20443 CONTINENTAL CASUALTY COMPANY Original Filing ...

STATEMENT AS OF SEPTEMBER 30, 2020 OF THE CONTINENTAL CASUALTY COMPANY

ASSETSCurrent Statement Date 4

1

Assets

2

Nonadmitted Assets

3Net Admitted Assets

(Cols. 1 - 2)

December 31Prior Year Net

Admitted Assets

1. Bonds 31,901,273,243 185,971,888 31,715,301,355 31,098,961,713

2. Stocks:

2.1 Preferred stocks 711,620,510 0 711,620,510 690,706,646

2.2 Common stocks 4,799,681,765 9,422,854 4,790,258,912 4,566,753,343

3. Mortgage loans on real estate:

3.1 First liens 1,075,310,057 0 1,075,310,057 960,018,145

3.2 Other than first liens 0 0 0 0

4. Real estate:

4.1 Properties occupied by the company (less $ 0

encumbrances) 0 0 0 0

4.2 Properties held for the production of income (less

$ 0 encumbrances) 0 0 0 0

4.3 Properties held for sale (less $ 0

encumbrances) 0 0 0 0

5. Cash ($ 169,472,801 ), cash equivalents

($ 385,187,088 ) and short-term

investments ($ 60,854,436 ) 615,838,907 324,581 615,514,325 1,005,835,088

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

7. Derivatives 0 0 0 0

8. Other invested assets 1,676,840,113 12,796,943 1,664,043,170 1,848,932,577

9. Receivables for securities 266,409,196 0 266,409,196 105,077,455

10. Securities lending reinvested collateral assets 0 0 0 0

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

12. Subtotals, cash and invested assets (Lines 1 to 11) 41,046,973,791 208,516,265 40,838,457,526 40,276,284,967

13. Title plants less $ 0 charged off (for Title insurers

only) 0 0 0 0

14. Investment income due and accrued 335,814,049 1,697,308 334,116,741 323,365,757

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection 1,115,669,341 89,097,801 1,026,571,540 1,017,530,182

15.2 Deferred premiums, agents' balances and installments booked but

deferred and not yet due (including $ 19,776,815

earned but unbilled premiums) 1,049,410,307 10,846,186 1,038,564,121 981,309,579

15.3 Accrued retrospective premiums ($ 63,263,935 ) and

contracts subject to redetermination ($ 0 ) 63,263,935 5,301,897 57,962,038 55,392,721

16. Reinsurance:

16.1 Amounts recoverable from reinsurers 152,973,060 0 152,973,060 103,530,272

16.2 Funds held by or deposited with reinsured companies 6,044,107 0 6,044,107 6,084,968

16.3 Other amounts receivable under reinsurance contracts 0 0 0 0

17. Amounts receivable relating to uninsured plans 0 0 0 0

18.1 Current federal and foreign income tax recoverable and interest thereon 2,407,624 0 2,407,624 23,329,170

18.2 Net deferred tax asset 871,088,844 396,734,960 474,353,884 463,673,936

19. Guaranty funds receivable or on deposit 4,061,983 0 4,061,983 4,410,742

20. Electronic data processing equipment and software 75,144,730 73,650,440 1,494,290 2,943,912

21. Furniture and equipment, including health care delivery assets

($ 0 ) 25,143,788 25,143,788 0 0

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

23. Receivables from parent, subsidiaries and affiliates 32,392,441 43,011 32,349,431 36,287,530

24. Health care ($ 0 ) and other amounts receivable 0 0 0 0

25. Aggregate write-ins for other than invested assets 228,308,898 168,452,317 59,856,581 85,826,432

26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 to 25) 45,008,696,899 979,483,973 44,029,212,926 43,379,970,168

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

28. Total (Lines 26 and 27) 45,008,696,899 979,483,973 44,029,212,926 43,379,970,168

DETAILS OF WRITE-INS

1101.

1102.

1103.

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

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

2501. Amounts receivable under deductible and service only plans 26,849,550 4,929,873 21,919,677 35,870,678

2502. Equities and deposits in pools and associations 20,982,592 0 20,982,592 20,917,289

2503. Other miscellaneous assets 95,296,497 79,063,673 16,232,824 28,051,620

2598. Summary of remaining write-ins for Line 25 from overflow page 85,180,260 84,458,772 721,487 986,845

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 228,308,898 168,452,317 59,856,581 85,826,432

2


LIABILITIES, SURPLUS AND OTHER FUNDS1

CurrentStatement Date

2December 31,

Prior Year

1. Losses (current accident year $ 2,978,543,913 ) 15,384,724,435 14,906,410,403

2. Reinsurance payable on paid losses and loss adjustment expenses 9,507,586 9,662,759

3. Loss adjustment expenses 2,091,760,502 2,068,425,795

4. Commissions payable, contingent commissions and other similar charges 128,927,604 125,112,908

5. Other expenses (excluding taxes, licenses and fees) 632,528,577 743,997,993

6. Taxes, licenses and fees (excluding federal and foreign income taxes) 125,562,315 138,388,740

7.1 Current federal and foreign income taxes (including $ 14,745,240 on realized capital gains (losses)) 27,861,843 13,316,960

7.2 Net deferred tax liability 0 0

8. Borrowed money $ 0 and interest thereon $ 0 0 0

9. Unearned premiums (after deducting unearned premiums for ceded reinsurance of $ 423,790,593 and

including warranty reserves of $ 96,058,072 and accrued accident and health experience rating refunds

including $ 0 for medical loss ratio rebate per the Public Health Service Act) 14,488,384,527 14,099,452,626

10. Advance premium 19,925,360 19,976,180

11. Dividends declared and unpaid:

11.1 Stockholders 0 0

11.2 Policyholders 0 0

12. Ceded reinsurance premiums payable (net of ceding commissions) 746,680,649 630,540,974

13. Funds held by company under reinsurance treaties 33,253,903 3,869,666

14. Amounts withheld or retained by company for account of others 1,932,678 3,322,914

15. Remittances and items not allocated 193,053,278 235,514,620

16. Provision for reinsurance (including $ 0 certified) 66,313,786 66,313,786

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

18. Drafts outstanding 0 0

19. Payable to parent, subsidiaries and affiliates 9,049,098 16,423,717

20. Derivatives 0 0

21. Payable for securities 259,583,230 68,564,453

22. Payable for securities lending 0 0

23. Liability for amounts held under uninsured plans 0 0

24. Capital notes $ 0 and interest thereon $ 0 0 0

25. Aggregate write-ins for liabilities (478,191,064) (555,870,920)

26. Total liabilities excluding protected cell liabilities (Lines 1 through 25) 33,740,858,306 32,593,423,575

27. Protected cell liabilities 0 0

28. Total liabilities (Lines 26 and 27) 33,740,858,306 32,593,423,575

29. Aggregate write-ins for special surplus funds 541,387,031 622,998,751

30. Common capital stock 35,632,565 35,632,565

31. Preferred capital stock 0 0

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

33. Surplus notes 0 0

34. Gross paid in and contributed surplus 5,684,824,266 5,684,824,266

35. Unassigned funds (surplus) 4,026,510,759 4,443,091,011

36. Less treasury stock, at cost:

36.1 0 shares common (value included in Line 30 $ 0 ) 0 0

36.2 0 shares preferred (value included in Line 31 $ 0 ) 0 0

37. Surplus as regards policyholders (Lines 29 to 35, less 36) 10,288,354,620 10,786,546,593

38. Totals (Page 2, Line 28, Col. 3) 44,029,212,926 43,379,970,168


2501. Retroactive reinsurance reserve ceded - NICO (516,354,151) (597,062,629)

2502. Retroactive reinsurance reserve ceded - Allstate (25,032,880) (25,936,122)

2503. Payable to NICO 39,679,648 45,636,901

2598. Summary of remaining write-ins for Line 25 from overflow page 23,516,318 21,490,931

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) (478,191,064) (555,870,920)

2901. Special surplus fund - NICO retroactive reinsurance ceded 516,354,151 597,062,629

2902. Special surplus fund - Allstate retroactive reinsurance ceded 25,032,880 25,936,122

2903. Special surplus fund - Real estate 0 0

2998. Summary of remaining write-ins for Line 29 from overflow page 0 0

2999. Totals (Lines 2901 through 2903 plus 2998)(Line 29 above) 541,387,031 622,998,751

3201.

3202.

3203.

3298. Summary of remaining write-ins for Line 32 from overflow page 0 0

3299. Totals (Lines 3201 through 3203 plus 3298)(Line 32 above) 0 0

3


STATEMENT OF INCOME1

CurrentYear to Date

2Prior Year

to Date

3Prior Year Ended

December 31

UNDERWRITING INCOME

1. Premiums earned:

1.1 Direct (written $ 5,388,508,228 ) 5,064,204,480 4,952,636,242 6,649,113,234

1.2 Assumed (written $ 3,173,591,935 ) 2,917,764,796 2,708,715,948 3,666,540,477

1.3 Ceded (written $ 3,370,964,413 ) 3,238,682,559 3,062,654,245 4,121,884,716

1.4 Net (written $ 5,191,135,750 ) 4,743,286,718 4,598,697,945 6,193,768,995

DEDUCTIONS:

2. Losses incurred (current accident year $ 3,355,777,612 ):

2.1 Direct 3,741,143,014 3,120,852,789 4,308,222,118

2.2 Assumed 1,798,479,182 1,537,015,906 2,089,186,377

2.3 Ceded 2,131,065,039 1,752,085,243 2,420,954,005

2.4 Net 3,408,557,157 2,905,783,452 3,976,454,490

3. Loss adjustment expenses incurred 694,949,803 760,471,027 988,658,417

4. Other underwriting expenses incurred 1,530,508,185 1,489,619,509 2,010,056,386

5. Aggregate write-ins for underwriting deductions (67,720) (44,537) (68,906)

6. Total underwriting deductions (Lines 2 through 5) 5,633,947,426 5,155,829,451 6,975,100,387

7. Net income of protected cells 0 0 0

8. Net underwriting gain or (loss) (Line 1 minus Line 6 + Line 7) (890,660,708) (557,131,505) (781,331,393)

INVESTMENT INCOME

9. Net investment income earned 1,297,564,748 1,387,221,360 2,022,370,611

10. Net realized capital gains (losses) less capital gains tax of $ 12,845,813 (121,143,843) (108,045,922) (116,322,173)

11. Net investment gain (loss) (Lines 9 + 10) 1,176,420,905 1,279,175,438 1,906,048,438

OTHER INCOME

12. Net gain or (loss) from agents’ or premium balances charged off (amount recovered

$ 358,937 amount charged off $ 3,714,274 ) (3,355,337) (2,705,671) (5,456,146)

13. Finance and service charges not included in premiums 2,336,456 2,979,077 4,033,560

14. Aggregate write-ins for miscellaneous income 3,238,902 2,469,575 49,123,058

15. Total other income (Lines 12 through 14) 2,220,021 2,742,980 47,700,472

16. Net income before dividends to policyholders, after capital gains tax and before all other federal and foreign income taxes (Lines 8 + 11 + 15) 287,980,218 724,786,913 1,172,417,517

17. Dividends to policyholders 12,724,274 14,001,687 18,516,587

18. Net income, after dividends to policyholders, after capital gains tax and before all other federal and foreign income taxes (Line 16 minus Line 17) 275,255,944 710,785,226 1,153,900,930

19. Federal and foreign income taxes incurred 28,375,087 113,901,464 129,968,505

20. Net income (Line 18 minus Line 19)(to Line 22) 246,880,857 596,883,763 1,023,932,425

CAPITAL AND SURPLUS ACCOUNT

21. Surplus as regards policyholders, December 31 prior year 10,786,546,593 10,411,342,353 10,411,342,353

22. Net income (from Line 20) 246,880,857 596,883,763 1,023,932,425

23. Net transfers (to) from Protected Cell accounts 0 0 0

24. Change in net unrealized capital gains (losses) less capital gains tax of $ (15,333,652) 135,089,089 419,106,275 369,104,917

25. Change in net unrealized foreign exchange capital gain (loss) (11,094,477) 14,072,436 24,346,916

26. Change in net deferred income tax 24,378,664 51,964,166 42,160,844

27. Change in nonadmitted assets (70,404,116) (29,504,407) 23,849,716

28. Change in provision for reinsurance 0 0 20,639,974

29. Change in surplus notes 0 0 0

30. Surplus (contributed to) withdrawn from protected cells 0 0 0

31. Cumulative effect of changes in accounting principles 0 0 0

32. Capital changes:

32.1 Paid in 0 0 0

32.2 Transferred from surplus (Stock Dividend) 0 0 0

32.3 Transferred to surplus 0 0 0

33. Surplus adjustments:

33.1 Paid in 0 0 0

33.2 Transferred to capital (Stock Dividend) 0 0 0

33.3 Transferred from capital 0 0 0

34. Net remittances from or (to) Home Office 0 0 0

35. Dividends to stockholders (855,000,000) (940,000,000) (1,065,000,000)

36. Change in treasury stock 0 0 0

37. Aggregate write-ins for gains and losses in surplus 31,958,011 30,119,430 (63,830,552)

38. Change in surplus as regards policyholders (Lines 22 through 37) (498,191,973) 142,641,662 375,204,240

39. Surplus as regards policyholders, as of statement date (Lines 21 plus 38) 10,288,354,620 10,553,984,015 10,786,546,593


0501. North Carolina reinsurance facility recoupment - Underwriting (67,720) (44,537) (68,906)

0502.

0503.

0598. Summary of remaining write-ins for Line 5 from overflow page 0 0 0

0599. Totals (Lines 0501 through 0503 plus 0598)(Line 5 above) (67,720) (44,537) (68,906)

1401. Miscellaneous profit (loss) items 3,488,268 3,121,866 4,235,260

1402. Retroactive reinsurance reserve development ceded - NICO 0 0 45,265,842

1403. Retroactive reinsurance reserve development - Allstate 0 0 326,136

1498. Summary of remaining write-ins for Line 14 from overflow page (249,367) (652,291) (704,180)

1499. Totals (Lines 1401 through 1403 plus 1498)(Line 14 above) 3,238,902 2,469,575 49,123,058

3701. Pension, post retirement and SERP surplus adjustments 31,958,011 30,119,430 (63,830,552)

3702.

3703.

3798. Summary of remaining write-ins for Line 37 from overflow page 0 0 0

3799. Totals (Lines 3701 through 3703 plus 3798)(Line 37 above) 31,958,011 30,119,430 (63,830,552)

4


CASH FLOW1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

Cash from Operations

1. Premiums collected net of reinsurance 5,157,981,136 4,874,381,343 6,484,623,785

2. Net investment income 1,224,437,745 1,312,655,523 1,944,288,946

3. Miscellaneous income 6,057,586 5,728,975 7,933,883

4. Total (Lines 1 to 3) 6,388,476,467 6,192,765,841 8,436,846,614

5. Benefit and loss related payments 2,885,260,468 3,120,792,687 4,188,939,293

6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts 0 0 0

7. Commissions, expenses paid and aggregate write-ins for deductions 2,240,881,977 2,265,582,504 3,079,025,414

8. Dividends paid to policyholders 12,724,274 14,001,687 18,516,587

9. Federal and foreign income taxes paid (recovered) net of $ 16,223,344 tax on capital

gains (losses) 5,932,370 128,410,303 186,364,413

10. Total (Lines 5 through 9) 5,144,799,089 5,528,787,181 7,472,845,707

11. Net cash from operations (Line 4 minus Line 10) 1,243,677,378 663,978,660 964,000,907

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds 9,762,290,077 8,256,407,954 10,544,933,828

12.2 Stocks 290,682,729 172,251,243 226,658,231

12.3 Mortgage loans 40,278,878 108,396,773 142,338,255

12.4 Real estate 0 0 0

12.5 Other invested assets 296,030,364 399,949,856 460,675,625

12.6 Net gains or (losses) on cash, cash equivalents and short-term investments 365,430 684,191 1,102,862

12.7 Miscellaneous proceeds 29,687,036 186,057,863 139,903,190

12.8 Total investment proceeds (Lines 12.1 to 12.7) 10,419,334,514 9,123,747,880 11,515,611,991

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

13.1 Bonds 10,491,081,671 8,107,731,308 10,225,480,542

13.2 Stocks 383,430,654 140,611,267 198,009,902

13.3 Mortgage loans 154,034,950 192,619,394 297,904,966

13.4 Real estate 0 0 0

13.5 Other invested assets 147,337,807 250,367,928 280,889,834

13.6 Miscellaneous applications 4,042,906 0 0

13.7 Total investments acquired (Lines 13.1 to 13.6) 11,179,927,988 8,691,329,897 11,002,285,244

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

15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) (760,593,474) 432,417,983 513,326,747

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes 0 0 0

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

16.3 Borrowed funds 0 0 0

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

16.5 Dividends to stockholders 855,000,000 940,000,000 1,065,000,000

16.6 Other cash provided (applied) (18,364,787) 52,771,700 74,666,580

17. Net cash from financing and miscellaneous sources (Line 16.1 through Line 16.4 minus Line 16.5 plus Line 16.6) (873,364,787) (887,228,300) (990,333,420)

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) (390,280,883) 209,168,343 486,994,234

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

19.1 Beginning of year 1,006,119,790 519,125,556 519,125,556

19.2 End of period (Line 18 plus Line 19.1) 615,838,907 728,293,899 1,006,119,790

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

20.0001. Non-cash acquisition of bonds and stocks - cost 241,225,678 169,638,540 215,077,658

20.0002. Non-cash disposition of bonds and stocks - consideration 236,396,399 168,269,087 213,527,064

20.0003. Non-cash disposition of other invested assets - consideration 0 1,320,068 1,463,115

5


6


6.1


6.2


6.3


6.4


6.5


6.6


6.7


6.8


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 [ X ] No [ ]

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. 21175

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

NONE

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 [ X ] No [ ] N/A [ ]

If yes, attach an explanation.

On June 1, 2020, the Company entered into an Underwriting Management Agreement and Addenda with DUAL Commercial, LLC related to transactional risk insurance products.

6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2018

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. 12/31/2018

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). 07/29/2020

6.4 By what department or departments?

Illinois 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

NONE

7



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: $ 0

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 [ ] No [ X ]

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

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 89,656,014 13. Amount of real estate and mortgages held in short-term investments: $ 0 14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes [ X ] No [ ]14.2 If yes, please complete the following:

1Prior Year-End Book/Adjusted Carrying Value

2Current Quarter Book/Adjusted Carrying Value

14.21 Bonds $ 0 $ 0 14.22 Preferred Stock $ 0 $ 0 14.23 Common Stock $ 4,430,910,502 $ 4,626,590,693 14.24 Short-Term Investments $ 0 $ 0 14.25 Mortgage Loans on Real Estate $ 0 $ 0 14.26 All Other $ 35,014,903 $ 45,809,170 14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 4,465,925,405 $ 4,672,399,863 14.28 Total Investment in Parent included in Lines 14.21 to 14.26 above $ 0 $ 0

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. $ 0

16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 $ 0

16.3 Total payable for securities lending reported on the liability page. $ 0

7.1



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

JPMorgan Chase Bank, N.A. 10 S. Dearborn Street, Chicago, Illinois 60603-2300

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)

NONE

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

NONE

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

Loews/CNA Holdings, Inc., as party to investment facilities and services

agreement A

Goldman Sachs Asset Management International U

Goldman Sachs & Co U

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

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

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

1

Central Registration Depository Number

2

Name of Firm or Individual

3

Legal Entity Identifier (LEI)

4

Registered With

5Investment

Management Agreement (IMA) Filed

N/A Loews/CNA Holdings, Inc. R8V1FN4M5ITGZOG7BS19

Not a Registered Investment

Advisor DS

107715 Goldman Sachs Asset Management International H78JPHZB1QNX0K20TF95 SEC NO

361 Goldman Sachs & Co FOR8UP27PHTHYVLBNG30 SEC NO

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

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

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

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

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

Has the reporting entity self-designated 5GI securities? Yes [ 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 ]

7.2



PART 2 - PROPERTY & CASUALTY INTERROGATORIES

1. If the reporting entity is a member of a pooling arrangement, did the agreement or the reporting entity’s participation change? Yes [ ] No [ X ] N/A [ ]


2. Has the reporting entity reinsured any risk with any other reporting entity and agreed to release such entity from liability, in whole or in part, from any loss that may occur on the risk, or portion thereof, reinsured? Yes [ ] No [ X ]


3.1 Have any of the reporting entity’s primary reinsurance contracts been canceled? Yes [ ] No [ X ]

3.2 If yes, give full and complete information thereto.

4.1 Are any of the liabilities for unpaid losses and loss adjustment expenses other than certain workers’ compensation tabular reserves (see Annual Statement Instructions pertaining to disclosure of discounting for definition of “ tabular reserves” ) discounted at a rate of interest greater than zero? Yes [ X ] No [ ]

4.2 If yes, complete the following schedule:

TOTAL DISCOUNT DISCOUNT TAKEN DURING PERIOD

1

Line of Business

2Maximum Interest

3Discount

Rate

4UnpaidLosses

5Unpaid

LAE

6

IBNR

7

TOTAL

8UnpaidLosses

9Unpaid

LAE

10

IBNR

11

TOTAL

Homeowners Multi

Peril 7.5 7.500 8,952,881 0 0 8,952,881 (1,268,879) 0 0 (1,268,879)

Commercial Multi

Peril 7.5 7.500 74,769,373 0 0 74,769,373 20,456,798 0 0 20,456,798

Med Prof Liab

(Occurrence) 7.5 7.500 120,594,179 0 0 120,594,179 42,431,900 0 0 42,431,900

Med Prof Liab (Claims

Made) 7.5 7.500 118,313,832 0 0 118,313,832 50,657,096 0 0 50,657,096

Group Accident &

Health 4.5 4.500 24,622,561 0 3,213,789 27,836,350 1,025,833 0 418,870 1,444,703

Other Accident &

Health 4.5 4.500 232,393,631 0 22,194,257 254,587,888 (28,601,905) 0 8,156,275 (20,445,630)

Workers' Compensation

7.5 7.500 147,224,436 0 0 147,224,436 (4,140,852) 0 0 (4,140,852)

Other Liab

(Occurrence) 7.5 7.500 145,563,187 0 0 145,563,187 19,202,267 0 0 19,202,267

Other Liab (Claims

Made) 7.5 7.500 17,921,938 0 0 17,921,938 (112,819) 0 0 (112,819)

Products Liab

(Occurrence) 7.5 7.500 27,659,386 0 0 27,659,386 (798,780) 0 0 (798,780)

Private Passenger

Auto Liab 7.5 7.500 51,412,702 0 0 51,412,702 10,453,150 0 0 10,453,150

Commercial Auto Liab

7.5 7.500 217,675,361 0 0 217,675,361 (11,425,150) 0 0 (11,425,150)

TOTAL 1,187,103,468 0 25,408,046 1,212,511,514 97,878,659 0 8,575,145 106,453,804

5. Operating Percentages:

5.1 A&H loss percent 211.850 %

5.2 A&H cost containment percent 0.000 %

5.3 A&H expense percent excluding cost containment expenses 18.603 %

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

6.2 If yes, please provide the amount of custodial funds held as of the reporting date $ 0

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

6.4 If yes, please provide the balance of the funds administered as of the reporting date $ 0

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

7.1 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 [ ]

8


SCHEDULE F - CEDED REINSURANCEShowing All New Reinsurers - Current Year to Date

1

NAICCompany

Code

2

IDNumber

3

Name of Reinsurer

4

Domiciliary Jurisdiction

5

Type of Reinsurer

6

Certified Reinsurer

Rating(1 through 6)

7EffectiveDate ofCertified

Reinsurer Rating

15140 80-0916041 THREE BELMONT INSURANCE COMPANY USA Unauthorized

19984 75-1940467 ACIG INSURANCE COMPANY USA Unauthorized

00000 20-5732453 PORTER AUTHORITY INSURANCE CAPTIVE ENTITY LLC USA Unauthorized

22276 63-0202590 BERKSHIRE HATHAWAY INSURANCE COMPANY USA Unauthorized

00000 AA-3191352 ASCOT REINS CO LTD BMU Unauthorized

00000 AA-3191400 CONVEX RE LIMITED BMU Unauthorized

00000 AA-1124127 TT CLUB MUTUTAL INSURANCE LIMITED GBR Unauthorized

9


SCHEDULE T - EXHIBIT OF PREMIUMS WRITTENCurrent Year to Date - Allocated by States and Territories

1 Direct Premiums Written Direct Losses Paid (Deducting Salvage) Direct Losses Unpaid

States, etc.

ActiveStatus

(a)

2Current Year

To Date

3Prior YearTo Date

4Current Year

To Date

5Prior YearTo Date

6Current Year

To Date

7Prior YearTo Date

1. Alabama AL L 74,786,683 73,063,369 49,572,201 43,531,720 125,454,516 135,003,682

2. Alaska AK L 15,191,690 14,821,856 8,608,244 9,145,267 11,064,429 9,939,705

3. Arizona AZ L 76,886,268 70,057,775 51,508,038 49,282,686 121,778,731 126,184,167

4. Arkansas AR L 63,864,092 62,059,576 35,636,318 50,132,616 75,839,964 63,617,967

5. California CA L 566,204,023 546,426,767 331,749,379 377,454,955 910,449,128 898,426,026

6. Colorado CO L 86,779,242 78,463,356 48,269,068 41,077,395 130,029,398 120,859,536

7. Connecticut CT L 73,412,256 79,657,959 42,886,883 60,486,654 182,915,663 170,824,174

8. Delaware DE L 14,432,380 13,517,790 7,536,639 9,203,664 33,135,947 32,537,550

9. District of Columbia DC L 27,045,269 24,140,111 11,391,054 19,931,185 49,859,296 44,755,361

10. Florida FL L 323,120,060 311,869,516 214,731,131 249,415,708 551,731,597 568,477,735

11. Georgia GA L 152,161,296 143,985,133 87,160,262 87,330,118 207,940,693 179,268,342

12. Hawaii HI L 26,276,276 24,881,117 15,170,097 15,569,074 34,577,493 32,501,013

13. Idaho ID L 13,994,888 12,356,780 7,345,734 8,428,328 29,098,786 28,549,784

14. Illinois IL L 268,965,230 264,250,993 157,878,650 174,335,668 506,087,312 521,556,549

15. Indiana IN L 104,740,115 100,383,399 59,147,557 72,813,022 156,145,225 141,452,903

16. Iowa IA L 26,941,426 26,929,915 19,833,995 20,417,342 75,795,857 65,153,217

17. Kansas KS L 48,460,445 41,150,496 27,118,903 24,602,615 71,937,167 67,210,842

18. Kentucky KY L 67,582,423 67,051,729 39,118,206 34,991,351 91,848,553 93,798,229

19. Louisiana LA L 127,942,689 125,024,836 69,185,719 78,345,054 185,970,697 116,091,271

20. Maine ME L 13,625,638 13,404,153 6,832,139 8,058,385 29,056,362 27,888,871

21. Maryland MD L 106,618,611 105,308,800 78,537,609 73,357,758 207,937,634 196,541,827

22. Massachusetts MA L 132,935,025 117,237,111 61,360,971 66,949,212 277,152,810 269,063,846

23. Michigan MI L 110,143,160 109,923,434 64,571,501 80,503,366 193,449,668 196,235,316

24. Minnesota MN L 75,532,195 82,004,269 70,197,513 42,890,833 167,980,136 142,126,878

25. Mississippi MS L 49,800,639 48,802,985 27,646,595 24,246,221 44,488,173 39,765,316

26. Missouri MO L 136,591,796 130,588,162 58,845,330 70,586,102 152,975,458 140,179,359

27. Montana MT L 9,665,780 10,657,364 3,929,167 5,734,516 14,383,289 18,381,742

28. Nebraska NE L 20,285,137 17,617,334 10,760,420 12,205,614 61,722,777 56,909,044

29. Nevada NV L 43,911,595 41,852,048 24,255,938 27,368,850 42,311,119 41,328,997

30. New Hampshire NH L 12,566,936 12,933,424 8,121,636 16,981,759 27,803,055 26,441,873

31. New Jersey NJ L 133,818,577 111,248,896 77,574,014 92,797,611 298,007,168 299,212,691

32. New Mexico NM L 25,651,465 25,292,987 13,730,830 16,641,887 31,876,323 30,967,656

33. New York NY L 416,643,308 402,072,655 233,820,313 259,832,300 920,331,621 896,727,897

34. North Carolina NC L 106,933,202 105,650,042 83,251,134 72,533,006 175,242,480 150,379,537

35. North Dakota ND L 8,311,940 8,857,663 19,278,682 4,778,484 23,285,552 11,566,063

36. Ohio OH L 126,693,364 133,264,206 77,754,750 85,937,550 257,426,554 245,981,371

37. Oklahoma OK L 85,717,708 85,311,411 40,263,860 45,804,407 65,019,797 71,959,254

38. Oregon OR L 60,886,841 60,435,998 44,891,205 45,973,968 121,857,824 114,586,009

39. Pennsylvania PA L 204,452,856 199,440,055 133,455,438 119,504,339 395,581,628 380,248,738

40. Rhode Island RI L 13,419,530 12,931,990 5,408,503 5,891,795 19,688,766 20,120,721

41. South Carolina SC L 62,692,975 59,337,686 34,161,080 34,863,683 89,286,104 80,110,768

42. South Dakota SD L 9,506,703 9,100,410 7,037,465 5,630,525 18,157,762 18,417,319

43. Tennessee TN L 95,547,611 98,264,023 67,052,354 59,936,021 180,397,823 166,807,313

44. Texas TX L 549,552,596 536,094,752 394,455,208 377,852,342 524,744,407 425,078,742

45. Utah UT L 31,055,490 27,884,415 15,887,972 15,292,507 34,917,434 26,210,738

46. Vermont VT L 10,802,064 9,763,272 4,683,048 5,270,324 14,016,441 18,110,071

47. Virginia VA L 108,167,643 104,378,439 62,980,182 78,052,959 199,791,928 182,805,160

48. Washington WA L 94,568,682 92,620,872 69,780,539 55,775,882 193,927,500 183,772,449

49. West Virginia WV L 25,668,281 25,889,525 14,872,519 14,457,471 39,355,297 33,534,250

50. Wisconsin WI L 74,600,927 68,631,856 49,427,030 51,844,914 181,235,716 154,505,073

51. Wyoming WY L 6,211,471 6,110,806 3,475,742 3,606,887 7,015,190 4,872,665

52. American Samoa AS N 0 0 0 0 0 0

53. Guam GU N 0 0 0 0 0 0

54. Puerto Rico PR L 35,693,069 36,982,516 15,968,612 19,572,227 14,831,363 16,656,354

55. U.S. Virgin Islands VI L 3,232,398 2,994,639 1,932,327 1,682,050 2,659,340 2,395,449

56. Northern Mariana Islands MP N 0 0 0 0 0 0

57. Canada CAN L 227,641,441 208,128,028 77,714,210 70,921,629 341,143,019 307,618,480

58. Aggregate Other Alien OT XXX 574,826 786,790 175,916 (41,388) 694,967 591,899

59. Totals XXX 5,388,508,228 5,201,895,488 3,247,939,829 3,399,790,419 8,921,412,935 8,414,307,789


58001. ZZZ Aliens w/prem<$1M XXX 574,826 786,790 175,916 (41,388) 694,967 591,899

58002. XXX

58003. XXX

58998. Summary of remaining write-ins for Line 58 from overflow page XXX 0 0 0 0 0 0

58999. Totals (Lines 58001 through 58003 plus 58998)(Line 58 above) XXX 574,826 786,790 175,916 (41,388) 694,967 591,899

(a) Active Status Counts:

L - Licensed or Chartered - Licensed Insurance carrier or domiciled RRG 54 R - Registered - Non-domiciled RRGs 0

E - Eligible - Reporting entities eligible or approved to write surplus lines in the state (other Q - Qualified - Qualified or accredited reinsurer 0

than their state of domicile - see DSLI) 0 N - None of the above - Not allowed to write

D - Domestic Surplus Lines Insurer (DSLI) - Reporting entities authorized to write surplus business in the state 3

lines in the state of domicile 0

10


11


11.1


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

*0000 00000 13-2646102 1562868 60086 New York Stock Exchange Loews Corporation DE UIP 0.000 N

0000 00000 36-6169860 1551358 21175 New York Stock Exchange CNA Financial Corp. DE UIP Loews Corporation Ownership 89.619 Loews Corporation N

0000 00000 13-2704346 0 0 1897 LLC DE NIA CNA Financial Corp. Ownership 100.000 Loews Corporation N

0000 00000 13-2610607 0 0 The Continental Corporation NY UDP CNA Financial Corp. Ownership 100.000 Loews Corporation N

0000 00000 0 0 CNA Services (UK) Limited GBR NIA The Continental Corporation Ownership 100.000 Loews Corporation N

0000 00000 0 0 Hardy Underwriting Bermuda Limited BMU NIA The Continental Corporation Ownership 100.000 Loews Corporation N

0000 00000 0 0 Hardy Bermuda Limited BMU NIA Hardy Underwriting Bermuda Limited Ownership 100.000 Loews Corporation N

0000 00000 0 0 Hardy Underwriting Group Limited GBR NIA Hardy Underwriting Bermuda Limited Ownership 100.000 Loews Corporation N

0000 00000 0 0 Hardy (Underwriting Agencies) Limited GBR IA Hardy Underwriting Bermuda Limited Ownership 100.000 Loews Corporation N

0000 00000 0 0 Hardy Underwriting Labuan Limited MYS NIA Hardy (Underwriting Agencies) Limited Ownership 100.000 Loews Corporation N

0000 00000 98-0166351 0 0 Hardy Underwriting Limited GBR NIA Hardy Underwriting Bermuda Limited Ownership 100.000 Loews Corporation N

0000 00000 0 0 Hardy Underwriting Asia Pte. Ltd SGP NIA Hardy Underwriting Bermuda Limited Ownership 100.000 Loews Corporation N

0000 00000 0 0 CNA Hardy International Services Limited GBR NIA The Continental Corporation Ownership 100.000 Loews Corporation N

0000 00000 52-1737576 0 0 CNA Solution Inc. IL NIA The Continental Corporation Ownership 100.000 Loews Corporation N

0000 00000 30-0200012 0 0 Financial Services Representatives PG, Inc. IL NIA CNA Solution, Inc. Ownership 100.000 Loews Corporation N

0000 00000 AA-3190065 0 0

Continental Reinsurance Corp. International,

Ltd. BMU IA The Continental Corporation Ownership 100.000 Loews Corporation N

0000 00000 0 0 Bishophouse, Limited BMU NIA

Continental Reinsurance Corp.

International, Ltd. Ownership 30.000 Loews Corporation N

0218 CNA Insurance Companies 20443 36-2114545 3095614 23997 Continental Casualty Company IL RE The Continental Corporation Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 20427 23-0342560 0 0

American Casualty Co. of Reading,

Pennsylvania PA DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 20508 23-1620527 0 0 Valley Forge Insurance Company PA DS

American Casualty Co. of Reading,

Pennsylvania Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 31127 47-0490411 0 0 Columbia Casualty Company IL DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 20478 06-0464510 0 0 National Fire Insurance Company of Hartford IL DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 20494 36-1877247 0 0 Transportation Insurance Company IL DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0000 00000 0 0 CNA Europe Holdings Ltd. GBR DS Continental Casualty Company Ownership 72.720 Loews Corporation Y

0000 00000 0 0 CNA Europe Holdings Ltd. GBR DS The Continental Insurance Company Ownership 27.280 Loews Corporation Y

0000 00000 AA-1121106 0 0 CNA Insurance Company Limited GBR DS CNA Europe Holdings Ltd. Ownership 100.000 Loews Corporation N

0000 00000 0 0 Maritime Insurance Company Limited GBR DS CNA Insurance Company Limited Ownership 100.000 Loews Corporation N

0000 00000 0 0 CNA Insurance Company (Europe) S.A. LUX DS CNA Insurance Company Limited Ownership 100.000 Loews Corporation N

0000 00000 98-0171855 0 0 North Rock Insurance Company Limited BMU DS Continental Casualty Company Ownership 100.000 Loews Corporation Y

0000 00000 36-4034956 0 0 CNA National Warranty Corporation AZ DS Continental Casualty Company Ownership 100.000 Loews Corporation Y

0000 00000 36-4124829 0 0 CNA National Warranty Corp. - Florida FL DS CNA National Warranty Corporation Ownership 100.000 Loews Corporation N

0000 00000 22-3188117 0 0 Continental Service Plan, Inc. NJ DS CNA National Warranty Corporation Ownership 100.000 Loews Corporation N

0000 00000 22-3875980 0 0 Continental Service Provider, Inc. IL DS CNA National Warranty Corporation Ownership 100.000 Loews Corporation N

0000 00000 82-4314277 0 0 Preferred Protection Services LLC IL DS CNA National Warranty Corporation Ownership 100.000 Loews Corporation N

0000 00000 90-0715799 0 0 CNA Warranty Services, Inc. AZ DS Continental Casualty Company Ownership 100.000 Loews Corporation Y

0000 00000 35-2477734 0 0 CNA Warranty Services of Florida, Inc. FL DS CNA Warranty Services, Inc. Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 35289 13-5010440 0 24073 The Continental Insurance Company PA DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 42625 22-2476313 0 0 The Continental Insurance Co. of New Jersey NJ DS The Continental Insurance Company Ownership 100.000 Loews Corporation N

0000 00000 13-3081396 0 0 IDBI Managers, Inc. NY DS The Continental Insurance Company Ownership 100.000 Loews Corporation Y

0000 00000 16-1633560 0 0 CNA ClaimPlus, Inc. NV DS Continental Casualty Company Ownership 100.000 Loews Corporation Y

0000 00000 36-2791009 0 0 CNA Realty LLC DE DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0000 00000 61-1808441 0 0 Windsor BP, LLC IL DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0000 00000 85-2715680 0 0 Old Dobbin LLC IL DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0000 00000 36-3886005 0 0 Los Lunas Center, Inc. IL DS Continental Casualty Company Ownership 100.000 Loews Corporation Y

0000 00000 81-2918001 0 0 Pencil Factory LLC IL DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0000 00000 84-2391465 0 0 1200 North VA LLC IL DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 13188 46-0204900 0 0 Western Surety Company SD DS Continental Casualty Company Ownership 100.000 Loews Corporation N

0218 CNA Insurance Companies 24047 46-0417363 0 0 Surety Bonding Company of America SD DS Western Surety Company Ownership 100.000 Loews Corporation N

12


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

*0218 CNA Insurance Companies 13200 76-0090463 0 0 Universal Surety of America SD DS Western Surety Company Ownership 100.000 Loews Corporation N

Asterisk Explanation

12.1


PART 1 - LOSS EXPERIENCECurrent Year to Date 4

Line of Business

1Direct Premiums

Earned

2Direct Losses

Incurred

3Direct LossPercentage

Prior Year to DateDirect Loss Percentage

1. Fire 100,380,478 261,835,724 260.8 100.2 2. Allied Lines 116,706,137 (7,047,945) (6.0) 3.0 3. Farmowners multiple peril 0 0 0.0 0.0 4. Homeowners multiple peril 0 243,394 0.0 0.0 5. Commercial multiple peril 273,131,252 230,608,637 84.4 51.4 6. Mortgage guaranty 0 0 0.0 0.0 8. Ocean marine 28,010,339 14,385,441 51.4 40.7 9. Inland marine 2,613,524,912 1,788,949,799 68.4 57.8

10. Financial guaranty 0 0 0.0 0.0 11.1 Medical professional liability - occurrence 7,834,600 17,423,548 222.4 222.5 11.2 Medical professional liability - claims-made 39,005,083 13,857,605 35.5 61.5 12. Earthquake 29,079,077 6,258,704 21.5 (42.7)13. Group accident and health 8,355,501 85,936,977 1,028.5 92.7 14. Credit accident and health 0 0 0.0 0.0 15. Other accident and health 224,320,416 555,490,966 247.6 259.9 16. Workers’ compensation 90,239,358 39,117,335 43.3 57.0 17.1 Other liability - occurrence 200,565,059 74,998,765 37.4 49.7 17.2 Other liability - claims-made 1,063,783,609 543,784,866 51.1 42.7 17.3 Excess workers’ compensation 199,050 (1,640,164) (824.0) 13,829.1 18.1 Products liability - occurrence 1,985,841 2,501,320 126.0 1,472.4 18.2 Products liability - claims-made 30,632,377 11,718,210 38.3 54.4

19.1,19.2 Private passenger auto liability 0 1,981,034 0.0 0.0 19.3,19.4 Commercial auto liability 70,490,424 46,226,368 65.6 62.9

21. Auto physical damage 19,055,859 12,819,143 67.3 79.0 22. Aircraft (all perils) 0 (2,819,049) 0.0 0.0 23. Fidelity 25,705,860 9,421,845 36.7 (0.6)24. Surety 54,978,939 972,346 1.8 (5.9)26. Burglary and theft 8,613,020 3,946,479 45.8 13.4 27. Boiler and machinery 48,913,624 16,060,490 32.8 37.1 28. Credit 0 0 0.0 0.0 29. International 0 0 0.0 0.0 30. Warranty 8,693,664 14,111,176 162.3 114.5 31. Reinsurance - Nonproportional Assumed Property XXX XXX XXX XXX32. Reinsurance - Nonproportional Assumed Liability XXX XXX XXX XXX33. Reinsurance - Nonproportional Assumed Financial Lines XXX XXX XXX XXX34. Aggregate write-ins for other lines of business 0 0 0.0 0.0

35. Totals 5,064,204,480 3,741,143,014 73.9 63.0


3401.

3402.

3403.

3498. Summary of remaining write-ins for Line 34 from overflow page 0 0 0.0 0.0 3499. Totals (Lines 3401 through 3403 plus 3498)(Line 34 above) 0 0 0.0 0.0

PART 2 - DIRECT PREMIUMS WRITTEN

Line of Business

1

Current Quarter

2Current

Year to Date

3Prior Year

Year to Date

1. Fire 33,228,693 107,759,123 103,078,414 2. Allied Lines 35,105,378 133,285,731 118,341,624 3. Farmowners multiple peril 0 0 0 4. Homeowners multiple peril 0 0 0 5. Commercial multiple peril 97,076,561 300,838,996 269,385,807 6. Mortgage guaranty 0 0 0 8. Ocean marine 10,415,351 28,701,494 26,424,255 9. Inland marine 869,217,115 2,617,493,279 2,619,501,571

10. Financial guaranty 0 0 0 11.1 Medical professional liability - occurrence 1,367,390 10,754,855 10,211,224 11.2 Medical professional liability - claims-made 14,154,632 39,676,219 60,763,378 12. Earthquake 10,201,304 34,179,125 29,166,964 13. Group accident and health 43,899,555 149,730,217 150,073,742 14. Credit accident and health 0 0 0 15. Other accident and health 63,494,754 188,338,563 206,643,297 16. Workers’ compensation 24,227,455 100,508,462 96,999,345 17.1 Other liability - occurrence 77,924,910 212,304,702 193,281,407 17.2 Other liability - claims-made 423,212,838 1,167,034,879 1,034,417,974 17.3 Excess workers’ compensation 21,135 180,888 144,760 18.1 Products liability - occurrence 1,118,524 3,277,462 2,598,943 18.2 Products liability - claims-made 12,350,951 32,794,307 29,073,732

19.1,19.2 Private passenger auto liability 0 0 0 19.3,19.4 Commercial auto liability 21,021,669 76,280,914 66,966,634

21. Auto physical damage 5,825,535 20,043,183 18,983,997 22. Aircraft (all perils) 0 0 0 23. Fidelity 8,423,055 25,149,558 24,999,024 24. Surety 16,890,537 60,194,776 62,311,162 26. Burglary and theft 3,436,941 9,647,036 8,143,686 27. Boiler and machinery 17,071,511 52,726,911 52,546,684 28. Credit 0 0 0 29. International 0 0 0 30. Warranty 6,639,791 17,607,546 17,837,865 31. Reinsurance - Nonproportional Assumed Property XXX XXX XXX32. Reinsurance - Nonproportional Assumed Liability XXX XXX XXX33. Reinsurance - Nonproportional Assumed Financial Lines XXX XXX XXX34. Aggregate write-ins for other lines of business 0 0 0

35. Totals 1,796,325,585 5,388,508,228 5,201,895,488


3401.

3402.

3403.

3498. Summary of remaining write-ins for Line 34 from overflow page 0 0 0 3499. Totals (Lines 3401 through 3403 plus 3498)(Line 34 above) 0 0 0

13


PART 3 (000 omitted)LOSS AND LOSS ADJUSTMENT EXPENSE RESERVES SCHEDULE

Years in WhichLosses

Occurred

1

Prior Year-EndKnown Case Lossand LAE Reserves

2

Prior Year-End IBNR

Loss and LAEReserves

3

Total PriorYear-End Loss

and LAEReserves

(Cols. 1+2)

4

2020 Loss andLAE Payments onClaims Reported

as of PriorYear-End

5

2020 Loss andLAE Payments on

ClaimsUnreportedas of PriorYear-End

6

Total 2020 Lossand LAE

Payments(Cols. 4+5)

7

Q.S. Date KnownCase Loss and

LAE Reserves onClaims Reportedand Open as ofPrior Year End

8

Q.S. Date KnownCase Loss and

LAE Reserves onClaims Reported

or ReopenedSubsequent toPrior Year End

9

Q.S. Date IBNRLoss and LAE

Reserves

10

Total Q.S. Lossand LAEReserves

(Cols.7+8+9)

11Prior Year-End

Known Case Lossand LAE Reserves

Developed(Savings)/Deficiency(Cols.4+7

minus Col. 1)

12Prior Year-EndIBNR Loss andLAE Reserves

Developed(Savings)/Deficiency

(Cols. 5+8+9minus Col. 2)

13

Prior Year-EndTotal Loss andLAE Reserve

Developed(Savings)/Deficiency

(Cols. 11+12)

1. 2017 + Prior 6,252,258 4,118,066 10,370,324 1,602,481 32,716 1,635,197 5,243,567 107,051 3,428,747 8,779,365 593,791 (549,552) 44,238

2. 2018 1,300,085 1,338,577 2,638,662 563,889 38,114 602,003 1,031,193 69,700 905,178 2,006,070 294,997 (325,585) (30,588)

3. Subtotals 2018 + Prior 7,552,343 5,456,643 13,008,985 2,166,370 70,830 2,237,200 6,274,760 176,750 4,333,926 10,785,436 888,787 (875,137) 13,650

4. 2019 1,296,450 2,672,596 3,969,046 753,702 88,764 842,466 1,233,873 145,315 1,789,383 3,168,570 691,125 (649,135) 41,991

5. Subtotals 2019 + Prior 8,848,792 8,129,239 16,978,031 2,920,072 159,594 3,079,666 7,508,633 322,065 6,123,308 13,954,006 1,579,913 (1,524,272) 55,641

6. 2020 XXX XXX XXX XXX 516,169 516,169 XXX 740,669 2,781,810 3,522,479 XXX XXX XXX

7. Totals 8,848,792 8,129,239 16,978,031 2,920,072 675,763 3,595,835 7,508,633 1,062,734 8,905,118 17,476,485 1,579,913 (1,524,272) 55,641

8. Prior Year-End SurplusAs RegardsPolicyholders 10,786,547

Col. 11, Line 7As % of Col. 1

Line 7


Line 7


Line 7

1. 17.9 2. (18.8) 3. 0.3

Col. 13, Line 7As a % of Col. 1

Line 8

4. 0.5

14


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 Supplement A to Schedule T (Medical Professional Liability Supplement) be filed with this statement? YES

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

4. Will the Director and Officer Insurance Coverage Supplement be filed with the state of domicile and the NAIC with this statement? YES

Explanations:

1. The data for this supplement is not required to be filed.

3. The data for this supplement is not required to be filed.

Bar Codes:

1. Trusteed Surplus Statement [Document Identifier 490]

*20443202049000003*3. Medicare Part D Coverage Supplement [Document Identifier 365]

*20443202036500003*

15


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. Deposit type contracts 1,027,589 0 1,027,589 1,169,654 2505. Prepaid expenses 84,458,772 84,458,772 0 0 2506. Estimated reserve for uncollectible receivables (306,101) 0 (306,101) (182,809)2597. Summary of remaining write-ins for Line 25 from overflow page 85,180,260 84,458,772 721,487 986,845

Additional Write-ins for Liabilities Line 25

1Current

Statement Date

2December 31,

Prior Year

2504. Other miscellaneous liabilities 18,351,985 16,326,598 2505. Deferred investment gain 5,164,333 5,164,333 2597. Summary of remaining write-ins for Line 25 from overflow page 23,516,318 21,490,931

Additional Write-ins for Statement of Income Line 14

1Current

Year to Date

2Prior Year

to Date

3Prior Year Ended

December 31

1404. Change in estimated reserve for uncollectible receivables (128,563) (25,367) (38,622)1405. Fines and penalties of regulatory authorities (120,749) (624,969) (663,179)1406. Funds held interest expense income (expense) (55) (1,955) (2,379)1497. Summary of remaining write-ins for Line 14 from overflow page (249,367) (652,291) (704,180)

16


SCHEDULE A - VERIFICATIONReal Estate

1

Year to Date

2Prior Year Ended

December 31

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

2. Cost of acquired:

2.1 Actual cost at time of acquisition

2.2 Additional investment made after acquisition

3. Current year change in encumbrances

4. Total gain (loss) on disposals

5. Deduct amounts received on disposals

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

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

8. Deduct current year’s depreciation

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

10. Deduct total nonadmitted amounts

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

SCHEDULE B - VERIFICATIONMortgage Loans

1

Year to Date

2Prior Year Ended

December 31

1. Book value/recorded investment excluding accrued interest, December 31 of prior year 960,018,145 804,012,401


2.1 Actual cost at time of acquisition 157,001,089 297,904,966

2.2 Additional investment made after acquisition 0 0

3. Capitalized deferred interest and other 0 0

4. Accrual of discount 157,694 341,110

5. Unrealized valuation increase (decrease) 0 0

6. Total gain (loss) on disposals 2 (1)

7. Deduct amounts received on disposals 40,278,878 142,338,255

8. Deduct amortization of premium and mortgage interest points and commitment fees (685,509) (97,924)

9. Total foreign exchange change in book value/recorded investment excluding accrued interest 0 0

10. Deduct current year’s other than temporary impairment recognized 2,273,504 0

11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 1,075,310,057 960,018,145

12. Total valuation allowance 0 0

13. Subtotal (Line 11 plus Line 12) 1,075,310,057 960,018,145

14. Deduct total nonadmitted amounts 0 0

15. Statement value at end of current period (Line 13 minus Line 14) 1,075,310,057 960,018,145

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 1,860,741,718 2,008,926,678


2.1 Actual cost at time of acquisition 47,467,654 158,422,152

2.2 Additional investment made after acquisition 99,870,154 122,467,682

3. Capitalized deferred interest and other 0 0


5. Unrealized valuation increase (decrease) (6,667,757) 70,241,596

6. Total gain (loss) on disposals (307,298) (823,073)

7. Deduct amounts received on disposals 296,030,364 462,138,740

8. Deduct amortization of premium and depreciation 101,478 114,386

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

10. Deduct current year’s other than temporary impairment recognized 28,143,448 36,255,310

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 1,676,840,113 1,860,741,718

12. Deduct total nonadmitted amounts 12,796,943 11,809,141

13. Statement value at end of current period (Line 11 minus Line 12) 1,664,043,170 1,848,932,577

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 36,504,652,589 36,398,919,591

2. Cost of bonds and stocks acquired 11,115,738,003 10,638,568,102

3. Accrual of discount 124,830,682 167,522,101

4. Unrealized valuation increase (decrease) 126,420,656 353,474,775

5. Total gain (loss) on disposals 69,046,730 24,944,774

6. Deduct consideration for bonds and stocks disposed of 10,302,784,826 10,994,853,932

7. Deduct amortization of premium 72,505,406 92,902,818

8. Total foreign exchange change in book/adjusted carrying value (20,723,440) 43,033,433

9. Deduct current year’s other than temporary impairment recognized 145,515,091 43,788,246

10. Total investment income recognized as a result of prepayment penalties and/or acceleration fees 13,415,621 9,734,808

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9+10) 37,412,575,518 36,504,652,589

12. Deduct total nonadmitted amounts 195,394,741 148,230,887

13. Statement value at end of current period (Line 11 minus Line 12) 37,217,180,777 36,356,421,702

NONE

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) 18,091,824,466 4,274,598,232 4,166,437,847 (24,298,837) 17,541,610,883 18,091,824,466 18,175,686,015 18,734,352,452

2. NAIC 2 (a) 11,866,690,230 568,779,267 318,891,417 (22,274,653) 11,614,599,367 11,866,690,230 12,094,303,427 11,682,981,537

3. NAIC 3 (a) 840,253,376 60,525,007 93,274,344 87,786,171 676,781,322 840,253,376 895,290,210 669,870,083

4. NAIC 4 (a) 569,676,145 380,688,273 322,261,801 (14,292,671) 664,973,101 569,676,145 613,809,946 688,913,746

5. NAIC 5 (a) 414,850,042 155,150,349 62,933,418 27,822,960 332,186,770 414,850,042 534,889,934 355,081,298

6. NAIC 6 (a) 52,130,304 5,920,707 38,803,249 5,914,522 21,034,484 52,130,304 25,162,285 27,643,953

7. Total Bonds 31,835,424,564 5,445,661,836 5,002,602,076 60,657,493 30,851,185,928 31,835,424,564 32,339,141,817 32,158,843,069

PREFERRED STOCK

8. NAIC 1 17,800,000 15,000,000 0 950,000 17,200,000 17,800,000 33,750,000 20,200,000

9. NAIC 2 316,261,983 0 0 14,365,444 294,105,654 316,261,983 330,627,428 320,638,903

10. NAIC 3 301,084,024 2,000,000 2,000,000 2,413,592 251,579,598 301,084,024 303,497,617 297,319,902

11. NAIC 4 36,162,110 0 0 600,648 20,256,462 36,162,110 36,762,758 41,080,640

12. NAIC 5 6,706,857 0 0 275,851 11,241,671 6,706,857 6,982,708 11,467,199

13. NAIC 6 2 0 0 (2) 2 2 0 2

14. Total Preferred Stock 678,014,977 17,000,000 2,000,000 18,605,533 594,383,387 678,014,977 711,620,510 690,706,646

15. Total Bonds and Preferred Stock 32,513,439,541 5,462,661,836 5,004,602,076 79,263,026 31,445,569,315 32,513,439,541 33,050,762,327 32,849,549,715

(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 $ 437,005,194 ; NAIC 2 $ 0 ; NAIC 3 $ 0 NAIC 4 $ 0 ; NAIC 5 $ 0 ; NAIC 6 $ 863,380

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 61,138,359 XXX 61,122,232 26,319 0

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 6,648,509 36,778,980

2. Cost of short-term investments acquired 161,191,915 44,873,264


4. Unrealized valuation increase (decrease) (1,116) 27,576

5. Total gain (loss) on disposals 368,359 64,709

6. Deduct consideration received on disposals 107,123,502 76,626,992

7. Deduct amortization of premium 0 0

8. Total foreign exchange change in book/adjusted carrying value (58,633) 943,794

9. Deduct current year’s other than temporary impairment recognized 96,305 0

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 61,138,359 6,648,509

11. Deduct total nonadmitted amounts 283,923 0

12. Statement value at end of current period (Line 10 minus Line 11) 60,854,436 6,648,509

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)

2. Cost Paid/(Consideration Received) on additions

3. Unrealized Valuation increase/(decrease)

4. SSAP No. 108 adjustments

5. Total gain (loss) on termination recognized

6. Considerations received/(paid) on terminations

7. Amortization

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

9. Total foreign exchange change in Book/Adjusted Carrying Value

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

11. Deduct nonadmitted assets

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

SCHEDULE DB - PART B - VERIFICATIONFutures Contracts

1. Book/Adjusted carrying value, December 31 of prior year (Line 6, prior year) 0

2. Cumulative cash change (Section 1, Broker Name/Net Cash Deposits Footnote - Cumulative Cash Change column) 0

3.1 Add:

Change in variation margin on open contracts - Highly Effective Hedges

3.11 Section 1, Column 15, current year to date minus 0

3.12 Section 1, Column 15, prior year 0 0

Change in variation margin on open contracts - All Other


3.14 Section 1, Column 18, prior year 0 0 0

3.2 Add:

Change in adjustment to basis of hedged item


3.22 Section 1, Column 17, prior year 0 0

Change in amount recognized


3.24 Section 1, Column 19, prior year 0

3.25 SSAP No. 108 adjustments 0 0 0

3.3 Subtotal (Line 3.1 minus Line 3.2) 0

4.1 Cumulative variation margin on terminated contracts during the year (1,339,540)

4.2 Less:

4.21 Amount used to adjust basis of hedged item 0

4.22 Amount recognized (1,339,540)

4.23 SSAP No. 108 adjustments 0 (1,339,540)

4.3 Subtotal (Line 4.1 minus Line 4.2) 0

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

5.1 Total gain (loss) recognized for terminations in prior year 0

5.2 Total gain (loss) adjusted into the hedged item(s) for terminations in prior year 0

6. Book/Adjusted carrying value at end of current period (Lines 1+2+3.3-4.3-5.1-5.2) 0

7. Deduct total nonadmitted amounts 0

8. Statement value at end of current period (Line 6 minus Line 7) 0

NONE

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

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

N O N E

SI05, SI06, 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 912,327,014 327,897,555

2. Cost of cash equivalents acquired 11,325,464,787 24,793,794,031

3. Accrual of discount 3,783,738 13,116,146

4. Unrealized valuation increase (decrease) 0 0

5. Total gain (loss) on disposals 17,568 (1,488)

6. Deduct consideration received on disposals 11,856,541,577 24,222,547,500

7. Deduct amortization of premium 0 0

8. Total foreign exchange change in book/adjusted carrying value 135,557 68,271

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

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 385,187,088 912,327,014

11. Deduct total nonadmitted amounts 0 284,702

12. Statement value at end of current period (Line 10 minus Line 11) 385,187,088 912,042,312

SI08


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

N O N E

Schedule A - Part 3 - Real Estate Disposed

N O N E

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

Actual Cost atTime of Acquisition

Additional Investment MadeAfter Acquisition

Value of Landand Buildings

ML2002003 San Antonio TX 08/21/2020 5.365 9,490,500 0 13,350,000

ML3001601 Cleveland OH 09/01/2020 6.000 17,638 0 1,566,190

ML3001602 Cleveland OH 09/01/2020 6.000 19,597 0 1,753,770

ML3001901 Las Vegas NV 08/01/2020 4.261 93,812 0 21,800,000

ML5001905 Miami FL 09/01/2020 6.451 245,863 0 21,200,000

ML5002001 Alexandria VA 08/14/2020 4.758 19,480,500 0 30,200,000

ML5002002 Tampa FL 08/07/2020 4.353 14,985,000 0 43,900,000

ML6001402 SIMI VALLEY CA 08/01/2020 4.625 203,863 0 50,000,000

ML6001601 Cleveland OH 09/01/2020 6.000 21,557 0 1,972,390

ML6001605 Homewood IL 08/01/2020 4.550 185,127 0 34,200,000

ML6001701 Coral Springs FL 08/01/2020 4.793 128,450 0 28,300,000

ML6001805 Columbia SC 07/01/2020 5.681 84,818 0 26,687,116

ML6001901 Altamonte Springs FL 07/01/2020 5.533 22,409 0 8,063,384

ML6001905 Pembroke Pines FL 07/01/2020 4.906 75,159 0 27,550,000

ML6001906 Houston TX 09/01/2020 4.532 83,187 0 11,300,000

ML6002002 New York NY 09/30/2020 4.540 19,992,350 0 27,000,000

0599999. Mortgages in good standing - Commercial mortgages-all other 65,129,830 0 348,842,850

ML4001901 Santee CA 09/01/2020 14.000 178,838 0 7,091,400

0699999. Mortgages in good standing - Mezzanine Loans 178,838 0 7,091,400

0899999. Total Mortgages in good standing 65,308,668 0 355,934,250

1699999. Total - Restructured Mortgages 0 0 0

2499999. Total - Mortgages with overdue interest over 90 days 0 0 0

3299999. Total - Mortgages in the process of foreclosure 0 0 0

3399999 - Totals 65,308,668 0 355,934,250

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

ML6001803 New York NY 06/28/2018 09/30/2020 11,247,459 0 2,541 0 0 2,541 0 11,250,000 11,250,000 0 0 0

ML6001912 New York NY 12/19/2019 09/30/2020 1,100,000 0 0 0 0 0 0 1,100,000 1,100,000 0 0 0

0199999. Mortgages closed by repayment 12,347,459 0 2,541 0 0 2,541 0 12,350,000 12,350,000 0 0 0

ML2001301 MCCLELLAN CA 08/28/2014 95,763 0 68 0 0 68 0 95,831 95,831 0 0 0

ML2001303 MINNETONKA MN 10/30/2013 18,878 0 9 0 0 9 0 18,887 18,887 0 0 0

ML2001304 LANHAM MD 12/23/2013 317,099 0 154 0 0 154 0 317,252 317,252 0 0 0

ML2001401 MANSFIELD OH 05/19/2014 8,000 0 2 0 0 2 0 8,002 8,001 0 (1) (1)

ML2001402 TOLEDO OH 05/19/2014 6,000 0 1 0 0 1 0 6,001 6,001 0 0 0

ML2001403 TOLEDO OH 05/19/2014 15,333 0 4 0 0 4 0 15,337 15,336 0 (1) (1)

ML2001404 MARSHFIELD MA 05/19/2014 14,000 0 3 0 0 3 0 14,003 14,002 0 (1) (1)

ML2001405 TAUNTON MA 05/19/2014 14,000 0 3 0 0 3 0 14,003 14,002 0 (1) (1)

ML2001501 CHARLOTTE NC 04/03/2015 11,951 0 7 0 0 7 0 11,958 11,958 0 0 0

ML2001502 CHARLOTTE NC 04/03/2015 25,645 0 15 0 0 15 0 25,660 25,659 0 (1) (1)

ML2001504 Poway CA 12/18/2015 50,278 0 34 0 0 34 0 50,312 50,312 0 0 0

ML2001602 McClellan CA 10/18/2016 43,953 0 31 0 0 31 0 43,983 43,983 0 0 0

ML2001702 High Point NC 10/24/2017 64,932 0 54 0 0 54 0 64,986 64,986 0 0 0

ML2001703 Oklahoma City OK 12/19/2017 207,516 0 (206) 0 0 (206) 0 207,309 207,309 0 0 0

ML2001704 Albuquerque NM 12/20/2017 29,601 0 (17) 0 0 (17) 0 29,583 29,583 0 0 0

ML2001902 Midland TX 06/28/2019 18,145 0 10 0 0 10 0 18,155 18,155 0 0 0

ML2001903 Midland TX 06/28/2019 39,194 0 21 0 0 21 0 39,214 39,214 0 0 0

ML2001904 Odessa TX 06/28/2019 12,520 0 7 0 0 7 0 12,527 12,527 0 0 0

E02


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

ML2001905 Cibolo TX 06/28/2019 9,980 0 5 0 0 5 0 9,985 9,985 0 0 0

ML2001906 Lutz FL 06/27/2019 28,383 0 12 0 0 12 0 28,395 28,395 0 0 0

ML3001501 RICHMOND VA 02/04/2015 115,900 0 61 0 0 61 0 115,961 115,961 0 0 0

ML3001502 Bloomfield Hills MI 12/01/2015 75,706 0 50 0 0 50 0 75,756 75,756 0 0 0

ML3001701 Melbourne FL 03/02/2017 22,073 0 (8) 0 0 (8) 0 22,065 22,065 0 0 0

ML3001901 Las Vegas NV 10/30/2019 16,159 0 12 0 0 12 0 16,171 16,171 0 0 0

ML4001401 RICHMOND VA 06/11/2014 31,451 0 17 0 0 17 0 31,468 31,468 0 0 0

ML4001402 CHARLOTTESVILLE VA 06/11/2014 37,487 0 20 0 0 20 0 37,507 37,507 0 0 0

ML4001701 Columbus OH 08/01/2017 79,982 0 80 0 0 80 0 80,061 80,061 0 0 0

ML5001302 WESTMINSTER MD 08/28/2014 64,168 0 48 0 0 48 0 64,216 64,216 0 0 0

ML5001401 WOODLAWN MD 06/16/2014 83,221 0 55 0 0 55 0 83,277 83,277 0 0 0

ML5001501 CHARLOTTE NC 04/03/2015 17,428 0 10 0 0 10 0 17,439 17,439 0 0 0

ML5001502 CHARLOTTE NC 04/03/2015 15,934 0 10 0 0 10 0 15,944 15,944 0 0 0

ML5001503 Columbus OH 07/02/2015 36,320 0 21 0 0 21 0 36,341 36,341 0 0 0

ML5001601 American Fork UT 01/05/2016 23,011 0 (44) 0 0 (44) 0 22,967 22,967 0 0 0

ML5001603 Glendale AZ 09/29/2016 50,726 0 38 0 0 38 0 50,764 50,764 0 0 0

ML5001604 Houston TX 10/06/2016 72,508 0 29 0 0 29 0 72,536 72,536 0 0 0

ML5001701 Murrieta CA 05/11/2017 127,421 0 102 0 0 102 0 127,523 127,523 0 0 0

ML5001703 College Park GA 09/01/2017 52,457 0 37 0 0 37 0 52,494 52,494 0 0 0

ML5001704 Towson MD 11/07/2017 126,688 0 148 0 0 148 0 126,836 126,836 0 0 0

ML5001705 Hunt Valley MD 11/07/2017 54,119 0 63 0 0 63 0 54,182 54,182 0 0 0

ML5001802 Phoenix AZ 03/05/2018 28,527 0 (9) 0 0 (9) 0 28,518 28,518 0 0 0

ML5001804 Oak Park MI 11/06/2018 41,577 0 (115) 0 0 (115) 0 41,462 41,462 0 0 0

ML5001805 Anchorage AK 12/11/2018 21,078 0 (40) 0 0 (40) 0 21,038 21,038 0 0 0

ML5001901 Owings Mills MD 01/15/2019 231,975 0 (357) 0 0 (357) 0 231,619 231,619 0 0 0

ML5001904 Chicago IL 05/23/2019 80,983 0 (17) 0 0 (17) 0 80,966 80,966 0 0 0

ML5001906 Alexandria VA 10/22/2019 25,977 0 (5) 0 0 (5) 0 25,973 25,973 0 0 0

ML5002002 Tampa FL 08/07/2020 0 0 18 0 0 18 0 17,878 17,878 0 0 0

ML6001302 PERRY HALL MD 03/08/2013 60,023 0 39 0 0 39 0 60,062 60,062 0 0 0

ML6001304 OAK LAWN IL 08/28/2014 (31,628) 0 0 0 0 0 0 (31,628) (31,628) 0 0 0

ML6001501 AURORA CO 05/01/2015 (42,484) 0 (26) 0 0 (26) 0 (42,510) (42,510) 0 0 0

ML6001502 SOUTH ELGIN IL 05/14/2015 98,924 0 73 0 0 73 0 98,997 98,997 0 0 0

ML6001503 OAK CREEK WI 05/14/2015 101,214 0 70 0 0 70 0 101,284 101,284 0 0 0

ML6001506 Bakersfield CA 10/01/2015 29,190 0 19 0 0 19 0 29,209 29,209 0 0 0

ML6001507 Atlanta GA 12/30/2015 36,779 0 14 0 0 14 0 36,793 36,793 0 0 0

ML6001603 Arvada CO 03/29/2016 30,149 0 21 0 0 21 0 30,170 30,170 0 0 0

ML6001605 Homewood IL 02/27/2020 26,842 0 28 0 0 28 0 27,999 27,999 0 0 0

ML6001701 Coral Springs FL 03/03/2017 19,893 0 0 0 0 0 0 19,892 19,892 0 0 0

ML6001702 Norcross GA 04/06/2017 29,959 0 21 0 0 21 0 29,980 29,980 0 0 0

ML6001703 Philadelphia PA 05/03/2017 31,003 0 (16) 0 0 (16) 0 30,987 30,987 0 0 0

ML6001705 Tequesta FL 07/27/2017 15,674 0 8 0 0 8 0 15,682 15,682 0 0 0

ML6001709 Delray Beach FL 12/12/2017 18,411 0 (18) 0 0 (18) 0 18,392 18,392 0 0 0

ML6001802 Orem UT 05/01/2018 50,390 0 (52) 0 0 (52) 0 50,338 50,338 0 0 0

ML6001804 Raleigh NC 06/29/2018 45,422 0 (49) 0 0 (49) 0 45,373 45,373 0 0 0

ML6001805 Columbia SC 09/24/2018 256,052 0 (22) 0 0 (22) 0 256,030 256,030 0 0 0

ML6001901 Altamonte Springs FL 01/24/2019 22,556 0 (4) 0 0 (4) 0 22,552 22,552 0 0 0

ML6001905 Pembroke Pines FL 07/26/2019 58,299 0 10 0 0 10 0 58,309 58,309 0 0 0

ML6001908 Concord NC 12/04/2019 42,802 0 (27) 0 0 (27) 0 42,776 42,776 0 0 0

0299999. Mortgages with partial repayments 3,463,511 0 528 0 0 528 0 3,483,028 3,483,025 0 (3) (3)

0599999 - Totals 15,810,969 0 3,070 0 0 3,070 0 15,833,028 15,833,025 0 (3) (3)

E02.1


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

andAdmini-strative Symbo

Date OriginallyAcquired

Typeand

Strategy

Actual Costat Time of Acquisition

Additional Investment Made After Acquisition

Amount ofEncumbrances

Commitmentfor

AdditionalInvestment

Percentage of Ownership

000000-00-0 Energy Impact Fund LP New York NY Energy Impact Fund LP 08/07/2017 0 661,122 0 3,836,075 3.197

000000-00-0 Blue Ocean Income Fund LP New York NY EnTrust Partners LLC 09/25/2018 0 1,049,310 0 970,183 9.808

000000-00-0 GoldenTree Distressed Fund III New York NY GoldenTree Distressed Fund III 11/02/2018 0 1,800,000 0 2,430,000 3.830

000000-00-0 KKR Real Estate Credit Opportunities Fund II LP New York NY KKR Associates RECOP II 04/20/2020 0 2,751,267 0 31,849,049 20.940

000000-00-0 Blue Ocean Income Fund II New York NY Blue Ocean GP LLC 09/22/2020 14,375 0 0 485,625 10.000

000000-00-0 Carlyle Credit Opportunities Fund New York NY CCOF General Partner 07/26/2019 0 557,474 0 0 2.110

1799999. Joint Venture Interests - Fixed Income - NAIC Designation Not Assigned by the SVO - Unaffiliated 14,375 6,819,173 0 39,570,932 XXX000000-00-0 STAR AMERICA INFRASTRUCTURE FUND New York NY STAR AMERICA FUND GP LLC 11/24/2014 0 476,390 0 2,248,297 3.554

000000-00-0 CLARITY CHINA PARTNERS Beverly Hills CA RADAR REINFRANK GEN PAR II, LLC 05/23/2007 0 63,013 0 177,964 5.682

000000-00-0 CHECKERS CONTROL PARTNERSHIP New York NY Broad Street Control Advisors 08/21/2015 3 0 158,000 0 0 7.617

000000-00-0 FIMI OPPORTUNITY FUND 6 Tel Aviv DE FIMI Opportunity Fund IV L.P. 07/22/2016 3 0 509,091 0 6,490,909 2.720

000000-00-0 Vista Equity Partners Fund VI Grand Cayman CYM Vista Equity Partners Fund VI GP 05/02/2017 0 156,819 0 3,738,982 0.291

000000-00-0 Mtech Capital Fund LP Santa Monica CA Mtech Capital GP LLC 07/02/2018 0 396,868 0 16,138,760 27.000

000000-00-0 LS Power Fund IV Feeder 1 Wilmington DE LS Power Fund IV Feeder 1 11/27/2018 3 0 612,374 0 24,998,192 2.820

000000-00-0 KKR Global Infrastructure Investors III L.P. New York NY KKR Global Infrastructure Investors III 12/03/2018 0 3,051,980 0 37,490,656 1.104

000000-00-0 Blackstone Tactical Opportunities Fund III L.P. New York NY Blackstone Tactical Opportunities Associates III L.L.C. 02/08/2019 0 1,478,086 0 37,003,540 1.470

000000-00-0 Vista Equity Partners Fund VII, L.P. San Francisco CA Vista Equity Partners Fund VII GP, L.P. 02/13/2019 0 2,574,517 0 16,279,082 0.337

000000-00-0 GenNx360 Capital Partners III New York NY GenNx360 GP III, LP 06/07/2019 0 2,465,232 0 13,243,449 9.189

000000-00-0 Champlain Capital Partners III, L.P. San Francisco CA Champlain Capital Investors III, LLC 12/18/2019 3 0 743,100 0 8,038,622 10.550

000000-00-0 Trident Partners VIII Greenwich CT Trident Capital VIII, L.P. 04/08/2020 0 4,450,458 0 41,963,854 1.205

000000-00-0 KKR Next Generation Tech Fund II New York NY KKR Associates NGT II 04/15/2020 0 6,640,214 0 28,035,123 1.915

000000-00-0 JLL Partners Fund VIII New York NY JLL Associates VIII L.P. 06/05/2020 0 2,684,362 0 25,823,089 3.731

000000-00-0 STAR AMERICA INFRASTRUCTURE FUND II New York NY Star America Fund II GP LLC 06/23/2020 0 1,080,944 0 18,485,049 10.303

000000-00-0 L Catterton IX Greenwich CT L Catterton Managing Partner IX, L.P. 07/15/2020 3,270,153 488,841 0 26,251,982 0.870

000000-00-0 Rubicon Tech Partners III Grand Cayman CYM Rubicon Tech Partners III GP L.L.C. 07/15/2020 3,392,990 0 0 26,607,010 0.000

1999999. Joint Venture Interests - Common Stock - Unaffiliated 6,663,143 28,030,290 0 333,014,560 XXX000000-00-0 KKR REAL ESTATE PARTNERS AMERICAS New York NY KKR Associates REPA LP 08/12/2013 0 40,706 0 7,236,132 4.781

000000-00-0 KKR REAL ESTATE PARTNERS AMERICAS IILP New York NY KKR Associates REPA II LP 02/09/2018 0 1,335,029 0 8,187,988 1.286

2199999. Joint Venture Interests - Real Estate - Unaffiliated 0 1,375,735 0 15,424,120 XXX000000-00-0 Old Dobbin LLC Chicago IL Old Dobbin LLC 09/30/2020 11,071,000 0 0 0 90.000

4799999. Any Other Class of Assets - Affiliated 11,071,000 0 0 0 XXX

4899999. Total - Unaffiliated 6,677,518 36,225,198 0 388,009,612 XXX

4999999. Total - Affiliated 11,071,000 0 0 0 XXX

5099999 - Totals 17,748,518 36,225,198 0 388,009,612 XXX

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

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


3

City

4

State

Name of Purchaser orNature of Disposal

DateOriginally Acquired

DisposalDate

Book/Adjusted Carrying

ValueLess

Encum-brances,

PriorYear

9

Unrealized Valuation Increase

(De-crease)

10

Current Year’s (Depre-

ciation) or (Amorti-zation)/

Accretion

11Current Year’s Other Than

Temporary Impair-ment

Recog-nized

12

Capital-ized

Deferred Interest

andOther

13

Total Change in

Book/ Adjusted Carrying

Value (9+10-11+12)

14

Total Foreign

Exchange Change in


Value


ValueLess

Encum-brances

on Disposal

Consid-eration

Foreign Exchange

Gain (Loss)

on Disposal

Realized Gain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

Invest-ment

Income

000000-00-0 CERBERUS INSTITUTIONAL PTNRS V New York NY

Cerberus Institutional Associates II, L.

08/10/2012 07/10/2020 24,855,760 0 0 0 0 0 0 2,101,707 2,101,707 0 0 0 0

000000-00-0 CERBERUS LEVERED LOAN OPPS FUND II New York NY

Cerberus Levered Opportunities II GP, LL

11/09/2012 08/13/2020 26,405,353 0 0 0 0 0 0 3,149,864 3,149,864 0 0 0 0

E03


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

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


3

City

4

State

Name of Purchaser orNature of Disposal

DateOriginally Acquired

DisposalDate


ValueLess

Encum-brances,

PriorYear

9

Unrealized Valuation Increase

(De-crease)

10

Current Year’s (Depre-

ciation) or (Amorti-zation)/

Accretion

11Current Year’s Other Than

Temporary Impair-ment

Recog-nized

12

Capital-ized

Deferred Interest

andOther

13

Total Change in

Book/ Adjusted Carrying

Value (9+10-11+12)

14

Total Foreign

Exchange Change in


Value


ValueLess

Encum-brances

on Disposal

Consid-eration

Foreign Exchange

Gain (Loss)

on Disposal

Realized Gain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

Invest-ment

Income000000-00-0 GOLDENTREE DISTRESSED FUND 2014 New York NY GOLDENTREE DISTRESSED FUND 2014 GP LLC 07/25/2014 08/13/2020 20,205,142 0 0 0 0 0 0 647,631 647,631 0 0 0 0

000000-00-0 MEDLEY OPPORTUNITY FUND II New York NY MOF II GP LLC 08/23/2011 09/29/2020 10,348,531 0 0 0 0 0 0 619,597 619,597 0 0 0 0

000000-00-0 KKR Lending Partners III New York NY KKR Associates Lending III LP 04/27/2017 09/21/2020 8,871,630 0 0 0 0 0 0 699,873 699,873 0 0 0 368,380

000000-00-0 Blue Ocean Onshore Fund LP New York NY EnTrust Partners LLC 06/23/2017 07/31/2020 5,222,619 0 0 0 0 0 0 129,595 129,595 0 0 0 49,450

000000-00-0 CERBERUS PNC SENIOR LOAN FUND New York NY Cerberus PSL GP, LLC 03/27/2015 08/07/2020 31,142,671 0 0 0 0 0 0 0 0 0 0 0 1,043,420

000000-00-0 Blue Ocean Income Fund LP New York NY EnTrust Partners LLC 09/25/2018 08/03/2020 9,215,690 0 0 0 0 0 0 117,634 117,634 0 0 0 0

1799999. Joint Venture Interests - Fixed Income - NAIC Designation Not Assigned by the SVO - Unaffiliated 136,267,393 0 0 0 0 0 0 7,465,902 7,465,902 0 0 0 1,461,249

000000-00-0 FALCON EDGE GLOBAL FUND CAYMAN ISLANDS FRO Adjustment 07/02/2012 07/01/2020 12,108,611 0 0 0 0 0 0 (754,318) (754,318) 0 0 0 0

000000-00-0 INDUS JAPAN FUND New York NY INDUS PARTNERS, LLC 06/01/2010 09/30/2020 83,148,207 0 0 0 0 0 0 6,370,557 6,370,557 0 0 0 23,629,443

000000-00-0 JAM PARTNERS New York NY JAM Managers LLC 12/01/2007 09/30/2020 49,422,960 (16,390,287) 0 0 0 (16,390,287) 0 25,000,000 25,000,000 0 0 0 17,542,961

000000-00-0 JAM SPECIAL OPPORTUNITIES FUND III New York NY JAM Managers LLC 04/01/2013 08/19/2020 21,457,194 0 0 0 0 0 0 849,604 849,604 0 0 0 0

000000-00-0 LS POWER EQUITY PARTNERS II East Brunswick NJ LS POWER PARTNERS II, LP 02/02/2007 07/21/2020 517,177 0 0 0 0 0 0 93,694 93,694 0 0 0 0

000000-00-0 NB SECONDARY OPPS FUND III New York NY

NB Secondary Opportunities Associates II

04/05/2013 09/28/2020 17,414,160 0 0 0 0 0 0 1,276,252 1,276,252 0 0 0 0

000000-00-0 PERRY PARTNERS New York NY

Perry Investment Associates LLC together

with Perry Corp 06/01/2013 07/20/2020 377,269 0 0 0 0 0 0 20,362 20,362 0 0 0 0

000000-00-0 TWO CREEKS CAPITAL PTNRS New York NY TWO CREEKS ADVISORS LLC 07/31/2014 09/30/2020 42,216,873 0 0 0 0 0 0 10,909,188 10,909,188 0 0 0 637,646

000000-00-0 CLARITY PARTNERS Beverly Hills CA RADAR REINFRANK GEN PAR II, LLC 12/06/2000 08/17/2020 1,499,869 0 0 0 0 0 0 52,563 52,563 0 0 0 0

000000-00-0 MISTRAL EQUITY PARTNERS New York NY Mistral Equity GP, LLC 10/05/2007 07/08/2020 4,835,446 0 0 0 0 0 0 651,166 651,166 0 0 0 0

000000-00-0 NB STRATEGIC CO-INVESTMENT PTNRS III New York NY NB Alternatives Advisers LLC 01/28/2016 08/06/2020 39,175,720 0 0 0 0 0 0 301,329 301,329 0 0 0 2,966,690

000000-00-0 Tiger Eye Capital New York NY Tiger Eye General Partner LLC 04/02/2017 09/30/2020 4,940,326 (963,340) 0 0 0 (963,340) 0 3,657,363 3,657,363 0 (199,541) (199,541) 1,279,147

000000-00-0

KKR Global Infrastructure Investors III L.P.

New York NY

KKR Global Infrastructure Investors III

12/03/2018 08/27/2020 16,854,341 0 0 0 0 0 0 176,489 176,489 0 0 0 0

000000-00-0

Ares Senior Direct Lending Fund (Delaware),

L.P. New York NY SDL Management, Ltd. 01/31/2019 08/14/2020 8,492,934 0 0 0 0 0 0 362,639 362,639 0 0 0 0

000000-00-0

Blackstone Tactical Opportunities Fund III

L.P. New York NY

Blackstone Tactical Opportunities

Associates III L.L.C. 02/08/2019 08/21/2020 9,721,702 0 0 0 0 0 0 405,769 405,769 0 0 0 0

000000-00-0 Vista Equity Partners Fund VII, L.P. San Francisco CA

Vista Equity Partners Fund VII GP, L.P.

02/13/2019 08/26/2020 5,957,032 0 0 0 0 0 0 125,637 125,637 0 0 0 1,120

000000-00-0 STAR AMERICA INFRASTRUCTURE FUND II New York NY Star America Fund II GP LLC 06/23/2020 08/21/2020 0 0 0 0 0 0 0 33,584 33,584 0 0 0 0

000000-00-0 NB Secondary Opps Fund IV New York NY

NB Secondary Opportunities Associates IV

04/01/2017 09/30/2020 17,222,792 0 0 0 0 0 0 238,144 238,144 0 0 0 175,227

000000-00-0 TRIMARAN FUND 2 New York NY Trimaran Investments II, L.L.C. 06/28/2000 07/16/2020 1,913,396 0 0 0 0 0 0 89,193 89,193 0 0 0 0

000000-00-0 Blackstone Strategic Capital Holdings II New York NY The Blackstone Group, LP 04/29/2020 09/23/2020 0 0 0 0 0 0 0 0 0 0 0 0 218,872

000000-00-0 LINX PARTNERS III Atlanta GA Linx Partners III LLC 06/26/2013 09/14/2020 7,902,951 0 0 0 0 0 0 0 0 0 0 0 7,909

000000-00-0 TIGER RATAN CAPITAL FUND New York NY RATAN CAPITAL GROUP LLC 09/01/2014 08/13/2020 23,682,241 0 0 0 0 0 0 0 0 0 0 0 2,264

000000-00-0 Vista Equity Partners Fund VI Grand Cayman CYM Vista Equity Partners Fund VI GP 05/02/2017 09/04/2020 24,087,988 0 0 0 0 0 0 0 0 0 0 0 2,610,061

1999999. Joint Venture Interests - Common Stock - Unaffiliated 392,949,187 (17,353,626) 0 0 0 (17,353,626) 0 49,859,214 49,859,214 0 (199,541) (199,541) 49,071,341

000000-00-0 GTIS BRAZIL REAL ESTATE FUND New York NY GOLDENTREE INSITE PARTNERS 05/06/2008 09/10/2020 4,810,469 0 0 0 0 0 0 147,144 147,144 0 0 0 0

000000-00-0 GTIS US RESIDENTIAL STRATEGIES FUND-B New York NY

GTIS US Residential Strategies Fund GP L

07/18/2013 09/29/2020 15,121,546 0 0 0 0 0 0 514,520 514,520 0 0 0 0

000000-00-0 KKR REAL ESTATE PARTNERS AMERICAS IILP New York NY KKR Associates REPA II LP 02/09/2018 08/27/2020 11,375,812 0 0 0 0 0 0 499,625 499,625 0 0 0 0

2199999. Joint Venture Interests - Real Estate - Unaffiliated 31,307,827 0 0 0 0 0 0 1,161,289 1,161,289 0 0 0 0

4899999. Total - Unaffiliated 560,524,407 (17,353,626) 0 0 0 (17,353,626) 0 58,486,405 58,486,405 0 (199,541) (199,541) 50,532,590

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

5099999 - Totals 560,524,407 (17,353,626) 0 0 0 (17,353,626) 0 58,486,405 58,486,405 0 (199,541) (199,541) 50,532,590

E03.1


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

1

CUSIP Identification

2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9

Paid for Accrued Interest andDividends

10NAIC

Designation and

Admini-strative Symbol

912810-SL-3 UNITED STATES TREASURY 08/13/2020 Various 29,460,779 25,035,000 237,196 1

912810-SN-9 UNITED STATES TREASURY 09/29/2020 Various 30,735,472 31,960,000 120,655 1

912828-ZQ-6 UNITED STATES TREASURY 08/14/2020 Various 51,081,003 50,940,000 70,445 1

912828-ZV-5 UNITED STATES TREASURY 07/28/2020 Various 3,013,750 3,000,000 1,101 1

912828-ZX-1 UNITED STATES TREASURY 08/21/2020 JP MORGAN SECURITIES INC. 339,880 340,000 60 1

91282C-AD-3 UNITED STATES TREASURY 08/10/2020 BOFA SECURITIES INC. 1,994,688 2,000,000 224 1

91282C-AE-1 UNITED STATES TREASURY 09/29/2020 Various 52,235,234 52,500,000 24,329 1

91282C-AH-4 UNITED STATES TREASURY 09/23/2020 Various 5,516,367 5,500,000 1,740 1

91282C-AJ-0 UNITED STATES TREASURY 09/15/2020 Various 1,998,906 2,000,000 207 1

0599999. Subtotal - Bonds - U.S. Governments 176,376,079 173,275,000 455,958 XXX059626-AC-5 BANCO NACIONAL DE PANAMA C 08/04/2020 CREDIT SUISSE SECURITIES 999,120 1,000,000 0 2FE

085209-AG-9 BERMUDA, GOVERNMENT OF (GOVERNMENT) C 08/17/2020 HSBC SECURITIES INC. 1,997,700 2,000,000 0 1FE

085209-AH-7 BERMUDA, GOVERNMENT OF (GOVERNMENT) C 08/17/2020 HSBC SECURITIES INC. 997,190 1,000,000 0 1FE

29246B-AF-5 EMPRESAS PUBLICAS DE MEDELLIN ESP C 07/08/2020 SCOTIA CAPITAL (USA) INC. 1,979,040 2,000,000 0 2FE

1099999. Subtotal - Bonds - All Other Governments 5,973,050 6,000,000 0 XXX13063D-WA-2 CALIFORNIA ST 09/03/2020 MORGAN STANLEY & CO. LLC 5,250,150 5,000,000 0 1FE

13063D-WZ-7 CALIFORNIA ST 09/03/2020 MORGAN STANLEY & CO. LLC 24,658,750 25,000,000 0 1FE

1799999. Subtotal - Bonds - U.S. States, Territories and Possessions 29,908,900 30,000,000 0 XXX023051-YS-8 AMARILLO TEX INDPT SCH DIST 09/16/2020 HILLTOP SECURITIES INC 1,000,000 1,000,000 0 1FE

023051-YT-6 AMARILLO TEX INDPT SCH DIST 09/16/2020 HILLTOP SECURITIES INC 1,500,000 1,500,000 0 1FE

060096-CT-9 BANGOR ME 08/19/2020 RAYMOND JAMES & ASSOCIATES INC. 355,000 355,000 0 1FE

060096-CV-4 BANGOR ME 08/19/2020 RAYMOND JAMES & ASSOCIATES INC. 500,000 500,000 0 1FE

187270-J3-8 CLINT TEX INDPT SCH DIST 09/03/2020 RAYMOND JAMES & ASSOCIATES INC. 1,500,000 1,500,000 0 1FE

187270-J4-6 CLINT TEX INDPT SCH DIST 09/03/2020 RAYMOND JAMES & ASSOCIATES INC. 5,000,000 5,000,000 0 1FE

249002-HL-3 DENTON TEX INDPT SCH DIST 08/20/2020 FTN FINANCIAL SECURITIES CORP 2,097,201 1,900,000 0 1FE

249002-HM-1 DENTON TEX INDPT SCH DIST 08/20/2020 FTN FINANCIAL SECURITIES CORP 1,099,440 1,000,000 0 1FE

249002-HN-9 DENTON TEX INDPT SCH DIST 08/20/2020 FTN FINANCIAL SECURITIES CORP 981,020 1,000,000 0 1FE

262061-SH-8 DRIPPING SPRINGS TEX INDPT SCH DIST 09/02/2020 RAYMOND JAMES & ASSOCIATES INC. 1,000,000 1,000,000 0 1FE

262061-SJ-4 DRIPPING SPRINGS TEX INDPT SCH DIST 09/02/2020 RAYMOND JAMES & ASSOCIATES INC. 1,000,000 1,000,000 0 1FE

262061-ST-2 DRIPPING SPRINGS TEX INDPT SCH DIST 09/02/2020 RAYMOND JAMES & ASSOCIATES INC. 1,000,000 1,000,000 0 1FE

39356M-AA-7 GREEN VY RANCH EAST MET DIST NO 6 COLO 07/23/2020 D. A. DAVIDSON & CO 1,000,000 1,000,000 0 1Z

47248E-AB-8 JEFFERSON CTR MET DIST NO 1 COLO SPL REV 07/29/2020 D. A. DAVIDSON & CO 490,200 500,000 0 3FE

47248E-AC-6 JEFFERSON CTR MET DIST NO 1 COLO SPL REV 07/29/2020 D. A. DAVIDSON & CO 2,430,016 2,490,000 0 1Z

64966Q-MJ-6 NEW YORK N Y 08/28/2020 CITIGROUP GLOBAL MARKETS INC. 6,871,470 5,750,000 0 1FE

658170-GA-7 NORTH CANTON OHIO CITY SCH DIST 09/18/2020 HILLTOP SECURITIES INC 2,129,060 2,000,000 0 1FE

658170-GB-5 NORTH CANTON OHIO CITY SCH DIST 09/18/2020 HILLTOP SECURITIES INC 2,403,400 2,500,000 0 1FE

700890-AB-2 PARKDALE CMNTY AUTH COLO LTD TAX SUPPORT 07/30/2020 D. A. DAVIDSON & CO 1,000,000 1,000,000 0 1Z

743600-R5-9 PROSPER TEX INDPT SCH DIST 09/16/2020 FTN FINANCIAL SECURITIES CORP 1,000,000 1,000,000 0 1FE

743600-R6-7 PROSPER TEX INDPT SCH DIST 09/16/2020 FTN FINANCIAL SECURITIES CORP 1,000,000 1,000,000 0 1FE

81782Q-AB-2 SETTLERS CROSSING MET DIST NO 1 COLO 08/21/2020 D. A. DAVIDSON & CO 1,004,880 1,000,000 0 1Z

87638K-CF-7 TARRANT CNTY TEX COLLEGE DIST 07/07/2020 WELLS FARGO SECURITIES LLC 11,149,479 11,180,000 0 1FE

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 47,511,166 46,175,000 0 XXX011839-WV-5 ALASKA HOUSING FINANCE CORPORATION 09/02/2020 RAYMOND JAMES & ASSOCIATES INC. 3,125,000 3,125,000 0 1FE

011839-WX-1 ALASKA HOUSING FINANCE CORPORATION 09/02/2020 RAYMOND JAMES & ASSOCIATES INC. 1,500,000 1,500,000 0 1FE

011839-WZ-6 ALASKA HOUSING FINANCE CORPORATION 09/02/2020 RAYMOND JAMES & ASSOCIATES INC. 3,000,000 3,000,000 0 1FE

01F020-68-7 FNCL-2N-AUG-2020 - MBS 07/23/2020 MORGAN STANLEY & CO. LLC 102,902,344 100,000,000 66,667 1

01F020-69-5 FNCL-2N-SEP-2020 - MBS 08/05/2020 Various 310,207,031 300,000,000 216,666 1

01F030-69-4 FNCL-3N-SEP-2020 - MBS 08/21/2020 WELLS FARGO SECURITIES LLC 65,313,125 62,000,000 67,167 1

055022-AR-8 AZUSA CALIF PENSION OBLIG 09/18/2020 BOFA SECURITIES INC. 2,000,000 2,000,000 0 1FE

13049G-AA-8 CALIFORNIA MUN FIN AUTH FED LEASE REV 09/28/2020 OPPENHEIMER & CO. INC. 25,017,680 25,000,000 0 1FE

130658-QT-7 CALIFORNIA ST DEPT VET AFFAIRS HOME PUR 09/11/2020 RBC CAPITAL MARKETS 8,590,000 8,590,000 0 1FE

130658-QU-4 CALIFORNIA ST DEPT VET AFFAIRS HOME PUR 09/11/2020 RBC CAPITAL MARKETS 13,000,000 13,000,000 0 1FE

130658-QV-2 CALIFORNIA ST DEPT VET AFFAIRS HOME PUR 09/11/2020 RBC CAPITAL MARKETS 13,000,000 13,000,000 0 1FE

167593-P4-8 CHICAGO ILL O HARE INTL ARPT REV 09/25/2020 JEFFERIES LLC 3,424,650 3,000,000 0 1FE

235036-5H-9 DALLAS FORT WORTH TEX INTL ARPT REV 07/15/2020 SIEBERT CISNEROS SHANK & CO, LLC 1,323,300 1,000,000 0 1FE

235036-6W-5 DALLAS FORT WORTH TEX INTL ARPT REV 07/31/2020 MORGAN STANLEY & CO. LLC 3,105,000 3,105,000 0 1FE

235036-6X-3 DALLAS FORT WORTH TEX INTL ARPT REV 07/31/2020 MORGAN STANLEY & CO. LLC 6,990,000 6,990,000 0 1FE

235036-6Y-1 DALLAS FORT WORTH TEX INTL ARPT REV 07/31/2020 MORGAN STANLEY & CO. LLC 15,000,000 15,000,000 0 1FE

3133KY-T4-1 FH RB5071 - RMBS 08/04/2020 BREAN CAPITAL LLC 14,272,599 13,727,778 9,152 1

3133N3-WL-4 FH RE6051 - RMBS 07/01/0120 Bank of New York (NCMMBS) (457,824) (446,114) (403) 1

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 and


3133N3-WZ-3 FH RE6064 - RMBS 08/11/2020 BOFA SECURITIES INC. 50,885,166 49,591,147 35,816 1

3136A9-ZC-5 FNR 2012-123 Z - CMO/RMBS 09/01/2020 Direct 2,994 2,994 0 1

31418D-Q7-0 FN MA4077 - RMBS 07/01/0120 Various (508,135) (498,095) (360) 1

31418D-RF-1 FN MA4085 - RMBS 07/01/0120 Various (480,878) (468,668) (423) 1

31418D-RW-4 FN MA4100 - RMBS 07/23/2020 Various 120,757,005 117,257,940 78,200 1

31418D-SH-6 FN MA4119 - RMBS 08/19/2020 Various 201,540,709 195,399,114 135,566 1

31418D-TP-7 FN MA4157 - RMBS 09/04/2020 NOMURA SECURITIES INTERNATIONAL 50,656,250 50,000,000 27,083 1

31418D-TQ-5 FN MA4158 - RMBS 09/03/2020 Various 348,877,969 338,000,000 245,500 1

34074M-VK-4 FLORIDA HSG FIN CORP REV 09/23/2020 MORGAN STANLEY & CO. LLC 4,000,000 4,000,000 0 1FE

34074M-VL-2 FLORIDA HSG FIN CORP REV 09/23/2020 MORGAN STANLEY & CO. LLC 7,500,000 7,500,000 0 1FE

34074M-VM-0 FLORIDA HSG FIN CORP REV 09/23/2020 MORGAN STANLEY & CO. LLC 4,365,000 4,365,000 0 1FE

34074M-VN-8 FLORIDA HSG FIN CORP REV 09/23/2020 MORGAN STANLEY & CO. LLC 2,000,000 2,000,000 0 1FE

34490@-AF-1 SER 2020-XI-F TR CTF 08/20/2020 DIRECT (INV DECISION) 10,000,000 10,000,000 0 1Z

36005G-AZ-6 FULTON CNTY GA DEV AUTH HOSP REV 07/31/2020 BOFA SECURITIES INC. 1,142,660 1,000,000 0 1FE

414009-PS-3 HARRIS CNTY TEX CULTURAL ED FACS FIN COR 07/24/2020 JP MORGAN SECURITIES INC. 19,525,000 19,525,000 0 1FE

414009-PU-8 HARRIS CNTY TEX CULTURAL ED FACS FIN COR 07/24/2020 JP MORGAN SECURITIES INC. 4,500,000 4,500,000 0 1FE

418338-AB-5 HASTINGS CAMPUS HSG FIN AUTH CALIF CAMPU 08/28/2020 RAYMOND JAMES & ASSOCIATES INC. 2,007,540 2,000,000 0 1Z

442349-ET-9 HOUSTON TEX ARPT SYS REV 09/18/2020 MORGAN STANLEY & CO. LLC 2,000,000 2,000,000 0 1FE

442349-EU-6 HOUSTON TEX ARPT SYS REV 09/18/2020 MORGAN STANLEY & CO. LLC 2,000,000 2,000,000 0 1FE

506624-TU-9 LAFAYETTE PARISH LA SCH BRD SALES TAX RE 09/18/2020 RAYMOND JAMES & ASSOCIATES INC. 6,000,000 6,000,000 0 1FE

507686-RR-6 LAKE CENTRAL IND MULTI- DISTRICT SCH BLD 09/03/2020 RAYMOND JAMES & ASSOCIATES INC. 2,200,000 2,200,000 0 1FE

507686-RS-4 LAKE CENTRAL IND MULTI- DISTRICT SCH BLD 09/03/2020 RAYMOND JAMES & ASSOCIATES INC. 2,850,000 2,850,000 0 1FE

54466H-JL-1 LOS ANGELES CNTY CALIF MET TRANSN AUTH S 08/12/2020 WELLS FARGO SECURITIES LLC 10,926,320 8,000,000 0 1FE

54466H-JM-9 LOS ANGELES CNTY CALIF MET TRANSN AUTH S 08/12/2020 WELLS FARGO SECURITIES LLC 5,588,040 4,000,000 0 1FE

54466H-JU-1 LOS ANGELES CNTY CALIF MET TRANSN AUTH S 08/12/2020 WELLS FARGO SECURITIES LLC 8,320,800 6,000,000 0 1FE

56042R-YH-9 MAINE HEALTH & HIGHER EDL FACS AUTH REV 07/17/2020 MORGAN STANLEY & CO. LLC 1,142,400 1,000,000 0 1FE

56042R-YJ-5 MAINE HEALTH & HIGHER EDL FACS AUTH REV 07/17/2020 MORGAN STANLEY & CO. LLC 1,137,660 1,000,000 0 1FE

575831-FF-4 MASSACHUSETTS ST COLLEGE BLDG AUTH REV 09/01/2020 RAYMOND JAMES & ASSOCIATES INC. 2,134,140 2,000,000 19,581 1FE

575831-FG-2 MASSACHUSETTS ST COLLEGE BLDG AUTH REV 09/01/2020 RAYMOND JAMES & ASSOCIATES INC. 2,306,318 2,160,000 21,513 1FE

57587A-8C-5 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/03/2020 RBC CAPITAL MARKETS 2,700,000 2,700,000 0 1FE

57587A-8D-3 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/03/2020 RBC CAPITAL MARKETS 2,150,000 2,150,000 0 1FE

57587G-AZ-8 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/04/2020 BOFA SECURITIES INC. 285,000 285,000 0 1FE

57587G-BA-2 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/04/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 1FE

57587G-BB-0 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/04/2020 BOFA SECURITIES INC. 1,100,000 1,100,000 0 1FE

57587G-BC-8 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/04/2020 BOFA SECURITIES INC. 1,910,000 1,910,000 0 1FE

57587G-BD-6 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/04/2020 BOFA SECURITIES INC. 2,515,000 2,515,000 0 1FE

57587G-BE-4 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/04/2020 BOFA SECURITIES INC. 3,205,000 3,205,000 0 1FE

57587G-BF-1 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/04/2020 BOFA SECURITIES INC. 505,000 505,000 0 1FE

584283-HA-6 MEDFORD ORE HOSP FACS AUTH REV 07/08/2020 JP MORGAN SECURITIES INC. 1,240,360 1,000,000 0 1FE

584283-HE-8 MEDFORD ORE HOSP FACS AUTH REV 07/08/2020 JP MORGAN SECURITIES INC. 1,235,300 1,000,000 0 1FE

59261A-H5-9 METROPOLITAN TRANSN AUTH N Y REV 09/15/2020 JP MORGAN SECURITIES INC. 4,671,000 5,000,000 0 1FE

60416T-BG-2 MINNESOTA ST HSG FIN AGY 09/16/2020 RBC CAPITAL MARKETS 3,750,000 3,750,000 0 1FE

60416T-BH-0 MINNESOTA ST HSG FIN AGY 09/16/2020 RBC CAPITAL MARKETS 3,000,000 3,000,000 0 1FE

60535Q-WG-1 MISSISSIPPI HOME CORP SINGLE FAMILY MTG 07/28/2020 RAYMOND JAMES & ASSOCIATES INC. 2,250,000 2,250,000 0 1FE

61075T-UV-8 MONROE CNTY N Y INDL DEV CORP REV 07/24/2020 MORGAN STANLEY & CO. LLC 3,484,020 3,000,000 0 1FE

647201-LQ-3 NEW MEXICO MTG FIN AUTH 09/25/2020 RBC CAPITAL MARKETS 2,000,000 2,000,000 0 1FE

647201-LR-1 NEW MEXICO MTG FIN AUTH 09/25/2020 RBC CAPITAL MARKETS 2,250,000 2,250,000 0 1FE

647201-LS-9 NEW MEXICO MTG FIN AUTH 09/25/2020 RBC CAPITAL MARKETS 1,700,000 1,700,000 0 1FE

64971P-KD-6 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,038,250 1,000,000 0 1FE

64971P-KE-4 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 974,920 1,000,000 0 1FE

64971P-KF-1 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,031,170 1,000,000 0 1FE

64971P-KG-9 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,027,650 1,000,000 0 1FE

64971P-KH-7 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,025,020 1,000,000 0 1FE

64971P-KJ-3 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,131,780 1,000,000 0 1FE

64971P-KK-0 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,512,795 1,500,000 0 1FE

64971P-KL-8 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,109,520 1,000,000 0 1FE

64971P-KM-6 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020 GOLDMAN SACHS & CO. INC. 1,471,770 1,500,000 0 1FE

64972G-XM-1 NEW YORK N Y CITY MUN WTR FIN AUTH WTR & 09/25/2020 RAYMOND JAMES & ASSOCIATES INC. 10,003,845 9,500,000 0 1FE

64988Y-FL-6 NEW YORK ST MTG AGY HOMEOWNER MTG REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 3,000,000 3,000,000 0 1FE

64988Y-FM-4 NEW YORK ST MTG AGY HOMEOWNER MTG REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 5,280,000 5,280,000 0 1FE

64988Y-FN-2 NEW YORK ST MTG AGY HOMEOWNER MTG REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 6,645,000 6,645,000 0 1FE

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 and


64988Y-GL-5 NEW YORK ST MTG AGY HOMEOWNER MTG REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 1,820,000 1,820,000 0 1FE

64988Y-GM-3 NEW YORK ST MTG AGY HOMEOWNER MTG REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 1,610,000 1,610,000 0 1FE

64988Y-GZ-4 NEW YORK ST MTG AGY HOMEOWNER MTG REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 2,000,000 2,000,000 0 1FE

64988Y-HM-2 NEW YORK ST MTG AGY HOMEOWNER MTG REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 1,000,000 1,000,000 0 1FE

650116-CX-2 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 1,493,805 1,500,000 0 3FE

650116-CY-0 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 2,113,420 2,000,000 0 3FE

650116-CZ-7 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 2,088,460 2,000,000 0 3FE

650116-DA-1 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020 CITIGROUP GLOBAL MARKETS INC. 1,947,900 2,000,000 0 3FE

667339-AA-3 NORTHWEST BANCSHARES INC 09/02/2020 PIPER JAFFRAY 7,500,000 7,500,000 0 2FE

67756Q-G4-3 OHIO ST HSG FIN AGY RESIDENTIAL MTG REV 09/02/2020 JP MORGAN SECURITIES INC. 500,000 500,000 0 1FE

67756Q-G5-0 OHIO ST HSG FIN AGY RESIDENTIAL MTG REV 09/02/2020 JP MORGAN SECURITIES INC. 1,600,000 1,600,000 0 1FE

67756Q-G6-8 OHIO ST HSG FIN AGY RESIDENTIAL MTG REV 09/02/2020 JP MORGAN SECURITIES INC. 3,000,000 3,000,000 0 1FE

67920Q-XL-7 OKLAHOMA ST WTR RES BRD ST LN PROGRAM RE 09/11/2020 BOK FINANCIAL SECURITIES INC 1,000,000 1,000,000 0 1FE

67920Q-XR-4 OKLAHOMA ST WTR RES BRD ST LN PROGRAM RE 09/11/2020 BOK FINANCIAL SECURITIES INC 1,000,000 1,000,000 0 1FE

70879Q-KB-8 PENNSYLVANIA HSG FIN AGY SINGLE FAMILY M 09/03/2020 RBC CAPITAL MARKETS 2,000,000 2,000,000 0 1FE

70879Q-KC-6 PENNSYLVANIA HSG FIN AGY SINGLE FAMILY M 09/03/2020 RBC CAPITAL MARKETS 8,500,000 8,500,000 0 1FE

70879Q-KD-4 PENNSYLVANIA HSG FIN AGY SINGLE FAMILY M 09/03/2020 RBC CAPITAL MARKETS 10,000,000 10,000,000 0 1FE

717893-Q4-6 PHILADELPHIA PA WTR & WASTEWTR REV 07/23/2020 CITIGROUP GLOBAL MARKETS INC. 643,550 500,000 0 1FE

717893-Q5-3 PHILADELPHIA PA WTR & WASTEWTR REV 07/23/2020 CITIGROUP GLOBAL MARKETS INC. 640,870 500,000 0 1FE

73358W-5M-2 PORT AUTH N Y & N J 07/17/2020 SAMUEL A . RAMIREZ & CO. INC. 1,742,205 1,500,000 0 1FE

73358W-5N-0 PORT AUTH N Y & N J 07/17/2020 SAMUEL A . RAMIREZ & CO. INC. 2,174,119 1,875,000 0 1FE

73358W-5S-9 PORT AUTH N Y & N J 07/17/2020 SAMUEL A . RAMIREZ & CO. INC. 1,134,600 1,000,000 0 1FE

73358W-5T-7 PORT AUTH N Y & N J 07/17/2020 SAMUEL A . RAMIREZ & CO. INC. 1,127,050 1,000,000 0 1FE

73358W-5U-4 PORT AUTH N Y & N J 07/17/2020 SAMUEL A . RAMIREZ & CO. INC. 1,676,550 1,500,000 0 1FE

73358W-5V-2 PORT AUTH N Y & N J 07/17/2020 SAMUEL A . RAMIREZ & CO. INC. 2,216,880 2,000,000 0 1FE

762323-AX-1 RHODE IS ST STUDENT LN AUTH ED LN REV 07/16/2020 RAYMOND JAMES & ASSOCIATES INC. 5,132,800 5,120,000 21,854 1FE

76827W-AN-0 RIVER IS PUB FING AUTH CALIF LATHROP IRR 08/28/2020 HILLTOP SECURITIES INC 768,481 665,000 0 1FE

76827W-AP-5 RIVER IS PUB FING AUTH CALIF LATHROP IRR 08/28/2020 HILLTOP SECURITIES INC 779,777 685,000 0 1FE

76827W-AQ-3 RIVER IS PUB FING AUTH CALIF LATHROP IRR 08/28/2020 HILLTOP SECURITIES INC 1,133,620 1,000,000 0 1FE

83712D-N8-5 SOUTH CAROLINA ST HSG FIN & DEV AUTH MTG 09/24/2020 CITIGROUP GLOBAL MARKETS INC. 5,000,000 5,000,000 0 1FE

83712D-N9-3 SOUTH CAROLINA ST HSG FIN & DEV AUTH MTG 09/24/2020 CITIGROUP GLOBAL MARKETS INC. 10,000,000 10,000,000 0 1FE

880461-2C-1 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 07/07/2020 RBC CAPITAL MARKETS 1,822,103 1,820,000 0 1FE

880461-2D-9 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 07/01/2020 RBC CAPITAL MARKETS 1,255,000 1,255,000 0 1FE

880461-2E-7 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 07/01/2020 RBC CAPITAL MARKETS 1,295,000 1,295,000 0 1FE

880461-3G-1 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 09/30/2020 CITIGROUP GLOBAL MARKETS INC. 6,000,000 6,000,000 0 1FE

880461-3H-9 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 09/30/2020 CITIGROUP GLOBAL MARKETS INC. 8,000,000 8,000,000 0 1FE

880461-3J-5 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 09/30/2020 CITIGROUP GLOBAL MARKETS INC. 10,000,000 10,000,000 0 1FE

880461-W8-7 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 07/01/2020 RBC CAPITAL MARKETS 750,000 750,000 0 1FE

880461-W9-5 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 07/01/2020 RBC CAPITAL MARKETS 2,000,000 2,000,000 0 1FE

880461-X2-9 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 07/01/2020 RBC CAPITAL MARKETS 1,000,000 1,000,000 0 1FE

91412H-GG-2 UNIVERSITY CALIF REVS 07/10/2020 JP MORGAN SECURITIES INC. 2,500,000 2,500,000 0 1FE

915217-XF-5 UNIVERSITY VA UNIV REVS 07/15/2020 GOLDMAN SACHS & CO. INC. 2,500,000 2,500,000 0 1FE

92812V-F4-3 VIRGINIA ST HSG DEV AUTH 07/09/2020 WELLS FARGO SECURITIES LLC 3,000,000 3,000,000 0 1FE




92812V-J5-6 VIRGINIA ST HSG DEV AUTH 09/25/2020 RAYMOND JAMES & ASSOCIATES INC. 600,000 600,000 0 1FE





92812V-K2-1 VIRGINIA ST HSG DEV AUTH 09/25/2020 RAYMOND JAMES & ASSOCIATES INC. 1,230,000 1,230,000 0 1FE



95236P-GH-7 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 1,000,000 1,000,000 0 1FE

95236P-GJ-3 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 1,000,000 1,000,000 0 1FE

95236P-GK-0 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 750,000 750,000 0 1FE

95236P-GL-8 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 6,500,000 6,500,000 0 1FE

95236P-GM-6 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 13,750,000 13,750,000 0 1FE

3199999. Subtotal - Bonds - U.S. Special Revenues 1,708,398,453 1,657,256,097 943,579 XXX00206R-KE-1 AT&T INC 07/27/2020 DEUTSCHE BANK SECURITIES INC. 1,998,840 2,000,000 0 2FE

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 and


00206R-KH-4 AT&T INC 07/27/2020 MORGAN STANLEY & CO. LLC 1,996,380 2,000,000 0 2FE

00507V-AP-4 ACTIVISION BLIZZARD INC 08/05/2020 BOFA SECURITIES INC. 996,140 1,000,000 0 2FE

00507V-AQ-2 ACTIVISION BLIZZARD INC 08/05/2020 BOFA SECURITIES INC. 1,994,500 2,000,000 0 2FE

00653V-AA-9 ADAPTHEALTH LLC 07/15/2020 JP MORGAN SECURITIES INC. 3,000,000 3,000,000 0 4FE

00751Y-AF-3 ADVANCE AUTO PARTS INC 09/22/2020 JP MORGAN SECURITIES INC. 996,720 1,000,000 0 2FE

00774M-AR-6 AERCAP IRELAND CAPITAL DAC C 09/23/2020 RBC CAPITAL MARKETS 1,965,940 2,000,000 0 2FE

008513-AA-1 AGREE LP 08/12/2020 WELLS FARGO SECURITIES LLC 999,270 1,000,000 0 2FE

00973R-AJ-2 AKER BP ASA C 09/23/2020 JP MORGAN SECURITIES INC. 14,905,650 15,000,000 0 2FE

015271-AV-1 ALEXANDRIA REAL ESTATE EQUITIES INC 07/29/2020 JP MORGAN SECURITIES INC. 1,996,240 2,000,000 0 2FE

02079K-AD-9 ALPHABET INC 08/03/2020 GOLDMAN SACHS & CO. INC. 1,994,520 2,000,000 0 1FE

02079K-AE-7 ALPHABET INC 08/03/2020 MORGAN STANLEY & CO. LLC 993,710 1,000,000 0 1FE

02079K-AF-4 ALPHABET INC 08/03/2020 MORGAN STANLEY & CO. LLC 1,983,100 2,000,000 0 1FE

02156L-AE-1 ALTICE FRANCE SA C 09/15/2020 GOLDMAN SACHS & CO. INC. 1,000,000 1,000,000 0 4FE

03027X-BG-4 AMERICAN TOWER CORP 09/23/2020 CITIGROUP GLOBAL MARKETS INC. 1,991,080 2,000,000 0 2FE

03444R-AB-4 ANDREW W MELLON FOUNDATION 07/22/2020 GOLDMAN SACHS & CO. INC. 1,000,000 1,000,000 0 1FE

037411-BH-7 APACHE CORP 08/03/2020 JP MORGAN SECURITIES INC. 1,000,000 1,000,000 0 3FE

037411-BJ-3 APACHE CORP 08/03/2020 JP MORGAN SECURITIES INC. 1,000,000 1,000,000 0 3FE

037833-DY-3 APPLE INC 08/13/2020 GOLDMAN SACHS & CO. INC. 1,995,140 2,000,000 0 1FE

037833-DZ-0 APPLE INC 08/13/2020 JP MORGAN SECURITIES INC. 1,994,480 2,000,000 0 1FE

037833-EA-4 APPLE INC 08/13/2020 JP MORGAN SECURITIES INC. 1,978,660 2,000,000 0 1FE

038413-AB-6 AQFIT 20A B - ABS 08/19/2020 KEYBANC CAPITAL MARKETS INC. 2,749,148 2,750,000 0 1FE

038779-AB-0 ARBYS 201 A2 - RMBS 07/23/2020 BARCLAYS CAPITAL 22,000,000 22,000,000 0 2FE

046353-AW-8 ASTRAZENECA PLC C 08/03/2020 BOFA SECURITIES INC. 1,994,240 2,000,000 0 2FE

046353-AX-6 ASTRAZENECA PLC C 08/03/2020 BOFA SECURITIES INC. 979,060 1,000,000 0 2FE

052528-AL-0 AUSTRALIA AND NEW ZEALAND BANKING GROUP C 07/22/2020 GOLDMAN SACHS & CO. INC. 10,307,400 10,000,000 1,639 2FE

053332-BA-9 AUTOZONE INC 08/04/2020 JP MORGAN SECURITIES INC. 996,960 1,000,000 0 2FE

053499-AL-3 AVAYA INC 09/11/2020 JP MORGAN SECURITIES INC. 10,000,000 10,000,000 0 4FE

05352T-AA-7 AVANTOR FUNDING INC 07/07/2020 GOLDMAN SACHS & CO. INC. 1,000,000 1,000,000 0 4FE

05369A-AH-4 AVIATION CAPITAL GROUP LLC 07/07/2020 JP MORGAN SECURITIES INC. 990,390 1,000,000 0 2FE

054970-AA-6 BFLD 2019-DPLO A - CMBS 07/14/2020 JP MORGAN SECURITIES INC. 1,645,120 1,696,000 60 1FM

05526D-BS-3 BAT CAPITAL CORP 09/22/2020 DEUTSCHE BANK SECURITIES INC. 2,000,000 2,000,000 0 2FE

05526D-BU-8 BAT CAPITAL CORP 09/22/2020 DEUTSCHE BANK SECURITIES INC. 2,000,000 2,000,000 0 2FE

05541T-AN-1 BGC PARTNERS INC 07/08/2020 GOLDMAN SACHS & CO. INC. 9,980,200 10,000,000 0 2FE

05723K-AF-7 BAKER HUGHES HOLDINGS LLC 07/01/2020 GOLDMAN SACHS & CO. INC. 4,213,480 4,000,000 9,520 1FE

05971P-AC-2 BANCO MERCANTIL DEL NORTE SA (CAYMAN ISL C 07/09/2020 GOLDMAN SACHS & CO. INC. 1,000,000 1,000,000 0 3FE

06051G-JF-7 BANK OF AMERICA CORP 07/20/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 1FE

06738E-BN-4 BARCLAYS PLC C 08/05/2020 BARCLAYS CAPITAL 1,000,000 1,000,000 0 3FE

06738E-BP-9 BARCLAYS PLC C 09/16/2020 BARCLAYS CAPITAL 1,000,000 1,000,000 0 2FE

07813Z-CF-9 BELL CANADA INC 08/11/2020 BMO Capital Markets 745,549 766,460 0 2FE

08162W-BE-5 BMARK 2020-B19 AS - CMBS 09/21/2020 CITIGROUP GLOBAL MARKETS INC. 4,119,686 4,000,000 6,921 1FE

08162W-BG-0 BMARK 2020-B19 B - CMBS 09/21/2020 CITIGROUP GLOBAL MARKETS INC. 1,544,894 1,500,000 2,841 1FE

08949L-AB-6 BIG RIVER STEEL LLC 09/09/2020 GOLDMAN SACHS & CO. INC. 1,500,000 1,500,000 0 5FE

09261B-AA-8 BLACKSTONE HOLDINGS FINANCE CO LLC 09/22/2020 BOFA SECURITIES INC. 1,996,340 2,000,000 0 1FE

09261B-AB-6 BLACKSTONE HOLDINGS FINANCE CO LLC 09/22/2020 BOFA SECURITIES INC. 994,560 1,000,000 0 1FE

093662-AH-7 BLOCK FINANCIAL LLC 08/04/2020 JP MORGAN SECURITIES INC. 996,870 1,000,000 0 2FE

09659T-2B-6 BNP PARIBAS SA C 08/05/2020 BNP PARIBAS SECURITIES CORP 5,000,000 5,000,000 0 2FE

09748R-AA-6 BOJA 201 A2 - ABS 09/29/2020 BARCLAYS CAPITAL 21,500,000 21,500,000 0 2FE

10373Q-BM-1 BP CAPITAL MARKETS AMERICA INC 08/05/2020 MIZUHO SECURITIES USA INC. 1,000,000 1,000,000 0 1FE

10373Q-BN-9 BP CAPITAL MARKETS AMERICA INC 08/05/2020 MIZUHO SECURITIES USA INC. 999,930 1,000,000 0 1FE

115236-AC-5 BROWN & BROWN INC 09/17/2020 JP MORGAN SECURITIES INC. 1,997,800 2,000,000 0 2FE

11575T-AC-2 BROWN UNIVERSITY 09/15/2020 BOFA SECURITIES INC. 1,101,440 1,000,000 1,706 1FE

12433U-AA-3 BX 2018-GW A - CMBS 07/14/2020 JP MORGAN SECURITIES INC. 4,806,250 5,000,000 137 1FM

12510H-AH-3 CAUTO 2020-1 B2 - ABS 09/01/2020 BARCLAYS CAPITAL 10,887,188 10,500,000 23,730 2FE

126307-BD-8 CSC HOLDINGS LLC 08/03/2020 JP MORGAN SECURITIES INC. 1,032,500 1,000,000 7,837 4FE

126307-BF-3 CSC HOLDINGS LLC 08/03/2020 JP MORGAN SECURITIES INC. 1,000,000 1,000,000 0 3FE

12649A-AC-3 CSMC 2014-USA A2 - CMBS 08/19/2020 WELLS FARGO SECURITIES LLC 5,012,500 5,000,000 10,981 1FM

126650-DN-7 CVS HEALTH CORP 08/12/2020 BARCLAYS CAPITAL 1,996,720 2,000,000 0 2FE

126650-DP-2 CVS HEALTH CORP 08/12/2020 BARCLAYS CAPITAL 1,999,080 2,000,000 0 2FE

12687G-AA-7 CABLEVISION LIGHTPATH CT LLC 09/15/2020 GOLDMAN SACHS & CO. INC. 1,750,000 1,750,000 0 4FE

12687G-AB-5 CABLEVISION LIGHTPATH CT LLC 09/15/2020 GOLDMAN SACHS & CO. INC. 1,000,000 1,000,000 0 5FE

12731*-AA-9 Marymount Manhattan College CTL - MBS 09/25/2020 MORTGAGE LOANS 45,000,000 45,000,000 0 2FE

E04.3



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Description

3

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4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation and


14307@-AA-7 CARLYLE CREDIT OPPORTUNITIES FUND NOTE I 08/28/2020 DIRECT (INV DECISION) 13,036,818 13,580,018 0 1FE

14307@-AB-5 CARLYLE CREDIT OPPORTUNITIES FUND NOTE I 08/28/2020 DIRECT (INV DECISION) 342,550 356,824 0 2FE

144285-AL-7 CARPENTER TECHNOLOGY CORP 07/10/2020 BOFA SECURITIES INC. 3,000,000 3,000,000 0 3FE

146869-AB-8 CARVANA CO 09/24/2020 Various 10,669,500 10,800,000 0 5FE

146869-AD-4 CARVANA CO 09/23/2020 JP MORGAN SECURITIES INC. 3,000,000 3,000,000 0 5FE

15080B-AE-6 CEDC FINANCE CORPORATION INTERNATIONAL I 07/24/2020 BCP SECURITIES 1,250,000 2,000,000 15,556 5GI

15135U-AS-8 CENOVUS ENERGY INC C 07/28/2020 BOFA SECURITIES INC. 2,000,000 2,000,000 0 3FE

15189Y-AF-3 CENTERPOINT ENERGY RESOURCES CORP 09/23/2020 JP MORGAN SECURITIES INC. 1,998,900 2,000,000 0 2FE

16165T-BN-2 CFLX 2005-2 5A5 - CMO/RMBS 09/01/2020 Direct 667 667 0 1FM

16411R-AJ-8 CHENIERE ENERGY INC 09/15/2020 CREDIT SUISSE SECURITIES 1,000,000 1,000,000 0 3FE

166756-AH-9 CHEVRON USA INC 08/10/2020 CITIGROUP GLOBAL MARKETS INC. 2,000,000 2,000,000 0 1FE

16876H-AB-5 CHILDREN'S HEALTH SYSTEM OF TEXAS 07/28/2020 GOLDMAN SACHS & CO. INC. 2,500,000 2,500,000 0 1FE

18538R-AJ-2 CLEARWATER PAPER CORP 08/11/2020 JP MORGAN SECURITIES INC. 1,000,000 1,000,000 0 3FE

185899-AJ-0 CLEVELAND-CLIFFS INC 07/28/2020 UBS SECURITIES LLC 2,175,000 2,000,000 56,507 3FE

186108-E*-3 THE CLEVELAND ELECTRIC ILLUMINATING COMP 07/20/2020 DIRECT (INV DECISION) 14,000,000 14,000,000 0 2Z

19533P-AC-4 COLOMBIA TELECOMUNICACIONES SA ESP C 07/08/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 3FE

20030N-DN-8 COMCAST CORP 08/11/2020 BOFA SECURITIES INC. 996,630 1,000,000 0 1FE

20030N-DP-3 COMCAST CORP 08/11/2020 WELLS FARGO SECURITIES LLC 992,100 1,000,000 0 1FE

20030N-DQ-1 COMCAST CORP 08/11/2020 WELLS FARGO SECURITIES LLC 990,980 1,000,000 0 1FE

20338Q-AA-1 COMMSCOPE INC 07/08/2020 BOFA SECURITIES INC. 13,487,500 13,000,000 384,313 4FE

20605P-AM-3 CONCHO RESOURCES INC 08/10/2020 BOFA SECURITIES INC. 1,995,220 2,000,000 0 2FE

20903X-AF-0 CONSOLIDATED COMMUNICATIONS INC 09/18/2020 JP MORGAN SECURITIES INC. 2,000,000 2,000,000 0 4FE

21925D-AA-7 CORNERSTONE BUILDING BRANDS INC 09/10/2020 BOFA SECURITIES INC. 5,000,000 5,000,000 0 5FE

224044-CL-9 COX COMMUNICATIONS INC 09/10/2020 WELLS FARGO SECURITIES LLC 996,890 1,000,000 0 2FE

224044-CM-7 COX COMMUNICATIONS INC 09/10/2020 WELLS FARGO SECURITIES LLC 991,900 1,000,000 0 2FE

225401-AR-9 CREDIT SUISSE GROUP AG C 08/04/2020 CREDIT SUISSE SECURITIES 2,000,000 2,000,000 0 3FE

22966R-AG-1 CUBESMART LP 09/29/2020 WELLS FARGO SECURITIES LLC 990,740 1,000,000 0 2FE

231021-AS-5 CUMMINS INC 08/17/2020 CITIGROUP GLOBAL MARKETS INC. 1,986,760 2,000,000 0 1FE

231021-AT-3 CUMMINS INC 08/17/2020 BOFA SECURITIES INC. 1,992,600 2,000,000 0 1FE

23283P-AT-1 CYRUSONE FINANCE CORP 09/15/2020 JP MORGAN SECURITIES INC. 987,950 1,000,000 0 2FE

23305J-AG-7 DBUBS 2017-BRBK C - CMBS 07/21/2020 JP MORGAN SECURITIES INC. 1,735,014 1,650,000 3,678 1FM

235851-AV-4 DANAHER CORP 09/29/2020 BOFA SECURITIES INC. 1,979,400 2,000,000 0 2FE

245223-AC-6 DEL MONTE FOODS INC 08/11/2020 Various 4,295,000 4,000,000 116,111 5FE

253657-AA-8 DIEBOLD NIXDORF INC 07/09/2020 JP MORGAN SECURITIES INC. 6,932,170 7,000,000 0 4FE

25675T-AK-3 DOLLARAMA INC 09/24/2020 NATIONAL BANK OF CANADA FINANCIAL INC. 3,065,840 3,003,228 474 2FE

260543-DC-4 DOW CHEMICAL CO 08/17/2020 SMBC NIKKO SECURITIES AMERICA, INC. 1,983,520 2,000,000 0 2FE

260543-DD-2 DOW CHEMICAL CO 08/17/2020 CITIGROUP GLOBAL MARKETS INC. 1,985,200 2,000,000 0 2FE

26441C-BH-7 DUKE ENERGY CORP 09/09/2020 MORGAN STANLEY & CO. LLC 1,060,580 1,000,000 7,894 2FE

266233-AH-8 DUQUESNE LIGHT HOLDINGS INC 09/18/2020 JP MORGAN SECURITIES INC. 8,013,150 8,000,000 141 2FE

278865-BG-4 ECOLAB INC 08/10/2020 CREDIT SUISSE SECURITIES 991,210 1,000,000 0 1FE

29248H-AB-9 EMPOWER FINANCE 2020 LP 09/14/2020 GOLDMAN SACHS & CO. INC. 2,000,000 2,000,000 0 1FE

29248H-AC-7 EMPOWER FINANCE 2020 LP 09/14/2020 GOLDMAN SACHS & CO. INC. 2,000,000 2,000,000 0 1FE

29250N-BC-8 ENBRIDGE INC C 07/09/2020 Various 5,020,000 5,000,000 2,076 2FE

29365T-AK-0 ENTERGY TEXAS INC 09/28/2020 BARCLAYS CAPITAL 1,992,600 2,000,000 0 2FE

29444U-BL-9 EQUINIX INC 09/23/2020 GOLDMAN SACHS & CO. INC. 1,998,180 2,000,000 0 2FE

29444U-BM-7 EQUINIX INC 09/23/2020 GOLDMAN SACHS & CO. INC. 1,988,760 2,000,000 0 2FE

29717P-AW-7 ESSEX PORTFOLIO LP 08/10/2020 WELLS FARGO SECURITIES LLC 990,350 1,000,000 0 2FE

29717P-AX-5 ESSEX PORTFOLIO LP 08/10/2020 WELLS FARGO SECURITIES LLC 996,910 1,000,000 0 2FE

30040W-AH-1 EVERSOURCE ENERGY 08/11/2020 GOLDMAN SACHS & CO. INC. 1,175,400 1,000,000 2,779 2FE

30212P-BB-0 EXPEDIA GROUP INC 07/07/2020 JP MORGAN SECURITIES INC. 1,999,940 2,000,000 0 2FE

30225V-B*-7 EXTRA SPACE STORAGE LP 08/25/2020 DIRECT (INV DECISION) 10,000,000 10,000,000 0 2Z

302445-AE-1 FLIR SYSTEMS INC 07/20/2020 BOFA SECURITIES INC. 1,996,140 2,000,000 0 2FE

31620R-AK-1 FIDELITY NATIONAL FINANCIAL INC 09/10/2020 BOFA SECURITIES INC. 1,992,840 2,000,000 0 2FE

34354P-AF-2 FLOWSERVE CORP 09/14/2020 BOFA SECURITIES INC. 996,560 1,000,000 0 2FE

34962W-AA-2 FORTERRA FINANCE LLC 07/01/2020 BOFA SECURITIES INC. 10,112,500 10,000,000 0 4FE

35100L-AB-4 SHINY 171 A2 - ABS D 09/24/2020 GUGGENHEIM SECURITIES LLC 1,548,000 1,800,000 8,001 1FE

35166F-AA-0 FOXTROT ESCROW ISSUER LLC 08/27/2020 JEFFERIES LLC 5,243,750 5,000,000 171,840 5FE

35805B-AB-4 FRESENIUS MEDICAL CARE US FINANCE III IN 09/09/2020 JP MORGAN SECURITIES INC. 9,969,900 10,000,000 0 2FE

36120R-AA-7 FXI HOLDINGS INC 09/18/2020 Various 7,830,150 8,080,000 235,774 5FE

375558-BS-1 GILEAD SCIENCES INC 09/23/2020 WELLS FARGO SECURITIES LLC 995,510 1,000,000 0 1FE

375558-BT-9 GILEAD SCIENCES INC 09/23/2020 WELLS FARGO SECURITIES LLC 994,160 1,000,000 0 1FE

E04.4



1


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Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation and


375558-BY-8 GILEAD SCIENCES INC 09/23/2020 BARCLAYS CAPITAL 997,610 1,000,000 0 1FE

378272-AY-4 GLENCORE FUNDING LLC 08/27/2020 Various 9,909,360 10,000,000 0 2FE

37954F-AH-7 GLOBAL PARTNERS LP 09/24/2020 BOFA SECURITIES INC. 14,100,000 14,000,000 0 4FE

38113Y-AE-9 GOLDEN NUGGET LLC (NEVADA) 07/30/2020 Various 3,425,000 5,000,000 101,250 5FE

38937L-AB-7 GRAY OAK PIPELINE, LLC 09/11/2020 MIZUHO SECURITIES USA INC. 499,985 500,000 0 2FE

38937L-AC-5 GRAY OAK PIPELINE LLC 09/11/2020 TD Securities 998,560 1,000,000 0 2FE

398905-AN-9 GROUP 1 AUTOMOTIVE INC 08/03/2020 JP MORGAN SECURITIES INC. 1,000,000 1,000,000 0 3FE

40060Q-AA-3 GTCR (AP) FINANCE INC 08/03/2020 BOFA SECURITIES INC. 5,312,500 5,000,000 88,889 5FE

404280-CK-3 HSBC HOLDINGS PLC C 08/11/2020 HSBC SECURITIES INC. 1,000,000 1,000,000 0 1FE

404530-AC-1 HACKENSACK MERIDIAN HEALTH INC 08/20/2020 BOFA SECURITIES INC. 2,000,000 2,000,000 0 1FE

404530-AD-9 HACKENSACK MERIDIAN HEALTH INC 08/20/2020 BOFA SECURITIES INC. 1,500,000 1,500,000 0 1FE

42225U-AH-7 HEALTHCARE TRUST OF AMERICA HOLDINGS LP 09/14/2020 WELLS FARGO SECURITIES LLC 991,960 1,000,000 0 2FE

431282-AT-9 HIGHWOODS REALTY LP 07/30/2020 WELLS FARGO SECURITIES LLC 995,910 1,000,000 0 2FE

44107H-AF-9 HOSPITAL FOR SPECIAL SURGERY 08/05/2020 GOLDMAN SACHS & CO. INC. 1,500,000 1,500,000 0 1FE

44107T-AZ-9 HOST HOTELS & RESORTS LP 08/31/2020 JP MORGAN SECURITIES INC. 1,478,355 1,500,000 632 2FE

44217N-AA-4 HGMT 2015-HGLR 1A1 - CMBS 08/19/2020 MORGAN STANLEY & CO. LLC 5,092,773 5,000,000 8,574 1FE

442851-AT-8 HOWARD UNIVERSITY 07/08/2020 BARCLAYS CAPITAL 1,500,000 1,500,000 0 2FE

442851-AU-5 HOWARD UNIVERSITY 07/08/2020 BARCLAYS CAPITAL 2,000,000 2,000,000 0 2FE

442851-AV-3 HOWARD UNIVERSITY 07/08/2020 BARCLAYS CAPITAL 2,000,000 2,000,000 0 2FE

442851-AX-9 HOWARD UNIVERSITY 07/08/2020 BARCLAYS CAPITAL 4,000,000 4,000,000 0 2FE

442851-AY-7 HOWARD UNIVERSITY 07/08/2020 BARCLAYS CAPITAL 3,000,000 3,000,000 0 2FE

448055-AS-2 HUSKY ENERGY INC 08/17/2020 Various 11,595,971 11,880,130 6,792 2FE

44891A-BP-1 HYUNDAI CAPITAL AMERICA 09/15/2020 BNP PARIBAS SECURITIES CORP 4,998,650 5,000,000 0 2FE

456829-AC-4 INFRAESTRUCTURA ENERGETICA NOVA SAB DE C C 09/10/2020 CITIGROUP GLOBAL MARKETS INC. 14,565,750 15,000,000 0 2FE

45827M-AA-5 INTELLIGENT PACKAGING FINCO INC LTD C 08/26/2020 BOFA SECURITIES INC. 11,075,000 11,000,000 0 4FE

45866F-AN-4 INTERCONTINENTAL EXCHANGE INC 08/17/2020 WELLS FARGO SECURITIES LLC 995,590 1,000,000 0 2FE

45866F-AQ-7 INTERCONTINENTAL EXCHANGE INC 08/17/2020 WELLS FARGO SECURITIES LLC 1,979,680 2,000,000 0 2FE

46128M-AN-1 INVERSIONES CMPC SA C 07/30/2020 BCP SECURITIES 5,250,000 5,000,000 10,694 2FE

466313-AK-9 JABIL INC 07/06/2020 BNP PARIBAS SECURITIES CORP 992,780 1,000,000 0 2FE

47233J-DX-3 JEFFERIES GROUP LLC 09/30/2020 JEFFERIES LLC 6,927,760 7,000,000 0 2FE

476681-AA-9 JMIKE 191 A2 - ABS 07/16/2020 GUGGENHEIM SECURITIES LLC 7,445,994 7,345,000 58,790 2FE

478160-CQ-5 JOHNSON & JOHNSON 08/20/2020 JP MORGAN SECURITIES INC. 999,720 1,000,000 0 1FE

478160-CR-3 JOHNSON & JOHNSON 08/20/2020 JP MORGAN SECURITIES INC. 1,986,700 2,000,000 0 1FE

478160-CS-1 JOHNSON & JOHNSON 08/20/2020 JP MORGAN SECURITIES INC. 1,982,260 2,000,000 0 1FE

478160-CT-9 JOHNSON & JOHNSON 08/20/2020 JP MORGAN SECURITIES INC. 1,979,300 2,000,000 0 1FE

48252M-AA-3 KKR GROUP FINANCE CO VIII LLC 08/18/2020 CITIGROUP GLOBAL MARKETS INC. 991,000 1,000,000 0 1FE

48254@-AA-8 KKR RECOP II FEEDER L.P. - ABS 09/04/2020 DIRECT (INV DECISION) 6,794,880 6,794,880 0 2FE

488401-AC-4 KEMPER CORP 09/22/2020 BOFA SECURITIES INC. 4,992,950 5,000,000 0 2FE

49427R-AQ-5 KILROY REALTY LP 08/03/2020 BOFA SECURITIES INC. 1,987,280 2,000,000 0 2FE

49446R-AX-7 KIMCO REALTY CORP 08/10/2020 BOFA SECURITIES INC. 1,991,080 2,000,000 0 2FE

526107-AF-4 LENNOX INTERNATIONAL INC 07/22/2020 JP MORGAN SECURITIES INC. 997,050 1,000,000 0 2FE

529043-AE-1 LEXINGTON REALTY TRUST 08/14/2020 WELLS FARGO SECURITIES LLC 992,330 1,000,000 0 2FE

531546-AB-5 LIBERTY UTILITIES FINANCE GP1 09/16/2020 JP MORGAN SECURITIES INC. 1,994,800 2,000,000 0 2FE

532457-BZ-0 ELI LILLY AND CO 08/20/2020 JP MORGAN SECURITIES INC. 1,961,640 2,000,000 0 1FE

53948K-AA-7 LOANPAL SOLAR LOAN 2020-2 LTD. - CMBS C 07/16/2020 BARCLAYS CAPITAL 12,494,733 12,500,000 0 1FE

53948K-AA-7 LPSLT 2020-2 A - ABS C 09/28/2020 Various 12,154,530 11,969,491 19,227 1FE

53948K-AB-5 LOANPAL SOLAR LOAN 2020-2 LTD. - CMBS C 07/16/2020 BARCLAYS CAPITAL 2,999,874 3,000,000 0 2FE

53948K-AB-5 LPSLT 2020-2 B - ABS C 09/25/2020 BARCLAYS CAPITAL 1,016,563 1,000,000 965 2FE

541056-AA-5 LOGAN MERGER SUB INC 08/14/2020 BARCLAYS CAPITAL 2,000,000 2,000,000 0 4FE

55336V-BQ-2 MPLX LP 08/11/2020 RBC CAPITAL MARKETS 999,130 1,000,000 0 2FE

55400E-AA-7 MVWOT 201 A - RMBS 07/13/2020 CREDIT SUISSE SECURITIES 1,749,793 1,750,000 0 1FE

566076-AG-0 MP18 18 C - CDO C 08/12/2020 BNP PARIBAS SECURITIES CORP 14,775,000 15,000,000 0 1FE

571676-AL-9 MARS INC 07/13/2020 JP MORGAN SECURITIES INC. 998,370 1,000,000 0 1FE

571676-AN-5 MARS INC 07/13/2020 JP MORGAN SECURITIES INC. 999,680 1,000,000 0 1FE

571676-AQ-8 MARS INC 07/13/2020 JP MORGAN SECURITIES INC. 994,310 1,000,000 0 1FE

574599-BP-0 MASCO CORP 09/09/2020 JP MORGAN SECURITIES INC. 999,270 1,000,000 0 2FE

57751#-AA-5 Shops at Mauna Lani (Ground Lease) - ABS 09/15/2020 Direct 12,085 12,085 0 1FE

580638-AC-8 MCGRAW-HILL GLOBAL EDUCATION HOLDINGS LL 08/12/2020 CITIGROUP GLOBAL MARKETS INC. 1,343,180 2,248,000 43,766 5FE

58510*-AA-9 MEEKER AVENUE (BROOKLYN NY) (SENIOR NOTE 09/15/2020 Direct 11,420 11,420 0 1Z

59523U-AS-6 MID-AMERICA APARTMENTS LP 08/03/2020 WELLS FARGO SECURITIES LLC 994,650 1,000,000 0 2FE

60284M-AB-8 MINERA MEXICO SA DE CV C 07/02/2020 BCP SECURITIES 2,012,500 2,000,000 40,250 2FE

E04.5



1


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3

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4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation and


606822-BU-7 MITSUBISHI UFJ FINANCIAL GROUP INC C 07/13/2020 MUFG SECURITIES AMERICAS INC. 15,000,000 15,000,000 0 1FE

60687Y-BH-1 MIZUHO FINANCIAL GROUP INC C 07/06/2020 MIZUHO SECURITIES USA INC. 22,025,000 22,025,000 0 1FE

60687Y-BL-2 MIZUHO FINANCIAL GROUP INC C 09/01/2020 MIZUHO SECURITIES USA INC. 15,000,000 15,000,000 0 1FE

609207-AW-5 MONDELEZ INTERNATIONAL INC 09/02/2020 BNP PARIBAS SECURITIES CORP 994,440 1,000,000 0 2FE

609207-AX-3 MONDELEZ INTERNATIONAL INC 09/02/2020 BNP PARIBAS SECURITIES CORP 993,020 1,000,000 0 2FE

61946N-AC-2 MSAIC 2020-1 C - ABS 08/13/2020 DEUTSCHE BANK SECURITIES INC. 1,615,000 1,600,000 5,364 2FE

61946P-AB-9 MSAIC 202 B - ABS 09/30/2020 RBC CAPITAL MARKETS 8,378,044 8,500,000 0 1FE

61946P-AC-7 MSAIC 202 C - ABS 09/30/2020 RBC CAPITAL MARKETS 1,487,682 1,500,000 0 2FE

620076-BT-5 MOTOROLA SOLUTIONS INC 08/10/2020 GOLDMAN SACHS & CO. INC. 1,996,040 2,000,000 0 2FE

62548L-AA-0 MULTICARE HEALTH SYSTEM 07/15/2020 MORGAN STANLEY & CO. LLC 2,500,000 2,500,000 0 1FE

62886E-AY-4 NCR CORP 08/17/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 4FE

62886E-AZ-1 NCR CORP 08/17/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 4FE

631715-AG-4 NCC 201 C - CDO C 07/14/2020 CITIGROUP GLOBAL MARKETS INC. 7,548,750 7,625,000 0 1FE

63172W-AG-4 NCC 192 C - CDO C 07/22/2020 MORGAN STANLEY & CO. LLC 4,884,000 5,000,000 4,656 1Z

632525-AU-5 NATIONAL AUSTRALIA BANK LTD C 08/17/2020 JP MORGAN SECURITIES INC. 10,000,000 10,000,000 0 2FE

63306A-GJ-9 NATIONAL BANK OF CANADA 07/08/2020 Various 1,657,320 1,677,602 0 1FE

639057-AB-4 NATWEST GROUP PLC C 08/25/2020 MORGAN STANLEY & CO. LLC 10,000,000 10,000,000 0 2FE

64051N-AA-1 NEXEO PLASTICS HOLDINGS INC 08/12/2020 GOLDMAN SACHS & CO. INC. 4,843,438 4,625,000 169,805 4FE

644274-AG-7 NEW ENTERPRISE STONE & LIME CO INC 07/01/2020 GOLDMAN SACHS & CO. INC. 1,000,000 1,000,000 0 5FE

646025-E*-3 NEW JERSEY RESOURCES CORPORATION 09/01/2020 DIRECT (INV DECISION) 10,000,000 10,000,000 0 2Z

65336Y-AN-3 NEXSTAR BROADCASTING INC 09/15/2020 BOFA SECURITIES INC. 3,000,000 3,000,000 0 4FE

65342R-AD-2 NFP CORP 07/30/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 5FE

65409Q-BD-3 NIELSEN FINANCE LLC 09/10/2020 JP MORGAN SECURITIES INC. 10,000,000 10,000,000 0 4FE

65409Q-BF-8 NIELSEN FINANCE LLC 09/10/2020 JP MORGAN SECURITIES INC. 5,000,000 5,000,000 0 4FE

65473P-AL-9 NISOURCE INC 08/12/2020 CREDIT SUISSE SECURITIES 1,998,480 2,000,000 0 2FE

654744-AD-3 NISSAN MOTOR CO LTD C 09/10/2020 MORGAN STANLEY & CO. LLC 1,000,000 1,000,000 0 2FE

67079B-AD-2 NUTRITION & BIOSCIENCES INC 09/29/2020 Various 2,404,112 2,400,000 383 2FE

67079B-AE-0 NUTRITION & BIOSCIENCES INC 09/09/2020 MORGAN STANLEY & CO. LLC 999,940 1,000,000 0 2FE

67079B-AF-7 NUTRITION & BIOSCIENCES INC 09/09/2020 MORGAN STANLEY & CO. LLC 1,999,820 2,000,000 0 2FE

67103H-AK-3 O'REILLY AUTOMOTIVE INC 09/09/2020 BOFA SECURITIES INC. 995,440 1,000,000 0 2FE

67592L-AB-2 OCTL 201 B - ABS 09/23/2020 BNY/SUNTRUST CAPITAL MARKETS 3,249,616 3,250,000 0 1FE

67592L-AC-0 OCTL 201 C - ABS 09/23/2020 BNY/SUNTRUST CAPITAL MARKETS 2,999,417 3,000,000 0 2FE

677050-AP-1 OGLETHORPE POWER CORP 08/17/2020 MUFG SECURITIES AMERICAS INC. 9,853,200 10,000,000 0 2FE

682189-AQ-8 ON SEMICONDUCTOR CORP 08/18/2020 BOFA SECURITIES INC. 2,000,000 2,000,000 0 3FE

682441-AB-6 ONEAMERICA FINANCIAL PARTNERS INC 09/14/2020 GOLDMAN SACHS & CO. INC. 6,951,560 7,000,000 0 2FE

69356M-AA-4 PM GENERAL PURCHASER LLC 09/22/2020 DEUTSCHE BANK SECURITIES INC. 5,000,000 5,000,000 0 4FE

694476-AE-2 PACIFIC LIFECORP 09/10/2020 CITIGROUP GLOBAL MARKETS INC. 992,320 1,000,000 0 1FE

69867D-AC-2 CLARIOS GLOBAL LP 09/17/2020 CITIGROUP GLOBAL MARKETS INC. 4,200,000 4,000,000 114,278 5FE

70052L-AB-9 PARK INTERMEDIATE HOLDINGS LLC 09/15/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 4FE

700658-AA-5 PARK NATIONAL CORP 08/17/2020 PIPER JAFFRAY 10,000,000 10,000,000 0 2FE

70213B-AC-5 PARTNERRE FINANCE B LLC 09/17/2020 WELLS FARGO SECURITIES LLC 1,000,000 1,000,000 0 2FE

71427Q-AB-4 PERNOD RICARD INTERNATIONAL FINANCE LLC 09/28/2020 BOFA SECURITIES INC. 1,983,160 2,000,000 0 2FE

71427Q-AC-2 PERNOD RICARD INTERNATIONAL FINANCE LLC 09/28/2020 BOFA SECURITIES INC. 974,000 1,000,000 0 2FE

723787-AQ-0 PIONEER NATURAL RESOURCES CO 08/06/2020 BOFA SECURITIES INC. 1,984,100 2,000,000 0 2FE

73900L-AA-9 POWDR CORP 07/20/2020 JEFFERIES LLC 2,000,000 2,000,000 0 4FE

74151#-AP-3 PRICEWATERHOUSECOOPERS LLP 09/09/2020 DIRECT (INV DECISION) 4,000,000 4,000,000 0 1Z

74151#-AQ-1 PRICEWATERHOUSECOOPERS LLP 09/09/2020 DIRECT (INV DECISION) 6,000,000 6,000,000 0 1Z

74340X-BQ-3 PROLOGIS LP 08/06/2020 BOFA SECURITIES INC. 1,968,760 2,000,000 0 1FE

74340X-BR-1 PROLOGIS LP 08/06/2020 CITIGROUP GLOBAL MARKETS INC. 996,200 1,000,000 0 1FE

74365P-AD-0 PROSUS NV C 07/27/2020 CITIGROUP GLOBAL MARKETS INC. 500,000 500,000 0 2FE

74368C-AY-0 PROTECTIVE LIFE GLOBAL FUNDING 09/14/2020 U.S. BANCORP INVESTMENTS INC. 1,000,000 1,000,000 0 1FE

74456Q-CE-4 PUBLIC SERVICE ELECTRIC AND GAS CO 08/04/2020 MUFG SECURITIES AMERICAS INC. 992,010 1,000,000 0 1FE

744573-AQ-9 PUBLIC SERVICE ENTERPRISE GROUP INC 08/12/2020 GOLDMAN SACHS & CO. INC. 998,160 1,000,000 0 2FE

74762E-AF-9 QUANTA SERVICES INC 09/17/2020 BOFA SECURITIES INC. 1,993,240 2,000,000 0 2FE

74841C-AB-7 QUICKEN LOANS LLC 09/09/2020 JP MORGAN SECURITIES INC. 5,000,000 5,000,000 0 3FE

74931T-AM-7 RBSSP 2012-6 6A2 - CMO/RMBS 09/25/2020 Direct 14,564 14,564 0 1FM

75026J-AC-4 RADIATE HOLDCO LLC 09/11/2020 JP MORGAN SECURITIES INC. 2,500,000 2,500,000 0 4FE

75026J-AE-0 RADIATE HOLDCO LLC 09/11/2020 Various 10,527,500 10,500,000 0 5FE

75041V-AA-2 RADIOLOGY PARTNERS INC 08/05/2020 BARCLAYS CAPITAL 2,020,000 2,000,000 3,083 5FE

75886F-AE-7 REGENERON PHARMACEUTICALS INC 08/07/2020 GOLDMAN SACHS & CO. INC. 1,997,960 2,000,000 0 2FE

75886F-AF-4 REGENERON PHARMACEUTICALS INC 08/07/2020 GOLDMAN SACHS & CO. INC. 997,150 1,000,000 0 2FE

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 and


759470-AY-3 RELIANCE INDUSTRIES LTD C 08/21/2020 EXCHANGE 6,993,423 7,000,000 0 2FE

759470-BA-4 RELIANCE INDUSTRIES LTD C 08/21/2020 CORPORATE ACTION 13,744,945 14,000,000 296,528 2FE

759480-AL-0 RELIANCE LP 07/29/2020 CIBC WORLD MARKETS CORP 2,209,384 2,236,803 0 2FE

759509-AG-7 RELIANCE STEEL & ALUMINUM CO 07/28/2020 JP MORGAN SECURITIES INC. 997,220 1,000,000 0 2FE

776743-AL-0 ROPER TECHNOLOGIES INC 08/18/2020 BOFA SECURITIES INC. 1,996,780 2,000,000 0 2FE

78081B-AD-5 ROYALTY PHARMA PLC 08/24/2020 BOFA SECURITIES INC. 1,955,200 2,000,000 0 2FE

78081B-AE-3 ROYALTY PHARMA PLC 08/24/2020 BOFA SECURITIES INC. 1,911,120 2,000,000 0 2FE

78081B-AF-0 ROYALTY PHARMA PLC 08/24/2020 BOFA SECURITIES INC. 1,906,120 2,000,000 0 2FE

78403D-AR-1 SBATOW 2020-2 2C - RMBS 07/08/2020 BARCLAYS CAPITAL 13,000,000 13,000,000 0 1FE

78409V-AR-5 S&P GLOBAL INC 08/10/2020 GOLDMAN SACHS & CO. INC. 984,270 1,000,000 0 1FE

78573N-AF-9 SABRE GLBL INC 08/20/2020 BOFA SECURITIES INC. 2,000,000 2,000,000 0 4FE

797440-BZ-6 SAN DIEGO GAS & ELECTRIC CO 09/22/2020 MUFG SECURITIES AMERICAS INC. 998,260 1,000,000 0 1FE

80874Y-BG-4 SCIENTIFIC GAMES INTERNATIONAL INC 09/17/2020 CITIGROUP GLOBAL MARKETS INC. 4,230,000 4,000,000 76,667 5FE

81762P-AE-2 SERVICENOW INC 08/06/2020 JP MORGAN SECURITIES INC. 996,260 1,000,000 0 2FE

82028K-BB-6 SHAW COMMUNICATIONS INC 09/17/2020 Various 16,047,500 15,172,671 163,947 2FE

82660C-AA-0 SIGMA HOLDCO BV C 07/01/2020 CREDIT SUISSE SECURITIES 3,200,000 3,200,000 35,700 5Z

828807-DJ-3 SIMON PROPERTY GROUP LP 07/06/2020 BNP PARIBAS SECURITIES CORP 1,986,160 2,000,000 0 1FE

828807-DK-0 SIMON PROPERTY GROUP LP 07/06/2020 JP MORGAN SECURITIES INC. 996,590 1,000,000 0 1FE

832248-BC-1 SMITHFIELD FOODS INC 09/10/2020 MORGAN STANLEY & CO. LLC 988,380 1,000,000 0 2FE

8426EP-AD-0 SOUTHERN COMPANY GAS CAPITAL CORP 08/17/2020 JP MORGAN SECURITIES INC. 996,700 1,000,000 0 2FE

844741-BK-3 SOUTHWEST AIRLINES CO 07/28/2020 GOLDMAN SACHS & CO. INC. 2,103,400 2,000,000 15,090 2FE

845467-AP-4 SOUTHWESTERN ENERGY CO 08/18/2020 CITIGROUP GLOBAL MARKETS INC. 2,000,000 2,000,000 0 3FE

84749A-AA-5 SPECIALTY BUILDING PRODUCTS HOLDINGS LLC 09/15/2020 BOFA SECURITIES INC. 15,000,000 15,000,000 0 4FE

84859B-AA-9 SPIRIT IP CAYMAN LTD C 09/02/2020 BARCLAYS CAPITAL 989,760 1,000,000 0 3FE

86562M-BZ-2 SUMITOMO MITSUI FINANCIAL GROUP INC C 09/14/2020 SMBC NIKKO SECURITIES AMERICA, INC. 15,000,000 15,000,000 0 2FE

86721Z-AP-4 SUNCOR ENERGY INC 08/18/2020 Brownstone Investment Group LLC 3,971,444 3,832,300 27,863 2FE

86881W-AD-4 SURGERY CENTER HOLDINGS INC 07/23/2020 JEFFERIES LLC 1,511,250 1,500,000 42,500 5FE

87264A-BM-6 T-MOBILE US INC 09/22/2020 BARCLAYS CAPITAL 4,989,650 5,000,000 0 2FE

87612B-BR-2 TARGA RESOURCES PARTNERS LP 08/11/2020 WELLS FARGO SECURITIES LLC 1,000,000 1,000,000 0 3FE

87901J-AF-2 TEGNA INC 09/08/2020 JP MORGAN SECURITIES INC. 1,000,000 1,000,000 0 3FE

87952V-AM-8 TELESAT CANADA C 07/28/2020 WELLS FARGO SECURITIES LLC 2,025,000 2,000,000 37,917 4FE

88033G-DJ-6 TENET HEALTHCARE CORP 09/23/2020 BARCLAYS CAPITAL 12,887,500 13,000,000 4,594 5FE

88034P-AB-5 TENCENT MUSIC ENTERTAINMENT GROUP C 08/26/2020 GOLDMAN SACHS & CO. INC. 995,950 1,000,000 0 1FE

883203-CC-3 TEXTRON INC 08/03/2020 CITIGROUP GLOBAL MARKETS INC. 998,770 1,000,000 0 2FE

88335*-AA-9 Forum Center (Ground Lease) - MBS 09/15/2020 Direct 3,008 3,008 0 1FE

88827A-AA-1 TITAN ACQUISITION LTD C 08/04/2020 Various 3,467,500 3,500,000 81,052 5FE

89400P-AK-9 TRANSURBAN FINANCE COMPANY PTY LTD C 09/09/2020 CITIGROUP GLOBAL MARKETS INC. 6,995,520 7,000,000 0 2FE

896945-AA-0 TRIPADVISOR INC 07/07/2020 JP MORGAN SECURITIES INC. 500,000 500,000 0 4FE

898813-AS-9 TUCSON ELECTRIC POWER CO 08/05/2020 MUFG SECURITIES AMERICAS INC. 995,950 1,000,000 0 1FE

90265E-AT-7 UDR INC 07/14/2020 JP MORGAN SECURITIES INC. 998,940 1,000,000 0 2FE

90333L-AT-9 US CONCRETE INC 09/09/2020 BOFA SECURITIES INC. 1,000,000 1,000,000 0 4FE

904678-AU-3 UNICREDIT SPA C 09/15/2020 CITIGROUP GLOBAL MARKETS INC. 1,000,000 1,000,000 0 2FE

913903-AV-2 UNIVERSAL HEALTH SERVICES INC 09/10/2020 JP MORGAN SECURITIES INC. 9,971,800 10,000,000 0 2FE

91481C-AD-2 TRUSTEES OF THE UNIVERSITY OF PENNSYLVAN 07/07/2020 BOFA SECURITIES INC. 2,500,000 2,500,000 0 1FE

92212K-AC-0 VDC 202 A2 - RMBS 09/22/2020 GUGGENHEIM SECURITIES LLC 24,000,000 24,000,000 0 1Z

92343V-FG-4 VERIZON COMMUNICATIONS INC 08/18/2020 Brownstone Investment Group LLC 2,365,240 2,299,380 14,861 2FE

92343V-FL-3 VERIZON COMMUNICATIONS INC 09/16/2020 BOFA SECURITIES INC. 998,890 1,000,000 0 2FE

92826C-AN-2 VISA INC 08/10/2020 BOFA SECURITIES INC. 995,460 1,000,000 0 1FE

92826C-AQ-5 VISA INC 08/10/2020 WELLS FARGO SECURITIES LLC 989,280 1,000,000 0 1FE

92855H-AA-3 VIVINT SOLAR FINANCING VII, LLC - ABS 09/25/2020 CREDIT SUISSE SECURITIES 9,998,259 10,000,000 0 1FE

96034L-AA-9 WESTR 201 A - RMBS 07/08/2020 Amherst Pierpont Securities LLC 2,996,058 3,000,000 0 1FE

96034L-AC-5 WESTR 201 B - RMBS 07/08/2020 Amherst Pierpont Securities LLC 3,244,732 3,250,000 0 1FE

96466C-AG-3 WHITEBOX CLO II LTD - CDO C 08/21/2020 JP MORGAN SECURITIES INC. 12,500,000 12,500,000 0 1FE

96950G-AE-2 WILLIAMS SCOTSMAN INTERNATIONAL INC 08/11/2020 JP MORGAN SECURITIES INC. 500,000 500,000 0 4FE

98310W-AM-0 WYNDHAM DESTINATIONS INC 08/11/2020 BOFA SECURITIES INC. 3,180,000 3,000,000 69,850 3FE

98310W-AS-7 WYNDHAM DESTINATIONS INC 07/21/2020 BOFA SECURITIES INC. 2,000,000 2,000,000 0 3FE

98459H-AA-0 YALE NEW HAVEN HEALTH SERVICES CORP 08/11/2020 CITIGROUP GLOBAL MARKETS INC. 5,014,840 5,000,000 0 1FE

988498-AN-1 YUM! BRANDS INC 09/09/2020 GOLDMAN SACHS & CO. INC. 100,000 100,000 0 4FE

C4986*-AB-3 WESCAM L3 Office - ABS 07/15/2020 MORTGAGE LOANS 1,899,162 1,922,385 0 2

G6363#-AH-0 NAC AVIATION 29 DESIGNATED ACTIVITY COMP C 09/14/2020 PAYMENT - IN - KIND 661,333 661,333 0 2FE

G6363#-AK-3 NAC AVIATION 29 DESIGNATED ACTIVITY COMP C 08/27/2020 PAYMENT - IN - KIND 458,528 458,528 0 4PL

E04.7



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC

Designation and


G6363#-AU-1 NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY C 09/15/2020 DIRECT (INV DECISION) 20,661,333 20,661,333 0 4FE

G6363#-AW-7 NAC Aviation 29 Series J C 09/15/2020 DIRECT (INV DECISION) 20,458,528 20,458,528 0 4FE

PP2367-9A-8 Blue Ocean Income Fund II L.P. - ABS 09/22/2020 DIRECT (INV DECISION) 273,125 273,125 0 2Z

PPE07N-MM-4 Brunswick Asset Financing LLC 09/15/2020 DIRECT (INV DECISION) 1,271,291 1,290,650 0 1FE

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 1,184,841,635 1,186,781,414 2,614,481 XXX00131L-AK-1 AIA GROUP LTD C 09/09/2020 HSBC SECURITIES INC. 4,991,950 5,000,000 0 1FE

29360A-AA-8 ENSTAR FINANCE LLC 08/19/2020 WELLS FARGO SECURITIES LLC 1,000,000 1,000,000 0 3FE

744320-BH-4 PRUDENTIAL FINANCIAL INC 08/18/2020 WELLS FARGO SECURITIES LLC 1,000,000 1,000,000 0 2FE

4899999. Subtotal - Bonds - Hybrid Securities 6,991,950 7,000,000 0 XXX78350U-AE-5 Ryan Specialty Group LLC 09/08/2020 JP Morgan 4,925,000 5,000,000 0 4Z

000000-00-0 Huntsworth PLC 09/25/2020 ROYAL BANK OF CANADA 5,580,000 6,000,000 0 4FE

000000-00-0 Avaya Inc. 09/25/2020 CORPORATE ACTION 9,208,822 9,566,053 0 4FE

00400Y-AH-4 Academy LTD. 09/24/2020 Barclays Bank PLC 7,614,810 8,000,000 0 5FE

02034D-AC-1 Misys Limited (aka Almonde/Tahoe Finastr 07/15/2020 CITIBANK, N.A. 1,751,052 2,000,000 0 4FE

03836C-AS-6 AqGen Ascensus Inc. 09/01/2020 CREDIT SUISSE SECURITIES BANK DEBT 5,940,000 6,000,000 0 4FE

05349U-BC-5 Avaya Inc. 07/20/2020 CITIBANK, N.A. 1,837,393 2,000,000 0 5Z

05549K-AB-8 BCP Raptor LLC (aka EagleClaw Midstream 09/01/2020 JEFFERIES LEVERAGED CREDIT PRODUCTS LLC 2,571,339 3,368,188 0 4FE

05606C-AG-5 BW NHHC Holdco Inc. 09/30/2020 PIK BUY 112,783 112,783 0 5FE

10524M-AN-7 Brand Energy & Infrastructure Services I 07/01/2020 Goldman Sachs Bank USA 2,795,087 2,992,288 0 4FE

12509E-AB-6 Wellpath Holdings Inc. 09/04/2020 CREDIT SUISSE LOAN FUNDING LLC 4,477,462 4,992,405 0 4FE

12769L-AD-1 Caesars Resort Collection LLC 07/28/2020 Various 9,600,000 10,000,000 0 4FE

14161J-AB-0 Cardtronics USA Inc. 07/02/2020 JP Morgan 4,912,500 5,000,000 0 3FE

15134N-AE-6 Cengage Learning, Inc. 07/13/2020 Various 3,651,986 4,485,221 0 4FE

25365E-AP-0 Diebold Nixdorf Incorporated (f/k/a Dieb 07/16/2020 Bank of America 3,006,648 2,979,496 0 4FE

28414B-AF-3 Elanco Animal Health Incorporated 08/26/2020 Goldman Sachs Bank USA 994,580 1,000,000 0 2FE

29089C-AJ-5 Emerald Performance Materials LLC 08/14/2020 CREDIT SUISSE SECURITIES BANK DEBT 1,980,000 2,000,000 0 4FE

29373U-AC-5 Envision Healthcare Corporation 09/02/2020 Various 17,969,545 26,064,498 0 5FE

29426N-AN-4 Epicor Software Corporation (fka Eagle P 08/11/2020 KKR Corporate Lending LLC 5,880,000 6,000,000 0 4FE

29427B-AF-6 EPIC Y-Grade Services LP 07/31/2020 EXCHANGE 8,532,967 11,508,339 0 5FE

31659H-AQ-4 FIELDWOOD ENERGY LLC 09/30/2020 CANTOR FITZGERALD & CO 2,943,449 11,891,882 0 6Z

31935H-AB-3 First Brands Group LLC 08/13/2020 JEFFERIES FINANCE LLC 5,640,000 6,000,000 0 4FE

38469E-AC-7 Graham Packaging Company Inc. 08/07/2020 CREDIT SUISSE SECURITIES BANK DEBT 3,970,000 4,000,000 0 4FE

38740T-AB-7 Granite US Holdings Corporation 08/19/2020 JP Morgan 4,417,500 5,000,000 0 5FE

42236W-AH-0 Heartland Dental Initial Term loan 09/04/2020 JEFFERIES LEVERAGED CREDIT PRODUCTS LLC 5,355,337 5,989,830 0 5Z

44413E-AD-0 Hudson River Trading LLC 09/04/2020 JP Morgan 3,456,250 3,500,000 0 3FE

45174U-AG-3 iHeartCommunications Inc. (fka Clear Cha 07/27/2020 Bank of America 8,595,000 9,000,000 0 4FE

45174U-AG-3 iHeartCommunications Inc. (fka Clear Cha 07/27/2020 Bank of America 2,865,000 3,000,000 0 4FE

47714F-AL-8 JetBlue Airways Corporation 07/29/2020 Various 5,929,873 6,000,000 0 3FE

49387T-AR-7 KIK CUSTOM PRODUCTS, INC. 07/10/2020 WELLS FARGO BANK N.A 1,820,760 2,000,000 0 5FE

49387T-AR-7 Kronos Acquisition Intermediate Inc. (ak 07/10/2020 WELLS FARGO BANK N.A 4,551,900 5,000,000 0 5FE

50217U-AS-6 LTI Holdings Inc. 07/15/2020 ROYAL BANK OF CANADA 3,457,027 3,989,848 0 5FE

51508P-AG-9 Golden Nugget Inc. (aka Landry's Inc.) 09/09/2020 Various 6,500,059 7,969,285 0 4FE

54142K-AD-3 LogMeIn Inc. 09/10/2020 Barclays Bank PLC 9,750,000 10,000,000 0 4FE

58063V-AH-6 McGraw-Hill Global Education Holdings LL 07/08/2020 Goldman Sachs Bank USA 1,458,868 1,994,616 0 4FE

60662W-AP-7 Mitchell International Inc. 08/12/2020 KKR Corporate Lending LLC 12,220,000 13,000,000 0 4FE

63939W-AJ-2 Navicure Inc. 09/29/2020 JP Morgan 3,491,250 3,500,000 0 4FE

68162R-AC-5 West Corp 1st Lien Term B Loans 09/11/2020 CREDIT SUISSE LOAN FUNDING LLC 3,578,380 4,000,000 0 4FE

68627B-AB-1 Orion Advisor Solutions Inc. 09/25/2020 CREDIT SUISSE SECURITIES BANK DEBT 4,455,000 4,500,000 0 4Z

70323K-AC-2 Pathway Vet Alliance LLC 07/07/2020 JEFFERIES FINANCE LLC 2,692,572 2,767,573 0 4FE

75774E-AB-1 Redstone Holdco 2 LP 09/09/2020 UBS AG - STAMFORD BRANCH 4,894,097 5,000,000 0 4FE

75774E-AB-1 RSA Security LLC 09/09/2020 UBS AG - STAMFORD BRANCH 1,957,639 2,000,000 0 4FE

80875A-AP-6 Scientific Games International Inc. 07/17/2020 UBS AG - STAMFORD BRANCH 2,723,777 2,992,347 0 4FE

80875A-AP-6 Scientific Games International Inc. 07/23/2020 Goldman Sachs Bank USA 1,814,750 1,994,898 0 4FE

82087U-AK-3 Shearer's Foods LLC 09/25/2020 CREDIT SUISSE SECURITIES BANK DEBT 2,977,500 3,000,000 0 4FE

86736L-AB-9 Sungard AS New Holdings III LLC 07/06/2020 PIK BUY 41,965 41,965 0 5FE

86736L-AD-5 Sungard AS New Holdings III LLC 07/06/2020 PIK BUY 14,047 15,608 0 4FE

87817J-AE-8 Team Health Holdings Inc. 07/10/2020 Various 7,351,492 9,974,227 0 4FE

89148P-AE-0 Tosca Services LLC 08/24/2020 CREDIT SUISSE SECURITIES BANK DEBT 985,000 1,000,000 0 4FE

89364M-BQ-6 TransDigm Inc. 07/17/2020 CREDIT SUISSE LOAN FUNDING LLC 6,177,523 6,982,456 0 4FE

89364M-BS-2 TransDigm Inc. 07/20/2020 Various 9,288,579 9,974,937 0 4FE

89364M-BS-2 TransDigm Inc. 07/09/2020 Various 6,930,762 7,923,411 0 4FE

E04.8



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 and


90385K-AD-3 Ultimate Software Group Inc. The 07/06/2020 CREDIT SUISSE SECURITIES BANK DEBT 4,925,000 5,000,000 0 4FE

91132U-AG-8 United PF Holdings LLC 07/20/2020 Various 5,525,531 6,369,990 0 5FE

92346N-AB-5 VeriFone Systems Inc. 07/21/2020 Various 4,342,804 5,000,000 0 4FE

97381J-AE-3 Windstream Services LLC (fka Windstream 09/25/2020 DIRECT INVESTMENT 8,528,441 8,766,000 0 4FE

G9341J-AL-4 Veritas US Inc. C 08/20/2020 CORPORATE ACTION 5,302,590 5,984,536 0 4FE

L9000B-AC-7 Software Luxembourg Acquisition S.a r.l. C 09/24/2020 DIRECT INVESTMENT 2,244,902 2,275,937 0 4FE

L9000B-AE-3 Software Luxembourg Acquisition S.a r.l. C 08/27/2020 EXCHANGE 8,109,349 8,447,238 0 4FE

N5200E-AC-5 Lealand Finance Company B.V. C 07/01/2020 CONVERSION 506,419 511,018 0 3Z

8299999. Subtotal - Bonds - Unaffiliated Bank Loans 285,132,366 325,426,871 0 XXX

8399997. Total - Bonds - Part 3 3,445,133,599 3,431,914,381 4,014,018 XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX

8399999. Total - Bonds 3,445,133,599 3,431,914,381 4,014,018 XXX30767E-AD-1 FARM CREDIT BANK OF TEXAS 07/15/2020 BOFA SECURITIES INC. 15,000,000.000 15,000,000 0.00 0 1

37045X-DB-9 GENERAL MOTORS FINANCIAL COMPANY INC 09/09/2020 MORGAN STANLEY & CO. LLC 1,000,000.000 1,000,000 0.00 0 3FE

446150-AV-6 HUNTINGTON BANCSHARES INC 08/03/2020 BOFA SECURITIES INC. 1,000,000.000 1,000,000 0.00 0 3FE

8499999. Subtotal - Preferred Stocks - Industrial and Miscellaneous (Unaffiliated) Perpetual Preferred 17,000,000 XXX 0 XXX

8999997. Total - Preferred Stocks - Part 3 17,000,000 XXX 0 XXX

8999998. Total - Preferred Stocks - Part 5 XXX XXX XXX XXX

8999999. Total - Preferred Stocks 17,000,000 XXX 0 XXX00287Y-10-9 ABBVIE ORD 09/16/2020 Various 10,000.000 916,216 0

00653Q-10-2 ADAPTHEALTH CL A ORD 09/03/2020 Various 425,100.000 6,749,054 0

009158-10-6 AIR PRODUCTS AND CHEMICALS ORD 09/14/2020 Various 7,500.000 2,236,978 0

02079K-30-5 ALPHABET CL A ORD 08/06/2020 JP MORGAN SECURITIES INC. 1,000.000 1,504,356 0

08579W-10-3 BERRY GLOBAL GROUP ORD 07/21/2020 Various 20,000.000 923,739 0

110122-10-8 BRISTOL MYERS SQUIBB ORD 08/12/2020 Various 15,000.000 924,573 0

117043-12-5 BRUNSWICK ASSET FINANCING LLC 09/15/2020 DIRECT (INV DECISION) 19,359.760 19,360 0

125523-10-0 CIGNA ORD 08/04/2020 Various 10,000.000 1,777,668 0

12572Q-10-5 CME GROUP CL A ORD 09/08/2020 Various 35,000.000 5,878,649 0

126650-10-0 CVS HEALTH ORD 08/04/2020 BERNSTEIN (SANFORD C)& CO 15,000.000 960,732 0

17275R-10-2 CISCO SYSTEMS ORD 09/08/2020 Various 10,000.000 416,694 0

18915M-10-7 CLOUDFLARE CL A ORD 09/14/2020 Various 60,000.000 2,290,760 0

293792-10-7 ENTERPRISE PRODUCTS PARTNERS UNT 08/07/2020 Various 150,000.000 2,677,051 0

30303M-10-2 FACEBOOK CL A ORD 09/08/2020 Various 5,500.000 1,465,024 0

40412C-10-1 HCA HEALTHCARE ORD 09/29/2020 Various 15,000.000 1,649,175 0

457187-10-2 INGREDION ORD 09/14/2020 Various 25,000.000 1,967,254 0

46625H-10-0 JPMORGAN CHASE ORD 08/11/2020 Various 15,000.000 1,507,636 0

469814-10-7 JACOBS ENGINEERING GROUP ORD 09/01/2020 MAXIM GROUP 5,000.000 458,443 0

49338L-10-3 KEYSIGHT TECHNOLOGIES ORD 09/17/2020 Various 65,000.000 6,477,428 0

56585A-10-2 MARATHON PETROLEUM ORD 09/08/2020 BERNSTEIN (SANFORD C)& CO 5,000.000 163,396 0

949746-10-1 WELLS FARGO ORD 09/14/2020 MAXIM GROUP 20,000.000 489,434 0

958102-10-5 WESTERN DIGITAL ORD 08/06/2020 Various 70,000.000 3,004,208 0

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Publicly Traded 44,457,825 XXX 0 XXX111412-64-9 Skillsoft Class A 08/27/2020 LOAN SYNDICATION CONV 79,116.000 11,867,400 0

9199999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Other 11,867,400 XXX 0 XXX

9799997. Total - Common Stocks - Part 3 56,325,225 XXX 0 XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX

9799999. Total - Common Stocks 56,325,225 XXX 0 XXX

9899999. Total - Preferred and Common Stocks 73,325,225 XXX 0 XXX

9999999 - Totals 3,518,458,824 XXX 4,014,018 XXX

E04.9


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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total

Foreign Exchange Change in

Book /Adjusted Carrying

Value

Book/Adjusted Carrying Value at Disposal

Date

Foreign Exchange

Gain (Loss) on Disposal

Realized Gain

(Loss) on Disposal

Total Gain (Loss) on Disposal

Bond Interest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAICDesig-nation and


36201V-VY-5 GN 594731 - RMBS 09/01/2020 Paydown 14,835 14,835 14,112 14,396 0 439 0 439 0 14,835 0 0 0 439 09/15/2033 1

36202B-4B-8 G2 001718 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 05/20/2024 1

36202B-7B-5 G2 001790 - RMBS 09/01/2020 Paydown 1 1 1 1 0 0 0 0 0 1 0 0 0 0 07/20/2024 1

36202C-BJ-1 G2 001841 - RMBS 09/01/2020 Paydown 3 3 3 3 0 0 0 0 0 3 0 0 0 0 08/20/2024 1

36202C-JC-8 G2 002059 - RMBS 09/01/2020 Paydown 7 7 7 6 0 0 0 0 0 7 0 0 0 0 08/20/2025 1

36202C-LW-1 G2 002141 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 12/20/2025 1

36202C-MU-4 G2 002171 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 02/20/2026 1

36202C-RE-5 G2 002285 - RMBS 09/01/2020 Paydown 650 650 651 650 0 0 0 0 0 650 0 0 0 33 09/20/2026 1

36202C-UC-5 G2 002379 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 02/20/2027 1

36202C-YH-0 G2 002512 - RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 11/20/2027 1

36202C-YW-7 G2 002525 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 12/20/2027 1

36202D-3J-8 G2 003501 - RMBS 09/01/2020 Paydown 228,374 228,373 239,471 238,597 0 (10,224) 0 (10,224) 0 228,373 0 1 1 8,961 01/20/2034 1

36202D-D7-3 G2 002826 - RMBS 09/01/2020 Paydown 12 12 12 12 0 0 0 0 0 12 0 0 0 1 10/20/2029 1

36202D-DB-4 G2 002798 - RMBS 09/01/2020 Paydown 117 117 117 117 0 1 0 1 0 117 0 0 0 6 08/20/2029 1

36202D-E4-9 G2 002855 - RMBS 09/01/2020 Paydown 256 256 264 276 0 (20) 0 (20) 0 256 0 0 0 15 12/20/2029 1

36202D-EN-7 G2 002841 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 11/20/2029 1

36202D-FH-9 G2 002868 - RMBS 09/01/2020 Paydown 26 26 26 26 0 0 0 0 0 26 0 0 0 1 01/20/2030 1

36202D-FZ-9 G2 002884 - RMBS 09/01/2020 Paydown 188 188 189 189 0 0 0 0 0 188 0 0 0 10 02/20/2030 1

36202D-GE-5 G2 002897 - RMBS 09/01/2020 Paydown 275 275 275 275 0 0 0 0 0 275 0 0 0 14 03/20/2030 1

36202D-GF-2 G2 002898 - RMBS 09/01/2020 Paydown 251 251 261 271 0 (20) 0 (20) 0 251 0 0 0 14 03/20/2030 1

36202D-GT-2 G2 002910 - RMBS 09/01/2020 Paydown 96 96 100 104 0 (8) 0 (8) 0 96 0 0 0 5 04/20/2030 1

36202D-J8-5 G2 002987 - RMBS 09/01/2020 Paydown 4,699 4,699 4,691 4,676 0 23 0 23 0 4,699 0 0 0 221 10/20/2030 1

36202D-JA-0 G2 002957 - RMBS 09/01/2020 Paydown 15 15 15 15 0 0 0 0 0 15 0 0 0 1 08/20/2030 1

36202D-JC-6 G2 002959 - RMBS 09/01/2020 Paydown 26 26 26 27 0 (1) 0 (1) 0 26 0 0 0 2 08/20/2030 1

36202D-JR-3 G2 002972 - RMBS 09/01/2020 Paydown 8,912 8,912 9,460 10,123 0 (1,211) 0 (1,211) 0 8,912 0 0 0 447 09/20/2030 1

36202D-KL-4 G2 002999 - RMBS 09/01/2020 Paydown 1,363 1,363 1,362 1,360 0 3 0 3 0 1,363 0 0 0 65 11/20/2030 1

36202D-KN-0 G2 003001 - RMBS 09/01/2020 Paydown 83 83 86 90 0 (6) 0 (6) 0 83 0 0 0 5 11/20/2030 1

36202D-RJ-2 G2 003189 - RMBS 09/01/2020 Paydown 4,656 4,656 4,877 5,206 0 (550) 0 (550) 0 4,656 0 0 0 204 01/20/2032 1

36203A-LG-9 GN 343327 - RMBS 09/01/2020 Paydown 48 48 51 50 0 (3) 0 (3) 0 48 0 0 0 2 10/15/2029 1

36203D-V6-4 GN 346337 - RMBS 09/01/2020 Paydown 29 29 31 30 0 (1) 0 (1) 0 29 0 0 0 1 12/15/2025 1

36203F-TK-1 GN 348054 - RMBS 09/01/2020 Paydown 18 18 19 19 0 0 0 0 0 18 0 0 0 1 04/15/2023 1

36203F-TV-7 GN 348064 - RMBS 09/01/2020 Paydown 571 571 598 583 0 (12) 0 (12) 0 571 0 0 0 29 04/15/2023 1

36203F-XW-0 GN 348193 - RMBS 07/15/2020 Paydown 210 210 218 218 0 (8) 0 (8) 0 210 0 0 0 9 07/15/2023 1

36203L-CU-4 GN 352083 - RMBS 09/01/2020 Paydown 598 598 634 629 0 (30) 0 (30) 0 598 0 0 0 30 09/15/2023 1

36203L-DT-6 GN 352114 - RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 08/15/2023 1

36203L-DU-3 GN 352115 - RMBS 09/01/2020 Paydown 96 96 100 101 0 (6) 0 (6) 0 96 0 0 0 5 08/15/2023 1

36203L-FE-7 GN 352165 - RMBS 09/01/2020 Paydown 10 10 11 11 0 (1) 0 (1) 0 10 0 0 0 1 06/15/2023 1

36203M-6D-7 GN 353768 - RMBS 09/01/2020 Paydown 40 40 42 43 0 (3) 0 (3) 0 40 0 0 0 2 08/15/2027 1

36203N-3L-0 GN 354603 - RMBS 09/01/2020 Paydown 447 447 463 457 0 (9) 0 (9) 0 447 0 0 0 21 06/15/2023 1

36203N-5N-4 GN 354653 - RMBS 09/01/2020 Paydown 720 720 751 742 0 (22) 0 (22) 0 720 0 0 0 36 09/15/2023 1

36203N-AX-6 GN 353822 - RMBS 09/01/2020 Paydown 17 17 17 17 0 0 0 0 0 17 0 0 0 1 09/15/2027 1

36203P-B5-1 GN 354760 - RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 02/15/2024 1

36203P-B9-3 GN 354764 - RMBS 09/01/2020 Paydown 14 14 15 15 0 0 0 0 0 14 0 0 0 1 02/15/2024 1

36203P-D7-5 GN 354826 - RMBS 09/01/2020 Paydown 250 250 260 258 0 (8) 0 (8) 0 250 0 0 0 11 06/15/2024 1

36203P-DM-2 GN 354808 - RMBS 09/01/2020 Paydown 366 366 379 376 0 (10) 0 (10) 0 366 0 0 0 18 05/15/2024 1

36203P-DP-5 GN 354810 - RMBS 09/01/2020 Paydown 6 6 6 6 0 0 0 0 0 6 0 0 0 0 04/15/2024 1

36203P-EC-3 GN 354831 - RMBS 09/01/2020 Paydown 39 39 40 40 0 (1) 0 (1) 0 39 0 0 0 2 06/15/2024 1

36203P-WK-5 GN 355350 - RMBS 08/17/2020 Paydown 1,319 1,319 1,412 1,334 0 (14) 0 (14) 0 1,319 0 0 0 58 09/15/2021 1

36203R-FM-6 GN 356672 - RMBS 09/01/2020 Paydown 823 823 857 852 0 (29) 0 (29) 0 823 0 0 0 40 07/15/2023 1

36203R-Z3-6 GN 357262 - RMBS 09/01/2020 Paydown 106 106 110 109 0 (3) 0 (3) 0 106 0 0 0 5 09/15/2023 1

36203S-3M-7 GN 358204 - RMBS 09/01/2020 Paydown 328 328 351 349 0 (21) 0 (21) 0 328 0 0 0 16 08/15/2023 1

36203S-N8-6 GN 357815 - RMBS 09/01/2020 Paydown 117 117 121 118 0 (1) 0 (1) 0 117 0 0 0 6 04/15/2023 1

36203U-ND-0 GN 359588 - RMBS 09/01/2020 Paydown 160 160 165 163 0 (4) 0 (4) 0 160 0 0 0 8 06/15/2023 1

36203X-G6-7 GN 362121 - RMBS 09/01/2020 Paydown 6 6 7 7 0 0 0 0 0 6 0 0 0 0 10/15/2023 1

36203X-KS-4 GN 362205 - RMBS 09/01/2020 Paydown 970 970 1,038 1,017 0 (47) 0 (47) 0 970 0 0 0 49 02/15/2024 1

36203X-LU-8 GN 362239 - RMBS 09/01/2020 Paydown 9 9 10 10 0 0 0 0 0 9 0 0 0 0 03/15/2024 1

36203X-YF-7 GN 362610 - RMBS 09/01/2020 Paydown 10 10 10 10 0 0 0 0 0 10 0 0 0 0 01/15/2026 1

36203Y-HK-3 GN 363034 - RMBS 09/01/2020 Paydown 26 26 27 27 0 0 0 0 0 26 0 0 0 1 09/15/2023 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36203Y-JE-5 GN 363061 - RMBS 09/01/2020 Paydown 11,564 11,564 12,266 11,937 0 (373) 0 (373) 0 11,564 0 0 0 611 07/15/2023 1

36204A-7A-7 GN 364589 - RMBS 09/01/2020 Paydown 64 64 66 66 0 (2) 0 (2) 0 64 0 0 0 3 08/15/2023 1

36204B-BW-2 GN 364653 - RMBS 07/15/2020 Paydown 13 13 14 13 0 0 0 0 0 13 0 0 0 0 09/15/2023 1

36204C-Q5-3 GN 365976 - RMBS 09/01/2020 Paydown 21 21 22 22 0 0 0 0 0 21 0 0 0 1 09/15/2023 1

36204C-XC-0 GN 366175 - RMBS 07/15/2020 Paydown 77 77 79 80 0 (3) 0 (3) 0 77 0 0 0 3 01/15/2024 1

36204H-E9-7 GN 370160 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 12/15/2023 1

36204K-6J-7 GN 372673 - RMBS 09/01/2020 Paydown 586 586 627 605 0 (19) 0 (19) 0 586 0 0 0 29 01/15/2024 1

36204K-AM-5 GN 371812 - RMBS 09/01/2020 Paydown 1,315 1,315 1,375 1,353 0 (38) 0 (38) 0 1,315 0 0 0 66 06/15/2024 1

36204K-S2-0 GN 372337 - RMBS 09/01/2020 Paydown 5 5 5 5 0 0 0 0 0 5 0 0 0 0 04/15/2026 1

36204K-WU-3 GN 372459 - RMBS 09/01/2020 Paydown 309 309 310 310 0 (1) 0 (1) 0 309 0 0 0 14 11/15/2027 1

36204K-WV-1 GN 372460 - RMBS 09/01/2020 Paydown 91 91 97 99 0 (8) 0 (8) 0 91 0 0 0 5 11/15/2027 1

36204Q-BU-3 GN 376351 - RMBS 09/01/2020 Paydown 182 182 188 187 0 (5) 0 (5) 0 182 0 0 0 9 12/15/2023 1

36204Q-BV-1 GN 376352 - RMBS 09/01/2020 Paydown 501 501 536 529 0 (27) 0 (27) 0 501 0 0 0 25 12/15/2023 1

36204Q-CL-2 GN 376375 - RMBS 09/01/2020 Paydown 424 424 438 434 0 (10) 0 (10) 0 424 0 0 0 21 01/15/2024 1

36204Q-JE-1 GN 376561 - RMBS 09/01/2020 Paydown 976 976 1,044 1,069 0 (92) 0 (92) 0 976 0 0 0 49 07/15/2024 1

36204R-LJ-5 GN 377529 - RMBS 09/01/2020 Paydown 714 714 746 745 0 (31) 0 (31) 0 714 0 0 0 36 03/15/2027 1

36204R-PH-5 GN 377624 - RMBS 09/01/2020 Paydown 96 96 102 107 0 (11) 0 (11) 0 96 0 0 0 5 04/15/2027 1

36204T-6C-3 GN 379867 - RMBS 09/01/2020 Paydown 33 33 34 34 0 (1) 0 (1) 0 33 0 0 0 2 01/15/2024 1

36204U-MM-0 GN 380264 - RMBS 09/01/2020 Paydown 18 18 18 18 0 0 0 0 0 18 0 0 0 1 03/15/2027 1

36204U-XU-0 GN 380591 - RMBS 09/01/2020 Paydown 13 13 13 13 0 0 0 0 0 13 0 0 0 1 08/15/2024 1

36204V-GU-7 GN 381011 - RMBS 08/17/2020 Paydown 238 238 247 241 0 (2) 0 (2) 0 238 0 0 0 12 01/15/2024 1

36204W-RD-1 GN 382184 - RMBS 09/01/2020 Paydown 42 42 43 42 0 (1) 0 (1) 0 42 0 0 0 2 03/15/2024 1

36205B-PH-9 GN 385724 - RMBS 09/01/2020 Paydown 13 13 14 14 0 (1) 0 (1) 0 13 0 0 0 1 06/15/2024 1

36205D-B5-6 GN 387160 - RMBS 09/01/2020 Paydown 23 23 25 24 0 (1) 0 (1) 0 23 0 0 0 1 10/15/2025 1

36205F-B2-8 GN 388957 - RMBS 09/01/2020 Paydown 119 119 122 121 0 (2) 0 (2) 0 119 0 0 0 6 12/15/2025 1

36205F-HD-8 GN 389128 - RMBS 09/01/2020 Paydown 152 152 160 160 0 (8) 0 (8) 0 152 0 0 0 7 05/15/2028 1

36205G-BF-7 GN 389838 - RMBS 09/01/2020 Paydown 107 107 107 107 0 0 0 0 0 107 0 0 0 6 08/15/2024 1

36205H-PY-9 GN 391139 - RMBS 09/01/2020 Paydown 90 90 90 90 0 1 0 1 0 90 0 0 0 4 03/15/2028 1

36205J-SW-6 GN 392133 - RMBS 09/01/2020 Paydown 51 51 54 53 0 (2) 0 (2) 0 51 0 0 0 3 04/15/2024 1

36205K-2W-1 GN 393289 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 01/15/2027 1

36205K-6K-3 GN 393374 - RMBS 09/01/2020 Paydown 102 102 108 114 0 (12) 0 (12) 0 102 0 0 0 5 02/15/2027 1

36205K-WR-9 GN 393156 - RMBS 09/01/2020 Paydown 183 183 195 193 0 (9) 0 (9) 0 183 0 0 0 9 06/15/2024 1

36205K-ZR-6 GN 393252 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 01/15/2027 1

36205L-5P-1 GN 394254 - RMBS 09/01/2020 Paydown 49 49 50 49 0 (1) 0 (1) 0 49 0 0 0 2 09/15/2025 1

36205P-4V-0 GN 396936 - RMBS 09/01/2020 Paydown 21 21 21 21 0 0 0 0 0 21 0 0 0 1 06/15/2024 1

36205P-7G-0 GN 396995 - RMBS 09/01/2020 Paydown 163 163 173 170 0 (7) 0 (7) 0 163 0 0 0 8 09/15/2027 1

36205R-4A-2 GN 398717 - RMBS 09/01/2020 Paydown 74 74 79 81 0 (8) 0 (8) 0 74 0 0 0 4 06/15/2026 1

36205R-XM-4 GN 398584 - RMBS 09/01/2020 Paydown 22 22 24 25 0 (3) 0 (3) 0 22 0 0 0 1 06/15/2029 1

36205R-YC-5 GN 398607 - RMBS 09/01/2020 Paydown 9 9 10 10 0 (1) 0 (1) 0 9 0 0 0 0 04/15/2026 1

36205S-QK-4 GN 399258 - RMBS 09/01/2020 Paydown 58 58 62 63 0 (4) 0 (4) 0 58 0 0 0 3 04/15/2027 1

36205T-E8-2 GN 399859 - RMBS 09/01/2020 Paydown 26 26 27 26 0 (1) 0 (1) 0 26 0 0 0 1 02/15/2026 1

36205T-HH-9 GN 399932 - RMBS 09/01/2020 Paydown 26 26 26 26 0 0 0 0 0 26 0 0 0 1 04/15/2026 1

36205T-PT-4 GN 400134 - RMBS 09/01/2020 Paydown 6 6 6 6 0 0 0 0 0 6 0 0 0 0 12/15/2027 1

36205U-5K-2 GN 401450 - RMBS 09/01/2020 Paydown 85 85 88 88 0 (4) 0 (4) 0 85 0 0 0 4 05/15/2027 1

36205W-3C-8 GN 403195 - RMBS 09/01/2020 Paydown 7 7 7 7 0 0 0 0 0 7 0 0 0 0 07/15/2024 1

36205X-2V-5 GN 404088 - RMBS 09/01/2020 Paydown 57 57 59 58 0 (1) 0 (1) 0 57 0 0 0 3 05/15/2025 1

36205Y-LU-4 GN 404539 - RMBS 09/01/2020 Paydown 374 374 378 377 0 (3) 0 (3) 0 374 0 0 0 18 07/15/2028 1

36206A-QM-8 GN 405560 - RMBS 09/01/2020 Paydown 1 1 1 1 0 0 0 0 0 1 0 0 0 0 01/15/2026 1

36206D-EQ-6 GN 407943 - RMBS 09/01/2020 Paydown 2,278 2,278 2,300 2,301 0 (23) 0 (23) 0 2,278 0 0 0 106 09/15/2028 1

36206D-LD-7 GN 408124 - RMBS 09/01/2020 Paydown 1,285 1,285 1,372 1,378 0 (93) 0 (93) 0 1,285 0 0 0 64 10/15/2025 1

36206D-LS-4 GN 408137 - RMBS 09/01/2020 Paydown 262 262 272 270 0 (7) 0 (7) 0 262 0 0 0 13 11/15/2025 1

36206E-FK-6 GN 408870 - RMBS 09/01/2020 Paydown 166 166 171 172 0 (6) 0 (6) 0 166 0 0 0 8 12/15/2025 1

36206F-3R-1 GN 410408 - RMBS 09/01/2020 Paydown 42 42 45 45 0 (3) 0 (3) 0 42 0 0 0 2 08/15/2027 1

36206F-5F-5 GN 410446 - RMBS 09/01/2020 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 02/15/2028 1

36206F-5Q-1 GN 410455 - RMBS 09/01/2020 Paydown 88 88 89 91 0 (3) 0 (3) 0 88 0 0 0 4 03/15/2028 1

36206F-R2-0 GN 410105 - RMBS 09/01/2020 Paydown 66 66 67 67 0 0 0 0 0 66 0 0 0 3 09/15/2025 1

36206F-SK-9 GN 410122 - RMBS 09/01/2020 Paydown 169 169 180 184 0 (15) 0 (15) 0 169 0 0 0 8 10/15/2025 1

36206F-VA-7 GN 410209 - RMBS 09/01/2020 Paydown 66 66 69 70 0 (4) 0 (4) 0 66 0 0 0 3 11/15/2025 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36206F-X9-8 GN 410304 - RMBS 09/01/2020 Paydown 415 415 433 433 0 (18) 0 (18) 0 415 0 0 0 21 12/15/2025 1

36206F-XD-9 GN 410276 - RMBS 09/01/2020 Paydown 158 158 164 164 0 (6) 0 (6) 0 158 0 0 0 8 08/15/2025 1

36206H-EP-9 GN 411542 - RMBS 09/01/2020 Paydown 4,483 4,483 4,653 4,621 0 (138) 0 (138) 0 4,483 0 0 0 196 12/15/2025 1

36206H-ML-9 GN 411763 - RMBS 09/01/2020 Paydown 85 85 88 89 0 (4) 0 (4) 0 85 0 0 0 4 05/15/2027 1

36206J-4D-3 GN 413120 - RMBS 09/01/2020 Paydown 5 5 5 5 0 0 0 0 0 5 0 0 0 0 09/15/2025 1

36206J-FT-6 GN 412478 - RMBS 09/01/2020 Paydown 8 8 9 9 0 0 0 0 0 8 0 0 0 0 08/15/2025 1

36206J-HF-4 GN 412530 - RMBS 09/01/2020 Paydown 197 197 207 208 0 (11) 0 (11) 0 197 0 0 0 10 12/15/2025 1

36206J-K4-5 GN 412615 - RMBS 09/01/2020 Paydown 338 338 361 366 0 (28) 0 (28) 0 338 0 0 0 18 06/15/2026 1

36206J-KQ-6 GN 412603 - RMBS 09/01/2020 Paydown 225 225 240 242 0 (17) 0 (17) 0 225 0 0 0 11 05/15/2026 1

36206J-YC-2 GN 413007 - RMBS 09/01/2020 Paydown 164 164 165 165 0 (1) 0 (1) 0 164 0 0 0 8 08/15/2025 1

36206J-YD-0 GN 413008 - RMBS 09/01/2020 Paydown 16 16 16 16 0 (1) 0 (1) 0 16 0 0 0 1 08/15/2025 1

36206K-NM-9 GN 413596 - RMBS 09/01/2020 Paydown 7 7 7 7 0 0 0 0 0 7 0 0 0 0 01/15/2026 1

36206L-CD-9 GN 414168 - RMBS 09/01/2020 Paydown 92 92 99 94 0 (2) 0 (2) 0 92 0 0 0 5 09/15/2025 1

36206L-SZ-3 GN 414636 - RMBS 09/01/2020 Paydown 274 274 289 290 0 (16) 0 (16) 0 274 0 0 0 14 10/15/2025 1

36206L-V5-5 GN 414736 - RMBS 09/01/2020 Paydown 109 109 114 115 0 (5) 0 (5) 0 109 0 0 0 5 11/15/2025 1

36206L-ZD-4 GN 414840 - RMBS 09/01/2020 Paydown 79 79 82 83 0 (4) 0 (4) 0 79 0 0 0 4 12/15/2025 1

36206M-DT-1 GN 415114 - RMBS 09/01/2020 Paydown 98 98 102 103 0 (5) 0 (5) 0 98 0 0 0 5 02/15/2026 1

36206M-NA-1 GN 415385 - RMBS 09/01/2020 Paydown 16 16 17 19 0 (3) 0 (3) 0 16 0 0 0 1 09/15/2029 1

36206M-S9-9 GN 415544 - RMBS 09/01/2020 Paydown 295 295 314 310 0 (15) 0 (15) 0 295 0 0 0 15 08/15/2027 1

36206N-DQ-5 GN 416011 - RMBS 09/01/2020 Paydown 103 103 106 108 0 (5) 0 (5) 0 103 0 0 0 5 10/15/2025 1

36206N-XQ-3 GN 416587 - RMBS 09/01/2020 Paydown 61 61 62 62 0 0 0 0 0 61 0 0 0 3 06/15/2028 1

36206N-YH-2 GN 416612 - RMBS 09/01/2020 Paydown 15 15 15 15 0 0 0 0 0 15 0 0 0 1 08/15/2028 1

36206P-S5-0 GN 417340 - RMBS 09/01/2020 Paydown 189 189 202 204 0 (15) 0 (15) 0 189 0 0 0 9 04/15/2026 1

36206P-UQ-1 GN 417391 - RMBS 09/01/2020 Paydown 236 236 250 248 0 (13) 0 (13) 0 236 0 0 0 12 05/15/2026 1

36206P-VT-4 GN 417426 - RMBS 09/01/2020 Paydown 166 166 177 179 0 (13) 0 (13) 0 166 0 0 0 8 05/15/2026 1

36206R-K2-1 GN 418913 - RMBS 09/01/2020 Paydown 124 124 132 137 0 (12) 0 (12) 0 124 0 0 0 6 06/15/2027 1

36206S-DG-6 GN 419603 - RMBS 09/01/2020 Paydown 13 13 13 13 0 0 0 0 0 13 0 0 0 1 05/15/2026 1

36206S-LA-0 GN 419821 - RMBS 09/01/2020 Paydown 7 7 7 7 0 0 0 0 0 7 0 0 0 0 10/15/2025 1

36206U-PY-9 GN 421739 - RMBS 09/01/2020 Paydown 100 100 107 108 0 (8) 0 (8) 0 100 0 0 0 5 06/15/2026 1

36206U-Q9-3 GN 421780 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 03/15/2026 1

36206V-MD-6 GN 422556 - RMBS 09/01/2020 Paydown 477 477 498 502 0 (25) 0 (25) 0 477 0 0 0 24 04/15/2026 1

36206V-S7-3 GN 422742 - RMBS 09/01/2020 Paydown 24 24 24 24 0 0 0 0 0 24 0 0 0 1 05/15/2026 1

36206W-2H-7 GN 423876 - RMBS 09/01/2020 Paydown 513 512 532 540 0 (27) 0 (27) 0 512 0 0 0 26 07/15/2026 1

36206W-3P-8 GN 423906 - RMBS 09/01/2020 Paydown 15 15 16 17 0 (1) 0 (1) 0 15 0 0 0 1 07/15/2026 1

36206W-AM-7 GN 423112 - RMBS 09/01/2020 Paydown 80 80 85 83 0 (3) 0 (3) 0 80 0 0 0 4 09/15/2027 1

36206W-K5-3 GN 423416 - RMBS 09/01/2020 Paydown 86 86 92 94 0 (8) 0 (8) 0 86 0 0 0 4 12/15/2025 1

36206W-NM-3 GN 423496 - RMBS 09/01/2020 Paydown 281 281 291 292 0 (10) 0 (10) 0 281 0 0 0 14 02/15/2026 1

36206X-6C-2 GN 424867 - RMBS 09/15/2020 Paydown 4,523 4,523 4,821 4,765 0 (242) 0 (242) 0 4,523 0 0 0 254 10/15/2027 1

36206X-P6-4 GN 424445 - RMBS 09/01/2020 Paydown 133 133 141 141 0 (9) 0 (9) 0 133 0 0 0 7 08/15/2027 1

36206Y-GF-2 GN 425098 - RMBS 09/01/2020 Paydown 31 31 33 33 0 (1) 0 (1) 0 31 0 0 0 2 03/15/2026 1

36206Y-GQ-8 GN 425107 - RMBS 09/01/2020 Paydown 70 70 71 71 0 0 0 0 0 70 0 0 0 3 04/15/2026 1

36207A-A9-3 GN 425832 - RMBS 09/01/2020 Paydown 49 49 49 50 0 (1) 0 (1) 0 49 0 0 0 2 01/15/2028 1

36207A-HR-6 GN 426040 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 04/15/2026 1

36207A-YW-6 GN 426525 - RMBS 09/01/2020 Paydown 25 25 25 25 0 0 0 0 0 25 0 0 0 1 12/15/2027 1

36207A-Z3-9 GN 426562 - RMBS 09/01/2020 Paydown 229 229 228 228 0 2 0 2 0 229 0 0 0 11 03/15/2028 1

36207B-4L-1 GN 427527 - RMBS 09/01/2020 Paydown 68 68 69 69 0 (1) 0 (1) 0 68 0 0 0 3 03/15/2028 1

36207B-BL-3 GN 426743 - RMBS 09/01/2020 Paydown 15 15 16 17 0 (2) 0 (2) 0 15 0 0 0 1 09/15/2029 1

36207B-R6-9 GN 427209 - RMBS 09/01/2020 Paydown 344 344 346 346 0 (1) 0 (1) 0 344 0 0 0 16 01/15/2028 1

36207C-F9-4 GN 427792 - RMBS 09/01/2020 Paydown 11 11 11 11 0 0 0 0 0 11 0 0 0 1 12/15/2027 1

36207C-GB-8 GN 427794 - RMBS 09/01/2020 Paydown 88 88 88 88 0 0 0 0 0 88 0 0 0 4 01/15/2028 1

36207C-MX-3 GN 427974 - RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 12/15/2026 1

36207D-NQ-5 GN 428899 - RMBS 09/01/2020 Paydown 95 95 98 99 0 (4) 0 (4) 0 95 0 0 0 5 12/15/2026 1

36207F-CV-1 GN 430384 - RMBS 09/01/2020 Paydown 5 5 5 5 0 0 0 0 0 5 0 0 0 0 08/15/2026 1

36207F-KY-6 GN 430611 - RMBS 09/01/2020 Paydown 223 223 224 224 0 (1) 0 (1) 0 223 0 0 0 10 03/15/2028 1

36207G-F9-5 GN 431392 - RMBS 09/01/2020 Paydown 5 5 5 5 0 0 0 0 0 5 0 0 0 0 09/15/2026 1

36207H-2G-1 GN 432875 - RMBS 09/01/2020 Paydown 18 18 18 19 0 (1) 0 (1) 0 18 0 0 0 1 06/15/2026 1

36207H-4Q-7 GN 432931 - RMBS 07/15/2020 Paydown 7 7 7 7 0 0 0 0 0 7 0 0 0 0 08/15/2026 1

36207J-2V-4 GN 433788 - RMBS 09/01/2020 Paydown 14 14 14 14 0 0 0 0 0 14 0 0 0 1 05/15/2028 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36207J-4R-1 GN 433832 - RMBS 09/01/2020 Paydown 67 67 67 68 0 0 0 0 0 67 0 0 0 3 06/15/2028 1

36207J-5S-8 GN 433857 - RMBS 09/01/2020 Paydown 1,176 1,176 1,210 1,193 0 (17) 0 (17) 0 1,176 0 0 0 49 06/15/2028 1

36207J-F4-0 GN 433187 - RMBS 09/01/2020 Paydown 12 12 12 12 0 0 0 0 0 12 0 0 0 1 12/15/2027 1

36207J-T4-5 GN 433571 - RMBS 09/01/2020 Paydown 2,191 2,191 2,307 2,338 0 (147) 0 (147) 0 2,191 0 0 0 102 02/15/2028 1

36207J-TX-1 GN 433566 - RMBS 09/01/2020 Paydown 44 44 44 44 0 0 0 0 0 44 0 0 0 2 01/15/2028 1

36207J-U7-6 GN 433606 - RMBS 09/01/2020 Paydown 43 43 43 43 0 (1) 0 (1) 0 43 0 0 0 2 02/15/2028 1

36207J-VU-4 GN 433627 - RMBS 09/01/2020 Paydown 16 16 16 16 0 0 0 0 0 16 0 0 0 1 02/15/2028 1

36207J-W6-6 GN 433669 - RMBS 09/01/2020 Paydown 43 43 44 46 0 (4) 0 (4) 0 43 0 0 0 2 03/15/2028 1

36207J-YB-3 GN 433706 - RMBS 09/01/2020 Paydown 107 107 113 118 0 (11) 0 (11) 0 107 0 0 0 5 04/15/2028 1

36207K-3Y-4 GN 434715 - RMBS 09/01/2020 Paydown 10 10 10 10 0 0 0 0 0 10 0 0 0 0 02/15/2030 1

36207K-3Z-1 GN 434716 - RMBS 09/01/2020 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 02/15/2030 1

36207K-CG-3 GN 433971 - RMBS 09/01/2020 Paydown 43 43 45 48 0 (5) 0 (5) 0 43 0 0 0 2 08/15/2028 1

36207K-CR-9 GN 433980 - RMBS 09/01/2020 Paydown 10 10 10 10 0 0 0 0 0 10 0 0 0 0 09/15/2028 1

36207K-DA-5 GN 433997 - RMBS 09/01/2020 Paydown 847 847 900 945 0 (98) 0 (98) 0 847 0 0 0 37 09/15/2028 1

36207K-QW-3 GN 434369 - RMBS 09/01/2020 Paydown 203 203 216 215 0 (12) 0 (12) 0 203 0 0 0 10 05/15/2029 1

36207K-RC-6 GN 434383 - RMBS 09/01/2020 Paydown 16 16 17 18 0 (2) 0 (2) 0 16 0 0 0 1 06/15/2029 1

36207K-SB-7 GN 434414 - RMBS 09/01/2020 Paydown 56 56 59 59 0 (3) 0 (3) 0 56 0 0 0 3 07/15/2029 1

36207K-SP-6 GN 434426 - RMBS 09/01/2020 Paydown 230 230 231 231 0 (1) 0 (1) 0 230 0 0 0 12 07/15/2029 1

36207K-T4-2 GN 434471 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 08/15/2029 1

36207K-TU-4 GN 434463 - RMBS 09/01/2020 Paydown 64 64 64 64 0 0 0 0 0 64 0 0 0 3 07/15/2029 1

36207K-U6-5 GN 434505 - RMBS 09/01/2020 Paydown 5 5 5 6 0 (1) 0 (1) 0 5 0 0 0 0 08/15/2029 1

36207K-UH-1 GN 434484 - RMBS 07/15/2020 Paydown 298 298 317 352 0 (54) 0 (54) 0 298 0 0 0 13 08/15/2029 1

36207K-UU-2 GN 434495 - RMBS 09/01/2020 Paydown 1,243 1,243 1,323 1,390 0 (146) 0 (146) 0 1,243 0 0 0 55 08/15/2029 1

36207K-WL-0 GN 434551 - RMBS 09/01/2020 Paydown 1 1 1 1 0 0 0 0 0 1 0 0 0 0 10/15/2029 1

36207K-XQ-8 GN 434587 - RMBS 09/01/2020 Paydown 19 19 19 19 0 0 0 0 0 19 0 0 0 1 11/15/2029 1

36207K-YJ-3 GN 434613 - RMBS 09/01/2020 Paydown 622 622 662 644 0 (22) 0 (22) 0 622 0 0 0 31 11/15/2029 1

36207M-6U-5 GN 436583 - RMBS 09/01/2020 Paydown 10 10 10 10 0 0 0 0 0 10 0 0 0 1 12/15/2026 1

36207M-M5-2 GN 436080 - RMBS 09/01/2020 Paydown 69 69 70 70 0 (1) 0 (1) 0 69 0 0 0 3 01/15/2028 1

36207M-MQ-6 GN 436067 - RMBS 09/01/2020 Paydown 2,979 2,979 2,989 2,984 0 (5) 0 (5) 0 2,979 0 0 0 135 01/15/2028 1

36207M-RT-5 GN 436198 - RMBS 09/01/2020 Paydown 17 17 18 19 0 (2) 0 (2) 0 17 0 0 0 1 02/15/2028 1

36207M-RU-2 GN 436199 - RMBS 09/01/2020 Paydown 84 84 84 83 0 0 0 0 0 84 0 0 0 4 02/15/2028 1

36207M-TV-8 GN 436264 - RMBS 09/01/2020 Paydown 96 96 95 95 0 0 0 0 0 96 0 0 0 4 03/15/2028 1

36207M-XE-1 GN 436377 - RMBS 09/01/2020 Paydown 143 143 153 156 0 (13) 0 (13) 0 143 0 0 0 7 04/15/2027 1

36207P-WH-8 GN 438148 - RMBS 09/01/2020 Paydown 48 48 48 48 0 0 0 0 0 48 0 0 0 2 06/15/2028 1

36207Q-AK-3 GN 438410 - RMBS 09/01/2020 Paydown 97 97 98 98 0 (1) 0 (1) 0 97 0 0 0 5 01/15/2028 1

36207Q-K2-2 GN 438713 - RMBS 09/01/2020 Paydown 127 127 136 135 0 (8) 0 (8) 0 127 0 0 0 6 04/15/2027 1

36207Q-RG-4 GN 438887 - RMBS 09/01/2020 Paydown 480 480 503 507 0 (27) 0 (27) 0 480 0 0 0 24 04/15/2027 1

36207R-GE-9 GN 439497 - RMBS 09/01/2020 Paydown 29 29 31 32 0 (3) 0 (3) 0 29 0 0 0 1 02/15/2027 1

36207R-JB-2 GN 439558 - RMBS 09/01/2020 Paydown 39 39 40 42 0 (4) 0 (4) 0 39 0 0 0 2 05/15/2027 1

36207S-CK-7 GN 440274 - RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 03/15/2027 1

36207S-D7-5 GN 440326 - RMBS 09/01/2020 Paydown 79 79 79 79 0 0 0 0 0 79 0 0 0 4 03/15/2027 1

36207S-DE-0 GN 440301 - RMBS 09/01/2020 Paydown 22 22 23 25 0 (3) 0 (3) 0 22 0 0 0 1 04/15/2027 1

36207S-L5-0 GN 440548 - RMBS 09/01/2020 Paydown 14 14 15 15 0 (1) 0 (1) 0 14 0 0 0 1 02/15/2027 1

36207T-SS-1 GN 441629 - RMBS 09/01/2020 Paydown 364 364 365 365 0 0 0 0 0 364 0 0 0 18 11/15/2029 1

36207T-X3-0 GN 441798 - RMBS 09/01/2020 Paydown 366 366 390 380 0 (14) 0 (14) 0 366 0 0 0 18 03/15/2027 1

36207U-GA-0 GN 442193 - RMBS 09/01/2020 Paydown 27 27 29 30 0 (3) 0 (3) 0 27 0 0 0 1 12/15/2026 1

36207U-LV-8 GN 442340 - RMBS 09/01/2020 Paydown 13 13 14 14 0 0 0 0 0 13 0 0 0 1 04/15/2028 1

36207U-MP-0 GN 442366 - RMBS 09/01/2020 Paydown 160 160 162 165 0 (5) 0 (5) 0 160 0 0 0 7 04/15/2028 1

36207U-QE-1 GN 442453 - RMBS 09/01/2020 Paydown 345 345 349 351 0 (6) 0 (6) 0 345 0 0 0 16 05/15/2028 1

36207U-QQ-4 GN 442463 - RMBS 09/01/2020 Paydown 562 562 564 563 0 (1) 0 (1) 0 562 0 0 0 26 03/15/2027 1

36207V-5E-2 GN 443745 - RMBS 09/01/2020 Paydown 421 421 426 428 0 (7) 0 (7) 0 421 0 0 0 20 07/15/2028 1

36207V-6R-2 GN 443780 - RMBS 09/01/2020 Paydown 53 53 53 53 0 0 0 0 0 53 0 0 0 2 12/15/2027 1

36207W-4D-3 GN 444620 - RMBS 09/01/2020 Paydown 12 12 12 12 0 0 0 0 0 12 0 0 0 1 05/15/2028 1

36207W-DZ-4 GN 443920 - RMBS 09/01/2020 Paydown 40 40 42 43 0 (3) 0 (3) 0 40 0 0 0 2 06/15/2027 1

36207W-EN-0 GN 443941 - RMBS 09/01/2020 Paydown 66 66 68 69 0 (3) 0 (3) 0 66 0 0 0 3 04/15/2027 1

36207W-UF-9 GN 444382 - RMBS 09/01/2020 Paydown 85 85 91 91 0 (6) 0 (6) 0 85 0 0 0 4 05/15/2027 1

36207X-2U-5 GN 445487 - RMBS 09/01/2020 Paydown 127 128 131 129 0 (2) 0 (2) 0 128 0 0 0 6 01/15/2028 1

36207X-4X-7 GN 445538 - RMBS 09/01/2020 Paydown 320 321 342 335 0 (15) 0 (15) 0 321 0 0 0 16 10/15/2027 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36207X-QL-9 GN 445159 - RMBS 09/01/2020 Paydown 120 120 121 121 0 0 0 0 0 120 0 0 0 6 06/15/2028 1

36207X-ZP-0 GN 445450 - RMBS 09/01/2020 Paydown 65 65 67 67 0 (2) 0 (2) 0 65 0 0 0 3 04/15/2027 1

36207Y-AJ-9 GN 445609 - RMBS 09/01/2020 Paydown 37 37 38 38 0 (1) 0 (1) 0 37 0 0 0 2 01/15/2028 1

36207Y-CC-2 GN 445667 - RMBS 09/01/2020 Paydown 201 201 209 207 0 (6) 0 (6) 0 201 0 0 0 10 08/15/2027 1

36207Y-NX-4 GN 446006 - RMBS 09/01/2020 Paydown 154 154 156 155 0 (1) 0 (1) 0 154 0 0 0 7 08/15/2028 1

36208C-6H-5 GN 447372 - RMBS 09/01/2020 Paydown 935 935 979 975 0 (41) 0 (41) 0 935 0 0 0 47 07/15/2027 1

36208C-HK-6 GN 446734 - RMBS 09/01/2020 Paydown 99 99 100 100 0 (1) 0 (1) 0 99 0 0 0 5 09/15/2028 1

36208C-KY-2 GN 446811 - RMBS 09/01/2020 Paydown 9 9 10 10 0 (1) 0 (1) 0 9 0 0 0 0 06/15/2027 1

36208C-LL-9 GN 446831 - RMBS 09/01/2020 Paydown 26 26 25 25 0 0 0 0 0 26 0 0 0 1 08/15/2027 1

36208C-SB-4 GN 447014 - RMBS 09/01/2020 Paydown 42 42 45 46 0 (4) 0 (4) 0 42 0 0 0 2 05/15/2027 1

36208C-WV-5 GN 447160 - RMBS 09/01/2020 Paydown 38 38 41 41 0 (3) 0 (3) 0 38 0 0 0 2 05/15/2027 1

36208C-Y9-2 GN 447236 - RMBS 09/01/2020 Paydown 50 50 53 56 0 (5) 0 (5) 0 50 0 0 0 3 06/15/2027 1

36208D-DK-8 GN 447506 - RMBS 09/01/2020 Paydown 633 633 663 673 0 (40) 0 (40) 0 633 0 0 0 32 04/15/2027 1

36208D-G9-0 GN 447624 - RMBS 09/01/2020 Paydown 127 127 131 131 0 (4) 0 (4) 0 127 0 0 0 6 06/15/2027 1

36208D-H4-0 GN 447651 - RMBS 09/01/2020 Paydown 101 101 106 108 0 (7) 0 (7) 0 101 0 0 0 5 06/15/2027 1

36208D-LG-8 GN 447727 - RMBS 09/01/2020 Paydown 324 324 346 337 0 (13) 0 (13) 0 324 0 0 0 16 06/15/2027 1

36208D-MA-0 GN 447753 - RMBS 09/01/2020 Paydown 198 198 211 218 0 (21) 0 (21) 0 198 0 0 0 10 07/15/2027 1

36208D-RW-7 GN 447901 - RMBS 09/01/2020 Paydown 192 192 192 192 0 (1) 0 (1) 0 192 0 0 0 9 11/15/2027 1

36208D-UD-5 GN 447980 - RMBS 09/01/2020 Paydown 412 412 413 413 0 0 0 0 0 412 0 0 0 19 06/15/2028 1

36208D-UE-3 GN 447981 - RMBS 09/01/2020 Paydown 4 4 4 5 0 (1) 0 (1) 0 4 0 0 0 0 06/15/2028 1

36208D-UH-6 GN 447984 - RMBS 09/01/2020 Paydown 116 116 122 130 0 (13) 0 (13) 0 116 0 0 0 5 06/15/2028 1

36208D-UJ-2 GN 447985 - RMBS 09/01/2020 Paydown 125 125 125 125 0 (1) 0 (1) 0 125 0 0 0 6 06/15/2028 1

36208D-UK-9 GN 447986 - RMBS 09/01/2020 Paydown 77 77 80 83 0 (6) 0 (6) 0 77 0 0 0 3 06/15/2028 1

36208D-V3-6 GN 448034 - RMBS 09/01/2020 Paydown 18 18 19 19 0 (1) 0 (1) 0 18 0 0 0 1 05/15/2027 1

36208E-6Z-1 GN 449188 - RMBS 09/01/2020 Paydown 3 3 3 3 0 0 0 0 0 3 0 0 0 0 10/15/2027 1

36208E-LC-5 GN 448623 - RMBS 09/01/2020 Paydown 98 98 97 97 0 1 0 1 0 98 0 0 0 5 07/15/2027 1

36208E-NC-3 GN 448687 - RMBS 09/01/2020 Paydown 23 23 25 25 0 (2) 0 (2) 0 23 0 0 0 1 09/15/2027 1

36208E-WU-3 GN 448959 - RMBS 09/01/2020 Paydown 87 87 90 91 0 (4) 0 (4) 0 87 0 0 0 4 08/15/2027 1

36208E-X3-2 GN 448998 - RMBS 09/01/2020 Paydown 173 173 177 181 0 (8) 0 (8) 0 173 0 0 0 8 06/15/2028 1

36208E-YJ-6 GN 449013 - RMBS 09/01/2020 Paydown 53 53 56 56 0 (4) 0 (4) 0 53 0 0 0 3 09/15/2027 1

36208E-ZC-0 GN 449039 - RMBS 09/01/2020 Paydown 109 109 110 110 0 0 0 0 0 109 0 0 0 5 06/15/2028 1

36208E-ZT-3 GN 449054 - RMBS 09/01/2020 Paydown 52 52 54 55 0 (3) 0 (3) 0 52 0 0 0 3 10/15/2027 1

36208F-AY-6 GN 449223 - RMBS 09/01/2020 Paydown 78 78 78 78 0 0 0 0 0 78 0 0 0 4 01/15/2028 1

36208F-H4-5 GN 449451 - RMBS 09/01/2020 Paydown 106 106 113 115 0 (8) 0 (8) 0 106 0 0 0 5 08/15/2027 1

36208F-HS-2 GN 449441 - RMBS 09/01/2020 Paydown 65 65 69 73 0 (8) 0 (8) 0 65 0 0 0 3 08/15/2027 1

36208F-K6-6 GN 449517 - RMBS 09/01/2020 Paydown 65 65 65 66 0 (1) 0 (1) 0 65 0 0 0 3 03/15/2028 1

36208F-KL-3 GN 449499 - RMBS 09/01/2020 Paydown 124 124 125 125 0 (1) 0 (1) 0 124 0 0 0 6 01/15/2028 1

36208F-LU-2 GN 449539 - RMBS 09/01/2020 Paydown 452 452 457 458 0 (7) 0 (7) 0 452 0 0 0 21 07/15/2028 1

36208F-MC-1 GN 449555 - RMBS 09/01/2020 Paydown 236 236 239 239 0 (3) 0 (3) 0 236 0 0 0 11 06/15/2028 1

36208F-WW-6 GN 449861 - RMBS 09/01/2020 Paydown 584 584 583 583 0 1 0 1 0 584 0 0 0 27 06/15/2028 1

36208F-YX-2 GN 449926 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 06/15/2028 1

36208G-3F-3 GN 450898 - RMBS 09/01/2020 Paydown 337 337 355 363 0 (26) 0 (26) 0 337 0 0 0 16 06/15/2028 1

36208G-4Y-1 GN 450939 - RMBS 09/01/2020 Paydown 73 73 77 79 0 (6) 0 (6) 0 73 0 0 0 3 07/15/2028 1

36208G-LW-6 GN 450441 - RMBS 09/01/2020 Paydown 626 626 628 627 0 (1) 0 (1) 0 626 0 0 0 29 11/15/2027 1

36208H-2R-6 GN 451784 - RMBS 09/01/2020 Paydown 206 206 219 219 0 (13) 0 (13) 0 206 0 0 0 10 06/15/2027 1

36208H-PZ-3 GN 451440 - RMBS 09/01/2020 Paydown 1 1 1 1 0 0 0 0 0 1 0 0 0 0 09/15/2027 1

36208H-QA-7 GN 451449 - RMBS 09/01/2020 Paydown 102 102 109 112 0 (10) 0 (10) 0 102 0 0 0 5 09/15/2027 1

36208H-QL-3 GN 451459 - RMBS 09/01/2020 Paydown 11 11 11 12 0 (2) 0 (2) 0 11 0 0 0 1 09/15/2027 1

36208H-SM-9 GN 451524 - RMBS 09/01/2020 Paydown 31 31 31 31 0 0 0 0 0 31 0 0 0 1 10/15/2027 1

36208J-2J-0 GN 452677 - RMBS 09/01/2020 Paydown 73 73 73 73 0 0 0 0 0 73 0 0 0 3 11/15/2027 1

36208J-5P-3 GN 452754 - RMBS 09/01/2020 Paydown 29 29 29 29 0 0 0 0 0 29 0 0 0 1 01/15/2028 1

36208K-7B-9 GN 453690 - RMBS 09/01/2020 Paydown 25 25 25 25 0 0 0 0 0 25 0 0 0 1 09/15/2027 1

36208K-K4-0 GN 453115 - RMBS 07/15/2020 Paydown 6,749 6,749 7,084 7,454 0 (705) 0 (705) 0 6,749 0 0 0 275 08/15/2028 1

36208L-6G-7 GN 454571 - RMBS 09/01/2020 Paydown 313 313 316 317 0 (5) 0 (5) 0 313 0 0 0 15 06/15/2028 1

36208L-JB-4 GN 453958 - RMBS 09/01/2020 Paydown 243 243 259 259 0 (16) 0 (16) 0 243 0 0 0 12 08/15/2027 1

36208L-QT-7 GN 454166 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 05/15/2028 1

36208L-QZ-3 GN 454172 - RMBS 09/01/2020 Paydown 330 330 335 341 0 (10) 0 (10) 0 330 0 0 0 15 06/15/2028 1

36208L-RM-1 GN 454192 - RMBS 09/01/2020 Paydown 5 5 5 5 0 0 0 0 0 5 0 0 0 0 07/15/2028 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36208L-RQ-2 GN 454195 - RMBS 09/01/2020 Paydown 180 180 182 183 0 (3) 0 (3) 0 180 0 0 0 8 08/15/2028 1

36208L-XC-6 GN 454375 - RMBS 09/01/2020 Paydown 32 32 32 32 0 0 0 0 0 32 0 0 0 1 03/15/2028 1

36208L-XP-7 GN 454386 - RMBS 09/01/2020 Paydown 38 38 38 38 0 0 0 0 0 38 0 0 0 2 04/15/2028 1

36208M-3M-5 GN 455404 - RMBS 09/01/2020 Paydown 741 741 778 761 0 (19) 0 (19) 0 741 0 0 0 37 08/15/2027 1

36208M-4P-7 GN 455430 - RMBS 09/01/2020 Paydown 122 122 130 137 0 (14) 0 (14) 0 122 0 0 0 6 08/15/2027 1

36208M-5F-8 GN 455446 - RMBS 09/01/2020 Paydown 153 153 154 153 0 0 0 0 0 153 0 0 0 7 08/15/2027 1

36208M-LG-8 GN 454927 - RMBS 09/01/2020 Paydown 19 19 19 20 0 0 0 0 0 19 0 0 0 1 12/15/2027 1

36208M-YT-6 GN 455322 - RMBS 09/01/2020 Paydown 413 413 440 450 0 (37) 0 (37) 0 413 0 0 0 21 10/15/2027 1

36208N-3M-3 GN 456304 - RMBS 09/01/2020 Paydown 43 43 43 43 0 0 0 0 0 43 0 0 0 2 11/15/2027 1

36208N-JX-2 GN 455778 - RMBS 07/15/2020 Paydown 1,055 1,055 1,103 1,122 0 (66) 0 (66) 0 1,055 0 0 0 46 09/15/2027 1

36208N-N5-8 GN 455912 - RMBS 09/01/2020 Paydown 35 35 37 37 0 (2) 0 (2) 0 35 0 0 0 2 12/15/2027 1

36208N-N8-2 GN 455915 - RMBS 09/01/2020 Paydown 53 53 54 54 0 0 0 0 0 53 0 0 0 3 12/15/2027 1

36208N-QN-6 GN 455961 - RMBS 09/01/2020 Paydown 204 204 205 205 0 (1) 0 (1) 0 204 0 0 0 10 03/15/2028 1

36208N-V7-5 GN 456138 - RMBS 09/01/2020 Paydown 85 85 89 92 0 (7) 0 (7) 0 85 0 0 0 4 03/15/2028 1

36208N-WL-3 GN 456151 - RMBS 09/01/2020 Paydown 72 72 73 73 0 0 0 0 0 72 0 0 0 3 03/15/2028 1

36208P-EN-4 GN 456541 - RMBS 09/01/2020 Paydown 54 54 57 61 0 (7) 0 (7) 0 54 0 0 0 3 09/15/2027 1

36208P-NH-7 GN 456792 - RMBS 09/01/2020 Paydown 12 12 12 12 0 0 0 0 0 12 0 0 0 1 04/15/2028 1

36208P-NX-2 GN 456806 - RMBS 09/01/2020 Paydown 11 11 11 11 0 0 0 0 0 11 0 0 0 1 04/15/2028 1

36208P-QH-4 GN 456856 - RMBS 09/01/2020 Paydown 355 355 353 353 0 2 0 2 0 355 0 0 0 17 03/15/2029 1

36208P-RE-0 GN 456885 - RMBS 09/01/2020 Paydown 71 71 70 70 0 1 0 1 0 71 0 0 0 3 05/15/2028 1

36208P-VQ-8 GN 457023 - RMBS 09/01/2020 Paydown 33 33 33 33 0 0 0 0 0 33 0 0 0 2 06/15/2028 1

36208Q-AA-4 GN 457301 - RMBS 09/01/2020 Paydown 20 20 20 20 0 0 0 0 0 20 0 0 0 1 02/15/2028 1

36208Q-B9-6 GN 457364 - RMBS 09/01/2020 Paydown 253 253 255 255 0 (1) 0 (1) 0 253 0 0 0 12 01/15/2028 1

36208Q-GC-4 GN 457495 - RMBS 09/01/2020 Paydown 98 98 104 105 0 (8) 0 (8) 0 98 0 0 0 5 11/15/2027 1

36208Q-SG-2 GN 457819 - RMBS 09/01/2020 Paydown 332 332 337 336 0 (4) 0 (4) 0 332 0 0 0 16 09/15/2028 1

36208Q-XR-2 GN 457988 - RMBS 09/01/2020 Paydown 245 245 246 246 0 (1) 0 (1) 0 245 0 0 0 12 01/15/2029 1

36208R-ER-1 GN 458344 - RMBS 09/01/2020 Paydown 90 90 96 97 0 (7) 0 (7) 0 90 0 0 0 5 11/15/2027 1

36208R-FZ-2 GN 458384 - RMBS 09/01/2020 Paydown 50 50 50 50 0 0 0 0 0 50 0 0 0 2 02/15/2028 1

36208R-G6-5 GN 458421 - RMBS 09/01/2020 Paydown 119 119 126 126 0 (7) 0 (7) 0 119 0 0 0 6 10/15/2027 1

36208R-RW-6 GN 458701 - RMBS 09/01/2020 Paydown 42 42 42 42 0 0 0 0 0 42 0 0 0 2 11/15/2027 1

36208R-V5-0 GN 458836 - RMBS 09/01/2020 Paydown 126 126 126 126 0 (1) 0 (1) 0 126 0 0 0 6 03/15/2028 1

36208R-W9-1 GN 458872 - RMBS 09/01/2020 Paydown 6 6 6 6 0 0 0 0 0 6 0 0 0 0 03/15/2028 1

36208R-X7-4 GN 458902 - RMBS 09/01/2020 Paydown 59 59 61 63 0 (4) 0 (4) 0 59 0 0 0 3 07/15/2028 1

36208S-3S-9 GN 459909 - RMBS 09/01/2020 Paydown 108 108 109 109 0 (1) 0 (1) 0 108 0 0 0 5 01/15/2028 1

36208S-4N-9 GN 459929 - RMBS 09/01/2020 Paydown 346 346 350 349 0 (3) 0 (3) 0 346 0 0 0 16 02/15/2028 1

36208S-EA-6 GN 459229 - RMBS 09/01/2020 Paydown 87 87 93 94 0 (7) 0 (7) 0 87 0 0 0 4 10/15/2029 1

36208T-4P-2 GN 460830 - RMBS 09/01/2020 Paydown 219 219 230 239 0 (20) 0 (20) 0 219 0 0 0 9 05/15/2028 1

36208T-4W-7 GN 460837 - RMBS 09/01/2020 Paydown 6 6 6 6 0 0 0 0 0 6 0 0 0 0 06/15/2028 1

36208T-AD-2 GN 460004 - RMBS 09/01/2020 Paydown 26 26 27 27 0 0 0 0 0 26 0 0 0 1 03/15/2028 1

36208T-C6-5 GN 460093 - RMBS 09/01/2020 Paydown 50 50 50 50 0 0 0 0 0 50 0 0 0 3 11/15/2027 1

36208T-CE-8 GN 460069 - RMBS 09/01/2020 Paydown 124 124 125 125 0 (2) 0 (2) 0 124 0 0 0 6 05/15/2028 1

36208T-SY-7 GN 460535 - RMBS 09/01/2020 Paydown 33 33 33 33 0 0 0 0 0 33 0 0 0 2 01/15/2028 1

36208T-TJ-9 GN 460553 - RMBS 09/01/2020 Paydown 32 32 33 33 0 (1) 0 (1) 0 32 0 0 0 1 02/15/2028 1

36208T-VE-7 GN 460613 - RMBS 09/01/2020 Paydown 140 140 140 140 0 0 0 0 0 140 0 0 0 7 12/15/2027 1

36208T-XT-2 GN 460690 - RMBS 09/01/2020 Paydown 48 48 49 50 0 (1) 0 (1) 0 48 0 0 0 2 01/15/2028 1

36208U-BK-2 GN 460942 - RMBS 09/01/2020 Paydown 25 25 27 27 0 (2) 0 (2) 0 25 0 0 0 1 11/15/2027 1

36208U-CT-2 GN 460982 - RMBS 09/01/2020 Paydown 60 60 60 60 0 0 0 0 0 60 0 0 0 3 11/15/2027 1

36208U-D9-5 GN 461028 - RMBS 09/01/2020 Paydown 62 62 63 63 0 0 0 0 0 62 0 0 0 3 11/15/2027 1

36208U-JW-8 GN 461177 - RMBS 09/01/2020 Paydown 1,176 1,176 1,180 1,184 0 (8) 0 (8) 0 1,176 0 0 0 49 12/15/2027 1

36208U-K6-3 GN 461217 - RMBS 09/01/2020 Paydown 20 20 20 20 0 0 0 0 0 20 0 0 0 1 01/15/2028 1

36208U-KA-4 GN 461189 - RMBS 09/01/2020 Paydown 28 28 28 29 0 (1) 0 (1) 0 28 0 0 0 1 01/15/2028 1

36208U-KV-8 GN 461208 - RMBS 09/01/2020 Paydown 21 21 21 21 0 0 0 0 0 21 0 0 0 1 01/15/2028 1

36208U-TV-9 GN 461464 - RMBS 09/01/2020 Paydown 106 106 105 105 0 1 0 1 0 106 0 0 0 5 07/15/2028 1

36208V-7A-7 GN 462689 - RMBS 09/01/2020 Paydown 72 72 72 72 0 0 0 0 0 72 0 0 0 3 04/15/2028 1

36208V-A3-9 GN 461826 - RMBS 09/01/2020 Paydown 39 39 39 39 0 (1) 0 (1) 0 39 0 0 0 2 12/15/2027 1

36208V-EV-3 GN 461948 - RMBS 09/01/2020 Paydown 38 38 38 39 0 (1) 0 (1) 0 38 0 0 0 2 03/15/2028 1

36208V-HV-0 GN 462044 - RMBS 09/01/2020 Paydown 37 37 37 37 0 0 0 0 0 37 0 0 0 2 03/15/2028 1

36208V-N2-7 GN 462209 - RMBS 09/01/2020 Paydown 300 300 301 300 0 (1) 0 (1) 0 300 0 0 0 14 07/15/2028 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36208V-TV-7 GN 462364 - RMBS 09/01/2020 Paydown 21 21 21 21 0 0 0 0 0 21 0 0 0 1 11/15/2027 1

36208V-UC-7 GN 462379 - RMBS 09/01/2020 Paydown 93 93 99 108 0 (15) 0 (15) 0 93 0 0 0 5 11/15/2027 1

36208V-UH-6 GN 462384 - RMBS 09/01/2020 Paydown 23 23 23 24 0 0 0 0 0 23 0 0 0 1 11/15/2027 1

36208V-XJ-9 GN 462481 - RMBS 09/01/2020 Paydown 21 21 21 22 0 0 0 0 0 21 0 0 0 1 01/15/2028 1

36208V-XM-2 GN 462484 - RMBS 09/01/2020 Paydown 16 16 16 16 0 0 0 0 0 16 0 0 0 1 01/15/2028 1

36208V-XY-6 GN 462495 - RMBS 09/01/2020 Paydown 24 24 24 24 0 0 0 0 0 24 0 0 0 1 01/15/2028 1

36208V-ZM-0 GN 462548 - RMBS 09/01/2020 Paydown 67 67 67 67 0 0 0 0 0 67 0 0 0 3 02/15/2028 1

36208W-D8-3 GN 462827 - RMBS 09/01/2020 Paydown 30 30 30 30 0 0 0 0 0 30 0 0 0 1 07/15/2028 1

36208W-G7-2 GN 462922 - RMBS 09/01/2020 Paydown 49 49 52 54 0 (4) 0 (4) 0 49 0 0 0 2 06/15/2028 1

36208W-ZD-8 GN 463440 - RMBS 09/01/2020 Paydown 72 72 73 73 0 (1) 0 (1) 0 72 0 0 0 3 01/15/2028 1

36208X-3R-0 GN 464408 - RMBS 09/01/2020 Paydown 186 186 187 187 0 0 0 0 0 186 0 0 0 9 12/15/2028 1

36208Y-3X-5 GN 465314 - RMBS 09/01/2020 Paydown 70 70 71 71 0 (1) 0 (1) 0 70 0 0 0 3 05/15/2028 1

36208Y-6A-2 GN 465365 - RMBS 09/01/2020 Paydown 188 188 187 186 0 2 0 2 0 188 0 0 0 9 08/15/2028 1

36208Y-JD-2 GN 464760 - RMBS 09/01/2020 Paydown 72 72 72 71 0 1 0 1 0 72 0 0 0 3 08/15/2028 1

36208Y-MC-0 GN 464855 - RMBS 09/01/2020 Paydown 43 43 43 43 0 0 0 0 0 43 0 0 0 2 09/15/2028 1

36209A-RU-6 GN 465899 - RMBS 09/01/2020 Paydown 282 282 286 289 0 (6) 0 (6) 0 282 0 0 0 13 01/15/2028 1

36209A-TF-7 GN 465950 - RMBS 09/01/2020 Paydown 125 125 127 128 0 (3) 0 (3) 0 125 0 0 0 6 02/15/2028 1

36209A-UP-3 GN 465990 - RMBS 09/01/2020 Paydown 76 76 76 76 0 0 0 0 0 76 0 0 0 4 03/15/2028 1

36209A-WM-8 GN 466052 - RMBS 09/01/2020 Paydown 30 30 30 30 0 0 0 0 0 30 0 0 0 1 09/15/2028 1

36209A-XH-8 GN 466080 - RMBS 09/01/2020 Paydown 1,003 1,003 1,057 1,062 0 (59) 0 (59) 0 1,003 0 0 0 45 10/15/2028 1

36209A-ZK-9 GN 466146 - RMBS 09/01/2020 Paydown 407 407 408 408 0 (1) 0 (1) 0 407 0 0 0 20 07/15/2029 1

36209B-A2-4 GN 466325 - RMBS 09/01/2020 Paydown 57 57 61 62 0 (4) 0 (4) 0 57 0 0 0 3 01/15/2028 1

36209B-HR-2 GN 466540 - RMBS 09/01/2020 Paydown 227 227 238 243 0 (16) 0 (16) 0 227 0 0 0 11 02/15/2029 1



36209C-5E-2 GN 468045 - RMBS 09/01/2020 Paydown 50 50 50 50 0 0 0 0 0 50 0 0 0 2 07/15/2028 1

36209C-QX-7 GN 467670 - RMBS 09/01/2020 Paydown 189 189 189 189 0 0 0 0 0 189 0 0 0 9 02/15/2028 1

36209C-T8-9 GN 467775 - RMBS 09/01/2020 Paydown 19 19 19 19 0 0 0 0 0 19 0 0 0 1 01/15/2028 1

36209C-VU-7 GN 467827 - RMBS 09/01/2020 Paydown 163 163 170 173 0 (11) 0 (11) 0 163 0 0 0 8 07/15/2028 1

36209D-BN-3 GN 468145 - RMBS 09/01/2020 Paydown 86 86 91 92 0 (6) 0 (6) 0 86 0 0 0 4 08/15/2028 1

36209D-E5-9 GN 468256 - RMBS 09/01/2020 Paydown 141 141 149 152 0 (10) 0 (10) 0 141 0 0 0 7 09/15/2028 1

36209D-EN-0 GN 468241 - RMBS 09/01/2020 Paydown 736 736 738 738 0 (2) 0 (2) 0 736 0 0 0 38 09/15/2028 1

36209D-UT-9 GN 468694 - RMBS 09/01/2020 Paydown 81 81 82 83 0 (2) 0 (2) 0 81 0 0 0 4 02/15/2028 1

36209D-WT-7 GN 468758 - RMBS 09/01/2020 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 03/15/2028 1

36209E-UE-0 GN 469581 - RMBS 09/01/2020 Paydown 179 179 178 178 0 1 0 1 0 179 0 0 0 8 09/15/2028 1

36209E-VS-8 GN 469625 - RMBS 09/01/2020 Paydown 15 15 15 15 0 0 0 0 0 15 0 0 0 1 10/15/2028 1

36209E-WL-2 GN 469651 - RMBS 09/01/2020 Paydown 58 58 61 64 0 (7) 0 (7) 0 58 0 0 0 3 10/15/2028 1

36209F-A3-3 GN 469926 - RMBS 09/01/2020 Paydown 255 255 256 256 0 (1) 0 (1) 0 255 0 0 0 13 01/15/2029 1

36209F-BB-4 GN 469934 - RMBS 09/01/2020 Paydown 82 82 83 82 0 0 0 0 0 82 0 0 0 4 01/15/2029 1

36209F-D3-0 GN 470022 - RMBS 09/01/2020 Paydown 12 12 12 12 0 0 0 0 0 12 0 0 0 1 02/15/2029 1

36209F-FE-4 GN 470065 - RMBS 09/01/2020 Paydown 47 47 47 47 0 1 0 1 0 47 0 0 0 2 02/15/2029 1

36209F-G5-2 GN 470120 - RMBS 09/01/2020 Paydown 100 100 100 100 0 1 0 1 0 100 0 0 0 4 03/15/2029 1

36209F-HG-7 GN 470131 - RMBS 09/01/2020 Paydown 126 126 125 125 0 1 0 1 0 126 0 0 0 5 03/15/2029 1

36209F-JG-5 GN 470163 - RMBS 09/01/2020 Paydown 1,936 1,936 1,942 1,941 0 (5) 0 (5) 0 1,936 0 0 0 97 03/15/2029 1

36209F-P2-9 GN 470341 - RMBS 09/01/2020 Paydown 37 37 40 41 0 (3) 0 (3) 0 37 0 0 0 2 05/15/2029 1

36209F-PY-9 GN 470339 - RMBS 09/01/2020 Paydown 89 89 90 90 0 (1) 0 (1) 0 89 0 0 0 4 05/15/2029 1

36209F-VG-1 GN 470515 - RMBS 09/01/2020 Paydown 145 145 152 155 0 (10) 0 (10) 0 145 0 0 0 7 06/15/2029 1

36209G-2A-4 GN 471569 - RMBS 09/01/2020 Paydown 252 252 254 254 0 (3) 0 (3) 0 252 0 0 0 12 08/15/2028 1

36209G-6H-5 GN 471672 - RMBS 09/01/2020 Paydown 12 12 12 12 0 0 0 0 0 12 0 0 0 1 04/15/2028 1

36209G-6M-4 GN 471676 - RMBS 09/01/2020 Paydown 92 92 93 94 0 (2) 0 (2) 0 92 0 0 0 4 04/15/2028 1

36209G-6W-2 GN 471685 - RMBS 09/01/2020 Paydown 133 133 135 136 0 (3) 0 (3) 0 133 0 0 0 6 05/15/2028 1

36209G-7C-5 GN 471691 - RMBS 09/01/2020 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 05/15/2028 1

36209G-AE-7 GN 470805 - RMBS 09/01/2020 Paydown 16 16 16 16 0 0 0 0 0 16 0 0 0 1 08/15/2029 1

36209G-AF-4 GN 470806 - RMBS 09/01/2020 Paydown 56 56 60 62 0 (6) 0 (6) 0 56 0 0 0 3 08/15/2029 1

36209G-J8-1 GN 471087 - RMBS 09/01/2020 Paydown 542 542 571 566 0 (24) 0 (24) 0 542 0 0 0 26 08/15/2028 1

36209G-JA-6 GN 471057 - RMBS 09/01/2020 Paydown 864 864 861 860 0 4 0 4 0 864 0 0 0 46 06/15/2028 1

36209G-JH-1 GN 471064 - RMBS 09/01/2020 Paydown 167 167 172 170 0 (3) 0 (3) 0 167 0 0 0 7 06/15/2028 1

36209G-L4-7 GN 471147 - RMBS 09/01/2020 Paydown 43 43 43 43 0 0 0 0 0 43 0 0 0 2 03/15/2028 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36209G-NA-1 GN 471185 - RMBS 09/01/2020 Paydown 48 48 49 49 0 (1) 0 (1) 0 48 0 0 0 2 04/15/2028 1

36209G-QQ-3 GN 471263 - RMBS 09/01/2020 Paydown 14 14 14 14 0 0 0 0 0 14 0 0 0 1 05/15/2028 1

36209H-JW-6 GN 471977 - RMBS 09/01/2020 Paydown 43 43 43 43 0 0 0 0 0 43 0 0 0 2 07/15/2028 1

36209H-PH-2 GN 472124 - RMBS 09/01/2020 Paydown 102 102 102 102 0 0 0 0 0 102 0 0 0 5 04/15/2028 1

36209H-U7-8 GN 472306 - RMBS 09/01/2020 Paydown 126 126 133 132 0 (6) 0 (6) 0 126 0 0 0 6 06/15/2028 1

36209J-5K-3 GN 473450 - RMBS 09/01/2020 Paydown 44 44 44 44 0 0 0 0 0 44 0 0 0 2 07/15/2028 1

36209J-HD-6 GN 472828 - RMBS 09/01/2020 Paydown 270 270 268 267 0 3 0 3 0 270 0 0 0 13 12/15/2028 1

36209J-LC-3 GN 472923 - RMBS 09/01/2020 Paydown 66 66 66 66 0 0 0 0 0 66 0 0 0 3 11/15/2029 1

36209J-R2-9 GN 473105 - RMBS 09/01/2020 Paydown 254 254 252 251 0 3 0 3 0 254 0 0 0 12 04/15/2028 1

36209J-RS-2 GN 473097 - RMBS 09/01/2020 Paydown 39 39 40 40 0 (1) 0 (1) 0 39 0 0 0 2 03/15/2028 1

36209J-YE-5 GN 473309 - RMBS 09/01/2020 Paydown 303 303 319 326 0 (23) 0 (23) 0 303 0 0 0 14 06/15/2028 1

36209K-AY-4 GN 473523 - RMBS 09/01/2020 Paydown 15 15 15 15 0 0 0 0 0 15 0 0 0 1 04/15/2028 1

36209K-BN-7 GN 473545 - RMBS 09/01/2020 Paydown 10 10 10 10 0 0 0 0 0 10 0 0 0 0 04/15/2028 1

36209K-CT-3 GN 473582 - RMBS 09/01/2020 Paydown 26 26 27 29 0 (3) 0 (3) 0 26 0 0 0 1 06/15/2028 1

36209L-NL-6 GN 474795 - RMBS 09/01/2020 Paydown 72 72 75 76 0 (4) 0 (4) 0 72 0 0 0 3 07/15/2028 1

36209M-4C-5 GN 476119 - RMBS 09/01/2020 Paydown 51 51 51 51 0 0 0 0 0 51 0 0 0 2 07/15/2028 1

36209M-ES-9 GN 475445 - RMBS 09/01/2020 Paydown 265 265 279 280 0 (15) 0 (15) 0 265 0 0 0 12 07/15/2028 1

36209M-HV-9 GN 475544 - RMBS 09/01/2020 Paydown 434 434 458 452 0 (18) 0 (18) 0 434 0 0 0 20 08/15/2028 1

36209M-RZ-9 GN 475804 - RMBS 09/01/2020 Paydown 17 17 17 17 0 0 0 0 0 17 0 0 0 1 07/15/2028 1

36209M-U9-3 GN 475908 - RMBS 09/01/2020 Paydown 67 67 67 67 0 0 0 0 0 67 0 0 0 3 07/15/2028 1

36209M-Z4-9 GN 476063 - RMBS 09/01/2020 Paydown 374 374 378 381 0 (7) 0 (7) 0 374 0 0 0 17 06/15/2028 1

36209M-ZJ-6 GN 476045 - RMBS 09/01/2020 Paydown 17 17 17 17 0 0 0 0 0 17 0 0 0 1 06/15/2028 1

36209N-4M-1 GN 477028 - RMBS 09/01/2020 Paydown 325 325 325 325 0 0 0 0 0 325 0 0 0 16 02/15/2030 1

36209N-CP-5 GN 476278 - RMBS 09/01/2020 Paydown 15 15 15 15 0 0 0 0 0 15 0 0 0 1 05/15/2028 1

36209N-D2-5 GN 476321 - RMBS 09/01/2020 Paydown 123 123 129 132 0 (9) 0 (9) 0 123 0 0 0 6 06/15/2028 1

36209N-EP-3 GN 476342 - RMBS 09/15/2020 Paydown 6,556 6,556 6,646 6,722 0 (165) 0 (165) 0 6,556 0 0 0 343 06/15/2028 1

36209N-FE-7 GN 476365 - RMBS 09/01/2020 Paydown 35 35 35 35 0 0 0 0 0 35 0 0 0 2 06/15/2028 1

36209N-PR-7 GN 476632 - RMBS 09/01/2020 Paydown 171 171 170 170 0 1 0 1 0 171 0 0 0 8 09/15/2028 1

36209P-BT-3 GN 477150 - RMBS 09/01/2020 Paydown 45 45 45 45 0 (1) 0 (1) 0 45 0 0 0 2 07/15/2028 1

36209P-R4-1 GN 477607 - RMBS 09/01/2020 Paydown 115 115 119 122 0 (7) 0 (7) 0 115 0 0 0 5 06/15/2028 1

36209Q-6N-0 GN 478877 - RMBS 09/01/2020 Paydown 68 68 72 75 0 (7) 0 (7) 0 68 0 0 0 3 11/15/2029 1

36209Q-F8-3 GN 478191 - RMBS 09/01/2020 Paydown 401 401 422 421 0 (21) 0 (21) 0 401 0 0 0 18 06/15/2028 1

36209Q-L4-5 GN 478347 - RMBS 09/01/2020 Paydown 440 440 445 446 0 (6) 0 (6) 0 440 0 0 0 21 09/15/2028 1

36209Q-RP-2 GN 478494 - RMBS 09/01/2020 Paydown 302 302 306 308 0 (6) 0 (6) 0 302 0 0 0 14 07/15/2028 1

36209Q-YD-1 GN 478708 - RMBS 09/01/2020 Paydown 42 42 45 47 0 (6) 0 (6) 0 42 0 0 0 2 09/15/2029 1

36209R-C5-0 GN 478992 - RMBS 09/01/2020 Paydown 13 13 13 13 0 0 0 0 0 13 0 0 0 1 12/15/2029 1

36209R-CB-7 GN 478966 - RMBS 09/01/2020 Paydown 34 34 34 34 0 0 0 0 0 34 0 0 0 2 12/15/2029 1

36209R-RA-3 GN 479381 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 06/15/2030 1

36209R-TA-1 GN 479445 - RMBS 09/01/2020 Paydown 10 10 10 11 0 0 0 0 0 10 0 0 0 1 07/15/2030 1

36209S-3V-1 GN 480612 - RMBS 09/01/2020 Paydown 87 87 87 87 0 0 0 0 0 87 0 0 0 4 10/15/2028 1

36209S-HH-7 GN 480032 - RMBS 09/01/2020 Paydown 220 220 232 237 0 (17) 0 (17) 0 220 0 0 0 9 06/15/2028 1

36209S-TJ-0 GN 480353 - RMBS 09/01/2020 Paydown 10 10 11 11 0 (1) 0 (1) 0 10 0 0 0 0 06/15/2028 1

36209S-UX-7 GN 480398 - RMBS 09/01/2020 Paydown 108 108 114 128 0 (20) 0 (20) 0 108 0 0 0 5 07/15/2028 1

36209S-W2-3 GN 480465 - RMBS 09/15/2020 Paydown 5,907 5,907 6,199 6,310 0 (403) 0 (403) 0 5,907 0 0 0 309 07/15/2028 1

36209S-WA-5 GN 480441 - RMBS 09/01/2020 Paydown 14 14 15 16 0 (2) 0 (2) 0 14 0 0 0 1 08/15/2028 1

36209S-Y4-7 GN 480531 - RMBS 09/01/2020 Paydown 78 78 78 78 0 0 0 0 0 78 0 0 0 4 04/15/2029 1

36209T-6R-5 GN 481580 - RMBS 09/01/2020 Paydown 93 93 93 93 0 0 0 0 0 93 0 0 0 4 10/15/2028 1

36209T-BF-5 GN 480738 - RMBS 09/01/2020 Paydown 24 24 24 24 0 0 0 0 0 24 0 0 0 1 12/15/2028 1

36209T-GU-7 GN 480911 - RMBS 09/01/2020 Paydown 445 445 468 465 0 (20) 0 (20) 0 445 0 0 0 21 08/15/2028 1

36209T-LM-9 GN 481032 - RMBS 09/01/2020 Paydown 629 629 637 643 0 (14) 0 (14) 0 629 0 0 0 29 09/15/2028 1

36209T-PS-2 GN 481133 - RMBS 09/01/2020 Paydown 68 68 69 69 0 (1) 0 (1) 0 68 0 0 0 3 07/15/2028 1

36209T-U4-9 GN 481303 - RMBS 09/01/2020 Paydown 599 599 613 613 0 (14) 0 (14) 0 599 0 0 0 28 08/15/2028 1

36209T-VT-3 GN 481326 - RMBS 09/01/2020 Paydown 355 355 358 359 0 (4) 0 (4) 0 355 0 0 0 17 09/15/2028 1

36209U-A4-8 GN 481627 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 08/15/2029 1

36209U-AD-8 GN 481604 - RMBS 09/01/2020 Paydown 57 57 60 62 0 (5) 0 (5) 0 57 0 0 0 3 07/15/2029 1

36209U-AU-0 GN 481619 - RMBS 09/01/2020 Paydown 241 241 251 258 0 (17) 0 (17) 0 241 0 0 0 12 08/15/2029 1

36209U-GU-4 GN 481811 - RMBS 09/01/2020 Paydown 132 132 133 133 0 0 0 0 0 132 0 0 0 6 07/15/2028 1

36209U-K4-7 GN 481915 - RMBS 09/01/2020 Paydown 229 229 232 235 0 (6) 0 (6) 0 229 0 0 0 11 07/15/2028 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36209U-R4-0 GN 482107 - RMBS 09/01/2020 Paydown 177 177 186 190 0 (13) 0 (13) 0 177 0 0 0 8 08/15/2028 1

36209V-UU-6 GN 483095 - RMBS 09/01/2020 Paydown 462 462 464 463 0 (1) 0 (1) 0 462 0 0 0 23 01/15/2029 1

36209V-VP-6 GN 483122 - RMBS 09/01/2020 Paydown 142 142 149 151 0 (9) 0 (9) 0 142 0 0 0 7 08/15/2028 1

36209V-WV-2 GN 483160 - RMBS 09/01/2020 Paydown 136 136 137 138 0 (2) 0 (2) 0 136 0 0 0 6 09/15/2028 1

36209W-H5-4 GN 483652 - RMBS 09/01/2020 Paydown 56 56 56 56 0 0 0 0 0 56 0 0 0 3 10/15/2028 1

36209X-B2-5 GN 484357 - RMBS 09/01/2020 Paydown 53 53 54 54 0 0 0 0 0 53 0 0 0 2 09/15/2028 1

3620AR-HT-1 GN 737442 - RMBS 09/01/2020 Paydown 3,068,663 3,068,662 3,183,737 3,164,056 0 (95,394) 0 (95,394) 0 3,068,662 0 1 1 77,373 09/15/2040 1

36210A-2B-2 GN 486870 - RMBS 09/01/2020 Paydown 16 16 17 17 0 (1) 0 (1) 0 16 0 0 0 1 01/15/2029 1

36210A-4W-4 GN 486937 - RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 02/15/2029 1

36210A-BN-6 GN 486145 - RMBS 09/01/2020 Paydown 13 13 13 13 0 0 0 0 0 13 0 0 0 1 02/15/2030 1

36210A-DV-6 GN 486216 - RMBS 09/01/2020 Paydown 103 103 110 112 0 (9) 0 (9) 0 103 0 0 0 5 09/15/2029 1

36210A-E2-9 GN 486253 - RMBS 09/01/2020 Paydown 409 409 431 426 0 (18) 0 (18) 0 409 0 0 0 19 10/15/2028 1

36210A-J6-5 GN 486385 - RMBS 09/01/2020 Paydown 112 112 118 117 0 (5) 0 (5) 0 112 0 0 0 5 06/15/2029 1

36210A-MQ-7 GN 486467 - RMBS 09/01/2020 Paydown 188 188 198 206 0 (18) 0 (18) 0 188 0 0 0 9 08/15/2028 1

36210A-MY-0 GN 486475 - RMBS 09/01/2020 Paydown 69 69 72 75 0 (6) 0 (6) 0 69 0 0 0 3 08/15/2028 1

36210A-PQ-4 GN 486531 - RMBS 09/01/2020 Paydown 227 227 226 226 0 1 0 1 0 227 0 0 0 11 09/15/2028 1

36210A-VA-2 GN 486709 - RMBS 09/01/2020 Paydown 174 174 183 182 0 (8) 0 (8) 0 174 0 0 0 8 11/15/2028 1

36210A-VS-3 GN 486725 - RMBS 09/01/2020 Paydown 237 237 250 252 0 (15) 0 (15) 0 237 0 0 0 11 12/15/2028 1

36210B-BE-4 GN 487037 - RMBS 08/17/2020 Paydown 738 738 785 806 0 (69) 0 (69) 0 738 0 0 0 37 03/15/2029 1

36210B-DR-3 GN 487112 - RMBS 09/01/2020 Paydown 106 106 106 106 0 (1) 0 (1) 0 106 0 0 0 5 04/15/2029 1

36210B-V5-1 GN 487636 - RMBS 09/01/2020 Paydown 29 29 31 34 0 (5) 0 (5) 0 29 0 0 0 1 08/15/2029 1

36210C-CG-6 GN 487971 - RMBS 09/01/2020 Paydown 44 44 45 45 0 0 0 0 0 44 0 0 0 2 09/15/2028 1

36210D-J5-1 GN 489084 - RMBS 09/01/2020 Paydown 84 84 88 94 0 (9) 0 (9) 0 84 0 0 0 4 05/15/2029 1

36210D-KM-2 GN 489100 - RMBS 09/01/2020 Paydown 97 97 98 98 0 (1) 0 (1) 0 97 0 0 0 5 07/15/2029 1

36210E-SS-9 GN 490229 - RMBS 09/01/2020 Paydown 271 271 289 309 0 (38) 0 (38) 0 271 0 0 0 14 08/15/2029 1

36210F-6P-6 GN 491478 - RMBS 09/01/2020 Paydown 277 277 278 278 0 (2) 0 (2) 0 277 0 0 0 14 06/15/2029 1

36210H-D4-1 GN 492523 - RMBS 09/01/2020 Paydown 198 198 210 210 0 (12) 0 (12) 0 198 0 0 0 10 06/15/2029 1

36210H-DA-7 GN 492497 - RMBS 09/01/2020 Paydown 705 705 707 706 0 (1) 0 (1) 0 705 0 0 0 35 04/15/2029 1

36210J-US-5 GN 493893 - RMBS 09/15/2020 Paydown 55 55 55 55 0 0 0 0 0 55 0 0 0 3 04/15/2029 1

36210J-Y2-8 GN 494029 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 07/15/2029 1

36210J-ZL-5 GN 494047 - RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 08/15/2029 1

36210K-XC-4 GN 494875 - RMBS 09/01/2020 Paydown 235 235 236 236 0 (1) 0 (1) 0 235 0 0 0 12 08/15/2029 1

36210L-5M-1 GN 495952 - RMBS 09/01/2020 Paydown 240 240 249 254 0 (15) 0 (15) 0 240 0 0 0 12 02/15/2029 1

36210L-S5-3 GN 495640 - RMBS 09/01/2020 Paydown 132 132 140 142 0 (10) 0 (10) 0 132 0 0 0 7 07/15/2029 1

36210L-TK-9 GN 495654 - RMBS 09/01/2020 Paydown 54 54 57 61 0 (7) 0 (7) 0 54 0 0 0 3 07/15/2029 1

36210L-XA-6 GN 495773 - RMBS 09/01/2020 Paydown 53 53 55 57 0 (4) 0 (4) 0 53 0 0 0 2 12/15/2028 1

36210M-7L-9 GN 496899 - RMBS 09/01/2020 Paydown 331 331 352 352 0 (21) 0 (21) 0 331 0 0 0 17 05/15/2029 1

36210M-T3-5 GN 496570 - RMBS 09/01/2020 Paydown 619 619 620 620 0 (1) 0 (1) 0 619 0 0 0 25 03/15/2029 1

36210N-YZ-6 GN 497628 - RMBS 09/01/2020 Paydown 75 75 79 79 0 (5) 0 (5) 0 75 0 0 0 4 02/15/2029 1

36210P-K7-8 GN 498118 - RMBS 09/01/2020 Paydown 3 3 3 3 0 0 0 0 0 3 0 0 0 0 08/15/2029 1

36210Q-5Z-1 GN 499564 - RMBS 09/01/2020 Paydown 387 387 385 384 0 3 0 3 0 387 0 0 0 18 02/15/2029 1

36210Q-6B-3 GN 499566 - RMBS 09/01/2020 Paydown 450 450 474 474 0 (24) 0 (24) 0 450 0 0 0 21 01/15/2029 1

36210Q-7K-2 GN 499598 - RMBS 09/01/2020 Paydown 927 927 930 927 0 0 0 0 0 927 0 0 0 46 02/15/2029 1

36210Q-AR-3 GN 498716 - RMBS 09/01/2020 Paydown 66 66 70 74 0 (8) 0 (8) 0 66 0 0 0 3 05/15/2029 1

36210Q-X4-9 GN 499399 - RMBS 09/01/2020 Paydown 11 11 11 11 0 0 0 0 0 11 0 0 0 1 07/15/2029 1

36210Q-Y5-5 GN 499432 - RMBS 09/01/2020 Paydown 128 128 136 138 0 (11) 0 (11) 0 128 0 0 0 6 04/15/2029 1

36210Q-Y8-9 GN 499435 - RMBS 09/01/2020 Paydown 25 25 26 25 0 0 0 0 0 25 0 0 0 1 04/15/2029 1

36210Q-YP-1 GN 499418 - RMBS 09/01/2020 Paydown 161 161 169 173 0 (13) 0 (13) 0 161 0 0 0 7 02/15/2029 1

36210R-E7-1 GN 499758 - RMBS 09/01/2020 Paydown 96 96 96 96 0 0 0 0 0 96 0 0 0 5 09/15/2030 1

36210R-FE-5 GN 499765 - RMBS 09/01/2020 Paydown 11 11 11 11 0 0 0 0 0 11 0 0 0 1 11/15/2030 1

36210R-PP-9 GN 500030 - RMBS 09/01/2020 Paydown 6 6 6 6 0 0 0 0 0 6 0 0 0 0 05/15/2029 1

36210R-PX-2 GN 500038 - RMBS 09/01/2020 Paydown 147 147 156 155 0 (7) 0 (7) 0 147 0 0 0 7 06/15/2029 1

36210R-TV-2 GN 500164 - RMBS 09/01/2020 Paydown 23 23 23 23 0 0 0 0 0 23 0 0 0 1 11/15/2029 1

36210S-PM-4 GN 500928 - RMBS 09/01/2020 Paydown 10 10 10 10 0 0 0 0 0 10 0 0 0 0 05/15/2029 1

36210T-SU-1 GN 501931 - RMBS 09/01/2020 Paydown 127 127 135 135 0 (9) 0 (9) 0 127 0 0 0 6 06/15/2029 1

36210T-ZA-7 GN 502137 - RMBS 09/01/2020 Paydown 67 67 71 73 0 (5) 0 (5) 0 67 0 0 0 3 03/15/2029 1

36210U-Q6-3 GN 502777 - RMBS 09/01/2020 Paydown 19 19 19 19 0 0 0 0 0 19 0 0 0 1 09/15/2029 1

36210U-SV-6 GN 502832 - RMBS 09/01/2020 Paydown 177 177 177 177 0 (1) 0 (1) 0 177 0 0 0 9 11/15/2029 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36210V-2A-8 GN 503969 - RMBS 09/01/2020 Paydown 5 5 5 5 0 0 0 0 0 5 0 0 0 0 08/15/2029 1

36210V-2Q-3 GN 503983 - RMBS 09/01/2020 Paydown 21 21 21 21 0 0 0 0 0 21 0 0 0 1 09/15/2029 1

36210V-MC-2 GN 503555 - RMBS 09/01/2020 Paydown 138 138 146 151 0 (14) 0 (14) 0 138 0 0 0 7 03/15/2029 1

36210V-QS-3 GN 503665 - RMBS 09/01/2020 Paydown 297 297 298 297 0 (1) 0 (1) 0 297 0 0 0 15 04/15/2029 1

36210W-DQ-9 GN 504211 - RMBS 09/01/2020 Paydown 202 202 203 202 0 0 0 0 0 202 0 0 0 10 06/15/2029 1

36210W-QE-2 GN 504553 - RMBS 09/01/2020 Paydown 25 25 25 25 0 0 0 0 0 25 0 0 0 1 09/15/2029 1

36210W-RC-5 GN 504583 - RMBS 09/01/2020 Paydown 48 48 51 54 0 (7) 0 (7) 0 48 0 0 0 2 10/15/2029 1

36210X-3F-2 GN 505798 - RMBS 09/01/2020 Paydown 416 416 418 418 0 (1) 0 (1) 0 416 0 0 0 21 08/15/2029 1

36210X-A2-3 GN 505025 - RMBS 09/01/2020 Paydown 64 64 64 64 0 0 0 0 0 64 0 0 0 3 06/15/2029 1

36210X-CG-0 GN 505071 - RMBS 09/01/2020 Paydown 47 47 50 52 0 (5) 0 (5) 0 47 0 0 0 2 07/15/2029 1

36210X-YN-1 GN 505717 - RMBS 09/01/2020 Paydown 53 53 56 58 0 (5) 0 (5) 0 53 0 0 0 2 06/15/2029 1

36210X-ZT-7 GN 505754 - RMBS 09/01/2020 Paydown 74 74 78 81 0 (7) 0 (7) 0 74 0 0 0 4 07/15/2029 1

36210Y-BS-3 GN 505949 - RMBS 09/01/2020 Paydown 266 267 266 266 0 1 0 1 0 267 0 0 0 14 09/15/2029 1

36210Y-BW-4 GN 505953 - RMBS 09/01/2020 Paydown 173 173 184 187 0 (15) 0 (15) 0 173 0 0 0 9 09/15/2029 1

36210Y-FR-1 GN 506076 - RMBS 09/01/2020 Paydown 17 17 17 17 0 0 0 0 0 17 0 0 0 1 11/15/2029 1

36210Y-G7-4 GN 506122 - RMBS 09/01/2020 Paydown 114 114 114 114 0 (1) 0 (1) 0 114 0 0 0 6 12/15/2029 1

36210Y-LX-1 GN 506242 - RMBS 09/01/2020 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 06/15/2030 1

36210Y-XP-5 GN 506586 - RMBS 09/01/2020 Paydown 13 13 14 14 0 (1) 0 (1) 0 13 0 0 0 1 06/15/2029 1

36211A-AP-1 GN 506814 - RMBS 09/01/2020 Paydown 26 26 26 26 0 0 0 0 0 26 0 0 0 1 09/15/2029 1

36211A-GP-5 GN 507006 - RMBS 09/01/2020 Paydown 315 315 335 335 0 (20) 0 (20) 0 315 0 0 0 16 07/15/2029 1

36211A-P4-2 GN 507243 - RMBS 09/01/2020 Paydown 107 107 107 107 0 0 0 0 0 107 0 0 0 5 12/15/2029 1

36211A-UA-2 GN 507377 - RMBS 09/01/2020 Paydown 588 588 625 624 0 (36) 0 (36) 0 588 0 0 0 29 08/15/2029 1

36211A-Y2-6 GN 507529 - RMBS 09/01/2020 Paydown 28 28 28 28 0 0 0 0 0 28 0 0 0 1 07/15/2029 1

36211A-Z4-1 GN 507563 - RMBS 09/01/2020 Paydown 36 36 37 37 0 0 0 0 0 36 0 0 0 2 08/15/2029 1

36211A-ZH-2 GN 507544 - RMBS 09/01/2020 Paydown 761 761 914 763 0 (2) 0 (2) 0 761 0 0 0 43 08/15/2029 1

36211B-BF-0 GN 507738 - RMBS 09/01/2020 Paydown 97 97 103 103 0 (6) 0 (6) 0 97 0 0 0 5 04/15/2029 1

36211B-KG-8 GN 507995 - RMBS 09/01/2020 Paydown 151 151 160 163 0 (12) 0 (12) 0 151 0 0 0 8 05/15/2029 1

36211C-4V-1 GN 509436 - RMBS 09/01/2020 Paydown 61 61 61 61 0 0 0 0 0 61 0 0 0 3 12/15/2029 1

36211C-GQ-9 GN 508807 - RMBS 09/01/2020 Paydown 484 484 485 485 0 (1) 0 (1) 0 484 0 0 0 24 09/15/2029 1

36211C-HE-5 GN 508829 - RMBS 09/01/2020 Paydown 55 55 58 61 0 (6) 0 (6) 0 55 0 0 0 3 09/15/2029 1

36211C-R9-5 GN 509112 - RMBS 09/01/2020 Paydown 95 95 96 95 0 0 0 0 0 95 0 0 0 5 08/15/2029 1

36211C-WR-9 GN 509256 - RMBS 09/01/2020 Paydown 204 204 205 205 0 (1) 0 (1) 0 204 0 0 0 10 11/15/2029 1

36211C-Z7-0 GN 509366 - RMBS 09/01/2020 Paydown 28 28 30 31 0 (3) 0 (3) 0 28 0 0 0 1 07/15/2029 1

36211D-3H-1 GN 510300 - RMBS 09/01/2020 Paydown 173 173 184 197 0 (24) 0 (24) 0 173 0 0 0 8 08/15/2029 1

36211D-3J-7 GN 510301 - RMBS 09/01/2020 Paydown 7 7 7 8 0 (1) 0 (1) 0 7 0 0 0 0 08/15/2029 1

36211D-AA-8 GN 509501 - RMBS 09/01/2020 Paydown 197 197 198 198 0 (1) 0 (1) 0 197 0 0 0 10 12/15/2029 1

36211D-D3-1 GN 509622 - RMBS 09/01/2020 Paydown 259 259 276 274 0 (15) 0 (15) 0 259 0 0 0 13 07/15/2029 1

36211D-DA-5 GN 509597 - RMBS 09/01/2020 Paydown 47 47 47 47 0 0 0 0 0 47 0 0 0 2 06/15/2029 1

36211D-HA-1 GN 509725 - RMBS 09/01/2020 Paydown 1,564 1,564 1,568 1,568 0 (5) 0 (5) 0 1,564 0 0 0 77 08/15/2029 1

36211E-E6-1 GN 510557 - RMBS 07/15/2020 Paydown 1,120 1,120 1,191 1,214 0 (94) 0 (94) 0 1,120 0 0 0 49 10/15/2029 1

36211E-EE-4 GN 510533 - RMBS 09/01/2020 Paydown 30 30 31 33 0 (3) 0 (3) 0 30 0 0 0 1 10/15/2029 1

36211E-KS-6 GN 510705 - RMBS 09/01/2020 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 11/15/2029 1

36211E-KX-5 GN 510710 - RMBS 09/01/2020 Paydown 74 74 76 75 0 0 0 0 0 74 0 0 0 4 11/15/2029 1

36211E-KZ-0 GN 510712 - RMBS 09/01/2020 Paydown 44 44 44 44 0 0 0 0 0 44 0 0 0 2 11/15/2029 1

36211E-PY-8 GN 510839 - RMBS 09/01/2020 Paydown 398 398 399 401 0 (3) 0 (3) 0 398 0 0 0 20 12/15/2029 1

36211E-QP-6 GN 510862 - RMBS 09/01/2020 Paydown 37 37 40 40 0 (3) 0 (3) 0 37 0 0 0 2 12/15/2029 1

36211E-SU-3 GN 510931 - RMBS 09/01/2020 Paydown 2,399 2,399 2,552 2,596 0 (197) 0 (197) 0 2,399 0 0 0 120 06/15/2029 1

36211E-TM-0 GN 510956 - RMBS 09/01/2020 Paydown 56 56 60 62 0 (6) 0 (6) 0 56 0 0 0 3 05/15/2029 1

36211F-4J-1 GN 512125 - RMBS 09/01/2020 Paydown 504 504 510 506 0 (3) 0 (3) 0 504 0 0 0 29 09/15/2029 1

36211F-W2-7 GN 511965 - RMBS 09/01/2020 Paydown 142 142 151 150 0 (8) 0 (8) 0 142 0 0 0 7 09/15/2029 1

36211G-BX-0 GN 512254 - RMBS 09/01/2020 Paydown 31 31 31 31 0 0 0 0 0 31 0 0 0 2 12/15/2029 1

36211G-Z7-1 GN 512966 - RMBS 09/01/2020 Paydown 41 41 44 45 0 (4) 0 (4) 0 41 0 0 0 2 07/15/2029 1

36211H-F7-1 GN 513290 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 08/15/2029 1

36211H-G2-1 GN 513317 - RMBS 09/01/2020 Paydown 67 67 67 67 0 0 0 0 0 67 0 0 0 3 08/15/2029 1

36211H-QJ-3 GN 513557 - RMBS 09/01/2020 Paydown 327 327 328 327 0 0 0 0 0 327 0 0 0 16 12/15/2029 1

36211H-RC-7 GN 513583 - RMBS 09/01/2020 Paydown 17 17 17 17 0 0 0 0 0 17 0 0 0 1 05/15/2030 1

36211H-U3-3 GN 513702 - RMBS 09/01/2020 Paydown 19 19 20 21 0 (2) 0 (2) 0 19 0 0 0 1 06/15/2029 1

36211H-UE-9 GN 513681 - RMBS 09/01/2020 Paydown 80 80 83 84 0 (4) 0 (4) 0 80 0 0 0 4 06/15/2029 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36211J-HX-8 GN 514246 - RMBS 09/01/2020 Paydown 38 38 38 38 0 0 0 0 0 38 0 0 0 2 06/15/2029 1

36211J-KC-0 GN 514291 - RMBS 09/01/2020 Paydown 132 132 132 132 0 0 0 0 0 132 0 0 0 7 07/15/2029 1

36211J-KX-4 GN 514310 - RMBS 09/01/2020 Paydown 53 53 54 54 0 0 0 0 0 53 0 0 0 3 07/15/2029 1

36211J-LA-3 GN 514321 - RMBS 09/01/2020 Paydown 134 134 135 135 0 0 0 0 0 134 0 0 0 7 07/15/2029 1

36211J-LQ-8 GN 514335 - RMBS 09/01/2020 Paydown 38 38 38 38 0 0 0 0 0 38 0 0 0 2 07/15/2029 1

36211J-NL-7 GN 514395 - RMBS 09/01/2020 Paydown 19 19 20 22 0 (3) 0 (3) 0 19 0 0 0 1 08/15/2029 1

36211J-Q4-2 GN 514475 - RMBS 09/01/2020 Paydown 65 65 70 72 0 (7) 0 (7) 0 65 0 0 0 3 09/15/2029 1

36211K-KW-3 GN 515209 - RMBS 09/01/2020 Paydown 21 21 22 22 0 (1) 0 (1) 0 21 0 0 0 1 08/15/2030 1

36211L-7G-1 GN 516695 - RMBS 09/01/2020 Paydown 53 53 53 53 0 0 0 0 0 53 0 0 0 3 08/15/2029 1

36211L-J7-8 GN 516086 - RMBS 09/01/2020 Paydown 151 151 150 150 0 1 0 1 0 151 0 0 0 8 10/15/2029 1

36211L-L3-4 GN 516146 - RMBS 09/01/2020 Paydown 125 125 132 131 0 (7) 0 (7) 0 125 0 0 0 6 12/15/2029 1

36211L-LA-8 GN 516121 - RMBS 09/01/2020 Paydown 138 138 138 138 0 0 0 0 0 138 0 0 0 7 12/15/2029 1

36211L-YM-8 GN 516516 - RMBS 09/01/2020 Paydown 108 108 108 108 0 0 0 0 0 108 0 0 0 5 04/15/2030 1

36211M-BA-7 GN 516733 - RMBS 09/01/2020 Paydown 11 11 11 11 0 0 0 0 0 11 0 0 0 1 09/15/2029 1

36211M-P7-9 GN 517146 - RMBS 09/01/2020 Paydown 1,085 1,085 1,090 1,087 0 (1) 0 (1) 0 1,085 0 0 0 54 10/15/2029 1

36211M-RU-6 GN 517199 - RMBS 09/01/2020 Paydown 25 25 25 25 0 0 0 0 0 25 0 0 0 1 10/15/2029 1

36211M-SU-5 GN 517231 - RMBS 09/01/2020 Paydown 30 30 32 32 0 (2) 0 (2) 0 30 0 0 0 2 12/15/2029 1

36211M-TZ-3 GN 517268 - RMBS 09/01/2020 Paydown 68 68 68 68 0 0 0 0 0 68 0 0 0 3 02/15/2030 1

36211M-VB-3 GN 517310 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 08/15/2029 1

36211N-3F-3 GN 518398 - RMBS 09/01/2020 Paydown 36 36 40 36 0 0 0 0 0 36 0 0 0 2 09/15/2029 1

36211N-3G-1 GN 518399 - RMBS 09/01/2020 Paydown 404 404 405 405 0 (1) 0 (1) 0 404 0 0 0 20 09/15/2029 1

36211N-5U-8 GN 518459 - RMBS 09/01/2020 Paydown 244 244 245 245 0 (1) 0 (1) 0 244 0 0 0 12 09/15/2029 1

36211N-6E-3 GN 518469 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 09/15/2029 1

36211N-6T-0 GN 518482 - RMBS 09/01/2020 Paydown 842 842 845 844 0 (2) 0 (2) 0 842 0 0 0 45 09/15/2029 1

36211N-GL-6 GN 517803 - RMBS 09/01/2020 Paydown 1,848 1,848 1,854 1,855 0 (7) 0 (7) 0 1,848 0 0 0 81 08/15/2029 1

36211N-H3-5 GN 517850 - RMBS 09/01/2020 Paydown 12 12 12 13 0 0 0 0 0 12 0 0 0 1 09/15/2029 1

36211N-HD-3 GN 517828 - RMBS 09/01/2020 Paydown 122 122 122 122 0 0 0 0 0 122 0 0 0 6 08/15/2029 1

36211N-HP-6 GN 517838 - RMBS 09/01/2020 Paydown 57 57 57 56 0 1 0 1 0 57 0 0 0 3 09/15/2029 1

36211N-K2-3 GN 517913 - RMBS 09/01/2020 Paydown 105 105 111 111 0 (7) 0 (7) 0 105 0 0 0 5 10/15/2029 1

36211N-KN-7 GN 517901 - RMBS 09/01/2020 Paydown 144 144 153 154 0 (11) 0 (11) 0 144 0 0 0 7 09/15/2029 1

36211N-M6-2 GN 517981 - RMBS 09/01/2020 Paydown 10 10 10 10 0 0 0 0 0 10 0 0 0 1 11/15/2029 1

36211N-N4-6 GN 518011 - RMBS 09/01/2020 Paydown 38 38 38 38 0 0 0 0 0 38 0 0 0 2 11/15/2029 1

36211N-R7-5 GN 518110 - RMBS 09/01/2020 Paydown 15 15 16 17 0 (2) 0 (2) 0 15 0 0 0 1 09/15/2029 1

36211N-RG-5 GN 518087 - RMBS 09/01/2020 Paydown 72 72 72 72 0 0 0 0 0 72 0 0 0 4 09/15/2029 1

36211N-RH-3 GN 518088 - RMBS 09/01/2020 Paydown 90 90 96 99 0 (9) 0 (9) 0 90 0 0 0 4 09/15/2029 1

36211N-T2-4 GN 518169 - RMBS 09/01/2020 Paydown 266 266 267 267 0 (1) 0 (1) 0 266 0 0 0 13 10/15/2029 1

36211P-BG-7 GN 518539 - RMBS 09/01/2020 Paydown 28 28 28 29 0 0 0 0 0 28 0 0 0 1 10/15/2029 1

36211P-F2-4 GN 518685 - RMBS 09/01/2020 Paydown 37 37 37 37 0 0 0 0 0 37 0 0 0 2 12/15/2029 1

36211P-FL-2 GN 518671 - RMBS 09/01/2020 Paydown 151 151 150 150 0 0 0 0 0 151 0 0 0 8 12/15/2029 1

36211P-FQ-1 GN 518675 - RMBS 09/01/2020 Paydown 20 20 20 20 0 0 0 0 0 20 0 0 0 1 12/15/2029 1

36211P-GW-7 GN 518713 - RMBS 09/01/2020 Paydown 75 75 76 76 0 0 0 0 0 75 0 0 0 4 12/15/2029 1

36211S-SB-4 GN 521714 - RMBS 09/01/2020 Paydown 13 13 13 13 0 0 0 0 0 13 0 0 0 1 12/15/2029 1

36211S-VW-4 GN 521829 - RMBS 09/01/2020 Paydown 88 88 90 91 0 (3) 0 (3) 0 88 0 0 0 5 05/15/2030 1

36211U-KR-2 GN 523304 - RMBS 07/15/2020 Paydown 1,595 1,595 1,600 1,600 0 (5) 0 (5) 0 1,595 0 0 0 70 12/15/2029 1

36211U-WB-4 GN 523642 - RMBS 09/01/2020 Paydown 214 214 228 237 0 (23) 0 (23) 0 214 0 0 0 10 11/15/2029 1

36211U-XU-1 GN 523691 - RMBS 09/01/2020 Paydown 139 139 139 139 0 0 0 0 0 139 0 0 0 7 12/15/2029 1

36211U-XZ-0 GN 523696 - RMBS 09/01/2020 Paydown 6 6 6 6 0 0 0 0 0 6 0 0 0 0 12/15/2029 1

36211V-PL-8 GN 524327 - RMBS 09/01/2020 Paydown 78 78 83 83 0 (5) 0 (5) 0 78 0 0 0 4 12/15/2029 1

36212B-HH-9 GN 528632 - RMBS 09/01/2020 Paydown 19 19 19 19 0 0 0 0 0 19 0 0 0 1 02/15/2030 1

36212C-B8-3 GN 529363 - RMBS 09/01/2020 Paydown 369 369 375 379 0 (10) 0 (10) 0 369 0 0 0 18 11/15/2030 1

36212F-H8-0 GN 532255 - RMBS 09/01/2020 Paydown 36 36 38 40 0 (4) 0 (4) 0 36 0 0 0 2 05/15/2030 1

36212F-KE-3 GN 532293 - RMBS 09/01/2020 Paydown 44 44 45 46 0 (2) 0 (2) 0 44 0 0 0 2 06/15/2030 1

36212F-VZ-4 GN 532632 - RMBS 09/01/2020 Paydown 1,376 1,376 1,400 1,402 0 (26) 0 (26) 0 1,376 0 0 0 69 11/15/2030 1

36212F-YQ-1 GN 532719 - RMBS 09/01/2020 Paydown 36 36 39 41 0 (4) 0 (4) 0 36 0 0 0 2 07/15/2030 1

36212M-EV-7 GN 537548 - RMBS 09/01/2020 Paydown 24 24 24 24 0 0 0 0 0 24 0 0 0 1 07/15/2030 1

36212N-2R-7 GN 539084 - RMBS 09/01/2020 Paydown 403 403 412 413 0 (10) 0 (10) 0 403 0 0 0 20 11/15/2030 1

36212N-KY-2 GN 538611 - RMBS 09/01/2020 Paydown 571 571 586 585 0 (14) 0 (14) 0 571 0 0 0 29 11/15/2030 1

362169-UF-9 GN 186982 - RMBS 09/01/2020 Paydown 45 45 45 45 0 0 0 0 0 45 0 0 0 2 10/15/2029 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36216A-JC-6 GN 158759 - RMBS 09/01/2020 Paydown 33 33 34 34 0 0 0 0 0 33 0 0 0 1 06/15/2028 1

36216U-WA-1 GN 175341 - RMBS 09/01/2020 Paydown 17 17 17 17 0 0 0 0 0 17 0 0 0 1 04/15/2029 1

36218T-E7-9 GN 231558 - RMBS 09/01/2020 Paydown 4 4 5 5 0 0 0 0 0 4 0 0 0 0 04/15/2024 1

362195-SD-2 GN 267916 - RMBS 09/01/2020 Paydown 19 19 19 19 0 0 0 0 0 19 0 0 0 1 01/15/2028 1

36223X-PY-2 GN 320939 - RMBS 09/01/2020 Paydown 26 26 28 27 0 (1) 0 (1) 0 26 0 0 0 1 04/15/2022 1

36224D-T9-6 GN 325576 - RMBS 09/01/2020 Paydown 11 11 11 11 0 0 0 0 0 11 0 0 0 1 06/15/2028 1

36224E-TB-9 GN 326446 - RMBS 09/01/2020 Paydown 24 24 25 24 0 (1) 0 (1) 0 24 0 0 0 1 07/15/2023 1

36224J-3E-0 GN 330297 - RMBS 09/01/2020 Paydown 689 689 738 714 0 (25) 0 (25) 0 689 0 0 0 34 08/15/2023 1

36224N-TP-8 GN 333658 - RMBS 09/01/2020 Paydown 57 57 61 59 0 (3) 0 (3) 0 57 0 0 0 3 01/15/2023 1

36224Q-DJ-2 GN 335005 - RMBS 09/01/2020 Paydown 478 478 495 487 0 (10) 0 (10) 0 478 0 0 0 24 11/15/2022 1

36224S-B4-3 GN 336759 - RMBS 09/01/2020 Paydown 134 134 141 138 0 (4) 0 (4) 0 134 0 0 0 7 10/15/2022 1

36224S-U7-5 GN 337306 - RMBS 09/01/2020 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 03/15/2023 1

36224S-US-9 GN 337293 - RMBS 09/01/2020 Paydown 1,581 1,581 1,693 1,641 0 (61) 0 (61) 0 1,581 0 0 0 79 01/15/2023 1

36224T-UX-6 GN 338198 - RMBS 09/01/2020 Paydown 18 18 19 18 0 (1) 0 (1) 0 18 0 0 0 1 02/15/2023 1

36224U-QT-7 GN 338966 - RMBS 09/01/2020 Paydown 58 58 63 61 0 (3) 0 (3) 0 58 0 0 0 3 05/15/2023 1

36224V-5D-3 GN 340244 - RMBS 09/01/2020 Paydown 66 66 71 68 0 (2) 0 (2) 0 66 0 0 0 3 01/15/2023 1

36224X-QZ-7 GN 341672 - RMBS 09/01/2020 Paydown 785 785 840 812 0 (28) 0 (28) 0 785 0 0 0 39 01/15/2023 1

36224Y-PL-7 GN 342527 - RMBS 09/01/2020 Paydown 183 183 196 191 0 (8) 0 (8) 0 183 0 0 0 8 02/15/2023 1

36225A-3B-4 GN 780794 - RMBS 09/01/2020 Paydown 6 6 6 6 0 0 0 0 0 6 0 0 0 0 05/15/2028 1

36225A-4Z-0 G2 780840 - RMBS 09/01/2020 Paydown 6,825 6,825 7,015 7,013 0 (188) 0 (188) 0 6,825 0 0 0 348 07/20/2028 1

36225A-7H-7 GN 780896 - RMBS 09/01/2020 Paydown 73 73 75 77 0 (4) 0 (4) 0 73 0 0 0 4 11/15/2028 1

36225A-E4-8 GN 780155 - RMBS 09/01/2020 Paydown 369 369 385 382 0 (13) 0 (13) 0 369 0 0 0 19 06/15/2025 1

36225A-F8-8 GN 780191 - RMBS 09/01/2020 Paydown 8 8 8 8 0 0 0 0 0 8 0 0 0 0 07/15/2025 1

36225A-GB-0 GN 780194 - RMBS 09/01/2020 Paydown 216 216 224 224 0 (7) 0 (7) 0 216 0 0 0 11 07/15/2025 1

36225A-GV-6 GN 780212 - RMBS 09/01/2020 Paydown 5 5 6 6 0 0 0 0 0 5 0 0 0 0 08/15/2025 1

36225A-HF-0 GN 780230 - RMBS 09/01/2020 Paydown 592 592 635 616 0 (23) 0 (23) 0 592 0 0 0 30 12/15/2022 1

36225A-N5-5 GN 780412 - RMBS 09/01/2020 Paydown 1,152 1,152 1,198 1,210 0 (58) 0 (58) 0 1,152 0 0 0 57 08/15/2026 1

36225A-NQ-9 GN 780399 - RMBS 09/01/2020 Paydown 1,620 1,620 1,691 1,707 0 (87) 0 (87) 0 1,620 0 0 0 80 07/15/2026 1

36225A-QL-7 GN 780459 - RMBS 09/01/2020 Paydown 102 102 103 103 0 0 0 0 0 102 0 0 0 5 11/15/2026 1

36225A-RE-2 GN 780485 - RMBS 09/01/2020 Paydown 76 76 77 77 0 0 0 0 0 76 0 0 0 4 12/15/2026 1

36225A-RU-6 GN 780499 - RMBS 09/01/2020 Paydown 11 11 11 11 0 0 0 0 0 11 0 0 0 1 01/15/2027 1

36225A-ST-8 GN 780530 - RMBS 09/01/2020 Paydown 93 93 99 102 0 (9) 0 (9) 0 93 0 0 0 5 03/15/2027 1

36225A-TB-6 GN 780546 - RMBS 09/01/2020 Paydown 1,676 1,676 1,785 1,817 0 (141) 0 (141) 0 1,676 0 0 0 83 04/15/2027 1

36225A-U2-4 GN 780601 - RMBS 09/01/2020 Paydown 439 439 440 441 0 (2) 0 (2) 0 439 0 0 0 20 07/15/2027 1

36225A-UD-0 GN 780580 - RMBS 09/01/2020 Paydown 1,770 1,770 1,887 1,954 0 (184) 0 (184) 0 1,770 0 0 0 90 06/15/2027 1

36225A-UM-0 GN 780588 - RMBS 09/01/2020 Paydown 90 90 90 90 0 0 0 0 0 90 0 0 0 4 06/15/2027 1

36225A-WL-0 GN 780651 - RMBS 09/01/2020 Paydown 84 84 85 85 0 0 0 0 0 84 0 0 0 4 10/15/2027 1

36225A-Y5-3 GN 780732 - RMBS 09/01/2020 Paydown 148 148 155 161 0 (13) 0 (13) 0 148 0 0 0 7 03/15/2028 1

36225A-YN-4 GN 780717 - RMBS 09/01/2020 Paydown 107 107 109 109 0 (2) 0 (2) 0 107 0 0 0 5 02/15/2028 1

36225A-ZP-8 GN 780750 - RMBS 09/01/2020 Paydown 273 273 272 271 0 2 0 2 0 273 0 0 0 14 12/15/2027 1

36225B-DE-5 GN 781001 - RMBS 09/01/2020 Paydown 252 252 268 277 0 (25) 0 (25) 0 252 0 0 0 12 03/15/2029 1

36225B-F6-0 GN 781089 - RMBS 09/01/2020 Paydown 289 289 308 326 0 (37) 0 (37) 0 289 0 0 0 14 09/15/2029 1

36225B-FV-5 GN 781080 - RMBS 09/01/2020 Paydown 106 106 106 106 0 (1) 0 (1) 0 106 0 0 0 6 08/15/2029 1

912810-SL-3 UNITED STATES TREASURY 08/13/2020 Various 29,445,526 25,035,000 29,460,779 0 0 0 0 0 0 29,460,779 0 (15,253) (15,253) 237,196 02/15/2050 1

912810-SN-9 UNITED STATES TREASURY 09/29/2020 Various 30,696,616 31,960,000 30,735,472 0 0 0 0 0 0 30,735,472 0 (38,856) (38,856) 120,655 05/15/2050 1

912828-ZM-5 UNITED STATES TREASURY 08/11/2020 Various 149,931,138 150,000,000 149,830,409 0 0 19,130 0 19,130 0 149,849,539 0 81,600 81,600 42,799 04/30/2022 1

912828-ZQ-6 UNITED STATES TREASURY 08/14/2020 Various 51,067,038 50,940,000 51,081,003 0 0 0 0 0 0 51,081,003 0 (13,809) (13,809) 70,445 05/15/2030 1

912828-ZV-5 UNITED STATES TREASURY 07/28/2020 Various 3,013,125 3,000,000 3,013,750 0 0 0 0 0 0 3,013,750 0 (625) (625) 1,101 06/30/2027 1

91282C-AD-3 UNITED STATES TREASURY 08/10/2020 BOFA SECURITIES INC. 1,994,688 2,000,000 1,994,688 0 0 0 0 0 0 1,994,688 0 0 0 224 07/31/2027 1

91282C-AE-1 UNITED STATES TREASURY 09/29/2020 Various 52,232,734 52,500,000 52,235,234 0 0 0 0 0 0 52,235,234 0 (2,500) (2,500) 24,329 08/15/2030 1

91282C-AH-4 UNITED STATES TREASURY 09/23/2020 Various 5,515,156 5,500,000 5,516,367 0 0 0 0 0 0 5,516,367 0 (1,211) (1,211) 1,740 08/31/2027 1

91282C-AJ-0 UNITED STATES TREASURY 09/15/2020 Various 1,998,828 2,000,000 1,998,906 0 0 0 0 0 0 1,998,906 0 (78) (78) 207 08/31/2025 1

0599999. Subtotal - Bonds - U.S. Governments 329,399,550 326,439,700 329,503,867 3,618,396 0 (94,566) 0 (94,566) 0 329,390,438 0 9,268 9,268 594,872 XXX XXX

059626-AC-5 BANCO NACIONAL DE PANAMA C 08/05/2020

GOLDMAN SACHS & CO.

INC. 1,001,250 1,000,000 999,120 0 0 0 0 0 0 999,120 0 2,130 2,130 0 08/11/2030 2FE

085209-AG-9 BERMUDA, GOVERNMENT OF (GOVERNMENT) C 08/18/2020

SEAPORT GROUP

SECURITIES, LLC 2,035,000 2,000,000 1,997,700 0 0 0 0 0 0 1,997,700 0 37,300 37,300 0 08/20/2030 1FE

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



085209-AH-7 BERMUDA, GOVERNMENT OF (GOVERNMENT) C 08/17/2020 CANTOR FITZGERALD & CO 1,001,190 1,000,000 997,190 0 0 0 0 0 0 997,190 0 4,000 4,000 0 08/20/2050 1FE

29246B-AF-5 EMPRESAS PUBLICAS DE MEDELLIN ESP C 07/08/2020

OPPENHEIMER & CO. INC.

1,981,540 2,000,000 1,979,040 0 0 0 0 0 0 1,979,040 0 2,500 2,500 0 02/15/2031 2FE

1099999. Subtotal - Bonds - All Other Governments 6,018,980 6,000,000 5,973,050 0 0 0 0 0 0 5,973,050 0 45,930 45,930 0 XXX XXX

13063D-WA-2 CALIFORNIA ST 09/03/2020

MORGAN STANLEY & CO.

LLC 5,296,350 5,000,000 5,250,150 0 0 0 0 0 0 5,250,150 0 46,200 46,200 0 11/01/2050 1FE

1799999. Subtotal - Bonds - U.S. States, Territories and Possessions 5,296,350 5,000,000 5,250,150 0 0 0 0 0 0 5,250,150 0 46,200 46,200 0 XXX XXX023051-YS-8 AMARILLO TEX INDPT SCH DIST 09/17/2020 HILLTOP SECURITIES INC 1,004,290 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 4,290 4,290 0 02/01/2040 1FE

023051-YT-6 AMARILLO TEX INDPT SCH DIST 09/16/2020 HILLTOP SECURITIES INC 1,507,320 1,500,000 1,500,000 0 0 0 0 0 0 1,500,000 0 7,320 7,320 0 02/01/2043 1FE

060096-CT-9 BANGOR ME 08/20/2020

RAYMOND JAMES &

ASSOCIATES INC. 355,895 355,000 355,000 0 0 0 0 0 0 355,000 0 895 895 0 07/15/2031 1FE

060096-CV-4 BANGOR ME 08/20/2020

RAYMOND JAMES &

ASSOCIATES INC. 501,250 500,000 500,000 0 0 0 0 0 0 500,000 0 1,250 1,250 0 07/15/2033 1FE

187270-J3-8 CLINT TEX INDPT SCH DIST 09/03/2020

FTN FINANCIAL SECURITIES

CORP 1,503,885 1,500,000 1,500,000 0 0 0 0 0 0 1,500,000 0 3,885 3,885 0 02/15/2040 1FE

187270-J4-6 CLINT TEX INDPT SCH DIST 09/03/2020 HILLTOP SECURITIES INC 5,028,050 5,000,000 5,000,000 0 0 0 0 0 0 5,000,000 0 28,050 28,050 0 02/15/2045 1FE

249002-HL-3 DENTON TEX INDPT SCH DIST 08/20/2020


CORP 2,098,854 1,900,000 2,097,201 0 0 0 0 0 0 2,097,201 0 1,653 1,653 0 08/15/2043 1FE

249002-HM-1 DENTON TEX INDPT SCH DIST 08/20/2020


CORP 1,100,310 1,000,000 1,099,440 0 0 0 0 0 0 1,099,440 0 870 870 0 08/15/2045 1FE

249002-HN-9 DENTON TEX INDPT SCH DIST 08/20/2020


CORP 981,020 1,000,000 981,020 0 0 0 0 0 0 981,020 0 0 0 0 08/15/2048 1FE

262061-SH-8 DRIPPING SPRINGS TEX INDPT SCH DIST 09/03/2020

RAYMOND JAMES &

ASSOCIATES INC. 1,004,550 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 4,550 4,550 0 02/15/2031 1FE

262061-SJ-4 DRIPPING SPRINGS TEX INDPT SCH DIST 09/02/2020

RAYMOND JAMES &


262061-ST-2 DRIPPING SPRINGS TEX INDPT SCH DIST 09/03/2020

RAYMOND JAMES &


296804-MH-7 ESSEX CNTY N J 07/29/2020 Call @ 100.00 5,135,000 5,135,000 5,212,333 5,140,816 0 (5,816) 0 (5,816) 0 5,135,000 0 0 0 308,100 08/01/2024 1FE

296804-MJ-3 ESSEX CNTY N J 07/29/2020 Call @ 100.00 5,000,000 5,000,000 5,055,800 5,004,316 0 (4,316) 0 (4,316) 0 5,000,000 0 0 0 307,500 08/01/2025 1FE

39356M-AA-7 GREEN VY RANCH EAST MET DIST NO 6 COLO 08/04/2020 D. A. DAVIDSON & CO 1,010,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 10,000 10,000 1,142 12/01/2050 1Z

47248E-AB-8 JEFFERSON CTR MET DIST NO 1 COLO SPL REV 08/06/2020 D. A. DAVIDSON & CO 496,875 500,000 490,200 0 0 1 0 1 0 490,201 0 6,674 6,674 304 12/01/2047 3FE

47248E-AC-6 JEFFERSON CTR MET DIST NO 1 COLO SPL REV 08/06/2020 D. A. DAVIDSON & CO 2,461,988 2,490,000 2,430,016 0 0 2 0 2 0 2,430,018 0 31,969 31,969 1,989 12/15/2050 1Z

64966Q-MJ-6 NEW YORK N Y 09/01/2020

CITIGROUP GLOBAL MARKETS

INC. 6,862,970 5,750,000 6,871,470 0 0 0 0 0 0 6,871,470 0 (8,500) (8,500) 0 08/01/2034 1FE

658170-GA-7 NORTH CANTON OHIO CITY SCH DIST 09/18/2020 HILLTOP SECURITIES INC 2,132,300 2,000,000 2,129,060 0 0 0 0 0 0 2,129,060 0 3,240 3,240 0 11/01/2045 1FE

658170-GB-5 NORTH CANTON OHIO CITY SCH DIST 09/18/2020 HILLTOP SECURITIES INC 2,413,600 2,500,000 2,403,400 0 0 0 0 0 0 2,403,400 0 10,200 10,200 0 11/01/2050 1FE

700890-AB-2 PARKDALE CMNTY AUTH COLO LTD TAX SUPPORT 08/10/2020 D. A. DAVIDSON & CO 1,010,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 10,000 10,000 1,021 12/01/2050 1Z

743600-R5-9 PROSPER TEX INDPT SCH DIST 09/17/2020


CORP 1,003,680 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 3,680 3,680 0 02/15/2040 1FE

743600-R6-7 PROSPER TEX INDPT SCH DIST 09/16/2020


CORP 1,000,770 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 770 770 0 02/15/2043 1FE

81782Q-AB-2 SETTLERS CROSSING MET DIST NO 1 COLO 08/25/2020 D. A. DAVIDSON & CO 1,010,000 1,000,000 1,004,880 0 0 0 0 0 0 1,004,880 0 5,120 5,120 0 12/01/2050 1Z

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 46,633,926 45,130,000 46,629,820 10,145,132 0 (10,129) 0 (10,129) 0 46,496,690 0 137,236 137,236 620,056 XXX XXX

01F020-68-7 FNCL-2N-AUG-2020 - MBS 07/23/2020

J.P. MORGAN SEC'S -

FIXED INC. 102,906,250 100,000,000 102,902,344 0 0 0 0 0 0 102,902,344 0 3,906 3,906 66,667 08/25/2050 1

01F020-69-5 FNCL-2N-SEP-2020 - MBS 09/02/2020 Various 309,890,625 300,000,000 310,207,031 0 0 0 0 0 0 310,207,031 0 (316,406) (316,406) 216,667 09/25/2050 1

01F030-69-4 FNCL-3N-SEP-2020 - MBS 08/28/2020 BOFA SECURITIES INC. 65,436,641 62,000,000 65,313,125 0 0 0 0 0 0 65,313,125 0 123,516 123,516 67,167 09/25/2050 1

052405-BH-9 AUSTIN TEX CMNTY COLLEGE DIST PUB FAC CO 07/29/2020 Call @ 100.00 4,000,000 4,000,000 4,000,000 4,000,000 0 0 0 0 0 4,000,000 0 0 0 270,320 08/01/2030 1FE

052405-BJ-5 AUSTIN TEX CMNTY COLLEGE DIST PUB FAC CO 07/29/2020 Call @ 100.00 4,450,000 4,450,000 4,845,828 4,467,303 0 (17,303) 0 (17,303) 0 4,450,000 0 0 0 307,406 08/01/2035 1FE

055022-AR-8 AZUSA CALIF PENSION OBLIG 09/18/2020 BOFA SECURITIES INC. 2,006,180 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 6,180 6,180 0 08/01/2040 1FE

167593-P4-8 CHICAGO ILL O HARE INTL ARPT REV 09/28/2020 JEFFERIES LLC 3,430,020 3,000,000 3,424,650 0 0 0 0 0 0 3,424,650 0 5,370 5,370 0 01/01/2035 1FE

167727-SW-7 CHICAGO ILL WASTEWATER TRANSMISSION REV 07/01/2020

JP MORGAN SECURITIES

INC. 7,038,400 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 2,038,400 2,038,400 349,792 01/01/2040 1FE

235036-5H-9 DALLAS FORT WORTH TEX INTL ARPT REV 07/15/2020

SIEBERT CISNEROS SHANK &

CO, LLC 1,325,530 1,000,000 1,323,300 0 0 0 0 0 0 1,323,300 0 2,230 2,230 0 11/01/2032 1FE

3128CU-W8-5 FH G30671 - RMBS 09/01/2020 Paydown 811,617 811,617 830,766 822,729 0 (11,111) 0 (11,111) 0 811,617 0 0 0 18,985 12/01/2033 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



3128MJ-2W-9 FH G08788 - RMBS 09/01/2020 Paydown 2,859,843 2,859,843 2,948,767 2,938,764 0 (78,920) 0 (78,920) 0 2,859,843 0 0 0 66,257 11/01/2047 1

3128MJ-5H-9 FH G08847 - RMBS 09/01/2020 Paydown 2,069,319 2,069,319 2,095,509 2,097,141 0 (27,822) 0 (27,822) 0 2,069,319 0 0 0 54,341 11/01/2048 1

3128MJ-5N-6 FH G08852 - RMBS 09/01/2020 Paydown 2,018,996 2,018,996 2,042,025 2,043,955 0 (24,959) 0 (24,959) 0 2,018,996 0 0 0 52,795 12/01/2048 1

3128MJ-MC-1 FH G08354 - RMBS 09/01/2020 Paydown 5,044 5,044 5,129 5,118 0 (74) 0 (74) 0 5,044 0 0 0 163 07/01/2039 1

3128MJ-W9-7 FH G08671 - RMBS 09/01/2020 Paydown 422,251 422,251 435,446 435,180 0 (12,929) 0 (12,929) 0 422,251 0 0 0 9,809 10/01/2045 1

3128MJ-WA-4 FH G08640 - RMBS 09/01/2020 Paydown 2,032,963 2,032,963 2,023,062 2,023,918 0 9,045 0 9,045 0 2,032,963 0 0 0 41,039 05/01/2045 1

3128MJ-WL-0 FH G08650 - RMBS 09/01/2020 Paydown 1,475,648 1,475,648 1,510,464 1,508,129 0 (32,481) 0 (32,481) 0 1,475,648 0 0 0 34,424 06/01/2045 1

3128MJ-Z3-7 FH G08761 - RMBS 09/01/2020 Paydown 598,998 598,998 614,067 612,701 0 (13,702) 0 (13,702) 0 598,998 0 0 0 13,895 05/01/2047 1

3128MJ-Z8-6 FH G08766 - RMBS 09/01/2020 Paydown 1,242,865 1,242,865 1,274,519 1,270,888 0 (28,024) 0 (28,024) 0 1,242,865 0 0 0 28,837 06/01/2047 1

3128MJ-ZX-1 FH G08757 - RMBS 09/01/2020 Paydown 2,451,005 2,451,005 2,510,365 2,504,025 0 (53,020) 0 (53,020) 0 2,451,005 0 0 0 56,751 04/01/2047 1

3128MM-P6-4 FH G18444 - RMBS 09/01/2020 Paydown 99,152 99,152 108,475 99,795 0 (643) 0 (643) 0 99,152 0 0 0 1,654 09/01/2027 1

3128MM-PE-7 FH G18420 - RMBS 09/01/2020 Paydown 58,863 58,863 60,050 60,372 0 (1,509) 0 (1,509) 0 58,863 0 0 0 1,179 01/01/2027 1

31292H-2H-6 FH C01676 - RMBS 09/01/2020 Paydown 3,416 3,416 3,538 3,489 0 (73) 0 (73) 0 3,416 0 0 0 141 11/01/2033 1

31292S-AG-5 FH C09007 - RMBS 09/01/2020 Paydown 620,231 620,231 581,780 616,452 0 3,778 0 3,778 0 620,231 0 0 0 14,483 08/01/2042 1

312933-WR-1 FH A86956 - RMBS 09/01/2020 Paydown 14,096 14,096 14,391 14,425 0 (329) 0 (329) 0 14,096 0 0 0 456 06/01/2039 1

31329J-P5-0 FH ZA1344 - RMBS 09/01/2020 Paydown 215,495 215,496 183,077 204,198 0 11,297 0 11,297 0 215,496 0 0 0 4,346 12/01/2042 1

3132GD-TS-1 FH Q00561 - RMBS 09/01/2020 Paydown 337,719 337,719 351,320 352,392 0 (14,673) 0 (14,673) 0 337,719 0 0 0 8,952 05/01/2041 1

3132GD-YY-2 FH Q00727 - RMBS 09/01/2020 Paydown 13,849 13,849 14,404 14,426 0 (577) 0 (577) 0 13,849 0 0 0 420 05/01/2041 1

3132GG-GJ-8 FH Q02901 - RMBS 09/01/2020 Paydown 978,773 978,773 1,006,607 1,013,612 0 (34,838) 0 (34,838) 0 978,773 0 0 0 26,957 09/01/2041 1

3132GL-WB-6 FH Q05442 - RMBS 09/01/2020 Paydown 458,303 458,303 480,358 472,268 0 (13,965) 0 (13,965) 0 458,303 0 0 0 11,528 01/01/2042 1

3132GT-R4-1 FH Q08307 - RMBS 09/01/2020 Paydown 505,309 505,309 500,398 502,187 0 3,122 0 3,122 0 505,309 0 0 0 11,934 05/01/2042 1

3132GU-WA-8 FH Q09341 - RMBS 09/01/2020 Paydown 267,387 267,387 227,738 255,345 0 12,043 0 12,043 0 267,387 0 0 0 5,511 06/01/2042 1

3132HM-GC-9 FH Q11095 - RMBS 09/01/2020 Paydown 337,043 337,043 329,227 335,017 0 2,026 0 2,026 0 337,043 0 0 0 7,596 09/01/2042 1

3132HR-PS-3 FH Q14933 - RMBS 09/01/2020 Paydown 604,592 604,592 602,929 602,930 0 1,662 0 1,662 0 604,592 0 0 0 11,875 01/01/2043 1

3132J2-SA-2 FH K90513 - RMBS 09/01/2020 Paydown 405,069 405,069 417,601 413,362 0 (8,293) 0 (8,293) 0 405,069 0 0 0 9,860 05/01/2033 1

3132JN-PC-5 FH Q21319 - RMBS 09/01/2020 Paydown 476,386 476,386 464,874 473,600 0 2,786 0 2,786 0 476,386 0 0 0 11,138 08/01/2043 1

3132QP-TA-2 FH Q33244 - RMBS 09/01/2020 Paydown 7,196,434 7,196,434 7,412,040 7,396,464 0 (200,030) 0 (200,030) 0 7,196,434 0 0 0 164,491 05/01/2045 1

3132QQ-AH-5 FH Q33607 - RMBS 09/01/2020 Paydown 1,278,771 1,278,771 1,311,140 1,307,267 0 (28,497) 0 (28,497) 0 1,278,771 0 0 0 31,399 05/01/2045 1

3132QQ-YG-1 FH Q34310 - RMBS 09/01/2020 Paydown 1,932,287 1,932,287 1,982,255 1,973,860 0 (41,573) 0 (41,573) 0 1,932,287 0 0 0 45,421 06/01/2045 1

3132XS-EH-9 FH Q50135 - RMBS 09/01/2020 Paydown 1,663,007 1,663,007 1,715,236 1,709,023 0 (46,016) 0 (46,016) 0 1,663,007 0 0 0 38,861 08/01/2047 1

3132XT-TT-5 FH Q51461 - RMBS 09/01/2020 Paydown 2,894,476 2,894,476 2,988,546 2,974,058 0 (79,582) 0 (79,582) 0 2,894,476 0 0 0 67,143 10/01/2047 1

3132Y1-SM-1 FH Q57723 - RMBS 09/01/2020 Paydown 3,784,605 3,784,605 3,865,620 3,846,853 0 (62,248) 0 (62,248) 0 3,784,605 0 0 0 100,045 08/01/2048 1

3133KY-T4-1 FH RB5071 - RMBS 09/01/2020 Paydown 57,966 57,966 60,266 0 0 (2,301) 0 (2,301) 0 57,966 0 0 0 97 09/01/2040 1

3133N3-WL-4 FH RE6051 - RMBS 09/01/2020 Paydown 5,988,535 5,988,535 6,132,413 0 0 (143,878) 0 (143,878) 0 5,988,535 0 0 0 24,185 07/01/2050 1

3133T3-WY-0 FHR 1650 K - CMO/RMBS 09/01/2020 Paydown 44,572 44,572 48,083 45,340 0 (767) 0 (767) 0 44,572 0 0 0 1,956 01/15/2024 1

3133TC-HE-1 FHR 2018 PG - CMO/RMBS 09/01/2020 Paydown 12,564 12,564 12,246 12,460 0 104 0 104 0 12,564 0 0 0 535 01/15/2028 1

3133TD-BK-1 FHR 2035 PC - CMO/RMBS 09/01/2020 Paydown 13,243 13,243 14,813 14,250 0 (1,007) 0 (1,007) 0 13,243 0 0 0 618 03/15/2028 1

3133TD-HG-4 FHR 2044 PE - CMO/RMBS 09/01/2020 Paydown 6,271 6,271 6,242 6,255 0 16 0 16 0 6,271 0 0 0 273 04/15/2028 1

3133TD-ML-7 FHR 2043B CJ - CMO/RMBS 09/01/2020 Paydown 1,406 1,406 1,397 1,399 0 7 0 7 0 1,406 0 0 0 61 04/15/2028 1

3133TD-VT-0 FHR 2059 PG - CMO/RMBS 09/01/2020 Paydown 1,955 1,955 1,941 1,949 0 7 0 7 0 1,955 0 0 0 85 05/15/2028 1

31359V-SW-4 FNR 1999-17 C - CMO/RMBS 09/01/2020 Paydown 140,216 140,216 147,315 143,995 0 (3,778) 0 (3,778) 0 140,216 0 0 0 5,824 04/25/2029 1

31368H-LZ-4 FN 190344 - RMBS 09/01/2020 Paydown 15,790 15,790 16,338 16,180 0 (390) 0 (390) 0 15,790 0 0 0 633 12/01/2033 1

3136A1-GU-3 FNR 2011-98 BY - CMO/RMBS 09/01/2020 Paydown 900,237 900,237 936,220 915,497 0 (15,261) 0 (15,261) 0 900,237 0 0 0 24,081 10/25/2031 1

3136A7-SY-9 FNR 2012-91 LB - CMO/RMBS 09/01/2020 Paydown 4 4 4 4 0 0 0 0 0 4 0 0 0 0 06/25/2032 1

3136AE-QK-6 FNR 2013-55 JB - CMO/RMBS 09/01/2020 Paydown 49,112 49,112 48,959 48,981 0 131 0 131 0 49,112 0 0 0 988 05/25/2033 1

3136AG-NY-4 FNR 2013-103 AW - CMO/RMBS 09/01/2020 Paydown 525,556 525,556 541,220 526,868 0 (1,312) 0 (1,312) 0 525,556 0 0 0 12,303 02/25/2043 1

31371J-JL-9 FN 253267 - RMBS 09/01/2020 Paydown 64 64 65 65 0 (1) 0 (1) 0 64 0 0 0 4 05/01/2030 1

31371J-TF-1 FN 253550 - RMBS 09/01/2020 Paydown 4,611 4,611 4,710 4,699 0 (88) 0 (88) 0 4,611 0 0 0 260 08/01/2030 1

31371K-N4-9 FN 254311 - RMBS 09/01/2020 Paydown 363 363 432 380 0 (17) 0 (17) 0 363 0 0 0 15 05/01/2032 1

31371K-UC-3 FN 254479 - RMBS 09/01/2020 Paydown 24,766 24,766 25,822 25,728 0 (963) 0 (963) 0 24,766 0 0 0 1,067 10/01/2032 1

31371M-KV-8 FN 256008 - RMBS 09/01/2020 Paydown 1,425 1,425 1,455 1,477 0 (52) 0 (52) 0 1,425 0 0 0 62 11/01/2035 1

3137A0-4H-5 FHR 3677 KB - CMO/RMBS 09/01/2020 Paydown 1,035,778 1,035,778 1,057,627 1,045,468 0 (9,690) 0 (9,690) 0 1,035,778 0 0 0 31,242 05/15/2040 1

3137A2-LL-3 FHR 3761 PB - CMO/RMBS 07/15/2020 Paydown 277,747 277,747 279,874 277,487 0 260 0 260 0 277,747 0 0 0 6,461 04/15/2038 1

3137A2-UL-3 FHR 3752 B - CMO/RMBS 09/01/2020 Paydown 244,884 244,884 243,246 244,318 0 566 0 566 0 244,884 0 0 0 5,661 11/15/2025 1

3137A3-JT-7 FHR 3753 AD - CMO/RMBS 09/01/2020 Paydown 252,613 252,613 249,159 251,702 0 911 0 911 0 252,613 0 0 0 5,896 11/15/2025 1

3137A3-M8-9 FHR 3753 PA - CMO/RMBS 09/01/2020 Paydown 492,898 492,898 505,778 500,567 0 (7,670) 0 (7,670) 0 492,898 0 0 0 11,421 09/15/2039 1

3137A7-QY-9 FHR 3817 EW - CMO/RMBS 09/01/2020 Paydown 188,074 188,074 186,089 187,455 0 619 0 619 0 188,074 0 0 0 5,030 03/15/2026 1

3137AA-6H-1 FHR 3854 HW - CMO/RMBS 09/01/2020 Paydown 722,408 722,408 688,771 714,848 0 7,560 0 7,560 0 722,408 0 0 0 16,704 05/15/2026 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



3137AC-AM-1 FHR 3871 PB - CMO/RMBS 09/01/2020 Paydown 489,984 489,984 510,425 504,439 0 (14,455) 0 (14,455) 0 489,984 0 0 0 13,029 01/15/2041 1

3137AF-KG-6 FHR 3923 DA - CMO/RMBS 09/01/2020 Paydown 323,344 323,344 375,613 339,492 0 (16,148) 0 (16,148) 0 323,344 0 0 0 8,667 09/15/2041 1

3137AY-RQ-6 FHR 4165 KL - CMO/RMBS 09/01/2020 Paydown 798,736 798,736 790,749 793,056 0 5,680 0 5,680 0 798,736 0 0 0 16,011 02/15/2043 1

3137B3-RT-7 FHR 4235 B - CMO/RMBS 09/01/2020 Paydown 1,565,142 1,565,142 1,598,157 1,573,315 0 (8,173) 0 (8,173) 0 1,565,142 0 0 0 36,379 07/15/2038 1

3137B6-FZ-9 FHR 4279 JA - CMO/RMBS 09/01/2020 Paydown 157,956 157,956 159,141 158,556 0 (600) 0 (600) 0 157,956 0 0 0 3,125 02/15/2037 1

3137FE-QS-2 FHR 4767 CA - CMO/RMBS 09/01/2020 Paydown 550,974 550,974 561,519 560,996 0 (10,022) 0 (10,022) 0 550,974 0 0 0 14,577 11/15/2045 1

3137FG-PW-9 FHR 4807 LM - CMO/RMBS 09/01/2020 Paydown 16,746,693 16,746,693 16,935,093 16,842,240 0 (95,547) 0 (95,547) 0 16,746,693 0 0 0 455,239 05/15/2042 1

3137GA-UX-3 FHR 3737 LY - CMO/RMBS 09/01/2020 Paydown 638,656 638,656 653,824 640,875 0 (2,219) 0 (2,219) 0 638,656 0 0 0 19,336 10/15/2025 1

31384V-ZF-2 FN 535442 - RMBS 09/01/2020 Paydown 1,924 1,924 1,777 2,096 0 (172) 0 (172) 0 1,924 0 0 0 108 06/01/2030 1

31384W-7G-9 FN 536495 - RMBS 09/01/2020 Paydown 161 161 174 171 0 (9) 0 (9) 0 161 0 0 0 9 04/01/2030 1

31385J-F8-6 FN 545691 - RMBS 09/01/2020 Paydown 2,927 2,927 3,548 3,090 0 (163) 0 (163) 0 2,927 0 0 0 130 06/01/2032 1

31385W-BN-8 FN 554545 - RMBS 09/01/2020 Paydown 2 2 2 2 0 0 0 0 0 2 0 0 0 0 11/01/2030 1

3138A1-SJ-1 FN AH0520 - RMBS 09/01/2020 Paydown 187,594 187,594 190,877 189,780 0 (2,186) 0 (2,186) 0 187,594 0 0 0 5,153 12/01/2040 1

3138A5-GN-6 FN AH3804 - RMBS 09/01/2020 Paydown 152,414 152,414 159,106 158,899 0 (6,485) 0 (6,485) 0 152,414 0 0 0 4,014 02/01/2041 1

3138AH-BR-6 FN AI3647 - RMBS 09/01/2020 Paydown 5,972 5,972 6,203 6,144 0 (171) 0 (171) 0 5,972 0 0 0 179 06/01/2041 1

3138AH-JE-7 FN AI3860 - RMBS 09/01/2020 Paydown 362,908 362,908 401,475 375,420 0 (12,512) 0 (12,512) 0 362,908 0 0 0 9,231 09/01/2041 1

3138AS-R6-1 FN AJ1408 - RMBS 09/01/2020 Paydown 1,094,376 1,094,376 1,124,622 1,139,627 0 (45,250) 0 (45,250) 0 1,094,376 0 0 0 35,646 09/01/2041 1

3138AS-R7-9 FN AJ1409 - RMBS 09/01/2020 Paydown 22,489 22,489 23,490 23,373 0 (885) 0 (885) 0 22,489 0 0 0 671 09/01/2041 1

3138AT-N4-8 FN AJ2210 - RMBS 09/01/2020 Paydown 464,069 464,069 495,467 493,523 0 (29,453) 0 (29,453) 0 464,069 0 0 0 15,544 09/01/2041 1

3138AX-RL-7 FN AJ5890 - RMBS 09/01/2020 Paydown 664,985 664,985 693,039 696,527 0 (31,542) 0 (31,542) 0 664,985 0 0 0 17,139 11/01/2041 1

3138EL-QN-6 FN AL4060 - RMBS 09/01/2020 Paydown 669,339 669,339 660,292 660,952 0 8,387 0 8,387 0 669,339 0 0 0 13,214 09/01/2043 1

3138LW-CJ-8 FN AO5472 - RMBS 09/01/2020 Paydown 142,196 142,196 154,498 145,602 0 (3,405) 0 (3,405) 0 142,196 0 0 0 3,316 07/01/2042 1

3138LY-ST-5 FN AO7729 - RMBS 09/01/2020 Paydown 221,912 221,912 241,797 227,048 0 (5,136) 0 (5,136) 0 221,912 0 0 0 5,134 06/01/2042 1

3138M1-EN-4 FN AO9140 - RMBS 09/01/2020 Paydown 332,197 332,197 343,668 343,835 0 (11,638) 0 (11,638) 0 332,197 0 0 0 7,928 07/01/2042 1

3138M8-WQ-2 FN AP5154 - RMBS 09/01/2020 Paydown 475,396 475,396 491,812 489,900 0 (14,504) 0 (14,504) 0 475,396 0 0 0 9,993 09/01/2042 1

3138MQ-NX-7 FN AQ8505 - RMBS 09/01/2020 Paydown 174,842 174,842 161,984 173,823 0 1,019 0 1,019 0 174,842 0 0 0 4,141 01/01/2043 1

3138W5-GK-8 FN AR7401 - RMBS 09/01/2020 Paydown 2,575,333 2,575,333 2,576,801 2,576,262 0 (929) 0 (929) 0 2,575,333 0 0 0 51,299 06/01/2043 1

3138W9-2G-4 FN AS0774 - RMBS 09/01/2020 Paydown 1,139,739 1,139,739 1,124,602 1,126,337 0 13,402 0 13,402 0 1,139,739 0 0 0 22,872 10/01/2043 1

3138WE-XQ-7 FN AS5186 - RMBS 09/01/2020 Paydown 1,585,673 1,585,673 1,630,518 1,629,567 0 (43,894) 0 (43,894) 0 1,585,673 0 0 0 35,765 06/01/2045 1

3138WE-ZL-6 FN AS5246 - RMBS 09/01/2020 Paydown 2,208,105 2,208,105 2,274,348 2,271,404 0 (63,299) 0 (63,299) 0 2,208,105 0 0 0 51,406 06/01/2045 1

3138WJ-MK-1 FN AS8461 - RMBS 09/01/2020 Paydown 1,002,610 1,002,610 1,039,268 1,034,860 0 (32,249) 0 (32,249) 0 1,002,610 0 0 0 23,595 12/01/2046 1

3138WJ-YB-8 FN AS8805 - RMBS 09/01/2020 Paydown 1,723,932 1,723,932 1,769,724 1,761,481 0 (37,549) 0 (37,549) 0 1,723,932 0 0 0 39,495 02/01/2042 1

3138WK-RF-4 FN AS9485 - RMBS 09/01/2020 Paydown 2,714,206 2,714,206 2,795,208 2,787,774 0 (73,569) 0 (73,569) 0 2,714,206 0 0 0 63,573 04/01/2047 1

3138WQ-AY-8 FN AT2722 - RMBS 09/01/2020 Paydown 2,310,984 2,310,984 2,312,260 2,311,882 0 (898) 0 (898) 0 2,310,984 0 0 0 46,123 05/01/2043 1

3138WS-YK-8 FN AT5213 - RMBS 09/01/2020 Paydown 73,298 73,298 72,308 72,367 0 931 0 931 0 73,298 0 0 0 1,437 06/01/2043 1

3138WT-RR-9 FN AT5895 - RMBS 09/01/2020 Paydown 1,753,268 1,753,268 1,754,531 1,754,191 0 (923) 0 (923) 0 1,753,268 0 0 0 36,014 06/01/2043 1

3138X4-4Y-3 FN AU5338 - RMBS 09/01/2020 Paydown 925,095 925,095 912,592 914,075 0 11,020 0 11,020 0 925,095 0 0 0 18,011 06/01/2043 1

3138X4-CU-2 FN AU4582 - RMBS 09/01/2020 Paydown 263,279 263,279 259,211 260,044 0 3,235 0 3,235 0 263,279 0 0 0 5,304 08/01/2043 1

3138YK-G3-1 FN AY5617 - RMBS 09/01/2020 Paydown 1,612,318 1,612,318 1,660,939 1,656,390 0 (44,072) 0 (44,072) 0 1,612,318 0 0 0 38,047 06/01/2045 1

3138YP-AY-8 FN AY9022 - RMBS 09/01/2020 Paydown 2,105,994 2,105,994 2,100,413 2,100,365 0 5,629 0 5,629 0 2,105,994 0 0 0 42,978 05/01/2045 1

3138YS-RB-4 FN AZ1381 - RMBS 09/01/2020 Paydown 2,114,319 2,114,319 2,108,716 2,108,927 0 5,392 0 5,392 0 2,114,319 0 0 0 46,335 06/01/2045 1

31392G-EK-7 FNR 2002-90 A1 - CMO/RMBS 09/01/2020 Paydown 227,792 227,792 244,831 245,831 0 (18,039) 0 (18,039) 0 227,792 0 0 0 9,772 06/25/2042 1

31392G-VX-0 FNW 2003-W1 1A1 - CMO/RMBS 09/01/2020 Paydown 180,279 180,278 191,328 189,504 0 (9,225) 0 (9,225) 0 180,278 0 0 0 6,245 12/25/2042 1

31392J-YE-3 FNW 2003-W3 1A1 - CMO/RMBS 09/01/2020 Paydown 148,157 148,157 155,750 154,816 0 (6,660) 0 (6,660) 0 148,157 0 0 0 6,466 08/25/2042 1

31393C-EY-5 FNR 2003-34 A1 - CMO/RMBS 09/01/2020 Paydown 133,120 133,121 136,981 137,781 0 (4,660) 0 (4,660) 0 133,121 0 (1) (1) 5,377 04/25/2043 1

31393U-4N-0 FNW 2004-W1 2A1 - CMO/RMBS 09/01/2020 Paydown 397,344 397,345 420,937 420,560 0 (23,216) 0 (23,216) 0 397,345 0 0 0 17,206 12/25/2043 1

31393X-3J-4 FNW 2004-W4 A5 - CMO/RMBS 07/27/2020 Paydown 1,731 1,731 1,813 1,731 0 (1) 0 (1) 0 1,731 0 0 0 (94) 06/25/2034 1

31393X-7A-9 FNGT 2004-T2 A1 - CMO/RMBS 09/01/2020 Paydown 452,904 452,904 474,209 481,341 0 (28,437) 0 (28,437) 0 452,904 0 0 0 18,231 11/25/2043 1

31393X-7B-7 FNGT 2004-T2 A2 - CMO/RMBS 09/01/2020 Paydown 451,458 451,457 483,930 494,044 0 (42,587) 0 (42,587) 0 451,457 0 1 1 19,914 11/25/2043 1

31393X-FT-9 FNGT 2004-T1 1A2 - CMO/RMBS 09/01/2020 Paydown 123,412 123,413 131,068 135,793 0 (12,380) 0 (12,380) 0 123,413 0 0 0 5,225 01/25/2044 1

31393Y-U6-0 FNGT 2004-T3 A2 - CMO/RMBS 09/01/2020 Paydown 263,211 263,211 281,307 288,218 0 (25,008) 0 (25,008) 0 263,211 0 0 0 10,383 02/25/2044 1

31394C-P2-2 FNR 2005-33 QE - CMO/RMBS 09/01/2020 Paydown 347,550 347,550 355,587 350,479 0 (2,929) 0 (2,929) 0 347,550 0 0 0 11,446 04/25/2035 1

31394N-UA-4 FHR 2733 ME - CMO/RMBS 09/01/2020 Paydown 202,216 202,216 209,768 206,311 0 (4,094) 0 (4,094) 0 202,216 0 0 0 7,058 01/15/2034 1

31395U-6Q-9 FHR 2981 NE - CMO/RMBS 09/01/2020 Paydown 40,600 40,600 42,206 41,875 0 (1,275) 0 (1,275) 0 40,600 0 0 0 1,447 05/15/2035 1

31396A-TM-6 FHR 3027 AP - CMO/RMBS 09/01/2020 Paydown 1,528 1,528 810 1,064 0 464 0 464 0 1,528 0 0 0 0 05/15/2029 1

31396Q-7F-0 FNR 2009-83 B - CMO/RMBS 09/01/2020 Paydown 58,632 58,632 57,368 57,691 0 941 0 941 0 58,632 0 0 0 1,855 10/25/2039 1

31396U-FA-3 FHR 3179 OA - CMO/RMBS 09/01/2020 Paydown 918 918 261 786 0 132 0 132 0 918 0 0 0 0 07/15/2036 1

31397P-NS-5 FHR 3401 EB - CMO/RMBS 09/01/2020 Paydown 107,941 107,941 114,299 108,066 0 (125) 0 (125) 0 107,941 0 0 0 3,131 12/15/2022 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



31397S-XV-1 FNR 2011-40 DC - CMO/RMBS 09/01/2020 Paydown 89,951 89,951 86,409 88,319 0 1,632 0 1,632 0 89,951 0 0 0 2,438 05/25/2041 1

31397T-WH-1 FHR 3459 NB - CMO/RMBS 09/01/2020 Paydown 398,002 398,002 416,907 413,969 0 (15,967) 0 (15,967) 0 398,002 0 0 0 13,224 06/15/2038 1

31397U-3Z-0 FNR 2011-67 CB - CMO/RMBS 09/01/2020 Paydown 179,517 179,517 169,995 176,659 0 2,858 0 2,858 0 179,517 0 0 0 4,712 07/25/2026 1

31398F-7A-3 FNW 2009-W1 A - CMO/RMBS 09/01/2020 Paydown 273,529 273,529 288,915 288,753 0 (15,224) 0 (15,224) 0 273,529 0 0 0 10,990 12/25/2049 1

31398F-AL-5 FNR 2009-71 MB - CMO/RMBS 09/01/2020 Paydown 117,526 117,526 118,591 117,529 0 (3) 0 (3) 0 117,526 0 0 0 3,542 09/25/2024 1

31398F-FD-8 FNR 2009-77 BP - CMO/RMBS 09/01/2020 Paydown 1,138 1,138 1,148 1,164 0 (26) 0 (26) 0 1,138 0 0 0 30 02/25/2037 1

31398M-XZ-4 FNR 2010-19 EY - CMO/RMBS 09/01/2020 Paydown 105,823 105,823 111,092 105,823 0 0 0 0 0 105,823 0 0 0 2,802 03/25/2025 1

31398N-DS-0 FNR 2010-98 CB - CMO/RMBS 09/01/2020 Paydown 25,061 25,061 25,688 25,814 0 (753) 0 (753) 0 25,061 0 0 0 751 09/25/2040 1

31398P-2S-7 FNR 2010-39 ZT - CMO/RMBS 09/01/2020 Paydown 456,895 456,895 451,463 452,166 0 4,728 0 4,728 0 456,895 0 0 0 13,754 05/25/2040 1

31398P-4S-5 FNR 2010-49 CB - CMO/RMBS 09/01/2020 Paydown 887,206 887,206 890,117 885,973 0 1,233 0 1,233 0 887,206 0 0 0 26,575 05/25/2025 1

31398P-LP-2 FNR 2010-45 PB - CMO/RMBS 09/01/2020 Paydown 141,033 141,033 141,914 141,246 0 (213) 0 (213) 0 141,033 0 0 0 4,418 05/25/2040 1

31398P-P2-9 FNR 2010-50 AY - CMO/RMBS 09/01/2020 Paydown 242,519 242,519 228,043 239,219 0 3,300 0 3,300 0 242,519 0 0 0 6,405 05/25/2025 1

31398P-Y3-7 FNR 2010-39 ZE - CMO/RMBS 09/01/2020 Paydown 454,305 454,305 449,199 450,405 0 3,900 0 3,900 0 454,305 0 0 0 13,951 05/25/2040 1

31398P-Y5-2 FNR 2010-39 PX - CMO/RMBS 09/01/2020 Paydown 544,719 544,719 565,487 545,366 0 (647) 0 (647) 0 544,719 0 0 0 18,416 08/25/2039 1

31398P-YA-1 FNR 2010-52 PC - CMO/RMBS 09/01/2020 Paydown 465,942 465,942 463,612 464,362 0 1,580 0 1,580 0 465,942 0 0 0 13,889 05/25/2040 1

31398Q-HT-7 FHR 3686 BU - CMO/RMBS 09/01/2020 Paydown 124,239 124,239 127,035 125,201 0 (962) 0 (962) 0 124,239 0 0 0 3,704 06/15/2030 1

31398R-AZ-8 FNR 2010-43 CB - CMO/RMBS 09/01/2020 Paydown 178,427 178,427 177,981 177,958 0 469 0 469 0 178,427 0 0 0 5,291 05/25/2025 1

31398R-HT-5 FNR 2010-67 LN - CMO/RMBS 09/01/2020 Paydown 316,066 316,066 336,906 327,720 0 (11,655) 0 (11,655) 0 316,066 0 0 0 10,567 06/25/2040 1

31398R-M3-6 FNR 2010-56 MB - CMO/RMBS 09/01/2020 Paydown 336,101 336,101 336,837 336,180 0 (79) 0 (79) 0 336,101 0 0 0 11,010 06/25/2040 1

31398R-XY-6 FNR 2010-58 PJ - CMO/RMBS 09/01/2020 Paydown 318,344 318,344 317,747 317,776 0 568 0 568 0 318,344 0 0 0 10,124 06/25/2040 1

31398S-LX-9 FNR 2010-134 CD - CMO/RMBS 09/01/2020 Paydown 3,547,532 3,547,532 3,609,337 3,556,156 0 (8,623) 0 (8,623) 0 3,547,532 0 0 0 107,591 02/25/2040 1

31398T-SP-7 FNR 2010-93 MB - CMO/RMBS 09/01/2020 Paydown 76,947 76,947 79,424 78,613 0 (1,665) 0 (1,665) 0 76,947 0 0 0 2,256 08/25/2040 1

31398V-KP-0 FHR 3661 PE - CMO/RMBS 09/01/2020 Paydown 417,341 417,341 413,102 415,040 0 2,301 0 2,301 0 417,341 0 0 0 14,085 04/15/2040 1

31398V-MS-2 FHR 3663 BY - CMO/RMBS 09/01/2020 Paydown 354,547 354,547 355,434 354,310 0 238 0 238 0 354,547 0 0 0 10,249 04/15/2025 1

31398V-NQ-5 FHR 3658 KL - CMO/RMBS 09/01/2020 Paydown 275,264 275,264 274,092 274,748 0 516 0 516 0 275,264 0 0 0 8,186 04/15/2025 1

31398V-XQ-4 FHR 3653 EB - CMO/RMBS 09/01/2020 Paydown 65,118 65,118 65,281 65,079 0 39 0 39 0 65,118 0 0 0 1,944 04/15/2025 1

31398W-2V-5 FHR 3629 AY - CMO/RMBS 09/01/2020 Paydown 138,838 138,838 138,795 138,717 0 121 0 121 0 138,838 0 0 0 4,188 01/15/2025 1

31398W-TV-6 FHR 3660 HL - CMO/RMBS 09/01/2020 Paydown 348,429 348,429 347,557 347,906 0 523 0 523 0 348,429 0 0 0 10,681 04/15/2025 1

31398W-W4-2 FHR 3657 BY - CMO/RMBS 09/01/2020 Paydown 665,215 665,215 665,215 665,215 0 0 0 0 0 665,215 0 0 0 20,268 04/15/2025 1

31407B-5K-1 FN 826250 - RMBS 09/01/2020 Paydown 307 307 312 308 0 (1) 0 (1) 0 307 0 0 0 13 07/01/2035 1

3140FE-5Q-3 FN BD7154 - RMBS 09/01/2020 Paydown 4,876,546 4,876,546 5,004,936 4,985,331 0 (108,785) 0 (108,785) 0 4,876,546 0 0 0 113,180 04/01/2047 1

3140FU-3K-2 FN BE8901 - RMBS 09/01/2020 Paydown 1,201,538 1,201,538 1,231,577 1,225,855 0 (24,317) 0 (24,317) 0 1,201,538 0 0 0 29,063 03/01/2047 1

3140GR-ND-2 FN BH3087 - RMBS 09/01/2020 Paydown 881,375 881,375 903,685 900,042 0 (18,667) 0 (18,667) 0 881,375 0 0 0 21,321 05/01/2047 1

3140GT-N7-1 FN BH4913 - RMBS 09/01/2020 Paydown 3,374,707 3,374,707 3,476,476 3,463,388 0 (88,681) 0 (88,681) 0 3,374,707 0 0 0 77,809 07/01/2047 1

3140GT-PA-2 FN BH4916 - RMBS 09/01/2020 Paydown 2,740,045 2,740,045 2,814,968 2,807,341 0 (67,297) 0 (67,297) 0 2,740,045 0 0 0 64,290 07/01/2047 1

3140GT-X8-8 FN BH5202 - RMBS 09/01/2020 Paydown 4,340,416 4,340,416 4,476,054 4,461,393 0 (120,977) 0 (120,977) 0 4,340,416 0 0 0 100,213 07/01/2047 1

3140GU-MA-2 FN BH5752 - RMBS 09/01/2020 Paydown 5,907,492 5,907,492 6,071,134 6,048,492 0 (141,001) 0 (141,001) 0 5,907,492 0 0 0 138,269 11/01/2047 1

3140H1-DJ-6 FN BJ0104 - RMBS 09/01/2020 Paydown 2,243,693 2,243,693 2,313,370 2,305,592 0 (61,899) 0 (61,899) 0 2,243,693 0 0 0 51,678 10/01/2047 1

3140H5-C5-8 FN BJ3691 - RMBS 07/01/2020 Various (206,044) 0 0 0 0 (49,599) 0 (49,599) 0 (49,599) 0 (156,445) (156,445) 206,814 03/01/2048 1

3140H5-CS-8 FN BJ3680 - RMBS 07/01/2020 Various (215,806) 0 0 0 0 (47,081) 0 (47,081) 0 (47,081) 0 (168,726) (168,726) 186,762 02/01/2048 1

3140HB-JA-7 FN BJ9256 - RMBS 08/20/2020 Various 29,239,955 27,748,173 27,946,529 27,927,008 0 (44,791) 0 (44,791) 0 27,882,217 0 1,357,738 1,357,738 841,832 06/01/2048 1

3140HD-2U-7 FN BK0786 - RMBS 09/01/2020 Paydown 2,064,314 2,064,314 2,089,795 2,087,941 0 (23,628) 0 (23,628) 0 2,064,314 0 0 0 55,006 05/01/2048 1

3140J6-GR-2 FN BM2007 - RMBS 09/01/2020 Paydown 2,678,570 2,678,570 2,730,886 2,731,385 0 (52,814) 0 (52,814) 0 2,678,570 0 0 0 70,360 09/01/2048 1

3140JL-6J-8 FN BN4472 - RMBS 07/01/2020 Various (71,187) 0 0 0 0 (23,854) 0 (23,854) 0 (23,854) 0 (47,333) (47,333) 34,719 01/01/2049 1

3140JL-LW-2 FN BN3940 - RMBS 07/01/2020 Various (85,575) 0 0 0 0 (28,043) 0 (28,043) 0 (28,043) 0 (57,531) (57,531) 57,779 01/01/2049 1

3140JX-RK-6 FN BO3189 - RMBS 09/01/2020 Paydown 5,546,243 5,546,243 5,620,770 5,619,787 0 (73,544) 0 (73,544) 0 5,546,243 0 0 0 111,682 10/01/2049 1

3140QD-UC-6 FN CA5978 - RMBS 09/01/2020 Paydown 1,538,224 1,538,224 1,571,873 0 0 (33,649) 0 (33,649) 0 1,538,224 0 0 0 6,356 06/01/2050 1

31410L-WT-5 FN 890858 - RMBS 09/01/2020 Paydown 5,181,815 5,181,815 5,333,221 5,342,616 0 (160,801) 0 (160,801) 0 5,181,815 0 0 0 139,628 06/01/2048 1

31411S-6C-5 FN 914467 - RMBS 09/01/2020 Paydown 1,842 1,842 1,759 1,789 0 53 0 53 0 1,842 0 0 0 60 04/01/2037 1

31411U-G9-6 FN 914724 - RMBS 09/01/2020 Paydown 936 936 924 929 0 8 0 8 0 936 0 0 0 33 04/01/2037 1

31412P-HS-3 FN 930941 - RMBS 09/01/2020 Paydown 481,097 481,097 507,332 505,479 0 (24,382) 0 (24,382) 0 481,097 0 0 0 16,501 04/01/2039 1

31412R-KT-3 FN 932806 - RMBS 09/01/2020 Paydown 1,034,099 1,034,099 1,066,092 1,066,211 0 (32,112) 0 (32,112) 0 1,034,099 0 0 0 28,319 09/01/2040 1

31412R-KU-0 FN 932807 - RMBS 09/01/2020 Paydown 567,369 567,369 585,542 585,048 0 (17,679) 0 (17,679) 0 567,369 0 0 0 14,588 09/01/2040 1

31416Y-QV-3 FN AB3167 - RMBS 09/01/2020 Paydown 103,833 103,833 101,367 101,989 0 1,844 0 1,844 0 103,833 0 0 0 1,520 02/01/2026 1

31417A-7C-7 FN AB4490 - RMBS 09/01/2020 Paydown 80,950 80,950 82,587 83,067 0 (2,116) 0 (2,116) 0 80,950 0 0 0 1,645 02/01/2027 1

31417A-C6-4 FN AB3692 - RMBS 09/01/2020 Paydown 352,639 352,639 367,130 363,312 0 (10,673) 0 (10,673) 0 352,639 0 0 0 9,392 10/01/2041 1

31417A-JY-6 FN AB3878 - RMBS 09/01/2020 Paydown 834,659 834,659 871,567 864,164 0 (29,505) 0 (29,505) 0 834,659 0 0 0 22,213 11/01/2041 1

31417C-4T-9 FN AB6233 - RMBS 09/01/2020 Paydown 933,148 933,148 939,465 939,415 0 (6,268) 0 (6,268) 0 933,148 0 0 0 22,108 09/01/2042 1

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



31417D-2G-7 FN AB7074 - RMBS 09/01/2020 Paydown 262,785 262,785 276,224 259,783 0 3,001 0 3,001 0 262,785 0 0 0 5,194 11/01/2042 1

31417F-3G-1 FN AB8898 - RMBS 09/01/2020 Paydown 981,319 981,319 982,330 982,058 0 (739) 0 (739) 0 981,319 0 0 0 20,041 04/01/2043 1

31417F-4R-6 FN AB8931 - RMBS 09/01/2020 Paydown 2,064,741 2,064,741 2,066,868 2,066,236 0 (1,495) 0 (1,495) 0 2,064,741 0 0 0 40,366 04/01/2043 1

31417G-4Y-9 FN AB9838 - RMBS 09/01/2020 Paydown 2,124,713 2,124,713 2,196,090 2,196,840 0 (72,128) 0 (72,128) 0 2,124,713 0 0 0 48,285 07/01/2043 1

31417G-EQ-5 FN AB9142 - RMBS 09/01/2020 Paydown 979,421 979,421 980,430 980,262 0 (842) 0 (842) 0 979,421 0 0 0 19,646 04/01/2043 1

31417G-H9-0 FN AB9255 - RMBS 09/01/2020 Paydown 786,455 786,455 755,415 782,772 0 3,684 0 3,684 0 786,455 0 0 0 18,463 05/01/2043 1

31417Y-VJ-3 FN MA0616 - RMBS 09/01/2020 Paydown 726,721 726,721 746,293 739,836 0 (13,115) 0 (13,115) 0 726,721 0 0 0 19,555 01/01/2031 1

31417Y-WB-9 FN MA0641 - RMBS 09/01/2020 Paydown 229,430 229,430 236,994 234,782 0 (5,351) 0 (5,351) 0 229,430 0 0 0 5,970 02/01/2031 1

31418B-G4-2 FN MA2018 - RMBS 09/01/2020 Paydown 947,838 947,838 978,347 972,242 0 (24,403) 0 (24,403) 0 947,838 0 0 0 22,201 09/01/2034 1

31418C-3D-4 FN MA3495 - RMBS 09/01/2020 Paydown 4,075,132 4,075,132 4,114,291 4,113,621 0 (38,489) 0 (38,489) 0 4,075,132 0 0 0 107,622 10/01/2048 1

31418C-4W-1 FN MA3536 - RMBS 07/01/2020 Various (197,889) 0 0 0 0 (71,046) 0 (71,046) 0 (71,046) 0 (126,843) (126,843) 117,937 12/01/2048 1

31418C-5A-8 FN MA3540 - RMBS 09/01/2020 Paydown 2,661,220 2,661,220 2,705,920 2,707,636 0 (46,417) 0 (46,417) 0 2,661,220 0 0 0 61,709 12/01/2033 1

31418C-CH-5 FN MA2771 - RMBS 09/01/2020 Paydown 4,557,558 4,557,558 4,535,001 4,536,247 0 21,311 0 21,311 0 4,557,558 0 0 0 91,838 10/01/2046 1

31418C-GF-5 FN MA2897 - RMBS 09/01/2020 Paydown 1,206,319 1,206,319 1,213,670 1,211,726 0 (5,407) 0 (5,407) 0 1,206,319 0 0 0 24,317 02/01/2037 1

31418C-JD-7 FN MA2959 - RMBS 09/01/2020 Paydown 2,208,483 2,208,483 2,263,005 2,257,216 0 (48,733) 0 (48,733) 0 2,208,483 0 0 0 51,367 04/01/2047 1

31418C-LG-7 FN MA3026 - RMBS 09/01/2020 Paydown 2,800,591 2,800,591 2,870,824 2,863,040 0 (62,450) 0 (62,450) 0 2,800,591 0 0 0 64,569 06/01/2047 1

31418C-ND-2 FN MA3087 - RMBS 07/01/2020 Various (206,841) 0 0 0 0 (71,169) 0 (71,169) 0 (71,169) 0 (135,672) (135,672) 149,192 08/01/2047 1

31418C-PE-8 FN MA3120 - RMBS 09/01/2020 Paydown 2,873,365 2,873,365 2,963,606 2,953,174 0 (79,809) 0 (79,809) 0 2,873,365 0 0 0 66,606 09/01/2047 1

31418C-RC-0 FN MA3182 - RMBS 09/01/2020 Paydown 5,403,502 5,403,502 5,550,832 5,535,048 0 (131,546) 0 (131,546) 0 5,403,502 0 0 0 125,467 11/01/2047 1

31418C-RU-0 FN MA3198 - RMBS 09/01/2020 Paydown 1,632,527 1,632,527 1,659,821 1,656,291 0 (23,764) 0 (23,764) 0 1,632,527 0 0 0 37,628 11/01/2047 1

31418C-U8-5 FN MA3306 - RMBS 07/01/2020 Various (194,504) 0 0 0 0 (51,068) 0 (51,068) 0 (51,068) 0 (143,437) (143,437) 168,075 03/01/2048 1

31418C-V3-5 FN MA3333 - RMBS 07/01/2020 Various (87,610) 0 0 0 0 (21,568) 0 (21,568) 0 (21,568) 0 (66,042) (66,042) 64,978 04/01/2048 1

31418C-WT-7 FN MA3357 - RMBS 09/01/2020 Paydown 2,604,130 2,604,130 2,645,938 2,641,177 0 (37,047) 0 (37,047) 0 2,604,130 0 0 0 68,720 05/01/2048 1

31418C-XN-9 FN MA3384 - RMBS 08/20/2020 Various 97,581,683 92,668,165 94,198,844 94,128,547 0 (237,750) 0 (237,750) 0 93,890,727 0 3,690,956 3,690,956 2,814,213 06/01/2048 1

31418C-YL-2 FN MA3414 - RMBS 09/01/2020 Paydown 3,059,771 3,059,771 3,095,628 3,097,874 0 (38,103) 0 (38,103) 0 3,059,771 0 0 0 70,025 07/01/2048 1

31418C-YM-0 FN MA3415 - RMBS 08/20/2020 Various 68,941,305 65,467,304 66,691,747 66,587,584 0 (281,888) 0 (281,888) 0 66,305,696 0 2,635,609 2,635,609 1,987,734 07/01/2048 1

31418C-ZH-0 FN MA3443 - RMBS 09/01/2020 Paydown 5,377,027 5,377,027 5,463,564 5,458,245 0 (81,218) 0 (81,218) 0 5,377,027 0 0 0 141,661 08/01/2048 1

31418D-BF-8 FN MA3637 - RMBS 09/01/2020 Paydown 3,111,015 3,111,015 3,133,132 3,133,610 0 (22,596) 0 (22,596) 0 3,111,015 0 0 0 17,283 04/01/2049 1

31418D-GL-0 FN MA3802 - RMBS 08/21/2020 Various 25,321,946 24,155,849 24,476,669 24,476,669 0 (26,307) 0 (26,307) 0 24,450,362 0 871,584 871,584 451,398 10/01/2049 1

31418D-LT-7 FN MA3937 - RMBS 08/21/2020 Various 50,370,354 47,990,719 48,845,553 0 0 (95,512) 0 (95,512) 0 48,750,455 0 1,619,899 1,619,899 804,252 02/01/2050 1

31418D-PK-2 FN MA4025 - RMBS 09/01/2020 Paydown 2,317,113 2,317,113 2,355,852 0 0 (38,739) 0 (38,739) 0 2,317,113 0 0 0 12,122 05/01/2050 1

31418D-Q7-0 FN MA4077 - RMBS 09/01/2020 Paydown 2,479,130 2,479,130 2,529,100 0 0 (49,970) 0 (49,970) 0 2,479,130 0 0 0 6,559 07/01/2050 1

31418D-QK-1 FN MA4057 - RMBS 09/01/2020 Paydown 689,954 689,954 704,831 0 0 (14,877) 0 (14,877) 0 689,954 0 0 0 3,519 06/01/2050 1

31418D-RF-1 FN MA4085 - RMBS 09/01/2020 Paydown 2,849,772 2,849,772 2,924,015 0 0 (74,243) 0 (74,243) 0 2,849,772 0 0 0 10,153 07/01/2050 1

31418D-RW-4 FN MA4100 - RMBS 09/01/2020 Paydown 537,870 537,870 553,726 0 0 (15,855) 0 (15,855) 0 580,442 0 (42,571) (42,571) 896 08/01/2050 1

31418D-SH-6 FN MA4119 - RMBS 09/02/2020 Various 116,716,743 112,965,843 116,698,841 0 0 (14,903) 0 (14,903) 0 116,683,938 0 32,805 32,805 110,751 09/01/2050 1

31418D-TQ-5 FN MA4158 - RMBS 09/03/2020 BARCLAYS CAPITAL 25,853,027 25,000,000 25,851,563 0 0 0 0 0 0 25,851,563 0 1,465 1,465 18,056 10/01/2050 1

31418W-PT-1 FN AD8533 - RMBS 09/01/2020 Paydown 189,410 189,410 218,947 197,524 0 (8,114) 0 (8,114) 0 189,410 0 0 0 6,369 08/01/2040 1

31419B-7B-5 FN AE1789 - RMBS 09/01/2020 Paydown 636,087 636,087 654,871 655,536 0 (19,449) 0 (19,449) 0 636,087 0 0 0 16,836 10/01/2040 1

31419D-LW-9 FN AE3040 - RMBS 09/01/2020 Paydown 225,612 225,612 258,775 233,216 0 (7,605) 0 (7,605) 0 225,612 0 0 0 5,976 09/01/2040 1

31419E-YG-8 FN AE4310 - RMBS 09/01/2020 Paydown 516,598 516,598 529,876 527,819 0 (11,222) 0 (11,222) 0 516,598 0 0 0 14,455 09/01/2040 1

35563P-DZ-9 SCRT 2018-1 MA - CMO/RMBS 09/01/2020 Paydown 823,414 823,414 804,915 814,984 0 8,429 0 8,429 0 823,414 0 0 0 16,907 05/25/2057 1

35563P-FG-9 SCRT 2018-2 MA - CMO 09/01/2020 Paydown 339,596 339,596 338,027 342,421 0 (2,826) 0 (2,826) 0 339,596 0 0 0 7,873 11/26/2057 1

36005G-AZ-6 FULTON CNTY GA DEV AUTH HOSP REV 08/03/2020 BOFA SECURITIES INC. 1,146,380 1,000,000 1,142,660 0 0 0 0 0 0 1,142,660 0 3,720 3,720 0 04/01/2050 1FE

38377F-KD-2 GNR 2010-062 KC - CMO/RMBS 09/01/2020 Paydown 3,369,765 3,369,765 3,378,189 3,366,649 0 3,115 0 3,115 0 3,369,765 0 0 0 97,233 06/20/2039 1

38378B-AJ-8 GNR 2011-164 AB - CMBS 09/01/2020 Paydown 49,501 49,501 51,674 49,741 0 (240) 0 (240) 0 49,501 0 0 0 1,155 04/16/2046 1

38378B-AL-3 GNR 2011-164 AD - CMBS 09/01/2020 Paydown 435,608 435,608 450,015 437,107 0 (1,499) 0 (1,499) 0 435,608 0 0 0 10,167 04/16/2046 1

418338-AB-5 HASTINGS CAMPUS HSG FIN AUTH CALIF CAMPU 08/31/2020

RAYMOND JAMES &

ASSOCIATES INC. 2,020,540 2,000,000 2,007,540 0 0 0 0 0 0 2,007,540 0 13,000 13,000 0 07/01/2061 1Z

442349-ET-9 HOUSTON TEX ARPT SYS REV 09/18/2020


LLC 2,004,780 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 4,780 4,780 0 07/01/2031 1FE

442349-EU-6 HOUSTON TEX ARPT SYS REV 09/18/2020


LLC 2,004,760 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 4,760 4,760 0 07/01/2032 1FE

506624-TU-9 LAFAYETTE PARISH LA SCH BRD SALES TAX RE 09/28/2020

RAYMOND JAMES &

ASSOCIATES INC. 5,967,000 6,000,000 6,000,000 0 0 0 0 0 0 6,000,000 0 (33,000) (33,000) 0 04/01/2048 1FE

544435-P8-7 LOS ANGELES CALIF DEPT ARPTS ARPT REV 08/25/2020 Call @ 100.00 5,000,000 5,000,000 5,142,350 5,007,257 0 (7,257) 0 (7,257) 0 5,000,000 0 0 0 196,528 05/15/2035 1FE

544435-T6-7 LOS ANGELES CALIF DEPT ARPTS ARPT REV 08/25/2020 Call @ 100.00 1,950,000 1,950,000 1,989,722 1,952,476 0 (2,476) 0 (2,476) 0 1,950,000 0 0 0 106,384 05/15/2040 1FE

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



54466H-JL-1 LOS ANGELES CNTY CALIF MET TRANSN AUTH S 08/13/2020

WELLS FARGO SECURITIES

LLC 10,910,080 8,000,000 10,926,320 0 0 0 0 0 0 10,926,320 0 (16,240) (16,240) 0 06/01/2029 1FE

54466H-JM-9 LOS ANGELES CNTY CALIF MET TRANSN AUTH S 08/13/2020


LLC 5,569,840 4,000,000 5,588,040 0 0 0 0 0 0 5,588,040 0 (18,200) (18,200) 0 06/01/2030 1FE

54466H-JU-1 LOS ANGELES CNTY CALIF MET TRANSN AUTH S 08/13/2020


LLC 8,307,240 6,000,000 8,320,800 0 0 0 0 0 0 8,320,800 0 (13,560) (13,560) 0 06/01/2031 1FE

56042R-YH-9 MAINE HEALTH & HIGHER EDL FACS AUTH REV 07/20/2020


LLC 1,145,250 1,000,000 1,142,400 0 0 0 0 0 0 1,142,400 0 2,850 2,850 0 07/01/2045 1FE

56042R-YJ-5 MAINE HEALTH & HIGHER EDL FACS AUTH REV 07/20/2020


LLC 1,140,500 1,000,000 1,137,660 0 0 0 0 0 0 1,137,660 0 2,840 2,840 0 07/01/2050 1FE

561851-GJ-9 MANATEE CNTY FLA PUB UTILS REV 09/28/2020 Call @ 100.00 11,785,000 11,785,000 12,103,307 11,817,019 0 (32,019) 0 (32,019) 0 11,785,000 0 0 0 434,749 10/01/2035 1FE

561851-GK-6 MANATEE CNTY FLA PUB UTILS REV 09/28/2020 Call @ 100.00 6,200,000 6,200,000 6,200,000 6,200,000 0 0 0 0 0 6,200,000 0 0 0 222,518 10/01/2030 1FE

57583R-S3-0 MASSACHUSETTS ST DEV FIN AGY REV 08/27/2020 Call @ 100.00 16,365,000 16,365,000 16,552,375 16,379,942 0 (14,942) 0 (14,942) 0 16,365,000 0 0 0 818,250 09/01/2040 1FE

57586P-E9-3 MASSACHUSETTS ST HSG FIN AGY HSG REV 07/07/2020 Call @ 100.00 1,155,000 1,155,000 1,155,000 1,155,000 0 0 0 0 0 1,155,000 0 0 0 49,310 12/01/2042 1FE

57587A-WC-8 MASSACHUSETTS ST HSG FIN AGY HSG REV 09/22/2020 Call @ 100.00 165,000 165,000 164,175 0 0 20 0 20 0 164,195 0 805 805 3,300 06/01/2043 1FE

584283-HA-6 MEDFORD ORE HOSP FACS AUTH REV 07/08/2020


INC. 1,242,390 1,000,000 1,240,360 0 0 0 0 0 0 1,240,360 0 2,030 2,030 0 08/15/2045 1FE

584283-HE-8 MEDFORD ORE HOSP FACS AUTH REV 07/08/2020


INC. 1,237,320 1,000,000 1,235,300 0 0 0 0 0 0 1,235,300 0 2,020 2,020 0 08/15/2050 1FE

592247-L8-1 METROPOLITAN PIER & EXPOSITION AUTH ILL 07/07/2020 BOFA SECURITIES INC. 4,338,500 10,000,000 1,009,585 2,849,024 0 91,819 0 91,819 0 2,940,843 0 1,397,657 1,397,657 0 12/15/2040 2FE

592248-GM-4 METROPOLITAN PIER & EXPOSITION AUTH ILL 07/10/2020

GOLDMAN SACHS & CO.

INC. 4,849,600 10,000,000 3,797,000 0 0 23,432 0 23,432 0 3,820,432 0 1,029,168 1,029,168 0 12/15/2040 1FE

59261A-H5-9 METROPOLITAN TRANSN AUTH N Y REV 09/15/2020


INC. 4,779,800 5,000,000 4,671,000 0 0 0 0 0 0 4,671,000 0 108,800 108,800 0 11/15/2048 1FE

603792-PP-1 MINNEAPOLIS MINN SPL SCH DIST NO 001 CTF 09/28/2020 Call @ 100.00 8,990,000 8,990,000 8,990,000 8,990,000 0 0 0 0 0 8,990,000 0 0 0 292,175 04/01/2036 1FE

603792-QJ-4 MINNEAPOLIS MINN SPL SCH DIST NO 001 CTF 09/28/2020 Call @ 100.00 7,555,000 7,555,000 7,555,000 7,555,000 0 0 0 0 0 7,555,000 0 0 0 245,538 04/01/2030 1FE

60535Q-WG-1 MISSISSIPPI HOME CORP SINGLE FAMILY MTG 07/30/2020

RAYMOND JAMES &


61075T-UV-8 MONROE CNTY N Y INDL DEV CORP REV 07/27/2020


LLC 3,498,540 3,000,000 3,484,020 0 0 0 0 0 0 3,484,020 0 14,520 14,520 0 07/01/2050 1FE

63607V-AA-4 NATIONAL FIN AUTH N H FED LEASE REV 09/02/2020 Call @ 100.00 55,000 55,000 56,062 0 0 (13) 0 (13) 0 56,049 0 (1,049) (1,049) 0 07/01/2035 1FE

64578C-AG-6 NEW JERSEY ECONOMIC DEV AUTH SPL FAC REV 09/16/2020 Call @ 100.00 1,135,000 1,135,000 1,135,000 1,135,000 0 0 0 0 0 1,135,000 0 0 0 58,169 09/15/2023 4FE

64711N-LJ-2 NEW MEXICO FIN AUTH REV 09/24/2020 Call @ 100.00 1,000,000 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 0 0 47,862 06/01/2028 1FE

64711N-LK-9 NEW MEXICO FIN AUTH REV 09/24/2020 Call @ 100.00 1,045,000 1,045,000 1,045,000 1,045,000 0 0 0 0 0 1,045,000 0 0 0 50,881 06/01/2029 1FE

64711N-LQ-6 NEW MEXICO FIN AUTH REV 09/24/2020 Call @ 100.00 1,065,000 1,065,000 1,065,000 1,065,000 0 0 0 0 0 1,065,000 0 0 0 48,328 06/01/2025 1FE

64711N-LR-4 NEW MEXICO FIN AUTH REV 09/24/2020 Call @ 100.00 1,830,000 1,830,000 1,830,000 1,830,000 0 0 0 0 0 1,830,000 0 0 0 85,315 06/01/2027 1FE

64711N-LT-0 NEW MEXICO FIN AUTH REV 09/24/2020 Call @ 100.00 1,970,000 1,970,000 1,970,000 1,970,000 0 0 0 0 0 1,970,000 0 0 0 87,765 06/01/2024 1FE

647201-CG-5 NEW MEXICO MTG FIN AUTH 09/01/2020 Call @ 100.00 75,000 75,000 75,170 75,147 0 (12) 0 (12) 0 75,135 0 (135) (135) 3,004 07/01/2048 1FE

647201-ES-7 NEW MEXICO MTG FIN AUTH 09/02/2020 Call @ 100.00 120,000 120,000 120,000 120,000 0 0 0 0 0 120,000 0 0 0 4,874 07/01/2049 1FE

64971M-4N-9 NEW YORK N Y CITY TRANSITIONAL FIN AUTH 09/28/2020 Call @ 100.00 16,790,000 16,790,000 16,881,232 16,796,935 0 (6,935) 0 (6,935) 0 16,790,000 0 0 0 975,163 08/01/2030 1FE

64971P-KD-6 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,042,710 1,000,000 1,038,250 0 0 0 0 0 0 1,038,250 0 4,460 4,460 0 03/01/2036 1FE

64971P-KE-4 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 982,500 1,000,000 974,920 0 0 0 0 0 0 974,920 0 7,580 7,580 0 03/01/2037 1FE

64971P-KF-1 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,035,590 1,000,000 1,031,170 0 0 0 0 0 0 1,031,170 0 4,420 4,420 0 03/01/2038 1FE

64971P-KG-9 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,033,820 1,000,000 1,027,650 0 0 0 0 0 0 1,027,650 0 6,170 6,170 0 03/01/2039 1FE

64971P-KH-7 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,031,170 1,000,000 1,025,020 0 0 0 0 0 0 1,025,020 0 6,150 6,150 0 03/01/2040 1FE

64971P-KJ-3 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,138,360 1,000,000 1,131,780 0 0 0 0 0 0 1,131,780 0 6,580 6,580 0 03/01/2045 1FE

64971P-KK-0 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,523,160 1,500,000 1,512,795 0 0 0 0 0 0 1,512,795 0 10,365 10,365 0 03/01/2049 1FE

64971P-KL-8 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,115,960 1,000,000 1,109,520 0 0 0 0 0 0 1,109,520 0 6,440 6,440 0 03/01/2045 1FE

64971P-KM-6 NEW YORK N Y CITY INDL DEV AGY REV 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,485,000 1,500,000 1,471,770 0 0 0 0 0 0 1,471,770 0 13,230 13,230 0 03/01/2049 1FE

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



64972C-U6-8 NEW YORK N Y CITY HSG DEV CORP MULTIFAMI 07/06/2020 MORGAN STANLEY CO 10,000,000 10,000,000 10,000,000 0 0 0 0 0 0 10,000,000 0 0 0 34,803 11/01/2057 1FE

64972G-XM-1 NEW YORK N Y CITY MUN WTR FIN AUTH WTR & 09/30/2020


LLC 9,899,050 9,500,000 10,003,845 0 0 (179) 0 (179) 0 10,003,666 0 (104,616) (104,616) 1,167 06/15/2050 1FE

64983W-NM-4 NEW YORK STATE DORMITORY AUTHORITY 09/16/2020 Call @ 100.00 6,125,000 6,125,000 5,543,125 5,784,086 0 25,944 0 25,944 0 5,810,031 0 314,969 314,969 48,268 07/01/2029 1FE

650116-CX-2 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020


INC. 1,519,845 1,500,000 1,493,805 0 0 0 0 0 0 1,493,805 0 26,040 26,040 0 10/01/2030 3FE

650116-CY-0 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020


INC. 2,143,860 2,000,000 2,113,420 0 0 0 0 0 0 2,113,420 0 30,440 30,440 0 10/01/2035 3FE

650116-CZ-7 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020


INC. 2,118,460 2,000,000 2,088,460 0 0 0 0 0 0 2,088,460 0 30,000 30,000 0 10/01/2040 3FE

650116-DA-1 NEW YORK TRANSN DEV CORP SPL FAC REV 09/02/2020


INC. 2,000,740 2,000,000 1,947,900 0 0 0 0 0 0 1,947,900 0 52,840 52,840 0 10/01/2045 3FE

67756Q-YR-2 OHIO ST HSG FIN AGY RESIDENTIAL MTG REV 08/05/2020 Call @ 100.00 445,000 445,000 445,000 445,000 0 0 0 0 0 445,000 0 0 0 9,641 03/01/2049 1FE

67886M-TB-5 OKLAHOMA HSG FIN AGY SINGLE FAMILY MTG R 09/22/2020 Call @ 100.00 35,000 35,000 35,000 0 0 0 0 0 0 35,000 0 0 0 94 09/01/2035 1FE

67886M-TC-3 OKLAHOMA HSG FIN AGY SINGLE FAMILY MTG R 09/22/2020 Call @ 100.00 35,000 35,000 35,134 0 0 (5) 0 (5) 0 35,129 0 (129) (129) 107 09/01/2040 1FE

67886M-TD-1 OKLAHOMA HSG FIN AGY SINGLE FAMILY MTG R 09/22/2020 Call @ 100.00 10,000 10,000 10,000 0 0 0 0 0 0 10,000 0 0 0 50 03/01/2042 1FE

67920Q-XL-7 OKLAHOMA ST WTR RES BRD ST LN PROGRAM RE 09/11/2020 HILLTOP SECURITIES INC 1,003,610 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 3,610 3,610 0 10/01/2035 1FE

67920Q-XR-4 OKLAHOMA ST WTR RES BRD ST LN PROGRAM RE 09/11/2020 HILLTOP SECURITIES INC 1,003,090 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 3,090 3,090 0 10/01/2040 1FE

70879Q-DF-7 PENNSYLVANIA HSG FIN AGY SINGLE FAMILY M 09/10/2020 Call @ 100.00 1,370,000 1,370,000 1,370,000 1,370,000 0 0 0 0 0 1,370,000 0 0 0 27,400 10/01/2047 1FE

717893-Q4-6 PHILADELPHIA PA WTR & WASTEWTR REV 07/23/2020


INC. 646,245 500,000 643,550 0 0 0 0 0 0 643,550 0 2,695 2,695 0 11/01/2045 1FE

717893-Q5-3 PHILADELPHIA PA WTR & WASTEWTR REV 07/23/2020


INC. 643,550 500,000 640,870 0 0 0 0 0 0 640,870 0 2,680 2,680 0 11/01/2050 1FE

73358W-5S-9 PORT AUTH N Y & N J 07/21/2020 MESIROW FINANCIAL 1,135,510 1,000,000 1,134,600 0 0 (32) 0 (32) 0 1,134,568 0 942 942 111 07/15/2045 1FE

73358W-5T-7 PORT AUTH N Y & N J 07/20/2020

SAMUEL A . RAMIREZ & CO.

INC. 1,132,700 1,000,000 1,127,050 0 0 0 0 0 0 1,127,050 0 5,650 5,650 0 07/15/2050 1FE

73358W-5U-4 PORT AUTH N Y & N J 07/20/2020


INC. 1,683,540 1,500,000 1,676,550 0 0 0 0 0 0 1,676,550 0 6,990 6,990 0 07/15/2055 1FE

73358W-5V-2 PORT AUTH N Y & N J 07/20/2020


INC. 2,227,980 2,000,000 2,216,880 0 0 0 0 0 0 2,216,880 0 11,100 11,100 0 07/15/2060 1FE

74443D-DW-8 PUBLIC FIN AUTH WIS EDL FAC REV 07/08/2020


1,450,000 1,450,000 1,453,815 1,453,721 0 (27) 0 (27) 0 1,453,693 0 (3,693) (3,693) 52,572 06/01/2048 2FE

762323-AX-1 RHODE IS ST STUDENT LN AUTH ED LN REV 09/29/2020 Call @ 100.00 2,455,000 2,455,000 2,461,138 0 0 (112) 0 (112) 0 2,461,025 0 (6,025) (6,025) 0 12/01/2037 1FE

76827W-AN-0 RIVER IS PUB FING AUTH CALIF LATHROP IRR 08/28/2020 HILLTOP SECURITIES INC 771,706 665,000 768,481 0 0 0 0 0 0 768,481 0 3,225 3,225 0 09/01/2040 1FE

76827W-AP-5 RIVER IS PUB FING AUTH CALIF LATHROP IRR 08/28/2020 HILLTOP SECURITIES INC 783,688 685,000 779,777 0 0 0 0 0 0 779,777 0 3,911 3,911 0 09/01/2045 1FE

76827W-AQ-3 RIVER IS PUB FING AUTH CALIF LATHROP IRR 08/28/2020 HILLTOP SECURITIES INC 1,139,310 1,000,000 1,133,620 0 0 0 0 0 0 1,133,620 0 5,690 5,690 0 09/01/2050 1FE

793323-LW-4 ST PETERSBURG FLA PUB UTIL REV 09/28/2020 Call @ 100.00 14,365,000 14,365,000 14,365,000 14,365,000 0 0 0 0 0 14,365,000 0 0 0 474,045 10/01/2040 1FE

79765A-6W-1 SAN FRANCISCO CALIF CITY & CNTY ARPTS CO 08/18/2020 Call @ 100.00 11,400,000 11,400,000 11,400,000 11,400,000 0 0 0 0 0 11,400,000 0 0 0 459,167 05/01/2035 1FE

803321-LF-3 SARASOTA CNTY FLA UTIL SYS REV 09/28/2020 Call @ 100.00 1,750,000 1,750,000 1,844,553 1,759,521 0 (9,521) 0 (9,521) 0 1,750,000 0 0 0 62,353 10/01/2030 1FE

803321-LG-1 SARASOTA CNTY FLA UTIL SYS REV 09/28/2020 Call @ 100.00 16,910,000 16,910,000 17,847,194 17,003,615 0 (93,615) 0 (93,615) 0 16,910,000 0 0 0 625,755 10/01/2040 1FE

85230B-CN-6 ST CHARLES MO CTFS PARTN 08/18/2020 Call @ 100.00 10,000,000 10,000,000 10,000,000 10,000,000 0 0 0 0 0 10,000,000 0 0 0 596,389 02/01/2030 1FE

85230B-CP-1 ST CHARLES MO CTFS PARTN 08/21/2020 Call @ 100.00 23,000,000 23,000,000 23,142,500 23,019,808 0 (19,808) 0 (19,808) 0 23,000,000 0 0 0 1,395,972 02/01/2039 1FE

880461-T6-5 TENNESSEE HSG DEV AGY RESIDENTIAL FIN PR 08/26/2020 Call @ 100.00 475,000 475,000 475,000 0 0 0 0 0 0 475,000 0 0 0 463 07/01/2036 1FE

91412H-GG-2 UNIVERSITY CALIF REVS 07/10/2020


INC. 2,504,625 2,500,000 2,500,000 0 0 0 0 0 0 2,500,000 0 4,625 4,625 0 05/15/2030 1FE

915217-XF-5 UNIVERSITY VA UNIV REVS 07/15/2020

GOLDMAN SACHS & CO.

INC. 2,485,850 2,500,000 2,500,000 0 0 0 0 0 0 2,500,000 0 (14,150) (14,150) 0 09/01/2050 1FE

92812V-J5-6 VIRGINIA ST HSG DEV AUTH 09/28/2020

RAYMOND JAMES &



RAYMOND JAMES &



RAYMOND JAMES &

ASSOCIATES INC. 275,688 275,000 275,000 0 0 0 0 0 0 275,000 0 688 688 0 09/01/2030 1FE


RAYMOND JAMES &



RAYMOND JAMES &


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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



92812V-K2-1 VIRGINIA ST HSG DEV AUTH 09/28/2020

RAYMOND JAMES &



RAYMOND JAMES &



RAYMOND JAMES &


928172-VC-6 VIRGINIA ST PUB BLDG AUTH PUB FACS REV 07/29/2020 Call @ 100.00 17,345,000 17,345,000 17,413,860 17,349,969 0 (4,969) 0 (4,969) 0 17,345,000 0 0 0 893,268 08/01/2024 1FE

928172-VD-4 VIRGINIA ST PUB BLDG AUTH PUB FACS REV 07/29/2020 Call @ 100.00 17,955,000 17,955,000 18,025,922 17,960,144 0 (5,144) 0 (5,144) 0 17,955,000 0 0 0 942,638 08/01/2025 1FE

928172-VE-2 VIRGINIA ST PUB BLDG AUTH PUB FACS REV 07/29/2020 Call @ 100.00 18,370,000 18,370,000 18,369,265 18,370,167 0 (88) 0 (88) 0 18,370,078 0 (78) (78) 973,610 08/01/2026 1FE

93976A-BH-4 WASHINGTON ST CONVENTION CTR PUB FACS DI 07/01/2020


INC. 25,220,142 24,965,000 24,143,520 24,154,115 0 4,453 0 4,453 0 24,158,568 0 1,061,574 1,061,574 1,512,469 07/01/2058 2FE

95236P-GH-7 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 1,002,310 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 2,310 2,310 0 08/01/2030 1FE

95236P-GJ-3 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 1,002,300 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 2,300 2,300 0 08/01/2031 1FE

95236P-GK-0 WEST COVINA CALIF PUB FING AUTH LEASE RE 07/24/2020 HILLTOP SECURITIES INC 751,710 750,000 750,000 0 0 0 0 0 0 750,000 0 1,710 1,710 0 08/01/2032 1FE

95236P-GL-8 WEST COVINA CALIF PUB FING AUTH LEASE RE 08/04/2020 HILLTOP SECURITIES INC 6,593,795 6,500,000 6,500,000 0 0 0 0 0 0 6,500,000 0 93,795 93,795 3,118 08/01/2038 1FE

95236P-GM-6 WEST COVINA CALIF PUB FING AUTH LEASE RE 08/06/2020 HILLTOP SECURITIES INC 13,958,838 13,750,000 13,750,000 0 0 0 0 0 0 13,750,000 0 208,838 208,838 10,811 08/01/2044 1FE

3199999. Subtotal - Bonds - U.S. Special Revenues 1,543,002,988 1,507,071,974 1,533,277,432 694,153,941 0 (4,878,407) 0 (4,878,407) 0 1,527,528,221 0 15,474,766 15,474,766 26,388,917 XXX XXX000000-00-0 First Financial Center (Ground Lease) - 09/10/2020 Paydown 20,899 20,899 21,507 0 0 (608) 0 (608) 0 20,899 0 0 0 601 07/10/2053 1FE

00154*-AA-2 AK RICA I, LLC - MBS 09/15/2020 Paydown 48,057 48,057 48,009 48,024 0 34 0 34 0 48,057 0 0 0 1,402 04/15/2033 2

00191V-AC-4 APS RESECURITIZATION TRUST 2015-2 - CMO/ 09/27/2020 Paydown 233,189 233,189 212,202 227,269 0 5,920 0 5,920 0 233,189 0 0 0 1,679 10/25/2036 5GI

00206R-KE-1 AT&T INC 07/27/2020

STIFEL NICOLAUS &

COMPANY INC. 1,996,880 2,000,000 1,998,840 0 0 0 0 0 0 1,998,840 0 (1,960) (1,960) 0 02/01/2052 2FE

00206R-KH-4 AT&T INC 07/27/2020

Brownstone Investment

Group LLC 1,994,980 2,000,000 1,996,380 0 0 0 0 0 0 1,996,380 0 (1,400) (1,400) 0 02/01/2032 2FE

00507V-AP-4 ACTIVISION BLIZZARD INC 08/05/2020 BOFA SECURITIES INC. 1,001,010 1,000,000 996,140 0 0 0 0 0 0 996,140 0 4,870 4,870 0 09/15/2030 2FE

00507V-AQ-2 ACTIVISION BLIZZARD INC 08/05/2020


INC. 2,027,280 2,000,000 1,994,500 0 0 0 0 0 0 1,994,500 0 32,780 32,780 0 09/15/2050 2FE

006346-AS-9 ADMSO 181 A - ABS 09/15/2020 Paydown 25,016 25,016 25,129 25,112 0 (97) 0 (97) 0 25,016 0 0 0 802 11/16/2048 1FE

00653V-AA-9 ADAPTHEALTH LLC 07/15/2020


INC. 3,030,000 3,000,000 3,000,000 0 0 0 0 0 0 3,000,000 0 30,000 30,000 0 08/01/2028 4FE

007036-GT-7 ARMT 2005-2 3A1 - CMO/RMBS 09/01/2020 Paydown 4,220 4,220 4,092 4,197 0 23 0 23 0 4,220 0 0 0 112 06/25/2035 1FM

007036-JA-5 ARMT 2005-3 7A1 - CMO/RMBS 09/01/2020 Paydown 37,506 37,506 34,295 34,465 0 3,041 0 3,041 0 37,506 0 0 0 974 07/25/2035 1FM

00751Y-AB-2 ADVANCE AUTO PARTS INC 09/11/2020 Call @ 100.00 9,583,650 9,105,000 9,520,294 9,215,071 0 (42,698) 0 (42,698) 0 9,172,373 0 (67,373) (67,373) 957,800 01/15/2022 2FE

00751Y-AF-3 ADVANCE AUTO PARTS INC 09/22/2020


INC. 999,540 1,000,000 996,720 0 0 0 0 0 0 996,720 0 2,820 2,820 0 10/01/2027 2FE

00774M-AR-6 AERCAP IRELAND CAPITAL DAC C 09/24/2020

GOLDMAN SACHS & CO.

INC. 1,963,520 2,000,000 1,965,940 0 0 35 0 35 0 1,965,975 0 (2,455) (2,455) 771 10/15/2027 2FE

008513-AA-1 AGREE LP 08/12/2020


LLC 1,014,700 1,000,000 999,270 0 0 0 0 0 0 999,270 0 15,430 15,430 0 10/01/2030 2FE

009090-AA-9 AIR CANADA 2015-1 PASS THROUGH TRUST - A C 09/15/2020 Paydown 241,245 241,245 241,245 241,245 0 0 0 0 0 241,245 0 0 0 8,685 09/15/2028 1FE

009098-A*-5 Amazon Air Cargo Facility (Fort Worth) - 09/10/2020 Paydown 29,212 29,212 29,212 29,212 0 0 0 0 0 29,212 0 0 0 875 11/10/2039 1

015271-AV-1 ALEXANDRIA REAL ESTATE EQUITIES INC 07/29/2020

GOLDMAN SACHS & CO.

INC. 1,999,780 2,000,000 1,996,240 0 0 0 0 0 0 1,996,240 0 3,540 3,540 0 02/01/2033 2FE

016090-AA-0 ALIANT COMMUNICATIONS, INC. 09/25/2020 MANDATORY EXCHANGE 8,528,441 8,766,000 7,008,501 6,399,180 989,702 81,844 0 1,071,547 0 7,470,727 0 1,057,715 1,057,715 927,552 04/01/2028 6FE

02079K-AD-9 ALPHABET INC 08/04/2020

GOLDMAN SACHS & CO.

INC. 1,999,800 2,000,000 1,994,520 0 0 1 0 1 0 1,994,521 0 5,279 5,279 61 08/15/2030 1FE

02079K-AE-7 ALPHABET INC 08/03/2020 JEFFERIES LLC 994,700 1,000,000 993,710 0 0 0 0 0 0 993,710 0 990 990 0 08/15/2040 1FE

02079K-AF-4 ALPHABET INC 08/03/2020 JEFFERIES LLC 1,991,080 2,000,000 1,983,100 0 0 0 0 0 0 1,983,100 0 7,980 7,980 0 08/15/2050 1FE

02660V-AE-8 AHMA 2005-1 311 - RMBS 09/25/2020 Paydown 35,996 35,996 31,789 33,624 0 2,372 0 2,372 0 35,996 0 0 0 356 11/25/2035 1FM

03027X-BG-4 AMERICAN TOWER CORP 09/23/2020

GOLDMAN SACHS & CO.

INC. 1,988,720 2,000,000 1,991,080 0 0 0 0 0 0 1,991,080 0 (2,360) (2,360) 0 10/15/2030 2FE

03444R-AB-4 ANDREW W MELLON FOUNDATION 07/23/2020

GOLDMAN SACHS & CO.

INC. 1,002,720 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 2,720 2,720 0 08/01/2027 1FE

03524B-AB-2 ANHEUSER-BUSCH INBEV FINANCE INC 08/12/2020 Call @ 100.00 22,726,173 21,896,229 27,339,571 21,835,658 0 28,717 0 28,717 (686,738) 30,771,937 0 122,693 122,693 2,187,517 01/25/2023 2FE

037411-BH-7 APACHE CORP 08/03/2020


INC. 1,002,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 2,500 2,500 0 11/15/2025 3FE

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



037411-BJ-3 APACHE CORP 08/03/2020


INC. 1,007,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 7,500 7,500 0 11/15/2027 3FE

037833-DY-3 APPLE INC 08/14/2020

GOLDMAN SACHS & CO.

INC. 1,992,140 2,000,000 1,995,140 0 0 0 0 0 0 1,995,140 0 (3,000) (3,000) 0 08/20/2030 1FE

037833-DZ-0 APPLE INC 08/14/2020

GOLDMAN SACHS & CO.

INC. 1,984,740 2,000,000 1,994,480 0 0 0 0 0 0 1,994,480 0 (9,740) (9,740) 0 08/20/2050 1FE

037833-EA-4 APPLE INC 08/14/2020

GOLDMAN SACHS & CO.

INC. 1,977,200 2,000,000 1,978,660 0 0 0 0 0 0 1,978,660 0 (1,460) (1,460) 0 08/20/2060 1FE

03837P-AA-5 AQFIT 17A A - ABS 09/15/2020 Paydown 389,947 389,947 389,899 389,912 0 35 0 35 0 389,947 0 0 0 9,314 11/15/2035 1FE

038779-AA-2 ARBYS 2015-1 A2 - ABS 08/11/2020 Paydown 14,617,309 14,325,000 14,325,000 14,325,000 0 0 0 0 0 14,325,000 0 0 0 827,413 10/30/2045 2FE

03938L-AZ-7 ARCELORMITTAL SA C 08/26/2020


INC. 7,572,750 6,585,000 7,118,780 7,019,936 0 (47,054) 0 (47,054) 0 6,972,882 0 599,868 599,868 299,137 06/01/2025 3FE

03938L-BA-1 ARCELORMITTAL SA C 08/26/2020


INC. 2,175,000 2,000,000 1,994,300 1,994,870 0 476 0 476 0 1,995,346 0 179,654 179,654 87,714 03/11/2026 3FE

039854-AB-0 ARDONAGH MIDCO 3 PLC C 07/10/2020 Call @ 100.00 16,324,985 15,650,000 14,085,000 14,389,505 0 160,919 0 160,919 0 14,550,424 0 1,099,576 1,099,576 2,024,797 07/15/2023 4FE

04363U-AB-2 PACIFIC NATIONAL FINANCE PTY LTD C 09/23/2020 Maturity @ 100.00 25,548,000 25,548,000 24,547,481 25,450,205 0 97,795 0 97,795 0 25,548,000 0 0 0 1,181,595 09/23/2020 2FE

046353-AW-8 ASTRAZENECA PLC C 08/03/2020

MUFG SECURITIES AMERICAS

INC. 1,998,320 2,000,000 1,994,240 0 0 0 0 0 0 1,994,240 0 4,080 4,080 0 08/06/2030 2FE

046353-AX-6 ASTRAZENECA PLC C 08/03/2020


INC. 989,900 1,000,000 979,060 0 0 0 0 0 0 979,060 0 10,840 10,840 0 08/06/2050 2FE

04877Q-AB-0 ATLANTIC OKLAHOMA WIND, LLC 09/30/2020 Paydown 34,193 34,193 34,193 34,193 0 0 0 0 0 34,193 0 0 0 817 12/31/2037 2PL

053332-BA-9 AUTOZONE INC 08/04/2020

U.S. BANCORP INVESTMENTS

INC. 998,580 1,000,000 996,960 0 0 0 0 0 0 996,960 0 1,620 1,620 0 01/15/2031 2FE

05352T-AA-7 AVANTOR FUNDING INC 07/07/2020

GOLDMAN SACHS & CO.

INC. 1,005,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 5,000 5,000 0 07/15/2028 4FE

05369A-AH-4 AVIATION CAPITAL GROUP LLC 07/07/2020

SG AMERICAS SECURITIES

LLC 996,250 1,000,000 990,390 0 0 0 0 0 0 990,390 0 5,860 5,860 0 12/15/2024 2FE

05526D-BS-3 BAT CAPITAL CORP 09/22/2020

SEAPORT GROUP


05526D-BU-8 BAT CAPITAL CORP 09/22/2020


LLC 2,009,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 9,000 9,000 0 09/25/2050 2FE

05526Q-AN-6 BAMLL 2015-200P F - CMBS 09/23/2020 BOFA SECURITIES INC. 5,391,170 5,350,000 4,938,510 5,079,437 0 32,655 0 32,655 0 5,112,092 0 279,078 279,078 160,206 04/15/2033 1FM

056054-AF-6 BX 19XL C - CMBS 07/15/2020 Paydown 54,925 54,925 54,925 54,925 0 0 0 0 0 54,925 0 0 0 729 10/15/2036 1FM

056054-AG-4 BX 19XL D - CMBS 09/15/2020 Paydown 74,453 74,453 73,899 61,027 0 554 0 554 0 74,453 0 0 0 919 10/15/2036 1FM

05946X-G9-8 BAFC 2005-H 1A1 - CMO/RMBS 09/01/2020 Paydown 480 500 420 430 0 70 0 70 0 500 0 (20) (20) 14 11/20/2035 4FM

05946X-G9-8 BAFC 2005-H 1A1 - CMO/RMBS 09/01/2020 Paydown 3,092 3,220 2,768 2,831 0 389 0 389 0 3,220 0 (129) (129) 88 11/20/2035 5FM

05948K-Y8-6 BOAA 2005-12 4A1 - CMO/RMBS 09/01/2020 Paydown 9,935 14,849 12,214 12,793 0 2,056 0 2,056 0 14,849 0 (4,914) (4,914) 570 01/25/2036 1FM

05949A-6J-4 BOAMS 2005-E 2A7 - CMO/RMBS 09/01/2020 Paydown 258,835 260,392 249,586 252,029 0 8,363 0 8,363 0 260,392 0 (1,557) (1,557) 6,605 06/25/2035 1FM

05949A-LH-1 BOAMS 2004-G 2A7 - CMO/RMBS 09/01/2020 Paydown 67,244 67,244 63,414 67,949 0 3,322 4,027 (705) 0 67,244 0 0 0 1,857 08/25/2034 1FM

05949A-XK-1 BOAMS 2004-K 3A2 - CMO/RMBS 09/01/2020 Paydown 52,904 52,904 51,565 53,045 0 (141) 0 (141) 0 52,904 0 0 0 1,386 12/25/2034 1FM

05949C-PK-6 BOAMS 2005-L 2A4 - CMO/RMBS 09/01/2020 Paydown 27,287 27,608 23,254 22,769 0 4,839 0 4,839 0 27,608 0 (321) (321) 694 01/25/2036 1FM

05949C-RS-7 BOAMS 2006-A 2A1 - CMO/RMBS 09/01/2020 Paydown 9,011 9,033 6,839 7,674 0 1,360 0 1,360 0 9,033 0 (22) (22) 210 02/25/2036 1FM

05950D-AD-2 BAFC 2006-E 2A1 - CMO/RMBS 09/01/2020 Paydown 126,449 134,462 113,620 107,249 0 27,213 0 27,213 0 134,462 0 (8,013) (8,013) 3,456 06/20/2036 1FM

05968K-AK-0 BAFC 2014-R2 3A1 - CMO/RMBS 09/01/2020 Paydown 663,534 663,534 670,169 665,901 0 (2,367) 0 (2,367) 0 663,534 0 0 0 16,140 07/28/2036 1FM

05971P-AC-2 BANCO MERCANTIL DEL NORTE SA (CAYMAN ISL C 07/09/2020 CANTOR FITZGERALD & CO 1,002,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 2,500 2,500 0 12/29/2049 3FE

05990Q-AL-7 BAFC 2015-R3 4A1 - CMO/RMBS 09/25/2020 Paydown 266,917 266,917 242,894 260,011 0 6,906 0 6,906 0 266,917 0 0 0 1,847 03/27/2037 1FM

05990Q-AU-7 BAFC 2015-R3 7A1 - CMO/RMBS 09/25/2020 Paydown 449,744 449,744 407,861 436,628 0 13,116 0 13,116 0 449,744 0 0 0 3,322 04/29/2037 1FM

05990T-AC-1 BAFC 2015-R2 2A1 - CMO/RMBS 09/25/2020 Paydown 1,014,299 1,014,299 931,887 947,558 25,460 41,281 0 66,741 0 1,014,299 0 0 0 7,527 12/29/2036 5GI

06051G-JF-7 BANK OF AMERICA CORP 07/20/2020 BOFA SECURITIES INC. 1,003,910 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 3,910 3,910 0 07/23/2031 1FE

06738E-BN-4 BARCLAYS PLC C 08/05/2020 BARCLAYS CAPITAL 1,006,250 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 6,250 6,250 0 12/29/2049 3FE

06738E-BP-9 BARCLAYS PLC C 09/16/2020 BARCLAYS CAPITAL 1,001,670 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 1,670 1,670 0 09/23/2035 2FE

07384M-4L-3 BSARM 2004-10 311 - CMO/RMBS 09/01/2020 Paydown 8,486 8,486 7,897 8,075 0 411 0 411 0 8,486 0 0 0 242 01/25/2035 1FM

07384M-Y2-2 BSARM 2004-7 2A1 - CMO/RMBS 09/01/2020 Paydown 361,260 361,260 345,613 357,525 0 3,735 0 3,735 0 361,260 0 0 0 9,443 10/25/2034 1FM

07386H-KZ-3 BALTA 2004-9 2A1 - CMO/RMBS 09/01/2020 Paydown 101,411 101,412 96,104 97,581 0 3,830 0 3,830 0 101,412 0 0 0 2,662 09/25/2034 1FM

07386H-NB-3 BALTA 2004-11 A6A - CMO/RMBS 09/01/2020 Paydown 64,253 64,253 60,517 62,581 0 1,671 0 1,671 0 64,253 0 0 0 1,591 11/25/2034 1FM

08949L-AB-6 BIG RIVER STEEL LLC 09/09/2020

GOLDMAN SACHS & CO.

INC. 1,515,000 1,500,000 1,500,000 0 0 0 0 0 0 1,500,000 0 15,000 15,000 0 01/31/2029 5FE

09261B-AA-8 BLACKSTONE HOLDINGS FINANCE CO LLC 09/22/2020 BOFA SECURITIES INC. 1,995,960 2,000,000 1,996,340 0 0 0 0 0 0 1,996,340 0 (380) (380) 0 03/30/2031 1FE

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



09261B-AB-6 BLACKSTONE HOLDINGS FINANCE CO LLC 09/22/2020 BOFA SECURITIES INC. 994,360 1,000,000 994,560 0 0 0 0 0 0 994,560 0 (200) (200) 0 09/30/2050 1FE

093662-AH-7 BLOCK FINANCIAL LLC 08/04/2020


Group LLC 998,840 1,000,000 996,870 0 0 0 0 0 0 996,870 0 1,970 1,970 0 08/15/2030 2FE

09820#-AA-3 BONNABEL DEVELOPMENT COMPANY, L.L.C. - M 09/15/2020 Paydown 29,255 29,255 29,224 29,231 0 24 0 24 0 29,255 0 0 0 1,334 06/15/2040 2

10373Q-BM-1 BP CAPITAL MARKETS AMERICA INC 08/05/2020 CANTOR FITZGERALD & CO 1,002,330 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 2,330 2,330 0 08/10/2030 1FE

10373Q-BN-9 BP CAPITAL MARKETS AMERICA INC 08/05/2020 GOLDMAN 1,008,040 1,000,000 999,930 0 0 0 0 0 0 999,930 0 8,110 8,110 0 11/10/2050 1FE

11043X-AB-9 IAGLN 2019-1 A - ABS 09/15/2020 Paydown 120,552 120,552 120,552 120,552 0 0 0 0 0 120,552 0 0 0 3,029 12/15/2030 2FE

115236-AC-5 BROWN & BROWN INC 09/17/2020


INC. 2,010,180 2,000,000 1,997,800 0 0 0 0 0 0 1,997,800 0 12,380 12,380 0 03/15/2031 2FE

11575T-AC-2 BROWN UNIVERSITY 09/29/2020 BOFA SECURITIES INC. 1,089,680 1,000,000 1,101,440 0 0 (58) 0 (58) 0 1,101,382 0 (11,702) (11,702) 2,437 09/01/2050 1FE

12479R-AE-7 CAUTO 2017-1 A2 - ABS 09/15/2020 Paydown 14,577 14,577 14,575 14,576 0 1 0 1 0 14,577 0 0 0 406 04/15/2047 1FE

126171-AR-8 COMM 2005-C6 F - CMBS 08/10/2020 Paydown 3,543,691 3,543,691 3,702,050 3,568,928 0 (25,237) 0 (25,237) 0 3,543,691 0 0 0 137,273 06/10/2044 1FM

12622D-AH-7 COMM 2010-C1 B - CMBS 09/01/2020 Paydown 18,995,078 18,995,078 19,231,774 18,995,776 0 (699) 0 (699) 0 18,995,078 0 0 0 746,507 07/10/2046 1FM

126307-BD-8 CSC HOLDINGS LLC 08/03/2020


INC. 1,032,500 1,000,000 1,032,500 0 0 0 0 0 0 1,032,500 0 0 0 7,837 12/01/2030 4FE

126307-BF-3 CSC HOLDINGS LLC 08/03/2020


INC. 1,000,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 0 0 0 02/15/2031 3FE

12646K-AB-6 CSMC 2012-9 B1 - CMO/RMBS 09/01/2020 Paydown 715,328 715,328 688,503 711,431 0 3,897 0 3,897 0 715,328 0 0 0 18,899 02/25/2050 1FM

126650-BQ-2 CVSPAS 2007 CTF - CMBS 09/10/2020 Paydown 159,014 159,014 166,857 164,537 0 (5,523) 0 (5,523) 0 159,014 0 0 0 7,364 01/10/2030 2FE

126650-BY-5 CVSPAS 2011 CTF - CMBS 09/10/2020 Paydown 53,382 53,382 54,758 54,523 0 (1,141) 0 (1,141) 0 53,382 0 0 0 2,110 01/10/2034 2FE

126650-DN-7 CVS HEALTH CORP 08/13/2020

GOLDMAN SACHS & CO.

INC. 1,998,000 2,000,000 1,996,720 0 0 0 0 0 0 1,996,720 0 1,280 1,280 0 08/21/2030 2FE

126650-DP-2 CVS HEALTH CORP 08/12/2020

SEAPORT GROUP


126659-AA-9 CVSPAS 2009-6 CTF - CMBS 09/10/2020 Paydown 139,742 139,742 137,660 138,234 0 1,508 0 1,508 0 139,742 0 0 0 7,786 07/10/2031 2FE

12665U-AA-2 CVS HEALTH CORP - ABS 09/10/2020 Paydown 39,691 39,691 39,897 39,852 0 (161) 0 (161) 0 39,691 0 0 0 1,245 01/10/2036 2FE

12667F-DB-8 CWALT 2004-5CB 1A1 - CMO/RMBS 09/01/2020 Paydown 289,108 289,108 276,607 287,317 0 1,791 0 1,791 0 289,108 0 0 0 11,568 05/25/2034 1FM

12667F-PE-9 CWALT 2004-20T1 A1 - CMO/RMBS 09/01/2020 Paydown 147,536 147,536 150,994 153,000 0 (5,464) 0 (5,464) 0 147,536 0 0 0 6,368 09/25/2034 1FM

12667F-PV-1 CWALT 2004-15 1A1 - CMO/RMBS 09/01/2020 Paydown 17,296 17,296 16,310 17,047 0 249 0 249 0 17,296 0 0 0 497 09/25/2034 1FM

12667F-QU-2 CWALT 2004-18CB 5A1 - CMO/RMBS 09/01/2020 Paydown 420,870 420,871 388,603 414,104 0 6,766 0 6,766 0 420,871 0 0 0 17,752 09/25/2034 1FM

12667F-RY-3 CWALT 2004-22CB 1A1 - CMO/RMBS 09/01/2020 Paydown 1,013,013 1,013,013 983,546 999,158 0 13,855 0 13,855 0 1,013,013 0 0 0 42,317 10/25/2034 1FM

12667F-RZ-0 CWALT 2004-22CB 2A1 - CMO/RMBS 09/01/2020 Paydown 403,259 403,259 388,356 401,168 0 2,090 0 2,090 0 403,259 0 0 0 17,447 10/25/2034 1FM

12667F-SK-2 CWALT 2004-J8 3A1 - CMO/RMBS 09/01/2020 Paydown 3,197 3,197 3,301 3,197 0 0 0 0 0 3,197 0 0 0 139 01/25/2032 1FM

12667F-U2-9 CWALT 2005-J1 3A1 - CMO/RMBS 09/01/2020 Paydown 38,381 38,381 36,755 36,793 0 1,587 0 1,587 0 38,381 0 0 0 1,721 08/25/2032 1FM

12667F-XL-4 CWALT 2004-J11 2A1 - CMO/RMBS 09/01/2020 Paydown 1,264 1,264 1,247 1,264 0 0 0 0 0 1,264 0 0 0 53 11/25/2020 1FM

12667F-Y4-1 CWALT 2005-3CB 114 - CMO/RMBS 09/01/2020 Paydown 419,123 475,391 445,333 417,596 0 57,795 0 57,795 0 475,391 0 (56,268) (56,268) 17,275 03/25/2035 1FM

12667F-Z7-3 CWALT 2005-2 2A1 - CMO/RMBS 09/01/2020 Paydown 171,200 171,200 153,224 160,645 0 10,555 0 10,555 0 171,200 0 0 0 4,334 03/25/2035 1FM

12669F-3D-3 CWHL 2004-HYB5 4A1 - CMO/RMBS 09/01/2020 Paydown 272,288 272,288 253,909 261,807 0 10,482 0 10,482 0 272,288 0 0 0 6,586 04/20/2035 1FM

12669F-L5-0 CWHL 2004-15 4A - CMO/RMBS 09/01/2020 Paydown 16,012 16,012 14,691 15,151 0 862 0 862 0 16,012 0 0 0 430 10/20/2034 1FM

12669F-L6-8 CWHL 2004-15 5A - CMO/RMBS 09/01/2020 Paydown 8,587 8,587 7,556 7,772 0 814 0 814 0 8,587 0 0 0 228 10/20/2034 1FM

12669F-P9-8 CWHL 2004-12 161 - CMO/RMBS 09/01/2020 Paydown 88,012 88,012 81,067 84,694 0 3,318 0 3,318 0 88,012 0 0 0 1,999 08/25/2034 1FM

12669F-VF-7 CWHL 2004-6 A3 - CMO/RMBS 09/01/2020 Paydown 78,205 78,205 68,076 78,604 0 10,101 10,500 (399) 0 78,205 0 0 0 2,101 05/25/2034 1FM

12687G-AA-7 CABLEVISION LIGHTPATH CT LLC 09/16/2020

GOLDMAN SACHS & CO.

INC. 1,758,750 1,750,000 1,750,000 0 0 0 0 0 0 1,750,000 0 8,750 8,750 0 09/15/2027 4FE

12687G-AB-5 CABLEVISION LIGHTPATH CT LLC 09/16/2020

GOLDMAN SACHS & CO.

INC. 1,018,750 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 18,750 18,750 0 09/15/2028 5FE

12689@-AA-9 CVS (ANAHEIM CA) CONTROL PASS-THRU TRUST 09/20/2020 Paydown 83,348 83,348 83,348 83,348 0 0 0 0 0 83,348 0 0 0 2,724 01/20/2038 2

13467T-AA-3 CMDPTT 1 B1 - RMBS 09/15/2020 Paydown 34,717 34,717 34,717 0 0 0 0 0 0 34,717 0 0 0 464 01/15/2052 2FE

13704#-AA-6 CANAL/CARROLLTON DEVELOPMENT COMPANY LLC 09/15/2020 Paydown 36,092 36,092 36,054 36,060 0 32 0 32 0 36,092 0 0 0 1,645 08/15/2040 2

14307@-AA-7 CARLYLE CREDIT OPPORTUNITIES FUND NOTE I 08/28/2020 Redemption @ 100.00 10,363,517 10,363,517 10,702,301 10,557,751 0 (54,514) 0 (54,514) 0 10,638,616 0 (275,099) (275,099) 96,839 11/30/2035 1PL

144285-AL-7 CARPENTER TECHNOLOGY CORP 07/10/2020 BOFA SECURITIES INC. 3,045,000 3,000,000 3,000,000 0 0 0 0 0 0 3,000,000 0 45,000 45,000 0 07/15/2028 3FE

144539-AE-3 CARR 2006-NC5 A5 - RMBS 09/25/2020 Paydown 863,429 863,429 550,057 639,739 0 223,690 0 223,690 0 863,429 0 0 0 5,495 03/25/2036 1FM

146869-AD-4 CARVANA CO 09/23/2020


INC. 3,003,750 3,000,000 3,000,000 0 0 0 0 0 0 3,000,000 0 3,750 3,750 0 10/01/2028 5FE

15135U-AS-8 CENOVUS ENERGY INC C 07/28/2020 BOFA SECURITIES INC. 2,010,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 10,000 10,000 0 07/15/2025 3FE

15189Y-AF-3 CENTERPOINT ENERGY RESOURCES CORP 09/23/2020


INC. 2,000,740 2,000,000 1,998,900 0 0 0 0 0 0 1,998,900 0 1,840 1,840 0 10/01/2030 2FE

15724#-AA-7 CGA CR LEASE-BACKED THROUGH TRUST SERIES 09/10/2020 Paydown 520,372 520,372 520,372 520,372 0 0 0 0 0 520,372 0 0 0 21,244 10/10/2025 1

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



16163L-AA-0 CHASE 2007-A2 1A1 - CMO/RMBS 09/01/2020 Paydown 169,441 169,441 169,335 172,467 0 (3,026) 0 (3,026) 0 169,441 0 0 0 4,446 06/25/2035 1FM

16163L-AJ-1 CHASE 2007-A2 4A1 - CMO/RMBS 09/01/2020 Paydown 90,308 90,308 78,867 91,743 0 11,234 12,669 (1,435) 0 90,308 0 0 0 2,521 06/25/2035 1FM

16165T-AB-9 CFLX 2005-1 1A2 - CMO/RMBS 09/25/2020 Paydown 14,339 14,664 13,865 13,477 0 1,188 0 1,188 0 14,664 0 (325) (325) 516 02/25/2035 2FM

16165T-AD-5 CFLX 2005-1 1A4 - CMO/RMBS 09/01/2020 Paydown 269,917 422,223 320,873 347,710 0 74,513 0 74,513 0 422,223 0 (152,307) (152,307) 16,119 02/25/2035 1FM

16165T-BN-2 CFLX 2005-2 5A5 - CMO/RMBS 08/01/2020 Paydown 38,796 37,463 32,671 28,820 0 8,644 0 8,644 0 37,463 0 1,333 1,333 1,368 06/25/2035 1FM

16411R-AJ-8 CHENIERE ENERGY INC 09/15/2020

CREDIT SUISSE SECURITIES

1,005,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 5,000 5,000 0 10/15/2028 3FE

166430-AA-6 CHEST 1412 N - ABS 09/15/2020 Paydown 370,000 370,000 370,000 370,000 0 0 0 0 0 370,000 0 0 0 12,488 12/15/2034 1FE

166756-AH-9 CHEVRON USA INC 08/10/2020 CANTOR FITZGERALD & CO 2,000,840 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 840 840 0 08/12/2050 1FE

16876H-AB-5 CHILDREN'S HEALTH SYSTEM OF TEXAS 07/29/2020

GOLDMAN SACHS & CO.

INC. 2,524,000 2,500,000 2,500,000 0 0 0 0 0 0 2,500,000 0 24,000 24,000 0 08/15/2050 1FE

17307G-FT-0 CMLTI 2004-NCM1 2A2 - CMO/RMBS 09/01/2020 Paydown 126,765 126,765 126,586 126,475 0 290 0 290 0 126,765 0 0 0 5,130 07/25/2034 1FM

17307G-FW-3 CMLTI 2004-NCM1 3A2 - CMO/RMBS 08/01/2020 Paydown 154 154 154 154 0 0 0 0 0 154 0 0 0 6 07/25/2034 1FM

18538R-AJ-2 CLEARWATER PAPER CORP 08/11/2020


INC. 1,010,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 10,000 10,000 0 08/15/2028 3FE

19260M-AA-4 COIN 2017-1 A2 - ABS 07/25/2020 Paydown 50,000 50,000 48,944 27,500 0 1,056 0 1,056 0 50,000 0 0 0 1,370 04/25/2047 2FE

19533P-AC-4 COLOMBIA TELECOMUNICACIONES SA ESP C 07/08/2020


1,008,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 8,500 8,500 0 07/17/2030 3FE

20030N-DN-8 COMCAST CORP 08/11/2020

KEYBANC CAPITAL MARKETS

INC. 996,920 1,000,000 996,630 0 0 0 0 0 0 996,630 0 290 290 0 02/15/2031 1FE

20030N-DP-3 COMCAST CORP 08/11/2020

STIFEL NICOLAUS &

COMPANY INC. 993,410 1,000,000 992,100 0 0 0 0 0 0 992,100 0 1,310 1,310 0 08/15/2052 1FE

20030N-DQ-1 COMCAST CORP 08/11/2020 CANTOR FITZGERALD & CO 997,740 1,000,000 990,980 0 0 0 0 0 0 990,980 0 6,760 6,760 0 08/15/2062 1FE

20605P-AM-3 CONCHO RESOURCES INC 08/10/2020 BOFA SECURITIES INC. 2,006,000 2,000,000 1,995,220 0 0 0 0 0 0 1,995,220 0 10,780 10,780 0 02/15/2031 2FE

20903X-AF-0 CONSOLIDATED COMMUNICATIONS INC 09/18/2020


INC. 2,025,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 25,000 25,000 0 10/01/2028 4FE

224044-CL-9 COX COMMUNICATIONS INC 09/10/2020 JEFFERIES LLC 996,430 1,000,000 996,890 0 0 0 0 0 0 996,890 0 (460) (460) 0 10/01/2030 2FE

224044-CM-7 COX COMMUNICATIONS INC 09/10/2020


LLC 992,290 1,000,000 991,900 0 0 0 0 0 0 991,900 0 390 390 0 10/01/2050 2FE

225401-AR-9 CREDIT SUISSE GROUP AG C 08/04/2020


2,005,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 5,000 5,000 0 12/29/2049 3FE

22541Q-WZ-1 CSFB 2003-23 5A1 - CMO/RMBS 09/01/2020 Paydown 238,166 238,166 241,144 241,145 0 (2,978) 0 (2,978) 0 238,166 0 0 0 9,811 09/25/2033 1FM

22541S-JB-5 CSFB 2004-AR5 3A1 - CMO/RMBS 09/01/2020 Paydown 303,607 303,607 295,667 303,156 0 452 0 452 0 303,607 0 0 0 7,665 06/25/2034 1FM

22966R-AG-1 CUBESMART LP 09/29/2020


LLC 990,650 1,000,000 990,740 0 0 0 0 0 0 990,740 0 (90) (90) 0 02/15/2031 2FE

231021-AS-5 CUMMINS INC 08/17/2020

BANK OF AMERICA

SECURITIES 1,992,600 2,000,000 1,986,760 0 0 0 0 0 0 1,986,760 0 5,840 5,840 0 09/01/2050 1FE

231021-AT-3 CUMMINS INC 08/17/2020 Stifel Nicolaus & Co. 1,998,740 2,000,000 1,992,600 0 0 0 0 0 0 1,992,600 0 6,140 6,140 0 09/01/2030 1FE

23283P-AT-1 CYRUSONE FINANCE CORP 09/15/2020

SEAPORT GROUP

SECURITIES, LLC 993,950 1,000,000 987,950 0 0 0 0 0 0 987,950 0 6,000 6,000 0 11/01/2030 2FE

233046-AF-8 DNKN 2017-1 AII - ABS 08/20/2020 Paydown 142,555 142,555 140,861 141,089 0 1,466 0 1,466 0 142,555 0 0 0 4,309 11/20/2047 2FE

23305M-AJ-4 DBCCR 2014-ARCP D - CMBS 07/22/2020


INC. 4,966,992 5,000,000 5,137,500 5,060,569 0 (8,668) 0 (8,668) 0 5,051,901 0 (84,909) (84,909) 161,742 01/12/2034 1FM

23341J-AD-0 DTAOT 164 D - ABS 09/15/2020 Paydown 2,327,111 2,327,111 2,326,674 2,327,061 0 50 0 50 0 2,327,111 0 0 0 58,391 10/17/2022 1FE

23341T-AG-1 DTAOT 2017-2 D - ABS 09/15/2020 Paydown 2,057,761 2,057,761 2,057,743 2,057,758 0 3 0 3 0 2,057,761 0 0 0 53,245 01/17/2023 1FE

235851-AV-4 DANAHER CORP 09/29/2020 JEFFERIES LLC 1,980,220 2,000,000 1,979,400 0 0 0 0 0 0 1,979,400 0 820 820 0 10/01/2050 2FE

247367-BH-7 DELTA AIR LINES INC - ABS 08/10/2020 Paydown 1,134,167 1,134,167 1,072,210 1,123,993 0 10,174 0 10,174 0 1,134,167 0 0 0 77,362 02/10/2024 2FE

247367-BJ-3 DELTA AIR LINES INC - ABS 08/10/2020 Paydown 241,733 241,733 241,733 241,733 0 0 0 0 0 241,733 0 0 0 19,389 02/10/2024 3FE

251563-EZ-1 DMSI 2004-4 3A1 - CMO/RMBS 09/01/2020 Paydown 67,235 67,235 64,390 66,259 0 976 0 976 0 67,235 0 0 0 1,964 06/25/2034 1FM

251563-FB-3 DMSI 2004-4 5A1 - CMO/RMBS 09/01/2020 Paydown 8,584 8,584 7,772 8,516 0 808 740 68 0 8,584 0 0 0 214 06/25/2034 1FM

253657-AA-8 DIEBOLD NIXDORF INC 07/09/2020

JEFFERIES & COMPANY,

INC. 7,130,000 7,000,000 6,932,170 0 0 0 0 0 0 6,932,170 0 197,830 197,830 0 07/15/2025 4FE

255388-AB-6 DIV 191 B - ABS 09/20/2020 Paydown 113,053 113,053 113,808 113,795 0 (742) 0 (742) 0 113,053 0 0 0 3,148 08/22/2039 2FE

25755T-AE-0 DPABS 2015-1 A2 - ABS 07/25/2020 Paydown 25,000 25,000 25,000 25,000 0 0 0 0 0 25,000 0 0 0 839 10/25/2045 2FE

25755T-AH-3 DPABS 2017-1 A23 - ABS 07/25/2020 Paydown 53,050 53,050 52,733 52,781 0 269 0 269 0 53,050 0 0 0 1,640 07/25/2047 2FE

25755T-AJ-9 DPABS 2018-1 A21 - ABS 07/25/2020 Paydown 25,000 25,000 25,000 25,000 0 0 0 0 0 25,000 0 0 0 772 07/27/2048 2FE

25755T-AK-6 DPABS 2018-1 A22 - ABS 07/25/2020 Paydown 50,000 50,000 50,000 50,000 0 0 0 0 0 50,000 0 0 0 1,624 07/27/2048 2FE

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



260543-DC-4 DOW CHEMICAL CO 08/18/2020

SMBC NIKKO SECURITIES

AMERICA, INC. 1,982,620 2,000,000 1,983,520 0 0 0 0 0 0 1,983,520 0 (900) (900) 0 11/15/2030 2FE

260543-DD-2 DOW CHEMICAL CO 08/18/2020

MIZUHO SECURITIES USA

INC. 1,987,760 2,000,000 1,985,200 0 0 0 0 0 0 1,985,200 0 2,560 2,560 0 11/15/2050 2FE

26054E-AT-6 DOW CHEMICAL CO 09/15/2020 Maturity @ 100.00 3,221,000 3,221,000 3,732,830 3,268,094 0 (47,094) 0 (47,094) 0 3,221,000 0 0 0 270,430 09/15/2020 2FE

26208L-AA-6 HONK 2015-1 A2 - RMBS 07/20/2020 Paydown 37,500 37,500 37,250 37,386 0 114 0 114 0 37,500 0 0 0 1,467 07/20/2045 2FE

26208L-AB-4 HONK 161 A2 - ABS 07/20/2020 Paydown 12,500 12,500 12,453 12,478 0 22 0 22 0 12,500 0 0 0 574 04/20/2046 2FE

26208L-AC-2 HONK 2018-1 A2 - ABS 07/20/2020 Paydown 31,000 31,000 30,983 30,985 0 15 0 15 0 31,000 0 0 0 1,102 04/20/2048 2FE

26208L-AE-8 HONK 192 A2 - ABS 07/20/2020 Paydown 30,000 30,000 30,271 17,500 0 (271) 0 (271) 0 30,000 0 0 0 647 10/20/2049 2FE

26441C-BH-7 DUKE ENERGY CORP 09/09/2020


INC. 1,060,220 1,000,000 1,060,580 0 0 0 0 0 0 1,060,580 0 (360) (360) 7,894 06/01/2030 2FE

26884U-AE-9 EPR PROPERTIES 08/04/2020 JEFFERIES LLC 2,437,500 2,500,000 2,434,125 2,442,426 0 3,259 0 3,259 0 2,445,685 0 (8,185) (8,185) 98,106 04/15/2028 2FE

278865-BG-4 ECOLAB INC 08/10/2020 RBC CAPITAL MARKETS 983,370 1,000,000 991,210 0 0 0 0 0 0 991,210 0 (7,840) (7,840) 0 08/15/2050 1FE

27965*-AA-4 EDENTON DEVELOPMENT COMPANY I LLC - MBS 09/15/2020 Paydown 31,349 31,349 31,316 31,326 0 23 0 23 0 31,349 0 0 0 1,429 08/15/2035 2

29248H-AB-9 EMPOWER FINANCE 2020 LP 09/15/2020

GOLDMAN SACHS & CO.

INC. 2,004,020 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 4,020 4,020 0 03/17/2031 1FE

29248H-AC-7 EMPOWER FINANCE 2020 LP 09/14/2020 JEFFERIES LLC 2,014,640 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 14,640 14,640 0 09/17/2051 1FE

29365T-AK-0 ENTERGY TEXAS INC 09/28/2020 BOFA SECURITIES INC. 1,994,680 2,000,000 1,992,600 0 0 0 0 0 0 1,992,600 0 2,080 2,080 0 03/15/2031 2FE

29444U-BL-9 EQUINIX INC 09/23/2020

GOLDMAN SACHS & CO.

INC. 1,993,160 2,000,000 1,998,180 0 0 0 0 0 0 1,998,180 0 (5,020) (5,020) 0 03/15/2028 2FE

29444U-BM-7 EQUINIX INC 09/24/2020 RBC CAPITAL MARKETS 1,991,160 2,000,000 1,988,760 0 0 0 0 0 0 1,988,760 0 2,400 2,400 0 09/15/2051 2FE

29717P-AW-7 ESSEX PORTFOLIO LP 08/10/2020


LLC 991,860 1,000,000 990,350 0 0 0 0 0 0 990,350 0 1,510 1,510 0 01/15/2031 2FE

29717P-AX-5 ESSEX PORTFOLIO LP 08/10/2020


LLC 1,000,000 1,000,000 996,910 0 0 0 0 0 0 996,910 0 3,090 3,090 0 09/01/2050 2FE

30040W-AH-1 EVERSOURCE ENERGY 08/11/2020

GOLDMAN SACHS & CO.

INC. 1,175,180 1,000,000 1,175,400 0 0 0 0 0 0 1,175,400 0 (220) (220) 2,779 01/15/2050 2FE

30166L-AC-4 EART 163 C - ABS 09/15/2020 Paydown 1,395,661 1,395,661 1,395,541 1,395,644 0 18 0 18 0 1,395,661 0 0 0 39,169 06/15/2022 1FE

30166P-AE-1 EART 183 C - ABS 09/15/2020 Paydown 306,674 306,674 306,605 306,647 0 27 0 27 0 306,674 0 0 0 8,533 06/15/2023 1FE

30212P-BB-0 EXPEDIA GROUP INC 07/07/2020

STIFEL NICOLAUS &

COMPANY INC. 2,002,500 2,000,000 1,999,940 0 0 0 0 0 0 1,999,940 0 2,560 2,560 0 08/01/2027 2FE

302445-AE-1 FLIR SYSTEMS INC 07/20/2020 BOFA SECURITIES INC. 2,030,400 2,000,000 1,996,140 0 0 0 0 0 0 1,996,140 0 34,260 34,260 0 08/01/2030 2FE

31620R-AK-1 FIDELITY NATIONAL FINANCIAL INC 09/10/2020 BOFA SECURITIES INC. 1,995,040 2,000,000 1,992,840 0 0 0 0 0 0 1,992,840 0 2,200 2,200 0 03/15/2031 2FE

32057L-AE-8 FIAOT 161 D - ABS 09/15/2020 Paydown 1,502,637 1,502,637 1,502,791 1,502,701 0 (64) 0 (64) 0 1,502,637 0 0 0 47,003 04/18/2022 1FE

32058M-AJ-4 FIAOT 152 D - ABS 08/17/2020 Paydown 1,086,085 1,086,085 1,085,978 1,086,077 0 7 0 7 0 1,086,085 0 0 0 29,882 12/15/2021 1FE

33843L-AC-9 FCAT 153 C - ABS 09/15/2020 Paydown 1,195,612 1,195,612 1,202,576 1,196,475 0 (864) 0 (864) 0 1,195,612 0 0 0 37,145 03/15/2022 1FE

33843N-AE-1 FCAT 162 B - ABS 07/15/2020 Paydown 62,471 62,471 62,451 62,470 0 1 0 1 0 62,471 0 0 0 1,399 09/15/2022 1FE

34354P-AF-2 FLOWSERVE CORP 09/14/2020 BOFA SECURITIES INC. 1,000,750 1,000,000 996,560 0 0 0 0 0 0 996,560 0 4,190 4,190 0 10/01/2030 2FE

34417M-AB-3 FOCUS 2017-1 A22 - RMBS 07/30/2020 Paydown 25,000 25,000 25,043 25,034 0 (34) 0 (34) 0 25,000 0 0 0 955 04/30/2047 2FE

34417Q-AA-6 FOCUS 2018-1 A2 - ABS 07/30/2020 Paydown 37,500 37,500 37,500 37,500 0 0 0 0 0 37,500 0 0 0 1,458 10/30/2048 2FE

345397-VR-1 FORD MOTOR CREDIT COMPANY LLC 09/10/2020 BOFA SECURITIES INC. 2,518,750 2,500,000 2,748,650 2,537,428 0 (24,123) 0 (24,123) 0 2,513,306 0 5,444 5,444 160,920 02/01/2021 3FE

345397-WF-6 FORD MOTOR CREDIT COMPANY LLC 09/15/2020 BOFA SECURITIES INC. 4,010,000 4,000,000 3,964,400 3,988,845 0 2,782 0 2,782 0 3,991,627 0 18,373 18,373 168,583 09/20/2022 3FE

34960P-AA-9 FORTRESS TRANSPORTATION AND INFRASTRUCTU 07/10/2020 CANTOR FITZGERALD & CO 2,910,000 3,000,000 2,965,000 2,974,601 0 5,755 0 5,755 0 2,980,356 0 (70,356) (70,356) 167,719 03/15/2022 3FE

34962W-AA-2 FORTERRA FINANCE LLC 07/28/2020 BOFA SECURITIES INC. 2,140,000 2,000,000 2,045,000 0 0 (299) 0 (299) 0 2,044,701 0 95,299 95,299 5,056 07/15/2025 4FE

35040T-AA-2 FFIN 2016-1 A - ABS 09/15/2020 Paydown 379,875 379,875 379,824 379,849 0 26 0 26 0 379,875 0 0 0 10,002 06/15/2035 1FE

35041K-AA-0 FFIN 2020-1 A - ABS 09/15/2020 Paydown 592,572 592,572 592,507 0 0 65 0 65 0 592,572 0 0 0 3,713 07/16/2040 1FE

36185M-BJ-0 GMACM 2005-AR6 2A1 - CMO/RMBS 09/01/2020 Paydown 355,622 366,804 314,534 296,525 0 70,279 0 70,279 0 366,804 0 (11,182) (11,182) 10,081 11/19/2035 1FM

3622MP-AX-6 GSR 2007-1F 3A8 - CMO/RMBS 09/01/2020 Paydown 117,198 134,095 120,458 102,400 0 31,695 0 31,695 0 134,095 0 (16,897) (16,897) 5,186 01/25/2037 1FM

3622MP-BA-5 GSR 2007-1F 311 - CMO/RMBS 09/01/2020 Paydown 122,734 140,370 132,219 110,411 0 29,960 0 29,960 0 140,370 0 (17,636) (17,636) 5,203 01/25/2037 1FM

362341-4F-3 GSR 2006-AR1 3A1 - CMO/RMBS 09/01/2020 Paydown 404,244 404,968 370,351 372,113 0 32,855 0 32,855 0 404,968 0 (724) (724) 9,981 01/25/2036 1FM

36242D-BM-4 GSR 2004-9 4A1 - CMO/RMBS 09/01/2020 Paydown 101,806 101,806 100,597 100,941 0 865 0 865 0 101,806 0 0 0 2,467 08/25/2034 1FM

36242D-FP-3 GSR 2004-11 1A1 - CMO/RMBS 09/01/2020 Paydown 25,342 25,342 23,786 24,710 0 632 0 632 0 25,342 0 0 0 804 09/25/2034 1FM

36242D-H5-5 GSR 2005-AR2 1A2 - CMO/RMBS 09/01/2020 Paydown 9,194 9,194 8,695 8,985 0 210 0 210 0 9,194 0 0 0 253 04/25/2035 1FM

36242D-J2-0 GSR 2005-AR2 5A1 - CMO/RMBS 09/01/2020 Paydown 62,721 62,721 61,584 63,039 0 (318) 0 (318) 0 62,721 0 0 0 1,881 05/25/2034 1FM

36242D-JQ-7 GSMPS 2004-4 1AF - CMO/RMBS 09/25/2020 Paydown 32,068 32,068 23,376 29,139 0 2,929 0 2,929 0 32,068 0 0 0 272 06/25/2034 1FM

36242D-UM-3 GSR 2005-AR1 2A1 - CMO/RMBS 09/01/2020 Paydown 20,529 20,529 17,844 20,737 0 2,669 2,877 (208) 0 20,529 0 0 0 560 01/25/2035 1FM

36249E-AC-8 GCAR 182 B - ABS 09/15/2020 Paydown 1,221,809 1,221,809 1,221,581 1,221,722 0 86 0 86 0 1,221,809 0 0 0 30,903 03/15/2023 1FE

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



36255W-AJ-4 GSMS 2018-RIVR E - CMBS 09/23/2020


INC. 4,368,750 5,000,000 4,920,313 4,921,757 0 (62,596) 0 (62,596) 0 4,859,161 0 (490,411) (490,411) 92,401 07/16/2035 1FM

375558-BS-1 GILEAD SCIENCES INC 09/24/2020 BARCLAYS CAPITAL 995,050 1,000,000 995,510 0 0 0 0 0 0 995,510 0 (460) (460) 0 10/01/2040 1FE

375558-BT-9 GILEAD SCIENCES INC 09/24/2020 BARCLAYS CAPITAL 991,560 1,000,000 994,160 0 0 0 0 0 0 994,160 0 (2,600) (2,600) 0 10/01/2050 1FE

375558-BY-8 GILEAD SCIENCES INC 09/24/2020 BARCLAYS CAPITAL 992,500 1,000,000 997,610 0 0 0 0 0 0 997,610 0 (5,110) (5,110) 0 10/01/2030 1FE

379390-AH-0 GLOBAL A&T ELECTRONICS LTD C 08/06/2020 Call @ 100.00 7,725,000 7,725,000 7,819,281 7,130,025 601,199 (2,379) 0 598,819 0 7,728,845 0 (3,845) (3,845) 403,095 01/12/2023 4FE

37954F-AH-7 GLOBAL PARTNERS LP 09/23/2020 BOFA SECURITIES INC. 2,015,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 15,000 15,000 0 01/15/2029 4FE

38061L-AA-7 GLDKR 14A A - ABS 09/15/2020 Paydown 171,235 171,235 171,182 171,225 0 9 0 9 0 171,235 0 0 0 3,673 03/17/2031 1FE

38113Y-AE-9 GOLDEN NUGGET LLC (NEVADA) 08/14/2020 Various 3,951,250 5,000,000 3,425,000 0 0 7,842 0 7,842 0 3,432,842 0 518,408 518,408 111,188 10/15/2024 5FE

38937L-AB-7 GRAY OAK PIPELINE, LLC 09/11/2020

STIFEL NICOLAUS &

COMPANY INC. 504,420 500,000 499,985 0 0 0 0 0 0 499,985 0 4,435 4,435 0 10/15/2027 2FE

38937L-AC-5 GRAY OAK PIPELINE LLC 09/11/2020 CANTOR FITZGERALD & CO 999,840 1,000,000 998,560 0 0 0 0 0 0 998,560 0 1,280 1,280 0 10/15/2025 2FE

39121J-AE-0 GREAT RIVER ENERGY 07/01/2020 Paydown 855,771 855,771 1,014,918 0 0 (159,148) 0 (159,148) 0 855,771 0 0 0 26,760 07/01/2038 1FE

39121J-AG-5 GREAT RIVER ENERGY 07/01/2020 Paydown 317,143 317,143 320,621 319,780 0 (2,637) 0 (2,637) 0 317,143 0 0 0 22,939 07/01/2038 1FE

39138C-AG-1 GREAT-WEST LIFECO INC 08/13/2020 Maturity @ 100.00 1,297,346 1,333,640 1,690,857 1,357,535 0 (17,290) 0 (17,290) (42,899) 1,516,746 0 0 0 60,725 08/13/2020 1FE

398905-AN-9 GROUP 1 AUTOMOTIVE INC 08/03/2020


INC. 1,007,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 7,500 7,500 0 08/15/2028 3FE

404280-CK-3 HSBC HOLDINGS PLC C 08/11/2020 HSBC SECURITIES INC. 1,003,110 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 3,110 3,110 0 08/18/2031 1FE

40431K-AA-8 HALO 2007-WF1 A1 - RMBS 09/25/2020 Paydown 9,841 9,841 3,078 2,884 0 6,957 0 6,957 0 9,841 0 0 0 52 12/25/2036 1FM

404530-AC-1 HACKENSACK MERIDIAN HEALTH INC 08/20/2020

Bank of America

Securities 2,031,700 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 31,700 31,700 0 09/01/2041 1FE

404530-AD-9 HACKENSACK MERIDIAN HEALTH INC 08/20/2020

Bank of America

Securities 1,532,835 1,500,000 1,500,000 0 0 0 0 0 0 1,500,000 0 32,835 32,835 0 09/01/2050 1FE

411707-AD-4 HNGRY 2018-1 A2 - ABS 09/20/2020 Paydown 37,500 37,500 37,500 37,500 0 0 0 0 0 37,500 0 0 0 1,396 06/22/2048 2FE

41284L-AA-2 BARGE 181 A2 - ABS 09/15/2020 Paydown 135,000 135,000 93,240 97,879 0 37,121 0 37,121 0 135,000 0 0 0 5,114 05/15/2043 3FE

42225U-AH-7 HEALTHCARE TRUST OF AMERICA HOLDINGS LP 09/14/2020


LLC 993,070 1,000,000 991,960 0 0 0 0 0 0 991,960 0 1,110 1,110 0 03/15/2031 2FE

423074-AF-0 KRAFT HEINZ FOODS CO 09/15/2020 JEFFERIES LLC 6,168,750 5,000,000 5,800,000 5,599,486 0 (41,539) 0 (41,539) 0 5,557,947 0 610,803 610,803 373,646 07/15/2028 3FE

428236-BM-4 HP INC 07/17/2020 Call @ 100.00 7,754,504 7,500,000 7,464,600 7,490,005 0 3,848 0 3,848 0 7,493,854 0 6,147 6,147 461,442 06/01/2021 2FE

431282-AT-9 HIGHWOODS REALTY LP 07/30/2020


LLC 1,002,970 1,000,000 995,910 0 0 0 0 0 0 995,910 0 7,060 7,060 0 02/01/2031 2FE

44107H-AF-9 HOSPITAL FOR SPECIAL SURGERY 08/06/2020

GOLDMAN SACHS & CO.

INC. 1,515,660 1,500,000 1,500,000 0 0 0 0 0 0 1,500,000 0 15,660 15,660 0 10/01/2050 1FE

44107T-AZ-9 HOST HOTELS & RESORTS LP 08/31/2020 Various 1,483,775 1,500,000 1,478,355 0 0 0 0 0 0 1,478,355 0 5,420 5,420 632 09/15/2030 2FE

448579-AG-7 HYATT HOTELS CORP 09/14/2020 BARCLAYS CAPITAL 125,237 120,000 122,492 122,334 0 (165) 0 (165) 0 122,169 0 3,068 3,068 5,265 09/15/2028 2FE

45660N-6S-9 INDX 2004-AR11 2A - CMO/RMBS 09/01/2020 Paydown 8,652 8,652 8,221 8,372 0 281 0 281 0 8,652 0 0 0 218 12/25/2034 1FM

45660N-7J-8 INDX 2004-AR13 1A1 - CMO/RMBS 09/01/2020 Paydown 6,098 6,098 5,679 5,736 0 362 0 362 0 6,098 0 0 0 126 01/25/2035 1FM

45660N-7K-5 INDX 2004-AR13 2A1 - CMO/RMBS 09/01/2020 Paydown 23,981 23,981 22,916 23,787 0 194 0 194 0 23,981 0 0 0 531 01/25/2035 1FM

456679-AA-7 INDA 2007-AR2 A1 - CMO/RMBS 09/01/2020 Paydown 718,499 716,008 442,760 595,130 0 120,879 0 120,879 0 716,008 0 2,491 2,491 19,274 06/25/2037 1FM

45669A-AB-0 INDA 2007-AR1 1A2 - CMO/RMBS 09/01/2020 Paydown 34,566 34,563 25,080 26,799 0 7,764 0 7,764 0 34,563 0 3 3 936 03/25/2037 1FM

45824T-BA-2 INTELSAT JACKSON HOLDINGS SA C 08/06/2020 Various 9,807,500 15,000,000 8,953,750 0 0 42,160 3,663,410 (3,621,250) 0 8,953,750 0 853,750 853,750 0 10/15/2024 6Z

45866F-AN-4 INTERCONTINENTAL EXCHANGE INC 08/17/2020 JEFFERIES LLC 998,060 1,000,000 995,590 0 0 0 0 0 0 995,590 0 2,470 2,470 0 09/15/2032 2FE

45866F-AQ-7 INTERCONTINENTAL EXCHANGE INC 08/17/2020 BARCLAYS CAPITAL 1,979,680 2,000,000 1,979,680 0 0 0 0 0 0 1,979,680 0 0 0 0 09/15/2060 2FE

460599-AD-5 INTERNATIONAL GAME TECHNOLOGY PLC C 07/08/2020


INC. 1,456,000 1,400,000 1,400,000 1,400,000 0 0 0 0 0 1,400,000 0 56,000 56,000 86,285 01/15/2027 3FE

466247-EV-1 JPMMT 2004-S1 2A1 - CMO/RMBS 09/01/2020 Paydown 282,948 282,948 284,470 284,546 0 (1,598) 0 (1,598) 0 282,948 0 0 0 11,645 09/25/2034 1FM

466247-FB-4 JPMMT 2004-S1 4A1 - CMO/RMBS 09/01/2020 Paydown 5,563 5,563 5,330 5,392 0 172 0 172 0 5,563 0 0 0 221 09/25/2034 1FM

466247-JW-4 JPMMT 2004-S2 4A6 - CMO/RMBS 09/01/2020 Paydown 95,497 95,497 90,484 87,494 0 8,003 0 8,003 0 95,497 0 0 0 3,860 11/25/2034 1FM

466247-TX-1 JPMMT 2005-A6 3A3 - CMO/RMBS 09/01/2020 Paydown 52,433 52,433 47,977 49,539 0 2,894 0 2,894 0 52,433 0 0 0 1,434 09/25/2035 1FM

466247-VH-3 JPMMT 2005-S2 215 - CMO/RMBS 09/01/2020 Paydown 250,332 250,474 237,489 206,406 0 44,067 0 44,067 0 250,474 0 (141) (141) 9,720 09/25/2035 1FM

46630G-AC-9 JPMMT 2007-A1 2A1 - CMO/RMBS 09/01/2020 Paydown 61,447 61,447 60,243 60,515 0 932 0 932 0 61,447 0 0 0 1,643 07/25/2035 1FM

46630G-AH-8 JPMMT 2007-A1 3A2 - CMO/RMBS 09/01/2020 Paydown 33,329 33,329 32,788 33,408 0 (79) 0 (79) 0 33,329 0 0 0 884 07/25/2035 1FM

466313-AF-0 JABIL INC 08/03/2020 Call @ 100.00 8,272,709 8,125,000 8,443,000 8,170,982 0 (28,544) 0 (28,544) 0 8,142,438 0 (17,438) (17,438) 440,970 12/15/2020 2FE

466313-AK-9 JABIL INC 07/06/2020 CANTOR FITZGERALD & CO 999,280 1,000,000 992,780 0 0 0 0 0 0 992,780 0 6,500 6,500 0 01/15/2031 2FE

466365-AA-1 JACK 2019-1 A2I - RMBS 08/25/2020 Paydown 425 425 391 0 0 34 0 34 0 425 0 0 0 4 08/25/2049 2FE

466365-AB-9 JACK 2019-1 A2II - RMBS 08/25/2020 Paydown 49,175 49,175 49,128 48,750 0 47 0 47 0 49,175 0 0 0 1,641 08/25/2049 2FE

466365-AC-7 JACK 2019-1 A2III - RMBS 08/25/2020 Paydown 47,925 47,925 47,883 47,500 0 43 0 43 0 47,925 0 0 0 1,776 08/25/2049 2FE

46637W-AG-8 JPMCC 2012-CIBX B - CMBS 08/19/2020 BMO Capital Markets 3,726,250 4,000,000 4,079,980 4,020,586 0 (5,560) 0 (5,560) 0 4,015,025 0 (288,775) (288,775) 144,525 06/16/2045 1FM

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



478160-CQ-5 JOHNSON & JOHNSON 08/20/2020

GOLDMAN SACHS & CO.

INC. 1,003,760 1,000,000 999,720 0 0 0 0 0 0 999,720 0 4,040 4,040 0 09/01/2030 1FE

478160-CR-3 JOHNSON & JOHNSON 08/20/2020


Group LLC 1,998,700 2,000,000 1,986,700 0 0 0 0 0 0 1,986,700 0 12,000 12,000 0 09/01/2040 1FE

478160-CS-1 JOHNSON & JOHNSON 08/20/2020

GOLDMAN SACHS & CO.

INC. 2,002,580 2,000,000 1,982,260 0 0 0 0 0 0 1,982,260 0 20,320 20,320 0 09/01/2050 1FE

478160-CT-9 JOHNSON & JOHNSON 08/21/2020


INC. 2,000,500 2,000,000 1,979,300 0 0 0 0 0 0 1,979,300 0 21,200 21,200 0 09/01/2060 1FE

48250P-AA-8 ARDONAGH MIDCO 3 PLC C 07/10/2020 Call @ 100.00 5,215,650 5,000,000 5,000,000 4,962,500 37,500 0 0 37,500 0 5,000,000 0 0 0 646,900 07/15/2023 4FE

48252M-AA-3 KKR GROUP FINANCE CO VIII LLC 08/18/2020

SEAPORT GROUP


49427R-AQ-5 KILROY REALTY LP 08/03/2020 BOFA SECURITIES INC. 1,993,960 2,000,000 1,987,280 0 0 0 0 0 0 1,987,280 0 6,680 6,680 0 11/15/2032 2FE

49446R-AX-7 KIMCO REALTY CORP 08/10/2020 BOFA SECURITIES INC. 1,993,860 2,000,000 1,991,080 0 0 0 0 0 0 1,991,080 0 2,780 2,780 0 03/01/2028 2FE

50185V-AL-7 LCCM 2014-909 D - CMBS 09/23/2020


5,975,156 6,000,000 6,002,508 5,987,830 0 960 0 960 0 5,988,790 0 (13,634) (13,634) 187,045 05/17/2031 1FM

50538#-AA-0 LABELLE KINGS MOUNTAIN, LLC - MBS 09/15/2020 Paydown 38,408 38,408 38,341 38,408 0 0 0 0 0 38,408 0 0 0 1,212 06/15/2037 2

52465#-BG-9 LEGG MASON MORTGAGE CAPITAL CORP CREDIT 09/10/2020 Redemption @ 100.00 351,195 351,195 412,654 367,581 0 (4,755) 0 (4,755) 0 362,827 0 (11,632) (11,632) 16,838 01/10/2022 1

526107-AF-4 LENNOX INTERNATIONAL INC 07/22/2020


INC. 1,010,680 1,000,000 997,050 0 0 0 0 0 0 997,050 0 13,630 13,630 0 08/01/2027 2FE

529043-AE-1 LEXINGTON REALTY TRUST 08/14/2020


LLC 1,000,860 1,000,000 992,330 0 0 0 0 0 0 992,330 0 8,530 8,530 0 09/15/2030 2FE

531546-AB-5 LIBERTY UTILITIES FINANCE GP1 09/16/2020


INC. 1,994,260 2,000,000 1,994,800 0 0 0 0 0 0 1,994,800 0 (540) (540) 0 09/15/2030 2FE

532457-BZ-0 ELI LILLY AND CO 08/20/2020


1,969,040 2,000,000 1,961,640 0 0 0 0 0 0 1,961,640 0 7,400 7,400 0 09/15/2060 1FE

53948K-AA-7 LPSLT 2020-2 A - ABS C 09/20/2020 Paydown 716,965 716,965 721,655 0 0 (4,690) 0 (4,690) 0 716,965 0 0 0 2,319 07/22/2047 1FE

541056-AA-5 LOGAN MERGER SUB INC 08/14/2020 BARCLAYS CAPITAL 2,050,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 50,000 50,000 0 09/01/2027 4FE

55336V-BQ-2 MPLX LP 08/12/2020


INC. 999,740 1,000,000 999,130 0 0 0 0 0 0 999,130 0 610 610 0 08/15/2030 2FE

55400E-AA-7 MVWOT 201 A - RMBS 09/20/2020 Paydown 56,130 56,130 56,123 0 0 7 0 7 0 56,130 0 0 0 119 10/20/2037 1FE

571676-AL-9 MARS INC 07/13/2020


INC. 1,000,860 1,000,000 998,370 0 0 0 0 0 0 998,370 0 2,490 2,490 0 07/16/2032 1FE

571676-AN-5 MARS INC 07/13/2020 JEFFERIES LLC 1,005,140 1,000,000 999,680 0 0 0 0 0 0 999,680 0 5,460 5,460 0 07/16/2040 1FE

571676-AQ-8 MARS INC 07/13/2020


INC. 1,000,630 1,000,000 994,310 0 0 0 0 0 0 994,310 0 6,320 6,320 0 07/16/2050 1FE

574599-BP-0 MASCO CORP 09/09/2020

KEYBANC CAPITAL MARKETS

INC. 1,002,040 1,000,000 999,270 0 0 0 0 0 0 999,270 0 2,770 2,770 0 10/01/2030 2FE

576433-XC-5 MARM 2005-1 5A1 - CMO/RMBS 09/01/2020 Paydown 1,333 1,333 1,253 1,262 0 71 0 71 0 1,333 0 0 0 29 02/25/2035 1FM

576434-E4-2 MALT 2005-1 6A1 - CMO/RMBS 09/01/2020 Paydown 302,475 302,475 293,921 293,091 0 9,383 0 9,383 0 302,475 0 0 0 11,137 02/25/2035 1FM

576434-LT-9 MALT 2004-1 2A1 - CMO/RMBS 07/01/2020 Paydown 286 286 298 301 0 (16) 0 (16) 0 286 0 0 0 12 01/25/2034 1FM

576436-CN-7 MASD 2005-3 A2 - RMBS 09/01/2020 Paydown 59,385 59,385 59,385 58,819 0 567 0 567 0 59,385 0 0 0 1,853 07/25/2035 1FM

57643M-KK-9 MASTR 2005-1 2A8 - CMO/RMBS 09/01/2020 Paydown 42,129 42,129 43,294 42,420 0 (291) 0 (291) 0 42,129 0 0 0 1,351 05/25/2035 1FM

57643M-KK-9 MASTR 2005-1 2A8 - CMO/RMBS 09/01/2020 Paydown 1,436 1,436 1,476 1,446 0 (10) 0 (10) 0 1,436 0 0 0 52 05/25/2035 2FM

580638-AC-8 MCGRAW-HILL GLOBAL EDUCATION HOLDINGS LL 09/30/2020 Various 7,833,300 14,248,000 10,947,180 5,142,900 0 292,635 577,972 (285,337) 0 11,210,743 0 (3,377,443) (3,377,443) 888,557 05/15/2024 5FE

58571L-AA-8 MTEL 2019-1 A - ABS 09/15/2020 Paydown 20,194 20,194 20,194 20,194 0 0 0 0 0 20,194 0 0 0 507 04/15/2049 1FE

59020U-BL-8 MLMI 2004-WMC2 M2 - RMBS 09/25/2020 Paydown 43,286 43,286 19,047 34,794 0 8,492 0 8,492 0 43,286 0 0 0 765 12/25/2034 1FM

59151K-AG-3 METHANEX CORP C 09/15/2020 BARCLAYS CAPITAL 11,666,025 11,340,000 11,427,717 11,334,860 0 1,370 0 1,370 0 11,336,230 0 329,795 329,795 621,518 03/01/2022 3FE

59151K-AK-4 METHANEX CORP C 09/23/2020 JEFFERIES LLC 7,500,000 7,500,000 7,558,985 7,544,608 0 (6,480) 0 (6,480) 0 7,538,128 0 (38,128) (38,128) 259,722 12/01/2024 3FE

59523U-AS-6 MID-AMERICA APARTMENTS LP 08/03/2020


LLC 995,790 1,000,000 994,650 0 0 0 0 0 0 994,650 0 1,140 1,140 0 02/15/2031 2FE

59549W-AC-7 MDST XI M2 - ABS 09/15/2020 Paydown 34,642 34,642 33,870 34,227 0 415 0 415 0 34,642 0 0 0 1,508 07/15/2038 5FE

59748T-AA-7 MIDLAND COGENERATION VENTURE LP 09/15/2020 Paydown 320,000 320,000 325,768 320,225 3,374 (3,599) 0 (225) 0 320,000 0 0 0 19,200 03/15/2025 3FE

609207-AW-5 MONDELEZ INTERNATIONAL INC 09/02/2020 JEFFERIES LLC 998,140 1,000,000 994,440 0 0 0 0 0 0 994,440 0 3,700 3,700 0 09/04/2050 2FE

609207-AX-3 MONDELEZ INTERNATIONAL INC 09/02/2020

GOLDMAN SACHS & CO.

INC. 994,640 1,000,000 993,020 0 0 0 0 0 0 993,020 0 1,620 1,620 0 02/04/2031 2FE

61691D-AL-1 MSC 2018-MP D - CMBS 09/17/2020


LLC 8,318,750 10,000,000 9,642,374 9,681,171 0 20,114 0 20,114 0 9,701,285 0 (1,382,535) (1,382,535) 330,321 07/12/2040 1FM

61744C-BX-3 MSAC 2004-NC3 M2 - RMBS 09/25/2020 Paydown 3,943 3,943 1,895 3,943 0 0 0 0 0 3,943 0 0 0 68 03/25/2034 1FM

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



61744C-HF-6 MSAC 2004-HE8 M6 - RMBS 09/25/2020 Paydown 32,074 32,074 17,026 19,174 0 12,901 0 12,901 0 32,074 0 0 0 615 09/25/2034 1FM

61748H-AD-3 MSM 2004-2AR 4A - CMO/RMBS 09/01/2020 Paydown 277,904 277,904 278,947 278,679 0 (775) 0 (775) 0 277,904 0 0 0 7,829 02/25/2034 1FM

61748H-HD-6 MSM 2004-11AR 2A - CMO/RMBS 09/01/2020 Paydown 93,157 93,157 89,703 90,451 0 2,706 0 2,706 0 93,157 0 0 0 2,129 01/25/2035 1FM

61764B-AL-7 MSC 2014-150E C - CMBS 08/31/2020


3,542,641 3,400,000 3,505,984 3,452,594 0 (7,687) 0 (7,687) 0 3,444,907 0 97,734 97,734 103,507 09/10/2032 1FM

61946F-AA-3 MSAIC 2018-1 A - ABS 09/20/2020 Paydown 73,803 73,803 73,800 73,800 0 4 0 4 0 73,803 0 0 0 1,965 06/22/2043 1FE

61946G-AA-1 MSAIC 2017-2 A - ABS 09/20/2020 Paydown 236,119 236,119 236,088 236,088 0 31 0 31 0 236,119 0 0 0 6,013 06/22/2043 1FE

61946G-AB-9 MSAIC 2017-2 B - ABS 09/20/2020 Paydown 43,146 43,146 43,136 43,138 0 8 0 8 0 43,146 0 0 0 1,372 06/22/2043 2FE

61946L-AA-0 MSAIC 182GS A - ABS 09/20/2020 Paydown 775,798 775,798 780,628 495,111 0 (4,832) 0 (4,832) 0 775,798 0 0 0 16,853 02/22/2044 1FE

61946N-AB-4 MSAIC 2020-1 B - ABS 09/20/2020 Paydown 662,871 662,871 665,470 0 0 (2,599) 0 (2,599) 0 662,871 0 0 0 3,266 04/20/2046 1FE

620076-BB-4 MOTOROLA SOLUTIONS INC 09/09/2020 Call @ 100.00 4,113,727 3,900,000 3,617,638 3,788,884 0 31,589 0 31,589 0 3,820,473 0 79,527 79,527 335,196 05/15/2022 2FE

620076-BT-5 MOTOROLA SOLUTIONS INC 08/11/2020 Various 2,001,480 2,000,000 1,996,040 0 0 0 0 0 0 1,996,040 0 5,440 5,440 0 11/15/2030 2FE

62548L-AA-0 MULTICARE HEALTH SYSTEM 07/16/2020


LLC 2,527,725 2,500,000 2,500,000 0 0 0 0 0 0 2,500,000 0 27,725 27,725 0 08/15/2050 1FE

62886E-AY-4 NCR CORP 08/17/2020 BOFA SECURITIES INC. 1,007,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 7,500 7,500 0 10/01/2028 4FE

62886E-AZ-1 NCR CORP 08/17/2020 BOFA SECURITIES INC. 1,007,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 7,500 7,500 0 10/01/2030 4FE

63874E-AL-4 NCMS 2017-75B D - CMBS 09/23/2020


LLC 6,499,199 7,000,000 6,910,134 6,923,346 0 3,502 0 3,502 0 6,926,848 0 (427,649) (427,649) 236,145 04/10/2037 1FM

63874E-AN-0 NCMS 2017-75B E - CMBS 08/19/2020 BMO Capital Markets 3,525,781 4,000,000 3,706,868 3,766,572 0 15,739 0 15,739 0 3,782,311 0 (256,529) (256,529) 117,469 04/10/2037 1FM

64072T-AA-3 CSC HOLDINGS LLC 08/13/2020 Call @ 100.00 10,705,309 10,000,000 10,150,000 0 0 (5,009) 0 (5,009) 0 10,144,991 0 (144,991) (144,991) 1,348,746 10/15/2025 4FE

64352V-HZ-7 NCHET 2004-3 M5 - RMBS 09/25/2020 Paydown 36,159 36,159 18,401 2,467 0 33,692 0 33,692 0 36,159 0 0 0 489 11/25/2034 1FM

644274-AG-7 NEW ENTERPRISE STONE & LIME CO INC 07/01/2020

GOLDMAN SACHS & CO.

INC. 1,010,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 10,000 10,000 0 07/15/2028 5FE

64542#-AA-5 NEW HOPE DEVELOPMENT COMPANY LLC - MBS 09/15/2020 Paydown 25,231 25,231 25,204 25,213 0 18 0 18 0 25,231 0 0 0 1,150 03/15/2033 2

65336Y-AN-3 NEXSTAR BROADCASTING INC 09/15/2020 BOFA SECURITIES INC. 3,022,500 3,000,000 3,000,000 0 0 0 0 0 0 3,000,000 0 22,500 22,500 0 11/01/2028 4FE

65342R-AD-2 NFP CORP 07/30/2020 BOFA SECURITIES INC. 1,007,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 7,500 7,500 0 08/15/2028 5FE

65473P-AL-9 NISOURCE INC 08/12/2020

STIFEL NICOLAUS &

COMPANY INC. 2,001,700 2,000,000 1,998,480 0 0 0 0 0 0 1,998,480 0 3,220 3,220 0 02/15/2031 2FE

654744-AD-3 NISSAN MOTOR CO LTD C 09/10/2020

SG AMERICAS SECURITIES

LLC 1,001,810 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 1,810 1,810 0 09/17/2030 2FE

67079B-AD-2 NUTRITION & BIOSCIENCES INC 09/09/2020


Group LLC 2,010,560 2,000,000 1,999,960 0 0 0 0 0 0 1,999,960 0 10,600 10,600 0 11/01/2030 2FE

67079B-AE-0 NUTRITION & BIOSCIENCES INC 09/09/2020

GOLDMAN SACHS & CO.

INC. 1,008,210 1,000,000 999,940 0 0 0 0 0 0 999,940 0 8,270 8,270 0 11/15/2040 2FE

67079B-AF-7 NUTRITION & BIOSCIENCES INC 09/09/2020

GOLDMAN SACHS & CO.

INC. 2,028,760 2,000,000 1,999,820 0 0 0 0 0 0 1,999,820 0 28,940 28,940 0 12/01/2050 2FE

67103H-AK-3 O'REILLY AUTOMOTIVE INC 09/09/2020 BOFA SECURITIES INC. 996,860 1,000,000 995,440 0 0 0 0 0 0 995,440 0 1,420 1,420 0 03/15/2031 2FE

67112W-AG-8 OZLM XXIII C - CDO 09/15/2020


INC. 5,000,000 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 0 0 200,353 04/15/2032 1FE

682189-AQ-8 ON SEMICONDUCTOR CORP 08/18/2020 BOFA SECURITIES INC. 2,010,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 10,000 10,000 0 09/01/2028 3FE

694476-AE-2 PACIFIC LIFECORP 09/10/2020

SEAPORT GROUP


70052L-AB-9 PARK INTERMEDIATE HOLDINGS LLC 09/15/2020 BOFA SECURITIES INC. 1,010,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 10,000 10,000 0 10/01/2028 4FE

70069F-AE-7 PPSI 2004-WCW1 M3 - RMBS 09/25/2020 Paydown 643,645 643,645 105,384 433,213 0 210,432 0 210,432 0 643,645 0 0 0 12,117 09/25/2034 1FM

70213B-AC-5 PARTNERRE FINANCE B LLC 09/17/2020


Group LLC 1,001,250 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 1,250 1,250 0 10/01/2050 2FE

71427Q-AB-4 PERNOD RICARD INTERNATIONAL FINANCE LLC 09/29/2020 BOFA SECURITIES INC. 1,976,880 2,000,000 1,983,160 0 0 0 0 0 0 1,983,160 0 (6,280) (6,280) 0 04/01/2031 2FE

71427Q-AC-2 PERNOD RICARD INTERNATIONAL FINANCE LLC 09/28/2020

SEAPORT GROUP


723787-AQ-0 PIONEER NATURAL RESOURCES CO 08/06/2020 BOFA SECURITIES INC. 1,986,260 2,000,000 1,984,100 0 0 0 0 0 0 1,984,100 0 2,160 2,160 0 08/15/2030 2FE

724060-AA-6 PIPELINE FUNDING COMPANY LLC 07/15/2020 Paydown 250,000 250,000 250,000 250,000 0 0 0 0 0 250,000 0 0 0 18,750 01/15/2030 2FE

72588#-AA-3 PIZZUTI CG GAHANNA LLC - MBS 09/15/2020 Paydown 67,650 67,650 67,582 67,592 0 57 0 57 0 67,650 0 0 0 2,481 01/15/2037 2

72703P-AA-1 PLNT 2018-1 A21 - ABS 09/05/2020 Paydown 50,000 50,000 50,000 50,000 0 0 0 0 0 50,000 0 0 0 1,066 09/08/2048 2FE

72703P-AB-9 PLNT 2018-1 A22 - ABS 09/05/2020 Paydown 17,500 17,500 17,500 17,500 0 0 0 0 0 17,500 0 0 0 408 09/08/2048 2FE

72703P-AC-7 PLNT 191 A2 - ABS 09/05/2020 Paydown 50,000 50,000 50,000 50,000 0 0 0 0 0 50,000 0 0 0 1,457 12/05/2049 2FE

73900L-AA-9 POWDR CORP 07/20/2020 JEFFERIES LLC 2,025,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 25,000 25,000 0 08/01/2025 4FE

74113F-AN-5 PART 2016-1 D - ABS 09/15/2020 Paydown 3,253,788 3,253,788 3,252,861 3,253,640 0 148 0 148 0 3,253,788 0 0 0 110,639 11/15/2021 1FE

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



74340X-BQ-3 PROLOGIS LP 08/06/2020

GOLDMAN SACHS & CO.

INC. 1,971,380 2,000,000 1,968,760 0 0 0 0 0 0 1,968,760 0 2,620 2,620 0 10/15/2050 1FE

74340X-BR-1 PROLOGIS LP 08/06/2020

GOLDMAN SACHS & CO.

INC. 996,290 1,000,000 996,200 0 0 0 0 0 0 996,200 0 90 90 0 10/15/2030 1FE

74365P-AD-0 PROSUS NV C 07/27/2020 JEFFERIES LLC 503,360 500,000 500,000 0 0 0 0 0 0 500,000 0 3,360 3,360 0 08/03/2050 2FE

74368C-AY-0 PROTECTIVE LIFE GLOBAL FUNDING 09/14/2020


INC. 1,000,460 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 460 460 0 09/21/2030 1FE

74456Q-CE-4 PUBLIC SERVICE ELECTRIC AND GAS CO 08/04/2020


INC. 995,110 1,000,000 992,010 0 0 0 0 0 0 992,010 0 3,100 3,100 0 08/01/2050 1FE

744573-AQ-9 PUBLIC SERVICE ENTERPRISE GROUP INC 08/12/2020

GOLDMAN SACHS & CO.

INC. 999,360 1,000,000 998,160 0 0 0 0 0 0 998,160 0 1,200 1,200 0 08/15/2030 2FE

74762E-AF-9 QUANTA SERVICES INC 09/17/2020 BOFA SECURITIES INC. 2,018,060 2,000,000 1,993,240 0 0 0 0 0 0 1,993,240 0 24,820 24,820 0 10/01/2030 2FE

74913G-AX-3 QWEST CORP 09/10/2020 BOFA SECURITIES INC. 5,287,500 5,000,000 4,909,050 4,977,813 0 7,812 0 7,812 0 4,985,625 0 301,875 301,875 265,313 12/01/2021 3FE

74922K-AM-7 RALI 2007-QS1 2A6 - CMO/RMBS 09/01/2020 Paydown 130,164 167,131 67,597 104,234 0 62,897 0 62,897 0 167,131 0 (36,968) (36,968) 6,342 01/25/2037 1FM

74957V-AJ-8 RFMSI 2006-S6 A9 - CMO/RMBS 09/01/2020 Paydown 470,522 431,779 300,887 320,575 0 111,205 0 111,205 0 431,779 0 38,743 38,743 17,375 07/25/2036 1FM

74968F-AA-9 RFS ASSET SECURITIZATION LLC, SERIES 201 07/16/2020 Various 2,316,342 2,326,708 2,344,795 2,341,765 0 (11,037) 0 (11,037) 0 2,330,728 0 (14,386) (14,386) 73,114 12/15/2023 1FE

75026J-AC-4 RADIATE HOLDCO LLC 09/11/2020


INC. 2,506,250 2,500,000 2,500,000 0 0 0 0 0 0 2,500,000 0 6,250 6,250 0 09/15/2026 4FE

75886F-AE-7 REGENERON PHARMACEUTICALS INC 08/07/2020

GOLDMAN SACHS & CO.

INC. 2,008,120 2,000,000 1,997,960 0 0 0 0 0 0 1,997,960 0 10,160 10,160 0 09/15/2030 2FE

75886F-AF-4 REGENERON PHARMACEUTICALS INC 08/07/2020

STIFEL NICOLAUS &

COMPANY INC. 1,010,460 1,000,000 997,150 0 0 0 0 0 0 997,150 0 13,310 13,310 0 09/15/2050 2FE

75907P-AA-8 RMIT 181 A - ABS 09/15/2020 Paydown 5,520,000 5,520,000 5,518,860 5,519,699 0 301 0 301 0 5,520,000 0 0 0 153,896 07/15/2027 1FE

75907P-AB-6 RMIT 181 B - ABS 09/15/2020 Paydown 3,000,000 3,000,000 2,999,919 2,999,983 0 17 0 17 0 3,000,000 0 0 0 96,300 07/15/2027 1FE

759468-AB-7 RELIANCE HOLDING USA INC 08/21/2020 CORPORATE ACTION 13,744,945 14,000,000 13,698,960 13,741,097 0 3,849 0 3,849 0 13,744,945 0 0 0 734,028 10/19/2040 2FE

759468-AC-5 RELIANCE HOLDING USA INC 08/21/2020 CORPORATE ACTION 6,993,423 7,000,000 6,963,670 6,990,749 0 2,674 0 2,674 0 6,993,423 0 0 0 0 02/14/2022 2FE

759509-AG-7 RELIANCE STEEL & ALUMINUM CO 07/28/2020


INC. 1,004,500 1,000,000 997,220 0 0 0 0 0 0 997,220 0 7,280 7,280 0 08/15/2030 2FE

760985-7K-1 RAMP 2004-RS7 A3 - RMBS 09/01/2020 Paydown 48,481 48,481 45,238 41,894 0 6,587 0 6,587 0 48,481 0 0 0 1,262 07/25/2034 1FM

76111X-WD-1 RFMSI 2005-SA3 3A - CMO/RMBS 09/01/2020 Paydown 6,067 8,747 7,471 7,407 0 1,340 0 1,340 0 8,747 0 (2,680) (2,680) 236 08/25/2035 1FM

776743-AL-0 ROPER TECHNOLOGIES INC 08/18/2020 BOFA SECURITIES INC. 1,996,200 2,000,000 1,996,780 0 0 0 0 0 0 1,996,780 0 (580) (580) 0 02/15/2031 2FE

78081B-AD-5 ROYALTY PHARMA PLC 08/24/2020 CANTOR FITZGERALD & CO 1,967,420 2,000,000 1,955,200 0 0 0 0 0 0 1,955,200 0 12,220 12,220 0 09/02/2030 2FE

78081B-AE-3 ROYALTY PHARMA PLC 08/24/2020


Group LLC 1,943,380 2,000,000 1,911,120 0 0 0 0 0 0 1,911,120 0 32,260 32,260 0 09/02/2040 2FE

78081B-AF-0 ROYALTY PHARMA PLC 08/24/2020 JEFFERIES LLC 1,939,540 2,000,000 1,906,120 0 0 0 0 0 0 1,906,120 0 33,420 33,420 0 09/02/2050 2FE

78409V-AK-0 S&P GLOBAL INC 09/09/2020 Call @ 100.00 5,994,894 5,000,000 4,982,550 4,989,084 0 1,111 0 1,111 0 4,990,195 0 9,805 9,805 1,231,394 02/15/2026 1FE

78409V-AR-5 S&P GLOBAL INC 08/10/2020

GOLDMAN SACHS & CO.

INC. 986,570 1,000,000 984,270 0 0 0 0 0 0 984,270 0 2,300 2,300 0 08/15/2060 1FE

78573N-AF-9 SABRE GLBL INC 08/26/2020 BOFA SECURITIES INC. 2,060,000 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 60,000 60,000 410 09/01/2025 4FE

797440-BZ-6 SAN DIEGO GAS & ELECTRIC CO 09/22/2020

SEAPORT GROUP

SECURITIES, LLC 998,990 1,000,000 998,260 0 0 0 0 0 0 998,260 0 730 730 0 10/01/2030 1FE

81762P-AE-2 SERVICENOW INC 08/06/2020


INC. 1,001,560 1,000,000 996,260 0 0 0 0 0 0 996,260 0 5,300 5,300 0 09/01/2030 2FE

817743-AA-5 SPRO 2019-1 A2 - ABS 07/25/2020 Paydown 45,113 45,113 45,171 45,171 0 (58) 0 (58) 0 45,113 0 0 0 1,429 10/25/2049 2FE

81787@-AA-5 711 (11 ALBERTA PROPERTIES) CONTROL PASS 09/15/2020 Paydown 98,443 99,061 103,296 101,998 0 (873) 0 (873) (2,681) 102,309 0 0 0 2,972 12/15/2034 1

828807-DJ-3 SIMON PROPERTY GROUP LP 07/06/2020 Various 2,006,710 2,000,000 1,986,160 0 0 0 0 0 0 1,986,160 0 20,550 20,550 0 07/15/2050 1FE

828807-DK-0 SIMON PROPERTY GROUP LP 07/06/2020


INC. 997,730 1,000,000 996,590 0 0 0 0 0 0 996,590 0 1,140 1,140 0 07/15/2030 1FE

832248-BC-1 SMITHFIELD FOODS INC 09/10/2020 JEFFERIES LLC 995,920 1,000,000 988,380 0 0 0 0 0 0 988,380 0 7,540 7,540 0 10/15/2030 2FE

8426EP-AD-0 SOUTHERN COMPANY GAS CAPITAL CORP 08/17/2020

GOLDMAN SACHS & CO.

INC. 996,130 1,000,000 996,700 0 0 0 0 0 0 996,700 0 (570) (570) 0 01/15/2031 2FE

844741-BK-3 SOUTHWEST AIRLINES CO 07/28/2020


Group LLC 2,109,500 2,000,000 2,103,400 0 0 0 0 0 0 2,103,400 0 6,100 6,100 15,090 06/15/2027 2FE

845467-AL-3 SOUTHWESTERN ENERGY CO 09/18/2020

IMPERIAL

CAPITAL{FORMERLY DABNEY

RESNICK 2,000,000 2,000,000 1,810,000 1,811,299 0 22,584 0 22,584 0 1,833,884 0 166,116 166,116 145,142 01/23/2025 3FE

84859B-AA-9 SPIRIT IP CAYMAN LTD C 09/02/2020 BARCLAYS CAPITAL 1,025,000 1,000,000 989,760 0 0 0 0 0 0 989,760 0 35,240 35,240 0 09/20/2025 3FE

863579-FQ-6 SARM 2004-18 1A1 - CMO/RMBS 09/01/2020 Paydown 210,080 210,081 100,594 158,818 0 51,263 0 51,263 0 210,081 0 0 0 5,066 12/25/2034 1FM

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



863579-YV-4 SARM 2005-19XS 2A2 - RMBS 09/25/2020 Paydown 78,408 78,408 70,383 74,468 0 3,940 0 3,940 0 78,408 0 0 0 657 10/25/2035 1FM

86359A-T7-8 SASC 2003-26A 5A - CMO/RMBS 09/01/2020 Paydown 281,365 281,365 273,627 280,897 0 468 0 468 0 281,365 0 0 0 7,491 09/25/2033 1FM

86359B-EP-2 SASC 2003-40A 4A - CMO/RMBS 09/01/2020 Paydown 6,667 6,667 5,934 6,622 0 728 683 44 0 6,667 0 0 0 168 01/25/2034 1FM

86745L-AB-8 SNVA 2019-A B - ABS 09/20/2020 Paydown 145,999 145,999 146,040 122,932 0 (43) 0 (43) 0 145,999 0 0 0 4,372 06/20/2046 2FE

86745N-AA-6 SNVA 2020-1 A - ABS 07/30/2020 Paydown 57,304 57,304 56,083 0 0 1,221 0 1,221 0 57,304 0 0 0 627 02/01/2055 1FE

86746C-AA-9 SNVA 20A A - ABS 09/01/2020 Paydown 314,235 314,235 314,215 0 0 21 0 21 0 314,235 0 0 0 1,921 06/20/2047 1FE

86765B-AU-3 SUNOCO LOGISTICS PARTNERS OPERATIONS LP 07/08/2020 BOFA SECURITIES INC. 10,093,300 10,000,000 9,921,600 9,936,833 0 3,660 0 3,660 0 9,940,493 0 152,807 152,807 310,000 10/01/2027 2FE

86772F-AA-9 SUNRN 2019-2 A - RMBS 07/30/2020 Paydown 28,473 28,473 28,459 28,460 0 13 0 13 0 28,473 0 0 0 777 02/01/2055 1FE

86803N-AA-5 SNSTR 181 A - ABS 08/20/2020 Paydown 116,632 116,632 116,599 116,599 0 33 0 33 0 116,632 0 0 0 4,969 11/20/2048 1FE

86881W-AD-4 SURGERY CENTER HOLDINGS INC 07/23/2020 BARCLAYS CAPITAL 1,548,750 1,500,000 1,511,250 0 0 0 0 0 0 1,511,250 0 37,500 37,500 42,500 04/15/2027 5FE

87264A-BM-6 T-MOBILE US INC 09/22/2020 JEFFERIES LLC 4,998,200 5,000,000 4,989,650 0 0 0 0 0 0 4,989,650 0 8,550 8,550 0 02/15/2051 2FE

87342R-AC-8 BELL 2016-1 A23 - ABS 08/25/2020 Paydown 67,500 67,500 67,500 67,500 0 0 0 0 0 67,500 0 0 0 2,516 05/25/2046 2FE

87342R-AE-4 BELL 181 A22 - ABS 08/25/2020 Paydown 22,500 22,500 22,500 22,500 0 0 0 0 0 22,500 0 0 0 834 11/25/2048 2FE

87422V-AE-8 TALEN ENERGY SUPPLY LLC 07/30/2020 Various 5,380,000 7,000,000 6,345,000 6,399,388 28,636 39,058 0 67,694 0 6,467,082 0 (1,087,082) (1,087,082) 771,750 01/15/2026 4FE

87612B-BR-2 TARGA RESOURCES PARTNERS LP 08/11/2020


LLC 1,001,250 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 1,250 1,250 0 02/01/2031 3FE

87901J-AF-2 TEGNA INC 09/08/2020


INC. 1,002,500 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 2,500 2,500 0 03/15/2026 3FE

88034P-AB-5 TENCENT MUSIC ENTERTAINMENT GROUP C 08/26/2020


Group LLC 996,400 1,000,000 995,950 0 0 0 0 0 0 995,950 0 450 450 0 09/03/2030 1FE

881561-BV-5 TMTS 2003--4HE M1 - RMBS 07/27/2020 Paydown 8,412 8,412 7,739 7,834 0 578 0 578 0 8,412 0 0 0 105 09/25/2034 1FM

883203-CC-3 TEXTRON INC 08/03/2020


Group LLC 1,000,540 1,000,000 998,770 0 0 0 0 0 0 998,770 0 1,770 1,770 0 03/15/2031 2FE

887367-AA-8 TIMSQU 1 C - CMBS 09/01/2020 Paydown 183,642 183,642 213,066 209,084 0 (25,442) 0 (25,442) 0 183,642 0 0 0 10,447 08/01/2026 2FE

896945-AA-0 TRIPADVISOR INC 07/07/2020


INC. 507,500 500,000 500,000 0 0 0 0 0 0 500,000 0 7,500 7,500 0 07/15/2025 4FE

898813-AS-9 TUCSON ELECTRIC POWER CO 08/05/2020

MIZUHO SECURITIES USA

INC. 998,060 1,000,000 995,950 0 0 0 0 0 0 995,950 0 2,110 2,110 0 08/01/2030 1FE

90116X-A#-6 TWAIN NOTE ISSUER 4 LLC 09/30/2020 Paydown 112,079 112,079 112,079 112,079 0 0 0 0 0 112,079 0 0 0 4,883 12/31/2020 1FE

90116X-A@-8 TWAIN NOTE ISSUER 4 LLC 09/30/2020 Paydown 291,235 291,235 291,235 291,235 0 0 0 0 0 291,235 0 0 0 12,973 12/31/2020 1FE

90187L-AN-9 PRKAV 2017-245P E - CMBS 09/23/2020 BOFA SECURITIES INC. 4,806,055 5,000,000 4,727,148 4,779,877 0 18,386 0 18,386 0 4,798,263 0 7,792 7,792 152,290 06/05/2037 1FM

902055-AG-7 LBTY 2016-225L D - CMBS 09/23/2020


INC. 5,308,008 5,000,000 4,698,390 4,793,804 0 20,633 0 20,633 0 4,814,437 0 493,571 493,571 193,558 02/12/2036 1FM

90215L-AA-3 LTCGS 2018-A N - ABS 09/15/2020 Paydown 443,379 443,379 442,148 279,141 0 1,204 0 1,204 0 443,379 0 0 0 11,630 06/15/2048 1FE

90265E-AT-7 UDR INC 07/14/2020


INC. 1,002,090 1,000,000 998,940 0 0 0 0 0 0 998,940 0 3,150 3,150 0 08/01/2032 2FE

90333L-AT-9 US CONCRETE INC 09/09/2020 BOFA SECURITIES INC. 1,010,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 10,000 10,000 0 03/01/2029 4FE

903442-AJ-0 US 2018-USDC E - CMBS 07/20/2020


INC. 4,158,789 5,000,000 4,867,808 4,884,468 0 6,024 0 6,024 0 4,890,491 0 (731,702) (731,702) 146,006 05/14/2038 1FM

904678-AU-3 UNICREDIT SPA C 09/15/2020


INC. 1,004,680 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 4,680 4,680 0 09/22/2026 2FE

90932Q-AA-4 UNITED AIRLINES INC - ABS 09/03/2020 Paydown 207,886 207,886 207,973 207,944 0 (57) 0 (57) 0 207,886 0 0 0 7,796 03/03/2028 1FE

90932Q-AB-2 UNITED AIRLINES 2014-2 PASS THROUGH TRUS 09/03/2020 Paydown 91,162 91,162 91,162 91,162 0 0 0 0 0 91,162 0 0 0 4,216 03/03/2024 3FE

90945A-AE-6 UACST WFB C - ABS 08/10/2020 Paydown 934,211 934,211 934,193 934,208 0 3 0 3 0 934,211 0 0 0 21,242 05/10/2023 1FE

90945A-AG-1 UACST WFB D - ABS 09/10/2020 Paydown 1,200,526 1,200,526 1,200,420 1,200,487 0 38 0 38 0 1,200,526 0 0 0 36,270 05/10/2023 1FE

913903-AR-1 UNIVERSAL HEALTH SERVICES INC 09/23/2020 Call @ 100.00 15,648,000 15,648,000 16,271,280 15,743,955 0 (95,955) 0 (95,955) 0 15,648,000 0 0 0 860,966 08/01/2022 2FE

91481C-AD-2 TRUSTEES OF THE UNIVERSITY OF PENNSYLVAN 07/08/2020 BOFA SECURITIES INC. 2,519,175 2,500,000 2,500,000 0 0 0 0 0 0 2,500,000 0 19,175 19,175 0 10/01/2050 1FE

92211M-AC-7 VDC 2018-1 A2 - ABS 09/15/2020 Paydown 72,500 72,500 72,690 72,626 0 (126) 0 (126) 0 72,500 0 0 0 1,968 02/16/2043 1FE

92343V-FL-3 VERIZON COMMUNICATIONS INC 09/16/2020 BOFA SECURITIES INC. 1,001,180 1,000,000 998,890 0 0 0 0 0 0 998,890 0 2,290 2,290 0 09/18/2030 2FE

92826C-AN-2 VISA INC 08/10/2020


INC. 995,170 1,000,000 995,460 0 0 0 0 0 0 995,460 0 (290) (290) 0 02/15/2031 1FE

92826C-AQ-5 VISA INC 08/10/2020

STIFEL NICOLAUS &

COMPANY INC. 981,560 1,000,000 989,280 0 0 0 0 0 0 989,280 0 (7,720) (7,720) 0 08/15/2050 1FE

92849T-AJ-7 VITERRA INC (ONTARIO) C 08/01/2020 Maturity @ 100.00 7,500,000 7,500,000 7,753,125 7,521,319 0 (21,319) 0 (21,319) 0 7,500,000 0 0 0 446,250 08/01/2020 2FE

92922F-W4-6 WAMU 2005-AR10 1A3 - CMO/RMBS 09/01/2020 Paydown 428,078 428,078 395,330 401,194 0 26,884 0 26,884 0 428,078 0 0 0 11,312 09/25/2035 1FM

92925G-AC-7 WAMU 2006-AR16 2A1 - CMO/RMBS 09/01/2020 Paydown 234,791 227,765 120,272 181,718 0 46,047 0 46,047 0 227,765 0 7,026 7,026 5,025 12/25/2036 1FM

93363P-AJ-9 WAMU 2006-AR14 2A2 - CMO/RMBS 09/01/2020 Paydown 257,939 272,960 221,545 221,785 0 51,175 0 51,175 0 272,960 0 (15,021) (15,021) 5,300 11/25/2036 1FM

949789-AA-9 WFMBS 2006-AR19 A1 - CMO/RMBS 09/01/2020 Paydown 147,784 154,607 144,529 135,302 0 19,305 0 19,305 0 154,607 0 (6,823) (6,823) 3,771 12/26/2036 1FM

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



94981F-AE-2 WFALT 2005-1 2A1 - CMO/RMBS 09/01/2020 Paydown 95,857 95,857 76,538 83,930 0 11,927 0 11,927 0 95,857 0 0 0 3,492 02/25/2035 1FM

94984G-AA-5 WFMBS 2006-AR12 1A1 - CMO/RMBS 09/01/2020 Paydown 173,031 175,651 147,955 145,768 0 29,884 0 29,884 0 175,651 0 (2,620) (2,620) 4,588 09/25/2036 1FM

95000P-AK-0 WFCM 2016-C37 B - CMBS 08/19/2020


LLC 3,839,195 3,463,000 3,566,807 3,537,647 0 (6,652) 0 (6,652) 0 3,530,995 0 308,200 308,200 109,938 12/15/2049 1FM

95058X-AC-2 WEN 2015-1 A23 - ABS 09/15/2020 Paydown 25,000 25,000 25,000 25,000 0 0 0 0 0 25,000 0 0 0 843 06/15/2045 2FE

95058X-AD-0 WEN 2018-1 A21 - ABS 09/15/2020 Paydown 6,963 6,963 6,796 6,832 0 131 0 131 0 6,963 0 0 0 187 03/16/2048 2FE

95058X-AE-8 WEN 2018-1 A22 - ABS 09/15/2020 Paydown 26,538 26,538 26,063 26,122 0 415 0 415 0 26,538 0 0 0 773 03/16/2048 2FE

95058X-AH-1 WEN 2019-1 A22 - ABS 09/15/2020 Paydown 23,750 23,750 23,750 23,750 0 0 0 0 0 23,750 0 0 0 727 06/15/2049 2FE

96034L-AA-9 WESTR 201 A - RMBS 09/01/2020 Paydown 114,389 114,389 114,239 0 0 150 0 150 0 114,389 0 0 0 311 03/20/2034 1FE

96034L-AC-5 WESTR 201 B - RMBS 09/01/2020 Paydown 123,922 123,922 123,721 0 0 201 0 201 0 123,922 0 0 0 491 03/20/2034 1FE

96928*-FC-6 WILLIAM BLAIR & COMPANY CONTROL PASS - T 09/15/2020 Paydown 331,932 331,932 331,416 331,615 0 317 0 317 0 331,932 0 0 0 8,743 09/30/2027 2

96928*-FW-2 WILLIAM BLAIR & COMPANY CONTROL PASS - T 09/15/2020 Paydown 123,519 123,519 123,519 123,519 0 0 0 0 0 123,519 0 0 0 3,418 09/15/2027 2

96950G-AE-2 WILLIAMS SCOTSMAN INTERNATIONAL INC 08/12/2020


INC. 503,750 500,000 500,000 0 0 0 0 0 0 500,000 0 3,750 3,750 0 08/15/2028 4FE

98162J-AN-6 WPT 2017-WWP E - CMBS 09/23/2020 Various 14,363,672 15,000,000 13,851,201 14,056,486 0 67,316 0 67,316 0 14,123,801 0 239,870 239,870 411,989 11/13/2036 1FM

98310W-AQ-1 WYNDHAM DESTINATIONS INC 07/21/2020


INC. 1,860,000 2,000,000 2,000,000 2,000,000 0 0 0 0 0 2,000,000 0 (140,000) (140,000) 56,528 03/01/2030 3FE

98459H-AA-0 YALE NEW HAVEN HEALTH SERVICES CORP 08/19/2020


INC. 4,929,100 5,000,000 5,014,840 0 0 (1) 0 (1) 0 5,014,839 0 (85,739) (85,739) 624 07/01/2050 1FE

988498-AN-1 YUM! BRANDS INC 09/09/2020

GOLDMAN SACHS & CO.

INC. 100,250 100,000 100,000 0 0 0 0 0 0 100,000 0 250 250 0 03/15/2031 4FE

G6363#-AH-0 NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY C 09/15/2020 DIRECT (INV DECISION) 20,661,333 20,661,333 20,661,333 20,000,000 0 0 0 0 0 20,661,333 0 0 0 0 03/14/2026 4PL

G6363#-AK-3 NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY C 09/15/2020 DIRECT (INV DECISION) 20,458,528 20,458,528 20,458,528 0 0 0 0 0 0 20,458,528 0 0 0 0 02/27/2025 4PL

P4001#-AA-8 E?LICA MESA LA PAZ, S. DE R. L. DE C. V. D 09/20/2020 Paydown 22,507 22,507 22,507 22,507 0 0 0 0 0 22,507 0 0 0 2,089 12/20/2044 2PL

P7077@-AF-1 NASSAU AIRPORT DEVELOPMENT COMPANY LIMIT C 09/30/2020 Redemption @ 100.00 62,500 62,500 62,500 62,500 0 0 0 0 0 62,500 0 0 0 3,280 11/30/2033 3PL

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 787,875,588 798,830,105 786,778,436 446,205,383 1,685,871 1,929,584 4,272,878 (657,424) (732,318) 792,370,793 0 (81,219) (81,219) 25,771,623 XXX XXX

29360A-AA-8 ENSTAR FINANCE LLC 08/20/2020


LLC 1,015,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 15,000 15,000 0 09/01/2040 3FE

744320-BH-4 PRUDENTIAL FINANCIAL INC 08/18/2020


LLC 1,001,250 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 1,250 1,250 0 10/01/2050 2FE

4899999. Subtotal - Bonds - Hybrid Securities 2,016,250 2,000,000 2,000,000 0 0 0 0 0 0 2,000,000 0 16,250 16,250 0 XXX XXX000000-00-0 AM General LLC 09/30/2020 Call @ 100.00 606,061 606,061 598,485 0 0 546 0 546 0 599,031 0 7,030 7,030 13,277 12/28/2023 3FE

78350U-AE-5 Ryan Specialty Group LLC 09/09/2020 JP Morgan 4,987,500 5,000,000 4,925,000 0 0 30 0 30 0 4,925,030 0 62,470 62,470 556 07/23/2027 4Z

00400Y-AH-4 Academy LTD. 09/30/2020 Call @ 100.00 25,418 25,418 24,242 0 0 11 0 11 0 24,253 0 1,165 1,165 0 07/01/2022 5FE

00775K-AB-4 Advisor Group Holdings Inc. 09/30/2020 Various 2,952,320 3,019,820 3,019,321 0 0 47 0 47 0 3,019,367 0 (67,047) (67,047) 96,714 07/31/2026 4FE

01957T-AC-1 Allied Universal Holdco LLC (f/k/a USAGM 07/09/2020

CREDIT SUISSE LOAN

FUNDING LLC 11,077,076 11,940,000 11,579,293 0 0 (473) 391,861 (392,334) 0 11,580,604 0 (503,528) (503,528) 216,596 07/10/2026 4FE

02034D-AC-1 Misys Limited (aka Almonde/Tahoe Finastr 09/02/2020 Various 10,397,446 11,034,943 10,871,212 0 0 13,265 0 13,265 0 10,884,477 0 (487,031) (487,031) 257,767 06/13/2024 4FE

03836C-AS-6 AqGen Ascensus Inc. 09/30/2020 Call @ 100.00 15,000 15,000 14,850 0 0 2 0 2 0 14,852 0 148 148 60 12/03/2026 4FE

05349U-BC-5 Avaya Inc. 09/25/2020 Various 19,454,916 19,887,147 18,835,373 9,066,960 0 110,365 0 110,365 0 18,969,668 0 485,249 485,249 782,996 12/15/2024 4FE

05549K-AB-8 BCP Raptor LLC (aka EagleClaw Midstream 09/30/2020 Call @ 100.00 39,901 39,901 30,607 0 0 0 0 0 0 30,607 0 9,294 9,294 457 06/24/2024 4FE

05988H-AB-3 Boxer Parent Company Inc. (aka BMC Softw 08/04/2020 Goldman Sachs Bank USA 4,847,241 4,987,342 4,454,449 0 0 17,234 0 17,234 0 4,471,684 0 375,557 375,557 38,622 10/02/2025 4FE

10524M-AN-7 Brand Energy & Infrastructure Services I 09/30/2020 Call @ 100.00 28,225 28,225 28,391 0 0 (26) 0 (26) 0 28,365 0 (141) (141) 693 06/21/2024 4FE

12509E-AB-6 Wellpath Holdings Inc. 09/30/2020 Call @ 100.00 35,184 35,184 34,832 34,304 590 38 0 628 0 34,932 0 252 252 1,702 10/01/2025 4FE

14161J-AB-0 Cardtronics USA Inc. 09/30/2020 Call @ 100.00 12,500 12,500 12,281 0 0 8 0 8 0 12,289 0 211 211 156 06/29/2027 3FE

15134N-AE-6 Cengage Learning, Inc. 09/30/2020 Call @ 100.00 60,950 60,950 58,328 0 0 435 0 435 0 58,763 0 2,187 2,187 1,010 06/07/2023 5FE

25365E-AP-0 Diebold Nixdorf Incorporated (f/k/a Dieb 07/20/2020 Call @ 100.00 23,294,426 20,913,146 20,976,687 12,328,500 0 (48,104) 0 (48,104) 0 20,835,030 0 78,116 78,116 3,178,123 08/31/2022 4FE

28414B-AF-3 Elanco Animal Health Incorporated 09/02/2020 Goldman Sachs Bank USA 996,452 1,000,000 994,580 0 0 15 0 15 0 994,595 0 1,857 1,857 318 08/01/2027 2FE

29089C-AJ-5 Emerald Performance Materials LLC 09/01/2020

CREDIT SUISSE LOAN

FUNDING LLC 1,988,121 2,000,000 1,980,000 0 0 197 0 197 0 1,980,197 0 7,923 7,923 5,000 08/12/2025 4FE

29373U-AC-5 Envision Healthcare Corporation 09/30/2020 Various 13,730,793 19,017,930 13,382,564 0 0 130,462 0 130,462 0 13,513,026 0 217,767 217,767 70,005 10/10/2025 5FE

29427B-AB-5 EPIC Y-Grade Services LP 07/31/2020 EXCHANGE 8,419,023 11,394,395 8,355,852 11,041,709 94,601 245,025 2,962,312 (2,622,686) 0 8,419,023 0 0 0 589,149 06/13/2024 5FE

30034Y-AF-9 Everi Payments Inc. 09/30/2020 Call @ 100.00 12,958 12,958 13,088 0 0 (13) 0 (13) 0 13,075 0 (116) (116) 638 05/09/2024 4FE

30233P-AB-6 EyeCare Partners LLC 08/17/2020

CREDIT SUISSE LOAN

FUNDING LLC 3,692,134 4,043,919 4,038,864 0 0 352 0 352 0 4,039,216 0 (347,083) (347,083) 105,367 02/18/2027 4FE

31935H-AB-3 First Brands Group LLC 09/30/2020 Call @ 100.00 37,500 37,500 35,250 0 0 85 0 85 0 35,335 0 2,165 2,165 135 02/02/2024 4FE

35905E-AB-7 Frontera Generation Holdings LLC 07/01/2020 Call @ 100.00 23,538 23,538 14,123 19,949 0 384 6,209 (5,826) 0 14,123 0 9,415 9,415 474 04/25/2025 3FE

E05.2

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



35905E-AB-7 Frontera Generation Holdings LLC 09/30/2020 Call @ 100.00 25,148 25,148 4,652 21,313 0 410 6,634 (6,224) 0 15,089 0 10,059 10,059 850 04/25/2025 5FE

38469E-AC-7 Graham Packaging Company Inc. 08/21/2020

CREDIT SUISSE LOAN

FUNDING LLC 3,993,069 4,000,000 3,970,000 0 0 165 0 165 0 3,970,165 0 22,905 22,905 7,000 08/04/2027 4FE

38740T-AB-7 Granite US Holdings Corporation 09/30/2020 Call @ 100.00 43,923 43,923 42,605 42,648 0 141 0 141 0 42,789 0 1,134 1,134 2,197 09/30/2026 5FE

42236W-AH-0 Heartland Dental Initial Term loan 09/30/2020 Call @ 100.00 54,775 54,775 49,956 0 0 272 0 272 0 50,228 0 4,548 4,548 588 04/30/2025 5FE

44413E-AD-0 Hudson River Trading LLC 09/29/2020 Call @ 100.00 8,794 8,794 8,684 0 0 1 0 1 0 8,685 0 109 109 19 02/18/2027 3FE

44332E-AQ-9 Hub International Limited 07/01/2020

Morgan Stanley Bank,

N.A. 1,500,000 0 0 0 0 0 0 0 0 0 0 1,500,000 1,500,000 0 04/25/2023 4FE

45174U-AG-3 iHeartCommunications Inc. (fka Clear Cha 09/30/2020 Various 2,094,773 2,145,479 2,048,933 0 0 1,937 0 1,937 0 2,050,870 0 43,904 43,904 6,059 05/01/2026 4FE

45174U-AG-3 iHeartCommunications Inc. (fka Clear Cha 08/19/2020 Bank of America 2,911,371 3,000,000 2,865,000 0 0 1,476 0 1,476 0 2,866,476 0 44,895 44,895 9,104 05/01/2026 4FE

46264N-AB-9 iQor US Inc. 07/29/2020 Various 616,002 1,050,116 614,459 900,212 0 29,915 330,071 (300,156) 0 600,056 0 15,946 15,946 48,778 04/01/2021 6FE

47714F-AL-8 JetBlue Airways Corporation 09/30/2020 Various 4,100,000 4,125,000 4,119,844 0 0 181 0 181 0 4,120,025 0 (20,025) (20,025) 1,972 06/17/2024 3FE

49387T-AR-7 KIK CUSTOM PRODUCTS, INC. 07/10/2020 WELLS FARGO BANK N.A 1,910,700 2,000,000 1,820,760 0 0 0 0 0 0 1,820,760 0 89,940 89,940 0 05/15/2023 5FE

49387T-AR-7 Kronos Acquisition Intermediate Inc. (ak 08/05/2020 Goldman Sachs Bank USA 4,910,604 5,000,000 4,551,900 0 0 11,213 0 11,213 0 4,563,114 0 347,491 347,491 18,056 05/15/2023 4FE

50217U-AS-6 LTI Holdings Inc. 08/24/2020 Various 8,141,482 9,000,000 8,332,362 0 0 58,460 0 58,460 0 8,390,822 0 (249,340) (249,340) 148,168 09/06/2025 5FE

50217U-AS-6 LTI Holdings Inc. 09/30/2020 Call @ 100.00 34,741 34,741 31,671 0 0 308 0 308 0 31,979 0 2,762 2,762 822 09/06/2025 4FE

51508P-AG-9 Golden Nugget Inc. (aka Landry's Inc.) 07/09/2020 Goldman Sachs Bank USA 1,710,375 1,994,405 1,575,580 0 0 11,596 58,520 (46,924) 0 1,578,395 0 131,980 131,980 6,910 10/04/2023 4FE

51508P-AG-9 Golden Nugget Inc. (aka Landry's Inc.) 09/16/2020 Various 7,873,491 8,966,487 7,305,224 0 0 10,584 0 10,584 0 7,315,808 0 557,684 557,684 11,534 10/04/2023 4FE

58004G-AL-2 McDermott Technology (Americas) Inc. 07/01/2020 Various 523,661 511,018 0 0 0 0 0 0 0 0 0 523,661 523,661 82,222 10/21/2020 4FE

58063V-AH-6 McGraw-Hill Global Education Holdings LL 09/30/2020 Various 2,655,666 3,038,166 2,643,896 1,957,009 0 63,678 0 63,678 0 2,712,803 0 (57,136) (57,136) 61,336 05/04/2022 4FE

60662W-AP-7 Mitchell International Inc. 09/23/2020

JEFFERIES LEVERAGED

CREDIT PRODUCTS LLC 2,928,894 3,000,000 2,820,000 0 0 4,815 0 4,815 0 2,824,815 0 104,079 104,079 6,333 11/29/2024 4FE

64127U-AY-3 Neustar Inc. 08/06/2020 Call @ 100.00 406,266 406,266 371,079 384,937 14,441 1,591 29,045 (13,013) 0 371,924 0 34,342 34,342 13,286 08/08/2024 4FE

66662E-AA-7 NorthPole Newco S.a r.l C 09/30/2020 Call @ 100.00 139,790 139,790 128,607 124,413 4,747 1,525 0 6,272 0 130,685 0 9,105 9,105 8,090 03/18/2025 4FE

68162R-AC-5 West Corp 1st Lien Term B Loans 09/30/2020 Various 1,846,571 2,057,378 1,904,500 1,738,772 179,700 19,112 0 198,811 0 1,937,583 0 (91,013) (91,013) 77,116 10/10/2024 4FE

70323K-AC-2 Pathway Vet Alliance LLC 07/17/2020

JEFFERIES LEVERAGED

CREDIT PRODUCTS LLC 2,689,181 2,767,573 2,692,572 0 0 305 0 305 0 2,692,878 0 (3,697) (3,697) 3,212 03/31/2027 3PL

73178E-AC-6 Polymer Process Holdings Inc. 08/05/2020

CREDIT SUISSE LOAN

FUNDING LLC 2,250,660 2,452,613 2,403,561 2,403,561 4,475 4,186 0 8,661 0 2,412,222 0 (161,562) (161,562) 120,247 05/01/2026 5FE

74738A-AB-7 QBS Parent Inc. 09/30/2020 Call @ 100.00 22,500 22,500 22,134 22,163 16 0 0 16 0 22,179 0 321 321 939 09/22/2025 4FE

75774E-AB-1 RSA Security LLC 09/16/2020

UBS AG - STAMFORD BRANCH

1,982,314 2,000,000 1,957,639 0 0 116 0 116 0 1,957,755 0 24,559 24,559 0 09/01/2027 4FE

80875A-AP-6 Scientific Games International Inc. 08/24/2020

UBS AG - STAMFORD BRANCH

2,716,395 2,992,347 2,723,777 0 0 6,854 0 6,854 0 2,730,631 0 (14,236) (14,236) 5,841 08/14/2024 4FE

80875A-AP-6 Scientific Games International Inc. 09/14/2020 Various 11,091,075 11,969,388 10,256,889 0 0 94,419 0 94,419 0 10,351,308 0 739,767 739,767 54,778 08/14/2024 4FE

85519W-AC-8 Star US Bidco LLC 09/30/2020 Call @ 100.00 15,000 15,000 11,997 0 0 145 0 145 0 12,142 0 2,858 2,858 256 03/17/2027 4FE

85772E-AB-2 STATS Intermediate Holdings LLC 08/25/2020 Morgan Stanley 7,616,470 7,967,481 6,862,841 4,837,875 0 65,435 737,233 (671,798) 0 6,922,560 0 693,910 693,910 278,526 07/10/2026 4FE

86880N-AW-3 Surgery Center Holdings Inc. 09/30/2020 Call @ 100.00 13,125 13,125 13,187 0 0 (6) 0 (6) 0 13,182 0 (57) (57) 465 09/03/2024 4FE

87403U-AB-9 Tailwind Smith Cooper Intermediate Corpo 09/30/2020 Various 1,867,468 2,017,468 1,865,159 1,809,174 0 15,777 0 15,777 0 1,881,747 0 (14,278) (14,278) 63,261 05/28/2026 4FE

87403U-AD-5 Tailwind Smith Cooper Intermediate Corpo 07/09/2020 ROYAL BANK OF CANADA 2,362,644 3,000,000 2,220,000 2,782,403 0 36,875 569,726 (532,851) 0 2,249,552 0 113,092 113,092 165,043 05/28/2027 5FE

87817J-AE-8 Team Health Holdings Inc. 09/24/2020 Various 16,879,178 19,948,454 14,648,485 0 0 305,049 0 305,049 0 14,953,535 0 1,925,643 1,925,643 156,731 02/06/2024 4FE

89148P-AE-0 Tosca Services LLC 09/02/2020

CREDIT SUISSE LOAN

FUNDING LLC 994,717 1,000,000 985,000 0 0 53 0 53 0 985,053 0 9,664 9,664 1,313 08/18/2027 4FE

89364M-BQ-6 TransDigm Inc. 08/06/2020

CREDIT SUISSE LOAN

FUNDING LLC 6,523,735 6,982,456 6,177,523 0 0 5,305 0 5,305 0 6,182,828 0 340,908 340,908 5,444 05/30/2025 4FE

89364M-BS-2 TransDigm Inc. 09/30/2020 Various 2,897,525 3,017,525 2,831,274 0 0 3,894 0 3,894 0 2,835,168 0 62,357 62,357 2,992 08/22/2024 4FE

89364M-BS-2 TransDigm Inc. 07/20/2020 Various 7,545,532 7,923,411 6,930,762 0 0 7,255 0 7,255 0 6,938,017 0 607,515 607,515 5,879 08/22/2024 4FE

90385K-AD-3 Ultimate Software Group Inc. The 07/16/2020

CREDIT SUISSE LOAN

FUNDING LLC 4,961,864 5,000,000 4,925,000 0 0 352 0 352 0 4,925,352 0 36,512 36,512 0 05/04/2026 4FE

91132U-AG-8 United PF Holdings LLC 09/30/2020 Call @ 100.00 24,861 24,861 24,737 0 0 11 0 11 0 24,748 0 113 113 761 12/30/2026 5FE

91132U-AH-6 United PF Holdings LLC 07/01/2020 EXCHANGE 135,593 135,593 135,593 0 0 0 0 0 0 135,593 0 0 0 284 12/30/2026 5FE

92274V-AC-1 VENIO, LLC 07/22/2020 Call @ 100.00 836,366 836,366 696,351 836,366 0 0 0 0 0 836,366 0 0 0 66,156 05/31/2019 5GI

92346N-AB-5 VeriFone Systems Inc. 09/03/2020 Various 14,020,925 15,672,383 12,738,228 0 0 111,935 0 111,935 0 12,850,163 0 1,170,762 1,170,762 117,175 08/20/2025 4FE

94732Y-AS-2 Web.com Group Inc. 07/27/2020 Morgan Stanley 4,754,040 5,000,000 4,998,748 0 0 93 0 93 0 4,998,842 0 (244,802) (244,802) 204,868 10/10/2025 4FE

97381J-AE-3 Windstream Services LLC (fka Windstream 09/30/2020 Call @ 100.00 21,915 21,915 21,321 0 0 1 0 1 0 21,322 0 593 593 0 08/24/2027 4FE

G9341J-AG-5 Veritas US Inc. C 08/20/2020 Call @ 92.2 5,302,430 5,984,376 5,257,480 0 0 44,969 0 44,969 0 5,302,449 0 (19) (19) 153,262 01/27/2023 4FE

G9341J-AL-4 Veritas US Inc. C 08/20/2020 Call @ 100.00 1,024,092 1,024,092 900,556 0 0 0 0 0 0 908,114 0 115,978 115,978 0 09/01/2025 4FE

L3434L-AC-4 Evergreen Skills Lux S.? R.L. C 08/27/2020 EXCHANGE 18,566,652 26,333,868 19,750,401 11,723,969 1,887,346 1,107,924 4,127,296 (1,132,025) 0 19,750,401 0 (1,183,749) (1,183,749) 295,275 04/28/2021 6Z

E05.3

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

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date



L5137L-AK-1 Intelsat Jackson Holdings S.A. C 08/06/2020

CREDIT SUISSE LOAN

FUNDING LLC 388,994 375,911 369,671 0 0 697 0 697 0 370,368 0 18,626 18,626 4,508 07/13/2022 4Z

N5200E-AC-5 Lealand Finance Company B.V. C 09/02/2020 Barclays Bank PLC 303,936 511,018 506,419 0 0 202 0 202 0 506,621 0 (202,685) (202,685) 2,881 06/28/2024 3Z

N6862H-AD-3 PHM Netherlands Midco B.V. C 07/28/2020

JEFFERIES LEVERAGED

CREDIT PRODUCTS LLC 4,203,196 4,401,252 4,019,302 0 0 8,078 0 8,078 0 4,027,380 0 175,815 175,815 27,516 07/31/2026 4FE

Q9035E-AB-7 Amplify Finco Pty Ltd C 09/30/2020 Call @ 100.00 10,000 10,000 9,900 0 0 11 0 11 0 9,911 0 89 89 392 11/26/2026 4FE

8299999. Subtotal - Bonds - Unaffiliated Bank Loans 277,187,162 305,158,340 266,443,889 62,076,236 2,185,916 2,507,203 9,218,908 (4,525,788) 0 267,708,998 0 7,096,884 7,096,884 7,608,261 XXX XXX

8399997. Total - Bonds - Part 4 2,997,430,794 2,995,630,118 2,975,856,645 1,216,199,088 3,871,787 (546,315) 13,491,786 (10,166,314) (732,318) 2,976,718,340 0 22,745,316 22,745,316 60,983,729 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 2,997,430,794 2,995,630,118 2,975,856,645 1,216,199,088 3,871,787 (546,315) 13,491,786 (10,166,314) (732,318) 2,976,718,340 0 22,745,316 22,745,316 60,983,729 XXX XXX

37045X-DB-9 GENERAL MOTORS FINANCIAL COMPANY INC 09/09/2020

SEAPORT GROUP

SECURITIES, LLC 1,000,000.000 1,008,750 0.00 1,000,000 0 0 0 0 0 0 1,000,000 0 8,750 8,750 0 3FE

446150-AV-6 HUNTINGTON BANCSHARES INC 08/03/2020 BOFA SECURITIES INC. 1,000,000.000 1,002,500 0.00 1,000,000 0 0 0 0 0 0 1,000,000 0 2,500 2,500 0 3FE

8499999. Subtotal - Preferred Stocks - Industrial and Miscellaneous (Unaffiliated) Perpetual Preferred 2,011,250 XXX 2,000,000 0 0 0 0 0 0 2,000,000 0 11,250 11,250 0 XXX XXX

8999997. Total - Preferred Stocks - Part 4 2,011,250 XXX 2,000,000 0 0 0 0 0 0 2,000,000 0 11,250 11,250 0 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 2,011,250 XXX 2,000,000 0 0 0 0 0 0 2,000,000 0 11,250 11,250 0 XXX XXX00287Y-10-9 ABBVIE ORD 07/01/2020 WILLIAM BLAIR & CO. 5,000.000 494,505 421,309 0 0 0 0 0 0 421,309 0 73,197 73,197 5,900

00653Q-10-2 ADAPTHEALTH CL A ORD 08/13/2020 Various 75,100.000 1,749,372 1,164,050 0 0 0 0 0 0 1,164,050 0 585,322 585,322 0

009158-10-6 AIR PRODUCTS AND CHEMICALS ORD 09/03/2020 Various 7,500.000 2,188,929 1,960,392 0 0 0 0 0 0 1,960,392 0 228,537 228,537 6,700

02079K-30-5 ALPHABET CL A ORD 08/19/2020 Various 1,500.000 2,315,450 1,895,241 1,004,543 (139,879) 0 0 (139,879) 0 1,895,241 0 420,210 420,210 0

08579W-10-3 BERRY GLOBAL GROUP ORD 09/03/2020 Various 70,000.000 3,617,302 2,785,308 1,151,633 (242,329) 0 0 (242,329) 0 2,785,308 0 831,995 831,995 0

110122-10-8 BRISTOL MYERS SQUIBB ORD 07/27/2020 Various 15,000.000 877,649 860,862 0 0 0 0 0 0 860,862 0 16,787 16,787 8,325

125523-10-0 CIGNA ORD 09/15/2020 Various 10,000.000 1,751,852 1,777,668 0 0 0 0 0 0 1,777,668 0 (25,816) (25,816) 0

17275R-10-2 CISCO SYSTEMS ORD 07/22/2020

BERNSTEIN (SANFORD C)&

CO 5,000.000 233,997 223,176 239,800 (16,624) 0 0 (16,624) 0 223,176 0 10,821 10,821 5,350

20030N-10-1 COMCAST CL A ORD 08/13/2020 Various 40,000.000 1,718,334 1,461,910 1,607,678 (301,077) 0 0 (301,077) 0 1,461,910 0 256,424 256,424 24,930

293792-10-7 ENTERPRISE PRODUCTS PARTNERS UNT 07/07/2020


LLC 25,000.000 441,823 557,853 0 0 0 0 0 0 557,853 0 (116,030) (116,030) 11,125

30303M-10-2 FACEBOOK CL A ORD 07/31/2020 WILLIAM BLAIR & CO. 5,000.000 1,255,827 814,121 0 0 0 0 0 0 814,121 0 441,706 441,706 0

40412C-10-1 HCA HEALTHCARE ORD 09/01/2020 Various 25,000.000 3,227,634 2,696,850 2,217,150 (571,319) 0 0 (571,319) 0 2,696,850 0 530,784 530,784 6,450

457187-10-2 INGREDION ORD 08/12/2020 D. A. DAVIDSON & CO 5,000.000 415,232 413,998 0 0 0 0 0 0 413,998 0 1,234 1,234 0

469814-10-7 JACOBS ENGINEERING GROUP ORD 08/12/2020 MAXIM GROUP 5,000.000 459,745 371,133 449,150 (78,017) 0 0 (78,017) 0 371,133 0 88,612 88,612 2,850

548661-10-7 LOWE'S COMPANIES ORD 07/01/2020

STIFEL NICOLAUS &

COMPANY INC. 25,000.000 3,375,155 2,309,711 0 0 0 0 0 0 2,309,711 0 1,065,445 1,065,445 9,625

56585A-10-2 MARATHON PETROLEUM ORD 09/10/2020 Various 205,000.000 7,271,223 6,111,798 0 0 0 0 0 0 6,111,798 0 1,159,425 1,159,425 136,300

594918-10-4 MICROSOFT ORD 08/06/2020 Various 25,000.000 5,233,614 2,501,585 3,942,500 (1,440,915) 0 0 (1,440,915) 0 2,501,585 0 2,732,030 2,732,030 25,500

743315-10-3 PROGRESSIVE ORD 08/12/2020 Various 25,000.000 2,238,868 1,828,175 0 0 0 0 0 0 1,828,175 0 410,693 410,693 5,000

854502-10-1 STANLEY BLACK AND DECKER ORD 07/01/2020 JEFFERIES LLC 20,000.000 2,708,868 1,569,568 0 0 0 0 0 0 1,569,568 0 1,139,300 1,139,300 13,800

949746-10-1 WELLS FARGO ORD 08/19/2020 JEFFERIES LLC 20,000.000 482,887 681,354 0 0 0 0 0 0 681,354 0 (198,467) (198,467) 12,200

N53745-10-0 LYONDELLBASELL INDUSTRIES CL A ORD 09/03/2020 Various 20,000.000 1,330,512 1,184,775 0 0 0 0 0 0 1,184,775 0 145,737 145,737 26,250

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Publicly Traded 43,388,780 XXX 33,590,835 10,612,453 (2,790,160) 0 0 (2,790,160) 0 33,590,835 0 9,797,946 9,797,946 300,305 XXX XXX

9799997. Total - Common Stocks - Part 4 43,388,780 XXX 33,590,835 10,612,453 (2,790,160) 0 0 (2,790,160) 0 33,590,835 0 9,797,946 9,797,946 300,305 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 43,388,780 XXX 33,590,835 10,612,453 (2,790,160) 0 0 (2,790,160) 0 33,590,835 0 9,797,946 9,797,946 300,305 XXX XXX

9899999. Total - Preferred and Common Stocks 45,400,030 XXX 35,590,835 10,612,453 (2,790,160) 0 0 (2,790,160) 0 35,590,835 0 9,809,196 9,809,196 300,305 XXX XXX

9999999 - Totals 3,042,830,824 XXX 3,011,447,479 1,226,811,541 1,081,627 (546,315) 13,491,786 (12,956,474) (732,318) 3,012,309,175 0 32,554,511 32,554,511 61,284,034 XXX XXX

E05.3

1


Schedule DB - Part A - Section 1 - Options, Caps, Floors, Collars, Swaps and Forwards Open

N O N E

Schedule DB - Part B - Section 1 - Futures Contracts Open

N O N E

Schedule DB - Part B - Section 1B - Brokers with whom cash deposits have been made

N O N E

Schedule DB - Part D - Section 1 - Counterparty Exposure for Derivative Instruments Open

N O N E

Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged By

N O N E

Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged To

N O N E

Schedule DB - Part E - Derivatives Hedging Variable Annuity Guarantees

N O N E

Schedule DL - Part 1 - Reinvested Collateral Assets Owned

N O N E

Schedule DL - Part 2 - Reinvested Collateral Assets Owned

N O N E

E06, E07, E08, E09, E10, E11, 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 *

Associated Bank Greenbay, WI 0.000 0 0 11,020,026 11,499,509 10,413,863 XXX

Bank of America, N.A. New York, NY 0.000 0 0 5,327,184 19,607,841 4,579,073 XXX

BNY Western Trust Los Angles, CA 0.000 0 0 0 20,000,000 0 XXX

CIBC Mellon Trust Company Toronto, Ontario 0.000 0 0 2,565,454 3,077,303 305,178 XXX

Citibank N.A. New York, NY 0.000 0 0 1,212,671 1,068,075 1,229,308 XXX

Citibank N.A. New York, NY C 0.000 0 0 445,193 445,193 40,658 XXX

JPMorgan Chase Bank, N.A. New York, NY 0.000 0 0 127,523,894 130,811,016 117,827,058 XXX

Royal Bank of Canada Toronto, Ontario 0.000 0 0 24,587,057 24,242,101 32,136,500 XXX

US Bank N.A. Portland, OR 0.000 0 0 1,655,497 1,955,147 2,722,102 XXX

Wells Fargo Bank, N.A. Minneapolis, MN 0.000 0 0 457,056 0 0 XXX

0199998. Deposits in ... 2 depositories that do not exceed the allowable limit in any one depository (See instructions) - Open Depositories XXX XXX 0 0 316,152 263,978 259,719 XXX

0199999. Totals - Open Depositories XXX XXX 0 0 175,110,184 212,970,162 169,513,460 XXX

0299998. Deposits in ... 0 depositories that do not exceed the allowable limit in any one depository (See instructions) - Suspended Depositories XXX XXX 0 0 0 0 0 XXX

0299999. Totals - Suspended Depositories XXX XXX 0 0 0 0 0 XXX

0399999. Total Cash on Deposit XXX XXX 0 0 175,110,184 212,970,162 169,513,460 XXX

0499999. Cash in Company's Office XXX XXX XXX XXX 0 0 0 XXX

0599999. Total - Cash XXX XXX 0 0 175,110,184 212,970,162 169,513,460 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 UNITED STATES TREASURY 08/28/2020 0.000 10/29/2020 14,999,003 0 1,211

UNITED STATES TREASURY 09/29/2020 0.000 11/12/2020 9,999,116 0 42

UNITED STATES TREASURY 09/15/2020 0.000 10/13/2020 52,998,498 0 2,846






0199999. Subtotal - Bonds - U.S. Governments - Issuer Obligations 375,979,515 0 21,350

0599999. Total - U.S. Government Bonds 375,979,515 0 21,350

CANADA (GOVERNMENT) SD 08/24/2020 0.000 11/05/2020 750,699 0 119

0699999. Subtotal - Bonds - All Other Governments - Issuer Obligations 750,699 0 119

1099999. Total - All Other Government Bonds 750,699 0 119

1799999. Total - U.S. States, Territories and Possessions Bonds 0 0 0

2499999. Total - U.S. Political Subdivisions Bonds 0 0 0

3199999. Total - U.S. Special Revenues Bonds 0 0 0

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 0 0 0

4899999. Total - Hybrid Securities 0 0 0

5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 0 0

6099999. Subtotal - SVO Identified Funds 0 0 0

6599999. Subtotal - Unaffiliated Bank Loans 0 0 0

7699999. Total - Issuer Obligations 376,730,215 0 21,469

7799999. Total - Residential Mortgage-Backed Securities 0 0 0

7899999. Total - Commercial Mortgage-Backed Securities 0 0 0

7999999. Total - Other Loan-Backed and Structured Securities 0 0 0

8099999. Total - SVO Identified Funds 0 0 0

8199999. Total - Affiliated Bank Loans 0 0 0

8299999. Total - Unaffiliated Bank Loans 0 0 0

8399999. Total Bonds 376,730,215 0 21,469

94975H-29-6 WELLSFARGO:TRS+ MM I SD 09/02/2020 0.010 5,103 0 9

8599999. Subtotal - Exempt Money Market Mutual Funds - as Identified by the SVO 5,103 0 9

000000-00-0 TD EMERALD CANADIAN TREAS MGMT FUND (INS 09/01/2020 0.000 7,931,770 0 6,137

94975P-40-5 WELLSFARGO:GOVT MM I SD 04/01/2020 0.010 520,000 4 167

8699999. Subtotal - All Other Money Market Mutual Funds 8,451,770 4 6,304

8899999 - Total Cash Equivalents 385,187,088 4 27,783

E14

*20443202045520103*SUPPLEMENT FOR THE QUARTER ENDING SEPTEMBER 30, 2020 OF THE CONTINENTAL CASUALTY COMPANY

Designate the type of health care providers reported on this page:

Physicians, including surgeons and osteopaths

SUPPLEMENT A TO SCHEDULE T

EXHIBIT OF MEDICAL PROFESSIONAL LIABILITY PREMIUMS WRITTEN

ALLOCATED BY STATES AND TERRITORIES1 2 Direct Losses Paid 5 Direct Losses Unpaid 8

States, etc.

Direct Premiums

Written

Direct Premiums

Earned

3

Amount

4

No. ofClaims

DirectLossesIncurred

6

Amount Reported

7

No. ofClaims

DirectLosses IncurredBut Not

Reported

1. Alabama AL 0 0 0 0 (953) 0 0 708

2. Alaska AK 0 0 29,933 0 8,712 430,491 5 79

3. Arizona AZ 0 0 55,532 0 157,953 703,398 5 0

4. Arkansas AR 54,672 41,682 0 0 275,307 1,000,000 1 37,117

5. California CA 9,911 7,609 989,893 1 7,149,473 18,847,485 43 0

6. Colorado CO 0 0 0 0 (1,819,641) 97 116 461,631

7. Connecticut CT 4,023,717 2,752,061 4,634,433 1 (1,892,612) 16,192,619 41 488,821

8. Delaware DE 12,243 1,135,155 219,525 1 442,253 1,125,018 17 390,502

9. District of Columbia DC 0 0 4,329 0 (11,128) 196,385 2 214

10. Florida FL 1,004,893 3,028,393 0 0 (1,603,832) 800,008 23 3,306,937

11. Georgia GA 0 0 0 0 (7,103) 0 0 0

12. Hawaii HI 0 0 89,460 1 (3,711) 68,182 1 0

13. Idaho ID 885,917 949,596 (1,000) 0 452,487 1,086,042 19 443,298

14. Illinois IL 53,100 43,659 417,358 1 629,689 4,354,840 28 1,110,110

15. Indiana IN 197,190 155,612 0 0 (80,396) 2 12 0

16. Iowa IA 0 0 105,878 0 10,950 1,856,458 5 435

17. Kansas KS 6,436,818 1,953,037 3,584,230 0 4,375,773 928,775 12 1,192,837

18. Kentucky KY 16,150 12,099 0 0 (328) 0 0 0

19. Louisiana LA 107,487 43,688 0 0 (10,417) 2 2 0

20. Maine ME 5,050 3,788 0 0 0 0 0 0

21. Maryland MD 44,864 33,587 6,329 0 (1,885) 44,925 4 3,755

22. Massachusetts MA 0 0 0 0 (4,076) 0 0 104

23. Michigan MI 2,377,052 1,760,587 372,001 0 (3,123,123) 723,843 36 757,574

24. Minnesota MN 196,022 154,291 0 0 781,311 1,392,997 1 87,971

25. Mississippi MS 0 0 0 0 (2,745) 0 0 2,040

26. Missouri MO 0 14,296 57,715 0 73,626 1,539,274 7 668

27. Montana MT 0 0 0 0 0 0 0 0

28. Nebraska NE 77,163 55,767 0 0 283,059 262,500 1 54,764

29. Nevada NV 0 0 0 0 (17,346) 0 0 2,114

30. New Hampshire NH 0 0 0 0 0 0 0 0

31. New Jersey NJ 217,808 162,902 0 0 20,519 272,845 2 64,717

32. New Mexico NM 0 0 0 0 (919) 0 0 678

33. New York NY 376,687 358,499 243,502 0 1,448,544 3,513,189 4 243,499

34. North Carolina NC 0 0 170,863 0 48,003 1,901,793 6 1,587

35. North Dakota ND 0 0 73,655 1 49,512 233,856 1 0

36. Ohio OH 1,036,738 833,610 109,530 0 2,362,741 3,962,657 23 515,674

37. Oklahoma OK 345,589 3,006,061 201,582 0 (8,416,566) 4,131,013 33 312,961

38. Oregon OR 6,685,020 7,688,764 12,008,027 13 9,556,886 18,188,160 194 2,291,407

39. Pennsylvania PA 40,192 37,311 0 0 (12,744) 0 0 0

40. Rhode Island RI 0 0 0 0 0 0 0 0

41. South Carolina SC 0 0 0 0 (49,309) 0 0 0

42. South Dakota SD 0 0 9,810 0 (8,877) 62,431 1 0

43. Tennessee TN 243,966 183,639 0 0 2 2 2 0

44. Texas TX 11,568 8,342 153,653 0 745,381 3,379,542 13 24,243

45. Utah UT 160,600 120,268 5,141 0 12,510 490,593 9 0

46. Vermont VT 19,523 25,612 0 0 11,178 75,000 1 24,341

47. Virginia VA 0 0 69,767 2 (928) 0 0 339

48. Washington WA 10,410 8,819 373,816 1 737,008 8,100,306 19 5,880

49. West Virginia WV 15,950 11,963 1,175,598 2 1,822,035 6,728,951 40 0

50. Wisconsin WI 3,877,223 2,858,336 4,471,427 9 3,560,456 7,791,616 95 2,436,334

51. Wyoming WY 0 0 0 0 (804) 0 0 85

52. American Samoa AS 0 0 0 0 0 0 0 0

53. Guam GU 0 0 0 0 0 0 0 0

54. Puerto Rico PR 1,592,522 1,962,066 574,999 10 643,624 2,356,013 55 1,053,015

55. U.S. Virgin Islands VI 0 0 0 0 0 0 0 0

56. Nothern Mariana Islands MP 0 0 0 0 0 0 0 0

57. Canada CAN 0 0 0 0 0 0 0 0

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

59. Totals 30,136,045 29,411,097 30,206,985 43 18,589,547 112,741,305 879 15,316,440


58001.

58002.

58003.

58998. Summary of remaining write-ins for Line 58 from overflow page 0 0 0 0 0 0 0 0

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

455.PH



Hospitals




States, etc.

Direct Premiums

Written

Direct Premiums

Earned

3

Amount

4

No. ofClaims


6

Amount Reported

7

No. ofClaims


Reported

1. Alabama AL 22,080 16,530 0 0 7,499 8,512 2 9,291

2. Alaska AK 0 0 0 0 0 0 0 0

3. Arizona AZ 147,402 110,350 71,000 0 13,274 242,995 7 141,076

4. Arkansas AR 3,675,324 2,918,054 1,768,561 5 1,090,264 7,635,721 61 4,115,959

5. California CA (2,630,920) (602,415) 0 0 (746,245) 106,916 7 436,684

6. Colorado CO 178,892 133,925 0 0 79,295 0 0 82,485

7. Connecticut CT 0 0 0 0 (25,031) 0 0 98,160

8. Delaware DE 0 0 0 0 0 0 0 0

9. District of Columbia DC 0 0 0 0 0 0 0 0

10. Florida FL 408,699 344,440 3,168,000 0 4,808,760 7,985,200 19 2,472,360

11. Georgia GA 183,811 137,607 0 0 (83,988) 96,577 3 0

12. Hawaii HI 0 0 0 0 0 0 0 0

13. Idaho ID 0 0 0 0 (63) 0 0 24

14. Illinois IL 33,085 22,847 37,706 0 1,296,555 14,417 5 1,705,731

15. Indiana IN 6,981,940 5,504,563 1,786,704 0 2,016,057 8,156,199 80 6,673,872

16. Iowa IA 9,319 6,977 0 0 3,793 0 0 3,793

17. Kansas KS 134,721 96,374 0 0 350,708 325,000 2 81,183

18. Kentucky KY 112,653 84,336 0 0 0 0 0 0

19. Louisiana LA 97,181 72,753 5,940 0 85,051 166,531 5 135,624

20. Maine ME 0 0 0 0 (30,732) 0 0 41,905

21. Maryland MD 82,144 61,496 0 0 (39,524) 0 0 0

22. Massachusetts MA 10,106 7,566 0 0 (518) 0 0 0

23. Michigan MI (984) (5,695) 25,000 0 (157,101) 2 3 51,864

24. Minnesota MN 104,788 139,648 1,161,123 0 (207,019) 1,100,004 6 2,606,722

25. Mississippi MS 0 0 5,652 0 486 27,467 1 0

26. Missouri MO 74,486 1,010,540 82,610 0 690,957 552,627 7 1,950,266

27. Montana MT 0 0 0 0 (8) 0 0 4

28. Nebraska NE 0 0 0 0 0 0 0 0

29. Nevada NV 27,513 20,597 0 0 32,453 47,898 2 17,968

30. New Hampshire NH 0 193,695 0 0 157,462 4 2 317,469

31. New Jersey NJ 112,966 84,570 0 0 (163,036) 46,024 4 100,766

32. New Mexico NM 13,973 10,461 0 0 (53,467) 2 2 6,608

33. New York NY 4,478,379 3,078,704 10,593 0 1,351,049 343,156 16 4,166,287

34. North Carolina NC 0 0 0 0 57,243 0 0 68,200

35. North Dakota ND 0 0 0 0 0 0 0 0

36. Ohio OH (2,946,793) (3,393,147) 1,209,062 1 4,142,547 10,043,640 27 5,028,419

37. Oklahoma OK 174,989 357,467 0 0 51,725 150,786 8 201,195

38. Oregon OR 12,357 9,251 0 0 (18,689) 0 0 5,928

39. Pennsylvania PA 71,685 57,410 157,667 0 1,342,378 2,829,137 8 0

40. Rhode Island RI 0 0 0 0 (7) 0 0 3

41. South Carolina SC 27,388 120,024 (5,335) 0 (386,292) 175,000 2 1,233,946

42. South Dakota SD 27,127 20,308 0 0 2,598 0 0 26,682

43. Tennessee TN 143,077 107,112 39,000 1 (159,973) 0 0 72,573

44. Texas TX 818,316 629,333 55,734 0 (1,170,001) 1,107,636 30 744,038

45. Utah UT 0 0 0 0 (12) 0 0 6

46. Vermont VT 0 0 0 0 (5) 0 0 3

47. Virginia VA 45,585 89,383 0 0 (15,669) 0 0 96,917

48. Washington WA 0 0 0 0 (24) 0 0 12

49. West Virginia WV 0 0 0 0 0 0 0 0

50. Wisconsin WI 6,929,435 5,019,856 2,651,882 16 (3,688,118) 8,546,483 138 4,830,640

51. Wyoming WY 2,150 1,610 0 0 (1,762) 0 0 957


53. Guam GU 0 0 0 0 0 0 0 0

54. Puerto Rico PR 0 0 0 0 (6,914) 0 0 8,450



57. Canada CAN 0 0 0 0 0 0 0 0


59. Totals 19,562,874 16,466,527 12,230,897 23 10,625,955 49,707,933 447 37,534,069


58001.

58002.

58003.



455.HS



Other health care professionals, including dentists, chiropractors, and podiatrists




States, etc.

Direct Premiums

Written

Direct Premiums

Earned

3

Amount

4

No. ofClaims


6

Amount Reported

7

No. ofClaims


Reported

1. Alabama AL 0 0 16,200 0 152,229 376,090 9 38,869

2. Alaska AK 0 0 0 0 4,706 412,543 21 31,357

3. Arizona AZ 0 0 380,489 4 (103,684) 229,069 9 203,538

4. Arkansas AR 44,179 37,207 52,500 3 (144,417) 307,500 5 95,857

5. California CA 1,486 3,048 217,257 2 (182,639) 131,688 10 130,476

6. Colorado CO 0 0 72,939 1 18,494 28,497 6 40,783

7. Connecticut CT 0 0 596,508 3 406,364 264,900 7 52,846

8. Delaware DE 0 2,456 0 0 3,665 0 0 7,489

9. District of Columbia DC 0 0 0 0 46,170 100,000 4 24,935

10. Florida FL 1,334 395 333,220 3 230,967 612,880 27 290,625

11. Georgia GA 0 0 512,351 2 295,406 1,540,271 23 100,786

12. Hawaii HI 0 0 679,723 2 (32,611) 888,134 5 19,431

13. Idaho ID 25,511 22,760 125,000 1 82,183 10,000 2 47,851

14. Illinois IL 0 0 297,604 3 (56,913) 698,245 32 294,652

15. Indiana IN 43,855 33,377 282,000 1 13,138 86,219 12 44,702

16. Iowa IA 0 0 95,000 2 13,327 116,592 2 35,652

17. Kansas KS 15,475 13,311 10,620 0 (31,285) 258,787 5 46,212

18. Kentucky KY 0 0 360,250 2 88,889 207,956 11 28,071

19. Louisiana LA 0 0 104,539 1 (49,619) 242,862 25 36,651

20. Maine ME 0 0 0 0 20,387 75,000 3 25,987

21. Maryland MD 0 0 736,650 5 275,372 501,339 14 159,340

22. Massachusetts MA 0 0 25,101 1 (51,415) 199,187 27 10,802

23. Michigan MI 0 0 528,557 3 (596,474) 1,236,018 20 205,487

24. Minnesota MN 34,547 25,606 4,956 0 (21,076) 58,249 3 46,773

25. Mississippi MS 0 0 0 0 241,535 510,000 5 27,368

26. Missouri MO 0 617 5,081 0 (22,494) 145,438 8 24,677

27. Montana MT 0 0 0 0 (4,730) 0 0 3,644

28. Nebraska NE 0 0 152,500 1 (72,015) 90,000 1 31,347

29. Nevada NV 0 0 45,000 1 (112,145) 100,003 11 59,324

30. New Hampshire NH 0 0 0 0 (36,663) 27,966 1 31,865

31. New Jersey NJ 0 0 22,095 0 (61,738) 544,967 14 55,008

32. New Mexico NM 0 0 2,000 0 203,692 536,661 11 18,104

33. New York NY 8,640 8,640 431,006 5 (563,200) 646,337 28 135,765

34. North Carolina NC 0 61,642 177,100 1 106,889 3 5 147,201

35. North Dakota ND 0 0 0 0 (13,170) 0 0 11,571

36. Ohio OH 21,096 35,498 485,616 2 391,361 116,551 5 57,685

37. Oklahoma OK 3,762 3,386 22,000 2 (355,322) 0 0 23,220

38. Oregon OR 206,148 304,805 0 0 127,961 250,000 4 165,873

39. Pennsylvania PA 0 0 13,500 0 (112,456) 460,566 19 72,379

40. Rhode Island RI 0 0 2,790 0 (16,094) 59,588 3 14,707

41. South Carolina SC 0 0 0 0 (34,105) 105,988 7 16,943

42. South Dakota SD 0 0 755,417 1 770,009 275,302 3 23,531

43. Tennessee TN 0 0 (2,451) 0 (60,948) 1 3 35,979

44. Texas TX 693 445 130,000 2 27,633 312,003 13 55,663

45. Utah UT 0 0 169,000 3 (97,366) 400,000 2 10,671

46. Vermont VT 0 0 0 0 (2,717) 0 0 1,647

47. Virginia VA 0 0 249,999 1 137,953 490,206 17 139,726

48. Washington WA 3,253 2,435 370,000 3 34,721 110,007 6 111,881

49. West Virginia WV 0 0 67,071 0 579,585 1,363,608 15 36,435

50. Wisconsin WI 0 0 301,595 2 269,951 273,793 5 84,819

51. Wyoming WY 0 0 0 0 (12,449) 3 1 11,769


53. Guam GU 0 0 0 0 0 0 0 0

54. Puerto Rico PR 0 3,640 45,000 1 9,713 105,003 4 33,418

55. U.S. Virgin Islands VI 0 0 0 0 (1,824) 0 0 1,507


57. Canada CAN 0 0 0 0 0 0 0 0


59. Totals 409,979 559,268 8,875,783 64 1,702,730 15,506,022 473 3,462,901


58001.

58002.

58003.



455.OP



Other health care facilities




States, etc.

Direct Premiums

Written

Direct Premiums

Earned

3

Amount

4

No. ofClaims


6

Amount Reported

7

No. ofClaims


Reported

1. Alabama AL 0 0 0 0 0 0 0 0

2. Alaska AK 0 0 0 0 0 0 0 0

3. Arizona AZ 3,325 2,208 0 0 1,330 0 0 1,330

4. Arkansas AR 6,650 13,325 0 0 491 0 0 25,407

5. California CA 0 0 0 0 168 0 0 1,108

6. Colorado CO 0 0 0 0 0 0 0 0

7. Connecticut CT 0 0 0 0 0 0 0 0

8. Delaware DE 0 0 0 0 0 0 0 0

9. District of Columbia DC 0 0 0 0 0 0 0 0

10. Florida FL 5,276 4,306 0 0 1,195 0 0 4,645

11. Georgia GA 0 0 0 0 0 0 0 0

12. Hawaii HI 0 0 0 0 0 0 0 0

13. Idaho ID 0 152 0 0 (579) 0 0 5

14. Illinois IL 0 7,215 0 0 125,684 0 0 128,679

15. Indiana IN 0 1,540 0 0 50,277 50,000 1 2,761

16. Iowa IA 0 0 0 0 0 0 0 0

17. Kansas KS 172,717 144,848 200,000 1 136,044 100,003 2 175,311

18. Kentucky KY 1,459 10,221 0 0 6,681 0 0 10,612

19. Louisiana LA 0 2,489 0 0 1,204 0 0 1,842

20. Maine ME 0 0 0 0 0 0 0 0

21. Maryland MD 19,950 17,437 0 0 10,838 0 0 16,712

22. Massachusetts MA 0 0 0 0 0 0 0 0

23. Michigan MI 0 8,058 0 0 5,346 0 0 9,306

24. Minnesota MN 0 5,921 0 0 2,235 0 0 11,764

25. Mississippi MS 7,006 5,033 0 0 3,256 0 0 4,402

26. Missouri MO 911 1,383 0 0 504 0 0 4,953

27. Montana MT 0 0 0 0 0 0 0 0

28. Nebraska NE 0 0 0 0 0 0 0 0

29. Nevada NV 0 0 0 0 0 0 0 0

30. New Hampshire NH 0 0 0 0 0 0 0 0

31. New Jersey NJ 0 618 0 0 423 0 0 1,798

32. New Mexico NM 4,095 10,736 0 0 4,069 0 0 5,503

33. New York NY 56,110 116,321 0 0 0 1,001 2 0

34. North Carolina NC 3,458 2,589 0 0 1,604 0 0 3,287

35. North Dakota ND 0 0 0 0 210 0 0 351

36. Ohio OH 0 0 0 0 (67) 0 0 214

37. Oklahoma OK 16,991 8,472 0 0 5,395 0 0 13,894

38. Oregon OR 0 0 0 0 0 0 0 0

39. Pennsylvania PA 0 0 0 0 0 0 0 0

40. Rhode Island RI 0 0 0 0 0 0 0 0

41. South Carolina SC 0 0 0 0 (7,105) 0 0 20,913

42. South Dakota SD 0 0 0 0 0 0 0 0

43. Tennessee TN 0 (1,807) 0 0 201 200,000 1 896

44. Texas TX 2,125 34,339 0 0 9,035 0 0 13,125

45. Utah UT 0 0 0 0 0 0 0 0

46. Vermont VT 0 0 0 0 0 0 0 0

47. Virginia VA 0 0 0 0 0 0 0 0

48. Washington WA 0 0 0 0 0 0 0 0

49. West Virginia WV 0 0 0 0 0 0 0 0

50. Wisconsin WI 22,103 7,388 0 0 4,482 0 0 6,537

51. Wyoming WY 0 0 0 0 0 0 0 0


53. Guam GU 0 0 0 0 0 0 0 0

54. Puerto Rico PR 0 0 0 0 0 0 0 0



57. Canada CAN 0 0 0 0 0 0 0 0


59. Totals 322,176 402,791 200,000 1 362,921 351,004 6 465,356


58001.

58002.

58003.



455.OF


DIRECTOR AND OFFICER INSURANCE COVERAGE SUPPLEMENTYear To Date For The Period Ended SEPTEMBER 30, 2020

NAIC Group Code 0218 NAIC Company Code 20443

Company Name CONTINENTAL CASUALTY COMPANY

If the reporting entity writes any director and officer (D&O) business, please provide the following:

1. Monoline Policies

1Direct Written

Premium

2Direct Earned

Premium

3Direct Losses

Incurred

$ 296,530,371 $ 243,912,778 $ 118,152,193

2. Commercial Multiple Peril (CMP) Packaged Policies

2.1 Does the reporting entity provide D&O liability coverage as part of a CMP packaged policy? Yes [ ] No [ X ]2.2 Can the direct premium earned for D&O liability coverage provided as part of a CMP packaged policy be quantified or estimated? Yes [ ] No [ ]2.3 If the answer to question 2.2 is yes, provide the quantified or estimated direct premium earned amount for D&O liability coverage

in CMP packaged policies

2.31 Amount quantified: $ 0

2.32 Amount estimated using reasonable assumptions: $ 0 2.4 If the answer to question 2.1 is yes, provide direct losses incurred (losses paid plus change in case reserves) for the D&O liability coverage

provided in CMP packaged policies. $ 0

505

20443 CONTINENTAL CASUALTY COMPANY Original Filing ...

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