Quarterly Statement - Pacific Life

*67466202120100102*

LIFE AND ACCIDENT AND HEALTH COMPANIES/FRATERNAL BENEFIT SOCIETIES - ASSOCIATION EDITION

QUARTERLY STATEMENT AS OF JUNE 30, 2021

OF THE CONDITION AND AFFAIRS OF THE

PACIFIC LIFE INSURANCE COMPANY NAIC Group Code 0709 0709 NAIC Company Code 67466 Employer's ID Number 95-1079000

(Current) (Prior)

Organized under the Laws of NEBRASKA , State of Domicile or Port of Entry NEBRASKA

Country of Domicile UNITED STATES OF AMERICA Licensed as business type: LIFE, ACCIDENT & HEALTH

Incorporated/Organized 01/02/1868 Commenced Business 05/01/1868

Statutory Home Office 6750 MERCY ROAD , OMAHA , NE, US 68106

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

Main Administrative Office 700 NEWPORT CENTER DRIVE (Street and Number)

NEWPORT BEACH , CA, US 92660 , 949-219-3011 (City or Town, State, Country and Zip Code) (Area Code) (Telephone Number)

Mail Address 700 NEWPORT CENTER DRIVE , NEWPORT BEACH , CA, US 92660

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

Primary Location of Books and Records 700 NEWPORT CENTER DRIVE (Street and Number)

NEWPORT BEACH , CA, US 92660 , 949-219-3011 (City or Town, State, Country and Zip Code) (Area Code) (Telephone Number)

Internet Website Address WWW.PACIFICLIFE.COM

Statutory Statement Contact JENNIFER LYNN ST. ONGE , 949-219-3312

(Name) (Area Code) (Telephone Number) JENNIFER.ST.ONGE @PACIFICLIFE.COM , 949-219-5246

(E-mail Address) (FAX Number)

OFFICERS Chairman, President & Chief Executive Officer JAMES THOMAS MORRIS

Executive Vice President & Chief Financial Officer DARRYL DOUGLAS BUTTON

Senior Vice President & Chief Accounting Officer JOSHUA D SCOTT

OTHER

JANE MARIE GUON

Vice President & Secretary CRAIG WILSON LESLIE

Vice President & Treasurer

DIRECTORS OR TRUSTEES

DARRYL DOUGLAS BUTTON ADRIAN SCOTT GRIGGS LAWRENCE FRANCIS HARR

JAMES THOMAS MORRIS JAY ORLANDI #

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.

James Thomas Morris Darryl Douglas Button Joshua D Scott

Chairman, President & Chief Executive Officer Executive Vice President & Chief Financial Officer Senior Vice President & Chief Accounting Officer

a. Is this an original filing? .................. Yes [ X ] No [ ] b. If no,

1. State the amendment number ..... 2. Date filed .................................... 3. Number of pages attached ..........

STATEMENT AS OF JUNE 30, 2021 OF THE PACIFIC LIFE INSURANCE COMPANY

ASSETSCurrent Statement Date 4

1

Assets

2

Nonadmitted Assets

3Net Admitted Assets

(Cols. 1 - 2)

December 31Prior Year Net

Admitted Assets

1. Bonds 62,192,940,855 62,192,940,855 58,896,972,003

2. Stocks:

2.1 Preferred stocks 8,549,912 8,549,912 7,531,820

2.2 Common stocks 1,037,972,234 317,354,721 720,617,513 681,530,996

3. Mortgage loans on real estate:

3.1 First liens 15,151,734,752 15,151,734,752 15,059,578,377

3.2 Other than first liens

4. Real estate:

4.1 Properties occupied by the company (less $

encumbrances) 98,151,941 98,151,941 108,243,135

4.2 Properties held for the production of income (less

$ encumbrances) 12,850,316 12,850,316 12,981,200

4.3 Properties held for sale (less $

encumbrances) 10,790,681

5. Cash ($ 1,348,083,380 ), cash equivalents

($ 422,646,633 ) and short-term

investments ($ 313,382 ) 1,771,043,395 1,771,043,395 2,000,148,025

6. Contract loans (including $ premium notes) 7,466,474,871 1,277,687 7,465,197,184 7,690,112,190

7. Derivatives 1,981,580,285 1,981,580,285 1,605,622,122

8. Other invested assets 4,602,331,742 26,888,204 4,575,443,538 4,064,126,615

9. Receivables for securities 67,965,638 67,965,638 41,826,232

10. Securities lending reinvested collateral assets 2,869,693,850 2,869,693,850 2,680,719,677

11. Aggregate write-ins for invested assets 300,322,146 300,322,146 36,963,605

12. Subtotals, cash and invested assets (Lines 1 to 11) 97,561,611,937 345,520,612 97,216,091,325 92,897,146,677

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

only)

14. Investment income due and accrued 1,049,201,322 1,049,201,322 656,636,229

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection 167,903,361 41,818 167,861,543 184,791,153

15.2 Deferred premiums, agents' balances and installments booked but

deferred and not yet due (including $

earned but unbilled premiums) 103,596,851 103,596,851 89,602,697

15.3 Accrued retrospective premiums ($ ) and

contracts subject to redetermination ($ )

16. Reinsurance:

16.1 Amounts recoverable from reinsurers 384,266,434 16,951,590 367,314,844 296,065,785

16.2 Funds held by or deposited with reinsured companies 264,192,580 264,192,580 279,427,639

16.3 Other amounts receivable under reinsurance contracts 93,400,416 93,400,416 108,229,450

17. Amounts receivable relating to uninsured plans

18.1 Current federal and foreign income tax recoverable and interest thereon 605,428,386 605,428,386 661,767,631

18.2 Net deferred tax asset 578,107,262 140,784,888 437,322,374 410,656,331

19. Guaranty funds receivable or on deposit 1,381,189 1,381,189 1,541,011

20. Electronic data processing equipment and software 86,914,756 83,801,453 3,113,303 4,181,129

21. Furniture and equipment, including health care delivery assets

($ ) 10,500,989 10,500,989

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

23. Receivables from parent, subsidiaries and affiliates 47,228,010 47,228,010 59,058,717

24. Health care ($ ) and other amounts receivable 285,558,664 11,664,568 273,894,096 158,255,692

25. Aggregate write-ins for other than invested assets 242,545,651 20,077,253 222,468,398 202,773,543

26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 to 25) 101,481,837,808 629,343,171 100,852,494,638 96,010,133,684

27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts 67,599,998,938 67,599,998,938 63,283,167,425

28. Total (Lines 26 and 27) 169,081,836,746 629,343,171 168,452,493,575 159,293,301,109

DETAILS OF WRITE-INS

1101. Derivatives collateral receivable 300,322,146 300,322,146 36,963,605

1102.

1103.

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

1199. Totals (Lines 1101 through 1103 plus 1198)(Line 11 above) 300,322,146 300,322,146 36,963,605

2501. Cash value of life insurance policies 193,162,628 193,162,628 172,376,476

2502. Accounts and notes receivable 13,157,243 13,157,243 13,333,891

2503. Other assets 16,148,527 16,148,527 17,063,176

2598. Summary of remaining write-ins for Line 25 from overflow page 20,077,253 20,077,253

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 242,545,651 20,077,253 222,468,398 202,773,543

2


LIABILITIES, SURPLUS AND OTHER FUNDS1

CurrentStatement Date

2December 31

Prior Year

1. Aggregate reserve for life contracts $ 72,831,342,557 less $ included in Line 6.3

(including $ 5,946,899,811 Modco Reserve) 72,831,342,557 71,350,439,103

2. Aggregate reserve for accident and health contracts (including $ Modco Reserve) 17,240,996 16,880,925

3. Liability for deposit-type contracts (including $ Modco Reserve) 8,581,245,241 6,280,822,802

4. Contract claims:

4.1 Life 1,030,497,080 1,046,676,224

4.2 Accident and health

5. Policyholders’ dividends/refunds to members $ 365,769 and coupons $ due

and unpaid 365,769 312,943

6. Provision for policyholders’ dividends, refunds to members and coupons payable in following calendar year - estimated amounts:

6.1 Policyholders’ dividends and refunds to members apportioned for payment (including $

Modco) 8,076,572 8,155,425

6.2 Policyholders’ dividends and refunds to members not yet apportioned (including $ Modco) 725,502 802,404

6.3 Coupons and similar benefits (including $ Modco)

7. Amount provisionally held for deferred dividend policies not included in Line 6

8. Premiums and annuity considerations for life and accident and health contracts received in advance less

$ discount; including $ accident and health premiums 4,077,917 3,099,647

9. Contract liabilities not included elsewhere:

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

experience rating refunds of which $ is for medical loss ratio rebate per the Public Health

Service Act

9.3 Other amounts payable on reinsurance, including $ 95,808,117 assumed and $ 284,917,799

ceded 380,725,916 398,360,756

9.4 Interest Maintenance Reserve 211,580,651 203,600,070

10. Commissions to agents due or accrued-life and annuity contracts $ 20,427,189 , accident and health

$ and deposit-type contract funds $ 1,919,949 22,347,138 36,574,878

11. Commissions and expense allowances payable on reinsurance assumed 17,854,835 17,480,362

12. General expenses due or accrued 217,192,722 242,721,446

13. Transfers to Separate Accounts due or accrued (net) (including $ (790,236,641) accrued for expense

allowances recognized in reserves, net of reinsured allowances) (820,583,325) (744,609,892)

14. Taxes, licenses and fees due or accrued, excluding federal income taxes 5,922,349 6,197,446

15.1 Current federal and foreign income taxes, including $ on realized capital gains (losses)

15.2 Net deferred tax liability

16. Unearned investment income 87,490,985 218,882,042

17. Amounts withheld or retained by reporting entity as agent or trustee 220,969,194 225,446,134

18. Amounts held for agents' account, including $ agents' credit balances

19. Remittances and items not allocated 43,336,019 27,316,850

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

21. Liability for benefits for employees and agents if not included above 211,751,711 223,428,274

22. Borrowed money $ and interest thereon $ 48,825,609

23. Dividends to stockholders declared and unpaid

24. Miscellaneous liabilities:

24.01 Asset valuation reserve 799,348,841 468,774,648

24.02 Reinsurance in unauthorized and certified ($ ) companies 7,923,432 5,766,989

24.03 Funds held under reinsurance treaties with unauthorized and certified ($ ) reinsurers

24.04 Payable to parent, subsidiaries and affiliates 2,997,227 2,758,108

24.05 Drafts outstanding

24.06 Liability for amounts held under uninsured plans

24.07 Funds held under coinsurance 195,146,145 178,799,469

24.08 Derivatives 234,023,277 168,594,046

24.09 Payable for securities 973,002,008 193,181,706

24.10 Payable for securities lending 2,869,693,850 2,680,719,677

24.11 Capital notes $ and interest thereon $

25. Aggregate write-ins for liabilities 1,173,271,648 1,335,932,429

26. Total liabilities excluding Separate Accounts business (Lines 1 to 25) 89,327,566,257 84,645,940,519

27. From Separate Accounts Statement 67,599,998,938 63,283,167,425

28. Total liabilities (Lines 26 and 27) 156,927,565,195 147,929,107,944

29. Common capital stock 30,000,000 30,000,000

30. Preferred capital stock

31. Aggregate write-ins for other than special surplus funds 126,871,880 130,868,230

32. Surplus notes 1,674,426,692 1,674,332,454

33. Gross paid in and contributed surplus 1,835,838,609 1,835,788,610

34. Aggregate write-ins for special surplus funds

35. Unassigned funds (surplus) 7,857,791,199 7,693,203,872

36. Less treasury stock, at cost:

36.1 shares common (value included in Line 29 $ )

36.2 shares preferred (value included in Line 30 $ )

37. Surplus (Total Lines 31+32+33+34+35-36) (including $ in Separate Accounts Statement) 11,494,928,380 11,334,193,165

38. Totals of Lines 29, 30 and 37 11,524,928,380 11,364,193,165

39. Totals of Lines 28 and 38 (Page 2, Line 28, Col. 3) 168,452,493,575 159,293,301,109


2501. Derivatives collateral payable and income accruals 1,082,892,500 1,245,748,354

2502. Disbursements payable 25,859,813 28,650,252

2503. Unclaimed accounts and uncashed checks 15,528,727 15,910,787

2598. Summary of remaining write-ins for Line 25 from overflow page 48,990,608 45,623,035

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 1,173,271,648 1,335,932,429

3101. Other surplus adjustments - derivatives 126,871,880 130,868,230

3102.

3103.


3199. Totals (Lines 3101 through 3103 plus 3198)(Line 31 above) 126,871,880 130,868,230

3401.

3402.

3403.


3499. Totals (Lines 3401 through 3403 plus 3498)(Line 34 above)

3


SUMMARY OF OPERATIONS1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

1. Premiums and annuity considerations for life and accident and health contracts 5,766,240,940 5,571,632,695 11,759,841,436

2. Considerations for supplementary contracts with life contingencies 8,363 461,021

3. Net investment income 1,517,967,093 1,688,119,021 3,181,766,136

4. Amortization of Interest Maintenance Reserve (IMR) 11,811,223 11,030,988 24,353,114

5. Separate Accounts net gain from operations excluding unrealized gains or losses (834,810) (12,754,350) (81,887,314)

6. Commissions and expense allowances on reinsurance ceded 56,293,166 63,540,484 64,435,628

7. Reserve adjustments on reinsurance ceded (421,140,299) (431,841,314) (779,298,528)

8. Miscellaneous Income:

8.1 Income from fees associated with investment management, administration and contract guarantees from Separate Accounts 663,084,654 588,055,479 1,218,029,261

8.2 Charges and fees for deposit-type contracts 12,251,658 18,478,288 26,310,477

8.3 Aggregate write-ins for miscellaneous income 87,233,332 96,001,906 203,448,899

9. Totals (Lines 1 to 8.3) 7,692,915,321 7,592,263,197 15,617,460,130

10. Death benefits 968,412,115 804,230,770 1,745,625,284

11. Matured endowments (excluding guaranteed annual pure endowments) 1,661,170 671,465 672,223

12. Annuity benefits 604,145,419 520,792,851 1,061,120,651

13. Disability benefits and benefits under accident and health contracts 2,880,607 2,686,190 5,165,352

14. Coupons, guaranteed annual pure endowments and similar benefits

15. Surrender benefits and withdrawals for life contracts 4,233,350,802 3,282,224,580 6,862,325,982

16. Group conversions

17. Interest and adjustments on contract or deposit-type contract funds 99,890,584 72,769,379 158,480,498

18. Payments on supplementary contracts with life contingencies 217,380 735,480 1,322,761

19. Increase in aggregate reserves for life and accident and health contracts 1,491,092,820 1,784,805,964 4,024,322,317

20. Totals (Lines 10 to 19) 7,401,650,897 6,468,916,680 13,859,035,068

21. Commissions on premiums, annuity considerations, and deposit-type contract funds (direct business only) 494,006,677 496,080,693 966,984,041

22. Commissions and expense allowances on reinsurance assumed 6,522,202 5,087,087 12,062,134

23. General insurance expenses and fraternal expenses 452,417,928 452,085,043 945,162,771

24. Insurance taxes, licenses and fees, excluding federal income taxes 61,829,302 58,741,279 119,143,786

25. Increase in loading on deferred and uncollected premiums (2,227,414) 11,693,337 13,101,479

26. Net transfers to or (from) Separate Accounts net of reinsurance (390,440,677) (420,809,646) (95,282,240)

27. Aggregate write-ins for deductions (13,780,291) 24,199,070 20,621,454

28. Totals (Lines 20 to 27) 8,009,978,623 7,095,993,542 15,840,828,493

29. Net gain from operations before dividends to policyholders and federal income taxes (Line 9 minus Line 28) (317,063,302) 496,269,655 (223,368,363)

30. Dividends to policyholders and refunds to members 4,765,796 4,898,095 8,230,006

31. Net gain from operations after dividends to policyholders, refunds to members and before federal income taxes (Line 29 minus Line 30) (321,829,098) 491,371,560 (231,598,369)

32. Federal and foreign income taxes incurred (excluding tax on capital gains) 87,858,103 14,572,190 (196,528,896)

33. Net gain from operations after dividends to policyholders, refunds to members and federal income taxes and before realized capital gains or (losses) (Line 31 minus Line 32) (409,687,201) 476,799,370 (35,069,473)

34. Net realized capital gains (losses) (excluding gains (losses) transferred to the IMR) less capital

gains tax of $ 6,995,064 (excluding taxes of $ 24,404

transferred to the IMR) 724,373,278 (302,268,583) (63,631,862)

35. Net income (Line 33 plus Line 34) 314,686,077 174,530,787 (98,701,335)

CAPITAL AND SURPLUS ACCOUNT

36. Capital and surplus, December 31, prior year 11,364,193,165 10,509,600,820 10,509,600,820

37. Net income (Line 35) 314,686,077 174,530,787 (98,701,335)

38. Change in net unrealized capital gains (losses) less capital gains tax of $ 26,670,446 160,240,002 (163,778,471) (172,380,170)

39. Change in net unrealized foreign exchange capital gain (loss) 1,043,316 (191,704) 15,473,504

40. Change in net deferred income tax 48,255,052 (36,831,173) (68,154,869)

41. Change in nonadmitted assets (23,114,122) (46,489,762) 35,456,895

42. Change in liability for reinsurance in unauthorized and certified companies (2,156,444) 110,030 (1,443,371)

43. Change in reserve on account of change in valuation basis, (increase) or decrease 238,524,319 340,629,161

44. Change in asset valuation reserve (330,574,193) 141,891,590 259,170,456

45. Change in treasury stock

46. Surplus (contributed to) withdrawn from Separate Accounts during period (834,810) (12,754,350) (81,887,314)

47. Other changes in surplus in Separate Accounts Statement 834,810 12,754,350 81,887,314

48. Change in surplus notes 94,239 (55,863,761) (55,769,523)

49. Cumulative effect of changes in accounting principles

50. Capital changes:

50.1 Paid in

50.2 Transferred from surplus (Stock Dividend)

50.3 Transferred to surplus

51. Surplus adjustment:

51.1 Paid in 50,000 650,000,000

51.2 Transferred to capital (Stock Dividend)

51.3 Transferred from capital

51.4 Change in surplus as a result of reinsurance

52. Dividends to stockholders

53. Aggregate write-ins for gains and losses in surplus (7,788,712) (2,740,188) (49,688,402)

54. Net change in capital and surplus for the year (Lines 37 through 53) 160,735,215 249,161,667 854,592,345

55. Capital and surplus, as of statement date (Lines 36 + 54) 11,524,928,380 10,758,762,487 11,364,193,165


08.301. Fee income 74,885,117 84,687,543 183,751,353

08.302. Miscellaneous income 12,348,215 11,314,363 19,697,545

08.303.

08.398. Summary of remaining write-ins for Line 8.3 from overflow page

08.399. Totals (Lines 08.301 through 08.303 plus 08.398) (Line 8.3 above) 87,233,332 96,001,906 203,448,899

2701. Net periodic benefit cost 2,925,948 3,601,207 7,549,678

2702. Miscellaneous disbursements (16,761,018) 20,518,310 12,978,831

2703. Contingency expense 54,780 79,553 92,945


2799. Totals (Lines 2701 through 2703 plus 2798)(Line 27 above) (13,780,291) 24,199,070 20,621,454

5301. Adjustment to retirement plans (3,792,362) 1,061,683 1,965,955

5302. Other surplus adjustments - derivatives (3,996,350) (3,801,871) (7,699,701)

5303. Prior period adjustment (43,954,656)


5399. Totals (Lines 5301 through 5303 plus 5398)(Line 53 above) (7,788,712) (2,740,188) (49,688,402)

4


CASH FLOW1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

Cash from Operations

1. Premiums collected net of reinsurance 5,523,877,141 5,351,462,819 11,279,398,417

2. Net investment income 1,406,355,361 1,610,677,857 3,346,630,928

3. Miscellaneous income 422,563,149 375,556,146 728,225,777

4. Total (Lines 1 to 3) 7,352,795,651 7,337,696,823 15,354,255,121

5. Benefit and loss related payments 5,957,654,406 4,657,258,255 9,576,980,226

6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts (313,632,434) (402,107,029) (245,692,311)

7. Commissions, expenses paid and aggregate write-ins for deductions 1,031,097,765 1,152,380,400 2,077,156,306

8. Dividends paid to policyholders 4,868,725 5,125,342 8,995,338

9. Federal and foreign income taxes paid (recovered) net of $ (323,677) tax on capital

gains (losses) 16,865,783 32,480,561 481,892,395

10. Total (Lines 5 through 9) 6,696,854,246 5,445,137,528 11,899,331,956

11. Net cash from operations (Line 4 minus Line 10) 655,941,404 1,892,559,294 3,454,923,166

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds 3,886,652,534 2,461,948,606 6,437,349,018

12.2 Stocks 17,167,243 51,974,132 166,155,223

12.3 Mortgage loans 798,017,412 234,769,339 533,288,331

12.4 Real estate 10,776,688

12.5 Other invested assets 1,114,248,023 699,474,931 1,862,014,912

12.6 Net gains or (losses) on cash, cash equivalents and short-term investments (509) (314,922) (361,852)

12.7 Miscellaneous proceeds 1,284,103,713 726,288,022 1,756,761,659

12.8 Total investment proceeds (Lines 12.1 to 12.7) 7,110,965,105 4,174,140,107 10,755,207,291

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

13.1 Bonds 6,970,294,388 4,936,884,353 11,915,361,509

13.2 Stocks 31,136,121 235,781,621 486,715,674

13.3 Mortgage loans 873,792,002 1,207,334,068 1,903,433,659

13.4 Real estate 15,722,519 627,838 6,564,330

13.5 Other invested assets 1,486,431,014 910,785,167 2,416,420,880

13.6 Miscellaneous applications 1,100,753,119 1,520,695,519 2,413,444,857

13.7 Total investments acquired (Lines 13.1 to 13.6) 10,478,129,164 8,812,108,566 19,141,940,909

14. Net increase (or decrease) in contract loans and premium notes (224,967,219) (73,007,710) (250,003,719)

15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) (3,142,196,841) (4,564,960,749) (8,136,729,899)

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes (55,958,000) (55,958,000)

16.2 Capital and paid in surplus, less treasury stock 50,000 650,000,000

16.3 Borrowed funds (48,825,609) (493,975) (1,000,523)

16.4 Net deposits on deposit-type contracts and other insurance liabilities 2,223,967,072 1,207,052,831 2,028,641,026

16.5 Dividends to stockholders

16.6 Other cash provided (applied) 81,959,343 377,706,912 349,712,325

17. Net cash from financing and miscellaneous sources (Line 16.1 through Line 16.4 minus Line 16.5 plus Line 16.6) 2,257,150,806 1,528,307,768 2,971,394,828

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) (229,104,630) (1,144,093,686) (1,710,411,905)

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

19.1 Beginning of year 2,000,148,025 3,710,559,929 3,710,559,929

19.2 End of period (Line 18 plus Line 19.1) 1,771,043,395 2,566,466,243 2,000,148,025

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

20.0001. Bonds disposed and acquired 478,206,736 353,688,046 961,636,018

20.0002. Assets in-kind received as premiums 245,436,292 211,097,766 498,536,573

20.0003. Mortgage loans disposed and acquired 31,766,639 11,296,490 21,836,535

20.0004. Federal tax credits received 21,648,138 101,208,873 338,154,751

20.0005. Bonds converted to stocks 9,641,867

20.0006. Bond interest in-kind received 2,471,013 3,622,545 7,915,327

20.0007. Interest purchased received as premiums 2,351,320 3,405,894

20.0008. Stocks disposed and acquired 1,135,800 4,696,100 42,104,763

20.0009. Premium tax credits received 949,998 499,999 4,504,999

5


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

20.0010. Assets in-kind transferred from the general account to the separate account 195,491,500

20.0011. Transfer between affiliated private equity funds 22,116,785

5.1


EXHIBIT 1

DIRECT PREMIUMS AND DEPOSIT-TYPE CONTRACTS

1Current Year

To Date

2Prior YearTo Date

3Prior Year Ended

December 31

1. Industrial life

2. Ordinary life insurance 1,960,039,420 1,850,028,290 3,999,254,434

3. Ordinary individual annuities 3,496,435,084 3,461,481,097 5,884,368,714

4. Credit life (group and individual)

5. Group life insurance

6. Group annuities 187,103,582 457,957,575 2,171,563,961

7. A & H - group

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

9. A & H - other

10. Aggregate of all other lines of business

11. Subtotal (Lines 1 through 10) 5,643,578,086 5,769,466,962 12,055,187,110

12. Fraternal (Fraternal Benefit Societies Only)

13. Subtotal (Lines 11 through 12) 5,643,578,086 5,769,466,962 12,055,187,110

14. Deposit-type contracts 249,639,292 367,121,028 584,613,768

15. Total (Lines 13 and 14) 5,893,217,378 6,136,587,990 12,639,800,878


1001.

1002.

1003.


1099. Totals (Lines 1001 through 1003 plus 1098)(Line 10 above)

6


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 [ ] No [ X ]

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

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

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

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

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

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

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. 12/31/2016

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). 04/05/2018

6.4 By what department or departments?

NEBRASKA DEPARTMENT OF INSURANCE

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

8

STATEMENT AS OF JUNE 30, 2021 OF THE

PACIFIC LIFE INSURANCE COMPANY


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: $ 546,143

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 - excluding collateral pledged as an FHLB $125,632,536

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 1,655,502,662 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 $ 77,087,007 $ 74,357,354 14.22 Preferred Stock $ $ 14.23 Common Stock $ 981,677,151 $ 1,017,059,551 14.24 Short-Term Investments $ $ 14.25 Mortgage Loans on Real Estate $ 614,290,549 $ 584,151,422 14.26 All Other $ 2,885,267,528 $ 3,081,020,415 14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 4,558,322,235 $ 4,756,588,742 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 [ X ] No [ ]15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ X ] No [ ] N/A [ ]

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. $ 2,869,693,850

16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 $ 2,869,693,850

16.3 Total payable for securities lending reported on the liability page. $ 2,869,693,850

8.1




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

THE BANK OF NEW YORK MELLON TRUST COMPANY, N.A. PITTSBURGH, PA

FHLB TOPEKA TOPEKA, KS

THE NORTHERN TRUST COMPANY CHICAGO, IL

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)

N/A

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

N/A

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

ABERDEEN ASSET MANAGERS LIMITED U

APOLLO CAPITAL MANAGEMENT L.P. U

AXA EQUITABLE AGRIFINANCE, LLC - AUTHORIZED TO MAKE INVESTMENT DECISIONS

FOR REAL ESTATE SECURED LOANS, WHICH ARE NOT CONSIDERED SECURITIES PER

THE U.S. SECURITIES & EXCHANGE COMMISSION U

BLACKROCK FINANCIAL MANAGEMENT INC. U

BROOKFIELD ASSET MANAGEMENT PRIVATE INSTITUTIONAL CAPITAL ADVISORS

(CANADA), L.P. U

INVESTMENT PROFESSIONALS EMPLOYED BY PACIFIC LIFE INSURANCE COMPANY I

NUVEEN ALTERNATIVES ADVISORS LLC U

PACIFIC ASSET MANAGEMENT LLC A

PACIFIC LIFE FUND ADVISORS LLC A

PACIFIC PRIVATE FUND ADVISORS LLC A

17.5097 For those firms/individuals listed in the table for Question 17.5, do any firms/individuals unaffiliated with the reporting entity (i.e. designated with a "U") manage more than 10% of the reporting entity’s 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

CRD# 162309 ABERDEEN ASSET MANAGERS LIMITED 549300EI2QZDOKFOUR93

U.S. SECURITIES & EXCHANGE

COMMISSION NO

CRD# 143161 APOLLO CAPITAL MANAGEMENT L.P. 5493007BCXEDR17QKB54


COMMISSION NO

N/A AXA EQUITABLE AGRIFINANCE, LLC 5493003SYWQCN68VWG95


COMMISSION NO

CRD# 107105 BLACKROCK FINANCIAL MANAGEMENT, INC. 549300LVXYIVJKE13M84 N/A NO

CRD# 151605

BROOKFIELD ASSET MANAGEMENT PRIVATE INSTITUTIONAL CAPITAL

ADVISORS (CANADA), L.P. NONE


COMMISSION NO

CRD# 160255 NUVEEN ALTERNATIVES ADVISORS LLC 549300MFBTJNNQKKJX98


COMMISSION NO

CRD# 298050 PACIFIC ASSET MANAGEMENT LLC 54900UCSPN8ID30FU28


COMMISSION DS

CRD# 105169 PACIFIC LIFE FUND ADVISORS LLC 07U30JM00W0YIMFFC542


COMMISSION DS

CRD# 168830 PACIFIC PRIVATE FUND ADVISORS LLC 549300HIYCK0W1F1YN98

U.S SECURITIES & EXCHANGE

COMMISSION DS

8.2


PACIFIC LIFE INSURANCE COMPANY18.1 Have all the filing requirements of the Purposes and Procedures Manual of the NAIC Investment Analysis Office been followed? Yes [ ] No [ X ]18.2 If no, list exceptions:

BB&T CENTER GRND LSE BACKED PTC CTL, 1/15/2056, $3,708,856 BV; CAMPUS DRV LEASE-BCKD A PTC SER A144A, 1/15/2052, $7,276,757 BV; JLL SECURITIES SEC SER 2020-50, 11/15/2040, $14,333,202 BV; METROPARK GROUND LEASE CTL SUB SER B, 8/15/2055, $1,284,667 BV; METROPARK GROUND LEASE CTL SR NT SER A, 8/15/2055, $4,105,002 BV; RESURGENT HOLDINGS, LLC, 2/24/2031, $35,000,000 BV; ONS MSO 2021-1 INCRMNTL MML, 7/8/2025, $6,596,510 BV; VIANT SPV, LLC ABS, 12/18/2025, $10,000,000 BV; SOLOR BIOEN CAP SEC, 3/24/2027, $2,407,907 BV; GLOBAL BANK CORP TL B, 12/20/2027, $7,812,500 BV

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 [ X ] No [ ]

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 ]

8.2.1




PART 2 - LIFE AND ACCIDENT AND HEALTH COMPANIES/FRATERNAL BENEFIT SOCIETIES

Life and Accident Health Companies/Fraternal Benefit Societies:

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

Amount

1.1 Long-Term Mortgages In Good Standing

1.11 Farm Mortgages $ 862,517,810

1.12 Residential Mortgages $ 273,218,862

1.13 Commercial Mortgages $ 13,994,877,475

1.14 Total Mortgages in Good Standing $ 15,130,614,147

1.2 Long-Term Mortgages In Good Standing with Restructured Terms

1.21 Total Mortgages in Good Standing with Restructured Terms $ 20,090,650

1.3 Long-Term Mortgage Loans Upon which Interest is Overdue more than Three Months

1.31 Farm Mortgages $ 1,029,955

1.32 Residential Mortgages $

1.33 Commercial Mortgages $

1.34 Total Mortgages with Interest Overdue more than Three Months $ 1,029,955

1.4 Long-Term Mortgage Loans in Process of Foreclosure

1.41 Farm Mortgages $



1.44 Total Mortgages in Process of Foreclosure $

1.5 Total Mortgage Loans (Lines 1.14 + 1.21 + 1.34 + 1.44) (Page 2, Column 3, Lines 3.1 + 3.2) $ 15,151,734,752

1.6 Long-Term Mortgages Foreclosed, Properties Transferred to Real Estate in Current Quarter

1.61 Farm Mortgages $



1.64 Total Mortgages Foreclosed and Transferred to Real Estate $

2. Operating Percentages:

2.1 A&H loss percent 3,755.160 %

2.2 A&H cost containment percent %

2.3 A&H expense percent excluding cost containment expenses 0.176 %

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

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

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

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

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

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

Fraternal Benefit Societies Only:

5.1 In all cases where the reporting entity has assumed accident and health risks from another company, provisions should be made in this statement on account of such reinsurances for reserve equal to that which the original company would have been required to establish had it retained the risks. Has this been done? Yes [ ] No [ ] N/A [ ]

5.2 If no, explain:

6.1 Does the reporting entity have outstanding assessments in the form of liens against policy benefits that have increased surplus? Yes [ ] No [ ]

6.2 If yes, what is the date(s) of the original lien and the total outstanding balance of liens that remain in surplus?

Date Outstanding Lien Amount

9


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

93580 84-0849721 01/01/2021 M Life Insurance Company CO MCO/I OL Authorized

10


SCHEDULE T - PREMIUMS AND ANNUITY CONSIDERATIONSCurrent Year To Date - Allocated by States and Territories

Direct Business Only1 Life Contracts 4 5 6 7

States, Etc.

ActiveStatus

(a)

2

Life InsurancePremiums

3

AnnuityConsiderations

Accident and Health Insurance

Premiums, Including Policy,

Membershipand Other Fees

OtherConsiderations

TotalColumns

2 Through 5Deposit-Type

Contracts1. Alabama AL L 11,329,471 60,188,663 71,518,133 2. Alaska AK L 3,217,308 5,030,704 8,248,012 3. Arizona AZ L 36,447,558 82,613,382 119,060,939 4,280,000 4. Arkansas AR L 17,916,715 22,035,327 39,952,043 100,000 5. California CA L 343,421,833 322,328,523 665,750,356 9,033,152 6. Colorado CO L 35,332,351 181,435,497 216,767,848 204,221,233 7. Connecticut CT L 18,737,691 62,326,659 81,064,350 473,493 8. Delaware DE L 48,438,289 37,665,392 86,103,681 9. District of Columbia DC L 4,790,872 2,638,894 7,429,766

10. Florida FL L 172,626,016 249,036,115 421,662,131 1,559,122 11. Georgia GA L 48,286,045 63,607,985 111,894,031 1,242,400 12. Hawaii HI L 16,461,968 35,635,444 52,097,412 2,639,250 13. Idaho ID L 10,198,261 10,335,040 20,533,301 942,659 14. Illinois IL L 84,031,140 198,728,952 282,760,091 430,926 15. Indiana IN L 17,483,317 90,700,951 108,184,268 1,940,808 16. Iowa IA L 12,940,351 56,679,146 69,619,498 183,326 17. Kansas KS L 19,545,809 20,838,354 40,384,163 1,571,701 18. Kentucky KY L 8,738,705 55,678,360 64,417,065 1,238,713 19. Louisiana LA L 13,712,161 82,505,221 96,217,381 1,559,172 20. Maine ME L 3,482,971 13,447,019 16,929,990 21. Maryland MD L 20,906,112 55,299,064 76,205,176 22. Massachusetts MA L 27,790,516 71,606,001 99,396,517 1,134,309 23. Michigan MI L 54,633,215 199,954,807 254,588,021 1,282,899 24. Minnesota MN L 94,158,955 80,125,711 174,284,665 193,384 25. Mississippi MS L 5,496,542 30,750,972 36,247,514 72,476 26. Missouri MO L 41,213,031 89,221,364 130,434,395 27. Montana MT L 4,640,723 9,893,514 14,534,237 354,191 28. Nebraska NE L 32,772,972 38,372,612 71,145,583 46,699 29. Nevada NV L 27,114,002 30,888,524 58,002,526 1,492,590 30. New Hampshire NH L 3,106,203 19,227,288 22,333,491 100,000 31. New Jersey NJ L 42,193,339 68,617,198 110,810,538 32. New Mexico NM L 7,220,248 22,138,640 29,358,889 33. New York NY N 50,287,539 4,341,326 54,628,865 34. North Carolina NC L 50,928,983 109,851,297 160,780,281 576,750 35. North Dakota ND L 7,763,237 9,925,880 17,689,117 125,505 36. Ohio OH L 54,466,009 178,202,809 232,668,818 2,397,307 37. Oklahoma OK L 8,489,553 35,715,981 44,205,534 567,649 38. Oregon OR L 18,349,885 36,321,531 54,671,415 1,044,136 39. Pennsylvania PA L 60,868,567 120,867,835 181,736,401 1,714,670 40. Rhode Island RI L 14,419,284 15,955,282 30,374,566 41. South Carolina SC L 14,533,051 53,897,358 68,430,408 42. South Dakota SD L 22,197,944 14,096,900 36,294,843 197,500 43. Tennessee TN L 28,210,449 129,885,034 158,095,483 1,031,856 44. Texas TX L 186,773,365 282,610,078 469,383,443 2,692,240 45. Utah UT L 32,717,731 22,933,330 55,651,061 343,000 46. Vermont VT L 1,227,973 5,409,692 6,637,665 47. Virginia VA L 31,759,804 86,306,234 118,066,038 1,051,175 48. Washington WA L 44,497,932 41,521,176 86,019,108 630,000 49. West Virginia WV L 1,557,426 17,627,380 19,184,806 50. Wisconsin WI L 18,251,038 138,690,186 156,941,224 1,175,000 51. Wyoming WY L 6,527,598 3,960,822 10,488,420 52. American Samoa AS N 53. Guam GU N 1,483 1,483 54. Puerto Rico PR N 96,302 96,302 55. U.S. Virgin Islands VI N 210,422 421,074 631,496 56. Northern Mariana Islands MP N 57. Canada CAN N 1,239 1,239 58. Aggregate Other Aliens OT XXX 7,476,430 405,629 7,882,059 59. Subtotal XXX 1,949,997,934 3,678,498,157 5,628,496,091 249,639,292 90. Reporting entity contributions for employee benefits

plans XXX 91. Dividends or refunds applied to purchase paid-up

additions and annuities XXX 3,797,871 55 3,797,926 92. Dividends or refunds applied to shorten endowment

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

disability or other contract provisions XXX 506,879 506,879 94. Aggregate or other amounts not allocable by State XXX 95. Totals (Direct Business) XXX 1,954,302,685 3,678,498,212 5,632,800,897 249,639,292 96. Plus Reinsurance Assumed XXX 441,792,096 284,773,438 56,025 726,621,559 97 Totals (All Business) XXX 2,396,094,781 3,963,271,649 56,025 6,359,422,455 249,639,292 98. Less Reinsurance Ceded XXX 574,335,848 12,518,412 586,854,260 99. Totals (All Business) less Reinsurance Ceded XXX 1,821,758,933 3,950,753,237 56,025 5,772,568,195 249,639,292

DETAILS OF WRITE-INS58001. ZZZ Other Alien XXX 7,476,430 405,629 7,882,059 58002. XXX58003. XXX58998. Summary of remaining write-ins for Line 58 from

overflow page XXX 58999. Totals (Lines 58001 through 58003 plus

58998)(Line 58 above) XXX 7,476,430 405,629 7,882,059

9401. XXX9402. XXX9403. XXX9498. Summary of remaining write-ins for Line 94 from

overflow page XXX 9499. Totals (Lines 9401 through 9403 plus 9498)(Line

94 above) XXX

(a) Active Status Counts:L - Licensed or Chartered - Licensed Insurance carrier or domiciled RRG 50 R - Registered - Non-domiciled RRGs E - Eligible - Reporting entities eligible or approved to write surplus lines in the state Q - Qualified - Qualified or accredited reinsurer N - None of the above - Not allowed to write business in the state 7

11


12

Federal ID

Number

NAIC

Company

Code

Domiciliary

Location Company

33-0769202 NE Pacific Mutual Holding Company

33-0769203 DE Pacific LifeCorp

33-0769203 DE Bella Sera Holdings, LLC

91-2025652 CO Pacific Life & Annuity Services, Inc.

95-1079000 67466 NE Pacific Life Insurance Company

58-1516006 GA Confederation Life Insurance and Annuity Company

26-1220784 13069 VT Pacific Alliance Reinsurance Company of Vermont

95-1079000 DE Pacific Asset Holding LLC

95-1079000 DE 700 Main Street LLC

86-0966932 DE Grayhawk Golf Holdings, LLC

95-1079000 AZ Grayhawk Golf Club L.L.C.

95-1079000 DE GW Member LLC

46-3942695 DE GW Apartments LLC

33-0738940 DE Las Vegas Golf I, LLC

33-0738940 NV Angel Park Golf, LLC

95-1079000 DE Pacific TriGuard Partners LLC

95-1079000 DE PL 803 Division Street Member, LLC

84-3891231 DE Nashville Gulch Venture LLC

84-4242104 DE Nashville Gulch Owner LLC

95-1079000 DE PL 922 Washington Owner, LLC

95-1079000 DE PL Adley Member, LLC

95-1079000 DE PL Alara Member, LLC

82-2456999 DE Greenwood Village Apartment Investors, LLC

82-2442057 DE Greenwood Village Owner, LLC

95-1079000 DE PL Andante Member, LLC

82-1256174 DE Andante Venture LLC

82-1235929 DE Andante Owner LLC

95-1079000 DE PL Anthology Member, LLC

84-3246397 DE Anthology Venture LLC

84-3298163 DE Anthology Owner LLC

84-3246397 DE Anthology CEA Owner LLC

95-1079000 DE PL Aster Member, LLC

84-1985886 DE Alston Manor Investors JV LLC

95-1079000 DE PL Beardslee Member, LLC

82-1550435 DE Village at Beardslee Investor, LLC

82-1550515 DE Village at Beardslee Phase I, LLC

82-1558241 DE Village at Beardslee Phase II, LLC

95-1079000 DE PL Brier Creek Member, LLC

81-3033328 DE Brier Creek Investors JV LLC

95-1079000 DE PL Cedarwest Member, LLC

84-1816250 DE Cedarwest JV LLC

84-1780378 DE Cedarwest Bend LLC

95-1079000 DE PL Dairies Owner, LLC

95-1079000 DE PL Deer Run Member, LLC

83-1232815 DE Deer Run JV LLC

83-0768213 WA Deer Run Spokane LLC

95-1079000 DE PL Denver Member, LLC

47-5579220 DE 1776 Curtis, LLC

95-1079000 DE PL Elk Meadows Member, LLC

82-5266812 DE Elk Meadows JV LLC

45-2101622 UT Elk Meadows Park City, LLC

95-1079000 DE PL Fairfax Gateway Member, LLC

83-2205761 DE Fairfield Fairfax Gateway LLC

95-1079000 DE PL Fountain Springs Member, LLC

95-1079000 DE PL GAAV Member, LLC

95-1079000 DE PL Gramax Member, LLC

85-0814463 DE ASI Gramax LLC

95-1079000 DE PL Hana Place Member, LLC

83-2845622 DE Hana Place JV LLC

83-2862606 DE Hana Place Seattle LLC

95-1079000 DE PL Hawkins Press Member, LLC

95-1079000 DE PL/KBS Fund Member, LLC

20-8908816 DE Offices at University, LLC

95-1079000 DE PL Kierland Member, LLC

SCHEDULE Y - INFORMATION CONCERNING ACTIVITIES OF

INSURER MEMBERS OF A HOLDING COMPANY GROUP

PART 1 - ORGANIZATIONAL CHART


12.1

Federal ID

Number

NAIC

Company

Code

Domiciliary

Location Company




82-2835217 DE T&L Apartment Investor, LLC

82-2851607 DE LAK Apartments, LLC

82-2854486 DE TAK Apartments, LLC

95-1079000 DE PL Lakemont Member, LLC

81-2465746 DE Overlook at Lakemont Venture LLC

95-1079000 DE PL LasCo Owner, LLC

95-1079000 DE PL Little Italy Member, LLC

84-2725289 DE Little Italy Apartments LLC

95-1079000 DE PL Monterone Member, LLC

82-1850100 DE Monterone Apartment Investor, LLC

95-1079000 DE PL Mortgage Fund, LLC

95-1079000 DE PL One Jefferson Member, LLC

81-3664344 DE One Jefferson Venture LLC

95-1079000 DE PL Peoria Member, LLC

82-4779880 DE 205 Peoria Street Owner, LLC

95-1079000 DE PL Redland Member, LLC

81-4254723 DE Redland Road Apartment Investor LLC

95-1079000 DE PL Reno Member, LLC

82-1578285 DE NPLC BV Manager LLC

82-1595140 DE NPLC BV Investment Company LLC

95-1079000 DE PL Savannah Member, LLC

81-3715142 DE PRP Savannah LLC

81-3961638 DE Savannah at Park Place Apartments LLC

95-1079000 DE PL SFR HD Member, LLC

95-1079000 DE PL SFR MLS Member, LLC

95-1079000 DE PL Sierra Member, LLC

61-1735899 DE Sierra at Fall Creek Apartments GP, LLC

46-5538462 DE Sierra at Fall Creek Apartments Holdings, L.P.

38-3930009 DE Sierra at Fall Creek Apartments Investors, LLC

46-5538462 DE Sierra at Fall Creek Apartments Holdings, L.P.

95-1079000 DE PL Spectrum Member, LLC

81-4621690 DE 9242 West Russell Road Apartment Investors, LLC

95-1079000 DE PL Stonebriar Member, LLC

83-1386887 DE Stonebriar Apartment Investor, LLC

95-1079000 DE PL Teravista Member, LLC

81-2435437 DE 401 Teravista Apartment Investors, LLC

95-1079000 DE PL Tessera Member, LLC

83-1584526 DE Tessera Venture LLC

83-1613080 DE Tessera Owner LLC

95-1079000 DE PL Timberlake Member, LLC

47-5512147 DE 80 South Gibson Road Apartment Investors, LLC

95-1079000 DE PL TOR Member LLC

47-4506277 DE 2803 Riverside Apartment Investors, LLC

95-1079000 DE PL Trelago Member, LLC

84-3836278 DE Trelago Way Investors JV LLC

95-1079000 DE PL Tupelo Member, LLC

84-2252135 DE Tupelo Alley Apartment Investors, LLC

84-2492971 DE Tupelo Alley Owner, LLC

95-1079000 DE PL Van Buren Member, LLC

81-1841112 DE 1035 Van Buren Holdings, L.L.C.

61-1788296 DE 1035 Van Buren, L.L.C.

95-1079000 DE PL Vantage Member, LLC

38-4098145 DE Vantage Post Oak Apartments, LLC

95-1079000 DE PL Wabash Member, LLC

82-2382409 DE THC 1333 S. Wabash LLC

95-1079000 DE PL Walnut Creek Member, LLC

85-3269025 DE Del Hombre Walnut Creek Holdings LLC

95-1079000 DE PL Wardman Member, LLC

95-1079000 DE Wardman Hotel Owner, L.L.C.

95-1079000 DE PL Wilshire Member, LLC

84-1953073 DE Wilshire Apartment Investors, LLC

84-1953073 DE 1111 Wilshire Owner, LLC

95-1079000 DE Wildflower Member, LLC

26-2387139 FL Epoch-Wildflower, LLC


12.2

Federal ID

Number

NAIC

Company

Code

Domiciliary

Location Company




46-3586207 15368 VT Pacific Baleine Reinsurance Company

83-3584534 DE Pacific Co-Invest Credit Fund I L.P.

83-1901561 DE Pacific Co-Invest Opportunities Fund I L.P.

85-1023345 DE PPFA Credit Opportunities Fund I L.P.

46-0831471 DE Pacific Global Asset Management LLC

04-3244012 DE Cadence Capital Management LLC

95-1079000 DE Cadence Global Equity GP LLC

81-4946475 DE Cadence Global Equity Fund L.P.

95-1079000 DE Pacific Asset Management LLC

46-5070548 DE PAM Bank Loan GP LLC

46-5076716 DE Pacific Asset Management Bank Loan Fund L.P.

82-5064321 DE PAM CLO Opportunities GP LLC

82-5046546 DE Pacific Asset Management CLO Opportunities Fund L.P.

95-1079000 DE Pacific Global Advisors LLC

36-4770311 DE Pacific Private Fund Advisors LLC

95-1079000 DE CAA-PPFA Equity Opportunities I GP LLC

86-3846394 DE CAA-PPFA Equity Opportunities Fund L.P.

83-3631022 DE Pacific Co-Invest Credit I GP LLC

83-3584534 DE Pacific Co-Invest Credit Fund I L.P.

86-1729494 DE Pacific Co-Invest Credit II GP LLC

86-1701945 DE Pacific Co-Invest Credit Fund II L.P.

83-1910016 DE Pacific Co-Invest Opportunities I GP LLC

83-1901561 DE Pacific Co-Invest Opportunities Fund I L.P.

86-1814349 DE Pacific Co-Invest Opportunities II GP LLC

86-1780626 DE Pacific Co-Invest Opportunities Fund II L.P.

81-2502241 DE Pacific Private Credit II GP LLC

81-2527906 DE Pacific Private Credit Fund II L.P.

82-3306657 DE Pacific Private Credit III GP LLC

82-3274195 DE Pacific Private Credit Fund III L.P.

83-1866611 DE Pacific Private Credit IV GP LLC

83-1842548 DE Pacific Private Credit Fund IV L.P.

86-1871009 DE Pacific Private Credit V GP LLC

86-1843877 DE Pacific Private Credit Fund V L.P.

95-1079000 DE Pacific Private Equity I GP LLC

46-4081630 DE Pacific Private Equity Fund I L.P.

81-2508604 DE Pacific Private Equity Opportunities II GP LLC

81-2546748 DE Pacific Private Equity Opportunities Fund II L.P.

82-4117401 DE Pacific Private Feeder Fund II LP

82-3293185 DE Pacific Private Equity Opportunities III GP LLC

82-3258645 DE Pacific Private Equity Opportunities Fund III L.P.

83-1886805 DE Pacific Private Equity Opportunities IV GP LLC

83-1828750 DE Pacific Private Equity Opportunities Fund IV L.P.

86-1953348 DE Pacific Private Equity Opportunities V GP LLC

86-1896517 DE Pacific Private Equity Opportunities Fund V L.P.

95-1079000 DE Pacific Private Feeder III GP, LLC

83-3991753 DE Pacific Private Feeder Fund III L.P.

95-1079000 DE Pacific Private Feeder IV GP LLC

85-3467221 DE Pacific Private Feeder Fund IV L.P.

85-1055644 DE PPFA Credit Opportunities I GP LLC

85-1004202 DE CAA – PPFA Credit Opportunities Fund I L.P.

85-1023345 DE PPFA Credit Opportunities Fund I L.P.

95-1079000 DE Pacific Investment Enterprises, LLC

95-3769814 97268 AZ Pacific Life & Annuity Company

61-1521500 DE Pacific Life Fund Advisors LLC

95-1079000 DE Pacific Life Aviation Holdings LLC

81-4711734 DE Aviation Capital Group Holdings, Inc.

61-1521500 DE Pacific Life Fund Advisors LLC

61-1521500 DE Pacific Life Trade Receivable GP LLC

83-0796120 DE Pacific Life Investment Grade Trade Receivable Fund L.P.

95-1079000 DE Pacific Life Purchasing LLC

81-2527906 DE Pacific Private Credit Fund II L.P.

82-3274195 DE Pacific Private Credit Fund III L.P.

83-1842548 DE Pacific Private Credit Fund IV L.P.

46-4076972 DE Pacific Private Equity Incentive Allocation LLC


12.3

Federal ID

Number

NAIC

Company

Code

Domiciliary

Location Company




46-4081630 DE Pacific Private Equity Fund I L.P.

81-2546748 DE Pacific Private Equity Opportunities Fund II L.P.

82-3258645 DE Pacific Private Equity Opportunities Fund III L.P.

83-1828750 DE Pacific Private Equity Opportunities Fund IV L.P.

82-4117401 DE Pacific Private Feeder Fund II LP

83-3991753 DE Pacific Private Feeder Fund III L.P.

85-3467221 DE Pacific Private Feeder Fund IV L.P.

95-2594489 DE Pacific Select Distributors, LLC

33-0769203 DE Pacific Life Re Holdings LLC

BMU Pacific Life Holdings Bermuda Limited

GBR Pacific Life Re Services Limited

SGP Pacific Life Re Services Singapore Pte. Limited

BMU Pacific Life Services Bermuda Limited

GBR UnderwriteMe Limited

GBR UnderwriteMe Technology Solutions Limited

AUS UnderwriteMe Australia Pty Limited

98-1012719 BMU Pacific Life Re Global LimitedBMU Pacific Life Re International Limited

AUS Pacific Life Re (Australia) Pty Limited

46-0520835 GBR Pacific Life Re Holdings Limited

98-0391994 GBR Pacific Life Re Limited

98-1018533 CAN Pacific Services Canada Limited

Pacific Life Insurance Company - entities under significant influence or beneficial interest

IRL Candoris QIAIF ICAV

Various DE Pacific Funds Series Trust

Various DE Pacific Global ETF Trust

95-3433806 CA Pacific Life Foundation

CYM Pacific Life Funding, LLC

CYM Pacific Life Global Funding

DE Pacific Life Global Funding II

95-1079000 Pacific Life Insurance Company Retirement Incentive Savings Plan

CYM Pacific Pilot Funding

CYM Pacific Pilot Funding III

Various MA Pacific Select Fund

CYM Trestles CLO 2017-1, Ltd.

CYM Trestles CLO II, Ltd.

CYM Trestles CLO III, Ltd.


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

* 33-0769202 Pacific Mutual Holding Company NE UIP N

33-0769203 Pacific LifeCorp DE UDP Pacific Mutual Holding Company Ownership 100.000 Pacific Mutual Holding Company N

33-0769203 Bella Sera Holdings, LLC DE NIA Pacific LifeCorp Ownership 100.000 Pacific Mutual Holding Company N

91-2025652 Pacific Life & Annuity Services, Inc. CO NIA Pacific LifeCorp Ownership 100.000 Pacific Mutual Holding Company N

0709 Pacific Life Group 67466 95-1079000 Pacific Life Insurance Company NE RE Pacific LifeCorp Ownership 100.000 Pacific Mutual Holding Company N

58-1516006

Confederation Life Insurance and Annuity

Company GA DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

0709 Pacific Life Group 13069 26-1220784

Pacific Alliance Reinsurance Company of

Vermont VT DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Pacific Asset Holding LLC DE DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 700 Main Street LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

86-0966932 Grayhawk Golf Holdings, LLC DE DS Pacific Asset Holding LLC Ownership 95.000 Pacific Mutual Holding Company N

95-1079000 Grayhawk Golf Club L.L.C. AZ DS Grayhawk Golf Holdings, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 GW Member LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

46-3942695 GW Apartments LLC DE DS GW Member LLC Ownership 90.000 Pacific Mutual Holding Company N

33-0738940 Las Vegas Golf I, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

33-0738940 Angel Park Golf, LLC NV DS Las Vegas Golf I, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Pacific TriGuard Partners LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL 803 Division Street Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-3891231 Nashville Gulch Venture LLC DE DS PL 803 Division Street Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

84-4242104 Nashville Gulch Owner LLC DE DS Nashville Gulch Venture LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL 922 Washington Owner, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Adley Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Alara Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-2456999 Greenwood Village Apartment Investors, LLC DE DS PL Alara Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

82-2442057 Greenwood Village Owner, LLC DE DS Greenwood Village Apartment Investors LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Andante Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-1256174 Andante Venture LLC DE DS PL Andante Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

82-1235929 Andante Owner LLC DE DS Andante Venture LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Anthology Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-3246397 Anthology Venture LLC DE DS PL Anthology Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

84-3298163 Anthology Owner LLC DE DS Anthology Venture LLC Ownership 100.000 Pacific Mutual Holding Company N

84-3246397 Anthology CEA Owner LLC DE DS Anthology Venture LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Aster Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-1985886 Alston Manor Investors JV LLC DE DS PL Aster Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Beardslee Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-1550435 Village at Beardslee Investor, LLC DE DS PL Beardslee Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

82-1550515 Village at Beardslee Phase I, LLC DE DS Village at Beardslee Investor, LLC Ownership 100.000 Pacific Mutual Holding Company N

82-1558241 Village at Beardslee Phase II, LLC DE DS Village at Beardslee Investor, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Brier Creek Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-3033328 Brier Creek Investors JV LLC DE DS PL Brier Creek Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Cedarwest Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-1816250 Cedarwest JV LLC DE DS PL Cedarwest Member LLC Ownership 60.000 Pacific Mutual Holding Company N

84-1780378 Cedarwest Bend LLC DE DS Cedarwest JV LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Deer Run Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

83-1232815 Deer Run JV LLC DE DS PL Deer Run Member, LLC Ownership 60.000 Pacific Mutual Holding Company N

83-0768213 Deer Run Spokane LLC WA DS Deer Run JV LLC Ownership 99.990 Pacific Mutual Holding Company N

95-1079000 PL Denver Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

47-5579220 1776 Curtis, LLC DE DS PL Denver Member, LLC Ownership 61.700 Pacific Mutual Holding Company N

95-1079000 PL Dairies Owner, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Elk Meadows Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-5266812 Elk Meadows JV LLC DE DS PL Elk Meadows Member, LLC Ownership 59.994 Pacific Mutual Holding Company N

13


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

* 45-2101622 Elk Meadows Park City, LLC UT DS Elk Meadows JV LLC Ownership 99.990 Pacific Mutual Holding Company N

95-1079000 PL Fairfax Gateway Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

83-2205761 Fairfield Fairfax Gateway LLC DE DS PL Fairfax Gateway Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Fountain Springs Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL GAAV Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Gramax Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

85-0814463 ASI Gramax LLC DE DS PL Gramax Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Hana Place Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

83-2845622 Hana Place JV LLC DE DS PL Hana Place Member, LLC Ownership 60.000 Pacific Mutual Holding Company N

83-2862606 Hana Place Seattle LLC DE DS Hana Place JV LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Hawkins Press Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL/KBS Fund Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

20-8908816 Offices at University, LLC DE DS PL/KBS Fund Member, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Kierland Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-2835217 T&L Apartment Investor, LLC DE DS PL Kierland Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

82-2851607 LAK Apartments, LLC DE DS T&L Apartment Investor, LLC Ownership 100.000 Pacific Mutual Holding Company N

82-2854486 TAK Apartments, LLC DE DS T&L Apartment Investor, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Lakemont Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-2465746 Overlook at Lakemont Venture LLC DE DS PL Lakemont Member, LLC Ownership 88.000 Pacific Mutual Holding Company N

95-1079000 PL LasCo Owner, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Little Italy Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-2725289 Little Italy Apartments LLC DE DS PL Little Italy Member, LLC Ownership 69.185 Pacific Mutual Holding Company N

95-1079000 PL Monterone Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-1850100 Monterone Apartment Investor, LLC DE DS PL Monterone Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Mortgage Fund, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL One Jefferson Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-3664344 One Jefferson Venture LLC DE DS PL One Jefferson Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Peoria Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-4779880 205 Peoria Street Owner, LLC DE DS PL Peoria Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Redland Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-4254723 Redland Road Apartment Investor LLC DE DS PL Redland Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Reno Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-1578285 NPLC BV Manager LLC DE DS PL Reno Member, LLC Ownership 81.000 Pacific Mutual Holding Company N

82-1595140 NPLC BV Investment Company LLC DE DS NPLC BV Manager LLC Ownership 85.000 Pacific Mutual Holding Company N

95-1079000 PL Savannah Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-3715142 PRP Savannah, LLC DE DS PL Savannah Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

81-3961638 Savannah at Park Place Apartments LLC DE DS PRP Savannah, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL SFR HD Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL SFR MLS Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Sierra Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

61-1735899 Sierra at Fall Creek Apartments GP, LLC DE DS PL Sierra Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

46-5538462

Sierra at Fall Creek Apartments Holdings,

L.P. DE DS Sierra at Fall Creek Apartments GP, LLC Ownership 0.100 Pacific Mutual Holding Company N

38-3930009

Sierra at Fall Creek Apartments Investors,

LLC DE DS PL Sierra Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

46-5538462

Sierra at Fall Creek Apartments Holdings,

L.P. DE DS

Sierra at Fall Creek Apartments Investors,

LLC Ownership 99.900 Pacific Mutual Holding Company N

95-1079000 PL Spectrum Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-4621690

9242 West Russell Road Apartment Investors,

LLC DE DS PL Spectrum Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Stonebriar Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

83-1386887 Stonebriar Apartment Investor, LLC DE DS PL Stonebriar Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

13.1


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

* 95-1079000 PL Teravista Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-2435437 401 Teravista Apartment Investors, LLC DE DS PL Teravista Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Tessera Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

83-1584526 Tessera Venture LLC DE DS PL Tessera Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

83-1613080 Tessera Owner LLC DE DS Tessera Venture LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Timberlake Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

47-5512147

80 South Gibson Road Apartment Investors, LLC

DE DS PL Timberlake Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL TOR Member LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

47-4506277 2803 Riverside Apartment Investors, LLC DE DS PL TOR Member LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Trelago Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-3836278 Trelago Way Investors JV LLC DE DS PL Trelago Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Tupelo Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-2252135 Tupelo Alley Apartment Investors, LLC DE DS PL Tupelo Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

84-2492971 Tupelo Alley Owner, LLC DE DS Tupelo Alley Apartment Investors, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Van Buren Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

81-1841112 1035 Van Buren Holdings, L.L.C. DE DS PL Van Buren Member, LLC Ownership 43.000 Pacific Mutual Holding Company N

61-1788296 1035 Van Buren, L.L.C. DE DS 1035 Van Buren Holdings, L.L.C. Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Vantage Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

38-4098145 Vantage Post Oak Apartments, LLC DE DS PL Vantage Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Wabash Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

82-2382409 THC 1333 S. Wabash LLC DE DS PL Wabash Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

95-1079000 PL Walnut Creek Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

85-3269025 Del Hombre Walnut Creek Holdings LLC DE DS PL Walnut Creek Member, LLC Ownership 75.000 Pacific Mutual Holding Company N

95-1079000 PL Wardman Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Wardman Hotel Owner, L.L.C. DE DS PL Wardman Member, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 PL Wilshire Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

84-1953073 Wilshire Apartment Investors, LLC DE DS PL Wilshire Member, LLC Ownership 90.000 Pacific Mutual Holding Company N

84-1953073 1111 Wilshire Owner, LLC DE DS Wilshire Apartment Investors, LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Wildflower Member, LLC DE DS Pacific Asset Holding LLC Ownership 100.000 Pacific Mutual Holding Company N

26-2387139 Epoch-Wildflower, LLC FL DS Wildflower Member, LLC Ownership 100.000 Pacific Mutual Holding Company N

0709 Pacific Life Group 15368 46-3586207 Pacific Baleine Reinsurance Company VT DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

46-0831471 Pacific Global Asset Management LLC DE DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

04-3244012 Cadence Capital Management LLC DE DS Pacific Global Asset Management LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Cadence Global Equity GP LLC DE DS Cadence Capital Management LLC Ownership 100.000 Pacific Mutual Holding Company N

81-4946475 Cadence Global Equity Fund L.P. DE NIA Cadence Global Equity GP LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Pacific Asset Management LLC DE DS Pacific Global Asset Management LLC Ownership 100.000 Pacific Mutual Holding Company N

46-5070548 PAM Bank Loan GP LLC DE DS Pacific Asset Management LLC Ownership 100.000 Pacific Mutual Holding Company N

46-5076716

Pacific Asset Management Bank Loan Fund L.P.

DE NIA PAM Bank Loan GP LLC Management Pacific Mutual Holding Company N

82-5064321 PAM CLO Opportunities GP LLC DE DS Pacific Asset Management LLC Ownership 100.000 Pacific Mutual Holding Company N

82-5046546

Pacific Asset Management CLO Opportunities

Fund L.P. DE NIA PAM CLO Opportunities GP LLC Management Pacific Mutual Holding Company N

95-1079000 Pacific Global Advisors LLC DE DS Pacific Global Asset Management LLC Ownership 100.000 Pacific Mutual Holding Company N

36-4770311 Pacific Private Fund Advisors LLC DE DS Pacific Global Asset Management LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 CAA-PPFA Equity Opportunities I GP LLC DE DS Pacific Private Fund Advisors Ownership 100.000 Pacific Mutual Holding Company N

86-3846394 CAA-PPFA Equity Opportunities Fund L.P. DE NIA CAA-PPFA Equity Opportunities I GP LLC Ownership 100.000 Pacific Mutual Holding Company N

83-3631022 Pacific Co-Invest Credit I GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

83-3584534 Pacific Co-Invest Credit Fund I L.P. DE NIA Pacific Co-Invest Credit I GP LLC Ownership 0.100 Pacific Mutual Holding Company N

83-3584534 Pacific Co-Invest Credit Fund I L.P. DE NIA Pacific Life Insurance Company Ownership 99.900 Pacific Mutual Holding Company N

86-1729494 Pacific Co-Invest Credit II GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

86-1701945 Pacific Co-Invest Credit Fund II L.P. DE NIA Pacific Co-Invest Credit II GP LLC Ownership 100.000 Pacific Mutual Holding Company N

13.2


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

* 83-1910016 Pacific Co-Invest Opportunities I GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

83-1901561 Pacific Co-Invest Opportunities Fund I L.P. DE NIA Pacific Co-Invest Opportunities I GP LLC Ownership 0.100 Pacific Mutual Holding Company N

83-1901561 Pacific Co-Invest Opportunities Fund I L.P. DE NIA Pacific Life Insurance Company Ownership 99.900 Pacific Mutual Holding Company N

86-1814349 Pacific Co-Invest Opportunities II GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

86-1780626

Pacific Co-Invest Opportunities Fund II L.P.

DE NIA Pacific Co-Invest Opportunities II GP LLC Ownership 100.000 Pacific Mutual Holding Company N

81-2502241 Pacific Private Credit II GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

81-2527906 Pacific Private Credit Fund II L.P. DE NIA Pacific Private Credit II GP LLC Ownership 0.110 Pacific Mutual Holding Company N

81-2527906 Pacific Private Credit Fund II L.P. DE NIA Pacific Life Insurance Company Ownership 75.790 Pacific Mutual Holding Company N

82-3306657 Pacific Private Credit III GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

82-3274195 Pacific Private Credit Fund III L.P. DE NIA Pacific Private Credit III GP LLC Ownership 0.070 Pacific Mutual Holding Company N

82-3274195 Pacific Private Credit Fund III L.P. DE NIA Pacific Life Insurance Company Ownership 74.370 Pacific Mutual Holding Company N

83-1866611 Pacific Private Credit IV GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

83-1842548 Pacific Private Credit Fund IV L.P. DE NIA Pacific Private Credit IV GP LLC Ownership 0.080 Pacific Mutual Holding Company N

83-1842548 Pacific Private Credit Fund IV L.P. DE NIA Pacific Life Insurance Company Ownership 89.940 Pacific Mutual Holding Company N

86-1871009 Pacific Private Credit V GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

86-1843877 Pacific Private Credit Fund V L.P. DE NIA Pacific Private Credit V GP LLC Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Pacific Private Equity I GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

46-4081630 Pacific Private Equity Fund I L.P. DE NIA Pacific Private Equity I GP LLC Ownership 0.100 Pacific Mutual Holding Company N

46-4081630 Pacific Private Equity Fund I L.P. DE NIA Pacific Life Insurance Company Ownership 78.530 Pacific Mutual Holding Company N

81-2508604

Pacific Private Equity Opportunities II GP

LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

81-2546748

Pacific Private Equity Opportunities Fund II

L.P. DE NIA



81-2546748

Pacific Private Equity Opportunities Fund II

L.P. DE NIA Pacific Life Insurance Company Ownership 78.510 Pacific Mutual Holding Company N

82-4117401 Pacific Private Feeder Fund II LP DE NIA



82-4117401 Pacific Private Feeder Fund II LP DE NIA Pacific Life Insurance Company Ownership 35.710 Pacific Mutual Holding Company N

82-3293185

Pacific Private Equity Opportunities III GP


82-3258645

Pacific Private Equity Opportunities Fund

III L.P. DE NIA

Pacific Private Equity Opportunities III

GP LLC Ownership 0.050 Pacific Mutual Holding Company N

82-3258645

Pacific Private Equity Opportunities Fund

III L.P. DE NIA Pacific Life Insurance Company Ownership 79.770 Pacific Mutual Holding Company N

83-1886805

Pacific Private Equity Opportunities IV GP


83-1828750

Pacific Private Equity Opportunities Fund IV

L.P. DE NIA

Pacific Private Equity Opportunities IV GP


83-1828750

Pacific Private Equity Opportunities Fund IV

L.P. DE NIA Pacific Life Insurance Company Ownership 93.920 Pacific Mutual Holding Company N

86-1953348

Pacific Private Equity Opportunities V GP


86-1896517

Pacific Private Equity Opportunities Fund V

L.P. DE NIA

Pacific Private Equity Opportunities V GP

LLC; Ownership 100.000 Pacific Mutual Holding Company N

95-1079000 Pacific Private Feeder III GP, LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

83-3991753 Pacific Private Feeder Fund III L.P. DE NIA Pacific Private Feeder III GP, LLC Ownership 0.020 Pacific Mutual Holding Company N

83-3991753 Pacific Private Feeder Fund III L.P. DE NIA Pacific Life Insurance Company Ownership 30.610 Pacific Mutual Holding Company N

95-1079000 Pacific Private Feeder IV GP LLC DE DS Pacific Private Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

85-3467221 Pacific Private Feeder Fund IV L.P. DE NIA Pacific Private Feeder IV GP LLC Ownership 0.020 Pacific Mutual Holding Company N

85-3467221 Pacific Private Feeder Fund IV L.P. DE NIA Pacific Life Insurance Company Ownership 39.340 Pacific Mutual Holding Company N

85-1055644 PPFA Credit Opportunities I L.P. DE NIA PPFA Credit Opportunities I GP LLC Ownership 0.270 Pacific Mutual Holding Company N

13.3


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

* 85-1055644 PPFA Credit Opportunities I L.P. DE NIA Pacific Life Insurance Company Ownership 9.660 Pacific Mutual Holding Company N

85-1004202 CAA – PPFA Credit Opportunities Fund I L.P. DE NIA PPFA Credit Opportunities I GP LLC Ownership 0.027 Pacific Mutual Holding Company N

85-1023345 PPFA Credit Opportunities Fund I L.P. DE NIA PPFA Credit Opportunities I GP LLC Management Pacific Mutual Holding Company N

95-1079000 Pacific Investment Enterprises, LLC DE DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

0709 Pacific Life Group 97268 95-3769814 Pacific Life & Annuity Company AZ DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

61-1521500 Pacific Life Fund Advisors LLC DE DS Pacific Life & Annuity Company Ownership 1.000 Pacific Mutual Holding Company N

95-1079000 Pacific Life Aviation Holdings LLC DE DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

81-4711734 Aviation Capital Group Holdings, Inc. DE DS Pacific Life Aviation Holdings LLC Ownership 100.000 Pacific Mutual Holding Company N

61-1521500 Pacific Life Fund Advisors LLC DE DS Pacific Life Insurance Company Ownership 99.000 Pacific Mutual Holding Company N

61-1521500 Pacific Life Trade Receivable GP LLC DE DS Pacific Life Fund Advisors LLC Ownership 100.000 Pacific Mutual Holding Company N

83-0796120

Pacific Life Investment Grade Trade

Receivable Fund L.P. DE NIA PAM Trade Receivable GP LLC Management Pacific Mutual Holding Company N

95-1079000 Pacific Life Purchasing LLC DE DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

46-4076972

Pacific Private Equity Incentive Allocation

LLC DE DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

95-2594489 Pacific Select Distributors, LLC DE DS Pacific Life Insurance Company Ownership 100.000 Pacific Mutual Holding Company N

33-0769203 Pacific Life Re Holdings LLC DE NIA Pacific LifeCorp Ownership 100.000 Pacific Mutual Holding Company N

Pacific Life Re Services Limited GBR NIA Pacific Life Holdings Bermuda Limited Ownership 100.000 Pacific Mutual Holding Company N

Pacific Life Holdings Bermuda Limited BMU NIA Pacific Life Re Holdings LLC Ownership 100.000 Pacific Mutual Holding Company N

Pacific Life Re Services Singapore Pte.

Limited SGP NIA Pacific Life Holdings Bermuda Limited Ownership 100.000 Pacific Mutual Holding Company N

Pacific Life Services Bermuda Limited BMU NIA Pacific Life Holdings Bermuda Limited Ownership 100.000 Pacific Mutual Holding Company N

98-1012719 Pacific Life Re Global Limited BMU IA Pacific Life Re Holdings LLC Ownership 100.000 Pacific Mutual Holding Company N

Pacific Life Re International Limited BMU NIA Pacific Life Re Global Limited Ownership 100.000 Pacific Mutual Holding Company N

Pacific Life Re (Australia) Pty Limited AUS NIA Pacific Life Re International Limited Ownership 100.000 Pacific Mutual Holding Company N

46-0520835 Pacific Life Re Holdings Limited GBR NIA Pacific Life Re Global Limited Ownership 100.000 Pacific Mutual Holding Company N

98-0391994 Pacific Life Re Limited GBR IA Pacific Life Re Holdings Limited Ownership 100.000 Pacific Mutual Holding Company N

98-1018533 Pacific Services Canada Limited CAN NIA Pacific Life Re Holdings LLC Ownership 100.000 Pacific Mutual Holding Company Y

UnderwriteMe Limited GBR NIA Pacific Life Holdings Bermuda Limited Ownership 100.000 Pacific Mutual Holding Company N

UnderwriteMe Technology Solutions Limited GBR NIA UnderwriteMe Limited Ownership 100.000 Pacific Mutual Holding Company N

UnderwriteMe Australia Pty Limited AUS NIA UnderwriteMe Limited Ownership 100.000 Pacific Mutual Holding Company N

Candoris QIAIF ICAV IRL OTH Pacific Life Insurance Company Influence Y 0001

Pacific Funds Series Trust DE OTH Pacific Life Insurance Company Influence Y 0001

Pacific Global ETF Trust DE OTH Pacific Life Insurance Company Influence N 0001

95-3433806 Pacific Life Foundation CA OTH Pacific Life Insurance Company Influence N 0001

Pacific Life Funding, LLC CYM OTH Pacific Life Insurance Company Influence N 0001

Pacific Life Global Funding CYM OTH Pacific Life Insurance Company Influence N 0001

Pacific Life Global Funding II DE OTH Pacific Life Insurance Company Influence N 0001

95-1079000 Pacific Life Insurance Company RISP OTH Pacific Life Insurance Company Influence N 0001

Pacific Pilot Funding CYM OTH Pacific Life Insurance Company Influence N 0001

Pacific Pilot Funding III CYM OTH Pacific Life Insurance Company Influence N 0001

Pacific Select Fund MA OTH Pacific Life Insurance Company Influence Y 0001

Trestles CLO 2017-1, Ltd. CYM OTH Pacific Life Insurance Company Influence N 0001

Trestles CLO II, Ltd. CYM OTH Pacific Life Insurance Company Influence N 0001

Trestles CLO III, Ltd. CYM OTH Pacific Life Insurance Company Influence N 0001

Asterisk Explanation

0001 Entities over which Pacific Life Insurance Company has significant influence or beneficial interest, but little or no ownership.

13.4



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

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

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

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

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

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

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

8. Will the Life PBR Statement of Exemption be filed with the state of domicile by July 1st and electronically with the NAIC with the second quarterly filing per the Valuation Manual (by August 15)? (2nd Quarter Only) The response for 1st and 3rd quarters should be N/A. A NO response resulting with a bar code is only appropriate in the 2nd quarter. NO

Explanation:

1.

2.

3.

5.

6.

8.

Bar Code:

1. Trusteed Surplus Statement [Document Identifier 490]

*67466202149000002*2. Medicare Part D Coverage Supplement [Document Identifier 365]

*67466202136500002*3. Reasonableness of Assumptions Certification required by Actuarial Guideline

XXXV [Document Identifier 445] *67466202144500002*5. Reasonableness of Assumptions Certification for Implied Guaranteed Rate

Method required by Actuarial Guideline XXXVI [Document Identifier 447] *67466202144700002*6. Reasonableness and Consistency of Assumptions Certification required by

Actuarial Guideline XXXVI [Document Identifier 448] *67466202144800002*8. Life PBR Statement of Exemption (2nd Quarter Only) [Document Identifier 700]

*67466202170000002*

14


OVERFLOW PAGE FOR WRITE-INS

Additional Write-ins for Assets Line 25

Current Statement Date 4

1

Assets

2

Nonadmitted Assets

3Net Admitted Assets

(Cols. 1 - 2)

December 31Prior Year Net

Admitted Assets

2504. Prepaid expenses 17,606,271 17,606,271 2505. Leasehold improvements 2,470,982 2,470,982 2597. Summary of remaining write-ins for Line 25 from overflow page 20,077,253 20,077,253

Additional Write-ins for Liabilities Line 25

1Current

Statement Date

2December 31

Prior Year

2504. Other liability 48,990,608 45,623,035 2597. Summary of remaining write-ins for Line 25 from overflow page 48,990,608 45,623,035

15


SCHEDULE A - VERIFICATIONReal Estate

1

Year to Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value, December 31 of prior year 132,015,016 139,634,151

2. Cost of acquired:

2.1 Actual cost at time of acquisition

2.2 Additional investment made after acquisition 15,722,519 6,564,330

3. Current year change in encumbrances

4. Total gain (loss) on disposals (22,218,530)

5. Deduct amounts received on disposals 10,776,686

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

7. Deduct current year’s other than temporary impairment recognized 5,700,000

8. Deduct current year’s depreciation 3,740,062 8,483,466

9. Book/adjusted carrying value at the end of current period (Lines 1+2+3+4-5+6-7-8) 111,002,257 132,015,016

10. Deduct total nonadmitted amounts

11. Statement value at end of current period (Line 9 minus Line 10) 111,002,257 132,015,016

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 15,059,578,377 13,684,963,866


2.1 Actual cost at time of acquisition 599,675,453 1,289,383,085

2.2 Additional investment made after acquisition 305,883,189 635,887,109

3. Capitalized deferred interest and other

4. Accrual of discount

5. Unrealized valuation increase (decrease)

6. Total gain (loss) on disposals (19,978,000)

7. Deduct amounts received on disposals 829,784,051 555,124,866

8. Deduct amortization of premium and mortgage interest points and commitment fees (6,720,719) (6,783,014)

9. Total foreign exchange change in book value/recorded investment excluding accrued interest 29,639,066 11,662,815

10. Deduct current year’s other than temporary impairment recognized 13,976,646

11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 15,151,734,752 15,059,578,377

12. Total valuation allowance

13. Subtotal (Line 11 plus Line 12) 15,151,734,752 15,059,578,377


15. Statement value at end of current period (Line 13 minus Line 14) 15,151,734,752 15,059,578,377

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 4,080,214,773 3,773,198,888


2.1 Actual cost at time of acquisition 227,863,212 76,441,241

2.2 Additional investment made after acquisition 1,258,567,804 2,317,862,945

3. Capitalized deferred interest and other 68,337,945 64,116,235

4. Accrual of discount 205,354 5,375,582

5. Unrealized valuation increase (decrease) 277,012,994 (110,580,594)

6. Total gain (loss) on disposals (68,153)

7. Deduct amounts received on disposals 1,297,599,155 2,041,546,668

8. Deduct amortization of premium and depreciation 146,396

9. Total foreign exchange change in book/adjusted carrying value (1,830,494) 5,915,638

10. Deduct current year’s other than temporary impairment recognized 10,440,691 10,353,945

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 4,602,331,742 4,080,214,773

12. Deduct total nonadmitted amounts 26,888,204 16,088,158


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 59,892,985,872 53,992,499,258

2. Cost of bonds and stocks acquired 7,738,322,217 13,912,269,864

3. Accrual of discount 6,966,122 69,828,214

4. Unrealized valuation increase (decrease) 24,660,669 (278,088,430)

5. Total gain (loss) on disposals 24,448,396 49,550,401

6. Deduct consideration for bonds and stocks disposed of 4,452,807,918 7,874,694,508

7. Deduct amortization of premium 2,633,744 53,454,020

8. Total foreign exchange change in book/adjusted carrying value (10,858,367) 91,845,494

9. Deduct current year’s other than temporary impairment recognized 41,022,414 87,263,421

10. Total investment income recognized as a result of prepayment penalties and/or acceleration fees 59,402,168 70,493,019

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9+10) 63,239,463,001 59,892,985,872

12. Deduct total nonadmitted amounts 317,354,721 306,951,053


SI01


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) 23,550,629,242 1,524,597,800 867,900,095 (345,921,825) 23,550,629,242 23,861,405,122 23,379,452,380

2. NAIC 2 (a) 32,913,567,171 2,052,744,438 1,011,671,042 341,563,819 32,913,567,171 34,296,204,386 31,774,415,444

3. NAIC 3 (a) 3,173,687,528 235,315,161 118,448,449 23,284,661 3,173,687,528 3,313,838,901 2,889,609,963

4. NAIC 4 (a) 598,814,201 131,637,625 90,732,587 (87,548,851) 598,814,201 552,170,388 690,110,386

5. NAIC 5 (a) 171,161,529 1,799,470 (1,407,586) 171,161,529 167,954,473 168,419,074

6. NAIC 6 (a) 3,586,833 46,333,815 44,427,949 3,586,833 1,680,967 3,586,833

7. Total Bonds 60,411,446,504 3,944,295,024 2,136,885,458 (25,601,833) 60,411,446,504 62,193,254,237 58,905,594,080

PREFERRED STOCK

8. NAIC 1 103,000 103,000 103,000 50,460

9. NAIC 2 8,336,336 110,576 8,336,336 8,446,912 7,470,790

10. NAIC 3 23,964 (23,964) 23,964 10,570

11. NAIC 4

12. NAIC 5

13. NAIC 6

14. Total Preferred Stock 8,463,300 86,612 8,463,300 8,549,912 7,531,820

15. Total Bonds and Preferred Stock 60,419,909,804 3,944,295,024 2,136,885,458 (25,515,221) 60,419,909,804 62,201,804,149 58,913,125,900

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

NAIC 1 $ 0 ; NAIC 2 $ 313,282 ; NAIC 3 $ 0 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 313,382 XXX 316,325 1,016

SCHEDULE DA - VERIFICATIONShort-Term Investments

1

Year To Date

2

Prior Year Ended December 31

1. Book/adjusted carrying value, December 31 of prior year 200,500,957 251,696,916

2. Cost of short-term investments acquired 9,699,717 207,706,208

3. Accrual of discount

4. Unrealized valuation increase (decrease)

5. Total gain (loss) on disposals (33,560)

6. Deduct consideration received on disposals 209,883,392 258,387,509

7. Deduct amortization of premium 3,900 481,100


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

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 313,382 200,500,957


12. Statement value at end of current period (Line 10 minus Line 11) 313,382 200,500,957

SI03


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

1. Book/Adjusted Carrying Value, December 31, prior year (Line 10, prior year) 1,321,641,196

2. Cost Paid/(Consideration Received) on additions 808,418,425

3. Unrealized Valuation increase/(decrease) 2,286,790

4. SSAP No. 108 adjustments

5. Total gain (loss) on termination recognized 942,953,602

6. Considerations received/(paid) on terminations 942,953,602

7. Amortization (431,720,767)

8. Adjustment to the Book/Adjusted Carrying Value of hedged item

9. Total foreign exchange change in Book/Adjusted Carrying Value (14,981,012)

10. Book/Adjusted Carrying Value at End of Current Period (Lines 1+2+3+4+5-6+7+8+9) 1,685,644,633

11. Deduct nonadmitted assets

12. Statement value at end of current period (Line 10 minus Line 11) 1,685,644,633

SCHEDULE DB - PART B - VERIFICATIONFutures Contracts

1. Book/Adjusted carrying value, December 31 of prior year (Line 6, prior year) 115,386,880

2. Cumulative cash change (Section 1, Broker Name/Net Cash Deposits Footnote - Cumulative Cash Change column) (53,474,505)

3.1 Add:

Change in variation margin on open contracts - Highly Effective Hedges

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

3.12 Section 1, Column 15, prior year

Change in variation margin on open contracts - All Other

3.13 Section 1, Column 18, current year to date minus (8,985,348)

3.14 Section 1, Column 18, prior year (48,132,966) 39,147,618 39,147,618

3.2 Add:

Change in adjustment to basis of hedged item

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

3.22 Section 1, Column 17, prior year

Change in amount recognized

3.23 Section 1, Column 19, current year to date minus (8,985,348)

3.24 Section 1, Column 19, prior year plus (48,132,966)

3.25 SSAP No. 108 adjustments 39,147,618 39,147,618

3.3 Subtotal (Line 3.1 minus Line 3.2)

4.1 Cumulative variation margin on terminated contracts during the year (304,820,520)

4.2 Less:

4.21 Amount used to adjust basis of hedged item

4.22 Amount recognized (304,820,520)

4.23 SSAP No. 108 adjustments (304,820,520)

4.3 Subtotal (Line 4.1 minus Line 4.2)

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

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

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

6. Book/Adjusted carrying value at end of current period (Lines 1+2+3.3-4.3-5.1-5.2) 61,912,375


8. Statement value at end of current period (Line 6 minus Line 7) 61,912,375

SI04



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

SI05, SI06


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

Book/Adjusted Carrying Value Check

1. Part A, Section 1, Column 14 1,685,644,633

2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance 61,912,375

3. Total (Line 1 plus Line 2) 1,747,557,008

4. Part D, Section 1, Column 6 1,981,580,285

5. Part D, Section 1, Column 7 (234,023,277)

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

Fair Value Check

7. Part A, Section 1, Column 16 1,685,644,633

8. Part B, Section 1, Column 13 (311,738)

9. Total (Line 7 plus Line 8) 1,685,332,895

10. Part D, Section 1, Column 9 1,922,878,700

11. Part D, Section 1, Column 10 (237,545,805)

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

Potential Exposure Check

13. Part A, Section 1, Column 21 124,263,972

14. Part B, Section 1, Column 20 61,912,375

15. Part D, Section 1, Column 12 186,176,347

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

SI07


SCHEDULE E - PART 2 - VERIFICATION(Cash Equivalents)

1

Year To Date

2

Prior Year Ended December 31

1. Book/adjusted carrying value, December 31 of prior year 741,043,291 3,280,992,020

2. Cost of cash equivalents acquired 4,922,937,562 14,411,637,195

3. Accrual of discount 220 5,800,741

4. Unrealized valuation increase (decrease) (74) (19,285)

5. Total gain (loss) on disposals (435) (310,507)

6. Deduct consideration received on disposals 5,241,332,230 16,955,509,247

7. Deduct amortization of premium 1,701 1,547,626


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

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 422,646,633 741,043,291


12. Statement value at end of current period (Line 10 minus Line 11) 422,646,633 741,043,291

SI08


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

1Location

4 5 6 7 8 9

Description of Property

2

City

3

State

DateAcquired Name of Vendor

Actual Cost atTime of Acquisition

Amount of Encumbrances

Book/Adjusted Carrying Value

Less Encumbrances

AdditionalInvestmentMade AfterAcquisition

#0775 HOME OFFICE NEWPORT BEACH CA 06/30/2021 PERMANENT IMPROVEMENT 10,341,385

#1775 HOME OFFICE - ALISO VIEJO ALISO VIEJO CA 06/30/2021 PERMANENT IMPROVEMENT 1,401,739

#3980 TIJERAS CREEK-GOLF COURSE RANCHO SANTA MARGARITA CA 06/30/2021 PERMANENT IMPROVEMENT 72,090

0199999. Acquired by Purchase 11,815,214

0399999 - Totals 11,815,214

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

1 Location 4 5 6 7 8 Change in Book/Adjusted Carrying Value Less Encumbrances 14 15 16 17 18 19 20

Description of Property

2

City

3

State

DisposalDate Name of Purchaser

ActualCost

Expended for

Additions, Permanent Improve-

ments and Changesin Encum-brances

Book/Adjusted Carrying

Value Less Encum-brances

PriorYear

9

Current Year’sDepre-ciation

10

Current Year’s

Other-Than- Temporary Impairment Recognized

11

Current Year's

Change in Encum-brances

12

Total Change in


Value(11-9-10)

13Total

Foreign Exchange Change in


Value


Value Less Encum-brances

onDisposal

Amounts Received

DuringYear

Foreign Exchange

Gain(Loss)

onDisposal

RealizedGain

(Loss)on

Disposal

TotalGain

(Loss)on

Disposal

Gross Income Earned Less

Interest Incurred on

Encum-brances

Taxes, Repairs

and Expenses Incurred

#0775 HOME OFFICE NEWPORT BEACH CA 06/30/2021 PARTIALLY DISPOSED 44,766,137 22,827,180 682,488 (682,488) 22,144,691 (22,144,691) (22,144,691) 9,334,090 2,515,610

#1775 HOME OFFICE - ALISO VIEJO ALISO VIEJO CA 06/30/2021 PARTIALLY DISPOSED 1,194,089 64,059 4,214 (4,214) 59,845 (59,845) (59,845) 6,262,705 1,281,988

0199999. Property Disposed 45,960,226 22,891,239 686,703 (686,703) 22,204,536 (22,204,536) (22,204,536) 15,596,795 3,797,598

0399999 - Totals 45,960,226 22,891,239 686,703 (686,703) 22,204,536 (22,204,536) (22,204,536) 15,596,795 3,797,598

E01


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

1 Location 4 5 6 7 8 9

Loan Number

2

City

3

State

LoanType Date Acquired Rate of Interest


Additional Investment MadeAfter Acquisition

Value of Landand Buildings

356621131 Various IA 04/22/2021 3.900 4,330,800 9,300,000

356621132 Estelline SD 05/19/2021 3.950 12,562,500 24,463,635

356621148 Monticello IA 05/06/2021 3.100 180,900 458,341

356621149 Monticello IA 05/06/2021 3.200 743,700 1,916,659

356621150 Elkton SD 04/23/2021 3.600 4,221,000 8,760,000

356621159 Various AR 04/05/2021 3.150 1,776,536 3,000,000

356621164 Corvallis OR 04/01/2021 3.650 1,532,625 3,700,000

356621165 Cove OR 04/14/2021 3.500 1,748,700 3,950,000

356621168 Forsyth MT 04/07/2021 3.650 1,580,763 10,500,000

356621169 Various NM 04/15/2021 3.150 1,206,000 2,736,000

356621178 Reeseville WI 05/17/2021 3.300 5,025,000 7,750,000

356621179 Upton WY 05/04/2021 3.550 2,713,500 6,350,000

356621184 Numa IA 05/21/2021 3.990 1,758,750 4,604,354

356621189 Cochran GA 04/16/2021 4.050 902,993 1,435,000

356621191 Lodi CA 05/18/2021 3.450 3,517,500 6,350,000

356621192 Various AR 05/04/2021 3.850 250,656 418,605

356621193 Various AR 05/04/2021 3.850 2,121,241 3,541,395

356621194 Leachville AR 05/11/2021 3.550 2,412,000 3,775,000

356621196 Various MN 05/12/2021 3.350 3,668,250 6,259,750

356621197 Various MN 05/12/2021 3.350 3,466,212 5,914,978

356621198 Various MN 05/12/2021 3.350 3,668,250 6,259,750

356621199 Various MN 05/12/2021 3.350 3,267,288 5,575,522

356621200 New Richland MN 04/15/2021 3.750 160,800 300,000

356621201 Bricelyn MN 04/21/2021 4.060 1,529,811 3,400,000

356621203 Gary MN 05/04/2021 3.150 1,105,500 1,987,755

356621204 Nielsville MN 05/04/2021 3.650 4,020,000 7,029,142

356621205 Gary MN 05/04/2021 3.150 1,306,500 2,601,000

356621208 Blakesburg IA 06/16/2021 3.850 804,000 1,620,000

356621209 Allendale IL 04/16/2021 3.940 3,763,425 8,699,000

356621212 Marion IA 05/17/2021 3.900 251,250 815,000

356621216 Jonesboro AR 04/19/2021 3.550 124,118 192,000

356621218 Camilla GA 05/12/2021 3.400 753,750 1,180,000

356621221 Warden WA 05/24/2021 4.100 603,000 1,285,000

356621224 Independence OR 06/17/2021 4.050 1,005,000 1,905,000

356621225 Enderlin ND 05/27/2021 3.950 1,005,000 1,590,000

356621227 Various KS 05/18/2021 4.050 2,361,559 5,250,000

356621229 Various MN 05/14/2021 3.950 301,500 569,906

356621238 Waco TX 06/21/2021 3.800 3,417,000 6,511,000

356621239 Ivanhoe MN 06/29/2021 4.000 3,718,500 7,772,000

356621240 Moorpark CA 05/13/2021 3.900 1,005,000 4,320,000

356621241 Waldorf MN 06/15/2021 3.830 1,251,914 2,350,000

356621252 Various MN 06/17/2021 3.900 402,000 778,024

0199999. Mortgages in good standing - Farm Mortgages 91,544,790 187,173,817

211900101 HOUSTON TX 06/30/2011 5.224 2,276 114,000,000

217900502 BOSTON MA 12/14/2017 5.357 12,257,258 199,473,280

218620401 LOS ANGELES CA 05/30/2019 5.252 31,161,482 740,509,331

218800301 CHEVY CHASE MD 10/11/2018 5.138 10,586,892 134,784,650

218900201 LOS ANGELES CA 12/11/2018 5.306 8,357,157 82,910,952

218900401 HOUSTON TX 09/07/2018 5.246 5,393,450 182,218,631

218900601 HOUSTON TX S 11/30/2018 5.500 13,923,447 170,603,208

219630201 ALEXANDRIA VA 12/05/2019 4.550 37,794,735 220,224,935

219900101 FORT WORTH TX 04/25/2019 5.025 2,515,691 89,902,964

219900401 DRAPER UT 06/19/2019 5.250 5,140,190 65,847,389

219900601 MINNEAPOLIS MN 07/30/2019 4.900 15,583,308 43,190,527

219900901 ATLANTA GA 12/19/2019 4.435 1,890,120 4,216,193

221620101 MALDEN MA 04/02/2021 2.500 57,680,000 59,888 96,600,000

221630201 BLACKSBURG VA 05/05/2021 2.627 50,772,200 79,200,000

221630301 BLACKSBURG VA 05/05/2021 2.627 48,682,700 76,800,000

221800101 BOYNTON BEACH FL 05/14/2021 4.250 (848,750)

221800201 CHICAGO IL 05/20/2021 2.350 67,925,000 103,000,000

221800401 TALLAHASSEE FL 06/07/2021 3.237 63,490,538 98,600,000

221970101 WASHINGTON DC S 01/11/2021 5.000 3,307,000 8,000,000

E02


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

1 Location 4 5 6 7 8 9

Loan Number

2

City

3

State

LoanType Date Acquired Rate of Interest


Additional Investment MadeAfter Acquisition

Value of Landand Buildings

0599999. Mortgages in good standing - Commercial mortgages-all other 287,701,688 147,972,894 2,510,082,059

0899999. Total Mortgages in good standing 379,246,478 147,972,894 2,697,255,876

1699999. Total - Restructured Mortgages

2499999. Total - Mortgages with overdue interest over 90 days

3299999. Total - Mortgages in the process of foreclosure

3399999 - Totals 379,246,478 147,972,894 2,697,255,876

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

1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 18

Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date

Book Value/Recorded Investment Excluding Accrued Interest

Prior Year

8

Unrealized ValuationIncrease

(Decrease)

9

Current Year’s

(Amortization)/Accretion

10Current

Year’s Other- Than-

Temporary Impairment Recognized

11

Capitalized Deferred

Interest and Other

12

TotalChange

inBook Value (8+9-10+11)

13

Total Foreign Exchange Change in

Book Value

Book Value/Recorded Investment Excluding Accrued

Interest on Disposal

Consid-eration

Foreign Exchange

Gain(Loss) on Disposal

RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

02770 ODESSA TX 04/28/2016 06/25/2021 575,499 219,587

02771 VARIOUS CITIES AZ 03/31/2016 06/25/2021 1,063,125 1,050,000

04230 VARIOUS FL 01/13/2017 06/25/2021 141,681 126,208

04810 VARIOUS FL 06/28/2017 06/25/2021 585,945 505,428

211970201 SAN FRANCISCO CA 09/01/2011 05/10/2021 246,379,260 12,349 12,349 245,076,438

213210101 LONDON GBR 07/25/2013 06/10/2021 172,488,365 483,119 483,119 21,040,415 175,097,563 (19,978,000) (19,978,000)

356617166 VARIOUS KS 04/17/2017 05/18/2021 1,161,788 (4,751) (4,751) 1,156,900

356617247 BRICELYN MN 07/12/2017 04/21/2021 1,141,237 (4,444) (4,444) 1,125,497

356617294 HANFORD CA 10/19/2017 04/02/2021 7,181,493 (29,514) (29,514) 7,150,908

356617332 OURAY UT 12/26/2017 05/26/2021 2,249,353 (9,802) (9,802) 2,224,599

356618120 VARIOUS AR 01/25/2018 04/05/2021 1,755,831 (8,356) (8,356) 1,729,766

356618123 FORSYTH MT 01/29/2018 04/07/2021 848,489 (3,466) (3,466) 844,865

356618125 ALLENDALE IL 01/23/2018 04/16/2021 2,187,277 (9,300) (9,300) 2,177,267

356618281 VARIOUS AR 07/10/2018 05/04/2021 243,306 (1,023) (1,023) 237,678

356618282 VARIOUS AR 07/10/2018 05/04/2021 1,774,700 (7,465) (7,465) 1,733,645

356619161 VARIOUS KS 04/01/2019 04/09/2021 1,585,755 (7,628) (7,628) 1,566,555

356619260 VARIOUS KS 09/25/2019 05/18/2021 529,406 (5,720) (5,720) 523,392

356620229 WALDORF MN 06/25/2020 06/15/2021 871,502 (4,375) (4,375) 867,127

0199999. Mortgages closed by repayment 442,764,013 399,624 399,624 21,040,415 443,413,422 (19,978,000) (19,978,000)

03112 VARIOUS TX 07/29/2016 375,277 1,435

03287 ATLANTA GA 07/29/2016 99,908 378

03288 VARIOUS GA 10/18/2016 238,213 836

03666 VARIOUS FL 10/28/2016 178,826 688

03677 VARIOUS FL 10/28/2016 364,998 59,371

03680 KATY TX 10/28/2016 183,407 683

04127 VARIOUS CA 12/30/2016 631,850 1,908

04197 VARIOUS NV 03/01/2017 563,685 136,097

04346 VARIOUS FL 01/30/2017 164,188 158,981

04461 VARIOUS NC 05/18/2017 641,391 2,393

04465 VARIOUS MO 01/30/2017 3,996,380 21,746

04504 VARIOUS FL 02/14/2017 406,289 4,101

04552 SOUTH BEND IN 05/18/2017 143,848 514

04578 VARIOUS MO 02/14/2017 1,717,743 7,479

04595 BAKERSFIELD CA 06/28/2017 609,087 115,560

04649 VARIOUS FL 03/01/2017 365,149 1,368

04671 SPRING TX 05/18/2017 108,928 392

04710 VARIOUS IN 02/23/2018 91,862 57,901

04871 VARIOUS FL 06/28/2017 346,511 1,289

E02.1




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

04982 VARIOUS GA 02/23/2018 95,655 360

05207 SOUTH BEND IN 09/26/2017 102,669 357

05835 VARIOUS GA 12/21/2017 797,554 324,401

05839 VARIOUS GA 12/21/2017 593,350 213,738

004091112 MILTON CAN 06/26/2002 1,751,827 (30,904) 223,268

004091211 KING CITY CAN 06/26/2002 1,401,458 (24,723) 178,614

004091229 KING CITY CAN 07/24/2003 361,756 (1,872) 50,842

004094514 OCEAN VIEW DE 06/13/2003 1,492,174 373 373 136,012

004095414 HUNTSVILLE CAN 08/28/2003 1,895,546 12,038 153,078

004095513 MACTIER CAN 08/28/2003 2,816,748 17,889 227,471

004095612 PORT CARLING CAN 08/28/2003 2,019,557 12,826 163,092

004103316 ALBERTON CAN 06/08/2004 3,431,421 32,306 210,697

008948090 LAKE WORTH FL 09/25/1989 2,988,076 248,374

008948091 LAKE WORTH FL 12/20/1994 396,690 32,586

205630201 VARIOUS CAN 02/06/2006 20,391,380 3,953 3,953 321,199 921,264

206630401 MARKHAM CAN 01/08/2007 6,130,394 92,121 224,604

207630501 VARIOUS CAN 11/15/2007 19,912,410 4,603 4,603 424,213 760,943

207970201 HOUSTON TX 05/17/2007 49,771,042 2,077 2,077 547,447

207970202 HOUSTON TX 05/17/2007 30,231,136 325,930

208630101 NORTH BETHESDA MD 04/05/2013 56,087,290 376,131

209800701 OAKVILLE CAN 10/01/2009 10,270,128 2,317 2,317 207,382

210620401 SAN JOSE CA 07/28/2010 17,007,431 2,507 2,507 104,939

210800501 ATLANTA GA 12/16/2010 117,956,524 10,790 10,790 1,028,653

210970201 PEBBLE BEACH CA 10/01/2010 210,532,118 1,465,703

211620101 MILPITAS CA 04/07/2011 20,257,780 6,607 6,607 93,986

211620102 MILPITAS CA 08/30/2019 29,005,807 1,970 1,970 188,752

211620701 SAN JOSE CA 11/04/2011 63,190,305 17,752 17,752 311,620

211620702 SAN JOSE CA 08/30/2019 38,801,324 2,336 2,336 226,976

211620901 LINCOLN CA 12/01/2011 2,673,967 477 477 51,007

211800601 BOSTON MA 07/06/2012 74,805,334 31,975 31,975 405,721

211900101 HOUSTON TX 06/30/2011 66,974,946 6,865 6,865 462,728

211900301 HOUSTON TX 09/13/2011 74,671,126 8,478 8,478 348,473

211900302 HOUSTON TX 09/13/2011 9,360,474 43,559

211900401 HOUSTON TX 03/28/2012 53,287,485 11,880 11,880 240,383

211900701 SCOTTSDALE AZ S 01/01/2012 31,137,262 206,125

212800101 BERLIN MD 06/01/2012 3,321,217 860 860 74,294

212800201 FT. MEADE MD 12/14/2012 65,637,697 5,193 5,193 211,032

212800501 PITTSBURGH PA 12/20/2012 72,558,632 503,808

212800601 VARIOUS US 09/01/2013 197,228,032 7,353 7,353 312,661

212900101 HOUSTON TX 09/28/2012 65,170,102 14,893 14,893 299,545

212970201 NEW YORK NY 09/10/2012 290,592,094 7,117 7,117 1,732,689

213620301 WALNUT CREEK CA 07/23/2014 45,159,415 15,929 15,929 192,884

213800101 ATLANTA GA 05/01/2013 105,400,794 9,805 9,805 566,391

213900101 HOUSTON TX 06/27/2013 96,375,841 4,042 4,042 487,244

213900201 SCOTTSDALE AZ 06/26/2013 48,124,242 10,858 10,858 226,473

213900301 DALLAS TX 07/22/2013 55,550,176 11,623 11,623 238,625

213900501 HOUSTON TX 12/13/2013 58,882,941 12,915 12,915 231,742

213900701 FORT WORTH TX 04/01/2014 43,514,932 6,489 6,489 219,163

213900702 FORT WORTH TX 05/16/2019 10,737,413 53,839

214210101 NEW YORK NY 11/17/2014 38,764,392 5,643 5,643 163,191

214210102 NEW YORK NY 11/17/2014 3,739,488 214 214 15,612

214620201 SEATTLE WA 06/17/2014 81,223,346 379,639

214620601 SEATTLE WA 05/15/2015 92,549,281 18,916 18,916 392,777

214800701 WASHINGTON DC 12/29/2014 70,527,236 20,906 20,906 265,757

214900101 MCLEAN VA 06/27/2014 105,499,882 23,147 23,147 430,812

214900201 HOUSTON TX 08/22/2014 136,355,210 14,337 14,337 508,835

214900301 IRVING TX 03/12/2015 37,903,599 9,100 9,100 255,247

215210201 TEMPE AZ 10/06/2015 183,726,469 833,753

E02.2




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

215620201 SANTA CLARA CA 05/26/2015 20,702,138 485 485 114,715

215900101 COSTA MESA CA 07/13/2015 43,609,077 638 638 276,494

215900201 PINEHURST NC 09/03/2015 199,099,472 926,846

215900301 IRVINE CA 11/06/2015 90,000,000 387,386

215900401 NEWPORT BEACH CA 11/20/2015 99,799,664 2,900 2,900 417,655

215900501 HUNTINGTON BEACH CA 02/09/2016 49,227,641 11,679 11,679 219,791

215900502 HUNTINGTON BEACH CA 02/09/2016 87,135,440 25,615 25,615 389,530

215900601 ATLANTA GA 04/29/2016 42,250,959 8,563 8,563 173,982

215900701 SAN DIEGO CA 07/21/2016 161,885,799 22,490 22,490 597,411

216620101 OTTAWA CAN 03/30/2016 39,088,385 490,137 197,639

216620301 SAN MATEO CA 12/27/2016 137,042,722 16,677 16,677 610,165

216620302 SAN MATEO CA 12/27/2016 97,677,986 15,887 15,887 435,832

216620401 BELLEVUE WA 11/15/2016 56,818,241 240,237

216800101 DALLAS TX 03/04/2016 76,410,743 25,386 25,386 199,521

216800302 ARLINGTON VA 10/20/2016 118,865,825 22,106 22,106 453,752

216800501 CHARLOTTE NC 02/13/2017 44,761,981 161,311

216900301 ROCKVILLE MD 11/09/2016 54,397,605 13,937 13,937 217,671

217620101 NIAGARA FALLS CAN 07/21/2017 169,947,390 2,180,605 168,645

217900502 BOSTON MA 12/14/2017 72,396,895 107,726 107,726 12,224,754

218900701 SAN DIEGO CA 12/14/2018 4,482,685 13,430

219800101 TROY MI 05/15/2019 20,415,650 195,000

219800602 TALLAHASSEE FL 12/23/2019 2,483,676 258 258 136,250

219900501 CHANDLER AZ 12/19/2019 181,623,405 3,727 3,727 937,026

219900801 AUSTIN TX 01/09/2020 64,500,000 381,593

219901001 HOUSTON TX 02/13/2020 63,753,405 1,032,671

356616343 LOVINGTON NM 12/20/2016 983,262 (85) (85) 15,000

356616344 OXNARD CA 12/12/2016 982,455 (134) (134) 13,905

356617124 SHELBY MT 02/02/2017 510,142 (12) (12) 4,805

356617128 QUINCY WA 02/27/2017 2,526,084 (16) (16) 34,506

356617137 CAMARILLO CA 03/14/2017 3,645,429 (27) (27) 53,035

356617149 BELLEVUE IA 04/03/2017 192,574 (10) (10) 2,491

356617165 POCAHONTAS IA 05/25/2017 1,619,484 (207) (207) 29,988

356617183 VARIOUS IN 06/09/2017 388,477 (51) (51) 6,323

356617184 VARIOUS IN 06/09/2017 1,961,691 (127) (127) 9,679

356617185 VARIOUS IN 06/09/2017 1,999,170 (145) (145) 9,842

356617186 VARIOUS IN 06/09/2017 1,628,748 (207) (207) 26,418

356617187 VARIOUS IN 06/09/2017 119,339 (20) (20) 4,737

356617188 VARIOUS IN 06/09/2017 169,659 (11) (11) 857

356617189 VARIOUS IN 06/09/2017 767,908 (70) (70) 7,770

356617204 SOLOMON KS 06/29/2017 569,767 (45) (45) 19,109

356617210 JOHNSTOWN OH 06/02/2017 423,587 (33) (33) 11,249

356617216 EAST CHAIN MN 06/21/2017 348,262 (190) (190) 21,295

356617218 EAST CHAIN MN 06/21/2017 493,943 (45) (45) 7,004

356617219 VARIOUS MT 06/29/2017 1,222,737 (39) (39) 11,404

356617226 GABBS NV 06/27/2017 2,028,933 (188) (188) 14,359

356617232 VARIOUS ID 11/13/2017 761,833 (13) (13) 8,384

356617239 NEW RICHLAND MN 08/22/2017 586,241 6 6 5,852

356617278 MANKATO MN 08/22/2017 784,823 30 30 7,848

356617281 OAKESDALE WA 09/11/2017 206,022 (17) (17) 6,474

356617283 PARAGOULD AR 09/08/2017 1,858,342 (91) (91) 50,000

356617291 FLORENCE SD 10/06/2017 1,106,586 (5) (5) 10,561

356617296 VARIOUS OK 10/27/2017 5,848,977 (270) (270) 94,000

356617309 STOCKTON CA 11/01/2017 812,219 (34) (34) 16,385

356617311 BRICELYN MN 10/26/2017 428,653 1 1 4,193

356617312 BUTLER MO 12/08/2017 3,347,322 (55) (55) 51,212

356617317 MT PLEASANT IA 01/10/2018 371,878 (15) (15) 5,246

356617320 VARIOUS ND 11/14/2017 2,045,935 (23) (23) 20,329

356617326 STANFORD MT 12/07/2017 854,834 (91) (91) 58,622

E02.3




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

356617328 VARIOUS MT 12/15/2017 1,286,702 (9) (9) 9,403

356617336 PAGE ND 12/07/2017 379,379 (31) (31) 3,762

356617338 SANTA ROSA CA 01/03/2018 2,761,838 (107) (107) 46,536

356618122 GRADY NM 02/08/2018 753,362 (27) (27) 10,000

356618124 SELAH WA 02/08/2018 569,887 (49) (49) 17,548

356618146 CAPULIN NM 04/02/2018 1,736,864 (197) (197) 25,000

356618172 BURR OAK MI 03/29/2018 2,694,624 (222) (222) 25,080

356618182 WOODBURN OR 04/20/2018 702,977 (52) (52) 21,175

356618183 HERMISTON OR 05/07/2018 336,979 (71) (71) 9,591

356618185 CUSHING IA 05/23/2018 8,150,671 (1,497) (1,497) 395,000

356618197 MILES CITY MT 03/15/2018 1,943,647 (172) (172) 17,430

356618203 BRITTON SD 05/10/2018 2,044,005 (179) (179) 17,456

356618206 FAIRFIELD IA 05/25/2018 1,714,001 2,952 2,952 15,477

356618215 WHEATLAND ND 05/09/2018 967,959 12 12 8,535

356618220 ABERDEEN ID 05/02/2018 176,072 (88) (88) 25,292

356618221 MICHIGANTOWN IN 04/26/2018 557,527 (51) (51) 5,748

356618224 COIN IA 05/15/2018 1,589,849 (66) (66) 17,313

356618225 LEACHVILLE AR 05/16/2018 336,074 4,185

356618231 HATCH NM 04/20/2018 1,355,210 (219) (219) 30,000

356618234 HERON LAKE MN 05/23/2018 460,185 6,178

356618249 HANNAFORD ND 06/12/2018 401,876 (15) (15) 3,405

356618250 MOUND LA 06/20/2018 1,827,762 (1,232) (1,232) 16,306

356618255 MANCHESTER IA 07/17/2018 185,369 3 3 1,622

356618257 HYSHAM MT 06/01/2018 778,558 (22) (22) 6,714

356618267 CLEMENTS CA 07/16/2018 873,725 (41) (41) 15,937

356618268 ENDERLIN ND 05/30/2018 650,658 (23) (23) 5,836

356618271 AUSTIN MN 07/11/2018 363,930 (14) (14) 3,384

356618274 ELKTON MI 09/11/2018 1,741,831 (46) (46) 15,205

356618278 BRTITTON SD 07/12/2018 1,412,876 (41) (41) 44,904

356618291 PASCO WA 05/29/2018 440,013 (474) (474) 143,932

356618293 WOOD LAKE MN 08/06/2018 222,278 (53) (53) 9,317

356618325 FAIRFIELD IA 10/12/2018 426,464 8 8 3,470

356618326 VARIOUS IA 10/15/2018 1,647,849 33 33 19,538

356618332 CUSHING IA 08/15/2018 888,404 (1,092) (1,092) 240,000

356618334 SHERIDAN OR 09/06/2018 1,882,104 (172) (172) 16,750

356618339 QUINCY WA 09/07/2018 2,920,859 57 57 24,787

356618341 OKABENA MN 08/29/2018 569,202 2 2 12,584

356618342 GRANADA MN 09/06/2018 698,524 123 123 6,685

356618344 ENDERLIN ND 09/25/2018 393,135 8 8 3,145

356618346 LOVINGTON NM 09/17/2018 464,396 (33) (33) 7,500

356618351 VARIOUS SD 10/18/2018 7,850,792 (669) (669) 64,925

356618363 VARIOUS WA 11/15/2018 1,054,405 (25) (25) 18,681

356618364 OAKES ND 10/25/2018 637,056 17 17 5,052

356618378 BLACKFOOT ID 12/04/2018 1,153,992 (582) (582) 14,076

356618380 VARIOUS OR 12/11/2018 8,158,534 259 259 63,598

356618381 GOOD THUNDER MN 11/14/2018 949,629 (57) (57) 3,981

356618387 GOSHEN IN 12/19/2018 1,989,846 (237) (237) 57,407

356618388 FISHER MN 11/16/2018 462,390 (19) (19) 4,766

356618389 BERLIN ND 01/15/2019 1,179,794 44 44 9,045

356618391 FAIRFIELD IA 01/15/2019 393,839 810 810 3,374

356618392 GRENVILLE NM 12/17/2018 1,416,316 (30) (30) 22,500

356618393 COLSTRIP MT 12/07/2018 1,767,579 (59) (59) 14,255

356618396 STOCKPORT IA 12/21/2018 1,032,328 (22) (22) 2,273

356618398 OUTLOOK WA 04/15/2019 3,819,313 (480) (480) 63,508

356618402 ARGUSVILLE ND 12/11/2018 563,189 6 6 20,398

356618403 GLENFIELD ND 12/13/2018 1,346,048 30 30 10,945

356618406 CONRAD MT 01/16/2019 820,749 29 29 6,643

356618407 CONRAD MT 01/16/2019 2,154,040 75 75 16,544

E02.4




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

356618411 LAKE ARTHUR NM 01/07/2019 8,956,417 (788) (788) 77,279

356619103 VARIOUS OR 01/14/2019 828,260 (26) (26) 9,399

356619106 VARIOUS CA 12/19/2018 3,990,587 3,151 3,151 91,082

356619107 VARIOUS CA 12/19/2018 4,433,985 3,501 3,501 101,203

356619109 VARIOUS CA 02/01/2019 11,029,677 (276) (276) 182,853

356619123 ST JAMES MN 02/21/2019 2,161,559 3 3 17,002

356619124 BUTTERFIELD MN 02/21/2019 1,350,974 (1) (1) 11,092

356619127 FRANKLIN ID 02/15/2019 2,275,630 41 41 17,688

356619133 PASCO WA 01/17/2019 273,638 (288) (288) 86,071

356619135 ST JAMES MN 02/11/2019 969,438 518 518 13,664

356619138 MANKATO MN 02/07/2019 1,098,336 (8) (8) 8,935

356619139 HARLEM MT 01/15/2019 1,374,226 21 21 11,245

356619140 VARIOUS IA 04/03/2019 1,238,597 49 49 9,261

356619149 WASCO CA 04/03/2019 3,156,363 (18) (18) 38,201

356619178 MALTA MT 04/02/2019 1,914,058 (65) (65) 15,726

356619182 FAIRFIELD IA 03/27/2019 423,477 836 836 3,616

356619186 BINGHAM LAKE MN 04/25/2019 510,980 10 10 4,017

356619187 LEONARD ND 05/01/2019 564,430 (45) (45) 4,591

356619191 COCHRAN GA 07/11/2019 2,011,141 (267) (267) 14,777

356619192 WINSLOW IL 06/05/2019 15,808,519 (465) (465) 69,622

356619200 ELIZABETH IL 05/24/2019 2,347,822 (191) (191) 19,504

356619201 VARIOUS WA 04/26/2019 292,118 (186) (186) 54,873

356619211 RISING STAR TX 07/10/2019 112,492 (11) (11) 1,738

356619212 RISING STAR TX 07/10/2019 572,243 (56) (56) 8,840

356619214 VARIOUS MT 07/11/2019 2,233,565 (316) (316) 18,522

356619216 WHEATLAND ND 05/29/2019 451,656 (13) (13) 3,643

356619220 VARIOUS OR 06/07/2019 594,586 (21) (21) 4,358

356619223 BIRD ISLAND MN 06/14/2019 494,473 (49) (49) 4,029

356619224 CARROLLTON IL 06/17/2019 405,252 4 4 3,529

356619226 BRITTON SD 08/07/2019 742,639 1 1 5,697

356619227 BRITTON SD 08/07/2019 2,971,622 65 65 22,404

356619231 LASALLE MN 07/17/2019 214,961 (1) (1) 1,900

356619234 LEONARD ND 07/16/2019 487,120 (7) (7) 4,383

356619235 GRANITE FALLS MN 07/10/2019 735,553 12 12 5,961

356619238 COMFREY MN 10/04/2019 2,386,855 66 66 20,162

356619243 ZILLAH WA 08/21/2019 1,706,287 (20) (20) 27,006

356619248 HERMISTON OR 08/29/2019 738,167 (37) (37) 158,028

356619249 WOLF CREEK MT 11/21/2019 1,014,843 (49) (49) 3,935

356619255 MANCHESTER IA 09/03/2019 378,888 1 1 3,104

356619256 VARIOUS IN 08/28/2019 3,936,859 (243) (243) 17,109

356619272 LISBON ND 10/01/2019 873,108 3 3 7,296

356619278 ELLENDALE ND 10/03/2019 593,501 4 4 4,875

356619280 PASCO WA 10/15/2019 367,895 (255) (255) 10,320

356619284 VARIOUS WA 12/30/2019 2,628,744 (63) (63) 43,379

356619285 VARIOUS AR 11/07/2019 1,522,513 (318) (318) 25,912

356619289 VALLEY FORD CA 11/07/2019 4,110,200 (362) (362) 26,106

356619292 WELLS MN 10/29/2019 927,071 (152) (152) 116,217

356619294 ROCKTON IL 11/08/2019 2,289,922 (90) (90) 21,675

356619298 MANTECA CA 12/13/2019 1,164,911 (66) (66) 20,875

356619299 HATCH NM 12/11/2019 5,254,509 (299) (299) 110,000

356619301 KENNEBEC SD 11/07/2019 2,489,787 (347) (347) 22,171

356619305 YAZOO CITY MS 10/15/2019 3,484,115 (458) (458) 31,587

356619310 WAVELAND IN 11/20/2019 1,140,471 (50) (50) 10,280

356619316 GOSPORT IN 11/21/2019 542,496 (27) (27) 5,184

356619317 ANGELA MT 02/06/2020 904,317 (26) (26) 8,016

356619318 VARIOUS MI 01/22/2020 1,471,817 (67) (67) 13,853

356619321 MOUNT VERNON WA 01/08/2020 4,366,239 (26) (26) 52,221

356619322 RUSSELL MN 01/03/2020 1,444,899 1 1 12,186

E02.5




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

356619325 LAKOTA IA 01/13/2020 315,178 (12) (12) 3,047

356619328 BRITTON SD 12/19/2019 298,965 2,486

356619330 BELMONT WI 01/14/2020 2,169,418 (126) (126) 9,657

356619334 GUTHRIE TX 11/12/2019 2,937,314 (414) (414) 37,216

356619336 FAITH SD 12/19/2019 3,933,751 (54) (54) 35,326

356619339 WEST BEND IA 01/30/2020 412,676 (36) (36) 4,975

356619341 PETALUMA CA 12/02/2019 564,653 (16) (16) 6,713

356619348 COLQUITT GA 01/23/2020 4,384,402 (299) (299) 37,088

356620102 HAWLEY TX 01/16/2020 2,944,787 (302) (302) 27,882

356620110 VAN BUREN IN 02/27/2020 2,181,899 (200) (200) 18,430

356620113 FERNDALE CA 12/20/2019 4,328,871 (363) (363) 25,670

356620117 MOLT MT 01/17/2020 954,467 (23) (23) 8,219

356620120 VARIOUS TX 04/21/2020 21,101,186 (2,372) (2,372) 77,002

356620139 FERGUS FALLS MN 03/27/2020 3,150,907 (244) (244) 25,530

356620143 VARIOUS IL 03/04/2020 1,076,241 (29) (29) 8,950

356620153 BAINBRIDGE IN 03/13/2020 562,897 (2) (2) 4,969

356620158 FROST MN 04/08/2020 522,769 (20) (20) 4,855

356620163 CAPITOL MT 04/27/2020 1,507,817 (124) (124) 13,266

356620166 FINGAL ND 04/09/2020 298,878 (23) (23) 2,616

356620167 VARIOUS WI 06/01/2020 5,580,961 567 567 49,105

356620168 MILES CITY MT 04/08/2020 529,067 (46) (46) 2,175

356620170 BURNS OR 04/09/2020 1,301,205 (22) (22) 15,482

356620182 MAYO FL 06/11/2020 1,356,772 (159) (159) 10,379

356620183 VARIOUS ND 05/27/2020 1,713,199 31 31 13,917

356620186 BREWSTER WA 05/20/2020 552,555 (45) (45) 13,907

356620187 HUGHES AR 06/10/2020 694,161 (48) (48) 6,424

356620191 MURDOCK MN 05/13/2020 476,951 (23) (23) 4,431

356620196 RENVILLE MN 04/13/2020 248,831 (23) (23) 2,390

356620198 MESA WA 05/07/2020 5,846,925 277 277 63,785

356620208 LYLE MN 04/28/2020 571,526 (47) (47) 1,850

356620211 FRIEND NE 05/27/2020 1,394,292 (11) (11) 12,733

356620216 ENDERLIN ND 06/23/2020 695,679 (29) (29) 6,041

356620221 FINLEY ND 06/18/2020 1,566,235 (87) (87) 13,458

356620222 CORNELIUS OR 07/08/2020 3,475,391 (19) (19) 39,542

356620224 MCMINNVILLE OR 06/05/2020 1,266,682 (86) (86) 7,442

356620226 VARIOUS IA 10/09/2020 707,522 (11) (11) 6,170

356620235 ROSEBUD MT 10/21/2020 2,411,419 (178) (178) 21,595

356620238 MILNOR ND 06/10/2020 1,791,707 (100) (100) 15,344

356620239 HELENA AR 06/18/2020 171,923 (17) (17) 3,978

356620242 OAKLEY ID 12/11/2020 4,019,875 (88) (88) 37,000

356620245 CANYON TX 06/01/2020 1,177,674 (436) (436) 24,000

356620247 VARIOUS CA 06/19/2020 1,432,785 (78) (78) 24,613

356620248 VARIOUS ND 10/01/2020 9,696,943 (410) (410) 83,157

356620249 VARIOUS WI 06/26/2020 3,969,367 (70) (70) 16,597

356620254 BANCROFT ID 10/14/2020 653,174 (51) (51) 5,675

356620256 LAMOURE ND 06/24/2020 378,917 (12) (12) 3,461

356620260 LINDSAY MT 08/18/2020 8,543,202 (157) (157) 75,175

356620262 POMPEYS PILLAR MT 07/06/2020 310,039 (23) (23) 5,351

356620264 PUKWANA SD 07/21/2020 1,306,738 (16) (16) 11,009

356620268 VARIOUS AR 07/22/2020 1,507,520 (119) (119) 13,275

356620272 CURRIE MN 07/09/2020 391,683 (32) (32) 10,063

356620275 BOARDMAN OR 07/17/2020 2,161,132 (53) (53) 25,603

356620276 NAPPANEE IN 06/25/2020 1,356,890 (89) (89) 12,043

356620279 ABERDEEN ID 08/06/2020 784,665 (61) (61) 13,967

356620299 DILLON MT 09/16/2020 602,977 (27) (27) 5,300

356620301 BRITTON SD 09/14/2020 7,034,553 (438) (438) 30,270

356620302 BRITTON SD 09/14/2020 6,632,579 (413) (413) 28,540

356620303 BEATRICE AL 11/17/2020 401,982 (35) (35) 1,603

E02.6




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

356620305 EAGAN MN 09/09/2020 337,504 (35) (35) 2,957

356620312 BLACKFOOT ID 09/15/2020 366,050 (4) (4) 2,855

356620319 FREELAND MI 10/21/2020 1,356,767 (24) (24) 12,043

356620320 FREELAND MI 10/21/2020 1,206,015 (21) (21) 10,705

356620321 VARIOUS MI 10/21/2020 643,208 (11) (11) 5,709

356620322 FREELAND MI 10/21/2020 402,005 (7) (7) 3,568

356620332 VARIOUS MN 10/21/2020 1,624,316 (67) (67) 15,978

356620335 DARLINGTON WI 09/25/2020 5,690,000 51,199

356620336 ST JAMES MN 10/21/2020 546,194 (19) (19) 5,215

356620339 VARIOUS ID 12/15/2020 4,823,877 (101) (101) 44,800

356620345 DAYTON OR 10/22/2020 763,743 (53) (53) 4,629

356620347 VARIOUS ND 12/16/2020 4,418,911 (432) (432) 76,749

356620352 BARNARD SD 12/14/2020 1,157,877 (110) (110) 14,438

356620353 WESTPORT SD 12/14/2020 771,918 (73) (73) 9,625

356620355 GALT CA 11/17/2020 2,456,913 (122) (122) 15,008

356620359 PETALUMA CA 11/25/2020 4,422,158 (226) (226) 55,001

356620364 SCHLATER MS 12/21/2020 2,242,478 (389) (389) 31,823

356620367 ELLENSBURG WA 02/01/2021 9 9 65,613

356620368 FROST MN 11/18/2020 643,216 (33) (33) 6,325

356620370 BLUE MOUND IL 02/03/2021 537 537 158,867

356620372 SALINAS CA 01/27/2021 (763) (763) 146,862

356621102 FERNDALE CA 02/23/2021 (136) (136) 9,273

356621119 MOUNT VERNON WA 02/22/2021 91 91 27,035

356621121 AVALON WI 01/25/2021 (278) (278) 66,067

356621124 PRESTON ID 12/30/2020 2,361,740 (176) (176) 14,964

356621144 REVILLE SD 02/19/2021 45 45 13,020

356621148 MONTICELLO IA 05/06/2021 (44) (44) 9,632

356621149 MONTICELLO IA 05/06/2021 (148) (148) 27,566

356621201 BRICELYN MN 04/21/2021 (121) (121) 32,151

356621229 ST JAMES MN 05/14/2021 (55) (55) 6,998

0299999. Mortgages with partial repayments 5,365,762,152 578,248 578,248 3,525,834 47,095,867

220630301 SPARROWS POINT MD 01/08/2021 20,600,000

220800101 WILMINGTON IL 02/03/2021 9,612 9,612 15,000,000

0499999. Mortgages transferred 9,612 9,612 35,600,000

0599999 - Totals 5,808,526,165 987,483 987,483 24,566,249 526,109,289 (19,978,000) (19,978,000)

E02.7


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

000000-00-0 ABRY ADVANCED SECURITIES FUND GEORGE TOWN CYM ABRY PARTNERS, LLC 12/03/2007 2 20,420 794,867 3.602

000000-00-0 ALTAS PARTNERS HOLDINGS, L.P. GRAND CAYMAN CYM ALTAS PARTNERS 04/14/2016 3 20,200 790,318 1.710

000000-00-0 ASTORG PARTNERS VII, L.P. PARIS FRA ASTORG ASSET MANAGEMENT, S.A R.L. 12/17/2018 3 4,491,530 15,147,692 0.635

000000-00-0 ATLAS CAPITAL RESOURCES III L.P. GREENWICH CT ATLAS HOLDINGS, LLC 04/06/2018 3 (548,037) 9,386,946 1.238

000000-00-0 BANNER RIDGE SECONDARY FUND IV (T), LP NEW YORK NY BANNER RIDGE FUND III GP, LLC 06/15/2021 3 1,577,826 38,422,174 4.000

000000-00-0 BENEFIT STREET PARTNERS SENIOR SECURED OPPORTUNITIES FUND LP NEW YORK NY BENEFIT STREET PARTNERS 12/02/2016 2 (960,332) 2,433,456 4.894

000000-00-0 BIRCH HILL EQUITY PARTNERS VI TORONTO CAN BIRCH HILL EQUITY PARTNERS MANAGEMENT INC. 02/04/2020 3 4,130,353 25,669,948 2.692

13139#-10-3 CALTIUS PARTNERS IV LOS ANGELES CA CALTIUS MEZZANINE 04/07/2008 2 20,155 1,987,738 2.951

000000-00-0 CAPVEST EQUITY PARTNERS IV LONDON GBR CAPVEST PARTNERS LLP 06/29/2018 3 3,893,048 20,253,424 5.940

000000-00-0 CARLYLE RENEWABLE AND SUSTAINABLE ENERGY FUND, S.C.Sp. WASHINGTON DC CRSEF LUX GP, S.A.R.L. 12/17/2020 (3,756,179) 60,963,528 16.730

000000-00-0 CATALYST INVESTORS IV NEW YORK NY CATALYST INVESTORS 02/13/2015 3 1,867,036 2,730,526 5.302

000000-00-0 CLEARLAKE CAPITAL PARTNERS V, L.P. SANTA MONICA CA CLEARLAKE CAPITAL PARTNERS 11/22/2017 3 2,307,492 4,784,832 0.760

000000-00-0 COLLER INTERNATIONAL PARTNERS VII, LP GEORGE TOWN CYM COLLER INTERNATIONAL PARTNERS 06/12/2015 3 (2,087,425) 12,227,887 1.188

000000-00-0 ESTANCIA CAPITAL PARTNERS FUND II, L.P. SCOTTSDALE AZ ESTANCIA CAPITAL PARTNERS 07/06/2018 3 2,995,536 24,649,627 8.330

000000-00-0 EURO CHOICE VII SCS GENEVE CHE UNIGESTION GP S.A.R.L. 02/28/2019 3 816,883 8,850,895 11.150

000000-00-0 FIVE POINT CAPITAL MIDSTREAM FUND II, LP HOUSTON TX FIVE POINT CAPITAL 12/19/2014 3 (66,936) 387,650 1.767

000000-00-0 FORTRESS CREDIT OPPORTUNITIES FUND V NEW YORK NY FORTRESS INVESTMENT GROUP LLC 03/01/2019 2 1,344,799 13,031,300 0.630

000000-00-0 FORTRESS CREDIT OPPORTUNITIES FUND V EXPANSION (A) LP NEW YORK NY FORTRESS INVESTMENT GROUP LLC 05/29/2020 2 3,500,000 29,750,000 1.250

000000-00-0 GLENDOWER CAPITAL SECONDARY OPPORTUNITIES FUND IV, LP LONDON GBR GLENDOWER CAPITAL LLP 04/16/2018 3 2,823,579 22,526,490 1.882

000000-00-0 GLENDOWER CAPITAL SECONDARY OPPORTUNITIES FUND V-P LONDON GBR GLENDOWER CAPITAL LLP 04/29/2021 3 1,500,000 48,500,000 9.050

000000-00-0 GLOBAL RENEWABLE POWER INFRASTRUCTURE FUND III LUXEMBOURG LUX BLACKROCK FRANCE SAS 03/31/2021 3,482,604 2,171,765 44,459,382 1.040

000000-00-0 HARVEST PARTNERS STRUCTURED CAPITAL FUND NEW YORK NY HARVEST PARTNERS 08/07/2015 3 53,874 717,819 2.660

000000-00-0 INDUSTRY VENTURES SECONDARY IX, L.P. SAN FRANCISCO CA INDUSTRY VENTURES 06/25/2020 1 3,999,537 34,000,463 5.330

000000-00-0 INDUSTRY VENTURES SECONDARY VIII SAN FRANCISCO CA INDUSTRY VENTURES 02/12/2016 1 320,000 1,980,000 3.900

000000-00-0 INSIGHT PARTNERS OPPORTUNITIES FUND I, L.P. New York NY INSIGHT ASSOCIATES 08/17/2020 3 9,100,000 25,900,000 2.240

000000-00-0 KINDERHOOK CAPITAL FUND IV NEW YORK NY KINDERHOOK CAPITAL 06/13/2014 3 120,000 2,249,777 2.347

000000-00-0 LANDMARK EQUITY PARTNERS XIV SIMSBURY CT LANDMARK PARTNERS 03/10/2008 3 60,428 2,025,464 3.755

000000-00-0 LS POWER EQUITY PARTNERS II NEW YORK NY LS POWER EQUITY PARTNERS 04/23/2007 3 6,308 565,889 0.566

000000-00-0 MANULIFE INFRASTRUCTURE FUND II, L.P Boston MA MANULIFE INVESTMENT MANAGEMENT 11/13/2020 905 77,081,608 8.220

000000-00-0 MCP OPPORTUNITY SECONDARY PROGRAM IV, L.P. BAAR CHE MONTANA CAPITAL PARTNERS AG 03/07/2018 3 6,073,230 14,703,118 3.680

000000-00-0 MCP OPPORTUNITY SECONDARY PROGRAM V, L.P. BAAR CHE MONTANA CAPITAL PARTNERS AG 08/06/2020 3 558,994 51,574,653 4.400

000000-00-0 NOVACAP TMT V LONGUEUIL CAN NOVACAP MANAGEMENT INC 05/26/2017 3 1,273,628 3,555,077 2.424

000000-00-0 NYLCAP MEZZANINE PARTNERS III NEW YORK NY NYL CAPITAL PARTNERS 12/31/2010 2 (94,059) 1,357,969 2.590

000000-00-0 STEPSTONE SECONDARY OPPORTUNITIES FUND III NEW YORK NY STEPSTONE GROUP 09/16/2016 3 196,528 8,442,210 3.158

000000-00-0 STEPSTONE SECONDARY OPPORTUNITIES FUND IV NEW YORK NY STEPSTONE GROUP 04/18/2019 3 4,002,980 27,890,150 3.200

000000-00-0 STRATEGIC PARTNERS FUND V, L.P. NEW YORK NY STRATEGIC PARTNERS 09/30/2010 3 4,203 16,012,446 3.190

000000-00-0 STRATEGIC PARTNERS FUND VI, L.P. NEW YORK NY STRATEGIC PARTNERS 03/28/2014 3 76,254 12,280,117 0.818

000000-00-0 STRATEGIC PARTNERS FUND VII, L.P. NEW YORK NY STRATEGIC PARTNERS 03/11/2016 3 350,000 13,194,279 0.520

000000-00-0 STRATEGIC PARTNERS INFRASTRUCTURE III, L.P. NEW YORK NY STRATEGIC PARTNERS 06/26/2020 3 90,623 47,685,561 2.006

000000-00-0 STRATEGIC PARTNERS FUND VIII, L.P. NEW YORK NY STRATEGIC PARTNERS 12/21/2018 3 229,825 14,257,870 0.660

000000-00-0 STRATEGIC PARTNERS FUND VIII, L.P. NEW YORK NY STRATEGIC PARTNERS 12/21/2018 3 482,632 29,941,526 0.660

000000-00-0 TZP CAPITAL FUND I NEW YORK NY TZP CAPITAL PARTNERS 06/01/2010 3 19,213 8.310

000000-00-0 TZP SMALL CAP PARTNERS II LP NEW YORK NY TZP SMALL CAP PARTNERS II LP 02/14/2019 3 1,684,073 6,480,193 4.000

000000-00-0 YUKON CAPITAL PARTNERS MINNEAPOLIS MN YUKON CAPITAL PARTNERS 03/31/2017 2 13,663 2,490,850 2.097

000000-00-0 YUKON CAPITAL PARTNERS II MINNEAPOLIS MN YUKON CAPITAL PARTNERS 09/12/2014 2 52,563 1,794,665 4.920

1999999. Joint Venture Interests - Common Stock - Unaffiliated 16,219,424 42,000,295 783,930,384 XXX000000-00-0 PACIFIC CO-INVEST CREDIT FUND I NEWPORT BEACH CA INTERNALLY FORMED 04/15/2019 2 18,846,086 38,730,788 100.000

000000-00-0 PACIFIC CO-INVEST OPPORTUNITIES FUND I NEWPORT BEACH CA INTERNALLY FORMED 01/25/2019 3 14,187,757 5,523,196 100.000

000000-00-0 PACIFIC CO-INVEST OPPORTUNITIES FUND II NEWPORT BEACH CA INTERNALLY FORMED 05/11/2021 9,887,899 115,112,101 100.000

000000-00-0 PACIFIC GLOBAL ASSET MANAGEMENT LLC NEWPORT BEACH CA INTERNALLY FORMED 09/07/2012 2,000,000 100.000

000000-00-0 PACIFIC PRIVATE CREDIT FUND IV NEWPORT BEACH CA INTERNALLY FORMED 02/28/2019 2 9,125,481 207,943,107 100.000

000000-00-0 PACIFIC PRIVATE CREDIT FUND V NEWPORT BEACH CA INTERNALLY FORMED 04/01/2021 2,997,502 297,002,498 100.000

000000-00-0 PACIFIC PRIVATE EQUITY FUND I NEWPORT BEACH CA INTERNALLY FORMED 12/31/2013 3 163,727 26,096,076 78.493

000000-00-0 PACIFIC PRIVATE EQUITY OPPORTUNITIES FUND II NEWPORT BEACH CA INTERNALLY FORMED 07/01/2016 3 966,874 99,862,146 78.509

000000-00-0 PACIFIC PRIVATE EQUITY OPPORTUNITIES FUND III NEWPORT BEACH CA INTERNALLY FORMED 10/17/2017 3 12,813,467 255,176,429 90.960

E03


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


3

City

4

State

Name of Vendor or General Partner

NAICDesignation,

NAICDesignation

ModifierandSVO


Date OriginallyAcquired

Typeand

Strategy

Actual Costat Time of Acquisition

Additional Investment Made After Acquisition

Amount ofEncumbrances

Commitmentfor

AdditionalInvestment

Percentage of Ownership

000000-00-0 PACIFIC PRIVATE EQUITY OPPORTUNITIES FUND IV NEWPORT BEACH CA INTERNALLY FORMED 03/06/2019 3 20,706,164 380,961,842 100.000

000000-00-0 PACIFIC PRIVATE FEEDER FUND II, LP NEWPORT BEACH CA INTERNALLY FORMED 06/28/2018 3 90,916 14,784,248 35.714

000000-00-0 PACIFIC PRIVATE FEEDER FUND III, LP NEWPORT BEACH CA INTERNALLY FORMED 06/21/2019 395,215 8,816,137 30.606

000000-00-0 PACIFIC PRIVATE FEEDER FUND IV, LP NEWPORT BEACH CA INTERNALLY FORMED 12/22/2020 3 529,159 19,030,557 39.340

000000-00-0 PACIFIC SELECT DISTRIBUTORS, LLC NEWPORT BEACH CA INTERNALLY FORMED 01/01/2015 10,000,000 100.000

000000-00-0 TRESTLES CLO IV GEORGE TOWN CYM INTERNALLY FORMED 04/19/2021 20,000,000 80,000,000 100.000

2099999. Joint Venture Interests - Common Stock - Affiliated 32,885,401 169,824,846 1,469,039,125 XXX69388#-10-3 PACIFIC ASSET HOLDINGS NEWPORT BEACH CA INTERNALLY FORMED 12/31/1997 15,700,000 100.000

2299999. Joint Venture Interests - Real Estate - Affiliated 15,700,000 XXX000000-00-0 IMPACT MORTGAGE OPPORTUNITIES FUND SAN FRANCISCO CA IMPACT COMMUNITY CAPITAL, LLC 01/31/2021 (22,729,592) 58,531,794 92.820

2399999. Joint Venture Interests - Mortgage Loans - Unaffiliated (22,729,592) 58,531,794 XXX707567-AE-3 PENN MUTUAL LIFE INS CO SR NT 144A IRVINE CA PENN MUTUAL LIFE INS CO 1.F FE 04/22/2021 15,000,000

95765P-AA-7 WESTERN & SOUTHERN LIFE SUB 144A CINCINNATI OH WESTERN & SOUTHERN LIFE 1.F 01/23/2019 10,024,940

2799999. Surplus Debentures, etc - Unaffiliated 25,024,940 XXX00751K-D*-4 ADVANCE STORES COMPANY INC ROANOKE VA ADVANCE STORES COMPANY 2.C 07/20/2015 34,803,500

053332-A@-1 AUTOZONE, INC. MEMPHIS TN AUTOZONE 2.B 12/06/2010 39,655,708

149123-J*-3 CATERPILLAR SVCS DEERFIELD IL CATERPILLAR 1.F 02/03/2021 79,204,457

231021-D*-4 CUMMINS INC SVCS COLUMBUS OH CUMMINS 1.F 05/01/2021 19,835,603

713448-C*-7 HONEYWELL INTL SVCS CHARLOTTE NJ HONEYWELL INTL 1.F 05/06/2020 25,973,802

713448-C*-7 PEPSI CO WORKING CAP FIN PROG PURCHASE NY PEPSI 1.E 12/31/2016 45,552,804

642718-H*-3 PROCTOR & GAMBLE CINCINNATI OH PROCTOR & GAMBLE 1.D 08/31/2016 20,988,389

87612E-E#-9 TARGET CORP SVCS MINNEAPOLIS MN TARGET CORP SVCS 1.F 07/20/2020 29,947,741

742718-H*-3 UPS SVCS ATLANTA GA UPS SVCS 1.G 07/20/2020 64,923,989

4599999. Working Capital Finance Investment - Unaffiliated 19,835,603 341,050,390 XXX000000-00-0 CHURCHILL STATESIDE SOLAR TAX CREDIT FUND XXI CLEARWATER FL CHURCHILL STATESIDE 06/11/2020 59,575,939 99.990

000000-00-0 CHURCHILL STATESIDE SOLAR TAX CREDIT FUND XXII CLEARWATER FL CHURCHILL STATESIDE 08/06/2020 88,118,783 99.990

000000-00-0 TEXAS HISTORIC STRUCTURE TAX CREDIT HOUSTON TX SCF II, LLC 04/08/2021 6,720,000 100.000

4699999. Any Other Class of Assets - Unaffiliated 6,720,000 147,694,722 XXX

4899999. Total - Unaffiliated 42,775,027 533,040,755 842,462,178 XXX

4999999. Total - Affiliated 32,885,401 185,524,846 1,469,039,125 XXX

5099999 - Totals 75,660,428 718,565,601 2,311,501,303 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


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

E03.1



1 2 Location 5 6 7 8 Change in Book/Adjusted Carrying Value 15 16 17 18 19 20000000-00-0 ALTAS PARTNERS HOLDINGS, L.P. GRAND CAYMAN CYM NORMAL DISTRIBUTION 04/14/2016 06/30/2021 1,688,690 1,688,690 1,688,690

000000-00-0 ARDIAN SECONDARY FUND VII, L.P. EDINBURGH GBR NORMAL DISTRIBUTION 12/18/2015 06/30/2021 1,141,456 1,141,456 1,141,456

000000-00-0 ARDIAN SECONDARY FUND VIII B, L.P. EDINBURGH GBR NORMAL DISTRIBUTION 12/13/2018 06/30/2021 927,429 927,429 927,429

000000-00-0 BANNER RIDGE SECONDARY FUND III, L.P. NEW YORK NY NORMAL DISTRIBUTION 10/29/2019 06/30/2021 2,030,001 2,030,001 2,030,001

000000-00-0

BENEFIT STREET PARTNERS SENIOR SECURED

OPPORTUNITIES FUND LP NEW YORK NY NORMAL DISTRIBUTION 12/02/2016 06/30/2021 960,332 960,332 960,332

000000-00-0 BRENTWOOD ASSOCIATES PRIVATE EQUITY IV LOS ANGELES CA NORMAL DISTRIBUTION 06/19/2006 06/30/2021 1,914,139 1,914,139 1,914,139

000000-00-0 BRENTWOOD ASSOCIATES PRIVATE EQUITY IV LOS ANGELES CA NORMAL DISTRIBUTION 06/19/2006 06/30/2021 2,552,185 2,552,185 2,552,185

13139#-10-3 CALTIUS PARTNERS IV LOS ANGELES CA NORMAL DISTRIBUTION 04/07/2008 06/30/2021 197,216 197,216 197,216

000000-00-0 CATALYST INVESTORS IV NEW YORK NY NORMAL DISTRIBUTION 02/13/2015 06/30/2021 31,980 31,980 31,980

000000-00-0

CARLYLE RENEWABLE AND SUSTAINABLE ENERGY

FUND, S.C.Sp. WASHINGTON DC NORMAL DISTRIBUTION 12/17/2020 06/30/2021 179,655 179,655 179,655

000000-00-0 CLEARLAKE CAPITAL PARTNERS V, L.P. SANTA MONICA CA NORMAL DISTRIBUTION 11/22/2017 06/30/2021 9,903,505 9,903,505 9,903,505

000000-00-0 COLLER INTERNATIONAL PARTNERS VI, LP GEORGE TOWN CYM NORMAL DISTRIBUTION 12/09/2011 06/30/2021 1,545,604 1,545,604 1,545,604

000000-00-0 COLLER INTERNATIONAL PARTNERS VII, LP GEORGE TOWN CYM NORMAL DISTRIBUTION 06/12/2015 06/30/2021 6,211,310 6,211,310 6,211,310

000000-00-0 DB SECONDARY OPPORTUNITIES FUND III, LP EDINBURGH GBR NORMAL DISTRIBUTION 05/09/2014 06/30/2021 417,471 417,471 417,471

000000-00-0 DRAWBRIDGE SPECIAL OPPORTUNITIES FUND, L.P. NEW YORK NY NORMAL DISTRIBUTION 12/01/2019 06/30/2021 296,379 296,379 296,379

000000-00-0 EMERALD PARTNERS V BEACHWOOD OH NORMAL DISTRIBUTION 08/11/2008 06/30/2021 41,192

000000-00-0 ESTANCIA CAPITAL PARTNERS FUND II, L.P. SCOTTSDALE AZ NORMAL DISTRIBUTION 07/06/2018 06/30/2021 375,414 375,414 375,414

000000-00-0

EUROPEAN SECONDARY DEVELOPMENT FUND VI, L.P.

LONDON GBR NORMAL DISTRIBUTION 09/27/2019 06/30/2021 320,165 320,165 320,165

000000-00-0 FIVE POINT CAPITAL MIDSTREAM FUND II, LP HOUSTON TX NORMAL DISTRIBUTION 12/19/2014 06/30/2021 1,442,002 1,442,002 1,442,002

000000-00-0 FORTRESS CREDIT OPPORTUNITIES FUND V NEW YORK NY NORMAL DISTRIBUTION 03/01/2019 06/30/2021 4,498,829 4,498,829 4,498,829

000000-00-0

GLENDOWER CAPITAL SECONDARY OPPORTUNITIES

FUND IV, LP LONDON GBR NORMAL DISTRIBUTION 04/16/2018 06/30/2021 752,775 752,775 752,775

000000-00-0 GSO SPECIAL SITUATIONS FUND, LP NEW YORK NY NORMAL DISTRIBUTION 12/01/2019 06/30/2021 98,375 98,375 98,375

000000-00-0 HARVEST PARTNERS STRUCTURED CAPITAL FUND NEW YORK NY NORMAL DISTRIBUTION 08/07/2015 06/30/2021 335,777 335,777 335,777

000000-00-0 IMPACT GCM GROSVENOR CALIFORNIA SBIC FUND SAN FRANCISCO CA NORMAL DISTRIBUTION 04/23/2014 06/30/2021 4,440,876 4,440,876 4,440,876

000000-00-0 INDUSTRY VENTURES SECONDARY VIII SAN FRANCISCO CA NORMAL DISTRIBUTION 02/12/2016 06/30/2021 1,338,955 1,338,955 1,338,955

000000-00-0 KINDERHOOK CAPITAL FUND IV NEW YORK NY NORMAL DISTRIBUTION 06/13/2014 06/30/2021 403,412 403,412 403,412

000000-00-0 LANDMARK EQUITY PARTNERS XIV SIMSBURY CT NORMAL DISTRIBUTION 03/10/2008 06/30/2021 869,824 869,824 869,824

000000-00-0 LBC CREDIT PARTNERS III PHILADELPHIA PA NORMAL DISTRIBUTION 05/09/2014 06/30/2021 108,737 108,737 108,737

000000-00-0 LEXINGTON CAPITAL PARTNERS VI-A NEW YORK NY NORMAL DISTRIBUTION 01/09/2006 06/30/2021 176,959 176,959 176,959 16,087

000000-00-0 LEXINGTON CAPITAL PARTNERS VII NEW YORK NY NORMAL DISTRIBUTION 11/10/2008 06/30/2021 1,684,668 1,684,668 1,684,668

000000-00-0 LEXINGTON MIDDLE MARKET INVESTORS II NEW YORK NY NORMAL DISTRIBUTION 05/05/2008 06/30/2021 423,077 423,077 423,077

000000-00-0 LS POWER EQUITY PARTNERS II NEW YORK NY NORMAL DISTRIBUTION 04/23/2007 06/30/2021 137,248 137,248 137,248

000000-00-0 MANULIFE INFRASTRUCTURE FUND II, L.P BOSTON MA NORMAL DISTRIBUTION 11/13/2020 06/30/2021 20,092 20,092 20,092

000000-00-0 MCP OPPORTUNITY SECONDARY PROGRAM IV, L.P. BAAR CHE NORMAL DISTRIBUTION 03/07/2018 06/30/2021 1,277,878 1,277,878 1,277,878

000000-00-0 MCP OPPORTUNITY SECONDARY PROGRAM V, L.P. BAAR CHE NORMAL DISTRIBUTION 08/06/2020 06/30/2021 14,439 14,439 14,439

000000-00-0 MONTAUK TRIGUARD IV IRVINE CA NORMAL DISTRIBUTION 02/20/2008 06/30/2021 271,396 271,396 271,396

000000-00-0 MONTAUK TRIGUARD V IRVINE CA NORMAL DISTRIBUTION 01/28/2011 06/30/2021 962,863 962,863 962,863

000000-00-0 NOVACAP TMT V LONGUEUIL CAN NORMAL DISTRIBUTION 05/26/2017 06/30/2021 1,844,648 1,844,648 1,844,648

000000-00-0 NYLCAP MEZZANINE PARTNERS III NEW YORK NY NORMAL DISTRIBUTION 12/31/2010 06/30/2021 877,141 877,141 877,141

000000-00-0 STEPSTONE SECONDARY OPPORTUNITIES FUND III NEW YORK NY NORMAL DISTRIBUTION 09/16/2016 06/30/2021 2,113,650 2,113,650 2,113,650

000000-00-0 STRATEGIC PARTNERS FUND IV, L.P. NEW YORK NY NORMAL DISTRIBUTION 04/07/2008 06/30/2021 859,335 859,335 859,335

000000-00-0 STRATEGIC PARTNERS FUND V, L.P. NEW YORK NY NORMAL DISTRIBUTION 09/30/2010 06/30/2021 1,253,691 1,253,691 1,253,691

000000-00-0 STRATEGIC PARTNERS FUND VI, L.P. NEW YORK NY NORMAL DISTRIBUTION 03/28/2014 06/30/2021 751,702 751,702 751,702

000000-00-0 STRATEGIC PARTNERS FUND VII, L.P. NEW YORK NY NORMAL DISTRIBUTION 03/11/2016 06/30/2021 2,452,329 2,452,329 2,452,329

000000-00-0 STRATEGIC PARTNERS REAL ASSETS II, L.P. NEW YORK NY NORMAL DISTRIBUTION 02/02/2018 06/30/2021 754,634 754,634 754,634

000000-00-0 TCW/CRESCENT MEZZANINE V LOS ANGELES CA NORMAL DISTRIBUTION 05/05/2008 06/30/2021 458,751 458,751 458,751 1,332,658

000000-00-0 TREE LINE DIRECT LENDING SAN FRANCISCO CA NORMAL DISTRIBUTION 11/21/2018 06/30/2021 406,568 406,568 406,568

000000-00-0 TZP CAPITAL FUND I NEW YORK NY NORMAL DISTRIBUTION 06/01/2010 06/30/2021 23,223 23,223 23,223 41,905

000000-00-0 YUKON CAPITAL PARTNERS MINNEAPOLIS MN NORMAL DISTRIBUTION 03/31/2017 06/30/2021 39,348 39,348 39,348

000000-00-0 YUKON CAPITAL PARTNERS II MINNEAPOLIS MN NORMAL DISTRIBUTION 09/12/2014 06/30/2021 1,344,649 1,344,649 1,344,649

1999999. Joint Venture Interests - Common Stock - Unaffiliated 63,234,809 63,234,809 63,234,809 1,431,842

000000-00-0 PACIFIC CO-INVEST CREDIT FUND I NEWPORT BEACH CA NORMAL DISTRIBUTION 04/15/2019 06/30/2021 1,471,219 1,471,219 1,471,219

000000-00-0 PACIFIC CO-INVEST OPPORTUNITIES FUND I NEWPORT BEACH CA NORMAL DISTRIBUTION 01/25/2019 06/30/2021 5,789,351 5,789,351 5,789,351

69448#-10-1 PACIFIC LIFE FUND ADVISORS, LLC NEWPORT BEACH CA NORMAL DISTRIBUTION 05/31/2007 06/30/2021 29,178,509

000000-00-0 PACIFIC PRIVATE CREDIT FUND II NEWPORT BEACH CA NORMAL DISTRIBUTION 07/01/2016 06/30/2021 3,211,440 3,211,440 3,211,440

000000-00-0 PACIFIC PRIVATE CREDIT FUND III NEWPORT BEACH CA NORMAL DISTRIBUTION 10/17/2017 06/30/2021 3,868,178 3,868,178 3,868,178

000000-00-0 PACIFIC PRIVATE EQUITY FUND I NEWPORT BEACH CA NORMAL DISTRIBUTION 12/31/2013 06/30/2021 10,030,157 10,030,157 10,030,157

000000-00-0

PACIFIC PRIVATE EQUITY OPPORTUNITIES FUND II

NEWPORT BEACH CA NORMAL DISTRIBUTION 07/01/2016 06/30/2021 10,883,924 10,883,924 10,883,924

000000-00-0 PACIFIC PRIVATE FEEDER FUND II, LP NEWPORT BEACH CA NORMAL DISTRIBUTION 06/28/2018 06/30/2021 1,208,174 1,208,174 1,208,174

000000-00-0 PACIFIC PRIVATE FEEDER FUND III, LP NEWPORT BEACH CA NORMAL DISTRIBUTION 06/21/2019 06/30/2021 116,045 116,045 116,045

2099999. Joint Venture Interests - Common Stock - Affiliated 36,578,488 36,578,488 36,578,488 29,178,509

E03.2



1 2 Location 5 6 7 8 Change in Book/Adjusted Carrying Value 15 16 17 18 19 20000000-00-0 ALTAS PARTNERS HOLDINGS, L.P. GRAND CAYMAN CYM NORMAL DISTRIBUTION 04/14/2016 06/30/2021 1,688,690 1,688,690 1,688,690

000000-00-0 LBA REALTY FUND III LP / REO #3985 NEWPORT BEACH CA NORMAL DISTRIBUTIONS 09/14/2006 06/30/2021 4,394,083 331,675 331,675

69388#-10-3 PACIFIC ASSET HOLDINGS NEWPORT BEACH CA NORMAL DISTRIBUTION 12/31/1997 06/30/2021 31,769,471 31,769,471 31,769,471 24,996,079

2199999. Joint Venture Interests - Real Estate - Unaffiliated 36,163,554 32,101,146 32,101,146 24,996,079

000000-00-0 IMPACT MORTGAGE OPPORTUNITIES FUND SAN FRANCISCO CA NORMAL DISTRIBUTION 01/31/2021 06/30/2021 368,657 368,657 368,657

2299999. Joint Venture Interests - Real Estate - Affiliated 368,657 368,657 368,657

575767-AL-2 MASS MUTUAL LIFE INS CO SUB 144A SPRINGFIELD MA NORMAL DISTRIBUTIONS 10/17/2019 06/30/2021 1,344,545 1,344,545 1,344,545

3499999. Capital Notes - Affiliated 1,344,545 1,344,545 1,344,545

00751K-D*-4 ADVANCE STORES COMPANY INC ROANOKE VA NORMAL DISTRIBUTIONS 07/20/2015 06/30/2021 24,273,343 24,273,343 24,273,343

053332-A@-1 AUTOZONE, INC. MEMPHIS TN NORMAL DISTRIBUTIONS 12/06/2010 06/30/2021 31,444,759 31,444,759 31,444,759

149123-J*-3 CATERPILLAR SVCS DEERFIELD IL NORMAL DISTRIBUTIONS 02/03/2021 06/30/2021 70,245,122 70,245,122 70,245,122

713448-C*-7 HONEYWELL INTL SVCS CHARLOTTE NJ NORMAL DISTRIBUTIONS 05/06/2020 06/30/2021 38,513,297 38,513,297 38,513,297

713448-C*-7 PEPSI CO WORKING CAP FIN PROG PURCHASE NY NORMAL DISTRIBUTIONS 12/31/2016 06/30/2021 51,037,227 51,037,227 51,037,227

642718-H*-3 PROCTOR & GAMBLE CINCINNATI OH NORMAL DISTRIBUTIONS 08/31/2016 06/30/2021 29,160,740 29,160,740 29,160,740

87612E-E#-9 TARGET CORP SVCS MINNEAPOLIS MN NORMAL DISTRIBUTIONS 07/20/2020 06/30/2021 39,979,622 39,979,622 39,979,622

742718-H*-3 UPS SVCS ATLANTA GA NORMAL DISTRIBUTIONS 07/20/2020 06/30/2021 10,000,000 10,000,000 10,000,000

4599999. Working Capital Finance Investment - Unaffiliated 294,654,110 294,654,110 294,654,110

000000-00-0

CHURCHILL STATESIDE SOLAR TAX CREDIT FUND IX

CLEARWATER FL NORMAL DISTRIBUTION 05/08/2017 06/30/2021 274,900

000000-00-0

CHURCHILL STATESIDE SOLAR TAX CREDIT FUND X

CLEARWATER FL NORMAL DISTRIBUTION 10/05/2017 06/30/2021 187,500 187,500 187,500

000000-00-0

CHURCHILL STATESIDE SOLAR TAX CREDIT FUND

XXI CLEARWATER FL NORMAL DISTRIBUTION 06/11/2020 06/30/2021 50,535,014 50,535,014 50,535,014

000000-00-0


XXII CLEARWATER FL NORMAL DISTRIBUTION 08/06/2020 06/30/2021 75,418,859 75,418,859 75,418,859

000000-00-0


XXIII CLEARWATER FL NORMAL DISTRIBUTION 08/10/2020 06/30/2021 36,080 36,080 36,080

000000-00-0 USB RETC FUNDING 2020-2, LLC MINNEAPOLIS MN NORMAL DISTRIBUTION 04/08/2020 06/30/2021 297,305 297,305 297,305

4699999. Any Other Class of Assets - Unaffiliated 126,474,758 126,474,758 126,474,758 274,900

4899999. Total - Unaffiliated 520,527,231 516,464,823 516,464,823 26,702,821

4999999. Total - Affiliated 38,291,690 38,291,690 38,291,690 29,178,509

5099999 - Totals 558,818,921 554,756,513 554,756,513 55,881,330

E03.3


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


91282C-CF-6 US TREASURY NT 05/27/2021 WELLS FARGO BANK, N.A. 498,477 500,000 10 1.A

0599999. Subtotal - Bonds - U.S. Governments 498,477 500,000 10 XXX718286-CP-0 REPUBLIC OF PHILIPPINES SR NT D 06/28/2021 DEUTSCHE BANK SECURITIES INC 9,914,900 10,000,000 2.B FE

1099999. Subtotal - Bonds - All Other Governments 9,914,900 10,000,000 XXX74353#-AA-2 1600 OSGOOD ST NTH ANDOVER AMAZON CTL 05/10/2021 MESIROW FINANCIAL INC 4,823,399 4,823,399 1.E

00507V-AP-4 ACTIVISION BLIZZARD SR NT 06/24/2021 U.S. BANCORP 1,398,120 1,500,000 5,794 2.A FE

00140W-AU-4 AIG CLO LTD 2020-1A CL AR 144A D 06/08/2021 NATIXIS 1,250,000 1,250,000 1.A FE

00914A-AM-4 AIR LEASE CORP SR NT 05/17/2021 J P MORGAN SECURITIES INC 12,651,443 12,750,000 2.B FE

F1000#-AD-0 AKIEM HOLDINGS SAS SEC B 04/13/2021 ING FINANCIAL MARKETS 36,939,600 36,939,600 2.A PL

01748N-AE-4 ALLEGION US HOLDING CO GUARNT 04/28/2021 BARCLAYS CAPITAL INC 2,817,880 2,600,000 7,435 2.C FE

02005N-BM-1 ALLY FINANCIAL INC PERP JR SUB SER B 04/19/2021 CITIGROUP GLOBAL MKT INC 1,400,000 1,400,000 4.A FE

G1263@-AD-3 ALTITUDE INFRASTRUCTURE HLDG SEC D 06/30/2021 DIRECT PLACEMENT 7,704,020 7,704,020 4.A PL

02209S-BE-2 ALTRIA GRP INC CO GUARNT 04/09/2021 DIRECT PLACEMENT 12,337,775 10,000,000 87,000 2.B FE

02344A-AA-6 AMCOR FLEXIBLES NORTH AM CO GUARNT 05/18/2021 BANK OF AMERICA NA 19,991,200 20,000,000 2.B FE

02369F-AA-5 AMER AGCREDIT FLCA/PCA SUB 144A 06/08/2021 Piper Sandler & Co. 40,000,000 40,000,000 2.B FE

02666T-AC-1 AMERICAN HOMES 4 RENT SR NT 06/30/2021 BANK OF AMERICA NA 640,335 650,000 2.C FE

02666T-AD-9 AMERICAN HOMES 4 RENT SR NT 06/30/2021 WELLS FARGO BANK, N.A. 4,898,100 5,000,000 2.C FE

03115A-AC-7 AMFAM HOLDINGS INC SR NT 144A 04/21/2021 SEAPORT GLOBAL HOLDINGS LLC 7,795,575 7,500,000 33,539 2.B FE

03718N-AA-4 ANTOFAGASTA PLC SR NT 144A D 06/17/2021 LARRAIN VIAL SA 4,807,500 5,000,000 22,101 2.B FE

037833-DW-7 APPLE INC SR NT 04/09/2021 DIRECT PLACEMENT 9,231,454 10,000,000 108,208 1.B Z

04016P-AJ-7 ARES CLO LTD 2017-43A CL AR 144A 06/04/2021 BNP PARIBAS SECURITIES CORP 7,500,000 7,500,000 1.A FE

04018F-AA-6 ARES CLO LTD 2021-60A CL A 144A 05/06/2021 GOLDMAN, SACHS & CO 14,000,000 14,000,000 1.A FE

04018V-AA-1 ARES FINANCE CO GUARNT 144A 06/24/2021 GOLDMAN, SACHS & CO 250,000 250,000 2.C FE

363576-AB-5 ARTHUR J GALLAGHER & CO SR NT 05/13/2021 BANK OF AMERICA NA 19,761,600 20,000,000 2.B FE

04538#-AA-7 ASSAI ENERGY SEC 06/30/2021 JEFFERIES LLC 2,045,340 2,045,340 2.C PL

04621W-AD-2 ASSURED GUARANTY US HLDG CO GUARNT 05/19/2021 GOLDMAN, SACHS & CO 2,692,359 2,700,000 2.B FE

04636N-AB-9 ASTRAZENECA FINANCE LLC CO GUARNT C 05/25/2021 J P MORGAN SECURITIES INC 1,997,500 2,000,000 2.A FE

046353-AW-8 ASTRAZENECA PLC SR NT D 06/23/2021 U.S. BANCORP 2,837,490 3,000,000 15,927 2.A FE

046353-AZ-1 ASTRAZENECA PLC SR NT D 05/25/2021 MORGAN STANLEY CAPITAL SERVICES LLC 2,959,020 3,000,000 2.A FE

00206R-MF-6 AT&T INC SR NT 144A 04/05/2021 GOLDMAN, SACHS & CO 1,901,940 2,000,000 17,000 2.B FE

04685A-2Y-6 ATHENE GLBL FUNDING SEC 144A 06/02/2021 DEUTSCHE BANK SECURITIES INC 10,000,000 10,000,000 1.F FE

05876K-AA-3 BALLYROCK LTD 2021-16A CL A1 144A D 05/14/2021 BANK OF AMERICA NA 3,500,000 3,500,000 1.A FE

05971K-AK-5 BANCO SANTANDER SR NT D 06/23/2021 GOLDMAN, SACHS & CO 650,000 650,000 1.F FE

06541J-BD-2 BANK 2021-BNK34 CL C 06/14/2021 WELLS FARGO BANK, N.A. 15,449,925 15,000,000 29,785 1.G FE

06051G-JT-7 BANK OF AMERICA CORP SR NT 04/16/2021 BANK OF AMERICA NA 20,000,000 20,000,000 1.F FE

06051G-JA-8 BANK OF AMERICA CORP SR NT 03/20/20 04/09/2021 DIRECT PLACEMENT 11,225,140 10,000,000 20,415 1.G FE

06051G-JY-6 BANK OF AMERICA CORP SR NT FRN MTN 06/07/2021 BANK OF AMERICA NA 1,150,000 1,150,000 1.F FE

06051G-JZ-3 BANK OF AMERICA CORP SR NT FRN MTN 06/07/2021 BANK OF AMERICA NA 2,300,000 2,300,000 1.F FE

071813-BY-4 BAXTER INTL INC SR NT 05/13/2021 EXCHANGE 6,976,602 7,000,000 32,258 1.G FE

05609*-AA-2 BB&T CENTER GRND LSE BACKED PTC CTL 06/15/2021 INTEREST CAPITALIZATION 293 293 1.D Z

08163D-AL-1 BENCHMARK MTG TR 2021-B25 CL C 04/16/2021 GOLDMAN, SACHS & CO 8,999,739 9,000,000 22,407 1.G FE

08163H-AK-4 BENCHMARK MTG TR 2021-B27 CL C 06/18/2021 CITIGROUP SECURITIES INC 15,470,086 15,471,000 32,525 1.G FE

09031W-AA-1 BIMBO BAKERIES USA INC CO GUARNT 144A C 05/12/2021 J P MORGAN SECURITIES INC 4,915,850 5,000,000 2.B FE

09631B-AA-1 BLUEMOUNTAIN CLO LTD 2021-31A CL A1 144A D 04/26/2021 CREDIT SUISSE SECURITIES LLC 4,000,000 4,000,000 1.A FE

09659W-2P-8 BNP PARIBAS SR NT 144A D 04/12/2021 BNP PARIBAS SECURITIES CORP 10,500,000 10,500,000 1.G FE

09659T-2C-4 BNP PARIBAS SUB 144A D 04/13/2021 BNP PARIBAS SECURITIES CORP 4,545,750 5,000,000 30,986 2.A FE

10921U-2D-9 BRIGHTHSE FIN GL SR SEC 144A 06/21/2021 J P MORGAN SECURITIES INC 349,944 350,000 1.G FE

10921U-2E-7 BRIGHTHSE FIN GL SR SEC 144A 06/21/2021 J P MORGAN SECURITIES INC 299,649 300,000 1.G FE

110122-CR-7 BRISTOL-MYERS SQUIBB CO SR NT 04/09/2021 DIRECT PLACEMENT 23,797,451 20,000,000 382,500 1.F FE

11135F-AQ-4 BROADCOM INC CO GUARNT 05/06/2021 GOLDMAN, SACHS & CO 438,840 400,000 8,069 2.C FE

11133T-AE-3 BROADRIDGE FINANCIAL SOL SR NT 05/11/2021 VARIOUS 18,803,855 18,850,000 2.A FE

11271L-AH-5 BROOKFIELD FINANCE INC CO GUARNT A 04/07/2021 CITIGROUP SECURITIES INC 5,000,000 5,000,000 1.G FE

120568-BC-3 BUNGE LTD FINANCE CORP CO GUARNT 05/07/2021 GOLDMAN, SACHS & CO 19,944,400 20,000,000 2.C FE

130789-#B-6 CA WATER SRVC CO 1ST MTG SER 1 05/11/2021 U.S. BANK 13,000,000 13,000,000 1.E Z

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


130789-#A-8 CA WATER SRVC CO 1ST MTG SER ZZZ 05/11/2021 U.S. BANK 9,000,000 9,000,000 1.E Z

141781-BR-4 CARGILL INC SR NT 144A 05/26/2021 CITIGROUP SECURITIES INC 4,016,920 4,000,000 1,042 1.F FE

14919B-AA-4 CATHEDRAL LAKE LTD 2018-5A CL A1 144A D 05/27/2021 CITIGROUP GLOBAL MKT INC 999,250 1,000,000 1,620 1.A FE

14918A-AD-1 CATHOLIC HEALTH SVCS SEC SER 2020 04/30/2021 RAYMOND JAMES & ASSOC INC 5,904,360 6,000,000 69,044 1.G FE

12739@-AA-9 CED NV VA WATER SR NT SER C 06/09/2021 SMBC NIKKO 3,354,600 3,354,600 2.C Z

15118J-AA-3 CELLNEX FINANCE CO GUARNT 144A D 06/29/2021 MORGAN STANLEY CAPITAL SERVICES LLC 14,808,600 15,000,000 3.A FE

15135B-AX-9 CENTENE CORP SR NT 06/24/2021 VARIOUS 7,758,900 8,000,000 62,153 3.A FE

15135B-AY-7 CENTENE CORP SR NT 06/24/2021 J P MORGAN SECURITIES INC 15,000,000 15,000,000 3.A FE

15189T-AZ-0 CENTERPOINT ENERGY INC SR NT FRN 05/11/2021 MIZUHO SECURITIES USA INC 250,000 250,000 2.B FE

12528J-AA-4 CFIP CLO LTD 2017-1A CL A 144A D 04/19/2021 BANK OF AMERICA NA 250,000 250,000 20 1.A FE

12549Q-BA-2 CIFC FUNDING LTD 2014-3A CL A1R2 144A D 04/06/2021 MORGAN STANLEY CAPITAL SERVICES LLC 250,000 250,000 751 1.A FE

12550Y-AN-4 CIFC FUNDING LTD 2017-2A CL AR 144A D 05/05/2021 MORGAN STANLEY CAPITAL SERVICES LLC 1,500,000 1,500,000 1.A FE

12550G-AA-1 CIFC FUNDING LTD 2018-5A CL A1 144A D 04/19/2021 BANK OF AMERICA NA 300,000 300,000 69 1.A FE

172967-MY-4 CITIGRP INC SR NT 04/27/2021 VARIOUS 12,050,000 12,050,000 1.G FE

172967-MW-8 CITIGRP INC SR NT FRN 04/27/2021 CITIGROUP GLOBAL MKT INC 1,400,000 1,400,000 1.G FE

17329M-BH-1 CITIGRP MTG LOAN TR 2021-J2 CL A4A 144A 06/25/2021 CITIGROUP SECURITIES INC 20,085,938 20,000,000 40,278 1.A FE

174610-AW-5 CITIZENS FINANCIAL GRP SUB 06/25/2021 EXCHANGE 26,831,179 27,000,000 168,173 2.B FE

174610-AY-1 CITIZENS FINANCIAL GRP SUB 06/25/2021 EXCHANGE 5,189,318 5,250,000 73,281 2.B FE

174610-BA-2 CITIZENS FINANCIAL GRP SUB 06/25/2021 EXCHANGE 6,996,192 7,000,000 112,039 2.B FE

174610-BC-8 CITIZENS FINANCIAL GRP SUB 06/25/2021 EXCHANGE 13,865,221 13,944,000 225,777 2.B FE

411707-AK-8 CKE RESTAURANTS HLD 2021-1A CL A2 144A 06/17/2021 BARCLAYS CAPITAL INC 15,000,000 15,000,000 2.B FE

126128-AB-3 CNB FINANCIAL CORP/PA SUB SER QIB144A 06/02/2021 STIFEL, NICOLAUS & CO INCORPORATED 16,000,000 16,000,000 2.C FE

19123M-AD-5 COCA-COLA EUROPEAN PARTN SR NT 144A D 04/21/2021 DEUTSCHE BANK SECURITIES INC 1,648,466 1,650,000 2.A FE

21873L-AL-7 COLONY AMERI FIN LTD 2021-1 CL D 144A 04/21/2021 WELLS FARGO BANK, N.A. 9,749,727 9,750,000 24,623 2.B FE

20454P-AC-7 COMPEER FIN FLCA / PCA GRNT SER QIB 144A 05/12/2021 SANDLER O'NEILL PARTNERS 25,000,000 25,000,000 2.B FE

12647G-AV-0 CREDIT SUISSE COMM MRT2013-IVR CL Z 144A 06/01/2021 INTEREST CAPITALIZATION 170,034 170,034 1.A FM

12646W-AD-6 CS COMM MORT 2013-IVR CL Z 144A 06/01/2021 INTEREST CAPITALIZATION 90,472 90,472 1.A FM

12737#-AA-9 CSFV CORE II LLC SR NT SER A 04/01/2021 U.S. BANCORP 35,000,000 35,000,000 1.G Z

232806-A*-0 CYPRESS SEMICONDUCTOR CORP SER A SR NT D 06/16/2021 MIZUHO SECURITIES USA INC 31,000,000 31,000,000 2.B Z

232806-A@-8 CYPRESS SEMICONDUCTOR CORP SER B SR NT D 06/16/2021 MIZUHO SECURITIES USA INC 27,000,000 27,000,000 2.B Z

232806-A#-6 CYPRESS SEMICONDUCTOR CORP SER C SR NT D 06/16/2021 MIZUHO SECURITIES USA INC 20,000,000 20,000,000 2.B Z

232806-B*-9 CYPRESS SEMICONDUCTOR CORP SER D SR NT D 06/16/2021 MIZUHO SECURITIES USA INC 12,000,000 12,000,000 2.B Z

24703T-AE-6 DELL INT LLC / EMC CORP SR SEC 06/22/2021 EXCHANGE 7,421,630 7,000,000 77,175 2.C FE

251526-CK-3 DEUTSCHE BANK NY SR NT D 05/25/2021 DEUTSCHE BANK SECURITIES INC 5,000,000 5,000,000 2.C FE

25179M-AY-9 DEVON ENERGY CORPORATION SR NT 144A 06/09/2021 EXCHANGE 7,836,000 7,836,000 61,709 2.C FE

25179M-BA-0 DEVON ENERGY CORPORATION SR NT 144A 06/09/2021 EXCHANGE 1,300,000 1,300,000 23,400 2.C FE

25402J-AA-7 DIGITAL BRIGE ISS LLC 2021-1A CL A2 144A 06/30/2021 BARCLAYS CAPITAL INC 40,000,000 40,000,000 2.B Z

25746U-DB-2 DOMINION ENERGY INC JR SUB 06/03/2021 CITIGROUP GLOBAL MKT INC 1,224,739 1,150,000 10,987 2.B FE

25755T-AP-5 DOMINOS PIZZA MSTR 2021-1A CL A2II 144A 04/08/2021 GUGGENHEIM CAPITAL MARKETS 42,500,000 42,500,000 2.A FE

26252V-AS-0 DRYDEN SR LOAN FUND 2020-77A CL AR 144A D 05/14/2021 BNP PARIBAS SECURITIES CORP 11,000,000 11,000,000 1.A FE

26441C-BL-8 DUKE ENERGY CORP SR NT 06/07/2021 BANK OF AMERICA NA 1,398,152 1,400,000 2.B FE

266233-AJ-4 DUQUESNE LT H SR NT 144A 06/22/2021 BANK OF AMERICA NA 5,000,000 5,000,000 2.C FE

26969P-AB-4 EAGLE MATERIALS SR NT 06/17/2021 J P MORGAN SECURITIES INC 14,873,850 15,000,000 2.B FE

28501*-BH-7 ELECTRIC TRANSMISSION TX SR NT SER H 06/15/2021 MIZUHO SECURITIES USA INC 40,000,000 40,000,000 2.B Z

532457-BT-4 ELI LILLY & CO SR NT 04/09/2021 DIRECT PLACEMENT 22,933,277 20,000,000 50,472 1.F FE

29103D-AN-6 EMERA US FINANCE LP SR NT 144A C 05/25/2021 J P MORGAN SECURITIES INC 250,000 250,000 2.C FE

292487-AA-3 EMPRESA DE LOS FERROCARR SR NT 144A D 06/09/2021 VARIOUS 6,356,700 7,320,000 71,597 1.G FE

29273V-AN-0 ENERGY TRANSFER LP PERP JR SUB SER H 06/01/2021 J P MORGAN SECURITIES INC 500,000 500,000 3.B FE

29273R-BB-4 ENERGY TRANSFER LP SR NT SER 04/09/2021 DIRECT PLACEMENT 17,954,991 15,649,000 221,346 2.C FE

29273R-BC-2 ENERGY TRANSFER LP SR NT SER 04/09/2021 DIRECT PLACEMENT 26,283,703 19,818,000 649,452 2.C Z

29273R-AZ-2 ENERGY TRANSFER OPERATNG CO GUARNT 04/09/2021 DIRECT PLACEMENT 7,712,976 6,766,000 7,828 2.C FE

29278N-AE-3 ENERGY TRANSFER PARTNERS SER 30Y 04/09/2021 DIRECT PLACEMENT 11,488,511 10,000,000 188,333 2.C FE

29441W-AD-7 EQUATE PETROCHEMICAL BV CO GUARNT 144A D 04/21/2021 J P MORGAN SECURITIES INC 23,975,520 24,000,000 2.B FE

29444U-BS-4 EQUINIX INC SR NT 05/03/2021 BANK OF AMERICA NA 19,903,600 20,000,000 2.B FE

29587#-BE-5 ERNST & YOUNG SER B SR NT 04/08/2021 DIRECT PLACEMENT 50,000,000 50,000,000 1.C PL

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


29587#-BF-2 ERNST & YOUNG SER C SR NT 04/08/2021 DIRECT PLACEMENT 50,000,000 50,000,000 1.C PL

30037#-AA-8 EVERGY MISSOURI WEST INC SER A SR NT 04/20/2021 BARCLAYS CAPITAL INC 15,000,000 15,000,000 2.B Z

30037#-AB-6 EVERGY MISSOURI WEST INC SER B SR NT 04/20/2021 BARCLAYS CAPITAL INC 5,000,000 5,000,000 2.B Z

30037#-AC-4 EVERGY MISSOURI WEST INC SER C SR NT 04/20/2021 BARCLAYS CAPITAL INC 5,000,000 5,000,000 2.B Z

30212P-BH-7 EXPEDIA GRP INC CO GUARNT 06/18/2021 EXCHANGE 445,968 450,000 3,872 2.C FE

30212P-BJ-3 EXPEDIA GRP INC CO GUARNT 06/18/2021 EXCHANGE 530,017 500,000 150 2.C FE

30212P-BK-0 EXPEDIA GRP INC CO GUARNT 06/18/2021 EXCHANGE 349,991 350,000 6,160 2.C FE

30321L-2A-9 F&G GLBL FUNDI SEC 144A 06/23/2021 CREDIT SUISSE SECURITIES LLC 499,855 500,000 1.G FE

33852F-AW-6 FLAGSTAR MTG TR 2021-4 CL A21 144A 06/11/2021 BANK OF AMERICA NA 12,097,500 12,000,000 20,000 1.A FE

33939H-AB-5 FLEX INTERMEDIATE HOLDCO SR SEC 144A 05/24/2021 ROYAL BANK OF CANADA 49,997,500 50,000,000 2.C FE

30306V-A#-6 FLNG LIQUEFACTION 3 LLC SEC 04/15/2021 MIZUHO SECURITIES USA INC 14,334,000 14,334,000 2.B FE

345397-B6-9 FORD MOTOR CREDI SR NT 06/22/2021 BNP PARIBAS SECURITIES CORP 20,000,000 20,000,000 3.A FE

360271-AM-2 FULTON FINANCIAL CORP SUB 05/27/2021 STIFEL, NICOLAUS & CO INCORPORATED 2,914,500 2,900,000 22,958 2.A FE

36166V-AE-5 GCI FUNDING I LLC 2021-1 CL A 144A 06/04/2021 CREDIT SUISSE SECURITIES LLC 11,996,910 12,000,000 1.F FE

36166N-AJ-2 GE CAPITAL FUNDING LLC CO GUARNT 05/07/2021 EXCHANGE 209,380 200,000 4,204 2.B FE

37045X-DL-7 GENERAL MOTORS FINL CO SR NT 06/07/2021 BARCLAYS CAPITAL INC 14,973,900 15,000,000 2.C FE

37959G-AB-3 GLBL ATLANTIC FIN CO GUARNT 144A 06/14/2021 GOLDMAN, SACHS & CO 199,626 200,000 2.C Z

378272-AN-8 GLENCORE FUNDING LLC CO GUARNT 144A C 04/21/2021 BANK OF AMERICA NA 828,315 750,000 2,167 2.A FE

38137Y-AQ-4 GOLDENTREE LOAN US 2019-4A CL AJR 144A D 04/22/2021 MORGAN STANLEY CAPITAL SERVICES LLC 1,000,000 1,000,000 1.A FE

38144G-AE-1 GOLDMAN SACHS GRP INC PERP JR SUB FRN 04/19/2021 GOLDMAN, SACHS & CO 1,200,000 1,200,000 3.A FE

38141G-YB-4 GOLDMAN SACHS GRP INC SR NT 04/15/2021 GOLDMAN, SACHS & CO 15,000,000 15,000,000 1.F FE

38141G-YC-2 GOLDMAN SACHS GRP INC SR NT 04/15/2021 GOLDMAN, SACHS & CO 15,000,000 15,000,000 1.F FE

38141G-YE-8 GOLDMAN SACHS GRP INC SR NT SER 06/07/2021 GOLDMAN, SACHS & CO 2,500,000 2,500,000 1.F FE

36261H-AD-2 GS MTG-BACKED SEC 2021-PJ5 CL A4 144A 05/14/2021 GOLDMAN, SACHS & CO 6,492,315 6,456,000 12,105 1.B FE

36264P-AD-1 GS MTG-BKED SECS 2021-PJ4 CL A4 144A 04/16/2021 GOLDMAN, SACHS & CO 25,289,063 25,000,000 50,347 1.B FE

402562-AA-0 GULF STREAM 1 LTD. 2021-4A CL A1 144A D 04/29/2021 BARCLAYS CAPITAL INC 25,000,000 25,000,000 1.A FE

40256L-AA-8 GULF STREAM MERIDIAN 2021-5A CL A1 144A D 05/27/2021 NATIXIS 7,250,000 7,250,000 1.A FE

36262G-AA-9 GXO LOGISTICS INC SR NT 144A 06/17/2021 BARCLAYS CAPITAL INC 648,876 650,000 2.C FE

36262G-AC-5 GXO LOGISTICS INC SR NT 144A 06/23/2021 VARIOUS 29,946,450 30,000,000 2.C FE

41242*-BZ-4 HARDWOOD FDG LLC SR NT SER VV 06/07/2021 JP MORGAN SECURITIES LLC 3,000,000 3,000,000 1.G FE

41242*-CA-8 HARDWOOD FDG LLC SR NT SER WW 06/07/2021 JP MORGAN SECURITIES LLC 6,000,000 6,000,000 1.G FE

413717-AS-8 HARRIMAN PARK CLO 2020-1A CL B1R 144A D 04/16/2021 CITIGROUP SECURITIES INC 15,195,000 15,195,000 1.C FE

404119-CB-3 HCA INC SR SEC 06/21/2021 BANK OF AMERICA NA 14,925,150 15,000,000 2.C FE

404119-CC-1 HCA INC SR SEC 06/21/2021 WELLS FARGO BANK, N.A. 39,755,200 40,000,000 2.C FE

42250P-AC-7 HEALTHPEAK PROPERTIES SR NT 06/30/2021 WELLS FARGO BANK, N.A. 1,548,094 1,550,000 2.A FE

86745Q-AA-9 HELIOS ISSUER, LLC 2021-1 CL A 144A 06/11/2021 CREDIT SUISSE SECURITIES LLC 14,993,459 15,000,000 1.G FE

431116-AE-2 HIGHMARK INC SR NT 144A 05/05/2021 BANK OF AMERICA NA 54,985,700 55,000,000 2.B FE

43284M-AB-4 HILTON GRAND VAC BOR ESC SR NT 144A 06/15/2021 DEUTSCHE BANK SECURITIES INC 250,313 250,000 4.C FE

440452-AG-5 HORMEL FOODS CORP SR NT 05/25/2021 J P MORGAN SECURITIES INC 799,856 800,000 1.F FE

40434L-AG-0 HP INC SR NT 144A 06/07/2021 GOLDMAN, SACHS & CO 24,246,026 24,350,000 2.B FE

404280-CT-4 HSBC HLDGS PLC SR NT FRN D 05/17/2021 HSBC SECURITIES INC 10,000,000 10,000,000 1.G FE

44701Q-BF-8 HUNTSMAN INTL L SR NT 05/24/2021 CITIGROUP SECURITIES INC 14,989,500 15,000,000 2.C FE

44891A-BX-4 HYUNDAI CAPITAL AMERICA SR NT 144A 06/10/2021 CREDIT AGRICOLE 9,939,100 10,000,000 2.A FE

44972*-AA-0 ICON RECEIVABLES LP ABS SER A 06/10/2021 DIRECT PLACEMENT 40,000,000 40,000,000 1.G PL

45167R-AH-7 IDEX CORP SR NT 05/18/2021 J P MORGAN SECURITIES INC 36,964,680 37,000,000 2.B FE

452327-AM-1 ILLUMINA INC SR NT 05/19/2021 U.S. BANCORP 3,280,243 3,328,000 13,673 2.B FE

46149M-AA-4 INVESCO CLO LTD 2021-2A CL A 144A 05/07/2021 NATIXIS 13,500,000 13,500,000 1.A FE

462613-AP-5 IPALCO ENTERPRISES INC SR SEC 05/11/2021 EXCHANGE 249,792 250,000 295 2.C FE

465077-AL-9 ISRAEL ELEC CORP LTD SR SEC SER GMTN144A D 06/14/2021 GOLDMAN, SACHS & CO 5,610,000 5,000,000 72,014 2.B FE

46653K-AB-4 JAB HLDGS BV CO GUARNT 144A D 05/25/2021 BANK OF AMERICA NA 248,618 250,000 2.B FE

466313-AK-9 JABIL INC SR NT 04/27/2021 MITSUBISHI TRUST & BANKING CORPORATION 5,032,975 4,937,000 42,787 2.C FE

466313-AL-7 JABIL INC SR NT 04/07/2021 J P MORGAN SECURITIES INC 7,048,661 7,050,000 2.C FE

47049Q-AA-4 JAMESTOWN CLO LTD 2018-11A CL A1 144A D 04/29/2021 MORGAN STANLEY CAPITAL SERVICES LLC 4,000,000 4,000,000 2,714 1.A FE

46641C-BA-8 JP MORGAN MTG TR 2014-1 CL 2A7 144A 06/01/2021 INTEREST CAPITALIZATION 78,122 78,122 1.A FM

46592T-BP-7 JP MORGAN MTG TR 2021-8 CL A15 144A 06/24/2021 J P MORGAN SECURITIES INC 10,563,984 10,500,000 21,146 1.B FE

E04.2



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


46647P-CB-0 JPMORGAN CHASE & CO SR NT 04/15/2021 J P MORGAN SECURITIES INC 750,000 750,000 1.F FE

46647P-CC-8 JPMORGAN CHASE & CO SR NT 04/15/2021 J P MORGAN SECURITIES INC 10,450,000 10,450,000 1.F FE

46647P-CE-4 JPMORGAN CHASE & CO SR NT 04/15/2021 J P MORGAN SECURITIES INC 10,000,000 10,000,000 1.F FE

46647P-AQ-9 JPMORGAN CHASE & CO SR NT FRN 04/15/2021 MIZUHO SECURITIES USA INC 554,356 550,000 1,216 1.F FE

48259@-AA-3 KDP CTL PASS THRU 06/25/2021 PRUDENTIAL SECURITIES INC 35,000,000 35,000,000 2.B Z

489170-AF-7 KENNAMETAL INC SR NT 06/07/2021 CANTOR FITZGERALD & COMPANY 4,096,152 4,085,000 33,679 2.B FE

50077L-AB-2 KRAFT HEINZ FOODS CO GUARNT 04/19/2021 MORGAN STANLEY CAPITAL SERVICES LLC 541,875 500,000 8,483 3.A FE

12743*-AA-5 KROGER 28 STORE CTL SER A-1 SEC 06/08/2021 CGA INVESTMENT MANAGEMENT 40,000,000 40,000,000 2.B Z

50540R-AY-8 LABORATORY CORP OF AMER SR NT 05/12/2021 WELLS FARGO BANK, N.A. 9,965,200 10,000,000 2.B FE

50197@-AA-4 LCPA TAXABLE LEASE REV CTL 04/12/2021 DIRECT PLACEMENT 1,677,452 1,677,452 1.F

52532X-AG-0 LEIDOS INC CO GUARNT 144A 05/18/2021 MIZUHO SECURITIES USA INC 5,715,120 6,000,000 36,417 2.C FE

52532X-AB-1 LEIDOS INC CO GUARNT SER WI 06/23/2021 EXCHANGE 782,423 750,000 2,335 2.C FE

52532X-AD-7 LEIDOS INC CO GUARNT SER WI 06/23/2021 EXCHANGE 9,971,608 10,000,000 38,264 2.C FE

52532X-AF-2 LEIDOS INC CO GUARNT SER WI 06/23/2021 EXCHANGE 19,766,438 20,000,000 92,361 2.C FE

52532X-AH-8 LEIDOS INC CO GUARNT SER WI 06/23/2021 EXCHANGE 45,536,028 46,000,000 376,178 2.C FE

76220#-AA-8 LIFESPAN AFFIL SEC SER 2021 05/27/2021 ROYAL BANK OF CANADA 15,000,000 15,000,000 2.A Z

53621@-AY-2 LION INDUSTRIAL PROP SR NT SER B 06/16/2021 BANK OF AMERICA NA 15,000,000 15,000,000 2.A Z

540543-AA-3 LOGAN CLO I LTD 2021-1A CL A 144A D 04/30/2021 BARCLAYS CAPITAL INC 15,000,000 15,000,000 1.A FE

540543-AC-9 LOGAN CLO I LTD 2021-1A CL B 144A D 04/30/2021 BARCLAYS CAPITAL INC 15,000,000 15,000,000 1.C FE

55037A-AA-6 LUNDIN ENERGY FI CO GUARNT 144A D 06/16/2021 WELLS FARGO BANK, N.A. 9,982,700 10,000,000 2.C FE

55037A-AB-4 LUNDIN ENERGY FI CO GUARNT 144A D 06/16/2021 WELLS FARGO BANK, N.A. 4,990,500 5,000,000 2.C FE

56081*-AJ-3 MAJOR LEAGUE BASEBALL SEC SER 9 06/10/2021 DIRECT PLACEMENT 2,200,000 2,200,000 1.G Z

56540#-AA-3 MAPLELEAF MIDSTREAM INV LLC SR NT SER A 05/20/2021 SEAPORT GLOBAL HOLDINGS LLC 34,941,497 34,709,428 552,633 3.A PL

573284-AY-2 MARTIN MARIETTA SR NT 06/21/2021 SUNTRUST CAPITAL MARKETS INC 349,958 350,000 2.B FE

573874-AM-6 MARVELL TECHNOLOGY INC CO GUARNT 144A 05/04/2021 EXCHANGE 541,711 500,000 8,938 2.C FE

573874-AD-6 MARVELL TECHNOLOGY INC SR NT 144A 04/22/2021 VARIOUS 10,026,600 10,000,000 4,764 2.C FE

573874-AG-9 MARVELL TECHNOLOGY INC SR NT 144A 04/22/2021 VARIOUS 21,964,060 22,000,000 2,294 2.C FE

58549K-BM-2 MELLO MTG CAP ACC 2021-INV1 CL A15 144A 06/14/2021 J P MORGAN SECURITIES INC 12,121,875 12,000,000 13,333 1.B FE

58554*-AA-6 MELODY US BUYER ABS SER 2021-1 06/29/2021 DIRECT PLACEMENT 19,800,000 20,000,000 1.F Z

58843*-AF-6 MERCHANTS AUTO SEC SER A 04/22/2021 CIBC WORLD MARKETS CORP 5,000,000 5,000,000 2.C PL

58843*-AG-4 MERCHANTS AUTO SEC SER B 06/09/2021 CIBC WORLD MARKETS CORP 10,000,000 10,000,000 2.C Z

59001A-BD-3 MERITAGE HOMES CORP SR NT 144A 05/20/2021 CITIGROUP GLOBAL MKT INC 1,836,763 1,767,000 6,960 3.A FE

59183*-AA-3 METROPARK GROUND LEASE CTL SR NT SER A 06/15/2021 INTEREST CAPITALIZATION 1,185 1,185 1.D Z

591721-AB-1 METROPARK GROUND LEASE CTL SUB SER B 06/15/2021 INTEREST CAPITALIZATION 2,706 2,706 2.B Z

59524Q-AA-3 MID-ATLANTIC INTERSTATE SR NT 144A 05/20/2021 J P MORGAN SECURITIES INC 328,674 300,000 308 2.B Z

605417-CC-6 MISSISSIPPI POWE SR NT FRN SER A 06/24/2021 BARCLAYS CAPITAL INC 100,000 100,000 1.G FE

G1263*-AA-1 MODERN AVIATION FBO HLDGS LLC 06/18/2021 DIRECT PLACEMENT 1,497,419 1,527,979 4.A PL

61691Y-BB-6 MORGAN STANLEY CAPITAL I TR 2021-L5 CL C 04/29/2021 MORGAN STANLEY CAPITAL SERVICES LLC 6,999,749 7,000,000 6,137 1.G FE

61772B-AB-9 MORGAN STANLEY SR NT 04/19/2021 MORGAN STANLEY CAPITAL SERVICES LLC 950,000 950,000 1.F FE

61772B-AC-7 MORGAN STANLEY SR NT 04/19/2021 MORGAN STANLEY CAPITAL SERVICES LLC 10,000,000 10,000,000 1.F FE

620076-BU-2 MOTOROLA SOLUTIONS INC SR NT 05/10/2021 BANK OF AMERICA NA 15,000,000 15,000,000 2.C FE

62481W-AL-1 MP CLO VIII, LTD 2015-2A CL ARR 144A D 05/14/2021 JEFFERIES LLC 11,250,000 11,250,000 1.A FE

623115-AF-9 MT SINAI HOSPITAL NT SER 2020 04/29/2021 CITIGROUP GLOBAL MKTS INC 9,040,500 9,000,000 22,692 1.G FE

G6363#-AJ-6 NAC AVIATION 29 DAC SER I SR NT D 05/01/2021 INTEREST CAPITALIZATION 334,146 334,146 4.B FE

G6363#-AV-9 NAC AVIATION 29 DAC SER I SR NT D 05/01/2021 EXCHANGE 15,334,146 15,334,146 4.B PL

G6363#-AK-3 NAC AVIATION 29 DAC SER J SR NT D 05/01/2021 INTEREST CAPITALIZATION 802,424 802,424 4.B FE

G6363#-AW-7 NAC AVIATION 29 DAC SER J SR NT D 05/01/2021 EXCHANGE 35,802,424 35,802,424 4.B PL

G6363#-AL-1 NAC AVIATION 29 DAC SER K SR NT D 05/01/2021 INTEREST CAPITALIZATION 239,264 239,264 4.B PL

G6363#-AX-5 NAC AVIATION 29 DAC SER K SR NT D 05/01/2021 EXCHANGE 10,239,264 10,239,264 4.B PL

62883*-AD-4 NATF AMERICA LLC 2020-1 04/09/2021 DIRECT PLACEMENT 13,000,000 13,000,000 1.C Z

63942J-AA-5 NAVIENT STUDENT LN TR 2021-CA CL A 144A 05/18/2021 BANK OF AMERICA NA 499,885 500,000 1.A FE

62878U-2A-9 NBN CO LTD SR NT 144A D 04/26/2021 BANK OF AMERICA NA 4,988,950 5,000,000 1.E FE

62878U-2B-7 NBN CO LTD SR NT 144A D 04/26/2021 BANK OF AMERICA NA 74,961,000 75,000,000 1.E FE

64110L-AV-8 NETFLIX INC SR NT 144A 04/29/2021 J P MORGAN SECURITIES INC 3,487,500 3,000,000 56,063 3.A FE

64133W-AA-3 NEUBERGER BERMAN CLO 2021-42A CL A 144A D 05/12/2021 SOCIETE GENERALE 9,000,000 9,000,000 1.A FE

E04.3



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


64130T-BA-2 NEUBERGER BM CLO 2015-20A CL ARR 144A D 04/30/2021 MORGAN STANLEY CAPITAL SERVICES LLC 6,086,000 6,086,000 1.A FE

65339K-BW-9 NEXTERA ENERGY CAPITAL CO GUARNT 06/02/2021 CREDIT SUISSE SECURITIES LLC 2,698,407 2,700,000 2.A FE

62912X-AF-1 NGPL PIPECO LLC SR NT 144A 05/18/2021 VARIOUS 13,886,715 12,260,000 145,622 2.C FE

62928C-AA-0 NGPL PIPECO LLC SR NT 144A 05/03/2021 VARIOUS 15,766,818 15,750,000 2.C FE

65406E-AA-0 NICOLET BANKSHARES INC SUB 144A 06/28/2021 STIFEL, NICOLAUS & CO INCORPORATED 25,000,000 25,000,000 2.C Z

665501-AM-4 NORTHERN NATURAL GAS CO SR NT 144A 04/13/2021 MIZUHO SECURITIES USA INC 9,973,600 10,000,000 2,833 1.F FE

62954H-AG-3 NXP BV/NXP FDG/NXP USA CO GUARNT 144A D 05/04/2021 CITIGROUP SECURITIES INC 14,948,550 15,000,000 2.C FE

67690A-AE-1 OAK HILL CRED PRTNRS 2021-9A CL A2 144A D 04/28/2021 BANK OF AMERICA NA 6,000,000 6,000,000 1.A FE

67690A-AG-6 OAK HILL CREDIT PRTNRS 2021-9A CL B 144A D 04/28/2021 BANK OF AMERICA NA 13,500,000 13,500,000 1.C FE

671000-AC-1 OCP CLO LTD 2021-21A CL A2 144A D 04/26/2021 J P MORGAN SECURITIES INC 16,000,000 16,000,000 1.A FE

671000-AE-7 OCP CLO LTD 2021-21A CL B 144A D 04/26/2021 J P MORGAN SECURITIES INC 15,000,000 15,000,000 1.C FE

67578J-AC-3 OCTAGON INV PRTNRS 51 2021-1A CL B 144A D 04/16/2021 ROYAL BANK OF CANADA 3,750,000 3,750,000 1.C FE

R7000*-AA-4 ODAL VINDKRAFTVERK AS SEC B 04/23/2021 PARETO SECURITIES INC 17,820,000 17,820,000 3.A Z

67097#-AA-7 OFP 2020 LEASE-BACKED P/T CTL 06/15/2021 INTEREST CAPITALIZATION 6,087 6,087 2.A

681919-BD-7 OMNICOM GRP INC SR NT 04/28/2021 VARIOUS 26,303,361 26,350,000 2.A FE

67113X-AU-4 ONSLOW BAY FIN LLC 2021-J1 CL A19 144A 04/27/2021 BANK OF AMERICA NA 14,107,188 14,000,000 28,194 1.A FE

68389X-BX-2 ORACLE CORP SR NT 04/09/2021 DIRECT PLACEMENT 19,402,364 20,000,000 14,000 2.A FE

68560E-AB-4 ORBIA ADVANCE CORP SAB CO GUARNT 144A D 06/29/2021 VARIOUS 9,983,300 10,000,000 19,965 2.C FE

69021*-AA-8 OVERLAKE 520 GRND LSE CTL 06/15/2021 INTEREST CAPITALIZATION 4,354 4,354 1.G Z

67109U-AS-1 OZLM LTD 2015-11A CL A1R 144A D 04/07/2021 NOMURA SECURITIES INTL INC 988,940 989,187 2,681 1.A FE

67112C-AA-5 OZLM LTD 2017-19A CL A1 144A D 04/13/2021 MORGAN STANLEY CAPITAL SERVICES LLC 7,300,000 7,300,000 1.A FE

694308-JW-8 PACIFIC GAS & ELEC 1ST MTG 06/01/2021 BARCLAYS CAPITAL INC 348,282 350,000 2.C Z

69702B-AA-9 PALMER SQ LN FDG LTD 2021-3A CL A1 144A D 06/24/2021 CITIGROUP GLOBAL MKT INC 3,000,000 3,000,000 1.A Z

69700L-AA-9 PALMER SQUARE CLO LTD 2018-3A CL A1 144A D 06/10/2021 MORGAN STANLEY CAPITAL SERVICES LLC 312,452 312,218 244 1.A FE

69701X-AA-2 PALMER SQUARE CLO LTD 2021-2A CL A 144A D 04/21/2021 WELLS FARGO BANK, N.A. 11,000,000 11,000,000 1.A FE

69701X-AC-8 PALMER SQUARE CLO LTD 2021-2A CL B 144A D 04/21/2021 WELLS FARGO BANK, N.A. 10,300,000 10,300,000 1.C FE

709599-BM-5 PENSKE TRUCK LEASING/PTL SR NT 144A 04/06/2021 WELLS FARGO BANK, N.A. 1,649,654 1,650,000 2.B FE

71647N-BJ-7 PETROBRAS GLBL FINANCE CO GUARNT D 06/02/2021 J P MORGAN SECURITIES INC 385,784 400,000 3.C FE

72132Y-AL-9 PIKES PEAK CLO 2020-6A CL AR2 144A D 04/23/2021 J P MORGAN SECURITIES INC 24,100,000 24,100,000 1.A FE

72132Y-AN-5 PIKES PEAK CLO 2020-6A CL BR2 144A D 04/23/2021 J P MORGAN SECURITIES INC 5,900,000 5,900,000 1.C FE

723787-AU-1 PIONEER NATURAL RESOURCE SR NT 05/10/2021 GOLDMAN, SACHS & CO 199,988 200,000 2.B FE

69351U-AY-9 PPL ELEC UTI 1ST MTG FRN 06/21/2021 BANK OF AMERICA NA 900,000 900,000 1.F FE

74730D-AD-5 QATAR PETROLEUM SR NT 144A D 06/30/2021 HSBC SECURITIES INC 31,000,000 31,000,000 1.D FE

74730D-AE-3 QATAR PETROLEUM SR NT 144A D 06/30/2021 CITIGROUP SECURITIES INC 14,944,650 15,000,000 1.D FE

75063M-AA-5 RADY CHILDREN HOSP/SD CA SEC SER 21A 05/11/2021 J P MORGAN SECURITIES INC 5,000,000 5,000,000 1.D FE

75508X-AA-4 RAYONIER LP CO GUARNT 05/25/2021 VARIOUS 38,957,485 39,200,000 3,247 2.C FE

75887N-AW-9 REGATTA VI FDG LTD. 2016-1A CL AR2 144A D 04/28/2021 NOMURA SECURITIES INTL INC 7,500,000 7,500,000 1.A FE

75888A-BE-5 REGATTA VII FDG LTD 2016-1A CL A1R2 144A D 05/28/2021 NOMURA SECURITIES INTL INC 5,500,000 5,500,000 1.A FE

75951A-AN-8 RELIANCE STAND LIFE II SEC 144A 04/08/2021 MORGAN STANLEY CAPITAL SERVICES LLC 474,305 450,000 2,784 1.E FE

761713-AT-3 REYNOLDS AMERICAN INC CO GUARNT C 04/09/2021 DIRECT PLACEMENT 12,930,765 10,000,000 227,569 2.B FE

78081B-AD-5 ROYALTY PHARMA PLC SR NT 144A 06/23/2021 MORGAN STANLEY CAPITAL SERVICES LLC 4,877,500 5,000,000 34,528 2.C FE

G7334@-AV-5 RRPF ENGINE LEASING LTD SR SEC SER BB D 05/12/2021 SEAPORT GLOBAL HOLDINGS LLC 1,900,000 2,000,000 22,548 2.C FE

G7334@-AW-3 RRPF ENGINE LEASING LTD SR SEC SER CC D 05/12/2021 SEAPORT GLOBAL HOLDINGS LLC 3,710,000 4,000,000 46,612 2.C FE

G7334@-AC-7 RRPF ENGINE LEASING LTD SR SEC SER K D 05/12/2021 SEAPORT GLOBAL HOLDINGS LLC 7,920,000 9,000,000 96,233 2.C FE

75003*-AA-7 RSM US LLP SER A SR NT 06/01/2021 U.S. BANCORP 6,000,000 6,000,000 2.A Z

75003*-AB-5 RSM US LLP SER B SR NT 06/01/2021 U.S. BANCORP 7,000,000 7,000,000 2.A Z

75003*-AC-3 RSM US LLP SER C SR NT 06/01/2021 U.S. BANCORP 10,000,000 10,000,000 2.A Z

78397P-AD-3 SA GLBL SUKUK LTD SR NT 144A D 06/09/2021 HSBC SECURITIES INC 200,000 200,000 1.F Z

79466L-AG-9 SALESFORCE.COM INC SR NT 06/29/2021 CITIGROUP GLOBAL MKT INC 399,796 400,000 1.F FE

80286X-AC-8 SANTANDER DRIVE AUTO REC 2021-2 CL A3 05/17/2021 ROYAL BANK OF CANADA 999,918 1,000,000 1.A FE

80286X-AD-6 SANTANDER DRIVE AUTO REC 2021-2 CL B 05/17/2021 ROYAL BANK OF CANADA 999,842 1,000,000 1.C FE

Y7563*-AC-1 SEASPAN HOLDCO III LTD SEC SER C D 05/21/2021 WELLS FARGO BANK, N.A. 26,000,000 26,000,000 2.C PL

Y7563*-AD-9 SEASPAN HOLDCO III LTD SEC SER D D 05/21/2021 WELLS FARGO BANK, N.A. 27,000,000 27,000,000 2.C PL

81748W-AU-0 SEQUOIA MTG TR 2021-4 CL A19 144A 05/06/2021 J P MORGAN SECURITIES INC 15,164,063 15,000,000 20,833 1.A FE

81748X-AU-8 SEQUOIA MTG TR 2021-5 CL A19 144A 06/21/2021 WELLS FARGO BANK, N.A. 15,051,563 15,000,000 29,167 1.A FE

E04.4



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


81881J-AC-6 SHACKLETON CLO LTD 2014-5RA CL A 144A D 06/28/2021 J P MORGAN SECURITIES INC 249,525 250,000 476 1.A FE

90228#-AA-1 SHORT HILLS CTL PTC 04/14/2021 DIRECT PLACEMENT 11,870,425 11,870,425 1.D Z

83088M-AJ-1 SKYWORKS SOLUTIONS INC SR NT 05/12/2021 J P MORGAN SECURITIES INC 849,745 850,000 2.C FE

83088M-AK-8 SKYWORKS SOLUTIONS INC SR NT 05/12/2021 J P MORGAN SECURITIES INC 299,856 300,000 2.C FE

83088M-AL-6 SKYWORKS SOLUTIONS INC SR NT 05/12/2021 J P MORGAN SECURITIES INC 1,095,754 1,100,000 2.C FE

78448T-AF-9 SMBC AVIATION CAPITAL FI CO GUARNT 144A D 06/08/2021 J P MORGAN SECURITIES INC 399,976 400,000 1.G FE

832248-AZ-1 SMITHFIELD FOODS INC CO GUARNT 144A 04/29/2021 VARIOUS 14,171,181 12,878,000 134,911 2.C FE

83368R-BD-3 SOCIETE GENERALE SR NT 144A D 06/02/2021 SOCIETE GENERALE 15,000,000 15,000,000 2.B FE

833794-AB-6 SODEXO INC CO GUARNT 144A C 04/12/2021 CITIGROUP SECURITIES INC 60,000,000 60,000,000 2.A FE

G1263@-AC-5 SOLOR BIOEN CAP SEC D 06/30/2021 DIRECT PLACEMENT 464,402 464,402 4.B PL

PPE92Q-T4-6 SOLOR BIOEN CAP SEC SER C D 06/18/2021 DIRECT PLACEMENT 4,786,513 4,859,404 4.B Z

PPEA2O-PT-7 SOLOR BIOEN HOLD SEC SER C D 06/30/2021 DIRECT PLACEMENT 5,735,768 5,735,768 4.B Z

83614B-AQ-2 SOUND POINT CLO LTD 2019-2A CL AR 144A D 05/14/2021 CREDIT SUISSE SECURITIES LLC 5,000,000 5,000,000 1.A FE

853254-CC-2 STANDARD CHARTER SR NT 144A D 06/22/2021 STANDARD CHARTERED BANK 8,000,000 8,000,000 1.F FE

85917P-AA-5 STERIS PLC CO GUARNT 05/10/2021 J P MORGAN SECURITIES INC 9,322,785 9,300,000 28,598 2.B FE

866677-AE-7 SUN COMMUNITIES CO GUARNT 06/17/2021 VARIOUS 26,657,156 26,800,000 2.C FE

86964W-AK-8 SUZANO AUSTRIA G CO GUARNT D 06/28/2021 BANK OF AMERICA NA 295,881 300,000 2.C FE

87190C-AW-0 TCW GEM LTD 2020-1A CL A1RR 144A D 05/10/2021 JEFFERIES LLC 10,000,000 10,000,000 1.A FE

88032W-BA-3 TENCENT HLDGS LTD SR NT 144A D 04/15/2021 GOLDMAN, SACHS & CO 199,982 200,000 1.E Z

88032W-BC-9 TENCENT HLDGS LTD SR NT 144A D 04/15/2021 MORGAN STANLEY CAPITAL SERVICES LLC 1,149,598 1,150,000 1.E FE

87264A-AX-3 T-MOBILE USA INC SR SEC 05/25/2021 EXCHANGE 4,904,780 5,000,000 24,306 2.C FE

87264A-BD-6 T-MOBILE USA INC SR SEC 05/25/2021 EXCHANGE 9,996,318 10,000,000 41,667 2.C FE

87264A-BF-1 T-MOBILE USA INC SR SEC 05/25/2021 EXCHANGE 39,738,357 40,000,000 172,222 2.C FE

87264A-BL-8 T-MOBILE USA INC SR SEC 05/25/2021 EXCHANGE 4,973,568 5,000,000 41,667 2.C FE

87264A-BN-4 T-MOBILE USA INC SR SEC 05/25/2021 EXCHANGE 14,830,004 15,000,000 137,500 2.C FE

87264A-BY-0 T-MOBILE USA INC SR SEC 05/25/2021 EXCHANGE 748,100 750,000 750 2.C FE

87264A-CA-1 T-MOBILE USA INC SR SEC 05/25/2021 EXCHANGE 5,451,430 5,450,000 31,035 2.C FE

L9082*-AT-6 TRAFIGURA FUNDING SA SER A SR NT D 04/28/2021 SOCIETE GENERALE 12,500,000 12,500,000 2.A Z

L9082*-AU-3 TRAFIGURA FUNDING SA SER B SR NT D 04/28/2021 SOCIETE GENERALE 12,500,000 12,500,000 2.A Z

89683L-AB-6 TRP 2021 LLC 2021-2 CL B 144A 05/25/2021 CREDIT SUISSE SECURITIES LLC 3,748,141 3,750,000 2.B FE

87267C-AA-6 TRP LLC 2021-1 CL A 144A 05/04/2021 CREDIT SUISSE SECURITIES LLC 16,996,481 17,000,000 1.F FE

87267C-AB-4 TRP LLC 2021-1 CL B 144A 05/04/2021 CREDIT SUISSE SECURITIES LLC 2,999,119 3,000,000 2.B FE

22970*-AB-6 TRT LEASECO BNSF RAILWAY CTL SEC 06/02/2021 DIRECT PLACEMENT 4,229,000 4,200,000 1.G Z

898813-AT-7 TUCSON ELEC PWR CO SR NT 05/06/2021 WELLS FARGO BANK, N.A. 9,914,800 10,000,000 1.G FE

G1262*-AE-4 TURIA HOLDCO SLU SEC D 06/18/2021 DIRECT PLACEMENT 2,497,944 2,497,944 4.C PL

902494-BD-4 TYSON FOODS INC SR NT 04/09/2021 DIRECT PLACEMENT 11,914,674 10,000,000 159,250 2.B FE

90932L-AG-2 UNITED AIRLINES INC SR SEC 144A 04/26/2021 VARIOUS 10,108,750 10,000,000 2,552 3.B FE

90932L-AH-0 UNITED AIRLINES INC SR SEC 144A 04/20/2021 VARIOUS 12,191,250 12,000,000 385 3.B FE

911312-BQ-8 UNITED PARCEL SERVICE SR NT 04/09/2021 DIRECT PLACEMENT 12,080,958 10,000,000 27,153 1.G FE

91824N-BL-5 UNITED WHOLSALE MTG 2021-1 CL A15 144A 05/27/2021 J P MORGAN SECURITIES INC 4,701,572 4,676,000 10,716 1.B FE

91889F-AA-9 VALARIS LTD SR SEC 144A 04/30/2021 DIRECT PLACEMENT 2,318,000 2,318,000 4.C FE

G9460G-AA-9 VALARIS LTD SR SEC SER 1145 04/30/2021 DIRECT PLACEMENT 2,249,000 2,249,000 4.C FE

PPEB2B-WN-8 VALARIS PLC SEC D 04/01/2021 TRADE ADJUSTMENT (4,571,000) (4,571,000) 4.B Z

91913Y-AW-0 VALERO ENERGY CORP SR NT 04/09/2021 DIRECT PLACEMENT 21,926,620 20,000,000 15,556 2.B FE

92852L-AA-7 VITERRA FINANCE BV CO GUARNT 144A D 05/27/2021 BARCLAYS CAPITAL INC 24,253,542 24,320,000 11,156 2.C FE

92852L-AB-5 VITERRA FINANCE BV CO GUARNT 144A D 05/11/2021 VARIOUS 7,762,172 7,800,000 5,476 2.C FE

928881-AC-5 VONTIER CORP SR NT 144A 06/04/2021 MORGAN STANLEY CAPITAL SERVICES LLC 9,930,600 10,000,000 58,667 2.C FE

931427-AC-2 WALGREENS BOOTS ALLIANCE CO GUARNT 04/09/2021 DIRECT PLACEMENT 11,238,254 10,000,000 186,667 2.B FE

254687-FM-3 WALT DISNEY CO/THE CO GUARNT 05/26/2021 MITSUBISHI TRUST & BANKING CORPORATION 4,677,400 5,000,000 33,229 2.A FE

94876Q-AA-4 WEIR GRP PLC SR NT 144A D 05/07/2021 VARIOUS 56,417,031 56,400,000 3.A FE

95000U-2M-4 WELLS FARGO & CO SR NT MTN DTD 03/30/20 04/09/2021 DIRECT PLACEMENT 12,977,378 10,000,000 5,570 2.A FE

95003C-AW-0 WELLS FARGO COMMERCIAL MTG 2021-C59 CL C 04/22/2021 WELLS FARGO BANK, N.A. 12,998,947 13,000,000 4,744 1.G FE

95058X-AL-2 WENDYS FUNDING LLC 2021-1A CL A2II 144A 06/15/2021 GUGGENHEIM CAPITAL MARKETS 25,000,000 25,000,000 2.B FE

Q9609*-AA-6 WESTCONNEX FINANCE COMPANY SEC D 06/15/2021 NATIONAL AUSTRALIA BANK LIMITED 10,000,000 10,000,000 2.A FE

Q9609*-AB-4 WESTCONNEX FINANCE COMPANY SEC D 06/15/2021 NATIONAL AUSTRALIA BANK LIMITED 5,000,000 5,000,000 2.A FE

E04.5



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


949723-AA-8 WLLMN 2021-1A CL A 144A D 05/10/2021 MORGAN STANLEY CAPITAL SERVICES LLC 13,000,000 13,000,000 1.A FE

74936R-AW-4 WOODWARD CAP MGMT 2021-2 CL A21 144A 06/22/2021 BANK OF AMERICA NA 4,013,125 4,000,000 6,667 1.A FE

98978V-AS-2 ZOETIS INC SR NT 06/23/2021 BNP PARIBAS SECURITIES CORP 3,468,920 3,500,000 7,778 2.B FE

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 3,552,047,694 3,520,408,086 6,380,518 XXX02376C-BJ-3 AADVANTAGE LOYALTY IP TL 05/24/2021 BARCLAYS CAPITAL INC 2,070,000 2,000,000 3.B FE

00117@-AA-6 AFC-DELL HOLDING CORP MML 04/09/2021 DIRECT PLACEMENT 4,213,506 4,256,066 3.B PL

04010#-AB-2 ARGANO LLC MML 06/10/2021 DIRECT PLACEMENT 3,416,280 3,450,788 3.A PL

05516H-AF-5 B2B/AMW ACQUISITION CO DDTL II 06/30/2021 DIRECT PLACEMENT 2,115,768 2,147,988 2.A PL

11244@-AE-1 BROOK & WHITTLE HLDG 6TH MML 04/16/2021 DIRECT PLACEMENT 247,893 250,397 3.A PL

11565H-AB-2 BROWN GRP HOLDING LLC TL B 06/09/2021 ROYAL BANK OF CANADA 744,375 750,000 4.A FE

40416V-AB-1 CORE & MAIN LP TL 04/26/2021 J P MORGAN SECURITIES INC 1,984,762 1,994,832 4.B FE

21925E-AD-9 CORNERSTONE ADVISORS, LLC DDTL 06/24/2021 DIRECT PLACEMENT 127,157 127,796 2.C PL

23340D-AP-7 CUSHMAN & WAKEFIELD US TL B 05/28/2021 J P MORGAN SECURITIES INC 1,474,500 1,500,000 4.A FE

25272Y-AE-3 DIAMOND RESORTS INTERNATIONAL TL B 06/17/2021 VARIOUS 3,000,471 2,994,859 4.C FE

26483N-AN-0 DUN & BRADSTREET CORP TL B 06/15/2021 MORGAN STANLEY CAPITAL SERVICES LLC 1,523,855 1,527,675 4.A FE

BLA06Q-KB-2 GABRIEL PARTNERS LLC INCREMENTAL MML 06/30/2021 DIRECT PLACEMENT 1,661,934 1,678,721 4.B Z

37233#-AD-9 GENNX/PAG ACQUI/PRECISION AVIATION DDTL 05/21/2021 DIRECT PLACEMENT 2,208,237 2,219,334 3.A PL

37233#-AC-1 GENNX/PAG ACQUI/PRECISION AVIATION TL 05/14/2021 EXCHANGE/VARIOUS 5,039,098 5,089,998 3.A PL

45063#-AA-3 ITS BUYER INC MML 06/14/2021 DIRECT PLACEMENT 6,678,848 6,746,311 2.A PL

G5080A-AF-9 JAZZ FINANCING LUX SARL CO TL 05/17/2021 BANK OF AMERICA NA 995,000 855,807 3.B FE

47630E-AK-4 JENSEN HUGHES INCREMENTAL DDTL 06/25/2021 DIRECT PLACEMENT 307,310 307,310 3.C PL

50024P-AA-9 KOHLBERG INVESTORS IX LP 06/30/2021 DIRECT PLACEMENT 2,682,595 2,682,595 2.A PL

55759V-AB-4 MADISON IAQ LLC TL 06/28/2021 GOLDMAN, SACHS & CO 248,750 250,000 4.B FE

57777P-AE-5 MAVIS TIRE EXPRESS SERVICES TL B-2 04/09/2021 JEFFERIES LLC 1,825,296 1,823,017 4.C FE

55292S-AF-6 MBS HLDGS INCRMNTL MML 04/16/2021 DIRECT PLACEMENT 8,419,134 8,504,176 3.A PL

BLA06Q-K5-5 MC GRP VENTURES CORPORATION MML 06/30/2021 DIRECT PLACEMENT 6,092,308 6,153,846 4.B Z

647561-AA-7 NEW MOUNTAIN PARTNERS VI LP TL 06/30/2021 DIRECT PLACEMENT 245,240,867 245,240,867 1.D Z

665730-A*-8 NORTHERN STAR INDUSTRIES 06/23/2021 DIRECT PLACEMENT 728,885 732,547 3.B PL

69338C-AH-4 PG&E CORP TL 04/29/2021 J P MORGAN SECURITIES INC 2,996,250 3,000,000 3.C FE

73108R-AB-4 POLARIS NEWCO LLC TL B 06/11/2021 GOLDMAN, SACHS & CO 497,500 500,000 4.C FE

BLA06P-WA-3 PROTEIN FOR PETS OPCO LLC 1ST AMENDMENT 06/15/2021 DIRECT PLACEMENT 3,737,679 3,756,462 4.B Z

74376@-AA-7 PROTEIN FOR PETS OPCO MML 06/15/2021 DIRECT PLACEMENT 3,294,986 3,303,244 2.C PL

74908J-AB-2 QUOROM HEALTH RESOURCES LLC MML 05/28/2021 DIRECT PLACEMENT 6,431,278 6,496,241 4.B Z

76121Q-AG-1 RESOURCE LABEL GRP 8TH AMEND AQUIS DDTL 05/03/2021 DIRECT PLACEMENT 1,423,710 1,423,710 3.C PL

L8030P-AK-4 SAMSONITE IP HLDGS TL B2 04/19/2021 MORGAN STANLEY CAPITAL SERVICES LLC 1,008,709 997,487 4.A FE

80864F-AB-9 SCIENS BUILDING SOLUTIONS MML 06/01/2021 DIRECT PLACEMENT 5,466,518 5,535,714 4.B Z

82087U-AL-1 SHEARER'S FOODS LLC TL B 04/08/2021 CREDIT SUISSE SECURITIES LLC 1,272,757 1,272,757 4.C FE

78484*-AA-9 SPI LLC MML 05/18/2021 DIRECT PLACEMENT 379,572 383,406 2.C PL

78466Y-AN-8 SRS DISTRIBUTION INC TL B 06/09/2021 VARIOUS 3,561,013 3,573,292 4.C FE

90251@-AA-3 TYTO ATHENE, LLC MML 04/13/2021 DIRECT PLACEMENT 3,730,055 3,767,732 2.C PL

90932R-AJ-3 UNITED AIRLINES INC TL B 05/12/2021 J P MORGAN SECURITIES INC 2,047,500 2,000,000 3.B FE

92276A-AK-7 VENSURE EMPLOYER SVCS MML TERM B 04/01/2021 DIRECT PLACEMENT 5,437,179 5,492,100 2.A PL

92531H-AD-9 VERSCEND HOLDING CORP TL B 04/15/2021 J P MORGAN SECURITIES INC 4,021,875 4,000,000 4.A FE

G9368P-BE-3 VIRGIN MEDIA BRISTOL LLC TL B C 06/07/2021 BANK OF NOVA SCOTIA 1,477,500 1,500,000 3.C FE

94184#-AA-5 WATERMILL EXPRESS LLC MML 04/20/2021 DIRECT PLACEMENT 2,726,908 2,754,453 3.B PL

03769D-AA-4 APIS GROWTH FUND II LP TL A1 D 04/01/2021 DIRECT PLACEMENT 10,535,031 323,216 1.E Z

03769D-AB-2 APIS GROWTH FUND II LP TL B1 D 06/01/2021 DIRECT PLACEMENT 5,169,807 5,328,417 1.E Z

03769D-AC-0 APIS GROWTH FUND II LP TL C1 D 06/17/2021 DIRECT PLACEMENT 10,582,716 1.E Z

03783W-AC-0 APPIAN NATURAL RES FUND TL I D 06/18/2021 DIRECT PLACEMENT 2,904,000 25,000,000 1.E Z

8299999. Subtotal - Bonds - Unaffiliated Bank Loans 381,749,371 383,693,160 XXX

8399997. Total - Bonds - Part 3 3,944,210,442 3,914,601,247 6,380,528 XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX

8399999. Total - Bonds 3,944,210,442 3,914,601,247 6,380,528 XXX

E04.6



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


8999997. Total - Preferred Stocks - Part 3 XXX XXX

8999998. Total - Preferred Stocks - Part 5 XXX XXX XXX XXX

8999999. Total - Preferred Stocks XXX XXXG9460G-10-1 VALARIS LTD 04/30/2021 EXCHANGE 438,466.000 9,641,867

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Publicly Traded 9,641,867 XXX XXX313786-10-5 FHLB TOPEKA CLASS A 04/01/2021 EXCHANGE 206.000 20,600

313786-2#-1 FHLB TOPEKA CLASS B 06/30/2021 DIVIDEND REINVESTMENT 985.000 98,500

9199999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Other 119,100 XXX XXX69447T-36-7 PACIFIC FUNDS ESG CORE BND FND ADV CLASS 06/30/2021 DIVIDEND REINVESTMENT 3,437.680 33,738

69447T-37-5 PACIFIC FUNDS ESG CORE BOND FUND CLASS I 06/30/2021 DIVIDEND REINVESTMENT 3,425.660 33,620

69480V-49-3 PSF ESG DIVERSIFIED PORTFOLIO CLASS I 04/29/2021 DIRECT PLACEMENT 990,000.000 9,900,000

9299999. Subtotal - Common Stocks - Parent, Subsidiaries and Affiliates Publicly Traded 9,967,359 XXX XXX69448A-21-9 PACIFIC FUNDS ULTRA SHORT INCOME CLASS D 06/30/2021 DIVIDEND REINVESTMENT 2,359.600 23,785

69448A-22-7 PACIFIC FUNDS ULTRA SHORT INCOME CLASS I 06/30/2021 DIVIDEND REINVESTMENT 2,359.720 23,786

69480V-48-5 PSF ESG DIVERSIFIED PORTFOLIO CLASS P 04/29/2021 DIRECT PLACEMENT 10,000.000 100,000

69480V-52-7 PSF HEDGE EQUITY PORTFOLIO CLASS I 04/29/2021 DIRECT PLACEMENT 1,490,000.000 14,900,000

69480V-51-9 PSF HEDGE EQUITY PORTFOLIO CLASS P 04/29/2021 DIRECT PLACEMENT 10,000.000 100,000

9399999. Subtotal - Common Stocks - Parent, Subsidiaries and Affiliates Other 15,147,571 XXX XXX

9799997. Total - Common Stocks - Part 3 34,875,897 XXX XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX

9799999. Total - Common Stocks 34,875,897 XXX XXX

9899999. Total - Preferred and Common Stocks 34,875,897 XXX XXX

9999999 - Totals 3,979,086,339 XXX 6,380,528 XXX

E04.7


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


38374M-DY-2 GNMA 2005-75 CL ZA Z BOND 06/01/2021 SCHEDULED REDEMPTION 804,421 804,421 747,913 779,156 25,265 25,265 804,421 18,554 10/01/2035 1.A

38374E-HT-7 GNMA SER 2003-105 CL Z 06/01/2021 SCHEDULED REDEMPTION 749,647 749,647 623,015 687,126 62,520 62,520 749,647 15,603 11/01/2033 1.A

38374E-G9-2 GNMA SER 2003-113 CL ZA 06/01/2021 SCHEDULED REDEMPTION 1,179,257 1,179,257 998,884 1,074,615 104,642 104,642 1,179,257 24,937 12/01/2033 1.A

38381Y-UF-9 GOVT NATIONAL MTG A 2019-115 CL FE 06/20/2021 SCHEDULED REDEMPTION 4,519,774 4,519,774 4,505,650 4,508,832 10,943 10,943 4,519,774 11,283 09/20/2049 1.A

38381Y-UM-4 GOVT NATIONAL MTG A 2019-115 CL FG 06/20/2021 SCHEDULED REDEMPTION 3,905,309 3,905,309 3,889,444 3,891,432 13,877 13,877 3,905,309 10,530 09/20/2049 1.A

38381Y-VE-1 GOVT NATIONAL MTG A 2019-115 CL UF 06/20/2021 SCHEDULED REDEMPTION 2,754,282 2,754,282 2,743,093 2,744,486 9,796 9,796 2,754,282 7,428 09/20/2049 1.A

38382A-XM-2 GOVT NATIONAL MTG A 2019-137 CL FE 06/20/2021 SCHEDULED REDEMPTION 4,300,143 4,300,143 4,294,768 4,297,037 3,107 3,107 4,300,143 11,641 11/20/2049 1.A

38382A-ZK-4 GOVT NATIONAL MTG A 2019-143 CL AF 06/20/2021 SCHEDULED REDEMPTION 4,054,018 4,054,018 4,049,584 4,051,824 2,194 2,194 4,054,018 10,831 11/20/2049 1.A

38382A-ZQ-1 GOVT NATIONAL MTG A 2019-143 CL JF 06/20/2021 SCHEDULED REDEMPTION 3,636,513 3,636,513 3,631,967 3,634,596 1,917 1,917 3,636,513 9,903 11/20/2049 1.A

83162C-RS-4 SBAP 2008-20D CL 1 04/01/2021 SCHEDULED REDEMPTION 357,120 357,120 357,120 357,120 357,120 9,589 04/01/2028 1.A

912810-SJ-8 US TREASURY NT 04/07/2021 VARIOUS 8,864,531 9,000,000 8,798,086 8,803,442 1,272 1,272 8,804,714 59,817 59,817 129,779 08/15/2049 1.A

912828-S2-7 US TREASURY NT 06/30/2021 MATURED 1,000,000 1,000,000 991,719 997,741 2,259 2,259 1,000,000 5,625 06/30/2021 1.A

912828-ZE-3 US TREASURY NT 05/25/2021 J P MORGAN SEC INC 980,000 1,000,000 1,002,930 1,002,626 (164) (164) 1,002,462 (22,462) (22,462) 4,081 03/31/2027 1.A

912828-ZV-5 US TREASURY NT 05/25/2021 J P MORGAN SEC INC 968,047 1,000,000 1,000,195 1,000,182 (11) (11) 1,000,171 (32,124) (32,124) 2,017 06/30/2027 1.A

911760-EJ-1 VENDEE MORTGAGE TRUST 1994-2 CL 3ZB 06/01/2021 SCHEDULED REDEMPTION 48,383 48,383 46,005 47,932 451 451 48,383 1,490 06/01/2024 1.A

0599999. Subtotal - Bonds - U.S. Governments 38,121,445 38,308,867 37,680,373 37,878,145 238,068 238,068 38,116,214 5,231 5,231 273,290 XXX XXX669827-DL-8 NOVA SCOTIA PROV DEB A 05/01/2021 MATURED 5,000,000 5,000,000 5,212,600 5,006,616 (6,616) (6,616) 5,000,000 228,125 05/01/2021 1.D FE

715638-DT-6 REPUBLIC OF PERU SR NT D 06/01/2021 TRANSFER TO SA 4,831,150 5,000,000 4,830,450 700 700 4,831,150 39,938 03/10/2051 2.A FE

1099999. Subtotal - Bonds - All Other Governments 9,831,150 10,000,000 10,043,050 5,006,616 (5,917) (5,917) 9,831,150 268,063 XXX XXX35826#-AA-2 FRESNO COUNTY TRUST III CTL SER 2020 06/15/2021 SCHEDULED REDEMPTION 40,301 40,301 40,301 40,301 40,301 771 08/15/2039 1.D

89917*-AA-3 TULARE COUNTY II CTL PTC 06/25/2021 SCHEDULED REDEMPTION 821 821 830 829 (8) (8) 821 14 08/25/2045 1.D

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 41,122 41,122 41,130 41,130 (8) (8) 41,122 785 XXX XXX31393Y-AT-2 FANNIE MAE SER 2004-31 CL Z 06/01/2021 SCHEDULED REDEMPTION 655,603 655,603 558,288 617,617 37,986 37,986 655,603 14,216 05/01/2034 1.A

31393X-V8-7 FANNIE MAE SER 2004-35 CL AZ 06/01/2021 SCHEDULED REDEMPTION 520,451 520,451 435,442 480,300 40,151 40,151 520,451 10,997 05/01/2034 1.A

31393G-V3-5 FHLMC 2533- CL Z 06/01/2021 SCHEDULED REDEMPTION 169,463 169,463 162,531 165,457 4,007 4,007 169,463 4,348 12/01/2032 1.A

31394R-TP-4 FHLMC 2766 CL ZD 06/01/2021 SCHEDULED REDEMPTION 264,455 264,455 238,442 253,032 11,423 11,423 264,455 6,295 03/01/2034 1.A

31395H-RC-6 FHLMC 2870 CL VZ 06/01/2021 SCHEDULED REDEMPTION 1,415,610 1,415,610 1,312,869 1,371,599 44,011 44,011 1,415,610 33,139 10/01/2034 1.A

3137BQ-UP-0 FHLMC 4601- CL NK 04/06/2021 VARIOUS 14,259,440 14,006,259 13,842,670 13,862,464 14,799 14,799 13,877,263 382,177 382,177 92,138 09/01/2045 1.A

3137FP-WL-5 FHLMC 4931- CL FJ 06/25/2021 SCHEDULED REDEMPTION 5,581,814 5,581,814 5,563,499 5,566,376 15,438 15,438 5,581,814 14,891 11/25/2049 1.A

3137FQ-HH-9 FHLMC 4936- CL EF 06/25/2021 SCHEDULED REDEMPTION 3,148,942 3,148,942 3,140,085 3,141,217 7,725 7,725 3,148,942 9,076 12/25/2049 1.A

3137FQ-JW-4 FHLMC 4936- CL FL 06/25/2021 SCHEDULED REDEMPTION 5,619,083 5,619,083 5,603,279 5,605,716 13,366 13,366 5,619,083 16,124 12/25/2049 1.A

3137FR-DX-6 FHLMC 4954- CL KE 04/06/2021 VARIOUS 23,139,586 23,149,999 23,575,923 23,530,194 (33,660) (33,660) 23,496,534 (356,948) (356,948) 122,347 02/01/2050 1.A

3137FR-2N-0 FHLMC 4954- CL LB 06/01/2021 VARIOUS 24,159,816 23,314,965 23,500,756 23,477,184 (24,982) (24,982) 23,452,201 707,614 707,614 208,684 02/01/2050 1.A

3137FW-DY-3 FHLMC 5009- CL MB 06/01/2021 SCHEDULED REDEMPTION 6,939,498 6,939,498 7,043,590 7,044,091 (104,594) (104,594) 6,939,498 40,775 08/01/2047 1.A

3137F9-WS-6 FHLMC 5070- CL DP 06/01/2021 SCHEDULED REDEMPTION 2,080,149 2,080,149 2,078,930 1,219 1,219 2,080,149 8,125 08/01/2050 1.A

3128MJ-X8-8 FHLMC PASS THRU SGL FAMILY #G08702 06/01/2021 SCHEDULED REDEMPTION 1,827,698 1,827,698 1,925,651 1,915,898 (88,200) (88,200) 1,827,698 29,801 04/01/2046 1.A

3132D5-6C-1 FHLMC PASS THRU SGL FAMILY #SB8067 06/01/2021 SCHEDULED REDEMPTION 6,306,946 6,306,946 6,476,304 6,467,855 (160,910) (160,910) 6,306,946 44,260 09/01/2035 1.A

312909-PE-8 FHLMC SER 1249 CL A LIBOR +60BPS 06/15/2021 SCHEDULED REDEMPTION 53 53 53 53 53 0 04/15/2022 1.A

31394P-PA-5 FHLMC SER 2755 CL ZM 06/01/2021 SCHEDULED REDEMPTION 208,188 208,188 193,648 201,667 6,521 6,521 208,188 4,969 02/01/2034 1.A

31397B-SF-9 FHLMC SER 3227 CL PT 06/01/2021 SCHEDULED REDEMPTION 523,081 523,081 503,629 516,479 6,602 6,602 523,081 13,524 10/01/2036 1.A

31396G-BS-9 FHLMC SERIES 3087 CL NZ 06/01/2021 SCHEDULED REDEMPTION 132,756 132,756 106,338 120,595 12,161 12,161 132,756 2,784 12/01/2035 1.A

3133TP-6Q-7 FHR 2235 TZ COIN PROGRAM 06/01/2021 SCHEDULED REDEMPTION 3,095 3,095 2,587 2,815 281 281 3,095 95 06/01/2030 1.A

31393E-N8-8 FNMA 2003-86 CL ZJ 06/01/2021 SCHEDULED REDEMPTION 378,548 378,548 360,017 370,915 7,632 7,632 378,548 9,759 09/01/2033 1.A

31394C-JW-3 FNMA 2005-12 CL CZ 06/01/2021 SCHEDULED REDEMPTION 220,513 220,513 210,042 216,263 4,249 4,249 220,513 5,188 03/01/2035 1.A

31394C-6F-4 FNMA 2005-30 CL Z 06/01/2021 SCHEDULED REDEMPTION 137,816 137,816 126,424 132,593 5,223 5,223 137,816 3,278 04/01/2035 1.A

31394C-U5-9 FNMA 2005-34 CL PE 06/01/2021 SCHEDULED REDEMPTION 46,122 46,122 44,906 45,654 469 469 46,122 1,198 04/01/2035 1.A

31394D-QR-4 FNMA 2005-40 CL Z 06/01/2021 SCHEDULED REDEMPTION 409,871 409,871 351,825 387,123 22,748 22,748 409,871 8,750 05/01/2035 1.A

31394V-N5-5 FNMA 2006-13 CL ZA 06/01/2021 SCHEDULED REDEMPTION 250,195 250,195 236,693 243,814 6,380 6,380 250,195 6,637 03/01/2036 1.A

31396K-3E-0 FNMA 2006-84 CL YP 06/01/2021 SCHEDULED REDEMPTION 452,381 452,381 435,116 446,536 5,844 5,844 452,381 11,671 09/01/2036 1.A

3136B4-SB-5 FNMA 2019-24 CL FA 06/25/2021 SCHEDULED REDEMPTION 2,059,254 2,059,254 2,052,175 2,053,405 5,848 5,848 2,059,254 5,503 05/25/2049 1.A

3136B4-WA-2 FNMA 2019-26 CL FG 06/25/2021 SCHEDULED REDEMPTION 2,036,604 2,036,604 2,033,421 2,034,408 2,195 2,195 2,036,604 5,422 06/25/2049 1.A

3136B5-AM-7 FNMA 2019-30 CL FA 06/25/2021 SCHEDULED REDEMPTION 3,413,850 3,413,850 3,411,716 3,412,113 1,737 1,737 3,413,850 9,087 07/25/2049 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


3136B4-5C-8 FNMA 2019-33 CL FB 06/25/2021 SCHEDULED REDEMPTION 3,240,904 3,240,904 3,238,878 3,239,301 1,602 1,602 3,240,904 8,637 07/25/2049 1.A

3136B5-GH-2 FNMA 2019-35 CL FB 06/25/2021 SCHEDULED REDEMPTION 1,427,140 1,427,140 1,425,356 1,425,745 1,395 1,395 1,427,140 3,855 07/25/2049 1.A

3136B5-GL-3 FNMA 2019-35 CL FE 06/25/2021 SCHEDULED REDEMPTION 2,687,142 2,687,142 2,674,546 2,676,673 10,468 10,468 2,687,142 5,942 07/25/2049 1.A

3136B6-WD-1 FNMA 2019-60 CL F 06/25/2021 SCHEDULED REDEMPTION 2,097,731 2,097,731 2,089,209 2,090,330 7,401 7,401 2,097,731 5,558 10/25/2049 1.A

3136B7-PZ-8 FNMA 2019-73 CL FD 06/25/2021 SCHEDULED REDEMPTION 1,484,177 1,484,177 1,478,147 1,478,959 5,217 5,217 1,484,177 3,932 12/25/2049 1.A

3136B7-S3-6 FNMA 2019-78 CL DE 04/06/2021 VARIOUS 25,895,572 25,422,219 26,009,115 26,177,805 (197,009) (197,009) 25,980,796 (85,224) (85,224) 171,417 11/01/2049 1.A

3136BB-GY-2 FNMA 2020-54 CL PC 06/01/2021 VARIOUS 24,137,746 24,196,585 24,708,872 24,668,177 (119,847) (119,847) 24,548,330 (410,583) (410,583) 161,617 08/01/2050 1.A

31371H-F9-4 FNMA PASS THRU #252292 COIN PROGRAM 06/01/2021 SCHEDULED REDEMPTION 4,781 4,781 4,739 4,750 31 31 4,781 136 12/01/2028 1.A

31371H-GA-0 FNMA PASS THRU #252293 COIN PROGRAM 06/01/2021 SCHEDULED REDEMPTION 404 404 409 408 (4) (4) 404 12 12/01/2028 1.A

31418C-RD-8 FNMA PASS THRU SGL FAMILY #MA3183 06/01/2021 SCHEDULED REDEMPTION 640,837 640,837 663,967 668,427 (27,590) (27,590) 640,837 11,993 11/01/2047 1.A

31418C-S5-4 FNMA PASS THRU SGL FAMILY #MA3239 06/01/2021 SCHEDULED REDEMPTION 1,812,064 1,812,064 1,878,884 1,889,716 (77,652) (77,652) 1,812,064 33,841 01/01/2048 1.A

31358J-B7-5 FNMA REMIC TR 1991-132 CL Z Z PAC CMO 06/01/2021 SCHEDULED REDEMPTION 1,471 1,471 1,302 1,464 7 7 1,471 55 10/01/2021 1.A

31393Y-WN-1 FNMA SER 2004-45 CL Z 06/01/2021 SCHEDULED REDEMPTION 832,438 832,438 659,770 755,254 77,185 77,185 832,438 17,486 06/01/2034 1.A

31394A-M3-7 FNMA SER 2004-67 CL ZA 06/01/2021 SCHEDULED REDEMPTION 674,697 674,697 564,868 629,434 45,263 45,263 674,697 14,316 09/01/2034 1.A

31394A-R6-5 FNMA SER 2004-74 CL ZB 06/01/2021 SCHEDULED REDEMPTION 272,963 272,963 230,739 254,105 18,858 18,858 272,963 5,827 10/01/2034 1.A

31394B-HW-7 FNMA SER 2004-83 CL ZB 06/01/2021 SCHEDULED REDEMPTION 264,886 264,886 222,693 247,290 17,596 17,596 264,886 5,590 11/01/2034 1.A

31394M-K4-1 FREDDIE MAC CMO SERIES 2714 CL CZ 06/01/2021 SCHEDULED REDEMPTION 414,131 414,131 372,772 396,940 17,191 17,191 414,131 9,400 12/01/2033 1.A

31394L-QP-0 FREDDIE MAC SER 2698 CL MZ 06/01/2021 SCHEDULED REDEMPTION 280,117 280,117 241,939 265,972 14,144 14,144 280,117 6,157 11/01/2033 1.A

31394X-F6-8 FREDDIE MAC SER 2781 CL ZC 06/01/2021 SCHEDULED REDEMPTION 772,966 772,966 643,817 720,918 52,049 52,049 772,966 16,737 04/01/2034 1.A

359900-3X-3 FULTON CNTY GA DEV AUTH TAXBLE SER B 04/01/2021 CALLED @ 100.000 265,000 265,000 265,068 265,021 (2) (2) 265,019 (19) (19) 8,125 04/01/2025 5.B GI

46670#-AA-6 JLL SECURITIES SEC SER 2020-50 06/15/2021 SCHEDULED REDEMPTION 77,088 77,088 78,244 78,239 (1,151) (1,151) 77,088 1,233 11/15/2040 1.A Z

485428-ZX-7 KANSAS ST DEV AUTH SER C FSA REV 05/01/2021 CALLED @ 100.000 805,000 805,000 805,000 805,000 805,000 21,618 05/01/2026 1.D FE

54438C-YS-5 LOS ANGELES CA CMNTY CLG DIST 06/01/2021 TRANSFER TO SA 17,500,000 17,500,000 17,500,000 17,500,000 17,500,000 242,903 08/01/2035 1.B FE

626207-YF-5 MUNICIPAL ELEC AUTH GA PROJ J BAB 04/01/2021 CALLED @ 100.000 106,000 106,000 106,000 106,000 106,000 3,518 04/01/2057 2.A FE

626207-YM-0 MUNICIPAL ELEC AUTH GA PROJ M BAB 04/01/2021 CALLED @ 100.000 162,000 162,000 163,147 163,017 (6) (6) 163,010 (1,010) (1,010) 5,391 04/01/2057 1.F FE

880461-YL-6 TENNESSEE HSG DEV AGY RSDL FIN 06/01/2021 CALLED @ 100.000 505,000 505,000 508,873 508,235 (137) (137) 508,098 (3,098) (3,098) 17,500 07/01/2044 1.B FE

3199999. Subtotal - Bonds - U.S. Special Revenues 192,723,133 191,220,999 192,063,202 190,700,613 (289,319) (289,319) 192,490,225 232,908 232,908 1,525,880 XXX XXX53948K-AA-7 2020-2GF CL A 144A C 06/20/2021 SCHEDULED REDEMPTION 145,564 145,564 145,503 145,504 61 61 145,564 1,889 07/20/2047 1.F FE

00287Y-AX-7 ABBVIE INC SR NT 06/25/2021 DEUTSCHE BANK SEC INC 260,188 250,000 262,685 (2,379) (2,379) 260,306 (118) (118) 4,453 05/14/2023 2.B FE

00287Y-AY-5 ABBVIE INC SR NT 04/07/2021 GOLDMAN, SACHS & CO 4,472,609 4,133,000 4,231,621 4,215,728 (3,905) (3,905) 4,211,823 260,785 260,785 53,270 05/14/2026 2.B FE

00289L-AA-3 ABENGOA TRANSMISION SUR SR SEC 144A D 04/30/2021 SCHEDULED REDEMPTION 87,000 87,000 86,996 86,996 4 4 87,000 2,991 04/30/2043 2.B FE

00507V-AQ-2 ACTIVISION BLIZZARD SR NT 06/24/2021 U.S. BANCORP 1,330,755 1,500,000 1,495,875 1,495,911 46 46 1,495,957 (165,202) (165,202) 33,125 09/15/2050 2.A FE

005117-AA-4 ACWA PWR MGMT INVST SR SEC 144A D 06/15/2021 SCHEDULED REDEMPTION 21,400 21,400 21,400 21,400 21,400 637 12/15/2039 2.C FE

00654U-AA-0 ADANI INTL CONT SR SEC 144A D 06/01/2021 TRANSFER TO SA 7,000,000 7,000,000 7,000,000 7,000,000 7,000,000 93,917 02/16/2031 2.C FE

007034-AF-8 ADJUSTABLE RATE MTG TR 2006-2 CL 2A2 06/01/2021 SCHDLD REDM/PRIN LOSS 84,405 166,882 140,146 84,405 84,405 2,563 05/01/2036 5.B FM

00766T-AD-2 AECOM CO GUARNT 04/13/2021 TENDER @ 114.625 5,731,250 5,000,000 5,000,000 5,000,000 5,000,000 876,493 10/15/2024 3.C FE

00111@-AA-2 AES HAWAII INC SR SEC NT 06/30/2021 SCHEDULED REDEMPTION 666,700 666,700 666,700 666,700 666,700 22,901 06/30/2022 5.C

00105Q-AA-4 AES US GENERATION HLDGS LLC SR UNSEC NTS 05/31/2021 SCHEDULED REDEMPTION 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 20,850 11/30/2023 2.C PL

00841X-AD-2 AGATE BAY MTG LOAN TR 2015-2 A4 06/01/2021 SCHEDULED REDEMPTION 1,051,885 1,051,885 1,067,499 1,062,889 (11,005) (11,005) 1,051,885 17,163 03/01/2045 1.A FM

00841Y-AD-0 AGATE BAY MTG LOAN TR 2015-3 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 928,501 928,501 951,713 944,285 (15,784) (15,784) 928,501 14,728 04/01/2045 1.A FM

00842A-AD-1 AGATE BAY MTG LOAN TR 2015-4 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 1,933,870 1,933,870 1,935,793 1,934,980 (1,111) (1,111) 1,933,870 31,604 06/01/2045 1.A FM

00842B-AC-1 AGATE BAY MTG LOAN TR 2015-5 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,368,727 1,368,727 1,381,773 1,377,749 (9,022) (9,022) 1,368,727 21,911 07/01/2045 1.A FM

00842E-AC-5 AGATE BAY MTG LOAN TR 2016-2 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 878,044 878,044 894,767 891,686 (13,642) (13,642) 878,044 14,227 03/01/2046 1.A FM

00842V-AC-7 AGATE BAY MTG LOAN TR 2016-3 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,089,052 1,089,052 1,103,755 1,099,932 (10,879) (10,879) 1,089,052 17,531 05/01/2037 1.A FM

00846U-AH-4 AGILENT TECHNOLOGIES INC SR NT 04/05/2021 CALLED @ 104.185 7,815,959 7,502,000 7,487,146 7,499,060 445 445 7,499,506 2,494 2,494 436,658 10/01/2022 2.A FE

00928Q-AU-5 AIRCASTLE LTD SR NT 144A 05/03/2021 STIFEL, NICOLAUS & CO 294,476 300,000 295,629 151 151 295,780 (1,304) (1,304) 2,294 01/26/2028 2.C FE

01185*-AA-3 ALASKA VENTURES LLC SR SEC NT 06/30/2021 SCHEDULED REDEMPTION 357,995 357,995 357,995 357,995 357,995 8,359 06/30/2033 2.C PL

01185*-AB-1 ALASKA VENTURES LLC SR SEC NT 06/30/2021 SCHEDULED REDEMPTION 51,271 51,271 51,271 51,271 51,271 1,197 06/30/2033 2.C PL

01626P-AJ-5 ALIMENTATION COUCHE-TARD CO GUARNT 144A A 05/14/2021 CALLED @ 102.767 770,753 750,000 757,115 749,771 6,215 6,215 755,985 (5,985) (5,985) 33,578 07/26/2022 2.B FE

01748N-AE-4 ALLEGION US HOLDING CO GUARNT 04/07/2021 GOLDMAN, SACHS & CO 3,229,320 3,000,000 3,117,705 3,103,014 (3,760) (3,760) 3,099,254 130,066 130,066 55,617 10/01/2027 2.C FE

01877K-AD-5 ALLIANCE PIPELINE US 144A 06/30/2021 SCHEDULED REDEMPTION 158,813 158,813 162,395 162,605 (3,793) (3,793) 158,813 12/31/2025 2.B FE

02007M-AF-7 ALLY AUTO RECEIVABLES TR 2018-1 CL A4 06/15/2021 SCHEDULED REDEMPTION 138,240 138,240 139,622 (1,382) (1,382) 138,240 1,376 02/15/2023 1.A FE

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


020564-AE-0 ALPEK SA DE CV CO GUARNT 144A D 06/01/2021 TRANSFER TO SA 4,996,329 5,000,000 4,996,250 79 79 4,996,329 43,333 02/25/2031 2.C FE

021345-AA-1 ALTA WIND HLDGS LLC PTC 144A 06/30/2021 SCHEDULED REDEMPTION 466,519 467,217 467,217 447,849 18,670 18,670 466,519 16,353 06/30/2035 2.C FE

02209S-BE-2 ALTRIA GRP INC CO GUARNT 05/04/2021 CITIGROUP SEC INC 12,131,300 10,000,000 12,337,775 (6,186) (6,186) 12,331,589 (200,289) (200,289) 131,306 02/14/2039 2.B FE

00184@-AA-4 AMAZON FC EUCLID OH CTL SR SEC 06/30/2021 SCHEDULED REDEMPTION 46,250 46,250 46,250 46,250 46,250 895 06/30/2039 1.E

00191#-AA-3 AMAZON FC TUCSON AZ LANDLORD LLC CTL 06/30/2021 SCHEDULED REDEMPTION 51,001 51,001 51,001 51,001 51,001 1,161 08/31/2039 1.E

74351@-AA-6 AMAZON OAK CREEK PTC CTL 06/10/2021 SCHEDULED REDEMPTION 289,586 289,586 289,586 289,586 289,586 5,563 07/10/2040 1.C

02376X-AA-7 AMER AIRLN 14-1 B PTT EQUIP TR 05/21/2021 VARIOUS 69,273 69,432 69,432 69,432 69,432 (159) (159) 1,937 10/01/2022 4.A FE

0258M0-EL-9 AMERICAN EXPRESS CREDIT SR NT 04/22/2021 MITSUBISHI TRUST 2,207,580 2,000,000 2,134,620 2,114,359 (5,363) (5,363) 2,108,996 98,584 98,584 31,717 05/03/2027 1.G FE

02660T-FG-3 AMERICAN HOME MTG INVESTM 2005-2 CL 4A2 06/01/2021 SCHEDULED REDEMPTION 172,549 172,549 165,670 171,333 1,217 1,217 172,549 1,373 09/01/2045 1.A FM

02665U-AA-3 AMERICAN HOMES 4RENT 2014-SFR2 CL A 144A 06/01/2021 SCHEDULED REDEMPTION 27,036 27,036 27,034 27,035 1 1 27,036 485 10/01/2036 1.A FE

02665X-AA-7 AMERICAN HOMES 4RENT 2014-SFR3 CL A 144A 06/01/2021 SCHEDULED REDEMPTION 42,726 42,726 42,723 42,725 1 1 42,726 742 12/01/2036 1.A FE

02666A-AA-6 AMERICAN HOMES 4RENT 2015-SFR1 CL A 144A 06/01/2021 SCHEDULED REDEMPTION 10,546 10,546 10,546 10,546 0 0 10,546 173 04/01/2052 1.A FE

02666B-AA-4 AMERICAN HOMES 4RENT 2015-SFR2 CL A 144A 06/01/2021 SCHEDULED REDEMPTION 17,296 17,296 17,296 17,296 0 0 17,296 303 10/01/2045 1.A FE

03027X-AA-8 AMERICAN TOWER CORP SR NT 05/19/2021 J P MORGAN SEC INC 776,288 750,000 786,655 (10,420) (10,420) 776,235 53 53 24,088 03/15/2022 2.C FE

03040#-AE-2 AMERICAN WATER CAPITAL CORP SR NT SER D 06/14/2021 CALLED @ 102.709 8,935,716 8,700,000 8,700,000 8,700,000 8,700,000 476,950 12/21/2021 2.A

03066P-AB-5 AMERICREDIT AUTO REC 2020-3 CL A2 06/18/2021 SCHEDULED REDEMPTION 389,844 389,844 389,833 389,833 11 11 389,844 772 03/18/2024 1.A FE

03067D-AB-1 AMERICREDIT AUTOM REC 2020-1 CL A2A 06/18/2021 SCHEDULED REDEMPTION 138,678 138,678 138,676 138,677 1 1 138,678 717 03/20/2023 1.A FE

03072S-QP-3 AMERIQUEST MTG SECURITIES 2004-FR1 CL A6 06/01/2021 SCHEDULED REDEMPTION 450,911 450,911 450,911 450,911 450,911 9,123 05/01/2034 1.A FM

03072S-QQ-1 AMERIQUEST MTG SECURITIES 2004-FR1 CL A7 06/01/2021 SCHEDULED REDEMPTION 7,416 7,416 7,416 7,416 7,416 150 05/01/2034 1.A FM

00176@-AA-4 AMF FLORENCE LLC SEC 06/30/2021 SCHEDULED REDEMPTION 734,197 734,197 734,197 731,602 2,595 2,595 734,197 9,623 12/31/2035 2.C PL

031162-CQ-1 AMGEN INC SR NT 04/07/2021 GOLDMAN, SACHS & CO 2,172,780 2,000,000 2,097,720 2,084,118 (3,078) (3,078) 2,081,041 91,739 91,739 27,911 11/02/2027 2.A FE

G1265#-AA-5 ANDEAN POWER GENERATION SEC D 06/30/2021 SCHEDULED REDEMPTION 315,552 315,552 310,818 308,113 7,439 7,439 315,552 06/05/2028 3.C PL

035242-AB-2 ANHEUSER-BUSCH INBEV FIN CO GUARNT C 04/07/2021 GOLDMAN, SACHS & CO 2,136,860 2,000,000 2,152,540 2,147,897 (1,223) (1,223) 2,146,674 (9,814) (9,814) 58,222 01/17/2043 2.B FE

037833-BA-7 APPLE INC SR NT 04/07/2021 GOLDMAN, SACHS & CO 2,160,940 2,000,000 2,131,320 2,126,976 (975) (975) 2,126,001 34,939 34,939 46,000 02/09/2045 1.B FE

037833-DW-7 APPLE INC SR NT 04/29/2021 GOLDMAN, SACHS & CO 9,258,800 10,000,000 9,231,454 956 956 9,232,411 26,389 26,389 126,611 05/11/2050 1.B Z

03789X-AE-8 APPLEBEES/IHOP FDG 2019-1A CL A2II 144A 06/05/2021 SCHEDULED REDEMPTION 62,500 62,500 62,500 62,500 62,500 1,476 06/07/2049 2.B FE

038779-AB-0 ARBYS FUNDING LLC 2020-1A CL A2 144A 04/30/2021 SCHEDULED REDEMPTION 32,500 32,500 32,590 32,587 (87) (87) 32,500 526 07/30/2050 2.C FE

04621W-AD-2 ASSURED GUARANTY US HLDG CO GUARNT 05/21/2021 STIFEL, NICOLAUS & CO 1,213,464 1,200,000 1,196,604 1,196,604 16,860 16,860 06/15/2031 2.B FE

046353-AX-6 ASTRAZENECA PLC SR NT D 06/23/2021 U.S. BANCORP 2,579,130 3,000,000 2,937,180 2,937,778 724 724 2,938,502 (359,372) (359,372) 56,490 08/06/2050 2.A FE

00206R-MD-1 AT&T INC SR NT 144A 04/07/2021 GOLDMAN, SACHS & CO 1,706,026 1,857,000 1,731,765 1,732,253 466 466 1,732,719 (26,693) (26,693) 36,807 09/15/2055 2.B FE

00206R-JY-9 AT&T INC SR NT SER 04/05/2021 GOLDMAN, SACHS & CO 1,996,620 2,000,000 1,996,780 1,996,930 68 68 1,996,998 (378) (378) 19,250 06/01/2031 2.B FE

05330K-AA-3 AUTO METRO PUERTO RICO SR SEC 144A 06/30/2021 SCHEDULED REDEMPTION 337,500 337,500 337,500 337,500 337,500 11,391 06/30/2035 2.C FE

P0005#-AA-2 AXIA PWR SA SR SEC D 05/20/2021 SCHEDULED REDEMPTION 75,927 75,927 75,168 75,362 565 565 75,927 3,512 05/20/2024 3.B PL

05607Y-AC-5 B2R MTG TR 2015-1 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 1,236,381 1,236,381 1,248,690 1,241,938 (5,557) (5,557) 1,236,381 23,308 05/01/2048 1.A FE

05605G-AJ-1 B2R MTG TR 2015-2 CL B 06/01/2021 SCHEDULED REDEMPTION 1,540,236 1,540,236 1,586,417 1,546,211 (5,975) (5,975) 1,540,236 97,041 11/01/2048 1.D FE

05605L-AJ-0 B2R MTG TR 2016-1 CL B 144A 05/01/2021 SCHEDULED REDEMPTION 2,687,411 2,687,411 2,768,023 2,689,116 (1,705) (1,705) 2,687,411 57,500 01/01/2023 1.C FE

05524V-AG-2 BAMLL TRUST 2011-FSHN CL C 144A 05/11/2021 CALLED @ 100.000 3,000,000 3,000,000 3,059,925 3,003,747 (2,697) (2,697) 3,001,050 (1,050) (1,050) 63,975 07/01/2033 2.B FM

05524V-AJ-6 BAMLL TRUST 2011-FSHN CL D 144A 05/01/2021 SCHEDULED REDEMPTION 4,000,000 4,000,000 4,079,752 4,000,000 4,000,000 93,597 07/01/2033 3.B FM

059496-AY-5 BANC OF AMERICA ALT LN 2007-1 CL 3A19 06/01/2021 SCHDLD REDM/PRIN LOSS 264,761 283,465 240,123 264,103 658 658 264,761 8,136 04/01/2037 3.B FM

06051G-AV-1 BANC OF AMERICA FNDG 2004-A CL 1A1 06/01/2021 SCHEDULED REDEMPTION 929 929 935 930 (2) (2) 929 12 09/01/2034 1.A FM

05949Q-AT-2 BANC OF AMERICA FNDG CORP 2006-2 CL 2A12 06/01/2021 SCHDLD REDM/PRIN LOSS 430,653 435,812 421,819 424,142 6,511 6,511 430,653 11,712 03/01/2036 3.B FM

05946X-EY-5 BANC OF AMERICA FUNDING 2003-3 CL 1A43 06/01/2021 SCHEDULED REDEMPTION 133,451 133,451 128,413 130,802 2,648 2,648 133,451 3,612 10/01/2033 1.A FM

058931-BD-7 BANC OF AMERICA FUNDING 2006-3 CL 5A1 06/01/2021 SCHDLD REDM/PRIN LOSS 160,255 179,024 163,834 164,323 (4,068) (4,068) 160,255 4,293 03/01/2036 4.B FM

05946X-P8-0 BANC OF AMERICA FUNDING CORP 2005-6 2A13 06/01/2021 SCHDLD REDM/PRIN LOSS 107,628 115,662 108,305 106,581 1,047 1,047 107,628 2,728 10/01/2035 3.B FM

05949A-DF-4 BANC OF AMERICA MTG SECUR 2004-D CL 2A1 06/01/2021 SCHEDULED REDEMPTION 18,973 18,973 17,372 18,326 647 647 18,973 272 05/01/2034 1.A FM

05949A-DG-2 BANC OF AMERICA MTG SECUR 2004-D CL 2A2 06/01/2021 SCHEDULED REDEMPTION 87,293 87,293 76,600 80,617 6,677 6,677 87,293 1,251 05/01/2034 1.A FM

05949A-HB-9 BANC OF AMERICA MTG SECUR 2004-E CL 2A7 06/01/2021 SCHEDULED REDEMPTION 50,286 50,286 44,912 46,823 3,463 3,463 50,286 801 06/01/2034 1.A FM

05949A-XG-0 BANC OF AMERICA MTG SECUR 2004-K CL 2A1 06/01/2021 SCHEDULED REDEMPTION 93,405 93,405 91,587 92,330 1,075 1,075 93,405 1,159 12/01/2034 1.A FM

05949A-H9-4 BANC OF AMERICA MTG SECUR 2005-A CL 2A2 06/01/2021 SCHEDULED REDEMPTION 15,780 15,780 14,084 14,708 1,073 1,073 15,780 184 02/01/2035 1.A FM

06051G-HJ-1 BANK OF AMERICA CORP 06/25/18 06/07/2021 ROYAL BANK OF CANADA 1,000,320 1,000,000 1,005,610 1,001,798 (1,639) (1,639) 1,000,159 161 161 3,973 06/25/2022 1.G FE

06051G-JG-5 BANK OF AMERICA CORP SR NT09/25/20 06/07/2021 VARIOUS 4,307,697 4,300,000 4,300,000 4,300,000 4,300,000 7,697 7,697 26,492 09/25/2025 1.F FE

06051G-GC-7 BANK OF AMERICA CORP SUB NT SER L 04/07/2021 GOLDMAN, SACHS & CO 2,232,500 2,000,000 2,169,340 2,145,612 (6,203) (6,203) 2,139,409 93,091 93,091 31,140 11/25/2027 2.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


05949A-ZG-8 BANK OF AMERICA MTG SEC 2004-L CL 4A1 06/01/2021 SCHEDULED REDEMPTION 221,108 221,108 223,321 221,211 (104) (104) 221,108 2,143 01/01/2035 1.A FM

05949A-3N-8 BANK OF AMERICA MTG SECS 2005-3 CL 2A1 06/01/2021 SCHEDULED REDEMPTION 153,353 153,353 150,286 152,032 1,321 1,321 153,353 3,837 03/01/2035 2.B FM

06406R-AB-3 BANK OF NY MELLON CORP SR NT 02/07/17 05/21/2021 VARIOUS 2,763,515 2,500,000 2,652,175 2,628,238 (7,717) (7,717) 2,620,522 142,993 142,993 68,362 02/07/2028 1.F FE

071813-BW-8 BAXTER INTL INC SR NT 144A 05/13/2021 EXCHANGE 6,976,602 7,000,000 6,974,170 6,975,803 800 800 6,976,602 170,508 04/01/2030 2.A FE

07387A-ET-8 BEAR STEARNS ADJ RATE MTG 2005-10 CL A3 06/01/2021 SCHEDULED REDEMPTION 395,388 395,388 387,450 393,621 1,767 1,767 395,388 5,450 10/01/2035 1.A FM

07384M-YZ-9 BEAR STEARNS ARM 2003-7 CL 9A 06/01/2021 SCHEDULED REDEMPTION 196,263 196,263 198,471 196,522 (260) (260) 196,263 2,711 10/01/2033 1.A FM

07384M-ZU-9 BEAR STEARNS ARM TR 2003-8 CL 3A 06/01/2021 SCHEDULED REDEMPTION 3,012 3,012 3,056 3,012 3,012 41 01/01/2034 1.A FM

07384M-ZX-3 BEAR STEARNS ARM TR 2003-8 CL 5A 06/01/2021 SCHEDULED REDEMPTION 55,279 55,279 55,037 55,269 10 10 55,279 574 01/01/2034 1.A FM

081331-AB-6 BELVOIR LAND LLC NT SER A-1 06/15/2021 SCHEDULED REDEMPTION 502,863 502,863 561,336 529,939 (27,075) (27,075) 502,863 12,647 12/15/2025 1.D FE

08516*-AA-8 BERLIN STATION SR NT SER A 04/30/2021 SCHEDULED REDEMPTION 187,500 187,500 187,500 187,500 187,500 6,563 09/30/2031 4.B Z

09247X-AR-2 BLACKROCK INC SR NT 04/22/2021 VARIOUS 1,615,677 1,650,000 1,644,126 1,644,450 153 153 1,644,603 (28,926) (28,926) 22,916 01/28/2031 1.D FE

09659W-2N-3 BNP PARIBAS SR NT 144A D 06/18/2021 MITSUBISHI TRUST 986,610 1,000,000 1,000,000 1,000,000 (13,390) (13,390) 5,843 01/13/2027 1.G FE

097023-DD-4 BOEING CO SR NT 06/24/2021 MORGAN STANLEY CPTL 652,587 650,000 650,000 650,000 2,587 2,587 3,034 02/04/2023 2.C FE

097023-DG-7 BOEING CO SR NT 06/02/2021 J P MORGAN SEC INC 302,180 300,000 300,000 300,698 1,482 1,482 2,196 02/04/2026 2.C FE

10240*-AA-7 BOWIE ACQ SR NT 06/30/2021 SCHEDULED REDEMPTION 1,070,561 1,070,561 1,070,561 1,070,561 1,070,561 20,983 09/30/2038 2.C PL

10334#-AM-4 BOYD WATTERSON GSA REIT SR NT SER I 06/01/2021 TRANSFER TO SA 10,000,000 10,000,000 10,000,000 10,000,000 10,000,000 153,700 12/23/2030 2.C PL

07330M-AC-1 BRANCH BANKING & TR SUB SER BKNT 05/20/2021 GOLDMAN, SACHS & CO 1,259,856 1,200,000 1,191,050 1,192,020 324 324 1,192,344 67,512 67,512 21,703 09/17/2029 1.G FE

10623*-AA-4 BRAZOS SANDY CRK SR NT SER 2009A 06/30/2021 SCHEDULED REDEMPTION 183,333 183,333 183,333 183,333 183,333 5,995 06/30/2024 5.B FE

110122-CN-6 BRISTOL-MYERS SQUIBB CO SR NT 04/15/2021 MARKETAXESS 1,264,747 1,150,000 1,147,341 1,147,528 125 125 1,147,653 117,094 117,094 12,676 06/15/2026 1.F FE

110122-CR-7 BRISTOL-MYERS SQUIBB CO SR NT 04/27/2021 DEUTSCHE BANK SEC INC 23,930,200 20,000,000 23,797,451 (3,940) (3,940) 23,793,512 136,689 136,689 432,083 10/26/2049 1.F FE

110122-CY-2 BRISTOL-MYERS SQUIBB CO SR NT 04/27/2021 MORGAN STANLEY CPTL 208,486 200,000 199,943 199,953 7 7 199,960 8,526 8,526 3,881 02/15/2023 1.F FE

11043X-AB-9 BRITISH AIRWAYS PLC PTC 144A C 06/15/2021 SCHEDULED REDEMPTION 19,592 19,592 19,592 19,592 19,592 328 06/15/2029 2.C FE

11042A-AA-2 BRITISH AIRWAYS PLC SR SEC 144A C 06/20/2021 SCHEDULED REDEMPTION 10,769 10,769 10,769 10,769 10,769 249 06/20/2024 1.F FE

11135F-AZ-4 BROADCOM INC CO GUARNT 04/07/2021 GOLDMAN, SACHS & CO 2,230,660 2,000,000 2,091,415 2,085,688 (4,039) (4,039) 2,081,648 149,012 149,012 41,083 04/15/2026 2.C FE

11135F-BD-2 BROADCOM INC CO GUARNT 05/06/2021 GOLDMAN, SACHS & CO 462,564 400,000 398,267 398,322 51 51 398,373 64,191 64,191 11,389 04/15/2030 2.C FE

12189L-AF-8 BURLINGTN NORTH SANTA FE DEB 06/15/2021 CALLED @ 100.000 7,000,000 7,000,000 6,982,710 6,998,585 911 911 6,999,496 504 504 181,125 09/15/2021 1.D FE

12807C-AA-1 CAL FUNDING IV LTD 2020-1A CL A 144A D 06/25/2021 SCHEDULED REDEMPTION 425,000 425,000 424,904 424,907 93 93 425,000 4,455 09/25/2045 1.F FE

134011-AA-3 CAMP PENDLETON/QUANT 2003A-1 144A MBIA 04/01/2021 CALLED @ 100.000 100,000 100,000 100,000 100,000 100,000 2,969 10/01/2043 2.B

13467R-AA-7 CAMPUS DRV LEASE-BCKD A PTC SER A144A 06/15/2021 SCHEDULED REDEMPTION 6,436 6,436 6,436 6,436 6,436 124 01/15/2052 1.D Z

13876C-AL-1 CANYON CAP CLO LTD 2015-1A CL AS 144A D 05/06/2021 CALLED @ 100.000 1,750,000 1,750,000 1,744,575 1,744,569 484 484 1,745,053 4,947 4,947 14,638 04/15/2029 1.A FE

14173#-AA-6 CARESOURCE MGMT GROUP CO CTL 06/15/2021 SCHEDULED REDEMPTION 103,925 103,925 103,925 103,925 103,925 2,292 03/15/2044 1.E

14888@-AA-4 CATALYST OLD RIVER HYDRO SEC 06/30/2021 SCHEDULED REDEMPTION 280,357 280,357 280,357 280,357 280,357 7,539 11/30/2029 2.C PL

14918K-AJ-6 CATHEDRAL LAKE LTD 2016-4A CL AR 144A D 04/07/2021 CALLED @ 100.000 7,700,000 7,700,000 7,654,600 7,656,417 2,373 2,373 7,658,790 41,210 41,210 53,170 10/20/2028 1.A FE

G1981*-AA-2 CAYMAN UNIVERSE SR NT D 04/01/2021 SCHEDULED REDEMPTION 326,212 326,212 323,753 323,768 2,443 2,443 326,212 3,099 09/30/2045 1.D

14987B-AE-3 CC HLDGS GS V LLC/CRO SR SEC 06/22/2021 MORGAN STANLEY CPTL 794,985 750,000 805,411 749,925 45,064 45,064 794,989 (4) (4) 19,967 04/15/2023 2.B FE

12502Y-AP-8 CCR INC MT100 DPR 2012-CA CL C 144A C 06/10/2021 SCHEDULED REDEMPTION 535,714 535,714 535,714 535,714 535,714 12,016 07/10/2022 1.F FE

14986W-AA-6 CE OAXACA II SR SEC 144A D 06/30/2021 SCHEDULED REDEMPTION 225,600 225,600 225,600 225,600 225,600 12/31/2031 2.C FE

15103J-AA-0 CELEO REDES OPERACION CL SR SEC 144A D 06/22/2021 SCHEDULED REDEMPTION 68,952 68,952 68,946 68,947 6 6 68,952 1,793 06/22/2047 2.B FE

15502#-AA-5 CENTRAL PORT LLC SECURED 06/30/2021 SCHEDULED REDEMPTION 600,000 600,000 600,000 600,000 600,000 500 11/05/2029 3.A

161175-BJ-2 CHARTER COMM OPT LLC/CAP SR SEC 04/29/2021 VARIOUS 4,338,840 4,000,000 4,134,560 4,119,224 (4,571) (4,571) 4,114,652 224,188 224,188 102,500 02/15/2028 2.C FE

161175-BX-1 CHARTER COMM OPT LLC/CAP SR SEC 06/01/2021 TRANSFER TO SA 9,979,431 10,000,000 9,978,600 9,978,726 706 706 9,979,431 113,083 02/01/2032 2.C FE

161546-JH-0 CHASE FNDG MTG LN ASSET BCKD 2004-2 1A5 06/01/2021 SCHEDULED REDEMPTION 644,000 644,000 629,829 641,367 2,633 2,633 644,000 15,333 02/02/2035 1.A FM

161542-DF-9 CHASE FUNDING LOAN ACQ SER 2003-C2 CL B1 06/01/2021 SCHEDULED REDEMPTION 18,920 18,920 18,482 17,848 1,072 1,072 18,920 506 08/01/2034 5.B FM

161546-GM-2 CHASE FUNDING MORTGAGE LOAN 2003-5 CL1M1 06/01/2021 SCHEDULED REDEMPTION 180,591 180,591 177,235 180,061 529 529 180,591 1,503 01/01/2033 1.A FM

161546-HS-8 CHASE FUNDING MTG LOAN 2004-1 CL 1A5 06/01/2021 SCHEDULED REDEMPTION 734,175 734,175 734,135 734,161 14 14 734,175 17,272 11/01/2033 1.A FM

16162W-KF-5 CHASE MORTGAGE FINANCE 2005-S1 CL 1A1 06/01/2021 SCHEDULED REDEMPTION 172,859 172,859 169,510 171,253 1,606 1,606 172,859 3,810 05/01/2035 1.A FM

16162W-MR-7 CHASE MORTGAGE FINANCE CORP 2005-S2 A29 06/01/2021 SCHEDULED REDEMPTION 309,045 309,045 287,386 301,152 7,893 7,893 309,045 8,322 10/01/2035 1.D FM

16159W-AC-8 CHASE MTG FIN CORP 2019-1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 782,804 782,804 792,712 791,135 (8,330) (8,330) 782,804 12,541 03/01/2050 1.A FM

16158R-AR-7 CHASE MTG FIN CORP 2019-ATR CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 230,961 230,961 232,369 232,116 (1,155) (1,155) 230,961 4,068 04/01/2049 1.A FM

16159G-AR-0 CHASE MTG FIN CORP 2019-ATR CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 2,065,056 2,065,056 2,080,544 2,078,419 (13,363) (13,363) 2,065,056 32,442 07/01/2049 1.A FM

16158R-AC-0 CHASE MTG FIN CORP 2019-ATR CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 769,870 769,870 779,373 777,665 (7,795) (7,795) 769,870 13,560 04/01/2049 1.A FM

16159G-AC-3 CHASE MTG FIN CORP 2019-ATR CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 4,675,598 4,675,598 4,728,198 4,770,433 (94,835) (94,835) 4,675,598 73,453 07/01/2049 1.A FM

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


16165T-AA-1 CHASEFLEX TRUST 2005-1 CL 1A1 06/01/2021 SCHDLD REDM/PRIN LOSS 115,311 105,432 108,958 115,263 47 47 115,311 2,900 02/01/2035 1.D FM

171265-C#-6 CHUGACH ELECTRIC ASSOC 1ST MTG 04/30/2021 SCHEDULED REDEMPTION 102,857 102,857 102,857 102,857 102,857 1,530 10/30/2050 1.G

12550Y-AC-8 CIFC FUNDING LTD 2017-2A CL A 144A D 06/10/2021 CALLED @ 100.000 7,500,000 7,500,000 7,455,000 7,457,538 5,065 5,065 7,462,603 37,397 37,397 70,577 04/20/2030 1.A FE

12556M-AB-0 CIM TR 2019-J1 CL 1A2 144A 06/01/2021 SCHEDULED REDEMPTION 3,984,557 3,984,557 4,038,100 4,065,948 (81,390) (81,390) 3,984,557 66,963 08/01/2049 1.A FM

12558T-AA-5 CIM TR 2019-J2 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 4,193,160 4,193,160 4,256,057 4,274,227 (81,068) (81,068) 4,193,160 66,736 10/01/2049 1.A FM

12559Y-AN-5 CIM TR 2020-J1 CL A13 144A 06/01/2021 SCHEDULED REDEMPTION 4,430,121 4,430,121 4,540,874 4,541,233 (111,112) (111,112) 4,430,121 61,710 07/01/2050 1.A FM

12564K-AU-2 CIM TR 2021-J1 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 272,004 272,004 277,784 (5,780) (5,780) 272,004 2,168 03/01/2051 1.A FE

12564E-AU-6 CIM TR 2021-J2 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 337,514 337,514 338,990 (1,477) (1,477) 337,514 1,941 04/01/2051 1.A FE

17325F-AX-6 CITIBANK NA SR NT FRN SER BKNT 05/20/2021 CALLED @ 100.000 4,620,000 4,620,000 4,631,893 4,622,931 (2,540) (2,540) 4,620,391 (391) (391) 18,672 05/20/2022 1.E FE

172973-S8-3 CITICORP MORTGAGE SEC SER 2005-3 CL 1A4 06/01/2021 SCHEDULED REDEMPTION 24,236 24,236 24,236 24,236 24,236 658 04/01/2035 3.B FM

172973-W3-9 CITICORP MORTGAGE SEC SER 2005-4 CL 1A4 06/01/2021 SCHEDULED REDEMPTION 464,600 464,600 448,694 457,595 7,006 7,006 464,600 11,770 07/01/2035 1.A FM

172973-X3-8 CITICORP MORTGAGE SEC SER 2005-4 CL 3A3 06/01/2021 SCHEDULED REDEMPTION 32,130 32,130 30,337 31,372 758 758 32,130 715 07/01/2035 1.A FM

172973-5D-7 CITICORP MORTGAGE SECS 2006-1 CL 1A12 06/01/2021 SCHEDULED REDEMPTION 201,538 201,538 194,996 199,085 2,454 2,454 201,538 5,252 02/01/2036 1.A FM

17310A-AK-2 CITICORP MORTGAGE SECS 2006-2 CL 1A10 06/01/2021 SCHDLD REDM/PRIN LOSS 101,851 147,000 141,177 102,474 (624) (624) 101,851 4,224 04/01/2036 4.B FM

17310F-AA-3 CITICORP MORTGAGE SECS INC 2006-5 1A1 06/01/2021 SCHDLD REDM/PRIN LOSS 422,523 431,893 434,998 423,606 (1,083) (1,083) 422,523 11,577 10/01/2036 3.B FM

172981-AG-7 CITIGROUP MTG LOAN TR 2006-4 CL 2A3 06/01/2021 SCHDLD REDM/PRIN LOSS 390,937 439,396 389,657 389,828 1,109 1,109 390,937 11,898 12/01/2035 2.B FM

172967-GL-9 CITIGRP INC SR NT 04/27/2021 DEUTSCHE BANK SEC INC 368,347 350,000 345,566 347,802 322 322 348,124 20,223 20,223 7,809 03/01/2023 2.A FE

17308C-C4-6 CITIGRP INC SR NT 04/27/2021 JANE STREET EXECUTION 2,776,345 2,750,000 2,791,318 (14,298) (14,298) 2,777,020 (675) (675) 30,907 11/04/2022 1.G FE

172967-MA-6 CITIGRP INC SR NT FRN 04/27/2021 ROYAL BANK OF CANADA 506,162 500,000 501,690 501,057 (140) (140) 500,916 5,245 5,245 2,555 06/01/2024 2.A FE

172967-JT-9 CITIGRP INC SUB 05/06/2021 CITIGROUP GLBL MKT INC 839,055 750,000 746,940 748,474 112 112 748,586 90,469 90,469 13,750 06/10/2025 2.B FE

17313Q-AL-2 CITIGRP MTG LOAN TR 2007-10 CL 22AA 06/01/2021 SCHDLD REDM/PRIN LOSS 52,260 53,425 32,670 33,830 18,430 18,430 52,260 847 09/01/2037 1.D FM

12566W-AB-6 CITIMORTGAGE ALT LN TR 2007-A5 1A2 06/01/2021 SCHDLD REDM/PRIN LOSS 192,754 208,500 161,121 162,454 30,301 30,301 192,754 5,840 05/01/2037 1.D FM

12566Q-AD-5 CITIMORTGAGE ALT LOAN TR 2007-A1 CL 1A4 06/01/2021 SCHDLD REDM/PRIN LOSS 441,305 475,616 404,273 438,327 2,978 2,978 441,305 13,207 01/01/2037 4.B FM

17401Q-AU-5 CITIZENS BANK NA/RI SR NT SER BKNT 04/07/2021 GOLDMAN, SACHS & CO 1,105,990 1,000,000 1,072,240 1,059,383 (2,964) (2,964) 1,056,419 49,571 49,571 24,063 02/18/2026 2.A FE

174610-AN-5 CITIZENS FINANCIAL GRP SR NT 06/28/2021 CALLED @ 100.000 10,000,000 10,000,000 9,994,800 9,999,371 538 538 9,999,909 91 91 217,708 07/28/2021 2.A FE

174610-AV-7 CITIZENS FINANCIAL GRP SUB 144A 06/25/2021 EXCHANGE 26,831,179 27,000,000 26,828,320 27,014,640 (183,462) (183,462) 26,831,179 524,303 09/30/2032 2.B FE

174610-AX-3 CITIZENS FINANCIAL GRP SUB 144A 06/25/2021 EXCHANGE 5,189,318 5,250,000 5,187,432 1,886 1,886 5,189,318 73,281 02/11/2031 2.B FE

174610-AZ-8 CITIZENS FINANCIAL GRP SUB 144A 06/25/2021 EXCHANGE 6,996,192 7,000,000 6,996,074 118 118 6,996,192 112,039 02/11/2031 2.B FE

174610-BB-0 CITIZENS FINANCIAL GRP SUB 144A 06/25/2021 EXCHANGE 13,865,221 13,944,000 13,862,786 2,436 2,436 13,865,221 225,777 02/11/2031 2.B FE

411707-AD-4 CKE RESTAURANTS HLD 2018-1A CL AII 144A 06/20/2021 SCHEDULED REDEMPTION 37,500 37,500 37,500 37,500 37,500 930 06/20/2048 2.B FE

411707-AH-5 CKE RESTAURANTS HLD 2020-1A CL A2 144A 06/20/2021 SCHEDULED REDEMPTION 25,000 25,000 25,000 25,000 25,000 495 12/20/2050 2.B FE

12563L-AL-1 CLI FUNDING LLC 2019-1A CL A 144A 06/18/2021 SCHEDULED REDEMPTION 12,250,328 12,250,328 12,250,222 12,250,311 17 17 12,250,328 224,876 05/18/2044 1.F FE

12563L-AN-7 CLI FUNDING LLC 2020-1A CL A 144A 06/18/2021 SCHEDULED REDEMPTION 1,000,000 1,000,000 999,539 1,000,000 1,000,000 9,822 09/18/2045 1.F FE

12563L-AS-6 CLI FUNDING LLC 2020-3A CL A 144A 06/18/2021 SCHEDULED REDEMPTION 750,000 750,000 749,845 749,848 152 152 750,000 8,625 10/18/2045 1.F FE

12565K-AA-5 CLI FUNDING LLC 2021-1A CL A 144A 06/18/2021 SCHEDULED REDEMPTION 496,786 496,786 496,776 9 9 496,786 2,220 02/18/2046 1.F FE

125896-BQ-2 CMS ENERGY CORP SR NT 05/13/2021 U.S. BANCORP 2,991,688 2,800,000 2,870,086 2,857,968 (3,815) (3,815) 2,854,153 137,535 137,535 42,467 05/15/2026 2.B FE

19123M-AB-9 COCA-COLA EUROPEAN PARTN CO GUARNT SER D 06/01/2021 CALLED @ 100.000 5,000,000 5,000,000 4,967,197 4,993,518 4,256 4,256 4,997,775 2,225 2,225 127,292 08/19/2021 2.A FE

19260M-AA-4 COINSTAR FUNDING, LLC 2017-1A CL A2 144A 04/25/2021 SCHEDULED REDEMPTION 103,948 103,948 105,109 104,568 (621) (621) 103,948 2,711 04/25/2047 2.B FE

19625G-AC-3 COLONY AMER FIN LTD 2016-1 CL C 144A 04/01/2021 VARIOUS 389,815 389,815 389,811 389,815 0 0 389,815 5,835 06/01/2048 1.D FE

20030N-DN-8 COMCAST CORP CO GUARNT 04/01/2021 CITIGROUP GLBL MKT INC 419,085 450,000 448,484 448,530 36 36 448,566 (29,481) (29,481) 4,144 02/15/2031 1.G FE

202795-JJ-0 COMMONWEALTH EDISON CO 1ST MTG 04/30/2021 GOLDMAN, SACHS & CO 4,370,920 4,000,000 4,322,220 4,312,392 (2,618) (2,618) 4,309,775 61,145 61,145 51,303 06/15/2046 1.F FE

205887-CF-7 CONAGRA BRANDS INC SR NT 06/30/2021 WELLS FARGO BANK, N.A. 195,264 200,000 197,634 197,700 161 161 197,861 (2,597) (2,597) 1,956 11/01/2027 2.C FE

P4000#-AA-9 CONCESIONARIA LINEA DE TRANS SR SEC D 06/15/2021 SCHEDULED REDEMPTION 25,891 25,891 25,891 25,891 25,891 728 05/28/2047 2.C PL

21036P-BF-4 CONSTELLATION BRANDS INC SR NT 04/20/2021 VARIOUS 1,235,932 1,200,000 1,197,612 1,197,753 60 60 1,197,813 38,119 38,119 15,557 05/01/2030 2.C FE

G23848-AB-3 CONTINENTAL DPR FIN CO SR SEC 2012-D D 06/15/2021 SCHEDULED REDEMPTION 714,286 714,286 714,286 714,286 714,286 17,857 06/15/2022 1.F FE

210795-QB-9 CONTL AIRLINES 2012-2 A PTC SER 2-A 04/29/2021 SCHEDULED REDEMPTION 124,550 124,550 124,550 124,550 124,550 2,491 10/29/2024 2.C FE

21688A-AM-4 COOPERAT RABOBANK UA/NY SR NT FRN D 04/07/2021 MARKETAXESS 1,257,594 1,250,000 1,246,125 1,247,545 327 327 1,247,872 9,722 9,722 4,378 01/10/2023 1.E FE

21988V-AA-1 CORP LINDLEY SA NT 144A D 05/23/2021 SCHEDULED REDEMPTION 1,500,000 1,500,000 1,505,000 1,500,760 (760) (760) 1,500,000 50,625 11/23/2021 2.A FE

22160K-AN-5 COSTCO WHOLESALE CORP SR NT 05/26/2021 BANK OF AMERICA NA 201,212 200,000 199,550 199,592 25 25 199,617 1,596 1,596 1,207 06/20/2027 1.E FE

02151N-BA-9 COUNTRYWIDE ALT LN TR 2007-18C CL 2A18 06/01/2021 SCHDLD REDM/PRIN LOSS 203,031 200,290 165,683 165,623 37,408 37,408 203,031 6,138 08/01/2037 1.D FM

12667F-MZ-5 COUNTRYWIDE ALT LOAN T 2004-14T CL A13 06/25/2021 SCHEDULED REDEMPTION 9,068 9,068 8,263 8,510 557 557 9,068 28 08/25/2034 1.A FM

02151N-BH-4 COUNTRYWIDE ALT LOAN T 2007-18C CL 2A25 06/01/2021 SCHDLD REDM/PRIN LOSS 23,872 23,550 15,964 21,444 2,428 2,428 23,872 722 08/01/2037 4.B FM

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


02149J-AS-5 COUNTRYWIDE ALT LOAN TR 2006-45T1 CL 2A3 06/01/2021 SCHDLD REDM/PRIN LOSS 52,017 75,927 57,015 23,273 28,744 28,744 52,017 2,074 02/01/2037 1.D FM

126673-TV-4 COUNTRYWIDE ASSET BCKD CERTS 2004-15 AF5 06/01/2021 SCHEDULED REDEMPTION 639,446 639,446 639,439 639,445 0 0 639,446 14,207 05/01/2035 1.A FM

12669G-JB-8 COUNTRYWIDE HOME LN 2004-29 CL 2A1 06/25/2021 SCHEDULED REDEMPTION 44,227 44,227 39,224 40,616 3,611 3,611 44,227 168 02/25/2035 3.B FM

12669F-VH-3 COUNTRYWIDE HOME LOANS 2004-6 CL 2A1 06/01/2021 SCHEDULED REDEMPTION 150,974 150,974 148,167 150,416 558 558 150,974 2,350 05/01/2034 1.A FM

12669G-BY-6 COUNTRYWIDE HOME LOANS 2004-HYB CL 1A1 06/01/2021 SCHEDULED REDEMPTION 63,722 63,722 60,536 61,541 2,180 2,180 63,722 835 11/01/2034 1.A FM

12669G-XM-8 COUNTRYWIDE HOME LOANS 2005-12 CL 1A4 06/01/2021 SCHEDULED REDEMPTION 185,229 185,229 177,668 180,443 4,786 4,786 185,229 4,832 05/01/2035 2.B FM

12669G-D3-2 COUNTRYWIDE HOME LOANS 2005-13 CL A11 06/01/2021 SCHDLD REDM/PRIN LOSS 8,436 8,447 3,655 4,561 4,561 8,217 220 220 226 06/01/2035 1.D FM

12669G-5T-4 COUNTRYWIDE HOME LOANS 2005-17 CL 1A7 06/01/2021 SCHDLD REDM/PRIN LOSS 269,101 269,101 246,331 156,967 112,134 112,134 269,101 6,664 09/01/2035 1.D FM

126694-HK-7 COUNTRYWIDE HOME LOANS 2005-25 CL A6 06/01/2021 SCHDLD REDM/PRIN LOSS 27,590 28,406 25,605 27,115 474 474 27,590 782 11/01/2035 3.B FM

12669G-TD-3 COUNTRYWIDE HOME LOANS 2005-6 CL 1A14 06/01/2021 SCHDLD REDM/PRIN LOSS 413,712 419,447 403,540 386,606 27,106 27,106 413,712 10,589 04/01/2035 2.B FM

224044-BW-6 COX COMMS INC SR NT 144A 05/29/2021 CALLED @ 104.458 2,350,315 2,250,000 2,328,400 2,249,235 65,691 65,691 2,314,926 (64,926) (64,926) 133,628 12/15/2022 2.B FE

22535W-AH-0 CREDIT AGRICOLE SA SR NT 144A D 04/07/2021 GOLDMAN, SACHS & CO 2,748,284 2,800,000 2,800,000 2,800,000 (51,716) (51,716) 7,080 01/26/2027 1.G FE

225313-AM-7 CREDIT AGRICOLE SA SUB 144A D 06/01/2021 TRANSFER TO SA 2,137,240 2,000,000 2,145,520 2,143,201 (5,961) (5,961) 2,137,240 57,236 01/14/2030 2.A FE

225401-AT-5 CREDIT SUISSE GRP AG SR NT 144A D 04/28/2021 CREDIT SUISSE SEC LLC 1,606,506 1,650,000 1,650,000 1,650,000 (43,494) (43,494) 5,264 02/02/2027 2.A FE

225470-P7-2 CREDIT SUISSE MTG CAPITAL 2006-3 CL 4A1 06/01/2021 SCHEDULED REDEMPTION 72,610 72,610 65,976 72,655 (45) (45) 72,610 1,683 04/01/2036 5.B FM

22944B-AU-2 CREDIT SUISSE MTG TR 2007-5 CL 3A1 06/25/2021 SCHDLD REDM/PRIN LOSS 661,132 743,042 564,257 623,280 37,852 37,852 661,132 2,329 08/25/2037 1.D FM

12649X-BK-4 CREDIT SUISSE MTG TR 2015-3 CL A16 144A 06/01/2021 SCHEDULED REDEMPTION 759,710 759,710 777,872 772,082 (12,372) (12,372) 759,710 12,643 03/01/2045 1.A FM

22570@-AA-0 CRESCENT CITY ENERGY PARTNERS I 06/15/2021 SCHEDULED REDEMPTION 16,381 16,381 16,381 16,381 93 03/15/2036 1.F Z

22570#-AA-8 CRESCENT CITY ENERGY PARTNERS II 06/15/2021 SCHEDULED REDEMPTION 33,251 33,251 33,251 33,251 188 03/15/2036 1.F Z

22571*-AA-1 CRESCENT CITY ENERGY PARTNERS III 06/15/2021 SCHEDULED REDEMPTION 48,300 48,300 48,300 48,300 273 03/15/2036 1.F Z

12701#-AA-1 CRG 2017-1 04/12/2021 SCHEDULED REDEMPTION 2,208,896 2,208,896 2,208,896 2,208,896 2,208,896 51,909 01/10/2024 1.G PL

12701#-AB-9 CRG ISSUER 2017-1 SER 2018-1 04/10/2021 SCHEDULED REDEMPTION 1,767,118 1,767,118 1,767,118 1,767,118 1,767,118 46,829 07/10/2025 1.G PL

225458-FA-1 CS FIRST BOSTON MTG SEC 2005-2 CL 1A9 06/01/2021 SCHEDULED REDEMPTION 579,868 579,868 553,623 567,580 12,288 12,288 579,868 15,160 03/01/2035 1.A FM

22541N-6X-2 CS FIRST BOSTON MTG SECS 2003-10 CL CB1 04/01/2021 SCHDLD REDM/PRIN LOSS 8,096 8,096 7,165 6,327 1,768 1,768 8,096 438 05/01/2033 6. FM

22541S-W9-5 CS FIRST BOSTON MTG SECUR 2004-8 CL 5A1 06/01/2021 SCHEDULED REDEMPTION 138,120 138,120 123,419 133,190 4,930 4,930 138,120 3,911 12/01/2034 1.A FM

12638L-AB-4 CS MTG CAPITAL 2007-NC1 CL 2A1 06/25/2021 SCHEDULED REDEMPTION 234,889 234,889 217,860 234,889 234,889 11,890 09/25/2037 1.A FM

12637L-AL-3 CSMLT TR 2015-2 CL A7 144A 06/01/2021 SCHEDULED REDEMPTION 857,918 857,918 862,208 860,826 (2,907) (2,907) 857,918 13,765 08/01/2045 1.A FM

22959#-AA-9 CSOLAR IV SOUTH LLC SR SEC NT 06/30/2021 SCHEDULED REDEMPTION 126,821 126,821 126,821 126,821 126,821 3,406 09/30/2038 2.A PL

22964*-AC-2 CSOLAR IV WEST SR SECURED NOTES 06/30/2021 SCHEDULED REDEMPTION 224,966 224,966 224,966 224,966 224,966 2,165 03/31/2041 2.B PL

12725*-AA-7 CTL 2020-03 TR PTC 06/15/2021 SCHEDULED REDEMPTION 94,055 94,055 94,055 94,055 94,055 1,333 03/31/2040 1.E

22970*-AA-8 CTL PASS-THRU TR SER 2015 BNSF DAYTON TX 06/15/2021 SCHEDULED REDEMPTION 137,753 137,753 137,753 137,753 137,753 2,651 05/15/2034 1.G S

12683@-AA-5 CVS CTL PASS-THRU TR 06/15/2021 SCHEDULED REDEMPTION 43,163 43,163 43,595 43,514 (351) (351) 43,163 848 01/15/2041 2.B

96930#-AA-7 CVS CTL PASS-THRU 06/15/2021 SCHEDULED REDEMPTION 69,737 69,737 69,737 69,737 69,737 1,430 01/15/2040 2.B

12717@-AA-5 CVS 51 LEASE-BACKED CTL PTC 06/10/2021 SCHEDULED REDEMPTION 152,729 152,729 152,729 152,729 152,729 2,784 11/10/2041 2.B

126650-DN-7 CVS HEALTH CORP SR NT 04/07/2021 GOLDMAN, SACHS & CO 1,413,180 1,500,000 1,497,540 1,497,622 62 62 1,497,683 (84,503) (84,503) 16,625 08/21/2030 2.B FE

12703@-AA-1 CVS LA LEASE BACKED PASS-THRU CTL 06/20/2021 SCHEDULED REDEMPTION 34,329 34,329 34,329 34,329 34,329 660 01/20/2041 2.B

12702*-AA-4 CVS LEASE BACKED PASS-THRU PRV PLCT CTL 06/10/2021 VARIOUS 97,033 97,033 97,033 97,033 97,033 3,298 10/10/2039 2.B

12665V-AA-0 CVS PASS-THROUGH TR 2014 PTC 144A 05/10/2021 SCHEDULED REDEMPTION 122,243 122,243 122,243 122,243 122,243 2,124 08/11/2036 2.B S

126650-BQ-2 CVS PASS-THROUGH TR PTC 06/10/2021 SCHEDULED REDEMPTION 23,045 23,045 25,027 24,090 (1,045) (1,045) 23,045 756 01/10/2030 2.B

126650-AQ-3 CVS PASS-THROUGH TR PTC 144A 06/10/2021 SCHEDULED REDEMPTION 15,347 15,347 15,853 15,541 (193) (193) 15,347 370 01/10/2026 2.B Z

126659-AA-9 CVS PASS-THROUGH TR PTC 144A 06/10/2021 SCHEDULED REDEMPTION 8,500 8,500 10,315 9,384 (884) (884) 8,500 335 07/10/2031 2.B Z

12721@-AA-9 CVS ROYAL OAK CTL PTC 06/15/2021 SCHEDULED REDEMPTION 43,625 43,625 43,625 43,625 43,625 877 01/31/2040 2.B

233046-AE-1 DB MSTR FINANCE LLC 2017-1A CL A2I 144A 05/20/2021 SCHEDULED REDEMPTION 22,500 22,500 22,500 22,500 22,500 408 11/20/2047 2.B FE

233046-AL-5 DB MSTR FINANCE LLC 2019-1A CL A23 144A 05/20/2021 SCHEDULED REDEMPTION 40,000 40,000 40,000 40,000 40,000 870 05/20/2049 2.B FE

G2616#-AC-5 DCC TREASURY 2014 LTD SER C GTD SR NT D 05/21/2021 MATURED 7,000,000 7,000,000 7,000,000 7,000,000 7,000,000 140,000 05/21/2021 2.B

24617#-AA-9 DELAWARE NORTH CO INC-BOSTON SR NTS 05/14/2021 SCHEDULED REDEMPTION 219,314 219,314 219,314 219,314 219,314 4,189 11/14/2034 2.B PL

24617#-AB-7 DELAWARE NORTH CO INC-BOSTON SR NTS 05/14/2021 SCHEDULED REDEMPTION 360,055 360,055 360,055 360,055 360,055 6,674 11/14/2034 2.B PL

24703D-AZ-4 DELL INT LLC / EMC CORP SR SEC 144A 06/22/2021 EXCHANGE 7,421,630 7,000,000 7,537,191 7,455,853 (34,224) (34,224) 7,421,630 248,675 10/01/2026 2.C FE

25470D-BF-5 DISCOVERY COMMS CO GUARNT 05/07/2021 ROYAL BANK OF CANADA 4,436,400 4,000,000 4,260,250 4,232,892 (8,761) (8,761) 4,224,131 212,269 212,269 80,667 05/15/2029 2.C FE

25512*-AA-6 DIVERSIFIED ABS PHASE II, LLC 06/28/2021 SCHEDULED REDEMPTION 581,750 581,750 565,606 567,258 14,492 14,492 581,750 14,416 09/28/2028 2.B FE

25746U-DA-4 DOMINION ENERGY INC JR SUB 06/03/2021 KEYBANC CPTL MARKETS 1,155,302 1,150,000 1,158,086 1,153,090 (2,150) (2,150) 1,150,940 4,361 4,361 25,325 08/15/2021 2.B FE

25755T-AH-3 DOMINOS PIZZA MSTR 2017-1A CL A23 144A 04/25/2021 SCHEDULED REDEMPTION 89,563 89,563 89,012 89,125 437 437 89,563 1,844 07/25/2047 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


25755T-AG-5 DOMINOS PIZZA MSTR 2017-1A CL A2II 144A 04/21/2021 CALLED @ 100.000 4,850,000 4,850,000 4,850,000 4,850,000 4,850,000 73,078 07/25/2047 2.A FE

25755T-AK-6 DOMINOS PIZZA MSTR 2018-1A CL A2II 144A 04/25/2021 SCHEDULED REDEMPTION 55,000 55,000 55,063 55,052 (52) (52) 55,000 1,190 07/25/2048 2.A FE

25755T-AL-4 DOMINOS PIZZA MSTR 2019-1A CL A2 144A 04/25/2021 SCHEDULED REDEMPTION 15,000 15,000 15,000 15,000 15,000 275 10/25/2049 2.A FE

260543-CJ-0 DOW CHEMICAL CO/THE SR NT 06/02/2021 CALLED @ 109.586 17,444,995 15,919,000 16,226,356 16,283,468 (40,134) (40,134) 16,243,334 (324,334) (324,334) 1,898,986 10/01/2024 2.C FE

26138E-AU-3 DR PEPPER SNAPPLE GRP CO GUARNT 04/07/2021 GOLDMAN, SACHS & CO 2,643,400 2,500,000 2,474,965 2,479,080 925 925 2,480,006 163,394 163,394 36,125 09/15/2026 2.B FE

26208L-AD-0 DRIVEN BRANDS FNDNG 2019-1A CL A2 144A 04/20/2021 SCHEDULED REDEMPTION 23,750 23,750 23,750 23,750 23,750 551 04/20/2049 2.C FE

26208L-AE-8 DRIVEN BRANDS FNDNG, 2019-2A CL A2 144A 04/20/2021 SCHEDULED REDEMPTION 16,250 16,250 16,271 16,267 (17) (17) 16,250 323 10/20/2049 2.C FE

26209X-AC-5 DRIVEN BRANDS FNDNG, 2020-2A CL A2 144A 04/20/2021 SCHEDULED REDEMPTION 50,000 50,000 50,000 50,000 50,000 566 01/20/2051 2.C FE

26224H-AE-7 DRUG ROYALTY III LP 1 2017-1A CL A2 144A 04/15/2021 SCHEDULED REDEMPTION 351,798 351,798 351,739 351,789 8 8 351,798 3,166 04/15/2027 2.B FE

26224H-AH-0 DRUG ROYALTY III LP 1 2018-1A CL A2 144A 04/15/2021 SCHEDULED REDEMPTION 866,560 866,560 866,419 866,486 74 74 866,560 18,501 10/15/2031 2.B FE

26442U-AH-7 DUKE ENERGY PROGRESS LLC 1ST MTG 05/18/2021 JEFFERIES LLC 656,106 600,000 597,528 597,915 85 85 598,000 58,106 58,106 14,088 03/15/2029 1.F FE

26441Y-AZ-0 DUKE REALTY LP SR NT 04/07/2021 GOLDMAN, SACHS & CO 4,344,560 4,000,000 4,139,420 4,115,972 (5,368) (5,368) 4,110,603 233,957 233,957 35,750 06/30/2026 2.A FE

266233-AH-8 DUQUESNE LT HLDGS SR NT 144A 04/07/2021 GOLDMAN, SACHS & CO 1,067,110 1,100,000 1,100,000 1,100,000 1,100,000 (32,890) (32,890) 15,319 10/01/2030 2.C FE

23355L-AA-4 DXC TECHNOLOGY CO SR NT 04/15/2021 CALLED @ 105.493 10,549,300 10,000,000 9,981,962 9,993,512 1,063 1,063 9,994,575 5,425 5,425 808,883 09/18/2022 2.C FE

26986*-AA-1 EAGLE SOLAR LLC SR SEC NT 06/30/2021 SCHEDULED REDEMPTION 262,523 262,523 262,523 262,523 262,523 6,327 12/31/2042 3.A

27326#-AC-0 EAST KENTUCKY POWER COOP 1ST MTG BD 2019 04/18/2021 SCHEDULED REDEMPTION 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 22,250 04/19/2049 1.F

26860#-AA-8 EIF PIO PICO LLC SR SEC NOTES 06/30/2021 SCHEDULED REDEMPTION 107,395 107,395 107,395 107,395 107,395 2,239 12/31/2041 1.G PL

268317-AS-3 ELEC DE FRANCE SA SR NT 144A D 04/07/2021 GOLDMAN, SACHS & CO 1,638,975 1,500,000 1,599,720 1,581,266 (4,368) (4,368) 1,576,898 62,077 62,077 26,583 10/13/2025 2.A FE

268317-AU-8 ELEC DE FRANCE SA SR NT 144A D 04/07/2021 GOLDMAN, SACHS & CO 1,722,675 1,500,000 1,680,690 1,658,012 (4,971) (4,971) 1,653,040 69,635 69,635 37,125 09/21/2028 2.A FE

P4000@-AA-1 ELETRANS S.A. SR SEC D 06/28/2021 SCHEDULED REDEMPTION 360,685 360,685 360,685 360,685 360,685 7,322 12/28/2037 2.A FE

532457-BH-0 ELI LILLY & CO SR NT 04/13/2021 BANK OF AMERICA NA 10,688,100 10,000,000 9,980,700 9,991,005 556 556 9,991,561 696,539 696,539 102,361 06/01/2025 1.F FE

29248D-AA-0 ENA NORTE TR NT 144A D 04/25/2021 SCHEDULED REDEMPTION 121,385 121,385 121,385 121,385 121,385 3,004 04/25/2023 3.A FE

29252B-AA-7 ENBRIDGE PIPELINES SR NT 06/30/2021 VARIOUS 1,348,800 1,348,800 1,373,928 1,372,745 (23,945) (23,945) 1,348,800 62,082 06/30/2040 1.G PL

29266R-AC-2 ENERGIZER HLDGS INC CO GUARNT 04/07/2021 CALLED @ 104.703 18,846,540 18,000,000 18,457,450 18,076,719 (15,226) (15,226) 18,061,493 (61,493) (61,493) 1,159,090 05/24/2022 3.B FE

29273R-BB-4 ENERGY TRANSFER LP SR NT SER 04/27/2021 J P MORGAN SEC INC 6,425,173 5,649,000 6,481,420 (13,627) (13,627) 6,467,793 (42,621) (42,621) 104,946 02/01/2024 2.C FE

29273R-BC-2 ENERGY TRANSFER LP SR NT SER 04/26/2021 J P MORGAN SEC INC 26,398,369 19,818,000 26,283,703 (56,262) (56,262) 26,227,440 170,928 170,928 740,285 11/15/2029 2.C Z

29273R-AZ-2 ENERGY TRANSFER OPERATNG CO GUARNT 04/30/2021 BARCLAYS CAPITAL INC 7,665,201 6,766,000 7,712,976 (1,493) (1,493) 7,711,483 (46,282) (46,282) 36,903 10/01/2043 2.C FE

29278N-AE-3 ENERGY TRANSFER PARTNERS SER 30Y 04/26/2021 J P MORGAN SEC INC 11,648,900 10,000,000 11,488,511 (1,194) (1,194) 11,487,317 161,583 161,583 221,667 06/15/2048 2.C FE

29364G-AN-3 ENTERGY CORP SR NT 04/29/2021 GOLDMAN, SACHS & CO 196,666 200,000 199,304 14 14 199,318 (2,652) (2,652) 612 06/15/2028 2.B FE

P4001#-AA-8 EOLICA MESA LA PAZ SR SEC NT DUE 2044 D 06/20/2021 SCHEDULED REDEMPTION 350,904 350,904 350,904 350,904 350,904 15,738 12/20/2044 2.C Z

P3753#-AA-0 ERGON PERU SAC SR SEC D 06/30/2021 SCHEDULED REDEMPTION 690,135 690,135 690,135 690,135 690,135 16,685 06/30/2034 2.A PL

29717P-AU-1 ESSEX PORTFOLIO LP CO GUARNT 04/07/2021 GOLDMAN, SACHS & CO 2,061,520 2,000,000 2,023,360 2,020,943 (557) (557) 2,020,386 41,134 41,134 44,000 01/15/2030 2.A FE

29717P-AW-7 ESSEX PORTFOLIO LP CO GUARNT 04/29/2021 MARKETAXESS 2,432,992 2,650,000 2,624,428 2,625,221 768 768 2,625,990 (192,998) (192,998) 30,243 01/15/2031 2.A FE

29717P-AL-1 ESSEX PORTFOLIO LP CO GUARNT SER 06/16/2021 CALLED @ 104.656 4,709,541 4,500,000 4,432,421 4,481,658 4,367 4,367 4,486,026 13,974 13,974 349,181 01/15/2023 2.A FE

29978C-AA-8 EVERBANK MTG LOAN TR 2018-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 628,778 628,778 627,206 627,322 1,456 1,456 628,778 10,088 02/01/2048 1.A FM

29978C-AU-4 EVERBANK MTG LOAN TR 2018-1 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 222,971 222,971 218,790 219,659 3,312 3,312 222,971 3,577 02/01/2048 1.A FM

30161N-AX-9 EXELON CORP SR NT 05/13/2021 BANK OF AMERICA NA 725,829 650,000 648,661 648,743 42 42 648,786 77,043 77,043 15,503 04/15/2030 2.B FE

30212P-AZ-8 EXPEDIA GRP INC CO GUARNT 144A 06/18/2021 EXCHANGE 530,017 500,000 535,050 (5,033) (5,033) 530,017 9,150 12/15/2023 2.C FE

30212P-BF-1 EXPEDIA GRP INC CO GUARNT 144A 06/18/2021 EXCHANGE 445,968 450,000 445,865 104 104 445,968 3,872 03/15/2031 2.C FE

30212P-BB-0 EXPEDIA GRP INC SR NT 144A 06/18/2021 EXCHANGE 349,991 350,000 349,990 349,990 1 1 349,991 15,018 08/01/2027 2.C FE

00225#-AA-3 FC GRAND RAPIDS MI AMAZON CTL SR SEC 06/30/2021 SCHEDULED REDEMPTION 47,699 47,699 47,699 47,699 47,699 923 09/30/2039 1.E

30259M-AA-4 FCI FUNDING, LLC 2019-1A CL A 144A 06/15/2021 SCHEDULED REDEMPTION 923,998 923,998 923,840 923,862 136 136 923,998 15,965 02/18/2031 1.A FE

31428X-AY-2 FEDEX CORP CO GUARNT 05/20/2021 CALLED @ 109.253 10,925,277 10,000,000 9,982,800 9,994,041 719 719 9,994,760 5,240 5,240 1,264,166 01/15/2024 2.B FE

31428X-BC-9 FEDEX CORP CO GUARNT 05/20/2021 CALLED @ 109.742 9,931,648 9,050,000 8,888,548 8,970,230 7,086 7,086 8,977,316 72,684 72,684 1,114,133 02/01/2025 2.B FE

31429#-AA-2 FEDEX GROUND CHINO LEASE-BACKED CTL 06/15/2021 SCHEDULED REDEMPTION 168,607 168,607 168,607 168,607 168,607 2,779 10/15/2035 2.B

31620M-AK-2 FIDELITY NATIONAL INFORM CO GUARNT 04/01/2021 CALLED @ 106.204 9,558,400 9,000,000 8,942,400 8,984,923 1,584 1,584 8,986,506 13,494 13,494 703,650 04/15/2023 2.B FE

31620M-AM-8 FIDELITY NATIONAL INFORM CO GUARNT 04/01/2021 CALLED @ 110.427 28,431,720 25,747,000 25,646,439 25,706,496 2,781 2,781 25,709,278 37,722 37,722 3,006,200 06/05/2024 2.B FE

31620M-AR-7 FIDELITY NATIONAL INFORM SR NT 04/01/2021 CALLED @ 116.337 11,633,656 10,000,000 9,972,900 9,985,332 680 680 9,986,011 13,989 13,989 1,864,212 10/15/2025 2.B FE

31620M-AT-3 FIDELITY NATIONAL INFORM SR NT 04/01/2021 CALLED @ 109.492 6,569,517 6,000,000 5,883,350 5,918,740 3,277 3,277 5,922,017 77,983 77,983 682,517 08/15/2026 2.B FE

32051D-3G-5 FIRST HORIZON ALT MORT 2004-AA1 CL A1 06/01/2021 SCHEDULED REDEMPTION 38,593 38,593 35,006 36,748 1,844 1,844 38,593 416 06/01/2034 1.A FM

33767C-AD-9 FIRSTKEY MTG TR 2015-1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 691,296 691,296 697,345 695,413 (4,117) (4,117) 691,296 11,821 03/01/2045 1.A FM

33850R-AC-6 FLAGSTAR MTG TR 2017-2 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 656,112 656,112 625,050 612,641 43,471 43,471 656,112 10,771 10/01/2047 1.A FM

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


33850T-AC-2 FLAGSTAR MTG TR 2018-1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 473,988 473,988 469,767 470,852 3,136 3,136 473,988 7,670 03/01/2048 1.A FM

33851H-AD-5 FLAGSTAR MTG TR 2018-2 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 610,278 610,278 594,623 597,311 12,967 12,967 610,278 49,611 04/01/2048 1.A FM

33852B-AL-9 FLAGSTAR MTG TR 2019-2 CL A11 144A 06/01/2021 SCHEDULED REDEMPTION 631,407 631,407 635,699 634,952 (3,544) (3,544) 631,407 10,219 12/01/2049 1.A FM

33852B-AB-1 FLAGSTAR MTG TR 2019-2 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 2,379,350 2,379,350 2,408,906 2,403,751 (24,401) (24,401) 2,379,350 38,509 12/01/2049 1.A FM

33851K-AC-0 FLAGSTAR MTG TR 2020-2 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 3,846,036 3,846,036 3,954,206 3,959,737 (113,702) (113,702) 3,846,036 53,029 08/01/2050 1.A FM

33851K-AG-1 FLAGSTAR MTG TR 2020-2 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 2,564,024 2,564,024 2,618,509 2,613,852 (49,829) (49,829) 2,564,024 35,353 08/01/2050 1.A FM

33852D-AB-7 FLAGSTAR MTG TR 2021-1 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 878,368 878,368 907,738 (29,370) (29,370) 878,368 6,755 01/08/2051 1.A FE

30288*-AE-0 FLNG LIQUEFACTION 2 SR SEC NOTES 06/30/2021 SCHEDULED REDEMPTION 960,000 960,000 960,000 960,000 960,000 12/31/2038 2.B FE

30306V-A#-6 FLNG LIQUEFACTION 3 LLC SEC 06/30/2021 SCHEDULED REDEMPTION 255,000 255,000 255,000 255,000 06/30/2039 2.B FE

30306V-A@-8 FLNG LIQUEFACTION 3 LLC SR SEC 06/30/2021 SCHEDULED REDEMPTION 455,000 455,000 455,000 455,000 455,000 9,919 06/30/2039 2.B FE

343498-AA-9 FLOWERS FOODS INC SR NT 04/08/2021 CALLED @ 103.857 420,621 405,000 417,660 406,920 (405) (405) 406,516 (1,516) (1,516) 24,825 04/01/2022 2.B FE

34411Y-AA-5 FNA VI LLC 2021-1A CL A 144A 05/10/2021 SCHEDULED REDEMPTION 53,121 53,121 53,113 8 8 53,121 265 01/10/2032 1.F FE

34533G-AB-5 FORD CREDIT AUTO OWNER TR 2020-B CL A2 06/15/2021 SCHEDULED REDEMPTION 161,941 161,941 161,933 161,937 4 4 161,941 380 02/15/2023 1.A FE

34533Y-AB-6 FORD CREDIT AUTO OWNER TR 2020-C CL A2 06/15/2021 SCHEDULED REDEMPTION 160,820 160,820 160,818 160,818 3 3 160,820 200 09/15/2023 1.A FE

E5311L-AA-9 FORTINI INVESTMENT SR SEC B 06/30/2021 SCHEDULED REDEMPTION 330,841 330,841 305,414 339,732 (34,318) 305,414 25,426 25,426 3,761 12/31/2038 2.C

E5311L-AB-7 FORTINI INVS SA SR SEC SER . B 06/30/2021 SCHEDULED REDEMPTION 63,550 63,550 60,125 65,258 (5,134) 60,125 3,426 3,426 722 12/31/2038 3.A

35177P-AW-7 FRANCE TELECOM SR NT D 04/01/2021 CALLED @ 101.691 5,084,550 5,000,000 4,949,500 4,995,723 1,505 1,505 4,997,228 2,772 2,772 197,415 09/14/2021 2.A FE

D2736#-AM-1 FRITZ DRAXLMAIER GMBH &CO KG SER L SR NT D 04/06/2021 MATURED 3,000,000 3,000,000 3,000,000 3,000,000 3,000,000 68,080 04/06/2021 2.C PL

36166N-AJ-2 GE CAPITAL FUNDING LLC CO GUARNT 05/17/2021 BNP PARIBAS SEC CORP 227,952 200,000 209,380 (29) (29) 209,351 18,601 18,601 4,498 05/15/2030 2.B FE

36166N-AB-9 GE CAPITAL FUNDING LLC CO GUARNT 144A 05/07/2021 EXCHANGE 209,380 200,000 210,148 209,683 (303) (303) 209,380 4,204 05/15/2030 2.B FE

369604-BY-8 GENERAL ELEC CO SR NT 06/09/2021 TENDER @ 116.942 175,413 150,000 150,264 150,262 (2) (2) 150,260 (260) (260) 29,364 05/01/2050 2.B FE

370334-CG-7 GENERAL MILLS INC SR NT 06/30/2021 ROYAL BANK OF CANADA 1,153,690 1,000,000 1,110,550 1,097,132 (6,098) (6,098) 1,091,033 62,657 62,657 29,750 04/17/2028 2.B FE

37045X-BY-1 GENERAL MOTORS CO SR NT 06/24/2021 GOLDMAN, SACHS & CO 256,285 250,000 258,515 (2,485) (2,485) 256,030 255 255 3,894 06/30/2022 2.C FE

37045X-BM-7 GENERAL MOTORS FINL CO SR NT 06/06/2021 CALLED @ 100.000 7,500,000 7,500,000 7,489,690 7,498,910 913 913 7,499,823 177 177 220,000 07/06/2021 2.C FE

37959G-AB-3 GLBL ATLANTIC FIN CO GUARNT 144A 06/18/2021 STIFEL, NICOLAUS & CO 201,848 200,000 199,626 0 0 199,626 2,222 2,222 87 06/15/2031 2.C Z

37959P-AA-5 GLBL SC FINANCE SRL 2020-1A CL A 144A D 06/17/2021 SCHEDULED REDEMPTION 1,328,680 1,328,680 1,328,617 1,328,619 60 60 1,328,680 13,611 10/17/2040 1.F FE

37959P-AC-1 GLBL SC FINANCE SRL 2020-2A CL A 144A D 06/17/2021 SCHEDULED REDEMPTION 656,912 656,912 656,663 656,670 242 242 656,912 7,013 11/19/2040 1.F FE

37959P-AE-7 GLBL SC FINANCE SRL 2021-1A CL A 144A C 06/17/2021 SCHEDULED REDEMPTION 232,073 232,073 228,845 3,227 3,227 232,073 964 04/17/2041 1.F FE

76112B-YB-0 GMAC MTG CORP LN 2005-AR5 CL 3A1 06/01/2021 SCHDLD REDM/PRIN LOSS 164,389 143,610 153,605 158,335 6,053 6,053 164,389 2,675 09/01/2035 1.D FM

36185N-3U-2 GMAC MTG CORP LN TR 2004-AR2 CL 4A 06/01/2021 SCHEDULED REDEMPTION 6,039 6,039 5,916 6,037 2 2 6,039 89 08/01/2034 1.A FM

38141G-XP-4 GOLDMAN SACHS GRP INC SR NT SER FXD 06/07/2021 GOLDMAN, SACHS & CO 2,501,375 2,500,000 2,501,165 (426) (426) 2,500,739 636 636 4,409 01/27/2023 1.F FE

38217K-AA-2 GOODGREEN TR 2016-1A CL A 144A 06/15/2021 SCHEDULED REDEMPTION 438,721 438,721 438,502 438,537 184 184 438,721 7,085 10/15/2052 1.A FE

38217T-AA-3 GOODGREEN TR 2020-1A CL A 144A 06/15/2021 SCHEDULED REDEMPTION 888,694 888,694 888,250 888,270 424 424 888,694 11,686 04/15/2055 1.A FE

39813#-AA-9 GRIDFLEX GENERATION, LLC SR SEC NT 06/30/2021 SCHEDULED REDEMPTION 575,197 575,197 575,197 575,197 575,197 7,492 12/31/2030 2.C PL

40052V-AB-0 GRUPO BIMBO SAB DE CV CO GUARNT 144A D 04/26/2021 CALLED @ 103.106 15,569,027 15,100,000 14,977,690 15,084,159 4,678 4,678 15,088,837 11,163 11,163 980,540 01/25/2022 2.B FE

36257Q-AA-4 GS MTG SECURITIES 2019-PJ3 CL A1 144A 06/01/2021 VARIOUS 1,902,433 1,902,433 1,922,944 1,919,753 (17,320) (17,320) 1,902,433 36,216 03/01/2050 1.A FM

36258K-AD-0 GS MTG SECURITIES 2020-INV1 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 2,416,664 2,416,664 2,467,640 2,459,989 (43,325) (43,325) 2,416,664 33,121 10/01/2050 1.A FM

36258F-AA-7 GS MTG SECURITIES 2020-PJ1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,125,843 1,125,843 1,147,832 1,144,414 (18,571) (18,571) 1,125,843 18,366 05/01/2050 1.A FM

36258F-AD-1 GS MTG SECURITIES 2020-PJ1 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 1,034,497 1,034,497 1,050,822 1,048,288 (13,791) (13,791) 1,034,497 16,876 05/01/2050 1.A FM

36262D-AA-6 GS MTG SECURITIES 2020-PJ2 CL A1 144A 06/01/2021 VARIOUS 2,985,225 2,985,225 3,054,259 3,041,261 (56,036) (56,036) 2,985,225 67,639 07/01/2050 1.A FM

36262D-AD-0 GS MTG SECURITIES 2020-PJ2 CL A4 144A 06/01/2021 VARIOUS 1,033,347 1,033,347 1,053,368 1,049,603 (16,256) (16,256) 1,033,347 23,413 07/01/2050 1.A FM

36258W-AS-1 GS MTG SECURITIES 2020-PJ3 CL A14 144A 06/01/2021 SCHEDULED REDEMPTION 1,167,115 1,167,115 1,188,816 1,186,555 (19,440) (19,440) 1,167,115 16,251 10/01/2050 1.A FM

36259V-AD-5 GS MTG SECURITIES 2020-PJ4 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 2,131,736 2,131,736 2,182,032 2,178,455 (46,719) (46,719) 2,131,736 29,551 01/01/2051 1.A FM

36261H-AD-2 GS MTG-BACKED SEC 2021-PJ5 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 29,923 29,923 30,091 (168) (168) 29,923 62 10/01/2051 1.B FE

36264P-AD-1 GS MTG-BKED SECS 2021-PJ4 CL A4 144A 06/01/2021 SCHEDULED REDEMPTION 309,352 309,352 312,929 (3,577) (3,577) 309,352 1,289 09/01/2051 1.B FE

362341-6W-4 GSR MORTGAGE LOAN TR 2006-1F CL 1A14 06/01/2021 SCHDLD REDM/PRIN LOSS 115,855 118,756 110,502 114,550 1,305 1,305 115,855 2,933 02/01/2036 4.B FM

362341-6R-5 GSR MORTGAGE LOAN TR 2006-1F CL 1A9 06/01/2021 SCHDLD REDM/PRIN LOSS 160,312 164,325 156,558 159,256 1,056 1,056 160,312 4,059 02/01/2036 4.B FM

362650-AK-9 GSR MORTGAGE LOAN TR 2006-4F CL 2A10 06/01/2021 SCHDLD REDM/PRIN LOSS 319,822 326,111 302,855 354,883 (35,061) (35,061) 319,822 8,627 05/01/2036 6. FM

362650-AH-6 GSR MORTGAGE LOAN TR 2006-4F CL 2A8 06/01/2021 SCHDLD REDM/PRIN LOSS 317,813 321,524 279,430 356,552 (38,739) (38,739) 317,813 5,559 05/01/2036 6. FM

36242D-YD-9 GSR MORTGAGE LOAN TRUST 2005-2F CL 1A6 06/01/2021 SCHEDULED REDEMPTION 230,423 230,423 216,046 225,353 5,070 5,070 230,423 6,337 03/01/2035 1.D FM

362341-VV-8 GSR MORTGAGE LOAN TRUST 2005-8F 2A7 06/01/2021 SCHEDULED REDEMPTION 340,902 340,902 328,238 335,621 5,281 5,281 340,902 8,819 11/01/2035 1.D FM

36228F-YY-6 GSR MTG LOAN TR 2003-13 CL 1A1 06/01/2021 SCHEDULED REDEMPTION 67,029 67,029 65,740 66,918 111 111 67,029 884 10/01/2033 1.A FM

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


362341-R7-6 GSR MTG LOAN TR 2005-9F CL 1A13 06/01/2021 SCHDLD REDM/PRIN LOSS 137,768 139,115 131,124 139,169 (1,400) (1,400) 137,768 4,279 12/01/2035 1.D FM

362341-R8-4 GSR MTG LOAN TR 2005-9F CL 1A14 06/01/2021 SCHDLD REDM/PRIN LOSS 75,484 75,996 74,837 74,042 1,443 1,443 75,484 2,033 12/01/2035 3.B FM

36242D-H7-1 GSR MTG LOAN TR 2005-AR2 CL 2A1 06/01/2021 SCHEDULED REDEMPTION 38,713 38,713 38,041 38,287 426 426 38,713 513 04/01/2035 1.A FM

362341-RZ-4 GSR MTG LOAN TR 2005-AR6 CL 3A1 06/01/2021 SCHEDULED REDEMPTION 7,568 7,568 6,933 7,209 358 358 7,568 113 09/01/2035 1.A FM

362290-AH-1 GSR MTG LOAN TR 2007-AR1 CL 3A1 06/01/2021 SCHDLD REDM/PRIN LOSS 351,918 372,287 339,327 340,144 11,774 11,774 351,918 4,236 03/01/2037 1.D FM

36228F-4R-4 GSR MTG LOAN TR SER 2004-7 CL 3A1 06/01/2021 SCHEDULED REDEMPTION 14,216 14,216 13,643 14,206 10 10 14,216 184 06/01/2034 1.A FM

36256#-AA-9 GSRP PORTFOLIO I LLC 06/30/2021 SCHEDULED REDEMPTION 367,651 367,651 367,651 367,651 367,651 12/31/2044 2.B PL

Q4436#-AA-2 HALLETT HILL NO 2 PTY SER A GTD SR SEC D 06/27/2021 SCHEDULED REDEMPTION 148,966 148,966 148,966 148,966 148,966 2,815 06/27/2027 2.B FE

Q4436#-AB-0 HALLETT HILL NO 2 PTY SER B GTD SR SEC B 06/27/2021 SCHEDULED REDEMPTION 131,333 131,333 129,575 130,969 (1,394) 129,575 1,758 1,758 3,200 06/27/2027 2.B FE

40653*-AA-4 HAMAKUA ENERGY SR SEC 06/30/2021 SCHEDULED REDEMPTION 348,726 348,726 348,726 348,726 348,726 7,009 12/31/2030 2.C PL

41245*-AF-6 HARDY STORAGE CO LLC SR NT 06/01/2021 SCHEDULED REDEMPTION 199,459 199,459 199,459 199,459 199,459 5,544 02/01/2023 2.B

41884#-AA-9 HATCHET RIDGE PTC 06/14/2021 SCHEDULED REDEMPTION 757,156 757,156 757,156 757,156 757,156 22,525 12/14/2029 3.B PL

404119-CB-3 HCA INC SR SEC 06/30/2021 CREDIT SUISSE SEC LLC 5,019,200 5,000,000 4,975,050 3 3 4,975,053 44,147 44,147 972 07/15/2051 2.C FE

423012-AF-0 HEINEKEN NV SR NT 144A D 05/18/2021 VARIOUS 2,735,515 2,500,000 2,626,900 2,612,435 (3,930) (3,930) 2,608,505 127,010 127,010 62,757 01/29/2028 2.A FE

86746C-AA-9 HELIOS ISSUER, LLC 2020-AA CL A 144A 06/20/2021 SCHEDULED REDEMPTION 226,649 226,649 226,634 226,634 15 15 226,649 3,140 06/20/2047 1.G FE

86746E-AA-5 HELIOS ISSUER, LLC 2021-A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 503,717 503,717 503,711 6 6 503,717 2,828 02/20/2048 1.G FE

42710V-AA-2 HERCULES CAP FNDG TR 2018-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 1,774,343 1,774,343 1,774,314 1,774,334 9 9 1,774,343 40,351 11/22/2027 1.F FE

42711A-AA-7 HERCULES CAP FNDG TR 2019-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 2,794,191 2,794,191 2,798,823 2,794,908 (717) (717) 2,794,191 65,643 02/20/2028 1.F FE

42771T-AA-3 HERO FUNDING TR 2015-3A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 304,237 304,237 304,216 304,215 22 22 304,237 7,245 09/20/2041 1.A FE

42770V-AA-9 HERO FUNDING TR 2016-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 294,936 294,936 294,909 294,914 22 22 294,936 5,972 09/20/2041 1.A FE

42770W-AA-7 HERO FUNDING TR 2016-2A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 353,488 353,488 353,373 353,390 99 99 353,488 6,628 09/20/2041 1.A FE

42770X-AA-5 HERO FUNDING TR 2016-3A CL A1 144A 06/20/2021 SCHEDULED REDEMPTION 251,283 251,283 251,263 251,265 18 18 251,283 3,870 09/20/2042 1.A FE

40417Q-AA-3 HERO FUNDING TR 2016-4A CL A1 144A 06/20/2021 SCHEDULED REDEMPTION 221,256 221,256 221,167 221,178 77 77 221,256 3,949 09/20/2047 1.A FE

40417Q-AC-9 HERO FUNDING TR 2016-4A CL A2 144A 06/20/2021 SCHEDULED REDEMPTION 71,373 71,373 73,138 72,903 (1,530) (1,530) 71,373 1,531 09/20/2047 1.A FE

42771X-AA-4 HERO FUNDING TR 2017-1A CL A1 144A 06/20/2021 SCHEDULED REDEMPTION 290,458 290,458 290,341 290,357 101 101 290,458 5,388 09/20/2047 1.A FE

42771X-AC-0 HERO FUNDING TR 2017-1A CL A2 144A 06/20/2021 SCHEDULED REDEMPTION 58,092 58,092 59,532 59,336 (1,245) (1,245) 58,092 1,295 09/20/2047 1.A FE

42771L-AC-6 HERO FUNDING TR 2017-2A CL A2 144A 06/20/2021 SCHEDULED REDEMPTION 113,314 113,314 116,133 116,164 (2,850) (2,850) 113,314 2,306 09/20/2048 1.A FE

42772G-AB-8 HERO FUNDING TR 2018-1A CL A2 144A 06/20/2021 SCHEDULED REDEMPTION 330,363 330,363 338,619 338,810 (8,448) (8,448) 330,363 7,714 09/20/2048 1.A FE

437076-CA-8 HOME DEPOT INC SR NT 05/26/2021 VARIOUS 1,912,101 1,800,000 1,791,234 1,792,098 410 410 1,792,508 119,593 119,593 25,375 04/15/2027 1.F FE

43731Q-AC-2 HOME PART OF AMERICA TR 2019-1 CL B 144A 06/01/2021 SCHEDULED REDEMPTION 472,985 472,985 472,971 472,973 12 12 472,985 7,037 09/01/2039 1.B FE

43731Q-AE-8 HOME PART OF AMERICA TR 2019-1 CL C 144A 06/01/2021 SCHEDULED REDEMPTION 136,094 136,094 136,085 136,087 7 7 136,094 2,088 09/01/2039 1.D FE

43731Q-AG-3 HOME PART OF AMERICA TR 2019-1 CL D 144A 06/01/2021 SCHEDULED REDEMPTION 141,896 141,896 141,894 141,894 1 1 141,896 2,278 09/01/2039 2.A FE

43739E-AJ-6 HOMEBANC MTG TR 2004-2 CL A1 06/25/2021 SCHEDULED REDEMPTION 164,304 164,304 147,463 152,259 12,044 12,044 164,304 633 12/25/2034 1.A FM

44416*-AG-1 HUDSON TRANS SR SEC SER 3 05/31/2021 SCHEDULED REDEMPTION 45,928 45,928 45,928 45,928 45,928 1,020 11/30/2032 2.A PL

44416*-AF-3 HUDSON TRANSMISSION PTRS SR SEC DISB 2 05/31/2021 SCHEDULED REDEMPTION 8,008 8,008 8,008 8,008 8,008 178 11/30/2032 2.A PL

44416*-AE-6 HUDSON TRANSMISSION PTRS SR SEC NT 2032 05/31/2021 SCHEDULED REDEMPTION 10,493 10,493 10,493 10,493 10,493 233 11/30/2032 2.A PL

44416*-AB-2 HUDSON TRANSMISSION PTRS SR SEC NT 2033 05/31/2021 SCHEDULED REDEMPTION 217,252 217,252 217,252 217,252 217,252 4,801 05/31/2033 2.A PL

45112A-AA-5 ICON BRAND HLDGS LLC 2012-1A CL A 144A 04/25/2021 SCHEDULED REDEMPTION 51,266 51,266 51,266 51,266 51,266 1,084 01/25/2043 4.C FE

45112A-AC-1 ICON BRAND HLDGS LLC 2013-1A CL A 144A 04/25/2021 SCHEDULED REDEMPTION 91,096 91,096 91,319 91,096 91,096 1,982 01/25/2043 4.C FE

452308-AP-4 ILLINOIS TOOL WORKS INC SR NT 06/15/2021 CALLED @ 100.000 5,000,000 5,000,000 4,979,163 4,998,167 1,181 1,181 4,999,347 653 653 126,563 09/15/2021 1.F FE

45254N-HS-9 IMPAC CMB TR 2004-4 CL 1A1 06/25/2021 SCHEDULED REDEMPTION 149,624 149,624 134,287 141,586 8,038 8,038 149,624 518 09/25/2034 1.A FM

45254N-ML-8 IMPAC CMB TR 2005-1 CL 1A1 06/25/2021 SCHEDULED REDEMPTION 406,759 406,759 360,453 374,432 32,327 32,327 406,759 1,211 04/25/2035 1.A FM

45254N-MY-0 IMPAC CMB TR 2005-2 CL 1A1 06/25/2021 SCHEDULED REDEMPTION 461,322 461,322 416,105 427,986 33,336 33,336 461,322 1,403 04/25/2035 1.A FM

45254N-PU-5 IMPAC CMB TR 2005-5 CL A1 06/25/2021 SCHEDULED REDEMPTION 149,500 149,500 123,899 130,536 18,964 18,964 149,500 539 08/25/2035 1.A FM

45256#-AB-8 IMPACT CIL PARENT LLC 06/28/2021 SCHEDULED REDEMPTION 342,653 342,653 342,653 342,653 342,653 5,868 10/25/2056 2.B FE

45256H-AE-8 IMPACT FUNDING 2001-A LLC CLASS D 144A 06/01/2021 SCHEDULED REDEMPTION 62,109 62,109 63,680 62,532 (423) (423) 62,109 1,433 07/01/2033 1.B FE

45257H-AA-5 IMPACT FUNDING LLC 2010-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 162,298 162,298 162,298 162,298 162,298 4,125 01/01/2051 1.A FM

45319#-AA-5 IMPERIAL VALLEY SOLAR I LLC SR NT 06/30/2021 SCHEDULED REDEMPTION 119,475 119,475 119,475 119,475 119,475 06/30/2038 2.A PL

45605P-AE-8 INDUSTRIAL DPR FNDG LTD SR SEC 144A D 04/15/2021 SCHEDULED REDEMPTION 1,051,974 1,051,974 1,051,974 1,051,974 1,051,974 31,559 10/15/2021 2.B FE

45605P-AM-0 INDUSTRIAL DPR SR NT SER 16-3 D 04/15/2021 SCHEDULED REDEMPTION 489,593 489,593 489,593 489,593 489,593 12,815 04/15/2026 2.B FE

45661H-AN-7 INDYMAC INDX MTG LN TR 2006-AR25 CL 5A1 06/01/2021 SCHDLD REDM/PRIN LOSS 328,192 327,254 260,120 327,276 916 916 328,192 4,604 09/01/2036 1.D FM

45661H-AE-7 INDYMAC INDX MTG LOAN TR 2006-AR25 3A1 06/01/2021 SCHDLD REDM/PRIN LOSS 227,549 234,219 204,795 225,606 1,943 1,943 227,549 3,645 09/01/2036 1.D FM

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


460690-BN-9 INTERPUBLIC GRP COS SR NT SER 3YR 06/29/2021 MARKETAXESS 302,830 250,000 249,828 249,956 (2,482) (2,482) 249,498 2,707 2,707 57,656 10/01/2021 2.B FE

460146-CP-6 INTL PAPER CO SR NT 05/10/2021 CALLED @ 109.447 7,181,912 6,562,000 6,537,327 6,546,689 821 821 6,547,510 14,490 14,490 764,823 02/15/2027 2.B FE

46124H-AC-0 INTUIT INC SR NT 04/07/2021 GOLDMAN, SACHS & CO 1,825,895 1,850,000 1,848,261 1,848,380 65 65 1,848,445 (22,551) (22,551) 19,425 07/15/2027 1.G FE

462613-AN-0 IPALCO ENTERPRISES INC SEC 144A 05/11/2021 EXCHANGE 249,792 250,000 249,773 249,786 7 7 249,792 5,608 05/01/2030 2.C FE

463556-AD-2 IROQUOIS GAS SR NT 144A 04/30/2021 SCHEDULED REDEMPTION 357,353 357,353 357,353 357,353 357,353 10,899 10/31/2027 2.A FE

46653K-AA-6 JAB HLDGS BV CO GUARNT 144A D 05/06/2021 JEFFERIES LLC 477,435 500,000 498,440 498,455 50 50 498,505 (21,070) (21,070) 5,103 11/23/2030 2.B FE

470170-AB-7 JAMAICA MERCHANT SR NT SER 15-1 D 04/05/2021 SCHEDULED REDEMPTION 1,330,061 1,330,061 1,330,061 1,330,061 1,330,061 45,903 07/08/2022 3.A FE

47717#-AA-9 JETPEAK LLC SEC 06/30/2021 SCHEDULED REDEMPTION 475,005 475,005 475,005 475,005 475,005 5,938 06/30/2037 3.A PL

46667@-AA-3 JH EXGEN HOLDINGS LLC SEC 06/30/2021 SCHEDULED REDEMPTION 1,552,307 1,552,307 1,552,307 1,552,307 1,552,307 46,569 06/30/2030 2.C PL

478160-CP-7 JOHNSON & JOHNSON SR NT 05/26/2021 BANK OF AMERICA NA 690,858 700,000 699,524 699,547 27 27 699,574 (8,716) (8,716) 5,043 09/01/2027 1.A FE

466302-AJ-5 JP MORGAN ALT LOAN TR 2006-S4 CL A6 06/01/2021 SCHDLD REDM/PRIN LOSS 115,136 116,349 96,426 (96,426) (96,426) 115,136 115,136 5,056 12/01/2036 1.A FM

466247-A2-9 JP MORGAN MTG TR 2005-S3 CL 1A13 06/01/2021 SCHDLD REDM/PRIN LOSS 230,175 234,107 217,408 199,733 30,442 30,442 230,175 6,303 01/01/2036 1.D FM

46628B-BJ-8 JP MORGAN MTG TR 2006-A6 CL 3A3 06/01/2021 SCHDLD REDM/PRIN LOSS 89,433 139,261 138,978 89,002 431 431 89,433 1,741 10/01/2036 4.B FM

46630G-AX-3 JP MORGAN MTG TR 2007-A1 CL 6A1 06/01/2021 SCHEDULED REDEMPTION 4,735 4,735 4,326 4,491 244 244 4,735 68 07/01/2035 1.A FM

46630G-BD-6 JP MORGAN MTG TR 2007-A1 CL 7A3 06/01/2021 SCHEDULED REDEMPTION 131,807 131,807 122,789 129,810 1,997 1,997 131,807 1,710 07/01/2035 1.A FM

46630P-AR-6 JP MORGAN MTG TR 2007-A2 CL 3A3 06/01/2021 SCHDLD REDM/PRIN LOSS 968,411 1,033,616 907,473 860,624 107,787 107,787 968,411 14,550 04/01/2037 1.D FM

46631J-AP-3 JP MORGAN MTG TR 2007-A4 CL 3A4 06/01/2021 SCHDLD REDM/PRIN LOSS 293,388 273,864 252,162 276,878 16,510 16,510 293,388 4,362 06/01/2037 1.D FM

46646B-AC-2 JP MORGAN MTG TR 2016-1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 686,638 686,638 704,019 701,870 (15,232) (15,232) 686,638 11,013 05/01/2046 1.A FM

46648C-AB-0 JP MORGAN MTG TR 2017-1 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 1,570,994 1,570,994 1,581,304 1,579,483 (8,489) (8,489) 1,570,994 25,233 01/01/2047 1.A FM

46648H-AC-7 JP MORGAN MTG TR 2017-2 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 934,675 934,675 950,813 947,821 (13,146) (13,146) 934,675 15,056 05/01/2047 1.A FM

46650J-AK-0 JP MORGAN MTG TR 2018-6 CL 1A10 144A 06/01/2021 SCHEDULED REDEMPTION 1,452,055 1,452,055 1,406,678 1,368,809 83,246 83,246 1,452,055 23,464 12/01/2048 1.A FM

46650M-AC-1 JP MORGAN MTG TR 2018-8 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 2,270,296 2,270,296 2,233,239 2,200,278 70,018 70,018 2,270,296 41,795 01/01/2049 1.A FM

46649Y-AC-9 JP MORGAN MTG TR 2018-9 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 575,899 575,899 571,579 572,516 3,382 3,382 575,899 10,680 09/25/2040 1.A FM

465964-AC-8 JP MORGAN MTG TR 2018-LTV CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 2,018,953 2,018,953 2,036,304 2,059,395 (40,441) (40,441) 2,018,953 41,155 04/01/2049 1.A FM

46650H-AC-2 JP MORGAN MTG TR 2019-1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 2,471,802 2,471,802 2,465,237 2,466,624 5,179 5,179 2,471,802 44,491 05/01/2049 1.A FM

46650T-AQ-5 JP MORGAN MTG TR 2019-2 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 223,108 223,108 224,502 224,250 (1,142) (1,142) 223,108 3,963 08/01/2049 1.A FM

46650T-AC-6 JP MORGAN MTG TR 2019-2 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 422,314 422,314 427,593 426,635 (4,322) (4,322) 422,314 7,501 08/01/2049 1.A FM

46650Q-AS-7 JP MORGAN MTG TR 2019-3 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 136,950 136,950 137,698 137,604 (654) (654) 136,950 2,577 09/01/2049 1.A FM

46650Q-AC-2 JP MORGAN MTG TR 2019-3 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 746,997 746,997 755,751 754,643 (7,646) (7,646) 746,997 14,054 09/01/2049 1.A FM

46591F-AC-8 JP MORGAN MTG TR 2019-5 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,408,193 1,408,193 1,439,877 1,455,337 (47,144) (47,144) 1,408,193 25,586 11/01/2049 1.A FM

46651B-AR-1 JP MORGAN MTG TR 2019-6 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 1,665,672 1,665,672 1,684,424 1,693,687 (28,015) (28,015) 1,665,672 26,315 12/01/2049 1.A FM

46651B-AC-4 JP MORGAN MTG TR 2019-6 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 4,698,049 4,698,049 4,771,456 4,806,144 (108,095) (108,095) 4,698,049 74,222 12/01/2049 1.A FM

46651G-AR-0 JP MORGAN MTG TR 2019-7 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 877,478 877,478 884,607 883,379 (5,901) (5,901) 877,478 13,793 02/01/2050 1.A FM

46651G-AC-3 JP MORGAN MTG TR 2019-7 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 3,701,656 3,701,656 3,747,927 3,769,806 (68,149) (68,149) 3,701,656 58,187 02/01/2050 1.A FM

46591K-AC-7 JP MORGAN MTG TR 2019-8 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 2,283,373 2,283,373 2,312,985 2,327,580 (44,207) (44,207) 2,283,373 37,280 03/01/2050 1.A FM

46651Y-BG-4 JP MORGAN MTG TR 2019-9 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 3,565,204 3,565,204 3,587,486 3,579,643 (14,439) (14,439) 3,565,204 57,834 05/01/2050 1.A FM

46650P-AC-4 JP MORGAN MTG TR 2019-LTV CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,912,492 1,912,492 1,919,365 1,918,063 (5,570) (5,570) 1,912,492 35,291 06/01/2049 1.A FM

46651H-AC-1 JP MORGAN MTG TR 2019-LTV CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,463,968 1,463,968 1,483,412 1,480,406 (16,438) (16,438) 1,463,968 23,788 03/01/2050 1.A FM

46651X-BH-4 JP MORGAN MTG TR 2020-1 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 1,794,028 1,794,028 1,827,667 1,821,870 (27,841) (27,841) 1,794,028 29,283 06/01/2050 1.A FM

46651X-AC-6 JP MORGAN MTG TR 2020-1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 5,884,413 5,884,413 6,016,813 6,042,854 (158,440) (158,440) 5,884,413 96,047 06/01/2050 1.A FM

46591T-BG-8 JP MORGAN MTG TR 2020-2 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 2,121,088 2,121,088 2,164,505 2,172,762 (51,673) (51,673) 2,121,088 34,591 07/01/2050 1.A FM

46591T-AC-8 JP MORGAN MTG TR 2020-2 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 3,599,423 3,599,423 3,684,347 3,700,468 (101,045) (101,045) 3,599,423 58,699 07/01/2050 1.A FM

46652F-AC-4 JP MORGAN MTG TR 2020-4 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 995,594 995,594 1,022,506 1,018,997 (23,403) (23,403) 995,594 13,782 11/01/2050 1.A FM

46653J-BK-6 JP MORGAN MTG TR 2020-5 CL A13 144A 06/01/2021 SCHEDULED REDEMPTION 2,505,647 2,505,647 2,583,948 2,575,399 (69,752) (69,752) 2,505,647 35,133 12/01/2050 1.A FM

46653J-BM-2 JP MORGAN MTG TR 2020-5 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 2,505,647 2,505,647 2,571,420 2,564,248 (58,602) (58,602) 2,505,647 35,133 12/01/2050 1.A FM

46653J-AC-5 JP MORGAN MTG TR 2020-5 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 3,340,862 3,340,862 3,445,264 3,452,302 (111,439) (111,439) 3,340,862 46,844 12/01/2050 1.A FM

46591X-BT-1 JP MORGAN MTG TR 2020-7 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 3,143,318 3,143,318 3,216,989 3,210,046 (66,728) (66,728) 3,143,318 43,817 01/01/2051 1.A FM

46591V-AC-3 JP MORGAN MTG TR 2020-INV CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,572,482 1,572,482 1,615,725 1,614,238 (41,756) (41,756) 1,572,482 25,701 08/01/2050 1.A FM

46652K-BK-4 JP MORGAN MTG TR 2020-INV2 CL A13 144A 06/01/2021 SCHEDULED REDEMPTION 2,929,538 2,929,538 3,027,036 3,033,873 (104,336) (104,336) 2,929,538 40,651 10/01/2050 1.A FM

46652K-BM-0 JP MORGAN MTG TR 2020-INV2 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 804,305 804,305 826,046 823,927 (19,622) (19,622) 804,305 11,161 10/01/2050 1.A FM

46592K-BL-5 JP MORGAN MTG TR 2021-3 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 824,432 824,432 846,589 (22,157) (22,157) 824,432 6,467 06/07/2051 1.A FE

46652V-BN-4 JP MORGAN MTG TR 2021-4 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 645,405 645,405 650,952 (5,546) (5,546) 645,405 3,734 08/01/2051 1.A FE

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


466247-NX-7 JP MORGAN MTG TRUST 2005-A2 CL 6A1 06/01/2021 SCHEDULED REDEMPTION 2,474 2,474 2,453 2,474 0 0 2,474 31 04/01/2035 1.A FM

466247-VG-5 JP MORGAN MTG TRUST 2005-S2 CL 2A14 06/01/2021 VARIOUS 864,446 831,692 832,305 842,502 21,944 21,944 864,446 22,806 09/01/2035 4.B FM

46625H-JE-1 JPMORGAN CHASE & CO SR NT 04/15/2021 MARKETAXESS 260,590 250,000 263,495 260,126 (1,747) (1,747) 258,380 2,210 2,210 4,649 09/23/2022 1.F FE

46625H-KC-3 JPMORGAN CHASE & CO SR NT 04/15/2021 MARKETAXESS 537,375 500,000 497,475 498,563 100 100 498,663 38,712 38,712 11,545 01/23/2025 1.F FE

46625H-JZ-4 JPMORGAN CHASE & CO SUB 04/07/2021 GOLDMAN, SACHS & CO 2,257,140 2,000,000 2,185,260 2,158,196 (6,710) (6,710) 2,151,486 105,654 105,654 26,125 12/15/2026 1.G FE

46652H-BK-1 JPMORGAN WLTH MGMT 2020-ATR1 CL A13 144A 06/01/2021 SCHEDULED REDEMPTION 3,964,618 3,964,618 4,092,230 4,108,624 (144,005) (144,005) 3,964,618 54,148 02/01/2050 1.A FM

46652H-BM-7 JPMORGAN WLTH MGMT 2020-ATR1 CL A15 144A 06/01/2021 SCHEDULED REDEMPTION 661,837 661,837 680,658 680,091 (18,254) (18,254) 661,837 9,039 02/01/2050 1.A FM

46652H-AC-0 JPMORGAN WLTH MGMT 2020-ATR1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 778,032 778,032 803,075 802,319 (24,287) (24,287) 778,032 10,626 02/01/2050 1.A FM

485170-BC-7 KANSAS CITY SOUTHERN CO GUARNT 04/30/2021 SUNTRUST CPTL MKTS 1,096,500 1,000,000 995,020 995,054 11 11 995,064 101,436 101,436 19,717 11/15/2069 2.B FE

G5241#-AF-4 KERRY GRP PLC SR NT SER C D 06/23/2021 CALLED @ 102.507 2,050,142 2,000,000 2,146,240 2,022,674 (10,186) (10,186) 2,012,488 (12,488) (12,488) 141,347 01/20/2022 2.B

49271V-AE-0 KEURIG DR PEPPER INC CO GUARNT 05/25/2021 MATURED 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 17,755 05/25/2021 2.B FE

28370T-AG-4 KINDER MORGAN ENER PART CO GUARNT 06/30/2021 SUSQUEHANNA FINANCIAL 272,493 250,000 252,615 251,519 (216) (216) 251,303 21,189 21,189 7,197 05/01/2024 2.B FE

496902-AJ-6 KINROSS GOLD CORP CO GUARNT A 06/01/2021 CALLED @ 100.000 7,000,000 7,000,000 6,963,126 6,996,711 3,289 3,289 7,000,000 269,063 09/01/2021 2.C FE

50077L-AD-8 KRAFT HEINZ FOODS CO GUARNT 04/19/2021 MORGAN STANLEY CPTL 490,201 463,000 458,222 458,804 217 217 459,021 31,180 31,180 5,387 06/01/2026 3.A FE

48270C-AA-3 KST ELECTRIC POWER SR SEC NTS D 06/30/2021 SCHEDULED REDEMPTION 508,482 508,482 508,482 508,482 508,482 8,390 12/31/2037 5.B GI

12730*-AA-0 KUM & GO DES MOINES IA CTL SR NT 06/15/2021 SCHEDULED REDEMPTION 133,931 133,931 133,931 133,931 133,931 2,942 09/15/2045 4.A

521615-AA-2 LEA POWER PARTNERS LLC SEC NT 144A 06/15/2021 SCHEDULED REDEMPTION 151,164 151,164 151,164 151,164 151,164 4,985 06/15/2033 3.A FE

52520N-BP-5 LEHMAN MTG TR 2006-6 CL 5A1 06/25/2021 SCHEDULED REDEMPTION 569,554 569,554 414,622 403,240 166,314 166,314 569,554 1,710 12/25/2036 1.D FM

86359D-US-4 LEHMAN XS TR 2005-5N CL 3A1B 06/01/2021 SCHEDULED REDEMPTION 574,445 574,445 521,206 545,942 28,503 28,503 574,445 3,408 11/01/2035 1.A FM

52532X-AA-3 LEIDOS INC CO GUARNT 144A 06/23/2021 EXCHANGE 782,423 750,000 789,218 (6,795) (6,795) 782,423 13,398 05/15/2023 2.C FE

52532X-AC-9 LEIDOS INC CO GUARNT 144A 06/23/2021 EXCHANGE 9,971,608 10,000,000 9,964,200 9,968,396 3,212 3,212 9,971,608 219,514 05/15/2025 2.C FE

52532X-AE-5 LEIDOS INC CO GUARNT 144A 06/23/2021 EXCHANGE 19,766,438 20,000,000 19,743,200 19,756,338 10,099 10,099 19,766,438 529,861 05/15/2030 2.C FE

52532X-AG-0 LEIDOS INC CO GUARNT 144A 06/23/2021 EXCHANGE 45,536,028 46,000,000 45,521,920 39,810,612 10,296 10,296 45,536,028 619,594 02/15/2031 2.C FE

52532X-AB-1 LEIDOS INC CO GUARNT SER WI 06/29/2021 MILLENNIUM ADVISORS 779,933 750,000 782,423 (378) (378) 782,045 (2,112) (2,112) 2,827 05/15/2023 2.C Z

53688T-AA-2 LITIGATION FEE RESIDUAL FDG 2015-1 LLC 04/29/2021 SCHEDULED REDEMPTION 1,853,854 1,853,854 1,856,555 1,855,685 (1,830) (1,830) 1,853,854 37,077 10/30/2027 1.G PL

50209L-AA-5 LMRK ISSUER CO. LLC 2018-1A CL C 144A 06/15/2021 SCHEDULED REDEMPTION 102,500 102,500 102,471 102,487 13 13 102,500 1,929 06/15/2048 1.G FE

53948N-AA-1 LOANPAL SOLAR LTD 2020-3GS CL A 144A C 06/20/2021 SCHEDULED REDEMPTION 650,580 650,580 650,311 636,092 14,488 14,488 650,580 7,643 12/20/2047 1.F FE

53948P-AA-6 LOANPAL SOLAR LTD. 2021-1GS CL A 144A C 06/20/2021 SCHEDULED REDEMPTION 624,514 624,514 624,481 624,481 33 33 624,514 6,018 01/20/2048 1.F FE

53948Q-AA-4 LOANPAL SOLAR LTD. 2021-2GS CL A 144A C 06/20/2021 SCHEDULED REDEMPTION 549,394 549,394 549,344 49 49 549,394 2,283 03/20/2048 1.F FE

543064-AA-7 LONGITUDINAL 2 PAMPI FDG B V SR SEC D 04/30/2021 SCHEDULED REDEMPTION 740,028 740,028 740,028 740,028 740,028 19,352 10/31/2033 2.B PL

548661-DX-2 LOWE'S COS INC SR NT 06/08/2021 WELLS FARGO BANK, N.A. 1,405,500 1,450,000 1,448,971 1,448,996 58 58 1,449,054 (43,554) (43,554) 11,938 04/15/2028 2.A FE

50247V-AA-7 LYB INTL FINANCE BV CO GUARNT 06/29/2021 CALLED @ 107.074 2,319,228 2,166,000 2,137,365 2,157,577 1,572 1,572 2,159,150 6,850 6,850 236,018 07/15/2023 2.C FE

55953R-AL-5 MAGNETITE CLO LTD 2015-16A CL AR 144A 04/19/2021 SCHEDULED REDEMPTION 2,183 2,183 2,183 2,183 11 01/18/2028 1.A FE

571676-AN-5 MARS INC SR NT 144A 04/07/2021 GOLDMAN, SACHS & CO 2,180,025 2,350,000 2,349,248 2,349,262 8 8 2,349,270 (169,245) (169,245) 40,774 07/16/2040 1.F FE

571748-AR-3 MARSH & MCLENNAN COS INC SR NT 04/15/2021 CALLED @ 100.000 12,600,000 12,600,000 12,681,638 12,605,391 (2,886) (2,886) 12,602,505 (2,505) (2,505) 453,600 07/15/2021 2.A FE

57385L-AB-4 MARVELL TECHNOLOGY GRP SR NT 05/04/2021 EXCHANGE 541,711 500,000 549,001 543,462 (1,751) (1,751) 541,711 8,938 06/22/2028 2.C FE

55280M-AA-4 MAS GA LFG LLC SR NT SER 2015 144A 06/01/2021 SCHEDULED REDEMPTION 432,678 432,678 432,678 432,678 432,678 10,817 12/01/2035 3.A PL

574599-BN-5 MASCO CORP SR NT 04/07/2021 GOLDMAN, SACHS & CO 2,199,500 2,000,000 2,072,460 2,063,763 (2,286) (2,286) 2,061,477 138,023 138,023 28,000 11/15/2027 2.B FE

81786@-AA-6 MASCO CORPORATION CTL PTC SER A1 06/15/2021 SCHEDULED REDEMPTION 200,734 200,734 200,734 200,734 200,734 5,277 05/15/2032 2.B

57643L-LF-1 MASTER ASSET BACKED SEC TR 2005-AB1 CLA6 06/01/2021 SCHDLD REDM/PRIN LOSS 74,604 74,604 70,657 72,775 1,829 1,829 74,604 998 11/01/2035 1.D FM

57643L-NW-2 MASTER ASSET BACKED SEC TR 2006-AB1 A3B 06/01/2021 SCHDLD REDM/PRIN LOSS 568,216 568,216 458,039 508,278 59,938 59,938 568,216 10,365 02/01/2036 1.D FM

57643L-NX-0 MASTER ASSET BACKED SEC TR 2006-AB1 A4 06/01/2021 SCHEDULED REDEMPTION 45,848 45,848 43,459 45,848 0 0 45,848 835 02/01/2036 2.B FM

57643M-LE-2 MASTER ASSET SECURITIZATION 2005-2 CL1A5 05/01/2021 SCHEDULED REDEMPTION 78,542 78,542 75,038 77,163 1,379 1,379 78,542 1,718 11/01/2035 1.A FM

04877Q-AB-0 MEADOW CREEK PROJECT ATLANTIC OK SR SEC 06/30/2021 SCHEDULED REDEMPTION 709,359 709,359 709,359 709,359 709,359 16,954 12/31/2037 2.C PL

55396#-AA-0 MEC HOLDINGS LLC SEC 06/30/2021 SCHEDULED REDEMPTION 193,715 193,715 193,715 193,715 193,715 2,793 05/31/2039 2.B PL

585499-AB-2 MELLO MTG CAP ACC 2018-MTG CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 2,260,755 2,260,755 2,231,789 2,240,280 20,475 20,475 2,260,755 40,539 10/01/2048 1.A FM

585495-BN-3 MELLO MTG CAP ACC 2021-MTG1 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 580,688 580,688 583,591 (2,903) (2,903) 580,688 3,196 04/01/2051 1.B FE

59020U-2H-7 MERRILL LYNCH 2005-A9 CL 2A1E 06/01/2021 VARIOUS 91,556 71,212 57,860 64,098 27,458 27,458 91,556 891 12/01/2035 1.D FM

59020U-SH-9 MERRILL LYNCH MTG INVESTO 2005-A2 CL A1 06/01/2021 SCHEDULED REDEMPTION 67,294 67,294 66,705 66,978 316 316 67,294 851 02/01/2035 1.A FM

59020U-SJ-5 MERRILL LYNCH MTG INVESTO 2005-A2 CL A2 06/01/2021 SCHEDULED REDEMPTION 41,498 41,498 37,037 39,199 2,300 2,300 41,498 525 02/01/2035 1.A FM

59020U-HL-2 MERRILL LYNCH MTG INVS 2004-A3 CL 4A1 06/01/2021 SCHEDULED REDEMPTION 6,970 6,970 6,990 6,972 (2) (2) 6,970 121 05/01/2034 1.A FM

59284B-AB-4 MEXICHEM SAB DE CV SR NT 144A D 05/26/2021 TENDER @ 105.575 9,501,750 9,000,000 8,956,820 8,990,958 2,053 2,053 8,993,011 6,989 6,989 802,781 09/19/2022 2.C FE

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


552747-AA-5 MFRA TR 2021-INV1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 347,032 347,032 347,024 8 8 347,032 1,148 01/01/2056 1.A FE

552747-AB-3 MFRA TR 2021-INV1 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 173,516 173,516 173,514 2 2 173,516 712 01/01/2056 1.C FE

552747-AC-1 MFRA TR 2021-INV1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 270,511 270,511 270,511 1 1 270,511 1,325 01/01/2056 1.F FE

59524Q-AA-3 MID-ATLANTIC INTERSTATE SR NT 144A 05/20/2021 J P MORGAN SEC INC 331,899 300,000 328,674 328,674 3,225 3,225 308 05/15/2028 2.B Z

59801M-AA-6 MIDOCEAN CREDIT CLO 2018-8A CL A1 144A D 04/06/2021 CALLED @ 100.000 2,180,000 2,180,000 2,156,020 2,157,605 1,353 1,353 2,158,958 21,042 21,042 11,289 02/20/2031 1.A FE

59560U-AA-9 MID-STATE TRUST SER 2004-1 CL A 06/01/2021 SCHEDULED REDEMPTION 247,548 247,548 247,546 247,548 247,548 7,071 08/01/2037 1.B FE

60040#-AA-0 MILLENNIUM PIPELINE CO LLC SER SEC SER A 06/30/2021 SCHEDULED REDEMPTION 532,385 532,385 532,385 532,385 532,385 14,188 06/30/2027 1.G PL

606822-AQ-7 MITSUBISHI UFJ FIN GRP SR NT FRN D 04/22/2021 MIZUHO SEC USA INC 3,528,672 3,500,000 3,511,599 3,506,583 (1,321) (1,321) 3,505,262 23,410 23,410 17,805 07/25/2022 1.G FE

609207-AB-1 MONDELEZ INTL SR NT 04/01/2021 VARIOUS 555 555 555 (555) (555) 1,169,805 02/01/2024 2.B FE

609207-AX-3 MONDELEZ INTL SR NT 04/07/2021 GOLDMAN, SACHS & CO 1,384,380 1,500,000 1,489,530 1,489,832 254 254 1,490,085 (105,705) (105,705) 13,494 02/04/2031 2.B FE

61748H-AR-2 MORGAN STAN MTG LOAN T 2004-5AR CL 3A1 06/01/2021 SCHEDULED REDEMPTION 17,122 17,122 15,592 16,452 671 671 17,122 183 07/01/2034 1.A FM

61748H-KJ-9 MORGAN STANLEY MTG 2005-4 CL 5A6 06/01/2021 SCHDLD REDM/PRIN LOSS 476,499 544,756 523,922 469,570 6,929 6,929 476,499 13,441 08/01/2035 3.B FM

61748H-CZ-2 MORGAN STANLEY MTG LN TR 2004-4 CL 1A3 06/01/2021 SCHEDULED REDEMPTION 24,018 24,018 24,472 24,208 (191) (191) 24,018 583 08/01/2034 1.A FM

61748H-KD-2 MORGAN STANLEY MTG LN TR 2005-4 CL 5A1 06/01/2021 SCHDLD REDM/PRIN LOSS 32,414 37,302 36,765 32,208 206 206 32,414 921 08/01/2035 3.B FM

61748H-PV-7 MORGAN STANLEY MTG LN TR 2005-7 CL 7A10 06/01/2021 SCHDLD REDM/PRIN LOSS 118,002 125,424 89,151 (89,151) (89,151) 118,002 118,002 3,174 11/01/2035 1.D FM

61748H-BQ-3 MORGAN STANLEY MTG LOAN T 2004-6AR CL 3A 06/01/2021 SCHEDULED REDEMPTION 16,756 16,756 15,709 15,823 933 933 16,756 216 08/01/2034 1.A FM

61748H-JC-6 MORGAN STANLEY MTG LOAN TR 2005-1 CL 3A3 06/01/2021 SCHEDULED REDEMPTION 275,682 275,682 273,097 274,485 1,197 1,197 275,682 6,842 03/01/2035 1.A FM

61749J-AV-8 MORGAN STANLEY MTG LOAN TR 2006-7 5A5 06/01/2021 SCHDLD REDM/PRIN LOSS 36,583 26,377 12,629 17,335 19,247 19,247 36,583 257 06/01/2036 1.D FM

61748H-HX-2 MORGAN STANLEY MTG TR SER 2005-1 CL 1A6 06/01/2021 SCHEDULED REDEMPTION 109,682 109,682 105,545 109,017 664 664 109,682 2,874 03/01/2035 1.A FM

61746B-EC-6 MORGAN STANLEY SR NT FRN 04/19/2021 MIZUHO SEC USA INC 6,613,065 6,500,000 6,598,400 6,559,720 (9,497) (9,497) 6,550,223 62,841 62,841 48,955 10/24/2023 1.G FE

61946N-AB-4 MOSAIC SOLAR LOANS LLC 2020-1A CL B 144A 06/20/2021 SCHEDULED REDEMPTION 367,258 367,258 367,179 367,185 73 73 367,258 5,342 04/20/2046 1.F FE

61947D-AB-5 MOSAIC SOLAR LOANS LLC 2021-1A CL B 144A 06/20/2021 SCHEDULED REDEMPTION 756,603 756,603 751,873 4,730 4,730 756,603 3,548 12/20/2046 1.G FE

61913P-AA-0 MTGIT TR 2004-1 CL A1 06/25/2021 SCHEDULED REDEMPTION 192,344 192,344 164,783 169,971 22,372 22,372 192,344 782 11/25/2034 1.A FM

61913P-AP-7 MTGIT TR 2005-1 CL 1A1 06/25/2021 SCHEDULED REDEMPTION 111,188 111,188 88,847 98,984 12,204 12,204 111,188 390 02/25/2035 1.A FM

626717-AG-7 MURPHY OIL CORP SR NT 06/15/2021 UBS SECURITIES LLC 1,990,000 2,000,000 1,866,180 1,879,617 1,115 1,115 1,880,731 109,269 109,269 69,417 12/01/2042 3.C FE

626717-AM-4 MURPHY OIL CORP SR NT 05/07/2021 UBS SECURITIES LLC 10,060,000 10,000,000 10,000,000 10,000,000 10,000,000 60,000 60,000 239,406 12/01/2027 3.C FE

55400E-AA-7 MVW 2020-1 LLC 2020-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 871,660 871,660 871,556 871,560 99 99 871,660 7,149 10/20/2037 1.A FE

G6363#-AJ-6 NAC AVIATION 29 DAC SER I SR NT D 05/01/2021 EXCHANGE 15,334,146 15,334,146 15,334,146 15,000,000 15,334,146 334,146 02/27/2023 4.B PL

G6363#-AV-9 NAC AVIATION 29 DAC SER I SR NT D 06/30/2021 VARIOUS 10,733,902 15,334,146 10,733,902 4,600,244 (4,600,244) 10,733,902 386,421 02/27/2024 6. PL

G6363#-AK-3 NAC AVIATION 29 DAC SER J SR NT D 05/01/2021 EXCHANGE 35,802,424 35,802,424 35,802,424 35,000,000 35,802,424 802,424 02/27/2025 4.B PL

G6363#-AW-7 NAC AVIATION 29 DAC SER J SR NT D 06/30/2021 VARIOUS 25,061,697 35,802,424 25,061,697 10,740,727 (10,740,727) 25,061,697 925,493 02/27/2026 6. PL

G6363#-AL-1 NAC AVIATION 29 DAC SER K SR NT D 05/01/2021 EXCHANGE 10,239,264 10,239,264 10,239,264 10,000,000 10,239,264 239,264 02/27/2027 4.B PL

G6363#-AX-5 NAC AVIATION 29 DAC SER K SR NT D 06/30/2021 VARIOUS 7,167,485 10,239,264 7,167,485 3,071,779 (3,071,779) 7,167,485 274,924 02/27/2028 6. PL

P7077@-AH-7 NASSAU AIRPORT DEV CO LTD SER A SR NT D 06/30/2021 SCHEDULED REDEMPTION 75,000 75,000 75,000 75,000 75,000 2,378 03/31/2035 3.C PL

P7077@-AF-1 NASSAU AIRPORT DEV CO LTD SR NT D 06/30/2021 SCHEDULED REDEMPTION 100,000 100,000 100,000 100,000 100,000 3,500 11/30/2033 3.C PL

P7077@-AK-0 NASSAU AIRPORT DEVELOPMENT SER C SR NT D 06/30/2021 SCHEDULED REDEMPTION 40,000 40,000 40,000 40,000 40,000 1,288 06/30/2035 3.C PL

63941G-AA-2 NAVIENT STDNT LN TR 2020-BA CL A1 144A 06/15/2021 SCHEDULED REDEMPTION 103,625 103,625 103,781 103,791 (166) (166) 103,625 467 01/15/2069 1.A FE

63942B-AA-2 NAVIENT STUDENT LOAN TR 2021-A CL A 144A 06/15/2021 SCHEDULED REDEMPTION 36,335 36,335 36,330 5 5 36,335 108 05/15/2069 1.A FE

62878U-2B-7 NBN CO LTD SR NT 144A D 06/01/2021 TRANSFER TO SA 14,992,250 15,000,000 14,992,200 50 50 14,992,250 28,438 05/05/2031 1.E FE

640315-AK-3 NELNET STUDENT LOAN TR 2006-2 CL A6 144A 04/26/2021 SCHEDULED REDEMPTION 64,306 64,306 64,364 64,342 (36) (36) 64,306 145 04/25/2031 1.A FE

64318@-AA-9 NEW CARDINALS STADIUM LLC SR SEC NT A 06/30/2021 SCHEDULED REDEMPTION 387,467 387,467 387,467 387,467 387,467 06/30/2032 2.B PL

643528-AF-9 NEW CENTURY ALT MTG 2006-ALT1 CL AF6 06/01/2021 SCHDLD REDM/PRIN LOSS 91,820 91,820 66,496 34,220 57,600 57,600 91,820 759 07/01/2036 1.D FM

65120F-AC-8 NEWCREST FINANCE PTY LTD CO GUARNT 144A D 04/28/2021 CALLED @ 105.242 10,524,200 10,000,000 9,941,900 9,987,991 2,161 2,161 9,990,152 9,848 9,848 765,700 10/01/2022 2.B FE

651290-AP-3 NEWFIELD EXPLORATION CO SR NT 06/18/2021 CALLED @ 103.199 3,095,979 3,000,000 2,997,784 2,999,703 125 125 2,999,828 172 172 248,354 01/30/2022 3.A FE

651639-AR-7 NEWMONT GOLDCORP CORP CO GUARNT 04/09/2021 CALLED @ 100.000 5,000,000 5,000,000 4,998,151 4,999,546 281 281 4,999,828 172 172 60,417 06/09/2021 2.A FE

65339K-BM-1 NEXTERA ENERGY CAPITAL CO GUARNT 04/22/2021 CITIGROUP GLBL MKT INC 2,602,650 2,500,000 2,494,965 2,495,519 143 143 2,495,662 106,988 106,988 33,420 11/01/2029 2.A FE

62928C-AA-0 NGPL PIPECO LLC SR NT 144A 05/06/2021 MORGAN STANLEY CPTL 252,938 250,000 249,813 249,813 3,125 3,125 07/15/2031 2.C FE

65548P-AF-3 NORBORD INC SR SEC 144A A 05/06/2021 CALLED @ 108.972 544,860 500,000 521,750 517,276 (1,640) (1,640) 515,636 (15,636) (15,636) 68,100 07/15/2027 3.A FE

65563#-AA-6 NORDIC HELIUM FUNDING, LLC CL A ABS 06/03/2021 SCHEDULED REDEMPTION 236,688 236,688 236,688 236,688 236,688 4,985 02/28/2032 1.G PL

G1263@-AA-9 NORDIC INFRAST SEC SER BID2 D 04/01/2021 CALLED @ 108.113 5,974,347 5,526,019 5,437,462 5,441,295 8,794 8,794 5,450,089 75,930 75,930 606,399 06/12/2026 4.C PL

655664-AT-7 NORDSTROM INC SR NT 05/25/2021 BARCLAYS CAPITAL INC 1,038,770 1,000,000 1,022,110 1,020,371 (742) (742) 1,019,629 19,141 19,141 28,681 04/01/2030 2.C FE

655844-CE-6 NORFOLK SOUTHERN CORP SR NT 04/07/2021 GOLDMAN, SACHS & CO 2,416,693 2,350,000 2,338,774 2,339,927 277 277 2,340,204 76,489 76,489 26,300 11/01/2029 2.A FE

E05.1

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


62946A-AA-2 NP SPE II LLC 2016-1A CL A1 144A 06/20/2021 SCHEDULED REDEMPTION 312,138 312,138 312,138 312,138 312,138 6,073 04/20/2046 1.F FE

62940Q-AA-3 NSG HLDGS LLC/NSG HLD SEC 144A 06/15/2021 SCHEDULED REDEMPTION 769,220 769,220 789,457 780,480 (11,260) (11,260) 769,220 29,807 12/15/2025 2.C FE

67389M-AC-5 OAKS MTG TR SER 2015-1 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,297,408 1,297,408 1,322,950 1,315,981 (18,573) (18,573) 1,297,408 20,746 04/01/2046 1.A FM

67400A-AC-6 OAKS MTG TR SER 2015-2 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,280,618 1,280,618 1,283,219 1,282,602 (1,985) (1,985) 1,280,618 20,727 10/01/2045 1.A FM

67502#-AA-6 OCEAN SPRAY CTL SER A-1 06/15/2021 SCHEDULED REDEMPTION 153,380 153,380 153,380 151,951 1,430 1,430 153,380 2,456 08/15/2036 2.C

677730-A@-2 OHIO VALLEY ELEC SR NT SER 2007-B 06/15/2021 SCHEDULED REDEMPTION 67,381 67,381 67,381 67,381 67,381 2,190 06/15/2040 3.A

681919-BD-7 OMNICOM GRP INC SR NT 05/10/2021 VARIOUS 6,998,740 7,000,000 6,987,610 8 8 6,987,618 11,122 11,122 1,300 08/01/2031 2.A FE

68241F-AA-0 ONE LINCOLN STREET 2004-C3 CL A1 144A 06/11/2021 SCHEDULED REDEMPTION 864,207 864,207 829,434 857,508 6,699 6,699 864,207 23,603 10/11/2030 1.A FM

67113X-AU-4 ONSLOW BAY FIN LLC 2021-J1 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 175,335 175,335 176,677 (1,342) (1,342) 175,335 731 05/01/2051 1.A FE

67100*-AA-6 ONY FUNDING, LLC RECVS BACKED NOTES 04/15/2021 SCHEDULED REDEMPTION 127,491 127,491 127,491 127,491 1,354 12/31/2037 1.F FE

P8711*-AA-4 OPAIN SA SR SEC D 06/15/2021 SCHEDULED REDEMPTION 1,862,480 1,862,480 1,862,480 1,862,480 1,862,480 38,088 12/15/2026 3.A FE

68389X-BX-2 ORACLE CORP SR NT 04/26/2021 BANK OF AMERICA NA 14,927,550 15,000,000 14,551,773 385 385 14,552,158 375,392 375,392 40,500 04/01/2050 2.A FE

68389X-CC-7 ORACLE CORP SR NT 04/12/2021 GOLDMAN, SACHS & CO 503,880 500,000 499,760 3 3 499,763 4,117 4,117 458 03/25/2026 2.A FE

67103H-AB-3 O'REILLY AUTOMOTIVE INC CO GUARNT 06/15/2021 CALLED @ 100.000 10,000,000 10,000,000 9,982,600 9,998,495 968 968 9,999,463 537 537 346,875 09/15/2021 2.A FE

69145A-AB-4 OXFORD FIN FNDG TR 2019-1A CL A2 144A 06/15/2021 SCHEDULED REDEMPTION 1,358,017 1,358,017 1,358,017 1,358,017 1,358,017 30,277 02/15/2027 1.F FE

694308-JG-3 PACIFIC GAS & ELEC 1ST MTG 06/02/2021 JEFFERIES LLC 324,709 350,000 349,636 349,652 13 13 349,665 (24,956) (24,956) 8,385 02/01/2031 2.C FE

694308-JW-8 PACIFIC GAS & ELEC 1ST MTG 06/04/2021 JANE STREET EXECUTION 349,976 350,000 348,282 3 3 348,285 1,691 1,691 146 06/15/2028 2.C Z

694308-GY-7 PACIFIC GAS & ELEC SR NT 06/01/2021 TRANSFER TO SA 6,319,748 6,460,000 6,318,914 834 834 6,319,748 134,045 12/15/2041 2.C FE

69689L-AA-4 PALMER SQ LN FDG LTD 2019-3A CL A1 144A D 05/20/2021 SCHEDULED REDEMPTION 100,529 100,529 100,579 (50) (50) 100,529 533 08/20/2027 1.A FE

69701K-AA-0 PALMER SQ LN FDG LTD 2020-3A CL A1 144A D 04/20/2021 SCHEDULED REDEMPTION 274,373 274,373 275,354 (980) (980) 274,373 1,908 07/20/2028 1.A FE

709599-BE-3 PENSKE TRUCK LEASING/PTL SR NT 144A 04/06/2021 BARCLAYS CAPITAL INC 449,312 400,000 398,928 399,190 39 39 399,229 50,083 50,083 12,312 01/29/2026 2.B FE

G7047B-AA-6 PERU PAYROLL DEDUCTION ZERO SR SEC D 06/01/2021 SCHEDULED REDEMPTION 251,619 251,619 157,891 201,208 50,411 50,411 251,619 11/01/2029 2.A FE

723787-AU-1 PIONEER NATURAL RESOURCE SR NT 06/24/2021 MILLENNIUM ADVISORS 100,039 100,000 99,994 0 0 99,994 45 45 61 05/15/2023 2.B FE

G7178*-AE-4 PORTERBROOK RAIL FIN LTD SER A SR SEC B 04/16/2021 SCHEDULED REDEMPTION 1,033,770 1,033,770 970,575 1,024,870 (54,295) 970,575 63,195 63,195 13,904 04/16/2028 2.B FE

693483-AC-3 POSCO SR NT 144A D 04/14/2021 MATURED 12,000,000 12,000,000 11,942,600 11,997,917 2,083 2,083 12,000,000 315,000 04/14/2021 2.A FE

69352P-AE-3 PPL CAPITAL FUNDING INC CO GUARNT 06/30/2021 TENDER @ 104.283 10,428,300 10,000,000 10,016,550 10,003,731 (946) (946) 10,002,785 (2,785) (2,785) 631,494 12/01/2022 2.A FE

69352P-AK-9 PPL CAPITAL FUNDING INC CO GUARNT 06/30/2021 TENDER @ 108.966 5,448,300 5,000,000 4,983,600 4,994,031 877 877 4,994,909 5,091 5,091 604,654 03/15/2024 2.A FE

69352P-AD-5 PPL CAPITAL FUNDING INC SR NT 06/30/2021 TENDER @ 103.485 12,418,200 12,000,000 11,960,160 11,993,115 2,479 2,479 11,995,595 4,405 4,405 691,200 06/15/2022 2.A FE

73943#-AD-5 PRAIRIE BREEZE CLASS B HOLDINGS LLC SEC 06/30/2021 SCHEDULED REDEMPTION 66,595 66,595 66,595 66,595 66,595 591 05/01/2039 2.C PL

74160M-GN-6 PRIME MORTGAGE TRUST 2005-1 CL 1A5 06/01/2021 SCHEDULED REDEMPTION 145,478 145,478 145,432 145,455 23 23 145,478 3,952 03/01/2035 1.A FM

74160M-MR-0 PRIME MORTGAGE TRUST 2005-5 CL 2A3 06/01/2021 SCHDLD REDM/PRIN LOSS 123,567 123,902 208,750 121,628 1,939 1,939 123,567 5,955 11/01/2035 4.B FM

74251V-AM-4 PRINCIPAL FINANCIAL GROU CO GUARNT 05/26/2021 BARCLAYS CAPITAL INC 434,712 400,000 399,416 399,636 23 23 399,659 35,053 35,053 6,648 11/15/2026 1.G FE

74333J-AK-7 PROGRESS RES TR 2017-SFR1 CL D 144A 05/01/2021 SCHEDULED REDEMPTION 3,000,000 3,000,000 2,999,928 2,999,976 24 24 3,000,000 74,563 08/01/2022 1.G FE

74352*-AA-7 PROJECT BLUEJAY AMAZON CTL 06/10/2021 SCHEDULED REDEMPTION 151,155 151,155 151,155 146,278 4,878 4,878 151,155 2,375 01/10/2041 1.F

743874-AJ-8 PROVIDENT FDNG MTG TRU 2020-1 CL A5 144A 06/01/2021 SCHEDULED REDEMPTION 572,465 572,465 578,458 578,327 (5,862) (5,862) 572,465 7,915 02/01/2050 1.A FM

74432Q-CH-6 PRUDENTIAL FINANCIAL INC SR NT 03/10/20 04/22/2021 JANE STREET EXECUTION 2,944,834 2,900,000 2,887,588 2,889,194 640 640 2,889,833 55,001 55,001 27,308 03/10/2026 1.G FE

693652-AB-5 PSMC 2018-1 TR 2020-2 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 5,266,829 5,266,829 5,410,021 5,436,742 (169,913) (169,913) 5,266,829 72,602 05/01/2050 1.A FM

693680-AA-8 PSMC TRUST 2018-2 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 2,265,683 2,265,683 2,202,138 2,185,698 79,985 79,985 2,265,683 37,082 06/01/2048 1.A FM

69374J-AA-9 PSMC TRUST 2018-3 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 807,657 807,657 805,764 806,300 1,357 1,357 807,657 13,180 08/01/2048 1.A FM

69374K-AA-6 PSMC TRUST 2018-4 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,297,837 1,297,837 1,282,628 1,287,224 10,613 10,613 1,297,837 19,994 11/01/2048 1.A FM

69372X-AA-0 PSMC TRUST 2019-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,498,177 1,498,177 1,531,886 1,565,981 (67,804) (67,804) 1,498,177 23,292 07/01/2049 1.A FM

74834L-AZ-3 QUEST DIAGNOSTICS INC SR NT 06/24/2021 DEUTSCHE BANK SEC INC 1,098,700 1,000,000 1,054,050 1,044,654 (3,804) (3,804) 1,040,850 57,850 57,850 19,838 06/01/2026 2.B FE

750731-AA-9 RAIDERS FOOTBALL CLUB NV SR NT PTC CTL 06/10/2021 SCHEDULED REDEMPTION 43,549 43,549 43,549 43,549 43,549 770 02/10/2049 2.A

74922R-AP-5 RALI 2006-QS1 CL 3A1 06/01/2021 SCHDLD REDM/PRIN LOSS 66,404 76,093 61,781 64,128 2,276 2,276 66,404 2,071 12/01/2021 4.B FM

75508X-AA-4 RAYONIER LP CO GUARNT 05/13/2021 J P MORGAN SEC INC 199,150 200,000 198,390 198,390 760 760 05/17/2031 2.C FE

749389-AA-0 RCKT MTG TRUST 2020-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 6,723,482 6,723,482 6,798,071 6,787,301 (63,819) (63,819) 6,723,482 93,777 02/01/2050 1.A FM

749389-AN-2 RCKT MTG TRUST 2020-1 CL A13 144A 06/01/2021 SCHEDULED REDEMPTION 3,657,426 3,657,426 3,684,285 3,680,411 (22,986) (22,986) 3,657,426 51,012 02/01/2050 1.A FM

G7444@-AA-8 RED DORSAL FINANCE SER 2015-1 SR NT D 04/12/2021 SCHEDULED REDEMPTION 211,379 211,379 211,379 211,379 211,379 6,209 10/12/2031 2.B FE

75951A-AN-8 RELIANCE STAND LIFE II SEC 144A 04/07/2021 GOLDMAN, SACHS & CO 1,105,776 1,050,000 1,047,081 1,047,443 106 106 1,047,549 58,227 58,227 20,694 01/21/2027 1.E FE

75114N-AA-2 RESIDENTIAL ACC LOANS, IN 2006-QO6 CL A1 06/25/2021 SCHDLD REDM/PRIN LOSS 68,946 68,946 28,785 7,292 61,654 61,654 68,946 156 06/25/2046 1.D FM

761118-WQ-7 RESIDENTIAL ACCREDIT LOANS 2006-QO3 A2 06/25/2021 SCHDLD REDM/PRIN LOSS 77,830 77,830 53,630 39,967 37,863 37,863 77,830 232 04/25/2046 1.D FM

760985-R3-7 RESIDENTIAL ASSET MTG PD 2004-R CL MII1 06/25/2021 SCHEDULED REDEMPTION 28,011 28,011 23,670 26,772 1,239 1,239 28,011 135 02/25/2034 1.A FM

E05.1

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


76110W-ZN-9 RESIDENTIAL ASSET SEC 2004-KS6 CL AI5 06/01/2021 SCHEDULED REDEMPTION 138,609 138,609 137,336 138,550 59 59 138,609 3,268 07/01/2034 1.A FM

76110W-C5-3 RESIDENTIAL ASSET SEC CORP 2004-KS8 AI5 06/01/2021 SCHEDULED REDEMPTION 879,917 879,917 879,583 879,907 10 10 879,917 23,601 09/01/2034 1.A FM

76110W-C6-1 RESIDENTIAL ASSET SEC CORP 2004-KS8 AI6 05/01/2021 SCHEDULED REDEMPTION 44 44 44 44 44 1 09/01/2034 1.A FM

76110W-YE-0 RESIDENTIAL ASSET SECS 2004-KS5 CL AI6 06/01/2021 SCHEDULED REDEMPTION 40,658 40,658 40,648 40,657 1 1 40,658 908 06/01/2034 1.A FM

76111X-P2-3 RESIDENTIAL FUNDING MTG SEC I 2006-S3 A4 06/01/2021 SCHDLD REDM/PRIN LOSS 361,627 351,653 349,405 380,326 (18,699) (18,699) 361,627 10,008 03/01/2036 3.B FM

76118X-AC-0 RESIDENTIAL RE 17 LTD NT FRN 144A D 06/06/2021 MATURED 9,000,000 9,000,000 9,000,000 9,000,000 9,000,000 145,440 06/06/2021 3.C FE

76138Q-A*-8 REVENTAZON FINANCE TRUST SR SEC NOTES D 05/15/2021 SCHEDULED REDEMPTION 654,500 654,500 654,500 654,500 654,500 26,180 11/15/2033 4.A FE

761713-AT-3 REYNOLDS AMERICAN INC CO GUARNT C 05/03/2021 BANK OF AMERICA NA 13,000,000 10,000,000 12,930,765 (7,774) (7,774) 12,922,992 77,008 77,008 281,944 06/15/2037 2.B FE

74955D-AB-7 RGS FDG SEC LSE OBL BD DEB 06/07/2021 SCHEDULED REDEMPTION 1,105,804 1,105,804 1,105,804 1,105,804 1,105,804 54,295 12/07/2022 2.A FE

74955E-AB-5 RGS SEC LSEOBL DEB 06/07/2021 SCHEDULED REDEMPTION 1,105,804 1,105,804 1,105,804 1,105,804 1,105,804 54,295 12/07/2022 2.A FE

G1263#-AA-7 RIDLEY TERMINALS SEC A 06/30/2021 VARIOUS 1,575,089 1,575,089 1,535,712 1,480,387 94,702 94,702 1,575,089 139,965 12/22/2027 3.C PL

77578J-AB-4 ROLLS-ROYCE PLC CO GUARNT 144A D 05/21/2021 VARIOUS 15,089,160 15,000,000 15,043,700 15,023,627 (1,664) (1,664) 15,021,963 67,197 67,197 316,385 10/14/2025 3.C FE

776743-AN-6 ROPER TECHNOLOGIES INC SR NT 05/07/2021 CITIGROUP GLBL MKT INC 1,475,880 1,500,000 1,497,900 1,497,995 103 103 1,498,098 (22,218) (22,218) 14,583 09/15/2027 2.B FE

78081B-AB-9 ROYALTY PHARMA PLC SR NT 144A 06/23/2021 VARIOUS 6,778,365 6,850,000 6,772,938 6,777,870 6,389 6,389 6,784,259 (5,894) (5,894) 62,215 09/02/2025 2.C FE

78397P-AD-3 SA GLBL SUKUK LTD SR NT 144A D 06/18/2021 JEFFERIES LLC 203,000 200,000 200,000 200,000 3,000 3,000 75 06/17/2031 1.F Z

785592-AM-8 SABINE PASS LIQUEFACTION SR SEC 04/29/2021 JEFFERIES LLC 1,145,470 1,000,000 1,123,260 1,096,439 (7,387) (7,387) 1,089,052 56,418 56,418 37,813 03/01/2025 2.C FE

80285R-AB-4 SANTANDER DRIVE AUTO REC 2020-2 CL A2A 06/15/2021 SCHEDULED REDEMPTION 516,235 516,235 516,751 (516) (516) 516,235 1,152 05/15/2023 1.A FE

80286W-AB-2 SANTANDER DRIVE AUTO REC 2020-4 CL A2A 06/15/2021 SCHEDULED REDEMPTION 451,095 451,095 451,080 451,081 14 14 451,095 884 09/15/2023 1.A FE

80286N-AB-2 SANTANDER DRIVE AUTO REC 2021-1 CL A2A 06/15/2021 SCHEDULED REDEMPTION 446,319 446,319 446,307 12 12 446,319 424 11/15/2023 1.A FE

L8038*-AA-4 SBM BALEIA AZUL SR SEC NT D 06/15/2021 SCHEDULED REDEMPTION 280,000 280,000 280,000 280,000 280,000 7,700 09/15/2027 3.C

17029P-AA-3 SE CHOCTAW LLC SR NT SER 1 06/15/2021 SCHEDULED REDEMPTION 671,145 671,145 522,333 569,027 102,117 102,117 671,145 20,537 12/15/2031 4.C FE

81744F-AZ-0 SEQUOIA MTG TR 2004-3 CL A 06/20/2021 SCHEDULED REDEMPTION 15,775 15,775 14,671 15,369 406 406 15,775 57 05/20/2034 1.A FM

81744F-BF-3 SEQUOIA MTG TR 2004-4 CL A 06/20/2021 SCHEDULED REDEMPTION 179,523 179,523 168,341 172,424 7,099 7,099 179,523 654 05/20/2034 1.A FM

81744L-AZ-7 SEQUOIA MTG TR 2007-2 CL 1A2 06/20/2021 SCHEDULED REDEMPTION 48,711 48,711 42,379 44,451 4,261 4,261 48,711 94 06/20/2036 1.A FM

81744V-AA-0 SEQUOIA MTG TR 2012-4 CL A1 04/26/2021 CALLED @ 100.000 860,883 860,883 884,019 880,921 (286) (286) 880,635 (19,753) (19,753) 9,447 09/01/2042 1.A FM

81745N-AR-0 SEQUOIA MTG TR 2014-1 CL 2A5 144A 06/01/2021 SCHEDULED REDEMPTION 173,587 173,587 175,838 175,214 (1,627) (1,627) 173,587 3,265 04/01/2044 1.A FM

81733Y-AA-7 SEQUOIA MTG TR 2015-2 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 2,220,510 2,220,510 2,271,860 2,256,980 (36,469) (36,469) 2,220,510 35,167 05/01/2045 1.A FM

81746L-AA-0 SEQUOIA MTG TR 2015-3 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,956,455 1,956,455 1,965,014 1,962,783 (6,329) (6,329) 1,956,455 30,253 07/01/2045 1.A FM

81746L-AU-6 SEQUOIA MTG TR 2015-3 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 746,083 746,083 745,559 745,614 469 469 746,083 11,537 07/01/2045 1.A FM

81746R-AA-7 SEQUOIA MTG TR 2016 CL 2A1 144A 06/01/2021 SCHEDULED REDEMPTION 2,306,393 2,306,393 2,370,433 2,370,806 (64,413) (64,413) 2,306,393 36,785 08/01/2046 1.A FM

81746N-AA-6 SEQUOIA MTG TR 2016-3 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 954,279 954,279 985,442 977,746 (23,467) (23,467) 954,279 15,689 11/01/2046 1.A FM

81746K-AA-2 SEQUOIA MTG TR 2017-2 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,398,933 1,398,933 1,410,518 1,408,390 (9,457) (9,457) 1,398,933 22,966 02/01/2047 1.A FM

81746X-AA-4 SEQUOIA MTG TR 2017-3 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 264,097 264,097 262,405 262,708 1,390 1,390 264,097 4,264 04/01/2047 1.A FM

81745X-AA-5 SEQUOIA MTG TR 2017-4 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,579,803 1,579,803 1,615,595 1,623,189 (43,386) (43,386) 1,579,803 25,465 07/01/2047 1.A FM

81746Q-AU-5 SEQUOIA MTG TR 2018-2 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 995,548 995,548 995,081 995,174 374 374 995,548 16,094 02/01/2048 1.A FM

81746V-AU-4 SEQUOIA MTG TR 2018-3 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 1,263,385 1,263,385 1,238,710 1,243,619 19,766 19,766 1,263,385 20,346 03/01/2048 1.A FM

81747J-AA-4 SEQUOIA MTG TR 2018-6 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,217,995 1,217,995 1,225,113 1,224,334 (6,339) (6,339) 1,217,995 23,059 07/01/2048 1.A FM

81747W-AA-5 SEQUOIA MTG TR 2018-7 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 525,121 525,121 525,039 525,057 64 64 525,121 9,763 09/01/2048 1.A FM

81748H-AA-7 SEQUOIA MTG TR 2018-8 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 974,684 974,684 963,262 965,678 9,006 9,006 974,684 18,276 11/01/2048 1.A FM

81747D-AA-7 SEQUOIA MTG TR 2018-CH1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 368,914 368,914 374,908 373,521 (4,607) (4,607) 368,914 6,979 02/01/2048 1.A FM

81747D-AU-3 SEQUOIA MTG TR 2018-CH1 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 539,795 539,795 546,385 544,862 (5,067) (5,067) 539,795 10,212 02/01/2048 1.A FM

81747L-AA-9 SEQUOIA MTG TR 2018-CH4 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 264,223 264,223 267,723 266,706 (2,483) (2,483) 264,223 5,498 10/01/2048 1.A FM

81747A-AA-3 SEQUOIA MTG TR 2019-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 520,326 520,326 521,383 521,198 (872) (872) 520,326 9,833 02/01/2049 1.A FM

81746Y-AA-2 SEQUOIA MTG TR 2019-2 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,852,510 1,852,510 1,887,823 1,923,653 (71,143) (71,143) 1,852,510 35,016 06/01/2049 1.A FM

81746Y-AU-8 SEQUOIA MTG TR 2019-2 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 687,221 687,221 697,495 695,847 (8,626) (8,626) 687,221 12,990 06/01/2049 1.A FM

81748B-AB-8 SEQUOIA MTG TR 2019-3 CL A2 144A 06/01/2021 SCHEDULED REDEMPTION 3,088,084 3,088,084 3,142,608 3,160,558 (72,474) (72,474) 3,088,084 50,106 09/01/2049 1.A FM

81748B-AV-4 SEQUOIA MTG TR 2019-3 CL A20 144A 06/01/2021 SCHEDULED REDEMPTION 2,577,051 2,577,051 2,611,277 2,633,390 (56,339) (56,339) 2,577,051 41,814 09/01/2049 1.A FM

81743A-AA-7 SEQUOIA MTG TR 2019-5 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 5,416,991 5,416,991 5,511,788 5,495,234 (78,243) (78,243) 5,416,991 86,539 12/01/2049 1.A FM

81743A-AU-3 SEQUOIA MTG TR 2019-5 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 701,499 701,499 710,268 708,739 (7,240) (7,240) 701,499 11,207 12/01/2049 1.A FM

81747M-AA-7 SEQUOIA MTG TR 2019-CH1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 810,427 810,427 825,805 822,014 (11,587) (11,587) 810,427 16,979 03/01/2049 1.A FM

81747C-AA-9 SEQUOIA MTG TR 2019-CH2 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 2,299,192 2,299,192 2,365,851 2,446,544 (147,351) (147,351) 2,299,192 48,727 08/01/2049 1.A FM

81748G-AA-9 SEQUOIA MTG TR 2019-CH3 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 4,043,466 4,043,466 4,121,232 4,131,974 (88,508) (88,508) 4,043,466 74,296 09/01/2049 1.A FM

E05.1

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


81748M-AA-6 SEQUOIA MTG TR 2020-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 1,893,272 1,893,272 1,936,758 1,946,174 (52,902) (52,902) 1,893,272 30,624 02/01/2050 1.A FM

81748M-AU-2 SEQUOIA MTG TR 2020-1 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 365,780 365,780 373,039 371,893 (6,113) (6,113) 365,780 5,917 02/01/2050 1.A FM

81748K-AA-0 SEQUOIA MTG TR 2020-2 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 5,971,775 5,971,775 6,119,203 6,091,270 (119,495) (119,495) 5,971,775 95,560 03/01/2050 1.A FM

81748K-BN-1 SEQUOIA MTG TR 2020-2 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 2,388,710 2,388,710 2,440,216 2,430,466 (41,756) (41,756) 2,388,710 38,224 03/01/2050 1.A FM

81748W-AU-0 SEQUOIA MTG TR 2021-4 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 41,030 41,030 41,478 (449) (449) 41,030 85 06/01/2051 1.A FE

81761T-AA-3 SERVICEMSTR BRANDS 2020-1 CL A2I 144A 04/30/2021 SCHEDULED REDEMPTION 5,000 5,000 5,000 5,000 5,000 56 01/30/2051 2.C FE

78396Y-AA-1 SESAC FINANCE, LLC 2019-1 CL A2 144A 04/25/2021 SCHEDULED REDEMPTION 25,000 25,000 25,992 25,751 (751) (751) 25,000 652 07/25/2049 2.C FE

82281E-AA-5 SHELLPOINT CO-ORIG TR 2016-1 CL 1A1 144A 06/01/2021 SCHEDULED REDEMPTION 940,320 940,320 950,017 948,205 (7,885) (7,885) 940,320 15,398 11/01/2046 1.A FM

82436*-AA-0 SHERWIN-WILLIAMS WINTER HAVEN FL CTL 06/15/2021 SCHEDULED REDEMPTION 84,489 84,489 84,489 84,489 84,489 1,856 06/15/2038 2.B S

90228#-AA-1 SHORT HILLS CTL PTC 06/10/2021 SCHEDULED REDEMPTION 1,721 1,721 1,721 1,721 5 04/10/2056 1.D Z

82620K-BB-8 SIEMENS FINANCIERINGSMAT CO GUARFRN 144A D 05/19/2021 TORONTO DOMINION 652,951 650,000 650,000 650,000 2,951 2,951 565 03/11/2024 1.E FE

82652Y-AA-2 SIERRA REC FDG CO 2016-3A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 110,695 110,695 110,675 110,687 8 8 110,695 1,260 10/20/2033 1.F FE

826525-AB-3 SIERRA REC FDG CO 2020-2A CL B 144A 06/20/2021 SCHEDULED REDEMPTION 1,267,884 1,267,884 1,267,549 1,267,541 343 343 1,267,884 13,749 07/20/2037 1.F FE

83051G-AL-2 SKANDINAVISKA ENSKILDA SR NT FRN 144A D 04/19/2021 SMBC NIKKO 5,039,500 5,000,000 5,000,000 5,000,000 5,000,000 39,500 39,500 15,172 12/12/2022 1.C FE

78448Y-AA-9 SMB PRIV EDU LN TRU 2021-A CL A1 144A 06/15/2021 SCHEDULED REDEMPTION 180,789 180,789 180,789 180,789 352 01/15/2053 1.A FE

78449U-AA-6 SMB PRIV EDU LOAN TRU 2020-A CL A1 144A 06/15/2021 SCHEDULED REDEMPTION 150,193 150,193 150,028 150,042 151 151 150,193 300 03/15/2027 1.A FE

78449D-AA-4 SMB PRIV EDU LOAN TRU 2020-PTB CL A1 144 06/25/2021 SCHEDULED REDEMPTION 150,789 150,789 150,542 150,572 216 216 150,789 293 09/15/2054 1.A FE

83192P-AA-6 SMITH & NEPHEW PLC SR NT D 05/13/2021 J P MORGAN SEC INC 524,381 550,000 550,000 550,000 550,000 (25,619) (25,619) 6,612 10/14/2030 2.B FE

83368R-BB-7 SOCIETE GENERALE CO GUARNT 144A D 06/01/2021 TRANSFER TO SA 14,991,524 15,000,000 14,991,450 74 74 14,991,524 135,938 03/01/2041 2.C FE

83368R-AA-0 SOCIETE GENERALE SR NT 144A D 04/15/2021 MATURED 8,000,000 8,000,000 7,988,960 7,999,597 403 403 8,000,000 208,000 04/15/2021 1.F FE

78471K-AE-1 SOFI MTG TR 2016-1A CL 1A4 144A 06/01/2021 SCHEDULED REDEMPTION 3,459,919 3,459,919 3,195,195 3,164,938 294,981 294,981 3,459,919 48,542 11/01/2046 1.A FM

83416W-AB-9 SOLAR STAR FUNDING LLC CO GUARNT 144A 06/30/2021 SCHEDULED REDEMPTION 98,779 98,779 98,779 98,779 98,779 1,951 06/30/2035 2.B FE

83421#-AA-1 SOLGEN LLC SR NT 06/30/2021 SCHEDULED REDEMPTION 638,760 638,760 638,760 638,760 638,760 12,552 09/30/2036 2.C PL

84858D-AA-6 SPIRIT AIR 2015-1 PTT A PTC SER A 04/01/2021 SCHEDULED REDEMPTION 3,621 3,621 3,621 3,621 3,621 74 04/01/2028 2.B FE

84860*-AB-9 SPIRITS OF ST LOUIS BASKETBALL CLUB LLC 06/30/2021 SCHEDULED REDEMPTION 105,685 105,685 105,685 105,685 105,685 2,034 06/30/2036 2.C PL

848609-AA-1 SPIRITS OF ST LOUIS BASKETBALL CLUB LLC 06/30/2021 SCHEDULED REDEMPTION 94,554 94,554 94,554 94,554 94,554 3,759 06/30/2036 2.C PL

84929*-AA-0 SPOWER FINANCE 2 SR SEC NTS DUE 2041 06/30/2021 SCHEDULED REDEMPTION 413,568 413,568 413,568 413,568 413,568 10,257 12/31/2041 3.C PL

84929#-AA-6 SPOWER FINANCE I SR SECURED 06/30/2021 SCHEDULED REDEMPTION 409,169 409,169 409,169 409,169 409,169 9,309 12/31/2036 3.A Z

85208N-AD-2 SPRINT SPECTRUM / SPEC I SR SEC 144A 06/20/2021 SCHEDULED REDEMPTION 156,250 156,250 169,929 (13,679) (13,679) 156,250 3,702 03/20/2025 2.A FE

85208N-AA-8 SPRINT SPECTRUM GUAR SER A-1144A 06/20/2021 SCHEDULED REDEMPTION 248,750 248,750 249,934 249,461 (711) (711) 248,750 4,179 09/20/2021 2.A FE

85236K-AA-0 STACK INFRA ISSUER LL 2019-1A CL A2 144A 06/25/2021 SCHEDULED REDEMPTION 37,500 37,500 37,484 37,489 11 11 37,500 804 02/25/2044 1.G FE

85234#-AB-1 STADIUM FUNDING TRUST SER 1 SR SEC NTS 04/01/2021 SCHEDULED REDEMPTION 156,147 156,147 156,147 156,147 156,147 3,904 04/01/2039 2.C PL

86204@-AA-9 STONEHENGE CPTL FUND NE III LLC SR SEC 06/15/2021 SCHEDULED REDEMPTION 446,479 446,479 446,479 446,479 446,479 03/01/2024 1.C FE

86206@-AA-7 STONEHENGE CPTL SEC 04/30/2021 SCHEDULED REDEMPTION 691 691 691 691 691 19 07/31/2026 1.C PL

863579-AM-0 STRUCT ADJ RATE MOR 2004-12 CL 1A2 06/01/2021 SCHEDULED REDEMPTION 304,552 304,552 275,048 293,321 11,231 11,231 304,552 4,081 09/01/2034 1.A FM

863579-AQ-1 STRUCT ADJ RATE MOR 2004-12 CL 3A2 06/01/2021 SCHEDULED REDEMPTION 131,777 131,777 118,329 123,312 8,466 8,466 131,777 1,666 09/01/2034 1.A FM

86359B-NU-1 STRUCT ADJ RATE MOR 2004-4 CL 3A2 06/01/2021 SCHEDULED REDEMPTION 69,859 69,859 60,057 66,134 3,725 3,725 69,859 813 04/01/2034 1.A FM

86359B-WG-2 STRUCT ADJ RATE MOR 2004-8 CL 3A 06/01/2021 SCHEDULED REDEMPTION 66,126 66,126 65,374 65,701 425 425 66,126 868 07/01/2034 1.A FM

86358H-UT-4 STRUCTURED ASSET MTG INVE 2003-AR3 CL A1 06/19/2021 SCHEDULED REDEMPTION 192,888 192,888 178,366 183,234 9,654 9,654 192,888 673 11/19/2033 1.A FM

86359L-BL-2 STRUCTURED ASSET MTG INVE 2004-AR2 CL 1A 06/19/2021 SCHEDULED REDEMPTION 28,663 28,663 25,904 26,873 1,790 1,790 28,663 95 05/19/2034 1.A FM

86745N-AA-6 SUNNOVA SOL ISSUER,LLC 2020-1A CL A 144A 04/30/2021 SCHEDULED REDEMPTION 28,930 28,930 28,920 28,921 10 10 28,930 485 02/01/2055 1.G FE

86745P-AA-1 SUNNOVA SOL ISSUER,LLC 2020-2A CL A 144A 04/30/2021 SCHEDULED REDEMPTION 14,563 14,563 14,559 14,559 4 4 14,563 167 10/30/2030 1.G FE

87342R-AB-0 TACO BELL FNDG 2016-1A CL A2II 144A 05/25/2021 SCHEDULED REDEMPTION 50,000 50,000 50,000 50,000 50,000 1,094 05/25/2046 2.B FE

87342R-AE-4 TACO BELL FNDG 2018-1 CL A2II 144A 05/25/2021 SCHEDULED REDEMPTION 37,500 37,500 37,500 37,500 37,500 926 11/25/2048 2.B FE

87407R-AA-4 TAL ADVANTAGE VII LLC 2020-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 656,250 656,250 655,988 655,996 254 254 656,250 6,353 09/20/2045 1.F FE

87408#-AB-7 TAL INTL CONTAINER CORP SR SEC NT 04/30/2021 SCHEDULED REDEMPTION 4,000,000 4,000,000 4,000,000 4,000,000 4,000,000 108,200 04/30/2024 2.C FE

87612B-AP-7 TARGA RES PARTNERS SR NT 05/17/2021 CALLED @ 100.000 3,500,000 3,500,000 3,214,129 3,398,035 12,510 12,510 3,410,544 89,456 89,456 75,201 11/15/2023 3.C FE

87677Q-AA-9 TAX EASE FUNDING, LLC 2016-1A CL A 144A 05/15/2021 SCHEDULED REDEMPTION 960,427 960,427 960,417 960,424 3 3 960,427 10,902 06/15/2028 1.A FE

87222P-AV-5 TBW MTG BACKED PASS THRU 2006-6 CL A6A 06/01/2021 SCHDLD REDM/PRIN LOSS 118,768 118,768 96,604 63,652 55,115 55,115 118,768 1,251 01/01/2037 1.D FM

Y8564*-AB-0 TEEKAY SHUTTLE SR NT SER B C 06/30/2021 SCHEDULED REDEMPTION 757,949 757,949 757,949 757,949 757,949 18,797 12/31/2023 2.C FE

879360-AD-7 TELEDYNE TECHNOLOGIES IN SR NT 06/30/2021 VARIOUS 4,263,085 4,250,000 4,240,395 77 77 4,240,472 22,613 22,613 5,813 04/01/2028 2.C FE

88031V-AA-7 TENASKA GATEWAY PARTNERS SEC 144A 06/30/2021 SCHEDULED REDEMPTION 289,800 289,800 289,800 289,800 289,800 8,769 12/30/2023 2.B FE

E05.1

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


88032W-BA-3 TENCENT HLDGS LTD SR NT 144A D 04/29/2021 CREDIT SUISSE SEC LLC 201,934 200,000 199,982 0 0 199,982 1,952 1,952 176 04/22/2031 1.E Z

88032W-BC-9 TENCENT HLDGS LTD SR NT 144A D 05/27/2021 MARKETAXESS 1,168,711 1,150,000 1,149,598 1 1 1,149,598 19,112 19,112 4,784 04/22/2051 1.E FE

880868-AA-2 TERMINALES PORTUARIOS SR SEC 144A D 04/01/2021 SCHEDULED REDEMPTION 90,888 90,888 90,888 90,888 90,888 3,692 04/01/2037 3.A FE

88105#-AA-3 TERRAFORM PHX SR NT 06/30/2021 SCHEDULED REDEMPTION 425,908 425,908 425,908 425,908 425,908 3,559 12/31/2043 2.C PL

88307*-AA-3 TEXOMA WIND LLC SR SEC NT DUE 2034 06/30/2021 SCHEDULED REDEMPTION 1,332,120 1,332,120 1,332,120 1,332,120 1,332,120 27,442 06/30/2034 2.C PL

88315L-AC-2 TEXTAINER MARINE CNTNR 2019-1A CL A 144A 04/20/2021 SCHEDULED REDEMPTION 15,159,567 15,159,567 15,196,143 15,163,596 (4,029) (4,029) 15,159,567 198,925 04/20/2044 1.F FE

88315L-AE-8 TEXTAINER MARINE CNTNR 2020-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 388,670 388,670 388,604 388,607 63 63 388,670 5,012 08/21/2045 1.F FE

88315L-AF-5 TEXTAINER MARINE CNTNR 2020-1A CL B 144A 06/20/2021 SCHEDULED REDEMPTION 90,690 90,690 90,661 90,662 27 27 90,690 2,116 08/21/2045 2.B FE

88315L-AG-3 TEXTAINER MARINE CNTNR 2020-2A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 467,849 467,849 467,709 467,714 135 135 467,849 4,639 09/20/2045 1.F FE

88315L-AL-2 TEXTAINER MARINE CNTNR 2021-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 240,000 240,000 239,927 73 73 240,000 1,344 02/20/2046 1.F FE

88315L-AN-8 TEXTAINER MARINE CNTNR 2021-1A CL B 144A 06/20/2021 SCHEDULED REDEMPTION 60,000 60,000 59,975 25 25 60,000 504 02/20/2046 2.B FE

88315L-AQ-1 TEXTAINER MARINE CNTNR 2021-2A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 266,667 266,667 266,619 48 48 266,667 991 04/20/2046 1.F FE

886312-AU-1 TIAA BANK MTG LOAN TR 2018-2 CL A19 144A 06/01/2021 SCHEDULED REDEMPTION 820,073 820,073 794,574 798,824 21,249 21,249 820,073 13,190 07/01/2048 1.A FM

88632A-AA-6 TIAA BANK MTG LOAN TR 2018-3 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 640,436 640,436 633,932 635,086 5,350 5,350 640,436 12,182 11/01/2048 1.A FM

872480-AA-6 TIF FUNDING II LLC 2020-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 468,750 468,750 468,546 468,553 197 197 468,750 4,626 08/20/2045 1.F FE

872540-AS-8 TJX COS INC SR NT 06/04/2021 CALLED @ 113.365 5,668,256 5,000,000 4,996,550 4,996,876 189 189 4,997,065 2,935 2,935 787,527 04/15/2027 1.F FE

87264A-AW-5 T-MOBILE USA INC SR SEC 144A 05/25/2021 EXCHANGE 4,904,780 5,000,000 4,901,250 4,903,509 1,270 1,270 4,904,780 133,681 04/15/2040 2.C FE

87264A-BC-8 T-MOBILE USA INC SR SEC 144A 05/25/2021 EXCHANGE 9,996,318 10,000,000 9,995,700 9,996,096 222 222 9,996,318 229,167 04/15/2027 2.C FE

87264A-BE-4 T-MOBILE USA INC SR SEC 144A 05/25/2021 EXCHANGE 39,738,357 40,000,000 39,711,200 39,728,601 9,755 9,755 39,738,357 947,222 04/15/2030 2.C FE

87264A-BH-7 T-MOBILE USA INC SR SEC 144A 05/25/2021 EXCHANGE 5,451,430 5,450,000 5,451,316 5,451,626 (196) (196) 5,451,430 102,725 02/15/2028 2.C FE

87264A-BK-0 T-MOBILE USA INC SR SEC 144A 05/25/2021 EXCHANGE 4,973,568 5,000,000 4,972,950 4,973,178 390 390 4,973,568 95,417 02/15/2041 2.C FE

87264A-BM-6 T-MOBILE USA INC SR SEC 144A 05/25/2021 EXCHANGE 14,830,004 15,000,000 14,828,100 14,828,692 1,312 1,312 14,830,004 314,875 02/15/2051 2.C FE

87264A-BQ-7 T-MOBILE USA INC SR SEC 144A 05/25/2021 EXCHANGE 748,100 750,000 748,088 748,091 9 9 748,100 15,525 11/15/2060 2.C FE

L9082*-AJ-8 TRAFIGURA FDG SA SR NT SER C-15 D 04/07/2021 MATURED 11,000,000 11,000,000 11,000,000 11,000,000 11,000,000 391,050 04/07/2021 2.A PL

89657A-AC-0 TRINITY RAIL LSNG LLC 2020-1A CL A 144A 06/17/2021 SCHEDULED REDEMPTION 568,560 568,560 568,424 568,427 133 133 568,560 5,276 10/17/2050 1.F FE

89657B-AA-2 TRINITY RAIL LSNG LP 2019-1A CL A 144A 06/17/2021 SCHEDULED REDEMPTION 244,909 244,909 244,786 244,810 98 98 244,909 4,418 04/17/2049 1.F FE

89656Y-AA-3 TRINITY RAIL LSNG LP 2020-2A CL A1 144A 06/19/2021 SCHEDULED REDEMPTION 321,497 321,497 321,468 321,469 29 29 321,497 2,782 11/19/2050 1.F FE

89566E-AG-3 TRISTATE GEN&TRANS ASSN 1ST MTG 04/16/2021 MILLENNIUM ADVISORS 437,652 400,000 399,844 399,928 5 5 399,934 37,718 37,718 6,948 11/01/2024 1.G FE

89680H-AA-0 TRITON CONTAINER FIN 2020-1A CL A 144A 06/20/2021 SCHEDULED REDEMPTION 1,062,500 1,062,500 1,062,302 1,039,731 22,769 22,769 1,062,500 10,600 09/20/2045 1.F FE

G8967#-AR-4 TRITON CONTAINER INT LTD 2015-A-1 SR SEC 06/28/2021 CALLED @ 102.011 1,632,173 1,600,000 1,600,000 1,600,000 1,600,000 70,646 03/31/2022 2.C FE

G8967#-AJ-2 TRITON CONTAINER SR NT SER 2011-A-2 06/30/2021 SCHEDULED REDEMPTION 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 51,500 06/30/2023 2.C FE

22970*-AB-6 TRT LEASECO BNSF RAILWAY CTL SEC 06/15/2021 SCHEDULED REDEMPTION 17,589 17,589 17,711 (121) (121) 17,589 20 05/15/2034 1.G Z

902494-BD-4 TYSON FOODS INC SR NT 04/29/2021 CITIGROUP SEC INC 11,884,280 10,000,000 11,914,674 (2,411) (2,411) 11,912,263 (27,983) (27,983) 187,814 06/02/2047 2.B FE

902674-YC-8 UBS AG LONDON SR NT FRN 144A D 06/25/2021 MIZUHO SEC USA INC 250,772 250,000 250,000 250,000 772 772 370 02/09/2024 1.D FE

90352J-AB-9 UBS GRP FUNDING SWITZE CO GUARFRN 144A D 04/27/2021 UBS SECURITIES LLC 1,516,301 1,500,000 1,518,780 1,510,027 (2,309) (2,309) 1,507,718 8,582 8,582 9,271 05/23/2023 1.G FE

90265E-AN-0 UDR INC CO GUARNT SER GMTN 04/07/2021 GOLDMAN, SACHS & CO 4,854,780 4,500,000 4,742,640 4,710,321 (7,418) (7,418) 4,702,903 151,877 151,877 115,500 01/15/2028 2.A FE

907818-ET-1 UNION PACIFIC CORP SR NT 06/08/2021 MATURED 500,000 500,000 499,690 499,953 47 47 500,000 8,000 06/08/2021 2.A FE

90932M-AA-3 UNITED AIR 2019-2 A PTT PTC SER A 05/01/2021 SCHEDULED REDEMPTION 5,120 5,120 5,120 5,120 5,120 74 05/01/2028 2.A FE

91533B-AC-4 UPJOHN INC CO GUARNT 144A 04/07/2021 GOLDMAN, SACHS & CO 1,268,438 1,250,000 1,249,438 1,249,477 21 21 1,249,497 18,940 18,940 8,545 06/22/2027 2.C FE

91630@-AC-9 UPPER PENINSULA SR NT SER C 06/03/2021 CALLED @ 123.801 12,380,060 10,000,000 10,000,000 9,872,366 2,667 2,667 9,875,033 124,967 124,967 2,767,702 09/16/2034 3.A PL

90346W-AA-1 US AIRWAYS 2013-1A PTT PTC 05/15/2021 SCHEDULED REDEMPTION 17,624 17,624 17,624 17,624 17,624 348 11/15/2025 3.A FE

91159H-HA-1 US BANCORP SR NT 04/23/2021 CALLED @ 100.000 5,000,000 5,000,000 5,255,600 5,012,184 (9,543) (9,543) 5,002,641 (2,641) (2,641) 85,365 05/24/2021 1.E FE

90352W-AD-6 USQ RAIL I LLC 2021-1A CL A 144A 06/28/2021 SCHEDULED REDEMPTION 79,924 79,924 79,922 2 2 79,924 564 02/28/2051 1.F FE

91752*-AA-7 UTAH SOLAR HLDG SEC 06/30/2021 SCHEDULED REDEMPTION 926,862 926,862 926,862 926,862 926,862 11,091 12/31/2036 2.C PL

G9420R-AA-4 VALARIS PLC SR NT D 04/30/2021 EXCHANGE 4,082,422 20,000,000 1,150,000 1,150,000 1,150,000 2,932,422 2,932,422 06/01/2022 6. *

G9420R-AB-2 VALARIS PLC SR NT D 04/30/2021 EXCHANGE 4,080,928 20,000,000 1,150,000 1,150,000 1,150,000 2,930,928 2,930,928 01/15/2024 6. *

91889D-AB-2 VALARIS PLC SR NT D 04/30/2021 EXCHANGE 1,928,373 10,000,000 425,000 425,000 425,000 1,503,373 1,503,373 10/01/2024 6. *

91913Y-AW-0 VALERO ENERGY CORP SR NT 04/30/2021 VARIOUS 21,813,109 20,000,000 21,926,620 (33,396) (33,396) 21,911,259 (98,150) (98,150) 71,906 04/01/2029 2.B FE

92211M-AE-3 VANTAGE DATA CTR 2018-2A CL A2 144A 06/15/2021 SCHEDULED REDEMPTION 37,500 37,500 37,500 37,500 37,500 743 11/16/2043 1.G FE

92212K-AA-4 VANTAGE DATA CTR 2019-1A CL A2 144A 06/15/2021 SCHEDULED REDEMPTION 25,000 25,000 25,000 25,000 25,000 376 07/15/2044 1.G FE

92343V-BR-4 VERIZON COMMS SR NT 05/28/2021 CALLED @ 110.316 38,610,600 35,000,000 35,320,200 35,103,067 (14,770) (14,770) 35,088,297 (88,297) (88,297) 4,877,357 09/15/2023 2.A FE

92826C-AL-6 VISA INC SR NT 04/22/2021 WELLS FARGO BANK, N.A. 1,342,224 1,300,000 1,296,334 1,296,700 152 152 1,296,853 45,371 45,371 12,830 04/15/2027 1.D FE

E05.1

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


92838@-AA-1 VISTA RIDGE CENTRAL TX WTR SUPPLY SEC 06/30/2021 SCHEDULED REDEMPTION 169,674 169,674 169,674 169,674 169,674 1,090 10/14/2049 1.F PL

928881-AA-9 VONTIER CORP SR NT 144A 06/04/2021 MORGAN STANLEY CPTL 10,013,500 10,000,000 9,985,500 671 671 9,986,171 27,329 27,329 44,000 04/01/2026 2.C FE

91835C-AA-1 VR FUNDING 2020-1A CL A 144A 05/15/2021 SCHEDULED REDEMPTION 873,666 873,666 820,922 821,281 52,385 52,385 873,666 12,188 11/15/2050 1.F FE

931422-AK-5 WALGREEN CO SR NT 04/26/2021 TENDER @ 112.578 3,377,340 3,000,000 2,817,000 2,841,175 1,347 1,347 2,842,521 157,479 157,479 458,373 09/15/2042 2.B FE

931427-AC-2 WALGREENS BOOTS ALLIANCE CO GUARNT 04/26/2021 TENDER @ 118.082 23,616,400 20,000,000 21,236,654 9,998,571 (2,528) (2,528) 21,234,297 (1,234,297) (1,234,297) 4,037,733 11/18/2044 2.B FE

929227-B6-2 WAMU 2002-S8 CL 1A6 06/01/2021 SCHEDULED REDEMPTION 25,930 25,930 26,578 26,617 (687) (687) 25,930 719 01/01/2033 1.A FM

92925V-AD-2 WAMU 2007-HY1 CL 2A2A 06/01/2021 SCHDLD REDM/PRIN LOSS 678,058 604,031 630,844 652,950 25,107 25,107 678,058 10,349 02/01/2037 1.D FM

933636-AE-2 WAMU 2007-HY4 CL 2A3 06/01/2021 SCHDLD REDM/PRIN LOSS 446,275 412,396 370,475 467,705 (21,430) (21,430) 446,275 6,526 04/01/2037 1.A FM

92922F-ZF-8 WAMU MTG PASS-THRGH CER 2004-AR1 CL A2A 06/25/2021 SCHEDULED REDEMPTION 206,929 206,929 193,478 197,212 9,717 9,717 206,929 892 10/25/2044 1.A FM

92922F-ZE-1 WAMU MTG PASS-THROUGH CER 2004-AR1 CL A1 06/25/2021 SCHEDULED REDEMPTION 110,362 110,362 99,878 102,374 7,988 7,988 110,362 486 10/25/2044 1.D FM

939336-Z3-0 WAMU MTG PASS-THROUGH CER 2005-AR3 CL A1 06/01/2021 SCHEDULED REDEMPTION 158,588 158,588 157,380 157,870 718 718 158,588 2,154 03/01/2035 1.A FM

939336-Z4-8 WAMU MTG PASS-THROUGH CER 2005-AR3 CL A2 06/01/2021 SCHEDULED REDEMPTION 203,573 203,573 172,959 184,123 19,449 19,449 203,573 2,765 03/01/2035 1.A FM

92926U-AF-8 WAMU MTG PASS-THROUGH CERTS 2007-HY2 3A1 06/01/2021 SCHDLD REDM/PRIN LOSS 206,135 193,154 179,472 207,630 (1,495) (1,495) 206,135 3,161 09/01/2036 1.D FM

92922F-BV-9 WAMU MTG PASS-THRU CER 2003-AR9 CL 1A6 06/01/2021 SCHEDULED REDEMPTION 30,013 30,013 28,592 29,314 699 699 30,013 383 09/01/2033 1.A FM

92925G-AH-6 WAMU MTG PT 2006-AR16 CL 3A2 06/01/2021 SCHDLD REDM/PRIN LOSS 1,032,764 985,499 855,899 953,176 79,588 79,588 1,032,764 14,965 12/01/2036 1.D FM

92922F-J2-5 WAMU MTG PT CER 2005-AR6 CL 2A1A 06/25/2021 SCHEDULED REDEMPTION 25,822 25,822 21,109 22,552 3,270 3,270 25,822 73 04/25/2045 1.A FM

93362F-AG-8 WAMU MTG PT CER 2006-AR8 CL 2A2 06/01/2021 SCHDLD REDM/PRIN LOSS 306,582 308,689 267,762 299,222 7,359 7,359 306,582 4,278 08/01/2036 1.D FM

92922F-GU-6 WASHINGTON MUTUAL 2003-S11 CL 2A6 06/01/2021 SCHEDULED REDEMPTION 197,505 197,505 190,162 193,243 4,262 4,262 197,505 4,982 11/01/2033 1.A FM

933637-AJ-9 WASHINGTON MUTUAL 2006-AR18 CL 3A3 06/01/2021 SCHDLD REDM/PRIN LOSS 396,232 355,279 352,132 384,842 11,391 11,391 396,232 5,834 01/01/2037 1.D FM

94107@-AA-1 WASTE MGMT CTL PASS THRU TRUST 06/15/2021 SCHEDULED REDEMPTION 415,734 415,734 419,892 417,342 (1,608) (1,608) 415,734 8,685 04/15/2025 2.A

94406#-AA-7 WAWA LEASE-BACKED PASS-THRU TR SER 2014 06/10/2021 SCHEDULED REDEMPTION 400,821 400,821 400,821 400,821 400,821 7,592 12/10/2029 2.B

92984*-AA-5 WEC INFRASTRUCTURE WIND HOLDINGS SEC 06/30/2021 SCHEDULED REDEMPTION 2,028,394 2,028,394 2,028,394 2,028,394 2,028,394 12/31/2032 2.B PL

94974B-EV-8 WELLS FARGO & CO NT 04/01/2021 MATURED 2,000,000 2,000,000 2,173,860 2,006,508 (6,508) (6,508) 2,000,000 46,000 04/01/2021 2.A FE

94974B-FJ-4 WELLS FARGO & CO SR SUB SER M 04/30/2021 MARKETAXESS 1,476,440 1,400,000 1,440,597 1,414,418 (2,270) (2,270) 1,412,148 64,292 64,292 35,018 02/13/2023 2.B FE

94985F-AG-3 WELLS FARGO ALT LN TR 2007-PA2 2A1 06/25/2021 SCHDLD REDM/PRIN LOSS 575,567 640,900 494,613 571,605 3,962 3,962 575,567 6,330 06/25/2037 2.B FM

94985K-AA-5 WELLS FARGO ALT LOAN T 2007-PA6 CL A1 06/01/2021 SCHDLD REDM/PRIN LOSS 57,509 57,116 38,198 54,443 3,066 3,066 57,509 847 12/04/2037 1.D FM

94980G-AJ-0 WELLS FARGO HOME EQUITY TR 2004-2 CL AI8 06/01/2021 SCHEDULED REDEMPTION 684,911 684,911 598,769 656,120 28,791 28,791 684,911 16,242 10/01/2034 1.A FM

94980G-AK-7 WELLS FARGO HOME EQUITY TR 2004-2 CL AI9 06/01/2021 SCHEDULED REDEMPTION 8,602 8,602 8,535 8,574 28 28 8,602 204 04/01/2034 1.A FM

94981V-AA-5 WELLS FARGO MTG BACKED SEC 2004-K CL 1A1 06/01/2021 SCHEDULED REDEMPTION 25,001 25,001 24,423 24,939 62 62 25,001 318 07/01/2034 1.A FM

94981V-AG-2 WELLS FARGO MTG BACKED SEC 2004-K CL 2A2 06/01/2021 SCHEDULED REDEMPTION 1,262 1,262 1,216 1,258 4 4 1,262 18 07/01/2034 1.A FM

94981V-AN-7 WELLS FARGO MTG BACKED SEC 2004-K CL 2A8 06/01/2021 SCHEDULED REDEMPTION 17,731 17,731 16,290 17,550 180 180 17,731 251 07/01/2034 1.A FM

94989U-AA-9 WELLS FARGO MTG BCKD 2018-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 2,139,926 2,139,926 2,058,007 2,052,963 86,963 86,963 2,139,926 35,074 07/01/2047 1.A FM

95002Q-AS-9 WELLS FARGO MTG SE 2020-2 CL A17 144A 06/01/2021 SCHEDULED REDEMPTION 2,831,583 2,831,583 2,901,045 2,899,522 (67,940) (67,940) 2,831,583 39,486 12/01/2049 1.A FM

95003A-AS-3 WELLS FARGO MTG SE 2021-1 CL A17 144A 06/01/2021 SCHEDULED REDEMPTION 541,347 541,347 549,383 (8,036) (8,036) 541,347 2,867 12/01/2050 1.A FE

95001T-AA-3 WELLS FARGO MTG SEC 2019-1 CL A1 144A 06/01/2021 VARIOUS 998,745 998,745 997,965 998,090 655 655 998,745 28,371 11/01/2048 1.A FM

95001T-AS-4 WELLS FARGO MTG SEC 2019-1 CL A17 144A 06/01/2021 VARIOUS 998,745 998,745 989,226 990,888 7,857 7,857 998,745 28,369 11/01/2048 1.A FM

95002J-AA-4 WELLS FARGO MTG SEC 2019-2 CL A1 144A 06/01/2021 VARIOUS 2,087,756 2,087,756 2,124,945 2,163,757 (76,001) (76,001) 2,087,756 60,062 04/01/2049 1.A FM

95002J-AS-5 WELLS FARGO MTG SEC 2019-2 CL A17 144A 06/01/2021 VARIOUS 990,816 990,816 1,002,273 1,019,316 (28,500) (28,500) 990,816 28,505 04/01/2049 1.A FM

949831-AA-9 WELLS FARGO MTG SEC 2019-3 CL A1 144A 06/01/2021 VARIOUS 1,717,702 1,717,702 1,741,857 1,757,773 (40,071) (40,071) 1,717,702 39,171 07/01/2049 1.A FM

949831-AS-0 WELLS FARGO MTG SEC 2019-3 CL A17 144A 06/01/2021 VARIOUS 765,997 765,997 773,418 772,139 (6,142) (6,142) 765,997 17,468 07/01/2049 1.A FM

95002F-AS-3 WELLS FARGO MTG SEC 2019-4 CL A17 144A 06/01/2021 SCHEDULED REDEMPTION 2,817,074 2,817,074 2,853,168 2,846,878 (29,804) (29,804) 2,817,074 45,348 09/01/2049 1.A FM

95002K-AA-1 WELLS FARGO MTG SEC 2020-1 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 4,761,101 4,761,101 4,817,640 4,807,219 (46,117) (46,117) 4,761,101 66,235 12/01/2049 1.A FM

95002K-AS-2 WELLS FARGO MTG SEC 2020-1 CL A17 144A 06/01/2021 SCHEDULED REDEMPTION 3,216,960 3,216,960 3,245,109 3,239,925 (22,965) (22,965) 3,216,960 44,753 12/01/2049 1.A FM

95002T-AA-2 WELLS FARGO MTG SEC 2020-3 CL A1 144A 06/01/2021 SCHEDULED REDEMPTION 3,318,350 3,318,350 3,427,234 3,416,557 (98,207) (98,207) 3,318,350 46,120 06/01/2050 1.A FM

95002T-AS-3 WELLS FARGO MTG SEC 2020-3 CL A17 144A 06/01/2021 SCHEDULED REDEMPTION 1,599,919 1,599,919 1,642,417 1,638,258 (38,339) (38,339) 1,599,919 22,236 06/01/2050 1.A FM

95003B-AS-1 WELLS FARGO MTG SEC 2020-5 CL A17 06/01/2021 SCHEDULED REDEMPTION 1,709,169 1,709,169 1,737,684 1,744,831 (35,663) (35,663) 1,709,169 16,419 09/01/2050 1.A FM

94982D-AA-4 WELLS FARGO MTG SECS TR 2005-AR14 CL A1 06/01/2021 SCHEDULED REDEMPTION 99,336 99,336 98,133 99,149 186 186 99,336 1,401 08/01/2035 1.A FM

98665#-AB-2 WELLSPAN HEALTH OBLIGATED GRP SEC 06/01/2021 SCHEDULED REDEMPTION 41,806 41,806 41,806 41,806 41,806 605 06/01/2044 1.E

95058X-AE-8 WENDYS FUNDING LLC 2018-1A CL A2II 144A 06/15/2021 SCHEDULED REDEMPTION 45,000 45,000 44,714 44,805 195 195 45,000 874 03/15/2048 2.B FE

95058X-AG-3 WENDYS FUNDING LLC 2019-1A CL A2I 144A 06/15/2021 SCHEDULED REDEMPTION 75,000 75,000 75,000 75,000 75,000 1,419 06/15/2049 2.B FE

958587-BJ-5 WEST MASS ELEC CO SR NT 06/15/2021 CALLED @ 100.000 5,000,000 5,000,000 4,954,600 4,996,242 2,419 2,419 4,998,662 1,338 1,338 131,250 09/15/2021 1.E FE

96188#-AA-6 WETT HLDGS LLC SR NT 06/30/2021 SCHEDULED REDEMPTION 32,222 32,222 32,222 32,222 32,222 694 12/18/2024 2.B PL

E05.1

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


969457-BY-5 WILLIAMS COMPANIES INC SR NT 04/07/2021 GOLDMAN, SACHS & CO 1,038,618 1,050,000 1,046,126 35 35 1,046,160 (7,542) (7,542) 2,806 03/15/2031 2.B FE

97655J-AE-2 WINWATER MTG LOAN TR 2016-1 CL 1A5 144A 06/01/2021 SCHEDULED REDEMPTION 1,156,339 1,156,339 1,172,961 1,170,690 (14,351) (14,351) 1,156,339 18,950 01/01/2046 1.A FM

97651J-AC-0 WINWATERR MTG LOAN TR 2015-3 CL A3 144A 06/01/2021 SCHEDULED REDEMPTION 1,050,338 1,050,338 1,075,284 1,067,400 (17,061) (17,061) 1,050,338 16,280 03/01/2045 1.A FM

749350-AN-4 WOODWARD CAP MNGMT 2021-1 CL A13 144A 06/01/2021 SCHEDULED REDEMPTION 307,340 307,340 312,815 (5,475) (5,475) 307,340 1,662 03/01/2051 1.B FE

98212B-AJ-2 WPX ENERGY INC SR NT 06/09/2021 EXCHANGE/VARIOUS 12,218,610 12,000,000 12,000,000 12,000,000 12,000,000 592,282 10/15/2027 2.C FE

98212B-AL-7 WPX ENERGY INC SR NT 06/09/2021 EXCHANGE 1,300,000 1,300,000 1,300,000 1,300,000 1,300,000 52,650 01/15/2030 2.C FE

98419M-AJ-9 XYLEM INC SR NT 06/30/2021 JANE STREET EXECUTION 1,588,809 1,450,000 1,501,533 1,493,912 (3,522) (3,522) 1,490,390 98,418 98,418 31,548 11/01/2026 2.B FE

F9876*-AA-4 YOPLAIT SAS SR NT B 06/24/2021 MATURED 28,041,941 28,041,941 31,510,000 28,096,751 3,413,250 31,510,000 (3,468,059) (3,468,059) 308,461 06/24/2021 2.B Z

98726#-AA-1 YORKTOWN JAZ LLC 06/15/2021 SCHEDULED REDEMPTION 156,348 156,348 156,348 156,348 156,348 2,969 04/15/2039 2.A S

98978V-AT-0 ZOETIS INC SR NT 06/23/2021 BNP PARIBAS SEC CORP 3,565,975 3,500,000 3,632,350 3,857,528 (228,793) (228,793) 3,628,735 (62,760) (62,760) 64,167 05/15/2050 2.B FE

G1263@-AD-3 ALTITUDE INFRASTRUCTURE HLDG SEC D 06/30/2021 TRADE ADJUSTMENT 637,266 637,266 11/18/2027 4.A PL

50024P-AA-9 KOHLBERG INVESTORS IX LP 06/30/2021 TRADE ADJUSTMENT 299,985 299,985 04/28/2023 2.A PL

G1265@-AA-7 VIVINT SOLAR INC SEC 06/30/2021 TRADE ADJUSTMENT 520,333 520,333 05/26/2023 3.A PL

05949C-MA-1 BANC OF AMERICA MTG SECS 2005-10 CL 1A20 04/01/2021 CREDIT RECOVERY 38,536 38,536 38,536 11/01/2035 6. FE

94107@-AB-9 WASTE MGT CTL PT TR SER A2 04/01/2021 CREDIT RECOVERY 40,000 40,000 40,000 04/15/2025 2. Z

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 1,778,265,022 1,780,731,745 1,744,243,021 1,392,974,296 (2,598,480) 18,412,750 (21,011,230) 3,318,109 1,743,136,497 (3,374,255) 11,434,316 8,060,061 62,150,896 XXX XXXC6901L-AH-0 1011778 BC ULC TL B4 A 06/30/2021 SCHEDULED REDEMPTION 12,473 12,473 12,441 12,445 28 28 12,473 117 11/19/2026 3.B FE

00186U-AB-5 A PLACE FOR MOM HOLDINGS INC MML TL B 06/30/2021 SCHEDULED REDEMPTION 5,942 5,942 5,917 5,928 14 14 5,942 142 08/10/2024 3.A PL

00488P-AL-9 ACRISURE LLC TL B 06/30/2021 SCHEDULED REDEMPTION 5,038 5,038 5,006 31 31 5,038 47 02/15/2027 4.B FE

00769Q-AG-8 ADVANCED DRAINAGE SYSTEMS TL B 1L 04/01/2021 SCHEDULED REDEMPTION 19,361 19,361 19,238 9,309 10,052 10,052 19,361 127 09/24/2026 3.B FE

01438K-AH-8 ALDEVRON LLC TL B 06/30/2021 SCHEDULED REDEMPTION 7,557 7,557 7,585 (28) (28) 7,557 118 10/11/2026 4.B FE

01888K-AD-2 ALLIED BENEFIT SYSTEMS INTERMEDIATE MML 06/30/2021 SCHEDULED REDEMPTION 9,056 9,056 8,966 8,967 89 89 9,056 280 11/18/2026 2.C PL

L0174#-AA-1 ALLNEX S A R L TRANCHE B2 TL 06/30/2021 SCHEDULED REDEMPTION 6,292 6,292 6,292 6,292 6,292 66 09/13/2023 4.B FE

01983#-AA-3 ALLNEX USA TRANCHE B3 TL 06/30/2021 SCHEDULED REDEMPTION 4,741 4,741 4,741 4,741 4,741 50 09/13/2023 4.B FE

02079#-AE-8 ALPHA PACKAGING INC ADDTNL DDTL 04/28/2021 SCHEDULED REDEMPTION 31,958 31,958 31,958 31,958 31,958 1,129 11/12/2021 3.C PL

02079#-AD-0 ALPHA PACKAGING INC B3 MML 06/30/2021 SCHEDULED REDEMPTION 66,910 66,910 66,910 66,910 66,910 1,171 11/12/2021 3.C FE

00173@-AA-7 AMC BUYERS LLC DDTL 04/08/2021 SCHEDULED REDEMPTION 815,217 815,217 814,316 814,371 847 847 815,217 15,604 11/02/2024 2.C PL

00168N-AA-5 AMC BUYERS LLC MML 06/30/2021 SCHEDULED REDEMPTION 11,919 11,919 11,800 11,836 83 83 11,919 345 11/02/2024 2.C PL

03852J-AR-2 ARAMARK SERVICES TL B4 06/30/2021 SCHEDULED REDEMPTION 11,250 11,250 11,336 11,326 (76) (76) 11,250 106 01/15/2027 3.B FE

04041E-AC-6 ARISE HLDGS INC MML 06/30/2021 SCHEDULED REDEMPTION 15,000 15,000 14,850 14,873 127 127 15,000 398 12/09/2025 2.B PL

04262B-AC-4 ARNOTT INTERMEDIATE LLC MML 04/01/2021 SCHEDULED REDEMPTION 6,250 6,250 6,188 6,215 35 35 6,250 174 06/15/2024 3.B PL

04268B-AC-8 AROTECH CORPORATION MML 06/30/2021 SCHEDULED REDEMPTION 10,946 10,946 10,786 10,786 160 160 10,946 399 10/22/2026 3.B PL

04538F-AD-1 ASPLUNDH TREE EXPERT LLC 2021 REFI TL 06/30/2021 SCHEDULED REDEMPTION 8,750 8,750 8,761 (11) (11) 8,750 53 09/04/2027 3.A FE

05350N-AG-9 AVANTOR FUNDING INC CO TL B4 06/30/2021 SCHEDULED REDEMPTION 12,500 12,500 12,516 12,516 (16) (16) 12,500 186 11/06/2027 3.A FE

05516H-AD-0 B2B/AMW ACQUISITION CO DDTL 06/30/2021 SCHEDULED REDEMPTION 2,034 2,034 2,034 1,769 264 264 2,034 39 10/07/2026 2.A PL

05516H-AF-5 B2B/AMW ACQUISITION CO DDTL II 06/30/2021 SCHEDULED REDEMPTION 3,370 3,370 3,320 51 51 3,370 10 10/07/2026 2.A PL

05516H-AC-2 B2B/AMW ACQUISITION CO MML 06/30/2021 SCHEDULED REDEMPTION 6,152 6,152 6,060 6,063 89 89 6,152 232 10/07/2026 2.A PL

07367#-AA-6 BEACON ORTHOPEDIC PARTNERS MSO MML 06/30/2021 SCHEDULED REDEMPTION 6,124 6,124 6,078 6,060 64 64 6,124 65 07/19/2025 2.C PL

08579J-BG-6 BERRY GLBL INC TL Z 06/14/2021 SCHEDULED REDEMPTION 806,841 806,841 807,147 (306) (306) 806,841 3,896 07/01/2026 2.C FE

10153K-AC-3 BOULDER SCIENTIFIC CO MML 04/01/2021 SCHEDULED REDEMPTION 5,640 5,640 5,584 5,594 46 46 5,640 157 12/28/2025 2.C PL

10954B-AB-6 BRILLIO HLDGS DDTL 06/30/2021 SCHEDULED REDEMPTION 1,875 1,875 1,875 1,875 1,875 55 02/06/2025 2.C FE

10954B-AC-4 BRILLIO HLDGS INC TL 06/30/2021 SCHEDULED REDEMPTION 11,250 11,250 11,138 11,167 83 83 11,250 320 02/06/2025 2.C PL

11244@-AB-7 BROOK & WHITTLE HLDG CORP DELAYED DRAW 06/30/2021 SCHEDULED REDEMPTION 143 143 143 143 143 10/17/2024 4.C PL

11244@-AA-9 BROOK & WHITTLE HLDG CORP MML 06/30/2021 SCHEDULED REDEMPTION 616 616 609 611 4 4 616 19 10/17/2024 4.C PL

11283H-AF-4 BROOKFIELD RETAIL HOLD CO TL A2 06/04/2021 SCHEDULED REDEMPTION 9,567 9,567 9,436 132 132 9,567 62 08/24/2023 4.A FE

G1738K-AD-7 BUZZ FINCO LLC CO ASSETS FRN 04/01/2021 SCHEDULED REDEMPTION 300,360 300,360 299,609 299,614 746 746 300,360 3,881 01/29/2027 4.B FE

124886-AH-5 CCC INFORMATION SVCS CO TL B 04/29/2021 VARIOUS 2,490,138 2,487,080 2,490,189 (452) (452) 2,489,737 401 401 41,239 04/26/2024 4.C FE

12509N-AE-0 CDI ACQUISITIONCO INC INCRMNTL MML 06/30/2021 SCHEDULED REDEMPTION 25,703 25,703 25,461 25,447 256 256 25,703 350 12/24/2024 2.A PL

12509N-AC-4 CDI ACQUISITIONCO MML 06/30/2021 SCHEDULED REDEMPTION 37,500 37,500 37,178 37,191 309 309 37,500 1,062 12/24/2024 2.A PL

16117L-BX-6 CHARTER COMMS OPER TL B2 06/30/2021 SCHEDULED REDEMPTION 16,291 16,291 16,144 16,151 140 140 16,291 153 02/01/2027 2.C FE

12546F-AB-8 CHG PPC PARENT LLC TL 06/30/2021 SCHEDULED REDEMPTION 4,347 4,347 4,334 13 13 4,347 32 03/30/2025 4.B FE

18452R-AD-7 CLEAR CHANNEL OUTDOOR TL B 1L 06/30/2021 SCHEDULED REDEMPTION 3,741 3,741 3,744 3,745 (4) (4) 3,741 23 08/23/2026 4.B FE

E05.1

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


18883U-AH-0 CLIPPER ACQ CORP CO ASSETS TL B1 06/30/2021 SCHEDULED REDEMPTION 6,037 6,037 5,947 5,954 84 84 6,037 57 12/27/2024 3.A FE

19201P-AF-8 CODING SOLUTIONS HLDGS MML 06/30/2021 SCHEDULED REDEMPTION 19,097 19,097 18,909 18,906 191 191 19,097 569 12/31/2025 2.C PL

21718@-AC-1 COP GNAP HLDGS INC DDTL 06/30/2021 SCHEDULED REDEMPTION 5,556 5,556 5,556 5,556 5,556 154 11/01/2024 3.A PL

21718@-AB-3 COP GNAP HLDGS INC MML TL A 06/30/2021 SCHEDULED REDEMPTION 9,444 9,444 9,350 9,379 66 66 9,444 262 11/01/2024 3.A PL

40416V-AB-1 CORE & MAIN LP TL 05/25/2021 VARIOUS 2,510,066 2,510,066 2,518,130 2,514,886 (660) (660) 2,515,515 (5,449) (5,449) 53,338 08/01/2024 4.B FE

21925E-AC-1 CORNERSTONE ADVISORS, LLC MML 06/30/2021 SCHEDULED REDEMPTION 3,514 3,514 3,479 3,480 34 34 3,514 115 09/24/2026 2.C PL

64072U-AK-8 CSC HLDGS LLC TL B5 04/15/2021 VARIOUS 2,875,583 2,882,753 2,786,949 2,794,238 7,140 7,140 2,801,379 74,205 74,205 29,252 04/15/2027 3.C FE

23340D-AP-7 CUSHMAN & WAKEFIELD US TL B 06/30/2021 SCHEDULED REDEMPTION 3,788 3,788 3,723 64 64 3,788 10 08/21/2025 4.A FE

23918V-AY-0 DAVITA INC TL B 06/30/2021 SCHEDULED REDEMPTION 7,538 7,538 7,415 7,422 116 116 7,538 71 08/12/2026 3.A FE

233254-AA-9 DG-CS MSTR BORROWER LLC 04/01/2021 SCHEDULED REDEMPTION 242,397 242,397 242,397 242,397 242,397 3,132 09/30/2040 2.C PL

26483N-AN-0 DUN & BRADSTREET CORP TL B 06/28/2021 SCHEDULED REDEMPTION 3,829 3,829 3,819 10 10 3,829 5 02/08/2026 4.A FE

G2921#-AA-9 ECUADOR DIV PMT RTS USD SER 2020-1 LN D 06/21/2021 SCHEDULED REDEMPTION 937,500 937,500 937,500 937,500 937,500 40,286 12/20/2024 4.A FE

28047H-AC-2 EDGEWOOD PARTNERS LLC MML 06/30/2021 SCHEDULED REDEMPTION 7,508 7,508 7,488 19 19 7,508 198 09/08/2024 3.B PL

29273P-AE-3 ENDO PARENT LLC DDTL NON-PIK 06/30/2021 SCHEDULED REDEMPTION 4,022 4,022 4,022 4,009 13 13 4,022 194 08/18/2023 3.C PL

29359H-AB-4 ENSTOR MERCURY HLDGS LLC TLB 06/30/2021 SCHEDULED REDEMPTION 169,524 169,524 167,829 168,098 1,426 1,426 169,524 3,939 03/27/2026 4.A

26924@-AB-2 E-TECHNOLOGIES GROUP TL 06/30/2021 SCHEDULED REDEMPTION 75,875 75,875 75,117 75,343 532 532 75,875 2,413 04/08/2024 3.B PL

02034D-AC-1 FINASTRA USA INC TL 05/28/2021 VARIOUS 1,719,130 1,745,237 1,714,695 4,260 4,260 1,718,955 175 175 17,432 06/13/2024 4.B FE

31774B-AE-4 FINCO I LLC 2020 TL A 06/30/2021 SCHEDULED REDEMPTION 2,710 2,710 2,713 2,713 (3) (3) 2,710 36 06/27/2025 3.B FE

34484K-AB-5 FOODSCIENCE CORP MML 06/30/2021 SCHEDULED REDEMPTION 16,251 16,251 16,088 163 163 16,251 239 03/01/2027 3.B PL

34965#-AC-2 FORTUNE INTL LLC DDTL 06/25/2021 SCHEDULED REDEMPTION 4,963 4,963 4,963 4,534 428 428 4,963 176 01/17/2026 2.C PL

34965#-AB-4 FORTUNE INTL LLC MML 06/25/2021 SCHEDULED REDEMPTION 9,900 9,900 9,808 9,815 86 86 9,900 290 01/17/2026 2.C PL

35041@-AA-3 FOUNDATION RISK 1L INITIAL MML 06/30/2021 SCHEDULED REDEMPTION 6,125 6,125 6,064 6,092 33 33 6,125 177 11/10/2023 3.B PL

35041@-AC-9 FOUNDATION RISK 1ST LIEN DDTL 06/30/2021 SCHEDULED REDEMPTION 1,500 1,500 1,500 1,500 1,500 43 11/10/2023 3.B PL

35041@-AD-7 FOUNDATION RISK 2ND AMNDMNT 1L DDTL 06/30/2021 SCHEDULED REDEMPTION 2,595 2,595 2,587 2,588 7 7 2,595 75 11/10/2023 3.B PL

35041@-9A-5 FOUNDATION RISK INCRMNTL 1L DDTL 06/30/2021 SCHEDULED REDEMPTION 2,400 2,400 2,400 2,400 0 0 2,400 69 08/09/2024 3.B PL

35041@-8A-4 FOUNDATION RISK INCRMTL MML 06/30/2021 SCHEDULED REDEMPTION 2,493 2,493 2,468 2,477 16 16 2,493 72 08/09/2024 3.B PL

365556-AW-9 GARDNER DENVER INC TL 06/30/2021 SCHEDULED REDEMPTION 5,013 5,013 5,019 5,019 (6) (6) 5,013 62 02/28/2027 3.B FE

36874V-AM-0 GENERAC PWR SYSTEMS INC TL B 05/27/2021 SCHEDULED REDEMPTION 202,446 202,446 202,969 202,900 (455) (455) 202,446 1,936 12/11/2026 3.A FE

55316H-AB-1 GENESEE & WYOMING INC TL 06/30/2021 SCHEDULED REDEMPTION 10,000 10,000 9,400 9,443 557 557 10,000 112 12/30/2026 3.B FE

37233#-AD-9 GENNX/PAG ACQUI/PRECISION AVIATION DDTL 05/14/2021 EXCHANGE 381,160 385,011 385,011 385,011 385,011 (3,850) (3,850) 7,518 07/26/2024 3.A PL

37233#-AC-1 GENNX/PAG ACQUI/PRECISION AVIATION TL 06/30/2021 SCHEDULED REDEMPTION 19,432 19,432 19,262 6,660 174 174 19,432 140 07/26/2024 3.A PL

C7052B-AH-7 GFL ENVIRONMENTAL INC TL A 06/30/2021 SCHEDULED REDEMPTION 25,895 25,895 25,794 25,789 107 107 25,895 175 05/31/2025 3.C FE

38216@-AB-4 GOOD2GROW LLC MML 05/19/2021 SCHEDULED REDEMPTION 2,773,761 2,773,761 2,746,024 2,749,229 24,533 24,533 2,773,761 56,226 11/16/2024 3.A PL

40739E-AB-9 HAMILTON HOLDCO LLC CO TL B 1L 06/30/2021 SCHEDULED REDEMPTION 566,509 566,509 567,925 567,658 (1,149) (1,149) 566,509 6,366 07/02/2025 3.A FE

41024J-AB-0 HANDGARDS LLC MML 06/30/2021 SCHEDULED REDEMPTION 15,000 15,000 14,700 14,708 292 292 15,000 597 10/14/2026 3.C PL

41151P-AN-5 HARBOR FREIGHT TOOLS CO TL 04/30/2021 SCHEDULED REDEMPTION 12,509 12,509 12,458 52 52 12,509 150 10/19/2027 3.C FE

404122-BA-0 HCA INC CO ASSETS TL B12 06/30/2021 SCHEDULED REDEMPTION 2,942,407 2,942,407 2,938,729 2,939,248 3,159 3,159 2,942,407 24,730 03/13/2025 2.C FE

43162T-AK-6 HILLMAN GRP TL B C 06/30/2021 VARIOUS 1,066 1,069 1,053 1,055 135 135 1,190 (123) (123) 4,306 05/31/2025 4.C FE

44969C-BJ-8 IQVIA INC TL B3 06/30/2021 SCHEDULED REDEMPTION 10,127 10,127 10,165 10,158 (31) (31) 10,127 101 06/11/2025 3.A FE

46585#-AB-8 IVEX & INDUSPAC HOLDCO MML 06/30/2021 SCHEDULED REDEMPTION 50,000 50,000 49,500 49,504 496 496 50,000 1,111 12/17/2025 3.A PL

47008U-AC-0 JAGUAR INTERMEDIATE HLDGS MML 06/30/2021 SCHEDULED REDEMPTION 22,625 22,625 22,405 9,001 13,624 13,624 22,625 105 12/01/2026 2.C PL

47630E-AK-4 JENSEN HUGHES INCREMENTAL DDTL 04/01/2021 SCHEDULED REDEMPTION 8,266 8,266 8,266 8,266 8,266 9 03/22/2024 3.C PL

48283*-AA-5 KABAFUSION HLDGS LLC MML 06/30/2021 SCHEDULED REDEMPTION 27,500 27,500 27,363 27,395 105 105 27,500 691 01/28/2025 2.C PL

50082#-AC-6 KRAMER LABORATORIES INC INCRMNTL MML 06/30/2021 SCHEDULED REDEMPTION 2,740 2,740 2,699 2,701 39 39 2,740 91 06/22/2024 2.B PL

50082#-AA-0 KRAMER LABORATORIES INC MML 06/30/2021 SCHEDULED REDEMPTION 12,439 12,439 12,314 12,358 81 81 12,439 391 06/22/2024 2.B PL

53803H-AM-2 LIVE NATION ENTERTAINMENT TL B-4 06/30/2021 SCHEDULED REDEMPTION 4,137 4,137 4,158 4,155 (18) (18) 4,137 34 10/17/2026 4.A FE

50219N-AC-5 LSCS HLDGS INC. MML 06/30/2021 SCHEDULED REDEMPTION 2,078 2,078 2,068 2,071 8 8 2,078 47 03/16/2025 4.C FE

50219N-AE-1 LSCS HOLDINGS INC DDTL 06/30/2021 SCHEDULED REDEMPTION 429 429 429 429 429 10 03/16/2025 4.C FE

57058H-AB-9 MARKET PERFORMANCE GRP HLDGS MML 06/30/2021 SCHEDULED REDEMPTION 25,000 25,000 24,763 24,750 250 250 25,000 12/29/2026 3.A PL

57777P-AE-5 MAVIS TIRE EXPRESS SERVICES TL B-2 05/04/2021 SCHEDULED REDEMPTION 1,823,017 1,823,017 1,825,296 (2,279) (2,279) 1,823,017 6,330 03/20/2025 4.C FE

55292S-AB-5 MBS HLDGS INC MML 04/16/2021 SCHEDULED REDEMPTION 5,877,925 5,877,925 5,861,839 5,860,190 17,735 17,735 5,877,925 14,573 07/02/2023 3.A PL

58446H-AR-3 MEDIACOM TRANCHE N TERM LOAN 06/30/2021 SCHEDULED REDEMPTION 263,865 263,865 265,177 265,560 (1,695) (1,695) 263,865 2,438 02/15/2024 2.B FE

E05.1

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


60725#-AA-2 MOBILE COMMS AMERICA MML 06/30/2021 SCHEDULED REDEMPTION 15,014 15,014 14,959 14,956 58 58 15,014 199 03/04/2025 4.A PL

60848*-AB-6 MOLD-RITE PLASTICS LLC 06/30/2021 SCHEDULED REDEMPTION 2,595 2,595 2,582 2,591 3 3 2,595 68 12/14/2021 3.A PL

63108E-AB-4 NASCAR HLDGS INC TL B 06/30/2021 SCHEDULED REDEMPTION 164,947 164,947 166,184 166,068 (1,121) (1,121) 164,947 2,209 10/18/2026 3.C FE

64431#-AC-5 NEW ERA TECHNOLOGY DDTL 04/30/2021 SCHEDULED REDEMPTION 1,324,961 1,324,961 1,324,961 1,324,961 1,324,961 27,153 09/24/2025 2.C PL

64431#-AB-7 NEW ERA TECHNOLOGY MML 04/30/2021 SCHEDULED REDEMPTION 4,600,039 4,600,039 4,577,039 4,581,074 18,966 18,966 4,600,039 94,272 09/24/2025 2.C PL

647561-AA-7 NEW MOUNTAIN PARTNERS VI LP TL 06/10/2021 SCHEDULED REDEMPTION 72,243,526 72,243,526 72,243,526 72,243,526 13,112 06/04/2024 1.D Z

62910P-AF-0 NFP CORP TL 06/30/2021 SCHEDULED REDEMPTION 3,766 3,766 3,681 85 85 3,766 64 02/13/2027 4.B FE

62914D-AF-3 NGS US FINCO INCRMNTL MML 06/30/2021 SCHEDULED REDEMPTION 2,073 2,073 2,032 2,033 40 40 2,073 65 10/01/2025 4.A PL

62914D-AB-2 NGS US FINCO LLC MML 06/30/2021 SCHEDULED REDEMPTION 2,475 2,475 2,463 2,466 9 9 2,475 65 10/01/2025 4.A PL

65340M-AN-3 NIACET CORPORATION MML 05/11/2021 SCHEDULED REDEMPTION 7,842 7,842 7,803 7,810 31 31 7,842 215 02/01/2024 2.C PL

65957#-AA-0 NORTH HAVEN CS ACQUISITION MML 06/30/2021 SCHEDULED REDEMPTION 15,000 15,000 14,850 14,890 110 110 15,000 497 01/23/2025 3.A PL

65960C-AD-6 NORTH HAVEN SPARTAN US HOLDCO DDTL 06/30/2021 SCHEDULED REDEMPTION 848 848 845 846 3 3 848 26 06/06/2025 4.A PL

65960C-AC-8 NORTH HAVEN SPARTAN US HOLDCO MML 06/30/2021 SCHEDULED REDEMPTION 9,828 9,828 9,729 9,750 77 77 9,828 298 06/06/2025 4.A PL

665730-A*-8 NORTHERN STAR INDUSTRIES 06/30/2021 SCHEDULED REDEMPTION 5,939 5,939 5,904 4,025 35 35 5,939 57 03/28/2025 3.B PL

62890H-AC-9 NS412 LLC MML 06/30/2021 SCHEDULED REDEMPTION 15,000 15,000 14,850 14,884 116 116 15,000 434 05/06/2025 3.A PL

62981*-AA-1 NYX HOLCO INC MML 06/30/2021 SCHEDULED REDEMPTION 37,500 37,500 37,053 37,037 463 463 37,500 687 08/30/2026 3.A PL

68248K-AC-8 ONE WORLD FITNESS PFF TL 06/30/2021 SCHEDULED REDEMPTION 11,755 11,755 11,654 11,667 89 89 11,755 369 03/29/2025 3.B PL

67114C-AE-5 ONS MSO 2021-1 INCRMNTL MML 04/01/2021 SCHEDULED REDEMPTION 16,687 16,687 16,520 167 167 16,687 07/08/2025 2.B Z

67103*-AC-9 ONS MSO LLC 2020 INCREMENTAL MML 04/01/2021 SCHEDULED REDEMPTION 2,105 2,105 2,084 2,085 20 20 2,105 67 07/08/2025 2.B PL

67103*-AA-3 ONS MSO LLC MML 04/01/2021 SCHEDULED REDEMPTION 6,292 6,292 6,229 6,241 50 50 6,292 159 07/08/2025 2.B PL

68558U-AE-6 ORBIT PURCHASER LLC B 06/30/2021 SCHEDULED REDEMPTION 3,750 3,750 3,713 3,723 27 27 3,750 104 10/19/2024 2.C PL

68558U-AC-0 ORBIT PURCHASER LLC DDTL 06/30/2021 SCHEDULED REDEMPTION 3,387 3,387 3,387 3,387 3,387 94 10/18/2024 2.C PL

68558U-AD-8 ORBIT PURCHASER LLC MML 06/30/2021 SCHEDULED REDEMPTION 11,613 11,613 11,497 11,532 81 81 11,613 321 10/19/2024 2.C PL

L7300K-AJ-3 ORTHO-CLINICAL DIAGNOSTICS TL B 05/07/2021 MORGAN STANLEY CPTL 271,462 271,123 270,784 25 25 270,809 653 653 3,110 06/30/2025 4.A FE

12505M-AF-3 OUTFRONT MEDIA CAPITAL TL 04/21/2021 WELLS FARGO BANK, N.A. 324,768 328,048 330,919 298,871 31,525 31,525 330,395 (5,627) (5,627) 3,226 11/18/2026 3.B FE

70439@-AB-8 PAYMENT ALLIANCE INTERNATIONAL INC MML 04/01/2021 SCHEDULED REDEMPTION 5,775,000 5,775,000 5,724,073 5,730,996 44,004 44,004 5,775,000 91,237 01/31/2025 3.A PL

69338C-AH-4 PG&E CORP TL 06/30/2021 SCHEDULED REDEMPTION 8,185 8,185 8,179 6 6 8,185 47 06/23/2025 3.C FE

73178T-AC-3 POLYMER SOLUTIONS GRP MML 06/30/2021 SCHEDULED REDEMPTION 11,364 11,364 11,268 11,264 99 99 11,364 6,064 11/26/2026 3.B PL

69355H-AB-4 PPD INC CO ASSETS TL 06/30/2021 SCHEDULED REDEMPTION 8,125 8,125 8,084 41 41 8,125 101 01/06/2028 3.C FE

74174*-AB-1 PRIME BUYER LLC MML 06/30/2021 SCHEDULED REDEMPTION 25,000 25,000 24,625 24,626 374 374 25,000 825 12/22/2026 2.B PL

74588Y-A*-1 PUMA INT'L FINANCE SA D 06/15/2021 SCHEDULED REDEMPTION 1,250,000 1,250,000 1,243,125 1,246,898 3,102 3,102 1,250,000 18,623 09/14/2022 3.C

76168J-AR-7 RBS GLOBAL 2019 REFINANCING TL B 04/29/2021 CREDIT SUISSE SEC LLC 3,758,259 3,758,884 3,656,052 3,671,823 8,068 8,068 3,679,890 78,369 78,369 24,711 08/21/2024 3.A FE

76121Q-AH-9 RESOURCE LABEL GROUP 8TH AMEND AQUIS MML 06/21/2021 SCHEDULED REDEMPTION 35,651 35,651 35,472 35,475 176 176 35,651 743 05/26/2023 3.C PL

76121Q-AG-1 RESOURCE LABEL GRP 8TH AMEND AQUIS DDTL 06/21/2021 SCHEDULED REDEMPTION 30,165 30,165 30,165 30,165 81 05/26/2023 3.C PL

76121Q-AC-0 RESOURCE LABEL GRP LLC MML 06/21/2021 SCHEDULED REDEMPTION 83,614 83,614 82,801 83,163 451 451 83,614 2,325 05/26/2023 3.C PL

L8030P-AK-4 SAMSONITE IP HLDGS TL B2 06/21/2021 SCHEDULED REDEMPTION 997,487 997,487 1,008,709 (11,222) (11,222) 997,487 9,601 04/25/2025 4.A FE

48268J-AC-8 SARAH LEE MML 06/30/2021 SCHEDULED REDEMPTION 11,021 11,021 10,910 10,934 87 87 11,021 305 07/30/2025 4.A PL

78404X-AH-8 SBA SENIOR FINANCE II TL B 1L 06/30/2021 SCHEDULED REDEMPTION 20,311 20,311 19,960 19,989 323 323 20,311 191 04/11/2025 3.C FE

80585@-AA-1 SCALED AGILE HLDGS MML 04/01/2021 VARIOUS 311,838 311,838 308,989 321,713 (9,876) (9,876) 311,838 4,667 06/28/2024 2.A PL

82087U-AL-1 SHEARER'S FOODS LLC TL B 06/30/2021 SCHEDULED REDEMPTION 3,190 3,190 3,190 3,190 31 09/23/2027 4.C FE

83204E-AC-3 SMART WAVE TECHNOLOGIES MML 06/30/2021 SCHEDULED REDEMPTION 14,072 14,072 13,897 13,900 172 172 14,072 482 11/05/2026 3.A PL

83174#-AA-0 SMILE DOCTORS LLC MML 06/30/2021 SCHEDULED REDEMPTION 7,303 7,303 7,283 7,289 15 15 7,303 257 10/06/2022 3.A PL

83578B-AM-5 SOPHIA LP CLOSING DATE TL 06/30/2021 SCHEDULED REDEMPTION 5,625 5,625 5,585 5,584 41 41 5,625 64 10/07/2027 4.B FE

84744B-AE-0 SPECIALIST RESOURCES GLOBAL 2021 DDTL 06/30/2021 VARIOUS 2,232 2,232 2,221 11 11 2,232 25 09/30/2025 2.B Z

84744B-AD-2 SPECIALIST RESOURCES GLOBAL DDTL 06/30/2021 SCHEDULED REDEMPTION 3,750 3,750 3,731 1,947 1,803 1,803 3,750 74 09/23/2025 2.B PL

84744B-AC-4 SPECIALIST RESOURCES GLOBAL MML 06/30/2021 SCHEDULED REDEMPTION 11,250 11,250 11,138 11,157 93 93 11,250 321 09/23/2025 2.B PL

78484*-AA-9 SPI LLC MML 05/21/2021 SCHEDULED REDEMPTION 289,211 294,211 292,224 242,059 2,570 2,570 289,211 2,221 11/01/2023 2.C PL

78466Y-AM-0 SRS DISTRIBUTION INC TL B 06/04/2021 SCHEDULED REDEMPTION 1,492,443 1,492,443 1,484,981 1,485,452 6,991 6,991 1,492,443 28,047 05/23/2025 4.C FE

78466Y-AL-2 SRS DISTRIBUTION INITIAL TL 06/04/2021 SCHEDULED REDEMPTION 2,197,680 2,197,680 2,153,931 2,158,738 38,942 38,942 2,197,680 29,485 05/24/2025 4.C FE

78466D-BF-0 SS&C TECHNOLOGIES TL B5 06/30/2021 SCHEDULED REDEMPTION 10,590 10,590 10,522 10,531 59 59 10,590 99 04/16/2025 3.B FE

78472B-AC-4 SSJA BARIATRIC MANAGEMENT MML 06/30/2021 SCHEDULED REDEMPTION 15,000 15,000 14,850 14,884 116 116 15,000 471 08/26/2024 3.A PL

N8233B-AC-6 STARS GRP HLDGS BV TL B C 06/30/2021 SCHEDULED REDEMPTION 12,743 12,743 12,746 12,758 (15) (15) 12,743 239 07/10/2025 2.C FE

E05.1

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


86614D-AH-1 SUMMIT MATERIALS TL B 06/30/2021 SCHEDULED REDEMPTION 1,282 1,282 1,266 1,267 15 15 1,282 14 11/21/2024 3.A FE

69323#-AC-5 THE PROMPTCARE COS DDTL 1 06/30/2021 SCHEDULED REDEMPTION 1,636 1,636 1,620 1,622 14 14 1,636 50 12/30/2025 4.C PL

69323#-AD-3 THE PROMPTCARE COS DDTL 2 06/30/2021 SCHEDULED REDEMPTION 1,335 1,335 1,322 13 13 1,335 26 12/30/2025 4.C PL

69323#-AB-7 THE PROMPTCARE COS MML 06/30/2021 SCHEDULED REDEMPTION 11,727 11,727 11,612 11,624 103 103 11,727 359 12/30/2025 4.C PL

87250Y-AC-3 TI ACQUISITION NC MML 06/30/2021 SCHEDULED REDEMPTION 15,000 15,000 14,891 14,897 103 103 15,000 396 03/19/2027 2.A PL

88751E-AC-9 TINICUM VOLTAGE INTERMEDIATE 05/28/2021 SCHEDULED REDEMPTION 52,632 52,632 52,105 52,217 414 414 52,632 1,467 11/22/2024 3.A PL

88770Y-AG-3 TINUITI INC DDTL 06/30/2021 SCHEDULED REDEMPTION 1,961 1,961 1,961 1,961 10 12/10/2026 2.C PL

88770Y-AF-5 TINUITI INC MML 06/30/2021 SCHEDULED REDEMPTION 15,196 15,196 15,006 15,008 188 188 15,196 572 12/10/2026 2.C PL

G8890#-AA-3 TITULARIZADORA DE CENTAM LTD 2019-1 LN D 04/26/2021 SCHEDULED REDEMPTION 1,176,470 1,176,470 1,176,470 1,172,199 4,271 4,271 1,176,470 29,835 07/25/2024 3.C PL

89334G-AX-2 TRANS UNION 2019 REPLACEMENT TL B5 06/30/2021 VARIOUS 12,338 12,338 12,380 12,377 (39) (39) 12,338 600 11/13/2026 3.B FE

89388H-AF-4 TRANSPORTATION INSIGHT INCRMNTL MML 06/30/2021 SCHEDULED REDEMPTION 13,796 13,796 13,453 343 343 13,796 382 12/18/2024 3.B PL

89388H-AB-3 TRANSPORTATION INSIGHT MML 06/30/2021 SCHEDULED REDEMPTION 4,863 4,863 4,822 4,828 35 35 4,863 113 12/18/2024 3.B PL

90351H-AD-0 U.S. FOODSERVICE CO TL 1L 06/30/2021 SCHEDULED REDEMPTION 7,500 7,500 7,526 7,524 (24) (24) 7,500 80 09/13/2026 4.C FE

90932R-AJ-3 UNITED AIRLINES INC TL B 06/30/2021 SCHEDULED REDEMPTION 5,000 5,000 5,119 (119) (119) 5,000 0 04/14/2028 3.B FE

91136E-AJ-4 UNITED RENTALS NORTH AMERICA INITIAL TL 06/30/2021 SCHEDULED REDEMPTION 10,000 10,000 10,075 10,055 (55) (55) 10,000 94 10/31/2025 2.C FE

91335P-AE-9 UNIVAR USA INC TL B3 06/03/2021 SCHEDULED REDEMPTION 3,000,000 3,000,000 2,964,652 2,968,888 31,112 31,112 3,000,000 30,408 07/01/2024 2.C FE

91335P-AH-2 UNIVAR USA INC TL B5 06/30/2021 SCHEDULED REDEMPTION 2,497 2,497 2,447 2,449 48 48 2,497 27 07/01/2026 2.C FE

90351H-AB-4 US FOODS INITIAL TERM LOAN 06/30/2021 SCHEDULED REDEMPTION 171,908 171,908 171,987 171,969 (61) (61) 171,908 1,400 06/27/2023 4.C FE

91865F-AG-4 VACO HOLDINGS LLC MML 06/10/2021 SCHEDULED REDEMPTION 402,171 402,171 395,367 395,731 6,440 6,440 402,171 12,243 11/09/2023 2.C PL

91917L-AC-8 VALICOR PPC INTERMEDIATE II DDTL 06/30/2021 SCHEDULED REDEMPTION 980 980 980 980 980 2 07/24/2026 4.C PL

91917L-AD-6 VALICOR PPC INTERMEDIATE II MML 06/30/2021 SCHEDULED REDEMPTION 5,897 5,897 5,850 5,847 49 49 5,897 56 07/25/2026 4.C PL

92276A-AK-7 VENSURE EMPLOYER SVCS MML TERM B 06/30/2021 SCHEDULED REDEMPTION 13,730 13,730 13,593 137 137 13,730 03/26/2027 2.A PL

92531H-AD-9 VERSCEND HOLDING CORP TL B 06/04/2021 VARIOUS 4,007,500 4,000,000 4,021,875 (681) (681) 4,021,194 (13,694) (13,694) 26,249 08/27/2025 4.A FE

92549K-AC-4 VETCOR PROFESSIONAL PRACTICE TL 06/30/2021 SCHEDULED REDEMPTION 7,692 7,692 7,567 125 125 7,692 111 07/02/2025 4.B FE

93625#-AB-2 WARRIOR ACQUISITIONS MML 06/30/2021 SCHEDULED REDEMPTION 2,949 2,949 2,912 2,914 35 35 2,949 93 09/16/2026 2.C PL

98160U-AC-7 WORLDWIDE CLINICAL TRIALS INC 06/30/2021 SCHEDULED REDEMPTION 9,000 9,000 8,947 8,943 57 57 9,000 41 12/05/2024 4.C PL

03769D-AA-4 APIS GROWTH FUND II LP TL A1 D 06/09/2021 SCHEDULED REDEMPTION 10,535,031 10,535,031 10,535,031 03/16/2022 1.E Z

8299999. Subtotal - Bonds - Unaffiliated Bank Loans 143,511,916 133,012,023 143,130,186 47,949,861 262,323 262,323 143,386,857 125,059 125,059 825,795 XXX XXX

8399997. Total - Bonds - Part 4 2,162,493,787 2,153,314,757 2,127,200,963 1,674,550,663 (2,393,332) 18,412,750 (20,806,082) 3,318,109 2,127,002,065 (3,374,255) 11,797,514 8,423,259 65,044,708 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 2,162,493,787 2,153,314,757 2,127,200,963 1,674,550,663 (2,393,332) 18,412,750 (20,806,082) 3,318,109 2,127,002,065 (3,374,255) 11,797,514 8,423,259 65,044,708 XXX XXX

8999997. Total - Preferred Stocks - Part 4 XXX 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 XXX XXX XXX313786-2#-1 FHLB TOPEKA CLASS B 04/01/2021 EXCHANGE 206.000 20,600 20,601 13,920 1 1 20,601 (1) (1) 13,193

9199999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Other 20,600 XXX 20,601 13,920 1 1 20,601 (1) (1) 13,193 XXX XXX69434K-20-5 PACIFIC GLBL FOCUSED HIGH 04/16/2021 JANE STREET EXECUTION 5,000.000 127,649 125,100 127,200 (2,100) (2,100) 125,100 2,549 2,549 1,146

69448A-56-5 PF LARGE CAP VALUE, ADVISOR 04/01/2021 TRADE ADJUSTMENT 14,707.373 120,121 167,370 (1,362,777) (1,362,777) 120,121

9299999. Subtotal - Common Stocks - Parent, Subsidiaries and Affiliates Publicly Traded 247,770 XXX 125,100 294,570 (1,364,877) (1,364,877) 245,221 2,549 2,549 1,146 XXX XXX

9799997. Total - Common Stocks - Part 4 268,370 XXX 145,701 308,490 (1,364,876) (1,364,876) 265,822 2,548 2,548 14,339 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 268,370 XXX 145,701 308,490 (1,364,876) (1,364,876) 265,822 2,548 2,548 14,339 XXX XXX

9899999. Total - Preferred and Common Stocks 268,370 XXX 145,701 308,490 (1,364,876) (1,364,876) 265,822 2,548 2,548 14,339 XXX XXX

9999999 - Totals 2,162,762,158 XXX 2,127,346,664 1,674,859,152 (1,364,876) (2,393,332) 18,412,750 (22,170,958) 3,318,109 2,127,267,888 (3,374,255) 11,800,062 8,425,807 65,059,047 XXX XXX

E05.2

0


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

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

Description

Description of Item(s)Hedged,Used forIncome

Generationor Replicated

Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Exchange, Counterpartyor Central Clearinghouse

TradeDate

Date of Maturity

orExpiration

Numberof

ContractsNotional Amount

StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior

Year(s) Initial Cost

of Un-discounted Premium

(Received) Paid

Current Year Initial

Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income


Value Code Fair Value


(Decrease)

Total Foreign

Exchange Change in B./A.C.V.

Current Year’s

(Amorti-zation)/

Accretion

Adjustment to Carrying

Value of Hedged

ItemPotential Exposure

Credit Quality

ofRefer-ence Entity

HedgeEffectiveness at Inception

and at Quarter-end

(b)5 YR SPX ASIAN CALL

OPTION #2295 DUE MAT,

NEXT PMT 07/14/2021

INDEXED LIFE PRODUCTS

EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 07/14/2016 07/14/2021 6,210,000 2,164 914,733 (90,672) 4,771,301 ^ 4,771,301 613,976 (908,221) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 08/16/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/15/2016 08/16/2021 7,440,000 2,190 1,084,752 (107,466) 5,830,381 ^ 5,830,381 898,528 (1,057,440) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 09/14/2021


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 09/14/2016 09/14/2021 7,570,000 2,126 1,124,902 (111,505) 6,625,926 ^ 6,625,926 1,122,791 (1,078,698) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 10/14/2021


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 10/14/2016 10/14/2021 6,750,000 2,133 980,100 (97,151) 6,090,036 ^ 6,090,036 1,158,231 (923,742) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 11/15/2021


EXH 5 Equity/Index NATIXIS KX1WK48MPD4Y2NCUIZ63 11/14/2016 11/15/2021 9,030,000 2,164 1,393,329 (138,036) 8,144,512 ^ 8,144,512 1,748,908 (1,288,849) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 12/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 12/14/2016 12/14/2021 7,680,000 2,253 1,269,504 (125,838) 6,548,310 ^ 6,548,310 1,615,963 (1,154,095) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 01/14/2022



5 YR SPX ASIAN CALL


NEXT PMT 02/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/14/2017 02/14/2022 6,650,000 2,338 1,055,355 (104,611) 5,389,904 ^ 5,389,904 1,513,722 (923,580) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 03/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 03/14/2017 03/14/2022 6,520,000 2,365 1,078,408 (106,896) 5,215,752 ^ 5,215,752 1,538,457 (927,218) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 04/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/17/2017 04/14/2022 6,880,000 2,349 1,049,888 (104,240) 5,625,368 ^ 5,625,368 1,659,300 (884,601) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 05/16/2022


EXH 5 Equity/Index NATIXIS KX1WK48MPD4Y2NCUIZ63 05/15/2017 05/16/2022 6,540,000 2,402 1,003,890 (99,455) 5,104,329 ^ 5,104,329 1,554,415 (828,608) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 06/14/2022



5 YR SPX ASIAN CALL


NEXT PMT 07/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 07/14/2017 07/14/2022 5,880,000 2,459 914,928 (90,691) 4,346,300 ^ 4,346,300 1,350,350 (725,529) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 08/15/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 08/14/2017 08/15/2022 6,530,000 2,466 958,604 (94,968) 4,793,464 ^ 4,793,464 1,480,368 (743,482) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 09/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 09/14/2017 09/14/2022 8,370,000 2,496 1,232,901 (122,210) 5,970,330 ^ 5,970,330 1,861,088 (935,816) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 10/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 10/16/2017 10/14/2022 7,090,000 2,558 1,082,643 (107,433) 4,765,978 ^ 4,765,978 1,523,998 (803,672) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 11/14/2022



5 YR SPX ASIAN CALL


NEXT PMT 12/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/14/2017 12/14/2022 9,920,003 2,652 1,648,704 (163,426) 6,094,113 ^ 6,094,113 2,028,480 (1,169,262) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 01/17/2023


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 01/16/2018 01/17/2023 15,759,987 2,776 2,698,112 (267,301) 8,583,586 ^ 8,583,586 3,003,228 (1,863,720) 85/85

E06



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 02/14/2023


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 02/14/2018 02/14/2023 10,499,992 2,699 2,022,300 (200,458) 6,176,518 ^ 6,176,518 2,102,057 (1,365,551) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 03/14/2023


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


5 YR SPX ASIAN CALL


NEXT PMT 04/14/2023


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


5 YR SPX ASIAN CALL


NEXT PMT 05/15/2023


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 05/14/2018 05/15/2023 8,809,993 2,730 1,591,967 (157,715) 5,041,431 ^ 5,041,431 1,696,171 (996,831) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 06/14/2023


EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 06/14/2018 06/14/2023 9,489,988 2,782 1,731,925 (171,675) 5,167,458 ^ 5,167,458 1,767,721 (1,055,659) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 07/14/2023


EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 07/16/2018 07/14/2023 8,279,995 2,798 1,506,960 (149,539) 4,446,111 ^ 4,446,111 1,522,573 (893,105) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 08/14/2023


EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 08/14/2018 08/14/2023 10,450,002 2,840 1,920,710 (190,388) 5,402,710 ^ 5,402,710 1,876,731 (1,106,565) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 09/14/2023


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 09/14/2018 09/14/2023 8,910,009 2,905 1,685,774 (167,100) 4,335,199 ^ 4,335,199 1,546,964 (942,593) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 10/16/2023



5 YR SPX ASIAN CALL


NEXT PMT 11/14/2023


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 11/14/2018 11/14/2023 10,130,006 2,702 1,956,103 (193,896) 6,009,225 ^ 6,009,225 1,963,392 (1,028,400) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 12/14/2023


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


5 YR SPX ASIAN CALL


NEXT PMT 01/16/2024


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 01/14/2019 01/16/2024 15,659,991 2,583 2,715,444 (268,871) 10,396,800 ^ 10,396,800 3,185,822 (1,335,440) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 02/14/2024


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/14/2019 02/14/2024 7,360,012 2,746 1,260,032 (124,899) 4,212,272 ^ 4,212,272 1,372,287 (598,964) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 03/14/2024


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 03/14/2019 03/14/2024 6,480,006 2,808 1,104,840 (109,456) 3,506,352 ^ 3,506,352 1,166,688 (507,972) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 04/15/2024


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/15/2019 04/15/2024 8,270,007 2,906 1,395,149 (138,217) 4,097,036 ^ 4,097,036 1,410,835 (617,012) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 05/14/2024



5 YR SPX ASIAN CALL


NEXT PMT 06/14/2024


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


2 YR SPX CALL SPREAD


NEXT PMT 07/14/2021


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 07/15/2019 07/14/2021 25,719,997 3,014/3,768 2,127,044 (527,390) 6,423,985 ^ 6,423,985 1,948,147 (2,089,165) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 07/15/2024



E06.1



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)2 YR SPX CALL SPREAD


NEXT PMT 08/16/2021


EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 08/14/2019 08/16/2021 37,159,991 2,841/3,551 3,177,180 (784,542) 9,208,265 ^ 9,208,265 2,337,286 (2,977,794) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 08/14/2024


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/14/2019 08/14/2024 12,260,001 2,841 1,781,378 (176,480) 6,516,704 ^ 6,516,704 2,134,128 (669,845) 85/85



NEXT PMT 09/14/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 09/16/2019 09/14/2021 34,770,010 2,998/3,747 3,031,944 (752,787) 8,465,850 ^ 8,465,850 2,575,662 (2,720,016) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 09/16/2024





NEXT PMT 10/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 10/14/2019 10/14/2021 27,860,009 2,966/3,708 2,451,680 (607,051) 6,710,947 ^ 6,710,947 1,984,494 (2,099,523) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 10/14/2024


EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10/14/2019 10/14/2024 9,999,989 2,966 1,519,000 (150,487) 4,773,114 ^ 4,773,114 1,642,568 (520,467) 85/85



NEXT PMT 11/15/2021


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 11/14/2019 11/15/2021 31,909,998 3,097/3,871 2,753,833 (680,934) 7,440,315 ^ 7,440,315 2,459,638 (2,238,430) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 11/14/2024


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 11/14/2019 11/14/2024 11,630,013 3,097 1,788,694 (177,205) 4,945,884 ^ 4,945,884 1,787,673 (582,525) 85/85



NEXT PMT 12/14/2021



5 YR SPX ASIAN CALL


NEXT PMT 12/16/2024


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 01/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 01/14/2020 01/14/2022 39,029,989 3,283/4,104 3,235,587 (801,151) 8,439,027 ^ 8,439,027 3,270,084 (2,363,616) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 01/14/2025


EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 01/14/2020 01/14/2025 16,630,008 3,283 2,514,456 (249,106) 6,007,998 ^ 6,007,998 2,315,552 (734,931) 85/85



NEXT PMT 02/14/2022


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 02/14/2020 02/14/2022 26,959,987 3,380/4,225 2,146,016 (531,366) 5,550,131 ^ 5,550,131 2,362,989 (1,476,670) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 02/14/2025


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 03/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 03/16/2020 03/14/2022 37,420,006 2,386/2,959 3,715,806 (923,847) 8,670,938 ^ 8,670,938 1,863,134 (2,409,149) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 03/14/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 03/16/2020 03/14/2025 13,160,008 2,386 2,296,420 (227,879) 10,612,482 ^ 10,612,482 2,977,427 (594,249) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 04/14/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/14/2020 04/14/2025 18,590,009 2,846 2,939,079 (291,333) 10,073,567 ^ 10,073,567 3,293,520 (713,041) 85/85



NEXT PMT 04/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/14/2020 04/14/2022 35,689,991 2,846/3,529 3,279,911 (813,238) 7,832,040 ^ 7,832,040 2,131,908 (1,990,412) 85/85



NEXT PMT 05/16/2022



E06.2



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 05/14/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 05/14/2020 05/14/2025 16,780,002 2,853 2,753,598 (272,947) 9,070,020 ^ 9,070,020 2,976,438 (622,802) 85/85



NEXT PMT 06/14/2022



5 YR SPX ASIAN CALL


NEXT PMT 06/16/2025


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


1 YR HSI CALL SPREAD


NEXT PMT 07/14/2021


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 07/14/2020 07/14/2021 1,369,946 25,478/28,026 56,189 (27,864) 130,393 ^ 130,393 86,130 (54,188) 85/85



NEXT PMT 07/14/2021



1 YR SX5E CALL SPREAD


NEXT PMT 07/14/2021


EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 07/14/2020 07/14/2021 11,290,002 3,321/3,654 508,050 (251,937) 1,127,054 ^ 1,127,054 727,095 (489,955) 85/85



NEXT PMT 07/14/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 07/14/2020 07/14/2021 426,109,989 3,198/3,485 20,240,225 (10,036,934) 38,287,376 ^ 38,287,376 17,509,952 (19,519,340) 85/85



NEXT PMT 07/14/2021


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 07/14/2020 07/14/2021 232,769,991 3,198/3,352 6,424,452 (3,185,824) 11,223,718 ^ 11,223,718 5,188,222 (6,195,636) 85/85



NEXT PMT 07/14/2021


EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 07/14/2020 07/14/2021 10,260,010 3,229/3,453 382,698 (189,776) 716,997 ^ 716,997 329,599 (369,068) 85/85



NEXT PMT 07/14/2021





NEXT PMT 07/14/2021





NEXT PMT 07/14/2021





NEXT PMT 07/14/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 07/14/2020 07/14/2021 69,220,009 3,198/3,581 4,090,902 (2,028,639) 8,292,856 ^ 8,292,856 3,775,277 (3,945,199) 85/85

1 YR SPX CALL OPTION

#3445 DUE MAT, NEXT

PMT 07/14/2021


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 07/14/2020 07/14/2021 34,029,990 3,453 1,582,395 (784,695) 8,963,231 ^ 8,963,231 5,254,702 (1,526,036) 85/85

1 YR EEM CALL SPREAD


NEXT PMT 07/14/2021


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 07/14/2020 07/14/2021 11,290,000 43/47 526,114 (260,895) 1,126,409 ^ 1,126,409 488,996 (507,376) 85/85



NEXT PMT 07/14/2022



5 YR SPX ASIAN CALL


NEXT PMT 07/14/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 07/14/2020 07/14/2025 11,789,992 3,198 1,827,450 (181,144) 4,744,875 ^ 4,744,875 1,744,275 (352,280) 85/85



NEXT PMT 08/16/2021





NEXT PMT 08/16/2021



E06.3



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 08/16/2021





NEXT PMT 08/16/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 08/14/2020 08/16/2021 247,549,988 3,373/3,536 6,681,375 (3,295,174) 11,781,153 ^ 11,781,153 5,969,728 (5,843,927) 85/85



NEXT PMT 08/16/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA

KB1H1DSPRFMYMCUFXT09 08/14/2020 08/16/2021 11,669,994 3,407/3,643 414,285 (204,320) 802,741 ^ 802,741 406,263 (362,358) 85/85



NEXT PMT 08/16/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 08/16/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA

KB1H1DSPRFMYMCUFXT09 08/14/2020 08/16/2021 111,019,989 3,373/3,778 6,161,610 (3,038,832) 13,051,469 ^ 13,051,469 6,637,120 (5,389,310) 85/85


#3474 DUE MAT, NEXT

PMT 08/16/2021


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 08/14/2020 08/16/2021 46,199,984 3,643 1,921,920 (947,868) 9,020,429 ^ 9,020,429 5,861,395 (1,681,025) 85/85



NEXT PMT 08/16/2021


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 08/14/2020 08/16/2021 14,520,000 44/49 641,784 (316,520) 1,404,446 ^ 1,404,446 638,281 (561,342) 85/85



NEXT PMT 08/15/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/14/2020 08/15/2022 45,130,015 3,373/4,182 3,971,440 (983,352) 8,391,597 ^ 8,391,597 3,307,792 (1,743,957) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 08/14/2025


EXH 5 Equity/Index

CREDIT SUISSE




NEXT PMT 09/14/2021





NEXT PMT 09/14/2021





NEXT PMT 09/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 09/14/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 09/14/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 09/14/2021





NEXT PMT 09/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 09/14/2020 09/14/2021 11,720,007 3,384/3,595 401,293 (198,997) 709,942 ^ 709,942 366,541 (318,835) 85/85



NEXT PMT 09/14/2021





NEXT PMT 09/14/2021


EXH 5 Equity/Index

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 09/14/2020 09/14/2021 14,830,000 45/49 619,894 (307,399) 1,257,183 ^ 1,257,183 591,020 (492,519) 85/85



NEXT PMT 09/14/2022



E06.4



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 09/15/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 09/14/2020 09/15/2025 23,500,005 3,384 3,720,050 (368,544) 8,112,910 ^ 8,112,910 3,186,567 (590,484) 85/85



NEXT PMT 09/14/2021





NEXT PMT 10/15/2021


EXH 5 Equity/Index

GOLDMAN SACHS

INTERNATIONAL W22LROWP2IHZNBB6K528 10/14/2020 10/15/2021 12,319,978 24,667/26,887 409,024 (202,277) 933,017 ^ 933,017 467,774 (290,564) 85/85



NEXT PMT 10/14/2021


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10/14/2020 10/14/2021 12,320,004 3,273/3,568 485,408 (240,709) 1,026,912 ^ 1,026,912 577,538 (345,770) 85/85



NEXT PMT 10/14/2021





NEXT PMT 10/14/2021





NEXT PMT 10/14/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 10/14/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 10/14/2021





NEXT PMT 10/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 10/14/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA



#3547 DUE MAT, NEXT

PMT 10/14/2021


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 10/14/2020 10/14/2021 32,659,987 3,838 1,146,366 (568,472) 4,630,075 ^ 4,630,075 3,268,130 (816,589) 85/85



NEXT PMT 10/14/2021


EXH 5 Equity/Index

CREDIT SUISSE




NEXT PMT 10/14/2022



5 YR SPX ASIAN CALL


NEXT PMT 10/14/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 10/14/2020 10/14/2025 23,809,998 3,489 3,771,504 (373,846) 7,532,227 ^ 7,532,227 3,064,648 (537,016) 85/85



NEXT PMT 10/15/2021


EXH 5 Equity/Index

GOLDMAN SACHS




NEXT PMT 10/14/2021





NEXT PMT 11/15/2021


EXH 5 Equity/Index

GOLDMAN SACHS




NEXT PMT 11/15/2021



E06.5



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 11/15/2021





NEXT PMT 11/15/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 11/15/2021





NEXT PMT 11/15/2021


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 11/16/2020 11/15/2021 2,100,017 3,627/3,899 80,430 (39,994) 140,472 ^ 140,472 85,236 (50,158) 85/85



NEXT PMT 11/15/2021





NEXT PMT 11/15/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 11/15/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 11/16/2020 11/15/2021 105,459,988 3,627/4,026 5,262,454 (2,616,770) 10,162,984 ^ 10,162,984 6,285,315 (3,281,805) 85/85


#3592 DUE MAT, NEXT

PMT 11/15/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 11/16/2020 11/15/2021 34,809,994 3,990 1,040,819 (517,550) 3,637,865 ^ 3,637,865 2,786,122 (649,082) 85/85



NEXT PMT 11/15/2021


EXH 5 Equity/Index

CREDIT SUISSE




NEXT PMT 11/14/2022


EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 11/16/2020 11/14/2022 48,410,000 3,627/4,389 3,843,754 (955,659) 7,074,045 ^ 7,074,045 3,474,098 (1,198,533) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 11/14/2025


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 12/14/2021





NEXT PMT 12/14/2021





NEXT PMT 12/14/2021





NEXT PMT 12/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 12/14/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/14/2020 12/14/2021 14,029,997 3,684/3,903 433,527 (214,982) 730,239 ^ 730,239 450,301 (236,361) 85/85



NEXT PMT 12/14/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/14/2020 12/14/2021 1,629,990 3,647/3,921 63,570 (31,524) 106,274 ^ 106,274 65,426 (34,659) 85/85



NEXT PMT 12/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 12/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.6



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 12/14/2021


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/14/2020 12/14/2021 132,490,004 3,647/4,049 6,876,231 (3,409,857) 12,418,029 ^ 12,418,029 7,853,638 (3,748,959) 85/85


#3621 DUE MAT, NEXT

PMT 12/14/2021


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 12/14/2021


EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12/14/2020 12/14/2021 16,560,000 50/54 684,590 (339,482) 1,066,111 ^ 1,066,111 638,509 (373,242) 85/85



NEXT PMT 12/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/14/2020 12/14/2022 58,950,004 3,647/4,413 4,804,425 (1,191,234) 8,461,651 ^ 8,461,651 4,234,462 (1,309,699) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 12/15/2025


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 12/14/2021





NEXT PMT 01/14/2022





NEXT PMT 01/14/2022





NEXT PMT 01/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 01/14/2021 01/14/2022 284,259,985 3,796/3,973 7,447,612 (3,427,942) 10,998,509 ^ 10,998,509 6,978,839 (3,427,942) 85/85



NEXT PMT 01/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 01/14/2021 01/14/2022 16,370,012 3,834/4,061 507,470 (233,575) 795,301 ^ 795,301 521,406 (233,575) 85/85



NEXT PMT 01/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 01/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 01/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 01/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA



#3654 DUE MAT, NEXT

PMT 01/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 01/14/2022


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 01/14/2021 01/14/2022 23,080,000 55/60 932,432 (429,174) 824,955 ^ 824,955 321,697 (429,174) 85/85



NEXT PMT 01/17/2023


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


5 YR SPX ASIAN CALL


NEXT PMT 01/14/2026


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 02/14/2022



E06.7



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 02/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 02/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 02/16/2021 02/14/2022 26,369,982 3,972/4,208 817,206 (303,920) 1,172,398 ^ 1,172,398 659,111 (303,920) 85/85



NEXT PMT 02/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 02/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 02/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 02/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3699 DUE MAT, NEXT

PMT 02/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/16/2021 02/14/2022 38,059,999 4,326 1,282,622 (477,008) 1,844,748 ^ 1,844,748 1,039,134 (477,008) 85/85



NEXT PMT 02/14/2023


EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 02/16/2021 02/14/2023 54,340,017 3,933/4,758 4,493,918 (833,350) 6,265,739 ^ 6,265,739 2,605,171 (833,350) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 02/17/2026





NEXT PMT 01/17/2023


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 01/17/2023 699,982 3,796/4,593 61,757 (11,188) 90,915 ^ 90,915 40,346 (11,188) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 01/14/2026


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 01/14/2026 1,399,965 3,796 258,986 (18,157) 345,388 ^ 345,388 104,559 (18,157) 85/85



NEXT PMT 12/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 12/14/2022 699,859 3,647/4,413 72,016 (13,723) 100,505 ^ 100,505 42,211 (13,723) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 12/15/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 12/15/2025 1,199,863 3,647 254,709 (18,162) 336,568 ^ 336,568 100,022 (18,162) 85/85



NEXT PMT 11/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 11/14/2022 1,999,928 3,627/4,389 210,166 (41,966) 292,311 ^ 292,311 124,111 (41,966) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 11/14/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 11/14/2025 1,200,174 3,627 257,328 (18,679) 339,924 ^ 339,924 101,276 (18,679) 85/85



NEXT PMT 10/14/2022


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 10/14/2022 600,108 3,489/4,222 71,050 (14,926) 93,936 ^ 93,936 37,813 (14,926) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 10/14/2025


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/26/2021 10/14/2025 699,893 3,489 170,241 (12,584) 223,016 ^ 223,016 65,359 (12,584) 85/85



NEXT PMT 03/14/2022





NEXT PMT 03/14/2022


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 03/15/2021 03/14/2022 197,889,999 3,969/4,154 5,046,195 (1,497,223) 6,890,039 ^ 6,890,039 3,341,067 (1,497,223) 85/85

E06.8



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 03/14/2022





NEXT PMT 03/14/2022


EXH 5 Equity/Index

CREDIT SUISSE




NEXT PMT 03/14/2022





NEXT PMT 03/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 03/14/2022


EXH 5 Equity/Index

CREDIT SUISSE



#3738 DUE MAT, NEXT

PMT 03/14/2022


EXH 5 Equity/Index

CREDIT SUISSE




NEXT PMT 03/14/2023


EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 03/15/2021 03/14/2023 59,940,003 3,969/4,802 4,813,182 (713,064) 6,631,565 ^ 6,631,565 2,531,447 (713,064) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 03/16/2026





NEXT PMT 04/14/2022





NEXT PMT 04/14/2022





NEXT PMT 04/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 04/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 04/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 04/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 04/14/2022




#3776 DUE MAT, NEXT

PMT 04/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/14/2021 04/14/2022 12,550,020 4,537 303,710 (64,902) 353,891 ^ 353,891 115,083 (64,902) 85/85



NEXT PMT 04/14/2023


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 04/14/2021 04/14/2023 62,499,983 4,125/4,991 4,789,375 (511,741) 5,803,139 ^ 5,803,139 1,525,505 (511,741) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 04/14/2026


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/14/2021 04/14/2026 18,979,994 4,125 3,108,924 (132,802) 3,571,644 ^ 3,571,644 595,522 (132,802) 85/85



NEXT PMT 05/16/2022



E06.9



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 05/16/2022


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 05/14/2021 05/16/2022 186,790,013 4,174/4,355 4,477,356 (585,594) 5,101,754 ^ 5,101,754 1,209,992 (585,594) 85/85



NEXT PMT 05/16/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 05/14/2021 05/16/2022 36,320,008 4,216/4,435 973,013 (127,261) 1,128,449 ^ 1,128,449 282,697 (127,261) 85/85



NEXT PMT 05/16/2022


EXH 5 Equity/Index

CREDIT SUISSE




NEXT PMT 05/16/2022





NEXT PMT 05/16/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 05/16/2022


EXH 5 Equity/Index

CREDIT SUISSE



#3839 DUE MAT, NEXT

PMT 05/16/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 05/14/2021 05/16/2022 14,220,015 4,529 402,995 (52,708) 457,674 ^ 457,674 107,387 (52,708) 85/85



NEXT PMT 05/15/2023


EXH 5 Equity/Index

GOLDMAN SACHS

INTERNATIONAL W22LROWP2IHZNBB6K528 05/14/2021 05/15/2023 48,419,999 4,174/4,967 3,534,660 (232,098) 4,022,795 ^ 4,022,795 720,233 (232,098) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 05/14/2026


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 05/14/2021 05/14/2026 25,840,013 4,174 4,240,344 (111,466) 4,706,876 ^ 4,706,876 577,998 (111,466) 85/85

1 YR SX5E CALL OPTION

#3872 DUE MAT, NEXT

PMT 06/14/2022


EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 06/14/2021 06/14/2022 14,830,004 4,133/4,484 501,254 (23,346) 446,644 ^ 446,644 (31,264) (23,346) 85/85



NEXT PMT 06/14/2022





NEXT PMT 06/14/2022


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 06/14/2021 06/14/2022 175,290,011 4,255/4,439 4,229,748 (197,002) 4,391,208 ^ 4,391,208 358,462 (197,002) 85/85



NEXT PMT 06/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 06/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 06/14/2022





NEXT PMT 06/14/2022


EXH 5 Equity/Index

WELLS FARGO BANK NA




NEXT PMT 06/14/2022


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 06/14/2021 06/14/2022 184,479,986 4,255/4,702 8,736,973 (406,928) 9,243,098 ^ 9,243,098 913,053 (406,928) 85/85


#3880 DUE MAT, NEXT

PMT 06/14/2022


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06/14/2021 06/14/2022 55,570,004 4,617 1,398,141 (65,119) 1,476,116 ^ 1,476,116 143,094 (65,119) 85/85



NEXT PMT 06/14/2022


EXH 5 Equity/Index

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 06/14/2021 06/14/2022 14,830,000 55/60 551,676 (25,695) 516,558 ^ 516,558 (9,424) (25,695) 85/85

E06.1

0



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 06/14/2023


EXH 5 Equity/Index

GOLDMAN SACHS

INTERNATIONAL W22LROWP2IHZNBB6K528 06/14/2021 06/14/2023 51,409,999 4,255/5,064 3,711,802 (86,439) 3,883,654 ^ 3,883,654 258,291 (86,439) 85/85

5 YR SPX ASIAN CALL


NEXT PMT 06/15/2026


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06/14/2021 06/15/2026 19,469,992 4,255 3,144,405 (29,258) 3,335,808 ^ 3,335,808 220,661 (29,258) 85/85

1 YR EEM CALL OPTION

#3884 DUE MAT, NEXT

PMT 06/14/2022


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 06/14/2021 06/14/2022 2,500,000 55 197,500 (9,199) 173,325 ^ 173,325 (14,976) (9,199) 85/85


#3885 DUE MAT, NEXT

PMT 06/14/2022


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 06/14/2021 06/14/2022 3,249,998 4,255 215,800 (10,051) 227,328 ^ 227,328 21,579 (10,051) 85/85

1 YR SX5E CALL OPTION

#3886 DUE MAT, NEXT

PMT 06/14/2022


EXH 5 Equity/Index BNP PARIBAS R0MUWSFPU8MPRO8K5P83 06/14/2021 06/14/2022 2,750,003 4,133 143,549 (6,687) 126,564 ^ 126,564 (10,290) (6,684) 85/85

0019999999. Subtotal - Purchased Options - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 - Call Options and Warrants 694,218,170 (213,758,008) 1,314,152,521 XXX 1,314,152,521 572,999,003 (328,751,471) XXX XXX

0079999999. Subtotal - Purchased Options - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 694,218,170 (213,758,008) 1,314,152,521 XXX 1,314,152,521 572,999,003 (328,751,471) XXX XXX

0149999999. Subtotal - Purchased Options - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 XXX XXX XXX

2 YR BEI CALL OPTION

#3033

EQUITY INDEXED ANNUITY

EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 07/08/2019 07/01/2021 2,543,770 124 104,050 212,663 212,663 109,026 (26,013) 0001


#3049


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3052


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3056


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3060


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3066


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3082


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3088


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3093


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3096


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3100


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3117


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.1

1



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3122


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3127


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3143


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3148


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3151


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3161


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3181


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3200


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3206


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3210


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3215


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3218


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3236


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3241


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3244


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 01/06/2020 12/30/2021 694,983 126 29,242 46,185 46,185 23,229 (7,311) 0001


#3247


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3265


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3270


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3275


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.1

2



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3279


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3298


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3307


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3311


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3316


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3320


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3337


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3341


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3344


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3346


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3363


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3366


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3370


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3372


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3390


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3392


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3396


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3400


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3404


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.1

3



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3421


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3425


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3429


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3431


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 07/13/2020 07/06/2021 33,794,969 3,267 2,622,154 10,785,981 10,785,981 6,161,633 (1,325,726) 0001


OPTION #3432


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 07/13/2020 07/06/2021 50,469,597 3,157/3,292 1,286,629 2,103,212 2,103,212 988,588 (650,502) 0001


#3433


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3434


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3449


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 07/20/2020 07/13/2021 29,333,911 3,324 1,944,189 8,801,046 8,801,046 5,035,479 (982,956) 0001


OPTION #3450


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 07/20/2020 07/13/2021 47,111,843 3,197/3,334 1,195,169 1,993,249 1,993,249 954,624 (604,261) 0001


#3451


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3452


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3453


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 07/27/2020 07/20/2021 35,245,038 3,357 2,164,355 10,228,816 10,228,816 5,863,547 (1,094,269) 0001


OPTION #3454


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 07/27/2020 07/20/2021 51,493,817 3,241/3,377 1,238,235 2,164,940 2,164,940 1,040,654 (626,035) 0001


#3455


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3456


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3457


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/03/2020 07/27/2021 31,187,728 3,357 2,235,966 8,876,673 8,876,673 5,240,696 (1,130,474) 0001


OPTION #3458


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3459


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3460


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3461


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.1

4



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3462


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3463


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/10/2020 08/03/2021 36,194,714 3,434 2,432,877 9,286,030 9,286,030 5,706,338 (1,230,030) 0001


OPTION #3464


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL




NEXT PMT 08/16/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA

KB1H1DSPRFMYMCUFXT09 08/14/2020 08/16/2021 3,279,995 3,373/3,643 136,448 (67,295) 258,009 ^ 258,009 130,776 (119,346) 0001



NEXT PMT 08/16/2021


EXH 5 Equity/Index

WELLS FARGO BANK NA

KB1H1DSPRFMYMCUFXT09 08/14/2020 08/16/2021 2,929,995 3,395/3,530 65,339 (32,224) 115,448 ^ 115,448 58,654 (57,149) 0001


#3478


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/17/2020 08/10/2021 35,716,055 3,489 2,253,686 8,521,180 8,521,180 5,359,297 (1,139,433) 0001


OPTION #3479


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3480


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3481


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3482


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3483


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3484


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/24/2020 08/17/2021 36,058,146 3,512 2,355,600 8,279,774 8,279,774 5,319,934 (1,190,960) 0001


OPTION #3485


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3486


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 08/31/2020 08/24/2021 36,961,833 3,586 2,577,624 7,526,024 7,526,024 5,209,366 (1,303,212) 0001


OPTION #3487


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 08/31/2020 08/24/2021 52,237,198 3,453/3,602 1,329,647 2,187,605 2,187,605 1,226,375 (672,252) 0001


#3488


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3489


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3490


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3491


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3492


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 09/08/2020 08/31/2021 30,119,756 3,615 1,566,366 6,150,650 6,150,650 4,022,452 (794,152) 0001


OPTION #3493


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 09/08/2020 08/31/2021 42,352,600 3,492/3,644 946,080 1,855,410 1,855,410 973,853 (479,665) 0001

E06.1

5



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3496


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3497


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3498


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3499


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3509 DUE MAT, NEXT

PMT 09/14/2021


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 09/14/2020 09/14/2021 36,579,992 3,722 1,375,408 (682,052) 6,381,144 ^ 6,381,144 4,235,632 (1,092,790) 0001


#3514


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3515


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3516


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 09/21/2020 09/14/2021 34,933,141 3,469 1,914,560 8,971,988 8,971,988 5,211,087 (967,976) 0001


OPTION #3517


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3518


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3519




#3520


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3521


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3525


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3526


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3527


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3528


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3533


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3534


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3535


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 10/12/2020 10/05/2021 32,720,991 3,538 2,641,142 7,137,210 7,137,210 4,795,356 (1,335,326) 0001

E06.1

6



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


OPTION #3536




OPTION #3553


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3554


EXH 5 Equity/Index CITIBANK NA E57ODZWZ7FF32TWEFA76 10/19/2020 10/12/2021 36,225,103 3,617 2,199,698 7,269,019 7,269,019 4,791,944 (1,112,138) 0001


#3555


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3556


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3563


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3564


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3565


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3566


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3567


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3568


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3569


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3570


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3574


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 11/09/2020 11/02/2021 38,609,772 3,506 3,626,154 8,593,536 8,593,536 5,840,945 (1,833,335) 0001


OPTION #3575


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3576


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3577


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3579


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3580


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3581


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 11/16/2020 11/09/2021 38,211,410 3,665 2,619,242 6,991,620 6,991,620 4,895,057 (1,324,254) 0001

E06.1

7



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


OPTION #3582


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3596


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3597


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3598




OPTION #3599




#3600


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3601


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3602


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 11/30/2020 11/23/2021 44,196,585 3,741 2,499,521 7,310,249 7,310,249 5,143,144 (1,263,724) 0001


OPTION #3603


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3604


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3605


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3606


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/07/2020 11/30/2021 44,428,734 3,787 2,647,208 6,749,650 6,749,650 5,008,388 (1,338,393) 0001


OPTION #3607


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3608


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3609


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3610


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3611


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3628


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3629


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3630


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/21/2020 12/14/2021 52,169,410 3,821 3,033,108 7,592,348 7,592,348 5,710,979 (1,533,499) 0001


OPTION #3631



E06.1

8



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


OPTION #3632


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3633


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 12/28/2020 12/21/2021 44,853,008 3,842 2,615,613 6,273,336 6,273,336 4,806,102 (1,322,419) 0001


#3634


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3635


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3636


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3637


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3638


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 01/04/2021 12/27/2021 39,384,405 3,865 2,074,970 5,404,895 5,404,895 4,364,504 (1,034,579) 0001


OPTION #3639


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 01/04/2021 12/27/2021 40,513,148 3,728/3,896 999,890 1,575,568 1,575,568 1,074,223 (498,544) 0001


#3641


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3642


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3643


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 01/11/2021 01/04/2022 40,569,608 3,913 2,512,318 4,979,400 4,979,400 3,667,100 (1,200,018) 0001


OPTION #3644




#3662


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3663


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3664


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 01/19/2021 01/11/2022 44,306,553 3,945 2,455,807 5,203,432 5,203,432 3,868,904 (1,121,279) 0001


OPTION #3665




#3668


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3669


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3670


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 01/25/2021 01/18/2022 42,732,225 3,943 2,785,473 5,011,099 5,011,099 3,447,188 (1,221,562) 0001


OPTION #3671


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3674


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.1

9



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3675


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3676




OPTION #3677




#3680


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3681


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3682


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/08/2021 02/01/2022 62,351,473 3,949 4,551,179 7,244,948 7,244,948 4,511,698 (1,817,929) 0001


OPTION #3683




#3688


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3689


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3690


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 02/16/2021 02/08/2022 53,814,945 4,059 3,425,998 5,069,252 5,069,252 2,938,799 (1,295,546) 0001


OPTION #3691




#3702


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3703


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3704


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 02/22/2021 02/15/2022 48,852,476 4,076 2,764,728 4,544,639 4,544,639 2,776,140 (996,229) 0001


OPTION #3705


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3716


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3717


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3718




OPTION #3719




#3720


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3721


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.2

0



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3722


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3723




#3725


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3726


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3727




OPTION #3728




#3747


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3748


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3749


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3750




#3751


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3752


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3753


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 03/29/2021 03/22/2022 68,100,053 4,074 3,807,460 6,542,908 6,542,908 3,735,172 (999,724) 0001


OPTION #3754


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 03/29/2021 03/22/2022 57,059,172 3,919/4,082 1,389,477 1,792,876 1,792,876 768,234 (364,835) 0001


#3761


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3762


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3763


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3764




#3765


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3766


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3767


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/12/2021 04/05/2022 47,970,203 4,210 2,736,042 3,403,783 3,403,783 1,279,147 (611,406) 0001


OPTION #3768



E06.2

1



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



NEXT PMT 01/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 01/14/2022 9,980,903 3,796/4,213 693,889 (193,170) 779,925 ^ 779,925 279,207 (193,170) 0001



NEXT PMT 02/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 02/14/2022 14,942,122 3,933/4,365 943,447 (235,862) 1,085,336 ^ 1,085,336 377,751 (235,862) 0001



NEXT PMT 03/14/2022


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 03/14/2022 8,836,649 3,969/4,406 537,676 (123,082) 622,525 ^ 622,525 207,932 (123,082) 0001


#3812


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3813


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3814


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/19/2021 04/12/2022 36,585,848 4,298 1,825,572 2,111,515 2,111,515 658,196 (372,253) 0001


OPTION #3815


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3816


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3817


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3818


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 04/26/2021 04/19/2022 32,629,584 4,306 1,708,191 1,858,049 1,858,049 464,776 (314,918) 0001


OPTION #3819


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3820


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3821


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3822




OPTION #3823




#3828


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3829


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3830




OPTION #3831




#3842


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3843


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.2

2



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)1 YR SPX CALL OPTION

#3844


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 05/17/2021 05/10/2022 43,239,353 4,311 2,123,596 2,568,030 2,568,030 711,366 (266,932) 0001


OPTION #3845


EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 05/17/2021 05/10/2022 45,401,321 4,176/4,349 1,030,205 1,194,126 1,194,126 293,417 (129,495) 0001


#3847


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3848


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3849




OPTION #3850




#3851


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3852


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3853


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 06/01/2021 05/24/2022 36,909,845 4,303 1,910,992 2,274,624 2,274,624 524,219 (160,588) 0001


OPTION #3854


EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06/01/2021 05/24/2022 41,251,856 4,180/4,344 925,044 1,015,707 1,015,707 168,398 (77,735) 0001


#3860


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3861


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3862


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 06/07/2021 05/31/2022 47,421,794 4,330 2,464,520 2,764,509 2,764,509 465,208 (165,219) 0001


OPTION #3863


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3868


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3869


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3870


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 06/14/2021 06/07/2022 49,339,072 4,355 2,417,932 2,733,575 2,733,575 430,461 (114,818) 0001


OPTION #3871


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3890


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3891


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3892


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 06/21/2021 06/14/2022 50,772,084 4,346 2,483,146 2,929,515 2,929,515 515,730 (69,362) 0001


OPTION #3893


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.2

3



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3897


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 06/28/2021 06/21/2023 2,132,292 134 94,376 93,892 93,892 (93) (392) 0001


#3898


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3899


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 06/28/2021 06/21/2022 47,632,214 4,353 2,518,302 2,699,793 2,699,793 202,595 (21,103) 0001


OPTION #3900



0159999999. Subtotal - Purchased Options - Hedging Other - Call Options and Warrants 103,906,727 116,545,110 (1,333,685) 450,412,114 XXX 450,412,114 257,057,348 (82,318,030) XXX XXX4 MO SPX PUT OPTION

#3864 VARIABLE ANNUITY EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 06/08/2021 10/08/2021 101,527,200 3,808 1,552,800 983,919 983,919 (276,140) (292,741) 0001

6 MO SPX PUT OPTION

#3865 VARIABLE ANNUITY EXH 5 Equity/Index

CREDIT SUISSE

INTERNATIONAL E58DKGMJYYYJLN8C3868 06/08/2021 12/08/2021 101,527,200 3,385 1,215,600 873,215 873,215 (189,605) (152,780) 0001

8 MO SPX PUT OPTION


BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 06/08/2021 02/08/2022 101,551,200 3,385 1,688,160 1,347,973 1,347,973 (181,707) (158,480) 0001

5 MO SPX PUT OPTION

#3887 VARIABLE ANNUITY EXH 5 Equity/Index SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 06/15/2021 11/10/2021 102,009,360 3,700 1,513,920 1,167,870 1,167,870 (182,383) (163,667) 0001

6 MO SPX PUT OPTION


BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 06/15/2021 12/22/2021 101,956,817 3,600 1,724,400 1,379,865 1,379,865 (199,322) (145,213) 0001

7 MO SPX PUT OPTION

#3889 VARIABLE ANNUITY EXH 5 Equity/Index BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06/15/2021 01/19/2022 102,000,000 3,500 1,691,520 1,420,088 1,420,088 (147,284) (124,148) 0001

0169999999. Subtotal - Purchased Options - Hedging Other - Put Options 9,386,400 7,172,930 XXX 7,172,930 (1,176,441) (1,037,029) XXX XXX

0219999999. Subtotal - Purchased Options - Hedging Other 103,906,727 125,931,510 (1,333,685) 457,585,044 XXX 457,585,044 255,880,907 (83,355,059) XXX XXX

0289999999. Subtotal - Purchased Options - Replications XXX XXX XXX

0359999999. Subtotal - Purchased Options - Income Generation XXX XXX XXX

0429999999. Subtotal - Purchased Options - Other XXX XXX XXX

0439999999. Total Purchased Options - Call Options and Warrants 103,906,727 810,763,281 (215,091,693) 1,764,564,635 XXX 1,764,564,635 830,056,351 (411,069,502) XXX XXX

0449999999. Total Purchased Options - Put Options 9,386,400 7,172,930 XXX 7,172,930 (1,176,441) (1,037,029) XXX XXX

0459999999. Total Purchased Options - Caps XXX XXX XXX

0469999999. Total Purchased Options - Floors XXX XXX XXX

0479999999. Total Purchased Options - Collars XXX XXX XXX

0489999999. Total Purchased Options - Other XXX XXX XXX

0499999999. Total Purchased Options 103,906,727 820,149,681 (215,091,693) 1,771,737,565 XXX 1,771,737,565 828,879,910 (412,106,531) XXX XXX

21 MO SPX ASIAN CALL

OPTION #3177


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 11/08/2019 08/16/2021 922,819 2,190 (265,357) (513,220) ^ (513,220) (143,896) 74,234 85/85

29 MO SPX ASIAN CALL

OPTION #3178


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 11/08/2019 04/14/2022 645,047 2,349 (160,537) (401,405) (401,405) (143,712) 32,722 85/85


OPTION #3782


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 08/16/2021 17,694,178 3,373/3,676 (1,181,742) (1,265,396) ^ (1,265,396) (819,821) 736,167 85/85


OPTION #3783


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 09/14/2021 5,925,900 3,384/3,671 (367,847) (394,815) ^ (394,815) (212,109) 185,142 85/85


OPTION #3784


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



OPTION #3785


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


E06.2

4



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


#3787


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 07/14/2021 4,167,758 3,453 (732,173) (840,918) ^ (840,918) (733,972) 625,226 85/85


#3788


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 08/16/2021 7,391,715 3,643 (1,009,236) (1,166,263) ^ (1,166,263) (785,731) 628,705 85/85


#3789


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 04/16/2021 09/14/2021 7,345,777 3,722 (900,151) (1,038,796) ^ (1,038,796) (591,701) 453,056 85/85


#3790


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL



#3791


EXH 5 Equity/Index

MORGAN STANLEY &

CO. INTERNATIONAL


5 YR SPX ASIAN CALL

OPTION #3792


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 04/14/2022 639,655 2,349 (276,674) (293,851) ^ (293,851) (75,103) 57,926 85/85

5 YR SPX ASIAN CALL

OPTION #3793


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 05/16/2022 242,484 2,402 (101,788) (108,742) ^ (108,742) (26,539) 19,584 85/85

5 YR SPX ASIAN CALL

OPTION #3794


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 06/14/2022 409,714 2,438 (168,547) (180,393) ^ (180,393) (42,057) 30,211 85/85

5 YR SPX ASIAN CALL

OPTION #3795


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 07/14/2022 459,883 2,459 (186,893) (199,934) ^ (199,934) (44,327) 31,286 85/85

5 YR SPX ASIAN CALL

OPTION #3796


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 08/15/2022 932,307 2,466 (377,474) (403,580) ^ (403,580) (85,135) 59,029 85/85

5 YR SPX ASIAN CALL

OPTION #3797


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 09/14/2022 735,812 2,496 (292,862) (313,227) ^ (313,227) (63,499) 43,135 85/85

5 YR SPX ASIAN CALL

OPTION #3798


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 10/14/2022 309,376 2,558 (118,750) (127,183) ^ (127,183) (24,963) 16,529 85/85

5 YR SPX ASIAN CALL

OPTION #3799


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 11/14/2022 225,761 2,579 (85,603) (91,704) ^ (91,704) (17,376) 11,275 85/85

5 YR SPX ASIAN CALL

OPTION #3800


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 01/17/2023 890,500 2,776 (298,999) (321,847) ^ (321,847) (58,299) 35,451 85/85

5 YR SPX ASIAN CALL

OPTION #3801


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 02/14/2023 309,376 2,699 (109,321) (117,370) ^ (117,370) (20,468) 12,419 85/85

5 YR SPX ASIAN CALL

OPTION #3802


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 03/14/2023 438,979 2,749 (150,429) (161,663) ^ (161,663) (27,636) 16,403 85/85

5 YR SPX ASIAN CALL

OPTION #3803


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 04/14/2023 781,800 2,678 (280,397) (300,754) ^ (300,754) (49,629) 29,272 85/85

5 YR SPX ASIAN CALL

OPTION #3804


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 05/15/2023 275,930 2,730 (95,946) (103,001) ^ (103,001) (16,662) 9,607 85/85

5 YR SPX ASIAN CALL

OPTION #3805


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 08/14/2023 204,857 2,840 (66,771) (71,821) ^ (71,821) (11,020) 5,970 85/85

5 YR SPX ASIAN CALL

OPTION #3806


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 01/16/2024 3,415,673 2,583 (1,303,891) (1,397,711) ^ (1,397,711) (192,423) 98,603 85/85

5 YR SPX ASIAN CALL

OPTION #3807


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 02/14/2024 334,460 2,746 (116,526) (125,369) ^ (125,369) (17,408) 8,565 85/85

5 YR SPX ASIAN CALL

OPTION #3808


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 12/16/2024 484,967 3,191 (131,828) (143,950) ^ (143,950) (19,599) 7,477 85/85

5 YR SPX ASIAN CALL

OPTION #3809


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 02/14/2025 840,331 3,380 (203,173) (223,285) ^ (223,285) (31,141) 11,029 85/85

5 YR SPX ASIAN CALL

OPTION #3810


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 06/16/2025 585,305 3,067 (176,333) (191,468) ^ (191,468) (23,940) 8,805 85/85

5 YR SPX ASIAN CALL

OPTION #3811


EXH 5 Equity/Index

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 04/16/2021 11/14/2025 438,954 3,627 (94,983) (105,465) ^ (105,465) (14,797) 4,315 85/85

0509999999. Subtotal - Written Options - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 - Call Options and Warrants (425,894) (9,281,790) (11,099,412) XXX (11,099,412) (4,557,786) 3,474,136 XXX XXX

E06.2

5



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)

0569999999. Subtotal - Written Options - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 (425,894) (9,281,790) (11,099,412) XXX (11,099,412) (4,557,786) 3,474,136 XXX XXX

0639999999. Subtotal - Written Options - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 XXX XXX XXX

0709999999. Subtotal - Written Options - Hedging Other XXX XXX XXX

0779999999. Subtotal - Written Options - Replications XXX XXX XXX

0849999999. Subtotal - Written Options - Income Generation XXX XXX XXX

0919999999. Subtotal - Written Options - Other XXX XXX XXX

0929999999. Total Written Options - Call Options and Warrants (425,894) (9,281,790) (11,099,412) XXX (11,099,412) (4,557,786) 3,474,136 XXX XXX

0939999999. Total Written Options - Put Options XXX XXX XXX

0949999999. Total Written Options - Caps XXX XXX XXX

0959999999. Total Written Options - Floors XXX XXX XXX

0969999999. Total Written Options - Collars XXX XXX XXX

0979999999. Total Written Options - Other XXX XXX XXX

0989999999. Total Written Options (425,894) (9,281,790) (11,099,412) XXX (11,099,412) (4,557,786) 3,474,136 XXX XXX

1049999999. Subtotal - Swaps - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 XXX XXX XXX

1109999999. Subtotal - Swaps - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 XXX XXX XXX3M LIB/FIXED INT RATE

SWAP #1680 VARIABLE ANNUITY EXH 5

Interest

Rate BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12/03/2012 12/05/2022 35,000,000 1.66 (LIB3MO) 256,463 695,806 695,806 (292,546) 209,480 0002

3M LIB/FIXED INT RATE


Interest

Rate

ROYAL BANK OF

CANADA ES7IP3U3RHIGC71XBU11 04/11/2013 04/15/2043 42,000,000 2.91 (LIB3MO) 565,393 9,133,375 9,133,375 (4,002,223) 980,623 0002



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 04/26/2016 04/28/2026 8,000,000 1.81 (LIB3MO) 64,239 332,558 332,558 (236,101) 87,910 0002


SWAP #2833

G7334@AR4 RRPF ENGINE

LEASING LTD SR SEC FRN

SER X D 1

Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 01/18/2019 06/13/2028 25,000,000

4.52 (LIB6MOA6

1.58) 337,504 2,879,096 2,879,096 (1,191,376) 329,747 0005


SWAP #2834

G7334@AS2 RRPF ENGINE

LEASING LTD SR SEC FRN

SER Y D 1

Interest


4.69 (LIB6MOA6

1.67) 347,191 3,602,711 3,602,711 (1,468,749) 387,795 0005



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 02/04/2019 02/06/2029 80,000,000 2.77 (LIB3MO) 1,027,721 8,771,691 8,771,691 (3,989,127) 1,103,519 0002



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 02/04/2019 02/06/2029 80,000 2.77 (LIB3MO) 1,028 8,778 8,778 (3,990) 1,104 0002



Interest




Interest




Interest




Interest




Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 03/11/2019 03/13/2029 80,000,000 2.69 (LIB3MO) 996,712 8,367,721 8,367,721 (3,976,143) 1,110,449 0002



Interest


FIXED/3M LIB INT RATE

SWAP #2914

59833CAC6 MIDWEST

CONNECTOR CAPIT CO

GUARNT 144A D 1

Interest


LIB3MO 2.12

(4.63) (341,515) (2,672,328) (2,672,328) 1,462,826 417,822 0005


SWAP #2915

30216JAC9 EXPORT-

IMPORT BK INDIA SR NT

144A D 1

Interest


LIB3MO 1.46

(3.88) (276,578) (1,954,105) (1,954,105) 1,077,993 320,997 0005


SWAP #2922

913017CY3 UNITED

TECHNOLOGIES CORP SR

NT D 1

Interest


LIB3MO 1.8

(4.13) (265,657) (1,866,715) (1,866,715) 1,155,149 339,722 0005

E06.2

6



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)


SWAP #2923

874060AU0 TAKEDA

PHARMACEUTICAL SR NT

144A D 1

Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 04/10/2019 11/26/2028 23,000,000 LIB3MO 2.71 (5) (239,311) (1,631,226) (1,631,226) 1,059,345 313,123 0005


SWAP #2924

571748BG6 MARSH &

MCLENNAN COS INC SR NT

D 1

Interest


LIB3MO 1.98

(4.38) (219,215) (1,613,211) (1,613,211) 957,779 277,711 0005


SWAP #2925

200340AT4 COMERICA INC

SR NT D 1

Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 04/11/2019 02/01/2029 20,000,000 LIB3MO 1.56 (4) (223,304) (1,672,373) (1,672,373) 955,786 275,631 0005


SWAP #2926

980236AQ6 WOODSIDE

FINANCE LTD CO GUARNT

144A D 1

Interest


LIB3MO 2.01

(4.5) (228,158) (1,744,013) (1,744,013) 966,739 277,168 0005


SWAP #2927

524660AZ0 LEGGETT &

PLATT INC SR NT D 1

Interest


LIB3MO 1.91

(4.4) (228,402) (1,751,588) (1,751,588) 969,036 277,711 0005


SWAP #2928

74949LAC6 RELX CAPITAL

INC CO GUARNT D 1

Interest



SWAP #2929

482480AG5 KLA-TENCOR

CORP SR NT D 1

Interest


LIB3MO 1.55

(4.1) (234,602) (1,849,795) (1,849,795) 976,608 277,711 0005


SWAP #2944

07274NAL7 BAYER US

FINANCE II LLC CO

GUARNT 144A D 1

Interest


LIB3MO 1.92

(4.38) (225,198) (1,679,876) (1,679,876) 946,067 273,235 0005


SWAP #2945

29278NAG8 ENERGY

TRANSFER OPERATNG CO

GUARNT D 1

Interest


LIB3MO 2.61

(5.25) (180,777) (1,481,088) (1,481,088) 745,426 209,427 0005


SWAP #2946

048303CH2 ATLANTIC

CITY ELEC 1ST MTG D 1

Interest



SWAP #2947

22822VAL5 CROWN CASTLE

INTL CORP SR NT D 1

Interest


LIB3MO 1.77

(4.3) (174,362) (1,349,859) (1,349,859) 726,681 207,245 0005


SWAP #2949

29587#AT3 ERNST &

YOUNG U.S. LLP SER A

SR NT D 1

Interest


LIB3MO 1.95

(4.39) (278,881) (2,064,320) (2,064,320) 1,178,304 341,231 0005


SWAP #2950

19108#AA5 COCA-COLA

BEVERAGES FL SR NT D 1

Interest


LIB3MO 1.29

(3.81) (232,907) (1,718,250) (1,718,250) 882,968 258,658 0005


SWAP #2951

030288B*4 AMERICAN

TRANS SYS INC SER A SR

NT D 1

Interest


LIB3MO 1.71

(4.32) (154,995) (1,367,692) (1,367,692) 712,864 197,800 0005


SWAP #2952

13215#AA8 CAMBRIDGE

ASSOCIATES, LLC SR NT

D 1

Interest


LIB3MO 2.46

(4.91) (145,987) (1,061,482) (1,061,482) 591,741 173,181 0005


SWAP #2955

49456BAP6 KINDER

MORGAN INC CO GUARNT D 1

Interest


LIB3MO 1.79

(4.3) (172,827) (1,262,541) (1,262,541) 659,393 193,755 0005


SWAP #2956

26078JAD2 DOWDUPONT

INC SR NT D 1

Interest


LIB3MO 2.33

(4.73) (328,761) (2,366,181) (2,366,181) 1,397,484 407,591 0005


SWAP #2957

256746AH1 DOLLAR TREE

INC SR NT D 1

Interest


LIB3MO 1.84

(4.2) (216,118) (1,509,470) (1,509,470) 880,208 262,287 0005


SWAP #2958

512807AU2 LAM RESEARCH

CORP SR NT D 1

Interest



SWAP #2959

59523UAQ0 MID-AMERICA

APARTMENTS SR NT D 1

Interest


LIB3MO 1.39

(3.95) (176,994) (1,404,809) (1,404,809) 733,725 208,283 0005


SWAP #2960

609207AM7 MONDELEZ

INTL SR NT D 1

Interest


LIB3MO 1.77

(4.13) (161,860) (1,126,962) (1,126,962) 658,778 196,402 0005


SWAP #2961

682680AU7 ONEOK INC CO

GUARNT D 1

Interest


LIB3MO 2.09

(4.55) (167,079) (1,233,359) (1,233,359) 679,658 199,090 0005



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 10/30/2019 11/01/2039 16,000,000 1.9 (LIB3MO) 136,409 470,932 470,932 (1,197,974) 342,702 0002



Interest


E06.2

7



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)3M LIB/FIXED INT RATE


Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 02/03/2020 02/05/2040 4,500,000 1.66 (LIB3MO) 32,895 (49,015) (49,015) (327,928) 97,073 0002



Interest




Interest




Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 04/20/2020 04/22/2040 14,000,000 0.86 (LIB3MO) 45,530 (2,034,194) (2,034,194) (903,034) 303,712 0002



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 04/30/2020 05/04/2040 6,500,000 0.77 (LIB3MO) 18,596 (1,047,445) (1,047,445) (412,947) 141,132 0002



Interest




Interest




Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 10/05/2020 10/07/2030 140,000,000 0.79 (LIB3MO) 400,233 (7,602,508) (7,602,508) (5,990,224) 2,132,039 0002



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 10/05/2020 10/07/2040 15,000,000 1.14 (LIB3MO) 69,041 (1,518,688) (1,518,688) (1,027,056) 329,360 0002



Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest



SWAP #3658 EXH 5

Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 01/15/2021 01/20/2036 200,000,000 1.83 (LIB3MO) (3,249,387) (3,249,387) (3,249,387) 3,816,690 0002


SWAP #3659 EXH 5

Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 01/15/2021 01/19/2051 300,000,000 1.58 (LIB3MO) 1,851,721 (14,388,384) (14,388,384) (14,388,384) 8,157,482 0002


SWAP #3660 EXH 5

Interest



SWAP #3661 EXH 5

Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 01/15/2021 01/19/2054 300,000,000 1.74 (LIB3MO) (10,860,633) (10,860,633) (10,860,633) 8,561,582 0002

E06.2

8



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


SWAP #3666 EXH 5

Interest



SWAP #3667 EXH 5

Interest




Interest




Interest




Interest




Interest




Interest




Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 02/16/2021 02/18/2041 6,000,000 1.83 (LIB3MO) 36,607 93,945 93,945 93,945 132,992 0002



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 02/16/2021 02/18/2031 200,000,000 1.39 (LIB3MO) 899,193 (596,799) (596,799) (596,799) 3,105,453 0002



Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 02/16/2021 02/18/2051 34,000,000 1.91 (LIB3MO) 217,628 1,069,123 1,069,123 1,069,123 925,798 0002



Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest




Interest


E06.2

9



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end



Interest




Interest




Interest




Interest




Interest

Rate CME GROUP INC SNZ2OJLFK8MNNCLQOF39 06/01/2021 06/03/2041 17,000,000 2 (LIB3MO) 24,765 771,410 771,410 771,410 379,558 0005



Interest



SWAP #3902

FIXED INDEXED ANNUITY

EXH 5

Interest


3.36 (LIB1MO

2.55) 95,890 (295,619) (295,619) (295,619) 539,839 0005

1119999999. Subtotal - Swaps - Hedging Other - Interest Rate 20,819,888 (42,789,267) XXX (42,789,267) (137,790,341) 91,381,287 XXX XXXML FIXED CAD/FIXED USD

CURR SWAP #1031

MORTGAGE LOAN

#207630501 B 1 Currency BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 11/15/2007 12/01/2027 24,693,292 8.86 (8.82) 6,706,234 6,706,234 (277,859) (852,712) 312,949 0004

HALLET HILL FIX

AUD/USD CURR SWAP#2061

Q4436#-AB-0 HALLETT

HILL NO 2 PTY SER B

GTD SR SEC D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 03/17/2015 06/27/2027 10,132,094 3.85 (4.88) (59,483) (267,331) (267,331) 147,655 260,785 124,036 0004

ML FIXED CAD/FIXED USD

CURR SWAP #2220

MORTGAGE LOAN

#216620101 B 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 01/26/2016 04/01/2023 34,990,217 4.25 (3.87) (4,355,771) (4,355,771) 76,955 (970,145) 231,665 0004

DANISH CROWN FIX

EUR/FIX USD CURR #2260 K2162@AG1 DANISH CROWN

SER E SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 04/28/2016 06/01/2026 16,996,500 3.77 (1.92) 145,509 (513,040) (513,040) (157,341) 538,812 188,563 0004

YORKSHIRE FIX GBP/FIX

USD CURR SWAP#2296

G9851*AC8 YORKSHIRE

WTR SVC SEC SR A9 D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 08/04/2016 09/22/2031 10,502,400 3.13 (2.14) 42,748 (311,706) (311,706) 101,607 (134,589) 168,002 0004

AMETEK FIX EUR/FIX USD

CURR SWAP#2332

031100G*5 AMETEK INC.

SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10/14/2016 10/31/2026 33,054,000 3.2 (1.34) 289,724 (2,003,328) (2,003,328) (328,474) 1,077,625 381,903 0004

AMETEK FIX EUR/FIX USD

CURR SWAP #2333

031100G@3 AMETEK INC.

SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10/14/2016 10/31/2028 11,018,000 3.32 (1.53) 91,883 (773,202) (773,202) (72,123) 359,208 149,277 0004

BRITVIC FIX GBP/FIX

USD CURR #2349

G1591#AZ5 BRITVIC PLC

SER F SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11/01/2016 02/20/2032 12,240,000 3.46 (2.76) 20,943 (1,928,085) (1,928,085) 228,172 (168,236) 199,716 0004

LITTELFUSE FIX

EUR/FIXUSD CURR

SWAP#2361

N5276#AB3 LITTELFUSE

NETHERLAND CV SER B SR

NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11/18/2016 12/08/2028 22,228,500 3.95 (1.83) 205,067 (2,248,724) (2,248,724) (116,108) 754,337 303,290 0004


CURR SWAP #2452

MORTGAGE LOAN

#217620101 B 1 Currency

ROYAL BANK OF

SCOTLAND PLC RR3QWICWWIPCS8A4S074 06/05/2017 08/15/2032 156,596,518 6.7 (6.6) (11,504,022) (11,504,022) 1,619,936 (4,306,972) 2,612,658 0004

REWE INTL FIX EUR/FIX

USD CURR #2467

N5224#AH3 LEKKERLAND

FIN SR NT SER C D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 06/22/2017 08/15/2027 33,480,000 3.9 (1.87) 319,601 (1,338,573) (1,338,573) (316,963) 1,077,625 414,421 0004

TIMKIN FIX EUR/FIX USD

CURR #2505

887389E@9 THE TIMKEN

COMPANY SENIOR NOTES D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 08/22/2017 09/07/2027 12,928,300 3.97 (2.02) 125,025 212,155 212,155 (136,433) 395,129 160,849 0004

QUADGAS FIX GBP/FIX

USD CURR #2537

G7304*AB7 QUADGAS

FINANCE PTC D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10/04/2017 10/31/2029 6,640,000 4.15 (3.07) 28,889 (85,426) (85,426) 13,102 (84,118) 95,893 0004

QUADGAS FIX GBP/FIX

USD CURR #2538

G7304*AC5 QUADGAS

FINANCE PTC D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10/04/2017 10/31/2032 53,112,000 4.31 (3.18) 240,468 (508,121) (508,121) 638,615 (672,945) 894,476 0004

GENUINE PARTS FIX

EUR/FIX USD CURR #2554

372460D@1 GENUINE

PARTS CO SER K SR NT

DUE 2027 D 1 Currency

BANK OF AMERICA NA

B4TYDEB6GKMZO031MB27 10/18/2017 11/01/2027 35,322,000 3.89 (1.81) 363,996 959,915 959,915 (411,171) 1,077,625 444,779 0004

SANCTUARY FIX GBP/FIX

USD CURR #2609

G7997@AJ0 SANCTUARY

HOUSING SR UNSEC NT

SER 2018A D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 01/24/2018 02/28/2028 28,360,000 3.93 (2.54) 199,837 2,362,523 2,362,523 (176,642) (336,472) 366,176 0004

THAMES WATER FIX

GBP/FIX USD CURR #2610 G8781@AD1 THAMES WATER

GTD SR SEC SER 6 D 1 Currency

ROYAL BANK OF

SCOTLAND PLC RR3QWICWWIPCS8A4S074 01/24/2018 04/24/2028 14,227,000 3.82 (2.45) 100,096 1,233,024 1,233,024 (86,146) (168,236) 185,796 0004

E06.3

0



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)THAMES WATER FIX

GBP/FIX USD CURR #2611 G8781@AE9 THAMES WATER


JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 01/24/2018 03/22/2030 14,225,000 3.93 (2.55) 100,409 1,357,033 1,357,033 (38,957) (168,236) 210,168 0004

THAMES WATER FIX

GBP/FIX USD CURR #2612 G8781@AF6 THAMES WATER


ROYAL BANK OF

SCOTLAND PLC RR3QWICWWIPCS8A4S074 01/24/2018 03/22/2033 7,113,500 4.03 (2.62) 51,328 788,130 788,130 45,874 (84,118) 121,837 0004

BRITVIC FIX GBP/FIX

USD CURR #2627

G1591#BC5 BRITVIC PLC

SR NT SER I GBP GTD D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 02/22/2018 06/19/2028 11,144,000 4.12 (2.66) 78,441 777,430 777,430 (61,454) (134,589) 147,161 0004

PORTERBROOK FIX

GBP/FIX USD CURR #2721

G7178*AE4 PORTERBROOK

RAIL FIN LTD SER A SR

SEC D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 08/07/2018 04/16/2028 15,529,200 13.66 (12.29) 45,929 (513,563) (513,563) (65,453) (147,588) 202,476 0004

SEVERN FIX GBP/FIX USD

CURR #2722

G8056*AJ8 SEVERN TRENT

WATER LTD GTD SR SEC

SER C D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 08/07/2018 11/07/2033 28,461,400 4.45 (2.95) 183,077 8,150 8,150 451,726 (370,120) 500,394 0004

QUADGAS FIX GBP/FIX

USD CURR #2737

G7304*AF8 QUADGAS FIN

PLC GTD SR SEC NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 08/15/2018 08/30/2033 12,672,000 4.97 (3.42) 71,829 (373,054) (373,054) 215,333 (168,236) 221,083 0004

SES WATER FIX GBP/FIX

USD CURR #2761

G2903@AA3 EAST SURREY

HOLDINGS LTD SR SEC D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 09/18/2018 10/20/2025 47,350,800 4.81 (3.22) 335,989 (220,436) (220,436) (222,071) (605,650) 491,491 0004

EDINBURGH AIR FIX

GBP/FIX USD CURR#2763

PPE06CYE4 EDINBURGH

AIRPORT LTD SR SEC NT

D 1 Currency

JP MORGAN CHASE


NORTHERN GAS FIX


G6655@AB2 NORTHERN GAS

NETWORKS LTD SER B SR

NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 10/11/2018 01/10/2031 33,050,000 4.4 (2.97) 213,443 442,500 442,500 112,492 (420,590) 510,325 0004

ANGLIAN WATER FIX


G0369@BC9 ANGLIAN

WATER SVC SR NT GREEN

SER B D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 10/11/2018 02/06/2031 33,050,000 4.41 (3) 214,413 384,088 384,088 122,439 (420,590) 512,301 0004

TENNET FIX EUR/FIX USD

CURR #2786

N8505#AB0 TENNET HLDG

B.V. SR NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 10/24/2018 01/24/2031 45,628,000 4.29 (1.83) 542,512 1,345,201 1,345,201 (191,133) 1,436,833 705,958 0004

NETWORK HOMES FIX


G6428#AB6 NETWORK

HOMES LTD SR NT SER B

D 1 Currency

JP MORGAN CHASE


EDINBURGH AIR FIX


PPE08ORZ7 EDINBURGH

AIRPORT LTD SR SEC TR

2 D 1 Currency

JP MORGAN CHASE


CADENT FIX GBP/FIX USD

CURR #2859

G1746#AC0 CADENT

FINANCE PLC GTD SR NT

SER 3 D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 02/15/2019 03/19/2034 12,818,000 4.31 (2.89) 73,661 (259,286) (259,286) 236,012 (168,236) 228,632 0004

CADENT FIX GBP/FIX USD

CURR #2860

G1746#AD8 CADENT

FINANCE PLC GTD SR NT

SER 4 D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 02/15/2019 03/19/2039 24,354,200 4.49 (2.99) 148,431 (281,132) (281,132) 857,986 (319,649) 512,723 0004

UNIV LEICESTER FIX

GBP/FIX USD CURR#2868 G9310@AB3 UNIVERSITY

OF LEICESTER SR NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 03/07/2019 04/05/2049 32,755,000 4.87 (3.25) 234,694 1,359,162 1,359,162 2,666,757 (420,590) 863,260 0004

SSP FIX EUR/FIX USD

CURR #2893

G8401*AN1 SSP

FINANCING LT SR NT SER

D D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 03/19/2019 07/15/2031 11,347,000 4.46 (2.11) 127,513 134,698 134,698 (4,622) 359,208 179,829 0004

REAL MADRID FIX

EUR/FIX USD CURR #2901 L8749#AA0 STADIUM

FINANCE SR SEC D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 03/26/2019 07/30/2049 13,556,400 4.27 (2.22) 135,680 (131,357) (131,357) 654,006 431,050 359,317 0004

ELIS SA FIX EUR/FIX

USD CURR #2907

F2977#AA3 ELIS SA SR

NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 03/28/2019 04/24/2029 56,130,000 5.12 (2.7) 653,884 (580,697) (580,697) (361,490) 1,796,041 784,913 0004

BONDUELLE FIX EUR/FIX

USD CURR #2916

F1068#AH0 BONDUELLE SA

SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 04/05/2019 05/02/2029 39,291,000 4.37 (1.86) 471,675 (190,965) (190,965) (454,070) 1,257,229 550,209 0004

REALTY INCOME FIX


756109A*5 REALTY

INCOME CORPORATION SR

NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 05/08/2019 05/22/2034 49,476,000 3.94 (2.73) 254,917 (1,134,088) (1,134,088) 944,669 (639,297) 888,551 0004

E06.3

1



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)HEATHROW FIN FIX

GBP/FIX USD CURR#2969 BLA03TOQ2 HEATHROW

FINANCE PLC TL D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 05/14/2019 05/02/2031 24,185,727 6.66 (5.3) 114,580 (1,042,321) (1,042,321) 143,645 (314,931) 379,412 0004

GENUINE PARTS FIX


N6587*AA1 ALLIANCE

AUTOMOTIVE NL HLDG SER

A SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05/15/2019 05/31/2029 5,607,000 3.94 (1.55) 63,453 (19,631) (19,631) (53,240) 179,604 78,914 0004

GENUINE PARTS FIX


N6587*AB9 ALLIANCE


B SR NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 05/15/2019 06/02/2031 8,970,400 4.05 (1.74) 97,224 (26,811) (26,811) (10,726) 287,367 141,328 0004

GENUINE PARTS FIX


N6587*AC7 ALLIANCE


C SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05/15/2019 05/31/2034 11,214,000 4.16 (1.95) 114,756 (27,170) (27,170) 173,082 359,208 201,587 0004

METLIFE PUBLIC FIX

JPY/FIX USD CURR#2987 59156RBX5 METLIFE INC

SR NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 05/15/2019 05/23/2034 10,051,170 4.37 (1.19) 160,940 1,609,265 1,609,265 (438,236) 753,654 180,531 0004

METLIFE PUBLIC FIX

JPY/FIX USD CURR#2988 59156RBY3 METLIFE INC

SR NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 05/15/2019 05/23/2039 10,052,088 4.61 (1.39) 163,015 1,911,178 1,911,178 (536,309) 753,654 212,685 0004

NORTHERN GAS FIX

GBP/FIX USD CURR #2992 G6655@AC0 NORTHERN GAS

NETWORKS SR NT D 1 Currency

ROYAL BANK OF

SCOTLAND PLC RR3QWICWWIPCS8A4S074 05/22/2019 06/27/2039 15,188,400 4.01 (2.71) 79,357 (859,082) (859,082) 604,716 (201,883) 322,219 0004

OWENS PUBLIC FIX

JPY/FIX USD CURR#3061 219350BM6 CORNING INC

SR NT D 1 Currency

SMBC CAPITAL

MARKETS, INC TVJ8SHLIZL0RGWGDTN03 08/06/2019 08/14/2031 25,500,567 3.75 (1.15) 336,919 3,060,398 3,060,398 (905,176) 1,849,878 405,787 0004

ONE HOUSING FIX

GBP/FIX USD CURR #3062 G7000#AA2 ONE HOUSING

GRP SR NT SR NT D 1 Currency

ROYAL BANK OF

SCOTLAND PLC RR3QWICWWIPCS8A4S074 08/08/2019 11/06/2029 18,204,000 3.66 (2.69) 53,397 (2,467,955) (2,467,955) 156,407 (252,354) 263,155 0004

ONE HOUSING FIX

GBP/FIX USD CURR #3063 G7000#AB0 ONE HOUSING

GRP SR NT D 1 Currency

ROYAL BANK OF

SCOTLAND PLC RR3QWICWWIPCS8A4S074 08/08/2019 11/06/2031 18,204,000 3.88 (2.87) 54,248 (2,543,289) (2,543,289) 289,824 (252,354) 292,950 0004

TOTTENHAM FIX GBP/FIX

USD CURR#3083

G9000#AD2 TOTTENHAM

HOTSPUR STADIUM LTD SR

NT SEC D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 08/21/2019 01/18/2050 42,479,500 3.97 (2.79) 167,922 (6,133,820) (6,133,820) 2,496,417 (588,827) 1,135,336 0004

PORT OF DARWIN FIX

AUD/FIX USD CURR#3097

BLA041BH6 LANDBRIDGE

PORT OPERATIONS PTY A1

D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 09/12/2019 07/16/2029 29,201,750 3.88 (3.79) (39,307) (2,321,389) (2,321,389) 608,539 823,807 414,246 0004

FORTINI FIX EUR/FIX

USD CURR #3118

XS2055747518 FORTINI

INVESTMENT SR SEC (Q-

ENERGY) D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 09/23/2019 12/31/2038 11,161,249 9.17 (7.05) 96,670 (411,831) (411,831) 88,458 399,389 233,555 0004

RADIUS HOUSING FIX


G7349#AA2 RADIUS

HOUSING ASSOCIATION

LTD SEC SER A D 1 Currency

JP MORGAN CHASE


BRUKER FIX CHF/FIX USD

CURR #3203

116794B@6 BRUKER CORP

SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 11/25/2019 12/11/2029 19,034,262 3.36 (1.01) 213,766 (734,654) (734,654) (281,042) 923,535 276,731 0004

PROJECT SPICE FIX

SEK/FIX USD CURR #3233 W7000#AA4 NORDION

ENERGI AB SEC D 1 Currency

ROYAL BANK OF

SCOTLAND PLC RR3QWICWWIPCS8A4S074 12/17/2019 01/23/2030 29,841,202 3.5 (2.2) 160,965 (1,929,013) (1,929,013) (106,299) 1,287,945 436,860 0004

SEMPERIAN FIX GBP/FIX

USD CURR #3271

G8059#AB8 SEMPERIAN

PPP INV PRT LTD TL1 D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 01/31/2020 03/31/2037 14,994,876 4.06 (3.16) 54,051 (735,976) (735,976) 231,908 (191,789) 297,655 0004

ATLANTICA FIX EUR/FIX

USD CURR #3276

G0488*AA2 ATLANTICA

YIELD PLC SECURED NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 02/06/2020 06/22/2026 43,876,000 4 (1.96) 403,005 (2,614,343) (2,614,343) (398,660) 1,436,833 489,607 0004

BRITVIC FIX GBP/FIX

USD CURR #3280

G1591#BG6 BRITVIC PLC

SR NT D 1 Currency SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 02/14/2020 05/14/2030 13,011,000 2.88 (2.09) 42,542 (740,508) (740,508) 91,355 (168,236) 193,824 0004

BRITVIC FIX GBP/FIX

USD CURR #3281

G1591#BH4 BRITVIC PLC

SR NT D 1 Currency SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 02/14/2020 05/14/2032 6,505,500 3.01 (2.19) 21,872 (387,450) (387,450) 90,182 (84,118) 107,289 0004

BHPA FIX GBP/FIX USD

CURR #3300

G0691*AD9 BPHA LTD SR

NT D 1 Currency SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 02/20/2020 03/27/2035 38,610,000 3.34 (2.5) 118,366 (3,205,713) (3,205,713) 983,281 (504,709) 715,795 0004

E06.3

2



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)

CRANFIELD FIX GBP/FIX

USD CURR #3303

G2554#AC9 CRANFIELD

UNIVERITY SER C SR NT

D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 02/21/2020 03/05/2040 12,951,000 3.36 (2.49) 42,805 (1,165,906) (1,165,906) 570,296 (168,236) 279,972 0004

CRANFIELD FIX GBP/FIX

USD CURR #3304

G2554#AD7 CRANFIELD

UNIVERSITY SER D SR NT

D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 02/21/2020 03/03/2045 38,853,000 3.54 (2.6) 140,222 (3,576,889) (3,576,889) 2,810,980 (504,709) 945,542 0004

Q-ENERGY FIX EUR/FIX

USD CURR #3317

XS2138314534 FORTINI

INVS SA SR SEC SER . D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 03/11/2020 12/31/2038 1,702,080 10.13 (8.76) 8,263 (117,716) (117,716) 2,146 59,456 35,617 0004

KINGSPAN FIX EUR/FIX

USD CURR #3494

G5264#AM1 KINGSPAN SEC

LTD SR NT D 1 Currency

JP MORGAN CHASE


KINGSPAN FIX EUR/FIX

USD CURR #3495

G5264#AN9 KINGSPAN SEC

LTD SR NT D 1 Currency

JP MORGAN CHASE


VTG FIX EUR/FIX USD

CURR #3522

L9619@AA7 VTG FINANCE

SA SR NT D 1 Currency

CREDIT AGRICOLE

CORP AND INVESTMENT

BANK 254900BN8XS34XZDJ223 10/01/2020 10/29/2032 15,842,250 2.77 (1.45) 102,207 (638,182) (638,182) 131,638 484,931 266,740 0004

VTG FIX EUR/FIX USD

CURR #3523

L9619@AB5 VTG FINANCE

SA SR NT D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10/01/2020 10/29/2035 12,325,950 3.08 (1.7) 82,944 (479,156) (479,156) 302,189 377,169 233,378 0004

VTG FIX EUR/FIX USD

CURR #3524

L9619@AC3 VTG FINANCE

SA SR NT D 1 Currency

CREDIT AGRICOLE

CORP AND INVESTMENT

BANK 254900BN8XS34XZDJ223 10/01/2020 10/29/2040 21,121,200 3.47 (1.98) 152,693 (668,705) (668,705) 1,232,259 646,575 464,489 0004

TEC HEDLAND FIX

AUD/FIX USD CURR #3532

Q8806@AA7 TEC HEDLAND

PTY LTD SEC NTS DUE

2042 D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 10/08/2020 06/30/2042 53,670,000 3.75 (4.07) (145,145) (2,036,217) (2,036,217) 1,648,740 1,453,776 1,230,135 0004

ABP FIX GBP/FIX USD

CURR #3626

G2962#AC5 ABP FOODS

UNLIMITED GBP SR NT D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 12/17/2020 01/21/2033 24,444,000 2.82 (2.1) 73,968 (442,349) (442,349) 214,728 (302,825) 415,725 0004

ABP FIX EUR/FIX USD

CURR #3627

G2962#AB7 ABP FOODS

UNLIMITED EUR SR NT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 12/17/2020 01/21/2031 11,025,000 2.73 (1.24) 74,715 316,585 316,585 (3,964) 323,287 170,506 0004

ODAL WIND FIX EUR/FIX

USD CURR #3741

R7000*AA4 ODAL

VINDKRAFTVERK AS SEC D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 03/16/2021 06/30/2042 17,820,000 5.16 (2.95) 75,543 1,065,791 1,065,791 1,030,946 34,845 408,441 0004

AKIEM HOLDING FIX

EUR/FIX USD CURR #3746 F1000#AD0 AKIEM

HOLDINGS SAS SEC D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 03/18/2021 04/15/2041 36,939,600 4.25 (2.02) 179,043 4,287,320 4,287,320 4,103,708 183,612 821,968 0004

EASTLIGHT FIX GBP/FIX

USD CURR#3846

EASTLIGHT PRIVATE

PLACEMENT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 05/20/2021 08/20/2046 28,296,000 3.55 (2.54) 740,706 740,706 111,050 629,656 709,606 0004

PURATOS FIX EUR/FIX

USD CURR #3867

B7000#AA7 PURATOS GRP

NV NT SER 20YR D 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 06/10/2021 07/01/2041 36,525,000 3.55 (1.84) 1,190,856 1,190,856 236,166 954,690 817,059 0004

BREEDON FIX GBP/FIX

USD CURR #3894

BREEDON PRIVATE

PLACEMENT D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 06/23/2021 09/25/2028 6,995,000 2.58 (2.11) (37,653) (37,653) (116,067) 78,414 94,133 0004

BREEDON FIX EUR/FIX

USD CURR #3895

BREEDON PRIVATE

PLACEMENT D 1 Currency

JP MORGAN CHASE

BANK, NA 7H6GLXDRUGQFU57RNE97 06/23/2021 09/25/2028 11,960,000 2.61 (1.07) (1,213) (1,213) (104,443) 103,230 160,948 0004

BREEDON FIX EUR/FIX

USD CURR #3896

BREEDON PRIVATE

PLACEMENT D 1 Currency CITIBANK NA E57ODZWZ7FF32TWEFA76 06/23/2021 09/23/2031 13,156,000 2.94 (1.33) 29,870 29,870 (83,683) 113,553 210,479 0004

NGN FIX GBP/FIX USD

CURR#3901

NGN PRIVATE PLACEMENT

D 1 Currency BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06/30/2021 09/23/2036 55,316,000 2.78 (2.02) (221,831) (221,831) (205,144) (16,687) 1,079,861 0004


CURR SWAP #559

MORTGAGE LOAN

#004091211 B 1 Currency

ROYAL BANK OF

CANADA ES7IP3U3RHIGC71XBU11 06/24/2002 07/01/2022 815,998 9.97 (10.3) (223,506) (223,506) 19,936 43,467 4,086 0004


CURR SWAP #560

MORTGAGE LOAN

#004091112 B 1 Currency

ROYAL BANK OF

CANADA ES7IP3U3RHIGC71XBU11 06/24/2002 07/01/2022 1,019,998 9.97 (10.3) (279,383) (279,383) 24,919 54,334 5,107 0004


CURR SWAP #628

MORTGAGE LOAN

#004095414, 004095513,

004095612 B 1 Currency

ROYAL BANK OF

CANADA ES7IP3U3RHIGC71XBU11 07/02/2003 09/01/2023 5,310,522 8.95 (9.61) (879,954) (879,954) 101,034 (99,087) 39,138 0004


CURR SWAP #633

MORTGAGE LOAN

#004091229 B 1 Currency

ROYAL BANK OF

CANADA ES7IP3U3RHIGC71XBU11 07/10/2003 07/01/2022 230,207 9.25 (9.94) (47,111) (47,111) 8,936 2,246 1,153 0004


CURR SWAP #700

MORTGAGE LOAN

#004103316 B 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 03/29/2004 07/01/2024 2,915,619 9.17 (9.5) (286,649) (286,649) 21,037 (69,154) 25,273 0004


CURR SWAP #845

MORTGAGE LOAN

#205630201 B 1 Currency BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 12/13/2005 03/01/2026 20,728,706 9.03 (8.73) 2,558,467 2,558,467 (160,134) (654,666) 224,005 0004

E06.3

3



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

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior



(Received) Paid


Cost ofUn-

discounted Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)ML FIXED CAD/FIXED USD

CURR SWAP #913

MORTGAGE LOAN

#206630401 B 1 Currency BNP PARIBAS R0MUWSFPU8MPRO8K5P83 12/13/2006 02/01/2027 6,290,486 9.27 (8.85) 880,560 880,560 (56,986) (186,797) 74,394 0004

1139999999. Subtotal - Swaps - Hedging Other - Foreign Exchange 10,002,611 (34,031,021) XXX (34,031,021) 21,648,298 9,765,462 32,570,757 XXX XXXGDDUEAFE TOTAL

RETURN/1M LIB SWAP


MORGAN STANLEY &

CO. INTERNATIONAL

PLC 4PQUHN3JPFGFNF3BB653 08/22/2019 08/27/2021 3,355,619

LIB1MO 0.52

(7,689) (287,036) 34,320 34,320 18,039 6,688 0001

GDDUEAFE TOTAL

RETURN/1M LIB SWAP


MORGAN STANLEY &

CO. INTERNATIONAL


LIB1MO 0.52

(7,689) (10,156,660) 1,214,400 1,214,400 638,307 236,660 0001

GDDUEAFE TOTAL

RETURN/1M LIB SWAP


MORGAN STANLEY &

CO. INTERNATIONAL


LIB1MO 0.52

(7,763) (285,150) 36,128 36,128 119,583 4,286 0001

GDDUEAFE TOTAL

RETURN/1M LIB SWAP


MORGAN STANLEY &

CO. INTERNATIONAL


LIB1MO 0.52

(7,763) (4,277,248) 541,920 541,920 1,793,745 64,294 0001

1149999999. Subtotal - Swaps - Hedging Other - Total Return (15,006,094) 1,826,768 XXX 1,826,768 2,569,674 311,928 XXX XXX

1169999999. Subtotal - Swaps - Hedging Other 15,816,405 (74,993,520) XXX (74,993,520) (113,572,369) 9,765,462 124,263,972 XXX XXX

1229999999. Subtotal - Swaps - Replication XXX XXX XXX

1289999999. Subtotal - Swaps - Income Generation XXX XXX XXX

1349999999. Subtotal - Swaps - Other XXX XXX XXX

1359999999. Total Swaps - Interest Rate 20,819,888 (42,789,267) XXX (42,789,267) (137,790,341) 91,381,287 XXX XXX

1369999999. Total Swaps - Credit Default XXX XXX XXX

1379999999. Total Swaps - Foreign Exchange 10,002,611 (34,031,021) XXX (34,031,021) 21,648,298 9,765,462 32,570,757 XXX XXX

1389999999. Total Swaps - Total Return (15,006,094) 1,826,768 XXX 1,826,768 2,569,674 311,928 XXX XXX

1399999999. Total Swaps - Other XXX XXX XXX

1409999999. Total Swaps 15,816,405 (74,993,520) XXX (74,993,520) (113,572,369) 9,765,462 124,263,972 XXX XXX

1479999999. Subtotal - Forwards XXX XXX XXX

1509999999. Subtotal - SSAP No. 108 Adjustments XXX XXX XXX

1689999999. Subtotal - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 (425,894) 684,936,380 (213,758,008) 1,303,053,109 XXX 1,303,053,109 568,441,217 (325,277,335) XXX XXX

1699999999. Subtotal - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 XXX XXX XXX

1709999999. Subtotal - Hedging Other 103,906,727 125,931,510 14,482,720 382,591,524 XXX 382,591,524 142,308,538 9,765,462 (83,355,059) 124,263,972 XXX XXX

1719999999. Subtotal - Replication XXX XXX XXX

1729999999. Subtotal - Income Generation XXX XXX XXX

1739999999. Subtotal - Other XXX XXX XXX

1749999999. Subtotal - Adjustments for SSAP No. 108 Derivatives XXX XXX XXX

1759999999 - Totals 103,480,833 810,867,891 (199,275,288) 1,685,644,633 XXX 1,685,644,633 710,749,755 9,765,462 (408,632,395) 124,263,972 XXX XXX

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period0001 Hedges the equity risk of a liability

0002 Hedges the interest rate risk of a liability

0003 Hedges the currency risk of a liability

0004 Hedges the currency risk of an asset

0005 Hedges the interest rate risk of an asset

E06.3

4


SCHEDULE DB - PART B - SECTION 1Futures Contracts Open as of the Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 22

TickerSymbol

Numberof

ContractsNotional Amount Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Date of Maturity

orExpira-

tion ExchangeTradeDate

Transac-tion

Price

Reporting DatePrice Fair Value


Value

15

Cumulative Variation Margin

16

Deferred Variation Margin

17Change in Variation MarginGain

(Loss) Used to Adjust Basis of Hedged

Item

Cumulative Variation Margin for All Other Hedges

Change in Variation MarginGain

(Loss) Recognized in Current

YearPotentialExposure

Hedge Effectiveness

atInception

and atQuarter-end

(b)

Value ofOne (1)Point

ESU1 1,165 246,512,910 S&P 500 EMINI SEP21

EQUITY INDEXED

ANNUITY EXH 5 Equity/Index 09/17/2021 CME SNZ2OJLFK8MNNCLQOF39 06/30/2021 4,231.9800 4,288.6000 342,771 3,298,040 3,298,040 6,665,978 0001 50

MFSU1 1,138 134,178,850

MINI MSCI EAFE SEP21 EQUITY INDEXED

ANNUITY EXH 5 Equity/Index 09/17/2021 ICE 5493004R83R1LVX2IL36 06/25/2021 2,358.1500 2,304.1000 (1,034,149) (3,075,560) (3,075,560) 13,892,472 0001 50

1539999999. Subtotal - Long Futures - Hedging Other (691,378) 222,480 222,480 20,558,450 XXX XXX

1579999999. Subtotal - Long Futures (691,378) 222,480 222,480 20,558,450 XXX XXXESU1 6,145 1,300,129,727 S&P 500 EMINI SEP21 VARIABLE ANNUITY EXH 5 Equity/Index 09/17/2021 CME SNZ2OJLFK8MNNCLQOF39 06/18/2021 4,231.5000 4,288.6000 (2,027,850) (17,542,623) (17,542,623) 4,515,298 0001 50

MESU1 2,312 158,409,729

MINI MSCI EMG MKT

SEP21 VARIABLE ANNUITY EXH 5 Equity/Index 09/17/2021 ICE 5493004R83R1LVX2IL36 06/11/2021 1,370.3300 1,364.8000 1,132,880 638,849 638,849 9,925,416 0001 50

MFSU1 1,949 229,603,718

MINI MSCI EAFE SEP21

VARIABLE ANNUITY EXH 5 Equity/Index 09/17/2021 ICE 5493004R83R1LVX2IL36 06/18/2021 2,356.1200 2,304.1000 1,734,610 5,069,173 5,069,173 8,225,712 0001 50

RTYU1 2,875 334,373,023

EMINI RUSSELL 2000

SEP21 VARIABLE ANNUITY EXH 5 Equity/Index 09/17/2021 CME SNZ2OJLFK8MNNCLQOF39 06/18/2021 2,326.0700 2,307.8000 (460,000) 2,626,773 2,626,773 18,687,500 0001 50

1609999999. Subtotal - Short Futures - Hedging Other 379,640 (9,207,828) (9,207,828) 41,353,926 XXX XXX

1649999999. Subtotal - Short Futures 379,640 (9,207,828) (9,207,828) 41,353,926 XXX XXX

1679999999. Subtotal - SSAP No. 108 Adjustments XXX XXX

1689999999. Subtotal - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 XXX XXX

1699999999. Subtotal - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 XXX XXX

1709999999. Subtotal - Hedging Other (311,738) (8,985,348) (8,985,348) 61,912,375 XXX XXX

1719999999. Subtotal - Replication XXX XXX

1729999999. Subtotal - Income Generation XXX XXX

1739999999. Subtotal - Other XXX XXX

1749999999. Subtotal - Adjustments for SSAP No. 108 Derivatives XXX XXX

1759999999 - Totals (311,738) (8,985,348) (8,985,348) 61,912,375 XXX XXX

Broker NameBeginning

Cash BalanceCumulative

Cash ChangeEnding

Cash BalanceCREDIT SUISSE SECURITIES (USA) LLC 13,926,000 (13,926,000)

JP MORGAN SECURITIES LLC 4,488,570 (448,857) 4,039,713

MERRILL LYNCH PIERCE FENNER & SMITH INC 96,972,310 (39,099,648) 57,872,662

Total Net Cash Deposits 115,386,880 (53,474,505) 61,912,375

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period0001 Hedges the equity risk of a liability

E07


SCHEDULE DB - PART D - SECTION 1Counterparty Exposure for Derivative Instruments Open as of Current Statement Date

1 2 3 Counterparty Offset Book/Adjusted Carrying Value Fair Value 12 13

Description of Exchange,Counterparty or Central Clearinghouse

MasterAgreement

(Y or N)

Credit Support Annex

(Y or N)

4Fair Value of Acceptable Collateral

5Present Valueof Financing

Premium

6Contracts WithBook/Adjusted

Carrying Value >0

7Contracts WithBook/Adjusted

Carrying Value <0

8

Exposure Net of Collateral

9

Contracts WithFair Value >0

10

Contracts WithFair Value <0

11

ExposureNet of Collateral

PotentialExposure

Off-BalanceSheet Exposure

0199999999 - Aggregate Sum of Exchange Traded Derivatives XXX XXX XXX 61,912,375 61,912,375 3,210,790 (3,522,528) 3,210,790 61,912,375 61,912,375

BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Y Y 314,507,277 47,073,262 426,962,657 (4,982,318) 60,399,800 426,962,657 (4,982,318) 107,473,062 444,779 444,779

BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 Y Y 9,395,397 9,264,701 9,264,701 536,954 406,258

BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Y Y 125,180,000 10,437,539 145,919,334 (221,831) 10,079,964 145,919,334 (221,831) 20,517,503 1,079,861 1,079,861

BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Y Y 3,720,000 4,886,519 34,180,186 (17,389,482) 8,184,185 34,180,186 (17,389,482) 13,070,704 7,640,096 7,640,096

CITIBANK NA E57ODZWZ7FF32TWEFA76 Y Y 248,370,000 191,937,982 599,035,742 (8,302,124) 150,425,636 599,035,742 (8,302,124) 342,363,618 5,068,770 5,068,770

CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 254900BN8XS34XZDJ223 Y Y (1,306,888) (1,306,888) 731,229

CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Y Y 41,100,000 28,405,334 85,265,217 (14,976) 15,744,907 85,265,217 (14,976) 44,150,241

DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Y Y

GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Y Y 1,550,000 7,256,250 9,845,740 1,039,490 9,845,740 8,295,740

JP MORGAN CHASE BANK, NA 7H6GLXDRUGQFU57RNE97 Y Y 653,357 14,139,445 (17,515,930) 14,139,445 (17,515,930) 11,570,896 8,194,411

MERRILL LYNCH, PIERCE, FENNER & SMITH INC J3WHBG0MTS7O8ZVMDC91 Y Y

MORGAN STANLEY CAP SERVICES I7331LVCZKQKX5T7XV54 Y Y

MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Y Y 241,100,000 46,268,120 336,704,718 (6,117,093) 43,219,505 336,704,718 (6,117,093) 89,487,625 311,929 311,929

NATIXIS KX1WK48MPD4Y2NCUIZ63 Y Y 32,230,000 1,842,077 41,246,748 7,174,671 41,246,748 9,016,748

ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 Y Y 7,820,000 9,133,375 (1,429,955) 9,133,375 (1,429,955) 1,030,106 913,526

ROYAL BANK OF SCOTLAND PLC RR3QWICWWIPCS8A4S074 Y Y 2,021,155 (19,303,361) 2,021,155 (19,303,361) 4,235,476

SMBC CAPITAL MARKETS, INC TVJ8SHLIZL0RGWGDTN03 Y Y 3,030,000 3,060,398 30,398 3,060,398 30,398 405,787 405,787

SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 Y Y 24,890,000 20,503,321 60,077,439 (4,333,671) 10,350,447 60,077,438 (4,333,672) 30,853,766 1,016,907 1,016,907

WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Y Y 19,330,000 8,133,743 42,323,852 14,860,109 42,323,852 22,993,852

0299999999. Total NAIC 1 Designation 1,072,222,674 367,397,505 1,819,180,708 (80,917,629) 321,509,112 1,819,180,707 (80,917,630) 688,253,258 34,072,790 25,482,324

0899999999. Aggregate Sum of Central Clearinghouses (Excluding Exchange Traded) 100,487,202 (153,105,648) 100,487,203 (153,105,647) 90,191,182 37,572,736

0999999999 - Gross Totals 1,072,222,674 367,397,505 1,981,580,285 (234,023,277) 383,421,487 1,922,878,700 (237,545,805) 691,464,048 186,176,347 124,967,435

1. Offset per SSAP No. 64

2. Net after right of offset per SSAP No. 64 1,981,580,285 (234,023,277)

E08


SCHEDULE DB - PART D - SECTION 2Collateral for Derivative Instruments Open as of Current Statement Date

Collateral Pledged by Reporting Entity

1


2

Type of Asset Pledged

3


4

Description

5

Fair Value

6

Par Value

7Book/Adjusted

CarryingValue

8

MaturityDate

9Type of Margin

(I, V or IV)CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 254900BN8XS34XZDJ223 Cash 1,480,000 1,480,000 1,480,000

JP MORGAN CHASE BANK, NA 7H6GLXDRUGQFU57RNE97 Cash 4,080,000 4,080,000 4,080,000

ROYAL BANK OF SCOTLAND PLC RR3QWICWWIPCS8A4S074 Cash 16,790,000 16,790,000 16,790,000

CME GROUP INC (MERRILL LYNCH PIERCE FENNER & SMITH INC) SNZ2OJLFK8MNNCLQOF39 Cash 277,972,146 277,972,146 277,972,146 IV

CME GROUP INC (MERRILL LYNCH PIERCE FENNER & SMITH INC) SNZ2OJLFK8MNNCLQOF39 Cash 29,868,775 29,868,775 29,868,775 I

INTERCONTINENTALEXCHANGE (JP MORGAN SECURITIES LLC) 5493004R83R1LVX2IL36 Cash 4,039,713 4,039,713 4,039,713 I

INTERCONTINENTALEXCHANGE (MERRILL LYNCH PIERCE FENNER & SMITH INC) 5493004R83R1LVX2IL36 Cash 28,003,887 28,003,887 28,003,887 I

0199999999 - Total 362,234,521 362,234,521 362,234,521 XXX XXX

Collateral Pledged to Reporting Entity

1


2

Type of Asset Pledged

3


4

Description

5

Fair Value

6

Par Value

7Book/Adjusted

CarryingValue

8

MaturityDate

9Type of Margin

(I, V or IV)

BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Cash 125,180,000 125,180,000 XXX

BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Cash 3,720,000 3,720,000 XXX

CITIBANK NA E57ODZWZ7FF32TWEFA76 Cash 248,370,000 248,370,000 XXX

CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Cash 41,100,000 41,100,000 XXX

GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Cash 1,550,000 1,550,000 XXX

MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Cash 241,100,000 241,100,000 XXX

NATIXIS KX1WK48MPD4Y2NCUIZ63 Cash 32,230,000 32,230,000 XXX

ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 Cash 7,820,000 7,820,000 XXX

SMBC CAPITAL MARKETS, INC TVJ8SHLIZL0RGWGDTN03 Cash 3,030,000 3,030,000 XXX

SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 Cash 24,890,000 24,890,000 XXX

WELLS FARGO BANK, N.A. KB1H1DSPRFMYMCUFXT09 Cash 19,330,000 19,330,000 XXX

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-F9-6 US TREASURY NT 5,910,857 5,873,000 XXX 10/31/2021

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-K7-4 US TREASURY NT 18,358,141 17,445,000 XXX 08/15/2025

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-L5-7 US TREASURY NT 54,053,960 52,988,000 XXX 09/30/2022

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-M8-0 US TREASURY NT 5,908,948 5,760,000 XXX 11/30/2022

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-V8-0 US TREASURY NT 45,144,274 43,057,000 XXX 01/31/2024

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-W4-8 US TREASURY NT 5,980,588 5,716,000 XXX 02/29/2024

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-W7-1 US TREASURY NT 170,234,558 162,600,000 XXX 03/31/2024

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 912828-XT-2 US TREASURY NT 7,895,270 7,555,000 XXX 05/31/2024

BANK OF AMERICA NA 4DUE3SOTNUBEQUQSMZ75 Treasury 91282C-AR-2 US TREASURY NT 1,020,681 1,021,000 XXX 10/31/2022

BANK OF MONTREAL 4DUE3SOTNUBEQUQSMZ75 Treasury 912810-RC-4 US TREASURY NT 1,017,496 790,000 XXX 08/15/2043

BANK OF MONTREAL 4DUE3SOTNUBEQUQSMZ75 Treasury 91282C-AW-1 US TREASURY NT 8,377,901 8,392,000 XXX 11/15/2023

0299999999 - Total 1,072,222,674 1,059,517,000 XXX XXX XXX

E09


SCHEDULE DB - PART EDerivatives Hedging Variable Annuity Guarantees as of Current Statement Date

This schedule is specific for the derivatives and the hedging programs captured in SSAP No. 108CDHS Hedged Item Hedging Instruments

1

Identifier

2

Description

3

Prior Fair Value in Full

Contract Cash Flows Attributed to

Interest Rates

4

Ending Fair Value in Full


Interest Rates

5Fair Value

Gain (Loss) in Full


Interest Rates(4-3)

6

Fair Value Gain (Loss) in Hedged

Item Attributed to

HedgedRisk

7

Current Year Increase

(Decrease)in VM-21 Liability

8

Current Year Increase

(Decrease)in VM-21 Liability

Attributed to Interest Rates

9

Change in the Hedged

Item Attributed to Hedged Risk Percentage

(6/5)

10Current Year

Increase (Decrease)in VM-21 Liability

Attributed to Hedged

Risk(8*9)

11

Prior Deferred Balance

12

Current Year Fair Value Fluctuation

of theHedge

Instruments

13

Current Year Natural Offset toVM-21 Liability

14Hedging

Instruments' Current Fair

Value Fluctuation

NotAttributed to

HedgedRisk

15

Hedge Gain (Loss) in

Current Year Deferred

Adjustment[12-(13+14)]

16

Current Year Prescribed Deferred

Amortization

17

Current Year Additional Deferred

Amortization

18

Current Year Total

Deferred Amortization

(16+17)

19

Ending Deferred Balance

(11+15+18)

Total XXX

NONE

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


7

Maturity Date

0599999. Total - U.S. Government Bonds XXX1099999. Total - All Other Government Bonds XXX1799999. Total - U.S. States, Territories and Possessions Bonds XXX2499999. Total - U.S. Political Subdivisions Bonds XXX3199999. Total - U.S. Special Revenues Bonds XXX3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds XXX4899999. Total - Hybrid Securities XXX5599999. Total - Parent, Subsidiaries and Affiliates Bonds XXX5999999. Subtotal - SVO Identified Funds XXX6299999. Subtotal - Unaffiliated Bank Loans XXX6399999. Total - Issuer Obligations XXX6499999. Total - Residential Mortgage-Backed Securities XXX6599999. Total - Commercial Mortgage-Backed Securities XXX6699999. Total - Other Loan-Backed and Structured Securities XXX6799999. Total - SVO Identified Funds XXX6899999. Total - Affiliated Bank Loans XXX6999999. Total - Unaffiliated Bank Loans XXX7099999. Total Bonds XXX7399999. Total - Preferred Stocks (Schedule D, Part 2, Section 1 type) XXX7999999. Total - Common Stocks (Schedule D, Part 2, Section 2 type) XXX8099999. Total - Preferred and Common Stocks XXX MORGAN STANLEY INSTITUTIONAL LIQUIDITY - GOVERNMENT 169,693,850 169,693,850 07/01/2021

BMO NESBITT BURNS 200,000,000 200,000,000 08/04/2021

BMO NESBITT BURNS 200,000,000 200,000,000 07/01/2021

BNP PARIBAS PRIME BROKERAGE INT 600,000,000 600,000,000 08/04/2021

BNP PARIBAS SA 200,000,000 200,000,000 07/01/2021

BNP PARIBAS SA 25,000,000 25,000,000 08/04/2021

BNP PARIBAS SA REPO 525,000,000 525,000,000 07/01/2021

DEUTSCHE BANK SECURITIES INC 300,000,000 300,000,000 08/09/2021

RBC CAPITAL MARKETS 200,000,000 200,000,000 08/04/2021



9199999. Total - Cash Equivalents (Schedule E Part 2 type) 2,869,693,850 2,869,693,850 XXX9999999 - Totals 2,869,693,850 2,869,693,850 XXXGeneral Interrogatories:

1. Total activity for the year Fair Value $ 2,869,693,850 Book/Adjusted Carrying Value $ 2,869,693,850

2. Average balance for the year Fair Value $ 2,681,769,058 Book/Adjusted Carrying Value $ 2,681,769,058

3. Reinvested securities lending collateral assets book/adjusted carrying value included in this schedule by NAIC designation:

NAIC 1 $ 0 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


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 *

BANK OF AMERICA LOS ANGELES, CA (1,834,246) 604,739 (191,494) XXX

BANK OF NEW YORK MELLON NEW YORK, NY 0.010 1,400 101 175,433,062 93,403,994 109,903,088 XXX

BANK OF NEW YORK MELLON UNITED KINGDOM C 70,478 XXX

CITIBANK NEW YORK, NY 13,935,474 32,052,573 18,198,558 XXX

JPMORGAN CHASE BANK NEW YORK, NY 65,488,418 30,798,659 11,616,522 XXX

NORTHERN TRUST CHICAGO, IL 0.130 28,605 100,006,164 100,017,918 100,015,097 XXX

NORTHERN TRUST TORONTO, ON (CANADA) C 1,811,191 1,809,390 2,090,447 XXX

PNC BANK PITTSBURGH, PA (11,012,015) (11,537,151) (5,719,609) XXX

UNION BANK SAN FRANCISCO, CA 0.120 10,042 50,069,326 50,074,264 50,079,367 XXX

US BANK DENVER, CO 8,219,760 3,340,235 6,412,134 XXX

BANK OF NOVA SCOTIA HOUSTON, TX 0.150 63,583 250,147,695 250,178,964 250,211,278 XXX

STATE STEET BANK AND TRUST

COMPANY BOSTON, MA 0.130 140,193 400,209,920 400,254,613 400,303,647 XXX

DEUTSCHE BANK (6/16/21) NEW YORK, NY 0.120 77,040 200,000,000 200,000,000 XXX

DEUTSCHE BANK (8/16/21) NEW YORK, NY 0.120 10,832 200,000,000 XXX

CREDIT SUISSE (4/12/21) NEW YORK, NY 0.100 1,944 XXX

CREDIT SUISSE (5/12/21) NEW YORK, NY 0.120 11,667 100,000,000 XXX




CREDIT SUISSE (7/12/21) NEW YORK, NY 0.150 100,000,000 XXX

CREDIT SUISSE (7/14/21) NEW YORK, NY 0.150 150,000,000 XXX

BANK OF MONTREAL (BMO) HARRIS

BANK CHICAGO, IL 0.110 22,906 100,004,521 100,013,863 100,022,906 XXX

WELLS FARGO BANK SAN FRANCISCO, CA (86,799,740) (143,527,645) (146,480,265) XXX

0199998. Deposits in ... 43 depositories that do not exceed the allowable limit in any one depository (See instructions) - Open Depositories XXX XXX 182 6,266 1,533,766 1,585,454 1,551,226 XXX

0199999. Totals - Open Depositories XXX XXX 409,478 17,199 1,517,213,296 1,359,069,870 1,348,083,380 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 XXX

0399999. Total Cash on Deposit XXX XXX 409,478 17,199 1,517,213,296 1,359,069,870 1,348,083,380 XXX

0499999. Cash in Company's Office XXX XXX XXX XXX XXX

0599999. Total - Cash XXX XXX 409,478 17,199 1,517,213,296 1,359,069,870 1,348,083,380 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

1099999. Total - All Other Government Bonds

1799999. Total - U.S. States, Territories and Possessions Bonds

2499999. Total - U.S. Political Subdivisions Bonds

3199999. Total - U.S. Special Revenues Bonds

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds

4899999. Total - Hybrid Securities

5599999. Total - Parent, Subsidiaries and Affiliates Bonds

6099999. Subtotal - SVO Identified Funds

6599999. Subtotal - Unaffiliated Bank Loans

7699999. Total - Issuer Obligations

7799999. Total - Residential Mortgage-Backed Securities

7899999. Total - Commercial Mortgage-Backed Securities

7999999. Total - Other Loan-Backed and Structured Securities

8099999. Total - SVO Identified Funds

8199999. Total - Affiliated Bank Loans

8299999. Total - Unaffiliated Bank Loans

8399999. Total Bonds

BNYM CASH RESERVE 06/29/2021 0.010 6,652,442 89

FHLB LATE MONEY DEPOSIT 06/28/2021 0.050 20,500,000 57 855

8499999. Subtotal - Sweep Accounts 27,152,442 146 855

261941-10-8 DREYFUS TREAS PR CASH MGT-INS SHS 06/30/2021 0.010 98,996,628 358

8599999. Subtotal - Exempt Money Market Mutual Funds - as Identified by the SVO 98,996,628 358

25160K-20-7 DEUTSCHE GOVERNMENT MONEY MARK 06/25/2021 0.040 209,941,501 2,513 1,787

262006-20-8 DREYFUS GOVT CASH MGMT-I 06/29/2021 0.030 3,375,996 62

40428X-10-7 HSBC US GOVT MMKT-I 06/01/2021 0.026 2,126,720 45 816

665278-70-1 NORTHERN INSTITUTIONAL GOVT SELECT 06/30/2021 0.030 22,283,818 696 1,506

857492-70-6 STATE STREET INSTITUTIONAL US GOV FUND 06/30/2021 0.025 58,769,527 1,261 1,924

8699999. Subtotal - All Other Money Market Mutual Funds 296,497,563 4,576 6,032

9999999 - Total Cash Equivalents 422,646,633 5,079 6,887

E14

Quarterly Statement - Pacific Life

Documents

Transcript of Quarterly Statement - Pacific Life