


NOTE 14 Liabilities, Contingencies and Assessments


NOTE 15 Leases


NOTE 16

Not applicable.

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

B.

(a)

Not applicable.

(b)

Not applicable.

C. Wash Sales

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


NOTE 19 Direct Premium Written/Produced by Managing General Agents/Third Party Administrators

Not applicable.

NOTE 20 Fair Value Measurements

A.

(1) Fair Value Measurements at Reporting Date

a. Assets at fair value

b. Liabilities at fair value

(2) Fair Value Measurements in (Level 3) of the Fair Value hierarchy

Not applicable.

(3)

(4)

(5)

B.

Retirement Plans, Deferred Compensation, Postemployment Benefits and Compensated Absences and OtherPostretirement Benefit Plans

Information About Financial Instruments With Off-Balance Sheet Risk and Financial Instruments With Concentrations ofCredit Risk

Transer and Servicing of Financial Assets

(2) Servicing Assets and Servicing Liabilities

Not applicable.

(4) Securitizations, Asset-based Financing Arrangements and Similar Transfers Accounted for as Sales

BCN has no wash sales as of June 30, 2021.

Description for each classof asset or liability (Level 1) (Level 2) (Level 3)

Net Asset Value (NAV) Total

$ -

Common Stocks $ -

Industrial and miscellaneous $ 215,739,675 $ 215,739,675

Mutual funds $ 1,122,080 $ 1,122,080

$ -

Preferred Stock $ 296,912 $ 296,912

$ -

Cash Equivalents $ -

Exempt money market mutual funds $ 1,014,690 $ 1,014,690

Other money market mutual funds $ 70,345,391 $ 70,345,391

$ -

Other $ -

Securities lending collateral $ 9,110,445 $ 9,110,445

Total assets at fair value/NAV $ 297,332,281 $ 296,912 $ - $ - $ 297,629,193

Description for each classof asset or liability (Level 1) (Level 2) (Level 3)

Net Asset Value (NAV) Total

$ -

Payable for Securities lending $ 9,110,445 $ 9,110,445

Total liabilities at fair value $ 9,110,445 $ - $ - $ - $ 9,110,445

Transfers between levels

Not applicable.

Description of Valuation Techniques and Inputs Used in Fair Value Measurement

Certain assets and liabilities of BCN are measured and reported: (a) at amortized cost, (b) at values using the adjusted audited GAAP equity method, or (c) at values that approximate fair value due to their liquid or short-term nature.

Fair Value Disclosures for Derivative Assets and Liabilities

Not applicable.

Fair Value Reporting under SSAP 100 and Other Accounting Pronouncements

Not applicable.

10.3



C. Aggregate fair value for all financial instruments and the level within the fair value hierarchy in which the fair value measurements in their entirety fall.

D. Not Practicable to Estimate Fair Value

E.

NOTE 21 Other Items


NOTE 22 Events Subsequent

NOTE 23 Reinsurance


NOTE 24 Retrospectively Rated Contracts & Contracts Subject to Redetermination

E. Risk Sharing Provisions of the Affordable Care Act

a. Permanent ACA Risk Adjustment Program

Assets

1. Premium adjustments receivable due to ACA Risk Adjustment (including high risk pool payments)

Liabilities

2. Risk adjustment user fees payable for ACA Risk Adjustment

3. Premium adjustments payable due to ACA Risk Adjustment (including high risk pool premium)

Operations (Revenue & Expense)

5. Reported in expenses as ACA risk adjustment user fees (incurred/paid)

b. Transitional ACA Reinsurance Program

Assets

1. Amounts recoverable for claims paid due to ACA Reinsurance

2. Amounts recoverable for claims unpaid due to ACA Reinsurance (Contra Liability)

3. Amounts receivable relating to uninsured plans for contributions for ACA Reinsurance

Liabilities

4. Liabilities for contributions payable due to ACA Reinsurance – not reported as ceded premium

5. Ceded reinsurance premiums payable due to ACA Reinsurance

Type of Financial Instrument

AggregateFair Value Admitted Assets (Level 1) (Level 2) (Level 3)

Net Asset Value (NAV)

Not Practicable (Carrying Value)

Bonds

Special Revenue and assessment $ 376,963,625 $ 370,336,820 $ 376,963,625

miscellaneous $ 1,145,694,428 $ 1,121,991,098 $ 1,145,694,428

U.S. Government $ 400,001,466 $ 373,659,273 $ 400,001,466

Other Governments $ 2,334,886 $ 2,220,221 $ 2,334,886

Total Bonds $ 1,924,994,405 $ 1,868,207,412 $ 1,924,994,405

Preferred Stock $ 296,912 $ 296,912 $ 296,912

Common Stocks

Industrial and miscellaneous $ 215,739,675 $ 215,739,675 $ 215,739,675

Mutual funds $ 1,122,080 $ 1,122,080 $ 1,122,080

Total Common Stock $ 216,861,755 $ 216,861,755 $ 216,861,755

Cash Equivalents & Short Term Investments

Industrial and miscellaneous $ 406,793,948 $ 406,844,500 $ 406,793,948

Exempt money market mutual funds $ 1,014,690 $ 1,014,690 $ 1,014,690

Other money market mutual funds $ 70,345,391 $ 70,345,391 $ 70,345,391

Total Cash Equivalents & Short Term $ 478,154,029 $ 478,204,580 $ 71,360,081 $ 406,793,948

Liabilities

Debt $ 51,807,530 $ 50,000,000 $ 51,807,350Payable for securities lending $ 9,110,445 $ 9,110,445 $ 9,110,445

Total Liabilities $ 60,917,975 $ 59,110,445 $ 9,110,445 $ 51,807,350

Not applicable.

Nav Practical Expedient Investments

Not applicable.

Management has evaluated all events subsequent to the Statement of Admitted Assets, Liabilities, and Surplus date of June 30, 2021, through the date

of its 2nd Quarter Statement filing of August 16, 2021.

Type I - Recognized Subsequent Events

Management has determined that there are no Type I subsequent events that require disclosure under SSAP No. 9, Subsequent Events.

Type II - Nonrecognized Subsequent Events

(1) Did the reporting entity write accident and health insurance premium which is subject to the Affordable Care Act risk sharing provisions (YES/NO)? Yes [X] No [ ]

(2) Impact of Risk Sharing Provisions of the Affordable Care Act on Admitted Assets, Liabilities and Revenue for the Current Year

Amount

$ 863,193

$ 70,118,379

4. Reported as revenue in premium for accident and health contracts (written/collected) due to ACA RiskAdjustment $ (19,231,779)

$ 345,018

10.4



6. Liabilities for amounts held under uninsured plans contributions for ACA Reinsurance


7. Ceded reinsurance premiums due to ACA Reinsurance

8. Reinsurance recoveries (income statement) due to ACA Reinsurance payments or expected payments

9. ACA Reinsurance contributions – not reported as ceded premium

c. Temporary ACA Risk Corridors Program

Assets

1. Accrued retrospective premium due to ACA Risk Corridors

Liabilities

2. Reserve for rate credits or policy experience rating refunds due to ACA Risk Corridors


3. Effect of ACA Risk Corridors on net premium income (paid/received)

4. Effect of ACA Risk Corridors on change in reserves for rate credits

Explanations of Adjustments

A.

B.

C.

D.

E.

F.

G.

H.

I.

J.

(3) Roll forward of prior year ACA risk sharing provisions for the following asset (gross of any nonadmission) and liability balances along with the reasons for adjustments to prior year balance.

Accrued Duringthe Prior Year on

Received or Paid as ofthe Current Year on Differences Adjustments

Unsettled Balances as of the Reporting Date

Business WrittenBefore December 31

of the Prior Year


of the Prior Year

Prior YearAccrued

LessPayments(Col 1 - 3)

Prior YearAccrued


ToPrior Year Balances


CumulativeBalance

fromPrior Years(Col 1-3+7)

CumulativeBalance


1 2 3 4 5 6 7 8 9 10

Receivable Payable Receivable Payable Receivable Payable Receivable Payable Ref Receivable Payable

a. Permanent ACA Risk Adjustment Program

1. Premium adjustments receivable (including high risk pool payments) $ - $ - A $ - $ -

2. Premium adjustments (payable) (including high risk pool premium) $50,886,600 $ - $50,886,600 $(9,415,574) B $ - $41,471,026

3. Subtotal ACA Permanent RiskAdjustment Program $ - $50,886,600 $ - $ - $ - $50,886,600 $ - $(9,415,574) $ - $41,471,026

b. Transitional ACA Reinsurance Program

1. Amounts recoverable for claims paid $ - $ - C $ - $ -

2. Amounts recoverable for claims unpaid (contra liability) $ - $ - D $ - $ -

3. Amounts receivable relating to uninsuredplans $ - $ - E $ - $ -

4. Liabilities for contributions payable dueto ACA Reinsurance - not reported as cededpremium $ - $ - F $ - $ -

5. Ceded reinsurance premiums payable $ - $ - G $ - $ -

6. Liability for amounts held under uninsured plans $ - $ - H $ - $ -

7. Subtotal ACA Transitional Reinsurance Program $ - $ - $ - $ - $ - $ - $ - $ - $ - $ -

c. Temporary ACA Risk Corridors Program

1. Accrued retrospective premium $ - $ - I $ - $ -

2. Reserve for rate credits or policy experience rating refunds $ - $ - J $ - $ -

3. Subtotal ACA Risk Corridors Program $ - $ - $ - $ - $ - $ - $ - $ - $ - $ -

d. Total for ACA Risk Sharing Provisions $ - $50,886,600 $ - $ - $ - $50,886,600 $ - $(9,415,574) $ - $41,471,026

Adjustment provided by CMS.

(4) Roll-Forward of Risk Corridors Asset and Liability Balances by Program Benefit Year

Accrued Duringthe Prior Year on

Received or Paid as ofthe Current Year on Differences Adjustments

Unsettled Balances as of the Reporting Date

10.5



Explanations of Adjustments

A.

B.

C.

D.

E.

F.

24E(4)d (Columns 1 through 10) should equal 24E(3)c3 (Column 1 through 10 respectively)

24E(5)d (Column 4) should equal 24E(3)c1 (Column 9)

24E(5)d (Column 6) should equal 24E(2)c1

NOTE 25 Change in Incurred Claims and Claim Adjustment Expenses

A.

B. Information about Significant Changes in Methodologies and Assumptions

NOTE 26 Intercompany Pooling Arrangements

Not applicable.

NOTE 27 Structured Settlements

Not applicable.

NOTE 28 Health Care Receivables


NOTE 29 Participating Policies

NOTE 30 Premium Deficiency Reserves


of the Prior Year


of the Prior Year

Prior YearAccrued


Prior YearAccrued




CumulativeBalance


CumulativeBalance


1 2 3 4 5 6 7 8 9 10

Receivable Payable Receivable Payable Receivable Payable Receivable Payable Ref Receivable Payable

a. 2014

1. Accrued retrospective premium $ - $ - A $ - $ -

2. Reserve for rate credits or policy experience rating refunds $ - $ - B $ - $ -

b. 2015

1. Accrued retrospective premium $ - $ - C $ - $ -

2. Reserve for rate credits or policy experience rating refunds $ - $ - D $ - $ -

c. 2016

1. Accrued retrospective premium $ - $ - E $ - $ -

2. Reserve for rate credits or policy experience rating refunds $ - $ - F $ - $ -

d. Total for Risk Corridors $ - $ - $ - $ - $ - $ - $ - $ - $ - $ -

(5) ACA Risk Corridors Receivable as of Reporting Date

Risk Corridors Program Year

1

EstimatedAmount to beFiled or FinalAmount Filed

with CMS

2

Non-AccruedAmounts for

Impairment orOther

Reasons

3

Amountsreceived from

CMS

4Asset

Balance(Gross of

Non-admissions)

(1-2-3)

5

Non-admittedAmount

6

Net AdmittedAsset (4 - 5)

a. 2014 $ 17,193,568 $ 17,193,568 $ - $ -

b. 2015 $ 4,131,999 $ 4,131,999 $ - $ -

c. 2016 $ 20,617,732 $ 20,617,732 $ - $ -

d. Total (a + b + c) $ 41,943,299 $ - $ 41,943,299 $ - $ - $ -

Change in Incurred Losses and Loss Adjustment Expenses

Liabilities for unpaid claims and claims adjustment expenses as of December 31, 2020 were $407,791,744. As of June 30, 2021, $396,618,976 has

been paid for incurred claims and claims adjustment expenses attributable to insured events of prior years. Liabilities for unpaid claims and claims

adjustment expenses remaining for prior years are now estimated to be $17,039,720 as a result of a re-estimation of unpaid claims on comprehensive

and Medicare lines of business. Therefore, there has been a $5,866,952 unfavorable prior year development based on the analysis of recent loss

development trends from December 31, 2020 to June 30, 2021.

Not applicable.

Not applicable.

A liability for premium deficiency losses is an actuarial estimate that is recognized when it is probable that expected claim losses and allocable

administrative expenses will exceed future premiums on existing health and other contracts, without consideration of investment income. For purposes

of premium deficiency losses, contracts are grouped in a manner consistent with BCN's method of acquiring, serviicing, and measuring the profitability

of such contracts. Premium deficiency losses are generally released over the period that the contract is in a loss position.

10.6



1. Liability carried for premium deficiency reserves

2. Date of the most recent evaluation of this liability

3. Was anticipated investment income utilized in the calculation?

NOTE 31 Anticipated Salvage and Subrogation

Not applicable.

$ 19,879,401

12/31/2020

Yes [X] No [ ]

10.7


GENERAL INTERROGATORIES

PART 1 - COMMON INTERROGATORIES

GENERAL

1.1 Did the reporting entity experience any material transactions requiring the filing of Disclosure of Material Transactions with the State of Domicile, as required by the Model Act? Yes [ X ] No [ ]

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

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

2.2 If yes, date of change:

3.1 Is the reporting entity a member of an Insurance Holding Company System consisting of two or more affiliated persons, one or more of which is an insurer? Yes [ X ] No [ ]

If yes, complete Schedule Y, Parts 1 and 1A.

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

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

Rename - Kent Pharmacy NewCo, LLC with Evio Pharmacy Solutions, LLC

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

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

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

If yes, complete and file the merger history data file with the NAIC.

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

1Name of Entity

2NAIC Company Code

3State of Domicile

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

If yes, attach an explanation.

6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2020

6.2 State the as of date that the latest financial examination report became available from either the state of domicile or the reporting entity. This date should be the date of the examined balance sheet and not the date the report was completed or released. 12/31/2017

6.3 State as of what date the latest financial examination report became available to other states or the public from either the state of domicile or the reporting entity. This is the release date or completion date of the examination report and not the date of the examination (balance sheet date). 05/31/2019

6.4 By what department or departments?

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

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

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

7.2 If yes, give full information:

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

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

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

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

1Affiliate Name

2Location (City, State)

3FRB

4OCC

5FDIC

6SEC

11



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

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

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

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

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

(e) Accountability for adherence to the code.

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

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

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

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

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

FINANCIAL

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

10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: $ 52,453,275

INVESTMENT

11.1 Were any of the stocks, bonds, or other assets of the reporting entity loaned, placed under option agreement, or otherwise made available for use by another person? (Exclude securities under securities lending agreements.) Yes [ X ] No [ ]

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

Pledged as collateral to FHLB (Market Value $57,908,945, Statement Value $56,062,116). On deposit with States, (Market Value $1,000,000, Statement Value $1,000,000).

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 10,220,695 13. Amount of real estate and mortgages held in short-term investments: $ 14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes [ X ] No [ ]14.2 If yes, please complete the following:

1Prior Year-End Book/Adjusted Carrying Value

2Current Quarter Book/Adjusted Carrying Value

14.21 Bonds $ 0 $ 14.22 Preferred Stock $ 0 $ 14.23 Common Stock $ 0 $ 14.24 Short-Term Investments $ 0 $ 14.25 Mortgage Loans on Real Estate $ 0 $ 14.26 All Other $ 200 $ 200 14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 200 $ 200 14.28 Total Investment in Parent included in Lines 14.21 to 14.26 above $ $

15.1 Has the reporting entity entered into any hedging transactions reported on Schedule DB? Yes [ ] No [ X ]15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ ] No [ ] N/A [ X ]

If no, attach a description with this statement.

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

16.1 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2. $ 9,110,445

16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 $ 9,110,445

16.3 Total payable for securities lending reported on the liability page. $ 9,110,445

11.1



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

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

1Name of Custodian(s)

2Custodian Address

State Street Bank and Trust Company 801 Pennsylvania, Kansas City, MO 64205

Federal Home Loan Bank of Indianapolis 8250 Woodfield Crossing, Indianapolis, IN 46240

Fidelity Investments Institutional Operations Co. 100 Magellan Way, Covington, KY 41015

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

1Name(s)

2Location(s)

3Complete Explanation(s)

17.3 Have there been any changes, including name changes, in the custodian(s) identified in 17.1 during the current quarter? Yes [ ] No [ X ]17.4 If yes, give full information relating thereto:

1Old Custodian

2New Custodian

3Date of Change

4Reason

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

1Name of Firm or Individual

2Affiliation

Blue Cross Blue Shield of Michigan A

Snyder Capital Management L. P. U

Los Angeles Capital Management and Equity Research, Inc. U

Arrowstreet Capital Limited Partnership U

Aegon Asset Management US U

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

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

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

1

Central Registration Depository Number

2

Name of Firm or Individual

3

Legal Entity Identifier (LEI)

4

Registered With

5Investment

Management Agreement (IMA) Filed

Blue Cross Blue Shield of Michigan 549300NP72KD2PWNIF61

108518 Snyder Capital Management L. P. 801-54641 SEC NO

119033 Los Angeles Capital Management and Equity Research, Inc. 549300DZCL1RBNVU327 SEC NO

111298 Arrowstreet Capital Limited Partnership L03UDTZUGORICVPFGQ53 SEC NO

114537 Aegon Asset Management US 4DJIF67XTB552LOE3L78 SEC NO

18.1 Have all the filing requirements of the Purposes and Procedures Manual of the NAIC Investment Analysis Office been followed? Yes [ X ] No [ ]18.2 If no, list exceptions:

19. By self-designating 5GI securities, the reporting entity is certifying the following elements for each self-designated 5GI security:

a. Documentation necessary to permit a full credit analysis of the security does not exist or an NAIC CRP credit rating for an FE or PL security is not available.

b. Issuer or obligor is current on all contracted interest and principal payments.

c. The insurer has an actual expectation of ultimate payment of all contracted interest and principal.

Has the reporting entity self-designated 5GI securities? Yes [ ] No [ X ]

20. By self-designating PLGI securities, the reporting entity is certifying the following elements of each self-designated PLGI security:

a. The security was purchased prior to January 1, 2018.

b. The reporting entity is holding capital commensurate with the NAIC Designation reported for the security.

c. The NAIC Designation was derived from the credit rating assigned by an NAIC CRP in its legal capacity as a NRSRO which is shown on a current private letter rating held by the insurer and available for examination by state insurance regulators.

d. The reporting entity is not permitted to share this credit rating of the PL security with the SVO.

Has the reporting entity self-designated PLGI securities? Yes [ ] No [ X ]

21. By assigning FE to a Schedule BA non-registered private fund, the reporting entity is certifying the following elements of each self-designated FE fund:

a. The shares were purchased prior to January 1, 2019.

b. The reporting entity is holding capital commensurate with the NAIC Designation reported for the security.

c. The security had a public credit rating(s) with annual surveillance assigned by an NAIC CRP in its legal capacity as an NRSRO prior to January 1, 2019.

d. The fund only or predominantly holds bonds in its portfolio.

e. The current reported NAIC Designation was derived from the public credit rating(s) with annual surveillance assigned by an NAIC CRP in its legal capacity as an NRSRO.

f. The public credit rating(s) with annual surveillance assigned by an NAIC CRP has not lapsed.

Has the reporting entity assigned FE to Schedule BA non-registered private funds that complied with the above criteria? Yes [ ] No [ X ]

11.2



PART 2 - HEALTH

1. Operating Percentages:

1.1 A&H loss percent 91.5 %

1.2 A&H cost containment percent 1.5 %

1.3 A&H expense percent excluding cost containment expenses 12.0 %

2.1 Do you act as a custodian for health savings accounts? Yes [ ] No [ X ]

2.2 If yes, please provide the amount of custodial funds held as of the reporting date $

2.3 Do you act as an administrator for health savings accounts? Yes [ ] No [ X ]

2.4 If yes, please provide the balance of the funds administered as of the reporting date $

3. Is the reporting entity licensed or chartered, registered, qualified, eligible or writing business in at least two states? Yes [ ] No [ X ]

3.1 If no, does the reporting entity assume reinsurance business that covers risks residing in at least one state other than the state of domicile of the reporting entity? Yes [ ] No [ X ]

12


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

1

NAICCompany

Code

2

IDNumber

3

EffectiveDate

4

Name of Reinsurer

5

Domiciliary Jurisdiction

6

Type of Reinsurance

Ceded

7

Type of Business

Ceded

8

Type of Reinsurer

9

Certified Reinsurer

Rating(1 through 6)

10EffectiveDate ofCertified

Reinsurer Rating

NONE

13


SCHEDULE T - PREMIUMS AND OTHER CONSIDERATIONSCurrent Year to Date - Allocated by States and Territories

1 Direct Business Only

States, etc.

ActiveStatus

(a)

2

Accident and Health

Premiums

3

MedicareTitle XVIII

4

MedicaidTitle XIX

5

CHIP TitleXXI

6Federal

EmployeesHealth

BenefitsProgram

Premiums

7

Life and Annuity

Premiums & Other

Considerations

8

Property/Casualty

Premiums

9

TotalColumns 2 Through 8

10

Deposit-Type Contracts

1. Alabama AL N 0

2. Alaska AK N 0

3. Arizona AZ N 0

4. Arkansas AR N 0

5. California CA N 0

6. Colorado CO N 0

7. Connecticut CT N 0

8. Delaware DE N 0

9. District of Columbia DC N 0

10. Florida FL N 0

11. Georgia GA N 0

12. Hawaii HI N 0

13. Idaho ID N 0

14. Illinois IL N 0

15. Indiana IN N 0

16. Iowa IA N 0

17. Kansas KS N 0

18. Kentucky KY N 0

19. Louisiana LA N 0

20. Maine ME N 0

21. Maryland MD N 0

22. Massachusetts MA N 0

23. Michigan MI L 1,392,824,490 543,197,157 56,978,924 1,993,000,571

24. Minnesota MN N 0

25. Mississippi MS N 0

26. Missouri MO N 0

27. Montana MT N 0

28. Nebraska NE N 0

29. Nevada NV N 0

30. New Hampshire NH N 0

31. New Jersey NJ N 0

32. New Mexico NM N 0

33. New York NY N 0

34. North Carolina NC N 0

35. North Dakota ND N 0

36. Ohio OH N 0

37. Oklahoma OK N 0

38. Oregon OR N 0

39. Pennsylvania PA N 0

40. Rhode Island RI N 0

41. South Carolina SC N 0

42. South Dakota SD N 0

43. Tennessee TN N 0

44. Texas TX N 0

45. Utah UT N 0

46. Vermont VT N 0

47. Virginia VA N 0

48. Washington WA N 0

49. West Virginia WV N 0

50. Wisconsin WI N 0

51. Wyoming WY N 0

52. American Samoa AS N 0

53. Guam GU N 0

54. Puerto Rico PR N 0

55. U.S. Virgin Islands VI N 0

56. Northern Mariana Islands MP N 0

57. Canada CAN N 0

58. Aggregate Other Aliens OT XXX 0 0 0 0 0 0 0 0 0

59. Subtotal XXX 1,392,824,490 543,197,157 0 0 56,978,924 0 0 1,993,000,571 0

60. Reporting Entity Contributions for Employee Benefit Plans XXX 0

61. Totals (Direct Business) XXX 1,392,824,490 543,197,157 0 0 56,978,924 0 0 1,993,000,571 0


58001. XXX58002. XXX58003. XXX58998. Summary of remaining

write-ins for Line 58 from overflow page XXX 0 0 0 0 0 0 0 0 0

58999. Totals (Lines 58001 through 58003 plus 58998)(Line 58 above) XXX 0 0 0 0 0 0 0 0 0

(a) Active Status Counts:L - Licensed or Chartered - Licensed Insurance carrier or domiciled RRG 1 R - Registered - Non-domiciled RRGs 0 E - Eligible - Reporting entities eligible or approved to write surplus lines in the state 0 Q - Qualified - Qualified or accredited reinsurer 0 N - None of the above - Not allowed to write business in the state 56

14


15


15.1


15.2


15.3


SCHEDULE Y

PART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM1

GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7

Name of SecuritiesExchange

if Publicly Traded(U.S. or

International)

8

Names ofParent, Subsidiaries

Or Affiliates

9

Domi-ciliaryLoca-tion

10

Relation-ship to

ReportingEntity

11

Directly Controlled by(Name of Entity/Person)

12Type

of Control(Ownership,

Board,Management,

Attorney-in-Fact,Influence,

Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14

Ultimate ControllingEntity(ies)/Person(s)

15

Is anSCA FilingRe-

quired? (Y/N)

16

*

0572

Blue Cross Blue Shield of Michigan

Mutual Insurance Company 54291 38-2069753

Blue Cross Blue Shield of Michigan Mutual

Insurance Company MI UDP State of Michigan Legal N

0572


Mutual Insurance Company 00000 38-4093181 Emergent Holdings, Inc. MI NIA


Insurance Company Ownership 100.000


Mutual Insurance Company Y

0572


Mutual Insurance Company 00000 27-0521030 Accident Fund Holdings, Inc. MI NIA Emergent Holdings, Inc. Ownership 100.000


Mutual Insurance Company N

0572


Mutual Insurance Company 00000 AA-0000000 AF Global Capital, Ltd. GBR NIA Accident Fund Holdings, Inc. Ownership 100.000


Mutual Insurance Company N 13

0572


Mutual Insurance Company 10166 38-3207001 Accident Fund Insurance Company of America MI IA Accident Fund Holdings, Inc. Ownership 100.000



0572


Mutual Insurance Company 00000 26-4728075 Affinity Services, LLC MI NIA Accident Fund Holdings, Inc. Ownership 100.000



0572



Fundamental Agency,

Inc........................ WI NIA Accident Fund Holdings, Inc. Ownership 100.000



0572


Mutual Insurance Company 29157 39-0941450 United Wisconsin Insurance Company WI IA

Accident Fund Insurance Company of America

Ownership 100.000



0572


Mutual Insurance Company 12304 20-3058200 Accident Fund General Insurance Company MI IA


Ownership 100.000



0572


Mutual Insurance Company 12305 20-3058291 Accident Fund National Insurance Company MI IA


Ownership 100.000



0572


Mutual Insurance Company 10713 36-4072992 Third Coast Insurance Company WI IA


Ownership 100.000



0572


Mutual Insurance Company 12177 20-1117107 CompWest Insurance Company CA IA


Ownership 100.000



0572


Mutual Insurance Company 00000 20-1420821 LifeSecure Holdings Corporation AZ NIA




Mutual Insurance Company Y 7

0572


Mutual Insurance Company 77720 75-0956156 LifeSecure Insurance Company MI IA LifeSecure Holdings Corporation Ownership 100.000



0572


Mutual Insurance Company 95610 38-2359234 Blue Care Network of Michigan MI RE





0572


Mutual Insurance Company 00000 45-3854611 Michigan Medicaid Holdings Company MI NIA




Mutual Insurance Company Y

0573


Mutual Insurance Company 00000 85-4338099 Care Transformation Holding Company MI NIA





0572


Mutual Insurance Company 11557 47-2582248 Blue Cross Complete of Michigan LLC MI IA Michigan Medicaid Holdings Company Ownership 50.000 BCBSM and IBC MH LLC N 5

0572



Blue Cross and Blue Shield of Michigan

Foundation MI DS Blue Care Network of Michigan Ownership 100.000



0572


Mutual Insurance Company 15649 47-2221114 Woodward Straits Insurance Company MI IA





0572


Mutual Insurance Company 00000 81-3438452 COBX Co MI NIA Emergent Holdings, Inc. Ownership 100.000



0572


Mutual Insurance Company 00000 47-5653683 Advantasure, Inc. MI NIA Emergent Holdings, Inc. Ownership 100.000



0572


Mutual Insurance Company 00000 84-3513429 Covantage Health Partners, Inc MI NIA Emergent Holdings, Inc. Ownership 100.000



0572


Mutual Insurance Company 00000 84-4009427 NextBlue, LLC DE NIA Covantage Health Partners, Inc. Ownership 51.000



0572


Mutual Insurance Company 16739 84-3789332 NextBlue of North Dakota Insurance Company ND IA NextBlue, LLC Ownership 100.000



0572


Mutual Insurance Company 00000 84-4367791 Vermont Blue Advantage, LLC DE NIA Covantage Health Partners, Inc. Ownership 51.000



0572


Mutual Insurance Company 16793 84-4331472 Vermont Blue Advantage, Inc VT IA Vermont Blue Advantage, LLC Ownership 100.000



16


SCHEDULE Y


GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7



International)

8


Or Affiliates

9


10

Relation-ship to

ReportingEntity

11


12Type


Board,Management,


Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14


15

Is anSCA FilingRe-

quired? (Y/N)

16

*

0572


Mutual Insurance Company 00000 11-3738370 ikaSystems Corporation DE NIA Advantasure, Inc. Ownership 100.000



0572


Mutual Insurance Company 00000 86-1598901 Wellmark Advantage Holdings, LLC DE NIA Covantage Health Partners, Inc. Ownership 51.000



0572


Mutual Insurance Company 17001 86-1598618 Wellmark Advantage Health Plan, Inc. IA IA Wellmark Advantage Holdings, Inc. Ownership 100.000



0572


Mutual Insurance Company 00000 58-1767730 NASCO Corporation GA NIA





0572


Mutual Insurance Company 00000 47-4522025 Tessellate Holdings, LLC DE NIA Emergent Holdings, Inc. Ownership 100.000



0572


Mutual Insurance Company 00000 45-3742721 Tessellate, LLC DE NIA Tessellate Holdings, LLC Ownership 100.000



0572


Mutual Insurance Company 00000 84-4115688 InnovateRX LLC DE NIA





0572


Mutual Insurance Company 00000 83-1246927 Civica Outpatient Subsidiary, LLC DE NIA InnovateRX LLC Management



0573


Mutual Insurance Company 00000 85-3092159 Evio Pharmacy Solutions, LLC DE NIA





0572



Blue Cross Blue Shield of Michigan Bargaining

Unit Internal Health Benefit Trust MI OTH


Insurance Company Management



0572



Blue Cross Blue Shield of Michigan Non-

Bargaining Unit Internal Health Benefit Trust

MI OTH


Insurance Company Managerment



0572



Blue Cross Blue Shield of Michigan Long-Term

Disability Trust MI OTH





0572



Blue Cross Blue Shield of Michigan Employees'

Retirement Master Trust MI OTH





0572


Mutual Insurance Company 00000 30-0703311 BMH LLC DE NIA


Insurance Company Ownership 38.740 BCBSM and IBC MH LLC N

00000 38-3946080 BMH SUBCO I LLC DE NIA BMH LLC Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 80-0768643 BMH SUBCO II LLC DE NIA BMH LLC Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 45-5415725 AmeriHealth Caritas Services, LLC DE NIA BMH LLC Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 23-2859523 AmeriHealth Caritas Health Plan PA NIA BMH SUBCO I LLC Ownership 50.000 BCBSM and IBC MH LLC N 3

14143 27-3575066 AmeriHealth Caritas Louisiana, Inc. LA IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 85-4321302 Social Determinants of Life, Inc DE IA BMH LLC Ownership 100.000 BCBSM and IBC MH LLC N

95458 57-1032456 Select Health of South Carolina, Inc. SC IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 47-3923267 AmeriHealth Caritas Iowa, Inc IA IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 26-1809217 Perform RX IPA of New York, LLC NY NIA AmeriHealth Caritas Health Plan Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 26-1144363 AMHP Holdings Corp PA NIA AmeriHealth Caritas Health Plan Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 25-1765391

Community Behavioral Healthcare Network of

Pennsylvania, Inc. PA NIA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

13630 26-0885397 CBHNP Services, Inc. PA IA

Community Behavioral Healthcare Network of

Pennsylvania, Inc. Ownership 100.000 BCBSM and IBC MH LLC N 2

14378 45-4088232 Florida True Health, Inc. FL IA AmeriHealth Caritas Health Plan Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 61-1847073 AmeriHealth Caritas Delaware, Inc. DE NIA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

15088 46-1482013 AmeriHealth District of Columbia, Inc. DC IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

15104 46-0906893 AmeriHealth Michigan, Inc. MI IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 83-3241978 AmeriHealth Caritas Minnesota, Inc MN IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

16496 83-0987716 AmeriHealth Caritas New Hampshire, Inc NH IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

16980 84-2435374 AmeriHealth Caritas Ohio, Inc. OH IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 86-2442207 AmeriHealth Caritas California, Inc. CA IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

16451 82-1141687 AmeriHealth Caritas Texas, Inc. TX IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 45-3790685 AmeriHealth Nebraska, Inc. NE IA AmeriHealth Caritas Health Plan Ownership 70.000 BCBSM and IBC MH LLC N 4

16539 83-1481671 AmeriHealth Caritas North Carolina, Inc. NC IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

16.1


SCHEDULE Y


GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7



International)

8


Or Affiliates

9


10

Relation-ship to

ReportingEntity

11


12Type


Board,Management,


Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14


15

Is anSCA FilingRe-

quired? (Y/N)

16

* 16422 61-1857768 AmeriHealth Caritas New Mexico, Inc NM IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 81-4458766 AmeriHealth Caritas Oklahoma, Inc. OK IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N

00000 85-3713213 AmeriHealth Caritas Nevada, Inc NV IA AMHP Holdings Corp Ownership 100.000 BCBSM and IBC MH LLC N

00000 27-0863878 PerformRx, LLC PA NIA AmeriHealth Caritas Health Plan Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 61-1729412 PerformSpecialty, LLC PA NIA PerformRx, LLC Ownership 100.000 BCBSM and IBC MH LLC N 2

00000 23-2842344 Keystone Family Health Plan PA NIA BMH SUBCO I LLC Ownership 50.000 BCBSM and IBC MH LLC N 3

11557 47-2582248 Blue Cross Complete of Michigan LLC MI IA AmeriHealth Caritas Health Plan Ownership 50.000 BCBSM and IBC MH LLC N 5

00000 36-4247278 BCS Financial Corporation DE NIA

BCBSM and Accident Fund Insurance Company

of America Ownership 13.660



80985 36-2149353 4 Ever Life Insurance Company IL IA BCS Financial Corporation Ownership 100.000



38245 36-6033921 BCS Insurance Company OH IA BCS Financial Corporation Ownership 100.000



00000 36-3120811 BCS Insurance Agency, Inc. IL NIA BCS Financial Corporation Ownership 100.000



00000 36-4303124 BCS Financial Services Corporation DE NIA BCS Financial Corporation Ownership 100.000



00000 20-1420821 LifeSecure Holdings Corporation AZ NIA BCS Financial Corporation Ownership 20.000


Mutual Insurance Company Y 7

00000 AA-0000000 4 Ever Life International Limited BMU NIA BCS Financial Corporation Ownership 100.000



00000 32-0485937 BCS Re Inc. VT NIA BCS Financial Corporation Ownership 100.000



00000 37-1732732 Ancilyze Technologies LLC DE NIA BCS Financial Corporation Ownership 50.000



00000 46-4945044 Ancilyze Insurance Agency LLC IL NIA Ancilyze Technologies LLC Ownership 100.000



Asterisk Explanation

1 BCBSM owns 9.9% of the entity in column 8




5 Michigan Medicaid Holding Company and AmeriHealth Caritas Health Plan each own 50% of Blue Cross Complete of Michigan, LLC


7 BCBSM and BCS Financial Corporation owns LifeSecure Holdings Corporation 80% and 20% respectively


9 BCBSM owns 51% of the entity in column 8

10 OTH - Employee Benefit Trusts established in 2019

11 OTH - Employee Benefit Trust established in 2016

12 OTH - Employee Benefit Trust established in 1997

16.2


SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIES

The following supplemental reports are required to be filed as part of your statement filing. However, in the event that your company does not transact the type of business for which the special report must be filed, your response of NO to the specific interrogatory will be accepted in lieu of filing a “NONE” report and a bar code will be printed below. If the supplement is required of your company but is not being filed for whatever reason enter SEE EXPLANATION and provide an explanation following the interrogatory questions.

Response

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

Explanation:

1.

Bar Code:

1. Medicare Part D Coverage Supplement [Document Identifier 365]

*95610202136500002*

17


OVERFLOW PAGE FOR WRITE-INS

NONE

18


SCHEDULE A - VERIFICATIONReal Estate

1

Year to Date

2Prior Year Ended

December 31

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

2. Cost of acquired:

2.1 Actual cost at time of acquisition

2.2 Additional investment made after acquisition

3. Current year change in encumbrances

4. Total gain (loss) on disposals

5. Deduct amounts received on disposals

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

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

8. Deduct current year’s depreciation

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

10. Deduct total nonadmitted amounts

11. Statement value at end of current period (Line 9 minus Line 10)

SCHEDULE B - VERIFICATIONMortgage Loans

1

Year to Date

2Prior Year Ended

December 31

1. Book value/recorded investment excluding accrued interest, December 31 of prior year


2.1 Actual cost at time of acquisition

2.2 Additional investment made after acquisition

3. Capitalized deferred interest and other

4. Accrual of discount

5. Unrealized valuation increase (decrease)

6. Total gain (loss) on disposals

7. Deduct amounts received on disposals

8. Deduct amortization of premium and mortgage interest points and commitment fees

9. Total foreign exchange change in book value/recorded investment excluding accrued interest

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

11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)

12. Total valuation allowance

13. Subtotal (Line 11 plus Line 12)


15. Statement value at end of current period (Line 13 minus Line 14)

SCHEDULE BA - VERIFICATIONOther Long-Term Invested Assets

1

Year to Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value, December 31 of prior year 112,731,917 86,190,126


2.1 Actual cost at time of acquisition 25,000,000 17,854,614

2.2 Additional investment made after acquisition 44,823,187 13,991,533

3. Capitalized deferred interest and other 0

4. Accrual of discount

5. Unrealized valuation increase (decrease) 12,351,063 16,370,997

6. Total gain (loss) on disposals 375,221 3,685,714

7. Deduct amounts received on disposals 5,418,646 25,361,067

8. Deduct amortization of premium and depreciation

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

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

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 189,862,742 112,731,917


13. Statement value at end of current period (Line 11 minus Line 12) 189,862,742 112,731,917

SCHEDULE D - VERIFICATIONBonds and Stocks

1

Year to Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value of bonds and stocks, December 31 of prior year 1,969,049,523 1,741,590,917

2. Cost of bonds and stocks acquired 1,309,969,912 2,114,178,761

3. Accrual of discount 742,087 2,013,164

4. Unrealized valuation increase (decrease) (22,861,672) 31,019,584

5. Total gain (loss) on disposals 55,689,958 68,272,246

6. Deduct consideration for bonds and stocks disposed of 1,220,147,059 1,944,894,910

7. Deduct amortization of premium 9,714,120 15,112,313


9. Deduct current year’s other than temporary impairment recognized 2,804,048 32,883,912

10. Total investment income recognized as a result of prepayment penalties and/or acceleration fees 5,441,498 4,865,986

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9+10) 2,085,366,079 1,969,049,523

12. Deduct total nonadmitted amounts 0

13. Statement value at end of current period (Line 11 minus Line 12) 2,085,366,079 1,969,049,523

SI01

NONE

NONE


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

During the Current Quarter for all Bonds and Preferred Stock by NAIC Designation

NAIC Designation

1Book/AdjustedCarrying Value

Beginningof Current Quarter

2

AcquisitionsDuring

Current Quarter

3

DispositionsDuring

Current Quarter

4

Non-Trading ActivityDuring

Current Quarter


End ofFirst Quarter


End ofSecond Quarter


End ofThird Quarter

8Book/AdjustedCarrying ValueDecember 31

Prior Year

BONDS

1. NAIC 1 (a) 1,050,715,586 376,736,027 373,524,273 (275,069) 1,050,715,586 1,053,652,271 0 1,025,681,299

2. NAIC 2 (a) 989,116,659 438,400,370 384,808,167 (6,806,743) 989,116,659 1,035,902,119 0 954,835,208

3. NAIC 3 (a) 87,627,743 48,189,680 17,687,657 2,085,445 87,627,743 120,215,211 0 71,486,042

4. NAIC 4 (a) 45,584,670 26,366,525 11,856,849 (2,043,940) 45,584,670 58,050,406 0 37,127,786

5. NAIC 5 (a) 5,984,262 2,589,470 1,069,130 (445,724) 5,984,262 7,058,878 0 6,631,637

6. NAIC 6 (a) 281,779 6,544 117,414 2,119 281,779 173,028 0 765,447

7. Total Bonds 2,179,310,699 892,288,616 789,063,490 (7,483,912) 2,179,310,699 2,275,051,913 0 2,096,527,419

PREFERRED STOCK

8. NAIC 1 0 0 0 0

9. NAIC 2 0 0 0 0

10. NAIC 3 638,784 0 273,583 (68,289) 638,784 296,912 0 528,384

11. NAIC 4 0 0 0 0

12. NAIC 5 0 0 0 0

13. NAIC 6 0 0 0 0

14. Total Preferred Stock 638,784 0 273,583 (68,289) 638,784 296,912 0 528,384

15. Total Bonds and Preferred Stock 2,179,949,483 892,288,616 789,337,073 (7,552,201) 2,179,949,483 2,275,348,825 0 2,097,055,803

(a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of short-term and cash equivalent bonds by NAIC designation:

NAIC 1 $ 71,948,636 ; NAIC 2 $ 322,698,126 ; NAIC 3 $ 12,197,739 NAIC 4 $ 0 ; NAIC 5 $ 0 ; NAIC 6 $ 0

SI0

2


SCHEDULE DA - PART 1Short-Term Investments

1

Book/AdjustedCarrying Value

2

Par Value

3

Actual Cost

4

Interest CollectedYear-to-Date

5Paid for

Accrued InterestYear-to-Date

9199999 Totals 357,618,975 XXX 360,432,164 2,573,571 1,681,225

SCHEDULE DA - VERIFICATIONShort-Term Investments

1

Year To Date

2



2. Cost of short-term investments acquired 353,907,358 666,598,861

3. Accrual of discount 74,451 610,806

4. Unrealized valuation increase (decrease) (121) (59)

5. Total gain (loss) on disposals (476,021) (1,387,649)

6. Deduct consideration received on disposals 330,064,625 647,094,397

7. Deduct amortization of premium 4,181,169 5,211,733


9. Deduct current year’s other than temporary impairment recognized 51,453

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 357,618,975 338,359,102



SI03


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

N O N E

Schedule DB - Part B - Verification - Futures Contracts

N O N E

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

N O N E

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

N O N E

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

N O N E

SI04, SI05, SI06, SI07


SCHEDULE E - PART 2 - VERIFICATION(Cash Equivalents)

1

Year To Date

2



2. Cost of cash equivalents acquired 1,198,557,322 3,609,857,914

3. Accrual of discount 34,311 858,303

4. Unrealized valuation increase (decrease) 2,017 (2,017)

5. Total gain (loss) on disposals 1,862 (71,412)

6. Deduct consideration received on disposals 1,258,370,821 3,687,531,171

7. Deduct amortization of premium 422,855 161,839


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) 120,585,605 180,783,769



SI08


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 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

E01, E02


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

1 2 Location 5 6 7 8 9 10 11 12 13

CUSIPIdentification Name or Description

3

City

4

State

Name of Vendor or General Partner

NAICDesignation,

NAICDesignation

ModifierandSVO

Admini-strative Symbol

Date OriginallyAcquired

Typeand

Strategy

Actual Costat Time of Acquisition

Additional Investment Made After Acquisition

Amount ofEncumbrances

Commitmentfor

AdditionalInvestment

Percentage of Ownership

99C000-85-0 ENERGY CAPITAL PARTNERS IV LP SHORT HILLS NJ DIRECT 08/02/2018 3 1,125,577 5,839,500 7.500

0199999. Oil and Gas Production - Unaffiliated 0 1,125,577 0 5,839,500 XXX99C000-74-4 HARBERT CREDIT SOLUTIONS FUND IV, LP BIRMINGHAM AL DIRECT 06/29/2017 2 0 565,296 3.530

1799999. Joint Venture Interests - Fixed Income - NAIC Designation Not Assigned by the SVO - Unaffiliated 0 565,296 0 0 XXXBCTMAM-S1-2 MARINER ATLANTIC MULTI-STRATEGY FUND LP NEW YORK NY DIRECT 05/27/2021 25,000,000

BNTARR-EM-4 ARROWSTREET EMERGING MARKETS BOSTON MA DIRECT 05/27/2021 25,000,000

1999999. Joint Venture Interests - Common Stock - Unaffiliated 50,000,000 0 0 0 XXXBNTBSR-03-8 BROOKFIELD STRATEGIC REAL ESTATE PARTNERS III TORONTO CAN DIRECT 04/12/2019 3 1,492,160 4,751,099 0.100

2199999. Joint Venture Interests - Real Estate - Unaffiliated 0 1,492,160 0 4,751,099 XXXBNTRLJ-02-0 RJL EQUITY PARTNERS FUND 11 LP BETHESDA MD DIRECT 01/08/2019 3 1,394,727 4,886,470 4.730

99C000-77-7 DYAL CAPITAL PARTNERS IV DALLAS TX DIRECT 04/09/2018 749,772 12,471,105 0.780

BNTVPE-F7-1 VISTA EQUITY PARTNERS VII CHICAGO IL DIRECT 08/08/2019 3 1,043,906 4,977,416 0.180

BNTVSC-R3-8 VISTA CREDIT PPARTNERS FUND 111 LP SAN FRANCISCO CA DIRECT 08/26/2020 2,328,945 5,534,002 2.280

2599999. Joint Venture Interests - Other - Unaffiliated 0 5,517,350 0 27,868,993 XXX

4899999. Total - Unaffiliated 50,000,000 8,700,383 0 38,459,592 XXX

4999999. Total - Affiliated 0 0 0 0 XXX

5099999 - Totals 50,000,000 8,700,383 0 38,459,592 XXX

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

1 2 Location 5 6 7 8 Change in Book/Adjusted Carrying Value 15 16 17 18 19 20


3

City

4

State

Name of Purchaser orNature of Disposal

DateOriginally Acquired

DisposalDate

Book/Adjusted Carrying

ValueLess

Encum-brances,

PriorYear

9

Unrealized Valuation Increase

(De-crease)

10

Current Year’s (Depre-

ciation) or (Amorti-zation)/

Accretion

11Current Year’s Other Than

Temporary Impair-ment

Recog-nized

12

Capital-ized

Deferred Interest

andOther

13

Total Change in

Book/ Adjusted Carrying

Value (9+10-11+12)

14

Total Foreign

Exchange Change in


Value


ValueLess

Encum-brances

on Disposal

Consid-eration

Foreign Exchange

Gain (Loss)

on Disposal

Realized Gain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

Invest-ment

Income99C000-85-0 ENERGY CAPITAL PARTNERS IV LP SHORT HILLS NJ DIRECT 08/02/2018 04/19/2021 66,186 0 66,186 66,186 0

0199999. Oil and Gas Production - Unaffiliated 66,186 0 0 0 0 0 0 66,186 66,186 0 0 0 0

99C000-74-4 HARBERT CREDIT SOLUTIONS FUND IV LP BIRMINGHAM AL DIRECT 06/29/2017 05/04/2021 77,175 0 43,858 43,858 0

1799999. Joint Venture Interests - Fixed Income - NAIC Designation Not Assigned by the SVO - Unaffiliated 77,175 0 0 0 0 0 0 43,858 43,858 0 0 0 0

BNTBSR-03-8

BROOKFIELD STRATEGIC REAL ESTATE PARTNERS

III TORONTO CAN DIRECT 04/12/2019 06/18/2021 987,844 0 987,844 1,329,748 341,904 341,904

2199999. Joint Venture Interests - Real Estate - Unaffiliated 987,844 0 0 0 0 0 0 987,844 1,329,748 0 341,904 341,904 0

BNTVSC-R3-8 VISTA CREDIT PARTNERS FUND III LP SAN FRANCISCO CA DIRECT 08/26/2020 06/22/2021 (439,306) 0 (439,306) (439,306) 0

99C000-88-4 ARROWGRASS PARTNERSHIP LP MARYLEBONE, LONDON GBR DIRECT 11/13/2018 04/01/2021 640,471 0 640,471 640,471 0

2599999. Joint Venture Interests - Other - Unaffiliated 201,165 0 0 0 0 0 0 201,165 201,165 0 0 0 0

4899999. Total - Unaffiliated 1,332,370 0 0 0 0 0 0 1,299,053 1,640,957 0 341,904 341,904 0

E03


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

1 2 Location 5 6 7 8 Change in Book/Adjusted Carrying Value 15 16 17 18 19 20


3

City

4

State

Name of Purchaser orNature of Disposal

DateOriginally Acquired

DisposalDate


ValueLess

Encum-brances,

PriorYear

9

Unrealized Valuation Increase

(De-crease)

10

Current Year’s (Depre-

ciation) or (Amorti-zation)/

Accretion

11Current Year’s Other Than

Temporary Impair-ment

Recog-nized

12

Capital-ized

Deferred Interest

andOther

13

Total Change in

Book/ Adjusted Carrying

Value (9+10-11+12)

14

Total Foreign

Exchange Change in


Value


ValueLess

Encum-brances

on Disposal

Consid-eration

Foreign Exchange

Gain (Loss)

on Disposal

Realized Gain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

Invest-ment

Income

4999999. Total - Affiliated 0 0 0 0 0 0 0 0 0 0 0 0 0

5099999 - Totals 1,332,370 0 0 0 0 0 0 1,299,053 1,640,957 0 341,904 341,904 0

E03.1


SCHEDULE D - PART 3Show All Long-Term Bonds and Stock Acquired During the Current Quarter

1

CUSIP Identification

2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9

Paid for Accrued Interest andDividends

10NAIC

Designation,NAIC

DesignationModifier

andSVO


912810-SS-8 TREASURY BOND 05/10/2021 VARIOUS 19,673,861 23,005,000 171,924 1.A

912810-SU-3 TREASURY BOND 06/30/2021 VARIOUS 22,703,260 24,605,000 143,367 1.A

912810-SW-9 TREASURY BOND 05/10/2021 VARIOUS 10,941,805 11,495,000 45,923 1.A

912810-SX-7 TREASURY BOND 06/08/2021 BARCLAY'S CAPITAL 777,422 750,000 1,210 1.A

912810-SY-5 WI TREASURY BOND 06/30/2021 VARIOUS 8,017,834 7,857,000 13,930 1.A

91282C-BL-4 TREASURY NOTE 05/12/2021 VARIOUS 25,629,700 26,780,000 63,710 1.A FE

91282C-BS-9 TREASURY NOTE 04/12/2021 VARIOUS 1,460,873 1,469,000 447 1.A FE

91282C-BT-7 TREASURY NOTE 04/29/2021 VARIOUS 5,463,971 5,490,000 1,596 1.A FE

91282C-BW-0 TREASURY NOTE 05/12/2021 VARIOUS 10,756,373 10,790,000 1,590 1.A FE

91282C-BZ-3 TREASURY NOTE 05/21/2021 VARIOUS 2,194,481 2,200,000 1,117 1.A FE

91282C-CB-5 TREASURY NOTE 06/30/2021 VARIOUS 24,539,160 24,490,000 11,208 1.A FE

91282C-CE-9 TREASURY NOTE 05/28/2021 ROYAL BANK OF SCOTLA 999,063 1,000,000 34 1.A

91282C-CF-6 TREASURY NOTE 06/21/2021 VARIOUS 11,548,713 11,575,000 1,712 1.A FE

91282C-CH-2 TREASURY NOTE 06/30/2021 VARIOUS 3,497,056 3,490,000 127 1.A FE

0599999. Subtotal - Bonds - U.S. Governments 148,203,572 154,996,000 457,895 XXX91087B-AQ-3 MEXICO (UNITED MEXICAN STATES) (GO C 04/06/2021 BANK OF AMERICA 199,876 200,000 0 2.B FE

1099999. Subtotal - Bonds - All Other Governments 199,876 200,000 0 XXX01F020-67-9 UMBS 30YR TBA(REG A) 06/10/2021 MIZUHO 3,033,281 3,000,000 2,167 1.A

01F022-65-9 UMBS 30YR TBA(REG A) 04/09/2021 VARIOUS 11,317,852 11,000,000 9,167 1.A



21H020-64-2 GNMA2 30YR TBA(REG C) 04/19/2021 CITIGROUP 4,079,063 4,000,000 4,444 1.A




3132DW-BK-8 FHLMC 30YR UMBS SUPER 04/30/2021 VARIOUS 2,070,031 1,965,577 1,964 1.A

3132DW-BR-3 FHLMC 30YR UMBS SUPER 04/30/2021 VARIOUS 5,985,379 5,677,191 5,677 1.A

3133AG-Q5-1 FHLMC 30YR UMBS 04/13/2021 NOMURA 6,024,943 5,972,682 3,982 1.A

3133AL-EV-6 FHLMC 30YR UMBS 05/24/2021 MORGAN STANLEY 3,112,114 2,994,667 2,704 1.A

3133AN-KM-5 FHLMC 30YR UMBS 06/24/2021 INTL FCSTONE FINANCI 3,147,327 3,118,095 2,252 1.A

3133KL-2N-6 FHLMC 30YR UMBS 05/26/2021 MORGAN STANLEY 10,186,945 9,446,022 11,939 1.A

3140LP-N4-0 FNMA 30YR UMBS 06/24/2021 INTL FCSTONE FINANCI 2,725,313 2,700,000 1,950 1.A

3140LQ-AB-6 FNMA 30YR UMBS 06/10/2021 CITIGROUP 4,974,266 4,900,000 3,539 1.A

3140QK-BR-8 FNMA 30YR UMBS 03/25/2021 CREDIT SUISSE (31,313) (29,249) (32) 1.A

3140QK-F7-8 FNMA 30YR UMBS 04/28/2021 MORGAN STANLEY 1,056,028 997,134 997 1.A

3140QK-RY-6 FNMA 30YR UMBS 06/11/2021 TD SECURITIES 4,531,356 4,471,963 3,230 1.A

3140XA-DW-9 FNMA 30YR UMBS SUPER 04/14/2021 BANK OF NEW YORK 6,520,962 6,470,412 4,314 1.A

3140XA-T6-9 FNMA 30YR UMBS SUPER 04/23/2021 BMO 3,112,003 2,994,110 2,495 1.A

3140XB-F7-0 FNMA 30YR UMBS SUPER 05/27/2021 BOK FINANCIAL 3,779,752 3,515,537 4,443 1.A

31418D-2P-6 FNMA 30YR UMBS 05/27/2021 INTL FCSTONE FINANCI 1,491,438 1,400,000 1,769 1.A

31418D-ZM-7 FNMA 30YR UMBS 06/02/2021 MITSUBISHI UFJ 2,146,683 2,022,192 2,556 1.A

36179W-DT-2 GNMA2 30YR 05/05/2021 INTL FCSTONE FINANCI 1,810,965 1,691,255 3,124 1.A

36179W-FJ-2 GNMA2 30YR 05/11/2021 MORGAN STANLEY 2,993,750 2,800,000 5,172 1.A

3199999. Subtotal - Bonds - U.S. Special Revenues 119,299,154 115,107,588 114,104 XXX00206R-CM-2 AT&T INC 05/18/2021 AFST35134 6,152,402 6,000,000 69,500 2.B FE

00253X-AA-9 AMERICAN AIRLINES INC 06/24/2021 BANK OF AMERICA 138,330 130,000 1,867 3.B FE

00773H-AA-5 AERCAP GLOBAL AVIATION TRUST 06/24/2021 BANK OF AMERICA 213,316 200,000 469 3.A FE

007903-AX-5 ADVANCED MICRO DEVICES INC 06/10/2021 SOUTH WEST SECURITIE 3,457,239 3,198,000 68,203 2.C FE

008117-AP-8 AETNA INC 06/07/2021 VARIOUS 9,789,612 9,508,000 80,948 2.B FE

008513-AB-9 AGREE LP 05/05/2021 CITIGROUP 992,650 1,000,000 0 2.B FE

010392-FV-5 ALABAMA POWER COMPANY 06/07/2021 JP MORGAN 498,535 500,000 0 1.F FE

013092-AB-7 ALBERTSONS COMPANIES INC 04/22/2021 FLOW TRADERS US INST 21,366 20,000 232 4.A FE

013092-AC-5 ALBERTSONS COMPANIES INC 04/15/2021 JP MORGAN 52,125 50,000 604 4.A FE

013092-AE-1 ALBERTSONS COMPANIES INC 06/24/2021 BANK OF AMERICA 419,880 400,000 7,204 3.C FE

01741R-AH-5 ALLEGHENY TECHNOLOGIES INCORPORATE 06/24/2021 BANK OF AMERICA 73,611 70,000 308 4.C FE

019579-AA-9 ALLIED UNIVERSAL HOLDCO LLC 06/28/2021 GOLDMAN SACHS 396,975 395,000 2,334 4.B FE

E04



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


019736-AF-4 ALLISON TRANSMISSION INC 06/24/2021 BANK OF AMERICA 218,816 200,000 881 3.B FE

02128L-AA-4 ALTA EQUIPMENT GROUP INC 06/24/2021 BANK OF AMERICA 257,583 250,000 3,398 4.C FE

023135-BX-3 AMAZON.COM INC 05/10/2021 JP MORGAN 2,489,200 2,500,000 0 1.E FE

023135-BZ-8 AMAZON.COM INC 05/10/2021 JP MORGAN 1,999,640 2,000,000 0 1.E FE

023135-CA-2 AMAZON.COM INC 05/10/2021 JP MORGAN 2,988,690 3,000,000 0 1.E FE

023135-CB-0 AMAZON.COM INC 05/10/2021 JP MORGAN 2,978,520 3,000,000 0 1.E FE

023135-CC-8 AMAZON.COM INC 05/10/2021 JP MORGAN 1,983,600 2,000,000 0 1.E FE

023771-S5-8 AMERICAN AIRLINES INC 06/24/2021 BANK OF AMERICA 528,814 420,000 22,345 4.B FE

02406P-AY-6 AMERICAN AXLE AND MANUFACTURING IN 06/24/2021 BANK OF AMERICA 103,220 100,000 1,788 4.B FE

02666T-AA-5 AMERICAN HOMES 4 RENT 06/30/2021 VARIOUS 898,220 800,000 11,487 2.C FE

03066R-AE-5 AMCAR_21-2 06/08/2021 MIZUHO 249,942 250,000 0 1.E FE

030981-AJ-3 AMERIGAS PARTNERS LP/AMERIGAS FINA 06/24/2021 BANK OF AMERICA 223,940 200,000 4,178 3.C FE

03674X-AS-5 ANTERO RESOURCES CORP 06/24/2021 VARIOUS 302,878 300,000 806 4.A FE

03690A-AH-9 ANTERO MIDSTREAM PARTNERS LP 06/24/2021 VARIOUS 380,234 374,000 448 4.C FE

037411-BC-8 APACHE CORP 06/24/2021 BANK OF AMERICA 203,375 210,000 4,041 3.A FE

037411-BE-4 APACHE CORPORATION 06/24/2021 VARIOUS 556,999 530,000 4,366 3.A FE

03959K-AC-4 ARCHROCK PARTNERS LP 05/13/2021 EXTERNAL MANAGER TRA 108,503 104,000 563 4.B FE

039653-AA-8 ARCOSA INC 06/24/2021 BANK OF AMERICA 203,316 200,000 1,993 3.B FE

03969Y-AB-4 ARDAGH METAL PACKAGING FINANCE USA 06/24/2021 BANK OF AMERICA 198,190 200,000 2,356 4.A FE

043436-AU-8 ASBURY AUTOMOTIVE GROUP INC. 06/24/2021 BANK OF AMERICA 206,566 200,000 2,925 4.A FE

04650Y-AA-8 AT HOME GROUP INC 06/24/2021 BARCLAY'S CAPITAL 50,000 50,000 0 4.B FE

047649-AA-6 ATKORE INC 05/18/2021 EXTERNAL MANAGER TRA 30,000 30,000 0 3.C FE

05348E-AQ-2 AVALONBAY COMMUNITIES INC 04/19/2021 CREDIT SUISSE 205,848 200,000 590 1.G FE

05508R-AE-6 B&G FOODS INC 05/11/2021 BANK OF AMERICA 369,225 360,000 2,205 4.B FE

05545M-AA-0 BBA US HOLDINGS INC 03/31/2021 WELLS FARGO (92,363) (90,000) (2,069) 3.C FE

058498-AW-6 BALL CORPORATION 06/24/2021 BANK OF AMERICA 19,469 20,000 212 3.A FE

06051G-GF-0 BANK OF AMERICA CORP 06/17/2021 VARIOUS 1,940,263 1,750,000 25,254 1.G FE

06051G-JS-9 BANK OF AMERICA CORP 04/16/2021 BANK OF AMERICA 500,000 500,000 0 1.F FE

07177M-AL-7 BAXALTA INC 06/22/2021 VARIOUS 7,202,160 6,991,000 84,342 2.B FE

075887-BT-5 BECTON DICKINSON AND COMPANY 04/21/2021 VARIOUS 4,824,544 4,701,000 51,240 2.C FE

075887-CE-7 BECTON DICKINSON AND COMPANY 05/10/2021 MORGAN STANLEY 500,124 400,000 11,986 2.C FE

085770-AB-1 BERRY PLASTICS ESCROW CORP 06/24/2021 BANK OF AMERICA 318,099 300,000 7,641 3.B FE

093645-AJ-8 BLOCK COMMUNICATIONS INC. 06/24/2021 BANK OF AMERICA 204,816 200,000 3,169 4.A FE

094234-AA-9 BLOOMIN BRANDS INC 04/06/2021 EXTERNAL MANAGER TRA 22,000 22,000 0 4.B FE

097023-CV-5 BOEING CO 06/17/2021 SUSQUEHANNA 320,990 250,000 1,981 2.C FE

097023-CX-1 BOEING CO 05/21/2021 WELLS FARGO 322,575 250,000 988 2.C FE

09739D-AD-2 BOISE CASCADE CO 06/22/2021 EXTERNAL MANAGER TRA 47,828 45,000 1,028 3.C FE

097793-AD-5 BONANZA CREEK ENERGY INC 04/05/2021 EXCHANGE OFFER 6,544 21,195 0 6. FE

103304-BU-4 BOYD GAMING CORPORATION 05/25/2021 CITIGROUP 142,800 140,000 3,251 5.A FE

103304-BV-2 BOYD GAMING CORPORATION 06/24/2021 VARIOUS 280,112 275,000 396 5.B FE

103557-AC-8 BOYNE USA INC 06/08/2021 EXTERNAL MANAGER TRA 119,261 117,000 389 4.B FE

10373Q-BR-0 BP CAPITAL MARKETS AMERICA INC 06/14/2021 BANK OF AMERICA 3,000,000 3,000,000 0 1.F FE

109641-AH-3 BRINKER INTERNATIONAL INC 06/24/2021 BANK OF AMERICA 105,908 100,000 1,208 4.B FE

11040G-AA-1 BRISTOW GROUP INC 06/28/2021 GOLDMAN SACHS 50,936 50,000 1,194 4.A FE

11133T-AE-3 BROADRIDGE FINANCIAL SOLUTIONS INC 05/06/2021 JP MORGAN 999,570 1,000,000 0 2.A FE

11135F-AZ-4 BROADCOM INC 04/22/2021 BANK OF AMERICA 1,677,690 1,500,000 1,948 2.C FE

11135F-BL-4 BROADCOM INC 03/31/2021 EXTERNAL MANAGER TRA 506,265 500,000 0 2.C FE

12008R-AN-7 BUILDERS FIRSTSOURCE INC 06/24/2021 BANK OF AMERICA 218,862 210,000 3,413 4.A FE

120568-AY-6 BUNGE LIMITED FINANCE CORPORATION 05/12/2021 VARIOUS 5,411,280 5,245,000 17,625 2.C FE

12429T-AD-6 BWAY HOLDING CO 06/21/2021 BNP PARIBAS 212,363 210,000 2,182 4.C FE

12429T-AE-4 BWAY HOLDING CO 06/18/2021 EXTERNAL MANAGER TRA 33,605 34,000 439 5.B FE

1248EP-BX-0 CCO HOLDINGS LLC 06/24/2021 VARIOUS 294,007 280,000 6,408 3.B FE

1248EP-CD-3 CCO HOLDINGS LLC 04/15/2021 JP MORGAN 52,313 50,000 317 3.B FE

1248EP-CE-1 CCO HOLDINGS LLC 04/15/2021 JP MORGAN 51,250 50,000 400 3.B FE

1248EP-CL-5 CCO HOLDINGS LLC 05/18/2021 EXTERNAL MANAGER TRA 136,378 137,000 415 3.B FE

125137-AC-3 CEC ENTERTAINMENT LLC 06/24/2021 VARIOUS 213,083 210,000 1,219 5.B FE

12527G-AE-3 CF INDUSTRIES INC 06/24/2021 BANK OF AMERICA 121,845 100,000 1,538 3.A FE

E04.1



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


12543D-BC-3 CHS/COMMUNITY HEALTH SYSTEMS INC 04/15/2021 JP MORGAN 54,000 50,000 378 4.C FE

12543D-BG-4 CHS/COMMUNITY HEALTH SYSTEMS INC 05/27/2021 GOLDMAN SACHS 336,000 320,000 7,650 4.B FE

12543D-BH-2 CHS/COMMUNITY HEALTH SYSTEMS INC 06/24/2021 VARIOUS 221,832 210,000 5,540 4.B FE

125523-BT-6 CIGNA CORP 06/21/2021 BANK OF AMERICA 740,211 715,000 1,393 2.A FE

125581-HA-9 CIT GROUP INC 03/31/2021 JP MORGAN (116,325) (110,000) (1,273) 3.A FE

126307-AU-1 CSC HOLDINGS LLC 04/15/2021 JP MORGAN 51,650 50,000 1,176 3.C FE

126307-BA-4 CSC HOLDINGS LLC 04/15/2021 JP MORGAN 53,313 50,000 751 4.C FE

126307-BB-2 CSC HOLDINGS LLC 06/24/2021 BANK OF AMERICA 198,316 200,000 619 3.C FE

126307-BH-9 CSC HOLDINGS LLC 04/29/2021 VARIOUS 425,000 425,000 0 3.C FE

12652H-AE-8 CSI COMPRESSCO LP/FINANCE 04/01/2021 EXTERNAL MANAGER TRA 2,811 2,811 0 5.A FE

126650-CK-4 CVS HEALTH CORP 06/24/2021 VARIOUS 9,077,743 8,809,000 119,316 2.B FE

126650-CX-6 CVS HEALTH CORP 4.3 03/25/28 05/04/2021 ROYAL BANK OF CANADA 856,005 750,000 3,673 2.B FE

126650-CZ-1 CVS HEALTH CORP 5.05 03/25/48 04/23/2021 MORGAN STANLEY 936,555 750,000 3,367 2.B FE

13123X-BD-3 CALLON PETROLEUM COMPANY 06/21/2021 VARIOUS 212,781 212,000 0 5.A FE

14687T-AF-4 CARVANA AUTO RECEIVABLES TRUST CRV 06/15/2021 WELLS FARGO 249,981 250,000 0 1.F FE

14879E-AH-1 CATALENT PHARMA SOLUTIONS INC 06/24/2021 BANK OF AMERICA 97,095 100,000 1,094 4.A FE

15103M-AA-3 CELESTIAL-SATURN MERGER SUB INC 04/14/2021 JP MORGAN 325,000 325,000 0 4.A FE

15135B-AR-2 CENTENE CORPORATION 06/30/2021 VARIOUS 580,750 550,000 1,735 3.A FE

15135B-AT-8 CENTENE CORPORATION 06/24/2021 BANK OF AMERICA 436,380 400,000 668 3.A FE

15189T-AZ-0 CENTERPOINT ENERGY INC 05/11/2021 MIZUHO 1,000,000 1,000,000 0 2.B FE

153527-AP-1 CENTRAL GARDEN & PET COMPANY 04/16/2021 EXTERNAL MANAGER TRA 76,000 76,000 0 3.B FE

156504-AH-5 CENTURY COMMUNITIES INC 06/24/2021 BANK OF AMERICA 206,440 200,000 5,320 4.A FE

156700-AX-4 CENTURYLINK INC 04/15/2021 JP MORGAN 55,625 50,000 1,294 4.B FE

159864-AG-2 CHARLES RIVER LABORATORIES INTERNA 06/07/2021 CITIGROUP 110,275 110,000 871 3.B FE

161175-AY-0 CHARTER COMMUNICATIONS OPERATING L 06/28/2021 ROYAL BANK OF CANADA 850,650 750,000 16,053 2.C FE

161175-BQ-6 CHARTER COMMUNICATIONS OPERATING L 04/06/2021 GOLDMAN SACHS 1,588,287 1,450,000 12,144 2.C FE

161175-CA-0 CHARTER COMMUNICATIONS OPERATING L 05/18/2021 MORGAN STANLEY 955,780 1,000,000 108 2.C FE

161175-CC-6 CHARTER COMMUNICATIONS OPERATING L 05/18/2021 MORGAN STANLEY 999,060 1,000,000 0 2.C FE

163851-AF-5 CHEMOURS COMPANY 06/24/2021 VARIOUS 222,920 210,000 3,217 4.B FE

16411Q-AH-4 CHENIERE ENERGY PARTNERS LP 04/15/2021 JP MORGAN 76,875 75,000 317 3.B FE

165167-DF-1 CHESAPEAKE ENERGY CORPORATION 06/24/2021 BANK OF AMERICA 317,724 300,000 6,554 4.A FE

171484-AE-8 CHURCHILL DOWNS INCORPORATED 06/24/2021 BANK OF AMERICA 196,058 190,000 3,837 4.A FE

17186H-AC-6 CIMPRESS PLC 06/24/2021 BANK OF AMERICA 158,205 150,000 379 4.C FE

172967-NA-5 CITIGROUP INC 06/02/2021 CITIGROUP 1,000,000 1,000,000 0 1.G FE

18064P-AA-7 CLARIVATE SCIENCE HOLDINGS CORP 06/10/2021 EXTERNAL MANAGER TRA 45,000 45,000 0 4.B FE

18064P-AB-5 CLARIVATE SCIENCE HOLDINGS CORP 06/10/2021 EXTERNAL MANAGER TRA 45,000 45,000 0 5.A FE

18451Q-AP-3 CLEAR CHANNEL WORLDWIDE HOLDINGS I 05/03/2021 EXTERNAL MANAGER TRA 58,450 56,000 1,151 5.B FE

18453H-AC-0 CLEAR CHANNEL OUTDOOR HOLDINGS INC 04/13/2021 EXTERNAL MANAGER TRA 18,023 18,000 225 5.B FE

18453H-AD-8 CLEAR CHANNEL OUTDOOR HOLDINGS INC 05/18/2021 EXTERNAL MANAGER TRA 115,384 115,000 0 5.B FE

18538R-AJ-2 CLEARWATER PAPER CORP 06/24/2021 BANK OF AMERICA 199,940 200,000 3,510 3.C FE

18539U-AC-9 CLEARWAY ENERGY OPERATING LLC 06/17/2021 EXTERNAL MANAGER TRA 107,888 103,000 758 3.B FE

18539U-AD-7 CLEARWAY ENERGY OPERATING LLC 04/16/2021 EXTERNAL MANAGER TRA 13,081 13,000 56 3.B FE

185899-AH-4 CLEVELAND-CLIFFS INC 06/24/2021 BANK OF AMERICA 210,566 200,000 881 4.B FE

185899-AJ-0 CLEVELAND-CLIFFS INC 04/15/2021 JP MORGAN 35,325 30,000 16 4.A FE

18683K-AC-5 CLIFFS NATURAL RESOURCES INC 06/23/2021 FLOW TRADERS US INST 74,113 70,000 1,021 5.A FE

191216-DQ-0 COCA-COLA CO 04/28/2021 BANK OF AMERICA 3,998,800 4,000,000 0 1.E FE

192108-BC-1 COEUR MINING INC 04/28/2021 OPPENHEIMER 107,800 110,000 924 4.C FE

20451R-AB-8 COMPASS GROUP DIVERSIFIED HOLDINGS 06/24/2021 VARIOUS 93,841 90,000 2,578 4.A FE

205768-AS-3 COMSTOCK RESOURCES INC 04/15/2021 JP MORGAN 76,875 75,000 633 4.B FE

205768-AT-1 COMSTOCK RESOURCES INC 06/14/2021 EXTERNAL MANAGER TRA 47,000 47,000 0 4.B FE

208251-AE-8 CONOCOPHILLIPS CO 05/05/2021 BANK OF AMERICA 611,101 455,000 1,932 1.G FE

21036P-AR-9 CONSTELLATION BRANDS INC 04/28/2021 VARIOUS 5,199,719 5,088,000 61,111 2.C FE

212015-AL-5 CONTINENTAL RESOURCES INC 06/24/2021 VARIOUS 566,421 540,000 4,396 3.A FE

212015-AQ-4 CONTINENTAL RESOURCES INC 06/24/2021 BANK OF AMERICA 56,048 50,000 184 3.A FE

21871D-AD-5 CORELOGIC INC 06/24/2021 VARIOUS 324,408 325,000 2,241 4.B FE

222070-AE-4 COTY INC 04/16/2021 EXTERNAL MANAGER TRA 117,000 117,000 0 4.C FE

22282E-AJ-1 COVANTA HOLDING CORP 06/24/2021 BANK OF AMERICA 115,811 110,000 1,788 4.B FE

E04.2



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224044-AG-2 COX COMMUNICATIONS INC 06/28/2021 CITIGROUP 1,530,788 1,250,000 3,971 2.B FE

224044-BW-6 COX COMMUNICATIONS INC 04/29/2021 VARIOUS 3,965,724 3,795,000 45,641 2.B FE

224044-CP-0 COX COMMUNICATIONS INC 05/18/2021 JP MORGAN 2,983,050 3,000,000 0 2.B FE

227046-AA-7 CROCS INC 06/24/2021 BANK OF AMERICA 102,345 100,000 1,251 4.A FE

22822V-AY-7 CROWN CASTLE INTERNATIONAL CORP 06/15/2021 JP MORGAN 997,430 1,000,000 0 2.C FE

228701-AF-5 CROWNROCK LP 5.62 10/15/25 06/11/2021 EXTERNAL MANAGER TRA 132,645 128,000 1,179 3.C FE

228701-AG-3 CROWNROCK LP 04/13/2021 EXTERNAL MANAGER TRA 5,000 5,000 0 3.C FE

22966R-AE-6 CUBESMART LP 06/24/2021 GOLDMAN SACHS 457,008 400,000 6,465 2.B FE

23311V-AF-4 DCP MIDSTREAM OPERATING LP 06/24/2021 BANK OF AMERICA 216,690 200,000 2,707 3.A FE

23311V-AG-2 DCP MIDSTREAM OPERATING LP 06/24/2021 BANK OF AMERICA 221,690 200,000 4,867 3.A FE

23331A-BE-8 D R HORTON INC 05/10/2021 BANK OF AMERICA 4,275,446 4,100,000 19,858 2.B FE

233331-BB-2 DTE ENERGY COMPANY 05/25/2021 VARIOUS 7,530,998 7,352,000 81,676 2.B FE

23345M-AA-5 DT MIDSTREAM INC 05/25/2021 EXTERNAL MANAGER TRA 76,199 76,000 0 3.A FE

23345M-AB-3 DT MIDSTREAM INC 05/25/2021 EXTERNAL MANAGER TRA 19,000 19,000 0 3.A FE

23918K-AT-5 DAVITA INC 06/24/2021 VARIOUS 297,315 310,000 4,020 4.A FE

24422E-VR-7 JOHN DEERE CAPITAL CORP 06/14/2021 BARCLAY'S CAPITAL 499,175 500,000 0 1.F FE

24703T-AD-8 DELL INTERNATIONAL LLC 06/23/2021 EXCHANGE OFFER 74,755 72,000 96 2.C FE

24703T-AE-6 DELL INTERNATIONAL LLC 06/23/2021 EXCHANGE OFFER 69,664 70,000 781 2.C FE

247361-ZX-9 DELTA AIR LINES INC 06/24/2021 VARIOUS 340,120 290,000 3,103 2.C FE

250847-EJ-5 DETROIT EDISON CO 06/02/2021 KEYBANC 1,019,427 1,000,000 12,440 1.F FE

25160P-AE-7 DEUTSCHE BANK AG (NEW YORK BRANCH) 06/24/2021 BANK OF AMERICA 116,970 100,000 2,778 3.A FE

25179M-AX-1 DEVON ENERGY CORPORATION 06/09/2021 EXCHANGE OFFER 69,650 116,000 1,421 2.C FE

25179M-AY-9 DEVON ENERGY CORPORATION 06/09/2021 EXCHANGE OFFER 172,534 163,000 1,284 2.C FE

25179M-AZ-6 DEVON ENERGY CORPORATION 06/09/2021 EXCHANGE OFFER 71,041 74,000 2,101 2.C FE

25277L-AA-4 DIAMOND SPORTS GROUP LLC 06/24/2021 BANK OF AMERICA 39,920 60,000 1,191 5.A FE

25470D-AF-6 DISCOVERY COMMUNICATIONS LLC 04/23/2021 MILLENIUM ADVISORS 258,191 251,000 3,727 2.C FE

25470D-AH-2 DISCOVERY COMMUNICATIONS LLC 05/20/2021 BARCLAY'S CAPITAL 1,044,040 1,000,000 4,785 2.C FE

25470X-AY-1 DISH DBS CORP 04/15/2021 JPM CHASE EMERGING M 55,750 50,000 1,163 4.C FE

25470X-BC-8 DISH DBS CORP 05/12/2021 VARIOUS 274,750 275,000 0 4.C FE

260003-AK-4 DOVER CORP 05/07/2021 MES 381,090 300,000 3,135 2.A FE

26441C-BM-6 DUKE ENERGY CORP 06/07/2021 BANK OF AMERICA 249,380 250,000 0 2.B FE

26441Y-AW-7 DUKE REALTY LP 05/06/2021 WELLS FARGO 805,721 775,000 2,086 2.A FE

26441Y-AX-5 DUKE REALTY LP 06/29/2021 MARKET AXESS AS A BR 4,788,738 4,576,000 35,019 2.A FE

267475-AD-3 DYCOM INDUSTRIES INC 06/16/2021 JP MORGAN 321,200 320,000 3,080 3.C FE

26885B-AF-7 EQM MIDSTREAM PARTNERS LP 06/24/2021 BANK OF AMERICA 54,329 50,000 1,475 3.C FE

278058-AP-7 EATON CORPORATION 04/28/2021 MORGAN STANLEY 1,489,625 1,250,000 7,678 2.A FE

278642-AX-1 EBAY INC 05/03/2021 CITIGROUP 1,997,400 2,000,000 0 2.A FE

278642-AY-9 EBAY INC 05/03/2021 CITIGROUP 999,560 1,000,000 0 2.A FE

278642-AZ-6 EBAY INC 05/03/2021 CITIGROUP 1,998,180 2,000,000 0 2.A FE

28470R-AH-5 COLT MERGER SUB INC 06/24/2021 BANK OF AMERICA 148,533 140,000 4,302 4.B FE

29103D-AN-6 EMERA US FINANCE LP 05/25/2021 JP MORGAN 500,000 500,000 0 2.C FE

29103D-AQ-9 EMERA US FINANCE LP 05/25/2021 JP MORGAN 500,000 500,000 0 2.C FE

29254B-AA-5 ENCINO ACQUISITION PARTNERS HOLDIN 04/23/2021 VARIOUS 250,375 250,000 0 4.B FE

29261A-AA-8 ENCOMPASS HEALTH CORP 06/24/2021 BANK OF AMERICA 310,974 300,000 5,513 4.A FE

29272W-AD-1 ENERGIZER HOLDINGS INC 06/24/2021 BANK OF AMERICA 99,470 100,000 1,069 4.B FE

29278N-AF-0 ENERGY TRANSFER PARTNERS LP 04/29/2021 BANK OF AMERICA 505,782 450,000 8,539 2.C FE

29336U-AB-3 ENLINK MIDSTREAM PARTNERS LP 06/24/2021 BANK OF AMERICA 83,776 80,000 851 3.A FE

29362U-AD-6 ENTEGRIS INC 04/16/2021 EXTERNAL MANAGER TRA 42,000 42,000 0 3.B FE

29670V-AA-7 ESSENTIAL PROPERTIES LP 06/22/2021 BANK OF AMERICA 249,500 250,000 0 2.C FE

30034T-AA-1 EVERI HOLDINGS INC 06/30/2021 EXTERNAL MANAGER TRA 30,000 30,000 0 4.B FE

31428X-CD-6 FEDEX CORP 04/20/2021 WELLS FARGO 2,491,775 2,500,000 0 2.B FE

33767W-AE-3 FKH_21-SFR1 06/29/2021 MORGAN STANLEY 433,979 434,000 0 1.F FE

337932-AK-3 FIRSTENERGY CORPORATION 06/24/2021 BANK OF AMERICA 302,910 300,000 1,999 3.A FE

34354P-AD-7 FLOWSERVE CORP 04/26/2021 UBS SECURITIES 1,063,870 1,000,000 18,111 2.C FE

345370-BR-0 FORD MOTOR COMPANY 06/24/2021 BANK OF AMERICA 261,316 200,000 2,343 3.B FE

345370-CA-6 FORD MOTOR COMPANY 05/25/2021 CREDIT SUISSE 225,900 180,000 4,880 3.B FE

345370-CR-9 FORD MOTOR COMPANY 06/24/2021 BANK OF AMERICA 429,380 400,000 966 3.B FE

E04.3



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5

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6

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Stock

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10NAIC

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DesignationModifier

andSVO


345370-CW-8 FORD MOTOR COMPANY 04/15/2021 JP MORGAN 49,100 40,000 1,770 3.A FE

345397-ZR-7 FORD MOTOR CREDIT COMPANY LLC 04/15/2021 JP MORGAN 43,950 40,000 943 3.A FE

346232-AE-1 FORESTAR GROUP INC 06/24/2021 BANK OF AMERICA 93,236 90,000 1,463 4.A FE

346232-AF-8 FORESTAR GROUP INC 04/07/2021 CITIGROUP 110,000 110,000 0 4.A FE

34960P-AB-7 FORTRESS TRANSPORTATION AND INFRAS 06/24/2021 BANK OF AMERICA 104,033 100,000 1,571 3.C FE

34960P-AD-3 FORTRESS TRANSPORTATION AND INFRAS 06/24/2021 VARIOUS 227,566 220,000 2,322 3.C FE

350392-AA-4 FOUNDATION BUILDING MATERIALS INC 04/26/2021 JP MORGAN 108,900 110,000 1,430 5.A FE

35640Y-AG-2 FREEDOM MORTGAGE CORP 06/22/2021 BARCLAY'S CAPITAL 100,000 100,000 0 4.B FE

35671D-BC-8 FREEPORT-MCMORAN COPPER & GOLD INC 06/24/2021 BANK OF AMERICA 48,688 40,000 624 3.A FE

35671D-BL-8 FREEPORT-MCMORAN INC 05/05/2021 EXTERNAL MANAGER TRA 63,365 58,000 1,268 3.A FE

35671D-CE-3 FREEPORT-MCMORAN INC 04/15/2021 JP MORGAN 52,938 50,000 275 3.A FE

35671D-CF-0 FREEPORT-MCMORAN INC 06/24/2021 BANK OF AMERICA 32,072 30,000 414 3.A FE

35804G-AK-4 FRESENIUS US FINANCE II INC 06/07/2021 VARIOUS 1,574,031 1,499,000 23,941 2.C FE

35906A-BG-2 FRONTIER COMMUNICATIONS CORP 05/07/2021 EXTERNAL MANAGER TRA 37,755 36,000 68 5.A FE

366651-AG-2 GARTNER INC 06/24/2021 VARIOUS 222,345 220,000 151 3.C FE

369550-BN-7 GENERAL DYNAMICS CORPORATION 05/03/2021 WELLS FARGO 1,996,860 2,000,000 0 1.G FE

370334-CC-6 GENERAL MILLS INC 05/19/2021 ROYAL BANK OF CANADA 3,049,170 3,000,000 3,199 2.B FE

370334-CG-7 GENERAL MILLS INC 06/09/2021 VARIOUS 2,125,070 1,850,000 11,445 2.B FE

370334-CL-6 GENERAL MILLS INC 06/04/2021 BNP PARIBAS 1,311,400 1,250,000 5,291 2.B FE

37045X-CE-4 GENERAL MOTORS FINANCIAL CO INC 06/17/2021 ROYAL BANK OF CANADA 1,477,381 1,463,000 3,706 2.C FE

37045X-DK-9 GENERAL MOTORS FINANCIAL CO INC 06/07/2021 BARCLAY'S CAPITAL 1,497,270 1,500,000 0 2.C FE

37185L-AM-4 GENESIS ENERGY LP 06/24/2021 VARIOUS 545,217 520,000 18,771 4.A FE

37892A-AA-8 GLOBAL NET LEASE INC 06/24/2021 CITIGROUP 197,876 200,000 271 3.A FE

37959G-AC-1 GLOBAL ATLANTIC (FIN) CO 06/24/2021 EXTERNAL MANAGER TRA 128,000 128,000 0 3.B FE

380144-AE-5 GMALT_21-2 05/18/2021 SOCIETE GENERALE 249,963 250,000 0 1.C FE

380355-AF-4 GOEASY LTD 06/24/2021 CITIGROUP 204,750 200,000 1,434 3.C FE

38148Y-AC-2 GOLDMAN SACHS GROUP INC/THE 04/02/2021 KEYBANC 2,200,670 2,172,000 27,069 1.F FE

382550-BF-7 GOODYEAR TIRE & RUBBER COMPAN 5 05/31/26 04/01/2021 EXTERNAL MANAGER TRA 32,800 32,000 560 4.A FE

382550-BG-5 GOODYEAR TIRE & RUBBER COMPANY (TH 05/14/2021 JP MORGAN 281,813 270,000 2,303 3.C FE

382550-BL-4 GOODYEAR TIRE & RUBBER COMPANY (TH 06/24/2021 VARIOUS 294,907 289,000 833 3.C FE

382550-BP-5 GOODYEAR TIRE & RUBBER COMPANY (TH 05/13/2021 JP MORGAN 50,000 50,000 0 3.C FE

384311-AA-4 GRAFTECH FINANCE INC 06/24/2021 BANK OF AMERICA 205,566 200,000 334 3.C FE

390607-AF-6 GREAT LAKES DREDGE & DOCK CORPORAT 05/12/2021 BANK OF AMERICA 210,000 210,000 0 4.B FE

391164-AF-7 GREAT PLAINS ENERGY INCORPORATED 06/03/2021 VARIOUS 5,222,008 5,025,000 112,036 2.B FE

397624-AH-0 GREIF INC 06/24/2021 CITIGROUP 121,254 115,000 2,429 4.A FE

40390D-AC-9 HLF FINANCING SARL LLC 05/06/2021 CITIGROUP 210,000 210,000 0 4.A FE

404119-AJ-8 HCA INC 06/24/2021 CITIGROUP 134,438 100,000 1,083 3.B FE

404119-BR-9 HCA INC 06/24/2021 CITIGROUP 671,237 595,000 13,059 3.A FE

404119-BS-7 HCA INC 04/15/2021 JP MORGAN 57,563 50,000 522 3.B FE

404119-BW-8 HCA INC 05/28/2021 VARIOUS 754,000 640,000 11,280 3.B FE

404121-AF-2 HCA INC 05/04/2021 FLOW TRADERS US INST 269,825 250,000 165 2.C FE

40434L-AD-7 HP INC 06/07/2021 JP MORGAN 1,497,120 1,500,000 0 2.B FE

41283L-AQ-8 HARLEY-DAVIDSON FINANCIAL SERVICES 06/08/2021 US BANK 529,106 520,000 37 2.C FE

41283L-AS-4 HARLEY-DAVIDSON FINANCIAL SERVICES 04/19/2021 BANK OF AMERICA 2,829,329 2,718,000 16,693 2.C FE

418751-AE-3 HAT HOLDINGS I LLC 06/14/2021 EXTERNAL MANAGER TRA 177,000 177,000 0 3.A FE

42307T-AG-3 KRAFT HEINZ FOODS CO 06/24/2021 CITIGROUP 533,250 395,000 7,628 3.A FE

42329H-AA-6 HELIOS SOFTWARE HOLDINGS INC 04/27/2021 EXTERNAL MANAGER TRA 199,750 200,000 0 4.B FE

42824C-AW-9 HEWLETT PACKARD ENTERPRISE CO 06/01/2021 BANK OF AMERICA 1,941,315 1,700,000 11,107 2.B FE

431116-AD-4 HIGHMARK INC 05/05/2021 BANK OF AMERICA 998,660 1,000,000 0 2.B FE

431116-AE-2 HIGHMARK INC 05/05/2021 BANK OF AMERICA 999,740 1,000,000 0 2.B FE

432833-AH-4 HILTON DOMESTIC OPERATING COMPANY 04/22/2021 BANK OF AMERICA 32,325 30,000 839 3.B FE

432833-AJ-0 HILTON DOMESTIC OPERATING COMPANY 06/24/2021 CITIGROUP 202,376 200,000 1,188 3.B FE

43284M-AA-6 HILTON GRAND VACATIONS BORROWER LL 06/24/2021 VARIOUS 313,876 309,000 667 4.C FE

43284M-AB-4 HILTON GRAND VACATIONS BORROWER ES 06/15/2021 EXTERNAL MANAGER TRA 127,998 128,000 0 4.C FE

440452-AG-5 HORMEL FOODS CORPORATION 05/25/2021 JP MORGAN 2,999,460 3,000,000 0 1.F FE

440452-AH-3 HORMEL FOODS CORPORATION 05/25/2021 BANK OF AMERICA 997,570 1,000,000 0 1.F FE

44106M-AZ-5 HOSPITALITY PROPERTIES TRUST 06/15/2021 FLOW TRADERS US INST 209,475 210,000 1,929 3.C FE

E04.4



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4

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5

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6

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Stock

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8

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9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


443201-AA-6 HOWMET AEROSPACE INC 04/19/2021 BANK OF AMERICA 373,200 320,000 10,389 3.A FE

444454-AF-9 HUGHES SATELLITE SYSTEMS CORP 06/28/2021 VARIOUS 280,328 250,000 6,137 4.B FE

45031U-CF-6 ISTAR INC 06/28/2021 GOLDMAN SACHS 105,735 100,000 1,174 3.C FE

45031U-CJ-8 ISTAR INC 06/28/2021 VARIOUS 312,070 300,000 5,363 3.B FE

451102-BW-6 ICAHN ENTERPRISES LP 06/24/2021 CITIGROUP 516,349 495,000 6,727 3.C FE

451102-BZ-9 ICAHN ENTERPRISES LP 04/15/2021 JP MORGAN 51,438 50,000 1,123 3.C FE

45167R-AH-7 IDEX CORPORATION 05/17/2021 JP MORGAN 499,380 500,000 0 2.B FE

45174H-BD-8 IHEARTCOMMUNICATIONS INC 06/10/2021 EXTERNAL MANAGER TRA 8,620 8,000 80 5.A FE

45258L-AA-5 IMOLA MERGER CORP 06/24/2021 VARIOUS 303,313 300,000 871 4.C FE

459506-AP-6 INTERNATIONAL FLAVORS & FRAGRANCES 05/14/2021 EXCHANGE OFFER 294,837 300,000 443 2.B FE

46284V-AF-8 IRON MOUNTAIN INC 04/15/2021 JP MORGAN 51,313 50,000 230 3.C FE

46284V-AN-1 IRON MOUNTAIN INC 06/24/2021 CITIGROUP 202,750 200,000 3,325 3.C FE

466313-AL-7 JABIL INC 04/13/2021 BANK OF AMERICA 1,003,530 1,000,000 47 2.C FE

46647P-CB-0 JPMORGAN CHASE & CO 04/15/2021 JP MORGAN 500,000 500,000 0 1.F FE

46647P-CD-6 JPMORGAN CHASE & CO 04/15/2021 JP MORGAN 500,000 500,000 0 1.F FE

46647P-CJ-3 JPMORGAN CHASE & CO 05/24/2021 JP MORGAN 500,000 500,000 0 1.F FE

47216F-AA-5 JAZZ SECURITIES DAC 04/22/2021 BANK OF AMERICA 40,000 40,000 0 3.B FE

47232M-AE-2 JEFFERIES FINANCE LLC 06/24/2021 CITIGROUP 137,150 130,000 609 3.C FE

48666K-AZ-2 KB HOME 05/25/2021 BANK OF AMERICA 210,000 210,000 0 3.B FE

48850P-AA-2 KEN GARFF AUTOMOTIVE LLC 04/29/2021 JP MORGAN 162,000 160,000 1,040 4.B FE

489399-AM-7 KENNEDY-WILSON INC 06/24/2021 CITIGROUP 206,500 200,000 3,806 4.A FE

500255-AS-3 KOHL S CORP 06/01/2021 US BANK 228,303 221,000 2,434 2.C FE

50076Q-AE-6 KRAFT HEINZ FOODS CO 04/20/2021 JP MORGAN 300,025 260,000 4,963 3.A FE

50076Q-AR-7 KRAFT HEINZ FOODS CO 06/24/2021 CITIGROUP 877,851 620,000 17,436 3.A FE

50077L-AB-2 KRAFT HEINZ FOODS CO 04/15/2021 JP MORGAN 54,063 50,000 839 3.A FE

50077L-AD-8 KRAFT HEINZ FOODS CO 04/26/2021 MORGAN STANLEY 316,875 300,000 3,675 3.A FE

50077L-AQ-9 KRAFT HEINZ FOODS CO 06/07/2021 MORGAN STANLEY 200,250 200,000 164 3.A FE

50077L-BC-9 KRAFT HEINZ FOODS CO 06/24/2021 CITIGROUP 435,243 395,000 1,828 3.A FE

501797-AL-8 L BRANDS INC 04/15/2021 JP MORGAN 61,375 50,000 1,604 3.C FE

501797-AN-4 L BRANDS INC 06/24/2021 CITIGROUP 95,094 85,000 1,822 3.C FE

501797-AR-5 L BRANDS INC 04/30/2021 CITIGROUP 208,800 180,000 5,213 3.C FE

50187T-AF-3 LGI HOMES INC 06/14/2021 EXTERNAL MANAGER TRA 50,000 50,000 0 3.C FE

50190E-AA-2 LCM INVESTMENTS HOLDINGS II LLC 04/20/2021 EXTERNAL MANAGER TRA 8,000 8,000 0 4.B FE

50212Y-AD-6 LPL HOLDINGS INC 05/04/2021 EXTERNAL MANAGER TRA 41,103 41,000 232 3.B FE

50212Y-AF-1 LPL HOLDINGS INC 05/10/2021 JP MORGAN 225,000 225,000 0 3.B FE

50220M-AA-8 LSF9 ATLANTIS HOLDINGS LLC 05/14/2021 VARIOUS 248,850 243,000 4,612 4.B FE

50249A-AE-3 LYB INTERNATIONAL FINANCE III LLC 05/20/2021 VARIOUS 1,202,792 1,200,000 1,843 2.B FE

524590-AA-4 LEEWARD RENEWABLE ENERGY LLC 06/23/2021 EXTERNAL MANAGER TRA 26,000 26,000 0 3.C FE

52532X-AB-1 LEIDOS INC 06/23/2021 EXCHANGE OFFER 1,056,130 1,000,000 3,114 2.C FE

52532X-AF-2 LEIDOS INC 06/23/2021 EXCHANGE OFFER 493,580 500,000 2,309 2.C FE

527298-BM-4 LEVEL 3 FINANCING INC 04/15/2021 JP MORGAN 51,625 50,000 29 3.B FE

527298-BR-3 LEVEL 3 FINANCING INC 06/24/2021 CITIGROUP 297,030 295,000 6,164 3.B FE

529043-AC-5 LEXINGTON REALTY TRUST 06/29/2021 JP MORGAN 1,058,470 1,000,000 1,889 2.B FE

53219L-AS-8 LIFEPOINT HEALTH INC 05/04/2021 FLOW TRADERS US INST 211,155 210,000 2,067 4.B FE

534187-AS-8 LINCOLN NATIONAL CORPORATION 05/24/2021 EXTERNAL MANAGER TRA 79,972 92,000 58 2.C FE

53627N-AE-1 LIONS GATE CAPITAL HOLDINGS LLC 04/22/2021 EXTERNAL MANAGER TRA 82,205 82,000 239 5.A FE

550241-AA-1 LUMEN TECHNOLOGIES INC 06/24/2021 VARIOUS 943,693 939,000 767 3.C FE

55303X-AJ-4 MGM GROWTH PROPERTIES OPERATING PA 06/24/2021 CITIGROUP 272,869 245,000 5,752 3.C FE

55336V-BH-2 MPLX LP 06/29/2021 MARKET AXESS AS A BR 7,050,467 7,046,000 7,089 2.B FE

55342U-AM-6 MPT OPERATING PARTNERSHIP LP 05/04/2021 EXTERNAL MANAGER TRA 18,033 18,000 89 3.A FE

55616X-AG-2 MACYS RETAIL HOLDINGS INC 06/24/2021 CITIGROUP 92,813 100,000 2,320 4.A FE

55760L-AA-5 MADISON IAQ LLC 06/16/2021 EXTERNAL MANAGER TRA 15,000 15,000 0 4.A FE

55760L-AB-3 MADISON IAQ LLC 06/16/2021 EXTERNAL MANAGER TRA 22,000 22,000 0 5.A FE

56585A-AG-7 MARATHON PETROLEUM CORP 06/09/2021 GOLDMAN SACHS 811,508 750,000 6,495 2.B FE

56585A-BB-7 MARATHON PETROLEUM CORP 04/12/2021 MIZUHO 1,126,276 1,111,000 2,056 2.B FE

56585A-BG-6 MARATHON PETROLEUM CORP 04/07/2021 WELLS FARGO 1,341,825 1,250,000 24,688 2.B FE

57164P-AF-3 MARRIOTT OWNERSHIP RESORTS INC 06/28/2021 GOLDMAN SACHS 102,485 100,000 1,385 4.C FE

E04.5



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4

DateAcquired

5

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6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


57164P-AH-9 MARRIOTT OWNERSHIP RESORTS INC 06/07/2021 EXTERNAL MANAGER TRA 39,000 39,000 0 4.C FE

571903-AV-5 MARRIOTT INTERNATIONAL INC 06/10/2021 MARKET AXESS AS A BR 103,018 100,000 1,033 2.C FE

571903-BC-6 MARRIOTT INTERNATIONAL INC 06/16/2021 MARKET AXESS AS A BR 325,373 320,000 1,306 2.C FE

571903-BE-2 MARRIOTT INTERNATIONAL INC 05/28/2021 VARIOUS 1,082,513 961,000 19,429 2.C FE

574599-AT-3 MASCO CORPORATION 06/25/2021 VARIOUS 287,442 210,000 6,615 2.B FE

577081-BD-3 MATTEL INC 06/24/2021 CITIGROUP 109,438 100,000 212 3.B FE

577081-BF-8 MATTEL INC 06/24/2021 CITIGROUP 103,125 100,000 1,031 3.B FE

57772K-AB-7 MAXIM INTEGRATED PRODUCTS INC 04/27/2021 MITSUBISHI UFJ 1,156,294 1,105,000 4,558 2.A FE

588056-BA-8 MERCER INTERNATIONAL INC. 06/24/2021 CITIGROUP 103,313 100,000 2,164 4.A FE

595017-AX-2 MICROCHIP TECHNOLOGY INCORPORATED 05/18/2021 JP MORGAN 1,000,000 1,000,000 0 2.C FE

59567L-AA-2 MIDCAP FINANCIAL ISSUER TRUST 05/11/2021 JP MORGAN 226,500 225,000 126 4.A FE

60855R-AJ-9 MOLINA HEALTHCARE INC 06/22/2021 VARIOUS 444,400 430,000 6,459 3.C FE

620076-BC-2 MOTOROLA SOLUTIONS INC 05/10/2021 MARKET AXESS AS A BR 526,245 500,000 3,451 2.C FE

620076-BF-5 MOTOROLA SOLUTIONS INC 05/10/2021 MORGAN STANLEY 551,060 500,000 3,944 2.C FE

626717-AJ-1 MURPHY OIL CORPORATION 06/24/2021 CITIGROUP 206,250 200,000 4,249 3.C FE

626738-AE-8 MURPHY OIL USA INC 06/24/2021 CITIGROUP 209,750 200,000 2,718 3.B FE

62886E-AX-6 NCR CORPORATION 06/24/2021 CITIGROUP 218,376 200,000 3,295 4.A FE

62886E-BA-5 NCR CORPORATION 06/24/2021 VARIOUS 508,355 495,000 4,697 4.A FE

62912X-AE-4 NGPL PIPECO LLC 05/14/2021 TD SECURITIES 4,669,450 4,500,000 46,910 2.C FE

62928C-AA-0 NGPL PIPECO LLC 05/03/2021 WELLS FARGO 999,250 1,000,000 0 2.C FE

629377-CE-0 NRG ENERGY INC 06/24/2021 CITIGROUP 213,376 200,000 5,207 3.B FE

629377-CR-1 NRG ENERGY INC 06/24/2021 CITIGROUP 97,188 100,000 2,074 3.B FE

63861C-AA-7 NATIONSTAR MORTGAGE HOLDINGS INC 06/24/2021 CITIGROUP 207,250 200,000 5,433 4.B FE

63934E-AW-8 NAVISTAR INTERNATIONAL CORPORATION 04/22/2021 BARCLAY'S CAPITAL 44,250 40,000 1,847 4.A FE

64110L-AG-1 NETFLIX INC 06/24/2021 CITIGROUP 330,586 295,000 5,513 3.A FE

64110L-AV-8 NETFLIX INC 06/24/2021 CITIGROUP 466,349 395,000 695 3.A FE

65249B-AA-7 NEWS CORP 04/08/2021 EXTERNAL MANAGER TRA 97,000 97,000 0 3.B FE

65409Q-BD-3 NIELSEN FINANCE LLC 05/24/2021 EXTERNAL MANAGER TRA 38,340 36,000 309 4.B FE

65409Q-BH-4 NIELSEN FINANCE LLC 05/24/2021 VARIOUS 80,000 80,000 0 4.B FE

670001-AE-6 NOVELIS CORP 06/24/2021 CITIGROUP 115,432 110,000 2,148 4.A FE

67066G-AN-4 NVIDIA CORPORATION 06/14/2021 MORGAN STANLEY 995,590 1,000,000 0 1.G FE

67079B-AC-4 NUTRITION & BIOSCIENCES INC 04/06/2021 MARKET AXESS AS A BR 294,837 300,000 3,084 2.B FE

674215-AL-2 OASIS PETROLEUM INC 05/25/2021 EXTERNAL MANAGER TRA 76,313 76,000 0 4.A FE

67421Q-AA-0 OASIS MIDSTREAM PARTNERS LP 04/06/2021 EXTERNAL MANAGER TRA 13,488 13,000 23 4.C FE

674599-CG-8 OCCIDENTAL PETROLEUM CORPORATION 04/12/2021 GOLDMAN SACHS 224,719 225,000 2,603 3.C FE

674599-CW-3 OCCIDENTAL PETROLEUM CORPORATION 06/24/2021 VARIOUS 313,379 310,000 2,904 3.C FE

674599-CY-9 OCCIDENTAL PETROLEUM CORPORATION 06/24/2021 CITIGROUP 364,636 395,000 6,421 3.C FE

674599-EB-7 OCCIDENTAL PETROLEUM CORPORATION 06/24/2021 VARIOUS 852,144 770,000 13,858 3.B FE

680223-AL-8 OLD REPUBLIC INTERNATIONAL CORPORA 06/08/2021 MORGAN STANLEY 499,645 500,000 0 2.B FE

680665-AJ-5 OLIN CORP 06/24/2021 CITIGROUP 307,723 295,000 4,326 3.C FE

681919-BD-7 OMNICOM GROUP INC 04/28/2021 CITIGROUP 4,991,150 5,000,000 0 2.A FE

682691-AB-6 ONEMAIN FINANCE CORP 06/15/2021 BNP PARIBAS 225,000 225,000 0 3.C FE

683720-AA-4 OPEN TEXT HOLDINGS INC 06/24/2021 CITIGROUP 101,313 100,000 1,524 3.B FE

68622T-AA-9 ORGANON FINANCE 1 LLC 05/27/2021 VARIOUS 412,100 410,000 938 3.B FE

68622T-AB-7 ORGANON FINANCE 1 LLC 06/24/2021 CITIGROUP 206,876 200,000 1,879 4.A FE

690742-AD-3 OWENS CORNING 06/29/2021 MARKET AXESS AS A BR 715,995 688,000 1,284 2.C FE

69352P-AD-5 PPL CAPITAL FUNDING LLC 05/28/2021 MARKET AXESS AS A BR 775,214 752,000 12,400 2.A FE

69352P-AE-3 PPL CAPITAL FUNDING LLC 06/15/2021 SOUTH WEST SECURITIE 1,037,060 1,000,000 1,556 2.A FE

69370C-AC-4 PTC INC 06/28/2021 GOLDMAN SACHS 103,505 100,000 1,500 3.C FE

69888X-AA-7 PAR PHARMACEUTICAL INC 06/24/2021 VARIOUS 212,779 210,000 2,902 4.B FE

707569-AS-8 PENN NATIONAL GAMING INC 06/24/2021 TRUIST BANK 208,000 200,000 5,094 4.C FE

707569-AV-1 PENN NATIONAL GAMING INC 06/24/2021 JP MORGAN 100,000 100,000 0 4.C FE

71677K-AA-6 PETSMART INC 06/24/2021 CITIGROUP 114,744 110,000 1,974 4.A FE

72147K-AE-8 PILGRIMS PRIDE CORP 06/28/2021 BANK OF AMERICA 160,125 150,000 2,203 3.A FE

723787-AK-3 PIONEER NATURAL RESOURCES COMPANY 06/15/2021 MARKET AXESS AS A BR 821,112 800,000 13,342 2.B FE

723787-AU-1 PIONEER NATURAL RESOURCES COMPANY 05/10/2021 GOLDMAN SACHS 999,940 1,000,000 0 2.B FE

737446-AQ-7 POST HOLDINGS INC 06/24/2021 CITIGROUP 101,438 100,000 938 4.B FE

E04.6



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Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


74166N-AA-2 ADT CORP 06/24/2021 BANK OF AMERICA 317,910 300,000 6,622 3.C FE

74168L-AA-4 PRIMO WATER HOLDINGS INC 05/13/2021 VARIOUS 474,460 476,000 227 4.B FE

74333H-AC-9 PROG_21-SFR6 06/25/2021 ROYAL BANK OF CANADA 499,979 500,000 0 1.D FE

747262-AW-3 QVC INC 06/28/2021 GOLDMAN SACHS 102,940 100,000 2,044 3.A FE

74841C-AA-9 QUICKEN LOANS LLC 06/28/2021 GOLDMAN SACHS 197,720 200,000 2,397 3.A FE

750236-AU-5 RADIAN GROUP INC 06/28/2021 GOLDMAN SACHS 214,250 200,000 2,225 3.A FE

75281A-BG-3 RANGE RESOURCES CORPORATION 06/28/2021 GOLDMAN SACHS 165,750 150,000 5,743 4.B FE

75606D-AG-6 REALOGY GROUP LLC 06/17/2021 FLOW TRADERS US INST 122,837 110,000 2,292 4.C FE

75972A-AD-5 RENEWABLE ENERGY GROUP INC 05/06/2021 EXTERNAL MANAGER TRA 14,000 14,000 0 4.B FE

76174L-AA-1 REYNOLDS GROUP ISSUER LLC 06/08/2021 EXTERNAL MANAGER TRA 32,605 33,000 200 4.A FE

78410G-AE-4 SBA COMMUNICATIONS CORP 06/28/2021 VARIOUS 193,540 200,000 2,313 4.A FE

78433B-AA-6 SCIH SALT HOLDINGS INC 06/28/2021 VARIOUS 308,098 310,000 1,315 4.C FE

78454L-AW-0 SM ENERGY CO 06/28/2021 VARIOUS 314,250 306,000 348 4.B FE

78466C-AC-0 SS&C TECHNOLOGIES INC 06/28/2021 VARIOUS 371,953 350,000 3,415 4.B FE

79466L-AH-7 SALESFORCE.COM INC. 06/29/2021 JP MORGAN 994,840 1,000,000 0 1.F FE

79466L-AJ-3 SALESFORCE.COM INC. 06/29/2021 BANK OF AMERICA 997,110 1,000,000 0 1.F FE

79466L-AK-0 SALESFORCE.COM INC. 06/29/2021 JP MORGAN 1,491,720 1,500,000 0 1.F FE

79466L-AL-8 SALESFORCE.COM INC. 06/29/2021 BANK OF AMERICA 997,210 1,000,000 0 1.F FE

79466L-AM-6 SALESFORCE.COM INC. 06/29/2021 BANK OF AMERICA 498,390 500,000 0 1.F FE

81105D-AA-3 SCRIPPS ESCROW II INC 06/28/2021 GOLDMAN SACHS 98,949 100,000 1,938 3.C FE

81211K-AX-8 SEALED AIR CORPORATION 06/28/2021 GOLDMAN SACHS 330,769 295,000 4,732 3.B FE

816196-AT-6 SELECT MEDICAL CORPORATION 06/28/2021 VARIOUS 190,823 180,000 3,564 4.C FE

817565-CG-7 SERVICE CORPORATION INTERNATIONAL 06/28/2021 VARIOUS 314,640 310,000 800 3.C FE

817826-AH-3 7-ELEVEN INC 06/24/2021 MARKET AXESS AS A BR 2,001,094 2,000,000 1,666 2.B FE

824348-AU-0 SHERWIN-WILLIAMS COMPANY ( 2.75 06/01/22 05/04/2021 JP MORGAN 463,147 453,000 5,364 2.B FE

82873M-AA-1 SIMMONS FOODS INC 06/28/2021 VARIOUS 241,905 240,000 2,841 4.C FE

830867-AA-5 DELTA AIR LINES INC 06/24/2021 BANK OF AMERICA 270,313 250,000 2,125 2.B FE

830867-AB-3 DELTA AIR LINES INC 06/24/2021 UBS SECURITIES 278,750 250,000 2,243 2.B FE

83088M-AJ-1 SKYWORKS SOLUTIONS INC. 05/12/2021 JP MORGAN 999,700 1,000,000 0 2.C FE

83088M-AK-8 SKYWORKS SOLUTIONS INC. 05/12/2021 JP MORGAN 749,640 750,000 0 2.C FE

83088M-AL-6 SKYWORKS SOLUTIONS INC. 05/12/2021 JP MORGAN 996,140 1,000,000 0 2.C FE

83283W-AC-7 SMYRNA READY MIX CONCRETE LLC 05/19/2021 EXTERNAL MANAGER TRA 40,365 39,000 150 5. GI

833794-AA-8 SODEXO INC 04/12/2021 CITIGROUP 2,000,000 2,000,000 0 2.A FE

842587-DJ-3 SOUTHERN COMPANY (THE) 05/03/2021 MIZUHO 250,000 250,000 0 2.C FE

845467-AL-3 SOUTHWESTERN ENERGY COMPANY 06/28/2021 GOLDMAN SACHS 221,390 200,000 5,626 3.C FE

845467-AN-9 SOUTHWESTERN ENERGY COMPANY 06/28/2021 GOLDMAN SACHS 217,500 200,000 3,832 3.C FE

84749A-AA-5 SPECIALTY BUILDING PRODUCTS HOLDIN 06/17/2021 JP MORGAN 283,888 270,000 2,371 4.C FE

84859B-AA-9 SPIRIT LOYALTY KY LTD/IP 06/28/2021 GOLDMAN SACHS 62,687 55,000 856 3.B FE

85172F-AN-9 SPRINGLEAF FINANCE CORP 04/15/2021 JP MORGAN (10,463) (10,000) 99 3.C FE

85172F-AS-8 SPRINGLEAF FINANCE CORP 06/24/2021 CITIGROUP 547,906 495,000 3,295 3.C FE

85205T-AL-4 SPIRIT AEROSYSTEMS INC 06/28/2021 GOLDMAN SACHS 133,838 125,000 1,953 4.B FE

85207U-AH-8 SPRINT CORP 04/15/2021 JP MORGAN 58,188 50,000 1,227 3.B FE

85208N-AE-0 SPRINT SPECTRUM CO I/ II /III/ LLC 04/01/2021 BARCLAY'S CAPITAL 1,142,500 1,000,000 2,290 2.A FE

852234-AL-7 SQUARE INC 06/28/2021 VARIOUS 238,140 235,000 611 3.B FE

852234-AM-5 SQUARE INC 05/18/2021 VARIOUS 96,000 96,000 0 3.B FE

85236F-AA-1 SRM ESCROW ISSUER LLC 06/24/2021 EXCHANGE OFFER 40,365 39,000 345 4.A FE

853496-AC-1 STANDARD INDUSTRIES INC (DELAWARE) 04/26/2021 EXTERNAL MANAGER TRA 79,203 77,000 781 3.B FE

86024T-AA-5 STEVENS HOLDING COMPANY INC 06/24/2021 BANK OF AMERICA 96,555 90,000 1,332 4.B FE

87105N-AC-4 SWITCH INC 06/03/2021 EXTERNAL MANAGER TRA 104,245 104,000 0 4.A FE

87157D-AG-4 SYNAPTICS INCORPORATED 06/28/2021 GOLDMAN SACHS 191,294 190,000 317 3.C FE

871829-BM-8 SYSCO CORPORATION 05/24/2021 BANK OF AMERICA 1,441,850 1,000,000 10,083 2.B FE

871829-BN-6 SYSCO CORPORATION 06/04/2021 JP MORGAN 761,925 500,000 6,142 2.C FE

87264A-AT-2 T-MOBILE USA INC 06/28/2021 GOLDMAN SACHS 631,860 595,000 6,663 3.B FE

87264A-AZ-8 T-MOBILE USA INC 05/25/2021 EXCHANGE OFFER 1,358,748 1,250,000 6,250 2.C FE

87264A-BB-0 T-MOBILE USA INC 05/25/2021 EXCHANGE OFFER 2,677,038 2,475,000 9,625 2.C FE

87264A-CC-7 T-MOBILE USA INC 05/10/2021 JP MORGAN 225,563 225,000 1,673 3.B FE

87264A-CD-5 T-MOBILE USA INC 05/10/2021 VARIOUS 321,180 318,000 1,491 3.B FE

E04.7



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


87265H-AG-4 TRI POINTE GROUP INC 06/28/2021 GOLDMAN SACHS 132,440 120,000 285 3.C FE

872882-AH-8 TSMC GLOBAL LTD 04/20/2021 GOLDMAN SACHS 997,590 1,000,000 0 1.D FE

872882-AJ-4 TSMC GLOBAL LTD 04/20/2021 GOLDMAN SACHS 498,755 500,000 0 1.D FE

872882-AK-1 TSMC GLOBAL LTD 04/20/2021 GOLDMAN SACHS 748,733 750,000 0 1.D FE

87422V-AA-6 TALEN ENERGY SUPPLY LLC 06/28/2021 GOLDMAN SACHS 34,000 50,000 262 4.C FE

87470L-AD-3 TALLGRASS ENERGY PARTNERS LP 06/28/2021 GOLDMAN SACHS 202,710 200,000 5,042 3.C FE

875127-BB-7 TAMPA ELECTRIC COMPANY 04/06/2021 MARKET AXESS AS A BR 1,838,529 1,795,000 2,982 1.G FE

87724R-AJ-1 TAYLOR MORRISON COMMUNITIES INC 06/28/2021 GOLDMAN SACHS 97,151 90,000 1,909 3.C FE

87901J-AJ-4 TEGNA INC 06/28/2021 GOLDMAN SACHS 306,638 295,000 3,979 3.B FE

88023U-AH-4 TEMPUR SEALY INTERNATIONAL INC 06/28/2021 GOLDMAN SACHS 101,605 100,000 1,056 3.B FE

88033G-CX-6 TENET HEALTHCARE CORPORATION 06/28/2021 GOLDMAN SACHS 413,300 395,000 10,218 4.B FE

88033G-DJ-6 TENET HEALTHCARE CORPORATION 06/28/2021 VARIOUS 115,867 110,000 1,062 5.A FE

88033G-DL-1 TENET HEALTHCARE CORPORATION 05/18/2021 VARIOUS 325,000 325,000 0 4.A FE

880349-AT-2 TENNECO INC 05/13/2021 BNP PARIBAS 199,750 200,000 1,708 3.C FE

88037E-AJ-0 TENNECO INC 06/23/2021 BANK OF AMERICA 151,500 150,000 224 4.C FE

880394-AE-1 PACTIV CORPORATION 06/21/2021 GOLDMAN SACHS 126,638 110,000 1,740 5.A FE

88104L-AE-3 TERRAFORM POWER OPERATING LLC 06/28/2021 GOLDMAN SACHS 210,942 200,000 4,167 3.C FE

88224Q-AA-5 TEXAS CAPITAL BANCSHARES INC. 06/28/2021 GOLDMAN SACHS 208,222 200,000 1,200 3.B FE

882384-AC-4 TEXAS EASTERN TRANSMISSION LP 05/20/2021 MIZUHO 811,993 792,000 2,267 1.G FE

886546-AB-6 TIFFANY & CO. 05/18/2021 VARIOUS 1,143,339 1,050,000 2,106 1.E FE

88830M-AL-6 TITAN INTERNATIONAL INC 06/28/2021 VARIOUS 245,300 241,000 1,322 5.A FE

89055F-AB-9 TOPBUILD CORP 06/24/2021 BANK OF AMERICA 98,595 100,000 1,037 3.B FE

89114T-ZD-7 TORONTO-DOMINION BANK (NEW YORK BR 06/01/2021 TD SECURITIES 499,975 500,000 0 1.D FE

89236T-JF-3 TOYOTA MOTOR CREDIT CORP 04/06/2021 MIZUHO 499,835 500,000 0 1.E FE

893647-BE-6 TRANSDIGM INC 04/15/2021 VARIOUS 393,463 370,000 1,628 4.A FE

893647-BL-0 TRANSDIGM INC 06/28/2021 GOLDMAN SACHS 89,237 85,000 584 4.C FE

893647-BN-6 TRANSDIGM INC 04/15/2021 EXTERNAL MANAGER TRA 253,915 254,000 0 4.C FE

89680E-AA-7 TRITON WATER HOLDINGS INC 06/17/2021 FLOW TRADERS US INST 90,413 90,000 1,009 5.A FE

89680Y-AB-1 TRITON CONTAINER INTERNATIONAL LTD 05/26/2021 CITIGROUP 1,997,880 2,000,000 0 2.C FE

897051-AC-2 TRONOX INC 06/28/2021 VARIOUS 416,975 410,000 5,153 4.C FE

90290M-AD-3 US FOODS INC 06/28/2021 GOLDMAN SACHS 51,055 50,000 963 5.A FE

90320B-AA-7 UPC BROADBAND HOLDING BV 06/28/2021 VARIOUS 600,140 600,000 1,869 3.C FE

90353T-AE-0 UBER TECHNOLOGIES INC 05/13/2021 JP MORGAN 246,656 225,000 2,906 4.C FE

907818-EJ-3 UNION PACIFIC CORPORATION 04/13/2021 GOLDMAN SACHS 550,632 492,000 2,435 2.A FE

90932L-AG-2 UNITED AIRLINES INC 06/28/2021 GOLDMAN SACHS 409,346 395,000 3,312 3.B FE

911163-AA-1 UNITED NATURAL FOODS INC 06/28/2021 VARIOUS 450,272 420,000 5,111 5.A FE

911365-BF-0 UNITED RENTALS (NORTH AMERICA) INC 06/28/2021 GOLDMAN SACHS 419,688 395,000 8,147 3.B FE

911365-BM-5 UNITED RENTALS (NORTH AMERICA) INC 05/10/2021 BNP PARIBAS 629,250 600,000 11,431 2.C FE

911365-BN-3 UNITED RENTALS (NORTH AMERICA) INC 06/28/2021 GOLDMAN SACHS 102,985 100,000 1,833 3.B FE

912909-AN-8 UNITED STATES STEEL CORP 05/03/2021 WELLS FARGO 112,750 110,000 955 4.C FE

912909-AU-2 UNITED STATES STEEL CORP 06/28/2021 GOLDMAN SACHS 213,640 200,000 5,309 4.C FE

91324P-ED-0 UNITEDHEALTH GROUP INC 05/17/2021 CITIGROUP 249,978 250,000 0 1.F FE

91324P-EE-8 UNITEDHEALTH GROUP INC 05/17/2021 CITIGROUP 248,925 250,000 0 1.F FE

91324P-EF-5 UNITEDHEALTH GROUP INC 05/17/2021 CITIGROUP 248,388 250,000 0 1.F FE

914906-AV-4 UNIVISION COMMUNICATIONS INC 06/28/2021 VARIOUS 251,478 250,000 731 4.A FE

92340L-AE-9 VEREIT INC 05/24/2021 WELLS FARGO 526,675 500,000 6,932 2.B FE

92345Y-AC-0 VERISK ANALYTICS INC 06/07/2021 JANE STREET EXECUTIO 670,191 641,000 6,390 2.B FE

92537R-AA-7 VERTICAL US NEWCO INC 06/28/2021 GOLDMAN SACHS 74,102 70,000 1,684 4.A FE

92553P-AX-0 VIACOMCBS INC 04/06/2021 FIFTH THIRD 540,065 500,000 377 2.B FE

92553P-BC-5 VIACOMCBS INC 06/28/2021 GOLDMAN SACHS 338,480 295,000 6,248 3.A FE

92556H-AA-5 VIACOMCBS INC 06/02/2021 GOLDMAN SACHS 567,920 500,000 1,253 2.B FE

92564R-AE-5 VICI PROPERTIES INC 06/28/2021 GOLDMAN SACHS 128,994 125,000 1,934 3.B FE

926400-AA-0 VICTORIAS SECRET & CO 06/30/2021 JP MORGAN 100,000 100,000 0 4.A FE

92840V-AA-0 VISTRA OPERATIONS COMPANY LLC 04/15/2021 JP MORGAN 51,938 50,000 367 3.B FE

92840V-AB-8 VISTRA OPERATIONS COMPANY LLC 06/08/2021 EXTERNAL MANAGER TRA 14,490 14,000 252 3.B FE

92840V-AF-9 VISTRA OPERATIONS COMPANY LLC 06/28/2021 VARIOUS 205,195 200,000 3,878 3.B FE

92840V-AH-5 VISTRA OPERATIONS COMPANY LLC 06/07/2021 EXTERNAL MANAGER TRA 106,083 106,000 116 3.B FE

E04.8



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4

DateAcquired

5

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6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


929043-AK-3 VORNADO REALTY LP 05/13/2021 CITIGROUP 249,658 250,000 0 2.B FE

92936U-AC-3 W. P. CAREY INC 04/28/2021 VARIOUS 942,516 864,000 7,978 2.B FE

931142-CS-0 WALMART INC 05/06/2021 BANK OF AMERICA 707,665 500,000 3,047 1.C FE

939653-AM-3 WASHINGTON REAL ESTATE INVESTMENT 06/11/2021 MARKET AXESS AS A BR 6,731,315 6,490,000 25,338 2.B FE

94106L-AY-5 WASTE MANAGEMENT INC 06/23/2021 BARCLAY'S CAPITAL 5,123,300 5,000,000 40,278 2.A FE

94106L-BR-9 WASTE MANAGEMENT INC 04/28/2021 GOLDMAN SACHS 994,880 1,000,000 0 2.A FE

948741-AH-6 WEINGARTEN REALTY INVESTORS 04/28/2021 MARKET AXESS AS A BR 120,903 117,000 494 2.B FE

948741-AJ-2 WEINGARTEN REALTY INVESTORS 05/24/2021 WELLS FARGO 804,426 768,000 3,061 2.B FE

95040Q-AN-4 WELLTOWER INC 06/23/2021 WELLS FARGO 498,575 500,000 0 2.A FE

95081Q-AP-9 WESCO DISTRIBUTION INC 06/28/2021 GOLDMAN SACHS 222,890 200,000 604 3.C FE

958667-AC-1 WESTERN MIDSTREAM OPERATING LP 06/28/2021 GOLDMAN SACHS 442,183 395,000 8,665 3.B FE

96042R-AD-0 WLAKE_21-2 06/08/2021 BMO 399,975 400,000 0 1.C FE

96042R-AE-8 WLAKE_21-2 06/08/2021 BMO 399,987 400,000 0 1.F FE

970648-AG-6 WILLIS NORTH AMERICA INC 05/26/2021 JANE STREET EXECUTIO 576,845 500,000 4,563 2.B FE

98262P-AA-9 WW INTERNATIONAL INC 06/10/2021 EXTERNAL MANAGER TRA 101,268 101,000 229 3.C FE

98372M-AC-9 XHR LP 05/20/2021 EXTERNAL MANAGER TRA 38,000 38,000 0 4.B FE

984121-CL-5 XEROX CORPORATION 06/28/2021 GOLDMAN SACHS 201,500 200,000 3,173 3.B FE

98421M-AA-4 XEROX HOLDINGS CORP 04/27/2021 CITIGROUP 158,625 150,000 1,542 3.B FE

98421M-AB-2 XEROX HOLDINGS CORP 06/28/2021 VARIOUS 197,629 190,000 3,268 3.B FE

988498-AK-7 YUM! BRANDS INC 06/28/2021 GOLDMAN SACHS 105,985 100,000 877 3.C FE

01626P-AP-1 ALIMENTATION COUCHE-TARD INC A 05/10/2021 ROYAL BANK OF CANADA 1,000,000 1,000,000 0 2.B FE

01626P-AQ-9 ALIMENTATION COUCHE-TARD INC A 05/10/2021 JP MORGAN 499,725 500,000 0 2.B FE

071734-AD-9 BAUSCH HEALTH COMPANIES INC A 06/24/2021 BANK OF AMERICA 464,211 450,000 14,263 4.B FE

071734-AF-4 BAUSCH HEALTH COMPANIES INC A 04/22/2021 BANK OF AMERICA 177,600 160,000 4,704 4.B FE

071734-AH-0 BAUSCH HEALTH COMPANIES INC A 06/24/2021 BANK OF AMERICA 387,327 410,000 8,428 4.B FE

071734-AJ-6 BAUSCH HEALTH COMPANIES INC A 04/05/2021 EXTERNAL MANAGER TRA 46,575 46,000 449 4.B FE

11283Y-AB-6 BROOKFIELD RESIDENTIAL PROPERTIES A 04/14/2021 VARIOUS 169,200 160,000 835 4.A FE

11283Y-AG-5 BROOKFIELD RESIDENTIAL PROPERTIES A 05/11/2021 VARIOUS 182,000 182,000 0 4.A FE

136375-AY-8 CANADIAN NATIONAL RAILWAY COMPANY A 05/28/2021 VARIOUS 7,855,427 6,900,000 86,904 1.F FE

136375-BD-3 CANADIAN NATIONAL RAILWAY COMPANY A 04/21/2021 PIERPONT 1,322,340 1,000,000 18,783 1.F FE

13645R-AS-3 CANADIAN PACIFIC RAILWAY CO 2.9 02/01/25 A 06/07/2021 BANK OF AMERICA 1,595,820 1,500,000 15,467 2.A FE

14739L-AB-8 CASCADES INC. A 04/29/2021 EXTERNAL MANAGER TRA 110,560 106,000 1,672 3.C FE

14913R-2L-0 CATERPILLAR FINANCIAL SERVICES LTD 05/10/2021 JP MORGAN 2,995,980 3,000,000 0 1.F FE

335934-AK-1 FIRST QUANTUM MINERALS LTD A 05/06/2021 EXTERNAL MANAGER TRA 204,000 200,000 1,571 4.B FE

335934-AL-9 FIRST QUANTUM MINERALS LTD A 06/24/2021 BANK OF AMERICA 114,230 110,000 1,994 4.B FE

335934-AT-2 FIRST QUANTUM MINERALS LTD A 06/24/2021 VARIOUS 284,982 260,000 1,600 4.B FE

36168Q-AL-8 GFL ENVIRONMENTAL INC A 06/24/2021 VARIOUS 197,095 200,000 4,639 4.C FE

36485M-AL-3 GARDA WORLD SECURITY CORP A 05/17/2021 EXTERNAL MANAGER TRA 99,000 99,000 0 5.A FE

45827M-AA-5 INTELLIGENT PACKAGING LIMITED FINC A 06/24/2021 CITIGROUP 15,675 15,000 258 4.C FE

59151K-AL-2 METHANEX CORPORATION A 06/24/2021 VARIOUS 331,475 310,000 2,416 3.B FE

66977W-AR-0 NOVA CHEMICALS CORP A 04/28/2021 VARIOUS 203,038 190,000 4,035 3.C FE

66977W-AS-8 NOVA CHEMICALS CORP 06/24/2021 VARIOUS 260,469 260,000 277 3.C FE

68245X-AH-2 1011778 BC UNLIMITED LIABILITY CO A 06/15/2021 EXTERNAL MANAGER TRA 82,205 82,000 980 3.B FE

68245X-AM-1 1011778 BC UNLIMITED LIABILITY CO A 06/24/2021 VARIOUS 243,257 251,000 1,998 4.B FE

878742-AY-1 TECK RESOURCES LTD A 06/09/2021 VARIOUS 881,685 852,000 11,363 2.C FE

91911K-AP-7 BAUSCH HEALTH COMPANIES INC A 06/02/2021 EXTERNAL MANAGER TRA 48,150 45,000 1,901 4.B FE

00687Y-AA-3 ADIENT GLOBAL HOLDINGS LTD C 06/24/2021 VARIOUS 313,645 305,000 5,448 4.C FE

02156L-AF-8 ALTICE FRANCE SA (FRANCE) C 04/13/2021 JP MORGAN 425,000 425,000 0 4.B FE

034863-AG-5 ANGLO AMERICAN CAPITAL PLC C 06/16/2021 VARIOUS 1,468,698 1,405,000 10,627 2.B FE

03938L-AS-3 ARCELORMITTAL C 06/24/2021 CITIGROUP 137,750 100,000 2,275 3.A FE

03969A-AL-4 ARDAGH PACKAGING FINANCE PLC C 04/15/2021 JP MORGAN 51,750 50,000 533 4.C FE

03969A-AR-1 ARDAGH PACKAGING FINANCE PLC C 06/21/2021 BANK OF AMERICA 417,688 410,000 2,272 4.C FE

143658-BL-5 CARNIVAL CORP C 04/22/2021 GOLDMAN SACHS 32,813 30,000 349 4.B FE

143658-BN-1 CARNIVAL CORP C 06/24/2021 BANK OF AMERICA 519,866 490,000 10,331 4.B FE

19123M-AD-5 COCA-COLA EUROPEAN PARTNERS PLC C 04/21/2021 CREDIT SUISSE 2,997,210 3,000,000 0 2.A FE

251525-AM-3 DEUTSCHE BANK AG C 06/24/2021 BANK OF AMERICA 207,816 200,000 811 3.A FE

30251G-BA-4 FMG RESOURCES (AUGUST 2006) PTY LT C 06/24/2021 BANK OF AMERICA 65,495 60,000 773 3.A FE

E04.9



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


42704M-AA-0 HERBALIFE NUTRITION LTD C 06/24/2021 CITIGROUP 98,269 90,000 2,303 3.C FE

44962L-AA-5 IHS MARKIT LTD C 06/14/2021 TD SECURITIES 1,022,970 975,000 6,094 3.A FE

460599-AD-5 INTERNATIONAL GAME TECHNOLOGY PLC C 06/17/2021 BANK OF AMERICA 136,200 120,000 3,250 3.C FE

46115H-BQ-9 INTESA SANPAOLO SPA C 05/24/2021 JP MORGAN 400,000 400,000 0 3.A FE

47010B-AJ-3 JAGUAR LAND ROVER AUTOMOTIVE PLC C 06/23/2021 MORGAN STANLEY 219,500 200,000 3,014 4.B FE

472141-AA-8 JBS USA LUX SA/JBS USA FINANCE INC C 06/24/2021 CITIGROUP 220,376 200,000 4,988 3.A FE

600814-AQ-0 MILLICOM INTERNATIONAL CELLULAR S. C 06/28/2021 GOLDMAN SACHS 341,162 310,500 5,121 3.B FE

603051-AA-1 MINERAL RESOURCES LTD C 06/24/2021 CITIGROUP 60,810 55,000 708 3.C FE

62954H-AF-5 NXP BV C 05/04/2021 BARCLAY'S CAPITAL 992,580 1,000,000 0 2.C FE

62954H-AG-3 NXP BV C 05/04/2021 CITIGROUP 1,993,140 2,000,000 0 2.C FE

654902-AE-5 NOKIA OYJ C 06/24/2021 CITIGROUP 220,750 200,000 389 3.A FE

714264-AH-1 PERNOD-RICARD SA C 06/22/2021 VARIOUS 2,763,672 2,645,000 31,055 2.A FE

714294-AD-7 PERRIGO COMPANY PLC C 04/05/2021 MARKET AXESS AS A BR 210,048 200,000 3,156 2.C FE

77578J-AB-4 ROLLS-ROYCE PLC C 05/05/2021 STIFEL NICOLAUS 111,100 110,000 255 3.C FE

77578J-AC-2 ROLLS-ROYCE PLC C 06/28/2021 VARIOUS 241,052 220,000 2,431 3.C FE

780153-BH-4 ROYAL CARIBBEAN CRUISES LTD C 06/28/2021 VARIOUS 330,207 330,000 209 4.B FE

81725W-AK-9 SENSATA TECHNOLOGIES BV C 06/28/2021 GOLDMAN SACHS 203,390 200,000 2,022 3.C FE

83368R-BC-5 SOCIETE GENERALE (FR) C 06/02/2021 SOCIETE GENERALE 500,000 500,000 0 2.B FE

87927Y-AA-0 TELECOM ITALIA SPA C 06/28/2021 GOLDMAN SACHS 219,140 200,000 884 3.A FE

88167A-AL-5 TEVA PHARMACEUTICAL FINANCE NETHER C 04/01/2021 BANK OF AMERICA 117,425 110,000 3,135 3.C FE

92769X-AP-0 VIRGIN MEDIA SECURED FINANCE PLC C 04/15/2021 JP MORGAN 53,875 50,000 1,176 3.C FE

92769X-AR-6 VIRGIN MEDIA SECURED FINANCE PLC C 06/28/2021 GOLDMAN SACHS 201,390 200,000 3,375 3.C FE

92857W-AZ-3 VODAFONE GROUP PLC C 04/13/2021 TD SECURITIES 283,005 275,000 363 2.B FE

92858R-AB-6 VMED O2 UK FINANCING I PLC C 06/22/2021 EXTERNAL MANAGER TRA 296,000 296,000 0 3.C FE

98954N-AA-7 ZIGGO SECURED FINANCE BV C 04/15/2021 JP MORGAN 31,463 30,000 431 4.A FE

98954U-AB-9 ZIGGO BOND FINANCE BV C 06/28/2021 GOLDMAN SACHS 209,390 200,000 5,500 4.C FE

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 355,858,593 342,187,506 2,421,854 XXX

8399997. Total - Bonds - Part 3 623,561,195 612,491,094 2,993,853 XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX

8399999. Total - Bonds 623,561,195 612,491,094 2,993,853 XXX

8999997. Total - Preferred Stocks - Part 3 0 XXX 0 XXX

8999998. Total - Preferred Stocks - Part 5 XXX XXX XXX XXX

8999999. Total - Preferred Stocks 0 XXX 0 XXX001084-10-2 AGCO CORP 06/02/2021 EXTERNAL MANAGER TRA 610.000 84,831 0

00123Q-10-4 AGNC INVESTMENT REIT CORP 05/24/2021 EXTERNAL MANAGER TRA 4,390.000 81,671 0

00187Y-10-0 API GROUP CORP 04/28/2021 EXTERNAL MANAGER TRA 29,369.000 636,690 0

00751Y-10-6 ADVANCE AUTO PARTS INC 05/19/2021 EXTERNAL MANAGER TRA 160.000 31,248 0

007973-10-0 ADVANCED ENERGY INDUSTRIES INC 06/30/2021 EXTERNAL MANAGER TRA 6,214.000 667,206 0

00847J-10-5 AGILISYS INC 04/06/2021 EXTERNAL MANAGER TRA 14,212.000 718,258 0

013872-10-6 ALCOA CORP 06/14/2021 EXTERNAL MANAGER TRA 2,010.000 74,196 0

02005N-10-0 ALLY FINANCIAL INC 05/19/2021 EXTERNAL MANAGER TRA 620.000 32,219 0

02156K-10-3 ALTICE USA INC CLASS A 04/12/2021 EXTERNAL MANAGER TRA 990.000 32,351 0

02376R-10-2 AMERICAN AIRLINES GROUP INC 05/11/2021 EXTERNAL MANAGER TRA 3,160.000 67,416 0

03272L-10-8 ANAPLAN INC 04/16/2021 EXTERNAL MANAGER TRA 550.000 33,354 0

03768E-10-5 APOLLO GLOBAL MANAGEMENT INC CLASS 06/08/2021 EXTERNAL MANAGER TRA 800.000 45,869 0

040413-10-6 ARISTA NETWORKS INC 04/20/2021 EXTERNAL MANAGER TRA 190.000 59,332 0

042735-10-0 ARROW ELECTRONICS INC 05/11/2021 EXTERNAL MANAGER TRA 810.000 92,774 0

05352A-10-0 AVANTOR INC 06/01/2021 EXTERNAL MANAGER TRA 1,030.000 32,447 0

053611-10-9 AVERY DENNISON CORP 05/11/2021 EXTERNAL MANAGER TRA 200.000 43,496 0

05368M-10-6 AVID BIOSERVICES INC 04/05/2021 EXTERNAL MANAGER TRA 39,317.000 755,191 0

05605H-10-0 BWX TECHNOLOGIES INC 04/05/2021 EXTERNAL MANAGER TRA 14,896.000 998,550 0

08265T-20-8 BENTLEY SYSTEMS INC CLASS B 06/23/2021 EXTERNAL MANAGER TRA 510.000 32,179 0

090043-10-0 BILL COM HOLDINGS INC 05/25/2021 EXTERNAL MANAGER TRA 1,190.000 176,556 0

097793-40-0 BONANZA CREEK ENERGY INC 04/05/2021 EXCHANGE OFFER 1,974.120 25,139 0

103304-10-1 BOYD GAMING CORP 06/14/2021 EXTERNAL MANAGER TRA 3,820.000 238,060 0

E04.1

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3

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4

DateAcquired

5

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6

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Stock

7

Actual Cost

8

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9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


109696-10-4 BRINKS 04/01/2021 EXTERNAL MANAGER TRA 8,925.000 712,559 0

11120U-10-5 BRIXMOR PROPERTY GROUP REIT INC 05/10/2021 EXTERNAL MANAGER TRA 38,755.000 804,800 0

117043-10-9 BRUNSWICK CORP 06/02/2021 EXTERNAL MANAGER TRA 620.000 63,482 0

12008R-10-7 BUILDERS FIRSTSOURCE INC 06/08/2021 EXTERNAL MANAGER TRA 1,360.000 57,296 0

125269-10-0 CF INDUSTRIES HOLDINGS INC 06/03/2021 EXTERNAL MANAGER TRA 4,090.000 212,326 0

12571T-10-0 CMC MATERIALS INC 04/01/2021 EXTERNAL MANAGER TRA 4,491.000 834,984 0

127055-10-1 CABOT CORP 06/25/2021 EXTERNAL MANAGER TRA 20,370.000 1,108,835 0

127190-30-4 CACI INTERNATIONAL INC CLASS A 04/01/2021 EXTERNAL MANAGER TRA 5,186.000 1,287,091 0

12769G-10-0 CAESARS ENTERTAINMENT INC 06/29/2021 EXTERNAL MANAGER TRA 1,950.000 205,703 0

16411R-20-8 CHENIERE ENERGY INC 05/10/2021 EXTERNAL MANAGER TRA 650.000 53,296 0

184496-10-7 CLEAN HARBORS INC 04/05/2021 EXTERNAL MANAGER TRA 17,385.000 1,496,861 0

185899-10-1 CLIFFS NATURAL RESOURCES INC 06/08/2021 EXTERNAL MANAGER TRA 600.000 11,818 0

192422-10-3 COGNEX CORP 04/01/2021 EXTERNAL MANAGER TRA 6,975.000 590,054 0

192479-10-3 COHERENT INC 04/01/2021 EXTERNAL MANAGER TRA 2,597.000 671,092 0

22282E-10-2 COVANTA HOLDING CORP 04/05/2021 EXTERNAL MANAGER TRA 43,354.000 605,064 0

231021-10-6 CUMMINS INC 05/18/2021 EXTERNAL MANAGER TRA 230.000 60,635 0

237194-10-5 DARDEN RESTAURANTS INC 04/20/2021 EXTERNAL MANAGER TRA 220.000 31,467 0

23804L-10-3 DATADOG INC CLASS A 04/16/2021 EXTERNAL MANAGER TRA 360.000 32,335 0

24906P-10-9 DENTSPLY SIRONA INC 04/26/2021 EXTERNAL MANAGER TRA 700.000 46,536 0

253393-10-2 DICKS SPORTING INC 06/11/2021 EXTERNAL MANAGER TRA 1,340.000 131,519 0

254709-10-8 DISCOVER FINANCIAL SERVICES 06/03/2021 EXTERNAL MANAGER TRA 760.000 88,824 0

256163-10-6 DOCUSIGN INC 06/21/2021 EXTERNAL MANAGER TRA 680.000 176,497 0

256746-10-8 DOLLAR TREE INC 05/24/2021 EXTERNAL MANAGER TRA 600.000 64,572 0

25809K-10-5 DOORDASH INC CLASS A 06/08/2021 EXTERNAL MANAGER TRA 320.000 43,923 0

258278-10-0 DORMAN PRODUCTS INC 04/05/2021 EXTERNAL MANAGER TRA 4,978.000 517,643 0

268150-10-9 DYNATRACE INC 04/19/2021 EXTERNAL MANAGER TRA 1,560.000 82,678 0

29089Q-10-5 EMERGENT BIOSOLUTIONS INC 04/01/2021 EXTERNAL MANAGER TRA 12,164.000 972,084 0

29261A-10-0 ENCOMPASS HEALTH CORP 05/24/2021 EXTERNAL MANAGER TRA 870.000 75,466 0

29362U-10-4 ENTEGRIS INC 04/01/2021 EXTERNAL MANAGER TRA 18,229.000 2,165,561 0

29364G-10-3 ENTERGY CORP 04/23/2021 EXTERNAL MANAGER TRA 510.000 54,351 0

294600-10-1 EQUITRANS MIDSTREAM CORP 04/05/2021 EXTERNAL MANAGER TRA 6,320.000 51,189 0

302491-30-3 FMC CORP 05/19/2021 EXTERNAL MANAGER TRA 280.000 32,545 0

313747-20-6 FEDERAL REALTY INVESTMENT TRUST RE 06/29/2021 EXTERNAL MANAGER TRA 470.000 55,460 0

337932-10-7 FIRSTENERGY CORP 05/04/2021 EXTERNAL MANAGER TRA 2,140.000 77,365 0

344849-10-4 FOOT LOCKER INC 04/19/2021 EXTERNAL MANAGER TRA 1,410.000 79,989 0

34959J-10-8 FORTIVE CORP 04/26/2021 EXTERNAL MANAGER TRA 520.000 38,350 0

35671D-85-7 FREEPORT MCMORAN INC 05/19/2021 EXTERNAL MANAGER TRA 2,550.000 102,387 0

37637Q-10-5 GLACIER BANCORP INC 04/01/2021 EXTERNAL MANAGER TRA 8,231.000 478,839 0

384109-10-4 GRACO INC 04/01/2021 EXTERNAL MANAGER TRA 12,447.000 904,593 0

40434L-10-5 HP INC 05/28/2021 EXTERNAL MANAGER TRA 3,850.000 116,856 0

40637H-10-9 HALOZYME THERAPEUTICS INC 04/05/2021 EXTERNAL MANAGER TRA 37,680.000 1,601,816 0

418056-10-7 HASBRO INC 04/26/2021 EXTERNAL MANAGER TRA 590.000 57,133 0

422806-20-8 HEICO CORP CLASS A 04/05/2021 EXTERNAL MANAGER TRA 8,467.000 986,123 0

431475-10-2 HILL ROM HOLDINGS INC 04/26/2021 EXTERNAL MANAGER TRA 280.000 32,473 0

436440-10-1 HOLOGIC INC 04/26/2021 EXTERNAL MANAGER TRA 4,392.000 323,624 0

44109J-10-6 HOSTESS BRANDS INC CLASS A 04/05/2021 EXTERNAL MANAGER TRA 47,837.000 695,920 0

446150-10-4 HUNTINGTON BANCSHARES INC 06/10/2021 EXCHANGE OFFER 38,279.690 606,617 0

44891N-20-8 IAC INTERACTIVE 05/25/2021 EXCHANGE OFFER 440.000 38,639 0

449253-10-3 IAA INC 04/01/2021 EXTERNAL MANAGER TRA 17,123.000 966,561 0

45167R-10-4 IDEX CORP 04/01/2021 EXTERNAL MANAGER TRA 6,141.000 1,301,128 0

45688C-10-7 INGEVITY CORP 05/04/2021 EXTERNAL MANAGER TRA 8,920.000 680,067 0

457187-10-2 INGREDION INC 04/05/2021 EXTERNAL MANAGER TRA 10,524.000 950,413 0

45841N-10-7 INTERACTIVE BROKERS GROUP INC CLAS 06/01/2021 EXTERNAL MANAGER TRA 5,630.000 396,628 0

48238T-10-9 KAR AUCTION SERVICES INC 05/05/2021 EXTERNAL MANAGER TRA 63,671.000 976,956 0

48242W-10-6 KBR INC 04/01/2021 EXTERNAL MANAGER TRA 29,627.000 1,102,643 0

483548-10-3 KAMAN CORP 04/05/2021 EXTERNAL MANAGER TRA 9,657.000 501,824 0

493267-10-8 KEYCORP 04/05/2021 EXTERNAL MANAGER TRA 1,560.000 31,595 0

E04.1

1



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2

Description

3

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4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


500255-10-4 KOHLS CORP 04/26/2021 EXTERNAL MANAGER TRA 1,060.000 61,741 0

50540R-40-9 LABORATORY CORPORATION OF AMERICA 05/28/2021 EXTERNAL MANAGER TRA 450.000 121,603 0

527064-10-9 LESLIES INC 06/16/2021 EXTERNAL MANAGER TRA 1,980.000 52,241 0

53220K-50-4 LIGAND PHARMACEUTICALS INC 06/29/2021 EXTERNAL MANAGER TRA 2,258.000 335,205 0

546347-10-5 LOUISIANA PACIFIC CORP 06/14/2021 EXTERNAL MANAGER TRA 2,910.000 175,400 0

56418H-10-0 MANPOWER INC 05/07/2021 EXTERNAL MANAGER TRA 1,070.000 129,994 0

56600D-10-7 MARAVAI LIFESCIENCES HOLDINGS INC 04/26/2021 EXTERNAL MANAGER TRA 7,900.000 293,736 0

57164Y-10-7 MARRIOTT VACATIONS WORLDWIDE CORP 06/22/2021 EXTERNAL MANAGER TRA 1,100.000 180,787 0

573874-10-4 MARVELL TECHNOLOGY LTD 04/21/2021 EXCHANGE OFFER 990.000 48,913 0

57667L-10-7 MATCH GROUP INC 06/21/2021 EXTERNAL MANAGER TRA 400.000 62,334 0

577081-10-2 MATTEL INC 05/19/2021 EXTERNAL MANAGER TRA 8,420.000 178,075 0

58155Q-10-3 MCKESSON CORP 04/26/2021 EXTERNAL MANAGER TRA 370.000 71,047 0

589378-10-8 MERCURY SYSTEMS INC 05/10/2021 EXTERNAL MANAGER TRA 11,246.000 791,479 0

603158-10-6 MINERALS TECHNOLOGIES INC 04/01/2021 EXTERNAL MANAGER TRA 6,179.000 470,221 0

649445-10-3 NEW YORK COMMUNITY BANCORP INC 05/24/2021 EXTERNAL MANAGER TRA 2,790.000 33,005 0

65336K-10-3 NEXSTAR MEDIA GROUP INC CLASS A 05/28/2021 EXTERNAL MANAGER TRA 1,310.000 196,167 0

668771-10-8 NortonLife Lock Inc 05/19/2021 EXTERNAL MANAGER TRA 1,260.000 33,088 0

670002-40-1 NOVAVAX INC 06/14/2021 EXTERNAL MANAGER TRA 270.000 56,164 0

670346-10-5 NUCOR CORP 04/23/2021 EXTERNAL MANAGER TRA 1,210.000 94,332 0

679580-10-0 OLD DOMINION FREIGHT LINE INC 05/11/2021 EXTERNAL MANAGER TRA 350.000 92,252 0

680223-10-4 OLD REPUBLIC INTERNATIONAL CORP 05/12/2021 EXTERNAL MANAGER TRA 815.000 20,693 0

681116-10-9 OLLIES BARGAIN OUTLET HOLDINGS INC 06/15/2021 EXTERNAL MANAGER TRA 380.000 33,024 0

681936-10-0 OMEGA HEALTHCARE INVESTORS REIT IN 04/05/2021 EXTERNAL MANAGER TRA 4,920.000 188,571 0

68902V-10-7 OTIS WORLDWIDE CORP 05/26/2021 EXTERNAL MANAGER TRA 520.000 40,549 0

693282-10-5 PDF SOLUTIONS INC 04/06/2021 EXTERNAL MANAGER TRA 22,037.000 420,918 0

693718-10-8 PACCAR INC 06/03/2021 EXTERNAL MANAGER TRA 1,240.000 113,978 0

69478X-10-5 PACFIC PREMIER BANCORP INC 06/18/2021 EXTERNAL MANAGER TRA 16,171.000 708,952 0

69608A-10-8 PALANTIR TECHNOLOGIES INC CLASS A 06/21/2021 EXTERNAL MANAGER TRA 13,287.000 328,007 0

70614W-10-0 PELOTON INTERACTIVE CLASS A INC 04/19/2021 EXTERNAL MANAGER TRA 860.000 96,030 0

707569-10-9 PENN NATIONAL GAMING INC 06/14/2021 EXTERNAL MANAGER TRA 1,700.000 138,515 0

72815L-10-7 PLAYTIKA HOLDING CORP 06/29/2021 EXTERNAL MANAGER TRA 7,840.000 192,906 0

72919P-20-2 PLUG POWER INC 06/14/2021 EXTERNAL MANAGER TRA 2,450.000 75,524 0

739276-10-3 POWER INTEGRATIONS INC 04/05/2021 EXTERNAL MANAGER TRA 15,232.000 1,294,719 0

743606-10-5 PROSPERITY BANCSHARES INC 06/18/2021 EXTERNAL MANAGER TRA 12,625.000 955,660 0

74838J-10-1 QUIDEL CORP 05/10/2021 EXTERNAL MANAGER TRA 280.000 32,658 0

74915M-10-0 QURATE RETAIL INC SERIES A 05/26/2021 EXTERNAL MANAGER TRA 12,430.000 160,005 0

749397-10-5 R1 RCM INC 04/05/2021 EXTERNAL MANAGER TRA 29,145.000 727,226 0

749607-10-7 RLI CORP 04/05/2021 EXTERNAL MANAGER TRA 5,838.000 662,362 0

74967X-10-3 RH 06/14/2021 EXTERNAL MANAGER TRA 50.000 33,718 0

75524B-10-4 RBC BEARINGS INC 04/05/2021 EXTERNAL MANAGER TRA 5,750.000 1,140,412 0

758849-10-3 REGENCY CENTERS REIT CORP 06/29/2021 EXTERNAL MANAGER TRA 6,110.000 394,191 0

759351-60-4 REINSURANCE GROUP OF AMERICA INC 06/03/2021 EXTERNAL MANAGER TRA 1,530.000 194,582 0

78442P-10-6 SLM CORP 05/24/2021 EXTERNAL MANAGER TRA 3,330.000 64,940 0

81725T-10-0 SENSIENT TECHNOLOGIES CORP 04/01/2021 EXTERNAL MANAGER TRA 7,574.000 598,916 0

829073-10-5 SIMPSON MANUFACTURING INC 04/01/2021 EXTERNAL MANAGER TRA 5,193.000 545,218 0

83088M-10-2 SKYWORKS SOLUTIONS INC 06/01/2021 EXTERNAL MANAGER TRA 690.000 122,440 0

833034-10-1 SNAP ON INC 05/17/2021 EXTERNAL MANAGER TRA 130.000 32,916 0

83417Q-10-5 SOLARWINDS CORP 06/15/2021 EXTERNAL MANAGER TRA 1,940.000 33,369 0

85571B-10-5 STARWOOD PROPERTY TRUST REIT INC 04/20/2021 EXTERNAL MANAGER TRA 1,610.000 39,992 0

860630-10-2 STIFEL FINANCIAL CORP 06/22/2021 EXTERNAL MANAGER TRA 6,680.000 416,742 0

872307-10-3 TCF FINANCIAL CORP 04/05/2021 EXTERNAL MANAGER TRA 29,950.000 1,417,999 0

874054-10-9 TAKE TWO INTERACTIVE SOFTWARE INC 04/12/2021 EXTERNAL MANAGER TRA 1,670.000 301,898 0

876030-10-7 TAPESTRY INC 04/26/2021 EXTERNAL MANAGER TRA 710.000 32,704 0

87612G-10-1 TARGA RESOURCES CORP 04/05/2021 EXTERNAL MANAGER TRA 1,840.000 57,330 0

87918A-10-5 TELADOC HEALTH INC 04/12/2021 EXTERNAL MANAGER TRA 190.000 34,388 0

879360-10-5 TELEDYNE TECHNOLOGIES INC 04/01/2021 EXTERNAL MANAGER TRA 3,392.000 1,421,157 0

885160-10-1 THOR INDUSTRIES INC 05/10/2021 EXTERNAL MANAGER TRA 440.000 62,785 0

E04.1

2



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation,NAIC

DesignationModifier

andSVO


90184L-10-2 TWITTER INC 04/12/2021 EXTERNAL MANAGER TRA 1,451.000 95,016 0

902681-10-5 UGI CORP 04/05/2021 EXTERNAL MANAGER TRA 36,850.000 1,517,093 0

90984P-30-3 UNITED COMMUNITY BANKS INC 06/18/2021 EXTERNAL MANAGER TRA 32,277.000 1,101,217 0

91332U-10-1 UNITY SOFTWARE INC 06/29/2021 EXTERNAL MANAGER TRA 1,080.000 119,285 0

91913Y-10-0 VALERO ENERGY CORP 06/17/2021 EXTERNAL MANAGER TRA 1,580.000 127,333 0

922042-85-8 VANGUARD EMERGING MARKETS STOCK IN 05/07/2021 WILLIAM BLAIR & COMP 115,089.000 6,151,463 0

922475-10-8 VEEVA SYSTEMS INC CLASS A 06/21/2021 EXTERNAL MANAGER TRA 510.000 156,549 0

92339V-30-8 VEREIT INC 04/06/2021 EXTERNAL MANAGER TRA 2,140.000 86,448 0

92343E-10-2 VERISIGN INC 05/04/2021 EXTERNAL MANAGER TRA 180.000 39,637 0

92719V-10-0 VIMEO INC 05/26/2021 SPIN OFF 714.340 11,989 0

928254-10-1 VIRTU FINANCIAL INC CLASS A 04/13/2021 EXTERNAL MANAGER TRA 3,820.000 119,212 0

928881-10-1 VONTIER CORP 04/06/2021 EXTERNAL MANAGER TRA 1,320.000 41,619 0

941848-10-3 WATER CORP 04/26/2021 EXTERNAL MANAGER TRA 510.000 155,913 0

94419L-10-1 WAYFAIR INC CLASS A 06/29/2021 EXTERNAL MANAGER TRA 340.000 106,392 0

958102-10-5 WESTERN DIGITAL CORP 04/19/2021 EXTERNAL MANAGER TRA 510.000 34,635 0

959802-10-9 WESTERN UNION 04/12/2021 EXTERNAL MANAGER TRA 7,290.000 183,395 0

962166-10-4 WEYERHAEUSER REIT 06/29/2021 EXTERNAL MANAGER TRA 1,850.000 63,165 0

980745-10-3 WOODWARD INC 04/01/2021 EXTERNAL MANAGER TRA 10,717.000 1,308,547 0

983134-10-7 WYNN RESORTS LTD 06/03/2021 EXTERNAL MANAGER TRA 1,000.000 126,545 0

983793-10-0 XPO LOGISTICS INC 04/19/2021 EXTERNAL MANAGER TRA 240.000 32,463 0

989701-10-7 ZIONS BANCORPORATION 04/05/2021 EXTERNAL MANAGER TRA 570.000 31,492 0

98980G-10-2 ZSCALER INC 04/05/2021 EXTERNAL MANAGER TRA 180.000 31,334 0

G3922B-10-7 GENPACT LTD 04/26/2021 EXTERNAL MANAGER TRA 1,820.000 81,962 0

M98068-10-5 WIX.COM LTD 06/15/2021 EXTERNAL MANAGER TRA 180.000 50,007 0

G0250X-10-7 AMCOR PLC C 05/17/2021 EXTERNAL MANAGER TRA 2,660.000 32,778 0

G1890L-10-7 CAPRI HOLDINGS LTD C 04/26/2021 EXTERNAL MANAGER TRA 780.000 41,450 0

G3223R-10-8 EVEREST RE GROUP LTD C 06/01/2021 EXTERNAL MANAGER TRA 2,210.000 587,835 0

G4388N-10-6 HELEN OF TROY LTD C 04/01/2021 EXTERNAL MANAGER TRA 5,390.000 1,151,217 0

G491BT-10-8 INVESCO LTD C 04/26/2021 EXTERNAL MANAGER TRA 5,520.000 145,341 0

G51502-10-5 JOHNSON CONTROLS INTERNATIONAL PLC 05/18/2021 EXTERNAL MANAGER TRA 1,080.000 69,877 0

G5876H-10-5 MARVELL TECHNOLOGY LTD C 04/12/2021 EXTERNAL MANAGER TRA 990.000 48,913 0

N53745-10-0 LYONDELLBASELL INDUSTRIES NV CLASS C 05/26/2021 EXTERNAL MANAGER TRA 1,200.000 132,665 0

V7780T-10-3 ROYAL CARIBBEAN CRUISES LTD C 06/03/2021 EXTERNAL MANAGER TRA 1,620.000 150,157 0

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Publicly Traded 62,152,840 XXX 0 XXX316146-10-9 Fid Inv Gr Bond 06/30/2021 FIDELITY CAPITAL MARKETS 24.260 203 1.

701769-40-8 Parnassus Equity IS 06/30/2021 FIDELITY CAPITAL MARKETS 0.412 25 1.

315911-75-0 Fid 500 Index IPR 06/30/2021 FIDELITY CAPITAL MARKETS 1,632.637 231,646 1.

315911-72-7 Fid Intl Index IPR 06/30/2021 FIDELITY CAPITAL MARKETS 11.077 538 1.

92646A-82-3 Victory Special Value I 06/30/2021 FIDELITY CAPITAL MARKETS 2.104 47 1.

315794-79-2 Fid Freedom 2015 K 06/30/2021 FIDELITY CAPITAL MARKETS 609.271 8,176 1.




315794-75-0 Fid Freedom 2035 K 06/30/2021 FIDELITY CAPITAL MARKETS 1,322.733 23,477 1.

47803W-70-3 JH DSCPL VAL MDCP R6 06/30/2021 FIDELITY CAPITAL MARKETS 48.366 1,318 1.

9499999. Subtotal - Common Stocks - Mutual Funds 288,842 XXX 0 XXX

9799997. Total - Common Stocks - Part 3 62,441,682 XXX 0 XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX

9799999. Total - Common Stocks 62,441,682 XXX 0 XXX

9899999. Total - Preferred and Common Stocks 62,441,682 XXX 0 XXX

9999999 - Totals 686,002,877 XXX 2,993,853 XXX

E04.1

3


SCHEDULE D - PART 4Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter

1 2 3 4 5 6 7 8 9 10 Change In Book/Adjusted Carrying Value 16 17 18 19 20 21 22

CUSIPIdent-

ification DescriptionFor-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockConsid-eration Par Value

ActualCost

Prior YearBook/

Adjusted Carrying

Value

11

Unrealized Valuation Increase/

(Decrease)

12

Current Year's (Amor-

tization)/Accretion

13

Current Year's

Other Than Temporary Impairment

Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

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

Bond Interest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAICDesig-nation,NAICDesig-nation

ModifierandSVO


912810-QT-8 TREASURY BOND 3.12 11/15/41 04/19/2021 MORGAN STANLEY 1,160,781 1,000,000 1,143,945 1,138,829 0 (1,565) 0 (1,565) 0 1,137,264 0 23,517 23,517 13,467 11/15/2041 1.A

912810-SS-8 TREASURY BOND 05/17/2021 VARIOUS 11,636,161 13,690,000 11,740,631 0 0 6,840 0 6,840 0 11,747,471 0 (111,310) (111,310) 107,396 11/15/2050 1.A

912810-ST-6 TREASURY BOND 04/16/2021 ROYAL BANK OF CANADA 2,387,119 2,750,000 2,728,548 2,728,623 0 278 0 278 0 2,728,901 0 (341,781) (341,781) 16,001 11/15/2040 1.A

912810-SU-3 TREASURY BOND 06/29/2021 VARIOUS 16,284,073 17,490,000 15,943,671 0 0 1,225 0 1,225 0 15,944,896 0 339,177 339,177 105,591 02/15/2051 1.A

912810-SW-9 TREASURY BOND 05/24/2021 VARIOUS 11,510,453 12,115,000 11,547,516 0 0 388 0 388 0 11,547,904 0 (37,451) (37,451) 50,862 02/15/2041 1.A

912810-SX-7 TREASURY BOND 06/09/2021 CITIGROUP 781,699 750,000 777,422 0 0 (2) 0 (2) 0 777,420 0 4,279 4,279 1,258 05/15/2051 1.A

912810-SY-5 WI TREASURY BOND 06/29/2021 VARIOUS 6,119,417 5,985,000 6,073,959 0 0 (90) 0 (90) 0 6,073,869 0 45,548 45,548 11,616 05/15/2041 1.A

91282C-BC-4 TREASURY NOTE 04/15/2021 VARIOUS 7,852,362 8,004,000 7,973,579 0 0 1,466 0 1,466 0 7,975,046 0 (122,684) (122,684) 8,644 12/31/2025 1.A FE

91282C-BJ-9 TREASURY NOTE 06/25/2021 JP MORGAN 247,330 255,000 254,980 0 0 1 0 1 0 254,981 0 (7,651) (7,651) 782 01/31/2028 1.A FE

91282C-BL-4 TREASURY NOTE 05/17/2021 VARIOUS 37,207,286 38,930,000 37,221,691 0 0 8,347 0 8,347 0 37,230,037 0 (22,751) (22,751) 100,991 02/15/2031 1.A FE

91282C-BP-5 WI TREASURY NOTE 04/07/2021 CITIGROUP 478,919 485,000 479,506 0 0 30 0 30 0 479,536 0 (618) (618) 578 02/29/2028 1.A FE

91282C-BS-9 TREASURY NOTE 05/05/2021 VARIOUS 1,465,080 1,469,000 1,460,873 0 0 38 0 38 0 1,460,911 0 4,169 4,169 1,060 03/31/2028 1.A FE

91282C-BT-7 TREASURY NOTE 05/03/2021 VARIOUS 5,664,555 5,690,000 5,662,604 0 0 27 0 27 0 5,662,631 0 1,925 1,925 1,805 03/31/2026 1.A FE

91282C-BW-0 TREASURY NOTE 05/12/2021 VARIOUS 8,215,553 8,242,000 8,216,676 0 0 13 0 13 0 8,216,690 0 (1,136) (1,136) 1,205 04/30/2026 1.A FE

91282C-BZ-3 TREASURY NOTE 06/25/2021 VARIOUS 2,200,885 2,200,000 2,194,481 0 0 5 0 5 0 2,194,486 0 6,399 6,399 1,618 04/30/2028 1.A FE

91282C-CB-5 TREASURY NOTE 06/30/2021 VARIOUS 6,924,851 6,868,000 6,863,708 0 0 2 0 2 0 6,863,710 0 61,141 61,141 8,238 05/15/2031 1.A FE

91282C-CE-9 TREASURY NOTE 06/23/2021 WELLS FARGO 525,328 525,000 524,508 0 0 3 0 3 0 524,511 0 817 817 430 05/31/2028 1.A

91282C-CF-6 TREASURY NOTE 06/14/2021 VARIOUS 5,908,479 5,920,000 5,906,770 0 0 38 0 38 0 5,906,809 0 1,671 1,671 902 05/31/2026 1.A FE

91282C-CH-2 TREASURY NOTE 06/29/2021 JP MORGAN 990,155 990,000 990,464 0 0 0 0 0 0 990,464 0 (309) (309) 0 06/30/2028 1.A FE

0599999. Subtotal - Bonds - U.S. Governments 127,560,486 133,358,000 127,705,532 3,867,452 0 17,044 0 17,044 0 127,717,537 0 (157,048) (157,048) 432,444 XXX XXX01F022-64-2 UMBS 30YR TBA(REG A) 04/09/2021 VARIOUS 11,342,813 11,000,000 11,398,945 0 0 0 0 0 0 11,398,945 0 (56,133) (56,133) 9,931 04/01/2051 1.A

01F022-65-9 UMBS 30YR TBA(REG A) 05/10/2021 VARIOUS 11,448,555 11,000,000 11,317,852 0 0 0 0 0 0 11,317,852 0 130,703 130,703 9,167 04/01/2051 1.A

01F022-66-7 UMBS 30YR TBA(REG A) 06/10/2021 VARIOUS 14,520,195 14,000,000 14,529,258 0 0 0 0 0 0 14,529,258 0 (9,062) (9,062) 12,639 06/01/2051 1.A

196479-6Z-7 COLORADO ST HSG & FIN AUTH 06/01/2021 STATE BANK 52,388 52,388 52,388 52,388 0 0 0 0 0 52,388 0 0 0 709 08/01/2049 1.A FE

196480-CV-7 COLORADO ST HSG & FIN AUTH 06/01/2021 STATE BANK 60,638 60,638 62,457 62,221 0 (61) 0 (61) 0 62,159 0 (1,521) (1,521) 923 08/01/2049 1.A FE

196480-EX-1 COLORADO ST HSG & FIN AUTH 06/01/2021 STATE BANK 127,998 127,998 127,998 127,998 0 0 0 0 0 127,998 0 0 0 1,657 01/01/2050 1.A FE

21H020-64-2 GNMA2 30YR TBA(REG C) 04/19/2021 VARIOUS 8,165,313 8,000,000 8,132,813 0 0 0 0 0 0 8,132,813 0 32,500 32,500 8,889 03/01/2051 1.A

21H022-65-5 GNMA2 30YR TBA(REG C) 05/17/2021 CITIGROUP 4,148,750 4,000,000 4,155,625 0 0 0 0 0 0 4,155,625 0 (6,875) (6,875) 5,278 04/01/2051 1.A

21H022-66-3 GNMA2 30YR TBA(REG C) 06/17/2021 CITIGROUP 4,128,438 4,000,000 4,141,406 0 0 0 0 0 0 4,141,406 0 (12,969) (12,969) 5,556 06/01/2051 1.A

3128M9-ZS-4 FGOLD 30YR GIANT 4.5 10/01/41 06/01/2021 PAYDOWN 613,557 613,557 657,752 653,279 0 (39,722) 0 (39,722) 0 613,557 0 0 0 11,723 10/01/2041 1.A

3128MD-UP-6 FGOLD 15YR GIANT 3.5 10/01/28 06/01/2021 PAYDOWN 481,326 481,326 504,661 499,157 0 (17,831) 0 (17,831) 0 481,326 0 0 0 6,673 10/01/2028 1.A

3128MJ-4V-9 FGOLD 30YR GIANT 3.5 08/01/48 06/01/2021 PAYDOWN 16,826 16,826 16,748 16,771 0 56 0 56 0 16,826 0 0 0 233 08/01/2048 1.A

3128MJ-5R-7 FGOLD 30YR GIANT 06/01/2021 PAYDOWN 152,732 152,732 148,770 150,227 0 2,505 0 2,505 0 152,732 0 0 0 1,852 10/01/2048 1.A

3128MJ-ZF-0 FGOLD 30YR GIANT 06/01/2021 PAYDOWN 818,408 818,408 798,843 802,398 0 16,010 0 16,010 0 818,408 0 0 0 9,829 01/01/2047 1.A

3128PU-P5-5 FGOLD 15YR 4 04/01/26 06/01/2021 PAYDOWN 50,510 50,510 54,065 52,517 0 (2,007) 0 (2,007) 0 50,510 0 0 0 862 04/01/2026 1.A

3128PU-V8-2 FGOLD 15YR 4 05/01/26 06/01/2021 PAYDOWN 111,763 111,763 119,586 116,450 0 (4,687) 0 (4,687) 0 111,763 0 0 0 1,853 05/01/2026 1.A

312939-NP-2 FGOLD 30YR 06/01/2021 PAYDOWN 107,578 107,578 115,798 115,121 0 (7,543) 0 (7,543) 0 107,578 0 0 0 2,548 03/01/2040 1.A

312942-VH-5 FGOLD 30YR 5 10/01/40 06/01/2021 PAYDOWN 762,250 762,250 820,609 818,813 0 (56,563) 0 (56,563) 0 762,250 0 0 0 14,872 10/01/2040 1.A

3132DV-3Q-6 FHLMC 30YR UMBS SUPER 06/01/2021 PAYDOWN 348,956 348,956 366,731 364,619 0 (15,663) 0 (15,663) 0 348,956 0 0 0 6,488 08/01/2049 1.A

3132DW-A7-8 FHLMC 30YR UMBS SUPER 06/01/2021 PAYDOWN 189,544 189,544 202,101 0 0 (12,557) 0 (12,557) 0 189,544 0 0 0 1,325 02/01/2051 1.A

3132DW-BD-4 FHLMC 30YR UMBS SUPER 06/01/2021 PAYDOWN 205,620 205,620 219,411 0 0 (13,791) 0 (13,791) 0 205,620 0 0 0 1,639 02/01/2051 1.A

3132DW-BK-8 FHLMC 30YR UMBS SUPER 06/01/2021 PAYDOWN 85,244 85,244 89,616 0 0 (4,372) 0 (4,372) 0 85,244 0 0 0 303 03/01/2051 1.A

3132DW-BR-3 FHLMC 30YR UMBS SUPER 06/01/2021 PAYDOWN 43,162 43,162 45,505 0 0 (2,343) 0 (2,343) 0 43,162 0 0 0 108 05/01/2051 1.A

3132L9-FC-4 FHLMC GOLD 30YR CASH ISSUANCE 06/01/2021 PAYDOWN 156,294 156,294 156,294 156,294 0 0 0 0 0 156,294 0 0 0 2,178 12/01/2047 1.A

3132Y4-CQ-3 FHLMC GOLD 30YR 06/01/2021 PAYDOWN 692,762 692,762 702,396 700,095 0 (7,333) 0 (7,333) 0 692,762 0 0 0 11,069 11/01/2048 1.A

31335B-C2-0 FHLMC GOLD 30YR GIANT 06/01/2021 PAYDOWN 487,424 487,424 476,837 478,225 0 9,198 0 9,198 0 487,424 0 0 0 5,963 12/01/2046 1.A

3133AG-Q5-1 FHLMC 30YR UMBS 06/01/2021 PAYDOWN 12,185 12,185 12,292 0 0 (107) 0 (107) 0 12,185 0 0 0 20 03/01/2051 1.A

3133AJ-ND-1 FHLMC 30YR UMBS 06/01/2021 PAYDOWN 312,049 312,049 330,041 0 0 (17,992) 0 (17,992) 0 312,049 0 0 0 2,088 04/01/2051 1.A

3138WD-AM-3 FNMA 30YR 06/01/2021 PAYDOWN 654,215 654,215 677,675 673,509 0 (19,294) 0 (19,294) 0 654,215 0 0 0 9,252 10/01/2044 1.A

3140FT-KA-8 FNMA 30YR 06/01/2021 PAYDOWN 189,791 189,791 190,117 190,078 0 (288) 0 (288) 0 189,791 0 0 0 2,844 02/01/2047 1.A

3140HF-TP-4 FNMA 30YR UMBS 06/01/2021 PAYDOWN 1,304,970 1,304,970 1,389,385 1,330,653 0 (25,683) 0 (25,683) 0 1,304,970 0 0 0 17,564 04/01/2050 1.A

3140J7-2S-3 FNMA 30YR 06/01/2021 PAYDOWN 94,607 94,607 92,419 92,696 0 1,911 0 1,911 0 94,607 0 0 0 1,148 02/01/2048 1.A

3140J9-UT-6 FNMA 30YR 06/01/2021 PAYDOWN 218,368 218,368 223,384 223,017 0 (4,649) 0 (4,649) 0 218,368 0 0 0 3,427 05/01/2048 1.A

3140J9-XH-9 FNMA 30YR 06/01/2021 PAYDOWN 164,901 164,901 164,798 164,826 0 75 0 75 0 164,901 0 0 0 1,992 07/01/2047 1.A

E05




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


3140JV-EA-6 FNMA 30YR UMBS 06/01/2021 VARIOUS 11,795,866 11,276,749 11,652,434 11,508,928 0 (93,387) 0 (93,387) 0 11,415,541 0 380,325 380,325 201,983 08/01/2049 1.A

3140JV-M3-3 FNMA 30YR UMBS 06/01/2021 PAYDOWN 379,130 379,130 381,544 380,724 0 (1,594) 0 (1,594) 0 379,130 0 0 0 4,516 07/01/2049 1.A

3140JV-SJ-2 FNMA 30YR UMBS 06/01/2021 VARIOUS 6,089,303 5,830,676 6,012,884 5,930,559 0 (36,477) 0 (36,477) 0 5,894,082 0 195,221 195,221 104,717 09/01/2049 1.A

3140JX-SG-4 FNMA 15YR UMBS 06/01/2021 PAYDOWN 762,715 762,715 783,451 778,128 0 (15,413) 0 (15,413) 0 762,715 0 0 0 9,432 10/01/2034 1.A

3140K3-BY-7 FNMA 15YR UMBS 06/01/2021 PAYDOWN 642,661 642,661 651,899 649,899 0 (7,239) 0 (7,239) 0 642,661 0 0 0 6,302 01/01/2035 1.A

3140K3-C4-2 FNMA 30YR UMBS 06/01/2021 PAYDOWN 444,031 444,031 475,113 457,143 0 (13,112) 0 (13,112) 0 444,031 0 0 0 5,708 02/01/2050 1.A

3140K3-WD-0 FNMA 30YR UMBS 06/01/2021 PAYDOWN 155,804 155,804 164,398 159,481 0 (3,677) 0 (3,677) 0 155,804 0 0 0 2,069 03/01/2050 1.A

3140K4-TV-2 FNMA 30YR UMBS 06/02/2021 VARIOUS 2,564,705 2,473,551 2,635,105 2,532,664 0 (28,882) 0 (28,882) 0 2,503,781 0 60,924 60,924 42,749 03/01/2050 1.A

3140K5-AM-9 FNMA 30YR UMBS 04/01/2021 VARIOUS (21,211) 0 0 0 0 (3,863) 0 (3,863) 0 (3,863) 0 (17,348) (17,348) 17,892 02/01/2050 1.A

3140K7-CM-3 FNMA 15YR UMBS 06/01/2021 PAYDOWN 437,633 437,633 441,326 440,338 0 (2,704) 0 (2,704) 0 437,633 0 0 0 4,457 12/01/2034 1.A

3140K8-SJ-1 FNMA 30YR UMBS 04/01/2021 VARIOUS (14,836) 0 0 0 0 (4,775) 0 (4,775) 0 (4,775) 0 (10,061) (10,061) 12,647 03/01/2050 1.A

3140K8-SR-3 FNMA 30YR UMBS 06/01/2021 PAYDOWN 608,521 608,521 651,973 630,373 0 (21,852) 0 (21,852) 0 608,521 0 0 0 8,091 03/01/2050 1.A

3140K8-SZ-5 FNMA 30YR UMBS 06/01/2021 PAYDOWN 595,407 595,407 639,504 623,495 0 (28,089) 0 (28,089) 0 595,407 0 0 0 9,943 03/01/2050 1.A

3140K8-UM-1 FNMA 30YR UMBS 06/01/2021 PAYDOWN 254,632 254,632 269,127 260,637 0 (6,005) 0 (6,005) 0 254,632 0 0 0 3,736 04/01/2050 1.A

3140K8-Y7-0 FNMA 30YR UMBS 06/01/2021 PAYDOWN 504,888 504,888 527,450 516,070 0 (11,182) 0 (11,182) 0 504,888 0 0 0 7,375 02/01/2050 1.A

3140KD-CD-0 FNMA 15YR UMBS 06/01/2021 PAYDOWN 327,635 327,635 344,734 342,355 0 (14,720) 0 (14,720) 0 327,635 0 0 0 3,551 06/01/2035 1.A

3140KG-C2-7 FNMA 30YR UMBS 06/24/2021 VARIOUS 6,105,482 6,060,395 6,287,660 6,286,006 0 (6,593) 0 (6,593) 0 6,279,413 0 (173,931) (173,931) 64,647 09/01/2050 1.A

3140KH-VM-0 FNMA 30YR UMBS 06/01/2021 PAYDOWN 361,888 361,888 384,902 384,775 0 (22,887) 0 (22,887) 0 361,888 0 0 0 4,510 08/01/2050 1.A

3140KK-HL-1 FNMA 30YR UMBS 05/01/2021 VARIOUS 3,600,906 3,487,017 3,688,065 3,686,489 0 (27,944) 0 (27,944) 0 3,658,545 0 (57,639) (57,639) 38,041 08/01/2050 1.A

3140KK-HV-9 FNMA 30YR UMBS 05/01/2021 VARIOUS 2,987,915 2,861,835 3,054,561 0 0 (17,419) 0 (17,419) 0 3,037,143 0 (49,228) (49,228) 23,551 08/01/2050 1.A

3140KL-RR-5 FNMA 30YR UMBS 06/01/2021 PAYDOWN 336,766 336,766 357,446 357,318 0 (20,552) 0 (20,552) 0 336,766 0 0 0 3,868 08/01/2050 1.A

3140KL-YJ-5 FNMA 30YR UMBS 06/01/2021 VARIOUS 3,964,558 3,832,791 4,032,815 4,030,498 0 (16,132) 0 (16,132) 0 4,014,366 0 (49,808) (49,808) 50,594 09/01/2050 1.A

3140KM-U3-2 FNMA 30YR UMBS 06/01/2021 PAYDOWN 310,013 310,013 328,032 327,898 0 (17,885) 0 (17,885) 0 310,013 0 0 0 2,879 09/01/2050 1.A

3140KP-PL-1 FNMA 30YR UMBS 06/01/2021 PAYDOWN 76,254 76,254 79,257 79,239 0 (2,985) 0 (2,985) 0 76,254 0 0 0 563 11/01/2050 1.A

3140KP-PM-9 FNMA 30YR UMBS 06/01/2021 PAYDOWN 185,031 185,031 191,623 191,591 0 (6,560) 0 (6,560) 0 185,031 0 0 0 1,685 10/01/2050 1.A

3140KR-LT-4 FNMA 30YR UMBS 06/01/2021 PAYDOWN 153,636 153,636 161,486 161,376 0 (7,740) 0 (7,740) 0 153,636 0 0 0 1,337 10/01/2050 1.A

3140KS-AF-4 FNMA 30YR UMBS 06/01/2021 PAYDOWN 172,314 172,314 178,614 178,593 0 (6,279) 0 (6,279) 0 172,314 0 0 0 1,510 11/01/2050 1.A

3140KS-BC-0 FNMA 30YR UMBS 06/01/2021 PAYDOWN 23,309 23,309 24,096 24,094 0 (785) 0 (785) 0 23,309 0 0 0 195 11/01/2050 1.A

3140QC-GK-6 FNMA 15YR UMBS 06/01/2021 PAYDOWN 268,223 268,223 270,989 270,582 0 (2,359) 0 (2,359) 0 268,223 0 0 0 2,772 11/01/2034 1.A

3140QD-E9-1 FNMA 30YR UMBS 06/01/2021 PAYDOWN 1,329,861 1,329,861 1,411,523 1,413,024 0 (83,163) 0 (83,163) 0 1,329,861 0 0 0 19,490 04/01/2050 1.A

3140QD-FP-4 FNMA 30YR UMBS 06/01/2021 PAYDOWN 164,318 164,318 177,566 168,174 0 (3,856) 0 (3,856) 0 164,318 0 0 0 2,600 04/01/2050 1.A

3140QD-WT-7 FNMA 30YR UMBS 06/01/2021 PAYDOWN 954,390 954,390 1,027,103 1,021,555 0 (67,165) 0 (67,165) 0 954,390 0 0 0 14,265 06/01/2050 1.A

3140QK-BR-8 FNMA 30YR UMBS 06/01/2021 PAYDOWN 81,418 81,418 87,164 0 0 (5,745) 0 (5,745) 0 81,418 0 0 0 341 04/01/2051 1.A

3140QK-F7-8 FNMA 30YR UMBS 06/01/2021 PAYDOWN 2,621 2,621 2,776 0 0 (155) 0 (155) 0 2,621 0 0 0 7 04/01/2051 1.A

3140X4-UU-8 FNMA 15YR UMBS SUPER 03/01/2021 PAYDOWN 0 0 0 0 0 0 0 0 0 0 0 0 0 2,226 09/01/2034 1.

3140X5-XR-9 FNMA 15YR UMBS SUPER 06/01/2021 PAYDOWN 211,050 211,050 223,416 218,280 0 (7,231) 0 (7,231) 0 211,050 0 0 0 2,655 02/01/2035 1.A

3140X7-RJ-0 FNMA 30YR UMBS SUPER 06/01/2021 PAYDOWN 485,085 485,085 523,286 522,243 0 (37,157) 0 (37,157) 0 485,085 0 0 0 6,575 03/01/2050 1.A

3140X7-TY-5 FNMA 30YR UMBS SUPER 06/01/2021 PAYDOWN 143,319 143,319 151,963 151,759 0 (8,440) 0 (8,440) 0 143,319 0 0 0 1,774 08/01/2050 1.A

3140X8-C6-2 FNMA 30YR UMBS SUPER 06/01/2021 PAYDOWN 288,729 288,729 303,527 296,288 0 (7,559) 0 (7,559) 0 288,729 0 0 0 3,071 11/01/2050 1.A

3140X8-PS-0 FNMA 15YR UMBS SUPER 06/01/2021 PAYDOWN 341,443 341,443 356,114 356,013 0 (14,570) 0 (14,570) 0 341,443 0 0 0 2,898 12/01/2035 1.A

3140X9-TM-7 FNMA 15YR UMBS SUPER 06/01/2021 PAYDOWN 171,082 171,082 182,309 0 0 (11,227) 0 (11,227) 0 171,082 0 0 0 1,050 01/01/2036 1.A

3140XA-DW-9 FNMA 30YR UMBS SUPER 06/01/2021 PAYDOWN 25,260 25,260 25,457 0 0 (197) 0 (197) 0 25,260 0 0 0 42 03/01/2051 1.A

3140XA-T6-9 FNMA 30YR UMBS SUPER 06/01/2021 PAYDOWN 8,384 8,384 8,714 0 0 (330) 0 (330) 0 8,384 0 0 0 17 04/01/2051 1.A

31418C-5J-9 FNMA 30YR 06/01/2021 PAYDOWN 822,872 822,872 806,993 811,207 0 11,665 0 11,665 0 822,872 0 0 0 11,546 12/01/2048 1.A

31418C-FD-1 FNMA 30YR 06/01/2021 PAYDOWN 1,024,291 1,024,291 1,009,013 1,011,923 0 12,368 0 12,368 0 1,024,291 0 0 0 12,235 01/01/2047 1.A

31418D-CX-8 FNMA 30YR 06/01/2021 PAYDOWN 447,934 447,934 442,265 444,011 0 3,924 0 3,924 0 447,934 0 0 0 5,394 05/01/2049 1.A

31418D-P5-5 FNMA 15YR UMBS 06/01/2021 PAYDOWN 753,270 753,270 794,818 783,819 0 (30,549) 0 (30,549) 0 753,270 0 0 0 9,122 06/01/2035 1.A

31418D-QJ-4 FNMA 30YR UMBS 06/01/2021 PAYDOWN 241,453 241,453 259,487 249,700 0 (8,247) 0 (8,247) 0 241,453 0 0 0 3,958 06/01/2050 1.A

31418D-WT-5 FNMA 30YR UMBS 06/01/2021 PAYDOWN 324,956 324,956 345,469 0 0 (20,513) 0 (20,513) 0 324,956 0 0 0 2,387 02/01/2051 1.A

36179V-4Y-3 GNMA2 30YR 06/01/2021 PAYDOWN 484,372 484,372 525,893 0 0 (41,521) 0 (41,521) 0 484,372 0 0 0 4,498 01/01/2051 1.A

36179V-7J-3 GNMA2 30YR 06/01/2021 PAYDOWN 160,596 160,596 176,154 0 0 (15,558) 0 (15,558) 0 160,596 0 0 0 1,878 02/01/2051 1.A

36179V-KM-1 GNMA2 30YR 05/11/2021 VARIOUS 5,592,136 5,340,946 5,696,453 5,517,548 0 (117,187) 0 (117,187) 0 5,400,361 0 191,775 191,775 93,215 04/20/2050 1.A

36179V-KN-9 GNMA2 30YR 03/01/2021 VARIOUS 0 0 0 0 0 0 0 0 0 0 0 0 0 6,101 04/20/2050 1.

36179W-DT-2 GNMA2 30YR 06/01/2021 PAYDOWN 12,442 12,442 13,323 0 0 (881) 0 (881) 0 12,442 0 0 0 36 04/01/2051 1.A

E05.1




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


36179W-FJ-2 GNMA2 30YR 06/01/2021 PAYDOWN 8,270 8,270 8,842 0 0 (572) 0 (572) 0 8,270 0 0 0 24 05/01/2051 1.A

60416Q-HS-6 MINNESOTA ST HSG FIN AGY HOMEOWNER 06/01/2021 STATE BANK 79,001 79,001 79,001 79,001 0 0 0 0 0 79,001 0 0 0 1,000 12/01/2049 1.A FE

92812U-Q4-3 VIRGINIA ST HSG DEV AUTH COMWL 06/25/2021 STATE BANK 160,741 160,741 160,741 160,741 0 0 0 0 0 160,741 0 0 0 2,217 10/25/2037 1.A FE

92812U-Q7-6 VIRGINIA ST HSG DEV AUTH CMWLTH MT 06/25/2021 STATE BANK 114,326 114,326 114,326 114,326 0 0 0 0 0 114,326 0 0 0 1,302 10/01/2049 1.A FE

92812U-Q8-4 VIRGINIA ST HSG DEV AUTH CMWLTH 06/25/2021 STATE BANK 202,400 202,400 202,400 202,400 0 0 0 0 0 202,400 0 0 0 2,278 12/25/2049 1.A FE

92812V-MA-1 VIRGINIA ST HSG DEV AUTH 06/25/2021 STATE BANK 142,134 142,134 142,134 142,134 0 0 0 0 0 142,134 0 0 0 1,786 11/25/2039 1.A FE

3199999. Subtotal - Bonds - U.S. Special Revenues 121,121,463 117,866,535 122,423,294 62,694,751 0 (1,125,688) 0 (1,125,688) 0 120,574,589 0 546,873 546,873 1,029,910 XXX XXX001192-AJ-2 AGL CAPITAL CORPORATION 06/15/2021 CALL 100 250,000 250,000 256,083 253,514 0 (3,514) 0 (3,514) 0 250,000 0 0 0 6,563 09/15/2021 2.A FE

00688J-AA-5 ADIENT US LLC 05/07/2021 VARIOUS 128,320 120,000 128,100 0 0 (52) 0 (52) 0 128,048 0 (8,048) (8,048) 11,484 05/15/2026 3.C FE

00688J-AB-3 ADIENT US LLC 06/24/2021 VARIOUS 331,305 300,000 334,811 335,250 0 (2,965) 1,207 (4,172) 0 331,077 0 227 227 16,823 04/15/2025 3.C FE

008513-AB-9 AGREE LP 05/05/2021 PIERPONT 496,850 500,000 496,325 0 0 0 0 0 0 496,325 0 525 525 0 06/15/2028 2.B FE

009158-AY-2 AIR PRODUCTS AND CHEMICALS INC 05/13/2021 BANK OF AMERICA 256,135 250,000 249,753 249,774 0 15 0 15 0 249,788 0 6,347 6,347 2,338 05/15/2027 1.F FE

013092-AB-7 ALBERTSONS COMPANIES INC 06/24/2021 BANK OF AMERICA 117,805 110,000 117,441 0 0 (413) 0 (413) 0 117,028 0 776 776 2,388 02/15/2028 4.A FE

013092-AC-5 ALBERTSONS COMPANIES INC 06/24/2021 BANK OF AMERICA 254,881 245,000 246,673 248,255 0 (181) 1,597 (1,778) 0 246,477 0 8,404 8,404 10,796 01/15/2027 4.A FE

013817-AW-1 HOWMET AEROSPACE INC 04/19/2021 BANK OF AMERICA 313,500 285,000 309,230 308,869 0 (1,848) 0 (1,848) 0 307,021 0 6,479 6,479 8,115 10/01/2024 3.A FE

02005N-BF-6 ALLY FINANCIAL INC 06/17/2021 GOLDMAN SACHS 223,462 195,000 199,996 199,444 0 (388) 0 (388) 0 199,056 0 24,406 24,406 6,572 11/20/2025 3.A FE

02005N-BH-2 ALLY FINANCIAL INC 05/14/2021 EXTERNAL MANAGER TRA 87,890 81,000 74,861 75,578 0 559 0 559 0 76,137 0 11,753 11,753 1,543 05/21/2024 2.C FE

02128L-AA-4 ALTA EQUIPMENT GROUP INC 04/22/2021 JEFFERIES & CO 61,125 60,000 60,000 0 0 0 0 0 0 60,000 0 1,125 1,125 234 04/15/2026 4.C FE

023135-BR-6 AMAZON.COM INC 06/11/2021 US BANK 500,590 500,000 499,835 499,847 0 11 0 11 0 499,858 0 732 732 3,200 06/03/2027 1.E FE

023135-BS-4 AMAZON.COM INC 06/30/2021 CITIGROUP 489,595 500,000 499,445 499,473 0 26 0 26 0 499,499 0 (9,904) (9,904) 4,354 06/03/2030 1.D FE

023135-BX-3 AMAZON.COM INC 05/10/2021 SUSQUEHANNA 2,489,675 2,500,000 2,489,200 0 0 0 0 0 0 2,489,200 0 475 475 0 05/12/2026 1.E FE

023135-BZ-8 AMAZON.COM INC 05/10/2021 SUSQUEHANNA 1,999,280 2,000,000 1,999,640 0 0 0 0 0 0 1,999,640 0 (360) (360) 0 05/12/2031 1.E FE

023135-CA-2 AMAZON.COM INC 05/10/2021 SUSQUEHANNA 1,993,060 2,000,000 1,992,460 0 0 0 0 0 0 1,992,460 0 600 600 0 05/12/2041 1.E FE

023135-CB-0 AMAZON.COM INC 05/10/2021 SUSQUEHANNA 1,986,840 2,000,000 1,985,680 0 0 0 0 0 0 1,985,680 0 1,160 1,160 0 05/12/2051 1.E FE

023135-CC-8 AMAZON.COM INC 05/10/2021 SUSQUEHANNA 1,986,680 2,000,000 1,983,600 0 0 0 0 0 0 1,983,600 0 3,080 3,080 0 05/12/2061 1.E FE

025816-CE-7 AMERICAN EXPRESS COMPANY 06/24/2021 GOLDMAN SACHS 5,023,450 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 23,450 23,450 24,909 05/20/2022 1.G FE

02666Q-J7-9 AMERICAN HONDA FINANCE CORPORATION 04/28/2021 WELLS FARGO 3,041,670 3,000,000 3,112,500 3,068,645 0 (31,506) 0 (31,506) 0 3,037,139 0 4,531 4,531 69,667 09/20/2021 1.G FE

030506-AA-7 AMERICAN WOODMARK CORPORATION 04/26/2021 STATE STREET BANK 261,217 255,000 225,629 232,923 0 1,148 0 1,148 0 234,072 0 27,145 27,145 7,631 03/15/2026 3.B FE

03523T-BX-5 ANHEUSER-BUSCH INBEV WORLDWIDE INC 06/29/2021 CALL 111.432 3,141,268 2,819,000 3,140,807 0 0 (24,146) 0 (24,146) 0 3,116,661 0 (297,661) (297,661) 372,963 01/23/2025 2.A FE

03674X-AF-3 ANTERO RESOURCES CORP 06/01/2021 CALL 100 16,000 16,000 12,720 12,940 0 455 0 455 0 13,394 0 2,606 2,606 450 06/01/2023 4.A FE

03674X-AQ-9 ANTERO RESOURCES CORP 04/08/2021 GOLDMAN SACHS 53,750 50,000 50,000 0 0 0 0 0 0 50,000 0 3,750 3,750 805 02/01/2029 4.B FE

045086-AH-8 ASHTON WOODS USA LLC 04/29/2021 EXTERNAL MANAGER TRA 39,813 35,000 30,355 30,430 0 172 0 172 0 30,602 0 9,211 9,211 2,035 04/01/2027 4.B FE

047649-AA-6 ATKORE INC 06/30/2021 EXTERNAL MANAGER TRA 13,163 13,000 13,000 0 0 0 0 0 0 13,000 0 163 163 55 06/01/2031 3.C FE

053773-BB-2 AVIS BUDGET CAR RENTAL LLC 6.37 04/01/24 03/31/2021 EXTERNAL MANAGER TRA 0 0 0 0 0 0 0 0 0 0 0 0 0 1,913 04/01/2024 4. FE

053807-AT-0 AVNET INC 3.75 12/01/21 05/03/2021 CALL 101.689 3,748,257 3,686,000 3,794,000 3,754,891 0 (27,911) 0 (27,911) 0 3,726,980 0 (40,980) (40,980) 120,618 12/01/2021 2.C FE

05545M-AA-0 BBA US HOLDINGS INC 06/07/2021 CALL 102.6875 92,419 90,000 92,363 0 0 (190) 0 (190) 0 92,172 0 (2,172) (2,172) 5,321 05/01/2026 3.C FE

058498-AW-6 BALL CORPORATION 06/23/2021 EXTERNAL MANAGER TRA 12,594 13,000 12,383 12,622 0 21 247 (226) 0 12,396 0 198 198 324 08/15/2030 3.A FE

06051G-HH-5 BANK OF AMERICA CORP 05/17/2021 CALL 100 2,275,000 2,275,000 2,329,964 2,299,781 0 (24,781) 0 (24,781) 0 2,275,000 0 0 0 39,801 05/17/2022 1.F FE

06051G-HT-9 BANK OF AMERICA CORP 06/17/2021 SUSQUEHANNA 1,368,213 1,250,000 1,327,330 1,319,356 0 (5,850) 0 (5,850) 0 1,313,506 0 54,706 54,706 29,411 04/23/2027 1.F FE

06051G-JS-9 BANK OF AMERICA CORP 04/26/2021 CANTOR FITZGERALD 504,335 500,000 500,000 0 0 0 0 0 0 500,000 0 4,335 4,335 145 07/22/2027 1.F FE

06846N-AF-1 BILL BARRETT CORP 04/05/2021 EXCHANGE OFFER 32,936 133,000 31,588 33,150 0 (214) 0 (214) 0 32,936 0 0 0 3 06/15/2025 6. FE

093645-AJ-8 BLOCK COMMUNICATIONS INC. 06/17/2021 GOLDMAN SACHS 132,791 130,000 128,491 129,741 0 33 1,046 (1,013) 0 128,728 0 4,064 4,064 5,105 03/01/2028 4.A FE

094234-AA-9 BLOOMIN BRANDS INC 04/07/2021 EXTERNAL MANAGER TRA 22,303 22,000 22,000 0 0 0 0 0 0 22,000 0 303 303 0 04/15/2029 4.B FE

09951L-AA-1 BOOZ ALLEN HAMILTON INC 04/27/2021 BANK OF AMERICA 110,413 110,000 110,990 0 0 (15) 0 (15) 0 110,975 0 (562) (562) 687 09/01/2028 3.C FE

103304-BQ-3 BOYD GAMING CORPORATION 6 08/15/26 06/09/2021 CALL 103.993224 141,431 136,000 117,924 118,690 0 1,062 0 1,062 0 119,752 0 16,248 16,248 12,095 08/15/2026 5.A FE

103304-BV-2 BOYD GAMING CORPORATION 05/25/2021 STIFEL NICOLAUS 50,188 50,000 50,000 0 0 0 0 0 0 50,000 0 188 188 0 06/15/2031 4.B FE

103557-AA-2 BOYNE USA INC 7.25 05/01/25 04/28/2021 EXTERNAL MANAGER TRA 173,396 167,000 164,162 162,608 0 256 0 256 0 162,863 0 10,533 10,533 5,986 05/01/2025 4.B FE

10373Q-BR-0 BP CAPITAL MARKETS AMERICA INC 06/15/2021 VARIOUS 2,754,285 2,750,000 2,750,000 0 0 0 0 0 0 2,750,000 0 4,285 4,285 0 06/17/2041 1.F FE

11133T-AE-3 BROADRIDGE FINANCIAL SOLUTIONS INC 05/06/2021 SUSQUEHANNA 999,920 1,000,000 999,570 0 0 0 0 0 0 999,570 0 350 350 0 05/01/2031 2.A FE

11134L-AF-6 BROADCOM CORPORATION/BROADCOM CAYM 03/31/2021 EXTERNAL MANAGER TRA 547,040 500,000 537,780 534,839 0 (2,991) 0 (2,991) 0 531,848 0 15,192 15,192 12,889 01/15/2024 2.C FE

12008R-AM-9 BUILDERS FIRSTSOURCE INC 06/24/2021 VARIOUS 189,038 176,000 179,130 114,367 0 (466) 0 (466) 0 178,805 0 10,233 10,233 7,671 06/01/2027 3.B FE

124857-AM-5 VIACOMCBS INC 06/02/2021 VARIOUS 398,658 367,000 357,609 361,035 0 649 0 649 0 361,685 0 36,973 36,973 10,901 08/15/2024 2.B FE

1248EP-BM-4 CCO HOLDINGS LLC/CCO HOLDI 5.75 02/15/26 06/20/2021 CALL 102.875 56,581 55,000 56,330 55,733 0 (60) 0 (60) 0 55,673 0 (673) (673) 6,474 02/15/2026 3.B FE

12527G-AC-7 CF INDUSTRIES INC 06/24/2021 BANK OF AMERICA 146,258 140,000 146,426 146,300 0 (1,263) 0 (1,263) 0 145,037 0 1,221 1,221 2,777 06/01/2023 3.A FE

E05.2




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


12527G-AF-0 CF INDUSTRIES INC 06/16/2021 FLOW TRADERS US INST 131,313 110,000 125,455 0 0 (394) 10,395 (10,789) 0 125,061 0 6,251 6,251 4,296 03/15/2034 3.A FE

12543D-BF-6 CHS/COMMUNITY HEALTH SYSTEMS INC 05/27/2021 GOLDMAN SACHS 289,438 275,000 254,661 257,205 0 1,512 0 1,512 0 258,717 0 30,720 30,720 14,474 02/15/2025 4.C FE

12543D-BK-5 COMMUNITY HEALTH SYSTEMS INC 06/02/2021 GOLDMAN SACHS 98,625 100,000 97,500 0 0 34 2,125 (2,091) 0 97,534 0 1,091 1,091 1,517 02/15/2031 4.B FE

125581-HA-9 CIT GROUP INC 06/17/2021 BANK OF AMERICA 116,050 110,000 116,325 0 0 (596) 0 (596) 0 115,729 0 321 321 2,178 06/19/2024 3.A FE

126307-AU-1 CSC HOLDINGS LLC 05/15/2021 STATE STREET BANK 734,663 715,000 726,751 604,188 0 (1,138) 1,765 (2,903) 0 725,210 0 9,453 9,453 19,663 05/15/2026 3.C FE

12636Y-AA-0 CRH AMERICA FINANCE INC 06/21/2021 JANE STREET EXECUTIO 615,440 560,000 595,587 593,121 0 (2,426) 0 (2,426) 0 590,695 0 24,745 24,745 11,847 05/09/2027 2.A FE

126650-DK-3 CVS HEALTH CORP 03/30/2021 WELLS FARGO 0 0 0 0 0 0 0 0 0 0 0 0 0 15,469 04/01/2040 2. FE

131347-CP-9 CALPINE CORP 06/17/2021 GOLDMAN SACHS 146,630 150,000 146,300 0 0 40 5,388 (5,348) 0 146,339 0 290 290 2,698 02/01/2029 4.A FE

131347-CR-5 CALPINE CORP 06/17/2021 GOLDMAN SACHS 189,500 200,000 190,500 0 0 233 4,051 (3,818) 0 190,682 0 (1,182) (1,182) 3,854 03/01/2031 3.A FE

14042E-3Y-4 CAPITAL ONE BANK USA NA / CAPITAL 06/23/2021 CALL 100 2,094,000 2,094,000 2,117,904 2,104,274 0 (10,274) 0 (10,274) 0 2,094,000 0 0 0 56,625 07/23/2021 2.A FE

14913Q-2X-6 CATERPILLAR FINANCIAL SERVICES COR 05/17/2021 MATURITY 3,000,000 3,000,000 3,004,285 3,000,921 0 (921) 0 (921) 0 3,000,000 0 0 0 9,005 05/17/2021 1.F FE

15103M-AA-3 CELESTIAL-SATURN MERGER SUB INC 06/21/2021 VARIOUS 325,000 325,000 325,000 0 0 0 0 0 0 325,000 0 0 0 1,491 05/01/2028 4.A FE

15135B-AR-2 CENTENE CORPORATION 05/26/2021 BARCLAY'S CAPITAL 410,475 390,000 409,644 413,400 0 (1,143) 4,111 (5,254) 0 408,146 0 2,330 2,330 7,505 12/15/2027 3.A FE

156700-AR-7 CENTURYLINK INC 6.45 06/15/21 05/07/2021 EXTERNAL MANAGER TRA 277,242 276,000 278,795 276,044 0 (55) 0 (55) 0 275,990 0 1,252 1,252 7,220 06/15/2021 4.B FE

15723R-AA-2 CFX ESCROW CORP 04/24/2021 VARIOUS 200,850 195,000 195,786 194,425 0 434 274 160 0 194,584 0 2,216 2,216 12,143 02/15/2024 3.B FE

161175-CA-0 CHARTER COMMUNICATIONS OPERATING L 05/18/2021 SUSQUEHANNA 948,740 1,000,000 955,780 0 0 0 0 0 0 955,780 0 (7,040) (7,040) 108 06/01/2052 2.C FE

161175-CC-6 CHARTER COMMUNICATIONS OPERATING L 05/18/2021 SUSQUEHANNA 1,002,440 1,000,000 999,060 0 0 0 0 0 0 999,060 0 3,380 3,380 0 01/12/2061 2.C FE

163851-AE-8 CHEMOURS COMPANY 04/19/2021 ROYAL BANK OF CANADA 96,188 90,000 95,670 0 0 (37) 0 (37) 0 95,633 0 554 554 2,096 05/15/2027 4.B FE

16411Q-AH-4 CHENIERE ENERGY PARTNERS LP 06/17/2021 GOLDMAN SACHS 390,000 375,000 377,875 0 0 (76) 0 (76) 0 377,799 0 12,201 12,201 4,167 03/01/2031 3.B FE

17252M-AK-6 CINTAS CORPORATION NO. 2 06/01/2021 MATURITY 463,000 463,000 480,168 468,815 0 (5,815) 0 (5,815) 0 463,000 0 0 0 9,955 06/01/2021 1.G FE

18064P-AA-7 CLARIVATE SCIENCE HOLDINGS CORP 06/15/2021 EXTERNAL MANAGER TRA 45,000 45,000 45,000 0 0 0 0 0 0 45,000 0 0 0 0 06/30/2028 4.B FE

18064P-AB-5 CLARIVATE SCIENCE HOLDINGS CORP 06/15/2021 EXTERNAL MANAGER TRA 45,563 45,000 45,000 0 0 0 0 0 0 45,000 0 563 563 0 06/30/2029 5.A FE

18451Q-AP-3 CLEAR CHANNEL WORLDWIDE HOLDINGS I 06/16/2021 VARIOUS 162,108 155,000 149,611 64,202 0 362 134 228 0 151,229 0 5,976 5,976 16,816 02/15/2024 5.B FE

18453H-AC-0 CLEAR CHANNEL OUTDOOR HOLDINGS INC 05/03/2021 EXTERNAL MANAGER TRA 36,138 35,000 34,650 0 0 2 350 (348) 0 34,652 0 1,486 1,486 588 04/15/2028 5.B FE

185899-AJ-0 CLEVELAND-CLIFFS INC 06/24/2021 VARIOUS 631,906 538,000 626,771 103,180 0 (6,672) 195 (6,867) 0 619,888 0 12,017 12,017 40,561 10/17/2025 4.A FE

191216-DJ-6 COCA-COLA CO 05/21/2021 WELLS FARGO 996,080 1,000,000 995,840 0 0 118 0 118 0 995,958 0 122 122 3,333 03/05/2028 1.E FE

191216-DQ-0 COCA-COLA CO 04/28/2021 VARIOUS 3,005,460 3,000,000 2,999,100 0 0 0 0 0 0 2,999,100 0 6,360 6,360 0 05/05/2041 1.E FE

192108-BC-1 COEUR MINING INC 06/24/2021 GOLDMAN SACHS 98,625 100,000 95,500 0 0 107 4,500 (4,393) 0 95,607 0 3,018 3,018 1,666 02/15/2029 4.C FE

209115-AC-8 CONSOLIDATED EDISON INC 05/15/2021 MATURITY 357,000 357,000 357,663 357,152 0 (152) 0 (152) 0 357,000 0 0 0 3,570 05/15/2021 2.B FE

219350-BB-0 CORNING INC 05/10/2021 CALL 102.716856 854,604 832,000 854,464 847,130 0 (4,467) 0 (4,467) 0 842,663 0 (10,663) (10,663) 34,333 05/15/2022 2.A FE

221644-AA-5 COTT HOLDINGS INC 5.5 04/01/25 04/22/2021 EXTERNAL MANAGER TRA 252,888 246,000 236,744 236,881 0 600 0 600 0 237,481 0 15,407 15,407 7,592 04/01/2025 4.B FE

222862-AJ-3 COVENTRY HEALTH CARE INC 06/15/2021 MATURITY 526,000 526,000 539,424 529,326 0 (3,326) 0 (3,326) 0 526,000 0 0 0 14,334 06/15/2021 2.B FE

224044-BW-6 COX COMMUNICATIONS INC 05/29/2021 CALL 104.458454 10,696,546 10,240,000 10,757,877 6,775,502 0 (78,073) 0 (78,073) 0 10,663,153 0 (423,153) (423,153) 608,155 12/15/2022 2.B FE

224044-CH-8 COX COMMUNICATIONS INC 3.15 08/15/24 06/03/2021 CA_CASH_CLOSE 1,570,614 1,459,000 1,480,524 1,482,101 0 (2,703) 0 (2,703) 0 1,479,398 0 (20,398) (20,398) 113,267 08/15/2024 2.B FE

224044-CP-0 COX COMMUNICATIONS INC 05/18/2021 SUSQUEHANNA 2,990,130 3,000,000 2,983,050 0 0 0 0 0 0 2,983,050 0 7,080 7,080 0 06/15/2051 2.B FE

22822V-AY-7 CROWN CASTLE INTERNATIONAL CORP 06/15/2021 SUSQUEHANNA 998,140 1,000,000 997,430 0 0 0 0 0 0 997,430 0 710 710 0 07/15/2031 2.C FE

23355L-AA-4 DXC TECHNOLOGY CO 04/15/2021 CALL 105.493 352,347 334,000 352,474 0 0 (2,289) 0 (2,289) 0 350,184 0 (16,184) (16,184) 27,017 09/18/2022 2.C FE

235825-AE-6 DANA INC 05/17/2021 CALL 101.833 412,424 405,000 386,949 389,013 0 1,328 0 1,328 0 390,341 0 14,659 14,659 16,829 12/15/2024 4.B FE

24422E-UW-7 JOHN DEERE CAPITAL CORP 06/07/2021 MATURITY 2,000,000 2,000,000 2,000,000 2,000,000 0 0 0 0 0 2,000,000 0 0 0 6,103 06/07/2021 1.F FE

24422E-UZ-0 JOHN DEERE CAPITAL CORP 04/28/2021 WELLS FARGO 1,005,070 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 5,070 5,070 2,655 06/13/2022 1.F FE

24422E-VR-7 JOHN DEERE CAPITAL CORP 06/21/2021 STIFEL NICOLAUS 497,920 500,000 499,175 0 0 2 0 2 0 499,177 0 (1,257) (1,257) 88 06/17/2026 1.F FE

24703D-AZ-4 DELL INTERNATIONAL LLC 06/23/2021 EXCHANGE OFFER 69,953 70,000 69,664 69,949 0 4 0 4 0 69,953 0 0 0 2,496 10/01/2026 2.C FE

247361-ZZ-4 DELTA AIR LINES INC 04/14/2021 FLOW TRADERS US INST 170,738 145,000 147,122 147,057 0 (120) 0 (120) 0 146,937 0 23,801 23,801 9,030 01/15/2026 3.A FE

25272K-AK-9 DIAMOND 1 FINANCE CORPORATION/DIAM 06/23/2021 EXCHANGE OFFER 74,535 72,000 74,755 74,745 0 (210) 0 (210) 0 74,535 0 0 0 2,264 06/15/2026 2.C FE

25272K-AR-4 DIAMOND 1 FINANCE CORPORATION/DIAM 04/15/2021 EXTERNAL MANAGER TRA 109,589 69,000 81,656 81,328 0 (63) 0 (63) 0 81,265 0 28,324 28,324 4,385 07/15/2046 2.C FE

25272K-AU-7 DIAMOND 1 FINANCE CORP 5.87 06/15/21 04/22/2021 CALL 100 71,000 71,000 71,869 70,956 0 24 0 24 0 70,980 0 20 20 1,472 06/15/2021 3.B FE

254687-CR-5 WALT DISNEY CO 04/29/2021 WELLS FARGO 811,665 750,000 802,575 788,000 0 (4,560) 0 (4,560) 0 783,440 0 28,225 28,225 17,667 10/01/2023 2.A FE

25470X-AE-5 DISH DBS CORP 6.75 06/01/21 05/26/2021 EXTERNAL MANAGER TRA 140,070 140,000 143,289 140,379 0 (373) 0 (373) 0 140,007 0 63 63 4,646 06/01/2021 4.C FE

257375-AP-0 DOMINION ENERGY GAS HOLDINGS LLC 06/22/2021 CITIGROUP 525,180 500,000 500,705 500,641 0 (30) 0 (30) 0 500,611 0 24,569 24,569 9,083 11/15/2029 2.A FE

257559-AH-7 DOMTAR CORP 04/08/2021 CALL 103.831936 1,837,825 1,770,000 1,832,339 0 0 (15,171) 0 (15,171) 0 1,817,169 0 (47,169) (47,169) 108,280 04/01/2022 2.C FE

26441C-BA-2 DUKE ENERGY CORP 05/14/2021 MATURITY 1,200,000 1,200,000 1,200,240 1,200,043 0 (43) 0 (43) 0 1,200,000 0 0 0 4,257 05/14/2021 2.B FE

26441Y-AW-7 DUKE REALTY LP 06/20/2021 CALL 104.518764 810,020 775,000 805,721 0 0 (2,885) 0 (2,885) 0 802,836 0 (27,836) (27,836) 40,443 10/15/2022 2.A FE

26483E-AJ-9 DUN & BRADSTREET CORPORATION (THE) 06/17/2021 GOLDMAN SACHS 265,313 250,000 257,989 257,879 0 (567) 627 (1,194) 0 256,685 0 8,627 8,627 14,609 08/15/2026 4.A FE

267475-AD-3 DYCOM INDUSTRIES INC 06/24/2021 BANK OF AMERICA 100,000 100,000 100,375 0 0 (2) 0 (2) 0 100,373 0 (373) (373) 1,088 04/15/2029 3.C FE

E05.3




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


26884L-AG-4 EQT CORP 06/17/2021 GOLDMAN SACHS 202,010 155,000 150,843 151,177 0 (7) 0 (7) 0 151,170 0 50,840 50,840 11,905 02/01/2030 3.B FE

26885B-AC-4 EQT MIDSTREAM PARTNERS LP 06/17/2021 GOLDMAN SACHS 182,340 170,000 153,425 154,444 0 749 0 749 0 155,193 0 27,147 27,147 8,727 07/15/2028 3.C FE

278642-AN-3 EBAY INC 05/03/2021 JP MORGAN 4,659,838 4,541,000 4,731,622 2,170,231 0 (44,752) 0 (44,752) 0 4,650,571 0 9,267 9,267 113,121 03/09/2022 2.A FE

278642-AX-1 EBAY INC 05/03/2021 JANE STREET EXECUTIO 1,998,560 2,000,000 1,997,400 0 0 0 0 0 0 1,997,400 0 1,160 1,160 0 05/10/2026 2.A FE

278642-AY-9 EBAY INC 05/03/2021 SUSQUEHANNA 1,000,790 1,000,000 999,560 0 0 0 0 0 0 999,560 0 1,230 1,230 0 05/10/2031 2.A FE

278642-AZ-6 EBAY INC 05/03/2021 JANE STREET EXECUTIO 2,012,640 2,000,000 1,998,180 0 0 0 0 0 0 1,998,180 0 14,460 14,460 0 05/10/2051 2.A FE

28414H-AE-3 ELANCO ANIMAL HEALTH INC 06/02/2021 FLOW TRADERS US INST 118,800 110,000 118,800 0 0 (613) 0 (613) 0 118,187 0 613 613 1,546 08/28/2023 3.B FE

292505-AD-6 OVINTIV INC 06/23/2021 CITIGROUP 197,250 150,000 144,901 144,985 0 93 0 93 0 145,078 0 52,172 52,172 8,396 08/15/2034 3.A FE

29261A-AB-6 ENCOMPASS HEALTH CORP 06/24/2021 BANK OF AMERICA 248,442 235,000 223,825 224,377 0 452 0 452 0 224,829 0 23,613 23,613 10,139 02/01/2030 4.A FE

29273R-BK-4 ENERGY TRANSFER PARTNERS LP 04/29/2021 BANK OF AMERICA 490,991 450,000 432,030 433,140 0 731 0 731 0 433,870 0 57,120 57,120 10,395 04/15/2027 2.C FE

29362U-AD-6 ENTEGRIS INC 04/19/2021 EXTERNAL MANAGER TRA 42,315 42,000 42,000 0 0 0 0 0 0 42,000 0 315 315 0 05/01/2029 3.B FE

29444U-AR-7 EQUINIX INC 06/02/2021 CALL 107.252507 1,072,525 1,000,000 1,091,590 1,081,155 0 (16,481) 0 (16,481) 0 1,064,674 0 (64,674) (64,674) 101,938 05/15/2027 2.C FE

29717P-AL-1 ESSEX PORTFOLIO LP 06/16/2021 CALL 104.6564596 1,381,465 1,320,000 1,377,948 0 0 (9,133) 0 (9,133) 0 1,368,815 0 (48,815) (48,815) 80,152 01/15/2023 2.A FE

30034T-AA-1 EVERI HOLDINGS INC 06/30/2021 EXTERNAL MANAGER TRA 30,750 30,000 30,000 0 0 0 0 0 0 30,000 0 750 750 0 07/15/2029 4.B FE

30212P-AS-4 EXPEDIA GROUP INC 05/03/2021 VARIOUS 52,397 45,000 45,555 45,483 0 (33) 0 (33) 0 45,450 0 6,947 6,947 11,658 05/01/2025 2.C FE

31428X-CD-6 FEDEX CORP 04/20/2021 SUSQUEHANNA 2,494,000 2,500,000 2,491,775 0 0 0 0 0 0 2,491,775 0 2,225 2,225 0 05/15/2031 2.B FE

337738-AL-2 FISERV INC 06/15/2021 MATURITY 963,000 963,000 1,001,944 980,531 0 (17,531) 0 (17,531) 0 963,000 0 0 0 22,871 06/15/2021 2.B FE

345370-CA-6 FORD MOTOR COMPANY 06/24/2021 BANK OF AMERICA 235,746 180,000 225,900 0 0 (305) 0 (305) 0 225,595 0 10,151 10,151 6,035 07/16/2031 3.B FE

345370-CQ-1 FORD MOTOR CO 05/25/2021 GOLDMAN SACHS 125,156 125,000 125,256 125,713 0 (12) 457 (469) 0 125,244 0 (87) (87) 5,146 01/15/2043 3.B FE

345370-CW-8 FORD MOTOR COMPANY 06/24/2021 BANK OF AMERICA 908,128 740,000 842,409 403,662 0 (6,787) 174 (6,961) 0 833,001 0 75,127 75,127 45,510 04/22/2025 3.A FE

346232-AF-8 FORESTAR GROUP INC 06/24/2021 BANK OF AMERICA 110,930 110,000 110,000 0 0 0 0 0 0 110,000 0 930 930 788 05/15/2026 4.A FE

34960P-AD-3 FORTRESS TRANSPORTATION AND INFRAS 04/07/2021 BARCLAY'S CAPITAL 20,450 20,000 20,000 0 0 0 0 0 0 20,000 0 450 450 0 05/01/2028 3.C FE

35671D-CC-7 FREEPORT-MCMORAN INC 06/24/2021 BANK OF AMERICA 205,910 195,000 199,601 200,281 0 (358) 458 (816) 0 199,465 0 6,445 6,445 8,044 09/01/2027 3.A FE

36164Y-AB-7 GCP APPLIED TECHNOLOGIES INC 04/20/2021 BARCLAY'S CAPITAL 308,475 300,000 276,000 278,431 0 1,078 0 1,078 0 279,509 0 28,966 28,966 8,571 04/15/2026 4.A FE

361841-AJ-8 GLP CAPITAL LP 5.25 06/01/25 06/22/2021 EXTERNAL MANAGER TRA 19,159 17,000 15,923 15,927 0 102 0 102 0 16,029 0 3,130 3,130 503 06/01/2025 2.C FE

362438-AA-1 GW HONOS SECURITY CORP 8.75 05/15/25 05/19/2021 EXTERNAL MANAGER TRA 203,892 195,000 181,250 182,356 0 927 0 927 0 183,283 0 20,609 20,609 8,768 05/15/2025 5.A FE

36258Y-BG-2 GSMS_20-GC45 03/31/2021 BARCLAY'S CAPITAL 0 0 0 0 0 0 0 0 0 0 0 0 0 4,851 02/13/2053 1. FM

369550-BN-7 GENERAL DYNAMICS CORPORATION 05/03/2021 VARIOUS 1,998,040 2,000,000 1,996,860 0 0 0 0 0 0 1,996,860 0 1,180 1,180 0 06/01/2026 1.G FE

369604-BX-0 GENERAL ELECTRIC CO 06/09/2021 CA_CASH_CLOSE 573,225 500,000 498,590 498,619 0 23 0 23 0 498,643 0 1,358 1,358 86,093 05/01/2040 2.B FE

370334-CB-8 GENERAL MILLS INC 04/16/21 04/16/2021 MATURITY 986,000 986,000 987,745 986,291 0 (291) 0 (291) 0 986,000 0 0 0 3,849 04/16/2021 2.B FE

370334-CD-4 GENERAL MILLS INC 04/16/2021 MATURITY 1,125,000 1,125,000 1,145,261 1,130,312 0 (5,312) 0 (5,312) 0 1,125,000 0 0 0 18,000 04/16/2021 2.B FE

370334-CL-6 GENERAL MILLS INC 06/09/2021 BANK OF AMERICA 1,316,450 1,250,000 1,311,400 0 0 (55) 0 (55) 0 1,311,345 0 5,105 5,105 5,590 04/15/2030 2.B FE

370334-CM-4 GENERAL MILLS INC 06/04/2021 CITIGROUP 1,367,007 1,413,000 938,037 0 0 2,256 0 2,256 0 940,293 0 426,714 426,714 15,425 02/01/2051 2.B FE

37045X-CJ-3 GENERAL MOTORS FINANCIAL CO INC 04/09/2021 MATURITY 475,000 475,000 466,740 473,984 0 1,016 0 1,016 0 475,000 0 0 0 8,431 04/09/2021 2.C FE

37045X-DK-9 GENERAL MOTORS FINANCIAL CO INC 06/07/2021 SUSQUEHANNA 1,497,480 1,500,000 1,497,270 0 0 0 0 0 0 1,497,270 0 210 210 0 06/10/2026 2.C FE

37892A-AA-8 GLOBAL NET LEASE INC 04/08/2021 GOLDMAN SACHS 68,600 70,000 68,775 0 0 3 0 3 0 68,778 0 (178) (178) 846 12/15/2027 3.A FE

38141G-WC-4 GOLDMAN SACHS GROUP INC/THE 04/26/2021 CALL 100 1,500,000 1,500,000 1,528,770 1,510,486 0 (10,486) 0 (10,486) 0 1,500,000 0 0 0 22,500 04/26/2022 2.A FE

382550-BG-5 GOODYEAR TIRE & RUBBER COMPANY (TH 05/13/2021 CREDIT SUISSE 104,750 100,000 102,625 0 0 (51) 0 (51) 0 102,574 0 2,176 2,176 840 03/15/2027 4.A FE

390607-AF-6 GREAT LAKES DREDGE & DOCK CORPORAT 05/13/2021 VARIOUS 102,313 100,000 100,000 0 0 0 0 0 0 100,000 0 2,313 2,313 0 06/01/2029 4.B FE

398433-AP-7 GRIFFON CORPORATION 04/28/2021 EXTERNAL MANAGER TRA 117,425 110,000 103,410 103,956 0 220 0 220 0 104,176 0 13,249 13,249 4,199 03/01/2028 4.B FE

40390D-AC-9 HLF FINANCING SARL LLC 05/07/2021 VARIOUS 100,563 100,000 100,000 0 0 0 0 0 0 100,000 0 563 563 0 06/01/2029 4.A FE

404119-BS-7 HCA INC 05/04/2021 BNP PARIBAS 619,650 540,000 619,229 561,269 0 (4,990) 245 (5,235) 0 613,596 0 6,054 6,054 21,532 02/15/2026 3.B FE

404119-BW-8 HCA INC 06/24/2021 VARIOUS 768,400 640,000 754,000 0 0 (1,428) 0 (1,428) 0 752,572 0 15,828 15,828 15,092 02/01/2029 3.B FE

404119-CA-5 HCA INC 05/28/2021 VARIOUS 411,500 400,000 402,383 0 0 (420) 24,117 (24,537) 0 401,963 0 9,537 9,537 10,528 09/01/2030 3.B FE

40434L-AB-1 HP INC 06/07/2021 MORGAN STANLEY 535,495 500,000 498,590 498,684 0 83 0 83 0 498,767 0 36,728 36,728 7,167 06/17/2027 2.B FE

40434L-AD-7 HP INC 06/07/2021 SUSQUEHANNA 748,845 750,000 748,560 0 0 0 0 0 0 748,560 0 285 285 0 06/17/2026 2.B FE

418751-AA-1 HAT HOLDINGS I LLC 06/17/2021 EXTERNAL MANAGER TRA 97,746 95,000 91,788 91,799 0 378 0 378 0 92,177 0 5,569 5,569 4,613 07/15/2024 3.A FE

42824C-BK-4 HEWLETT PACKARD ENTERPRISE CO 06/01/2021 BANK OF AMERICA 1,520,970 1,500,000 1,501,485 0 0 (62) 0 (62) 0 1,501,423 0 19,547 19,547 4,521 04/01/2026 2.B FE

431116-AE-2 HIGHMARK INC 05/06/2021 STIFEL NICOLAUS 499,340 500,000 499,870 0 0 0 0 0 0 499,870 0 (530) (530) 0 05/10/2031 2.B FE

43284M-AA-6 HILTON GRAND VACATIONS BORROWER LL 05/21/2021 STIFEL NICOLAUS 50,250 50,000 50,000 0 0 0 0 0 0 50,000 0 250 250 0 06/01/2029 4.C FE

440452-AG-5 HORMEL FOODS CORPORATION 05/25/2021 JANE STREET EXECUTIO 1,000,300 1,000,000 999,820 0 0 0 0 0 0 999,820 0 480 480 0 06/03/2024 1.F FE

44106M-AZ-5 HOSPITALITY PROPERTIES TRUST 06/16/2021 VARIOUS 123,690 124,000 99,100 102,184 0 1,559 0 1,559 0 103,743 0 19,947 19,947 3,265 10/01/2024 3.C FE

44106M-BA-9 HOSPITALITY PROPERTIES TRUST 04/15/2021 EXTERNAL MANAGER TRA 72,890 74,000 61,709 62,817 0 457 0 457 0 63,273 0 9,617 9,617 1,899 10/01/2026 3.C FE

44267D-AD-9 HOWARD HUGHES CORP 06/24/2021 MORGAN STANLEY 105,875 100,000 105,319 107,000 0 (338) 1,800 (2,138) 0 104,862 0 1,013 1,013 4,628 08/01/2028 3.C FE

E05.4




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


443201-AA-6 HOWMET AEROSPACE INC 05/05/2021 FLOW TRADERS US INST 127,875 110,000 128,288 0 0 (196) 0 (196) 0 128,091 0 (216) (216) 3,907 05/01/2025 3.A FE

444454-AA-0 HUGHES SATELLITE SYSTEMS C 7.62 06/15/21 05/26/2021 EXTERNAL MANAGER TRA 280,840 280,000 290,421 281,087 0 (986) 0 (986) 0 280,100 0 740 740 9,667 06/15/2021 4.B FE

451102-BZ-9 ICAHN ENTERPRISES LP 06/28/2021 VARIOUS 616,313 600,000 559,750 511,830 0 2,112 0 2,112 0 565,379 0 50,933 50,933 17,948 05/15/2027 3.C FE

45780R-AA-9 INSTALLED BUILDING PRODUCTS INC 04/13/2021 BANK OF AMERICA 68,413 65,000 61,750 61,997 0 94 0 94 0 62,091 0 6,321 6,321 2,637 02/01/2028 4.A FE

46647P-CD-6 JPMORGAN CHASE & CO 05/24/2021 JP MORGAN 500,430 500,000 500,000 0 0 0 0 0 0 500,000 0 430 430 1,491 04/22/2042 1.F FE

47216F-AA-5 JAZZ SECURITIES DAC 04/22/2021 STIFEL NICOLAUS 40,900 40,000 40,000 0 0 0 0 0 0 40,000 0 900 900 0 01/15/2029 3.B FE

48666K-AZ-2 KB HOME 05/28/2021 SUMRIDGE PARTNERS 110,000 110,000 110,000 0 0 0 0 0 0 110,000 0 0 0 0 06/15/2031 3.B FE

48850P-AA-2 KEN GARFF AUTOMOTIVE LLC 06/23/2021 BANK OF AMERICA 163,200 160,000 162,000 0 0 (50) 0 (50) 0 161,950 0 1,250 1,250 2,167 09/15/2028 4.B FE

49271V-AE-0 KEURIG DR PEPPER INC 05/25/2021 MATURITY 2,400,000 2,400,000 2,463,296 2,421,412 0 (21,412) 0 (21,412) 0 2,400,000 0 0 0 42,612 05/25/2021 2.B FE

49271V-AM-2 KEURIG DR PEPPER INC 06/11/2021 MITSUBISHI UFJ 103,064 100,000 99,624 0 0 0 0 0 0 99,624 0 3,440 3,440 838 03/15/2051 2.B FE

50076Q-AE-6 KRAFT HEINZ FOODS CO 06/14/2021 STATE STREET BANK 605,625 510,000 555,883 260,858 0 (299) 4,904 (5,203) 0 555,681 0 49,944 49,944 13,458 06/04/2042 3.A FE

50076Q-AN-6 KRAFT HEINZ FOODS CO 06/14/2021 STATE STREET BANK 442,813 325,000 424,238 0 0 (939) 11,639 (12,578) 0 423,299 0 19,514 19,514 7,335 02/09/2040 3.A FE

50077L-AB-2 KRAFT HEINZ FOODS CO 04/20/2021 VARIOUS 333,638 310,000 292,967 239,151 0 126 0 126 0 293,339 0 40,298 40,298 5,312 06/01/2046 3.A FE

50077L-AL-0 KRAFT HEINZ FOODS CO 06/14/2021 STATE STREET BANK 294,306 245,000 282,497 294,071 0 (1,098) 11,694 (12,792) 0 281,280 0 13,027 13,027 11,195 07/15/2035 3.A FE

50077L-AT-3 KRAFT HEINZ FOODS CO 06/14/2021 STATE STREET BANK 355,725 310,000 346,970 0 0 (1,693) 13,792 (15,485) 0 345,277 0 10,448 10,448 5,337 01/30/2029 3.A FE

50106G-AE-2 KRONOS ACQUISITION HOLDINGS INC 04/07/2021 EXTERNAL MANAGER TRA 31,155 31,000 30,923 31,000 0 0 78 (78) 0 30,923 0 232 232 465 12/31/2026 4.C FE

50106G-AF-9 KRONOS ACQUISITION HOLDINGS INC 04/07/2021 EXTERNAL MANAGER TRA 11,595 12,000 11,490 12,000 0 1 510 (509) 0 11,491 0 104 104 252 12/31/2027 5.B FE

501797-AS-3 L BRANDS INC 04/12/2021 CALL 111.0467266 28,872 26,000 26,000 26,000 0 0 0 0 0 26,000 0 0 0 4,332 07/01/2025 3.B FE

501797-AU-8 L BRANDS INC 04/30/2021 CITIGROUP 221,813 175,000 215,162 214,813 0 (2,807) 0 (2,807) 0 212,005 0 9,807 9,807 14,401 07/01/2025 3.C FE

50187T-AF-3 LGI HOMES INC 06/15/2021 EXTERNAL MANAGER TRA 50,375 50,000 50,000 0 0 0 0 0 0 50,000 0 375 375 0 07/15/2029 3.C FE

50190E-AA-2 LCM INVESTMENTS HOLDINGS II LLC 04/20/2021 EXTERNAL MANAGER TRA 8,160 8,000 8,000 0 0 0 0 0 0 8,000 0 160 160 0 05/01/2029 4.B FE

50540R-AP-7 LABORATORY CORPORATION OF AMERICA 06/11/2021 CALL 101.856 2,656,404 2,608,000 2,711,303 2,683,941 0 (31,112) 0 (31,112) 0 2,652,829 0 (44,829) (44,829) 120,269 02/01/2022 2.B FE

524590-AA-4 LEEWARD RENEWABLE ENERGY LLC 06/30/2021 EXTERNAL MANAGER TRA 5,075 5,000 5,000 0 0 0 0 0 0 5,000 0 75 75 0 07/01/2029 3.C FE

52532X-AA-3 LEIDOS INC 06/23/2021 EXCHANGE OFFER 1,039,078 1,000,000 1,056,130 1,049,137 0 (10,059) 0 (10,059) 0 1,039,078 0 0 0 17,864 05/15/2023 2.C FE

52532X-AE-5 LEIDOS INC 06/23/2021 EXCHANGE OFFER 494,142 500,000 493,580 493,887 0 255 0 255 0 494,142 0 0 0 13,247 05/15/2030 2.C FE

53219L-AS-8 LIFEPOINT HEALTH INC 06/22/2021 BANK OF AMERICA 211,050 210,000 211,155 0 0 (196) 0 (196) 0 210,959 0 91 91 3,292 02/15/2027 4.B FE

536797-AF-0 LITHIA MOTORS INC 04/29/2021 JP MORGAN 142,594 135,000 137,217 139,200 0 (106) 2,010 (2,116) 0 137,084 0 5,509 5,509 3,347 01/15/2031 3.B FE

539830-AF-6 LOCKHEED MARTIN CORPORATION 05/06/2021 CANTOR FITZGERALD 2,629,100 2,000,000 2,595,620 0 0 (20,533) 0 (20,533) 0 2,575,087 0 54,013 54,013 81,375 05/01/2026 1.G FE

546347-AM-7 LOUISIANA PACIFIC CORP 04/26/2021 GOLDMAN SACHS 110,413 110,000 106,975 0 0 22 3,025 (3,003) 0 106,997 0 3,415 3,415 521 03/15/2029 3.B FE

548661-CT-2 LOWES COMPANIES INC 04/15/2021 MATURITY 1,594,000 1,594,000 1,626,224 1,595,392 0 (1,392) 0 (1,392) 0 1,594,000 0 0 0 29,888 04/15/2021 2.A FE

552676-AU-2 MDC HOLDINGS INC 05/05/2021 EXTERNAL MANAGER TRA 38,900 40,000 37,800 0 0 19 2,200 (2,181) 0 37,819 0 1,081 1,081 322 01/15/2031 2.C FE

553283-AC-6 MPH ACQUISITION HOLDINGS LLC 06/02/2021 VARIOUS 168,975 170,000 166,350 49,000 0 88 277 (189) 0 166,410 0 2,565 2,565 5,771 11/01/2028 4.C FE

55616X-AL-1 MACYS RETAIL HOLDINGS INC 04/19/2021 GOLDMAN SACHS 26,260 26,000 24,863 24,876 0 93 0 93 0 24,969 0 1,291 1,291 367 06/01/2024 4.A FE

56585A-BB-7 MARATHON PETROLEUM CORP 06/18/2021 CALL 100.854 1,120,488 1,111,000 1,126,276 0 0 (2,827) 0 (2,827) 0 1,123,450 0 (12,450) (12,450) 21,667 04/01/2024 2.B FE

56585A-BG-6 MARATHON PETROLEUM CORP 06/09/2021 GOLDMAN SACHS 1,605,320 1,500,000 1,610,195 0 0 (9,225) 0 (9,225) 0 1,600,970 0 4,350 4,350 41,250 05/01/2023 2.B FE

57164P-AF-3 MARRIOTT OWNERSHIP RESORTS INC 05/19/2021 STIFEL NICOLAUS 203,500 200,000 152,156 153,996 0 1,850 0 1,850 0 155,846 0 47,654 47,654 6,492 01/15/2028 4.C FE

571903-BD-4 MARRIOTT INTERNATIONAL INC 05/28/2021 BANK OF AMERICA 580,195 500,000 574,210 0 0 (3,080) 0 (3,080) 0 571,130 0 9,065 9,065 16,851 05/01/2025 2.C FE

57636Q-AR-5 MASTERCARD INC 06/11/2021 GOLDMAN SACHS 1,113,220 1,000,000 1,113,880 1,103,682 0 (7,458) 0 (7,458) 0 1,096,223 0 16,997 16,997 23,742 03/26/2027 1.E FE

577081-BB-7 MATTEL INC 6.75 12/31/25 03/19/2021 CALL 105.063 0 0 0 0 0 0 0 0 0 0 0 0 0 2,025 12/31/2025 4. FE

59001K-AD-2 MERITOR INC 06/03/2021 CALL 101.042 127,313 126,000 120,637 120,778 0 630 0 630 0 121,407 0 4,593 4,593 7,613 02/15/2024 3.C FE

59001K-AH-3 MERITOR INC 06/23/2021 GOLDMAN SACHS 131,138 130,000 130,878 0 0 (14) 0 (14) 0 130,864 0 274 274 3,315 12/15/2028 3.C FE

59217G-CY-3 METLIFE GLOBAL FUNDING INC 05/28/2021 MATURITY 5,000,000 5,000,000 5,005,250 5,001,307 0 (1,307) 0 (1,307) 0 5,000,000 0 0 0 14,067 05/28/2021 1.D FE

594918-CF-9 MICROSOFT CORPORATION 04/07/2021 VARIOUS 1,697,026 1,700,000 1,655,460 0 0 11 0 11 0 1,655,471 0 41,555 41,555 3,100 03/17/2062 1.A FE

59523U-AN-7 MID-AMERICA APARTMENT COMMUNITIES 06/02/2021 BANK OF AMERICA 1,679,970 1,500,000 1,532,430 1,526,617 0 (1,640) 0 (1,640) 0 1,524,977 0 154,993 154,993 27,450 06/01/2027 2.A FE

617446-8H-5 MORGAN STANLEY 06/10/2021 CALL 100 1,000,000 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 0 0 4,522 06/10/2022 1.F FE

620076-BC-2 MOTOROLA SOLUTIONS INC 06/10/2021 CALL 105.26 526,300 500,000 526,245 0 0 (1,127) 0 (1,127) 0 525,118 0 (25,118) (25,118) 31,113 03/01/2023 2.C FE

62886H-AR-2 NCL CORPORATION LTD 06/17/2021 GOLDMAN SACHS 247,435 205,000 247,172 174,000 0 (4,630) 0 (4,630) 0 242,150 0 5,285 5,285 15,068 05/15/2024 4.A FE

62912X-AE-4 NGPL PIPECO LLC 06/02/2021 CALL 103.623064 4,663,038 4,500,000 4,669,450 0 0 (9,802) 0 (9,802) 0 4,659,648 0 (159,648) (159,648) 221,554 08/15/2022 2.C FE

62922L-AA-6 NGL ENERGY OPERATING LLC 05/28/2021 BARCLAY'S CAPITAL 103,750 100,000 100,000 0 0 0 0 0 0 100,000 0 3,750 3,750 2,458 02/01/2026 4.A FE

62928C-AA-0 NGPL PIPECO LLC 05/03/2021 CIBC MARKETS INC 1,002,580 1,000,000 999,250 0 0 0 0 0 0 999,250 0 3,330 3,330 0 07/15/2031 2.C FE

63938C-AH-1 NAVIENT CORP 04/21/2021 BANK OF AMERICA 135,313 125,000 119,531 119,990 0 279 0 279 0 120,269 0 15,043 15,043 2,766 06/25/2025 3.C FE

63938C-AJ-7 NAVIENT CORP 04/21/2021 BANK OF AMERICA 96,975 90,000 97,920 97,875 0 (400) 14 (414) 0 97,461 0 (486) (486) 2,160 06/15/2026 3.C FE

644393-AA-8 NEW FORTRESS ENERGY LLC 06/17/2021 GOLDMAN SACHS 153,582 150,000 150,155 150,288 0 (20) 137 (157) 0 150,131 0 3,451 3,451 8,128 09/15/2025 4.A FE

651639-AR-7 NEWMONT GOLDCORP CORP 04/09/2021 CALL 100 2,000,000 2,000,000 2,037,030 2,011,854 0 (11,854) 0 (11,854) 0 2,000,000 0 0 0 24,167 06/09/2021 2.A FE

E05.5




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


65249B-AA-7 NEWS CORP 06/29/2021 EXTERNAL MANAGER TRA 98,235 97,000 97,000 0 0 0 0 0 0 97,000 0 1,235 1,235 745 05/15/2029 3.B FE

65342Q-AK-8 NEXTERA ENERGY OPERATING PARTNERS 04/23/2021 EXTERNAL MANAGER TRA 87,106 82,000 80,131 80,281 0 139 0 139 0 80,420 0 6,686 6,686 2,712 07/15/2024 3.A FE

654106-AM-5 NIKE INC 05/06/2021 BANK OF AMERICA 270,728 250,000 249,158 249,166 0 8 0 8 0 249,174 0 21,553 21,553 5,227 03/27/2050 1.E FE

655664-AR-1 NORDSTROM INC 06/24/2021 CITIGROUP 89,841 90,000 66,825 66,913 0 195 0 195 0 67,109 0 22,732 22,732 4,288 01/15/2044 2.C FE

655844-AW-8 NORFOLK SOUTHERN CORPORATION 04/20/2021 US BANK 2,358,680 2,000,000 2,387,340 2,346,052 0 (23,632) 0 (23,632) 0 2,322,420 0 36,260 36,260 48,136 05/17/2025 2.A FE

67066G-AN-4 NVIDIA CORPORATION 06/14/2021 JANE STREET EXECUTIO 997,210 1,000,000 995,590 0 0 0 0 0 0 995,590 0 1,620 1,620 0 06/15/2031 1.G FE

67079B-AC-4 NUTRITION & BIOSCIENCES INC 05/14/2021 EXCHANGE OFFER 294,910 300,000 294,837 0 0 73 0 73 0 294,910 0 0 0 3,633 10/15/2027 2.B FE

674599-DC-6 OCCIDENTAL PETROLEUM CORPORATION 06/23/2021 BANK OF AMERICA 65,475 60,000 32,063 34,139 0 1,510 0 1,510 0 35,648 0 29,827 29,827 2,590 03/15/2026 3.B FE

680665-AK-2 OLIN CORP 06/24/2021 CITIGROUP 197,025 185,000 178,523 180,547 0 29 1,426 (1,397) 0 179,150 0 17,875 17,875 8,402 02/01/2030 3.C FE

681919-AZ-9 OMNICOM GROUP INC 05/28/2021 CALL 103.022 2,621,910 2,545,000 2,644,317 1,023,224 0 (22,963) 0 (22,963) 0 2,606,598 0 (61,598) (61,598) 129,957 05/01/2022 2.A FE

681919-BD-7 OMNICOM GROUP INC 04/28/2021 SUSQUEHANNA 5,012,000 5,000,000 4,991,150 0 0 0 0 0 0 4,991,150 0 20,850 20,850 0 08/01/2031 2.A FE

683715-AC-0 OPEN TEXT INC 06/17/2021 GOLDMAN SACHS 156,304 155,000 144,538 145,370 0 539 0 539 0 145,909 0 10,395 10,395 5,105 02/15/2028 3.B FE

69331C-AH-1 PG&E CORPORATION 06/17/2021 GOLDMAN SACHS 104,831 105,000 103,553 103,825 0 61 211 (150) 0 103,675 0 1,156 1,156 5,221 07/01/2028 3.C FE

69331C-AJ-7 PG&E CORPORATION 06/17/2021 GOLDMAN SACHS 79,677 80,000 77,300 77,361 0 99 0 99 0 77,460 0 2,217 2,217 4,177 07/01/2030 3.C FE

69356M-AA-4 PM GENERAL PURCHASER LLC 06/22/2021 FLOW TRADERS US INST 127,200 120,000 123,190 123,958 0 (381) 828 (1,209) 0 122,749 0 4,451 4,451 8,328 10/01/2028 4.B FE

707569-AV-1 PENN NATIONAL GAMING INC 06/29/2021 KEYBANC 100,000 100,000 100,000 0 0 0 0 0 0 100,000 0 0 0 0 07/01/2029 4.C FE

71677K-AA-6 PETSMART INC 04/13/2021 GOLDMAN SACHS 72,013 70,000 71,785 0 0 (10) 0 (10) 0 71,775 0 237 237 582 02/15/2028 4.A FE

72147K-AC-2 PILGRIMS PRIDE CORP 04/08/2021 STATE STREET BANK 183,870 180,000 182,351 182,723 0 (149) 332 (481) 0 182,242 0 1,628 1,628 5,836 03/15/2025 3.A FE

72147K-AF-5 PILGRIMS PRIDE CORP 06/28/2021 STIFEL NICOLAUS 103,500 100,000 98,994 0 0 13 0 13 0 99,007 0 4,493 4,493 968 04/15/2031 3.A FE

723787-AU-1 PIONEER NATURAL RESOURCES COMPANY 05/10/2021 CIBC MARKETS INC 1,000,340 1,000,000 999,940 0 0 0 0 0 0 999,940 0 400 400 0 05/15/2023 2.B FE

72431P-AA-0 PISCES MIDCO INC 04/01/2021 EXTERNAL MANAGER TRA 442,468 425,000 374,172 379,041 0 1,781 322 1,459 0 380,500 0 61,968 61,968 16,056 04/15/2026 4.C FE

724479-AQ-3 PITNEY BOWES INC 04/06/2021 GOLDMAN SACHS 200,500 200,000 197,000 0 0 1 3,000 (2,999) 0 197,001 0 3,499 3,499 765 03/15/2029 4.A FE

73179P-AM-8 POLYONE CORPORATION 04/20/2021 JP MORGAN 355,519 335,000 348,705 348,438 0 (866) 0 (866) 0 347,571 0 7,947 7,947 8,401 05/15/2025 3.C FE

740212-AK-1 PRECISION DRILLING CORPORATION 06/16/2021 CALL 101.938 163,101 160,000 161,680 0 0 (454) 0 (454) 0 161,226 0 (1,226) (1,226) 9,335 12/15/2023 4.B FE

74112B-AM-7 PRESTIGE BRANDS INC 04/22/2021 CREDIT SUISSE 48,000 50,000 47,625 0 0 12 2,375 (2,363) 0 47,637 0 363 363 286 04/01/2031 4.B FE

74166N-AA-2 ADT CORP 04/12/2021 CITIGROUP 83,600 80,000 81,240 86,600 0 (120) 5,383 (5,503) 0 81,097 0 2,503 2,503 2,914 07/15/2032 3.C FE

74460D-AC-3 PUBLIC STORAGE 06/23/2021 MORGAN STANLEY 284,643 260,000 274,279 273,036 0 (912) 0 (912) 0 272,124 0 12,519 12,519 6,257 09/15/2027 1.F FE

74841C-AB-7 QUICKEN LOANS LLC 04/05/2021 CREDIT SUISSE 178,988 185,000 178,164 182,964 0 46 4,837 (4,791) 0 178,172 0 815 815 4,042 03/01/2031 3.A FE

75606D-AJ-0 REALOGY GROUP LLC 06/17/2021 JP MORGAN 108,500 100,000 102,402 102,235 0 (206) 0 (206) 0 102,029 0 6,471 6,471 3,940 06/15/2025 3.C FE

756109-AX-2 REALTY INCOME CORPORATION 05/05/2021 MORGAN STANLEY 538,420 500,000 541,205 539,562 0 (1,272) 0 (1,272) 0 538,290 0 130 130 13,181 01/15/2031 1.G FE

75972A-AD-5 RENEWABLE ENERGY GROUP INC 06/30/2021 EXTERNAL MANAGER TRA 14,683 14,000 14,000 0 0 0 0 0 0 14,000 0 683 683 96 06/01/2028 4.B FE

77340R-AR-8 ROCKIES EXPRESS PIPELINE LLC 04/08/2021 STIFEL NICOLAUS 102,750 100,000 102,100 103,309 0 (94) 1,221 (1,315) 0 101,994 0 756 756 3,671 07/15/2029 3.A FE

79466L-AH-7 SALESFORCE.COM INC. 06/29/2021 SUSQUEHANNA 995,830 1,000,000 994,840 0 0 0 0 0 0 994,840 0 990 990 0 07/15/2028 1.F FE

79466L-AJ-3 SALESFORCE.COM INC. 06/29/2021 SUSQUEHANNA 998,820 1,000,000 997,110 0 0 0 0 0 0 997,110 0 1,710 1,710 0 07/15/2031 1.F FE

79466L-AK-0 SALESFORCE.COM INC. 06/29/2021 VARIOUS 1,497,620 1,500,000 1,491,720 0 0 0 0 0 0 1,491,720 0 5,900 5,900 0 07/15/2041 1.F FE

79466L-AL-8 SALESFORCE.COM INC. 06/29/2021 SUSQUEHANNA 500,890 500,000 498,605 0 0 0 0 0 0 498,605 0 2,285 2,285 0 07/15/2051 1.F FE

81721M-AG-4 SENIOR HOUSING PROPERTIES TRUST 06/15/2021 CALL 100 430,000 430,000 436,496 437,924 0 (2,962) 2,629 (5,591) 0 432,333 0 (2,333) (2,333) 14,513 12/15/2021 4.A FE

81761L-AA-0 SERVICE PROPERTIES TRUST 06/15/2021 VARIOUS 223,873 198,000 211,326 211,212 0 (1,227) 64 (1,291) 0 209,921 0 13,953 13,953 10,950 09/15/2025 3.B FE

82967N-BG-2 SIRIUS XM RADIO INC 06/23/2021 VARIOUS 81,506 81,000 79,785 79,838 0 48 0 48 0 79,886 0 1,620 1,620 3,471 07/01/2030 3.C FE

830867-AA-5 DELTA AIR LINES INC 05/03/2021 EXTERNAL MANAGER TRA 50,408 47,000 47,000 47,000 0 0 0 0 0 47,000 0 3,408 3,408 1,304 10/20/2025 2.B FE

830867-AB-3 DELTA AIR LINES INC 05/03/2021 EXTERNAL MANAGER TRA 41,662 38,000 38,000 38,000 0 0 0 0 0 38,000 0 3,662 3,662 1,113 10/20/2028 2.B FE

83088M-AL-6 SKYWORKS SOLUTIONS INC. 05/12/2021 STIFEL NICOLAUS 1,005,080 1,000,000 996,140 0 0 0 0 0 0 996,140 0 8,940 8,940 0 06/01/2031 2.C FE

83283W-AC-7 SMYRNA READY MIX CONCRETE LLC 06/24/2021 EXCHANGE OFFER 40,345 39,000 40,365 0 0 (20) 0 (20) 0 40,345 0 0 0 345 11/01/2028 5. GI

833794-AA-8 SODEXO INC 04/12/2021 SUSQUEHANNA 1,000,240 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 240 240 0 04/16/2026 2.A FE

842587-CS-4 SOUTHERN COMPANY (THE) 2.35 07/01/21 06/01/2021 CALL 100 4,000,000 4,000,000 4,050,200 4,017,039 0 (17,039) 0 (17,039) 0 4,000,000 0 0 0 86,167 07/01/2021 2.B FE

842587-DJ-3 SOUTHERN COMPANY (THE) 06/08/2021 SUMRIDGE PARTNERS 151,887 150,000 150,000 0 0 0 0 0 0 150,000 0 1,887 1,887 531 09/15/2051 2.C FE

84779M-AA-2 SPEEDWAY MOTORSPORTS INC 06/17/2021 BARCLAY'S CAPITAL 116,438 115,000 102,350 103,333 0 648 0 648 0 103,981 0 12,457 12,457 3,582 11/01/2027 4.B FE

84859B-AA-9 SPIRIT LOYALTY KY LTD/IP 05/10/2021 CALL 108 71,280 66,000 74,013 73,920 0 (540) 0 (540) 0 73,380 0 (7,380) (7,380) 8,697 09/20/2025 3.C FE

85172F-AN-9 SPRINGLEAF FINANCE CORP 04/16/2021 EXTERNAL MANAGER TRA 175,845 150,000 149,495 148,303 0 89 0 89 0 148,392 0 27,453 27,453 6,358 03/15/2026 3.C FE

85208N-AA-8 SPRINT SPECTRUM CO LLC 06/20/2021 SINKING PAYMENT 1,186,063 1,186,063 1,199,885 1,194,528 0 (8,466) 0 (8,466) 0 1,186,063 0 0 0 19,926 09/20/2021 2.A FE

85208N-AD-2 SPRINT SPECTRUM CO I/ II /III/ LLC 06/20/2021 VARIOUS 165,000 165,000 173,852 57,367 0 5,407 0 5,407 0 165,000 0 0 0 (54,391) 03/20/2025 2.A FE

852234-AM-5 SQUARE INC 05/21/2021 STIFEL NICOLAUS 60,000 60,000 60,000 0 0 0 0 0 0 60,000 0 0 0 29 06/01/2031 3.B FE

853496-AH-0 STANDARD INDUSTRIES INC 06/02/2021 VARIOUS 175,650 185,000 174,880 186,850 0 103 11,981 (11,878) 0 174,972 0 678 678 4,883 01/15/2031 3.B FE

855244-AN-9 STARBUCKS CORPORATION 05/10/2021 US BANK 1,047,510 1,000,000 1,025,580 1,015,074 0 (2,583) 0 (2,583) 0 1,012,491 0 35,019 35,019 21,614 03/01/2023 2.B FE

E05.6




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


871829-BM-8 SYSCO CORPORATION 06/07/2021 CA_CASH_CLOSE 2,192,580 1,500,000 1,940,860 499,021 0 (527) 0 (527) 0 1,940,344 0 (440,344) (440,344) 727,230 04/01/2040 2.B FE

871829-BN-6 SYSCO CORPORATION 06/07/2021 CA_CASH_CLOSE 43,186 28,000 43,064 43,046 0 (127) 0 (127) 0 42,918 0 (14,918) (14,918) 1,263 04/01/2050 2.C FE

87264A-AY-1 T-MOBILE USA INC 05/25/2021 EXCHANGE OFFER 1,356,523 1,250,000 1,358,748 1,357,362 0 (839) 0 (839) 0 1,356,523 0 0 0 34,375 04/15/2050 2.C FE

87264A-BA-2 T-MOBILE USA INC 05/25/2021 EXCHANGE OFFER 2,667,242 2,475,000 2,677,038 0 0 (9,796) 0 (9,796) 0 2,667,242 0 0 0 52,938 04/15/2025 2.C FE

88033G-CU-2 TENET HEALTHCARE CORPORATION 06/17/2021 CALL 101.281 147,870 146,000 139,742 140,271 0 541 0 541 0 140,812 0 5,188 5,188 6,568 05/01/2025 4.B FE

88033G-CX-6 TENET HEALTHCARE CORPORATION 05/18/2021 CITIGROUP 125,400 120,000 126,495 126,241 0 (2,216) 0 (2,216) 0 124,026 0 1,374 1,374 6,021 02/01/2027 4.B FE

880349-AS-4 TENNECO INC 04/22/2021 BANK OF AMERICA 56,500 50,000 55,375 0 0 (114) 0 (114) 0 55,261 0 1,239 1,239 1,597 01/15/2029 3.C FE

88146L-AA-1 TERRIER MEDIA BUYER INC 04/16/2021 EXTERNAL MANAGER TRA 98,900 91,000 77,805 78,656 0 337 0 337 0 78,994 0 19,906 19,906 2,775 12/15/2027 5.A FE

883203-BS-9 TEXTRON INC 06/21/2021 CALL 100 127,000 127,000 132,810 129,175 0 (2,175) 0 (2,175) 0 127,000 0 0 0 5,667 09/21/2021 2.B FE

88830M-AL-6 TITAN INTERNATIONAL INC 04/16/2021 EXTERNAL MANAGER TRA 36,274 36,000 36,000 0 0 0 0 0 0 36,000 0 274 274 0 04/30/2028 5.A FE

89236T-JF-3 TOYOTA MOTOR CREDIT CORP 04/12/2021 JANE STREET EXECUTIO 499,870 500,000 499,835 0 0 0 0 0 0 499,835 0 35 35 132 04/06/2028 1.E FE

893647-AZ-0 TRANSDIGM INC 04/07/2021 MORGAN STANLEY 337,219 330,000 334,719 334,431 0 (1,628) 0 (1,628) 0 332,802 0 4,416 4,416 8,580 05/15/2025 4.C FE

896288-AA-5 TRINET GROUP INC 06/17/2021 GOLDMAN SACHS 98,380 100,000 96,875 0 0 74 3,125 (3,051) 0 96,949 0 1,431 1,431 1,118 03/01/2029 3.C FE

89680E-AA-7 TRITON WATER HOLDINGS INC 04/19/2021 EXTERNAL MANAGER TRA 29,441 29,000 29,000 0 0 0 0 0 0 29,000 0 441 441 100 04/01/2029 5.A FE

89680Y-AB-1 TRITON CONTAINER INTERNATIONAL LTD 05/26/2021 TRUIST BANK 999,530 1,000,000 998,940 0 0 0 0 0 0 998,940 0 590 590 0 06/07/2024 2.C FE

896818-AL-5 TRIUMPH GROUP INC 5.25 06/01/22 06/18/2021 CALL 100 94,000 94,000 77,785 80,355 0 4,123 0 4,123 0 84,478 0 9,522 9,522 2,701 06/01/2022 6. FE

896818-AS-0 TRIUMPH GROUP INC 05/28/2021 CALL 106.656 6,399 6,000 6,000 6,000 0 0 0 0 0 6,000 0 0 0 262 06/01/2024 4.C FE

897051-AC-2 TRONOX INC 04/15/2021 EXTERNAL MANAGER TRA 68,290 67,000 67,000 0 0 0 0 0 0 67,000 0 1,290 1,290 285 03/15/2029 4.C FE

902917-AH-6 WASTE MANAGEMENT INC. 05/13/2021 CA_CASH_CLOSE 798,456 600,000 796,786 0 0 (3,912) 0 (3,912) 0 792,874 0 (192,874) (192,874) 212,223 07/15/2028 2.A FE

90333L-AT-9 US CONCRETE INC 05/06/2021 WELLS FARGO 92,700 90,000 90,000 90,000 0 0 0 0 0 90,000 0 2,700 2,700 2,908 03/01/2029 4.C FE

907818-ET-1 UNION PACIFIC CORPORATION 06/08/2021 MATURITY 1,265,000 1,265,000 1,294,421 1,276,199 0 (11,199) 0 (11,199) 0 1,265,000 0 0 0 20,240 06/08/2021 2.A FE

907818-FD-5 UNION PACIFIC CORPORATION 04/13/2021 BANK OF AMERICA 806,415 750,000 747,863 747,953 0 31 0 31 0 747,984 0 58,431 58,431 17,750 08/15/2039 2.A FE

911163-AA-1 UNITED NATURAL FOODS INC 04/09/2021 ROYAL BANK OF CANADA 54,063 50,000 52,938 0 0 (112) 0 (112) 0 52,825 0 1,237 1,237 1,603 10/15/2028 5.A FE

913017-DB-2 RAYTHEON TECHNOLOGIES CORPORATION 04/05/2021 BARCLAY'S CAPITAL 33,146 31,000 31,427 31,252 0 (26) 0 (26) 0 31,227 0 1,920 1,920 726 08/16/2023 2.A FE

92343V-DQ-4 VERIZON COMMUNICATIONS INC 05/10/2021 CALL 102.324 15,578,829 15,225,000 15,623,134 0 0 (60,781) 0 (60,781) 0 15,562,353 0 (337,353) (337,353) 422,354 03/15/2022 2.A FE

92343V-GF-5 VERIZON COMMUNICATIONS INC 05/25/2021 BNP PARIBAS 503,830 500,000 499,970 0 0 1 0 1 0 499,971 0 3,859 3,859 677 03/22/2024 2.A FE

92343V-GG-3 VERIZON COMMUNICATIONS INC 06/10/2021 SUMRIDGE PARTNERS 506,635 500,000 499,015 0 0 40 0 40 0 499,055 0 7,580 7,580 1,651 03/20/2026 2.A FE

92345Y-AA-4 VERISK ANALYTICS INC 05/01/2021 MATURITY 643,000 643,000 670,675 651,188 0 (8,188) 0 (8,188) 0 643,000 0 0 0 18,647 05/01/2021 2.B FE

92345Y-AE-6 VERISK ANALYTICS INC 05/27/2021 ROBERT W. BAIRD 730,369 560,000 720,737 717,969 0 (1,725) 0 (1,725) 0 716,244 0 14,125 14,125 14,202 06/15/2045 2.B FE

92552V-AN-0 VIASAT INC 06/17/2021 GOLDMAN SACHS 133,148 125,000 124,688 124,713 0 12 0 12 0 124,726 0 8,422 8,422 8,057 07/15/2028 4.B FE

92826C-AK-8 VISA INC 04/15/2021 BARCLAY'S CAPITAL 1,256,175 1,250,000 1,295,213 1,293,958 0 (533) 0 (533) 0 1,293,425 0 (37,250) (37,250) 17,250 04/15/2040 1.D FE

92856J-AB-6 VIZIENT INC 06/24/2021 CREDIT SUISSE 274,950 260,000 257,400 257,619 0 151 0 151 0 257,770 0 17,180 17,180 10,066 05/15/2027 4.B FE

92929Q-AQ-0 WASTE MANAGEMENT HOLDINGS INC 05/13/2021 CA_CASH_CLOSE 769,992 600,000 760,416 736,515 0 (8,372) 0 (8,372) 0 728,144 0 (128,144) (128,144) 203,362 08/01/2026 2.A FE

92940P-AE-4 WRKCO INC 05/11/2021 CITIGROUP 557,365 500,000 563,555 0 0 (1,805) 0 (1,805) 0 561,750 0 (4,385) (4,385) 8,775 06/01/2028 2.B FE

931142-EE-9 WALMART INC 04/26/2021 JP MORGAN 2,271,380 2,000,000 2,328,220 0 0 (12,717) 0 (12,717) 0 2,315,503 0 (44,123) (44,123) 25,078 06/26/2028 1.C FE

94973V-AW-7 WELLPOINT INC 05/15/2021 CALL 100 956,000 956,000 982,539 967,028 0 (11,028) 0 (11,028) 0 956,000 0 0 0 26,529 08/15/2021 2.B FE

94974B-EV-8 WELLS FARGO & CO 04/01/2021 MATURITY 750,000 750,000 774,450 755,826 0 (5,826) 0 (5,826) 0 750,000 0 0 0 17,250 04/01/2021 2.A FE

95081Q-AN-4 WESCO DISTRIBUTION INC 06/07/2021 BANK OF AMERICA 75,688 70,000 70,000 70,000 0 0 0 0 0 70,000 0 5,688 5,688 2,411 06/15/2025 3.C FE

95081Q-AP-9 WESCO DISTRIBUTION INC 06/07/2021 BANK OF AMERICA 150,188 135,000 134,635 134,721 0 (15) 46 (61) 0 134,660 0 15,528 15,528 4,731 06/15/2028 3.C FE

958102-AM-7 WESTERN DIGITAL CORPORATION 06/17/2021 VARIOUS 411,086 370,000 367,373 372,435 0 (798) 0 (798) 0 371,636 0 39,449 39,449 13,567 02/15/2026 3.A FE

958254-AD-6 WESTERN GAS PARTNERS LP 04/12/2021 GOLDMAN SACHS 72,100 70,000 53,300 53,456 0 82 0 82 0 53,538 0 18,562 18,562 2,045 04/01/2044 3.B FE

958587-BJ-5 WESTERN MASSACHUSETTS ELECTRIC CO 06/15/2021 CALL 100 110,000 110,000 113,090 111,391 0 (1,391) 0 (1,391) 0 110,000 0 0 0 2,888 09/15/2021 1.E FE

958667-AC-1 WESTERN MIDSTREAM OPERATING LP 04/12/2021 GOLDMAN SACHS 178,406 165,000 111,563 113,668 0 696 0 696 0 114,364 0 64,043 64,043 5,940 02/01/2030 3.B FE

96949L-AB-1 WILLIAMS COMPANIES INC 05/10/2021 JEFFERIES & CO 390,575 351,000 326,258 329,351 0 1,485 0 1,485 0 330,836 0 59,739 59,739 9,243 09/15/2025 2.C FE

97382W-AA-1 WINDSTREAM ESCROW LLC 06/17/2021 GOLDMAN SACHS 159,281 155,000 154,422 154,438 0 16 0 16 0 154,454 0 4,827 4,827 9,877 08/15/2028 4.C FE

98212B-AE-3 WPX ENERGY INC 5.25 09/15/24 06/09/2021 EXCHANGE OFFER 78,561 116,000 69,650 75,018 0 3,543 0 3,543 0 78,561 0 0 0 4,582 09/15/2024 2.C FE

98212B-AH-6 WPX ENERGY INC 06/03/2021 VARIOUS 323,483 310,000 324,952 63,075 0 (829) 98 (927) 0 324,043 0 (11,343) (11,343) 19,305 06/01/2026 2.C FE

98212B-AJ-2 WPX ENERGY INC 06/09/2021 VARIOUS 262,037 250,000 264,623 0 0 (2,671) 0 (2,671) 0 261,952 0 (4,482) (4,482) 12,513 10/15/2027 2.C FE

98212B-AM-5 WPX ENERGY INC 06/09/2021 EXCHANGE OFFER 71,317 74,000 71,041 71,184 0 133 0 133 0 71,317 0 0 0 2,101 06/15/2028 2.C FE

98310W-AQ-1 TRAVEL + LEISURE CO 04/19/2021 JP MORGAN 78,188 75,000 57,750 58,634 0 377 0 377 0 59,011 0 19,177 19,177 2,216 03/01/2030 3.C FE

98311A-AB-1 WYNDHAM HOTELS & RESORTS INC 04/19/2021 CITIGROUP 71,925 70,000 70,788 0 0 (8) 0 (8) 0 70,780 0 1,145 1,145 561 08/15/2028 4.A FE

98372M-AC-9 XHR LP 06/15/2021 EXTERNAL MANAGER TRA 39,235 38,000 38,000 0 0 0 0 0 0 38,000 0 1,235 1,235 103 06/01/2029 4.B FE

01626P-AJ-5 ALIMENTATION COUCHE-TARD INC A 05/14/2021 CALL 102.767 4,603,962 4,480,000 4,617,957 4,597,834 0 (27,600) 0 (27,600) 0 4,570,234 0 (90,234) (90,234) 220,730 07/26/2022 2.B FE

01626P-AP-1 ALIMENTATION COUCHE-TARD INC A 05/10/2021 SUSQUEHANNA 1,000,420 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 420 420 0 05/13/2041 2.B FE

E05.7




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


071734-AF-4 BAUSCH HEALTH COMPANIES INC A 06/24/2021 BANK OF AMERICA 220,311 215,000 232,600 55,000 0 (614) 0 (614) 0 231,986 0 (11,676) (11,676) 9,006 05/30/2029 4.B FE

071734-AK-3 BAUSCH HEALTH COMPANIES INC A 06/24/2021 BANK OF AMERICA 504,546 515,000 540,536 65,000 0 (1,116) 0 (1,116) 0 539,420 0 (34,875) (34,875) 13,923 02/15/2029 4.B FE

097751-BF-7 BOMBARDIER INC A 04/07/2021 EXTERNAL MANAGER TRA 214,653 206,000 140,080 150,288 0 5,955 0 5,955 0 156,243 0 58,410 58,410 9,232 01/15/2023 5.C FE

097751-BT-7 BOMBARDIER INC A 04/12/2021 EXTERNAL MANAGER TRA 120,226 121,000 78,650 80,444 0 1,107 0 1,107 0 81,551 0 38,675 38,675 4,668 04/15/2027 5.C FE

11283Y-AD-2 BROOKFIELD RESIDENTIAL PROPERTIES A 04/14/2021 JP MORGAN 74,906 75,000 57,000 57,906 0 368 0 368 0 58,273 0 16,633 16,633 2,448 02/15/2030 4.A FE

136375-AY-8 CANADIAN NATIONAL RAILWAY COMPANY A 05/14/2021 INTL FCSTONE FINANCI 2,287,540 2,000,000 2,286,300 0 0 (4,686) 0 (4,686) 0 2,281,614 0 5,926 5,926 77,521 05/15/2023 1.F FE

13645R-AK-0 CANADIAN PACIFIC RAILWAY C 4.45 03/15/23 A 06/07/2021 BANK OF AMERICA 1,857,461 1,751,000 1,875,331 1,842,240 0 (20,215) 0 (20,215) 0 1,822,025 0 35,436 35,436 57,141 03/15/2023 2.A FE

13645R-AT-1 CANADIAN PACIFIC RAILWAY CO A 06/07/2021 TD SECURITIES 646,021 585,000 626,570 621,658 0 (3,166) 0 (3,166) 0 618,492 0 27,529 27,529 18,519 02/01/2026 2.A FE

14913R-2L-0 CATERPILLAR FINANCIAL SERVICES LTD 05/10/2021 JANE STREET EXECUTIO 2,996,610 3,000,000 2,995,980 0 0 0 0 0 0 2,995,980 0 630 630 0 05/17/2024 1.F FE

15135U-AS-8 CENOVUS ENERGY INC A 05/19/2021 JP MORGAN 176,623 155,000 162,139 162,163 0 (651) 0 (651) 0 161,513 0 15,110 15,110 6,734 07/15/2025 2.C FE

59151K-AJ-7 METHANEX CORP A 05/04/2021 GOLDMAN SACHS 66,544 65,000 50,917 51,020 0 74 0 74 0 51,095 0 15,449 15,449 1,581 12/01/2044 3.B FE

65548P-AE-6 NORBORD INC 6.25 04/15/23 A 06/07/2021 CALL 108.991 270,298 248,000 243,210 242,221 0 1,021 0 1,021 0 243,242 0 4,758 4,758 32,287 04/15/2023 3.A FE

66977W-AS-8 NOVA CHEMICALS CORP 04/29/2021 KEYBANC 110,000 110,000 110,000 0 0 0 0 0 0 110,000 0 0 0 0 05/15/2029 3.C FE

69867D-AA-6 PANTHER BF AGGREGATOR 2 LP A 06/07/2021 CALL 103 9,270 9,000 8,547 8,554 0 30 0 30 0 8,585 0 415 415 316 05/15/2026 4.A FE

70137T-AL-9 PARKLAND FUEL CORP A 04/14/2021 STATE STREET BANK 381,425 365,000 343,777 345,267 0 919 146 773 0 346,039 0 35,386 35,386 11,741 04/01/2026 3.B FE

81783Q-AC-9 SEVEN GENERATIONS ENERGY LTD A 04/06/2021 STATE STREET BANK 213,264 205,000 195,200 196,133 0 410 0 410 0 196,543 0 16,720 16,720 5,693 09/30/2025 3.C FE

878742-AS-4 TECK RESOURCES LTD 6 08/15/40 A 06/24/2021 EXTERNAL MANAGER TRA 95,450 75,000 64,531 64,593 0 120 0 120 0 64,713 0 30,737 30,737 3,913 08/15/2040 2.C FE

91831A-AC-5 VALEANT PHARMACEUTICALS INTERNATIO A 06/30/2021 CALL 102.042 5,102 5,000 4,979 4,967 0 3 0 3 0 4,970 0 30 30 217 04/15/2025 4.B FE

02156L-AE-1 ALTICE FRANCE SA (FRANCE) C 04/13/2021 JP MORGAN 274,050 270,000 271,000 270,948 0 (47) 0 (47) 0 270,901 0 3,149 3,149 7,957 01/15/2029 4.B FE

03969A-AL-4 ARDAGH PACKAGING FINANCE PLC C 06/21/2021 BANK OF AMERICA 623,634 605,000 626,889 575,119 0 (2,259) 1,665 (3,924) 0 622,945 0 689 689 29,557 02/15/2025 4.C FE

111013-AK-4 SKY LTD C 06/09/2021 MARKET AXESS AS A BR 1,561,500 1,500,000 1,558,320 1,535,780 0 (8,241) 0 (8,241) 0 1,527,539 0 33,961 33,961 25,391 11/26/2022 1.G FE

13323A-AB-6 CAMELOT FINANCE SA C 06/17/2021 GOLDMAN SACHS 193,240 185,000 176,675 177,480 0 527 0 527 0 178,007 0 15,233 15,233 5,319 11/01/2026 4.B FE

19123M-AC-7 COCA-COLA EUROPEAN PARTNERS PLC C 06/01/2021 CALL 100 400,000 400,000 411,080 406,008 0 (6,008) 0 (6,008) 0 400,000 0 0 0 13,500 09/01/2021 2.A FE

19123M-AD-5 COCA-COLA EUROPEAN PARTNERS PLC C 04/21/2021 CANTOR FITZGERALD 1,998,840 2,000,000 1,998,140 0 0 0 0 0 0 1,998,140 0 700 700 0 05/05/2023 2.A FE

29280B-AA-3 ENDO LUXEMBOURG FINANCE COMPANY I C 05/25/2021 CITIGROUP 97,000 100,000 100,063 0 0 (7) 0 (7) 0 100,056 0 (3,056) (3,056) 1,055 04/01/2029 4.B FE

460599-AE-3 INTERNATIONAL GAME TECHNOLOGY PLC C 06/17/2021 BANK OF AMERICA 123,050 115,000 119,921 123,913 0 (346) 4,072 (4,418) 0 119,494 0 3,556 3,556 6,071 01/15/2029 3.C FE

46115H-AW-7 INTESA SANPAOLO SPA C 05/11/2021 MORGAN STANLEY 242,385 215,000 208,582 210,021 0 297 0 297 0 210,318 0 32,066 32,066 10,162 01/15/2026 3.A FE

47032F-AB-5 JAMES HARDIE INTERNATIONAL FINANCE C 04/26/2021 WELLS FARGO 138,288 130,000 113,750 116,542 0 481 0 481 0 117,023 0 21,265 21,265 5,110 01/15/2028 3.A FE

62954H-AF-5 NXP BV C 05/04/2021 SUSQUEHANNA 496,940 500,000 496,290 0 0 0 0 0 0 496,290 0 650 650 0 05/11/2041 2.C FE

62954H-AG-3 NXP BV C 05/04/2021 SUSQUEHANNA 1,994,380 2,000,000 1,993,140 0 0 0 0 0 0 1,993,140 0 1,240 1,240 0 05/11/2031 2.C FE

67054K-AA-7 SFR GROUP SA 7.37 05/01/26 C 05/01/2021 CALL 103.688 126,499 122,000 123,121 121,877 0 7 0 7 0 121,884 0 116 116 11,647 05/01/2026 4.B FE

767201-AS-5 RIO TINTO FINANCE (USA) LT 3.75 06/15/25 C 06/23/2021 SUSQUEHANNA 553,680 500,000 551,165 0 0 (2,985) 0 (2,985) 0 548,180 0 5,500 5,500 9,896 06/15/2025 1.F FE

82620K-BD-4 SIEMENS FINANCIERINGSMAATSCHAPPIJ C 05/12/2021 CANTOR FITZGERALD 247,588 250,000 249,573 0 0 8 0 8 0 249,581 0 (1,993) (1,993) 744 03/11/2028 1.E FE

87927V-AF-5 TELECOM ITALIA CAPITAL SA C 06/28/2021 BANK OF AMERICA 119,000 100,000 117,898 122,500 0 (591) 4,666 (5,257) 0 117,244 0 1,756 1,756 3,984 11/15/2033 3.B FE

88167A-AL-5 TEVA PHARMACEUTICAL FINANCE NETHER C 06/02/2021 FLOW TRADERS US INST 116,600 110,000 117,425 0 0 (416) 0 (416) 0 117,009 0 (409) (409) 4,198 04/15/2024 3.C FE

89385A-AA-3 TRANSOCEAN SENTRY LTD C 04/23/2021 EXTERNAL MANAGER TRA 62,851 66,286 43,609 46,631 0 2,134 0 2,134 0 48,765 0 14,086 14,086 1,601 05/15/2023 5.A FE

904678-AQ-2 UNICREDIT SPA C 05/11/2021 MORGAN STANLEY 118,625 100,000 117,951 120,500 0 (380) 2,641 (3,021) 0 117,479 0 1,146 1,146 4,479 04/02/2034 3.B FE

92769X-AP-0 VIRGIN MEDIA SECURED FINANCE PLC C 06/17/2021 GOLDMAN SACHS 215,392 200,000 201,198 200,694 0 (30) 0 (30) 0 200,664 0 14,728 14,728 6,600 05/15/2029 3.C FE

98954N-AA-7 ZIGGO SECURED FINANCE BV C 03/09/2021 CALL 103 0 0 0 0 0 0 0 0 0 0 0 0 0 2,160 01/15/2027 4. FE

98955D-AA-8 ZIGGO BV C 06/17/2021 GOLDMAN SACHS 128,108 125,000 122,031 122,203 0 117 0 117 0 122,320 0 5,788 5,788 4,164 01/15/2030 4.A FE

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 256,516,817 247,667,349 254,063,356 118,642,030 0 (790,719) 166,611 (957,330) 0 252,561,831 0 681,643 681,643 6,761,442 XXX XXX

8399997. Total - Bonds - Part 4 505,198,766 498,891,884 504,192,182 185,204,233 0 (1,899,363) 166,611 (2,065,974) 0 500,853,957 0 1,071,468 1,071,468 8,223,796 XXX XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX

8399999. Total - Bonds 505,198,766 498,891,884 504,192,182 185,204,233 0 (1,899,363) 166,611 (2,065,974) 0 500,853,957 0 1,071,468 1,071,468 8,223,796 XXX XXX361860-20-8 GMAC CAPITAL TRUST I 05/24/2021 CALL 25 13,339.000 333,475 0.00 273,583 273,583 0 0 0 0 0 273,583 0 59,892 59,892 10,106 3.C

8499999. Subtotal - Preferred Stocks - Industrial and Miscellaneous (Unaffiliated) Perpetual Preferred 333,475 XXX 273,583 273,583 0 0 0 0 0 273,583 0 59,892 59,892 10,106 XXX XXX

8999997. Total - Preferred Stocks - Part 4 333,475 XXX 273,583 273,583 0 0 0 0 0 273,583 0 59,892 59,892 10,106 XXX XXX

8999998. Total - Preferred Stocks - Part 5 XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX

8999999. Total - Preferred Stocks 333,475 XXX 273,583 273,583 0 0 0 0 0 273,583 0 59,892 59,892 10,106 XXX XXX011659-10-9 ALASKA AIR GROUP INC 06/21/2021 EXTERNAL MANAGER TRA 1,950.000 127,584 70,112 101,400 (31,288) 0 0 (31,288) 0 70,112 0 57,472 57,472 0

016255-10-1 ALIGN TECHNOLOGY INC 06/17/2021 EXTERNAL MANAGER TRA 300.000 177,812 52,185 160,314 (108,129) 0 0 (108,129) 0 52,185 0 125,627 125,627 0

E05.8




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


02043Q-10-7 ALNYLAM PHARMACEUTICALS INC 04/26/2021 EXTERNAL MANAGER TRA 240.000 33,869 33,886 0 0 0 2,959 (2,959) 0 33,886 0 (17) (17) 0

02156B-10-3 ALTERYX INC CLASS A 05/05/2021 EXTERNAL MANAGER TRA 650.000 56,345 53,924 79,164 (18,171) 0 7,068 (25,239) 0 53,924 0 2,421 2,421 0

03076C-10-6 AMERIPRISE FINANCE INC 06/16/2021 EXTERNAL MANAGER TRA 840.000 215,929 121,099 163,237 (42,138) 0 0 (42,138) 0 121,099 0 94,831 94,831 1,823

04247X-10-2 ARMSTRONG WORLD INDUSTRIES INC 06/29/2021 EXTERNAL MANAGER TRA 460.000 49,654 31,653 34,219 (2,567) 0 0 (2,567) 0 31,653 0 18,002 18,002 193

053332-10-2 AUTOZONE INC 04/26/2021 EXTERNAL MANAGER TRA 80.000 119,554 67,680 94,835 (27,155) 0 0 (27,155) 0 67,680 0 51,874 51,874 0

05368M-10-6 AVID BIOSERVICES INC 06/30/2021 EXTERNAL MANAGER TRA 7,638.000 183,996 145,729 0 0 0 0 0 0 145,729 0 38,267 38,267 0

105368-20-3 BRANDYWINE REALTY TRUST REIT 06/01/2021 EXTERNAL MANAGER TRA 6,150.000 88,137 63,591 73,247 (9,656) 0 0 (9,656) 0 63,591 0 24,546 24,546 2,337

10922N-10-3 BRIGHTHOUSE FINANCIAL INC 05/28/2021 EXTERNAL MANAGER TRA 1,320.000 64,481 31,904 47,791 (15,886) 0 0 (15,886) 0 31,904 0 32,576 32,576 0

11120U-10-5 BRIXMOR PROPERTY GROUP REIT INC 04/20/2021 EXTERNAL MANAGER TRA 9,410.000 195,129 110,003 155,736 (45,733) 0 0 (45,733) 0 110,003 0 85,126 85,126 4,046

116794-10-8 BRUKER CORP 06/29/2021 EXTERNAL MANAGER TRA 480.000 36,411 17,213 25,982 (8,770) 0 0 (8,770) 0 17,213 0 19,198 19,198 38

122017-10-6 BURLINGTON STORES INC 06/03/2021 EXTERNAL MANAGER TRA 110.000 33,285 17,235 28,771 (11,536) 0 0 (11,536) 0 17,235 0 16,050 16,050 0

159864-10-7 CHARLES RIVER LABORATORIES INTERNA 06/09/2021 EXTERNAL MANAGER TRA 240.000 80,774 30,290 59,966 (29,676) 0 0 (29,676) 0 30,290 0 50,484 50,484 0

172755-10-0 CIRRUS LOGIC INC 05/11/2021 EXTERNAL MANAGER TRA 2,450.000 181,493 147,476 201,390 (53,914) 0 0 (53,914) 0 147,476 0 34,018 34,018 0

172908-10-5 CINTAS CORP 04/12/2021 EXTERNAL MANAGER TRA 150.000 53,232 35,460 53,019 (17,559) 0 0 (17,559) 0 35,460 0 17,771 17,771 113

185899-10-1 CLIFFS NATURAL RESOURCES INC 06/29/2021 EXTERNAL MANAGER TRA 600.000 12,622 11,818 0 0 0 0 0 0 11,818 0 804 804 0

20602D-10-1 CONCENTRIX CORP 06/29/2021 EXTERNAL MANAGER TRA 3,800.000 601,844 161,125 375,060 (213,935) 0 0 (213,935) 0 161,125 0 440,719 440,719 0

228368-10-6 CROWN HOLDINGS INC 06/22/2021 EXTERNAL MANAGER TRA 470.000 47,229 44,235 47,094 (2,859) 0 0 (2,859) 0 44,235 0 2,994 2,994 188

229663-10-9 CUBESMART REIT 05/10/2021 EXTERNAL MANAGER TRA 2,960.000 121,533 79,298 99,486 (20,187) 0 0 (20,187) 0 79,298 0 42,235 42,235 2,013

231561-10-1 CURTISS WRIGHT CORP 05/03/2021 EXTERNAL MANAGER TRA 470.000 60,355 41,962 54,685 (12,723) 0 0 (12,723) 0 41,962 0 18,394 18,394 124

252131-10-7 DEXCOM INC 06/03/2021 EXTERNAL MANAGER TRA 178.000 68,494 38,936 65,810 (26,874) 0 0 (26,874) 0 38,936 0 29,558 29,558 0

25278X-10-9 DIAMONDBACK ENERGY INC 04/19/2021 EXTERNAL MANAGER TRA 414.000 32,217 16,811 20,038 (3,226) 0 0 (3,226) 0 16,811 0 15,405 15,405 166

256677-10-5 DOLLAR GENERAL CORP 05/11/2021 EXTERNAL MANAGER TRA 150.000 32,818 21,428 31,545 (10,117) 0 0 (10,117) 0 21,428 0 11,390 11,390 117

26969P-10-8 EAGLE MATERIALS INC 05/25/2021 EXTERNAL MANAGER TRA 860.000 121,501 50,241 87,161 (36,920) 0 0 (36,920) 0 50,241 0 71,260 71,260 0

29362U-10-4 ENTEGRIS INC 04/05/2021 EXTERNAL MANAGER TRA 736.000 88,604 87,435 0 0 0 0 0 0 87,435 0 1,169 1,169 0

298736-10-9 EURONET WORLDWIDE INC 05/24/2021 EXTERNAL MANAGER TRA 1,000.000 143,642 78,900 144,920 (66,020) 0 0 (66,020) 0 78,900 0 64,742 64,742 0

29977A-10-5 EVERCORE INC CLASS A 06/29/2021 EXTERNAL MANAGER TRA 840.000 119,623 38,690 92,098 (53,407) 0 0 (53,407) 0 38,690 0 80,932 80,932 737

30063P-10-5 EXACT SCIENCES CORP 06/03/2021 EXTERNAL MANAGER TRA 300.000 32,846 32,924 39,747 (6,823) 0 0 (6,823) 0 32,924 0 (78) (78) 0

30161Q-10-4 EXELIXIS INC 04/01/2021 EXTERNAL MANAGER TRA 4,163.000 95,525 83,551 83,551 0 0 0 0 0 83,551 0 11,973 11,973 0

311900-10-4 FASTENAL 06/03/2021 EXTERNAL MANAGER TRA 1,240.000 65,528 39,302 60,549 (21,247) 0 0 (21,247) 0 39,302 0 26,225 26,225 694

31620R-30-3 FIDELITY NATIONAL FINANCIAL INC 05/10/2021 EXTERNAL MANAGER TRA 2,820.000 128,204 88,294 110,234 (21,940) 0 0 (21,940) 0 88,294 0 39,910 39,910 1,015

31816Q-10-1 FIREEYE INC 05/03/2021 EXTERNAL MANAGER TRA 4,290.000 87,386 58,697 98,927 (40,230) 0 0 (40,230) 0 58,697 0 28,689 28,689 0

34959E-10-9 FORTINET INC 06/29/2021 EXTERNAL MANAGER TRA 490.000 118,912 37,612 72,780 (35,167) 0 0 (35,167) 0 37,612 0 81,300 81,300 0

35671D-85-7 FREEPORT MCMORAN INC 06/22/2021 EXTERNAL MANAGER TRA 3,930.000 145,635 147,831 0 0 0 2,376 (2,376) 0 147,831 0 (2,196) (2,196) 104

363576-10-9 ARTHUR J GALLAGHER 05/25/2021 EXTERNAL MANAGER TRA 960.000 137,073 70,711 118,762 (48,051) 0 0 (48,051) 0 70,711 0 66,363 66,363 461

37940X-10-2 GLOBAL PAYMENTS INC 05/12/2021 EXTERNAL MANAGER TRA 510.000 99,843 73,557 109,864 (36,307) 0 0 (36,307) 0 73,557 0 26,286 26,286 99

37959E-10-2 GLOBE LIFE INC 06/15/2021 EXTERNAL MANAGER TRA 1,610.000 166,165 128,148 152,886 (24,737) 0 0 (24,737) 0 128,148 0 38,016 38,016 620

39874R-10-1 GROCERY OUTLET HOLDING CORP 04/26/2021 EXTERNAL MANAGER TRA 755.000 29,754 24,500 29,634 (5,134) 0 0 (5,134) 0 24,500 0 5,254 5,254 0

406216-10-1 HALLIBURTON 04/26/2021 EXTERNAL MANAGER TRA 9,420.000 188,098 113,511 178,038 (64,527) 0 0 (64,527) 0 113,511 0 74,587 74,587 424

422806-10-9 HEICO CORP 05/24/2021 EXTERNAL MANAGER TRA 420.000 55,112 31,336 55,608 (24,272) 0 0 (24,272) 0 31,336 0 23,775 23,775 34

422806-20-8 HEICO CORP CLASS A 05/11/2021 EXTERNAL MANAGER TRA 1,190.000 152,240 76,041 139,301 (63,260) 0 0 (63,260) 0 76,041 0 76,199 76,199 95

431284-10-8 HIGHWOODS PROPERTIES REIT INC 06/08/2021 EXTERNAL MANAGER TRA 3,130.000 146,098 105,074 124,042 (18,968) 0 0 (18,968) 0 105,074 0 41,024 41,024 3,005

436440-10-1 HOLOGIC INC 05/03/2021 EXTERNAL MANAGER TRA 600.000 39,632 39,313 43,698 (4,385) 0 0 (4,385) 0 39,313 0 318 318 0

446150-10-4 HUNTINGTON BANCSHARES INC 06/30/2021 VARIOUS 38,279.690 537,838 606,617 0 0 0 0 0 0 606,617 0 (68,778) (68,778) 0

44891N-10-9 IAC INTERACTIVE 05/25/2021 EXCHANGE OFFER 440.000 38,639 38,639 83,314 (44,675) 0 0 (44,675) 0 38,639 0 0 0 0

44891N-20-8 IAC INTERACTIVE 05/26/2021 SPIN OFF 11,989 11,989 0 0 0 0 0 0 11,989 0 0 0 0

449253-10-3 IAA INC 05/05/2021 EXTERNAL MANAGER TRA 778.000 46,354 43,917 0 0 0 0 0 0 43,917 0 2,437 2,437 0

45073V-10-8 ITT INC 03/29/2021 EXTERNAL MANAGER TRA 0 0 0 0 0 0 0 0 0 0 0 0 640

451107-10-6 IDACORP INC 04/05/2021 EXTERNAL MANAGER TRA 700.000 71,100 55,930 67,221 (11,291) 0 0 (11,291) 0 55,930 0 15,170 15,170 497

45687V-10-6 INGERSOLL RAND INC 06/14/2021 EXTERNAL MANAGER TRA 7,260.000 348,501 204,151 330,766 (126,614) 0 0 (126,614) 0 204,151 0 144,350 144,350 0

45772F-10-7 INPHI CORP 04/07/2021 EXTERNAL MANAGER TRA 320.000 58,478 39,225 51,350 (12,125) 0 0 (12,125) 0 39,225 0 19,252 19,252 0

464287-20-0 ISHARES CORE S&P ETF 04/19/2021 VARIOUS 82,630.000 33,836,510 22,356,885 31,002,776 (8,645,891) 0 0 (8,645,891) 0 22,356,885 0 11,479,625 11,479,625 108,336

464288-51-3 ISHARES IBOXX $ HIGH YIELD CORPORA 06/30/2021 VARIOUS 301,725.000 26,392,804 24,721,435 26,343,610 (1,622,175) 0 0 (1,622,175) 0 24,721,435 0 1,671,369 1,671,369 453,644

466313-10-3 JABIL INC 06/29/2021 EXTERNAL MANAGER TRA 1,830.000 104,258 44,981 77,830 (32,849) 0 0 (32,849) 0 44,981 0 59,277 59,277 293

49338L-10-3 KEYSIGHT TECHNOLOGIES INC 05/17/2021 EXTERNAL MANAGER TRA 230.000 32,093 19,246 30,381 (11,134) 0 0 (11,134) 0 19,246 0 12,847 12,847 0

E05.9




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


500255-10-4 KOHLS CORP 05/24/2021 EXTERNAL MANAGER TRA 900.000 50,186 38,437 6,104 (317) 0 0 (317) 0 38,437 0 11,748 11,748 225

512807-10-8 LAM RESEARCH CORP 05/03/2021 EXTERNAL MANAGER TRA 175.000 112,388 42,000 82,647 (40,647) 0 0 (40,647) 0 42,000 0 70,388 70,388 455

526057-10-4 LENNAR A CORP 04/26/2021 EXTERNAL MANAGER TRA 710.000 73,554 27,122 54,123 (27,001) 0 0 (27,001) 0 27,122 0 46,432 46,432 355

527064-10-9 LESLIES INC 04/05/2021 EXTERNAL MANAGER TRA 1,430.000 36,782 30,916 0 0 0 0 0 0 30,916 0 5,865 5,865 0

54240F-20-2 LONESTAR RESOURCES US INC 04/06/2021 INSTINET LLC 2,689.000 16,154 3,709 17,479 (13,769) 0 0 (13,769) 0 3,709 0 12,445 12,445 0

546347-10-5 LOUISIANA PACIFIC CORP 06/29/2021 EXTERNAL MANAGER TRA 700.000 40,558 44,003 0 0 0 0 0 0 44,003 0 (3,445) (3,445) 0

550241-10-3 LUMEN TECHNOLOGIES INC 06/01/2021 EXTERNAL MANAGER TRA 2,230.000 31,376 29,771 0 0 0 770 (770) 0 29,771 0 1,606 1,606 558

552690-10-9 MDU RESOURCES GROUP INC 04/06/2021 EXTERNAL MANAGER TRA 1,000.000 32,008 21,500 26,340 (4,840) 0 0 (4,840) 0 21,500 0 10,508 10,508 986

552848-10-3 MGIC INVESTMENT CORP 05/26/2021 EXTERNAL MANAGER TRA 3,910.000 56,401 24,829 49,071 (24,242) 0 0 (24,242) 0 24,829 0 31,573 31,573 469

553498-10-6 MSA SAFETY INC 04/06/2021 EXTERNAL MANAGER TRA 190.000 28,925 19,815 28,384 (8,569) 0 0 (8,569) 0 19,815 0 9,110 9,110 82

573284-10-6 MARTIN MARIETTA MATERIALS INC 06/17/2021 EXTERNAL MANAGER TRA 450.000 161,091 85,154 127,787 (42,633) 0 0 (42,633) 0 85,154 0 75,937 75,937 416

579780-20-6 MCCORMICK & CO NON-VOTING INC 06/14/2021 EXTERNAL MANAGER TRA 620.000 55,109 37,610 59,272 (21,662) 0 0 (21,662) 0 37,610 0 17,499 17,499 422

589378-10-8 MERCURY SYSTEMS INC 05/25/2021 EXTERNAL MANAGER TRA 3,400.000 212,776 240,210 299,404 (38,119) 0 21,075 (59,194) 0 240,210 0 (27,434) (27,434) 0

595017-10-4 MICROCHIP TECHNOLOGY INC 04/01/2021 EXTERNAL MANAGER TRA 1,290.000 204,065 129,879 178,162 (48,283) 0 0 (48,283) 0 129,879 0 74,186 74,186 503

60770K-10-7 MODERNA INC 06/29/2021 EXTERNAL MANAGER TRA 1,110.000 238,453 77,730 115,962 (38,232) 0 0 (38,232) 0 77,730 0 160,723 160,723 0

60871R-20-9 MOLSON COORS BEVERAGE COMPANY CLAS 04/05/2021 EXTERNAL MANAGER TRA 920.000 48,628 41,575 41,575 0 0 0 0 0 41,575 0 7,054 7,054 0

615369-10-5 MOODYS CORP 06/29/2021 EXTERNAL MANAGER TRA 430.000 149,596 83,983 124,803 (40,820) 0 0 (40,820) 0 83,983 0 65,613 65,613 471

61945C-10-3 MOSAIC 06/17/2021 EXTERNAL MANAGER TRA 5,270.000 184,570 94,145 121,263 (27,117) 0 0 (27,117) 0 94,145 0 90,424 90,424 318

636518-10-2 NATIONAL INSTRUMENTS CORP 05/11/2021 EXTERNAL MANAGER TRA 885.000 35,029 29,276 38,887 (9,611) 0 0 (9,611) 0 29,276 0 5,753 5,753 478

63938C-10-8 NAVIENT CORP 06/01/2021 EXTERNAL MANAGER TRA 7,100.000 118,544 49,913 69,722 (19,809) 0 0 (19,809) 0 49,913 0 68,631 68,631 1,136

651229-10-6 NEWELL BRANDS INC 04/21/2021 EXTERNAL MANAGER TRA 1,220.000 32,885 16,202 25,901 (9,699) 0 0 (9,699) 0 16,202 0 16,683 16,683 281

651639-10-6 NEWMONT 04/26/2021 EXTERNAL MANAGER TRA 500.000 32,669 25,394 29,945 (4,551) 0 0 (4,551) 0 25,394 0 7,276 7,276 275

674215-20-7 OASIS PETROLEUM INC 06/25/2021 EXTERNAL MANAGER TRA 1,441.000 117,845 22,807 53,403 (30,597) 0 0 (30,597) 0 22,807 0 95,039 95,039 701

69354M-10-8 PRA HEALTH SCIENCES INC 06/09/2021 EXTERNAL MANAGER TRA 120.000 20,409 9,965 15,053 (5,088) 0 0 (5,088) 0 9,965 0 10,444 10,444 0

704326-10-7 PAYCHEX INC 06/02/2021 EXTERNAL MANAGER TRA 940.000 95,445 59,145 87,589 (28,444) 0 0 (28,444) 0 59,145 0 36,300 36,300 1,203

70432V-10-2 PAYCOM SOFTWARE INC 04/22/2021 EXTERNAL MANAGER TRA 140.000 55,578 27,472 63,315 (35,843) 0 0 (35,843) 0 27,472 0 28,107 28,107 0

712704-10-5 PEOPLES UNITED FINANCIAL INC 06/01/2021 EXTERNAL MANAGER TRA 11,700.000 223,133 148,872 151,281 (2,409) 0 0 (2,409) 0 148,872 0 74,261 74,261 4,241

74144T-10-8 T ROWE PRICE GROUP INC 06/21/2021 EXTERNAL MANAGER TRA 2,150.000 413,217 229,749 325,489 (95,739) 0 0 (95,739) 0 229,749 0 183,467 183,467 3,532

74251V-10-2 PRINCIPAL FINANCIAL GROUP INC 06/21/2021 EXTERNAL MANAGER TRA 730.000 44,840 30,500 36,215 (5,716) 0 0 (5,716) 0 30,500 0 14,340 14,340 854

745867-10-1 PULTEGROUP INC 04/23/2021 EXTERNAL MANAGER TRA 2,080.000 112,075 89,690 89,690 0 0 0 0 0 89,690 0 22,386 22,386 665

75615P-10-3 REATA PHARMACEUTICALS INC CLASS A 06/29/2021 EXTERNAL MANAGER TRA 30.000 4,542 2,991 3,709 0 0 718 (718) 0 2,991 0 1,551 1,551 0

760759-10-0 REPUBLIC SERVICES INC 06/10/2021 EXTERNAL MANAGER TRA 960.000 104,856 62,382 92,448 (30,066) 0 0 (30,066) 0 62,382 0 42,474 42,474 816

761152-10-7 RESMED INC 05/17/2021 EXTERNAL MANAGER TRA 400.000 77,189 63,019 85,024 (22,005) 0 0 (22,005) 0 63,019 0 14,170 14,170 222

77543R-10-2 ROKU INC CLASS A 05/11/2021 EXTERNAL MANAGER TRA 210.000 65,716 18,371 69,724 (51,353) 0 0 (51,353) 0 18,371 0 47,345 47,345 0

784117-10-3 SEI INVESTMENTS 06/23/2021 EXTERNAL MANAGER TRA 4,100.000 254,591 201,172 235,627 (34,455) 0 0 (34,455) 0 201,172 0 53,419 53,419 2,301

78468R-62-2 SPDR BLOOMBERG BARCLAYS HIGH YIELD 05/17/2021 BANK OF AMERICA 33,729.000 3,667,302 3,669,715 0 0 0 6,045 (6,045) 0 3,669,715 0 (2,413) (2,413) 49,355

78573M-10-4 SABRE CORP 04/26/2021 EXTERNAL MANAGER TRA 2,120.000 33,354 19,409 16,227 (8,222) 0 1,099 (9,321) 0 19,409 0 13,945 13,945 0

810186-10-6 SCOTTS MIRACLE GRO 04/12/2021 EXTERNAL MANAGER TRA 800.000 200,215 80,599 159,312 (78,713) 0 0 (78,713) 0 80,599 0 119,615 119,615 496

82968B-10-3 SIRIUS XM HOLDINGS INC 06/02/2021 EXTERNAL MANAGER TRA 13,520.000 83,400 72,467 86,122 (13,655) 0 0 (13,655) 0 72,467 0 10,932 10,932 396

83417M-10-4 SOLAREDGE TECHNOLOGIES INC 06/14/2021 EXTERNAL MANAGER TRA 181.000 44,093 25,119 57,761 (32,642) 0 0 (32,642) 0 25,119 0 18,974 18,974 0

85208M-10-2 SPROUTS FARMERS MARKET INC 06/21/2021 EXTERNAL MANAGER TRA 1,202.000 33,811 22,345 24,160 (1,815) 0 0 (1,815) 0 22,345 0 11,465 11,465 0

852234-10-3 SQUARE INC CLASS A 04/26/2021 EXTERNAL MANAGER TRA 459.000 115,891 26,530 99,897 (73,366) 0 0 (73,366) 0 26,530 0 89,361 89,361 0

854502-10-1 STANLEY BLACK AND DECKER 04/05/2021 EXTERNAL MANAGER TRA 290.000 58,703 46,360 51,782 (5,423) 0 0 (5,423) 0 46,360 0 12,343 12,343 203

85917A-10-0 STERLING BAN 05/17/2021 EXTERNAL MANAGER TRA 6,644.000 166,118 69,430 119,459 (50,029) 0 0 (50,029) 0 69,430 0 96,688 96,688 596

87165B-10-3 SYNCHRONY FINANCIAL 06/15/2021 EXTERNAL MANAGER TRA 760.000 37,298 12,228 26,380 (14,151) 0 0 (14,151) 0 12,228 0 25,069 25,069 334

872307-10-3 TCF FINANCIAL CORP 06/10/2021 VARIOUS 29,950.000 1,408,907 1,417,999 0 0 0 0 0 0 1,417,999 0 (9,092) (9,092) 0

879360-10-5 TELEDYNE TECHNOLOGIES INC 06/30/2021 EXTERNAL MANAGER TRA 3,392.000 1,432,742 1,421,157 0 0 0 0 0 0 1,421,157 0 11,585 11,585 0

880770-10-2 TERADYNE INC 05/19/2021 EXTERNAL MANAGER TRA 560.000 70,528 48,443 67,138 (18,696) 0 0 (18,696) 0 48,443 0 22,085 22,085 56

892356-10-6 TRACTOR SUPPLY 05/28/2021 EXTERNAL MANAGER TRA 720.000 130,589 60,876 101,218 (40,342) 0 0 (40,342) 0 60,876 0 69,713 69,713 551

89400J-10-7 TRANSUNION 04/12/2021 EXTERNAL MANAGER TRA 1,250.000 120,893 73,407 124,025 (50,618) 0 0 (50,618) 0 73,407 0 47,486 47,486 94

896239-10-0 TRIMBLE INC 05/17/2021 EXTERNAL MANAGER TRA 1,060.000 80,812 51,622 70,776 (19,154) 0 0 (19,154) 0 51,622 0 29,190 29,190 0

90138F-10-2 TWILIO INC CLASS A 06/22/2021 EXTERNAL MANAGER TRA 90.000 33,996 22,238 30,465 (8,227) 0 0 (8,227) 0 22,238 0 11,757 11,757 0

920253-10-1 VALMONT INDS INC 06/01/2021 EXTERNAL MANAGER TRA 410.000 104,770 43,452 71,721 (28,270) 0 0 (28,270) 0 43,452 0 61,318 61,318 390

92047W-10-1 VALVOLINE INC 04/12/2021 EXTERNAL MANAGER TRA 1,490.000 40,046 19,504 34,479 (14,975) 0 0 (14,975) 0 19,504 0 20,542 20,542 186

E05.1

0




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14

TotalChange in


Value(11 + 12 -

13)

15

TotalForeign

Exchange Change in


Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date


ModifierandSVO


921943-85-8 VANGUARD DEVELOPED MARKETS INDEX F 04/01/2021 INSTINET LLC 403,000.000 20,029,804 18,078,177 19,033,690 (955,513) 0 0 (955,513) 0 18,078,177 0 1,951,627 1,951,627 93,174

922042-85-8 VANGUARD EMERGING MARKETS STOCK IN 05/28/2021 INSTINET LLC 410,000.000 22,109,793 18,526,743 20,182,789 (2,042,263) 0 0 (2,042,263) 0 18,526,743 0 3,583,050 3,583,050 27,538

922042-87-4 VANGUARD EUROPEAN STOCK INDEX FUND 04/05/2021 INSTINET LLC 107,500.000 6,998,032 5,519,956 6,481,175 (961,219) 0 0 (961,219) 0 5,519,956 0 1,478,076 1,478,076 29,122

92220P-10-5 VARIAN MEDICAL SYSTEMS INC 04/15/2021 VARIOUS 1,650.000 292,826 169,389 288,767 (119,378) 0 0 (119,378) 0 169,389 0 123,437 123,437 0

92339V-30-8 VEREIT INC 05/17/2021 EXTERNAL MANAGER TRA 1,420.000 66,068 52,969 0 0 0 0 0 0 52,969 0 13,099 13,099 656

92556H-20-6 VIACOMCBS INC CLASS B 05/10/2021 EXTERNAL MANAGER TRA 1,879.000 74,420 53,626 70,012 (16,385) 0 0 (16,385) 0 53,626 0 20,794 20,794 902

92719V-10-0 VIMEO INC 06/09/2021 STATE BANK 0.340 15 6 0 0 0 0 0 0 6 0 9 9 0

92840M-10-2 VISTRA CORP 04/16/2021 EXTERNAL MANAGER TRA 1,940.000 34,780 30,962 38,140 (7,178) 0 0 (7,178) 0 30,962 0 3,817 3,817 291

929160-10-9 VULCAN MATERIALS 06/01/2021 EXTERNAL MANAGER TRA 1,370.000 251,454 148,056 203,185 (55,129) 0 0 (55,129) 0 148,056 0 103,399 103,399 860

947890-10-9 WEBSTER FINANCIAL CORP 06/08/2021 EXTERNAL MANAGER TRA 2,110.000 119,478 48,319 88,937 (40,618) 0 0 (40,618) 0 48,319 0 71,159 71,159 1,440

948741-10-3 WEINGARTEN REALTY INVESTORS REIT 04/06/2021 EXTERNAL MANAGER TRA 1,890.000 51,990 30,342 40,956 (10,614) 0 0 (10,614) 0 30,342 0 21,648 21,648 567

957638-10-9 WESTERN ALLIANCE 04/26/2021 EXTERNAL MANAGER TRA 1,000.000 104,163 30,610 59,950 (29,340) 0 0 (29,340) 0 30,610 0 73,553 73,553 250

980745-10-3 WOODWARD INC 05/06/2021 EXTERNAL MANAGER TRA 377.000 46,868 46,032 0 0 0 0 0 0 46,032 0 836 836 0

98936J-10-1 ZENDESK INC 06/03/2021 EXTERNAL MANAGER TRA 250.000 33,232 33,155 35,780 (1,708) 0 917 (2,625) 0 33,155 0 77 77 0

98954M-10-1 ZILLOW GROUP INC CLASS A 05/18/2021 EXTERNAL MANAGER TRA 650.000 79,366 32,022 88,361 (56,339) 0 0 (56,339) 0 32,022 0 47,343 47,343 0

98954M-20-0 ZILLOW GROUP INC CLASS C 04/06/2021 EXTERNAL MANAGER TRA 240.000 32,281 16,507 31,152 (14,645) 0 0 (14,645) 0 16,507 0 15,774 15,774 0

98850P-10-9 YUM CHINA HOLDINGS INC C 04/06/2021 EXTERNAL MANAGER TRA 560.000 33,416 23,752 31,970 (8,219) 0 0 (8,219) 0 23,752 0 9,665 9,665 67

G16962-10-5 BUNGE LTD C 06/21/2021 EXTERNAL MANAGER TRA 1,620.000 132,603 95,319 106,240 (10,920) 0 0 (10,920) 0 95,319 0 37,283 37,283 1,340

G46188-10-1 HORIZON THERAPEUTICS PUBLIC PLC C 04/21/2021 EXTERNAL MANAGER TRA 630.000 57,390 46,070 46,085 (15) 0 0 (15) 0 46,070 0 11,320 11,320 0

G491BT-10-8 INVESCO LTD C 06/21/2021 EXTERNAL MANAGER TRA 3,200.000 89,490 54,845 23,879 (11,440) 0 0 (11,440) 0 54,845 0 34,645 34,645 756

G5876H-10-5 MARVELL TECHNOLOGY LTD C 04/21/2021 EXCHANGE OFFER 990.000 48,913 48,913 0 0 0 0 0 0 48,913 0 0 0 0

G5924V-11-4 MCDERMOTT WARRANT TRANCHE 1 C 04/23/2021 STATE STREET GLOBAL 0 0 0 0 0 0 0 0 0 0 0 0 0

H2906T-10-9 GARMIN LTD C 06/29/2021 EXTERNAL MANAGER TRA 2,710.000 386,607 203,142 324,279 (121,137) 0 0 (121,137) 0 203,142 0 183,465 183,465 1,653

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Publicly Traded 128,792,422 XXX 103,644,856 112,823,504 (17,472,242) 0 43,027 (17,515,269) 0 103,644,856 0 25,147,559 25,147,559 815,094 XXX XXX

74256W-58-4 PIF MidCap Fund R6 06/30/2021

FIDELITY CAPITAL MARKETS

460.018 17,968 17,136 16,620 0 17,136 833 833 1.

9499999. Subtotal - Common Stocks - Mutual Funds 17,968 XXX 17,136 16,620 0 0 0 0 0 17,136 0 833 833 0 XXX XXX

9799997. Total - Common Stocks - Part 4 128,810,390 XXX 103,661,992 112,840,124 (17,472,242) 0 43,027 (17,515,269) 0 103,661,992 0 25,148,392 25,148,392 815,094 XXX XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX

9799999. Total - Common Stocks 128,810,390 XXX 103,661,992 112,840,124 (17,472,242) 0 43,027 (17,515,269) 0 103,661,992 0 25,148,392 25,148,392 815,094 XXX XXX

9899999. Total - Preferred and Common Stocks 129,143,865 XXX 103,935,575 113,113,707 (17,472,242) 0 43,027 (17,515,269) 0 103,935,575 0 25,208,284 25,208,284 825,200 XXX XXX

9999999 - Totals 634,342,631 XXX 608,127,757 298,317,940 (17,472,242) (1,899,363) 209,638 (19,581,243) 0 604,789,532 0 26,279,752 26,279,752 9,048,996 XXX XXX

E05.1

1


Schedule DB - Part A - Section 1 - Options, Caps, Floors, Collars, Swaps and Forwards Open

N O N E

Schedule DB - Part B - Section 1 - Futures Contracts Open

N O N E

Schedule DB - Part B - Section 1B - Brokers with whom cash deposits have been made

N O N E

Schedule DB - Part D - Section 1 - Counterparty Exposure for Derivative Instruments Open

N O N E

Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged By

N O N E

Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged To

N O N E

Schedule DB - Part E - Derivatives Hedging Variable Annuity Guarantees

N O N E

E06, E07, E08, E09, E10


SCHEDULE DL - PART 1

SECURITIES LENDING COLLATERAL ASSETSReinvested Collateral Assets Owned Current Statement Date

(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

0599999. Total - U.S. Government Bonds 0 0 XXX1099999. Total - All Other Government Bonds 0 0 XXX1799999. Total - U.S. States, Territories and Possessions Bonds 0 0 XXX2499999. Total - U.S. Political Subdivisions Bonds 0 0 XXX3199999. Total - U.S. Special Revenues Bonds 0 0 XXX3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 0 0 XXX4899999. Total - Hybrid Securities 0 0 XXX5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 0 XXX5999999. Subtotal - SVO Identified Funds 0 0 XXX6299999. Subtotal - Unaffiliated Bank Loans 0 0 XXX6399999. Total - Issuer Obligations 0 0 XXX6499999. Total - Residential Mortgage-Backed Securities 0 0 XXX6599999. Total - Commercial Mortgage-Backed Securities 0 0 XXX6699999. Total - Other Loan-Backed and Structured Securities 0 0 XXX6799999. Total - SVO Identified Funds 0 0 XXX6899999. Total - Affiliated Bank Loans 0 0 XXX6999999. Total - Unaffiliated Bank Loans 0 0 XXX7099999. Total Bonds 0 0 XXX7399999. Total - Preferred Stocks (Schedule D, Part 2, Section 1 type) 0 0 XXX7999999. Total - Common Stocks (Schedule D, Part 2, Section 2 type) 0 0 XXX8099999. Total - Preferred and Common Stocks 0 0 XXX638995-91-0 State Street Navigator Government Money Market Portfolio 1.C 9,110,445 9,110,445

9199999. Total - Cash Equivalents (Schedule E Part 2 type) 9,110,445 9,110,445 XXX9999999 - Totals 9,110,445 9,110,445 XXXGeneral Interrogatories:

1. Total activity for the year Fair Value $ 4,396,890 Book/Adjusted Carrying Value $ 4,396,890

2. Average balance for the year Fair Value $ 3,512,953 Book/Adjusted Carrying Value $ 3,512,953

3. Reinvested securities lending collateral assets book/adjusted carrying value included in this schedule by NAIC designation:

NAIC 1 $ 9,110,445 NAIC 2 $ 0 NAIC 3 $ 0 NAIC 4 $ 0 NAIC 5 $ 0 NAIC 6 $ 0

E11


SCHEDULE DL - PART 2

SECURITIES LENDING COLLATERAL ASSETSReinvested Collateral Assets Owned Current Statement Date

(Securities lending collateral assets included on Schedules A, B, BA, D, DB and E and not reported in aggregate on Line 10 of the Assets page)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

9999999 - Totals XXXGeneral Interrogatories:

1. Total activity for the year Fair Value $ Book/Adjusted Carrying Value $2. Average balance for the year Fair Value $ Book/Adjusted Carrying Value $

NONE

E12


SCHEDULE E - PART 1 - CASHMonth End Depository Balances

1 2 3 4 5 Book Balance at End of Each MonthDuring Current Quarter

9

Depository CodeRate of Interest

Amount of Interest Received

During Current Quarter

Amount of Interest Accrued

at Current Statement Date

6

First Month

7

Second Month

8

Third Month *

JP Morgan Chase Bank, N.A.

270 Park Avenue, New York

City, NY, 10017 (135,542) 106,989,336 (56,605,673) XXX



City, NY, 10017 (3,587,303) (3,483,126) 57,537,916 XXX



City, NY, 10017 34,431 49,877 49,716 XXX



City, NY, 10017 (4,916,180) (5,276,913) (5,786,672) XXX

Bank of New York Mellon

6023 Airport Rd, Oriskany,

NY 13424 1,342,608 916,416 810,257 XXX

Federal Home Loan Bank of

Indianapolis

8250 Woodfield Crossing

Blvd, Indianapolis IN

46240 670 601 531 XXX

State Street Bank and Trust

Company

801 Pennsylvania, Kansas

City, MO 64105 331,305,502 31,120,242 40,821,488 XXX

0199998. Deposits in ... depositories that do not exceed the allowable limit in any one depository (See instructions) - Open Depositories XXX XXX XXX

0199999. Totals - Open Depositories XXX XXX 0 0 324,044,186 130,316,433 36,827,563 XXX

0299998. Deposits in ... depositories that 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 0 0 XXX

0399999. Total Cash on Deposit XXX XXX 0 0 324,044,186 130,316,433 36,827,563 XXX

0499999. Cash in Company's Office XXX XXX XXX XXX XXX

0599999. Total - Cash XXX XXX 0 0 324,044,186 130,316,433 36,827,563 XXX

E13


SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned End of Current Quarter

1

CUSIP

2

Description

3

Code

4

Date Acquired

5

Rate of Interest

6

Maturity Date


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

BAXTER INTERNATIONAL INC 06/15/2021 1.700 08/15/2021 3,967,407 25,464 (4,449)

COMMONWEALTH EDISON CO 06/22/2021 3.400 09/01/2021 4,920,656 55,624 (1,479)

CONAGRA FOODS INC 06/14/2021 0.000 08/12/2021 2,399,244 0 306

FIDELITY NATL INFO SERV 06/22/2021 0.000 08/04/2021 14,996,742 0 767

FLORIDA POWER CORPORATION 3.1 08/15/21 06/24/2021 3.100 08/15/2021 2,390,786 27,954 (1,913)

MCCORMICK & CO INC 05/28/2021 3.900 07/15/2021 1,130,987 20,321 (2,046)

MOLSON COORS BREWING CO 05/19/2021 2.100 07/15/2021 3,925,000 38,007 (6,498)

PECO ENERGY CO 06/17/2021 1.700 09/15/2021 2,003,875 10,011 (881)

VIATRIS INC 06/14/2021 0.000 08/16/2021 5,997,163 0 986

VIATRIS INC 06/17/2021 0.000 09/15/2021 7,493,666 0 1,166

3299999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Issuer Obligations 49,225,526 177,381 (14,041)

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 49,225,526 177,381 (14,041)

4899999. Total - Hybrid Securities 0 0 0

5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 0 0

6099999. Subtotal - SVO Identified Funds 0 0 0

6599999. Subtotal - Unaffiliated Bank Loans 0 0 0

7699999. Total - Issuer Obligations 49,225,526 177,381 (14,041)

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 49,225,526 177,381 (14,041)

00142W-84-3 INVESCO PRMR US GVRN MNY CL INST SD 06/01/2021 0.000 1,000,000 0 51

31617H-10-2 FIDELITY GOVERNMENT MMMF 06/01/2021 0.000 14,690 1

8599999. Subtotal - Exempt Money Market Mutual Funds - as Identified by the SVO 1,014,690 0 52

4812A0-36-7 JPMORGAN PRIME CL CAPITAL 06/29/2021 0.000 30,000,000 0 310

61747C-71-5 MRGN STNLY INSTI LIQ PRM CL IN 12/31/49 06/29/2021 0.000 10,344,404 0 0

52470G-88-2 WESTERN ASSET 06/01/2021 0.000 30,000,985 0 986

8699999. Subtotal - All Other Money Market Mutual Funds 70,345,389 0 1,296

9999999 - Total Cash Equivalents 120,585,605 177,381 (12,693)

E14

95610202120100102 - State of Michigan

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Transcript of 95610202120100102 - State of Michigan