UNITED STATES | ||||||||||||||
SECURITIES AND EXCHANGE COMMISSION | ||||||||||||||
WASHINGTON, D.C. 20549 | ||||||||||||||
FORM | 10-K |
☒ | ANNUAL REPORT PURSUANT TO SECTION 30 OF THE INVESTMENT COMPANY ACT OF 1940 AND SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the Fiscal Year Ended December 31, 2021 | ||||||||||||||
OR | ||||||||||||||
☐ | ||||||||||||||
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | ||||||||||||||
For the Transition Period from_______________________to_______________________ |
Commission File No. | 811-00002 |
AMERIPRISE CERTIFICATE COMPANY | ||
(Exact name of registrant as specified in its charter) |
Delaware | 41-6009975 | |||||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
1099 Ameriprise Financial Center | Minneapolis | Minnesota | 55474 | |||||||||||||||||||||||
(Address of principal executive offices) | (Zip Code) |
Registrant’s telephone number, including area code: | (612) | 671-3131 |
Securities registered pursuant to Section 12(b) of the Act: None |
Securities registered pursuant to Section 12(g) of the Act: None |
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. | Yes | ☐ | No | ☒ |
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. | Yes | ☐ | No | ☒ |
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. | Yes | ☒ | No | ☐ |
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). | Yes | ☒ | No | ☐ |
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. | |||||||||||||||||||||||||||||
Large Accelerated Filer | ☐ | Accelerated Filer | ☐ | Non-accelerated Filer | ☒ | Smaller reporting company | ☐ | Emerging growth company | ☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. | ☐ |
Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act by the registered public accounting firm that prepared or issued its audit report. | ☐ |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). | Yes | ☐ | No | ☒ |
Indicate the number of shares outstanding of each of the registrant’s classes of common stock, as of the latest practicable date. | ||||||||||||||
Class | Outstanding at February | |||||||||||||
Common Stock (par value $10 per share) | 150,000 shares |
F- |
Dividends to Ameriprise Financial | Receipt of Capital from Ameriprise Financial | ||||||
For the year ended December 31, 2017 | |||||||
January 30, 2017 | $ | — | $ | 5 | |||
September 29, 2017 | 5 | — | |||||
December 28, 2017 | 10 | — | |||||
Total | $ | 15 | $ | 5 | |||
For the year ended December 31, 2016 | |||||||
January 29, 2016 | $ | — | $ | 5 | |||
March 31, 2016 | — | 7 | |||||
May 31, 2016 | — | 3 | |||||
June 30, 2016 | — | 4 | |||||
August 31, 2016 | — | 1 | |||||
September 30, 2016 | — | 5 | |||||
October 31, 2016 | — | 1 | |||||
November 30, 2016 | — | 3 | |||||
December 30, 2016 | — | 4 | |||||
Total | $ | — | $ | 33 |
Dividends to Ameriprise Financial | Return of Capital to Ameriprise Financial | Receipt of Capital from Ameriprise Financial | |||||||||||||||
For the year ended December 31, 2021 | |||||||||||||||||
March 30, 2021 | $ | 27.0 | $ | — | $ | — | |||||||||||
June 29, 2021 | 33.0 | — | — | ||||||||||||||
September 29, 2021 | — | 35.0 | — | ||||||||||||||
December 29, 2021 | 10.0 | 4.0 | — | ||||||||||||||
Total | $ | 70.0 | $ | 39.0 | $ | — | |||||||||||
For the year ended December 31, 2020 | |||||||||||||||||
March 13, 2020 | $ | 32.0 | $ | — | $ | — | |||||||||||
March 31, 2020 | — | — | 10.0 | ||||||||||||||
September 29, 2020 | 15.0 | — | — | ||||||||||||||
December 29, 2020 | 35.0 | — | — | ||||||||||||||
Total | $ | 82.0 | $ | — | $ | 10.0 | |||||||||||
Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 13,849 | N/A | $ | 13,849 | |||||||||||||||
N/A Not Applicable |
Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | |||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||
(in thousands) | ||||||||||
Certificates | $ | 1,740 | N/A | $ | 1,740 | |||||
N/A Not Applicable. |
Equity Price Decline 10% | Equity Price Exposure to Pretax Income | Equity Price Decline 10% | Equity Price Exposure to Pretax Income | |||||||||||||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | Before Hedge Impact | Hedge Impact | Net Impact | |||||||||||||||||||||||||||
(in thousands) | (in thousands) | |||||||||||||||||||||||||||||||
Certificates | Certificates | $ | 2,413 | $ | (2,363 | ) | $ | 50 | Certificates | $ | 150 | $ | (183) | $ | (33) |
Dividends to Ameriprise Financial | Return of Capital to Ameriprise Financial | Receipt of Capital from Ameriprise Financial | |||||||||||||||
For the year ended December 31, 2021 | |||||||||||||||||
March 30, 2021 | $ | 27.0 | $ | — | $ | — | |||||||||||
June 29, 2021 | 33.0 | — | — | ||||||||||||||
September 29, 2021 | — | 35.0 | — | ||||||||||||||
December 29, 2021 | 10.0 | 4.0 | — | ||||||||||||||
Total | $ | 70.0 | $ | 39.0 | $ | — | |||||||||||
For the year ended December 31, 2020 | |||||||||||||||||
March 13, 2020 | $ | 32.0 | $ | — | $ | — | |||||||||||
March 31, 2020 | — | — | 10.0 | ||||||||||||||
September 29, 2020 | 15.0 | — | — | ||||||||||||||
December 29, 2020 | 35.0 | — | — | ||||||||||||||
Total | $ | 82.0 | $ | — | $ | 10.0 | |||||||||||
Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 13,849 | N/A | $ | 13,849 | |||||||||||||||
N/A Not Applicable |
Equity Price Decline 10% | Equity Price Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 150 | $ | (183) | $ | (33) |
F-1 |
Dividends to Ameriprise Financial | Return of Capital to Ameriprise Financial | Receipt of Capital from Ameriprise Financial | |||||||||||||||
For the year ended December 31, 2021 | |||||||||||||||||
March 30, 2021 | $ | 27.0 | $ | — | $ | — | |||||||||||
June 29, 2021 | 33.0 | — | — | ||||||||||||||
September 29, 2021 | — | 35.0 | — | ||||||||||||||
December 29, 2021 | 10.0 | 4.0 | — | ||||||||||||||
Total | $ | 70.0 | $ | 39.0 | $ | — | |||||||||||
For the year ended December 31, 2020 | |||||||||||||||||
March 13, 2020 | $ | 32.0 | $ | — | $ | — | |||||||||||
March 31, 2020 | — | — | 10.0 | ||||||||||||||
September 29, 2020 | 15.0 | — | — | ||||||||||||||
December 29, 2020 | 35.0 | — | — | ||||||||||||||
Total | $ | 82.0 | $ | — | $ | 10.0 | |||||||||||
Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 13,849 | N/A | $ | 13,849 | |||||||||||||||
N/A Not Applicable |
Equity Price Decline 10% | Equity Price Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 150 | $ | (183) | $ | (33) |
(a) 1. | Financial Statements: See Index to Consolidated Financial Statements and Schedules on page F-1 hereof. | |||||||
2. | Consolidated Financial Statement Schedules: See Index to Consolidated Financial Statements and Schedules on page F-1 hereof. | |||||||
3. | Exhibits: The following exhibits are filed as part of this Annual Report or, where indicated, were already filed and are hereby incorporated by reference: |
Exhibit | Description | |||||||
Amended and Restated Certificate of Incorporation of American Express Certificate Company, dated August 1, 2005, filed electronically on or about March 10, 2006 as Exhibit 3(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
By-Laws of Ameriprise Certificate Company, filed electronically on or about November 5, 2010 as Exhibit 3(b) to Registrant’s Form 10-Q, are incorporated herein by reference. | ||||||||
Amended and Restated Investment Advisory and Services Agreement, dated December 1, 2018, between Registrant and Columbia Management Investment Advisers, LLC filed electronically on or about February 27, 2019 as Exhibit 10(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Distribution Agreement, dated December 31, 2006, between Registrant and Ameriprise Financial Services, LLC (formerly Ameriprise Financial Services, Inc.) filed electronically on or about February 26, 2007 as Exhibit 1 to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
Amendment to the Distribution Agreement, dated January 21, 2021, between Registrant and Ameriprise Financial Services, LLC, effective February 1, 2021, filed electronically on or about February 24, 2021 as Exhibit 10(c) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Depository and Custodial Agreement, dated December 31, 2006, between Registrant and Ameriprise Trust Company, filed electronically on or about February 26, 2007 as Exhibit 10(c) to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
Amendment to the Depositary and Custodial Agreement, dated December 15, 2008, between Registrant and Ameriprise Trust Company, filed on or about May 5, 2014 as Exhibit 10(c)i to Registrant’s Form 10-Q, is incorporated herein by reference. | ||||||||
Transfer Agent Agreement, dated December 31, 2006 between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 26, 2007 as Exhibit 10(e) to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
First Amendment to Transfer Agent Agreement, dated January 1, 2013 between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 27, 2013 as Exhibit 10(d) to Registrant’s Form 10-K is incorporated herein by reference. | ||||||||
Second Amendment to Transfer Agent Agreement, dated January 1, 2017, between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 23, 2017 as Exhibit 10(d) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Administration and Services Agreement, dated October 1, 2005, between Columbia Management Investment Advisers, LLC (formerly RiverSource Investments, LLC) and Ameriprise Financial, Inc. filed electronically on or about March 10, 2006 as Exhibit 10(s) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Capital Support Agreement by and between Ameriprise Financial, Inc. and Ameriprise Certificate Company, dated as of March 2, 2009, filed electronically on or about March 3, 2009 as Exhibit 10(f) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
First Amendment to Capital Support Agreement by and between Ameriprise Financial, Inc. and Ameriprise Certificate Company, effective April 30, 2014, filed electronically on or about May 5, 2014 as Exhibit 10(f)i to Registrant’s Form 10-Q, is incorporated herein by reference. | ||||||||
Federal Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective December 10, 2013 filed electronically on or about February 23, 2018 as Exhibit 10(l) to Registrant’s Form 10-K is incorporated by reference. |
Exhibit | Description | |||||||
State Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective December 10, 2013 filed electronically on or about February 23, 2018 as Exhibit 10(m) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Agreement between Ameriprise Bank, FSB and Ameriprise Certificate Company (certain Ameriprise Rewards Fulfillment Services), dated December 1, 2019 filed electronically on or about February 26, 2020 as Exhibit 10(n) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Agreement between Ameriprise Financial, Inc. and Ameriprise Certificate Company (certain legacy Ameriprise Rewards Fulfillment Services), dated December 1, 2019 filed electronically on or about February 26, 2020 as Exhibit 10(o) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Amendment to the Federal Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective October 9, 2020, filed electronically on or about February 24, 2021 as Exhibit 10(p) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Code of Ethics under Rule 17j-1 for Ameriprise Certificate Company effective May 21, 2014, filed electronically on or about February 27, 2019 as Exhibit 14(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Code of Ethics adopted under Rule 17j-1 for Registrant’s investment adviser, dated December 2021. | ||||||||
Code of Ethics under Rule 17j-1 for Registrant’s underwriter, as revised November 1, 2021. | ||||||||
24* | Directors’ Power of Attorney, dated September 1, 2021. | |||||||
31.1* | Certification of Abu M. Arif pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
31.2* | Certification of James R. Hill pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
32* | Certification of Abu M. Arif and James R. Hill pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |||||||
* Filed electronically herewith. |
Date: | February | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February | By | /s/ James R. Hill | ||||||||
Vice President and Chief Financial Officer (Principal Financial Officer) |
Date: | February | By | /s/ | ||||||||
Date: | February | By | /s/ | ||||||||
Ronald L. Guzior Director |
Date: | February | By | /s/ Karen M. Bohn* | ||||||||
Karen M. Bohn Director |
Date: | February | By | /s/ Lorna P. Gleason* | ||||||||
Lorna P. Gleason Director |
Date: | February | By | /s/ Robert McReavy* | ||||||||
Robert McReavy Director |
*By | /s/ Abu M. Arif | ||||||||||
Abu M. Arif |
Page | |||||||||||
Part I. Financial Information | |||||||||||
Report of Independent Registered Public Accounting Firm (PCAOB Firm ID 238) | F- | ||||||||||
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9. Offsetting Assets and Liabilities | F- | ||||||||||
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Part II. Consolidated Financial Schedules | |||||||||||
I. Investments in Securities of Unaffiliated Issuers — December 31, | |||||||||||
III. Mortgage Loans on Real Estate and Interest Earned on Mortgages — Years Ended December 31, | F-90 | ||||||||||
V. Qualified Assets on Deposit — December 31, | F-95 | ||||||||||
VI. Certificate Reserves — Years Ended December 31, | F-96 | ||||||||||
VII. Valuation and Qualifying Accounts — Years Ended December 31, | F-113 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Investment Income: | |||||||||||||||||
Interest income: | |||||||||||||||||
Available-for-Sale securities | $ | 59,409 | $ | 123,900 | $ | 212,395 | |||||||||||
Commercial mortgage loans and syndicated loans | 8,116 | 9,780 | 11,804 | ||||||||||||||
Cash and cash equivalents | 612 | 2,289 | 10,593 | ||||||||||||||
Certificate loans | 8 | 12 | 12 | ||||||||||||||
Dividends | 1 | — | 1 | ||||||||||||||
Other | 394 | 205 | 97 | ||||||||||||||
Total investment income | 68,540 | 136,186 | 234,902 | ||||||||||||||
Investment Expenses: | |||||||||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||||||||
Distribution | 6,805 | 16,778 | 20,381 | ||||||||||||||
Investment advisory and services | 13,790 | 16,672 | 17,933 | ||||||||||||||
Transfer agent | 6,957 | 8,390 | 8,996 | ||||||||||||||
Depository | 90 | 94 | 100 | ||||||||||||||
Other | 717 | 485 | 440 | ||||||||||||||
Total investment expenses | 28,359 | 42,419 | 47,850 | ||||||||||||||
Net investment income before provision for certificate reserves and income taxes | 40,181 | 93,767 | 187,052 | ||||||||||||||
Provision for Certificate Reserves: | |||||||||||||||||
According to the terms of the certificates: | |||||||||||||||||
Provision for certificate reserves | 249 | 417 | 574 | ||||||||||||||
Interest on additional credits | 1 | 1 | 1 | ||||||||||||||
Additional credits/interest authorized by ACC | 10,031 | 56,845 | 129,356 | ||||||||||||||
Total provision for certificate reserves before reserve recoveries | 10,281 | 57,263 | 129,931 | ||||||||||||||
Reserve recoveries from terminations prior to maturity | (760) | (874) | (924) | ||||||||||||||
Net provision for certificate reserves | 9,521 | 56,389 | 129,007 | ||||||||||||||
Net investment income before income taxes | 30,660 | 37,378 | 58,045 | ||||||||||||||
Income tax expense | 7,467 | 8,984 | 13,908 | ||||||||||||||
Net investment income, after-tax | 23,193 | 28,394 | 44,137 | ||||||||||||||
Net realized gain (loss) on investments: | |||||||||||||||||
Securities of unaffiliated issuers before income taxes | 2,598 | 1,349 | (279) | ||||||||||||||
Income tax expense (benefit) | 545 | 283 | (59) | ||||||||||||||
Net realized gain (loss) on investments, after-tax | 2,053 | 1,066 | (220) | ||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 |
Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Investment Income: | |||||||||||
Interest income from unaffiliated investments: | |||||||||||
Available-for-Sale securities | $ | 134,340 | $ | 104,911 | $ | 82,203 | |||||
Syndicated loans and commercial mortgage loans | 7,465 | 7,866 | 7,126 | ||||||||
Certificate loans | 27 | 32 | 48 | ||||||||
Dividends | 229 | 78 | 156 | ||||||||
Other | 3,059 | 2,770 | 1,114 | ||||||||
Total investment income | 145,120 | 115,657 | 90,647 | ||||||||
Investment Expenses: | |||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||
Distribution | 15,734 | 14,221 | 11,671 | ||||||||
Investment advisory and services | 14,222 | 12,347 | 10,324 | ||||||||
Transfer agent | 6,958 | 5,443 | 4,829 | ||||||||
Depository | 83 | 73 | 61 | ||||||||
Other | 518 | 636 | 831 | ||||||||
Total investment expenses | 37,515 | 32,720 | 27,716 | ||||||||
Net investment income before provision for certificate reserves and income taxes | 107,605 | 82,937 | 62,931 | ||||||||
Provision for Certificate Reserves: | |||||||||||
According to the terms of the certificates: | |||||||||||
Provision for certificate reserves | 380 | 416 | 636 | ||||||||
Interest on additional credits | 4 | 6 | 24 | ||||||||
Additional credits/interest authorized by ACC | 45,953 | 37,852 | 27,093 | ||||||||
Total provision for certificate reserves before reserve recoveries | 46,337 | 38,274 | 27,753 | ||||||||
Reserve recoveries from terminations prior to maturity | (880 | ) | (838 | ) | (675 | ) | |||||
Net provision for certificate reserves | 45,457 | 37,436 | 27,078 | ||||||||
Net investment income before income taxes | 62,148 | 45,501 | 35,853 | ||||||||
Income tax expense | 25,973 | 17,376 | 11,753 | ||||||||
Net investment income, after-tax | 36,175 | 28,125 | 24,100 | ||||||||
Net realized gain (loss) on investments: | |||||||||||
Securities of unaffiliated issuers before income taxes | 12,048 | 311 | (2,198 | ) | |||||||
Income tax expense (benefit) | 4,217 | 109 | (769 | ) | |||||||
Net realized gain (loss) on investments, after-tax | 7,831 | 202 | (1,429 | ) | |||||||
Net income | $ | 44,006 | $ | 28,327 | $ | 22,671 | |||||
Supplemental Disclosures: | |||||||||||
Total other-than-temporary impairment losses on securities | $ | — | $ | — | $ | — | |||||
Portion of loss recognized in other comprehensive income (loss) (before taxes) | (193 | ) | (106 | ) | (1,556 | ) | |||||
Net impairment losses recognized in net realized gain (loss) on investments | $ | (193 | ) | $ | (106 | ) | $ | (1,556 | ) | ||
See Notes to Consolidated Financial Statements. |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 | |||||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||
Net unrealized gains (losses) on securities: | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period | (16,097) | 22,763 | 46,247 | ||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (863) | (2,330) | (153) | ||||||||||||||
Total other comprehensive income (loss), net of tax | (16,960) | 20,433 | 46,094 | ||||||||||||||
Total comprehensive income (loss) | $ | 8,286 | $ | 49,893 | $ | 90,011 |
Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Net income | $ | 44,006 | $ | 28,327 | $ | 22,671 | |||||
Other comprehensive income (loss), net of tax: | |||||||||||
Net unrealized gains (losses) on securities: | |||||||||||
Net unrealized securities gains (losses) arising during the period | 7,352 | 14,298 | (15,884 | ) | |||||||
Reclassification of net securities (gains) losses included in net income | (7,814 | ) | (655 | ) | 1,104 | ||||||
Total other comprehensive income (loss), net of tax | (462 | ) | 13,643 | (14,780 | ) | ||||||
Total comprehensive income | $ | 43,544 | $ | 41,970 | $ | 7,891 | |||||
See Notes to Consolidated Financial Statements. |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands, except share data) | |||||||||||
ASSETS | |||||||||||
Qualified Assets | |||||||||||
Investments in unaffiliated issuers: | |||||||||||
Cash and cash equivalents | $ | 689,792 | $ | 562,652 | |||||||
Available-for-Sale securities: | |||||||||||
Fixed maturities, at fair value (amortized cost: 2021, $4,710,303; 2020, $6,334,451) | 4,728,811 | 6,375,260 | |||||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2021, $1,518; 2020, $3,190; fair value: 2021, $223,495; 2020, $274,739) | 221,569 | 269,540 | |||||||||
Equity securities, at fair value (cost: 2021, nil; 2020, $115) | — | 56 | |||||||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 83 | 212 | |||||||||
Total investments | 5,640,255 | 7,207,720 | |||||||||
Receivables: | |||||||||||
Dividends and interest | 5,159 | 8,420 | |||||||||
Receivables from brokers, dealers and clearing organizations | 4,920 | 7,519 | |||||||||
Other receivables | 403 | 360 | |||||||||
Total receivables | 10,482 | 16,299 | |||||||||
Derivative assets | 44,135 | 66,663 | |||||||||
Total qualified assets | 5,694,872 | 7,290,682 | |||||||||
Other Assets: | |||||||||||
Taxes receivable from parent | 50 | — | |||||||||
Due from related party | 23 | 74 | |||||||||
Total other assets | 73 | 74 | |||||||||
Total assets | $ | 5,694,945 | $ | 7,290,756 | |||||||
See Notes to Consolidated Financial Statements. |
December 31, | |||||||
2017 | 2016 | ||||||
(in thousands, except share data) | |||||||
ASSETS | |||||||
Qualified Assets | |||||||
Investments in unaffiliated issuers: | |||||||
Cash and cash equivalents | $ | 68,471 | $ | 134,189 | |||
Available-for-Sale securities: | |||||||
Fixed maturities, at fair value (amortized cost: 2017, $6,556,338; 2016, $5,966,057) | 6,546,761 | 5,953,701 | |||||
Common stocks, at fair value (cost: 2017, $1,002; 2016, $2,448) | 1,000 | 6,609 | |||||
Commercial mortgage loans and syndicated loans, at cost (less allowance for loan losses: 2017, $3,283; 2016, $3,283; fair value: 2017, $207,681; 2016, $176,211) | 207,187 | 173,815 | |||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 433 | 549 | |||||
Total investments | 6,823,852 | 6,268,863 | |||||
Receivables: | |||||||
Dividends and interest | 17,077 | 18,363 | |||||
Investment securities sold | 11,935 | 11,010 | |||||
Other receivables | — | 371 | |||||
Total receivables | 29,012 | 29,744 | |||||
Derivative assets | 54,346 | 45,098 | |||||
Total qualified assets | 6,907,210 | 6,343,705 | |||||
Other Assets: | |||||||
Deferred taxes, net | 736 | 492 | |||||
Taxes receivable from parent | 3,874 | — | |||||
Due from related party | 25 | 31 | |||||
Total other assets | 4,635 | 523 | |||||
Total assets | $ | 6,911,845 | $ | 6,344,228 | |||
See Notes to Consolidated Financial Statements. |
Consolidated Balance Sheets (continued) | |||||||||||
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands, except share data) | |||||||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||||||
Liabilities | |||||||||||
Certificate reserves | |||||||||||
Installment certificates: | |||||||||||
Reserves to mature | $ | 6,112 | $ | 6,016 | |||||||
Fully paid certificates: | |||||||||||
Reserves to mature | 5,290,301 | 6,746,568 | |||||||||
Additional credits and accrued interest | 3,647 | 7,447 | |||||||||
Due to unlocated certificate holders | 429 | 400 | |||||||||
Total certificate reserves | 5,300,489 | 6,760,431 | |||||||||
Accounts payable and accrued liabilities: | |||||||||||
Due to related party | 1,958 | 1,056 | |||||||||
Taxes payable to parent | 373 | 810 | |||||||||
Payables to brokers, dealers and clearing organizations | 7,862 | 10,256 | |||||||||
Total accounts payable and accrued liabilities | 10,193 | 12,122 | |||||||||
Derivative liabilities | 41,470 | 59,924 | |||||||||
Deferred taxes, net | 4,557 | 8,242 | |||||||||
Other liabilities | 18,206 | 29,293 | |||||||||
Total liabilities | 5,374,915 | 6,870,012 | |||||||||
Shareholder’s Equity | |||||||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||||||
Additional paid-in capital | 302,709 | 341,700 | |||||||||
Retained earnings: | |||||||||||
Appropriated for pre-declared additional credits and interest | — | 21 | |||||||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||||||
Unappropriated | 70 | 44,812 | |||||||||
Accumulated other comprehensive income (loss), net of tax | 15,736 | 32,696 | |||||||||
Total shareholder’s equity | 320,030 | 420,744 | |||||||||
Total liabilities and shareholder’s equity | $ | 5,694,945 | $ | 7,290,756 |
Consolidated Balance Sheets (continued) | |||||||
December 31, | |||||||
2017 | 2016 | ||||||
(in thousands, except share data) | |||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||
Liabilities | |||||||
Certificate reserves | |||||||
Installment certificates: | |||||||
Reserves to mature | $ | 11,818 | $ | 13,469 | |||
Additional credits and accrued interest | 1 | 3 | |||||
Fully paid certificates: | |||||||
Reserves to mature | 6,379,648 | 5,914,356 | |||||
Additional credits and accrued interest | 8,592 | 6,871 | |||||
Due to unlocated certificate holders | 265 | 352 | |||||
Total certificate reserves | 6,400,324 | 5,935,051 | |||||
Accounts payable and accrued liabilities: | |||||||
Due to related party | 2,922 | 2,597 | |||||
Taxes payable to parent | 5,402 | 3,505 | |||||
Payable for investment securities purchased | 56,778 | 6,969 | |||||
Total accounts payable and accrued liabilities | 65,102 | 13,071 | |||||
Derivative liabilities | 46,756 | 38,319 | |||||
Other liabilities | 40,327 | 31,995 | |||||
Total liabilities | 6,552,509 | 6,018,436 | |||||
Shareholder’s Equity | |||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||
Additional paid-in capital | 252,517 | 247,517 | |||||
Retained earnings: | |||||||
Appropriated for pre-declared additional credits and interest | 23 | — | |||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||
Unappropriated | 110,908 | 81,925 | |||||
Accumulated other comprehensive income (loss), net of tax | (5,627 | ) | (5,165 | ) | |||
Total shareholder’s equity | 359,336 | 325,792 | |||||
Total liabilities and shareholder’s equity | $ | 6,911,845 | $ | 6,344,228 | |||
See Notes to Consolidated Financial Statements. |
Number of Outstanding Shares | Common Shares | Additional Paid-In Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss), Net of Tax | Total | ||||||||||||||||||||||||||||||||||||||||||
Appropriated for Pre-Declared Additional Credits and Interest | Appropriated for Additional Interest on Advance Payments | Unappropriated | |||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except share data) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance at January 1, 2019 | 150,000 | $ | 1,500 | $ | 285,017 | $ | 910 | $ | 15 | $ | 155,251 | $ | (33,831) | $ | 408,862 | ||||||||||||||||||||||||||||||||
Correction of the misclassification (1) | — | — | 42,183 | — | — | (29,482) | — | 12,701 | |||||||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of premium amortization on purchased callable debt securities guidance | — | — | — | — | — | (107) | — | (107) | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 43,917 | — | 43,917 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 46,094 | 46,094 | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (589) | — | 589 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (73,701) | — | (73,701) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 4,500 | — | — | — | — | 4,500 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2019 | 150,000 | 1,500 | 331,700 | 321 | 15 | 96,467 | 12,263 | 442,266 | |||||||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of current expected credit losses guidance | — | — | — | — | — | 585 | — | 585 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 29,460 | — | 29,460 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 20,433 | 20,433 | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (300) | — | 300 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (82,000) | — | (82,000) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 10,000 | — | — | — | — | 10,000 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2020 | 150,000 | 1,500 | 341,700 | 21 | 15 | 44,812 | 32,696 | 420,744 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 25,246 | — | 25,246 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (16,960) | (16,960) | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (21) | — | 21 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (70,009) | — | (70,009) | |||||||||||||||||||||||||||||||||||||||
Return of capital to parent | — | — | (38,991) | — | — | — | — | (38,991) | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2021 | 150,000 | $ | 1,500 | $ | 302,709 | $ | — | $ | 15 | $ | 70 | $ | 15,736 | $ | 320,030 |
Number of Outstanding Shares | Common Shares | Additional Paid-In Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss), Net of Tax | Total | |||||||||||||||||||||||||
Appropriated for Pre-Declared Additional Credits and Interest | Appropriated for Additional Interest on Advance Payments | Unappropriated | ||||||||||||||||||||||||||||
(in thousands, except share data) | ||||||||||||||||||||||||||||||
Balance at January 1, 2015 | 150,000 | $ | 1,500 | $ | 201,517 | $ | 58 | $ | 15 | $ | 40,869 | $ | (4,028 | ) | $ | 239,931 | ||||||||||||||
Comprehensive income: | ||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 22,671 | — | 22,671 | ||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (14,780 | ) | (14,780 | ) | ||||||||||||||||||||
Total comprehensive income | 7,891 | |||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (50 | ) | — | 50 | — | — | |||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (10,000 | ) | — | (10,000 | ) | ||||||||||||||||||||
Receipt of capital from parent | — | — | 13,000 | — | — | — | — | 13,000 | ||||||||||||||||||||||
Balance at December 31, 2015 | 150,000 | 1,500 | 214,517 | 8 | 15 | 53,590 | (18,808 | ) | 250,822 | |||||||||||||||||||||
Comprehensive income: | ||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 28,327 | — | 28,327 | ||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 13,643 | 13,643 | ||||||||||||||||||||||
Total comprehensive income | 41,970 | |||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (8 | ) | — | 8 | — | — | |||||||||||||||||||||
Receipt of capital from parent | — | — | 33,000 | — | — | — | — | 33,000 | ||||||||||||||||||||||
Balance at December 31, 2016 | 150,000 | 1,500 | 247,517 | — | 15 | 81,925 | (5,165 | ) | 325,792 | |||||||||||||||||||||
Comprehensive income: | ||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 44,006 | — | 44,006 | ||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (462 | ) | (462 | ) | ||||||||||||||||||||
Total comprehensive income | 43,544 | |||||||||||||||||||||||||||||
Transfer to appropriated from unappropriated | — | — | — | 23 | — | (23 | ) | — | — | |||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (15,000 | ) | — | (15,000 | ) | ||||||||||||||||||||
Receipt of capital from parent | — | — | 5,000 | — | — | — | — | 5,000 | ||||||||||||||||||||||
Balance at December 31, 2017 | 150,000 | $ | 1,500 | $ | 252,517 | $ | 23 | $ | 15 | $ | 110,908 | $ | (5,627 | ) | $ | 359,336 | ||||||||||||||
See Notes to Consolidated Financial Statements. |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Cash Flows from Operating Activities | |||||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||||||||
Amortization of premiums, accretion of discounts, net | 2,382 | (8,838) | (32,856) | ||||||||||||||
Deferred income tax expense (benefit) | 1,657 | 2,626 | (2,716) | ||||||||||||||
Net realized (gain) loss on Available-for-Sale securities | (1,093) | (2,950) | (194) | ||||||||||||||
Other net realized (gain) loss | 167 | 662 | 473 | ||||||||||||||
Provision for credit losses | (1,672) | 939 | — | ||||||||||||||
Changes in operating assets and liabilities: | |||||||||||||||||
Dividends and interest receivable | 4,560 | 25,092 | 45,114 | ||||||||||||||
Certificate reserves, net | (3,032) | (4,999) | 8,744 | ||||||||||||||
Taxes payable to/receivable from parent, net | (487) | 1,277 | 1,264 | ||||||||||||||
Derivatives, net of collateral | 224 | 7 | 434 | ||||||||||||||
Other liabilities | (7,237) | (13,453) | 9,862 | ||||||||||||||
Other receivables | (43) | (142) | (36) | ||||||||||||||
Payables to brokers, dealers and clearing organizations | — | — | (21,451) | ||||||||||||||
Other, net | 1,055 | (1,936) | (132) | ||||||||||||||
Net cash provided by (used in) operating activities | 21,727 | 27,745 | 52,423 | ||||||||||||||
Cash Flows from Investing Activities | |||||||||||||||||
Available-for-Sale securities: | |||||||||||||||||
Sales | — | — | 9,689 | ||||||||||||||
Maturities, redemptions and calls | 4,637,978 | 4,779,020 | 5,305,739 | ||||||||||||||
Purchases | (3,015,291) | (3,798,529) | (4,929,747) | ||||||||||||||
Commercial mortgage loans and syndicated loans: | |||||||||||||||||
Sales, maturities and repayments | 74,945 | 40,759 | 52,826 | ||||||||||||||
Purchases and fundings | (26,486) | (41,761) | (64,456) | ||||||||||||||
Equity securities: | |||||||||||||||||
Sales | 48 | 113 | — | ||||||||||||||
Certificate loans, net | 129 | 4 | 27 | ||||||||||||||
Net cash provided by (used in) investing activities | 1,671,323 | 979,606 | 374,078 | ||||||||||||||
Cash Flows from Financing Activities | |||||||||||||||||
Payments from certificate holders and other additions | 2,733,012 | 4,259,469 | 5,110,412 | ||||||||||||||
Certificate maturities and cash surrenders | (4,189,922) | (5,016,362) | (5,488,797) | ||||||||||||||
Capital contribution from parent | — | 10,000 | 4,500 | ||||||||||||||
Dividend to parent | (70,009) | (82,000) | (73,701) | ||||||||||||||
Return of capital to parent | (38,991) | — | — | ||||||||||||||
Net cash provided by (used in) financing activities | (1,565,910) | (828,893) | (447,586) | ||||||||||||||
Net increase (decrease) in cash and cash equivalents | 127,140 | 178,458 | (21,085) | ||||||||||||||
Cash and cash equivalents at beginning of period | 562,652 | 384,194 | 405,279 | ||||||||||||||
Cash and cash equivalents at end of period | $ | 689,792 | $ | 562,652 | $ | 384,194 | |||||||||||
Supplemental disclosures including non-cash transactions: | |||||||||||||||||
Cash paid (received) for income taxes | $ | 7,054 | $ | 5,558 | $ | 15,133 | |||||||||||
Cash paid for interest | 14,721 | 63,532 | 131,930 |
Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Cash Flows from Operating Activities | |||||||||||
Net income | $ | 44,006 | $ | 28,327 | $ | 22,671 | |||||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||||||
Amortization of premiums, accretion of discounts, net | 20,853 | 24,129 | 28,263 | ||||||||
Deferred income tax expense (benefit) | (192 | ) | 782 | 276 | |||||||
Net realized (gain) loss on Available-for-Sale securities | (12,214 | ) | (1,113 | ) | 142 | ||||||
Other net realized (gain) loss | (27 | ) | (304 | ) | — | ||||||
Other-than-temporary impairments and provision for loan loss | 193 | 1,106 | 2,056 | ||||||||
Changes in operating assets and liabilities: | |||||||||||
Dividends and interest receivable | 1,286 | (1,449 | ) | (1,604 | ) | ||||||
Certificate reserves, net | 2,653 | 4,936 | (1,513 | ) | |||||||
Deferred taxes, net | 871 | (7,347 | ) | 7,959 | |||||||
Taxes payable to/receivable from parent, net | (1,977 | ) | 6,308 | (5,936 | ) | ||||||
Derivatives, net of collateral | (1,080 | ) | 1,804 | 473 | |||||||
Other liabilities | 8,601 | 11,329 | (1,965 | ) | |||||||
Other receivables | 371 | (220 | ) | 5,026 | |||||||
Other, net | 374 | (462 | ) | 268 | |||||||
Net cash provided by (used in) operating activities | 63,718 | 67,826 | 56,116 | ||||||||
Cash Flows from Investing Activities | |||||||||||
Available-for-Sale securities: | |||||||||||
Sales | 184,043 | 8,115 | 8,252 | ||||||||
Maturities, redemptions and calls | 2,163,138 | 1,627,080 | 1,221,090 | ||||||||
Purchases | (2,902,425 | ) | (2,855,620 | ) | (1,806,502 | ) | |||||
Syndicated loans, commercial mortgage loans and real estate owned: | |||||||||||
Sales, maturities and repayments | 41,106 | 54,888 | 28,233 | ||||||||
Purchases and fundings | (68,034 | ) | (34,013 | ) | (71,143 | ) | |||||
Certificate loans, net | 116 | 137 | 240 | ||||||||
Net cash provided by (used in) investing activities | (582,056 | ) | (1,199,413 | ) | (619,830 | ) | |||||
Cash Flows from Financing Activities | |||||||||||
Payments from certificate holders and other additions | 4,724,758 | 4,250,052 | 3,138,623 | ||||||||
Certificate maturities and cash surrenders | (4,262,138 | ) | (3,154,833 | ) | (2,508,984 | ) | |||||
Capital contribution from parent | 5,000 | 33,000 | 13,000 | ||||||||
Dividend to parent | (15,000 | ) | — | (10,000 | ) | ||||||
Net cash provided by (used in) financing activities | 452,620 | 1,128,219 | 632,639 | ||||||||
Net increase (decrease) in cash and cash equivalents | (65,718 | ) | (3,368 | ) | 68,925 | ||||||
Cash and cash equivalents at beginning of period | 134,189 | 137,557 | 68,632 | ||||||||
Cash and cash equivalents at end of period | $ | 68,471 | $ | 134,189 | $ | 137,557 | |||||
Supplemental disclosures including non-cash transactions: | |||||||||||
Cash paid for income taxes | $ | 21,995 | $ | 12,009 | $ | 13,622 | |||||
Cash paid for interest | 47,850 | 35,338 | 29,182 | ||||||||
See Notes to Consolidated Financial Statements. |
December 31, 2021 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 250 | $ | 130 | $ | 120 | |||||||||||
Texas and Illinois (at par value) | 156 | 150 | 6 | ||||||||||||||
Custodian | 5,603,782 | 5,301,158 | 302,624 | ||||||||||||||
Total | $ | 5,604,188 | $ | 5,301,438 | $ | 302,750 |
December 31, 2017 | |||||||||||
Deposits | Required Deposits | Excess | |||||||||
(in thousands) | |||||||||||
Deposits to meet certificate liability requirements: | |||||||||||
Pennsylvania and New Jersey (at market value) | $ | 254 | $ | 130 | $ | 124 | |||||
Texas and Illinois (at par value) | 221 | 150 | 71 | ||||||||
Custodian | 6,758,608 | 6,403,603 | 355,005 | ||||||||
Total | $ | 6,759,083 | $ | 6,403,883 | $ | 355,200 |
December 31, 2016 | December 31, 2020 | |||||||||||||||||||||||||||
Deposits | Required Deposits | Excess | Deposits | Required Deposits | Excess | (in thousands) | ||||||||||||||||||||||
Deposits to meet certificate liability requirements: | Deposits to meet certificate liability requirements: | |||||||||||||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 255 | $ | 130 | $ | 125 | Pennsylvania and New Jersey (at market value) | $ | 269 | $ | 130 | $ | 139 | |||||||||||||||
Texas and Illinois (at par value) | 150 | 150 | — | Texas and Illinois (at par value) | 213 | 150 | 63 | |||||||||||||||||||||
Custodian | 6,250,536 | 5,938,825 | 311,711 | Custodian | 7,147,906 | 6,763,328 | 384,578 | |||||||||||||||||||||
Total | $ | 6,250,941 | $ | 5,939,105 | $ | 311,836 | Total | $ | 7,148,388 | $ | 6,763,608 | $ | 384,780 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Available-for-Sale securities: Fixed maturities, at fair value (allowance for credit losses: 2021 and 2020, nil; amortized cost: 2021, $4,710,303; 2020, $6,334,451) | $ | 4,728,811 | $ | 6,375,260 | |||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2021, $1,518; 2020, $3,190; fair value: 2021, $223,495; 2020, $274,739) | 221,569 | 269,540 | |||||||||
Equity securities, at fair value (cost: 2021, nil; 2020, $115) | — | 56 | |||||||||
Certificate loans — secured by certificate reserves, at cost, which approximates fair value | 83 | 212 | |||||||||
Total | $ | 4,950,463 | $ | 6,645,068 |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Residential mortgage backed securities | $ | 1,680,371 | $ | 15,708 | $ | (2,531) | $ | 1,693,548 | ||||||||||||||||||||||||
Corporate debt securities | 51,201 | 849 | — | 52,050 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,164,516 | 2,449 | (1,036) | 1,165,929 | ||||||||||||||||||||||||||||
Asset backed securities | 502,328 | 3,265 | (333) | 505,260 | ||||||||||||||||||||||||||||
State and municipal obligations | 11,954 | 94 | (4) | 12,044 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 1,299,933 | 64 | (17) | 1,299,980 | ||||||||||||||||||||||||||||
Total | $ | 4,710,303 | $ | 22,429 | $ | (3,921) | $ | 4,728,811 |
Description of Securities | December 31, 2017 | Description of Securities | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Noncredit OTTI (1) | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | (in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | Residential mortgage backed securities | $ | 3,259,976 | $ | 9,020 | $ | (12,669 | ) | $ | 3,256,327 | $ | — | Residential mortgage backed securities | $ | 2,496,350 | $ | 35,943 | $ | (2,368) | $ | 2,529,925 | |||||||||||||||||||||||||||||||
Corporate debt securities | Corporate debt securities | 1,184,360 | 763 | (4,833 | ) | 1,180,290 | 3 | Corporate debt securities | 264,199 | 5,621 | — | 269,820 | ||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | Commercial mortgage backed securities | 798,047 | 1,292 | (3,876 | ) | 795,463 | — | Commercial mortgage backed securities | 1,475,446 | 7,150 | (9,818) | 1,472,778 | ||||||||||||||||||||||||||||||||||||||||
Asset backed securities | Asset backed securities | 758,477 | 3,452 | (2,426 | ) | 759,503 | — | Asset backed securities | 626,777 | 4,778 | (991) | 630,564 | ||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | State and municipal obligations | 58,380 | 166 | (489 | ) | 58,057 | — | State and municipal obligations | 16,839 | 327 | — | 17,166 | ||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | U.S. government and agency obligations | 497,098 | 43 | (20 | ) | 497,121 | — | U.S. government and agency obligations | 1,454,840 | 167 | — | 1,455,007 | ||||||||||||||||||||||||||||||||||||||||
Common stocks | 1,002 | 168 | (170 | ) | 1,000 | — | ||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 6,557,340 | $ | 14,904 | $ | (24,483 | ) | $ | 6,547,761 | $ | 3 | Total | $ | 6,334,451 | $ | 53,986 | $ | (13,177) | $ | 6,375,260 |
Description of Securities | December 31, 2016 | |||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Noncredit OTTI (1) | ||||||||||||||||
(in thousands) | ||||||||||||||||||||
Residential mortgage backed securities | $ | 3,192,055 | $ | 13,075 | $ | (21,731 | ) | $ | 3,183,399 | $ | 209 | |||||||||
Corporate debt securities | 1,595,907 | 3,358 | (4,188 | ) | 1,595,077 | 3 | ||||||||||||||
Commercial mortgage backed securities | 500,170 | 1,348 | (1,646 | ) | 499,872 | — | ||||||||||||||
Asset backed securities | 629,277 | 1,357 | (4,211 | ) | 626,423 | — | ||||||||||||||
State and municipal obligations | 48,272 | 345 | (107 | ) | 48,510 | — | ||||||||||||||
U.S. government and agency obligations | 376 | 44 | — | 420 | — | |||||||||||||||
Common stocks | 2,448 | 4,384 | (223 | ) | 6,609 | 2,668 | ||||||||||||||
Total | $ | 5,968,505 | $ | 23,911 | $ | (32,106 | ) | $ | 5,960,310 | $ | 2,880 | |||||||||
(1) Represents the amount of other-than-temporary impairment (“OTTI”) losses in accumulated other comprehensive income (loss). Amount includes unrealized gains and losses on impaired securities subsequent to the initial impairment measurement date. These amounts are included in gross unrealized gains and losses as of the end of the period. |
Ratings | December 31, 2017 | December 31, 2016 | Ratings | December 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost | Fair Value | Percent of Total Fair Value | Amortized Cost | Fair Value | Percent of Total Fair Value | Amortized Cost | Fair Value | Percent of Total Fair Value | Amortized Cost | Fair Value | Percent of Total Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except percentages) | (in thousands, except percentages) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AAA | AAA | $ | 4,526,696 | $ | 4,519,506 | 69 | % | $ | 3,084,275 | $ | 3,080,096 | 52 | % | AAA | $ | 4,556,729 | $ | 4,570,394 | 97 | % | $ | 5,774,067 | $ | 5,803,399 | 91 | % | ||||||||||||||||||||||||||||||||||
AA | AA | 367,747 | 368,377 | 5 | 278,147 | 277,010 | 5 | AA | 54,137 | 55,093 | 1 | 219,978 | 223,221 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
A | A | 595,445 | 593,421 | 9 | 705,520 | 702,031 | 12 | A | 72,913 | 75,140 | 2 | 165,442 | 169,520 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
BBB | BBB | 1,029,953 | 1,029,082 | 16 | 1,755,986 | 1,754,223 | 29 | BBB | 20,442 | 22,061 | — | 166,734 | 170,885 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||
Below investment grade | Below investment grade | 36,497 | 36,375 | 1 | 142,129 | 140,341 | 2 | Below investment grade | 6,082 | 6,123 | — | 8,230 | 8,235 | — | ||||||||||||||||||||||||||||||||||||||||||||||
Total fixed maturities | Total fixed maturities | $ | 6,556,338 | $ | 6,546,761 | 100 | % | $ | 5,966,057 | $ | 5,953,701 | 100 | % | Total fixed maturities | $ | 4,710,303 | $ | 4,728,811 | 100 | % | $ | 6,334,451 | $ | 6,375,260 | 100 | % |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except number of securities) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 43 | $ | 295,433 | $ | (1,733) | 48 | $ | 114,067 | $ | (798) | 91 | $ | 409,500 | $ | (2,531) | |||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 25 | 538,380 | (842) | 3 | 55,352 | (194) | 28 | 593,732 | (1,036) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 5 | 117,631 | (119) | 5 | 92,986 | (214) | 10 | 210,617 | (333) | |||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | 1 | 996 | (4) | — | — | — | 1 | 996 | (4) | |||||||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | 9 | 469,836 | (17) | — | — | — | 9 | 469,836 | (17) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 83 | $ | 1,422,276 | $ | (2,715) | 56 | $ | 262,405 | $ | (1,206) | 139 | $ | 1,684,681 | $ | (3,921) |
Description of Securities | December 31, 2017 | ||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | |||||||||||||||||||||||||||||||
Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | |||||||||||||||||||||||||
(in thousands, except number of securities) | |||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 67 | $ | 1,078,412 | $ | (5,833 | ) | 89 | $ | 664,954 | $ | (6,836 | ) | 156 | $ | 1,743,366 | $ | (12,669 | ) | |||||||||||||||
Corporate debt securities | 55 | 715,852 | (2,161 | ) | 23 | 257,891 | (2,672 | ) | 78 | 973,743 | (4,833 | ) | |||||||||||||||||||||
Commercial mortgage backed securities | 12 | 183,428 | (1,721 | ) | 18 | 119,790 | (2,155 | ) | 30 | 303,218 | (3,876 | ) | |||||||||||||||||||||
Asset backed securities | 23 | 297,823 | (1,466 | ) | 18 | 110,842 | (960 | ) | 41 | 408,665 | (2,426 | ) | |||||||||||||||||||||
State and municipal obligations | 8 | 17,906 | (430 | ) | 4 | 5,891 | (59 | ) | 12 | 23,797 | (489 | ) | |||||||||||||||||||||
U.S. government and agency obligations | 1 | 49,900 | (20 | ) | — | — | — | 1 | 49,900 | (20 | ) | ||||||||||||||||||||||
Common stocks | 1 | 56 | (4 | ) | 3 | 661 | (166 | ) | 4 | 717 | (170 | ) | |||||||||||||||||||||
Total | 167 | $ | 2,343,377 | $ | (11,635 | ) | 155 | $ | 1,160,029 | $ | (12,848 | ) | 322 | $ | 3,503,406 | $ | (24,483 | ) |
Description of Securities | Description of Securities | December 31, 2016 | Description of Securities | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except number of securities) | (in thousands, except number of securities) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | Residential mortgage backed securities | 74 | $ | 1,116,318 | $ | (6,009 | ) | 131 | $ | 847,998 | $ | (15,722 | ) | 205 | $ | 1,964,316 | $ | (21,731 | ) | Residential mortgage backed securities | 49 | $ | 144,057 | $ | (751) | 56 | $ | 317,650 | $ | (1,617) | 105 | $ | 461,707 | $ | (2,368) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | 59 | 676,198 | (3,945 | ) | 7 | 57,535 | (243 | ) | 66 | 733,733 | (4,188 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | Commercial mortgage backed securities | 24 | 205,284 | (1,365 | ) | 4 | 32,547 | (281 | ) | 28 | 237,831 | (1,646 | ) | Commercial mortgage backed securities | 20 | 406,473 | (4,810) | 11 | 177,503 | (5,008) | 31 | 583,976 | (9,818) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | Asset backed securities | 28 | 273,193 | (2,312 | ) | 16 | 174,793 | (1,899 | ) | 44 | 447,986 | (4,211 | ) | Asset backed securities | 5 | 49,916 | (214) | 10 | 151,440 | (777) | 15 | 201,356 | (991) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | 8 | 17,308 | (107 | ) | — | — | — | 8 | 17,308 | (107 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common stocks | — | — | — | 3 | 605 | (223 | ) | 3 | 605 | (223 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | 193 | $ | 2,288,301 | $ | (13,738 | ) | 161 | $ | 1,113,478 | $ | (18,368 | ) | 354 | $ | 3,401,779 | $ | (32,106 | ) | Total | 74 | $ | 600,446 | $ | (5,775) | 77 | $ | 646,593 | $ | (7,402) | 151 | $ | 1,247,039 | $ | (13,177) |
Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Beginning balance | $ | 46,522 | $ | 51,966 | $ | 64,913 | |||||
Reductions for securities sold during the period (realized) | (46,715 | ) | (5,550 | ) | (14,503 | ) | |||||
Credit losses for which an other-than-temporary impairment was previously recognized | 193 | 106 | 1,556 | ||||||||
Ending balance | $ | — | $ | 46,522 | $ | 51,966 |
Net Unrealized Investment Gains (Losses) | Deferred Income Tax | Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses) | ||||||||||
(in thousands) | ||||||||||||
Balance at January 1, 2015 | $ | (6,380 | ) | $ | 2,352 | $ | (4,028 | ) | ||||
Net unrealized securities gains (losses) arising during the period(1) | (25,176 | ) | 9,292 | (15,884 | ) | |||||||
Reclassification of (gains) losses included in net income | 1,698 | (594 | ) | 1,104 | ||||||||
Balance at December 31, 2015 | (29,858 | ) | 11,050 | (18,808 | ) | (2) | ||||||
Net unrealized securities gains (losses) arising during the period(1) | 22,670 | (8,372 | ) | 14,298 | ||||||||
Reclassification of (gains) losses included in net income | (1,007 | ) | 352 | (655 | ) | |||||||
Balance at December 31, 2016 | (8,195 | ) | 3,030 | (5,165 | ) | (2) | ||||||
Net unrealized securities gains (losses) arising during the period(1) | 10,637 | (3,285 | ) | 7,352 | ||||||||
Reclassification of (gains) losses included in net income | (12,021 | ) | 4,207 | (7,814 | ) | |||||||
Balance at December 31, 2017 | $ | (9,579 | ) | $ | 3,952 | $ | (5,627 | ) | (2) |
Net Unrealized Gains (Losses) on Securities | Deferred Income Tax | Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Gains (Losses) on Securities | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Balance at January 1, 2019 | $ | (46,958) | $ | 13,127 | $ | (33,833) | ||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | 61,110 | (14,863) | 46,247 | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (194) | 41 | (153) | |||||||||||||||||
Balance at December 31, 2019 | 13,958 | (1,695) | 12,263 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | 29,802 | (7,039) | 22,763 | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (2,950) | 620 | (2,330) | |||||||||||||||||
Balance at December 31, 2020 | 40,810 | (8,114) | 32,696 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | (21,208) | 5,111 | (16,097) | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (1,093) | 230 | (863) | |||||||||||||||||
Balance at December 31, 2021 | $ | 18,509 | $ | (2,773) | $ | 15,736 |
Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Gross realized gains | $ | 14,553 | $ | 2,270 | $ | 454 | |||||
Gross realized losses | (2,339 | ) | (1,157 | ) | (596 | ) | |||||
Other-than-temporary impairments | (193 | ) | (106 | ) | (1,556 | ) | |||||
Total | $ | 12,021 | $ | 1,007 | $ | (1,698 | ) |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Gross realized gains | $ | 1,132 | $ | 2,950 | $ | 265 | |||||||||||
Gross realized losses | (39) | — | (71) | ||||||||||||||
Total | $ | 1,093 | $ | 2,950 | $ | 194 |
Amortized Cost | Fair Value | Amortized Cost | Fair Value | (in thousands) | ||||||||||||||
Due within one year | $ | 933,430 | $ | 933,145 | Due within one year | $ | 1,328,615 | $ | 1,328,968 | |||||||||
Due after one year through five years | 806,197 | 802,069 | Due after one year through five years | 34,266 | 34,856 | |||||||||||||
Due after five years through 10 years | — | — | Due after five years through 10 years | 207 | 250 | |||||||||||||
Due after 10 years | 211 | 254 | ||||||||||||||||
1,739,838 | 1,735,468 | 1,363,088 | 1,364,074 | |||||||||||||||
Residential mortgage backed securities | 3,259,976 | 3,256,327 | Residential mortgage backed securities | 1,680,371 | 1,693,548 | |||||||||||||
Commercial mortgage backed securities | 798,047 | 795,463 | Commercial mortgage backed securities | 1,164,516 | 1,165,929 | |||||||||||||
Asset backed securities | 758,477 | 759,503 | Asset backed securities | 502,328 | 505,260 | |||||||||||||
Common stocks | 1,002 | 1,000 | ||||||||||||||||
Total | $ | 6,557,340 | $ | 6,547,761 | Total | $ | 4,710,303 | $ | 4,728,811 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, January 1, 2021 | $ | 3,190 | |||
Provisions | (1,672) | ||||
Balance, December 31, 2021 | $ | 1,518 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, December 31, 2019 (1) | $ | 3,022 | |||
Cumulative effect of adoption of current expected credit losses guidance | (771) | ||||
Balance, January 1, 2020 | 2,251 | ||||
Provisions | 939 | ||||
Balance, December 31, 2020 | $ | 3,190 |
December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Beginning balance | $ | 3,283 | $ | 3,964 | $ | 3,464 | |||||
Charge-offs | — | (1,681 | ) | — | |||||||
Provisions | — | 1,000 | 500 | ||||||||
Ending balance | $ | 3,283 | $ | 3,283 | $ | 3,964 | |||||
Individually evaluated for impairment | $ | — | $ | — | $ | — | |||||
Collectively evaluated for impairment | 3,283 | 3,283 | 3,964 |
December 31, | |||||||
2017 | 2016 | ||||||
(in thousands) | |||||||
Individually evaluated for impairment | $ | — | $ | 1,550 | |||
Collectively evaluated for impairment | 210,470 | 175,548 | |||||
Total | $ | 210,470 | $ | 177,098 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, January 1, 2019 | $ | 3,120 | |||
Charge-offs | (98) | ||||
Balance, December 31, 2019 | $ | 3,022 |
Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Purchases | |||||||||||
Syndicated loans | $ | 44,141 | $ | 19,025 | $ | 55,847 | |||||
Sales | |||||||||||
Syndicated loans | $ | 4,476 | $ | — | $ | 348 |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
80% - 100% | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
60% - 80% | 1,779 | 4,151 | 1,436 | 7,581 | 2,960 | 4,962 | 22,869 | |||||||||||||||||||||||||||||||||||||
40% - 60% | 5,429 | 3,000 | 10,788 | — | 7,614 | 7,833 | 34,664 | |||||||||||||||||||||||||||||||||||||
< 40% | 4,996 | — | 2,345 | 5,798 | 10,532 | 35,236 | 58,907 | |||||||||||||||||||||||||||||||||||||
Total | $ | 12,204 | $ | 7,151 | $ | 14,569 | $ | 13,379 | $ | 21,106 | $ | 48,031 | $ | 116,440 |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
80% - 100% | — | — | 3,344 | — | — | — | 3,344 | |||||||||||||||||||||||||||||||||||||
60% - 80% | 4,237 | 13,002 | — | 3,050 | — | 3,657 | 23,946 | |||||||||||||||||||||||||||||||||||||
40% - 60% | 3,000 | 7,331 | — | 7,788 | 1,379 | 8,076 | 27,574 | |||||||||||||||||||||||||||||||||||||
< 40% | — | 1,531 | 11,004 | 11,430 | 5,564 | 38,857 | 68,386 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,237 | $ | 21,864 | $ | 14,348 | $ | 22,268 | $ | 6,943 | $ | 50,590 | $ | 123,250 |
Loans | Percentage | Loans | Percentage | |||||||||||||||||||||||||||||||||
December 31, | December 31, | December 31, | ||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||
(in thousands) | (in thousands) | |||||||||||||||||||||||||||||||||||
East North Central | $ | 6,029 | $ | 3,043 | 5 | % | 4 | % | East North Central | $ | 11,166 | $ | 8,926 | 10 | % | 7 | % | |||||||||||||||||||
East South Central | 4,891 | 5,509 | 4 | 6 | East South Central | 2,939 | 3,614 | 3 | 3 | |||||||||||||||||||||||||||
Middle Atlantic | 11,887 | 10,881 | 11 | 12 | Middle Atlantic | 15,581 | 13,211 | 13 | 11 | |||||||||||||||||||||||||||
Mountain | 10,452 | 5,850 | 10 | 7 | Mountain | 7,567 | 12,863 | 6 | 10 | |||||||||||||||||||||||||||
New England | 7,586 | 7,424 | 7 | 9 | New England | 6,766 | 6,983 | 6 | 6 | |||||||||||||||||||||||||||
Pacific | 32,386 | 16,511 | 29 | 19 | Pacific | 37,881 | 41,284 | 32 | 34 | |||||||||||||||||||||||||||
South Atlantic | 23,694 | 23,846 | 22 | 27 | South Atlantic | 19,574 | 17,550 | 17 | 14 | |||||||||||||||||||||||||||
West North Central | 6,706 | 7,253 | 6 | 8 | West North Central | 5,893 | 6,668 | 5 | 5 | |||||||||||||||||||||||||||
West South Central | 6,354 | 7,174 | 6 | 8 | West South Central | 9,073 | 12,151 | 8 | 10 | |||||||||||||||||||||||||||
109,985 | 87,491 | 100 | % | 100 | % | 116,440 | 123,250 | 100 | % | 100 | % | |||||||||||||||||||||||||
Less: allowance for loan losses | 2,341 | 2,341 | Less: allowance for loan losses | 493 | 931 | |||||||||||||||||||||||||||||||
Total | $ | 107,644 | $ | 85,150 | Total | $ | 115,947 | $ | 122,319 |
Loans | Percentage | Loans | Percentage | |||||||||||||||||||||||||||||||||
December 31, | December 31, | December 31, | ||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||
(in thousands) | (in thousands) | |||||||||||||||||||||||||||||||||||
Apartments | $ | 23,840 | $ | 16,527 | 21 | % | 19 | % | Apartments | $ | 32,457 | $ | 33,460 | 28 | % | 27 | % | |||||||||||||||||||
Industrial | 25,025 | 16,637 | 23 | 19 | Industrial | 25,738 | 25,971 | 22 | 21 | |||||||||||||||||||||||||||
Mixed use | 4,580 | 4,968 | 4 | 6 | Mixed use | 10,938 | 11,532 | 10 | 10 | |||||||||||||||||||||||||||
Office | 11,872 | 6,551 | 11 | 7 | Office | 16,470 | 14,332 | 14 | 12 | |||||||||||||||||||||||||||
Retail | 34,934 | 31,500 | 32 | 36 | Retail | 28,026 | 37,307 | 24 | 30 | |||||||||||||||||||||||||||
Hotel | 777 | 941 | 1 | 1 | Hotel | 114 | 300 | — | — | |||||||||||||||||||||||||||
Other | 8,957 | 10,367 | 8 | 12 | Other | 2,697 | 348 | 2 | — | |||||||||||||||||||||||||||
109,985 | 87,491 | 100 | % | 100 | % | 116,440 | 123,250 | 100 | % | 100 | % | |||||||||||||||||||||||||
Less: allowance for loan losses | 2,341 | 2,341 | Less: allowance for loan losses | 493 | 931 | |||||||||||||||||||||||||||||||
Total | $ | 107,644 | $ | 85,150 | Total | $ | 115,947 | $ | 122,319 |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | — | $ | — | $ | 1,149 | $ | 340 | $ | — | $ | — | $ | 1,489 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | — | — | 959 | 2,491 | 3,450 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | — | 4,202 | 4,806 | 4,777 | 4,700 | 18,485 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 3,688 | 4,606 | 7,215 | 9,109 | 11,048 | 8,000 | 43,666 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 4,432 | 2,755 | 3,320 | 7,807 | 12,429 | 8,813 | 39,556 | |||||||||||||||||||||||||||||||||||||
Total | $ | 8,120 | $ | 7,361 | $ | 15,886 | $ | 22,062 | $ | 29,213 | $ | 24,004 | $ | 106,646 |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | — | $ | — | $ | 266 | $ | — | $ | — | $ | 786 | $ | 1,052 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | 977 | 2,148 | — | 2,317 | 5,442 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | 1,935 | 2,231 | 6,309 | 3,145 | 6,543 | 20,163 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 6,970 | 14,516 | 16,643 | 17,946 | 3,338 | 10,397 | 69,810 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 3,443 | 7,109 | 12,260 | 14,796 | 5,535 | 9,870 | 53,013 | |||||||||||||||||||||||||||||||||||||
Total | $ | 10,413 | $ | 23,560 | $ | 32,377 | $ | 41,199 | $ | 12,018 | $ | 29,913 | $ | 149,480 |
December 31, 2021 | |||||||||||||||||
Reserve Balance | Average Gross Accumulation Rates (3) | Average Additional Credit Rates (4) | |||||||||||||||
(in thousands, except percentages) | |||||||||||||||||
Installment certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
Without guaranteed rates (1) | $ | 6,112 | 0.25 | % | 0.25 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 4,592 | 3.20 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 5,012,286 | 0.10 | % | 0.10 | % | ||||||||||||
Equity indexed (2) | 273,423 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 20 | 3.06 | % | — | |||||||||||||
Without guaranteed rates (1) | 3,627 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 429 | N/A | N/A | ||||||||||||||
Total | $ | 5,300,489 |
December 31, 2017 | |||||||||
Reserve Balance | Average Gross Accumulation Rates(3) | Average Additional Credit Rates(4) | |||||||
(in thousands, except percentages) | |||||||||
Installment certificates: | |||||||||
Reserves to mature: | |||||||||
Without guaranteed rates(1) | $ | 11,818 | 0.73 | % | 0.73 | % | |||
Additional credits and accrued interest: | |||||||||
Without guaranteed rates(1) | 1 | N/A | N/A | ||||||
Fully paid certificates: | |||||||||
Reserves to mature: | |||||||||
With guaranteed rates | 7,281 | 3.17 | % | 0.01 | % | ||||
Without guaranteed rates(1) | 5,874,228 | 0.87 | % | 0.87 | % | ||||
Equity indexed(2) | 498,139 | N/A | N/A | ||||||
Additional credits and accrued interest: | |||||||||
With guaranteed rates | 93 | 3.00 | % | — | |||||
Without guaranteed rates(1) | 8,499 | N/A | N/A | ||||||
Due to unlocated certificate holders | 265 | N/A | N/A | ||||||
Total | $ | 6,400,324 |
December 31, 2016 | December 31, 2020 | |||||||||||||||||||||||||
Reserve Balance | Average Gross Accumulation Rates(3) | Average Additional Credit Rates(4) | Reserve Balance | Average Gross Accumulation Rates (3) | Average Additional Credit Rates (4) | (in thousands, except percentages) | ||||||||||||||||||||
Installment certificates: | Installment certificates: | |||||||||||||||||||||||||
Reserves to mature: | Reserves to mature: | |||||||||||||||||||||||||
Without guaranteed rates(1) | $ | 13,469 | 0.51 | % | 0.51 | % | ||||||||||||||||||||
Additional credits and accrued interest: | ||||||||||||||||||||||||||
Without guaranteed rates(1) | 3 | N/A | N/A | Without guaranteed rates (1) | $ | 6,016 | 0.51 | % | 0.51 | % | ||||||||||||||||
Fully paid certificates: | Fully paid certificates: | |||||||||||||||||||||||||
Reserves to mature: | Reserves to mature: | |||||||||||||||||||||||||
With guaranteed rates | 8,651 | 3.16 | % | 0.01 | % | With guaranteed rates | 5,377 | 3.18 | % | 0.01 | % | |||||||||||||||
Without guaranteed rates(1) | 5,384,889 | 0.64 | % | 0.64 | % | Without guaranteed rates (1) | 6,367,062 | 0.26 | % | 0.26 | % | |||||||||||||||
Equity indexed(2) | 520,816 | N/A | N/A | Equity indexed (2) | 374,129 | N/A | N/A | |||||||||||||||||||
Additional credits and accrued interest: | Additional credits and accrued interest: | |||||||||||||||||||||||||
With guaranteed rates | 169 | 2.96 | % | — | With guaranteed rates | 33 | 3.00 | % | — | |||||||||||||||||
Without guaranteed rates(1) | 6,702 | N/A | N/A | Without guaranteed rates (1) | 7,414 | N/A | N/A | |||||||||||||||||||
Due to unlocated certificate holders | 352 | N/A | N/A | Due to unlocated certificate holders | 400 | N/A | N/A | |||||||||||||||||||
Total | $ | 5,935,051 | Total | $ | 6,760,431 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Reserves with terms of one year or less | $ | 5,131,740 | $ | 6,521,498 | |||||||
Other | 168,749 | 238,933 | |||||||||
Total certificate reserves | 5,300,489 | 6,760,431 | |||||||||
Unapplied certificate transactions | 467 | 2,315 | |||||||||
Certificate loans and accrued interest | (85) | (215) | |||||||||
Total | $ | 5,300,871 | $ | 6,762,531 |
December 31, | |||||||
2017 | 2016 | ||||||
(in thousands) | |||||||
Reserves with terms of one year or less | $ | 6,108,834 | $ | 5,676,950 | |||
Other | 291,490 | 258,101 | |||||
Total certificate reserves | 6,400,324 | 5,935,051 | |||||
Unapplied certificate transactions | 2,819 | 1,661 | |||||
Certificate loans and accrued interest | (442 | ) | (560 | ) | |||
Total | $ | 6,402,701 | $ | 5,936,152 |
December 31, 2021 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 672,275 | $ | — | $ | 672,275 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Residential mortgage backed securities | — | 1,693,548 | — | 1,693,548 | |||||||||||||||||||
Corporate debt securities | — | 46,046 | 6,004 | 52,050 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,165,929 | — | 1,165,929 | |||||||||||||||||||
Asset backed securities | — | 500,369 | 4,891 | 505,260 | |||||||||||||||||||
State and municipal obligations | — | 12,044 | — | 12,044 | |||||||||||||||||||
U.S. government and agency obligations | 1,299,980 | — | — | 1,299,980 | |||||||||||||||||||
Total Available-for-Sale securities | 1,299,980 | 3,417,936 | 10,895 | 4,728,811 | |||||||||||||||||||
Equity derivative contracts | — | 44,135 | — | 44,135 | |||||||||||||||||||
Total assets at fair value | $ | 1,299,980 | $ | 4,134,346 | $ | 10,895 | $ | 5,445,221 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 3,853 | $ | — | $ | 3,853 | |||||||||||||||
Equity derivative contracts | 3 | 41,467 | — | 41,470 | |||||||||||||||||||
Total liabilities at fair value | $ | 3 | $ | 45,320 | $ | — | $ | 45,323 |
December 31, 2017 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | (in thousands) | ||||||||||||||||||||||||||||||
Assets | Assets | |||||||||||||||||||||||||||||||||||||
Cash equivalents | $ | — | $ | 51,296 | $ | — | $ | 51,296 | Cash equivalents | $ | — | $ | 544,283 | $ | — | $ | 544,283 | |||||||||||||||||||||
Available-for-Sale securities: | Available-for-Sale securities: | |||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | — | 3,187,617 | 68,710 | 3,256,327 | Residential mortgage backed securities | — | 2,529,925 | — | 2,529,925 | |||||||||||||||||||||||||||||
Corporate debt securities | — | 1,112,949 | 67,341 | 1,180,290 | Corporate debt securities | — | 263,763 | 6,057 | 269,820 | |||||||||||||||||||||||||||||
Commercial mortgage backed securities | — | 795,463 | — | 795,463 | Commercial mortgage backed securities | — | 1,472,778 | — | 1,472,778 | |||||||||||||||||||||||||||||
Asset backed securities | — | 759,503 | — | 759,503 | Asset backed securities | — | 625,673 | 4,891 | 630,564 | |||||||||||||||||||||||||||||
State and municipal obligations | — | 58,057 | — | 58,057 | State and municipal obligations | — | 17,166 | — | 17,166 | |||||||||||||||||||||||||||||
U.S. government and agency obligations | 497,121 | — | — | 497,121 | U.S. government and agency obligations | 1,455,007 | — | — | 1,455,007 | |||||||||||||||||||||||||||||
Common stocks | 545 | 427 | 28 | 1,000 | ||||||||||||||||||||||||||||||||||
Total Available-for-Sale securities | 497,666 | 5,914,016 | 136,079 | 6,547,761 | Total Available-for-Sale securities | 1,455,007 | 4,909,305 | 10,948 | 6,375,260 | |||||||||||||||||||||||||||||
Equity securities | Equity securities | — | 56 | — | 56 | |||||||||||||||||||||||||||||||||
Equity derivative contracts | — | 54,346 | — | 54,346 | Equity derivative contracts | 19 | 66,644 | — | 66,663 | |||||||||||||||||||||||||||||
Total assets at fair value | $ | 497,666 | $ | 6,019,658 | $ | 136,079 | $ | 6,653,403 | Total assets at fair value | $ | 1,455,026 | $ | 5,520,288 | $ | 10,948 | $ | 6,986,262 | |||||||||||||||||||||
Liabilities | Liabilities | |||||||||||||||||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 9,734 | $ | — | $ | 9,734 | Stock market certificate embedded derivatives | $ | — | $ | 8,282 | $ | — | $ | 8,282 | |||||||||||||||||||||
Equity derivative contracts | 3 | 46,753 | — | 46,756 | Equity derivative contracts | — | 59,924 | — | 59,924 | |||||||||||||||||||||||||||||
Total liabilities at fair value | $ | 3 | $ | 56,487 | $ | — | $ | 56,490 | Total liabilities at fair value | $ | — | $ | 68,206 | $ | — | $ | 68,206 |
December 31, 2016 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(in thousands) | |||||||||||||||
Assets | |||||||||||||||
Cash equivalents | $ | — | $ | 111,385 | $ | — | $ | 111,385 | |||||||
Available-for-Sale securities: | |||||||||||||||
Residential mortgage backed securities | — | 3,030,216 | 153,183 | 3,183,399 | |||||||||||
Corporate debt securities | — | 1,440,921 | 154,156 | 1,595,077 | |||||||||||
Commercial mortgage backed securities | — | 499,872 | — | 499,872 | |||||||||||
Asset backed securities | — | 595,635 | 30,788 | 626,423 | |||||||||||
State and municipal obligations | — | 48,510 | — | 48,510 | |||||||||||
U.S. government and agency obligations | 420 | — | — | 420 | |||||||||||
Common stocks | 2,416 | 3,476 | 717 | 6,609 | |||||||||||
Total Available-for-Sale securities | 2,836 | 5,618,630 | 338,844 | 5,960,310 | |||||||||||
Equity derivative contracts | — | 45,098 | — | 45,098 | |||||||||||
Total assets at fair value | $ | 2,836 | $ | 5,775,113 | $ | 338,844 | $ | 6,116,793 | |||||||
Liabilities | |||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 8,183 | $ | — | $ | 8,183 | |||||||
Equity derivative contracts | 6 | 38,313 | — | 38,319 | |||||||||||
Total liabilities at fair value | $ | 6 | $ | 46,496 | $ | — | $ | 46,502 |
Available-for-Sale Securities | ||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Balance, January 1, 2021 | $ | 6,057 | $ | 4,891 | $ | 10,948 | ||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||
Net income | — | 15 | 15 | (1) | ||||||||||||||||||||||
Other comprehensive income (loss) | (53) | (15) | (68) | |||||||||||||||||||||||
Transfers into Level 3 | 3 | — | 3 | |||||||||||||||||||||||
Transfers out of Level 3 | (3) | — | (3) | |||||||||||||||||||||||
Balance, December 31, 2021 | $ | 6,004 | $ | 4,891 | $ | 10,895 | ||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2021 | $ | — | $ | 15 | $ | 15 | (1) | |||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2021 | $ | (53) | $ | (15) | $ | (68) |
Available-for-Sale Securities | Equity Securities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities | Total | Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Backed Securities | Corporate Debt Securities | Commercial Mortgage Backed Securities | Asset Backed Securities | Common Stocks | (in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2017 | $ | 153,183 | $ | 154,156 | $ | — | $ | 30,788 | $ | 717 | $ | 338,844 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2020 | Balance, January 1, 2020 | $ | 14,270 | $ | 4,834 | $ | 19,104 | $ | 72 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total gains (losses) included in: | Total gains (losses) included in: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | 100 | (451 | ) | — | 6 | 123 | (222 | ) | (1) | Net income | (29) | 26 | (3) | (1) | — | |||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 168 | (545 | ) | — | 61 | 188 | (128 | ) | Other comprehensive income (loss) | 116 | 31 | 147 | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Purchases | 65,138 | 13,481 | 30,000 | 374 | — | 108,993 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sales | — | — | — | — | (249 | ) | (249 | ) | Sales | — | — | — | (113) | |||||||||||||||||||||||||||||||||||||||||||||||||
Settlements | (36,642 | ) | (99,300 | ) | — | (13,625 | ) | — | (149,567 | ) | Settlements | (8,300) | — | (8,300) | — | |||||||||||||||||||||||||||||||||||||||||||||||
Transfers into Level 3 | 20,182 | — | — | 16,232 | 3,568 | 39,982 | Transfers into Level 3 | — | — | — | 113 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Transfers out of Level 3 | (133,419 | ) | — | (30,000 | ) | (33,836 | ) | (4,319 | ) | (201,574 | ) | Transfers out of Level 3 | — | — | — | (72) | ||||||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2017 | $ | 68,710 | $ | 67,341 | $ | — | $ | — | $ | 28 | $ | 136,079 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in unrealized gains (losses) relating to assets held at December 31, 2017 | $ | — | $ | (383 | ) | $ | — | $ | — | $ | — | (383 | ) | (2) | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2020 | Balance, December 31, 2020 | $ | 6,057 | $ | 4,891 | $ | 10,948 | $ | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2020 | Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2020 | $ | — | $ | 26 | $ | 26 | (1) | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2020 | Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2020 | $ | 116 | $ | 31 | $ | 147 | $ | — |
Available-for-Sale Securities | Equity Securities | |||||||||||||||||||||||||||||||||||||
Residential Mortgage Backed Securities | Corporate Debt Securities | Commercial Mortgage Backed Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2019 | $ | 62,588 | $ | 41,842 | $ | 19,787 | $ | — | $ | 124,217 | $ | — | ||||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||||||||
Net income | 21 | (56) | — | 17 | (18) | (1) | (273) | (2) | ||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 116 | 484 | — | (11) | 589 | — | ||||||||||||||||||||||||||||||||
Purchases | 72,883 | — | — | — | 72,883 | — | ||||||||||||||||||||||||||||||||
Settlements | (6,881) | (28,000) | — | — | (34,881) | — | ||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | — | — | 4,828 | 4,828 | 465 | ||||||||||||||||||||||||||||||||
Transfers out of Level 3 | (128,727) | — | (19,787) | — | (148,514) | (120) | ||||||||||||||||||||||||||||||||
Balance, December 31, 2019 | $ | — | $ | 14,270 | $ | — | $ | 4,834 | $ | 19,104 | $ | 72 | ||||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2019 | $ | — | $ | (46) | $ | — | $ | 17 | $ | (29) | (1) | $ | (276) | (2) |
Available-for-Sale Securities | Total | |||||||||||||||||||
Residential Mortgage Backed Securities | Corporate Debt Securities | Asset Backed Securities | Common Stocks | |||||||||||||||||
(in thousands) | ||||||||||||||||||||
Balance, January 1, 2016 | $ | 196,334 | $ | 190,304 | $ | 29,515 | $ | 229 | $ | 416,382 | ||||||||||
Total gains (losses) included in: | ||||||||||||||||||||
Net income | 559 | (1,723 | ) | 101 | — | (1,063 | ) | (3) | ||||||||||||
Other comprehensive income (loss) | 916 | 1,575 | (239 | ) | 65 | 2,317 | ||||||||||||||
Purchases | 74,845 | 6,000 | 48,372 | — | 129,217 | |||||||||||||||
Settlements | (57,486 | ) | (42,000 | ) | — | — | (99,486 | ) | ||||||||||||
Transfers into Level 3 | — | — | — | 668 | 668 | |||||||||||||||
Transfers out of Level 3 | (61,985 | ) | — | (46,961 | ) | (245 | ) | (109,191 | ) | |||||||||||
Balance, December 31, 2016 | $ | 153,183 | $ | 154,156 | $ | 30,788 | $ | 717 | $ | 338,844 | ||||||||||
Changes in unrealized gains (losses) relating to assets held at December 31, 2016 | $ | 560 | $ | (395 | ) | $ | — | $ | — | $ | 165 | (2) |
Available-for-Sale Securities | Total | |||||||||||||||||||||||
Residential Mortgage Backed Securities | Corporate Debt Securities | Commercial Mortgage Backed Securities | Asset Backed Securities | Common Stocks | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Balance, January 1, 2015 | $ | 196,558 | $ | 165,501 | $ | — | $ | 18,188 | $ | 908 | $ | 381,155 | ||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||
Net income | (82 | ) | (1,087 | ) | — | 132 | — | (1,037 | ) | (2) | ||||||||||||||
Other comprehensive income (loss) | (1,302 | ) | (795 | ) | — | 198 | (73 | ) | (1,972 | ) | ||||||||||||||
Purchases | 263,089 | 36,685 | 9,992 | 31,973 | — | 341,739 | ||||||||||||||||||
Settlements | (51,008 | ) | (10,000 | ) | — | (16,502 | ) | — | (77,510 | ) | ||||||||||||||
Transfers into Level 3 | — | — | — | — | 171 | 171 | ||||||||||||||||||
Transfers out of Level 3 | (210,921 | ) | — | (9,992 | ) | (4,474 | ) | (777 | ) | (226,164 | ) | |||||||||||||
Balance, December 31, 2015 | $ | 196,334 | $ | 190,304 | $ | — | $ | 29,515 | $ | 229 | $ | 416,382 | ||||||||||||
Changes in unrealized gains (losses) relating to assets held at December 31, 2015 | $ | 176 | $ | (1,036 | ) | $ | — | $ | 132 | $ | — | $ | (728 | ) | (2) | |||||||||
(1) Represents a $0.1 million gain included in net realized gain (loss) on investments and a $0.3 million loss included in investment income in the Consolidated Statements of Operations. (2) Included in investment income in the Consolidated Statements of Operations. (3) Represents a $1.1 million loss included in net realized gain (loss) on investments and a $73 thousand gain included in investment income in the Consolidated Statements of Operations. |
December 31, 2021 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 6,001 | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.9% | 0.9% |
December 31, 2017 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||||||||
(in thousands) | (in thousands) | |||||||||||||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 67,338 | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.8% - 1.1% | 0.9% | Corporate debt securities (private placements) | $ | 6,054 | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.1% | 1.1% |
December 31, 2016 | |||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||
(in thousands) | |||||||||||
Corporate debt securities (private placements) | $ | 154,153 | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.9% - 1.7% | 1.1% |
December 31, 2021 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 250 | $ | 130 | $ | 120 | |||||||||||
Texas and Illinois (at par value) | 156 | 150 | 6 | ||||||||||||||
Custodian | 5,603,782 | 5,301,158 | 302,624 | ||||||||||||||
Total | $ | 5,604,188 | $ | 5,301,438 | $ | 302,750 |
December 31, 2020 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 269 | $ | 130 | $ | 139 | |||||||||||
Texas and Illinois (at par value) | 213 | 150 | 63 | ||||||||||||||
Custodian | 7,147,906 | 6,763,328 | 384,578 | ||||||||||||||
Total | $ | 7,148,388 | $ | 6,763,608 | $ | 384,780 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Available-for-Sale securities: Fixed maturities, at fair value (allowance for credit losses: 2021 and 2020, nil; amortized cost: 2021, $4,710,303; 2020, $6,334,451) | $ | 4,728,811 | $ | 6,375,260 | |||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2021, $1,518; 2020, $3,190; fair value: 2021, $223,495; 2020, $274,739) | 221,569 | 269,540 | |||||||||
Equity securities, at fair value (cost: 2021, nil; 2020, $115) | — | 56 | |||||||||
Certificate loans — secured by certificate reserves, at cost, which approximates fair value | 83 | 212 | |||||||||
Total | $ | 4,950,463 | $ | 6,645,068 |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Residential mortgage backed securities | $ | 1,680,371 | $ | 15,708 | $ | (2,531) | $ | 1,693,548 | ||||||||||||||||||||||||
Corporate debt securities | 51,201 | 849 | — | 52,050 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,164,516 | 2,449 | (1,036) | 1,165,929 | ||||||||||||||||||||||||||||
Asset backed securities | 502,328 | 3,265 | (333) | 505,260 | ||||||||||||||||||||||||||||
State and municipal obligations | 11,954 | 94 | (4) | 12,044 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 1,299,933 | 64 | (17) | 1,299,980 | ||||||||||||||||||||||||||||
Total | $ | 4,710,303 | $ | 22,429 | $ | (3,921) | $ | 4,728,811 |
Description of Securities | December 31, 2020 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Residential mortgage backed securities | $ | 2,496,350 | $ | 35,943 | $ | (2,368) | $ | 2,529,925 | ||||||||||||||||||||||||
Corporate debt securities | 264,199 | 5,621 | — | 269,820 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,475,446 | 7,150 | (9,818) | 1,472,778 | ||||||||||||||||||||||||||||
Asset backed securities | 626,777 | 4,778 | (991) | 630,564 | ||||||||||||||||||||||||||||
State and municipal obligations | 16,839 | 327 | — | 17,166 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 1,454,840 | 167 | — | 1,455,007 | ||||||||||||||||||||||||||||
Total | $ | 6,334,451 | $ | 53,986 | $ | (13,177) | $ | 6,375,260 |
Ratings | December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||
Amortized Cost | Fair Value | Percent of Total Fair Value | Amortized Cost | Fair Value | Percent of Total Fair Value | |||||||||||||||||||||||||||||||||
(in thousands, except percentages) | ||||||||||||||||||||||||||||||||||||||
AAA | $ | 4,556,729 | $ | 4,570,394 | 97 | % | $ | 5,774,067 | $ | 5,803,399 | 91 | % | ||||||||||||||||||||||||||
AA | 54,137 | 55,093 | 1 | 219,978 | 223,221 | 3 | ||||||||||||||||||||||||||||||||
A | 72,913 | 75,140 | 2 | 165,442 | 169,520 | 3 | ||||||||||||||||||||||||||||||||
BBB | 20,442 | 22,061 | — | 166,734 | 170,885 | 3 | ||||||||||||||||||||||||||||||||
Below investment grade | 6,082 | 6,123 | — | 8,230 | 8,235 | — | ||||||||||||||||||||||||||||||||
Total fixed maturities | $ | 4,710,303 | $ | 4,728,811 | 100 | % | $ | 6,334,451 | $ | 6,375,260 | 100 | % |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except number of securities) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 43 | $ | 295,433 | $ | (1,733) | 48 | $ | 114,067 | $ | (798) | 91 | $ | 409,500 | $ | (2,531) | |||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 25 | 538,380 | (842) | 3 | 55,352 | (194) | 28 | 593,732 | (1,036) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 5 | 117,631 | (119) | 5 | 92,986 | (214) | 10 | 210,617 | (333) | |||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | 1 | 996 | (4) | — | — | — | 1 | 996 | (4) | |||||||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | 9 | 469,836 | (17) | — | — | — | 9 | 469,836 | (17) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 83 | $ | 1,422,276 | $ | (2,715) | 56 | $ | 262,405 | $ | (1,206) | 139 | $ | 1,684,681 | $ | (3,921) |
Description of Securities | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except number of securities) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 49 | $ | 144,057 | $ | (751) | 56 | $ | 317,650 | $ | (1,617) | 105 | $ | 461,707 | $ | (2,368) | |||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 20 | 406,473 | (4,810) | 11 | 177,503 | (5,008) | 31 | 583,976 | (9,818) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 5 | 49,916 | (214) | 10 | 151,440 | (777) | 15 | 201,356 | (991) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 74 | $ | 600,446 | $ | (5,775) | 77 | $ | 646,593 | $ | (7,402) | 151 | $ | 1,247,039 | $ | (13,177) |
Net Unrealized Gains (Losses) on Securities | Deferred Income Tax | Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Gains (Losses) on Securities | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Balance at January 1, 2019 | $ | (46,958) | $ | 13,127 | $ | (33,833) | ||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | 61,110 | (14,863) | 46,247 | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (194) | 41 | (153) | |||||||||||||||||
Balance at December 31, 2019 | 13,958 | (1,695) | 12,263 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | 29,802 | (7,039) | 22,763 | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (2,950) | 620 | (2,330) | |||||||||||||||||
Balance at December 31, 2020 | 40,810 | (8,114) | 32,696 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | (21,208) | 5,111 | (16,097) | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (1,093) | 230 | (863) | |||||||||||||||||
Balance at December 31, 2021 | $ | 18,509 | $ | (2,773) | $ | 15,736 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Gross realized gains | $ | 1,132 | $ | 2,950 | $ | 265 | |||||||||||
Gross realized losses | (39) | — | (71) | ||||||||||||||
Total | $ | 1,093 | $ | 2,950 | $ | 194 |
Amortized Cost | Fair Value | ||||||||||
(in thousands) | |||||||||||
Due within one year | $ | 1,328,615 | $ | 1,328,968 | |||||||
Due after one year through five years | 34,266 | 34,856 | |||||||||
Due after five years through 10 years | 207 | 250 | |||||||||
1,363,088 | 1,364,074 | ||||||||||
Residential mortgage backed securities | 1,680,371 | 1,693,548 | |||||||||
Commercial mortgage backed securities | 1,164,516 | 1,165,929 | |||||||||
Asset backed securities | 502,328 | 505,260 | |||||||||
Total | $ | 4,710,303 | $ | 4,728,811 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, January 1, 2021 | $ | 3,190 | |||
Provisions | (1,672) | ||||
Balance, December 31, 2021 | $ | 1,518 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, December 31, 2019 (1) | $ | 3,022 | |||
Cumulative effect of adoption of current expected credit losses guidance | (771) | ||||
Balance, January 1, 2020 | 2,251 | ||||
Provisions | 939 | ||||
Balance, December 31, 2020 | $ | 3,190 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, January 1, 2019 | $ | 3,120 | |||
Charge-offs | (98) | ||||
Balance, December 31, 2019 | $ | 3,022 |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
80% - 100% | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
60% - 80% | 1,779 | 4,151 | 1,436 | 7,581 | 2,960 | 4,962 | 22,869 | |||||||||||||||||||||||||||||||||||||
40% - 60% | 5,429 | 3,000 | 10,788 | — | 7,614 | 7,833 | 34,664 | |||||||||||||||||||||||||||||||||||||
< 40% | 4,996 | — | 2,345 | 5,798 | 10,532 | 35,236 | 58,907 | |||||||||||||||||||||||||||||||||||||
Total | $ | 12,204 | $ | 7,151 | $ | 14,569 | $ | 13,379 | $ | 21,106 | $ | 48,031 | $ | 116,440 |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
80% - 100% | — | — | 3,344 | — | — | — | 3,344 | |||||||||||||||||||||||||||||||||||||
60% - 80% | 4,237 | 13,002 | — | 3,050 | — | 3,657 | 23,946 | |||||||||||||||||||||||||||||||||||||
40% - 60% | 3,000 | 7,331 | — | 7,788 | 1,379 | 8,076 | 27,574 | |||||||||||||||||||||||||||||||||||||
< 40% | — | 1,531 | 11,004 | 11,430 | 5,564 | 38,857 | 68,386 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,237 | $ | 21,864 | $ | 14,348 | $ | 22,268 | $ | 6,943 | $ | 50,590 | $ | 123,250 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
East North Central | $ | 11,166 | $ | 8,926 | 10 | % | 7 | % | |||||||||||||||
East South Central | 2,939 | 3,614 | 3 | 3 | |||||||||||||||||||
Middle Atlantic | 15,581 | 13,211 | 13 | 11 | |||||||||||||||||||
Mountain | 7,567 | 12,863 | 6 | 10 | |||||||||||||||||||
New England | 6,766 | 6,983 | 6 | 6 | |||||||||||||||||||
Pacific | 37,881 | 41,284 | 32 | 34 | |||||||||||||||||||
South Atlantic | 19,574 | 17,550 | 17 | 14 | |||||||||||||||||||
West North Central | 5,893 | 6,668 | 5 | 5 | |||||||||||||||||||
West South Central | 9,073 | 12,151 | 8 | 10 | |||||||||||||||||||
116,440 | 123,250 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 493 | 931 | |||||||||||||||||||||
Total | $ | 115,947 | $ | 122,319 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Apartments | $ | 32,457 | $ | 33,460 | 28 | % | 27 | % | |||||||||||||||
Industrial | 25,738 | 25,971 | 22 | 21 | |||||||||||||||||||
Mixed use | 10,938 | 11,532 | 10 | 10 | |||||||||||||||||||
Office | 16,470 | 14,332 | 14 | 12 | |||||||||||||||||||
Retail | 28,026 | 37,307 | 24 | 30 | |||||||||||||||||||
Hotel | 114 | 300 | — | — | |||||||||||||||||||
Other | 2,697 | 348 | 2 | — | |||||||||||||||||||
116,440 | 123,250 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 493 | 931 | |||||||||||||||||||||
Total | $ | 115,947 | $ | 122,319 |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | — | $ | — | $ | 1,149 | $ | 340 | $ | — | $ | — | $ | 1,489 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | — | — | 959 | 2,491 | 3,450 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | — | 4,202 | 4,806 | 4,777 | 4,700 | 18,485 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 3,688 | 4,606 | 7,215 | 9,109 | 11,048 | 8,000 | 43,666 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 4,432 | 2,755 | 3,320 | 7,807 | 12,429 | 8,813 | 39,556 | |||||||||||||||||||||||||||||||||||||
Total | $ | 8,120 | $ | 7,361 | $ | 15,886 | $ | 22,062 | $ | 29,213 | $ | 24,004 | $ | 106,646 |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | — | $ | — | $ | 266 | $ | — | $ | — | $ | 786 | $ | 1,052 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | 977 | 2,148 | — | 2,317 | 5,442 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | 1,935 | 2,231 | 6,309 | 3,145 | 6,543 | 20,163 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 6,970 | 14,516 | 16,643 | 17,946 | 3,338 | 10,397 | 69,810 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 3,443 | 7,109 | 12,260 | 14,796 | 5,535 | 9,870 | 53,013 | |||||||||||||||||||||||||||||||||||||
Total | $ | 10,413 | $ | 23,560 | $ | 32,377 | $ | 41,199 | $ | 12,018 | $ | 29,913 | $ | 149,480 |
December 31, 2021 | |||||||||||||||||
Reserve Balance | Average Gross Accumulation Rates (3) | Average Additional Credit Rates (4) | |||||||||||||||
(in thousands, except percentages) | |||||||||||||||||
Installment certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
Without guaranteed rates (1) | $ | 6,112 | 0.25 | % | 0.25 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 4,592 | 3.20 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 5,012,286 | 0.10 | % | 0.10 | % | ||||||||||||
Equity indexed (2) | 273,423 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 20 | 3.06 | % | — | |||||||||||||
Without guaranteed rates (1) | 3,627 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 429 | N/A | N/A | ||||||||||||||
Total | $ | 5,300,489 |
December 31, 2020 | |||||||||||||||||
Reserve Balance | Average Gross Accumulation Rates (3) | Average Additional Credit Rates (4) | |||||||||||||||
(in thousands, except percentages) | |||||||||||||||||
Installment certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
Without guaranteed rates (1) | $ | 6,016 | 0.51 | % | 0.51 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 5,377 | 3.18 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 6,367,062 | 0.26 | % | 0.26 | % | ||||||||||||
Equity indexed (2) | 374,129 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 33 | 3.00 | % | — | |||||||||||||
Without guaranteed rates (1) | 7,414 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 400 | N/A | N/A | ||||||||||||||
Total | $ | 6,760,431 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Reserves with terms of one year or less | $ | 5,131,740 | $ | 6,521,498 | |||||||
Other | 168,749 | 238,933 | |||||||||
Total certificate reserves | 5,300,489 | 6,760,431 | |||||||||
Unapplied certificate transactions | 467 | 2,315 | |||||||||
Certificate loans and accrued interest | (85) | (215) | |||||||||
Total | $ | 5,300,871 | $ | 6,762,531 |
December 31, 2021 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 672,275 | $ | — | $ | 672,275 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Residential mortgage backed securities | — | 1,693,548 | — | 1,693,548 | |||||||||||||||||||
Corporate debt securities | — | 46,046 | 6,004 | 52,050 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,165,929 | — | 1,165,929 | |||||||||||||||||||
Asset backed securities | — | 500,369 | 4,891 | 505,260 | |||||||||||||||||||
State and municipal obligations | — | 12,044 | — | 12,044 | |||||||||||||||||||
U.S. government and agency obligations | 1,299,980 | — | — | 1,299,980 | |||||||||||||||||||
Total Available-for-Sale securities | 1,299,980 | 3,417,936 | 10,895 | 4,728,811 | |||||||||||||||||||
Equity derivative contracts | — | 44,135 | — | 44,135 | |||||||||||||||||||
Total assets at fair value | $ | 1,299,980 | $ | 4,134,346 | $ | 10,895 | $ | 5,445,221 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 3,853 | $ | — | $ | 3,853 | |||||||||||||||
Equity derivative contracts | 3 | 41,467 | — | 41,470 | |||||||||||||||||||
Total liabilities at fair value | $ | 3 | $ | 45,320 | $ | — | $ | 45,323 |
December 31, 2020 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 544,283 | $ | — | $ | 544,283 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Residential mortgage backed securities | — | 2,529,925 | — | 2,529,925 | |||||||||||||||||||
Corporate debt securities | — | 263,763 | 6,057 | 269,820 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,472,778 | — | 1,472,778 | |||||||||||||||||||
Asset backed securities | — | 625,673 | 4,891 | 630,564 | |||||||||||||||||||
State and municipal obligations | — | 17,166 | — | 17,166 | |||||||||||||||||||
U.S. government and agency obligations | 1,455,007 | — | — | 1,455,007 | |||||||||||||||||||
Total Available-for-Sale securities | 1,455,007 | 4,909,305 | 10,948 | 6,375,260 | |||||||||||||||||||
Equity securities | — | 56 | — | 56 | |||||||||||||||||||
Equity derivative contracts | 19 | 66,644 | — | 66,663 | |||||||||||||||||||
Total assets at fair value | $ | 1,455,026 | $ | 5,520,288 | $ | 10,948 | $ | 6,986,262 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 8,282 | $ | — | $ | 8,282 | |||||||||||||||
Equity derivative contracts | — | 59,924 | — | 59,924 | |||||||||||||||||||
Total liabilities at fair value | $ | — | $ | 68,206 | $ | — | $ | 68,206 |
December 31, 2017 | |||||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
(in thousands) | |||||||||||||||||||
Financial Assets | |||||||||||||||||||
Syndicated loans | $ | 99,543 | $ | — | $ | 95,769 | $ | 4,242 | $ | 100,011 | |||||||||
Commercial mortgage loans | 107,644 | — | — | 107,670 | 107,670 | ||||||||||||||
Certificate loans | 433 | — | 433 | — | 433 | ||||||||||||||
Financial Liabilities | |||||||||||||||||||
Certificate reserves | $ | 6,390,590 | $ | — | $ | — | $ | 6,374,247 | $ | 6,374,247 |
December 31, 2016 | |||||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
(in thousands) | |||||||||||||||||||
Financial Assets | |||||||||||||||||||
Syndicated loans | $ | 88,665 | $ | — | $ | 85,368 | $ | 4,516 | $ | 89,884 | |||||||||
Commercial mortgage loans | 85,150 | — | — | 86,327 | 86,327 | ||||||||||||||
Certificate loans | 549 | — | 549 | — | 549 | ||||||||||||||
Financial Liabilities | |||||||||||||||||||
Certificate reserves | $ | 5,926,868 | $ | — | $ | — | $ | 5,913,672 | $ | 5,913,672 |
Available-for-Sale Securities | ||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Balance, January 1, 2021 | $ | 6,057 | $ | 4,891 | $ | 10,948 | ||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||
Net income | — | 15 | 15 | (1) | ||||||||||||||||||||||
Other comprehensive income (loss) | (53) | (15) | (68) | |||||||||||||||||||||||
Transfers into Level 3 | 3 | — | 3 | |||||||||||||||||||||||
Transfers out of Level 3 | (3) | — | (3) | |||||||||||||||||||||||
Balance, December 31, 2021 | $ | 6,004 | $ | 4,891 | $ | 10,895 | ||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2021 | $ | — | $ | 15 | $ | 15 | (1) | |||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2021 | $ | (53) | $ | (15) | $ | (68) |
Available-for-Sale Securities | Equity Securities | |||||||||||||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2020 | $ | 14,270 | $ | 4,834 | $ | 19,104 | $ | 72 | ||||||||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||||||||
Net income | (29) | 26 | (3) | (1) | — | |||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 116 | 31 | 147 | — | ||||||||||||||||||||||||||||||||||
Sales | — | — | — | (113) | ||||||||||||||||||||||||||||||||||
Settlements | (8,300) | — | (8,300) | — | ||||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | — | — | 113 | ||||||||||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | (72) | ||||||||||||||||||||||||||||||||||
Balance, December 31, 2020 | $ | 6,057 | $ | 4,891 | $ | 10,948 | $ | — | ||||||||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2020 | $ | — | $ | 26 | $ | 26 | (1) | $ | — | |||||||||||||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2020 | $ | 116 | $ | 31 | $ | 147 | $ | — |
Available-for-Sale Securities | Equity Securities | |||||||||||||||||||||||||||||||||||||
Residential Mortgage Backed Securities | Corporate Debt Securities | Commercial Mortgage Backed Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2019 | $ | 62,588 | $ | 41,842 | $ | 19,787 | $ | — | $ | 124,217 | $ | — | ||||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||||||||
Net income | 21 | (56) | — | 17 | (18) | (1) | (273) | (2) | ||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 116 | 484 | — | (11) | 589 | — | ||||||||||||||||||||||||||||||||
Purchases | 72,883 | — | — | — | 72,883 | — | ||||||||||||||||||||||||||||||||
Settlements | (6,881) | (28,000) | — | — | (34,881) | — | ||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | — | — | 4,828 | 4,828 | 465 | ||||||||||||||||||||||||||||||||
Transfers out of Level 3 | (128,727) | — | (19,787) | — | (148,514) | (120) | ||||||||||||||||||||||||||||||||
Balance, December 31, 2019 | $ | — | $ | 14,270 | $ | — | $ | 4,834 | $ | 19,104 | $ | 72 | ||||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2019 | $ | — | $ | (46) | $ | — | $ | 17 | $ | (29) | (1) | $ | (276) | (2) |
December 31, 2021 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 6,001 | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.9% | 0.9% |
December 31, 2020 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 6,054 | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.1% | 1.1% |
(a) 1. | Financial Statements: See Index to Consolidated Financial Statements and Schedules on page F-1 hereof. | |||||||
2. | Consolidated Financial Statement Schedules: See Index to Consolidated Financial Statements and Schedules on page F-1 hereof. | |||||||
3. | Exhibits: The following exhibits are filed as part of this Annual Report or, where indicated, were already filed and are hereby incorporated by reference: |
Exhibit | Description | |||||||
Amended and Restated Certificate of Incorporation of American Express Certificate Company, dated August 1, 2005, filed electronically on or about March 10, 2006 as Exhibit 3(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
By-Laws of Ameriprise Certificate Company, filed electronically on or about November 5, 2010 as Exhibit 3(b) to Registrant’s Form 10-Q, are incorporated herein by reference. | ||||||||
Amended and Restated Investment Advisory and Services Agreement, dated December 1, 2018, between Registrant and Columbia Management Investment Advisers, LLC filed electronically on or about February 27, 2019 as Exhibit 10(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Distribution Agreement, dated December 31, 2006, between Registrant and Ameriprise Financial Services, LLC (formerly Ameriprise Financial Services, Inc.) filed electronically on or about February 26, 2007 as Exhibit 1 to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
Amendment to the Distribution Agreement, dated January 21, 2021, between Registrant and Ameriprise Financial Services, LLC, effective February 1, 2021, filed electronically on or about February 24, 2021 as Exhibit 10(c) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Depository and Custodial Agreement, dated December 31, 2006, between Registrant and Ameriprise Trust Company, filed electronically on or about February 26, 2007 as Exhibit 10(c) to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
Amendment to the Depositary and Custodial Agreement, dated December 15, 2008, between Registrant and Ameriprise Trust Company, filed on or about May 5, 2014 as Exhibit 10(c)i to Registrant’s Form 10-Q, is incorporated herein by reference. | ||||||||
Transfer Agent Agreement, dated December 31, 2006 between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 26, 2007 as Exhibit 10(e) to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
First Amendment to Transfer Agent Agreement, dated January 1, 2013 between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 27, 2013 as Exhibit 10(d) to Registrant’s Form 10-K is incorporated herein by reference. | ||||||||
Second Amendment to Transfer Agent Agreement, dated January 1, 2017, between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 23, 2017 as Exhibit 10(d) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Administration and Services Agreement, dated October 1, 2005, between Columbia Management Investment Advisers, LLC (formerly RiverSource Investments, LLC) and Ameriprise Financial, Inc. filed electronically on or about March 10, 2006 as Exhibit 10(s) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Capital Support Agreement by and between Ameriprise Financial, Inc. and Ameriprise Certificate Company, dated as of March 2, 2009, filed electronically on or about March 3, 2009 as Exhibit 10(f) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
First Amendment to Capital Support Agreement by and between Ameriprise Financial, Inc. and Ameriprise Certificate Company, effective April 30, 2014, filed electronically on or about May 5, 2014 as Exhibit 10(f)i to Registrant’s Form 10-Q, is incorporated herein by reference. | ||||||||
Federal Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective December 10, 2013 filed electronically on or about February 23, 2018 as Exhibit 10(l) to Registrant’s Form 10-K is incorporated by reference. |
Exhibit | Description | |||||||
State Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective December 10, 2013 filed electronically on or about February 23, 2018 as Exhibit 10(m) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Agreement between Ameriprise Bank, FSB and Ameriprise Certificate Company (certain Ameriprise Rewards Fulfillment Services), dated December 1, 2019 filed electronically on or about February 26, 2020 as Exhibit 10(n) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Agreement between Ameriprise Financial, Inc. and Ameriprise Certificate Company (certain legacy Ameriprise Rewards Fulfillment Services), dated December 1, 2019 filed electronically on or about February 26, 2020 as Exhibit 10(o) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Amendment to the Federal Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective October 9, 2020, filed electronically on or about February 24, 2021 as Exhibit 10(p) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Code of Ethics under Rule 17j-1 for Ameriprise Certificate Company effective May 21, 2014, filed electronically on or about February 27, 2019 as Exhibit 14(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Code of Ethics adopted under Rule 17j-1 for Registrant’s investment adviser, dated December 2021. | ||||||||
Code of Ethics under Rule 17j-1 for Registrant’s underwriter, as revised November 1, 2021. | ||||||||
24* | Directors’ Power of Attorney, dated September 1, 2021. | |||||||
31.1* | Certification of Abu M. Arif pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
31.2* | Certification of James R. Hill pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
32* | Certification of Abu M. Arif and James R. Hill pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |||||||
* Filed electronically herewith. |
Date: | February 25, 2022 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 25, 2022 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 25, 2022 | By | /s/ James R. Hill | ||||||||
James R. Hill Vice President and Chief Financial Officer (Principal Financial Officer) |
Date: | February 25, 2022 | By | /s/ Brian Granger | ||||||||
Brian Granger Vice President, Controller and Chief Accounting Officer |
Date: | February 25, 2022 | By | /s/ Ronald L. Guzior* | ||||||||
Ronald L. Guzior Director |
Date: | February 25, 2022 | By | /s/ Karen M. Bohn* | ||||||||
Karen M. Bohn Director |
Date: | February 25, 2022 | By | /s/ Lorna P. Gleason* | ||||||||
Lorna P. Gleason Director |
Date: | February 25, 2022 | By | /s/ Robert McReavy* | ||||||||
Robert McReavy Director |
*By | /s/ Abu M. Arif | ||||||||||
Abu M. Arif |
Page | |||||||||||
Part I. Financial Information | |||||||||||
Report of Independent Registered Public Accounting Firm (PCAOB Firm ID 238) | F-2 | ||||||||||
F-3 | |||||||||||
F-4 | |||||||||||
F-5 | |||||||||||
F-7 | |||||||||||
F-8 | |||||||||||
F-9 | |||||||||||
F-9 | |||||||||||
F-13 | |||||||||||
F-14 | |||||||||||
F-16 | |||||||||||
F-20 | |||||||||||
F-21 | |||||||||||
F-21 | |||||||||||
F-22 | |||||||||||
F-27 | |||||||||||
F-28 | |||||||||||
F-29 | |||||||||||
F-29 | |||||||||||
F-30 | |||||||||||
Part II. Consolidated Financial Schedules | |||||||||||
I. Investments in Securities of Unaffiliated Issuers — December 31, 2021 and 2020 | F-32 | ||||||||||
III. Mortgage Loans on Real Estate and Interest Earned on Mortgages — Years Ended December 31, 2021, 2020 and 2019 | F-90 | ||||||||||
V. Qualified Assets on Deposit — December 31, 2021 and 2020 | F-95 | ||||||||||
VI. Certificate Reserves — Years Ended December 31, 2021, 2020 and 2019 | F-96 | ||||||||||
VII. Valuation and Qualifying Accounts — Years Ended December 31, 2021, 2020 and 2019 | F-113 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Investment Income: | |||||||||||||||||
Interest income: | |||||||||||||||||
Available-for-Sale securities | $ | 59,409 | $ | 123,900 | $ | 212,395 | |||||||||||
Commercial mortgage loans and syndicated loans | 8,116 | 9,780 | 11,804 | ||||||||||||||
Cash and cash equivalents | 612 | 2,289 | 10,593 | ||||||||||||||
Certificate loans | 8 | 12 | 12 | ||||||||||||||
Dividends | 1 | — | 1 | ||||||||||||||
Other | 394 | 205 | 97 | ||||||||||||||
Total investment income | 68,540 | 136,186 | 234,902 | ||||||||||||||
Investment Expenses: | |||||||||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||||||||
Distribution | 6,805 | 16,778 | 20,381 | ||||||||||||||
Investment advisory and services | 13,790 | 16,672 | 17,933 | ||||||||||||||
Transfer agent | 6,957 | 8,390 | 8,996 | ||||||||||||||
Depository | 90 | 94 | 100 | ||||||||||||||
Other | 717 | 485 | 440 | ||||||||||||||
Total investment expenses | 28,359 | 42,419 | 47,850 | ||||||||||||||
Net investment income before provision for certificate reserves and income taxes | 40,181 | 93,767 | 187,052 | ||||||||||||||
Provision for Certificate Reserves: | |||||||||||||||||
According to the terms of the certificates: | |||||||||||||||||
Provision for certificate reserves | 249 | 417 | 574 | ||||||||||||||
Interest on additional credits | 1 | 1 | 1 | ||||||||||||||
Additional credits/interest authorized by ACC | 10,031 | 56,845 | 129,356 | ||||||||||||||
Total provision for certificate reserves before reserve recoveries | 10,281 | 57,263 | 129,931 | ||||||||||||||
Reserve recoveries from terminations prior to maturity | (760) | (874) | (924) | ||||||||||||||
Net provision for certificate reserves | 9,521 | 56,389 | 129,007 | ||||||||||||||
Net investment income before income taxes | 30,660 | 37,378 | 58,045 | ||||||||||||||
Income tax expense | 7,467 | 8,984 | 13,908 | ||||||||||||||
Net investment income, after-tax | 23,193 | 28,394 | 44,137 | ||||||||||||||
Net realized gain (loss) on investments: | |||||||||||||||||
Securities of unaffiliated issuers before income taxes | 2,598 | 1,349 | (279) | ||||||||||||||
Income tax expense (benefit) | 545 | 283 | (59) | ||||||||||||||
Net realized gain (loss) on investments, after-tax | 2,053 | 1,066 | (220) | ||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 | |||||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||
Net unrealized gains (losses) on securities: | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period | (16,097) | 22,763 | 46,247 | ||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (863) | (2,330) | (153) | ||||||||||||||
Total other comprehensive income (loss), net of tax | (16,960) | 20,433 | 46,094 | ||||||||||||||
Total comprehensive income (loss) | $ | 8,286 | $ | 49,893 | $ | 90,011 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands, except share data) | |||||||||||
ASSETS | |||||||||||
Qualified Assets | |||||||||||
Investments in unaffiliated issuers: | |||||||||||
Cash and cash equivalents | $ | 689,792 | $ | 562,652 | |||||||
Available-for-Sale securities: | |||||||||||
Fixed maturities, at fair value (amortized cost: 2021, $4,710,303; 2020, $6,334,451) | 4,728,811 | 6,375,260 | |||||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2021, $1,518; 2020, $3,190; fair value: 2021, $223,495; 2020, $274,739) | 221,569 | 269,540 | |||||||||
Equity securities, at fair value (cost: 2021, nil; 2020, $115) | — | 56 | |||||||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 83 | 212 | |||||||||
Total investments | 5,640,255 | 7,207,720 | |||||||||
Receivables: | |||||||||||
Dividends and interest | 5,159 | 8,420 | |||||||||
Receivables from brokers, dealers and clearing organizations | 4,920 | 7,519 | |||||||||
Other receivables | 403 | 360 | |||||||||
Total receivables | 10,482 | 16,299 | |||||||||
Derivative assets | 44,135 | 66,663 | |||||||||
Total qualified assets | 5,694,872 | 7,290,682 | |||||||||
Other Assets: | |||||||||||
Taxes receivable from parent | 50 | — | |||||||||
Due from related party | 23 | 74 | |||||||||
Total other assets | 73 | 74 | |||||||||
Total assets | $ | 5,694,945 | $ | 7,290,756 | |||||||
See Notes to Consolidated Financial Statements. |
Consolidated Balance Sheets (continued) | |||||||||||
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands, except share data) | |||||||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||||||
Liabilities | |||||||||||
Certificate reserves | |||||||||||
Installment certificates: | |||||||||||
Reserves to mature | $ | 6,112 | $ | 6,016 | |||||||
Fully paid certificates: | |||||||||||
Reserves to mature | 5,290,301 | 6,746,568 | |||||||||
Additional credits and accrued interest | 3,647 | 7,447 | |||||||||
Due to unlocated certificate holders | 429 | 400 | |||||||||
Total certificate reserves | 5,300,489 | 6,760,431 | |||||||||
Accounts payable and accrued liabilities: | |||||||||||
Due to related party | 1,958 | 1,056 | |||||||||
Taxes payable to parent | 373 | 810 | |||||||||
Payables to brokers, dealers and clearing organizations | 7,862 | 10,256 | |||||||||
Total accounts payable and accrued liabilities | 10,193 | 12,122 | |||||||||
Derivative liabilities | 41,470 | 59,924 | |||||||||
Deferred taxes, net | 4,557 | 8,242 | |||||||||
Other liabilities | 18,206 | 29,293 | |||||||||
Total liabilities | 5,374,915 | 6,870,012 | |||||||||
Shareholder’s Equity | |||||||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||||||
Additional paid-in capital | 302,709 | 341,700 | |||||||||
Retained earnings: | |||||||||||
Appropriated for pre-declared additional credits and interest | — | 21 | |||||||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||||||
Unappropriated | 70 | 44,812 | |||||||||
Accumulated other comprehensive income (loss), net of tax | 15,736 | 32,696 | |||||||||
Total shareholder’s equity | 320,030 | 420,744 | |||||||||
Total liabilities and shareholder’s equity | $ | 5,694,945 | $ | 7,290,756 |
Number of Outstanding Shares | Common Shares | Additional Paid-In Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss), Net of Tax | Total | ||||||||||||||||||||||||||||||||||||||||||
Appropriated for Pre-Declared Additional Credits and Interest | Appropriated for Additional Interest on Advance Payments | Unappropriated | |||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except share data) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance at January 1, 2019 | 150,000 | $ | 1,500 | $ | 285,017 | $ | 910 | $ | 15 | $ | 155,251 | $ | (33,831) | $ | 408,862 | ||||||||||||||||||||||||||||||||
Correction of the misclassification (1) | — | — | 42,183 | — | — | (29,482) | — | 12,701 | |||||||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of premium amortization on purchased callable debt securities guidance | — | — | — | — | — | (107) | — | (107) | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 43,917 | — | 43,917 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 46,094 | 46,094 | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (589) | — | 589 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (73,701) | — | (73,701) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 4,500 | — | — | — | — | 4,500 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2019 | 150,000 | 1,500 | 331,700 | 321 | 15 | 96,467 | 12,263 | 442,266 | |||||||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of current expected credit losses guidance | — | — | — | — | — | 585 | — | 585 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 29,460 | — | 29,460 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 20,433 | 20,433 | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (300) | — | 300 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (82,000) | — | (82,000) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 10,000 | — | — | — | — | 10,000 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2020 | 150,000 | 1,500 | 341,700 | 21 | 15 | 44,812 | 32,696 | 420,744 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 25,246 | — | 25,246 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (16,960) | (16,960) | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (21) | — | 21 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (70,009) | — | (70,009) | |||||||||||||||||||||||||||||||||||||||
Return of capital to parent | — | — | (38,991) | — | — | — | — | (38,991) | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2021 | 150,000 | $ | 1,500 | $ | 302,709 | $ | — | $ | 15 | $ | 70 | $ | 15,736 | $ | 320,030 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Cash Flows from Operating Activities | |||||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||||||||
Amortization of premiums, accretion of discounts, net | 2,382 | (8,838) | (32,856) | ||||||||||||||
Deferred income tax expense (benefit) | 1,657 | 2,626 | (2,716) | ||||||||||||||
Net realized (gain) loss on Available-for-Sale securities | (1,093) | (2,950) | (194) | ||||||||||||||
Other net realized (gain) loss | 167 | 662 | 473 | ||||||||||||||
Provision for credit losses | (1,672) | 939 | — | ||||||||||||||
Changes in operating assets and liabilities: | |||||||||||||||||
Dividends and interest receivable | 4,560 | 25,092 | 45,114 | ||||||||||||||
Certificate reserves, net | (3,032) | (4,999) | 8,744 | ||||||||||||||
Taxes payable to/receivable from parent, net | (487) | 1,277 | 1,264 | ||||||||||||||
Derivatives, net of collateral | 224 | 7 | 434 | ||||||||||||||
Other liabilities | (7,237) | (13,453) | 9,862 | ||||||||||||||
Other receivables | (43) | (142) | (36) | ||||||||||||||
Payables to brokers, dealers and clearing organizations | — | — | (21,451) | ||||||||||||||
Other, net | 1,055 | (1,936) | (132) | ||||||||||||||
Net cash provided by (used in) operating activities | 21,727 | 27,745 | 52,423 | ||||||||||||||
Cash Flows from Investing Activities | |||||||||||||||||
Available-for-Sale securities: | |||||||||||||||||
Sales | — | — | 9,689 | ||||||||||||||
Maturities, redemptions and calls | 4,637,978 | 4,779,020 | 5,305,739 | ||||||||||||||
Purchases | (3,015,291) | (3,798,529) | (4,929,747) | ||||||||||||||
Commercial mortgage loans and syndicated loans: | |||||||||||||||||
Sales, maturities and repayments | 74,945 | 40,759 | 52,826 | ||||||||||||||
Purchases and fundings | (26,486) | (41,761) | (64,456) | ||||||||||||||
Equity securities: | |||||||||||||||||
Sales | 48 | 113 | — | ||||||||||||||
Certificate loans, net | 129 | 4 | 27 | ||||||||||||||
Net cash provided by (used in) investing activities | 1,671,323 | 979,606 | 374,078 | ||||||||||||||
Cash Flows from Financing Activities | |||||||||||||||||
Payments from certificate holders and other additions | 2,733,012 | 4,259,469 | 5,110,412 | ||||||||||||||
Certificate maturities and cash surrenders | (4,189,922) | (5,016,362) | (5,488,797) | ||||||||||||||
Capital contribution from parent | — | 10,000 | 4,500 | ||||||||||||||
Dividend to parent | (70,009) | (82,000) | (73,701) | ||||||||||||||
Return of capital to parent | (38,991) | — | — | ||||||||||||||
Net cash provided by (used in) financing activities | (1,565,910) | (828,893) | (447,586) | ||||||||||||||
Net increase (decrease) in cash and cash equivalents | 127,140 | 178,458 | (21,085) | ||||||||||||||
Cash and cash equivalents at beginning of period | 562,652 | 384,194 | 405,279 | ||||||||||||||
Cash and cash equivalents at end of period | $ | 689,792 | $ | 562,652 | $ | 384,194 | |||||||||||
Supplemental disclosures including non-cash transactions: | |||||||||||||||||
Cash paid (received) for income taxes | $ | 7,054 | $ | 5,558 | $ | 15,133 | |||||||||||
Cash paid for interest | 14,721 | 63,532 | 131,930 |
December 31, 2017 | |||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Assets Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC | $ | 54,346 | $ | — | $ | 54,346 | $ | (46,753 | ) | $ | (6,883 | ) | $ | 710 | |||||||||
Total | $ | 54,346 | $ | — | $ | 54,346 | $ | (46,753 | ) | $ | (6,883 | ) | $ | 710 |
December 31, 2016 | |||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Assets Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC | $ | 45,098 | $ | — | $ | 45,098 | $ | (38,313 | ) | $ | (6,785 | ) | $ | — | |||||||||
Total | $ | 45,098 | $ | — | $ | 45,098 | $ | (38,313 | ) | $ | (6,785 | ) | $ | — | |||||||||
(1) Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar arrangements that management elects not to offset on the Consolidated Balance Sheets. |
December 31, 2017 | |||||||||||||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Liabilities Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC | $ | 46,753 | $ | — | $ | 46,753 | $ | (46,753 | ) | $ | — | $ | — | ||||||||||
Exchange-traded | 3 | — | 3 | — | — | 3 | |||||||||||||||||
Total | $ | 46,756 | $ | — | $ | 46,756 | $ | (46,753 | ) | $ | — | $ | 3 |
December 31, 2016 | |||||||||||||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Liabilities Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||
OTC | $ | 38,313 | $ | — | $ | 38,313 | $ | (38,313 | ) | $ | — | $ | — | ||||||||||
Exchange-traded | 6 | — | 6 | — | — | 6 | |||||||||||||||||
Total | $ | 38,319 | $ | — | $ | 38,319 | $ | (38,313 | ) | $ | — | $ | 6 | ||||||||||
(1) Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar arrangements that management elects not to offset on the Consolidated Balance Sheets. |
December 31, 2017 | December 31, 2016 | ||||||||||||||||||||||
Notional | Gross Fair Value | Notional | Gross Fair Value | ||||||||||||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | |||||||||||||||||||||||
Equity contracts(1) | $ | 871,895 | $ | 54,346 | $ | 46,756 | $ | 911,871 | $ | 45,098 | $ | 38,319 | |||||||||||
Embedded derivatives | |||||||||||||||||||||||
Stock market certificates(2) | N/A | — | 9,734 | N/A | — | 8,183 | |||||||||||||||||
Total derivatives | $ | 871,895 | $ | 54,346 | $ | 56,490 | $ | 911,871 | $ | 45,098 | $ | 46,502 |
Derivatives not designated as hedging instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Amount of Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Years Ended December 31, | ||||||||||||||
2017 | 2016 | 2015 | ||||||||||||
(in thousands) | ||||||||||||||
Equity contracts | ||||||||||||||
Stock market certificates | Net provision for certificate reserves | $ | 4,166 | $ | 2,000 | $ | (84 | ) | ||||||
Stock market certificates embedded derivatives | Net provision for certificate reserves | (4,174 | ) | (2,199 | ) | 312 | ||||||||
Total | $ | (8 | ) | $ | (199 | ) | $ | 228 |
(a) 1. | Financial Statements: See Index to Consolidated Financial Statements and Schedules on page F-1 hereof. | |||||||
2. | Consolidated Financial Statement Schedules: See Index to Consolidated Financial Statements and Schedules on page F-1 hereof. | |||||||
3. | Exhibits: The following exhibits are filed as part of this Annual Report or, where indicated, were already filed and are hereby incorporated by reference: |
Exhibit | Description | |||||||
Amended and Restated Certificate of Incorporation of American Express Certificate Company, dated August 1, 2005, filed electronically on or about March 10, 2006 as Exhibit 3(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
By-Laws of Ameriprise Certificate Company, filed electronically on or about November 5, 2010 as Exhibit 3(b) to Registrant’s Form 10-Q, are incorporated herein by reference. | ||||||||
Amended and Restated Investment Advisory and Services Agreement, dated December 1, 2018, between Registrant and Columbia Management Investment Advisers, LLC filed electronically on or about February 27, 2019 as Exhibit 10(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Distribution Agreement, dated December 31, 2006, between Registrant and Ameriprise Financial Services, LLC (formerly Ameriprise Financial Services, Inc.) filed electronically on or about February 26, 2007 as Exhibit 1 to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
Amendment to the Distribution Agreement, dated January 21, 2021, between Registrant and Ameriprise Financial Services, LLC, effective February 1, 2021, filed electronically on or about February 24, 2021 as Exhibit 10(c) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Depository and Custodial Agreement, dated December 31, 2006, between Registrant and Ameriprise Trust Company, filed electronically on or about February 26, 2007 as Exhibit 10(c) to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
Amendment to the Depositary and Custodial Agreement, dated December 15, 2008, between Registrant and Ameriprise Trust Company, filed on or about May 5, 2014 as Exhibit 10(c)i to Registrant’s Form 10-Q, is incorporated herein by reference. | ||||||||
Transfer Agent Agreement, dated December 31, 2006 between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 26, 2007 as Exhibit 10(e) to Post-Effective Amendment No. 35 to Registration Statement No. 2-95577 for Ameriprise Flexible Savings Certificate is incorporated herein by reference. | ||||||||
First Amendment to Transfer Agent Agreement, dated January 1, 2013 between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 27, 2013 as Exhibit 10(d) to Registrant’s Form 10-K is incorporated herein by reference. | ||||||||
Second Amendment to Transfer Agent Agreement, dated January 1, 2017, between Registrant and Columbia Management Investment Services Corp. (formerly RiverSource Client Service Corporation), filed electronically on or about February 23, 2017 as Exhibit 10(d) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Administration and Services Agreement, dated October 1, 2005, between Columbia Management Investment Advisers, LLC (formerly RiverSource Investments, LLC) and Ameriprise Financial, Inc. filed electronically on or about March 10, 2006 as Exhibit 10(s) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Capital Support Agreement by and between Ameriprise Financial, Inc. and Ameriprise Certificate Company, dated as of March 2, 2009, filed electronically on or about March 3, 2009 as Exhibit 10(f) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
First Amendment to Capital Support Agreement by and between Ameriprise Financial, Inc. and Ameriprise Certificate Company, effective April 30, 2014, filed electronically on or about May 5, 2014 as Exhibit 10(f)i to Registrant’s Form 10-Q, is incorporated herein by reference. | ||||||||
Federal Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective December 10, 2013 filed electronically on or about February 23, 2018 as Exhibit 10(l) to Registrant’s Form 10-K is incorporated by reference. |
Exhibit | Description | |||||||
State Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective December 10, 2013 filed electronically on or about February 23, 2018 as Exhibit 10(m) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Agreement between Ameriprise Bank, FSB and Ameriprise Certificate Company (certain Ameriprise Rewards Fulfillment Services), dated December 1, 2019 filed electronically on or about February 26, 2020 as Exhibit 10(n) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Agreement between Ameriprise Financial, Inc. and Ameriprise Certificate Company (certain legacy Ameriprise Rewards Fulfillment Services), dated December 1, 2019 filed electronically on or about February 26, 2020 as Exhibit 10(o) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Amendment to the Federal Income Tax Sharing Agreement between or among Ameriprise Financial, Inc. and certain subsidiaries, including the Registrant, effective October 9, 2020, filed electronically on or about February 24, 2021 as Exhibit 10(p) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Code of Ethics under Rule 17j-1 for Ameriprise Certificate Company effective May 21, 2014, filed electronically on or about February 27, 2019 as Exhibit 14(a) to Registrant’s Form 10-K is incorporated by reference. | ||||||||
Code of Ethics adopted under Rule 17j-1 for Registrant’s investment adviser, dated December 2021. | ||||||||
Code of Ethics under Rule 17j-1 for Registrant’s underwriter, as revised November 1, 2021. | ||||||||
24* | Directors’ Power of Attorney, dated September 1, 2021. | |||||||
31.1* | Certification of Abu M. Arif pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
31.2* | Certification of James R. Hill pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
32* | Certification of Abu M. Arif and James R. Hill pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |||||||
* Filed electronically herewith. |
Date: | February 25, 2022 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 25, 2022 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 25, 2022 | By | /s/ James R. Hill | ||||||||
James R. Hill Vice President and Chief Financial Officer (Principal Financial Officer) |
Date: | February 25, 2022 | By | /s/ Brian Granger | ||||||||
Brian Granger Vice President, Controller and Chief Accounting Officer |
Date: | February 25, 2022 | By | /s/ Ronald L. Guzior* | ||||||||
Ronald L. Guzior Director |
Date: | February 25, 2022 | By | /s/ Karen M. Bohn* | ||||||||
Karen M. Bohn Director |
Date: | February 25, 2022 | By | /s/ Lorna P. Gleason* | ||||||||
Lorna P. Gleason Director |
Date: | February 25, 2022 | By | /s/ Robert McReavy* | ||||||||
Robert McReavy Director |
*By | /s/ Abu M. Arif | ||||||||||
Abu M. Arif |
Page | |||||||||||
Part I. Financial Information | |||||||||||
Report of Independent Registered Public Accounting Firm (PCAOB Firm ID 238) | F-2 | ||||||||||
F-3 | |||||||||||
F-4 | |||||||||||
F-5 | |||||||||||
F-7 | |||||||||||
F-8 | |||||||||||
F-9 | |||||||||||
F-9 | |||||||||||
F-13 | |||||||||||
F-14 | |||||||||||
F-16 | |||||||||||
F-20 | |||||||||||
F-21 | |||||||||||
F-21 | |||||||||||
F-22 | |||||||||||
F-27 | |||||||||||
F-28 | |||||||||||
F-29 | |||||||||||
F-29 | |||||||||||
F-30 | |||||||||||
Part II. Consolidated Financial Schedules | |||||||||||
I. Investments in Securities of Unaffiliated Issuers — December 31, 2021 and 2020 | F-32 | ||||||||||
III. Mortgage Loans on Real Estate and Interest Earned on Mortgages — Years Ended December 31, 2021, 2020 and 2019 | F-90 | ||||||||||
V. Qualified Assets on Deposit — December 31, 2021 and 2020 | F-95 | ||||||||||
VI. Certificate Reserves — Years Ended December 31, 2021, 2020 and 2019 | F-96 | ||||||||||
VII. Valuation and Qualifying Accounts — Years Ended December 31, 2021, 2020 and 2019 | F-113 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Investment Income: | |||||||||||||||||
Interest income: | |||||||||||||||||
Available-for-Sale securities | $ | 59,409 | $ | 123,900 | $ | 212,395 | |||||||||||
Commercial mortgage loans and syndicated loans | 8,116 | 9,780 | 11,804 | ||||||||||||||
Cash and cash equivalents | 612 | 2,289 | 10,593 | ||||||||||||||
Certificate loans | 8 | 12 | 12 | ||||||||||||||
Dividends | 1 | — | 1 | ||||||||||||||
Other | 394 | 205 | 97 | ||||||||||||||
Total investment income | 68,540 | 136,186 | 234,902 | ||||||||||||||
Investment Expenses: | |||||||||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||||||||
Distribution | 6,805 | 16,778 | 20,381 | ||||||||||||||
Investment advisory and services | 13,790 | 16,672 | 17,933 | ||||||||||||||
Transfer agent | 6,957 | 8,390 | 8,996 | ||||||||||||||
Depository | 90 | 94 | 100 | ||||||||||||||
Other | 717 | 485 | 440 | ||||||||||||||
Total investment expenses | 28,359 | 42,419 | 47,850 | ||||||||||||||
Net investment income before provision for certificate reserves and income taxes | 40,181 | 93,767 | 187,052 | ||||||||||||||
Provision for Certificate Reserves: | |||||||||||||||||
According to the terms of the certificates: | |||||||||||||||||
Provision for certificate reserves | 249 | 417 | 574 | ||||||||||||||
Interest on additional credits | 1 | 1 | 1 | ||||||||||||||
Additional credits/interest authorized by ACC | 10,031 | 56,845 | 129,356 | ||||||||||||||
Total provision for certificate reserves before reserve recoveries | 10,281 | 57,263 | 129,931 | ||||||||||||||
Reserve recoveries from terminations prior to maturity | (760) | (874) | (924) | ||||||||||||||
Net provision for certificate reserves | 9,521 | 56,389 | 129,007 | ||||||||||||||
Net investment income before income taxes | 30,660 | 37,378 | 58,045 | ||||||||||||||
Income tax expense | 7,467 | 8,984 | 13,908 | ||||||||||||||
Net investment income, after-tax | 23,193 | 28,394 | 44,137 | ||||||||||||||
Net realized gain (loss) on investments: | |||||||||||||||||
Securities of unaffiliated issuers before income taxes | 2,598 | 1,349 | (279) | ||||||||||||||
Income tax expense (benefit) | 545 | 283 | (59) | ||||||||||||||
Net realized gain (loss) on investments, after-tax | 2,053 | 1,066 | (220) | ||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 | |||||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||
Net unrealized gains (losses) on securities: | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period | (16,097) | 22,763 | 46,247 | ||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (863) | (2,330) | (153) | ||||||||||||||
Total other comprehensive income (loss), net of tax | (16,960) | 20,433 | 46,094 | ||||||||||||||
Total comprehensive income (loss) | $ | 8,286 | $ | 49,893 | $ | 90,011 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands, except share data) | |||||||||||
ASSETS | |||||||||||
Qualified Assets | |||||||||||
Investments in unaffiliated issuers: | |||||||||||
Cash and cash equivalents | $ | 689,792 | $ | 562,652 | |||||||
Available-for-Sale securities: | |||||||||||
Fixed maturities, at fair value (amortized cost: 2021, $4,710,303; 2020, $6,334,451) | 4,728,811 | 6,375,260 | |||||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2021, $1,518; 2020, $3,190; fair value: 2021, $223,495; 2020, $274,739) | 221,569 | 269,540 | |||||||||
Equity securities, at fair value (cost: 2021, nil; 2020, $115) | — | 56 | |||||||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 83 | 212 | |||||||||
Total investments | 5,640,255 | 7,207,720 | |||||||||
Receivables: | |||||||||||
Dividends and interest | 5,159 | 8,420 | |||||||||
Receivables from brokers, dealers and clearing organizations | 4,920 | 7,519 | |||||||||
Other receivables | 403 | 360 | |||||||||
Total receivables | 10,482 | 16,299 | |||||||||
Derivative assets | 44,135 | 66,663 | |||||||||
Total qualified assets | 5,694,872 | 7,290,682 | |||||||||
Other Assets: | |||||||||||
Taxes receivable from parent | 50 | — | |||||||||
Due from related party | 23 | 74 | |||||||||
Total other assets | 73 | 74 | |||||||||
Total assets | $ | 5,694,945 | $ | 7,290,756 | |||||||
See Notes to Consolidated Financial Statements. |
Consolidated Balance Sheets (continued) | |||||||||||
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands, except share data) | |||||||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||||||
Liabilities | |||||||||||
Certificate reserves | |||||||||||
Installment certificates: | |||||||||||
Reserves to mature | $ | 6,112 | $ | 6,016 | |||||||
Fully paid certificates: | |||||||||||
Reserves to mature | 5,290,301 | 6,746,568 | |||||||||
Additional credits and accrued interest | 3,647 | 7,447 | |||||||||
Due to unlocated certificate holders | 429 | 400 | |||||||||
Total certificate reserves | 5,300,489 | 6,760,431 | |||||||||
Accounts payable and accrued liabilities: | |||||||||||
Due to related party | 1,958 | 1,056 | |||||||||
Taxes payable to parent | 373 | 810 | |||||||||
Payables to brokers, dealers and clearing organizations | 7,862 | 10,256 | |||||||||
Total accounts payable and accrued liabilities | 10,193 | 12,122 | |||||||||
Derivative liabilities | 41,470 | 59,924 | |||||||||
Deferred taxes, net | 4,557 | 8,242 | |||||||||
Other liabilities | 18,206 | 29,293 | |||||||||
Total liabilities | 5,374,915 | 6,870,012 | |||||||||
Shareholder’s Equity | |||||||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||||||
Additional paid-in capital | 302,709 | 341,700 | |||||||||
Retained earnings: | |||||||||||
Appropriated for pre-declared additional credits and interest | — | 21 | |||||||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||||||
Unappropriated | 70 | 44,812 | |||||||||
Accumulated other comprehensive income (loss), net of tax | 15,736 | 32,696 | |||||||||
Total shareholder’s equity | 320,030 | 420,744 | |||||||||
Total liabilities and shareholder’s equity | $ | 5,694,945 | $ | 7,290,756 |
Number of Outstanding Shares | Common Shares | Additional Paid-In Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss), Net of Tax | Total | ||||||||||||||||||||||||||||||||||||||||||
Appropriated for Pre-Declared Additional Credits and Interest | Appropriated for Additional Interest on Advance Payments | Unappropriated | |||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except share data) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance at January 1, 2019 | 150,000 | $ | 1,500 | $ | 285,017 | $ | 910 | $ | 15 | $ | 155,251 | $ | (33,831) | $ | 408,862 | ||||||||||||||||||||||||||||||||
Correction of the misclassification (1) | — | — | 42,183 | — | — | (29,482) | — | 12,701 | |||||||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of premium amortization on purchased callable debt securities guidance | — | — | — | — | — | (107) | — | (107) | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 43,917 | — | 43,917 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 46,094 | 46,094 | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (589) | — | 589 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (73,701) | — | (73,701) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 4,500 | — | — | — | — | 4,500 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2019 | 150,000 | 1,500 | 331,700 | 321 | 15 | 96,467 | 12,263 | 442,266 | |||||||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of current expected credit losses guidance | — | — | — | — | — | 585 | — | 585 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 29,460 | — | 29,460 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 20,433 | 20,433 | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (300) | — | 300 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (82,000) | — | (82,000) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 10,000 | — | — | — | — | 10,000 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2020 | 150,000 | 1,500 | 341,700 | 21 | 15 | 44,812 | 32,696 | 420,744 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 25,246 | — | 25,246 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (16,960) | (16,960) | |||||||||||||||||||||||||||||||||||||||
Transfer to unappropriated from appropriated | — | — | — | (21) | — | 21 | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (70,009) | — | (70,009) | |||||||||||||||||||||||||||||||||||||||
Return of capital to parent | — | — | (38,991) | — | — | — | — | (38,991) | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2021 | 150,000 | $ | 1,500 | $ | 302,709 | $ | — | $ | 15 | $ | 70 | $ | 15,736 | $ | 320,030 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Cash Flows from Operating Activities | |||||||||||||||||
Net income | $ | 25,246 | $ | 29,460 | $ | 43,917 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||||||||
Amortization of premiums, accretion of discounts, net | 2,382 | (8,838) | (32,856) | ||||||||||||||
Deferred income tax expense (benefit) | 1,657 | 2,626 | (2,716) | ||||||||||||||
Net realized (gain) loss on Available-for-Sale securities | (1,093) | (2,950) | (194) | ||||||||||||||
Other net realized (gain) loss | 167 | 662 | 473 | ||||||||||||||
Provision for credit losses | (1,672) | 939 | — | ||||||||||||||
Changes in operating assets and liabilities: | |||||||||||||||||
Dividends and interest receivable | 4,560 | 25,092 | 45,114 | ||||||||||||||
Certificate reserves, net | (3,032) | (4,999) | 8,744 | ||||||||||||||
Taxes payable to/receivable from parent, net | (487) | 1,277 | 1,264 | ||||||||||||||
Derivatives, net of collateral | 224 | 7 | 434 | ||||||||||||||
Other liabilities | (7,237) | (13,453) | 9,862 | ||||||||||||||
Other receivables | (43) | (142) | (36) | ||||||||||||||
Payables to brokers, dealers and clearing organizations | — | — | (21,451) | ||||||||||||||
Other, net | 1,055 | (1,936) | (132) | ||||||||||||||
Net cash provided by (used in) operating activities | 21,727 | 27,745 | 52,423 | ||||||||||||||
Cash Flows from Investing Activities | |||||||||||||||||
Available-for-Sale securities: | |||||||||||||||||
Sales | — | — | 9,689 | ||||||||||||||
Maturities, redemptions and calls | 4,637,978 | 4,779,020 | 5,305,739 | ||||||||||||||
Purchases | (3,015,291) | (3,798,529) | (4,929,747) | ||||||||||||||
Commercial mortgage loans and syndicated loans: | |||||||||||||||||
Sales, maturities and repayments | 74,945 | 40,759 | 52,826 | ||||||||||||||
Purchases and fundings | (26,486) | (41,761) | (64,456) | ||||||||||||||
Equity securities: | |||||||||||||||||
Sales | 48 | 113 | — | ||||||||||||||
Certificate loans, net | 129 | 4 | 27 | ||||||||||||||
Net cash provided by (used in) investing activities | 1,671,323 | 979,606 | 374,078 | ||||||||||||||
Cash Flows from Financing Activities | |||||||||||||||||
Payments from certificate holders and other additions | 2,733,012 | 4,259,469 | 5,110,412 | ||||||||||||||
Certificate maturities and cash surrenders | (4,189,922) | (5,016,362) | (5,488,797) | ||||||||||||||
Capital contribution from parent | — | 10,000 | 4,500 | ||||||||||||||
Dividend to parent | (70,009) | (82,000) | (73,701) | ||||||||||||||
Return of capital to parent | (38,991) | — | — | ||||||||||||||
Net cash provided by (used in) financing activities | (1,565,910) | (828,893) | (447,586) | ||||||||||||||
Net increase (decrease) in cash and cash equivalents | 127,140 | 178,458 | (21,085) | ||||||||||||||
Cash and cash equivalents at beginning of period | 562,652 | 384,194 | 405,279 | ||||||||||||||
Cash and cash equivalents at end of period | $ | 689,792 | $ | 562,652 | $ | 384,194 | |||||||||||
Supplemental disclosures including non-cash transactions: | |||||||||||||||||
Cash paid (received) for income taxes | $ | 7,054 | $ | 5,558 | $ | 15,133 | |||||||||||
Cash paid for interest | 14,721 | 63,532 | 131,930 |
December 31, 2021 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 250 | $ | 130 | $ | 120 | |||||||||||
Texas and Illinois (at par value) | 156 | 150 | 6 | ||||||||||||||
Custodian | 5,603,782 | 5,301,158 | 302,624 | ||||||||||||||
Total | $ | 5,604,188 | $ | 5,301,438 | $ | 302,750 |
December 31, 2020 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 269 | $ | 130 | $ | 139 | |||||||||||
Texas and Illinois (at par value) | 213 | 150 | 63 | ||||||||||||||
Custodian | 7,147,906 | 6,763,328 | 384,578 | ||||||||||||||
Total | $ | 7,148,388 | $ | 6,763,608 | $ | 384,780 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Available-for-Sale securities: Fixed maturities, at fair value (allowance for credit losses: 2021 and 2020, nil; amortized cost: 2021, $4,710,303; 2020, $6,334,451) | $ | 4,728,811 | $ | 6,375,260 | |||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2021, $1,518; 2020, $3,190; fair value: 2021, $223,495; 2020, $274,739) | 221,569 | 269,540 | |||||||||
Equity securities, at fair value (cost: 2021, nil; 2020, $115) | — | 56 | |||||||||
Certificate loans — secured by certificate reserves, at cost, which approximates fair value | 83 | 212 | |||||||||
Total | $ | 4,950,463 | $ | 6,645,068 |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Residential mortgage backed securities | $ | 1,680,371 | $ | 15,708 | $ | (2,531) | $ | 1,693,548 | ||||||||||||||||||||||||
Corporate debt securities | 51,201 | 849 | — | 52,050 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,164,516 | 2,449 | (1,036) | 1,165,929 | ||||||||||||||||||||||||||||
Asset backed securities | 502,328 | 3,265 | (333) | 505,260 | ||||||||||||||||||||||||||||
State and municipal obligations | 11,954 | 94 | (4) | 12,044 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 1,299,933 | 64 | (17) | 1,299,980 | ||||||||||||||||||||||||||||
Total | $ | 4,710,303 | $ | 22,429 | $ | (3,921) | $ | 4,728,811 |
Description of Securities | December 31, 2020 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Residential mortgage backed securities | $ | 2,496,350 | $ | 35,943 | $ | (2,368) | $ | 2,529,925 | ||||||||||||||||||||||||
Corporate debt securities | 264,199 | 5,621 | — | 269,820 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,475,446 | 7,150 | (9,818) | 1,472,778 | ||||||||||||||||||||||||||||
Asset backed securities | 626,777 | 4,778 | (991) | 630,564 | ||||||||||||||||||||||||||||
State and municipal obligations | 16,839 | 327 | — | 17,166 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 1,454,840 | 167 | — | 1,455,007 | ||||||||||||||||||||||||||||
Total | $ | 6,334,451 | $ | 53,986 | $ | (13,177) | $ | 6,375,260 |
Ratings | December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||
Amortized Cost | Fair Value | Percent of Total Fair Value | Amortized Cost | Fair Value | Percent of Total Fair Value | |||||||||||||||||||||||||||||||||
(in thousands, except percentages) | ||||||||||||||||||||||||||||||||||||||
AAA | $ | 4,556,729 | $ | 4,570,394 | 97 | % | $ | 5,774,067 | $ | 5,803,399 | 91 | % | ||||||||||||||||||||||||||
AA | 54,137 | 55,093 | 1 | 219,978 | 223,221 | 3 | ||||||||||||||||||||||||||||||||
A | 72,913 | 75,140 | 2 | 165,442 | 169,520 | 3 | ||||||||||||||||||||||||||||||||
BBB | 20,442 | 22,061 | — | 166,734 | 170,885 | 3 | ||||||||||||||||||||||||||||||||
Below investment grade | 6,082 | 6,123 | — | 8,230 | 8,235 | — | ||||||||||||||||||||||||||||||||
Total fixed maturities | $ | 4,710,303 | $ | 4,728,811 | 100 | % | $ | 6,334,451 | $ | 6,375,260 | 100 | % |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except number of securities) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 43 | $ | 295,433 | $ | (1,733) | 48 | $ | 114,067 | $ | (798) | 91 | $ | 409,500 | $ | (2,531) | |||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 25 | 538,380 | (842) | 3 | 55,352 | (194) | 28 | 593,732 | (1,036) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 5 | 117,631 | (119) | 5 | 92,986 | (214) | 10 | 210,617 | (333) | |||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | 1 | 996 | (4) | — | — | — | 1 | 996 | (4) | |||||||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | 9 | 469,836 | (17) | — | — | — | 9 | 469,836 | (17) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 83 | $ | 1,422,276 | $ | (2,715) | 56 | $ | 262,405 | $ | (1,206) | 139 | $ | 1,684,681 | $ | (3,921) |
Description of Securities | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands, except number of securities) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 49 | $ | 144,057 | $ | (751) | 56 | $ | 317,650 | $ | (1,617) | 105 | $ | 461,707 | $ | (2,368) | |||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 20 | 406,473 | (4,810) | 11 | 177,503 | (5,008) | 31 | 583,976 | (9,818) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 5 | 49,916 | (214) | 10 | 151,440 | (777) | 15 | 201,356 | (991) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 74 | $ | 600,446 | $ | (5,775) | 77 | $ | 646,593 | $ | (7,402) | 151 | $ | 1,247,039 | $ | (13,177) |
Net Unrealized Gains (Losses) on Securities | Deferred Income Tax | Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Gains (Losses) on Securities | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Balance at January 1, 2019 | $ | (46,958) | $ | 13,127 | $ | (33,833) | ||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | 61,110 | (14,863) | 46,247 | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (194) | 41 | (153) | |||||||||||||||||
Balance at December 31, 2019 | 13,958 | (1,695) | 12,263 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | 29,802 | (7,039) | 22,763 | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (2,950) | 620 | (2,330) | |||||||||||||||||
Balance at December 31, 2020 | 40,810 | (8,114) | 32,696 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | (21,208) | 5,111 | (16,097) | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (1,093) | 230 | (863) | |||||||||||||||||
Balance at December 31, 2021 | $ | 18,509 | $ | (2,773) | $ | 15,736 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Gross realized gains | $ | 1,132 | $ | 2,950 | $ | 265 | |||||||||||
Gross realized losses | (39) | — | (71) | ||||||||||||||
Total | $ | 1,093 | $ | 2,950 | $ | 194 |
Amortized Cost | Fair Value | ||||||||||
(in thousands) | |||||||||||
Due within one year | $ | 1,328,615 | $ | 1,328,968 | |||||||
Due after one year through five years | 34,266 | 34,856 | |||||||||
Due after five years through 10 years | 207 | 250 | |||||||||
1,363,088 | 1,364,074 | ||||||||||
Residential mortgage backed securities | 1,680,371 | 1,693,548 | |||||||||
Commercial mortgage backed securities | 1,164,516 | 1,165,929 | |||||||||
Asset backed securities | 502,328 | 505,260 | |||||||||
Total | $ | 4,710,303 | $ | 4,728,811 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, January 1, 2021 | $ | 3,190 | |||
Provisions | (1,672) | ||||
Balance, December 31, 2021 | $ | 1,518 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, December 31, 2019 (1) | $ | 3,022 | |||
Cumulative effect of adoption of current expected credit losses guidance | (771) | ||||
Balance, January 1, 2020 | 2,251 | ||||
Provisions | 939 | ||||
Balance, December 31, 2020 | $ | 3,190 |
Commercial Loans | |||||
(in thousands) | |||||
Balance, January 1, 2019 | $ | 3,120 | |||
Charge-offs | (98) | ||||
Balance, December 31, 2019 | $ | 3,022 |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
80% - 100% | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
60% - 80% | 1,779 | 4,151 | 1,436 | 7,581 | 2,960 | 4,962 | 22,869 | |||||||||||||||||||||||||||||||||||||
40% - 60% | 5,429 | 3,000 | 10,788 | — | 7,614 | 7,833 | 34,664 | |||||||||||||||||||||||||||||||||||||
< 40% | 4,996 | — | 2,345 | 5,798 | 10,532 | 35,236 | 58,907 | |||||||||||||||||||||||||||||||||||||
Total | $ | 12,204 | $ | 7,151 | $ | 14,569 | $ | 13,379 | $ | 21,106 | $ | 48,031 | $ | 116,440 |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
80% - 100% | — | — | 3,344 | — | — | — | 3,344 | |||||||||||||||||||||||||||||||||||||
60% - 80% | 4,237 | 13,002 | — | 3,050 | — | 3,657 | 23,946 | |||||||||||||||||||||||||||||||||||||
40% - 60% | 3,000 | 7,331 | — | 7,788 | 1,379 | 8,076 | 27,574 | |||||||||||||||||||||||||||||||||||||
< 40% | — | 1,531 | 11,004 | 11,430 | 5,564 | 38,857 | 68,386 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,237 | $ | 21,864 | $ | 14,348 | $ | 22,268 | $ | 6,943 | $ | 50,590 | $ | 123,250 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
East North Central | $ | 11,166 | $ | 8,926 | 10 | % | 7 | % | |||||||||||||||
East South Central | 2,939 | 3,614 | 3 | 3 | |||||||||||||||||||
Middle Atlantic | 15,581 | 13,211 | 13 | 11 | |||||||||||||||||||
Mountain | 7,567 | 12,863 | 6 | 10 | |||||||||||||||||||
New England | 6,766 | 6,983 | 6 | 6 | |||||||||||||||||||
Pacific | 37,881 | 41,284 | 32 | 34 | |||||||||||||||||||
South Atlantic | 19,574 | 17,550 | 17 | 14 | |||||||||||||||||||
West North Central | 5,893 | 6,668 | 5 | 5 | |||||||||||||||||||
West South Central | 9,073 | 12,151 | 8 | 10 | |||||||||||||||||||
116,440 | 123,250 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 493 | 931 | |||||||||||||||||||||
Total | $ | 115,947 | $ | 122,319 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Apartments | $ | 32,457 | $ | 33,460 | 28 | % | 27 | % | |||||||||||||||
Industrial | 25,738 | 25,971 | 22 | 21 | |||||||||||||||||||
Mixed use | 10,938 | 11,532 | 10 | 10 | |||||||||||||||||||
Office | 16,470 | 14,332 | 14 | 12 | |||||||||||||||||||
Retail | 28,026 | 37,307 | 24 | 30 | |||||||||||||||||||
Hotel | 114 | 300 | — | — | |||||||||||||||||||
Other | 2,697 | 348 | 2 | — | |||||||||||||||||||
116,440 | 123,250 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 493 | 931 | |||||||||||||||||||||
Total | $ | 115,947 | $ | 122,319 |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | — | $ | — | $ | 1,149 | $ | 340 | $ | — | $ | — | $ | 1,489 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | — | — | 959 | 2,491 | 3,450 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | — | 4,202 | 4,806 | 4,777 | 4,700 | 18,485 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 3,688 | 4,606 | 7,215 | 9,109 | 11,048 | 8,000 | 43,666 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 4,432 | 2,755 | 3,320 | 7,807 | 12,429 | 8,813 | 39,556 | |||||||||||||||||||||||||||||||||||||
Total | $ | 8,120 | $ | 7,361 | $ | 15,886 | $ | 22,062 | $ | 29,213 | $ | 24,004 | $ | 106,646 |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | — | $ | — | $ | 266 | $ | — | $ | — | $ | 786 | $ | 1,052 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | 977 | 2,148 | — | 2,317 | 5,442 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | 1,935 | 2,231 | 6,309 | 3,145 | 6,543 | 20,163 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 6,970 | 14,516 | 16,643 | 17,946 | 3,338 | 10,397 | 69,810 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 3,443 | 7,109 | 12,260 | 14,796 | 5,535 | 9,870 | 53,013 | |||||||||||||||||||||||||||||||||||||
Total | $ | 10,413 | $ | 23,560 | $ | 32,377 | $ | 41,199 | $ | 12,018 | $ | 29,913 | $ | 149,480 |
December 31, 2021 | |||||||||||||||||
Reserve Balance | Average Gross Accumulation Rates (3) | Average Additional Credit Rates (4) | |||||||||||||||
(in thousands, except percentages) | |||||||||||||||||
Installment certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
Without guaranteed rates (1) | $ | 6,112 | 0.25 | % | 0.25 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 4,592 | 3.20 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 5,012,286 | 0.10 | % | 0.10 | % | ||||||||||||
Equity indexed (2) | 273,423 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 20 | 3.06 | % | — | |||||||||||||
Without guaranteed rates (1) | 3,627 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 429 | N/A | N/A | ||||||||||||||
Total | $ | 5,300,489 |
December 31, 2020 | |||||||||||||||||
Reserve Balance | Average Gross Accumulation Rates (3) | Average Additional Credit Rates (4) | |||||||||||||||
(in thousands, except percentages) | |||||||||||||||||
Installment certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
Without guaranteed rates (1) | $ | 6,016 | 0.51 | % | 0.51 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 5,377 | 3.18 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 6,367,062 | 0.26 | % | 0.26 | % | ||||||||||||
Equity indexed (2) | 374,129 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 33 | 3.00 | % | — | |||||||||||||
Without guaranteed rates (1) | 7,414 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 400 | N/A | N/A | ||||||||||||||
Total | $ | 6,760,431 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Reserves with terms of one year or less | $ | 5,131,740 | $ | 6,521,498 | |||||||
Other | 168,749 | 238,933 | |||||||||
Total certificate reserves | 5,300,489 | 6,760,431 | |||||||||
Unapplied certificate transactions | 467 | 2,315 | |||||||||
Certificate loans and accrued interest | (85) | (215) | |||||||||
Total | $ | 5,300,871 | $ | 6,762,531 |
December 31, 2021 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 672,275 | $ | — | $ | 672,275 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Residential mortgage backed securities | — | 1,693,548 | — | 1,693,548 | |||||||||||||||||||
Corporate debt securities | — | 46,046 | 6,004 | 52,050 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,165,929 | — | 1,165,929 | |||||||||||||||||||
Asset backed securities | — | 500,369 | 4,891 | 505,260 | |||||||||||||||||||
State and municipal obligations | — | 12,044 | — | 12,044 | |||||||||||||||||||
U.S. government and agency obligations | 1,299,980 | — | — | 1,299,980 | |||||||||||||||||||
Total Available-for-Sale securities | 1,299,980 | 3,417,936 | 10,895 | 4,728,811 | |||||||||||||||||||
Equity derivative contracts | — | 44,135 | — | 44,135 | |||||||||||||||||||
Total assets at fair value | $ | 1,299,980 | $ | 4,134,346 | $ | 10,895 | $ | 5,445,221 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 3,853 | $ | — | $ | 3,853 | |||||||||||||||
Equity derivative contracts | 3 | 41,467 | — | 41,470 | |||||||||||||||||||
Total liabilities at fair value | $ | 3 | $ | 45,320 | $ | — | $ | 45,323 |
December 31, 2020 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 544,283 | $ | — | $ | 544,283 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Residential mortgage backed securities | — | 2,529,925 | — | 2,529,925 | |||||||||||||||||||
Corporate debt securities | — | 263,763 | 6,057 | 269,820 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,472,778 | — | 1,472,778 | |||||||||||||||||||
Asset backed securities | — | 625,673 | 4,891 | 630,564 | |||||||||||||||||||
State and municipal obligations | — | 17,166 | — | 17,166 | |||||||||||||||||||
U.S. government and agency obligations | 1,455,007 | — | — | 1,455,007 | |||||||||||||||||||
Total Available-for-Sale securities | 1,455,007 | 4,909,305 | 10,948 | 6,375,260 | |||||||||||||||||||
Equity securities | — | 56 | — | 56 | |||||||||||||||||||
Equity derivative contracts | 19 | 66,644 | — | 66,663 | |||||||||||||||||||
Total assets at fair value | $ | 1,455,026 | $ | 5,520,288 | $ | 10,948 | $ | 6,986,262 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 8,282 | $ | — | $ | 8,282 | |||||||||||||||
Equity derivative contracts | — | 59,924 | — | 59,924 | |||||||||||||||||||
Total liabilities at fair value | $ | — | $ | 68,206 | $ | — | $ | 68,206 |
Available-for-Sale Securities | ||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Balance, January 1, 2021 | $ | 6,057 | $ | 4,891 | $ | 10,948 | ||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||
Net income | — | 15 | 15 | (1) | ||||||||||||||||||||||
Other comprehensive income (loss) | (53) | (15) | (68) | |||||||||||||||||||||||
Transfers into Level 3 | 3 | — | 3 | |||||||||||||||||||||||
Transfers out of Level 3 | (3) | — | (3) | |||||||||||||||||||||||
Balance, December 31, 2021 | $ | 6,004 | $ | 4,891 | $ | 10,895 | ||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2021 | $ | — | $ | 15 | $ | 15 | (1) | |||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2021 | $ | (53) | $ | (15) | $ | (68) |
Available-for-Sale Securities | Equity Securities | |||||||||||||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2020 | $ | 14,270 | $ | 4,834 | $ | 19,104 | $ | 72 | ||||||||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||||||||
Net income | (29) | 26 | (3) | (1) | — | |||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 116 | 31 | 147 | — | ||||||||||||||||||||||||||||||||||
Sales | — | — | — | (113) | ||||||||||||||||||||||||||||||||||
Settlements | (8,300) | — | (8,300) | — | ||||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | — | — | 113 | ||||||||||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | (72) | ||||||||||||||||||||||||||||||||||
Balance, December 31, 2020 | $ | 6,057 | $ | 4,891 | $ | 10,948 | $ | — | ||||||||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2020 | $ | — | $ | 26 | $ | 26 | (1) | $ | — | |||||||||||||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2020 | $ | 116 | $ | 31 | $ | 147 | $ | — |
Available-for-Sale Securities | Equity Securities | |||||||||||||||||||||||||||||||||||||
Residential Mortgage Backed Securities | Corporate Debt Securities | Commercial Mortgage Backed Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2019 | $ | 62,588 | $ | 41,842 | $ | 19,787 | $ | — | $ | 124,217 | $ | — | ||||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||||||||
Net income | 21 | (56) | — | 17 | (18) | (1) | (273) | (2) | ||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 116 | 484 | — | (11) | 589 | — | ||||||||||||||||||||||||||||||||
Purchases | 72,883 | — | — | — | 72,883 | — | ||||||||||||||||||||||||||||||||
Settlements | (6,881) | (28,000) | — | — | (34,881) | — | ||||||||||||||||||||||||||||||||
Transfers into Level 3 | — | — | — | 4,828 | 4,828 | 465 | ||||||||||||||||||||||||||||||||
Transfers out of Level 3 | (128,727) | — | (19,787) | — | (148,514) | (120) | ||||||||||||||||||||||||||||||||
Balance, December 31, 2019 | $ | — | $ | 14,270 | $ | — | $ | 4,834 | $ | 19,104 | $ | 72 | ||||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2019 | $ | — | $ | (46) | $ | — | $ | 17 | $ | (29) | (1) | $ | (276) | (2) |
December 31, 2021 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 6,001 | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.9% | 0.9% |
December 31, 2020 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 6,054 | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.1% | 1.1% |
December 31, 2021 | |||||||||||||||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||||||||
Syndicated loans | $ | 105,622 | $ | — | $ | 99,691 | $ | 4,703 | $ | 104,394 | |||||||||||||||||||
Commercial mortgage loans | 115,947 | — | — | 119,101 | 119,101 | ||||||||||||||||||||||||
Certificate loans | 83 | — | 83 | — | 83 | ||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||
Certificate reserves | $ | 5,296,636 | $ | — | $ | — | $ | 5,289,947 | $ | 5,289,947 |
December 31, 2020 | |||||||||||||||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||||||||
Syndicated loans | $ | 147,221 | $ | — | $ | 139,180 | $ | 7,838 | $ | 147,018 | |||||||||||||||||||
Commercial mortgage loans | 122,319 | — | — | 127,721 | 127,721 | ||||||||||||||||||||||||
Certificate loans | 212 | — | 212 | — | 212 | ||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||
Certificate reserves | $ | 6,752,149 | $ | — | $ | — | $ | 6,751,705 | $ | 6,751,705 |
December 31, 2021 | |||||||||||||||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Assets Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||
OTC | $ | 44,135 | $ | — | $ | 44,135 | $ | (41,467) | $ | (2,635) | $ | 33 | |||||||||||||||||||||||
Total | $ | 44,135 | $ | — | $ | 44,135 | $ | (41,467) | $ | (2,635) | $ | 33 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Assets Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||
OTC | $ | 66,644 | $ | — | $ | 66,644 | $ | (59,924) | $ | (6,693) | $ | 27 | |||||||||||||||||||||||
Exchange-traded | 19 | — | 19 | — | — | 19 | |||||||||||||||||||||||||||||
Total | $ | 66,663 | $ | — | $ | 66,663 | $ | (59,924) | $ | (6,693) | $ | 46 |
December 31, 2021 | |||||||||||||||||||||||||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Liabilities Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||
OTC | $ | 41,467 | $ | — | $ | 41,467 | $ | (41,467) | $ | — | $ | — | |||||||||||||||||||||||
Exchange-traded | 3 | — | 3 | — | — | 3 | |||||||||||||||||||||||||||||
Total | $ | 41,470 | $ | — | $ | 41,470 | $ | (41,467) | $ | — | $ | 3 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Amounts of Liabilities Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | |||||||||||||||||||||||||||||||
Financial Instruments (1) | Cash Collateral | ||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||
OTC | $ | 59,924 | $ | — | $ | 59,924 | $ | (59,924) | $ | — | $ | — | |||||||||||||||||||||||
Total | $ | 59,924 | $ | — | $ | 59,924 | $ | (59,924) | $ | — | $ | — |
December 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||
Notional | Gross Fair Value | Notional | Gross Fair Value | ||||||||||||||||||||||||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Derivatives not designated as hedging instruments | |||||||||||||||||||||||||||||||||||
Equity contracts (1) | $ | 400,458 | $ | 44,135 | $ | 41,470 | $ | 586,976 | $ | 66,663 | $ | 59,924 | |||||||||||||||||||||||
Embedded derivatives | |||||||||||||||||||||||||||||||||||
Stock market certificates (2) | N/A | — | 3,853 | N/A | — | 8,282 | |||||||||||||||||||||||||||||
Total derivatives | $ | 400,458 | $ | 44,135 | $ | 45,323 | $ | 586,976 | $ | 66,663 | $ | 68,206 |
Derivatives not designated as hedging instruments | Location of Gain (Loss) on Derivatives Recognized in Income | Amount of Gain (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Years Ended December 31, | |||||||||||||||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Equity contracts | |||||||||||||||||||||||||||||
Stock market certificates | Net provision for certificate reserves | $ | 1,403 | $ | 1,271 | $ | 10,743 | ||||||||||||||||||||||
Stock market certificates embedded derivatives | Net provision for certificate reserves | (1,173) | (1,214) | (9,317) | (1) | ||||||||||||||||||||||||
Total | $ | 230 | $ | 57 | $ | 1,426 |
Accumulated Other Comprehensive Income (Loss) Reclassification | Location of (Gain) Loss Recognized in Income | 2021 | 2020 | 2019 | ||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Unrealized net (gains) losses on Available-for-Sale securities | Net realized gain (loss) on investments | $ | (1,093) | $ | (2,950) | $ | (194) | |||||||||||||||||||
Tax expense (benefit) | Income tax expense (benefit) | 230 | 620 | 41 | ||||||||||||||||||||||
Net of tax | $ | (863) | $ | (2,330) | $ | (153) |
Accumulated Other Comprehensive Income (Loss) Reclassification | Location of (Gain) Loss Recognized in Income | 2017 | 2016 | |||||||
(in thousands) | ||||||||||
Unrealized net (gains) losses on Available-for-Sale securities | Net realized gain (loss) on investments | $ | (12,021 | ) | $ | (1,007 | ) | |||
Tax expense (benefit) | Income tax expense (benefit) | 4,207 | 352 | |||||||
Net of tax | $ | (7,814 | ) | $ | (655 | ) |
Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
(in thousands) | |||||||||||
Current income tax: | |||||||||||
Federal | $ | 25,319 | $ | 6,952 | $ | 3,417 | |||||
State and local | 3,047 | 1,192 | 926 | ||||||||
Total current income tax | 28,366 | 8,144 | 4,343 | ||||||||
Deferred income tax: | |||||||||||
Federal | 2,016 | 8,558 | 6,196 | ||||||||
State and local | (192 | ) | 783 | 445 | |||||||
Total deferred income tax | 1,824 | 9,341 | 6,641 | ||||||||
Total income tax provision | $ | 30,190 | $ | 17,485 | $ | 10,984 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
(in thousands) | |||||||||||||||||
Current income tax: | |||||||||||||||||
Federal | $ | 5,738 | $ | 5,576 | $ | 14,167 | |||||||||||
State and local | 617 | 1,065 | 2,398 | ||||||||||||||
Total current income tax | 6,355 | 6,641 | 16,565 | ||||||||||||||
Deferred income tax: | |||||||||||||||||
Federal | 1,397 | 2,188 | (2,295) | ||||||||||||||
State and local | 260 | 438 | (421) | ||||||||||||||
Total deferred income tax | 1,657 | 2,626 | (2,716) | ||||||||||||||
Total income tax provision | $ | 8,012 | $ | 9,267 | $ | 13,849 |
Years Ended December 31, | |||||||||||||||||
2021 | 2020 | 2019 | |||||||||||||||
Tax at U.S. statutory rate | 21.0 | % | 21.0 | % | 21.0 | % | |||||||||||
Changes in taxes resulting from: | |||||||||||||||||
State income tax, net | 2.1 | 3.0 | 2.7 | ||||||||||||||
Other | 1.0 | (0.1) | 0.3 | ||||||||||||||
Income tax provision | 24.1 | % | 23.9 | % | 24.0 | % |
Years Ended December 31, | ||||||||
2017 | 2016 | 2015 | ||||||
Tax at U.S. statutory rate | 35.0 | % | 35.0 | % | 35.0 | % | ||
Impact of Tax Act | 4.6 | — | — | |||||
State income tax, net | 2.5 | 2.8 | 2.7 | |||||
Uncertain tax positions | — | — | (4.1 | ) | ||||
Taxes applicable to prior years | — | — | (1.0 | ) | ||||
Other | (1.4 | ) | 0.4 | — | ||||
Income tax provision | 40.7 | % | 38.2 | % | 32.6 | % |
December 31, | |||||||
2017 | 2016 | ||||||
(in thousands) | |||||||
Deferred income tax assets: | |||||||
Certificate reserves | $ | 437 | $ | 335 | |||
Investment unrealized losses, net | 342 | 248 | |||||
Other | — | 3 | |||||
Total deferred income tax assets | 779 | 586 | |||||
Deferred income tax liabilities: | |||||||
Investments, including bond discounts and premiums | 35 | 94 | |||||
Other | 8 | — | |||||
Total deferred income tax liabilities | 43 | 94 | |||||
Net deferred income tax assets | $ | 736 | $ | 492 |
December 31, | |||||||||||
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Deferred income tax assets: | |||||||||||
Certificate reserves | $ | 1,057 | $ | 2,526 | |||||||
Other | — | 81 | |||||||||
Total deferred income tax assets | 1,057 | 2,607 | |||||||||
Deferred income tax liabilities: | |||||||||||
Investment unrealized gains, net | 4,441 | 9,783 | |||||||||
Investments, including bond discounts and premiums | 1,173 | 1,066 | |||||||||
Total deferred income tax liabilities | 5,614 | 10,849 | |||||||||
Net deferred income tax liabilities | $ | 4,557 | $ | 8,242 |
2017 | 2016 | 2015 | 2021 | 2020 | 2019 | (in thousands) | ||||||||||||||||||||||
Balance at January 1 | $ | 2,486 | $ | 1,935 | $ | 5,514 | Balance at January 1 | $ | 3,531 | $ | 3,767 | $ | 3,770 | |||||||||||||||
Additions based on tax positions related to the current year | 1,217 | 782 | — | Additions based on tax positions related to the current year | 316 | 167 | 715 | |||||||||||||||||||||
Additions for tax positions of prior years | 14 | 423 | — | Additions for tax positions of prior years | 82 | — | — | |||||||||||||||||||||
Reductions for tax positions of prior years | (532 | ) | (654 | ) | (3,579 | ) | Reductions for tax positions of prior years | — | (194) | (718) | ||||||||||||||||||
Settlements | (654 | ) | — | — | ||||||||||||||||||||||||
Reductions due to lapse of statute of limitations | Reductions due to lapse of statute of limitations | (103) | (209) | — | ||||||||||||||||||||||||
Balance at December 31 | $ | 2,531 | $ | 2,486 | $ | 1,935 | Balance at December 31 | $ | 3,826 | $ | 3,531 | $ | 3,767 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
CASH EQUIVALENTS | |||||||||||||||||||||||
CERTIFICATE OF DEPOSITS | |||||||||||||||||||||||
AUSTRALIA AND NEW ZEALAND BANK | 1/3/2022 | 0.001 | % | $ | 50,000 | $ | 50,000 | $ | 50,000 | ||||||||||||||
CANADIAN IMPERIAL BANK | 1/3/2022 | 0.001 | 50,000 | 50,000 | 50,000 | ||||||||||||||||||
TOTAL CERTIFICATE OF DEPOSITS | 100,000 | 100,000 | |||||||||||||||||||||
COMMERCIAL PAPER | |||||||||||||||||||||||
AMERICAN ELECTRIC POWER COMPANY | 1/10/2022 | — | 21,000 | 20,998 | 20,998 | ||||||||||||||||||
BALTIMORE GAS AND ELECTRIC CO | 1/7/2022 | — | 48,000 | 47,998 | 47,998 | ||||||||||||||||||
CATERPILLAR FINANCIAL SERVICES | 1/3/2022 | — | 21,100 | 21,100 | 21,100 | ||||||||||||||||||
DANAHER CORP | 1/14/2022 | — | 50,000 | 49,995 | 49,995 | ||||||||||||||||||
DTE GAS CO | 1/10/2022 | — | 29,000 | 28,998 | 28,998 | ||||||||||||||||||
DUKE ENERGY CORP | 1/4/2022 | — | 50,000 | 49,999 | 49,999 | ||||||||||||||||||
DUKE ENERGY CORP | 1/3/2022 | — | 43,500 | 43,500 | 43,500 | ||||||||||||||||||
DUKE ENERGY CORP | 1/11/2022 | — | 30,000 | 29,998 | 29,998 | ||||||||||||||||||
EVERGY KANSAS CENTRAL INC | 1/3/2022 | — | 20,000 | 20,000 | 20,000 | ||||||||||||||||||
EVERGY MISSOURI WEST INC | 1/3/2022 | — | 15,500 | 15,500 | 15,500 | ||||||||||||||||||
EVERGY MISSOURI WEST INC | 1/5/2022 | — | 8,000 | 8,000 | 8,000 | ||||||||||||||||||
EVERGY MISSOURI WEST INC | 1/12/2022 | — | 40,000 | 39,996 | 39,996 | ||||||||||||||||||
EVERSOURCE ENERGY | 1/4/2022 | — | 20,000 | 19,999 | 19,999 | ||||||||||||||||||
EVERSOURCE ENERGY | 1/6/2022 | — | 25,700 | 25,699 | 25,699 | ||||||||||||||||||
MCKESSON CORP | 1/3/2022 | — | 50,000 | 49,999 | 49,999 | ||||||||||||||||||
ONCOR ELECTRIC DELIVERY COMPANY | 1/3/2022 | — | 15,000 | 15,000 | 15,000 | ||||||||||||||||||
PUBLIC SERVICE COMPANY OF COLORADO | 1/6/2022 | — | 30,000 | 29,999 | 29,999 | ||||||||||||||||||
SOUTHERN COMPANY GAS CAPITAL | 1/7/2022 | — | 10,000 | 10,000 | 10,000 | ||||||||||||||||||
SOUTHERN COMPANY GAS CAPITAL | 1/14/2022 | — | 15,000 | 14,998 | 14,998 | ||||||||||||||||||
WEC ENERGY GROUP INC | 1/6/2022 | — | 16,500 | 16,499 | 16,499 | ||||||||||||||||||
XCEL ENERGY INC | 1/4/2022 | — | 14,000 | 14,000 | 14,000 | ||||||||||||||||||
TOTAL COMMERCIAL PAPER | 572,275 | 572,275 | |||||||||||||||||||||
TOTAL CASH EQUIVALENTS | 672,275 | 672,275 | |||||||||||||||||||||
FIXED MATURITIES | |||||||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||||||||||||||||||||
UNITED STATES TREASURY BILL | 1/27/2022 | — | 55,000 | 54,998 | 54,999 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/24/2022 | — | 100,000 | 99,992 | 99,995 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/24/2022 | — | 40,000 | 39,995 | 39,995 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 4/21/2022 | — | 50,000 | 49,991 | 49,990 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/16/2022 | — | 50,000 | 49,970 | 49,971 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/6/2022 | — | 75,000 | 74,999 | 75,000 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/13/2022 | — | 60,000 | 59,999 | 60,000 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/20/2022 | — | 60,000 | 59,998 | 59,999 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/3/2022 | — | 50,000 | 49,998 | 49,999 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/10/2022 | — | 60,000 | 59,996 | 59,998 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/17/2022 | — | 60,000 | 59,996 | 59,997 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/3/2022 | — | 60,000 | 59,994 | 59,995 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/10/2022 | — | 50,000 | 49,995 | 49,996 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/17/2022 | — | 60,000 | 59,994 | 59,994 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/31/2022 | — | 40,000 | 39,995 | 39,996 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 4/7/2022 | — | 40,000 | 39,994 | 39,993 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 4/14/2022 | — | 40,000 | 39,994 | 39,992 |
CASH EQUIVALENTS | ||||||||||||||
COMMERCIAL PAPER | ||||||||||||||
CENTERPOINT ENERGY INC | 1/2/2018 | — | % | $ | 36,300 | $ | 36,298 | $ | 36,298 | |||||
E I DU PONT DE NEMOURS AND CO | 1/4/2018 | — | 15,000 | 14,998 | 14,998 | |||||||||
TOTAL COMMERCIAL PAPER | 51,296 | 51,296 | ||||||||||||
TOTAL CASH EQUIVALENTS | 51,296 | 51,296 | ||||||||||||
FIXED MATURITIES | ||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS | ||||||||||||||
UNITED STATES TREASURY BILL | 5/24/2018 | — | 50,000 | 49,719 | 49,719 | |||||||||
UNITED STATES TREASURY BILL | 6/21/2018 | — | 75,000 | 74,480 | 74,480 | |||||||||
UNITED STATES TREASURY BILL | 5/31/2018 | — | 50,000 | 49,701 | 49,701 | |||||||||
UNITED STATES TREASURY BILL | 6/7/2018 | — | 75,000 | 74,526 | 74,526 | |||||||||
UNITED STATES TREASURY BILL | 6/14/2018 | — | 75,000 | 74,503 | 74,503 | |||||||||
UNITED STATES TREASURY BILL | 6/28/2018 | — | 75,000 | 74,425 | 74,425 | |||||||||
UNITED STATES TREASURY BILL | 7/5/2018 | — | 50,000 | 49,614 | 49,614 | |||||||||
UNITED STATES TREASURY BOND | 11/15/2028 | 5.250 | 200 | 211 | 254 | |||||||||
UNITED STATES TREASURY NOTE | 5/31/2018 | 1.000 | 50,000 | 49,919 | 49,899 | |||||||||
TOTAL U. S. GOVERNMENT AND AGENCY OBLIGATIONS | 497,098 | 497,121 | ||||||||||||
STATE AND MUNICIPAL OBLIGATIONS | ||||||||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2019 | 3.307 | 1,550 | 1,550 | 1,558 | |||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2020 | 3.757 | 3,205 | 3,205 | 3,253 | |||||||||
FLORIDA ST MID-BAY BRIDGE AUTHORITY | 10/1/2021 | 3.784 | 3,625 | 3,625 | 3,655 | |||||||||
HOUSING AND REDEVELOPMENT AUTHORITY OF ST. PAUL | 7/1/2018 | 1.838 | 2,000 | 2,000 | 1,998 | |||||||||
KENTUCKY ST PPTY & BLDGS COMMN | 5/1/2020 | 2.263 | 1,285 | 1,285 | 1,275 | |||||||||
KENTUCKY ST PPTY & BLDGS COMMN | 5/1/2021 | 2.564 | 1,100 | 1,100 | 1,092 | |||||||||
L'ANSE CREUSE MICHIGAN PUBLIC SCHOOLS | 5/1/2020 | 2.159 | 5,000 | 5,000 | 5,000 | |||||||||
LOS ANGELES CALIF MUN IMPT CORPORATION | 11/1/2019 | 2.846 | 3,000 | 3,000 | 3,036 | |||||||||
LOS ANGELES COUNTY CALIFORNIA REDEV AUTHORITY | 8/1/2019 | 2.644 | 2,425 | 2,425 | 2,442 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 4/1/2018 | 1.446 | 2,030 | 2,030 | 2,026 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 10/1/2019 | 1.822 | 1,460 | 1,460 | 1,442 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 4/1/2020 | 1.946 | 1,080 | 1,080 | 1,070 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2018 | 3.330 | 1,380 | 1,380 | 1,353 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2019 | 3.780 | 2,155 | 2,155 | 2,026 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2020 | 4.125 | 2,810 | 2,810 | 2,559 | |||||||||
OYSTER BAY NY | 2/1/2018 | 3.250 | 1,250 | 1,250 | 1,250 | |||||||||
OYSTER BAY NY | 2/1/2019 | 3.550 | 1,800 | 1,801 | 1,803 | |||||||||
PORT OF SEATTLE | 5/1/2019 | 1.894 | 2,000 | 2,000 | 1,997 | |||||||||
PORT OF SEATTLE | 5/1/2020 | 2.007 | 5,000 | 5,000 | 4,977 | |||||||||
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2019 | 2.000 | 3,835 | 3,813 | 3,824 | |||||||||
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2018 | 1.625 | 3,780 | 3,771 | 3,773 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
UNITED STATES TREASURY BILL | 4/28/2022 | — | 50,000 | 49,990 | 49,988 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 5/26/2022 | — | 75,000 | 74,979 | 74,974 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/2/2022 | — | 75,000 | 74,971 | 74,967 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/9/2022 | — | 50,000 | 49,977 | 49,975 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/23/2022 | — | 50,000 | 49,961 | 49,961 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/30/2022 | — | 50,000 | 49,950 | 49,956 | ||||||||||||||||||
UNITED STATES TREASURY BOND | 11/15/2028 | 5.250 | 200 | 207 | 250 | ||||||||||||||||||
TOTAL U. S. GOVERNMENT AND AGENCY OBLIGATIONS | 1,299,933 | 1,299,980 | |||||||||||||||||||||
STATE AND MUNICIPAL OBLIGATIONS | |||||||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL AIRPORT | 11/1/2023 | 1.041 | 250 | 250 | 251 | ||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL AIRPORT | 11/1/2024 | 1.229 | 250 | 250 | 250 | ||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL AIRPORT | 11/1/2025 | 1.329 | 1,000 | 1,000 | 996 | ||||||||||||||||||
GREAT LAKES WATER AUTHORITY | 7/1/2024 | 1.604 | 600 | 600 | 606 | ||||||||||||||||||
GREAT LAKES WATER AUTHORITY | 7/1/2025 | 1.654 | 600 | 600 | 605 | ||||||||||||||||||
LONG ISLAND POWER AUTHORITY | 3/1/2023 | 0.764 | 1,000 | 1,000 | 1,001 | ||||||||||||||||||
PORT AUTHORITY OF NEW YORK | 7/1/2023 | 1.086 | 5,000 | 5,000 | 5,027 | ||||||||||||||||||
STATE OF CONNECTICUT | 9/15/2022 | 3.471 | 2,000 | 2,000 | 2,040 | ||||||||||||||||||
STATE OF CONNECTICUT | 7/1/2022 | 2.500 | 500 | 502 | 505 | ||||||||||||||||||
STATE OF CONNECTICUT | 7/1/2023 | 2.000 | 750 | 752 | 763 | ||||||||||||||||||
TOTAL STATE AND MUNICIPAL OBLIGATIONS | 11,954 | 12,044 |
RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
FANNIE MAE 06-36 GF | 5/25/2036 | 0.402 | 2,950 | 2,962 | 2,977 | ||||||||||||||||||
FANNIE MAE 07-46 FB | 5/25/2037 | 0.472 | 793 | 795 | 798 | ||||||||||||||||||
FANNIE MAE 09-107 FL | 2/25/2038 | 0.742 | 1,391 | 1,398 | 1,404 | ||||||||||||||||||
FANNIE MAE 13-2 KF | 1/25/2037 | 0.282 | 4,415 | 4,406 | 4,415 | ||||||||||||||||||
FANNIE MAE AF-2015-22C | 4/25/2045 | 0.449 | 7,947 | 7,921 | 7,926 | ||||||||||||||||||
FANNIE MAE AF-2015-42 | 6/25/2055 | 0.429 | 7,518 | 7,481 | 7,495 | ||||||||||||||||||
FANNIE MAE AF-2015-91 | 12/25/2045 | 0.469 | 7,830 | 7,798 | 7,840 | ||||||||||||||||||
FANNIE MAE FA-2015-4 | 2/25/2045 | 0.449 | 3,038 | 3,042 | 3,039 | ||||||||||||||||||
FANNIE MAE FW-2015-84 | 11/25/2045 | 0.449 | 8,343 | 8,333 | 8,322 | ||||||||||||||||||
FANNIE MAE 07-6 | 2/25/2037 | 0.552 | 4,831 | 4,839 | 4,883 | ||||||||||||||||||
FANNIE MAE 09-101 | 12/25/2039 | 0.942 | 6,358 | 6,448 | 6,523 | ||||||||||||||||||
FANNIE MAE 12-133 | 4/25/2042 | 0.352 | 3,587 | 3,576 | 3,579 | ||||||||||||||||||
FANNIE MAE 16-2 | 2/25/2056 | 0.579 | 2,607 | 2,605 | 2,625 | ||||||||||||||||||
FANNIE MAE 303970 | 9/1/2024 | 6.000 | 18 | 18 | 20 | ||||||||||||||||||
FANNIE MAE 545492 | 2/1/2022 | 5.500 | — | — | — | ||||||||||||||||||
FANNIE MAE 725558 | 6/1/2034 | 1.840 | 36 | 36 | 37 | ||||||||||||||||||
FANNIE MAE 725694 | 7/1/2034 | 1.508 | 107 | 105 | 107 | ||||||||||||||||||
FANNIE MAE 725719 | 7/1/2033 | 1.575 | 201 | 200 | 205 | ||||||||||||||||||
FANNIE MAE 735034 | 10/1/2034 | 1.785 | 1,995 | 2,090 | 2,078 | ||||||||||||||||||
FANNIE MAE 735702 | 7/1/2035 | 1.930 | 1,189 | 1,221 | 1,247 | ||||||||||||||||||
FANNIE MAE 794787 | 10/1/2034 | 1.710 | 48 | 48 | 49 | ||||||||||||||||||
FANNIE MAE 799733 | 11/1/2034 | 1.827 | 157 | 160 | 157 | ||||||||||||||||||
FANNIE MAE 801337 | 9/1/2034 | 1.732 | 1,101 | 1,155 | 1,144 | ||||||||||||||||||
FANNIE MAE 801917 | 10/1/2034 | 2.070 | 221 | 222 | 222 | ||||||||||||||||||
FANNIE MAE 804561 | 9/1/2034 | 2.094 | 191 | 191 | 195 | ||||||||||||||||||
FANNIE MAE 807219 | 1/1/2035 | 2.146 | 378 | 381 | 398 |
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2019 | 2.000 | 4,680 | 4,654 | 4,666 | |||||||||
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2020 | 2.250 | 2,000 | 1,986 | 1,982 | |||||||||
TOTAL STATE AND MUNICIPAL OBLIGATIONS | 58,380 | 58,057 | ||||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
FANNIE MAE 06-36 GF | 5/25/2036 | 1.852 | 7,180 | 7,209 | 7,173 | |||||||||
FANNIE MAE 07-46 FB | 5/25/2037 | 1.922 | 2,727 | 2,733 | 2,731 | |||||||||
FANNIE MAE 09-107 FL | 2/25/2038 | 2.202 | 2,628 | 2,640 | 2,647 | |||||||||
FANNIE MAE 13-2 KF | 1/25/2037 | 1.732 | 10,146 | 10,126 | 10,056 | |||||||||
FANNIE MAE AF-2015-22C | 4/25/2045 | 1.592 | 22,503 | 22,426 | 22,341 | |||||||||
FANNIE MAE AF-2015-42 | 6/25/2055 | 1.572 | 23,519 | 23,393 | 23,510 | |||||||||
FANNIE MAE AF-2015-91 | 12/25/2045 | 1.612 | 24,244 | 24,141 | 24,112 | |||||||||
FANNIE MAE FA-2015-4 | 2/25/2045 | 1.592 | 10,852 | 10,865 | 10,815 | |||||||||
FANNIE MAE FW-2015-84 | 11/25/2045 | 1.592 | 21,701 | 21,671 | 21,655 | |||||||||
FANNIE MAE 05-103 | 7/25/2035 | 2.052 | 21,457 | 21,547 | 21,554 | |||||||||
FANNIE MAE 07-6 | 2/25/2037 | 2.002 | 11,343 | 11,362 | 11,397 | |||||||||
FANNIE MAE 09-101 | 12/25/2039 | 2.392 | 15,263 | 15,490 | 15,567 | |||||||||
FANNIE MAE 16-2 | 2/25/2056 | 1.841 | 8,000 | 7,990 | 8,009 | |||||||||
FANNIE MAE 16-40 | 7/25/2056 | 1.722 | 25,844 | 25,807 | 25,966 | |||||||||
FANNIE MAE 17-54 | 7/25/2047 | 1.661 | 26,080 | 26,063 | 26,055 | |||||||||
FANNIE MAE 17-68 | 9/25/2047 | 1.661 | 28,570 | 28,564 | 28,496 | |||||||||
FANNIE MAE 254590 | 1/1/2018 | 5.000 | — | — | — | |||||||||
FANNIE MAE 303970 | 9/1/2024 | 6.000 | 265 | 263 | 296 | |||||||||
FANNIE MAE 545492 | 2/1/2022 | 5.500 | 126 | 125 | 138 | |||||||||
FANNIE MAE 703446 | 5/1/2018 | 4.500 | 153 | 152 | 155 | |||||||||
FANNIE MAE 704592 | 5/1/2018 | 5.000 | 47 | 47 | 48 | |||||||||
FANNIE MAE 708635 | 6/1/2018 | 5.000 | 24 | 24 | 25 | |||||||||
FANNIE MAE 725558 | 6/1/2034 | 3.508 | 282 | 280 | 297 | |||||||||
FANNIE MAE 725694 | 7/1/2034 | 2.883 | 180 | 177 | 185 | |||||||||
FANNIE MAE 725719 | 7/1/2033 | 2.853 | 521 | 519 | 534 | |||||||||
FANNIE MAE 735034 | 10/1/2034 | 3.288 | 5,217 | 5,495 | 5,457 | |||||||||
FANNIE MAE 735702 | 7/1/2035 | 3.448 | 4,121 | 4,239 | 4,328 | |||||||||
FANNIE MAE 794787 | 10/1/2034 | 3.198 | 198 | 201 | 209 | |||||||||
FANNIE MAE 799733 | 11/1/2034 | 3.345 | 270 | 274 | 285 | |||||||||
FANNIE MAE 801337 | 9/1/2034 | 3.099 | 2,351 | 2,478 | 2,441 | |||||||||
FANNIE MAE 801917 | 10/1/2034 | 3.570 | 287 | 289 | 303 | |||||||||
FANNIE MAE 804561 | 9/1/2034 | 3.248 | 629 | 631 | 663 | |||||||||
FANNIE MAE 807219 | 1/1/2035 | 3.633 | 1,731 | 1,746 | 1,825 | |||||||||
FANNIE MAE 809532 | 2/1/2035 | 3.256 | 381 | 383 | 402 | |||||||||
FANNIE MAE 834552 | 8/1/2035 | 3.580 | 567 | 570 | 587 | |||||||||
FANNIE MAE 889335 | 6/1/2018 | 4.500 | 110 | 110 | 112 | |||||||||
FANNIE MAE 889485 | 6/1/2036 | 3.467 | 3,757 | 3,819 | 3,952 | |||||||||
FANNIE MAE 922674 | 4/1/2036 | 3.636 | 1,851 | 1,895 | 1,962 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FANNIE MAE 809532 | 2/1/2035 | 2.063 | 148 | 149 | 154 | ||||||||||||||||||
FANNIE MAE 834552 | 8/1/2035 | 2.097 | 143 | 144 | 149 | ||||||||||||||||||
FANNIE MAE 889485 | 6/1/2036 | 1.961 | 1,398 | 1,419 | 1,463 | ||||||||||||||||||
FANNIE MAE 922674 | 4/1/2036 | 2.214 | 582 | 595 | 614 | ||||||||||||||||||
FANNIE MAE 968438 | 1/1/2038 | 1.905 | 950 | 996 | 982 | ||||||||||||||||||
FANNIE MAE 995123 | 8/1/2037 | 2.175 | 235 | 243 | 246 | ||||||||||||||||||
FANNIE MAE 995548 | 9/1/2035 | 1.838 | 604 | 617 | 631 | ||||||||||||||||||
FANNIE MAE 995604 | 11/1/2035 | 1.988 | 1,799 | 1,888 | 1,887 | ||||||||||||||||||
FANNIE MAE 995614 | 8/1/2037 | 1.084 | 350 | 368 | 353 | ||||||||||||||||||
FANNIE MAE AB5230 | 5/1/2027 | 2.500 | 3,069 | 3,106 | 3,188 | ||||||||||||||||||
FANNIE MAE AD0901 | 4/1/2040 | 2.099 | 1,354 | 1,436 | 1,419 | ||||||||||||||||||
FANNIE MAE AE0559 | 12/1/2034 | 1.914 | 1,617 | 1,691 | 1,687 | ||||||||||||||||||
FANNIE MAE AE0566 | 8/1/2035 | 2.035 | 1,386 | 1,451 | 1,453 | ||||||||||||||||||
FANNIE MAE AF-2016-11 | 3/25/2046 | 0.599 | 4,029 | 4,023 | 4,029 | ||||||||||||||||||
FANNIE MAE AF-2016-87 | 11/25/2046 | 0.499 | 5,440 | 5,438 | 5,425 | ||||||||||||||||||
FANNIE MAE AF-2016-88 | 12/25/2046 | 0.539 | 4,457 | 4,457 | 4,459 | ||||||||||||||||||
FANNIE MAE AF-2018-87 | 12/25/2048 | 0.399 | 15,598 | 15,537 | 15,572 | ||||||||||||||||||
FANNIE MAE AF-204620 | 11/15/2042 | 0.539 | 4,542 | 4,535 | 4,538 | ||||||||||||||||||
FANNIE MAE AL1037 | 1/1/2037 | 2.318 | 1,499 | 1,587 | 1,592 | ||||||||||||||||||
FANNIE MAE AL2269 | 10/1/2040 | 2.116 | 1,224 | 1,299 | 1,285 | ||||||||||||||||||
FANNIE MAE AL3935 | 9/1/2037 | 2.002 | 3,485 | 3,668 | 3,648 | ||||||||||||||||||
FANNIE MAE AL3961 | 2/1/2039 | 1.861 | 1,418 | 1,493 | 1,483 | ||||||||||||||||||
FANNIE MAE AL4100 | 9/1/2036 | 1.912 | 2,813 | 2,955 | 2,946 | ||||||||||||||||||
FANNIE MAE AL4110 | 3/1/2037 | 1.831 | 2,380 | 2,493 | 2,487 | ||||||||||||||||||
FANNIE MAE AL4114 | 2/1/2039 | 2.108 | 2,296 | 2,429 | 2,421 | ||||||||||||||||||
FANNIE MAE AO8746 | 8/1/2027 | 2.500 | 5,396 | 5,503 | 5,599 | ||||||||||||||||||
FANNIE MAE ARM 190726 | 3/1/2033 | 4.825 | 39 | 39 | 39 | ||||||||||||||||||
FANNIE MAE ARM 249907 | 2/1/2024 | 2.625 | 24 | 24 | 24 | ||||||||||||||||||
FANNIE MAE ARM 303259 | 3/1/2025 | 2.340 | 7 | 7 | 7 | ||||||||||||||||||
FANNIE MAE ARM 545786 | 6/1/2032 | 2.290 | 155 | 156 | 156 | ||||||||||||||||||
FANNIE MAE ARM 620293 | 1/1/2032 | 2.400 | 25 | 25 | 25 | ||||||||||||||||||
FANNIE MAE ARM 651629 | 8/1/2032 | 1.935 | 62 | 62 | 62 | ||||||||||||||||||
FANNIE MAE ARM 655646 | 8/1/2032 | 1.965 | 78 | 79 | 79 | ||||||||||||||||||
FANNIE MAE ARM 655798 | 8/1/2032 | 1.854 | 171 | 171 | 171 | ||||||||||||||||||
FANNIE MAE ARM 661349 | 9/1/2032 | 2.270 | 73 | 73 | 76 | ||||||||||||||||||
FANNIE MAE ARM 661744 | 10/1/2032 | 2.102 | 143 | 143 | 148 | ||||||||||||||||||
FANNIE MAE ARM 664750 | 10/1/2032 | 1.863 | 61 | 61 | 61 | ||||||||||||||||||
FANNIE MAE ARM 670731 | 11/1/2032 | 1.540 | 53 | 53 | 53 | ||||||||||||||||||
FANNIE MAE ARM 670779 | 11/1/2032 | 1.540 | 239 | 240 | 240 | ||||||||||||||||||
FANNIE MAE ARM 670890 | 12/1/2032 | 1.665 | 83 | 83 | 84 | ||||||||||||||||||
FANNIE MAE ARM 670912 | 12/1/2032 | 1.665 | 68 | 68 | 68 | ||||||||||||||||||
FANNIE MAE ARM 670947 | 12/1/2032 | 1.665 | 140 | 141 | 141 | ||||||||||||||||||
FANNIE MAE ARM 722779 | 9/1/2033 | 1.538 | 69 | 69 | 69 | ||||||||||||||||||
FANNIE MAE ARM 733525 | 8/1/2033 | 1.751 | 236 | 229 | 243 | ||||||||||||||||||
FANNIE MAE ARM 739194 | 9/1/2033 | 1.861 | 280 | 280 | 289 |
FANNIE MAE 968438 | 1/1/2038 | 3.411 | 5,737 | 6,025 | 5,998 | |||||||||
FANNIE MAE 995123 | 8/1/2037 | 3.690 | 1,629 | 1,685 | 1,725 | |||||||||
FANNIE MAE 995548 | 9/1/2035 | 3.355 | 2,229 | 2,277 | 2,333 | |||||||||
FANNIE MAE 995604 | 11/1/2035 | 3.462 | 6,786 | 7,152 | 7,136 | |||||||||
FANNIE MAE 995614 | 8/1/2037 | 2.557 | 2,075 | 2,184 | 2,111 | |||||||||
FANNIE MAE AB1980 | 12/1/2020 | 3.000 | 2,231 | 2,253 | 2,274 | |||||||||
FANNIE MAE AB5230 | 5/1/2027 | 2.500 | 10,061 | 10,242 | 10,112 | |||||||||
FANNIE MAE AD0901 | 4/1/2040 | 3.424 | 6,342 | 6,742 | 6,640 | |||||||||
FANNIE MAE AE0559 | 12/1/2034 | 3.355 | 4,437 | 4,667 | 4,651 | |||||||||
FANNIE MAE AE0566 | 8/1/2035 | 3.486 | 3,865 | 4,064 | 4,072 | |||||||||
FANNIE MAE AF-2016-11 | 3/25/2046 | 1.742 | 13,978 | 13,954 | 13,999 | |||||||||
FANNIE MAE AF-2016-30 | 5/25/2046 | 1.742 | 26,763 | 26,743 | 26,765 | |||||||||
FANNIE MAE AF-2016-87 | 11/25/2046 | 1.761 | 17,343 | 17,336 | 17,360 | |||||||||
FANNIE MAE AF-2016-88 | 12/25/2046 | 1.801 | 15,141 | 15,141 | 15,106 | |||||||||
FANNIE MAE AF-2017-10 | 3/25/2047 | 1.751 | 22,357 | 22,327 | 22,386 | |||||||||
FANNIE MAE AF-204620 | 11/15/2042 | 1.801 | 15,445 | 15,417 | 15,519 | |||||||||
FANNIE MAE AL1037 | 1/1/2037 | 3.237 | 3,545 | 3,775 | 3,739 | |||||||||
FANNIE MAE AL2269 | 10/1/2040 | 3.535 | 5,237 | 5,569 | 5,481 | |||||||||
FANNIE MAE AL3935 | 9/1/2037 | 3.508 | 9,773 | 10,330 | 10,302 | |||||||||
FANNIE MAE AL3961 | 2/1/2039 | 3.292 | 7,353 | 7,759 | 7,679 | |||||||||
FANNIE MAE AL4100 | 9/1/2036 | 3.420 | 10,065 | 10,610 | 10,555 | |||||||||
FANNIE MAE AL4110 | 3/1/2037 | 3.338 | 7,598 | 7,988 | 7,945 | |||||||||
FANNIE MAE AL4114 | 2/1/2039 | 3.558 | 9,266 | 9,831 | 9,775 | |||||||||
FANNIE MAE AO8746 | 8/1/2027 | 2.500 | 18,129 | 18,650 | 18,219 | |||||||||
FANNIE MAE ARM 105989 | 8/1/2020 | 3.180 | 1 | 2 | 1 | |||||||||
FANNIE MAE ARM 190726 | 3/1/2033 | 4.825 | 124 | 126 | 128 | |||||||||
FANNIE MAE ARM 249907 | 2/1/2024 | 3.375 | 118 | 119 | 121 | |||||||||
FANNIE MAE ARM 303259 | 3/1/2025 | 3.131 | 35 | 35 | 35 | |||||||||
FANNIE MAE ARM 545786 | 6/1/2032 | 3.165 | 199 | 200 | 202 | |||||||||
FANNIE MAE ARM 620293 | 1/1/2032 | 3.650 | 159 | 158 | 165 | |||||||||
FANNIE MAE ARM 651629 | 8/1/2032 | 3.435 | 208 | 208 | 216 | |||||||||
FANNIE MAE ARM 654158 | 10/1/2032 | 2.915 | 336 | 336 | 354 | |||||||||
FANNIE MAE ARM 654195 | 10/1/2032 | 2.915 | 164 | 165 | 172 | |||||||||
FANNIE MAE ARM 655646 | 8/1/2032 | 3.461 | 236 | 236 | 245 | |||||||||
FANNIE MAE ARM 655798 | 8/1/2032 | 3.381 | 359 | 358 | 379 | |||||||||
FANNIE MAE ARM 661349 | 9/1/2032 | 3.258 | 141 | 141 | 149 | |||||||||
FANNIE MAE ARM 661744 | 10/1/2032 | 3.255 | 322 | 323 | 342 | |||||||||
FANNIE MAE ARM 664521 | 10/1/2032 | 3.205 | 167 | 168 | 169 | |||||||||
FANNIE MAE ARM 664750 | 10/1/2032 | 3.363 | 79 | 79 | 82 | |||||||||
FANNIE MAE ARM 670731 | 11/1/2032 | 2.915 | 417 | 418 | 434 | |||||||||
FANNIE MAE ARM 670779 | 11/1/2032 | 2.915 | 309 | 311 | 321 | |||||||||
FANNIE MAE ARM 670890 | 12/1/2032 | 2.790 | 243 | 243 | 249 | |||||||||
FANNIE MAE ARM 670912 | 12/1/2032 | 3.027 | 286 | 286 | 293 | |||||||||
FANNIE MAE ARM 670947 | 12/1/2032 | 2.797 | 344 | 346 | 361 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FANNIE MAE ARM 743256 | 10/1/2033 | 1.859 | 57 | 57 | 59 | ||||||||||||||||||
FANNIE MAE ARM 743856 | 11/1/2033 | 2.213 | 87 | 87 | 90 | ||||||||||||||||||
FANNIE MAE ARM 758873 | 12/1/2033 | 1.912 | 50 | 50 | 52 | ||||||||||||||||||
FANNIE MAE AS4507 | 2/1/2030 | 3.000 | 4,823 | 4,954 | 5,120 | ||||||||||||||||||
FANNIE MAE AS4878 | 4/1/2030 | 3.000 | 6,021 | 6,187 | 6,393 | ||||||||||||||||||
FANNIE MAE BE5622 | 1/1/2032 | 2.500 | 14,550 | 14,650 | 15,117 | ||||||||||||||||||
FANNIE MAE BK0933 | 7/1/2033 | 3.500 | 5,947 | 6,012 | 6,288 | ||||||||||||||||||
FANNIE MAE CA1265 | 2/1/2033 | 3.000 | 13,001 | 12,937 | 13,699 | ||||||||||||||||||
FANNIE MAE CA2283 | 8/1/2033 | 3.500 | 6,310 | 6,301 | 6,686 | ||||||||||||||||||
FANNIE MAE DF-2015-38 | 6/25/2055 | 0.409 | 12,253 | 12,176 | 12,292 | ||||||||||||||||||
FANNIE MAE DF-2017-16 | 3/25/2047 | 0.519 | 2,324 | 2,334 | 2,322 | ||||||||||||||||||
FANNIE MAE F-2019-31 | 7/25/2049 | 0.552 | 25,078 | 25,067 | 25,284 | ||||||||||||||||||
FANNIE MAE FA-2013-1 | 2/25/2043 | 0.452 | 5,290 | 5,307 | 5,316 | ||||||||||||||||||
FANNIE MAE FA-2015-55 | 8/25/2055 | 0.449 | 5,602 | 5,582 | 5,606 | ||||||||||||||||||
FANNIE MAE FA-204624 | 12/15/2038 | 0.549 | 13,454 | 13,432 | 13,450 | ||||||||||||||||||
FANNIE MAE FC-2017-51 | 7/25/2047 | 0.452 | 20,304 | 20,365 | 20,450 | ||||||||||||||||||
FANNIE MAE FC-2018-73 | 10/25/2048 | 0.402 | 27,044 | 26,971 | 27,167 | ||||||||||||||||||
FANNIE MAE FC-2019-76 | 12/25/2049 | 0.602 | 14,401 | 14,399 | 14,458 | ||||||||||||||||||
FANNIE MAE FK-2010-123 | 11/25/2040 | 0.552 | 5,969 | 6,022 | 6,023 | ||||||||||||||||||
FANNIE MAE FL-2017-4 | 2/25/2047 | 0.549 | 6,005 | 6,005 | 5,999 | ||||||||||||||||||
FANNIE MAE FM9247 | 11/1/2036 | 2.000 | 7,648 | 7,855 | 7,848 | ||||||||||||||||||
FANNIE MAE FT-2016-84 | 11/25/2046 | 0.602 | 8,296 | 8,374 | 8,380 | ||||||||||||||||||
FANNIE MAE GF-204639 | 3/15/2036 | 0.549 | 13,001 | 12,981 | 12,997 | ||||||||||||||||||
FANNIE MAE HYBRID ARM 566074 | 5/1/2031 | 2.400 | 163 | 163 | 164 | ||||||||||||||||||
FANNIE MAE HYBRID ARM 584507 | 6/1/2031 | 2.224 | 96 | 95 | 99 | ||||||||||||||||||
FANNIE MAE KF-2015-27 | 5/25/2045 | 0.402 | 7,282 | 7,261 | 7,333 | ||||||||||||||||||
FANNIE MAE MA1144 | 8/1/2027 | 2.500 | 2,582 | 2,636 | 2,672 | ||||||||||||||||||
FANNIE MAE MA3391 | 6/1/2033 | 3.000 | 7,012 | 6,948 | 7,367 | ||||||||||||||||||
FANNIE MAE WF-2016-68 | 10/25/2046 | 0.549 | 2,990 | 2,994 | 2,990 | ||||||||||||||||||
FANNIE MAE_15-50 | 7/25/2045 | 0.449 | 12,355 | 12,343 | 12,322 | ||||||||||||||||||
FANNIE MAE_15-93 | 8/25/2045 | 0.452 | 2,756 | 2,749 | 2,764 | ||||||||||||||||||
FANNIE MAE_16-11 | 3/25/2046 | 0.649 | 5,249 | 5,255 | 5,262 | ||||||||||||||||||
FANNIE MAE_CF-2019-33 | 7/25/2049 | 0.572 | 13,747 | 13,772 | 13,876 | ||||||||||||||||||
FANNIE MAE_FA-2020-47 | 7/25/2050 | 0.502 | 37,113 | 37,113 | 37,305 | ||||||||||||||||||
FANNIE MAE_YF-204979 | 6/25/2050 | 0.552 | 27,085 | 27,108 | 27,257 | ||||||||||||||||||
FREDDIE MAC 1H2520 | 6/1/2035 | 2.343 | 1,625 | 1,714 | 1,724 | ||||||||||||||||||
FREDDIE MAC 1N1474 | 5/1/2037 | 2.135 | 53 | 56 | 54 | ||||||||||||||||||
FREDDIE MAC 1Q1515 | 11/1/2038 | 2.005 | 6,267 | 6,604 | 6,590 | ||||||||||||||||||
FREDDIE MAC 1Q1540 | 6/1/2040 | 2.072 | 2,415 | 2,573 | 2,539 | ||||||||||||||||||
FREDDIE MAC 1Q1548 | 8/1/2038 | 2.028 | 2,603 | 2,734 | 2,737 | ||||||||||||||||||
FREDDIE MAC 1Q1572 | 5/1/2038 | 2.001 | 5,151 | 5,423 | 5,412 | ||||||||||||||||||
FREDDIE MAC 2A-AOT-76 | 10/25/2037 | 1.569 | 4,237 | 4,298 | 4,345 | ||||||||||||||||||
FREDDIE MAC 4159 FD | 1/15/2043 | 0.460 | 4,443 | 4,458 | 4,473 | ||||||||||||||||||
FREDDIE MAC_4248 | 5/15/2041 | 0.560 | 6,598 | 6,608 | 6,677 | ||||||||||||||||||
FREDDIE MAC 4363 2014 FA | 9/15/2041 | 0.101 | 1,853 | 1,857 | 1,847 | ||||||||||||||||||
FREDDIE MAC_4448 | 5/15/2040 | 0.419 | 5,049 | 5,024 | 5,025 |
FANNIE MAE ARM 694852 | 4/1/2033 | 3.315 | 217 | 220 | 228 | |||||||||
FANNIE MAE ARM 722779 | 9/1/2033 | 2.913 | 622 | 623 | 639 | |||||||||
FANNIE MAE ARM 733525 | 8/1/2033 | 3.214 | 561 | 540 | 580 | |||||||||
FANNIE MAE ARM 739194 | 9/1/2033 | 3.359 | 489 | 490 | 509 | |||||||||
FANNIE MAE ARM 743256 | 10/1/2033 | 3.337 | 207 | 204 | 212 | |||||||||
FANNIE MAE ARM 743856 | 11/1/2033 | 3.335 | 251 | 251 | 263 | |||||||||
FANNIE MAE ARM 758873 | 12/1/2033 | 3.344 | 365 | 361 | 379 | |||||||||
FANNIE MAE ARM 88879 | 11/1/2019 | 2.878 | 24 | 24 | 24 | |||||||||
FANNIE MAE ARM 89125 | 8/1/2019 | 2.874 | 18 | 18 | 18 | |||||||||
FANNIE MAE AS4507 | 2/1/2030 | 3.000 | 9,166 | 9,511 | 9,356 | |||||||||
FANNIE MAE AS4878 | 4/1/2030 | 3.000 | 13,237 | 13,724 | 13,512 | |||||||||
FANNIE MAE BE5622 | 1/1/2032 | 2.500 | 36,575 | 36,888 | 36,536 | |||||||||
FANNIE MAE DF-2015-38 | 6/25/2055 | 1.552 | 39,116 | 38,861 | 39,059 | |||||||||
FANNIE MAE DF-2016-69 | 10/25/2046 | 1.952 | 19,858 | 19,860 | 19,920 | |||||||||
FANNIE MAE FA-2015-55 | 8/25/2055 | 1.592 | 16,914 | 16,849 | 16,791 | |||||||||
FANNIE MAE FA-204624 | 12/15/2038 | 1.811 | 43,264 | 43,176 | 43,463 | |||||||||
FANNIE MAE FL-2017-4 | 2/25/2047 | 1.811 | 18,902 | 18,902 | 18,973 | |||||||||
FANNIE MAE GF-204639 | 3/15/2036 | 1.822 | 42,263 | 42,181 | 42,437 | |||||||||
FANNIE MAE HYBRID ARM 566074 | 5/1/2031 | 3.112 | 292 | 292 | 306 | |||||||||
FANNIE MAE HYBRID ARM 584507 | 6/1/2031 | 3.160 | 126 | 126 | 133 | |||||||||
FANNIE MAE KF-2015-27 | 5/25/2045 | 1.852 | 18,386 | 18,331 | 18,363 | |||||||||
FANNIE MAE MA0099 | 6/1/2019 | 4.000 | 429 | 430 | 442 | |||||||||
FANNIE MAE MA0598 | 12/1/2020 | 3.500 | 1,937 | 1,970 | 2,000 | |||||||||
FANNIE MAE MA1144 | 8/1/2027 | 2.500 | 9,075 | 9,348 | 9,128 | |||||||||
FANNIE MAE WF-2016-68 | 10/25/2046 | 1.811 | 12,888 | 12,905 | 12,876 | |||||||||
FANNIE MAE_15-50 | 7/25/2045 | 1.592 | 40,278 | 40,237 | 40,174 | |||||||||
FANNIE MAE_15-93 | 8/25/2045 | 1.902 | 17,273 | 17,228 | 17,190 | |||||||||
FANNIE MAE_16-11 | 3/25/2046 | 1.911 | 17,069 | 17,090 | 17,143 | |||||||||
FANNIE MAE_16-64 | 9/25/2046 | 1.831 | 28,222 | 28,224 | 28,269 | |||||||||
FREDDIE MAC 4159 FD | 1/15/2043 | 1.827 | 10,647 | 10,681 | 10,617 | |||||||||
FREDDIE MAC 4363 2014 FA | 9/15/2041 | 1.731 | 6,714 | 6,715 | 6,659 | |||||||||
FREDDIE MAC AF-204521 | 5/15/2041 | 1.691 | 30,008 | 29,953 | 29,920 | |||||||||
FREDDIE MAC FB-204495 | 11/15/2038 | 1.711 | 20,426 | 20,354 | 20,226 | |||||||||
FREDDIE MAC LF-204475 | 4/15/2040 | 1.671 | 5,462 | 5,459 | 5,447 | |||||||||
FREDDIE MAC WF-204491 | 8/15/2039 | 1.681 | 10,504 | 10,499 | 10,486 | |||||||||
FREDDIE MAC 1H2520 | 6/1/2035 | 3.164 | 5,470 | 5,798 | 5,778 | |||||||||
FREDDIE MAC 1N1474 | 5/1/2037 | 3.510 | 1,199 | 1,246 | 1,257 | |||||||||
FREDDIE MAC 1Q1515 | 11/1/2038 | 3.479 | 20,930 | 22,123 | 21,967 | |||||||||
FREDDIE MAC 1Q1540 | 6/1/2040 | 3.429 | 8,713 | 9,311 | 9,115 | |||||||||
FREDDIE MAC 1Q1548 | 8/1/2038 | 3.417 | 9,351 | 9,847 | 9,797 | |||||||||
FREDDIE MAC 1Q1572 | 5/1/2038 | 3.414 | 15,736 | 16,624 | 16,483 | |||||||||
FREDDIE MAC 3812 BE | 9/15/2018 | 2.750 | 242 | 242 | 242 | |||||||||
FREDDIE MAC 4595 | 10/15/2037 | 1.922 | 14,253 | 14,253 | 14,389 | |||||||||
FREDDIE MAC 781884 | 8/1/2034 | 3.375 | 912 | 922 | 961 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FREDDIE MAC 4595 | 10/15/2037 | 0.649 | 3,924 | 3,924 | 3,926 | ||||||||||||||||||
FREDDIE MAC 781884 | 8/1/2034 | 2.250 | 196 | 198 | 205 | ||||||||||||||||||
FREDDIE MAC 848416 | 2/1/2041 | 2.245 | 2,622 | 2,735 | 2,724 | ||||||||||||||||||
FREDDIE MAC 848530 | 9/1/2039 | 2.029 | 1,374 | 1,447 | 1,443 | ||||||||||||||||||
FREDDIE MAC 848922 | 4/1/2037 | 2.067 | 1,958 | 2,077 | 2,056 | ||||||||||||||||||
FREDDIE MAC 849281 | 8/1/2037 | 2.358 | 2,988 | 3,169 | 3,167 | ||||||||||||||||||
FREDDIE MAC AF-204559 | 3/15/2042 | 0.599 | 5,331 | 5,315 | 5,329 | ||||||||||||||||||
FREDDIE MAC AF-204615 | 10/15/2038 | 0.449 | 2,780 | 2,773 | 2,817 | ||||||||||||||||||
FREDDIE MAC AF-204774 | 7/15/2042 | 0.399 | 5,373 | 5,369 | 5,439 | ||||||||||||||||||
FREDDIE MAC ARM 350190 | 5/1/2022 | 2.375 | 2 | 3 | 2 | ||||||||||||||||||
FREDDIE MAC ARM 780514 | 5/1/2033 | 2.375 | 94 | 96 | 98 | ||||||||||||||||||
FREDDIE MAC ARM 780845 | 9/1/2033 | 2.296 | 44 | 43 | 46 | ||||||||||||||||||
FREDDIE MAC ARM 780903 | 9/1/2033 | 2.338 | 90 | 89 | 94 | ||||||||||||||||||
FREDDIE MAC ARM 845154 | 7/1/2022 | 2.236 | 1 | 1 | 1 | ||||||||||||||||||
FREDDIE MAC ARM 845654 | 2/1/2024 | 2.454 | 25 | 26 | 26 | ||||||||||||||||||
FREDDIE MAC ARM 845730 | 11/1/2023 | 2.358 | 13 | 13 | 13 | ||||||||||||||||||
FREDDIE MAC ARM 845733 | 4/1/2024 | 2.374 | 17 | 17 | 17 | ||||||||||||||||||
FREDDIE MAC ARM 846702 | 10/1/2029 | 2.356 | 1 | 1 | 1 | ||||||||||||||||||
FREDDIE MAC C90581 | 8/1/2022 | 5.500 | 2 | 2 | 3 | ||||||||||||||||||
FREDDIE MAC C90582 | 9/1/2022 | 5.500 | 4 | 4 | 4 | ||||||||||||||||||
FREDDIE MAC F2-20350 | 9/15/2040 | 0.444 | 16,034 | 16,026 | 16,079 | ||||||||||||||||||
FREDDIE MAC F4-20328 | 2/15/2038 | 0.436 | 3,245 | 3,249 | 3,221 | ||||||||||||||||||
FREDDIE MAC FA-204547 | 9/15/2040 | 0.549 | 4,530 | 4,524 | 4,543 | ||||||||||||||||||
FREDDIE MAC FA-204822 | 5/15/2035 | 0.360 | 35,573 | 35,565 | 35,686 | ||||||||||||||||||
FREDDIE MAC FB-204495 | 11/15/2038 | 0.449 | 6,798 | 6,771 | 6,832 | ||||||||||||||||||
FREDDIE MAC FD-203928 | 9/15/2041 | 0.530 | 16,795 | 16,913 | 16,957 | ||||||||||||||||||
FREDDIE MAC FD-204301 | 7/15/2037 | 0.510 | 5,818 | 5,853 | 5,870 | ||||||||||||||||||
FREDDIE MAC FHLMC_5080 | 3/25/2051 | 0.270 | 22,077 | 22,077 | 21,932 | ||||||||||||||||||
FREDDIE MAC FL-204523 | 8/15/2038 | 0.449 | 5,022 | 4,997 | 5,018 | ||||||||||||||||||
FREDDIE MAC G16485 | 5/1/2033 | 3.000 | 8,634 | 8,577 | 9,075 | ||||||||||||||||||
FREDDIE MAC G30227 | 5/1/2023 | 5.500 | 43 | 43 | 47 | ||||||||||||||||||
FREDDIE MAC GF-204367 | 3/15/2037 | 0.449 | 8,950 | 8,937 | 8,915 | ||||||||||||||||||
FREDDIE MAC J32518 | 8/1/2030 | 3.000 | 6,373 | 6,552 | 6,703 | ||||||||||||||||||
FREDDIE MAC KF-204560 | 7/15/2040 | 0.649 | 6,658 | 6,651 | 6,724 | ||||||||||||||||||
FREDDIE MAC LF-204475 | 4/15/2040 | 0.409 | 1,696 | 1,696 | 1,690 | ||||||||||||||||||
FREDDIE MAC WF-204491 | 8/15/2039 | 0.419 | 3,277 | 3,276 | 3,263 | ||||||||||||||||||
FREDDIE MAC WF-204681 | 8/15/2033 | 0.449 | 17,011 | 17,014 | 17,229 | ||||||||||||||||||
FREDDIE MAC WF-204697 | 6/15/2038 | 0.449 | 11,643 | 11,648 | 11,788 | ||||||||||||||||||
FREDDIE MAC WF-204730 | 8/15/2038 | 0.449 | 23,164 | 23,060 | 23,220 | ||||||||||||||||||
FREDDIE MAC_JF-204981 | 6/25/2050 | 0.502 | 23,208 | 23,208 | 23,381 | ||||||||||||||||||
GINNIE MAE AF-2014-129 | 10/20/2041 | 0.399 | 3,057 | 3,054 | 3,082 | ||||||||||||||||||
GINNIE MAE AF-2014-94 | 11/20/2041 | 0.549 | 2,083 | 2,086 | 2,069 | ||||||||||||||||||
GINNIE MAE AF-2015-18 | 2/20/2040 | 0.429 | 5,754 | 5,762 | 5,751 | ||||||||||||||||||
GINNIE MAE AF-2018-168 | 12/20/2048 | 0.504 | 18,816 | 18,818 | 18,906 | ||||||||||||||||||
GINNIE MAE AF-2020-36 | 3/20/2050 | 0.554 | 34,126 | 34,165 | 34,189 | ||||||||||||||||||
GINNIE MAE FA-2014-43 | 3/20/2044 | 0.504 | 8,170 | 8,178 | 8,232 | ||||||||||||||||||
GINNIE MAE FA-2016-115 | 8/20/2046 | 0.504 | 18,259 | 18,359 | 18,395 | ||||||||||||||||||
GINNIE MAE FB-2013-151 | 2/20/2040 | 0.454 | 9,716 | 9,759 | 9,769 | ||||||||||||||||||
GINNIE MAE FC-2009-8 | 2/16/2039 | 1.008 | 7,243 | 7,422 | 7,376 |
FREDDIE MAC 848416 | 2/1/2041 | 3.516 | 9,394 | 9,812 | 9,856 | |||||||||
FREDDIE MAC 848530 | 9/1/2039 | 3.494 | 5,215 | 5,511 | 5,474 | |||||||||
FREDDIE MAC 848922 | 4/1/2037 | 3.522 | 4,948 | 5,277 | 5,208 | |||||||||
FREDDIE MAC 849281 | 8/1/2037 | 3.327 | 7,186 | 7,664 | 7,591 | |||||||||
FREDDIE MAC AF-204559 | 3/15/2042 | 1.861 | 16,875 | 16,819 | 16,900 | |||||||||
FREDDIE MAC AF-204615 | 10/15/2038 | 1.722 | 8,885 | 8,859 | 8,882 | |||||||||
FREDDIE MAC ARM 350190 | 5/1/2022 | 3.250 | 20 | 21 | 20 | |||||||||
FREDDIE MAC ARM 405014 | 1/1/2019 | 2.899 | 4 | 4 | 4 | |||||||||
FREDDIE MAC ARM 405092 | 3/1/2019 | 3.250 | 3 | 3 | 3 | |||||||||
FREDDIE MAC ARM 405185 | 10/1/2018 | 2.758 | 2 | 2 | 2 | |||||||||
FREDDIE MAC ARM 405243 | 7/1/2019 | 3.010 | 13 | 13 | 13 | |||||||||
FREDDIE MAC ARM 405437 | 10/1/2019 | 3.400 | 18 | 18 | 18 | |||||||||
FREDDIE MAC ARM 405615 | 10/1/2019 | 3.232 | 1 | 1 | 1 | |||||||||
FREDDIE MAC ARM 606024 | 2/1/2019 | 2.825 | 3 | 3 | 3 | |||||||||
FREDDIE MAC ARM 606025 | 7/1/2019 | 2.825 | 8 | 8 | 8 | |||||||||
FREDDIE MAC ARM 780514 | 5/1/2033 | 3.081 | 351 | 359 | 367 | |||||||||
FREDDIE MAC ARM 780845 | 9/1/2033 | 3.398 | 192 | 187 | 199 | |||||||||
FREDDIE MAC ARM 780903 | 9/1/2033 | 3.430 | 257 | 255 | 266 | |||||||||
FREDDIE MAC ARM 785363 | 2/1/2025 | 3.114 | 29 | 29 | 29 | |||||||||
FREDDIE MAC ARM 788941 | 12/1/2031 | 3.500 | 21 | 20 | 21 | |||||||||
FREDDIE MAC ARM 840036 | 1/1/2019 | 3.375 | 4 | 4 | 4 | |||||||||
FREDDIE MAC ARM 840072 | 6/1/2019 | 2.750 | 3 | 3 | 3 | |||||||||
FREDDIE MAC ARM 845154 | 7/1/2022 | 3.255 | 28 | 29 | 29 | |||||||||
FREDDIE MAC ARM 845523 | 11/1/2023 | 3.250 | 2 | 2 | 2 | |||||||||
FREDDIE MAC ARM 845654 | 2/1/2024 | 3.515 | 74 | 74 | 75 | |||||||||
FREDDIE MAC ARM 845730 | 11/1/2023 | 3.173 | 120 | 122 | 123 | |||||||||
FREDDIE MAC ARM 845733 | 4/1/2024 | 3.054 | 122 | 123 | 127 | |||||||||
FREDDIE MAC ARM 846107 | 2/1/2025 | 3.740 | 36 | 36 | 37 | |||||||||
FREDDIE MAC ARM 846702 | 10/1/2029 | 3.067 | 20 | 20 | 20 | |||||||||
FREDDIE MAC C90581 | 8/1/2022 | 5.500 | 118 | 117 | 128 | |||||||||
FREDDIE MAC C90582 | 9/1/2022 | 5.500 | 67 | 67 | 74 | |||||||||
FREDDIE MAC E95403 | 3/1/2018 | 5.000 | 17 | 17 | 17 | |||||||||
FREDDIE MAC E95671 | 4/1/2018 | 5.000 | 22 | 22 | 23 | |||||||||
FREDDIE MAC F2-20350 | 9/15/2040 | 1.722 | 51,375 | 51,338 | 51,292 | |||||||||
FREDDIE MAC F4-20328 | 2/15/2038 | 1.592 | 9,697 | 9,711 | 9,691 | |||||||||
FREDDIE MAC FA-204547 | 9/15/2040 | 1.800 | 13,780 | 13,760 | 13,799 | |||||||||
FREDDIE MAC FL-204523 | 8/15/2038 | 1.711 | 16,227 | 16,151 | 16,184 | |||||||||
FREDDIE MAC G30227 | 5/1/2023 | 5.500 | 411 | 419 | 449 | |||||||||
FREDDIE MAC J32518 | 8/1/2030 | 3.000 | 17,748 | 18,367 | 18,086 | |||||||||
FREDDIE MAC KF-204560 | 7/15/2040 | 1.911 | 21,649 | 21,618 | 21,588 | |||||||||
FREDDIE MAC T-76 2A | 10/25/2037 | 4.076 | 8,820 | 8,989 | 9,022 | |||||||||
FREDDIE MAC_4248 | 5/15/2041 | 1.927 | 15,939 | 15,966 | 16,023 | |||||||||
FREDDIE MAC_4301 | 7/15/2037 | 1.877 | 19,395 | 19,395 | 19,452 | |||||||||
FREDDIE MAC_4448 | 5/15/2040 | 1.681 | 14,814 | 14,737 | 14,707 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
GINNIE MAE FC-2018-67 | 5/20/2048 | 0.404 | 5,898 | 5,902 | 5,922 | ||||||||||||||||||
GINNIE MAE FD-2018-66 | 5/20/2048 | 0.354 | 4,393 | 4,393 | 4,392 | ||||||||||||||||||
GINNIE MAE II 082431 | 12/20/2039 | 2.125 | 2,101 | 2,181 | 2,192 | ||||||||||||||||||
GINNIE MAE II 082464 | 1/20/2040 | 2.000 | 799 | 855 | 838 | ||||||||||||||||||
GINNIE MAE II 082497 | 3/20/2040 | 2.000 | 1,439 | 1,523 | 1,504 | ||||||||||||||||||
GINNIE MAE II 082573 | 7/20/2040 | 1.625 | 1,891 | 1,956 | 1,967 | ||||||||||||||||||
GINNIE MAE II 082581 | 7/20/2040 | 1.625 | 2,562 | 2,737 | 2,666 | ||||||||||||||||||
GINNIE MAE II 082602 | 8/20/2040 | 1.625 | 4,660 | 4,984 | 4,846 | ||||||||||||||||||
GINNIE MAE II 082710 | 1/20/2041 | 2.000 | 1,476 | 1,533 | 1,546 | ||||||||||||||||||
GINNIE MAE II 082794 | 4/20/2041 | 1.875 | 2,393 | 2,546 | 2,500 | ||||||||||||||||||
GINNIE MAE II ARM 8157 | 3/20/2023 | 2.000 | 7 | 7 | 7 | ||||||||||||||||||
GINNIE MAE II ARM 8638 | 6/20/2025 | 1.875 | 21 | 21 | 22 | ||||||||||||||||||
GINNIE MAE LF-2015-82 | 4/20/2041 | 0.399 | 3,237 | 3,237 | 3,231 | ||||||||||||||||||
GINNIE MAE MF-2016-108 | 8/20/2046 | 0.399 | 669 | 666 | 670 | ||||||||||||||||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 910,928 | 917,016 |
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
ADJUSTABLE RATE MORTGAGE TRUST 04-2 6A1 | 2/25/2035 | 2.364 | 130 | 131 | 135 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2021-8 | 11/25/2066 | 1.820 | 15,000 | 15,000 | 14,998 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2018-3 | 9/25/2048 | 3.649 | 2,155 | 2,151 | 2,154 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2019-1 | 11/25/2048 | 3.920 | 5,044 | 5,035 | 5,042 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2020-3 | 4/25/2065 | 1.691 | 7,998 | 7,993 | 8,016 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2020-5 | 5/25/2065 | 1.373 | 9,790 | 9,786 | 9,793 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1A-2020-2 | 1/26/2065 | 2.531 | 2,914 | 2,942 | 2,944 | ||||||||||||||||||
APS RESECURITIZATION TRUST 1A-2016-3 | 11/27/2066 | 2.352 | 9,127 | 9,103 | 10,346 | ||||||||||||||||||
APS RESECURITIZATION TRUST 2A-2016-3 | 11/27/2046 | 2.352 | 6,332 | 6,313 | 7,748 | ||||||||||||||||||
ARROYO MORTGAGE TRUST A1-2019-1 | 1/25/2049 | 3.805 | 9,340 | 9,331 | 9,377 | ||||||||||||||||||
ARROYO MORTGAGE TRUST A1-2019-3 | 10/25/2048 | 2.962 | 6,079 | 6,075 | 6,126 | ||||||||||||||||||
BANK OF AMERICA FUNDING CORPORATION 7A1-2015-R4 | 11/27/2045 | 1.842 | 870 | 869 | 864 | ||||||||||||||||||
BANK OF AMERICA FUNDING CORPORATION A1-2016-R1 | 3/25/2040 | 2.500 | 733 | 732 | 732 | ||||||||||||||||||
BANK OF AMERICA MORTGAGE SECURITY 2004-E 2A6 | 6/25/2034 | 2.790 | 854 | 851 | 873 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A1-2017-RT1 | 3/28/2057 | 3.000 | 4,109 | 4,119 | 4,129 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL1 | 4/28/2055 | 4.000 | 7,349 | 7,414 | 7,378 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL2 | 6/28/2053 | 4.000 | 8,624 | 8,710 | 8,778 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT5 | 5/28/2069 | 3.500 | 10,643 | 10,744 | 10,774 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT6 | 10/28/2057 | 3.500 | 11,751 | 11,873 | 11,941 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL1 | 10/28/2064 | 4.000 | 9,816 | 9,968 | 9,930 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL2 | 6/28/2054 | 4.000 | 9,811 | 9,969 | 10,148 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL3 | 11/28/2053 | 4.000 | 7,524 | 7,645 | 7,592 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL4 | 1/28/2055 | 3.500 | 8,612 | 8,705 | 8,739 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL5 | 6/28/2057 | 3.500 | 9,723 | 9,847 | 9,837 | ||||||||||||||||||
BRAVO RESIDENTIAL FUNDING TRUST A1-2019-NQM2 | 11/25/2059 | 2.748 | 7,655 | 7,650 | 7,722 | ||||||||||||||||||
BRAVO RESIDENTIAL FUNDING TRUST A1-2020-RPL1 | 5/26/2059 | 2.500 | 16,973 | 17,256 | 17,239 | ||||||||||||||||||
BUNKER HILL LOAN DEPOSITARY A1-2019-2 | 7/25/2049 | 2.879 | 9,586 | 9,579 | 9,611 | ||||||||||||||||||
BUNKER HILL LOAN DEPOSITARY A1-2019-3 | 11/25/2059 | 2.724 | 5,142 | 5,138 | 5,192 | ||||||||||||||||||
CENTEX HOME EQUITY 2003-A AF4 | 12/25/2031 | 4.250 | 640 | 637 | 646 | ||||||||||||||||||
CHASE MORTGAGE FINANCE 07-A1 1A5 | 2/25/2037 | 2.326 | 1,252 | 1,241 | 1,265 |
GINNIE MAE MF-2016-108 | 8/20/2046 | 1.661 | 2,771 | 2,761 | 2,772 | |||||||||
GINNIE MAE AF-2014-129 | 10/20/2041 | 1.661 | 9,319 | 9,309 | 9,352 | |||||||||
GINNIE MAE AF-2014-94 | 11/20/2041 | 1.811 | 6,588 | 6,601 | 6,531 | |||||||||
GINNIE MAE AF-2015-18 | 2/20/2040 | 1.691 | 15,170 | 15,193 | 15,189 | |||||||||
GINNIE MAE II 082431 | 12/20/2039 | 2.250 | 7,333 | 7,626 | 7,654 | |||||||||
GINNIE MAE II 082464 | 1/20/2040 | 2.375 | 2,608 | 2,801 | 2,718 | |||||||||
GINNIE MAE II 082497 | 3/20/2040 | 2.375 | 4,969 | 5,275 | 5,178 | |||||||||
GINNIE MAE II 082573 | 7/20/2040 | 2.750 | 5,651 | 5,854 | 5,807 | |||||||||
GINNIE MAE II 082581 | 7/20/2040 | 2.750 | 7,434 | 7,969 | 7,646 | |||||||||
GINNIE MAE II 082602 | 8/20/2040 | 2.750 | 13,326 | 14,302 | 13,706 | |||||||||
GINNIE MAE II 082710 | 1/20/2041 | 2.375 | 5,953 | 6,193 | 6,128 | |||||||||
GINNIE MAE II 082794 | 4/20/2041 | 2.625 | 8,004 | 8,540 | 8,237 | |||||||||
GINNIE MAE II ARM 8157 | 3/20/2023 | 2.375 | 52 | 53 | 53 | |||||||||
GINNIE MAE II ARM 8341 | 4/20/2018 | 2.625 | — | — | — | |||||||||
GINNIE MAE II ARM 8353 | 5/20/2018 | 2.625 | 1 | 1 | 1 | |||||||||
GINNIE MAE II ARM 8365 | 6/20/2018 | 2.625 | 1 | 1 | 1 | |||||||||
GINNIE MAE II ARM 8377 | 7/20/2018 | 2.750 | 1 | 1 | 1 | |||||||||
GINNIE MAE II ARM 8428 | 11/20/2018 | 3.500 | 1 | 1 | 1 | |||||||||
GINNIE MAE II ARM 8440 | 12/20/2018 | 3.500 | 3 | 3 | 3 | |||||||||
GINNIE MAE II ARM 8638 | 6/20/2025 | 2.625 | 85 | 85 | 87 | |||||||||
GINNIE MAE LF-2015-82 | 4/20/2041 | 1.661 | 10,774 | 10,774 | 10,792 | |||||||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,424,909 | 1,422,532 | ||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
ADJUSTABLE RATE MORTGAGE TRUST 04-2 6A1 | 2/25/2035 | 3.595 | 580 | 586 | 584 | |||||||||
AMERICAN HOME MORTGAGE INVESTMENT TRUST 5A-2004-4 | 2/25/2045 | 3.661 | 2,470 | 2,484 | 2,494 | |||||||||
ANGEL OAK MORTGAGE TRUST A1-2017-1 | 1/25/2047 | 2.810 | 5,397 | 5,395 | 5,360 | |||||||||
ANGEL OAK MORTGAGE TRUST A1-2017-2 | 7/25/2047 | 2.478 | 32,950 | 32,946 | 32,659 | |||||||||
APS RESECURITIZATION TRUST 1A-2016-3 | 11/27/2066 | 3.802 | 20,515 | 20,401 | 21,237 | |||||||||
APS RESECURITIZATION TRUST 2A-2015-1 | 8/28/2054 | 1.380 | 6,750 | 6,623 | 6,726 | |||||||||
APS RESECURITIZATION TRUST 2A-2016-3 | 11/27/2046 | 3.802 | 13,416 | 13,340 | 14,134 | |||||||||
BANK OF AMERICA FUNDING CORPORATION 7A1-2015-R4 | 11/27/2045 | 3.111 | 10,091 | 10,055 | 10,108 | |||||||||
BANK OF AMERICA FUNDING CORPORATION A1-2016-R1 | 3/25/2040 | 2.500 | 28,572 | 28,409 | 28,171 | |||||||||
BANK OF AMERICA MORTGAGE SECURITY 2004-E 2A6 | 6/25/2034 | 3.829 | 2,562 | 2,550 | 2,551 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUN A-2017-RT5 | 5/28/2069 | 3.500 | 37,512 | 38,370 | 38,303 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUN A-2017-RT6 | 10/28/2057 | 3.500 | 36,067 | 36,843 | 36,869 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A1-2017-RT1 | 3/28/2057 | 3.000 | 15,797 | 15,892 | 15,802 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL1 | 4/28/2055 | 4.000 | 31,254 | 32,057 | 32,078 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL2 | 6/28/2053 | 4.000 | 31,314 | 32,067 | 32,369 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL1 | 10/28/2064 | 4.000 | 25,950 | 26,726 | 26,837 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL2 | 6/28/2054 | 4.000 | 28,658 | 29,524 | 29,643 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL3 | 11/28/2053 | 4.000 | 22,061 | 22,775 | 22,786 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL4 | 1/28/2055 | 3.500 | 26,694 | 27,315 | 27,231 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL5 | 6/28/2057 | 3.500 | 29,907 | 30,754 | 30,519 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-11 | 3/25/2035 | 2.550 | 2,093 | 2,094 | 2,075 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2015-5 | 8/25/2034 | 2.570 | 1,132 | 1,135 | 1,117 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST 4A1-2015-5 | 4/20/2035 | 2.528 | 519 | 519 | 518 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST A1-2015-PS1 | 9/25/2042 | 3.750 | 2,363 | 2,384 | 2,409 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST A1-2019-IMC1 | 7/25/2049 | 2.720 | 7,208 | 7,199 | 7,204 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST A4-2015-A | 6/25/2058 | 4.250 | 21 | 21 | 22 | ||||||||||||||||||
COLT FUNDING LLC A1-2021-6 | 12/25/2066 | 1.907 | 26,000 | 26,000 | 26,049 | ||||||||||||||||||
COLT FUNDING LLC COLT_ A1-2020-2R | 10/26/2065 | 1.325 | 9,147 | 9,144 | 9,155 | ||||||||||||||||||
COMMERCIAL TRUST CORPORATION A-2017-7 | 4/25/2057 | 3.000 | 3,347 | 3,349 | 3,378 | ||||||||||||||||||
COUNTRYWIDE HOME LOANS 03-46 4A1 | 1/19/2034 | 2.235 | 775 | 793 | 770 | ||||||||||||||||||
COUNTYWIDE ALTERNATIVE LOAN 04-33 2A1 | 12/25/2034 | 2.974 | 29 | 29 | 29 | ||||||||||||||||||
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES 04-AR3 | 4/25/2034 | 2.557 | 380 | 385 | 383 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPITAL 3A1-2015-7R | 10/27/2036 | 0.242 | 1,674 | 1,666 | 1,668 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPITAL CLASS-20-125 | 7/25/2049 | 2.573 | 11,376 | 11,367 | 11,471 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 1A1-2015-6R | 7/27/2035 | 2.658 | 1,507 | 1,509 | 1,501 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPTIAL A1-2017-FHA1 | 4/25/2047 | 3.250 | 11,010 | 11,106 | 11,347 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL1 | 7/25/2057 | 2.750 | 10,597 | 10,583 | 10,789 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL3 | 8/1/2057 | 4.000 | 21,964 | 22,648 | 23,122 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2019-NQM1 | 10/25/2059 | 2.656 | 2,471 | 2,469 | 2,489 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2020-SPT1 | 4/25/2065 | 1.616 | 7,881 | 7,881 | 7,892 | ||||||||||||||||||
CSMC TRUST A1-2021-NQM8 | 10/25/2066 | 1.841 | 30,000 | 30,000 | 29,975 | ||||||||||||||||||
ELLINGTON FINANCIAL MORTGAGE A1-2019-2 | 11/25/2059 | 2.739 | 8,664 | 8,657 | 8,728 | ||||||||||||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE 04-AA4 A1 | 10/25/2034 | 2.311 | 215 | 217 | 223 | ||||||||||||||||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 3A | 8/19/2034 | 3.134 | 224 | 225 | 216 | ||||||||||||||||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 5A1 | 8/19/2034 | 2.806 | 134 | 134 | 129 | ||||||||||||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR1 2A1 | 1/25/2035 | 2.578 | 716 | 718 | 716 | ||||||||||||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION A1A-2018-RPL | 10/25/2057 | 3.750 | 7,439 | 7,365 | 7,618 | ||||||||||||||||||
GOVERNMENTAL COLLECTORS ASSOCIATION OF TEXAS A1-2019-NQM3 | 11/25/2059 | 2.686 | 6,703 | 6,698 | 6,761 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-10 4A | 1/19/2035 | 2.393 | 147 | 148 | 148 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-7 3A1 | 11/19/2034 | 2.209 | 291 | 288 | 296 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-1 4A | 4/19/2034 | 2.334 | 134 | 135 | 139 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-4 3A | 6/19/2034 | 1.225 | 31 | 31 | 31 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-6 5A | 8/19/2034 | 2.351 | 108 | 107 | 107 | ||||||||||||||||||
HOMEWARD OPPORTUNITIES A1-2018-2 | 11/25/2058 | 3.985 | 7,844 | 7,833 | 7,887 | ||||||||||||||||||
IMPERIAL FUND MORTGAGE TRUST A1-2021-NQM4 | 1/25/2057 | 2.091 | 29,907 | 29,907 | 29,926 | ||||||||||||||||||
J.P. MORGAN MORTGAGE TRUST A11-2019-LTV | 12/25/2049 | 1.002 | 673 | 673 | 673 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 03-A5 2A6A | 8/25/2033 | 1.989 | 243 | 243 | 244 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 04-1 2A2 | 12/25/2034 | 2.052 | 135 | 135 | 134 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A1 2A | 12/25/2034 | 2.450 | 151 | 151 | 157 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A2 A2 | 2/25/2035 | 2.838 | 495 | 495 | 495 | ||||||||||||||||||
METLIFE SECURITIZATION TRUST A-2017-1A | 4/25/2055 | 3.000 | 7,540 | 7,581 | 7,680 | ||||||||||||||||||
METLIFE SECURITIZATION TRUST A-2018-1A | 3/25/2057 | 3.750 | 7,156 | 7,157 | 7,377 |
BCAP LLC TRUST 09-RR1 22A1 | 5/26/2035 | 3.473 | 515 | 511 | 515 | |||||||||
BCAP LLC TRUST 09-RR1 23A1 | 5/26/2035 | 3.451 | 187 | 186 | 187 | |||||||||
BCAP LLC TRUST 11-RR10 3A5 | 6/26/2035 | 3.449 | 3,383 | 3,378 | 3,450 | |||||||||
BCAP LLC TRUST 12A3-2011-R1 | 3/26/2035 | 3.260 | 4,460 | 4,494 | 4,413 | |||||||||
BCAP LLC TRUST 12-RR10 4A1 | 3/26/2036 | 3.544 | 2,692 | 2,695 | 2,695 | |||||||||
BCAP LLC TRUST 12-RR10 9A1 | 10/26/2035 | 3.510 | 1,074 | 1,074 | 1,079 | |||||||||
BCAP LLC TRUST 12-RR3 8A1 | 7/26/2035 | 3.430 | 64 | 64 | 64 | |||||||||
BCAP LLC TRUST 12-RR3 9A5 | 1/26/2036 | 3.639 | 391 | 392 | 390 | |||||||||
BCAP LLC TRUST 12-RR6 2A6 | 5/26/2036 | 3.168 | 402 | 401 | 402 | |||||||||
BCAP LLC TRUST 13-RR7 2A1 | 6/26/2037 | 3.077 | 1,153 | 1,153 | 1,152 | |||||||||
BCAP LLC TRUST 13-RR8 1A1 | 5/26/2036 | 3.387 | 2,637 | 2,643 | 2,653 | |||||||||
BCAP LLC TRUST 13-RR9 1A1 | 1/26/2036 | 3.639 | 4,545 | 4,555 | 4,579 | |||||||||
BCAP LLC TRUST 3A1-2014-RR2 | 9/26/2046 | 1.962 | 6,248 | 6,139 | 6,206 | |||||||||
BCAP LLC TRUST 4A1-2013-RR7 | 12/27/2034 | 3.854 | 7,123 | 7,188 | 7,270 | |||||||||
CENTEX HOME EQUITY CXHEA 2003-A AF4 | 12/25/2031 | 4.250 | 1,231 | 1,220 | 1,230 | |||||||||
CHASE MORTGAGE FINANCE 07-A1 1A5 | 2/25/2037 | 3.664 | 4,610 | 4,569 | 4,644 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 10-7 2A1 | 2/25/2035 | 3.383 | 527 | 527 | 529 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 12-6 2A1 | 8/25/2036 | 3.313 | 939 | 937 | 940 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 13-7 2A1 | 8/25/2036 | 3.313 | 3,327 | 3,327 | 3,340 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 13-9 2A1 | 9/25/2034 | 3.358 | 4,603 | 4,606 | 4,578 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2014-11 | 10/25/2035 | 3.554 | 8,206 | 8,305 | 8,205 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2014-2 | 2/20/2036 | 3.332 | 4,727 | 4,734 | 4,753 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-11 | 3/25/2035 | 3.436 | 16,707 | 16,798 | 16,635 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-9 | 2/20/2036 | 3.413 | 7,084 | 7,112 | 7,038 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2014-2 | 4/25/2036 | 3.250 | 7,458 | 7,478 | 7,309 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2014-5 | 2/20/2036 | 3.396 | 6,387 | 6,408 | 6,435 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2015-9 | 2/25/2036 | 3.461 | 10,776 | 10,817 | 10,706 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2012-4 | 3/25/2036 | 3.283 | 788 | 788 | 789 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2013-11 | 9/25/2034 | 3.504 | 2,820 | 2,845 | 2,857 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2014-6 | 11/25/2035 | 2.592 | 7,160 | 7,103 | 7,143 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2015-5 | 8/25/2034 | 3.552 | 7,015 | 7,095 | 7,022 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 4A1-2015-5 | 4/20/2035 | 3.399 | 15,541 | 15,627 | 15,663 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 5A1-2014-11 | 11/25/2036 | 3.250 | 3,148 | 3,164 | 3,190 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 5A1-2015-5 | 1/25/2036 | 1.577 | 7,621 | 7,422 | 7,221 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST A1-2015-PS1 | 9/25/2042 | 3.750 | 14,092 | 14,265 | 14,354 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST A4-2015-A | 6/25/2058 | 4.250 | 1,288 | 1,337 | 1,320 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST CMLTI_13 1A1 | 3/25/2035 | 3.440 | 4,853 | 4,871 | 4,869 | |||||||||
COLT FUNDING LLC A1-2016-3 | 12/26/2046 | 2.800 | 19,252 | 19,254 | 19,247 | |||||||||
COLT FUNDING LLC 6-2 | 9/25/2046 | 2.750 | 4,175 | 4,182 | 4,229 | |||||||||
COLT FUNDING LLC A1 2017-1 | 5/27/2047 | 2.614 | 25,946 | 25,937 | 25,471 | |||||||||
COLT FUNDING LLC COLT_17-2 | 10/25/2047 | 2.415 | 24,331 | 24,329 | 24,374 | |||||||||
COMMERCIAL TRUST CORPORATION A-2017-7 | 4/25/2057 | 3.000 | 18,947 | 19,106 | 19,006 | |||||||||
COUNTRYWIDE HOME LOANS 03-46 4A1 | 1/19/2034 | 3.521 | 3,938 | 4,030 | 3,960 | |||||||||
COUNTYWIDE ALTERNATIVE LOAN 04-33 2A1 | 12/25/2034 | 3.593 | 287 | 289 | 292 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
MFA TRUST MFRA A1-2020-NQM3 | 1/26/2065 | 1.014 | 4,723 | 4,722 | 4,718 | ||||||||||||||||||
MFA TRUST MFRA 20-NQM3 | 10/25/2051 | 2.500 | 24,551 | 24,874 | 24,518 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2016-1 | 4/25/2057 | 2.500 | 379 | 378 | 378 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-1 | 11/25/2058 | 2.750 | 3,195 | 3,188 | 3,211 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-2 | 7/25/2059 | 2.750 | 6,375 | 6,382 | 6,433 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-3 | 1/25/2061 | 2.750 | 8,544 | 8,552 | 8,623 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2018-3 | 8/25/2058 | 3.500 | 4,026 | 4,099 | 4,132 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2019-1 | 10/25/2069 | 3.250 | 6,208 | 6,262 | 6,328 | ||||||||||||||||||
MILL CITY MORTGAGE TRUST A1-2019-GS1 | 7/25/2059 | 2.750 | 8,690 | 8,712 | 8,828 | ||||||||||||||||||
MORGAN STANLEY MORTGAGE LOAN 04-10AR A1 | 11/25/2034 | 3.436 | 231 | 232 | 238 | ||||||||||||||||||
MORGAN STANLEY MORTGAGE LOAN PT2A | 11/25/2034 | 2.507 | 160 | 162 | 160 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R7 | 6/26/2035 | 2.652 | 1,161 | 1,161 | 1,160 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST 5A-2013-R9 | 6/26/2046 | 0.304 | 572 | 570 | 572 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST A-2014-R7 | 1/26/2051 | 3.000 | 643 | 640 | 656 | ||||||||||||||||||
NATIONSTAR MORTGAGE LOAN TRUST A-2013-A | 12/25/2052 | 3.750 | 749 | 761 | 759 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN A1-2019-RPL3 | 7/25/2059 | 2.750 | 11,792 | 12,092 | 12,008 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRSUT A1-2017-6A | 8/27/2057 | 4.000 | 8,431 | 8,637 | 8,921 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-1A | 3/25/2056 | 3.750 | 5,452 | 5,564 | 5,754 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2 | 9/25/2056 | 3.750 | 9,989 | 10,328 | 10,549 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2A | 11/26/2035 | 3.750 | 3,773 | 3,855 | 3,939 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-4A | 11/25/2056 | 3.750 | 10,910 | 11,204 | 11,607 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-1A | 2/25/2057 | 4.000 | 8,930 | 9,135 | 9,411 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-3A | 4/25/2057 | 4.000 | 11,368 | 11,681 | 11,915 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-NQM4 | 9/25/2059 | 2.492 | 2,398 | 2,396 | 2,413 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2014-3 | 11/25/2054 | 3.750 | 1,811 | 1,843 | 1,879 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2017-2A | 3/25/2057 | 4.000 | 10,823 | 11,140 | 11,389 | ||||||||||||||||||
NOMURA RESECURITIZATION TRUST 4A1-2015-4R | 3/26/2037 | 3.135 | 92 | 92 | 92 | ||||||||||||||||||
OCEANVIEW MORTGAGE LOAN TRUST CLASS-20-676 | 5/28/2050 | 1.733 | 4,164 | 4,161 | 4,171 | ||||||||||||||||||
ONSLOW BAY FINANCIAL LLC 2A1A-2019-EX | 10/25/2059 | 1.002 | 801 | 801 | 801 | ||||||||||||||||||
ONSLOW BAY FINANCIAL LLC OBX_2 | 9/25/2051 | 2.500 | 23,234 | 23,515 | 23,190 | ||||||||||||||||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-2 | 5/25/2059 | 2.913 | 6,758 | 6,751 | 6,753 | ||||||||||||||||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-3 | 9/25/2059 | 2.633 | 7,454 | 7,447 | 7,455 | ||||||||||||||||||
STAR A1-2020-3 | 4/25/2065 | 1.486 | 4,098 | 4,096 | 4,101 | ||||||||||||||||||
STARWOOD MORTGAGE RESIDENTIAL A1-202019-IN | 9/27/2049 | 2.610 | 3,878 | 3,873 | 3,908 | ||||||||||||||||||
STRUCTURED ASSET INVESTMENT LOAN TRUST M1-2003-BC5 | 6/25/2033 | 1.214 | 1,476 | 1,438 | 1,484 | ||||||||||||||||||
STRUCTURED ASSET SECURITIES CORPORATION 03-24A 5A | 7/25/2033 | 2.155 | 274 | 276 | 281 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2015-6 | 4/25/2055 | 3.500 | 119 | 119 | 119 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2016-2 | 8/25/2055 | 3.000 | 1,282 | 1,281 | 1,286 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2016-3 | 4/25/2056 | 2.250 | 918 | 916 | 918 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2017-3 | 7/25/2057 | 2.750 | 5,398 | 5,403 | 5,457 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2017-4 | 6/25/2057 | 2.750 | 8,034 | 8,053 | 8,154 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2019-HY1 | 10/25/2048 | 1.102 | 3,538 | 3,549 | 3,552 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A4B-2015-3 | 3/25/2054 | 3.500 | 634 | 636 | 640 | ||||||||||||||||||
UWM MORTGAGE TRUST UWM_21-INV1 | 9/25/2051 | 2.500 | 24,712 | 25,148 | 24,679 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2021-7 | 10/25/2066 | 1.829 | 19,701 | 19,700 | 19,692 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2019-3 | 7/25/2059 | 2.784 | 6,480 | 6,474 | 6,502 |
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES 04-AR3 | 4/25/2034 | 3.437 | 2,629 | 2,665 | 2,679 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 09-2R 1A12 | 9/26/2034 | 3.514 | 1,026 | 1,026 | 1,024 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 09-2R 1A13 | 9/26/2034 | 3.514 | 28,874 | 28,830 | 29,120 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 10-17R 1A1 | 6/26/2036 | 3.374 | 2,016 | 2,016 | 2,037 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 3A1-2015-7R | 10/27/2036 | 1.692 | 13,289 | 12,908 | 12,897 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL A6-2015-1R | 12/27/2035 | 3.855 | 7,703 | 7,780 | 7,789 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 13-11R 1A1 | 6/27/2034 | 2.750 | 5,908 | 5,907 | 5,907 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 13-11R 2A1 | 5/27/2034 | 2.750 | 9,115 | 9,116 | 9,032 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 15A1-2014-11 | 1/27/2036 | 3.421 | 13,391 | 13,490 | 13,367 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 1A1-2015-6R | 7/27/2035 | 3.591 | 11,047 | 11,152 | 11,023 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 5A1-2014-5R | 7/27/2037 | 2.500 | 4,050 | 4,050 | 3,995 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL A1-2017-FHA1 | 4/25/2047 | 3.250 | 19,181 | 19,403 | 19,397 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 13-2R 6A1 | 9/27/2036 | 3.599 | 3,009 | 3,028 | 3,064 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 2A12-2010-2R | 10/26/2036 | 3.613 | 17,742 | 17,895 | 17,913 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 2A12-2010-7R | 4/26/2037 | 3.497 | 1,823 | 1,832 | 1,822 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 2A14-2009-11 | 9/26/2036 | 3.239 | 1,502 | 1,507 | 1,504 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 6A12-2010-2R | 7/26/2037 | 3.380 | 3,241 | 3,264 | 3,248 | |||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL1 | 7/25/2057 | 2.750 | 20,438 | 20,418 | 20,439 | |||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL3 | 8/1/2057 | 4.000 | 36,652 | 37,993 | 37,709 | |||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-1A | 12/26/2046 | 2.725 | 22,610 | 22,603 | 22,613 | |||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-2A | 6/25/2047 | 2.453 | 30,100 | 30,094 | 29,765 | |||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-3A | 10/25/2047 | 2.577 | 15,184 | 15,182 | 15,183 | |||||||||
ELLINGTON FINANCIAL MORTGAGE A1-2017-1 | 10/25/2047 | 2.687 | 13,921 | 13,920 | 13,921 | |||||||||
EQUITY ONE ABS INC 04-3 AF4 | 7/25/2034 | 4.664 | 622 | 620 | 622 | |||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE 04-AA4 A1 | 10/25/2034 | 3.346 | 766 | 776 | 764 | |||||||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 3A | 8/19/2034 | 4.078 | 622 | 623 | 600 | |||||||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 5A1 | 8/19/2034 | 4.007 | 755 | 756 | 764 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR1 2A1 | 1/25/2035 | 3.771 | 1,981 | 1,989 | 2,000 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 09-1R 2A1 | 11/25/2035 | 3.535 | 102 | 101 | 102 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 09-1R 3A1 | 11/25/2035 | 3.542 | 695 | 674 | 698 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 2A-2014-4R | 8/26/2035 | 3.982 | 7,049 | 7,147 | 7,158 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-10 4A | 1/19/2035 | 3.483 | 507 | 510 | 502 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-7 3A1 | 11/19/2034 | 3.149 | 756 | 750 | 747 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-1 4A | 4/19/2034 | 3.386 | 285 | 286 | 287 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-4 3A | 6/19/2034 | 2.486 | 78 | 77 | 76 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-6 5A | 8/19/2034 | 3.887 | 228 | 227 | 231 | |||||||||
JEFFERIES & CO 09-R12 2A1 | 1/26/2035 | 3.665 | 178 | 177 | 178 | |||||||||
JEFFERIES & CO A1-2015-R1 | 12/26/2036 | 1.380 | 6,474 | 6,234 | 6,291 | |||||||||
JP MORGAN REREMIC 3A1-2009-10 | 10/26/2035 | 3.446 | 3,196 | 3,203 | 3,209 | |||||||||
MERRILL LYNCH CREDIT CORP MORTGAGE INVESTORS INC 04-1 2A2 | 12/25/2034 | 3.182 | 387 | 387 | 391 | |||||||||
MERRILL LYNCH MORTGAGE INVESTOR 05-A2 A2 | 2/25/2035 | 3.041 | 1,431 | 1,431 | 1,475 | |||||||||
MERRILL LYNCH MORTGAGE INVESTORS TRUST 03-A5 2A6A | 8/25/2033 | 3.430 | 1,058 | 1,056 | 1,091 | |||||||||
MERRILL LYNCH MORTGAGE INVESTORS TRUST 05-A1 2A | 12/25/2034 | 3.500 | 695 | 696 | 708 | |||||||||
METLIFE SECURITIZATION TRUST A-2017-1A | 4/25/2055 | 3.000 | 21,378 | 21,594 | 21,592 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
VERUS SECURITIZATION TRUST A1-2019-4 | 11/25/2059 | 2.642 | 3,944 | 3,940 | 3,975 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2019-INV3 | 11/25/2059 | 2.692 | 7,549 | 7,545 | 7,618 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2021-R1 | 10/25/2063 | 0.820 | 12,677 | 12,675 | 12,639 | ||||||||||||||||||
VISIO A1-2019-2 | 11/25/2054 | 2.722 | 22,121 | 22,014 | 22,463 | ||||||||||||||||||
WASHINGTON MUTUAL 03-AR6 A1 | 6/25/2033 | 2.561 | 366 | 365 | 363 | ||||||||||||||||||
WASHINGTON MUTUAL 04-AR10 A1A | 7/25/2044 | 0.983 | 258 | 259 | 257 | ||||||||||||||||||
WASHINGTON MUTUAL 05-AR3 A2 | 3/25/2035 | 2.722 | 494 | 496 | 500 | ||||||||||||||||||
WASHINGTON MUTUAL 05-AR4 A5 | 4/25/2035 | 2.831 | 1,460 | 1,456 | 1,473 | ||||||||||||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-K 2A6 | 7/25/2034 | 2.597 | 397 | 408 | 393 | ||||||||||||||||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 769,443 | 776,532 | |||||||||||||||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,680,371 | 1,693,548 |
ASSET BACKED SECURITIES | |||||||||||||||||||||||
APIDOS CLO APID_15-20A | 7/16/2031 | 1.222 | 20,000 | 20,000 | 20,000 | ||||||||||||||||||
APIDOS CLO APID_20-33 | 10/24/2034 | 1.274 | 22,000 | 22,000 | 22,003 | ||||||||||||||||||
ARI FLEET LEASE TRUST_19 A2B-2019-A | 11/15/2027 | 0.590 | 2,303 | 2,303 | 2,304 | ||||||||||||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2017-1A | 9/20/2023 | 3.070 | 8,020 | 8,025 | 8,122 | ||||||||||||||||||
BAIN CAPITAL CREDIT CLO BCC A1-2020-5A | 1/20/2032 | 1.352 | 40,000 | 40,000 | 40,001 | ||||||||||||||||||
BALLYROCK A1-2018-1A | 4/20/2031 | 1.132 | 40,000 | 40,000 | 39,898 | ||||||||||||||||||
BRAZOS HIGHER EDUCATION AUTHORITY A2-2010-1 | 2/25/2035 | 1.378 | 20,000 | 19,880 | 20,230 | ||||||||||||||||||
BROAD RIVER BSL FUNDING AR-2020-1A | 7/20/2034 | 1.302 | 16,000 | 16,000 | 15,973 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES A1RR-2013-4A | 1/15/2031 | 1.122 | 19,710 | 19,710 | 19,674 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES 20-143 | 10/15/2030 | 1.224 | 12,239 | 12,249 | 12,234 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES A1R2-2014-1A | 4/17/2031 | 1.092 | 29,909 | 29,097 | 29,859 | ||||||||||||||||||
CIFC FUNDING LTD_17-1A AR-2017-1A | 4/23/2029 | 1.140 | 12,779 | 12,627 | 12,779 | ||||||||||||||||||
COLLEGE LOAN CORPORATION TRUST 02-2 A24 | 3/1/2042 | 1.503 | 10,000 | 8,974 | 9,903 | ||||||||||||||||||
DRYDEN SENIOR LOAN FUND A1-2018-55A | 4/15/2031 | 1.144 | 12,000 | 12,000 | 12,002 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA A-2012-2 | 4/25/2039 | 0.832 | 2,132 | 2,131 | 2,131 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA A-2014-1 | 2/25/2039 | 0.802 | 6,278 | 6,217 | 6,259 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA A-2014-3 | 2/25/2036 | 0.702 | 488 | 481 | 483 | ||||||||||||||||||
GOLDENTREE LOAN MANAGEMENT US | 4/20/2034 | 1.202 | 16,750 | 16,750 | 16,686 | ||||||||||||||||||
NAVIENT STUDENT LOAN TRUST A2B-2018-DA | 12/15/2059 | 0.910 | 8,426 | 8,403 | 8,419 | ||||||||||||||||||
HENDERSON RECEIVABLES LLC 10-3A A | 12/15/2048 | 3.820 | 513 | 513 | 530 | ||||||||||||||||||
MADISON PARK FUNDING LTD A-2021-48A | 4/19/2033 | 1.274 | 40,000 | 40,000 | 40,000 | ||||||||||||||||||
MAGNETITE CLO LIMITED MAGNE_20 | 7/25/2034 | 1.244 | 25,000 | 25,000 | 24,972 | ||||||||||||||||||
MAGNETITE CLO LTD A1R2-2012-7A | 1/15/2028 | 0.924 | 12,992 | 12,798 | 13,003 | ||||||||||||||||||
MISSISSIPPI HIGHER EDUCATION ASSISTANCE CORP. A1-2014-1 | 10/25/2035 | 0.783 | 3,859 | 3,803 | 3,868 | ||||||||||||||||||
MVW OWNER TRUST 16-1A | 12/20/2033 | 2.250 | 2,819 | 2,810 | 2,838 | ||||||||||||||||||
NORTHSTAR EDUCATION FINANCE A3-2002-1 | 4/1/2042 | 3.513 | 5,000 | 4,778 | 4,891 | ||||||||||||||||||
OAKC 21-8A | 1/18/2034 | 1.312 | 30,000 | 30,000 | 30,016 | ||||||||||||||||||
OZLM A1-2017-21A | 1/20/2031 | 1.282 | 16,000 | 16,013 | 15,962 | ||||||||||||||||||
PALMER SQUARE LOAN FUNDING LTD A1-2020-1A | 2/20/2028 | 0.960 | 11,603 | 11,430 | 11,613 | ||||||||||||||||||
RACE POINT CLO LTD_13-8A AR2-2013-8A | 2/20/2030 | 1.200 | 13,823 | 13,823 | 13,823 | ||||||||||||||||||
RR LTD RRAM_21-19A | 10/15/2035 | 1.264 | 15,000 | 15,000 | 15,007 | ||||||||||||||||||
SALLIE MAE 12-3 A | 12/27/2038 | 0.742 | 5,200 | 5,229 | 5,217 | ||||||||||||||||||
SALLIE MAE A6-2006-2 | 1/25/2041 | 0.294 | 14,254 | 13,653 | 13,815 | ||||||||||||||||||
SMALL BUSINESS ADMINISTRATION 2002-20J | 10/1/2022 | 4.750 | 28 | 28 | 28 | ||||||||||||||||||
SMB PRIVATE EDUCATION LOAN TRUST A2A-2017-B | 10/15/2035 | 2.820 | 5,681 | 5,681 | 5,773 |
MFA TRUST A1-2017-RPL1 | 2/25/2057 | 2.588 | 31,012 | 31,007 | 30,927 | |||||||||
MILL CITY MORTGAGE LOAN TRUST 17-3 | 2/25/2058 | 2.750 | 33,464 | 33,638 | 33,456 | |||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2015-2 | 9/25/2057 | 3.000 | 5,612 | 5,617 | 5,620 | |||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2016-1 | 4/25/2057 | 2.500 | 17,036 | 17,110 | 16,940 | |||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-1 | 11/25/2058 | 2.750 | 32,830 | 32,714 | 32,832 | |||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-2 | 7/25/2059 | 2.750 | 33,832 | 34,098 | 33,828 | |||||||||
MILL CITY MORTGAGE TRUST A2-2015-1 | 6/25/2056 | 3.000 | 22,529 | 22,546 | 22,554 | |||||||||
MORGAN STANLEY MORTGAGE LOAN 04-10AR A1 | 11/25/2034 | 3.907 | 453 | 458 | 456 | |||||||||
MORGAN STANLEY MORTGAGE LOAN PT2A | 11/25/2034 | 3.474 | 741 | 754 | 739 | |||||||||
MORGAN STANLEY REREMIC TRUST 10A-2013-R8 | 9/26/2036 | 3.524 | 1,102 | 1,102 | 1,103 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R1 5A | 11/26/2036 | 2.968 | 2,688 | 2,698 | 2,714 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R3 1A | 2/26/2036 | 3.618 | 8,445 | 8,466 | 8,473 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R3 4A | 12/26/2036 | 3.002 | 3,269 | 3,275 | 3,261 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R3 5A | 11/26/2036 | 2.968 | 2,048 | 2,042 | 2,044 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R8 1A | 9/26/2036 | 3.736 | 13,562 | 13,733 | 13,599 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2010-R1 | 7/26/2035 | 3.629 | 6,431 | 6,452 | 6,456 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2010-R3 | 7/26/2035 | 3.640 | 1,316 | 1,316 | 1,316 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2010-R5 | 1/26/2035 | 3.252 | 833 | 833 | 834 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2013-R9 | 6/26/2046 | 3.560 | 2,258 | 2,264 | 2,264 | |||||||||
MORGAN STANLEY REREMIC TRUST 2010-R2 1A | 9/26/2035 | 3.541 | 181 | 186 | 181 | |||||||||
MORGAN STANLEY REREMIC TRUST 2014-R6 A | 9/26/2035 | 3.658 | 17,120 | 17,298 | 17,515 | |||||||||
MORGAN STANLEY REREMIC TRUST 2A-2014-R4 | 8/26/2034 | 3.538 | 15,512 | 15,697 | 15,724 | |||||||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R1 | 11/20/2036 | 3.306 | 3,895 | 3,893 | 3,895 | |||||||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R7 | 6/26/2035 | 3.218 | 7,233 | 7,261 | 7,229 | |||||||||
MORGAN STANLEY REREMIC TRUST 3A-2013-R8 | 9/26/2036 | 3.595 | 2,130 | 2,132 | 2,131 | |||||||||
MORGAN STANLEY REREMIC TRUST 3A-2014-R4 | 8/26/2034 | 3.523 | 11,798 | 11,920 | 11,773 | |||||||||
MORGAN STANLEY REREMIC TRUST 4A-2013-R8 | 9/26/2036 | 3.609 | 1,424 | 1,430 | 1,433 | |||||||||
MORGAN STANLEY REREMIC TRUST 4A-2015-R4 | 8/26/2047 | 3.351 | 10,004 | 10,027 | 9,954 | |||||||||
MORGAN STANLEY REREMIC TRUST 5A-2013-R9 | 6/26/2046 | 1.701 | 11,024 | 10,794 | 10,682 | |||||||||
MORGAN STANLEY REREMIC TRUST 6A-2013-R8 | 9/26/2036 | 3.396 | 1,492 | 1,492 | 1,493 | |||||||||
MORGAN STANLEY REREMIC TRUST 7A-2013-R8 | 9/26/2036 | 3.387 | 2,096 | 2,100 | 2,073 | |||||||||
MORGAN STANLEY REREMIC TRUST 8A-2015-R3 | 4/26/2047 | 3.274 | 5,455 | 5,488 | 5,443 | |||||||||
MORGAN STANLEY REREMIC TRUST A-2014-R7 | 1/26/2051 | 3.000 | 18,446 | 18,084 | 18,357 | |||||||||
NATIONSTAR MORTGAGE LOAN TRUST A-2013-A | 12/25/2052 | 3.750 | 2,426 | 2,475 | 2,495 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN A1-2017-6A | 8/27/2057 | 4.000 | 20,834 | 21,523 | 21,384 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-1A | 3/25/2056 | 3.750 | 15,468 | 15,863 | 15,835 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2 | 9/25/2056 | 3.750 | 27,323 | 28,291 | 27,972 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2A | 11/26/2035 | 3.750 | 10,274 | 10,558 | 10,503 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-4A | 11/25/2056 | 3.750 | 27,164 | 27,893 | 27,809 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-1A | 2/25/2057 | 4.000 | 24,253 | 24,920 | 24,974 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-3A | 4/25/2057 | 4.000 | 30,487 | 31,696 | 31,395 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2014-3 | 11/25/2054 | 3.750 | 4,802 | 4,907 | 4,929 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2017-2A | 3/25/2057 | 4.000 | 28,545 | 29,630 | 29,505 | |||||||||
NOMURA RESECURITIZATION TRUST 1A1-2015-6R | 4/26/2037 | 1.585 | 8,391 | 8,066 | 8,016 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
STUDENT LOAN TRUST A4A-2008-1 | 12/15/2032 | 1.811 | 2,820 | 2,845 | 2,856 | ||||||||||||||||||
VOI MORTGAGE LLC A-2016-A | 7/20/2033 | 2.540 | 2,079 | 2,077 | 2,088 | ||||||||||||||||||
TOTAL ASSET BACKED SECURITIES | 502,328 | 505,260 |
COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
FANNIE MAE 06-M2 A2A | 10/25/2032 | 5.271 | 1,496 | 1,539 | 1,610 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED A-20K56 | 11/25/2028 | 0.662 | 21,386 | 21,583 | 21,496 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED AFL-2020-KXO | 3/25/2030 | 0.432 | 18,379 | 18,379 | 18,430 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED AL-20K98 | 12/25/2030 | 0.272 | 25,000 | 25,000 | 25,000 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED P AL-20KF88 | 9/25/2030 | 0.432 | 15,322 | 15,322 | 15,335 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED P AL-20KF90 | 9/25/2030 | 0.432 | 16,129 | 16,129 | 16,309 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED AS-20KF84 | 7/25/2030 | 0.370 | 14,387 | 14,387 | 14,412 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED P AL-20KF86 | 8/25/2027 | 0.392 | 9,133 | 9,133 | 9,146 | ||||||||||||||||||
FREDDIE MAC A10-20KS10 | 10/25/2028 | 0.712 | 19,460 | 19,469 | 19,521 | ||||||||||||||||||
FREDDIE MAC A-20KBF2 | 10/25/2025 | 0.541 | 9,748 | 9,749 | 9,796 | ||||||||||||||||||
FREDDIE MAC A-20KF50 | 7/25/2028 | 0.501 | 4,275 | 4,278 | 4,295 | ||||||||||||||||||
FREDDIE MAC A-20KF52 | 9/25/2028 | 0.514 | 8,607 | 8,607 | 8,682 | ||||||||||||||||||
FREDDIE MAC A-20KF53 | 10/25/2025 | 0.484 | 11,333 | 11,333 | 11,362 | ||||||||||||||||||
FREDDIE MAC A-20KF54 | 11/25/2028 | 0.581 | 36,477 | 36,478 | 36,432 | ||||||||||||||||||
FREDDIE MAC A-20KF55 | 11/25/2025 | 0.612 | 34,608 | 34,640 | 34,693 | ||||||||||||||||||
FREDDIE MAC A-20KF57 | 12/25/2028 | 0.641 | 16,444 | 16,444 | 16,538 | ||||||||||||||||||
FREDDIE MAC A-20KF58 | 1/25/2026 | 0.602 | 32,807 | 32,850 | 32,945 | ||||||||||||||||||
FREDDIE MAC A-20KF59 | 2/25/2029 | 0.642 | 22,315 | 22,315 | 22,457 | ||||||||||||||||||
FREDDIE MAC A-20KF60 | 2/25/2026 | 0.592 | 23,559 | 23,590 | 23,645 | ||||||||||||||||||
FREDDIE MAC A-20KF61 | 3/25/2029 | 0.632 | 14,834 | 14,857 | 14,923 | ||||||||||||||||||
FREDDIE MAC AFL-20KSL1 | 11/25/2023 | 0.569 | 21,950 | 21,950 | 22,041 | ||||||||||||||||||
FREDDIE MAC AFLW-20KL3W | 8/25/2025 | 0.551 | 14,865 | 14,882 | 14,934 | ||||||||||||||||||
FREDDIE MAC FHLMC_KF85 | 8/25/2030 | 0.402 | 14,065 | 14,065 | 14,093 | ||||||||||||||||||
FREMF MORTGAGE TRUST AS-20KF97 | 12/25/2030 | 0.300 | 10,572 | 10,572 | 10,559 | ||||||||||||||||||
GINNIE MAE 17-127 | 4/16/2052 | 2.500 | 5,845 | 5,818 | 5,920 | ||||||||||||||||||
GINNIE MAE 17-135 | 5/16/2049 | 2.200 | 15,028 | 14,949 | 15,180 | ||||||||||||||||||
GINNIE MAE 17-146 | 8/16/2047 | 2.200 | 6,199 | 6,176 | 6,258 | ||||||||||||||||||
GINNIE MAE 7-140 | 2/16/2059 | 2.500 | 6,692 | 6,663 | 6,803 | ||||||||||||||||||
GINNIE MAE A-2013-57 | 6/16/2037 | 1.350 | 582 | 580 | 583 | ||||||||||||||||||
GINNIE MAE AC-2013-13 | 4/16/2046 | 1.700 | 1,566 | 1,514 | 1,565 | ||||||||||||||||||
GINNIE MAE AC-2014-112 | 12/16/2040 | 1.900 | 37 | 37 | 37 | ||||||||||||||||||
GINNIE MAE AC-2015-98 | 4/16/2041 | 2.150 | 3,318 | 3,328 | 3,342 | ||||||||||||||||||
GINNIE MAE AD-2016-1829 | 11/16/2043 | 2.250 | 5,080 | 5,091 | 5,134 | ||||||||||||||||||
GINNIE MAE AG-2016-39 | 1/16/2043 | 2.300 | 4,593 | 4,602 | 4,640 | ||||||||||||||||||
GINNIE MAE AG-2017-171 | 10/16/2048 | 2.250 | 5,887 | 5,851 | 5,946 | ||||||||||||||||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 472,160 | 474,062 |
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
280 PARK AVENUE MORTGAGE TRUST 2017-A | 9/15/2034 | 0.982 | 40,000 | 40,000 | 39,950 | ||||||||||||||||||
ASHFORD HOSPITALITY TRUST_A-2018-KEYS | 6/15/2035 | 1.110 | 40,000 | 40,000 | 39,930 | ||||||||||||||||||
BANC OF AMERICA MERRILL LYNCH A-2018-DSNY | 9/15/2034 | 0.960 | 33,350 | 33,291 | 33,304 | ||||||||||||||||||
BARCLAYS COMMERCIAL MORTGAGE A-2019-BWAY | 11/15/2034 | 1.066 | 10,000 | 9,980 | 9,951 | ||||||||||||||||||
BFLD TRUST A-2019-DPLO | 10/15/2034 | 1.200 | 28,000 | 27,981 | 27,966 |
NOMURA RESECURITIZATION TRUST 3A1-2014-7R | 1/26/2036 | 3.639 | 5,204 | 5,261 | 5,265 | |||||||||
NOMURA RESECURITIZATION TRUST 4A1-2015-4R | 3/26/2037 | 3.394 | 8,681 | 8,687 | 8,742 | |||||||||
NOMURA RESECURITIZATION TRUST 5A1-2014-6R | 4/26/2037 | 3.311 | 2,584 | 2,600 | 2,605 | |||||||||
RBSSP RESECURITIZATION TRUST 12-6 8A1 | 4/26/2035 | 2.052 | 3,515 | 3,417 | 3,482 | |||||||||
RBSSP RESECURITIZATION TRUST 19A1-2009-12 | 12/25/2035 | 3.465 | 9,127 | 9,109 | 9,154 | |||||||||
RBSSP RESECURITIZATION TRUST 2009-8 1A1 | 4/26/2036 | 3.325 | 363 | 362 | 363 | |||||||||
RBSSP RESECURITIZATION TRUST 2A1-2009-6 | 1/26/2036 | 3.589 | 3,603 | 3,613 | 3,645 | |||||||||
RESIDENTIAL ASSET SECURITIES 03-K10 AI6 | 12/25/2033 | 4.540 | 206 | 207 | 210 | |||||||||
RESIDENTIAL FUNDING MORTGAGE SECTION I 06-RP1 | 10/25/2045 | 2.052 | 3,226 | 3,219 | 3,221 | |||||||||
STRUCTURED ASSET INVESTMENT LOAN TRUST M1-2003-BC5 | 6/25/2033 | 2.453 | 5,358 | 5,200 | 5,323 | |||||||||
STRUCTURED ASSET SECURITIES CORPORATION 03-24A 5A | 7/25/2033 | 3.455 | 346 | 350 | 344 | |||||||||
TOWD POINT MORTGAGE TRUST 1A12-2015-2 | 11/25/2060 | 2.750 | 3,301 | 3,284 | 3,294 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2015-4 | 4/25/2055 | 3.500 | 1,116 | 1,139 | 1,133 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2015-5 | 5/25/2055 | 3.500 | 9,533 | 9,663 | 9,686 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2015-6 | 4/25/2055 | 3.500 | 12,971 | 13,084 | 13,178 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2016-1 | 2/25/2055 | 3.500 | 15,693 | 15,867 | 15,939 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2016-2 | 8/25/2055 | 3.000 | 16,136 | 16,222 | 16,231 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2016-3 | 4/25/2056 | 2.250 | 27,264 | 27,224 | 27,003 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2017-3 | 7/25/2057 | 2.750 | 22,048 | 22,167 | 22,043 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2017-4 | 6/25/2057 | 2.750 | 23,867 | 24,011 | 23,842 | |||||||||
TOWD POINT MORTGAGE TRUST A1A-2015-3 | 3/25/2054 | 3.500 | 9,276 | 9,380 | 9,384 | |||||||||
TOWD POINT MORTGAGE TRUST A1B-2015-3 | 3/25/2054 | 3.000 | 4,638 | 4,656 | 4,658 | |||||||||
TOWD POINT MORTGAGE TRUST A4B-2015-3 | 3/25/2054 | 3.500 | 4,422 | 4,502 | 4,470 | |||||||||
VERUS SECURITIZATION TRUST A1-2017-1A | 1/25/2047 | 2.853 | 18,482 | 18,477 | 18,538 | |||||||||
VERUS SECURITIZATION TRUST A1-2017-2A | 7/25/2047 | 2.485 | 32,770 | 32,764 | 32,787 | |||||||||
WASHINGTON MUTUAL 03-AR6 A1 | 6/25/2033 | 3.226 | 1,011 | 1,008 | 1,018 | |||||||||
WASHINGTON MUTUAL 04-AR10 A1A | 7/25/2044 | 2.003 | 728 | 730 | 718 | |||||||||
WASHINGTON MUTUAL 05-AR3 A2 | 3/25/2035 | 3.078 | 1,741 | 1,748 | 1,754 | |||||||||
WASHINGTON MUTUAL 05-AR4 A5 | 4/25/2035 | 3.063 | 4,741 | 4,724 | 4,761 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 03-M A1 | 12/25/2033 | 3.719 | 884 | 910 | 892 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-DD 2A6 | 1/25/2035 | 3.581 | 1,322 | 1,320 | 1,358 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-I 1A1 | 7/25/2034 | 3.676 | 1,631 | 1,634 | 1,664 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-K 2A6 | 7/25/2034 | 3.467 | 1,506 | 1,554 | 1,543 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-Q 1A2 | 9/25/2034 | 3.600 | 2,863 | 2,903 | 2,913 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-W A8 | 11/25/2034 | 3.710 | 4,174 | 4,178 | 4,258 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR12 2A5 | 6/25/2035 | 3.451 | 1,890 | 1,817 | 1,927 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR2 2A2 | 3/25/2035 | 3.276 | 420 | 421 | 425 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR2 3A1 | 3/25/2035 | 3.225 | 965 | 958 | 981 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 2004-0 A1 | 8/25/2034 | 3.554 | 247 | 245 | 253 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 2907 AG | 1/25/2035 | 3.661 | 551 | 552 | 561 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 2A2-2005-AR1 | 6/25/2035 | 3.473 | 8,124 | 8,293 | 8,314 | |||||||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,835,067 | 1,833,795 | ||||||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES | 3,259,976 | 3,256,327 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
BHMS MORTGAGE TRUST BHMS 18-ATLS | 7/15/2035 | 1.360 | 40,000 | 40,000 | 39,975 | ||||||||||||||||||
BRAEMAR HOTELS & RESORTS TRUST A-2018-PRME | 6/15/2035 | 0.930 | 19,768 | 19,766 | 19,727 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST A-2019-ATL | 10/15/2036 | 1.177 | 27,275 | 27,270 | 27,208 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST A-2019-XL | 10/15/2036 | 1.030 | 4,171 | 4,173 | 4,170 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST B | 9/15/2036 | 0.810 | 29,000 | 29,011 | 28,901 | ||||||||||||||||||
BX TRUST A-2018-GW | 5/15/2035 | 0.909 | 38,592 | 38,561 | 38,519 | ||||||||||||||||||
BX TRUST_19-RP A-2019-RP | 6/15/2034 | 1.155 | 13,832 | 13,824 | 13,787 | ||||||||||||||||||
CAMB COMMERCIAL MORTGAGE TRUST A-2019-LIFE | 12/15/2037 | 1.180 | 15,000 | 15,000 | 15,001 | ||||||||||||||||||
CGDB COMMERCIAL MORTGAGE TRUST A-2019-MOB | 11/15/2036 | 1.060 | 15,000 | 15,000 | 14,963 | ||||||||||||||||||
COLONY MORTGAGE CAPITAL LTD A-2019-IKPR | 11/15/2038 | 1.239 | 20,000 | 19,938 | 19,988 | ||||||||||||||||||
COMM A-2019-521F | 6/15/2034 | 1.010 | 16,510 | 16,511 | 16,423 | ||||||||||||||||||
COSMOPOLITAN HOTEL TRUST A-2017-CSMO | 11/15/2036 | 1.040 | 39,690 | 39,677 | 39,667 | ||||||||||||||||||
DBGS MORTGAGE TRUST A-2018-5BP | 6/15/2033 | 0.885 | 40,000 | 39,970 | 39,925 | ||||||||||||||||||
DBGS MORTGAGE TRUST A-2018-BIOD | 5/15/2035 | 0.913 | 23,203 | 23,201 | 23,196 | ||||||||||||||||||
DBWF MORTGAGE TRUST A-2018-GLKS | 12/19/2030 | 1.134 | 20,000 | 19,947 | 20,001 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR1 | 3/17/2037 | 0.808 | 26,163 | 26,082 | 26,163 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR2 | 6/17/2037 | 1.009 | 35,980 | 35,886 | 35,986 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR3 | 7/17/2037 | 1.109 | 9,016 | 9,016 | 9,000 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR4 | 1/17/2038 | 1.208 | 30,419 | 30,420 | 30,410 | ||||||||||||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE A-2018-ASH8 | 2/15/2035 | 1.059 | 11,398 | 11,397 | 11,376 | ||||||||||||||||||
MORGAN STANLEY CAPITAL TRUST MSC_18-BOP | 8/15/2033 | 0.960 | 19,269 | 19,270 | 19,199 | ||||||||||||||||||
ONE NEW YORK PLAZA TRUST ONYP A-2020-1NYP | 1/15/2036 | 1.060 | 18,200 | 18,200 | 18,189 | ||||||||||||||||||
UBS COMMERCIAL MORTGAGE TRUST A-2018-NYCH | 2/15/2032 | 0.960 | 10,585 | 10,570 | 10,513 | ||||||||||||||||||
WELLS FARGO COMMERCIAL MORTGAGE TRUST_17-SMP | 12/15/2034 | 0.985 | 18,500 | 18,414 | 18,479 | ||||||||||||||||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 692,356 | 691,867 | |||||||||||||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 1,164,516 | 1,165,929 |
CORPORATE DEBT SECURITIES | |||||||||||||||||||||||
BANKING | |||||||||||||||||||||||
WASHINGTON MUTUAL BANK/HENDERSON | 6/15/2011 | — | 1,500 | — | 3 | c,d | |||||||||||||||||
TOTAL BANKING | — | 3 | |||||||||||||||||||||
COMMUNICATIONS | |||||||||||||||||||||||
SKY PLC | 11/26/2022 | 3.125 | 5,000 | 4,998 | 5,107 | ||||||||||||||||||
TOTAL COMMUNICATIONS | 4,998 | 5,107 | |||||||||||||||||||||
CONSUMER NON CYCLICAL | |||||||||||||||||||||||
ESSILOR INTERNATIONAL SA | 1/5/2022 | 2.050 | 6,000 | 6,000 | 6,001 | ||||||||||||||||||
KROGER CO | 8/1/2022 | 2.800 | 5,845 | 5,818 | 5,909 | ||||||||||||||||||
TOTAL CONSUMER NON CYCLICAL | 11,818 | 11,910 | |||||||||||||||||||||
ELECTRIC | |||||||||||||||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 10/1/2022 | 2.400 | 3,000 | 2,986 | 3,033 | ||||||||||||||||||
BERKSHIRE HATHAWAY INC | 8/15/2023 | 3.375 | 14,195 | 14,351 | 14,668 | ||||||||||||||||||
CMS ENERGY CORPORATION | 8/31/2024 | 3.125 | 10,250 | 10,461 | 10,689 | ||||||||||||||||||
DUKE ENERGY CORP | 8/15/2022 | 3.050 | 3,053 | 3,040 | 3,082 | ||||||||||||||||||
EVERSOURCE ENERGY | 3/15/2022 | 2.750 | 1,050 | 1,050 | 1,052 | ||||||||||||||||||
THE SOUTHERN COMPANY | 3/30/2022 | 2.450 | 500 | 498 | 502 | ||||||||||||||||||
TOTAL ELECTRIC | 32,386 | 33,026 | |||||||||||||||||||||
ASSET BACKED SECURITIES | ||||||||||||||
ARL FIRST LLC ARLFR A1-2012-1A | 12/15/2042 | 3.000 | 7,245 | 7,293 | 7,299 | |||||||||
ATRIUM CDO CORP AR-2010A | 7/16/2025 | 2.309 | 24,469 | 24,469 | 24,486 | |||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2015-2A | 12/20/2021 | 2.630 | 35,669 | 35,816 | 35,559 | |||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-1A | 6/20/2022 | 2.990 | 36,874 | 37,443 | 37,103 | |||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-2A | 11/20/2022 | 2.720 | 38,000 | 37,754 | 37,642 | |||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2017-1A | 9/20/2023 | 3.070 | 8,020 | 8,065 | 8,080 | |||||||||
BRAZOS HIGHER EDUCATION AUTHORITY A2-2010-1 | 2/25/2035 | 2.662 | 20,000 | 19,783 | 20,444 | |||||||||
CARLYLE GLOBAL MARKET STRATEGIES A1R-2013-1A | 8/14/2030 | 2.633 | 20,000 | 20,000 | 20,081 | |||||||||
CENTRE POINT FUNDING LLC 12-2 A | 8/20/2021 | 2.610 | 598 | 598 | 595 | |||||||||
CHESAPEAKE FUNDING II LLC A1-2016-1A | 3/15/2028 | 2.110 | 4,371 | 4,370 | 4,373 | |||||||||
CLI FUNDING LLC A-2014-1A | 6/18/2029 | 3.290 | 9,735 | 9,746 | 9,686 | |||||||||
COLLEGE LOAN CORPORATION TRUST 02-2 A24 | 3/1/2042 | 2.745 | 10,000 | 8,760 | 9,639 | |||||||||
DIAMOND RESORTS OWNER TRUST A-2013-2 | 5/20/2026 | 2.270 | 1,248 | 1,248 | 1,245 | |||||||||
DRYDEN SENIOR LOAN FUND A4A-2008-1 | 10/15/2028 | 3.018 | 20,000 | 20,032 | 20,159 | |||||||||
DRYDEN SENIOR LOAN FUND DEF_26250UAC | 7/15/2025 | 2.459 | 35,782 | 35,782 | 35,805 | |||||||||
EDUCATIONAL SERVICES OF AMERICA A-2012-2 | 4/25/2039 | 2.282 | 5,268 | 5,265 | 5,265 | |||||||||
EDUCATIONAL SERVICES OF AMERICA A-2014-1 | 2/25/2039 | 2.252 | 16,053 | 15,833 | 15,858 | |||||||||
EDUCATIONAL SERVICES OF AMERICA A-2014-3 | 2/25/2036 | 2.152 | 1,052 | 1,033 | 1,036 | |||||||||
FIRST INVESTORS AUTO OWNER TRUST A2-2016-1A | 4/15/2021 | 2.260 | 13,200 | 13,200 | 13,191 | |||||||||
GLOBAL SUPPLY CHAIN FINANCE A1-2014-1A | 7/17/2029 | 3.190 | 6,583 | 6,582 | 6,536 | |||||||||
HENDERSON RECEIVABLES LLC 10-3A A | 12/15/2048 | 3.820 | 1,132 | 1,133 | 1,171 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2015-1A | 3/25/2021 | 2.730 | 35,000 | 34,932 | 35,102 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2015-2A | 9/25/2019 | 2.020 | 4,475 | 4,475 | 4,466 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2015-3A | 9/25/2021 | 2.670 | 20,000 | 19,894 | 19,685 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2016-1A | 3/25/2020 | 2.320 | 17,105 | 17,103 | 17,024 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2016-2A | 3/25/2022 | 2.950 | 33,900 | 33,829 | 33,797 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2016-4A | 7/25/2022 | 2.650 | 8,168 | 8,047 | 8,019 | |||||||||
HILTON GRAND VACATIONS TRUST 13-A A | 1/25/2026 | 2.280 | 4,578 | 4,569 | 4,547 | |||||||||
KENTUCKY HIGHER EDUCATION STUDENT LOAN A1-2013-2 | 9/1/2028 | 1.961 | 7,258 | 7,107 | 7,250 | |||||||||
MISSISSIPPI HIGHER EDUCATION ASSISTANCE CORP. A1-2014-1 | 10/25/2035 | 2.232 | 6,565 | 6,418 | 6,576 | |||||||||
MVW OWNER TRUST MVWOT_16-1A | 12/20/2033 | 2.250 | 14,975 | 14,882 | 14,815 | |||||||||
NAVITAS EQUIPMENT RECEIVABLES A2-2016-1 | 6/15/2021 | 2.200 | 4,720 | 4,720 | 4,708 | |||||||||
NEW RESIDENTIAL ADVANCE RECEIVABLE AT1-2016-T1 | 6/15/2049 | 2.751 | 7,923 | 7,923 | 7,839 | |||||||||
NORTHSTAR EDUCATION FINANCE A3-2002-1 | 4/1/2042 | 3.211 | 5,000 | 4,704 | 4,736 | |||||||||
OAK HILL CREDIT PARTNERS DEF_67104CAA | 4/20/2025 | 2.483 | 17,591 | 17,591 | 17,617 | |||||||||
OCTAGON INVESTMENT PARTNERS OCT30_17-1A | 3/17/2030 | 2.683 | 6,900 | 6,900 | 6,989 | |||||||||
ONEMAIN DIRECT AUTO RECEIVABLE A-2016-1A | 1/15/2021 | 2.040 | 3,134 | 3,134 | 3,133 | |||||||||
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY WL 13-1A | 11/25/2036 | 2.052 | 3,507 | 3,439 | 3,478 | |||||||||
RACE POINT CLO LTD AR-2013-8A | 2/20/2030 | 2.776 | 14,000 | 14,000 | 14,106 | |||||||||
SALLIE MAE 03-C A2 | 9/15/2020 | 1.978 | 75 | 74 | 75 | |||||||||
SALLIE MAE 11-2 A1 | 11/25/2027 | 1.928 | 1,150 | 1,149 | 1,155 | |||||||||
SALLIE MAE 12-3 A | 12/27/2038 | 1.978 | 8,437 | 8,490 | 8,484 | |||||||||
SALLIE MAE 12-B A2 | 10/15/2030 | 3.480 | 1,006 | 1,007 | 1,010 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
INSURANCE | |||||||||||||||||||||||
UNITEDHEALTH GROUP INC | 3/15/2022 | 2.875 | 2,000 | 1,999 | 2,004 | ||||||||||||||||||
TOTAL INSURANCE | 1,999 | 2,004 | |||||||||||||||||||||
TOTAL CORPORATE DEBT SECURITIES | 51,201 | 52,050 | |||||||||||||||||||||
TOTAL FIXED MATURITIES | 4,710,303 | 4,728,811 |
SYNDICATED LOANS | |||||||||||||||||||||||
BASIC INDUSTRY | |||||||||||||||||||||||
ASPLUNDH TREE EXPERT LLC | 9/7/2027 | 1.840 | 866 | 864 | 864 | ||||||||||||||||||
AXALTA COATING SYSTEMS LTD | 6/1/2024 | 1.882 | 1,206 | 1,203 | 1,203 | ||||||||||||||||||
CHEMOURS COMPANY | 4/3/2025 | 1.850 | 1,847 | 1,847 | 1,847 | ||||||||||||||||||
ELEMENT SOLUTIONS INC | 1/31/2026 | 2.090 | 975 | 973 | 973 | ||||||||||||||||||
FLINT GROUP GERMANY | 9/21/2023 | 6.000 | 85 | 85 | 85 | ||||||||||||||||||
FLINT GROUP GERMANY | 9/21/2023 | 6.000 | 515 | 512 | 512 | ||||||||||||||||||
HEXION HOLDINGS LLC | 7/1/2026 | 3.640 | 489 | 485 | 485 | ||||||||||||||||||
INEOS LTD | 3/29/2024 | 2.090 | 1,306 | 1,307 | 1,307 | ||||||||||||||||||
MESSER INDUSTRIE GMBH | 3/2/2026 | 2.632 | 1,056 | 1,052 | 1,052 | ||||||||||||||||||
MINERALS TECHNOLOGIES INC. | 2/14/2024 | 3.000 | 729 | 729 | 729 | ||||||||||||||||||
TRINSEO SA | 9/6/2024 | 2.090 | 1,301 | 1,301 | 1,301 | ||||||||||||||||||
UNIVAR INC | 6/3/2028 | 2.090 | 499 | 496 | 496 | ||||||||||||||||||
TOTAL BASIC INDUSTRY | 10,854 | 10,854 | |||||||||||||||||||||
BROKERAGE | |||||||||||||||||||||||
CITADEL SECURITIES LP | 2/2/2028 | 2.590 | 1,244 | 1,242 | 1,242 | ||||||||||||||||||
GREENHILL & CO INC | 4/12/2024 | 3.340 | 489 | 488 | 488 | ||||||||||||||||||
LPL HOLDINGS INC TERM LOAN B1 | 11/12/2026 | 1.849 | 617 | 613 | 613 | ||||||||||||||||||
RUSSELL INVESTMENTS US INSTITUTE 2025 TERM LOAN | 5/30/2025 | 4.500 | 1,339 | 1,339 | 1,339 | ||||||||||||||||||
TOTAL BROKERAGE | 3,682 | 3,682 | |||||||||||||||||||||
CAPITAL GOODS | |||||||||||||||||||||||
ADVANCED DRAINAGE SYSTEMS INC | 4/23/2028 | 2.340 | 384 | 382 | 382 | ||||||||||||||||||
ALBEA BEAUTY HOLDINGS | 4/20/2024 | 4.000 | 229 | 228 | 228 | ||||||||||||||||||
ANCHOR GLASS CONTAINER CORP | 12/7/2023 | 3.750 | 959 | 959 | 959 | ||||||||||||||||||
BERRY GLOBAL INC TERM LOAN Z | 7/1/2026 | 1.864 | 968 | 967 | 967 | ||||||||||||||||||
DOOSAN INFRACORE CO LTD | 5/18/2024 | 1.967 | 771 | 772 | 772 | ||||||||||||||||||
ENERGY SOLUTIONS LLC | 5/12/2025 | 4.750 | 598 | 596 | 596 | ||||||||||||||||||
EWT HOLDINGS III CORP | 3/12/2028 | 2.625 | 748 | 745 | 745 | ||||||||||||||||||
GFL ENVIRONMENTAL INC | 5/30/2025 | 3.500 | 317 | 316 | 316 | ||||||||||||||||||
INGERSOLL RAND INC | 3/1/2027 | 1.840 | 320 | 320 | 320 | ||||||||||||||||||
INGERSOLL-RAND SERVICES CO | 3/1/2027 | 1.840 | 1,231 | 1,230 | 1,230 | ||||||||||||||||||
QUIKRETE HOLDINGS INC | 2/1/2027 | 2.590 | 1,351 | 1,343 | 1,343 | ||||||||||||||||||
PRINTPACK HOLDINGS INC | 7/26/2023 | 4.000 | 128 | 128 | 128 | ||||||||||||||||||
REYNOLDS CONSUMER PRODUCTS LLC | 1/29/2027 | 1.840 | 238 | 237 | 237 | ||||||||||||||||||
TEREX CORP TERM LOAN B | 1/31/2024 | 2.750 | 80 | 78 | 78 | ||||||||||||||||||
TRANSDIGM INC | 12/9/2025 | 2.340 | 831 | 829 | 829 |
SALLIE MAE A6-2006-2 | 1/25/2041 | 1.537 | 20,000 | 18,907 | 19,376 | |||||||||
SBA TOWER TRUST A-2015-1 | 10/8/2020 | 3.156 | 8,108 | 8,182 | 8,165 | |||||||||
SBA TOWER TRUST C-2013-1 | 4/10/2018 | 2.240 | 23,100 | 23,102 | 23,092 | |||||||||
SBA TOWER TRUST C-2013-2 | 4/11/2023 | 3.722 | 2,815 | 2,785 | 2,846 | |||||||||
SBA TOWER TRUST C-2016-1A | 7/9/2021 | 2.877 | 8,055 | 8,091 | 7,995 | |||||||||
SBA TOWER TRUST C-2017-1 | 4/11/2022 | 3.168 | 22,000 | 22,000 | 21,739 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-1A | 3/21/2033 | 3.080 | 7,234 | 7,236 | 7,251 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY 13-2A A | 11/20/2025 | 2.280 | 664 | 664 | 664 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-2A | 7/20/2033 | 2.330 | 424 | 416 | 420 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-3A | 10/20/2033 | 2.430 | 8,250 | 8,249 | 8,035 | |||||||||
SMALL BUSINESS ADMINISTRATION 2002-20J | 10/1/2022 | 4.750 | 279 | 281 | 286 | |||||||||
SMB PRIVATE EDUCATION LOAN TRUST A2A-2017-B | 10/15/2035 | 2.820 | 11,000 | 10,998 | 10,973 | |||||||||
SOCIAL PROFESSIONAL LOAN PROGRAM LLC A2A-2016-B | 3/25/2031 | 1.680 | 2,153 | 2,153 | 2,149 | |||||||||
SPS SERVICER ADVANCE RECEIVABLE AT2-2016-T2 | 11/15/2049 | 2.750 | 26,205 | 26,197 | 26,072 | |||||||||
STUDENT LOAN TRUST A4A-2008-1 | 12/15/2032 | 3.188 | 5,546 | 5,622 | 5,725 | |||||||||
SVO VOI MORTGAGE CORP 12-A A | 9/20/2029 | 2.000 | 3,155 | 3,149 | 3,125 | |||||||||
TAL ADVANTAGE LLC 13-1 A | 2/22/2038 | 2.830 | 1,950 | 1,954 | 1,920 | |||||||||
TREMEN PARK A-2016-1A | 4/20/2027 | 2.733 | 20,000 | 20,066 | 20,033 | |||||||||
TRIP RAIL MASTER FUNDING LLC A1-2017-1A | 8/15/2047 | 2.709 | 11,343 | 11,343 | 11,299 | |||||||||
VOI MORTGAGE LLC A-2016-A | 7/20/2033 | 2.540 | 10,795 | 10,792 | 10,703 | |||||||||
VOYA CLO LTD DEF | 4/25/2025 | 2.517 | 26,975 | 26,975 | 27,056 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY A-2013-A | 3/15/2029 | 3.100 | 723 | 723 | 715 | |||||||||
TOTAL ASSET BACKED SECURITIES | 758,477 | 759,503 | ||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
FANNIE MAE 06-M2 A2A | 10/25/2032 | 5.271 | 5,849 | 6,161 | 6,253 | |||||||||
FANNIE MAE 461647 | 1/1/2019 | 6.075 | 331 | 330 | 331 | |||||||||
GINNIE MAE 11-165 A | 10/16/2037 | 2.194 | 6,125 | 6,149 | 6,112 | |||||||||
GINNIE MAE 13-141 A | 6/16/2040 | 2.023 | 11,995 | 11,994 | 11,802 | |||||||||
GINNIE MAE 13-146 AH | 8/16/2040 | 2.000 | 4,746 | 4,749 | 4,712 | |||||||||
GINNIE MAE 13-159 A | 8/16/2038 | 1.794 | 1,575 | 1,571 | 1,569 | |||||||||
GINNIE MAE 17-127 | 4/16/2052 | 2.500 | 19,897 | 19,770 | 19,481 | |||||||||
GINNIE MAE 17-135 | 5/16/2049 | 2.200 | 30,259 | 30,021 | 29,648 | |||||||||
GINNIE MAE 17-146 | 8/16/2047 | 2.200 | 24,874 | 24,705 | 24,396 | |||||||||
GINNIE MAE 7-140 | 2/16/2059 | 2.500 | 24,900 | 24,748 | 24,531 | |||||||||
GINNIE MAE A-2013-57 | 6/16/2037 | 1.350 | 3,378 | 3,349 | 3,305 | |||||||||
GINNIE MAE A-2014-61 | 1/16/2044 | 2.205 | 5,948 | 5,955 | 5,930 | |||||||||
GINNIE MAE AB-2013-194 | 5/16/2038 | 2.250 | 7,978 | 7,999 | 7,949 | |||||||||
GINNIE MAE AB-2014-143 | 3/16/2040 | 2.500 | 2,474 | 2,510 | 2,461 | |||||||||
GINNIE MAE AB-2014-75 | 6/16/2047 | 2.000 | 4,188 | 4,196 | 4,206 | |||||||||
GINNIE MAE AC-2013-13 | 4/16/2046 | 1.700 | 4,392 | 4,229 | 4,199 | |||||||||
GINNIE MAE AC-2014-112 | 12/16/2040 | 1.900 | 4,516 | 4,556 | 4,437 | |||||||||
GINNIE MAE AC-2014-143 | 3/16/2040 | 2.000 | 4,947 | 4,975 | 4,885 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
ZEKELMAN INDUSTRIES INC | 1/24/2027 | 2.103 | 728 | 729 | 729 | ||||||||||||||||||
TOTAL CAPITAL GOODS | 9,859 | 9,859 | |||||||||||||||||||||
COMMUNICATIONS | |||||||||||||||||||||||
ALTICE FRANCE SA | 7/15/2025 | 2.879 | 955 | 954 | 954 | ||||||||||||||||||
CENTURYLINK INC | 3/15/2027 | 2.340 | 1,228 | 1,228 | 1,228 | ||||||||||||||||||
CHARTER COMMUNICATIONS INC | 4/30/2025 | 1.850 | 1,398 | 1,399 | 1,399 | ||||||||||||||||||
COGECO COMMUNICATIONS (USA) II LP | 1/3/2025 | 2.090 | 1,353 | 1,352 | 1,352 | ||||||||||||||||||
CSC HOLDINGS LLC | 7/17/2025 | 2.360 | 946 | 944 | 944 | ||||||||||||||||||
DIAMOND SPORTS GROUP LLC | 8/24/2026 | 3.350 | 1,152 | 1,149 | 1,149 | ||||||||||||||||||
ENTRAVISION COMMUNICATIONS CORPORATION | 11/30/2024 | 2.840 | 302 | 301 | 301 | ||||||||||||||||||
EW SCRIPPS CO TERM LOAN - B2 | 5/1/2026 | 3.313 | 494 | 484 | 484 | ||||||||||||||||||
GRAY TELEVISION INC | 2/7/2024 | 2.599 | 278 | 278 | 278 | ||||||||||||||||||
HUBBARD RADIO LLC | 3/28/2025 | 5.250 | 240 | 240 | 240 | ||||||||||||||||||
LEVEL 3 PARENT LLC | 3/1/2027 | 1.840 | 337 | 337 | 337 | ||||||||||||||||||
LIONS GATE CAPITAL HOLDINGS LLC | 3/22/2023 | 1.840 | 961 | 961 | 961 | ||||||||||||||||||
CSC HOLDINGS LLC | 1/15/2026 | 2.360 | 973 | 954 | 954 | ||||||||||||||||||
LIONS GATE ENTERTAINMENT CORP | 3/24/2025 | 2.340 | 802 | 802 | 802 | ||||||||||||||||||
NASCAR HOLDINGS INC | 10/19/2026 | 2.590 | 338 | 337 | 337 | ||||||||||||||||||
NEXSTAR MEDIA GROUP INC | 1/17/2024 | 2.340 | 308 | 308 | 308 | ||||||||||||||||||
SBA COMMUNICATIONS CORP | 4/11/2025 | 1.850 | 1,230 | 1,226 | 1,226 | ||||||||||||||||||
SINCLAIR TELEVISION GROUP INC | 4/1/2028 | 3.100 | 796 | 793 | 793 | ||||||||||||||||||
SINCLAIR TELEVISION GROUP INC | 12/17/2026 | 3.590 | 988 | 968 | 968 | ||||||||||||||||||
TELESAT LLC | 12/7/2026 | 2.900 | 814 | 812 | 812 | ||||||||||||||||||
VIRGIN MEDIA BRISTOL LLC | 1/31/2028 | 2.610 | 1,000 | 1,001 | 1,001 | ||||||||||||||||||
TOTAL COMMUNICATIONS | 16,828 | 16,828 | |||||||||||||||||||||
CONSUMER CYCLICAL | |||||||||||||||||||||||
1011778 BC UNLIMITED LIABILITY | 11/19/2026 | 1.840 | 1,314 | 1,313 | 1,313 | ||||||||||||||||||
AMERICAN AXLE & MANUFACTURING TERM LOAN B | 4/6/2024 | 3.000 | 1,066 | 1,060 | 1,060 | ||||||||||||||||||
ARISTOCRAT LEISURE LTD | 10/19/2024 | 1.882 | 1,429 | 1,429 | 1,429 | ||||||||||||||||||
BJS WHOLESALE CLUB INC TERM LOAN B | 2/3/2024 | 2.105 | 302 | 300 | 300 | ||||||||||||||||||
BURLINGTON COAT FACTORY | 6/24/2028 | 2.100 | 926 | 922 | 922 | ||||||||||||||||||
CAESARS ENTERTAINMENT CORP | 12/23/2024 | 2.840 | 1,072 | 1,068 | 1,068 | ||||||||||||||||||
CEDAR FAIR LP | 4/13/2024 | 1.840 | 181 | 174 | 174 | ||||||||||||||||||
CINEWORLD FINANCE US INC | 2/28/2025 | 3.500 | 341 | 340 | 340 | ||||||||||||||||||
FOUR SEASONS HOLDINGS INC | 11/30/2023 | 2.090 | 1,447 | 1,444 | 1,444 | ||||||||||||||||||
GO DADDY INC | 2/15/2024 | 1.840 | 931 | 930 | 930 | ||||||||||||||||||
HILTON WORLDWIDE HOLDINGS INC | 6/22/2026 | 1.842 | 749 | 748 | 748 | ||||||||||||||||||
KAR AUCTION SERVICES INC | 9/18/2026 | 2.375 | 735 | 734 | 734 | ||||||||||||||||||
KFC HOLDING CO | 3/15/2028 | 1.854 | 1,044 | 1,044 | 1,044 | ||||||||||||||||||
METRO-GOLDWYN-MAYER INC | 7/3/2025 | 2.600 | 1,360 | 1,353 | 1,353 | ||||||||||||||||||
NAI ENTERTAINMENT HOLDINGS LLC | 5/8/2025 | 3.500 | 793 | 793 | 793 | ||||||||||||||||||
PCI GAMING AUTHORITY | 5/29/2026 | 2.590 | 385 | 384 | 384 | ||||||||||||||||||
PENN NATIONAL GAMING INC | 10/15/2025 | 3.000 | 1,112 | 1,110 | 1,110 |
GINNIE MAE AC-2014-48 | 10/16/2041 | 1.900 | 8,700 | 8,763 | 8,586 | |||||||||
GINNIE MAE AC-2014-70 | 4/16/2042 | 1.900 | 8,988 | 9,044 | 8,889 | |||||||||
GINNIE MAE AC-2015-98 | 4/16/2041 | 2.150 | 12,457 | 12,593 | 12,280 | |||||||||
GINNIE MAE AD-2014-9 | 9/16/2041 | 2.500 | 5,503 | 5,598 | 5,463 | |||||||||
GINNIE MAE AD-2016-1829 | 11/16/2043 | 2.250 | 18,864 | 18,964 | 18,569 | |||||||||
GINNIE MAE AG-2016-39 | 1/16/2043 | 2.300 | 13,997 | 14,059 | 13,796 | |||||||||
GINNIE MAE AG-2017-171 | 10/16/2048 | 2.250 | 24,961 | 24,656 | 24,467 | |||||||||
GINNIE MAE AN-2014-17 | 6/16/2048 | 2.364 | 4,687 | 4,767 | 4,809 | |||||||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 266,411 | 263,066 | ||||||||||||
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
280 PARK AVENUE MORTGAGE TRUST 2017-A | 9/15/2034 | 2.312 | 40,000 | 40,000 | 40,014 | |||||||||
BARCLAYS COMMERCIAL MORTGAGE | 11/15/2034 | 2.277 | 40,000 | 40,000 | 40,003 | |||||||||
BHMS MORTGAGE TRUST AFL-2014-ATL | 7/5/2033 | 2.861 | 22,615 | 22,586 | 22,720 | |||||||||
BHMS MORTGAGE TRUST BHMS_14-AT | 7/5/2033 | 3.601 | 5,947 | 6,096 | 5,957 | |||||||||
BX TRUST A-2017-APPL | 7/15/2034 | 2.131 | 15,000 | 15,000 | 15,009 | |||||||||
BX TRUST A-2017-SLCT | 7/15/2034 | 2.397 | 25,000 | 25,000 | 25,070 | |||||||||
CLNS TRUST A-2017-IKPR | 6/11/2032 | 2.232 | 30,000 | 30,000 | 30,019 | |||||||||
COLONY MULTIFAMILY AMERICAN HOMES A-2015-1A | 7/17/2032 | 2.691 | 18,092 | 18,102 | 18,153 | |||||||||
COLONY MULTIFAMILY MORTGAGE TRUST A-2014-1 | 4/20/2050 | 2.543 | 996 | 994 | 990 | |||||||||
COLONY STARWOOD HOMES A-2016-2A | 12/17/2033 | 2.741 | 34,827 | 34,827 | 35,025 | |||||||||
COMMERCIAL MORTGAGE TRUST A-2017-DLTA | 8/15/2032 | 2.101 | 30,000 | 30,000 | 30,011 | |||||||||
COMMERCIAL MORTGAGE TRUST 11-C2 A2 | 12/15/2047 | 3.061 | 61 | 61 | 61 | |||||||||
COMMERCIAL MORTGAGE TRUST A-2017-BIO | 5/15/2030 | 2.000 | 12,000 | 12,000 | 12,008 | |||||||||
COMMERCIAL MORTGAGE TRUST AFX-2016-RND | 2/10/2033 | 2.757 | 10,414 | 10,410 | 10,413 | |||||||||
COSMOPOLITAN HOTEL TRUST A-2017-CSMO | 11/15/2036 | 2.407 | 20,000 | 20,000 | 20,031 | |||||||||
DBUBS MORTGAGE TRUST 11-LC2 A1 | 7/10/2044 | 3.527 | 1,659 | 1,663 | 1,688 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 10-C2 A1 | 12/10/2043 | 3.849 | 866 | 868 | 884 | |||||||||
HOME PARTNERS OF AMERICA TRUST | 10/17/2033 | 2.641 | 13,606 | 13,565 | 13,652 | |||||||||
HOME PARTNERS OF AMERICA TRUST A-2017-1 | 7/17/2034 | 2.308 | 20,750 | 20,671 | 20,729 | |||||||||
HYATT HOTEL PORTFOLIO TRUST A-2017-HYT2 | 8/9/2032 | 2.160 | 8,500 | 8,458 | 8,466 | |||||||||
INVITATION HOMES TRUST A-2015-SFR1 | 3/17/2032 | 2.701 | 11,090 | 11,092 | 11,141 | |||||||||
INVITATION HOMES TRUST A-2015-SFR2 | 6/17/2032 | 2.601 | 9,916 | 9,907 | 9,932 | |||||||||
INVITATION HOMES TRUST A-2015-SFR3 | 8/17/2032 | 2.551 | 33,243 | 33,268 | 33,328 | |||||||||
INVITATION HOMES TRUST A-2017-SFR2 | 12/17/2036 | 2.341 | 6,473 | 6,473 | 6,481 | |||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE 09-IWST A2 | 12/5/2027 | 5.633 | 1,250 | 1,330 | 1,309 | |||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE 16-ASH | 10/15/2034 | 2.977 | 30,000 | 29,964 | 30,048 | |||||||||
MORGAN STANLEY MORTGAGE LOAN MSC_17-PRME | 2/15/2034 | 2.377 | 8,765 | 8,765 | 8,751 | |||||||||
PFP 2017-3 | 1/14/2035 | 2.300 | 4,702 | 4,702 | 4,706 | |||||||||
PROGRESS RESIDENTIAL TRUST A-2017-SFR1 | 8/17/2034 | 2.768 | 18,858 | 18,855 | 18,658 | |||||||||
STARWOOD WAYPOINT HOMES TRUST-2017-1 | 1/17/2035 | 2.428 | 29,891 | 29,891 | 30,011 | |||||||||
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 11-C1 AAB | 1/10/2045 | 3.187 | 6,889 | 6,913 | 6,968 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
PRIME SECURITY SERVICES | 9/23/2026 | 3.500 | 889 | 883 | 883 | ||||||||||||||||||
QUALITY SOLUTIONS INTERNATIONAL LTD | 8/21/2025 | 2.840 | 906 | 899 | 899 | ||||||||||||||||||
SCIENTIFIC GAMES CORP | 8/14/2024 | 2.840 | 1,379 | 1,375 | 1,375 | ||||||||||||||||||
SEMINOLE TRIBE OF FLORIDA INC | 7/8/2024 | 1.840 | 752 | 751 | 751 | ||||||||||||||||||
SIX FLAGS ENTERTAINMENT CORP | 4/17/2026 | 1.850 | 760 | 760 | 760 | ||||||||||||||||||
WILLIAM MORRIS ENDEAVOR ENTERTAINMENT LLC | 5/18/2025 | 2.850 | 895 | 893 | 893 | ||||||||||||||||||
WYNDHAM WORLDWIDE CORP | 5/30/2025 | 1.840 | 970 | 970 | 970 | ||||||||||||||||||
TOTAL CONSUMER CYCLICAL | 21,677 | 21,677 | |||||||||||||||||||||
CONSUMER NON CYCLICAL | |||||||||||||||||||||||
ARAMARK SERVICES INC | 3/23/2028 | 2.590 | 1,012 | 1,007 | 1,007 | ||||||||||||||||||
B&G FOODS INC | 10/10/2026 | 2.590 | 268 | 267 | 267 | ||||||||||||||||||
BAUSCH HEALTH COMPANIES INC | 6/1/2025 | 3.090 | 372 | 371 | 371 | ||||||||||||||||||
CHANGE HEALTHCARE HOLDINGS LLC | 3/1/2024 | 3.500 | 654 | 653 | 653 | ||||||||||||||||||
DAVITA INC | 8/12/2026 | 1.840 | 735 | 734 | 734 | ||||||||||||||||||
ELANCO ANIMAL HEALTH INC | 8/1/2027 | 1.849 | 700 | 697 | 697 | ||||||||||||||||||
ENERGIZER HOLDINGS INC | 12/22/2027 | 2.750 | 414 | 412 | 412 | ||||||||||||||||||
GRIFOLS SA | 11/15/2027 | 2.072 | 1,117 | 1,114 | 1,114 | ||||||||||||||||||
ICON LUXEMBOURG SARL LUX SARL | 7/3/2028 | 3.000 | 454 | 452 | 452 | ||||||||||||||||||
INDIGO MERGER SUB INC | 7/3/2028 | 3.000 | 113 | 113 | 113 | ||||||||||||||||||
IQVIA INC TERM LOAN - B3 | 6/11/2025 | 1.882 | 462 | 456 | 456 | ||||||||||||||||||
JBS SA | 5/1/2026 | 2.092 | 559 | 558 | 558 | ||||||||||||||||||
ORGANON & CO | 4/7/2028 | 3.500 | 397 | 395 | 395 | ||||||||||||||||||
PRESTIGE BRANDS INC | 6/10/2028 | 2.500 | 417 | 415 | 415 | ||||||||||||||||||
SELECT MEDICAL CORPORATION | 3/6/2025 | 2.350 | 1,248 | 1,244 | 1,244 | ||||||||||||||||||
US FOODS HOLDING CORP | 8/30/2026 | 2.090 | 245 | 244 | 244 | ||||||||||||||||||
TOTAL CONSUMER NON CYCLICAL | 9,132 | 9,132 | |||||||||||||||||||||
ELECTRIC | |||||||||||||||||||||||
ASTORIA ENERGY LLC TERM LOAN B | 12/2/2027 | 4.500 | 1 | 1 | 1 | ||||||||||||||||||
CALPINE CONSTRUCTION FINANCE | 1/15/2025 | 2.090 | 1,930 | 1,930 | 1,930 | ||||||||||||||||||
CALPINE CORP 2020 TERM LOAN | 12/16/2027 | 2.590 | 326 | 323 | 323 | ||||||||||||||||||
CARROLL COUNTRY ENERGY LLC | 2/16/2026 | 3.632 | 638 | 634 | 634 | ||||||||||||||||||
CPV SHORE HOLDINGS LLC | 12/29/2025 | 3.850 | 650 | 646 | 646 | ||||||||||||||||||
EASTERN POWER LLC | 10/2/2025 | 4.750 | 1,453 | 1,452 | 1,452 | ||||||||||||||||||
EDGEWATER GENERATION LLC | 12/13/2025 | 3.840 | 1,015 | 1,013 | 1,013 | ||||||||||||||||||
EFS COGEN HOLDINGS I LLC NEW TERM LOAN 2020 | 10/1/2027 | 4.500 | 722 | 719 | 719 | ||||||||||||||||||
EXGEN RENEWABLES IV LLC TERM LOAN | 12/15/2027 | 3.500 | 489 | 487 | 487 | ||||||||||||||||||
HELIX GEN FUNDING LLC | 6/3/2024 | 4.750 | 840 | 839 | 839 | ||||||||||||||||||
INVENERGY CLEAN POWER LLC | 8/28/2025 | 3.090 | 819 | 817 | 817 | ||||||||||||||||||
LMBE-MC HOLDCO II LLC | 12/3/2025 | 5.000 | 591 | 589 | 589 | ||||||||||||||||||
VISTRA ENERGY CORP | 12/31/2025 | 1.844 | 1,228 | 1,227 | 1,227 | ||||||||||||||||||
WEST DEPTFORD ENERGY HOLDINGS LLC | 8/3/2026 | 3.840 | 1,171 | 1,168 | 1,168 | ||||||||||||||||||
TOTAL ELECTRIC | 11,845 | 11,845 | |||||||||||||||||||||
VSD LLC 2017-PLT1 | 12/25/2043 | 3.600 | 20,170 | 20,175 | 20,161 | |||||||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 531,636 | 532,397 | ||||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 798,047 | 795,463 | ||||||||||||
CORPORATE DEBT SECURITIES | ||||||||||||||
BANKING | ||||||||||||||
WASHINGTON MUTUAL BANK/HENDERSON | 6/15/2011 | — | 1,500 | 3 | 3 | c,d | ||||||||
TOTAL BANKING | 3 | 3 | ||||||||||||
BASIC INDUSTRY | ||||||||||||||
E I DU PONT DE NEMOURS AND CO | 5/1/2020 | 2.200 | 31,964 | 32,035 | 31,921 | |||||||||
LYONDELLBASELL INDUSTRIES NV | 4/15/2019 | 5.000 | 14,798 | 15,276 | 15,189 | |||||||||
TOTAL BASIC INDUSTRY | 47,311 | 47,110 | ||||||||||||
CAPITAL GOODS | ||||||||||||||
BAE SYSTEMS PLC | 12/15/2020 | 2.850 | 6,712 | 6,824 | 6,743 | |||||||||
BUNZL PLC | 1/15/2020 | 2.930 | 1,300 | 1,312 | 1,298 | |||||||||
HONEYWELL INTERNATIONAL INC | 10/30/2019 | 1.400 | 18,980 | 18,971 | 18,759 | |||||||||
L-3 COMMUNICATIONS CORPORATION | 10/15/2019 | 5.200 | 15,567 | 16,478 | 16,307 | |||||||||
NORTHROP GRUMMAN CORP | 3/15/2021 | 3.500 | 5,000 | 5,151 | 5,152 | |||||||||
NORTHROP GRUMMAN CORP | 6/1/2018 | 1.750 | 10,000 | 10,021 | 9,994 | |||||||||
SIEMENS AG | 3/16/2020 | 2.200 | 10,000 | 10,065 | 9,981 | |||||||||
UNITED TECHNOLOGIES CORPORATION | 4/15/2020 | 4.500 | 5,228 | 5,520 | 5,481 | |||||||||
TOTAL CAPITAL GOODS | 74,342 | 73,715 | ||||||||||||
COMMUNICATIONS | ||||||||||||||
A&E TELEVISION NETWORKS LLC | 8/22/2019 | 3.110 | 5,000 | 5,028 | 5,017 | |||||||||
ROGERS COMMUNICATIONS INC | 8/15/2018 | 6.800 | 15,238 | 15,730 | 15,676 | |||||||||
SCRIPPS NETWORKS INTERACTIVE INC | 11/15/2019 | 2.750 | 36,347 | 36,454 | 36,459 | |||||||||
SCRIPPS NETWORKS INTERACTIVE INC | 6/15/2020 | 2.800 | 3,300 | 3,331 | 3,304 | |||||||||
SKY PLC | 2/15/2018 | 6.100 | 16,312 | 16,395 | 16,389 | |||||||||
SKY PLC | 11/26/2022 | 3.125 | 5,000 | 4,988 | 5,047 | |||||||||
SKY PLC | 9/16/2019 | 2.625 | 11,805 | 11,848 | 11,827 | |||||||||
THOMSON REUTERS CORPORATION | 10/15/2019 | 4.700 | 3,000 | 3,132 | 3,116 | |||||||||
TOTAL COMMUNICATIONS | 96,906 | 96,835 | ||||||||||||
CONSUMER CYCLICAL | ||||||||||||||
AUTOLIV INC | 4/23/2019 | 2.840 | 5,000 | 5,000 | 5,012 | |||||||||
COMPASS GROUP PLC | 9/18/2020 | 3.090 | 7,000 | 7,108 | 7,070 | |||||||||
CVS HEALTH CORPORATION | 8/12/2019 | 2.250 | 5,595 | 5,618 | 5,579 | |||||||||
CVS HEALTH CORPORATION | 7/20/2018 | 1.900 | 10,000 | 10,024 | 9,998 | |||||||||
CVS HEALTH CORPORATION | 6/1/2021 | 2.125 | 12,075 | 11,886 | 11,798 | |||||||||
MCDONALDS CORPORATION | 5/29/2019 | 1.875 | 2,142 | 2,140 | 2,134 | |||||||||
TOTAL CONSUMER CYCLICAL | 41,776 | 41,591 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
ENERGY | |||||||||||||||||||||||
APERGY CORP | 5/9/2025 | 2.625 | 838 | 839 | 839 | ||||||||||||||||||
BUCKEYE PARTNERS | 11/1/2026 | 2.349 | 419 | 417 | 417 | ||||||||||||||||||
TRAVERSE MIDSTREAM PARTNERS | 9/27/2024 | 5.250 | 662 | 661 | 661 | ||||||||||||||||||
TOTAL ENERGY | 1,917 | 1,917 | |||||||||||||||||||||
FINANCE COMPANY | |||||||||||||||||||||||
AVOLON TLB BORROWER | 1/15/2025 | 2.500 | 572 | 571 | 571 | ||||||||||||||||||
FINCO I LLC 2020 REPLACEMENT TERM LOAN | 6/27/2025 | 2.590 | 1,075 | 1,075 | 1,075 | ||||||||||||||||||
FLEETCOR TECHNOLOGIES OPERATING | 4/22/2028 | 1.840 | 998 | 991 | 991 | ||||||||||||||||||
HAINAN TRAFFIC ADMINISTRATION HOLDING CO LTD | 2/12/2027 | 2.250 | 394 | 393 | 393 | ||||||||||||||||||
TOTAL FINANCE COMPANY | 3,030 | 3,030 | |||||||||||||||||||||
INSURANCE | |||||||||||||||||||||||
ASURION LLC | 11/3/2023 | 3.146 | 163 | 162 | 162 | ||||||||||||||||||
ASURION LLC | 11/3/2024 | 3.090 | 411 | 410 | 410 | ||||||||||||||||||
ASURION LLC TERM LOAN B8 | 12/23/2026 | 3.354 | 470 | 467 | 467 | ||||||||||||||||||
TOTAL INSURANCE | 1,039 | 1,039 | |||||||||||||||||||||
OTHER FINANCIAL INSTITUTIONS | |||||||||||||||||||||||
TRANSUNION | 11/16/2026 | 1.840 | 1,010 | 1,009 | 1,009 | ||||||||||||||||||
TOTAL OTHER FINANCIAL INSTITUTIONS | 1,009 | 1,009 | |||||||||||||||||||||
OTHER INDUSTRY | |||||||||||||||||||||||
API GROUP DE INC | 10/1/2026 | 2.590 | 666 | 662 | 662 | ||||||||||||||||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 4.750 | 987 | 984 | 984 | ||||||||||||||||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 4.750 | 56 | 56 | 56 | ||||||||||||||||||
TOTAL OTHER INDUSTRY | 1,702 | 1,702 | |||||||||||||||||||||
REITS | |||||||||||||||||||||||
RYMAN HOSPITALITY PROPERTIES | 5/11/2024 | 2.100 | 746 | 745 | 745 | ||||||||||||||||||
TOTAL REITS | 745 | 745 | |||||||||||||||||||||
TECHNOLOGY | |||||||||||||||||||||||
CARLYLE GROUP INC | 4/16/2025 | 1.840 | 450 | 448 | 448 | ||||||||||||||||||
CELESTICA INC. | 6/27/2025 | 2.217 | 928 | 926 | 926 | ||||||||||||||||||
COMMSCOPE HOLDING CO INC | 4/6/2026 | 3.340 | 1,225 | 1,218 | 1,218 | ||||||||||||||||||
MA FINANCECO LLC | 6/21/2024 | 2.840 | 156 | 156 | 156 | ||||||||||||||||||
MACDONALD DETTWILER AND ASSOCIATES LTD | 10/4/2024 | 2.850 | 722 | 720 | 720 | ||||||||||||||||||
MKS INSTRUMENTS INC TERM LOAN B6 | 2/2/2026 | 1.840 | 493 | 490 | 490 | ||||||||||||||||||
NCR CORPORATION | 8/28/2026 | 2.630 | 490 | 480 | 480 | ||||||||||||||||||
NIELSEN HOLDINGS PLC | 10/4/2023 | 2.102 | 620 | 620 | 620 | ||||||||||||||||||
PLANTRONICS INC | 7/2/2025 | 2.590 | 626 | 623 | 623 | ||||||||||||||||||
SABRE HOLDINGS CORPORATION | 2/22/2024 | 2.090 | 1,078 | 1,072 | 1,072 | ||||||||||||||||||
SEATTLE SPINCO INC | 6/21/2024 | 2.840 | 1,149 | 1,146 | 1,146 |
CONSUMER NON CYCLICAL | ||||||||||||||
ABBVIE INC | 5/14/2018 | 1.800 | 34,500 | 34,497 | 34,487 | |||||||||
ALLERGAN PLC | 3/12/2018 | 2.350 | 37,768 | 37,804 | 37,796 | |||||||||
ALLERGAN PLC | 3/12/2020 | 3.000 | 1,465 | 1,485 | 1,478 | |||||||||
BACARDI LTD | 1/15/2021 | 4.500 | 2,783 | 2,962 | 2,926 | |||||||||
BECTON DICKINSON AND COMPANY | 12/15/2019 | 2.675 | 24,067 | 24,194 | 24,155 | |||||||||
BECTON DICKINSON AND COMPANY | 6/5/2020 | 2.404 | 10,720 | 10,720 | 10,658 | |||||||||
CARDINAL HEALTH INC | 6/14/2019 | 1.948 | 16,335 | 16,336 | 16,237 | |||||||||
CONAGRA FOODS INC | 1/25/2018 | 1.900 | 19,375 | 19,376 | 19,370 | |||||||||
ESSILOR INTERNATIONAL SA | 1/5/2022 | 2.050 | 6,000 | 6,000 | 5,799 | |||||||||
EXPRESS SCRIPTS HOLDING CO | 6/15/2019 | 2.250 | 10,000 | 10,037 | 9,980 | |||||||||
JM SMUCKER | 3/15/2018 | 1.750 | 21,803 | 21,808 | 21,818 | |||||||||
JM SMUCKER | 3/15/2020 | 2.500 | 9,231 | 9,246 | 9,256 | |||||||||
KELLOGG COMPANY | 11/15/2019 | 4.150 | 15,100 | 15,613 | 15,586 | |||||||||
KELLOGG COMPANY | 12/15/2020 | 4.000 | 15,000 | 15,961 | 15,680 | |||||||||
MOLSON COORS BREWING CO | 7/15/2019 | 1.450 | 26,761 | 26,750 | 26,388 | |||||||||
MOLSON COORS BREWING CO | 7/15/2021 | 2.100 | 10,000 | 9,791 | 9,797 | |||||||||
MONDELEZ INTERNATIONAL HOLDING | 10/28/2019 | 1.625 | 38,625 | 38,471 | 38,085 | |||||||||
PFIZER INC | 12/15/2019 | 1.700 | 14,425 | 14,418 | 14,339 | |||||||||
SHIRE ACQUISITIONS INVESTMENTS | 9/23/2019 | 1.900 | 10,000 | 9,925 | 9,907 | |||||||||
SODEXO SA | 3/4/2019 | 2.710 | 10,000 | 10,000 | 10,003 | |||||||||
SYSCO CORPORATION | 7/15/2021 | 2.500 | 2,000 | 2,009 | 1,993 | |||||||||
SYSCO CORPORATION | 4/1/2019 | 1.900 | 37,240 | 37,297 | 37,126 | |||||||||
TEVA PHARMACEUTICAL FINANCE NE | 7/19/2019 | 1.700 | 15,000 | 14,999 | 14,574 | |||||||||
TYSON 2009 FAMILY TRUST | 8/15/2019 | 2.650 | 38,879 | 39,003 | 39,055 | |||||||||
TOTAL CONSUMER NON CYCLICAL | 428,702 | 426,493 | ||||||||||||
ELECTRIC | ||||||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 4/30/2019 | 2.610 | 8,000 | 8,000 | 7,985 | |||||||||
DOMINION ENERGY INC | 6/15/2018 | 1.900 | 13,810 | 13,810 | 13,808 | |||||||||
DOMINION ENERGY INC | 2/15/2018 | 2.125 | 15,000 | 15,000 | 15,005 | |||||||||
DUKE ENERGY CORP | 12/15/2019 | 2.100 | 20,470 | 20,470 | 20,435 | |||||||||
ELECTRIC TRANSMISSION TEXAS LLC | 6/28/2018 | 3.690 | 25,000 | 25,168 | 25,154 | |||||||||
EMERA INC. | 6/15/2019 | 2.150 | 8,424 | 8,424 | 8,386 | |||||||||
EVERSOURCE ENERGY | 5/1/2018 | 1.450 | 28,830 | 28,787 | 28,779 | |||||||||
EVERSOURCE ENERGY | 1/15/2018 | 1.600 | 8,025 | 8,025 | 8,023 | |||||||||
PG&E CORPORATION | 3/1/2019 | 2.400 | 37,922 | 38,051 | 37,920 | |||||||||
PPL CORPORATION | 6/1/2018 | 1.900 | 29,901 | 29,896 | 29,873 | |||||||||
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED | 11/15/2019 | 1.600 | 362 | 359 | 356 | |||||||||
TEXAS ENERGY FUTURE HOLDINGS LP | 6/1/2019 | 2.150 | 25,030 | 25,079 | 24,918 | |||||||||
TRANSALTA CORPORATION | 5/15/2018 | 6.900 | 2,660 | 2,651 | 2,700 | |||||||||
SOUTHERN COMPANY | 7/1/2021 | 2.350 | 33,334 | 33,156 | 33,065 | |||||||||
WEC ENERGY GROUP INC | 11/1/2020 | 4.170 | 1,610 | 1,681 | 1,676 | |||||||||
WEC ENERGY GROUP INC | 6/15/2018 | 1.650 | 19,667 | 19,667 | 19,617 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
SS&C TECHNOLOGIES HOLDINGS INC | 4/16/2025 | 1.840 | 365 | 363 | 363 | ||||||||||||||||||
TTM TECHNOLOGIES INC | 9/28/2024 | 2.599 | 431 | 430 | 430 | ||||||||||||||||||
XPERI HOLDING CORP | 6/8/2028 | 3.604 | 809 | 744 | 744 | ||||||||||||||||||
TOTAL TECHNOLOGY | 9,436 | 9,436 | |||||||||||||||||||||
TRANSPORTATION | |||||||||||||||||||||||
AMERICAN AIRLINES GROUP INC | 12/14/2023 | 2.110 | 960 | 959 | 959 | ||||||||||||||||||
AMERICAN AIRLINES GROUP INC | 6/27/2025 | 1.842 | 941 | 940 | 940 | ||||||||||||||||||
UNITED AIRLINES INC | 4/20/2028 | 4.500 | 369 | 367 | 367 | ||||||||||||||||||
UNITED CONTINENTAL HOLDINGS INC | 2/23/2025 | 1.853 | 1,000 | 987 | 987 | ||||||||||||||||||
XPO LOGISTICS INC | 12/30/2026 | 2.132 | 640 | 638 | 638 | ||||||||||||||||||
TOTAL TRANSPORTATION | 3,891 | 3,891 | |||||||||||||||||||||
TOTAL SYNDICATED LOANS BEFORE ALLOWANCE FOR LOAN LOSSES | 106,646 | 106,646 | |||||||||||||||||||||
ALLOWANCE FOR LOAN LOSSES | (1,024) | (1,024) | |||||||||||||||||||||
TOTAL SYNDICATED LOANS - NET | 105,622 | 105,622 |
DERIVATIVES | |||||||||||||||||||||||
PURCHASED OPTIONS | |||||||||||||||||||||||
BNP SECURITIES | 2/1/2022 | — | 405 | 405 | |||||||||||||||||||
BNP SECURITIES | 3/29/2022 | — | 379 | 379 | |||||||||||||||||||
BNP SECURITIES | 4/12/2022 | — | 371 | 371 | |||||||||||||||||||
BNP SECURITIES | 4/19/2022 | — | 183 | 183 | |||||||||||||||||||
BNP SECURITIES | 6/28/2022 | — | 359 | 359 | |||||||||||||||||||
BNP SECURITIES | 9/20/2022 | — | 362 | 362 | |||||||||||||||||||
BNP SECURITIES | 10/11/2022 | — | 358 | 358 | |||||||||||||||||||
BNP SECURITIES | 11/1/2022 | — | 172 | 172 | |||||||||||||||||||
BNP SECURITIES | 11/15/2022 | — | 335 | 335 | |||||||||||||||||||
BNP SECURITIES | 2/7/2023 | — | 148 | 148 | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | — | 180 | 180 | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | — | 439 | 439 | |||||||||||||||||||
BNP SECURITIES | 4/19/2022 | — | 202 | 202 | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | — | 206 | 206 | |||||||||||||||||||
BNP SECURITIES | 4/26/2022 | — | 190 | 190 | |||||||||||||||||||
BNP SECURITIES | 4/25/2023 | — | 194 | 194 | |||||||||||||||||||
BNP SECURITIES | 5/2/2023 | — | 194 | 194 | |||||||||||||||||||
BNP SECURITIES | 5/16/2023 | — | 566 | 566 | |||||||||||||||||||
BNP SECURITIES | 6/7/2022 | — | 157 | 157 | |||||||||||||||||||
BNP SECURITIES | 8/16/2022 | — | 281 | 281 | |||||||||||||||||||
BNP SECURITIES | 8/15/2023 | — | 149 | 149 | |||||||||||||||||||
BNP SECURITIES | 8/22/2023 | — | 145 | 145 | |||||||||||||||||||
BNP SECURITIES | 1/4/2022 | 1 | 1,039 | 1,039 | |||||||||||||||||||
BNP SECURITIES | 1/11/2022 | 1 | 964 | 964 | |||||||||||||||||||
BNP SECURITIES | 1/18/2022 | 1 | 967 | 967 |
XCEL ENERGY INC | 8/15/2020 | 2.200 | 14,835 | 14,818 | 14,816 | |||||||||
TOTAL ELECTRIC | 293,042 | 292,516 | ||||||||||||
ENERGY | ||||||||||||||
CENOVUS ENERGY INC | 10/15/2019 | 5.700 | 8,558 | 8,671 | 8,999 | |||||||||
CHEVRON CORPORATION | 11/16/2018 | 1.790 | 25,000 | 25,000 | 24,970 | |||||||||
COLUMBIA PIPELINE GROUP INC | 6/1/2018 | 2.450 | 20,500 | 20,520 | 20,511 | |||||||||
ENTERPRISE PRODUCTS PARTNERS LP | 10/15/2019 | 2.550 | 24,460 | 24,620 | 24,525 | |||||||||
TOTAL ENERGY | 78,811 | 79,005 | ||||||||||||
NATURAL GAS | ||||||||||||||
NISOURCE FINANCE CORPORATION | 3/15/2018 | 6.400 | 1,842 | 1,860 | 1,857 | |||||||||
SEMPRA ENERGY | 3/15/2020 | 2.400 | 8,565 | 8,553 | 8,560 | |||||||||
TOTAL NATURAL GAS | 10,413 | 10,417 | ||||||||||||
TECHNOLOGY | ||||||||||||||
BROADCOM LTD | 1/15/2020 | 2.375 | 20,000 | 20,085 | 19,862 | |||||||||
CISCO SYSTEMS INC | 6/15/2018 | 1.650 | 20,000 | 19,999 | 19,990 | |||||||||
CISCO SYSTEMS INC | 9/20/2019 | 1.400 | 12,495 | 12,487 | 12,360 | |||||||||
HEWLETT PACKARD ENTERPRISE CO | 10/5/2018 | 2.850 | 10,000 | 10,000 | 10,050 | |||||||||
TOTAL TECHNOLOGY | 62,571 | 62,262 | ||||||||||||
TRANSPORTATION | ||||||||||||||
CSX CORP | 10/30/2020 | 3.700 | 10,000 | 10,411 | 10,331 | |||||||||
CRAWFORD GROUP INC | 11/1/2018 | 2.800 | 12,880 | 12,948 | 12,934 | |||||||||
NORFOLK SOUTHERN CORPORATION | 4/1/2018 | 5.750 | 25,850 | 26,098 | 26,053 | |||||||||
UNION PACIFIC CORPORATION | 8/15/2018 | 5.700 | 1,000 | 1,026 | 1,025 | |||||||||
TOTAL TRANSPORTATION | 50,483 | 50,343 | ||||||||||||
TOTAL CORPORATE DEBT SECURITIES | 1,184,360 | 1,180,290 | ||||||||||||
TOTAL FIXED MATURITIES | 6,556,338 | 6,546,761 | ||||||||||||
COMMON STOCKS | ||||||||||||||
CONGLOMERATES/DIVERSIFIED MFG | ||||||||||||||
DAYCO LLC | 10 | 114 | 283 | d | ||||||||||
TOTAL CONGLOMERATES/DIVERSIFIED MFG | 114 | 283 | ||||||||||||
MEDIA | ||||||||||||||
CENGAGE LEARNING INC | 4 | 128 | 27 | d | ||||||||||
HIBU GROUP 2013 LTD | 210 | — | — | d | ||||||||||
HIBU PLC | 197 | — | — | d | ||||||||||
TRIBUNE MEDIA COMPANY | 13 | 576 | 545 | |||||||||||
TOTAL MEDIA | 704 | 572 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
BNP SECURITIES | 1/17/2023 | — | 109 | 109 | |||||||||||||||||||
BNP SECURITIES | 1/25/2022 | 1 | 826 | 826 | |||||||||||||||||||
BNP SECURITIES | 1/23/2024 | — | 117 | 117 | |||||||||||||||||||
BNP SECURITIES | 3/8/2022 | 1 | 809 | 809 | |||||||||||||||||||
BNP SECURITIES | 3/15/2022 | 1 | 653 | 653 | |||||||||||||||||||
BNP SECURITIES | 4/26/2022 | 1 | 506 | 506 | |||||||||||||||||||
BNP SECURITIES | 5/10/2022 | 1 | 537 | 537 | |||||||||||||||||||
BNP SECURITIES | 6/7/2022 | 1 | 497 | 497 | |||||||||||||||||||
BNP SECURITIES | 6/21/2022 | 1 | 491 | 491 | |||||||||||||||||||
BNP SECURITIES | 8/9/2022 | 1 | 446 | 446 | |||||||||||||||||||
BNP SECURITIES | 8/23/2022 | 1 | 327 | 327 | |||||||||||||||||||
BNP SECURITIES | 8/30/2022 | 1 | 356 | 356 | |||||||||||||||||||
BNP SECURITIES | 9/20/2022 | 1 | 409 | 409 | |||||||||||||||||||
BNP SECURITIES | 9/27/2022 | 1 | 413 | 413 | |||||||||||||||||||
BNP SECURITIES | 10/11/2022 | 1 | 360 | 360 | |||||||||||||||||||
BNP SECURITIES | 10/18/2022 | 1 | 287 | 287 | |||||||||||||||||||
BNP SECURITIES | 10/25/2022 | 1 | 311 | 311 | |||||||||||||||||||
BNP SECURITIES | 11/8/2022 | 1 | 227 | 227 | |||||||||||||||||||
BNP SECURITIES | 11/15/2022 | 1 | 186 | 186 | |||||||||||||||||||
BNP SECURITIES | 11/22/2022 | 1 | 268 | 268 | |||||||||||||||||||
BNP SECURITIES | 11/29/2022 | 1 | 282 | 282 | |||||||||||||||||||
BNP SECURITIES | 12/27/2022 | — | 137 | 137 | |||||||||||||||||||
CS INTERNATIONAL | 2/15/2022 | 1 | 838 | 838 | |||||||||||||||||||
CS INTERNATIONAL | 3/1/2022 | 1 | 811 | 811 | |||||||||||||||||||
CS INTERNATIONAL | 4/12/2022 | 1 | 530 | 530 | |||||||||||||||||||
CS INTERNATIONAL | 5/31/2022 | 1 | 446 | 446 | |||||||||||||||||||
CS INTERNATIONAL | 12/13/2022 | 1 | 216 | 216 | |||||||||||||||||||
CS INTERNATIONAL | 12/20/2022 | 1 | 259 | 259 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/4/2022 | — | 438 | 438 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/11/2022 | — | 431 | 431 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/18/2022 | — | 213 | 213 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/25/2022 | — | 425 | 425 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/8/2022 | — | 606 | 606 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | 397 | 397 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | 394 | 394 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/1/2022 | — | 197 | 197 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | 591 | 591 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/15/2022 | — | 193 | 193 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | — | 388 | 388 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/5/2022 | 1 | 941 | 941 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/26/2022 | — | 182 | 182 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/3/2022 | — | 376 | 376 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/10/2022 | — | 385 | 385 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/24/2022 | — | 391 | 391 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/31/2022 | — | 196 | 196 |
METALS/MINING | ||||||||||||||
ALERIS CORPORATION | 5 | 184 | 145 | d | ||||||||||
TOTAL METALS/MINING | 184 | 145 | ||||||||||||
TOTAL COMMON STOCKS | 1,002 | 1,000 | ||||||||||||
SYNDICATED LOANS | ||||||||||||||
BASIC INDUSTRY | ||||||||||||||
ALPHA 3 BV | 1/31/2024 | 5.340 | 175 | 174 | 174 | |||||||||
AXALTA COATING SYSTEMS LTD | 6/1/2024 | 3.333 | 639 | 638 | 638 | |||||||||
CHEMOURS COMPANY | 5/12/2022 | 3.850 | 65 | 64 | 64 | |||||||||
INEOS LTD | 3/29/2024 | 3.350 | 1,000 | 1,001 | 1,001 | |||||||||
KINOVE LUXEMBOURG HOLDINGS 1 SARL | 7/25/2024 | 3.833 | 200 | 200 | 200 | |||||||||
MINERALS TECHNOLOGIES INC. | 2/13/2024 | 3.809 | 130 | 130 | 130 | |||||||||
NEXEO SOLUTIONS HOLDINGS LLC | 6/9/2023 | 4.799 | 716 | 713 | 713 | |||||||||
PLATFORM SPECIALTY PRODUCTS CORP | 6/7/2023 | 4.242 | 682 | 679 | 679 | |||||||||
PLATFORM SPECIALTY PRODUCTS CORP | 6/7/2020 | 4.350 | 275 | 277 | 277 | |||||||||
POLYONE CORPORATION | 11/12/2022 | 3.491 | 123 | 122 | 122 | |||||||||
RAVAGO HOLDINGS AMERICA INC | 7/13/2023 | 4.070 | 518 | 514 | 514 | |||||||||
SIGMA GROUP HOLDINGS SARL | 9/7/2021 | 4.365 | 88 | 88 | 88 | |||||||||
SIGMA GROUP HOLDINGS SARL | 9/7/2021 | 4.365 | 532 | 531 | 531 | |||||||||
TRINSEO MATERIALS OPERATING | 9/4/2024 | 3.850 | 350 | 350 | 350 | |||||||||
UNIVAR INC | 7/1/2024 | 3.838 | 980 | 975 | 975 | |||||||||
VERSUM MATERIALS INC | 9/29/2023 | 3.333 | 74 | 74 | 74 | |||||||||
TOTAL BASIC INDUSTRY | 6,530 | 6,530 | ||||||||||||
BROKERAGE | ||||||||||||||
GREENHILL & CO INC | 10/12/2022 | 5.186 | 150 | 149 | 149 | |||||||||
TOTAL BROKERAGE | 149 | 149 | ||||||||||||
CAPITAL GOODS | ||||||||||||||
ADVANCED DISPOSAL SERVICES INC | 11/10/2023 | 3.708 | 987 | 987 | 987 | |||||||||
AI GLOBAL INVESTMENTS & CY SCA | 9/13/2023 | 4.712 | 226 | 225 | 225 | |||||||||
AI GLOBAL INVESTMENTS & CY SCA | 9/13/2023 | 4.712 | 170 | 170 | 170 | |||||||||
ALBEA SA | 4/22/2024 | 5.406 | 449 | 447 | 447 | |||||||||
ANCHOR GLASS CONTAINER CORP | 12/7/2023 | 4.151 | 997 | 999 | 999 | |||||||||
BERRY GLOBAL INC | 2/8/2020 | 3.406 | 651 | 646 | 646 | |||||||||
BERRY GLOBAL INC | 1/6/2021 | 3.406 | 2,024 | 2,009 | 2,009 | |||||||||
CROSBY US ACQUISITION CORPORATION | 11/23/2020 | 4.446 | 967 | 966 | 966 | |||||||||
DOOSAN INFRACORE CO LTD | 5/20/2024 | 3.833 | 368 | 367 | 367 | |||||||||
DOUGLAS DYNAMICS INC | 12/31/2021 | 4.350 | 173 | 172 | 172 | |||||||||
EWT HOLDINGS III CORP | 12/20/2024 | 4.501 | 868 | 868 | 868 | |||||||||
FLEX ACQUISITION COMPANY INC | 12/29/2023 | 4.335 | 124 | 124 | 124 | |||||||||
GARDNER DENVER HOLDINGS INC | 7/31/2024 | 4.083 | 450 | 450 | 450 | |||||||||
GATES GLOBAL LLC | 3/31/2024 | 4.388 | 702 | 688 | 688 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WELLS FARGO BANK NA | 6/14/2022 | — | 369 | 369 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | 369 | 369 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/26/2022 | — | 176 | 176 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/16/2022 | — | 374 | 374 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/13/2022 | — | 177 | 177 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/27/2022 | — | 184 | 184 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/4/2022 | — | 376 | 376 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/25/2022 | — | 175 | 175 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | 139 | 139 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/14/2023 | — | 147 | 147 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | 163 | 163 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | 188 | 188 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/7/2023 | — | 191 | 191 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | — | 462 | 462 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/21/2023 | — | 464 | 464 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/9/2023 | — | 193 | 193 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/13/2023 | — | 171 | 171 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | 164 | 164 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/1/2022 | 1 | 848 | 848 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/8/2022 | 1 | 774 | 774 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | 1 | 979 | 979 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/21/2023 | — | 207 | 207 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | 1 | 783 | 783 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/29/2022 | 1 | 745 | 745 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/5/2022 | 1 | 578 | 578 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/19/2022 | 1 | 541 | 541 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/3/2022 | 1 | 593 | 593 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/17/2022 | 1 | 629 | 629 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/24/2022 | 1 | 519 | 519 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/14/2022 | 1 | 672 | 672 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/28/2022 | 1 | 467 | 467 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/5/2022 | 1 | 437 | 437 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/12/2022 | 1 | 371 | 371 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/11/2023 | — | 72 | 72 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/19/2022 | 1 | 515 | 515 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/26/2022 | 1 | 360 | 360 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/2/2022 | 1 | 402 | 402 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/16/2022 | 1 | 345 | 345 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/6/2022 | 1 | 361 | 361 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/13/2022 | 1 | 308 | 308 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/4/2022 | 1 | 361 | 361 | |||||||||||||||||||
WELLS FARGO BANK NA | 11/1/2022 | 1 | 206 | 206 | |||||||||||||||||||
WELLS FARGO BANK NA | 12/6/2022 | 1 | 237 | 237 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | 44,135 | 44,135 | |||||||||||||||||||||
HD SUPPLY HOLDINGS INC | 10/17/2023 | 3.833 | 347 | 346 | 346 | |||||||||
LOCKHEED MARTIN CORPORATION | 8/16/2023 | 3.375 | 124 | 124 | 124 | |||||||||
LONE STAR FUND IX (US) LP | 10/25/2023 | 4.350 | 223 | 223 | 223 | |||||||||
PACKAGING HOLDINGS LTD | 2/5/2023 | 4.100 | 887 | 887 | 887 | |||||||||
PLASTIPAK HOLDINGS INC. | 10/14/2024 | 4.210 | 998 | 1,002 | 1,002 | |||||||||
PRINTPACK HOLDINGS INC | 7/26/2023 | 4.375 | 134 | 133 | 133 | |||||||||
QUIKRETE HOLDINGS INC | 11/15/2023 | 4.100 | 645 | 642 | 642 | |||||||||
TRANSDIGM INC | 6/9/2023 | 4.100 | 865 | 862 | 862 | |||||||||
WCA WASTE SYSTEMS INC | 8/11/2023 | 4.307 | 421 | 420 | 420 | |||||||||
WESCO AIRCRAFT HARDWARE CORPORATION | 2/28/2021 | 3.840 | 1,516 | 1,503 | 1,503 | |||||||||
TOTAL CAPITAL GOODS | 15,260 | 15,260 | ||||||||||||
COMMUNICATIONS | ||||||||||||||
CENTURYLINK INC | 1/31/2025 | 4.100 | 75 | 75 | 75 | |||||||||
CHARTER COMMUNICATIONS INC | 4/1/2025 | 3.563 | 450 | 449 | 449 | |||||||||
COGECO COMMUNICATIONS (USA) II LP | 1/31/2025 | 3.690 | 400 | 399 | 399 | |||||||||
ENTRAVISION COMMUNICATIONS CORPORATION | 11/30/2024 | 4.350 | 425 | 423 | 423 | |||||||||
GRAY TELEVISION INC | 2/7/2024 | 3.611 | 298 | 297 | 297 | |||||||||
GRUPO TELEVISA SAB | 3/15/2024 | 4.100 | 974 | 968 | 968 | |||||||||
HIBU PLC | 9/6/2065 | 8.500 | 105 | 119 | 119 | |||||||||
HIBU PLC | 9/6/2021 | 8.413 | 106 | 105 | 105 | |||||||||
HUBBARD RADIO LLC | 5/27/2022 | 4.600 | 165 | 165 | 165 | |||||||||
INTELSAT SA | 11/27/2023 | 5.212 | 1,000 | 994 | 994 | |||||||||
ION MEDIA NETWORKS INC | 12/18/2020 | 4.180 | 325 | 324 | 324 | |||||||||
LEVEL 3 COMMUNICATIONS INC | 2/22/2024 | 3.696 | 500 | 499 | 499 | |||||||||
LIONS GATE ENTERTAINMENT | 12/8/2021 | 3.350 | 144 | 144 | 144 | |||||||||
LIONS GATE ENTERTAINMENT | 12/8/2023 | 3.682 | 162 | 161 | 161 | |||||||||
MEDIACOM COMMUNICATIONS CORPORATION | 2/15/2024 | 3.710 | 980 | 976 | 976 | |||||||||
MISSION BROADCASTING INC | 1/17/2024 | 3.861 | 111 | 111 | 111 | |||||||||
NATIONAL CINEMEDIA INC | 11/26/2019 | 4.100 | 1,000 | 990 | 990 | |||||||||
NEXSTAR MEDIA GROUP INC | 1/17/2024 | 3.861 | 882 | 883 | 883 | |||||||||
NEXT LUXEMBOURG SCSP | 7/17/2025 | 3.741 | 986 | 981 | 981 | |||||||||
NIELSEN HOLDINGS PLC | 10/4/2023 | 3.432 | 734 | 734 | 734 | |||||||||
NUMERICABLE GROUP SA | 7/15/2025 | 4.130 | 995 | 993 | 993 | |||||||||
SBA COMMUNICATIONS CORP | 3/24/2021 | 3.600 | 273 | 273 | 273 | |||||||||
SINCLAIR BROADCAST GROUP INC | 1/3/2024 | 3.600 | 970 | 961 | 961 | |||||||||
SOFTBANK GROUP CORP | 2/2/2024 | 3.875 | 323 | 323 | 323 | |||||||||
SOUTHWIRE CO | 2/10/2021 | 3.932 | 969 | 961 | 961 | |||||||||
SWITCH LTD | 6/27/2024 | 3.936 | 200 | 199 | 199 | |||||||||
TELAPEX INC | 5/24/2024 | 3.562 | 898 | 896 | 896 | |||||||||
TRIBUNE MEDIA COMPANY | 12/27/2020 | 4.350 | 77 | 77 | 77 | |||||||||
TRIBUNE MEDIA COMPANY | 1/27/2024 | 4.350 | 959 | 957 | 957 | |||||||||
URBAN ONE INC | 4/18/2023 | 5.340 | 547 | 542 | 542 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WRITTEN OPTIONS | |||||||||||||||||||||||
BNP SECURITIES | 2/1/2022 | — | (323) | (323) | |||||||||||||||||||
BNP SECURITIES | 3/29/2022 | — | (304) | (304) | |||||||||||||||||||
BNP SECURITIES | 4/12/2022 | — | (295) | (295) | |||||||||||||||||||
BNP SECURITIES | 4/19/2022 | — | (145) | (145) | |||||||||||||||||||
BNP SECURITIES | 6/28/2022 | — | (299) | (299) | |||||||||||||||||||
BNP SECURITIES | 9/20/2022 | — | (323) | (323) | |||||||||||||||||||
BNP SECURITIES | 10/11/2022 | — | (318) | (318) | |||||||||||||||||||
BNP SECURITIES | 11/1/2022 | — | (152) | (152) | |||||||||||||||||||
BNP SECURITIES | 11/15/2022 | — | (295) | (295) | |||||||||||||||||||
BNP SECURITIES | 2/7/2023 | — | (127) | (127) | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | — | (163) | (163) | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | — | (420) | (420) | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | — | (196) | (196) | |||||||||||||||||||
BNP SECURITIES | 4/19/2022 | — | (197) | (197) | |||||||||||||||||||
BNP SECURITIES | 4/26/2022 | — | (181) | (181) | |||||||||||||||||||
BNP SECURITIES | 4/25/2023 | — | (177) | (177) | |||||||||||||||||||
BNP SECURITIES | 5/2/2023 | — | (177) | (177) | |||||||||||||||||||
BNP SECURITIES | 5/16/2023 | — | (531) | (531) | |||||||||||||||||||
BNP SECURITIES | 6/7/2022 | — | (150) | (150) | |||||||||||||||||||
BNP SECURITIES | 8/15/2023 | — | (143) | (143) | |||||||||||||||||||
BNP SECURITIES | 8/16/2022 | — | (275) | (275) | |||||||||||||||||||
BNP SECURITIES | 8/22/2023 | — | (138) | (138) | |||||||||||||||||||
BNP SECURITIES | 1/4/2022 | (1) | (1,032) | (1,032) | |||||||||||||||||||
BNP SECURITIES | 1/11/2022 | (1) | (957) | (957) | |||||||||||||||||||
BNP SECURITIES | 1/18/2022 | (1) | (960) | (960) | |||||||||||||||||||
BNP SECURITIES | 1/17/2023 | — | (107) | (107) | |||||||||||||||||||
BNP SECURITIES | 1/25/2022 | (1) | (819) | (819) | |||||||||||||||||||
BNP SECURITIES | 1/23/2024 | — | (113) | (113) | |||||||||||||||||||
BNP SECURITIES | 3/8/2022 | (1) | (802) | (802) | |||||||||||||||||||
BNP SECURITIES | 3/15/2022 | (1) | (646) | (646) | |||||||||||||||||||
BNP SECURITIES | 4/26/2022 | (1) | (500) | (500) | |||||||||||||||||||
BNP SECURITIES | 5/10/2022 | (1) | (531) | (531) | |||||||||||||||||||
BNP SECURITIES | 6/7/2022 | (1) | (491) | (491) | |||||||||||||||||||
BNP SECURITIES | 6/21/2022 | (1) | (485) | (485) | |||||||||||||||||||
BNP SECURITIES | 8/9/2022 | (1) | (440) | (440) | |||||||||||||||||||
BNP SECURITIES | 8/23/2022 | (1) | (322) | (322) | |||||||||||||||||||
BNP SECURITIES | 8/30/2022 | (1) | (351) | (351) | |||||||||||||||||||
BNP SECURITIES | 9/20/2022 | (1) | (404) | (404) | |||||||||||||||||||
BNP SECURITIES | 9/27/2022 | (1) | (409) | (409) | |||||||||||||||||||
BNP SECURITIES | 10/11/2022 | (1) | (356) | (356) | |||||||||||||||||||
BNP SECURITIES | 10/18/2022 | (1) | (283) | (283) | |||||||||||||||||||
BNP SECURITIES | 10/25/2022 | (1) | (307) | (307) | |||||||||||||||||||
BNP SECURITIES | 11/8/2022 | (1) | (224) | (224) |
WINDSTREAM HOLDINGS INC | 2/8/2024 | 4.750 | 970 | 964 | 964 | |||||||||
ZAYO GROUP HOLDINGS INC | 1/19/2024 | 3.802 | 179 | 178 | 178 | |||||||||
TOTAL COMMUNICATIONS | 17,121 | 17,121 | ||||||||||||
CONSUMER CYCLICAL | ||||||||||||||
AFFINITY GAMING LLC | 7/1/2023 | 4.833 | 312 | 311 | 311 | |||||||||
ALIXPARTNERS LLP | 4/4/2024 | 4.083 | 1,000 | 1,007 | 1,007 | |||||||||
ALLISON TRANSMISSION INC | 9/16/2022 | 3.350 | 557 | 556 | 556 | |||||||||
AMC ENTERTAINMENT HOLDINGS INC | 12/15/2022 | 3.727 | 977 | 976 | 976 | |||||||||
ANSCHUTZ CO | 4/1/2022 | 3.350 | 977 | 974 | 974 | |||||||||
ARISTOCRAT LEISURE LTD | 10/31/2024 | 3.363 | 1,000 | 999 | 999 | |||||||||
CAESARS ENTERTAINMENT CORP | 12/22/2024 | 4.085 | 350 | 349 | 349 | |||||||||
CCM MERGER | 8/6/2021 | 4.100 | 273 | 272 | 272 | |||||||||
CEDAR FAIR LP | 4/13/2024 | 3.600 | 564 | 564 | 564 | |||||||||
CITYCENTER HOLDINGS LLC | 4/18/2024 | 3.850 | 324 | 323 | 323 | |||||||||
DIGITAL CINEMA IMPLEMENTATION PARTNERS LLC | 5/17/2021 | 3.842 | 473 | 470 | 470 | |||||||||
DTZ INVESTMENT HOLDINGS LP | 11/4/2021 | 4.693 | 1,197 | 1,191 | 1,191 | |||||||||
ELDORADO RESORTS INC | 4/17/2024 | 3.769 | 660 | 660 | 660 | |||||||||
FIAT CHRYSLER AUTOMOBILES NV | 12/31/2018 | 3.510 | 583 | 582 | 582 | |||||||||
FORSTMANN LITTLE & CO | 5/6/2021 | 4.640 | 970 | 965 | 965 | |||||||||
HILTON WORLDWIDE FINANCE LLC | 10/25/2023 | 3.552 | 946 | 943 | 943 | |||||||||
HUDSONS BAY CO | 9/30/2022 | 4.718 | 69 | 69 | 69 | |||||||||
KKR & CO LP | 7/1/2022 | 5.370 | 992 | 989 | 989 | |||||||||
LAS VEGAS SANDS CORP | 3/28/2024 | 3.350 | 1,482 | 1,475 | 1,475 | |||||||||
MICHAELS STORES INC | 1/28/2023 | 4.135 | 976 | 975 | 975 | |||||||||
MOHEGAN TRIBAL GAMING AUTHORITY | 10/13/2023 | 5.350 | 670 | 664 | 664 | |||||||||
NEIMAN MARCUS GROUP INC | 10/25/2020 | 4.642 | 977 | 970 | 970 | |||||||||
PARTY CITY HOLDINGS INC | 8/19/2022 | 4.440 | 181 | 181 | 181 | |||||||||
PETSMART INC | 3/11/2022 | 4.340 | 977 | 977 | 977 | |||||||||
PVH CORPORATION | 5/19/2021 | 2.991 | 973 | 972 | 972 | |||||||||
RESTAURANT BRANDS INTERNATIONAL INC | 2/16/2024 | 3.593 | 978 | 977 | 977 | |||||||||
RYMAN HOSPITALITY PROPERTIES | 5/11/2024 | 3.670 | 224 | 224 | 224 | |||||||||
SCIENTIFIC GAMES CORPORATION | 8/14/2024 | 4.657 | 925 | 921 | 921 | |||||||||
SEMINOLE TRIBE OF FLORIDA | 7/8/2024 | 3.361 | 200 | 199 | 199 | |||||||||
SERVICEMASTER COMPANY | 11/8/2023 | 3.850 | 645 | 644 | 644 | |||||||||
SIX FLAGS ENTERTAINMENT CORPORATION | 6/30/2022 | 3.321 | 172 | 171 | 171 | |||||||||
TRANSUNION | 4/9/2023 | 3.350 | 224 | 224 | 224 | |||||||||
YONKERS RACING CORP | 5/31/2024 | 4.600 | 442 | 441 | 441 | |||||||||
YUM! BRANDS INC. | 6/16/2023 | 3.491 | 173 | 173 | 173 | |||||||||
TOTAL CONSUMER CYCLICAL | 22,388 | 22,388 | ||||||||||||
CONSUMER NON CYCLICAL | ||||||||||||||
ALBERTSONS INVESTOR HOLDINGS LLC | 6/22/2023 | 4.462 | 303 | 303 | 303 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
BNP SECURITIES | 11/15/2022 | (1) | (183) | (183) | |||||||||||||||||||
BNP SECURITIES | 11/22/2022 | (1) | (264) | (264) | |||||||||||||||||||
BNP SECURITIES | 11/29/2022 | (1) | (278) | (278) | |||||||||||||||||||
BNP SECURITIES | 12/27/2022 | — | (135) | (135) | |||||||||||||||||||
CS INTERNATIONAL | 2/15/2022 | (1) | (830) | (830) | |||||||||||||||||||
CS INTERNATIONAL | 3/1/2022 | (1) | (804) | (804) | |||||||||||||||||||
CS INTERNATIONAL | 4/12/2022 | (1) | (524) | (524) | |||||||||||||||||||
CS INTERNATIONAL | 5/31/2022 | (1) | (441) | (441) | |||||||||||||||||||
CS INTERNATIONAL | 12/13/2022 | (1) | (213) | (213) | |||||||||||||||||||
CS INTERNATIONAL | 12/20/2022 | (1) | (255) | (255) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/4/2022 | — | (361) | (361) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/11/2022 | — | (353) | (353) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/18/2022 | — | (174) | (174) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/25/2022 | — | (346) | (346) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/8/2022 | — | (483) | (483) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | (323) | (323) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | (320) | (320) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/1/2022 | — | (160) | (160) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | (480) | (480) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/15/2022 | — | (155) | (155) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | — | (314) | (314) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/5/2022 | (1) | (752) | (752) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/26/2022 | — | (146) | (146) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/3/2022 | — | (306) | (306) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/10/2022 | — | (317) | (317) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/24/2022 | — | (324) | (324) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/31/2022 | — | (162) | (162) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/14/2022 | — | (300) | (300) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | (300) | (300) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/26/2022 | — | (146) | (146) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/16/2022 | — | (322) | (322) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/13/2022 | — | (157) | (157) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/27/2022 | — | (164) | (164) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/4/2022 | — | (338) | (338) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/25/2022 | — | (155) | (155) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | (129) | (129) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/14/2023 | — | (129) | (129) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | (154) | (154) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | (179) | (179) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/7/2023 | — | (175) | (175) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | — | (447) | (447) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/21/2023 | — | (435) | (435) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/9/2023 | — | (176) | (176) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/13/2023 | — | (159) | (159) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | (158) | (158) |
ARAMARK | 3/28/2024 | 3.350 | 1,048 | 1,048 | 1,048 | |||||||||
BLUE BUFFALO PET PRODUCTS INC | 5/27/2024 | 3.350 | 524 | 524 | 524 | |||||||||
CATALENT INC | 5/20/2024 | 3.600 | 572 | 568 | 568 | |||||||||
CHANGE HEALTHCARE HOLDINGS LLC | 3/1/2024 | 4.100 | 995 | 993 | 993 | |||||||||
ENDO INTERNATIONAL PLC | 4/25/2024 | 5.625 | 274 | 273 | 273 | |||||||||
GRIFOLS INC | 1/31/2025 | 3.708 | 473 | 472 | 472 | |||||||||
JAGUAR HOLDING COMPANY | 8/18/2022 | 4.091 | 978 | 974 | 974 | |||||||||
JBS FOODS INTERNATIONAL | 10/28/2022 | 4.105 | 522 | 522 | 522 | |||||||||
MALLINCKRODT PLC | 8/21/2023 | 4.083 | 970 | 969 | 969 | |||||||||
PINNACLE FOODS INC | 2/2/2024 | 3.372 | 546 | 545 | 545 | |||||||||
PRESTIGE BRANDS HOLDINGS INC | 1/26/2024 | 4.100 | 176 | 176 | 176 | |||||||||
QUORUM HEALTH CORPORATION | 4/29/2022 | 8.100 | 142 | 140 | 140 | |||||||||
RPI INTERNATIONAL PARTNERS LP | 3/16/2023 | 3.333 | 993 | 992 | 992 | |||||||||
STERIGENICS-NORDION HOLDINGS LLC | 5/15/2022 | 4.350 | 600 | 599 | 599 | |||||||||
TENNESSEE PARENT INC | 2/6/2024 | 4.100 | 945 | 943 | 943 | |||||||||
US FOODS HOLDING CORPORATION | 6/27/2023 | 3.850 | 1,459 | 1,455 | 1,455 | |||||||||
VALEANT PHARMACEUTICALS INTERNATIONAL INC | 4/1/2022 | 4.940 | 480 | 478 | 478 | |||||||||
WILSONART LLC | 12/19/2023 | 4.590 | 298 | 297 | 297 | |||||||||
TOTAL CONSUMER NON CYCLICAL | 12,271 | 12,271 | ||||||||||||
ELECTRIC | ||||||||||||||
AES CORPORATION | 5/24/2022 | 3.454 | 224 | 224 | 224 | |||||||||
ASTORIA PROJECT PARTNERS | 12/24/2021 | 5.350 | 221 | 219 | 219 | |||||||||
HELIX GEN FUNDING LLC | 6/3/2024 | 5.083 | 199 | 197 | 197 | |||||||||
NRG ENERGY INC | 6/30/2023 | 3.583 | 988 | 982 | 982 | |||||||||
TEXAS ENERGY FUTURE HOLDINGS LP | 6/30/2018 | 4.355 | 725 | 724 | 724 | |||||||||
VIVA ALAMO LLC | 2/22/2021 | 5.600 | 266 | 264 | 264 | |||||||||
WG PARTNERS | 11/15/2023 | 4.833 | 359 | 356 | 356 | |||||||||
TOTAL ELECTRIC | 2,966 | 2,966 | ||||||||||||
ENERGY | ||||||||||||||
CORPORATE CAPITAL TRUST INC | 9/28/2024 | 5.330 | 400 | 398 | 398 | |||||||||
ENERGY TRANSFER EQUITY LP | 2/2/2024 | 3.501 | 1,000 | 997 | 997 | |||||||||
PVF HOLDINGS LLC | 9/20/2024 | 4.850 | 600 | 599 | 599 | |||||||||
RHODE ISLAND STATE ENERGY CENTER | 12/19/2022 | 6.100 | 197 | 194 | 194 | |||||||||
TOTAL ENERGY | 2,188 | 2,188 | ||||||||||||
FINANCE COMPANY | ||||||||||||||
FINCO I LLC | 7/14/2022 | 2.750 | 575 | 574 | 574 | |||||||||
ISTAR INC | 7/1/2020 | 4.452 | 675 | 671 | 671 | |||||||||
VARSITY BRANDS HOLDING | 3/21/2022 | 3.751 | 848 | 843 | 843 | |||||||||
TOTAL FINANCE COMPANY | 2,088 | 2,088 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
INSURANCE | ||||||||||||||
HOCKEY PARENT HOLDINGS LP | 10/2/2020 | 4.413 | 977 | 970 | 970 | |||||||||
LONESTAR INTERMEDIATE SUPER HOLDINGS LLC | 8/4/2022 | 4.100 | 286 | 285 | 285 | |||||||||
NEW ASURION CORPORATION | 11/3/2023 | 4.350 | 317 | 316 | 316 | |||||||||
ONEX CORPORATION | 5/16/2024 | 4.350 | 300 | 299 | 299 | |||||||||
TOTAL INSURANCE | 1,870 | 1,870 | ||||||||||||
OTHER FINANCIAL INSTITUTIONS | ||||||||||||||
VICI PROPERTIES INC | 1/8/2025 | 3.737 | 325 | 324 | 324 | |||||||||
TOTAL OTHER FINANCIAL INSTITUTIONS | 324 | 324 | ||||||||||||
OTHER INDUSTRY | ||||||||||||||
BOOZ ALLEN HAMILTON HOLDING CORP | 6/30/2023 | 3.682 | 1,149 | 1,156 | 1,156 | |||||||||
HUSKY INJECTION MOLDING SYSTEMS LTD | 6/30/2021 | 4.600 | 852 | 844 | 844 | |||||||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 5.850 | 186 | 183 | 183 | |||||||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 5.850 | 12 | 11 | 11 | |||||||||
MUELLER WATER PRODUCTS INC | 11/25/2021 | 3.845 | 978 | 977 | 977 | |||||||||
TOTAL OTHER INDUSTRY | 3,171 | 3,171 | ||||||||||||
OTHER UTILITY | ||||||||||||||
LS POWER DEVELOPMENT LLC | 11/9/2020 | 5.333 | 901 | 898 | 898 | |||||||||
TOTAL OTHER UTILITY | 898 | 898 | ||||||||||||
REITS | ||||||||||||||
EXTENDED STAY AMERICA INC | 8/30/2023 | 3.600 | 149 | 148 | 148 | |||||||||
TOTAL REITS | 148 | 148 | ||||||||||||
TECHNOLOGY | ||||||||||||||
ARRIS INTERNATIONAL PLC | 4/26/2024 | 3.600 | 995 | 993 | 993 | |||||||||
DELL TECHNOLOGIES INC | 9/7/2021 | 3.100 | 385 | 375 | 375 | |||||||||
DELL TECHNOLOGIES INC | 9/7/2023 | 3.350 | 523 | 519 | 519 | |||||||||
GARTNER INC | 4/5/2024 | 3.350 | 796 | 795 | 795 | |||||||||
GO DADDY INC | 2/15/2024 | 3.600 | 1,295 | 1,292 | 1,292 | |||||||||
HEWLETT PACKARD ENTERPRISE CO | 6/21/2024 | 4.063 | 775 | 772 | 772 | |||||||||
INFOR SOFTWARE PARENT LLC | 2/1/2022 | 4.083 | 423 | 422 | 422 | |||||||||
JDA SOFTWARE GROUP INC | 10/12/2023 | 4.350 | 124 | 124 | 124 | |||||||||
MACDONALD DETTWILER AND ASSOCIATES LTD | 10/4/2024 | 4.100 | 1,000 | 995 | 995 | |||||||||
MICRO FOCUS INTERNATIONAL PLC | 6/21/2024 | 4.063 | 100 | 100 | 100 | |||||||||
MICROSEMI CORPORATION | 1/15/2023 | 3.383 | 196 | 194 | 194 | |||||||||
NEUSTAR INC | 8/8/2024 | 5.147 | 200 | 196 | 196 | |||||||||
NEW OMAHA HOLDINGS LP | 7/10/2022 | 3.802 | 916 | 915 | 915 | |||||||||
RIVERBED HOLDINGS INC | 4/24/2022 | 4.600 | 198 | 198 | 198 | |||||||||
SABRE HOLDINGS CORPORATION | 2/22/2024 | 3.600 | 815 | 815 | 815 | |||||||||
SCIENCE APPLICATIONS INTERNATIONAL CORPORATION | 5/4/2022 | 3.938 | 779 | 778 | 778 | |||||||||
TESSERA TECHNOLOGIES INC | 12/9/2023 | 4.600 | 248 | 246 | 246 |
WELLS FARGO BANK NA | 2/1/2022 | (1) | (841) | (841) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/8/2022 | (1) | (767) | (767) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | (1) | (970) | (970) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/21/2023 | — | (202) | (202) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | (1) | (776) | (776) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/29/2022 | (1) | (738) | (738) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/5/2022 | (1) | (572) | (572) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/19/2022 | (1) | (535) | (535) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/3/2022 | (1) | (586) | (586) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/17/2022 | (1) | (622) | (622) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/24/2022 | (1) | (513) | (513) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/14/2022 | (1) | (665) | (665) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/28/2022 | (1) | (461) | (461) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/5/2022 | (1) | (431) | (431) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/12/2022 | (1) | (366) | (366) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/11/2023 | — | (70) | (70) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/19/2022 | (1) | (509) | (509) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/26/2022 | (1) | (355) | (355) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/2/2022 | (1) | (396) | (396) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/16/2022 | (1) | (340) | (340) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/6/2022 | (1) | (356) | (356) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/13/2022 | (1) | (304) | (304) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/4/2022 | (1) | (357) | (357) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/1/2022 | (1) | (203) | (203) | |||||||||||||||||||
WELLS FARGO BANK NA | 12/6/2022 | (1) | (238) | (238) | |||||||||||||||||||
TOTAL WRITTEN OPTIONS | (41,467) | (41,467) |
TTM TECHNOLOGIES INC | 9/25/2024 | 3.850 | 225 | 224 | 224 | |||||||||
VERINT SYSTEMS INC | 6/26/2024 | 3.627 | 398 | 398 | 398 | |||||||||
WESTERN DIGITAL CORPORATION | 4/29/2023 | 3.313 | 237 | 231 | 231 | |||||||||
TOTAL TECHNOLOGY | 10,582 | 10,582 | ||||||||||||
TRANSPORTATION | ||||||||||||||
AMERICAN AIRLINES GROUP INC | 6/27/2020 | 3.552 | 970 | 968 | 968 | |||||||||
DELTA AIR LINES INC | 10/18/2018 | 3.991 | 969 | 965 | 965 | |||||||||
UNITED CONTINENTAL HOLDINGS INC | 4/1/2024 | 3.380 | 597 | 597 | 597 | |||||||||
TOTAL TRANSPORTATION | 2,530 | 2,530 | ||||||||||||
TOTAL SYNDICATED LOANS BEFORE ALLOWANCE FOR LOAN LOSSES | 100,484 | 100,484 | ||||||||||||
ALLOWANCE FOR LOAN LOSSES | (941 | ) | (941 | ) | ||||||||||
TOTAL SYNDICATED LOANS - NET | 99,543 | 99,543 | ||||||||||||
DERIVATIVES | ||||||||||||||
PURCHASED OPTIONS | ||||||||||||||
BNP PARIBAS SA | 8/28/2018 | — | 230 | 230 | ||||||||||
BNP PARIBAS SA | 10/23/2018 | — | 189 | 189 | ||||||||||
BNP PARIBAS SA | 5/8/2018 | — | 60 | 60 | ||||||||||
BNP PARIBAS SA | 5/7/2019 | — | 64 | 64 | ||||||||||
BNP PARIBAS SA | 6/19/2018 | — | 59 | 59 | ||||||||||
BNP PARIBAS SA | 6/18/2019 | — | 128 | 128 | ||||||||||
BNP PARIBAS SA | 6/26/2018 | — | 64 | 64 | ||||||||||
BNP PARIBAS SA | 6/25/2019 | — | 69 | 69 | ||||||||||
BNP PARIBAS SA | 7/2/2019 | — | 64 | 64 | ||||||||||
BNP PARIBAS SA | 7/23/2019 | — | 58 | 58 | ||||||||||
BNP PARIBAS SA | 7/31/2018 | — | 54 | 54 | ||||||||||
BNP PARIBAS SA | 7/30/2019 | — | 59 | 59 | ||||||||||
BNP PARIBAS SA | 8/14/2018 | — | 52 | 52 | ||||||||||
BNP PARIBAS SA | 8/20/2019 | — | 57 | 57 | ||||||||||
BNP PARIBAS SA | 9/10/2019 | — | 62 | 62 | ||||||||||
BNP PARIBAS SA | 10/1/2019 | — | 121 | 121 | ||||||||||
BNP PARIBAS SA | 10/22/2019 | — | 61 | 61 | ||||||||||
BNP PARIBAS SA | 11/6/2018 | — | 57 | 57 | ||||||||||
BNP PARIBAS SA | 11/5/2019 | — | 62 | 62 | ||||||||||
BNP PARIBAS SA | 11/20/2018 | — | 51 | 51 | ||||||||||
BNP PARIBAS SA | 11/19/2019 | — | 57 | 57 | ||||||||||
BNP PARIBAS SA | 11/27/2018 | — | 51 | 51 | ||||||||||
BNP PARIBAS SA | 12/11/2018 | — | 90 | 90 | ||||||||||
BNP PARIBAS SA | 12/10/2019 | — | 52 | 52 | ||||||||||
BNP PARIBAS SA | 12/24/2018 | — | 46 | 46 | ||||||||||
BNP PARIBAS SA | 12/24/2019 | — | 52 | 52 | ||||||||||
BNP PARIBAS SA | 1/2/2018 | — | 1,246 | 1,246 | ||||||||||
BNP PARIBAS SA | 12/31/2019 | — | 53 | 53 |
FUTURES | |||||||||||||||||||||||
S&P500 EMINI FUT Dec21 | — | (3) | (3) | ||||||||||||||||||||
TOTAL FUTURES | (3) | (3) | |||||||||||||||||||||
TOTAL DERIVATIVES - NET | 2,665 | 2,665 | |||||||||||||||||||||
TOTAL INVESTMENTS IN CASH EQUIVALENTS, FIXED MATURITIES, EQUITY SECURITIES, SYNDICATED LOANS AND DERIVATIVES | $ | 5,490,865 | $ | 5,509,373 |
BNP PARIBAS SA | 1/16/2018 | — | 1,255 | 1,255 | ||||||||||
BNP PARIBAS SA | 1/15/2019 | — | 46 | 46 | ||||||||||
BNP PARIBAS SA | 1/14/2020 | — | 53 | 53 | ||||||||||
BNP PARIBAS SA | 1/23/2018 | — | 1,334 | 1,334 | ||||||||||
BNP PARIBAS SA | 1/22/2019 | — | 45 | 45 | ||||||||||
BNP PARIBAS SA | 1/21/2020 | — | 104 | 104 | ||||||||||
BNP PARIBAS SA | 2/13/2018 | — | 1,105 | 1,105 | ||||||||||
BNP PARIBAS SA | 2/12/2019 | — | 82 | 82 | ||||||||||
BNP PARIBAS SA | 2/11/2020 | — | 96 | 96 | ||||||||||
BNP PARIBAS SA | 3/20/2018 | — | 1,298 | 1,298 | ||||||||||
BNP PARIBAS SA | 3/19/2019 | — | 41 | 41 | ||||||||||
BNP PARIBAS SA | 3/17/2020 | — | 96 | 96 | ||||||||||
BNP PARIBAS SA | 3/27/2018 | 3 | 1,054 | 1,054 | ||||||||||
BNP PARIBAS SA | 3/26/2019 | — | 80 | 80 | ||||||||||
BNP PARIBAS SA | 3/24/2020 | — | 94 | 94 | ||||||||||
BNP PARIBAS SA | 4/3/2018 | 3 | 1,055 | 1,055 | ||||||||||
BNP PARIBAS SA | 4/2/2019 | — | 40 | 40 | ||||||||||
BNP PARIBAS SA | 3/31/2020 | — | 47 | 47 | ||||||||||
BNP PARIBAS SA | 5/22/2018 | 3 | 881 | 881 | ||||||||||
BNP PARIBAS SA | 5/21/2019 | — | 38 | 38 | ||||||||||
BNP PARIBAS SA | 5/19/2020 | — | 135 | 135 | ||||||||||
BNP PARIBAS SA | 5/29/2018 | 3 | 930 | 930 | ||||||||||
BNP PARIBAS SA | 5/28/2019 | — | 38 | 38 | ||||||||||
BNP PARIBAS SA | 5/26/2020 | — | 45 | 45 | ||||||||||
BNP PARIBAS SA | 6/5/2018 | 3 | 807 | 807 | ||||||||||
BNP PARIBAS SA | 6/4/2019 | — | 36 | 36 | ||||||||||
BNP PARIBAS SA | 6/2/2020 | — | 43 | 43 | ||||||||||
BNP PARIBAS SA | 6/19/2018 | 3 | 876 | 876 | ||||||||||
BNP PARIBAS SA | 6/18/2019 | — | 72 | 72 | ||||||||||
BNP PARIBAS SA | 6/16/2020 | — | 43 | 43 | ||||||||||
BNP PARIBAS SA | 7/3/2018 | 3 | 826 | 826 | ||||||||||
BNP PARIBAS SA | 7/2/2019 | — | 37 | 37 | ||||||||||
BNP PARIBAS SA | 6/30/2020 | — | 44 | 44 | ||||||||||
BNP PARIBAS SA | 7/10/2018 | 3 | 921 | 921 | ||||||||||
BNP PARIBAS SA | 7/7/2020 | — | 44 | 44 | ||||||||||
BNP PARIBAS SA | 7/17/2018 | 3 | 778 | 778 | ||||||||||
BNP PARIBAS SA | 7/16/2019 | — | 35 | 35 | ||||||||||
BNP PARIBAS SA | 7/14/2020 | — | 42 | 42 | ||||||||||
BNP PARIBAS SA | 8/7/2018 | 3 | 706 | 706 | ||||||||||
BNP PARIBAS SA | 8/6/2019 | — | 34 | 34 | ||||||||||
BNP PARIBAS SA | 8/4/2020 | — | 82 | 82 | ||||||||||
BNP PARIBAS SA | 9/18/2018 | 3 | 622 | 622 | ||||||||||
BNP PARIBAS SA | 9/17/2019 | — | 33 | 33 | ||||||||||
BNP PARIBAS SA | 9/15/2020 | — | 40 | 40 |
BNP PARIBAS SA | 10/2/2018 | 3 | 678 | 678 | ||||||||||
BNP PARIBAS SA | 10/1/2019 | — | 31 | 31 | ||||||||||
BNP PARIBAS SA | 9/29/2020 | — | 38 | 38 | ||||||||||
BNP PARIBAS SA | 10/23/2018 | 2 | 440 | 440 | ||||||||||
BNP PARIBAS SA | 10/22/2019 | — | 30 | 30 | ||||||||||
BNP PARIBAS SA | 10/20/2020 | — | 37 | 37 | ||||||||||
BNP PARIBAS SA | 10/30/2018 | 3 | 527 | 527 | ||||||||||
BNP PARIBAS SA | 10/29/2019 | — | 29 | 29 | ||||||||||
BNP PARIBAS SA | 10/27/2020 | — | 36 | 36 | ||||||||||
BNP PARIBAS SA | 11/17/2020 | — | 70 | 70 | ||||||||||
BNP PARIBAS SA | 11/19/2019 | — | 57 | 57 | ||||||||||
BNP PARIBAS SA | 11/20/2018 | 2 | 434 | 434 | ||||||||||
BNP PARIBAS SA | 11/27/2018 | 3 | 442 | 442 | ||||||||||
BNP PARIBAS SA | 11/24/2020 | — | 34 | 34 | ||||||||||
BNP PARIBAS SA | 12/4/2018 | 2 | 391 | 391 | ||||||||||
BNP PARIBAS SA | 12/3/2019 | — | 27 | 27 | ||||||||||
BNP PARIBAS SA | 12/1/2020 | — | 34 | 34 | ||||||||||
BNP PARIBAS SA | 12/18/2018 | 2 | 322 | 322 | ||||||||||
BNP PARIBAS SA | 12/17/2019 | — | 24 | 24 | ||||||||||
BNP PARIBAS SA | 12/15/2020 | — | 31 | 31 | ||||||||||
BNP PARIBAS SA | 8/21/2018 | — | 405 | 405 | ||||||||||
BNP PARIBAS SA | 12/11/2018 | — | 261 | 261 | ||||||||||
BNP PARIBAS SA | 1/16/2018 | — | 159 | 159 | ||||||||||
BNP PARIBAS SA | 1/15/2019 | — | 241 | 241 | ||||||||||
BNP PARIBAS SA | 1/23/2018 | — | 231 | 231 | ||||||||||
BNP PARIBAS SA | 1/29/2019 | — | 236 | 236 | ||||||||||
BNP PARIBAS SA | 2/20/2018 | — | 301 | 301 | ||||||||||
BNP PARIBAS SA | 3/27/2018 | — | 186 | 186 | ||||||||||
BNP PARIBAS SA | 3/26/2019 | — | 327 | 327 | ||||||||||
BNP PARIBAS SA | 4/9/2019 | — | 65 | 65 | ||||||||||
BNP PARIBAS SA | 4/17/2018 | — | 58 | 58 | ||||||||||
BNP PARIBAS SA | 4/16/2019 | — | 123 | 123 | ||||||||||
BNP PARIBAS SA | 4/24/2018 | — | 59 | 59 | ||||||||||
BNP PARIBAS SA | 4/23/2019 | — | 63 | 63 | ||||||||||
BNP PARIBAS SA | 5/1/2018 | — | 123 | 123 | ||||||||||
BNP PARIBAS SA | 4/30/2019 | — | 130 | 130 | ||||||||||
WELLS FARGO BANK NA | 5/15/2018 | — | 126 | 126 | ||||||||||
WELLS FARGO BANK NA | 5/14/2019 | — | 67 | 67 | ||||||||||
WELLS FARGO BANK NA | 5/21/2019 | — | 64 | 64 | ||||||||||
WELLS FARGO BANK NA | 6/5/2018 | — | 57 | 57 | ||||||||||
WELLS FARGO BANK NA | 6/4/2019 | — | 123 | 123 | ||||||||||
WELLS FARGO BANK NA | 6/12/2018 | — | 61 | 61 | ||||||||||
WELLS FARGO BANK NA | 6/11/2019 | — | 129 | 129 | ||||||||||
WELLS FARGO BANK NA | 7/9/2019 | — | 58 | 58 |
WELLS FARGO BANK NA | 8/7/2018 | — | 154 | 154 | ||||||||||
WELLS FARGO BANK NA | 8/6/2019 | — | 113 | 113 | ||||||||||
WELLS FARGO BANK NA | 8/28/2018 | — | 52 | 52 | ||||||||||
WELLS FARGO BANK NA | 9/3/2019 | — | 56 | 56 | ||||||||||
WELLS FARGO BANK NA | 10/9/2018 | — | 56 | 56 | ||||||||||
WELLS FARGO BANK NA | 10/8/2019 | — | 61 | 61 | ||||||||||
WELLS FARGO BANK NA | 10/16/2018 | — | 56 | 56 | ||||||||||
WELLS FARGO BANK NA | 10/15/2019 | — | 61 | 61 | ||||||||||
WELLS FARGO BANK NA | 10/29/2019 | — | 63 | 63 | ||||||||||
WELLS FARGO BANK NA | 11/12/2019 | — | 58 | 58 | ||||||||||
WELLS FARGO BANK NA | 12/4/2018 | — | 50 | 50 | ||||||||||
WELLS FARGO BANK NA | 12/3/2019 | — | 56 | 56 | ||||||||||
WELLS FARGO BANK NA | 12/18/2018 | — | 45 | 45 | ||||||||||
WELLS FARGO BANK NA | 12/17/2019 | — | 51 | 51 | ||||||||||
WELLS FARGO BANK NA | 1/9/2018 | — | 1,212 | 1,212 | ||||||||||
WELLS FARGO BANK NA | 1/8/2019 | — | 46 | 46 | ||||||||||
WELLS FARGO BANK NA | 1/7/2020 | — | 52 | 52 | ||||||||||
WELLS FARGO BANK NA | 1/30/2018 | — | 1,180 | 1,180 | ||||||||||
WELLS FARGO BANK NA | 1/29/2019 | — | 45 | 45 | ||||||||||
WELLS FARGO BANK NA | 1/28/2020 | — | 103 | 103 | ||||||||||
WELLS FARGO BANK NA | 2/6/2018 | — | 1,290 | 1,290 | ||||||||||
WELLS FARGO BANK NA | 2/5/2019 | — | 44 | 44 | ||||||||||
WELLS FARGO BANK NA | 2/4/2020 | — | 51 | 51 | ||||||||||
WELLS FARGO BANK NA | 2/20/2018 | — | 1,205 | 1,205 | ||||||||||
WELLS FARGO BANK NA | 2/19/2019 | — | 39 | 39 | ||||||||||
WELLS FARGO BANK NA | 2/18/2020 | — | 45 | 45 | ||||||||||
WELLS FARGO BANK NA | 2/27/2018 | — | 1,056 | 1,056 | ||||||||||
WELLS FARGO BANK NA | 2/26/2019 | — | 39 | 39 | ||||||||||
WELLS FARGO BANK NA | 2/25/2020 | — | 137 | 137 | ||||||||||
WELLS FARGO BANK NA | 3/6/2018 | — | 1,015 | 1,015 | ||||||||||
WELLS FARGO BANK NA | 3/5/2019 | — | 39 | 39 | ||||||||||
WELLS FARGO BANK NA | 3/3/2020 | — | 45 | 45 | ||||||||||
WELLS FARGO BANK NA | 3/10/2020 | — | 46 | 46 | ||||||||||
WELLS FARGO BANK NA | 3/12/2019 | — | 78 | 78 | ||||||||||
WELLS FARGO BANK NA | 3/13/2018 | — | 1,059 | 1,059 | ||||||||||
WELLS FARGO BANK NA | 4/10/2018 | 4 | 1,175 | 1,175 | ||||||||||
WELLS FARGO BANK NA | 4/9/2019 | — | 40 | 40 | ||||||||||
WELLS FARGO BANK NA | 4/7/2020 | — | 94 | 94 | ||||||||||
WELLS FARGO BANK NA | 4/17/2018 | 3 | 1,085 | 1,085 | ||||||||||
WELLS FARGO BANK NA | 4/14/2020 | — | 48 | 48 | ||||||||||
WELLS FARGO BANK NA | 4/24/2018 | 3 | 978 | 978 | ||||||||||
WELLS FARGO BANK NA | 4/23/2019 | — | 38 | 38 | ||||||||||
WELLS FARGO BANK NA | 4/21/2020 | — | 45 | 45 | ||||||||||
WELLS FARGO BANK NA | 5/1/2018 | 3 | 946 | 946 |
WELLS FARGO BANK NA | 4/30/2019 | — | 38 | 38 | ||||||||||
WELLS FARGO BANK NA | 4/28/2020 | — | 45 | 45 | ||||||||||
WELLS FARGO BANK NA | 5/8/2018 | 3 | 904 | 904 | ||||||||||
WELLS FARGO BANK NA | 5/7/2019 | — | 38 | 38 | ||||||||||
WELLS FARGO BANK NA | 5/5/2020 | — | 89 | 89 | ||||||||||
WELLS FARGO BANK NA | 5/15/2018 | 3 | 927 | 927 | ||||||||||
WELLS FARGO BANK NA | 5/12/2020 | — | 44 | 44 | ||||||||||
WELLS FARGO BANK NA | 6/12/2018 | 3 | 783 | 783 | ||||||||||
WELLS FARGO BANK NA | 6/11/2019 | — | 35 | 35 | ||||||||||
WELLS FARGO BANK NA | 6/9/2020 | — | 42 | 42 | ||||||||||
WELLS FARGO BANK NA | 6/26/2018 | 3 | 876 | 876 | ||||||||||
WELLS FARGO BANK NA | 6/25/2019 | — | 37 | 37 | ||||||||||
WELLS FARGO BANK NA | 6/23/2020 | — | 44 | 44 | ||||||||||
WELLS FARGO BANK NA | 7/24/2018 | 3 | 669 | 669 | ||||||||||
WELLS FARGO BANK NA | 7/23/2019 | — | 33 | 33 | ||||||||||
WELLS FARGO BANK NA | 7/21/2020 | — | 40 | 40 | ||||||||||
WELLS FARGO BANK NA | 7/31/2018 | 3 | 676 | 676 | ||||||||||
WELLS FARGO BANK NA | 7/30/2019 | — | 67 | 67 | ||||||||||
WELLS FARGO BANK NA | 7/28/2020 | — | 41 | 41 | ||||||||||
WELLS FARGO BANK NA | 8/14/2018 | 3 | 710 | 710 | ||||||||||
WELLS FARGO BANK NA | 8/13/2019 | — | 35 | 35 | ||||||||||
WELLS FARGO BANK NA | 8/11/2020 | — | 41 | 41 | ||||||||||
WELLS FARGO BANK NA | 8/21/2018 | 3 | 775 | 775 | ||||||||||
WELLS FARGO BANK NA | 8/20/2019 | — | 36 | 36 | ||||||||||
WELLS FARGO BANK NA | 8/18/2020 | — | 85 | 85 | ||||||||||
WELLS FARGO BANK NA | 8/28/2018 | 3 | 823 | 823 | ||||||||||
WELLS FARGO BANK NA | 8/27/2019 | — | 36 | 36 | ||||||||||
WELLS FARGO BANK NA | 8/25/2020 | — | 43 | 43 | ||||||||||
WELLS FARGO BANK NA | 9/4/2018 | 3 | 692 | 692 | ||||||||||
WELLS FARGO BANK NA | 9/3/2019 | — | 36 | 36 | ||||||||||
WELLS FARGO BANK NA | 9/11/2018 | 3 | 640 | 640 | ||||||||||
WELLS FARGO BANK NA | 9/10/2019 | — | 66 | 66 | ||||||||||
WELLS FARGO BANK NA | 9/8/2020 | — | 40 | 40 | ||||||||||
WELLS FARGO BANK NA | 9/25/2018 | 3 | 767 | 767 | ||||||||||
WELLS FARGO BANK NA | 9/24/2019 | — | 33 | 33 | ||||||||||
WELLS FARGO BANK NA | 9/22/2020 | — | 40 | 40 | ||||||||||
WELLS FARGO BANK NA | 10/9/2018 | 3 | 544 | 544 | ||||||||||
WELLS FARGO BANK NA | 10/8/2019 | — | 30 | 30 | ||||||||||
WELLS FARGO BANK NA | 10/6/2020 | — | 37 | 37 | ||||||||||
WELLS FARGO BANK NA | 10/16/2018 | 3 | 552 | 552 | ||||||||||
WELLS FARGO BANK NA | 10/15/2019 | — | 30 | 30 | ||||||||||
WELLS FARGO BANK NA | 10/13/2020 | — | 36 | 36 | ||||||||||
WELLS FARGO BANK NA | 11/6/2018 | 3 | 499 | 499 | ||||||||||
WELLS FARGO BANK NA | 11/5/2019 | — | 28 | 28 |
WELLS FARGO BANK NA | 11/13/2018 | 2 | 452 | 452 | ||||||||||
WELLS FARGO BANK NA | 11/12/2019 | — | 116 | 116 | ||||||||||
WELLS FARGO BANK NA | 11/10/2020 | — | 71 | 71 | ||||||||||
WELLS FARGO BANK NA | 12/11/2018 | 2 | 315 | 315 | ||||||||||
WELLS FARGO BANK NA | 12/10/2019 | — | 24 | 24 | ||||||||||
WELLS FARGO BANK NA | 12/8/2020 | — | 31 | 31 | ||||||||||
WELLS FARGO BANK NA | 12/26/2018 | 2 | 285 | 285 | ||||||||||
WELLS FARGO BANK NA | 12/24/2019 | — | 17 | 17 | ||||||||||
TOTAL PURCHASED OPTIONS | 54,346 | 54,346 | ||||||||||||
WRITTEN OPTIONS | ||||||||||||||
BNP PARIBAS SA | 8/28/2018 | — | (189 | ) | (189 | ) | ||||||||
BNP PARIBAS SA | 10/23/2018 | — | (147 | ) | (147 | ) | ||||||||
BNP PARIBAS SA | 5/8/2018 | — | (51 | ) | (51 | ) | ||||||||
BNP PARIBAS SA | 5/7/2019 | — | (49 | ) | (49 | ) | ||||||||
BNP PARIBAS SA | 6/19/2018 | — | (53 | ) | (53 | ) | ||||||||
BNP PARIBAS SA | 6/18/2019 | — | (105 | ) | (105 | ) | ||||||||
BNP PARIBAS SA | 6/25/2019 | — | (57 | ) | (57 | ) | ||||||||
BNP PARIBAS SA | 6/26/2018 | — | (58 | ) | (58 | ) | ||||||||
BNP PARIBAS SA | 7/2/2019 | — | (53 | ) | (53 | ) | ||||||||
BNP PARIBAS SA | 7/23/2019 | — | (46 | ) | (46 | ) | ||||||||
BNP PARIBAS SA | 7/31/2018 | — | (47 | ) | (47 | ) | ||||||||
BNP PARIBAS SA | 7/30/2019 | — | (48 | ) | (48 | ) | ||||||||
BNP PARIBAS SA | 8/14/2018 | — | (45 | ) | (45 | ) | ||||||||
BNP PARIBAS SA | 8/20/2019 | — | (45 | ) | (45 | ) | ||||||||
BNP PARIBAS SA | 9/10/2019 | — | (51 | ) | (51 | ) | ||||||||
BNP PARIBAS SA | 10/1/2019 | — | (98 | ) | (98 | ) | ||||||||
BNP PARIBAS SA | 10/22/2019 | — | (50 | ) | (50 | ) | ||||||||
BNP PARIBAS SA | 11/6/2018 | — | (51 | ) | (51 | ) | ||||||||
BNP PARIBAS SA | 11/5/2019 | — | (51 | ) | (51 | ) | ||||||||
BNP PARIBAS SA | 11/19/2019 | — | (46 | ) | (46 | ) | ||||||||
BNP PARIBAS SA | 11/20/2018 | — | (45 | ) | (45 | ) | ||||||||
BNP PARIBAS SA | 11/27/2018 | — | (45 | ) | (45 | ) | ||||||||
BNP PARIBAS SA | 12/11/2018 | — | (79 | ) | (79 | ) | ||||||||
BNP PARIBAS SA | 12/10/2019 | — | (41 | ) | (41 | ) | ||||||||
BNP PARIBAS SA | 12/24/2018 | — | (40 | ) | (40 | ) | ||||||||
BNP PARIBAS SA | 12/24/2019 | — | (41 | ) | (41 | ) | ||||||||
BNP PARIBAS SA | 1/2/2018 | — | (1,123 | ) | (1,123 | ) | ||||||||
BNP PARIBAS SA | 1/2/2018 | — | (32 | ) | (32 | ) | ||||||||
BNP PARIBAS SA | 12/31/2019 | — | (42 | ) | (42 | ) | ||||||||
BNP PARIBAS SA | 1/16/2018 | — | (1,130 | ) | (1,130 | ) | ||||||||
BNP PARIBAS SA | 1/16/2018 | — | (31 | ) | (31 | ) | ||||||||
BNP PARIBAS SA | 1/15/2019 | — | (40 | ) | (40 | ) | ||||||||
BNP PARIBAS SA | 1/14/2020 | — | (42 | ) | (42 | ) |
BNP PARIBAS SA | 1/21/2020 | — | (77 | ) | (77 | ) | ||||||||
BNP PARIBAS SA | 1/22/2019 | — | (38 | ) | (38 | ) | ||||||||
BNP PARIBAS SA | 1/23/2018 | — | (27 | ) | (27 | ) | ||||||||
BNP PARIBAS SA | 1/23/2018 | — | (1,180 | ) | (1,180 | ) | ||||||||
BNP PARIBAS SA | 2/13/2018 | — | (958 | ) | (958 | ) | ||||||||
BNP PARIBAS SA | 2/13/2018 | — | (22 | ) | (22 | ) | ||||||||
BNP PARIBAS SA | 2/12/2019 | — | (67 | ) | (67 | ) | ||||||||
BNP PARIBAS SA | 2/11/2020 | — | (69 | ) | (69 | ) | ||||||||
BNP PARIBAS SA | 3/20/2018 | — | (1,133 | ) | (1,133 | ) | ||||||||
BNP PARIBAS SA | 3/20/2018 | — | (22 | ) | (22 | ) | ||||||||
BNP PARIBAS SA | 3/19/2019 | — | (34 | ) | (34 | ) | ||||||||
BNP PARIBAS SA | 3/17/2020 | — | (69 | ) | (69 | ) | ||||||||
BNP PARIBAS SA | 3/27/2018 | (3 | ) | (910 | ) | (910 | ) | |||||||
BNP PARIBAS SA | 3/27/2018 | — | (20 | ) | (20 | ) | ||||||||
BNP PARIBAS SA | 3/26/2019 | — | (65 | ) | (65 | ) | ||||||||
BNP PARIBAS SA | 3/24/2020 | — | (68 | ) | (68 | ) | ||||||||
BNP PARIBAS SA | 4/3/2018 | (3 | ) | (911 | ) | (911 | ) | |||||||
BNP PARIBAS SA | 4/3/2018 | — | (21 | ) | (21 | ) | ||||||||
BNP PARIBAS SA | 4/2/2019 | — | (33 | ) | (33 | ) | ||||||||
BNP PARIBAS SA | 3/31/2020 | — | (34 | ) | (34 | ) | ||||||||
BNP PARIBAS SA | 5/19/2020 | — | (97 | ) | (97 | ) | ||||||||
BNP PARIBAS SA | 5/21/2019 | — | (31 | ) | (31 | ) | ||||||||
BNP PARIBAS SA | 5/22/2018 | — | (19 | ) | (19 | ) | ||||||||
BNP PARIBAS SA | 5/22/2018 | (3 | ) | (756 | ) | (756 | ) | |||||||
BNP PARIBAS SA | 5/29/2018 | (3 | ) | (798 | ) | (798 | ) | |||||||
BNP PARIBAS SA | 5/29/2018 | — | (18 | ) | (18 | ) | ||||||||
BNP PARIBAS SA | 5/28/2019 | — | (31 | ) | (31 | ) | ||||||||
BNP PARIBAS SA | 5/26/2020 | — | (32 | ) | (32 | ) | ||||||||
BNP PARIBAS SA | 6/5/2018 | (3 | ) | (685 | ) | (685 | ) | |||||||
BNP PARIBAS SA | 6/5/2018 | — | (16 | ) | (16 | ) | ||||||||
BNP PARIBAS SA | 6/4/2019 | — | (29 | ) | (29 | ) | ||||||||
BNP PARIBAS SA | 6/2/2020 | — | (30 | ) | (30 | ) | ||||||||
BNP PARIBAS SA | 6/19/2018 | (3 | ) | (745 | ) | (745 | ) | |||||||
BNP PARIBAS SA | 6/19/2018 | — | (16 | ) | (16 | ) | ||||||||
BNP PARIBAS SA | 6/18/2019 | — | (58 | ) | (58 | ) | ||||||||
BNP PARIBAS SA | 6/16/2020 | — | (30 | ) | (30 | ) | ||||||||
BNP PARIBAS SA | 7/3/2018 | (3 | ) | (704 | ) | (704 | ) | |||||||
BNP PARIBAS SA | 7/3/2018 | — | (17 | ) | (17 | ) | ||||||||
BNP PARIBAS SA | 7/2/2019 | — | (30 | ) | (30 | ) | ||||||||
BNP PARIBAS SA | 6/30/2020 | — | (31 | ) | (31 | ) | ||||||||
BNP PARIBAS SA | 7/10/2018 | (3 | ) | (789 | ) | (789 | ) | |||||||
BNP PARIBAS SA | 7/10/2018 | — | (18 | ) | (18 | ) | ||||||||
BNP PARIBAS SA | 7/7/2020 | — | (31 | ) | (31 | ) | ||||||||
BNP PARIBAS SA | 7/17/2018 | (3 | ) | (658 | ) | (658 | ) |
BNP PARIBAS SA | 7/17/2018 | — | (15 | ) | (15 | ) | ||||||||
BNP PARIBAS SA | 7/16/2019 | — | (28 | ) | (28 | ) | ||||||||
BNP PARIBAS SA | 7/14/2020 | — | (29 | ) | (29 | ) | ||||||||
BNP PARIBAS SA | 8/7/2018 | (3 | ) | (595 | ) | (595 | ) | |||||||
BNP PARIBAS SA | 8/7/2018 | — | (14 | ) | (14 | ) | ||||||||
BNP PARIBAS SA | 8/6/2019 | — | (27 | ) | (27 | ) | ||||||||
BNP PARIBAS SA | 8/4/2020 | — | (58 | ) | (58 | ) | ||||||||
BNP PARIBAS SA | 9/18/2018 | (3 | ) | (542 | ) | (542 | ) | |||||||
BNP PARIBAS SA | 9/17/2019 | — | (26 | ) | (26 | ) | ||||||||
BNP PARIBAS SA | 9/15/2020 | — | (28 | ) | (28 | ) | ||||||||
BNP PARIBAS SA | 10/2/2018 | (3 | ) | (568 | ) | (568 | ) | |||||||
BNP PARIBAS SA | 10/2/2018 | — | (12 | ) | (12 | ) | ||||||||
BNP PARIBAS SA | 10/1/2019 | — | (25 | ) | (25 | ) | ||||||||
BNP PARIBAS SA | 9/29/2020 | — | (26 | ) | (26 | ) | ||||||||
BNP PARIBAS SA | 10/23/2018 | (2 | ) | (359 | ) | (359 | ) | |||||||
BNP PARIBAS SA | 10/23/2018 | — | (10 | ) | (10 | ) | ||||||||
BNP PARIBAS SA | 10/22/2019 | — | (23 | ) | (23 | ) | ||||||||
BNP PARIBAS SA | 10/20/2020 | — | (25 | ) | (25 | ) | ||||||||
BNP PARIBAS SA | 10/30/2018 | (3 | ) | (433 | ) | (433 | ) | |||||||
BNP PARIBAS SA | 10/30/2018 | — | (10 | ) | (10 | ) | ||||||||
BNP PARIBAS SA | 10/29/2019 | — | (23 | ) | (23 | ) | ||||||||
WELLS FARGO BANK NA | 10/27/2020 | — | (25 | ) | (25 | ) | ||||||||
WELLS FARGO BANK NA | 11/17/2020 | — | (48 | ) | (48 | ) | ||||||||
WELLS FARGO BANK NA | 11/19/2019 | — | (44 | ) | (44 | ) | ||||||||
WELLS FARGO BANK NA | 11/20/2018 | (2 | ) | (371 | ) | (371 | ) | |||||||
WELLS FARGO BANK NA | 11/27/2018 | (3 | ) | (359 | ) | (359 | ) | |||||||
WELLS FARGO BANK NA | 11/27/2018 | — | (9 | ) | (9 | ) | ||||||||
WELLS FARGO BANK NA | 11/24/2020 | — | (23 | ) | (23 | ) | ||||||||
WELLS FARGO BANK NA | 12/4/2018 | (2 | ) | (330 | ) | (330 | ) | |||||||
WELLS FARGO BANK NA | 12/3/2019 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 12/1/2020 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 12/18/2018 | (2 | ) | (254 | ) | (254 | ) | |||||||
WELLS FARGO BANK NA | 12/18/2018 | — | (6 | ) | (6 | ) | ||||||||
WELLS FARGO BANK NA | 12/17/2019 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 12/15/2020 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 8/21/2018 | — | (338 | ) | (338 | ) | ||||||||
WELLS FARGO BANK NA | 12/11/2018 | — | (155 | ) | (155 | ) | ||||||||
WELLS FARGO BANK NA | 12/11/2018 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 1/16/2018 | — | (143 | ) | (143 | ) | ||||||||
WELLS FARGO BANK NA | 1/15/2019 | — | (197 | ) | (197 | ) | ||||||||
WELLS FARGO BANK NA | 1/23/2018 | — | (207 | ) | (207 | ) | ||||||||
WELLS FARGO BANK NA | 1/29/2019 | — | (192 | ) | (192 | ) | ||||||||
WELLS FARGO BANK NA | 2/20/2018 | — | (269 | ) | (269 | ) | ||||||||
WELLS FARGO BANK NA | 3/27/2018 | — | (161 | ) | (161 | ) |
WELLS FARGO BANK NA | 3/26/2019 | — | (251 | ) | (251 | ) | ||||||||
WELLS FARGO BANK NA | 4/9/2019 | — | (50 | ) | (50 | ) | ||||||||
WELLS FARGO BANK NA | 4/17/2018 | — | (49 | ) | (49 | ) | ||||||||
WELLS FARGO BANK NA | 4/16/2019 | — | (93 | ) | (93 | ) | ||||||||
WELLS FARGO BANK NA | 4/24/2018 | — | (50 | ) | (50 | ) | ||||||||
WELLS FARGO BANK NA | 4/23/2019 | — | (47 | ) | (47 | ) | ||||||||
WELLS FARGO BANK NA | 5/1/2018 | — | (106 | ) | (106 | ) | ||||||||
WELLS FARGO BANK NA | 4/30/2019 | — | (101 | ) | (101 | ) | ||||||||
WELLS FARGO BANK NA | 5/15/2018 | — | (110 | ) | (110 | ) | ||||||||
WELLS FARGO BANK NA | 5/14/2019 | — | (52 | ) | (52 | ) | ||||||||
WELLS FARGO BANK NA | 5/21/2019 | — | (49 | ) | (49 | ) | ||||||||
WELLS FARGO BANK NA | 6/5/2018 | — | (48 | ) | (48 | ) | ||||||||
WELLS FARGO BANK NA | 6/4/2019 | — | (93 | ) | (93 | ) | ||||||||
WELLS FARGO BANK NA | 6/12/2018 | — | (52 | ) | (52 | ) | ||||||||
WELLS FARGO BANK NA | 6/11/2019 | — | (100 | ) | (100 | ) | ||||||||
WELLS FARGO BANK NA | 7/9/2019 | — | (47 | ) | (47 | ) | ||||||||
WELLS FARGO BANK NA | 8/7/2018 | — | (134 | ) | (134 | ) | ||||||||
WELLS FARGO BANK NA | 8/6/2019 | — | (90 | ) | (90 | ) | ||||||||
WELLS FARGO BANK NA | 8/28/2018 | — | (46 | ) | (46 | ) | ||||||||
WELLS FARGO BANK NA | 9/3/2019 | — | (45 | ) | (45 | ) | ||||||||
WELLS FARGO BANK NA | 10/9/2018 | — | (50 | ) | (50 | ) | ||||||||
WELLS FARGO BANK NA | 10/8/2019 | — | (50 | ) | (50 | ) | ||||||||
WELLS FARGO BANK NA | 10/16/2018 | — | (50 | ) | (50 | ) | ||||||||
WELLS FARGO BANK NA | 10/15/2019 | — | (50 | ) | (50 | ) | ||||||||
WELLS FARGO BANK NA | 10/29/2019 | — | (52 | ) | (52 | ) | ||||||||
WELLS FARGO BANK NA | 11/12/2019 | — | (47 | ) | (47 | ) | ||||||||
WELLS FARGO BANK NA | 12/4/2018 | — | (44 | ) | (44 | ) | ||||||||
WELLS FARGO BANK NA | 12/3/2019 | — | (45 | ) | (45 | ) | ||||||||
WELLS FARGO BANK NA | 12/18/2018 | — | (39 | ) | (39 | ) | ||||||||
WELLS FARGO BANK NA | 12/17/2019 | — | (40 | ) | (40 | ) | ||||||||
WELLS FARGO BANK NA | 1/9/2018 | — | (1,091 | ) | (1,091 | ) | ||||||||
WELLS FARGO BANK NA | 1/9/2018 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 1/8/2019 | — | (40 | ) | (40 | ) | ||||||||
WELLS FARGO BANK NA | 1/7/2020 | — | (41 | ) | (41 | ) | ||||||||
WELLS FARGO BANK NA | 1/30/2018 | — | (1,039 | ) | (1,039 | ) | ||||||||
WELLS FARGO BANK NA | 1/30/2018 | — | (27 | ) | (27 | ) | ||||||||
WELLS FARGO BANK NA | 1/29/2019 | — | (38 | ) | (38 | ) | ||||||||
WELLS FARGO BANK NA | 1/28/2020 | — | (76 | ) | (76 | ) | ||||||||
WELLS FARGO BANK NA | 2/4/2020 | — | (37 | ) | (37 | ) | ||||||||
WELLS FARGO BANK NA | 2/5/2019 | — | (37 | ) | (37 | ) | ||||||||
WELLS FARGO BANK NA | 2/6/2018 | — | (26 | ) | (26 | ) | ||||||||
WELLS FARGO BANK NA | 2/6/2018 | — | (1,134 | ) | (1,134 | ) | ||||||||
WELLS FARGO BANK NA | 2/20/2018 | — | (1,037 | ) | (1,037 | ) | ||||||||
WELLS FARGO BANK NA | 2/20/2018 | — | (19 | ) | (19 | ) |
WELLS FARGO BANK NA | 2/19/2019 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 2/18/2020 | — | (32 | ) | (32 | ) | ||||||||
WELLS FARGO BANK NA | 2/27/2018 | — | (907 | ) | (907 | ) | ||||||||
WELLS FARGO BANK NA | 2/27/2018 | — | (19 | ) | (19 | ) | ||||||||
WELLS FARGO BANK NA | 2/26/2019 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 2/25/2020 | — | (97 | ) | (97 | ) | ||||||||
WELLS FARGO BANK NA | 3/5/2019 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 3/6/2018 | — | (871 | ) | (871 | ) | ||||||||
WELLS FARGO BANK NA | 3/6/2018 | — | (19 | ) | (19 | ) | ||||||||
WELLS FARGO BANK NA | 3/3/2020 | — | (32 | ) | (32 | ) | ||||||||
WELLS FARGO BANK NA | 3/10/2020 | — | (33 | ) | (33 | ) | ||||||||
WELLS FARGO BANK NA | 3/12/2019 | — | (63 | ) | (63 | ) | ||||||||
WELLS FARGO BANK NA | 3/13/2018 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 3/13/2018 | — | (911 | ) | (911 | ) | ||||||||
WELLS FARGO BANK NA | 4/10/2018 | (4 | ) | (1,024 | ) | (1,024 | ) | |||||||
WELLS FARGO BANK NA | 4/10/2018 | — | (21 | ) | (21 | ) | ||||||||
WELLS FARGO BANK NA | 4/9/2019 | — | (33 | ) | (33 | ) | ||||||||
WELLS FARGO BANK NA | 4/7/2020 | — | (68 | ) | (68 | ) | ||||||||
WELLS FARGO BANK NA | 4/17/2018 | (3 | ) | (946 | ) | (946 | ) | |||||||
WELLS FARGO BANK NA | 4/17/2018 | — | (23 | ) | (23 | ) | ||||||||
WELLS FARGO BANK NA | 4/14/2020 | — | (35 | ) | (35 | ) | ||||||||
WELLS FARGO BANK NA | 4/24/2018 | (3 | ) | (838 | ) | (838 | ) | |||||||
WELLS FARGO BANK NA | 4/24/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 4/23/2019 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 4/21/2020 | — | (32 | ) | (32 | ) | ||||||||
WELLS FARGO BANK NA | 5/1/2018 | (3 | ) | (811 | ) | (811 | ) | |||||||
WELLS FARGO BANK NA | 5/1/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 4/30/2019 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 4/28/2020 | — | (32 | ) | (32 | ) | ||||||||
WELLS FARGO BANK NA | 5/8/2018 | (3 | ) | (773 | ) | (773 | ) | |||||||
WELLS FARGO BANK NA | 5/8/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 5/7/2019 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 5/5/2020 | — | (64 | ) | (64 | ) | ||||||||
WELLS FARGO BANK NA | 5/15/2018 | (3 | ) | (796 | ) | (796 | ) | |||||||
WELLS FARGO BANK NA | 5/15/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 5/12/2020 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 6/12/2018 | (3 | ) | (685 | ) | (685 | ) | |||||||
WELLS FARGO BANK NA | 6/11/2019 | — | (28 | ) | (28 | ) | ||||||||
WELLS FARGO BANK NA | 6/9/2020 | — | (29 | ) | (29 | ) | ||||||||
WELLS FARGO BANK NA | 6/26/2018 | (3 | ) | (752 | ) | (752 | ) | |||||||
WELLS FARGO BANK NA | 6/26/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 6/25/2019 | — | (30 | ) | (30 | ) | ||||||||
WELLS FARGO BANK NA | 6/23/2020 | — | (31 | ) | (31 | ) | ||||||||
WELLS FARGO BANK NA | 7/24/2018 | (3 | ) | (561 | ) | (561 | ) |
WELLS FARGO BANK NA | 7/24/2018 | — | (14 | ) | (14 | ) | ||||||||
WELLS FARGO BANK NA | 7/23/2019 | — | (27 | ) | (27 | ) | ||||||||
WELLS FARGO BANK NA | 7/21/2020 | — | (28 | ) | (28 | ) | ||||||||
WELLS FARGO BANK NA | 7/31/2018 | — | (14 | ) | (14 | ) | ||||||||
WELLS FARGO BANK NA | 7/31/2018 | (3 | ) | (567 | ) | (567 | ) | |||||||
WELLS FARGO BANK NA | 7/30/2019 | — | (54 | ) | (54 | ) | ||||||||
WELLS FARGO BANK NA | 7/28/2020 | — | (28 | ) | (28 | ) | ||||||||
WELLS FARGO BANK NA | 8/14/2018 | (3 | ) | (599 | ) | (599 | ) | |||||||
WELLS FARGO BANK NA | 8/14/2018 | — | (15 | ) | (15 | ) | ||||||||
WELLS FARGO BANK NA | 8/13/2019 | — | (28 | ) | (28 | ) | ||||||||
WELLS FARGO BANK NA | 8/11/2020 | — | (29 | ) | (29 | ) | ||||||||
WELLS FARGO BANK NA | 8/21/2018 | (3 | ) | (663 | ) | (663 | ) | |||||||
WELLS FARGO BANK NA | 8/21/2018 | — | (17 | ) | (17 | ) | ||||||||
WELLS FARGO BANK NA | 8/20/2019 | — | (29 | ) | (29 | ) | ||||||||
WELLS FARGO BANK NA | 8/18/2020 | — | (60 | ) | (60 | ) | ||||||||
WELLS FARGO BANK NA | 8/28/2018 | (3 | ) | (707 | ) | (707 | ) | |||||||
WELLS FARGO BANK NA | 8/28/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 8/27/2019 | — | (29 | ) | (29 | ) | ||||||||
WELLS FARGO BANK NA | 8/25/2020 | — | (30 | ) | (30 | ) | ||||||||
WELLS FARGO BANK NA | 9/4/2018 | (3 | ) | (589 | ) | (589 | ) | |||||||
WELLS FARGO BANK NA | 9/4/2018 | — | (17 | ) | (17 | ) | ||||||||
WELLS FARGO BANK NA | 9/3/2019 | — | (29 | ) | (29 | ) | ||||||||
WELLS FARGO BANK NA | 9/11/2018 | (3 | ) | (539 | ) | (539 | ) | |||||||
WELLS FARGO BANK NA | 9/11/2018 | — | (14 | ) | (14 | ) | ||||||||
WELLS FARGO BANK NA | 9/10/2019 | — | (53 | ) | (53 | ) | ||||||||
WELLS FARGO BANK NA | 9/8/2020 | — | (28 | ) | (28 | ) | ||||||||
WELLS FARGO BANK NA | 9/25/2018 | (3 | ) | (650 | ) | (650 | ) | |||||||
WELLS FARGO BANK NA | 9/25/2018 | — | (14 | ) | (14 | ) | ||||||||
WELLS FARGO BANK NA | 9/24/2019 | — | (27 | ) | (27 | ) | ||||||||
WELLS FARGO BANK NA | 9/22/2020 | — | (28 | ) | (28 | ) | ||||||||
WELLS FARGO BANK NA | 10/9/2018 | (3 | ) | (448 | ) | (448 | ) | |||||||
WELLS FARGO BANK NA | 10/9/2018 | — | (11 | ) | (11 | ) | ||||||||
WELLS FARGO BANK NA | 10/8/2019 | — | (24 | ) | (24 | ) | ||||||||
WELLS FARGO BANK NA | 10/6/2020 | — | (25 | ) | (25 | ) | ||||||||
WELLS FARGO BANK NA | 10/16/2018 | (3 | ) | (455 | ) | (455 | ) | |||||||
WELLS FARGO BANK NA | 10/16/2018 | — | (11 | ) | (11 | ) | ||||||||
WELLS FARGO BANK NA | 10/15/2019 | — | (23 | ) | (23 | ) | ||||||||
WELLS FARGO BANK NA | 10/13/2020 | — | (25 | ) | (25 | ) | ||||||||
WELLS FARGO BANK NA | 11/6/2018 | (3 | ) | (407 | ) | (407 | ) | |||||||
WELLS FARGO BANK NA | 11/6/2018 | — | (9 | ) | (9 | ) | ||||||||
WELLS FARGO BANK NA | 11/5/2019 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 11/13/2018 | (2 | ) | (369 | ) | (369 | ) | |||||||
WELLS FARGO BANK NA | 11/13/2018 | — | (10 | ) | (10 | ) | ||||||||
WELLS FARGO BANK NA | 11/12/2019 | — | (91 | ) | (91 | ) |
WELLS FARGO BANK NA | 11/10/2020 | — | (48 | ) | (48 | ) | ||||||||
WELLS FARGO BANK NA | 12/11/2018 | (2 | ) | (250 | ) | (250 | ) | |||||||
WELLS FARGO BANK NA | 12/11/2018 | — | (7 | ) | (7 | ) | ||||||||
WELLS FARGO BANK NA | 12/10/2019 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 12/8/2020 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 12/26/2018 | (2 | ) | (235 | ) | (235 | ) | |||||||
WELLS FARGO BANK NA | 12/24/2019 | — | (18 | ) | (18 | ) | ||||||||
TOTAL WRITTEN OPTIONS | (46,753 | ) | (46,753 | ) | ||||||||||
FUTURES | ||||||||||||||
S&P 500 MINI FUTURES | 3/1/2018 | — | (3 | ) | (3 | ) | ||||||||
TOTAL FUTURES | (3 | ) | (3 | ) | ||||||||||
TOTAL DERIVATIVES - NET | 7,590 | 7,590 | ||||||||||||
TOTAL INVESTMENTS IN CASH EQUIVALENTS, FIXED MATURITIES, COMMON STOCK, SYNDICATED LOANS AND DERIVATIVES | $ | 6,715,769 | $ | 6,706,190 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
CASH EQUIVALENTS | |||||||||||||||||||||||
CERTIFICATE OF DEPOSITS | |||||||||||||||||||||||
AUSTRALIA AND NEW ZEALAND BANK | 1/4/2021 | 0.080 | % | $ | 50,000 | $ | 50,000 | $ | 50,000 | ||||||||||||||
CANADIAN IMPERIAL BANK | 1/4/2021 | 0.080 | 50,000 | 50,000 | 50,000 | ||||||||||||||||||
TOTAL CERTIFICATE OF DEPOSITS | 100,000 | 100,000 | |||||||||||||||||||||
COMMERCIAL PAPER | |||||||||||||||||||||||
CENTERPOINT ENERGY INC | 1/4/2021 | — | 50,000 | 49,999 | 49,999 | ||||||||||||||||||
CHEVRON CORP | 1/13/2021 | — | 30,000 | 29,999 | 29,999 | ||||||||||||||||||
JM SMUCKER COMPANY | 1/4/2021 | — | 19,900 | 19,900 | 19,900 | ||||||||||||||||||
MCKESSON CORP | 1/4/2021 | — | 38,000 | 37,999 | 37,999 | ||||||||||||||||||
NOVARTIS FINANCE CORP | 1/8/2021 | — | 25,000 | 24,999 | 24,999 | ||||||||||||||||||
NOVARTIS FINANCE CORP | 1/11/2021 | — | 25,000 | 24,999 | 24,999 | ||||||||||||||||||
PACIFICORP | 1/4/2021 | — | 18,900 | 18,900 | 18,900 | ||||||||||||||||||
PUBLIC SERVICE COMPANY OF COLORADO | 1/6/2021 | — | 9,500 | 9,500 | 9,500 | ||||||||||||||||||
ROCHE HOLDINGS INC | 1/12/2021 | — | 25,000 | 24,999 | 24,999 | ||||||||||||||||||
ROYAL BANK OF CANADA -NEW YORK | 1/13/2021 | — | 50,000 | 49,998 | 49,998 | ||||||||||||||||||
THE TORONTO-DOMINION BANK | 1/11/2021 | — | 20,000 | 19,999 | 19,999 | ||||||||||||||||||
THE TORONTO-DOMINION BANK | 1/22/2021 | — | 30,000 | 29,996 | 29,996 | ||||||||||||||||||
TRAVELERS COMPANIES INC | 1/4/2021 | — | 50,000 | 50,000 | 50,000 | ||||||||||||||||||
WESTPAC BANKING CORP | 1/19/2021 | — | 50,000 | 49,996 | 49,996 | ||||||||||||||||||
WISCONSIN PUBLIC SERVICE CORPORATION | 1/6/2021 | — | 3,000 | 3,000 | 3,000 | ||||||||||||||||||
TOTAL COMMERCIAL PAPER | 444,283 | 444,283 | |||||||||||||||||||||
TOTAL CASH EQUIVALENTS | 544,283 | 544,283 | |||||||||||||||||||||
FIXED MATURITIES | |||||||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||||||||||||||||||||
UNITED STATES TREASURY BILL | 3/25/2021 | — | 75,000 | 74,972 | 74,988 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/17/2021 | — | 75,000 | 74,971 | 74,972 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/7/2021 | — | 75,000 | 74,998 | 75,000 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/14/2021 | — | 60,000 | 59,997 | 60,000 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/21/2021 | — | 60,000 | 59,995 | 59,999 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/4/2021 | — | 110,000 | 109,989 | 109,994 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/11/2021 | — | 60,000 | 59,992 | 59,996 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/18/2021 | — | 60,000 | 59,991 | 59,995 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/4/2021 | — | 60,000 | 59,988 | 59,994 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 5/13/2021 | — | 50,000 | 49,980 | 49,986 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 5/27/2021 | — | 75,000 | 74,972 | 74,976 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/3/2021 | — | 75,000 | 74,971 | 74,975 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/10/2021 | — | 75,000 | 74,969 | 74,974 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/24/2021 | — | 125,000 | 124,945 | 124,951 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 7/1/2021 | — | 100,000 | 99,950 | 99,958 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/28/2021 | — | 210,000 | 209,976 | 209,991 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/25/2021 | — | 110,000 | 109,976 | 109,989 | ||||||||||||||||||
UNITED STATES TREASURY BOND | 11/15/2028 | 5.250 | 200 | 208 | 269 | ||||||||||||||||||
TOTAL U. S. GOVERNMENT AND AGENCY OBLIGATIONS | 1,454,840 | 1,455,007 | |||||||||||||||||||||
STATE AND MUNICIPAL OBLIGATIONS | |||||||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL ARP | 11/1/2023 | 1.041 | 250 | 250 | 253 | ||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL ARP | 11/1/2024 | 1.229 | 250 | 250 | 253 |
CASH EQUIVALENTS | ||||||||||||||
COMMERCIAL PAPER | ||||||||||||||
COMCAST CORP | 1/4/2017 | — | % | $ | 17,000 | $ | 16,999 | $ | 16,999 | |||||
CONSUMERS ENERGY COMPANY | 1/10/2017 | — | 9,000 | 8,998 | 8,998 | |||||||||
EASTMAN CHEMICAL COMPANY | 1/9/2017 | — | 16,800 | 16,796 | 16,796 | |||||||||
ENTERPRISE PRODUCTS OPERATING | 1/3/2017 | — | 23,100 | 23,099 | 23,099 | |||||||||
KROGER CO | 1/3/2017 | — | 36,500 | 36,498 | 36,498 | |||||||||
SOUTH CAROLINA ELECTRIC & GAS | 1/19/2017 | — | 9,000 | 8,995 | 8,995 | |||||||||
TOTAL COMMERCIAL PAPER | 111,385 | 111,385 | ||||||||||||
TOTAL CASH EQUIVALENTS | 111,385 | 111,385 | ||||||||||||
FIXED MATURITIES | ||||||||||||||
U. S. GOVERNMENT AND AGENCY OBLIGATIONS | ||||||||||||||
UNITED STATES TREASURY BOND | 11/15/2028 | 5.250 | 200 | 211 | 255 | |||||||||
UNITED STATES TREASURY NOTE | 4/15/2017 | 0.875 | 165 | 165 | 165 | |||||||||
TOTAL U. S. GOVERNMENT AND AGENCY OBLIGATIONS | 376 | 420 | ||||||||||||
STATE AND MUNICIPAL OBLIGATIONS | ||||||||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2017 | 2.261 | 1,330 | 1,330 | 1,330 | |||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2019 | 3.307 | 1,550 | 1,550 | 1,572 | |||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2020 | 3.757 | 3,205 | 3,205 | 3,280 | |||||||||
FLORIDA ST MID-BAY BRIDGE AUTHORITY | 10/1/2021 | 3.784 | 4,330 | 4,330 | 4,392 | |||||||||
HURST-EULESS-BEDFORD TEXAS INDPT SCHOOL DISTRICT | 8/15/2017 | — | 1,000 | 992 | 993 | |||||||||
LOS ANGELES CALIF MUN IMPT CORPORATION | 11/1/2019 | 2.846 | 3,000 | 3,000 | 3,069 | |||||||||
LOS ANGELES COUNTY CALIFORNIA REDEV AUTHORITY | 8/1/2019 | 2.644 | 2,425 | 2,425 | 2,455 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 4/1/2018 | 1.446 | 2,030 | 2,030 | 2,018 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 10/1/2019 | 1.822 | 1,460 | 1,460 | 1,437 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 4/1/2020 | 1.946 | 1,080 | 1,080 | 1,055 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2018 | 3.330 | 1,380 | 1,380 | 1,374 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2019 | 3.780 | 2,155 | 2,155 | 2,144 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2020 | 4.125 | 2,810 | 2,810 | 2,785 | |||||||||
NEW JERSEY ECONOMIC DEVELOPMENT AUTHORITY | 6/15/2017 | 3.375 | 7,890 | 7,890 | 7,965 | |||||||||
NORTH CAROLINA EASTN MUN PWR AGENCY | 7/1/2017 | 1.561 | 3,500 | 3,500 | 3,500 | |||||||||
SACRAMENTO CALIF UNI SCH DISTRICT | 8/1/2017 | 1.248 | 3,000 | 3,000 | 2,995 | |||||||||
ST PAUL HSG REDEV AUTHORITY | 7/1/2018 | 1.838 | 2,000 | 2,000 | 2,009 | |||||||||
ST PAUL MINN HSG & REDEV AUTHORITY | 7/1/2017 | 1.400 | 4,135 | 4,135 | 4,137 | |||||||||
TOTAL STATE AND MUNICIPAL OBLIGATIONS | 48,272 | 48,510 | ||||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
FANNIE MAE 06-36 GF | 5/25/2036 | 0.884 | 8,920 | 8,961 | 8,882 | |||||||||
FANNIE MAE 07-46 FB | 5/25/2037 | 0.954 | 3,322 | 3,331 | 3,312 | |||||||||
FANNIE MAE 09-107 FL | 2/25/2038 | 1.234 | 3,880 | 3,900 | 3,909 | |||||||||
FANNIE MAE 13-2 KF | 1/25/2037 | 0.764 | 12,388 | 12,358 | 12,263 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
DALLAS FORT WORTH TEXAS INTL ARP | 11/1/2025 | 1.329 | 1,000 | 1,000 | 1,009 | ||||||||||||||||||
FLORIDA ST MID-BAY BRIDGE AUTHORITY | 10/1/2021 | 3.784 | 765 | 765 | 775 | ||||||||||||||||||
GREAT LAKES WATER AUTHORITY | 7/1/2024 | 1.604 | 600 | 600 | 611 | ||||||||||||||||||
GREAT LAKES WATER AUTHORITY | 7/1/2025 | 1.654 | 600 | 600 | 612 | ||||||||||||||||||
KENTUCKY ST PPTY & BLDGS COMMUNITY | 5/1/2021 | 2.564 | 1,100 | 1,100 | 1,107 | ||||||||||||||||||
LONG ISLAND POWER AUTHORITY | 3/1/2023 | 0.764 | 1,000 | 1,000 | 1,004 | ||||||||||||||||||
PORT AUTHORITY OF NEW YORK | 7/1/2023 | 1.086 | 5,000 | 5,000 | 5,075 | ||||||||||||||||||
STATE OF CONNECTICUT | 9/15/2021 | 4.000 | 3,000 | 3,014 | 3,073 | ||||||||||||||||||
STATE OF CONNECTICUT | 9/15/2022 | 3.471 | 2,000 | 2,000 | 2,099 | ||||||||||||||||||
STATE OF CONNECTICUT | 7/1/2022 | 2.500 | 500 | 506 | 516 | ||||||||||||||||||
STATE OF CONNECTICUT | 7/1/2023 | 2.000 | 750 | 754 | 779 | ||||||||||||||||||
TOTAL STATE AND MUNICIPAL OBLIGATIONS | 16,839 | 17,166 |
RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
FANNIE MAE 06-36 GF | 5/25/2036 | 0.448 | 3,407 | 3,419 | 3,428 | ||||||||||||||||||
FANNIE MAE 07-46 FB | 5/25/2037 | 0.518 | 1,535 | 1,538 | 1,541 | ||||||||||||||||||
FANNIE MAE 09-107 FL | 2/25/2038 | 0.798 | 1,559 | 1,564 | 1,572 | ||||||||||||||||||
FANNIE MAE 13-2 KF | 1/25/2037 | 0.328 | 5,672 | 5,663 | 5,656 | ||||||||||||||||||
FANNIE MAE AF-2015-22C | 4/25/2045 | 0.505 | 10,636 | 10,602 | 10,608 | ||||||||||||||||||
FANNIE MAE AF-2015-42 | 6/25/2055 | 0.485 | 9,874 | 9,824 | 9,837 | ||||||||||||||||||
FANNIE MAE AF-2015-91 | 12/25/2045 | 0.525 | 10,542 | 10,498 | 10,525 | ||||||||||||||||||
FANNIE MAE FA-2015-4 | 2/25/2045 | 0.505 | 4,250 | 4,256 | 4,252 | ||||||||||||||||||
FANNIE MAE FW-2015-84 | 11/25/2045 | 0.505 | 10,857 | 10,843 | 10,829 | ||||||||||||||||||
FANNIE MAE 07-6 | 2/25/2037 | 0.598 | 5,345 | 5,354 | 5,383 | ||||||||||||||||||
FANNIE MAE 09-101 | 12/25/2039 | 0.988 | 8,306 | 8,426 | 8,505 | ||||||||||||||||||
FANNIE MAE 12-133 | 4/25/2042 | 0.398 | 6,464 | 6,445 | 6,433 | ||||||||||||||||||
FANNIE MAE 16-2 | 2/25/2056 | 0.635 | 3,426 | 3,422 | 3,439 | ||||||||||||||||||
FANNIE MAE 303970 | 9/1/2024 | 6.000 | 39 | 39 | 44 | ||||||||||||||||||
FANNIE MAE 545492 | 2/1/2022 | 5.500 | 12 | 12 | 14 | ||||||||||||||||||
FANNIE MAE 725558 | 6/1/2034 | 2.464 | 41 | 41 | 42 | ||||||||||||||||||
FANNIE MAE 725694 | 7/1/2034 | 1.706 | 154 | 151 | 155 | ||||||||||||||||||
FANNIE MAE 725719 | 7/1/2033 | 1.888 | 231 | 231 | 236 | ||||||||||||||||||
FANNIE MAE 735034 | 10/1/2034 | 2.255 | 2,584 | 2,711 | 2,685 | ||||||||||||||||||
FANNIE MAE 735702 | 7/1/2035 | 2.668 | 1,702 | 1,748 | 1,779 | ||||||||||||||||||
FANNIE MAE 794787 | 10/1/2034 | 1.999 | 93 | 94 | 96 | ||||||||||||||||||
FANNIE MAE 799733 | 11/1/2034 | 2.018 | 174 | 176 | 174 | ||||||||||||||||||
FANNIE MAE 801337 | 9/1/2034 | 1.924 | 1,333 | 1,400 | 1,384 | ||||||||||||||||||
FANNIE MAE 801917 | 10/1/2034 | 2.320 | 242 | 243 | 244 | ||||||||||||||||||
FANNIE MAE 804561 | 9/1/2034 | 2.421 | 255 | 255 | 261 | ||||||||||||||||||
FANNIE MAE 807219 | 1/1/2035 | 2.313 | 786 | 792 | 823 | ||||||||||||||||||
FANNIE MAE 809532 | 2/1/2035 | 3.688 | 157 | 158 | 164 | ||||||||||||||||||
FANNIE MAE 834552 | 8/1/2035 | 2.481 | 202 | 203 | 211 | ||||||||||||||||||
FANNIE MAE 889485 | 6/1/2036 | 2.444 | 1,849 | 1,878 | 1,928 | ||||||||||||||||||
FANNIE MAE 922674 | 4/1/2036 | 3.276 | 721 | 737 | 760 | ||||||||||||||||||
FANNIE MAE 968438 | 1/1/2038 | 2.030 | 998 | 1,047 | 1,034 | ||||||||||||||||||
FANNIE MAE 995123 | 8/1/2037 | 3.097 | 633 | 654 | 669 | ||||||||||||||||||
FANNIE MAE 995548 | 9/1/2035 | 2.610 | 805 | 822 | 840 | ||||||||||||||||||
FANNIE MAE 995604 | 11/1/2035 | 2.496 | 2,551 | 2,681 | 2,666 |
FANNIE MAE AF-2015-22C | 4/25/2045 | 0.883 | 30,318 | 30,214 | 30,121 | |||||||||
FANNIE MAE AF-2015-42 | 6/25/2055 | 0.863 | 33,040 | 32,863 | 32,504 | |||||||||
FANNIE MAE AF-2015-91 | 12/25/2045 | 0.903 | 32,473 | 32,326 | 32,259 | |||||||||
FANNIE MAE FA-2015-4 | 2/25/2045 | 0.883 | 15,636 | 15,658 | 15,591 | |||||||||
FANNIE MAE FNMA_15-50 | 7/25/2045 | 0.883 | 52,394 | 52,340 | 52,296 | |||||||||
FANNIE MAE FW-2015-84 | 11/25/2045 | 0.883 | 26,522 | 26,484 | 26,317 | |||||||||
FANNIE MAE 16-2 | 2/25/2056 | 1.097 | 10,677 | 10,664 | 10,657 | |||||||||
FANNIE MAE 16-40 | 7/25/2056 | 1.013 | 36,806 | 36,753 | 36,900 | |||||||||
FANNIE MAE 254590 | 1/1/2018 | 5.000 | 265 | 265 | 272 | |||||||||
FANNIE MAE 254591 | 1/1/2018 | 5.500 | 180 | 180 | 183 | |||||||||
FANNIE MAE 303970 | 9/1/2024 | 6.000 | 375 | 371 | 424 | |||||||||
FANNIE MAE 545492 | 2/1/2022 | 5.500 | 169 | 167 | 187 | |||||||||
FANNIE MAE 623866 | 2/1/2017 | 5.000 | 3 | 3 | 3 | |||||||||
FANNIE MAE 625943 | 3/1/2017 | 5.000 | 4 | 4 | 4 | |||||||||
FANNIE MAE 703446 | 5/1/2018 | 4.500 | 740 | 744 | 761 | |||||||||
FANNIE MAE 704592 | 5/1/2018 | 5.000 | 241 | 242 | 247 | |||||||||
FANNIE MAE 708635 | 6/1/2018 | 5.000 | 150 | 151 | 154 | |||||||||
FANNIE MAE 725558 | 6/1/2034 | 2.894 | 377 | 374 | 394 | |||||||||
FANNIE MAE 725694 | 7/1/2034 | 2.560 | 239 | 235 | 246 | |||||||||
FANNIE MAE 725719 | 7/1/2033 | 2.501 | 703 | 700 | 722 | |||||||||
FANNIE MAE 735034 | 10/1/2034 | 2.847 | 6,397 | 6,745 | 6,706 | |||||||||
FANNIE MAE 735702 | 7/1/2035 | 2.889 | 5,148 | 5,299 | 5,418 | |||||||||
FANNIE MAE 794787 | 10/1/2034 | 2.740 | 245 | 248 | 259 | |||||||||
FANNIE MAE 799733 | 11/1/2034 | 3.066 | 283 | 287 | 299 | |||||||||
FANNIE MAE 801337 | 9/1/2034 | 2.619 | 3,374 | 3,559 | 3,532 | |||||||||
FANNIE MAE 801917 | 10/1/2034 | 3.305 | 643 | 645 | 680 | |||||||||
FANNIE MAE 804561 | 9/1/2034 | 2.711 | 898 | 900 | 947 | |||||||||
FANNIE MAE 807219 | 1/1/2035 | 2.811 | 2,477 | 2,498 | 2,617 | |||||||||
FANNIE MAE 809532 | 2/1/2035 | 2.718 | 396 | 399 | 419 | |||||||||
FANNIE MAE 834552 | 8/1/2035 | 3.080 | 804 | 808 | 835 | |||||||||
FANNIE MAE 889335 | 6/1/2018 | 4.500 | 654 | 658 | 672 | |||||||||
FANNIE MAE 889485 | 6/1/2036 | 2.993 | 4,884 | 4,966 | 5,168 | |||||||||
FANNIE MAE 922674 | 4/1/2036 | 2.998 | 2,474 | 2,534 | 2,640 | |||||||||
FANNIE MAE 968438 | 1/1/2038 | 2.595 | 7,133 | 7,494 | 7,484 | |||||||||
FANNIE MAE 995123 | 8/1/2037 | 3.081 | 2,271 | 2,351 | 2,415 | |||||||||
FANNIE MAE 995548 | 9/1/2035 | 2.859 | 3,030 | 3,097 | 3,185 | |||||||||
FANNIE MAE 995604 | 11/1/2035 | 3.006 | 9,168 | 9,671 | 9,669 | |||||||||
FANNIE MAE 995614 | 8/1/2037 | 2.097 | 3,259 | 3,431 | 3,358 | |||||||||
FANNIE MAE AB1980 | 12/1/2020 | 3.000 | 3,724 | 3,770 | 3,824 | |||||||||
FANNIE MAE AB5230 | 5/1/2027 | 2.500 | 12,166 | 12,402 | 12,203 | |||||||||
FANNIE MAE AD0901 | 4/1/2040 | 2.741 | 7,537 | 8,016 | 7,965 | |||||||||
FANNIE MAE AE0559 | 12/1/2034 | 2.802 | 5,795 | 6,101 | 6,073 | |||||||||
FANNIE MAE AE0566 | 8/1/2035 | 2.948 | 5,332 | 5,612 | 5,654 | |||||||||
FANNIE MAE AF-2016-11 | 3/25/2046 | 1.033 | 19,737 | 19,704 | 19,780 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FANNIE MAE 995614 | 8/1/2037 | 1.341 | 546 | 574 | 551 | ||||||||||||||||||
FANNIE MAE AB5230 | 5/1/2027 | 2.500 | 4,703 | 4,765 | 4,916 | ||||||||||||||||||
FANNIE MAE AD0901 | 4/1/2040 | 3.469 | 2,236 | 2,373 | 2,330 | ||||||||||||||||||
FANNIE MAE AE0559 | 12/1/2034 | 2.281 | 2,253 | 2,360 | 2,344 | ||||||||||||||||||
FANNIE MAE AE0566 | 8/1/2035 | 2.851 | 1,624 | 1,702 | 1,701 | ||||||||||||||||||
FANNIE MAE AF-2016-11 | 3/25/2046 | 0.655 | 5,453 | 5,445 | 5,456 | ||||||||||||||||||
FANNIE MAE AF-2016-87 | 11/25/2046 | 0.555 | 7,394 | 7,391 | 7,373 | ||||||||||||||||||
FANNIE MAE AF-2016-88 | 12/25/2046 | 0.595 | 5,900 | 5,900 | 5,903 | ||||||||||||||||||
FANNIE MAE AF-2018-87 | 12/25/2048 | 0.455 | 21,219 | 21,136 | 21,159 | ||||||||||||||||||
FANNIE MAE AF-204620 | 11/15/2042 | 0.595 | 6,312 | 6,302 | 6,303 | ||||||||||||||||||
FANNIE MAE AL1037 | 1/1/2037 | 3.176 | 1,813 | 1,923 | 1,908 | ||||||||||||||||||
FANNIE MAE AL2269 | 10/1/2040 | 2.656 | 1,963 | 2,084 | 2,053 | ||||||||||||||||||
FANNIE MAE AL3935 | 9/1/2037 | 2.619 | 4,441 | 4,681 | 4,647 | ||||||||||||||||||
FANNIE MAE AL3961 | 2/1/2039 | 3.086 | 1,951 | 2,057 | 2,026 | ||||||||||||||||||
FANNIE MAE AL4100 | 9/1/2036 | 2.529 | 3,731 | 3,925 | 3,885 | ||||||||||||||||||
FANNIE MAE AL4110 | 3/1/2037 | 2.270 | 3,073 | 3,223 | 3,198 | ||||||||||||||||||
FANNIE MAE AL4114 | 2/1/2039 | 3.056 | 3,999 | 4,233 | 4,216 | ||||||||||||||||||
FANNIE MAE AO8746 | 8/1/2027 | 2.500 | 8,602 | 8,789 | 8,992 | ||||||||||||||||||
FANNIE MAE ARM 190726 | 3/1/2033 | 4.825 | 48 | 49 | 48 | ||||||||||||||||||
FANNIE MAE ARM 249907 | 2/1/2024 | 4.000 | 64 | 64 | 64 | ||||||||||||||||||
FANNIE MAE ARM 303259 | 3/1/2025 | 3.359 | 9 | 9 | 9 | ||||||||||||||||||
FANNIE MAE ARM 545786 | 6/1/2032 | 2.665 | 168 | 168 | 167 | ||||||||||||||||||
FANNIE MAE ARM 620293 | 1/1/2032 | 2.400 | 28 | 27 | 28 | ||||||||||||||||||
FANNIE MAE ARM 651629 | 8/1/2032 | 2.292 | 107 | 107 | 107 | ||||||||||||||||||
FANNIE MAE ARM 655646 | 8/1/2032 | 2.340 | 87 | 87 | 87 | ||||||||||||||||||
FANNIE MAE ARM 655798 | 8/1/2032 | 2.111 | 204 | 204 | 205 | ||||||||||||||||||
FANNIE MAE ARM 661349 | 9/1/2032 | 2.270 | 78 | 78 | 82 | ||||||||||||||||||
FANNIE MAE ARM 661744 | 10/1/2032 | 2.195 | 174 | 175 | 181 | ||||||||||||||||||
FANNIE MAE ARM 664750 | 10/1/2032 | 2.113 | 66 | 66 | 66 | ||||||||||||||||||
FANNIE MAE ARM 670731 | 11/1/2032 | 1.665 | 188 | 188 | 189 | ||||||||||||||||||
FANNIE MAE ARM 670779 | 11/1/2032 | 1.700 | 258 | 259 | 260 | ||||||||||||||||||
FANNIE MAE ARM 670890 | 12/1/2032 | 1.665 | 91 | 92 | 92 | ||||||||||||||||||
FANNIE MAE ARM 670912 | 12/1/2032 | 1.665 | 96 | 96 | 96 | ||||||||||||||||||
FANNIE MAE ARM 670947 | 12/1/2032 | 1.665 | 158 | 159 | 158 | ||||||||||||||||||
FANNIE MAE ARM 694852 | 4/1/2033 | 3.315 | 179 | 181 | 179 | ||||||||||||||||||
FANNIE MAE ARM 722779 | 9/1/2033 | 2.225 | 162 | 162 | 163 | ||||||||||||||||||
FANNIE MAE ARM 733525 | 8/1/2033 | 2.047 | 313 | 302 | 323 | ||||||||||||||||||
FANNIE MAE ARM 739194 | 9/1/2033 | 2.113 | 384 | 385 | 398 | ||||||||||||||||||
FANNIE MAE ARM 743256 | 10/1/2033 | 2.109 | 61 | 61 | 64 | ||||||||||||||||||
FANNIE MAE ARM 743856 | 11/1/2033 | 2.213 | 93 | 93 | 97 | ||||||||||||||||||
FANNIE MAE ARM 758873 | 12/1/2033 | 1.982 | 54 | 53 | 55 | ||||||||||||||||||
FANNIE MAE AS4507 | 2/1/2030 | 3.000 | 6,198 | 6,381 | 6,626 | ||||||||||||||||||
FANNIE MAE AS4878 | 4/1/2030 | 3.000 | 7,588 | 7,816 | 8,112 | ||||||||||||||||||
FANNIE MAE BE5622 | 1/1/2032 | 2.500 | 20,582 | 20,730 | 21,512 | ||||||||||||||||||
FANNIE MAE BK0933 | 7/1/2033 | 3.500 | 9,487 | 9,593 | 10,062 |
FANNIE MAE AF-2016-30 | 5/25/2046 | 1.033 | 39,225 | 39,200 | 39,242 | |||||||||
FANNIE MAE AF-204620 | 11/15/2042 | 1.057 | 23,687 | 23,648 | 23,725 | |||||||||
FANNIE MAE AL1037 | 1/1/2037 | 2.760 | 4,754 | 5,066 | 5,019 | |||||||||
FANNIE MAE AL2269 | 10/1/2040 | 3.089 | 8,052 | 8,565 | 8,454 | |||||||||
FANNIE MAE AL3935 | 9/1/2037 | 2.970 | 12,727 | 13,462 | 13,457 | |||||||||
FANNIE MAE AL3961 | 2/1/2039 | 2.661 | 9,579 | 10,113 | 10,072 | |||||||||
FANNIE MAE AL4100 | 9/1/2036 | 2.851 | 13,487 | 14,227 | 14,197 | |||||||||
FANNIE MAE AL4110 | 3/1/2037 | 2.930 | 10,059 | 10,583 | 10,607 | |||||||||
FANNIE MAE AL4114 | 2/1/2039 | 2.986 | 12,688 | 13,466 | 13,458 | |||||||||
FANNIE MAE AO8746 | 8/1/2027 | 2.500 | 22,260 | 22,945 | 22,328 | |||||||||
FANNIE MAE ARM 105989 | 8/1/2020 | 3.210 | 10 | 10 | 10 | |||||||||
FANNIE MAE ARM 190726 | 3/1/2033 | 4.825 | 145 | 148 | 153 | |||||||||
FANNIE MAE ARM 249907 | 2/1/2024 | 3.250 | 135 | 136 | 140 | |||||||||
FANNIE MAE ARM 303259 | 3/1/2025 | 2.629 | 57 | 58 | 59 | |||||||||
FANNIE MAE ARM 545786 | 6/1/2032 | 2.790 | 210 | 211 | 214 | |||||||||
FANNIE MAE ARM 620293 | 1/1/2032 | 2.525 | 211 | 209 | 221 | |||||||||
FANNIE MAE ARM 651629 | 8/1/2032 | 3.043 | 230 | 230 | 240 | |||||||||
FANNIE MAE ARM 654158 | 10/1/2032 | 2.535 | 353 | 354 | 373 | |||||||||
FANNIE MAE ARM 654195 | 10/1/2032 | 2.414 | 343 | 343 | 363 | |||||||||
FANNIE MAE ARM 655646 | 8/1/2032 | 3.043 | 250 | 250 | 260 | |||||||||
FANNIE MAE ARM 655798 | 8/1/2032 | 2.885 | 404 | 404 | 427 | |||||||||
FANNIE MAE ARM 661349 | 9/1/2032 | 2.550 | 148 | 148 | 157 | |||||||||
FANNIE MAE ARM 661501 | 9/1/2032 | 2.918 | 45 | 46 | 46 | |||||||||
FANNIE MAE ARM 661744 | 10/1/2032 | 2.596 | 361 | 363 | 382 | |||||||||
FANNIE MAE ARM 664521 | 10/1/2032 | 2.901 | 176 | 176 | 179 | |||||||||
FANNIE MAE ARM 664750 | 10/1/2032 | 2.985 | 321 | 322 | 338 | |||||||||
FANNIE MAE ARM 670731 | 11/1/2032 | 2.665 | 439 | 440 | 459 | |||||||||
FANNIE MAE ARM 670779 | 11/1/2032 | 2.665 | 510 | 513 | 532 | |||||||||
FANNIE MAE ARM 670890 | 12/1/2032 | 2.367 | 610 | 613 | 644 | |||||||||
FANNIE MAE ARM 670912 | 12/1/2032 | 2.312 | 515 | 516 | 543 | |||||||||
FANNIE MAE ARM 670947 | 12/1/2032 | 2.296 | 376 | 378 | 396 | |||||||||
FANNIE MAE ARM 694852 | 4/1/2033 | 2.690 | 227 | 231 | 239 | |||||||||
FANNIE MAE ARM 70007 | 7/1/2017 | 2.420 | — | — | — | |||||||||
FANNIE MAE ARM 70117 | 9/1/2017 | 2.250 | — | — | — | |||||||||
FANNIE MAE ARM 722779 | 9/1/2033 | 2.506 | 776 | 778 | 801 | |||||||||
FANNIE MAE ARM 733525 | 8/1/2033 | 2.737 | 587 | 565 | 609 | |||||||||
FANNIE MAE ARM 739194 | 9/1/2033 | 2.936 | 512 | 513 | 534 | |||||||||
FANNIE MAE ARM 743256 | 10/1/2033 | 2.950 | 294 | 291 | 307 | |||||||||
FANNIE MAE ARM 743856 | 11/1/2033 | 2.625 | 264 | 264 | 276 | |||||||||
FANNIE MAE ARM 758873 | 12/1/2033 | 3.046 | 449 | 445 | 471 | |||||||||
FANNIE MAE ARM 88879 | 11/1/2019 | 2.880 | 41 | 41 | 41 | |||||||||
FANNIE MAE ARM 89125 | 8/1/2019 | 2.128 | 46 | 46 | 47 | |||||||||
FANNIE MAE AS4507 | 2/1/2030 | 3.000 | 11,351 | 11,800 | 11,725 | |||||||||
FANNIE MAE AS4878 | 4/1/2030 | 3.000 | 14,601 | 15,177 | 15,081 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FANNIE MAE CA1265 | 2/1/2033 | 3.000 | 19,280 | 19,184 | 20,548 | ||||||||||||||||||
FANNIE MAE CA2283 | 8/1/2033 | 3.500 | 11,089 | 11,073 | 11,886 | ||||||||||||||||||
FANNIE MAE DF-2015-38 | 6/25/2055 | 0.465 | 16,070 | 15,969 | 16,011 | ||||||||||||||||||
FANNIE MAE DF-2017-16 | 3/25/2047 | 0.575 | 3,695 | 3,710 | 3,691 | ||||||||||||||||||
FANNIE MAE F-2019-31 | 7/25/2049 | 0.598 | 34,960 | 34,944 | 35,166 | ||||||||||||||||||
FANNIE MAE FA-2013-1 | 2/25/2043 | 0.498 | 8,280 | 8,307 | 8,292 | ||||||||||||||||||
FANNIE MAE FA-2015-55 | 8/25/2055 | 0.505 | 7,296 | 7,269 | 7,282 | ||||||||||||||||||
FANNIE MAE FA-204624 | 12/15/2038 | 0.605 | 17,851 | 17,820 | 17,835 | ||||||||||||||||||
FANNIE MAE FC-2017-51 | 7/25/2047 | 0.498 | 27,646 | 27,729 | 27,746 | ||||||||||||||||||
FANNIE MAE FC-2018-73 | 10/25/2048 | 0.448 | 40,198 | 40,087 | 40,298 | ||||||||||||||||||
FANNIE MAE FC-2019-76 | 12/25/2049 | 0.648 | 22,709 | 22,704 | 22,835 | ||||||||||||||||||
FANNIE MAE FK-2010-123 | 11/25/2040 | 0.598 | 8,014 | 8,087 | 8,059 | ||||||||||||||||||
FANNIE MAE FL-2017-4 | 2/25/2047 | 0.605 | 8,103 | 8,103 | 8,099 | ||||||||||||||||||
FANNIE MAE FT-2016-84 | 11/25/2046 | 0.648 | 12,417 | 12,535 | 12,515 | ||||||||||||||||||
FANNIE MAE GF-204639 | 3/15/2036 | 0.605 | 17,486 | 17,458 | 17,471 | ||||||||||||||||||
FANNIE MAE HYBRID ARM 566074 | 5/1/2031 | 3.307 | 178 | 178 | 179 | ||||||||||||||||||
FANNIE MAE HYBRID ARM 584507 | 6/1/2031 | 2.599 | 104 | 104 | 109 | ||||||||||||||||||
FANNIE MAE KF-2015-27 | 5/25/2045 | 0.448 | 9,649 | 9,623 | 9,696 | ||||||||||||||||||
FANNIE MAE MA1144 | 8/1/2027 | 2.500 | 4,044 | 4,138 | 4,223 | ||||||||||||||||||
FANNIE MAE MA3391 | 6/1/2033 | 3.000 | 11,702 | 11,593 | 12,275 | ||||||||||||||||||
FANNIE MAE WF-2016-68 | 10/25/2046 | 0.605 | 4,164 | 4,170 | 4,164 | ||||||||||||||||||
FANNIE MAE_15-50 | 7/25/2045 | 0.505 | 16,394 | 16,378 | 16,348 | ||||||||||||||||||
FANNIE MAE_15-93 | 8/25/2045 | 0.498 | 6,032 | 6,018 | 6,039 | ||||||||||||||||||
FANNIE MAE_16-11 | 3/25/2046 | 0.705 | 6,702 | 6,711 | 6,717 | ||||||||||||||||||
FANNIE MAE_CF-2019-33 | 7/25/2049 | 0.618 | 20,445 | 20,484 | 20,568 | ||||||||||||||||||
FANNIE MAE_FA-2020-47 | 7/25/2050 | 0.548 | 68,689 | 68,689 | 69,122 | ||||||||||||||||||
FANNIE MAE_YF-204979 | 6/25/2050 | 0.598 | 41,074 | 41,114 | 41,327 | ||||||||||||||||||
FREDDIE MAC 4159 FD | 1/15/2043 | 0.509 | 5,725 | 5,741 | 5,750 | ||||||||||||||||||
FREDDIE MAC 4363 2014 FA | 9/15/2041 | 0.519 | 2,424 | 2,429 | 2,417 | ||||||||||||||||||
FREDDIE MAC FB-204495 | 11/15/2038 | 0.499 | 8,864 | 8,828 | 8,880 | ||||||||||||||||||
FREDDIE MAC LF-204475 | 4/15/2040 | 0.459 | 2,306 | 2,306 | 2,295 | ||||||||||||||||||
FREDDIE MAC WF-204491 | 8/15/2039 | 0.469 | 4,377 | 4,375 | 4,358 | ||||||||||||||||||
FREDDIE MAC 1H2520 | 6/1/2035 | 3.154 | 2,446 | 2,583 | 2,578 | ||||||||||||||||||
FREDDIE MAC 1N1474 | 5/1/2037 | 2.260 | 56 | 58 | 55 | ||||||||||||||||||
FREDDIE MAC 1Q1515 | 11/1/2038 | 3.013 | 8,772 | 9,251 | 9,200 | ||||||||||||||||||
FREDDIE MAC 1Q1540 | 6/1/2040 | 3.414 | 2,974 | 3,173 | 3,114 | ||||||||||||||||||
FREDDIE MAC 1Q1548 | 8/1/2038 | 3.133 | 3,990 | 4,192 | 4,187 | ||||||||||||||||||
FREDDIE MAC 1Q1572 | 5/1/2038 | 3.306 | 6,993 | 7,369 | 7,339 | ||||||||||||||||||
FREDDIE MAC 2A-AOT-76 | 10/25/2037 | 1.726 | 5,550 | 5,647 | 5,700 | ||||||||||||||||||
FREDDIE MAC 4595 | 10/15/2037 | 0.705 | 5,543 | 5,543 | 5,549 | ||||||||||||||||||
FREDDIE MAC 781884 | 8/1/2034 | 2.532 | 241 | 243 | 253 | ||||||||||||||||||
FREDDIE MAC 848416 | 2/1/2041 | 3.830 | 3,435 | 3,585 | 3,550 | ||||||||||||||||||
FREDDIE MAC 848530 | 9/1/2039 | 2.980 | 2,132 | 2,249 | 2,239 | ||||||||||||||||||
FREDDIE MAC 848922 | 4/1/2037 | 2.923 | 2,264 | 2,407 | 2,378 | ||||||||||||||||||
FREDDIE MAC 849281 | 8/1/2037 | 2.806 | 3,741 | 3,974 | 3,936 | ||||||||||||||||||
FREDDIE MAC AF-204559 | 3/15/2042 | 0.649 | 6,867 | 6,846 | 6,867 | ||||||||||||||||||
FREDDIE MAC AF-204615 | 10/15/2038 | 0.505 | 3,774 | 3,764 | 3,812 |
FANNIE MAE DF-2015-38 | 6/25/2055 | 0.843 | 51,824 | 51,481 | 51,470 | |||||||||
FANNIE MAE DF-2016-69 | 10/25/2046 | 1.156 | 23,802 | 23,806 | 23,767 | |||||||||
FANNIE MAE FA-2015-55 | 8/25/2055 | 0.883 | 22,507 | 22,420 | 22,326 | |||||||||
FANNIE MAE FA-204624 | 12/15/2038 | 1.067 | 57,075 | 56,964 | 57,198 | |||||||||
FANNIE MAE GF-204639 | 3/15/2036 | 1.074 | 56,548 | 56,442 | 56,673 | |||||||||
FANNIE MAE HYBRID ARM 566074 | 5/1/2031 | 2.818 | 309 | 309 | 324 | |||||||||
FANNIE MAE HYBRID ARM 584507 | 6/1/2031 | 2.743 | 203 | 202 | 216 | |||||||||
FANNIE MAE KF-2015-27 | 5/25/2045 | 0.884 | 23,379 | 23,309 | 23,253 | |||||||||
FANNIE MAE MA0099 | 6/1/2019 | 4.000 | 1,030 | 1,035 | 1,060 | |||||||||
FANNIE MAE MA0598 | 12/1/2020 | 3.500 | 3,281 | 3,353 | 3,419 | |||||||||
FANNIE MAE MA1144 | 8/1/2027 | 2.500 | 11,067 | 11,425 | 11,249 | |||||||||
FANNIE MAE_05-103 | 7/25/2035 | 1.256 | 22,890 | 22,989 | 22,988 | |||||||||
FANNIE MAE_07-6 | 2/25/2037 | 1.206 | 13,089 | 13,111 | 13,090 | |||||||||
FANNIE MAE_15-93 | 8/25/2045 | 1.106 | 20,429 | 20,379 | 20,381 | |||||||||
FANNIE MAE_16-11 | 3/25/2046 | 1.167 | 23,890 | 23,925 | 23,983 | |||||||||
FANNIE MAE_16-64 | 9/25/2046 | 1.087 | 26,687 | 26,682 | 26,656 | |||||||||
FANNIE MAY_09-101 | 12/25/2039 | 1.596 | 19,887 | 20,186 | 20,211 | |||||||||
FREDDIE MAC 3370 TF | 10/15/2037 | 0.868 | 847 | 847 | 848 | |||||||||
FREDDIE MAC 4159 FD | 1/15/2043 | 0.888 | 13,026 | 13,073 | 12,985 | |||||||||
FREDDIE MAC 4363 2014 FA | 9/15/2041 | 0.897 | 9,348 | 9,356 | 9,289 | |||||||||
FREDDIE MAC AF-204521 | 5/15/2041 | 0.857 | 40,646 | 40,581 | 40,565 | |||||||||
FREDDIE MAC FB-204495 | 11/15/2038 | 0.877 | 29,437 | 29,317 | 29,177 | |||||||||
FREDDIE MAC LF-204475 | 4/15/2040 | 0.837 | 7,691 | 7,690 | 7,677 | |||||||||
FREDDIE MAC WF-204491 | 8/15/2039 | 0.847 | 14,492 | 14,486 | 14,373 | |||||||||
FREDDIE MAC 1H2520 | 6/1/2035 | 2.801 | 7,340 | 7,788 | 7,744 | |||||||||
FREDDIE MAC 1N1474 | 5/1/2037 | 2.972 | 2,883 | 2,994 | 3,049 | |||||||||
FREDDIE MAC 1Q1515 | 11/1/2038 | 2.853 | 27,633 | 29,224 | 29,266 | |||||||||
FREDDIE MAC 1Q1540 | 6/1/2040 | 2.881 | 14,218 | 15,196 | 15,077 | |||||||||
FREDDIE MAC 1Q1548 | 8/1/2038 | 2.752 | 12,578 | 13,253 | 13,252 | |||||||||
FREDDIE MAC 1Q1572 | 5/1/2038 | 2.732 | 21,811 | 23,048 | 23,019 | |||||||||
FREDDIE MAC 3812 BE | 9/15/2018 | 2.750 | 820 | 824 | 829 | |||||||||
FREDDIE MAC 4595 | 10/15/2037 | 1.174 | 21,704 | 21,704 | 21,855 | |||||||||
FREDDIE MAC 781884 | 8/1/2034 | 2.856 | 1,151 | 1,164 | 1,214 | |||||||||
FREDDIE MAC 848416 | 2/1/2041 | 2.788 | 13,261 | 13,856 | 14,045 | |||||||||
FREDDIE MAC 848530 | 9/1/2039 | 2.878 | 6,261 | 6,619 | 6,653 | |||||||||
FREDDIE MAC 848922 | 4/1/2037 | 2.873 | 7,305 | 7,794 | 7,738 | |||||||||
FREDDIE MAC 849281 | 8/1/2037 | 2.775 | 8,922 | 9,523 | 9,497 | |||||||||
FREDDIE MAC AF-204559 | 3/15/2042 | 1.027 | 24,112 | 24,031 | 24,176 | |||||||||
FREDDIE MAC ARM 350190 | 5/1/2022 | 2.875 | 30 | 31 | 30 | |||||||||
FREDDIE MAC ARM 405014 | 1/1/2019 | 2.438 | 10 | 10 | 10 | |||||||||
FREDDIE MAC ARM 405092 | 3/1/2019 | 2.375 | 6 | 6 | 6 | |||||||||
FREDDIE MAC ARM 405185 | 10/1/2018 | 2.439 | 18 | 18 | 18 | |||||||||
FREDDIE MAC ARM 405243 | 7/1/2019 | 2.760 | 23 | 23 | 23 | |||||||||
FREDDIE MAC ARM 405437 | 10/1/2019 | 2.650 | 27 | 27 | 27 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FREDDIE MAC AF-204774 | 7/15/2042 | 0.455 | 7,084 | 7,080 | 7,147 | ||||||||||||||||||
FREDDIE MAC ARM 350190 | 5/1/2022 | 2.750 | 7 | 7 | 7 | ||||||||||||||||||
FREDDIE MAC ARM 780514 | 5/1/2033 | 3.538 | 101 | 104 | 106 | ||||||||||||||||||
FREDDIE MAC ARM 780845 | 9/1/2033 | 2.466 | 66 | 64 | 69 | ||||||||||||||||||
FREDDIE MAC ARM 780903 | 9/1/2033 | 2.421 | 108 | 108 | 114 | ||||||||||||||||||
FREDDIE MAC ARM 845154 | 7/1/2022 | 2.522 | 7 | 7 | 7 | ||||||||||||||||||
FREDDIE MAC ARM 845654 | 2/1/2024 | 2.848 | 26 | 26 | 27 | ||||||||||||||||||
FREDDIE MAC ARM 845730 | 11/1/2023 | 2.768 | 34 | 34 | 35 | ||||||||||||||||||
FREDDIE MAC ARM 845733 | 4/1/2024 | 3.739 | 34 | 34 | 34 | ||||||||||||||||||
FREDDIE MAC ARM 846702 | 10/1/2029 | 3.101 | 4 | 4 | 4 | ||||||||||||||||||
FREDDIE MAC C90581 | 8/1/2022 | 5.500 | 11 | 11 | 12 | ||||||||||||||||||
FREDDIE MAC C90582 | 9/1/2022 | 5.500 | 14 | 14 | 16 | ||||||||||||||||||
FREDDIE MAC F2-20350 | 9/15/2040 | 0.503 | 21,350 | 21,339 | 21,276 | ||||||||||||||||||
FREDDIE MAC F4-20328 | 2/15/2038 | 0.499 | 4,266 | 4,270 | 4,234 | ||||||||||||||||||
FREDDIE MAC FA-204547 | 9/15/2040 | 0.605 | 5,871 | 5,864 | 5,888 | ||||||||||||||||||
FREDDIE MAC FA-204822 | 5/15/2035 | 0.409 | 47,322 | 47,310 | 47,436 | ||||||||||||||||||
FREDDIE MAC FD-203928 | 9/15/2041 | 0.579 | 21,592 | 21,747 | 21,712 | ||||||||||||||||||
FREDDIE MAC FD-204301 | 7/15/2037 | 0.559 | 7,590 | 7,637 | 7,638 | ||||||||||||||||||
FREDDIE MAC FL-204523 | 8/15/2038 | 0.499 | 7,306 | 7,268 | 7,300 | ||||||||||||||||||
FREDDIE MAC G16485 | 5/1/2033 | 3.000 | 13,933 | 13,840 | 14,629 | ||||||||||||||||||
FREDDIE MAC G30227 | 5/1/2023 | 5.500 | 92 | 93 | 103 | ||||||||||||||||||
FREDDIE MAC GF-204367 | 3/15/2037 | 0.505 | 11,885 | 11,867 | 11,836 | ||||||||||||||||||
FREDDIE MAC J32518 | 8/1/2030 | 3.000 | 9,135 | 9,405 | 9,749 | ||||||||||||||||||
FREDDIE MAC KF-204560 | 7/15/2040 | 0.699 | 8,902 | 8,893 | 8,966 | ||||||||||||||||||
FREDDIE MAC WF-204681 | 8/15/2033 | 0.505 | 21,747 | 21,751 | 21,955 | ||||||||||||||||||
FREDDIE MAC WF-204697 | 6/15/2038 | 0.505 | 14,916 | 14,924 | 15,051 | ||||||||||||||||||
FREDDIE MAC WF-204730 | 8/15/2038 | 0.505 | 30,897 | 30,757 | 31,011 | ||||||||||||||||||
FREDDIE MAC_4248 | 5/15/2041 | 0.609 | 8,676 | 8,689 | 8,744 | ||||||||||||||||||
FREDDIE MAC_4448 | 5/15/2040 | 0.475 | 6,906 | 6,872 | 6,873 | ||||||||||||||||||
FREDDIE MAC_JF-204981 | 6/25/2050 | 0.548 | 39,821 | 39,821 | 40,132 | ||||||||||||||||||
GINNIE MAE AF-2014-129 | 10/20/2041 | 0.455 | 4,110 | 4,106 | 4,129 | ||||||||||||||||||
GINNIE MAE AF-2014-94 | 11/20/2041 | 0.605 | 2,796 | 2,802 | 2,782 | ||||||||||||||||||
GINNIE MAE AF-2015-18 | 2/20/2040 | 0.485 | 7,547 | 7,558 | 7,538 | ||||||||||||||||||
GINNIE MAE AF-2018-168 | 12/20/2048 | 0.552 | 32,701 | 32,705 | 32,763 | ||||||||||||||||||
GINNIE MAE AF-2020-36 | 3/20/2050 | 0.602 | 52,001 | 52,075 | 52,149 | ||||||||||||||||||
GINNIE MAE FA-2014-43 | 3/20/2044 | 0.552 | 11,447 | 11,458 | 11,487 | ||||||||||||||||||
GINNIE MAE FA-2016-115 | 8/20/2046 | 0.552 | 25,984 | 26,128 | 26,075 | ||||||||||||||||||
GINNIE MAE FB-2013-151 | 2/20/2040 | 0.502 | 14,148 | 14,212 | 14,172 | ||||||||||||||||||
GINNIE MAE FC-2009-8 | 2/16/2039 | 1.053 | 9,322 | 9,556 | 9,472 | ||||||||||||||||||
GINNIE MAE FC-2018-67 | 5/20/2048 | 0.452 | 10,251 | 10,258 | 10,286 | ||||||||||||||||||
GINNIE MAE FD-2018-66 | 5/20/2048 | 0.402 | 6,109 | 6,109 | 6,092 | ||||||||||||||||||
GINNIE MAE II 082431 | 12/20/2039 | 3.125 | 2,713 | 2,817 | 2,832 | ||||||||||||||||||
GINNIE MAE II 082464 | 1/20/2040 | 3.000 | 1,086 | 1,163 | 1,134 | ||||||||||||||||||
GINNIE MAE II 082497 | 3/20/2040 | 3.000 | 1,823 | 1,932 | 1,902 | ||||||||||||||||||
GINNIE MAE II 082573 | 7/20/2040 | 2.250 | 2,454 | 2,539 | 2,565 | ||||||||||||||||||
GINNIE MAE II 082581 | 7/20/2040 | 2.250 | 3,744 | 4,003 | 3,913 | ||||||||||||||||||
GINNIE MAE II 082602 | 8/20/2040 | 2.250 | 6,052 | 6,480 | 6,324 | ||||||||||||||||||
GINNIE MAE II 082710 | 1/20/2041 | 3.000 | 2,122 | 2,205 | 2,215 |
FREDDIE MAC ARM 405615 | 10/1/2019 | 2.232 | 4 | 4 | 4 | |||||||||
FREDDIE MAC ARM 606024 | 2/1/2019 | 2.256 | 8 | 8 | 8 | |||||||||
FREDDIE MAC ARM 606025 | 7/1/2019 | 1.825 | 19 | 19 | 19 | |||||||||
FREDDIE MAC ARM 780514 | 5/1/2033 | 2.823 | 432 | 442 | 455 | |||||||||
FREDDIE MAC ARM 780845 | 9/1/2033 | 2.837 | 264 | 257 | 274 | |||||||||
FREDDIE MAC ARM 780903 | 9/1/2033 | 2.795 | 352 | 349 | 371 | |||||||||
FREDDIE MAC ARM 785363 | 2/1/2025 | 2.868 | 32 | 32 | 33 | |||||||||
FREDDIE MAC ARM 788941 | 12/1/2031 | 2.625 | 25 | 25 | 25 | |||||||||
FREDDIE MAC ARM 840031 | 1/1/2019 | 2.625 | 2 | 2 | 2 | |||||||||
FREDDIE MAC ARM 840035 | 1/1/2019 | 2.431 | 9 | 9 | 9 | |||||||||
FREDDIE MAC ARM 840036 | 1/1/2019 | 2.375 | 9 | 9 | 9 | |||||||||
FREDDIE MAC ARM 840072 | 6/1/2019 | 2.589 | 22 | 22 | 22 | |||||||||
FREDDIE MAC ARM 845154 | 7/1/2022 | 2.715 | 35 | 36 | 37 | |||||||||
FREDDIE MAC ARM 845523 | 11/1/2023 | 2.380 | 5 | 5 | 5 | |||||||||
FREDDIE MAC ARM 845654 | 2/1/2024 | 2.995 | 86 | 86 | 88 | |||||||||
FREDDIE MAC ARM 845730 | 11/1/2023 | 2.692 | 144 | 147 | 149 | |||||||||
FREDDIE MAC ARM 845733 | 4/1/2024 | 2.803 | 155 | 157 | 163 | |||||||||
FREDDIE MAC ARM 846107 | 2/1/2025 | 3.365 | 40 | 41 | 41 | |||||||||
FREDDIE MAC ARM 846702 | 10/1/2029 | 2.681 | 39 | 40 | 41 | |||||||||
FREDDIE MAC ARM 865008 | 2/1/2018 | 3.125 | 10 | 10 | 10 | |||||||||
FREDDIE MAC C90581 | 8/1/2022 | 5.500 | 155 | 154 | 172 | |||||||||
FREDDIE MAC C90582 | 9/1/2022 | 5.500 | 95 | 95 | 105 | |||||||||
FREDDIE MAC E01140 | 5/1/2017 | 6.000 | 37 | 37 | 37 | |||||||||
FREDDIE MAC E90153 | 6/1/2017 | 6.000 | 10 | 10 | 10 | |||||||||
FREDDIE MAC E90154 | 6/1/2017 | 6.000 | 17 | 17 | 17 | |||||||||
FREDDIE MAC E91041 | 9/1/2017 | 5.000 | 61 | 61 | 63 | |||||||||
FREDDIE MAC E95403 | 3/1/2018 | 5.000 | 101 | 101 | 103 | |||||||||
FREDDIE MAC E95671 | 4/1/2018 | 5.000 | 145 | 146 | 149 | |||||||||
FREDDIE MAC F4-20328 | 2/15/2038 | 0.877 | 13,273 | 13,293 | 13,189 | |||||||||
FREDDIE MAC FA-204547 | 9/15/2040 | 1.056 | 18,799 | 18,776 | 18,748 | |||||||||
FREDDIE MAC FL-204523 | 8/15/2038 | 0.877 | 22,783 | 22,661 | 22,743 | |||||||||
FREDDIE MAC G11298 | 8/1/2017 | 5.000 | 67 | 67 | 69 | |||||||||
FREDDIE MAC G30227 | 5/1/2023 | 5.500 | 537 | 549 | 594 | |||||||||
FREDDIE MAC J32518 | 8/1/2030 | 3.000 | 21,639 | 22,427 | 22,237 | |||||||||
FREDDIE MAC KF-204560 | 7/15/2040 | 1.077 | 29,087 | 29,055 | 29,026 | |||||||||
FREDDIE MAC T-76 2A | 10/25/2037 | 3.223 | 10,363 | 10,564 | 10,486 | |||||||||
FREDDIE MAC_4248 | 5/15/2041 | 1.154 | 20,303 | 20,338 | 20,303 | |||||||||
FREDDIE MAC_4301 | 7/15/2037 | 1.104 | 24,531 | 24,531 | 24,495 | |||||||||
FREDDIE MAC_4448 | 5/15/2040 | 0.937 | 19,848 | 19,744 | 19,727 | |||||||||
GINNIE MAE MF-2016-108 | 8/20/2046 | 0.917 | 3,810 | 3,793 | 3,804 | |||||||||
GINNIE MAE AF-2014-129 | 10/20/2041 | 0.833 | 12,056 | 12,044 | 12,111 | |||||||||
GINNIE MAE AF-2014-94 | 11/20/2041 | 1.067 | 8,215 | 8,232 | 8,146 | |||||||||
GINNIE MAE AF-2015-18 | 2/20/2040 | 0.863 | 18,483 | 18,513 | 18,130 | |||||||||
GINNIE MAE II 082431 | 12/20/2039 | 2.000 | 9,464 | 9,846 | 9,783 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
GINNIE MAE II 082794 | 4/20/2041 | 2.875 | 3,239 | 3,450 | 3,374 | ||||||||||||||||||
GINNIE MAE II ARM 8157 | 3/20/2023 | 3.000 | 16 | 16 | 16 | ||||||||||||||||||
GINNIE MAE II ARM 8638 | 6/20/2025 | 2.875 | 33 | 33 | 34 | ||||||||||||||||||
GINNIE MAE LF-2015-82 | 4/20/2041 | 0.455 | 4,359 | 4,359 | 4,349 | ||||||||||||||||||
GINNIE MAE MF-2016-108 | 8/20/2046 | 0.455 | 1,100 | 1,095 | 1,098 | ||||||||||||||||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,260,016 | 1,268,378 |
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
ADJUSTABLE RATE MORTGAGE TRUST 04-2 6A1 | 2/25/2035 | 2.722 | 201 | 203 | 206 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2018-2 | 7/27/2048 | 3.674 | 3,930 | 3,926 | 3,984 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2018-3 | 9/25/2048 | 3.649 | 7,580 | 7,571 | 7,727 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2019-1 | 11/25/2048 | 3.920 | 15,384 | 15,365 | 15,802 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2020-3 | 4/25/2065 | 1.691 | 16,805 | 16,800 | 16,915 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1-2020-5 | 5/25/2065 | 0.155 | 20,504 | 20,504 | 20,630 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST A1A-2020-2 | 1/26/2065 | 2.531 | 5,630 | 5,706 | 5,788 | ||||||||||||||||||
APS RESECURITIZATION TRUST 1A-2016-3 | 11/27/2066 | 2.398 | 12,316 | 12,273 | 13,322 | ||||||||||||||||||
APS RESECURITIZATION TRUST 2A-2016-3 | 11/27/2046 | 2.398 | 9,266 | 9,228 | 10,365 | ||||||||||||||||||
ARROYO MORTGAGE TRUST A1-2019-1 | 1/25/2049 | 3.805 | 15,264 | 15,252 | 15,783 | ||||||||||||||||||
ARROYO MORTGAGE TRUST A1-2019-3 | 10/25/2048 | 2.962 | 11,593 | 11,588 | 11,879 | ||||||||||||||||||
BANK OF AMERICA FUNDING CORPORATION 7A1-2015-R4 | 11/27/2045 | 1.899 | 2,877 | 2,871 | 2,827 | ||||||||||||||||||
BANK OF AMERICA FUNDING CORPORATION A1-2016-R1 | 3/25/2040 | 2.500 | 6,994 | 6,972 | 6,990 | ||||||||||||||||||
BANK OF AMERICA MORTGAGE SECURITY 2004-E 2A6 | 6/25/2034 | 3.603 | 1,115 | 1,110 | 1,115 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A1-2017-RT1 | 3/28/2057 | 3.000 | 6,627 | 6,650 | 6,744 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL1 | 4/28/2055 | 4.000 | 12,630 | 12,802 | 12,965 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL2 | 6/28/2053 | 4.000 | 13,570 | 13,759 | 13,786 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT5 | 5/28/2069 | 3.500 | 16,575 | 16,799 | 17,045 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT6 | 10/28/2057 | 3.500 | 16,467 | 16,681 | 16,763 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL1 | 10/28/2064 | 4.000 | 13,633 | 13,911 | 14,080 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL2 | 6/28/2054 | 4.000 | 14,284 | 14,576 | 14,529 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL3 | 11/28/2053 | 4.000 | 11,008 | 11,241 | 11,439 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL4 | 1/28/2055 | 3.500 | 12,407 | 12,584 | 12,698 | ||||||||||||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL5 | 6/28/2057 | 3.500 | 14,432 | 14,686 | 14,823 | ||||||||||||||||||
BCAP LLC TRUST 3A1-2014-RR2 | 9/26/2046 | 1.704 | 168 | 168 | 168 | ||||||||||||||||||
BRAVO RESIDENTIAL FUNDING TRUST A1-2019-NQM2 | 11/25/2059 | 2.748 | 16,453 | 16,445 | 16,991 | ||||||||||||||||||
BRAVO RESIDENTIAL FUNDING TRUST A1-2020-RPL1 | 5/26/2059 | 2.500 | 23,444 | 23,963 | 23,953 | ||||||||||||||||||
BUNKER HILL LOAN DEPOSITARY A1-2019-1 | 10/26/2048 | 3.613 | 14,615 | 14,604 | 14,903 | ||||||||||||||||||
BUNKER HILL LOAN DEPOSITARY A1-2019-2 | 7/25/2049 | 2.879 | 17,395 | 17,386 | 17,969 | ||||||||||||||||||
BUNKER HILL LOAN DEPOSITARY A1-2019-3 | 11/25/2059 | 2.724 | 11,185 | 11,180 | 11,471 | ||||||||||||||||||
CENTEX HOME EQUITY 2003-A AF4 | 12/25/2031 | 4.250 | 884 | 877 | 898 | ||||||||||||||||||
CHASE MORTGAGE FINANCE 07-A1 1A5 | 2/25/2037 | 3.195 | 1,857 | 1,840 | 1,844 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2014-11 | 10/25/2035 | 3.519 | 175 | 175 | 175 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-11 | 3/25/2035 | 2.879 | 4,769 | 4,779 | 4,699 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2015-9 | 2/25/2036 | 2.867 | 376 | 375 | 374 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2015-5 | 8/25/2034 | 2.977 | 2,542 | 2,555 | 2,499 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST 4A1-2015-5 | 4/20/2035 | 2.738 | 3,713 | 3,718 | 3,658 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST A1-2015-PS1 | 9/25/2042 | 3.750 | 4,432 | 4,477 | 4,568 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST A1-2019-IMC1 | 7/25/2049 | 2.720 | 19,997 | 19,977 | 20,390 |
GINNIE MAE II 082464 | 1/20/2040 | 2.000 | 3,256 | 3,500 | 3,372 | |||||||||
GINNIE MAE II 082497 | 3/20/2040 | 2.000 | 6,284 | 6,676 | 6,498 | |||||||||
GINNIE MAE II 082573 | 7/20/2040 | 2.125 | 7,895 | 8,181 | 8,146 | |||||||||
GINNIE MAE II 082581 | 7/20/2040 | 2.125 | 9,440 | 10,126 | 9,776 | |||||||||
GINNIE MAE II 082602 | 8/20/2040 | 2.125 | 16,456 | 17,673 | 16,987 | |||||||||
GINNIE MAE II 082710 | 1/20/2041 | 2.000 | 8,140 | 8,470 | 8,410 | |||||||||
GINNIE MAE II 082794 | 4/20/2041 | 2.500 | 10,129 | 10,814 | 10,438 | |||||||||
GINNIE MAE II ARM 8157 | 3/20/2023 | 2.000 | 68 | 68 | 69 | |||||||||
GINNIE MAE II ARM 8206 | 3/20/2017 | 2.000 | 1 | 1 | 1 | |||||||||
GINNIE MAE II ARM 8240 | 7/20/2017 | 2.125 | 2 | 2 | 2 | |||||||||
GINNIE MAE II ARM 8251 | 8/20/2017 | 2.125 | — | — | — | |||||||||
GINNIE MAE II ARM 8274 | 10/20/2017 | 2.500 | 11 | 11 | 11 | |||||||||
GINNIE MAE II ARM 8283 | 11/20/2017 | 2.500 | — | — | — | |||||||||
GINNIE MAE II ARM 8293 | 12/20/2017 | 2.500 | 2 | 2 | 2 | |||||||||
GINNIE MAE II ARM 8341 | 4/20/2018 | 2.500 | 1 | 1 | 1 | |||||||||
GINNIE MAE II ARM 8353 | 5/20/2018 | 2.500 | 6 | 6 | 6 | |||||||||
GINNIE MAE II ARM 8365 | 6/20/2018 | 2.500 | 8 | 8 | 8 | |||||||||
GINNIE MAE II ARM 8377 | 7/20/2018 | 2.500 | 4 | 4 | 4 | |||||||||
GINNIE MAE II ARM 8428 | 11/20/2018 | 3.500 | 2 | 2 | 2 | |||||||||
GINNIE MAE II ARM 8440 | 12/20/2018 | 3.500 | 7 | 7 | 7 | |||||||||
GINNIE MAE II ARM 8638 | 6/20/2025 | 2.125 | 103 | 104 | 106 | |||||||||
GINNIE MAE LF-2015-82 | 4/20/2041 | 0.833 | 14,480 | 14,481 | 14,512 | |||||||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,565,169 | 1,562,312 | ||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
ADJUSTABLE RATE MORTGAGE TRUST 04-2 6A1 | 2/25/2035 | 3.120 | 783 | 793 | 783 | |||||||||
AMERICAN HOME MORTGAGE INVESTMENT TRUST 5A-2004-4 | 2/25/2045 | 3.293 | 4,960 | 5,014 | 4,868 | |||||||||
APS RESECURITIZATION TRUST 1A-2016-3 | 11/27/2066 | 3.006 | 24,358 | 24,194 | 24,177 | |||||||||
APS RESECURITIZATION TRUST 2A-2015-1 | 8/28/2054 | 0.726 | 12,687 | 12,285 | 12,370 | |||||||||
APS RESECURITIZATION TRUST 2A-2016-3 | 11/27/2046 | 3.006 | 15,814 | 15,700 | 15,701 | |||||||||
BANK OF AMERICA FUNDING CORPORATION 05-F 4A1 | 9/20/2035 | 3.128 | 1,987 | 1,725 | 1,720 | c | ||||||||
BANK OF AMERICA FUNDING CORPORATION 05-G A3 | 10/20/2035 | 3.094 | 1,974 | 1,875 | 1,862 | |||||||||
BANK OF AMERICA FUNDING CORPORATION 7A1-2015-R4 | 11/27/2045 | 3.008 | 14,074 | 14,019 | 14,153 | |||||||||
BANK OF AMERICA FUNDING CORPORATION A1-2016-R1 | 3/25/2040 | 2.500 | 40,418 | 40,158 | 39,670 | |||||||||
BANK OF AMERICA MORTGAGE SECURITY 04-5 3A3 | 6/25/2019 | 5.000 | 169 | 170 | 169 | |||||||||
BANK OF AMERICA MORTGAGE SECURITY 06-B 2A1 | 11/20/2046 | 3.004 | 1,127 | 1,009 | 962 | c | ||||||||
BANK OF AMERICA MORTGAGE SECURITY 2003-I 2A6 | 10/25/2033 | 3.265 | 1,991 | 1,984 | 2,034 | |||||||||
BANK OF AMERICA MORTGAGE SECURITY 2004-B B1 | 3/25/2034 | 3.040 | 4,169 | 4,157 | 3,722 | |||||||||
BANK OF AMERICA MORTGAGE SECURITY 2004-E 2A6 | 6/25/2034 | 3.342 | 3,555 | 3,538 | 3,556 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL1 | 4/28/2055 | 4.000 | 39,219 | 40,424 | 40,392 | |||||||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL2 | 6/28/2053 | 4.000 | 36,400 | 37,456 | 37,459 | |||||||||
BCAP LLC TRUST 09-RR1 21A1 | 11/26/2034 | 3.034 | 384 | 378 | 384 | |||||||||
BCAP LLC TRUST 09-RR1 22A1 | 5/26/2035 | 3.010 | 2,624 | 2,579 | 2,624 | |||||||||
BCAP LLC TRUST 09-RR1 23A1 | 5/26/2035 | 3.013 | 1,678 | 1,645 | 1,678 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
CITIGROUP MORTGAGE LOAN TRUST A4-2015-A | 6/25/2058 | 4.250 | 228 | 232 | 241 | ||||||||||||||||||
COLT FUNDING LLC A1-2019-1 | 3/25/2049 | 3.705 | 9,225 | 9,211 | 9,508 | ||||||||||||||||||
COLT FUNDING LLC COLT_ A1-2020-2R | 10/26/2065 | 1.325 | 27,586 | 27,585 | 27,682 | ||||||||||||||||||
COLT FUNDING LLC_ A1-2019-3 | 8/25/2049 | 2.764 | 3,817 | 3,812 | 3,883 | ||||||||||||||||||
COMMERCIAL TRUST CORPORATION A-2017-7 | 4/25/2057 | 3.000 | 7,682 | 7,707 | 7,840 | ||||||||||||||||||
COUNTRYWIDE HOME LOANS 03-46 4A1 | 1/19/2034 | 2.688 | 1,224 | 1,254 | 1,214 | ||||||||||||||||||
COUNTYWIDE ALTERNATIVE LOAN 04-33 2A1 | 12/25/2034 | 3.028 | 52 | 53 | 53 | ||||||||||||||||||
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES 04-AR3 | 4/25/2034 | 2.979 | 813 | 824 | 806 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPITAL 3A1-2015-7R | 10/27/2036 | 0.288 | 5,304 | 5,242 | 5,243 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPITAL CLASS-20-125 | 7/25/2049 | 2.573 | 26,704 | 26,688 | 27,340 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 15A1-2014-11 | 1/27/2036 | 2.972 | 507 | 506 | 506 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 1A1-2015-6R | 7/27/2035 | 3.444 | 2,582 | 2,589 | 2,580 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE CAPTIAL A1-2017-FHA1 | 4/25/2047 | 3.250 | 13,406 | 13,533 | 13,945 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL1 | 7/25/2057 | 2.750 | 14,756 | 14,739 | 15,177 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL3 | 8/1/2057 | 4.000 | 30,023 | 31,022 | 30,804 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2019-NQM1 | 10/25/2059 | 2.656 | 6,786 | 6,784 | 6,960 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST A1-2020-SPT1 | 4/25/2065 | 1.700 | 20,245 | 20,261 | 20,297 | ||||||||||||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-1A | 12/26/2046 | 2.725 | 1,997 | 1,994 | 2,003 | ||||||||||||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-2A | 6/25/2047 | 2.453 | 4,331 | 4,327 | 4,333 | ||||||||||||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-3A | 10/25/2047 | 2.577 | 1,375 | 1,373 | 1,390 | ||||||||||||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2018-4A | 10/25/2058 | 4.080 | 12,927 | 12,911 | 12,967 | ||||||||||||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2019-1A | 1/25/2059 | 3.743 | 11,366 | 11,354 | 11,558 | ||||||||||||||||||
ELLINGTON FINANCIAL MORTGAGE A1-2019-2 | 11/25/2059 | 2.739 | 18,090 | 18,082 | 18,409 | ||||||||||||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE 04-AA4 A1 | 10/25/2034 | 2.417 | 313 | 317 | 317 | ||||||||||||||||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 3A | 8/19/2034 | 3.452 | 283 | 284 | 267 | ||||||||||||||||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 5A1 | 8/19/2034 | 3.075 | 137 | 137 | 134 | ||||||||||||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR1 2A1 | 1/25/2035 | 2.741 | 988 | 991 | 984 | ||||||||||||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION A1A-2018-RPL | 10/25/2057 | 3.750 | 10,967 | 10,837 | 11,387 | ||||||||||||||||||
GOVERNMENTAL COLLECTORS ASSOCIATION OF TEXAS A1-2019-NQM2 | 9/25/2059 | 2.855 | 26,440 | 26,427 | 26,912 | ||||||||||||||||||
GOVERNMENTAL COLLECTORS ASSOCIATION OF TEXAS A1-2019-NQM3 | 11/25/2059 | 2.686 | 14,255 | 14,248 | 14,555 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-10 4A | 1/19/2035 | 2.674 | 197 | 198 | 197 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-7 3A1 | 11/19/2034 | 2.582 | 390 | 388 | 390 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-1 4A | 4/19/2034 | 2.455 | 241 | 242 | 242 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-4 3A | 6/19/2034 | 1.281 | 36 | 36 | 37 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-6 5A | 8/19/2034 | 3.008 | 112 | 112 | 110 | ||||||||||||||||||
HOMEWARD OPPORTUNITIES A1-2018-2 | 11/25/2058 | 3.985 | 19,400 | 19,384 | 19,894 | ||||||||||||||||||
HOMEWARD OPPORTUNITIES FUND I A1-2018-1 | 6/25/2048 | 3.766 | 7,353 | 7,346 | 7,678 | ||||||||||||||||||
J.P. MORGAN MORTGAGE TRUST A11-2019-LTV | 12/25/2049 | 1.048 | 4,047 | 4,047 | 4,047 | ||||||||||||||||||
JEFFERIES & CO A1-2015-R1 | 12/26/2036 | 0.290 | 562 | 560 | 559 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 03-A5 2A6A | 8/25/2033 | 2.732 | 433 | 432 | 430 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 04-1 2A2 | 12/25/2034 | 2.529 | 171 | 171 | 167 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A1 2A | 12/25/2034 | 2.694 | 271 | 272 | 275 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A2 A2 | 2/25/2035 | 3.640 | 640 | 640 | 644 |
BCAP LLC TRUST 11-RR10 3A5 | 6/26/2035 | 3.013 | 5,746 | 5,742 | 5,750 | |||||||||
BCAP LLC TRUST 12-RR10 4A1 | 3/26/2036 | 3.002 | 9,888 | 9,945 | 9,859 | |||||||||
BCAP LLC TRUST 12-RR10 9A1 | 10/26/2035 | 3.108 | 2,750 | 2,760 | 2,761 | |||||||||
BCAP LLC TRUST 12-RR11 6A1 | 7/26/2036 | 3.079 | 4,856 | 4,897 | 4,846 | |||||||||
BCAP LLC TRUST 12-RR12 2A1 | 6/26/2035 | 3.000 | 481 | 481 | 480 | |||||||||
BCAP LLC TRUST 12-RR3 3A5 | 7/26/2037 | 2.591 | 406 | 405 | 405 | |||||||||
BCAP LLC TRUST 12-RR3 8A1 | 7/26/2035 | 3.068 | 2,520 | 2,533 | 2,512 | |||||||||
BCAP LLC TRUST 12-RR3 9A5 | 1/26/2036 | 3.289 | 1,502 | 1,512 | 1,492 | |||||||||
BCAP LLC TRUST 12-RR5 7A5 | 10/26/2036 | 3.121 | 2,381 | 2,382 | 2,379 | |||||||||
BCAP LLC TRUST 12-RR6 2A6 | 5/26/2036 | 2.756 | 2,830 | 2,822 | 2,818 | |||||||||
BCAP LLC TRUST 13-RR1 1A1 | 11/26/2035 | 2.982 | 2,664 | 2,674 | 2,669 | |||||||||
BCAP LLC TRUST 13-RR7 2A1 | 6/26/2037 | 2.581 | 4,203 | 4,219 | 4,193 | |||||||||
BCAP LLC TRUST 13-RR8 1A1 | 5/26/2036 | 3.227 | 4,593 | 4,613 | 4,584 | |||||||||
BCAP LLC TRUST 13-RR9 1A1 | 1/26/2036 | 3.289 | 7,358 | 7,383 | 7,396 | |||||||||
BCAP LLC TRUST 3A1-2014-RR2 | 9/26/2046 | 1.501 | 8,738 | 8,548 | 8,606 | |||||||||
BCAP LLC TRUST 4A1-2013-RR7 | 12/27/2034 | 3.607 | 10,295 | 10,423 | 10,465 | |||||||||
BEAR STEARNS ALT-A TRUST 05-2 2A5 | 4/25/2035 | 3.539 | 1,870 | 1,866 | 1,528 | |||||||||
BEAR STEARNS FUNDING TRUST 06-AR5 1A2 | 12/25/2046 | 0.643 | 1,040 | 756 | 659 | c | ||||||||
BELLA VISTA MORTGAGE TRUST 05-1 4A | 2/22/2035 | 3.041 | 2,665 | 2,658 | 2,644 | |||||||||
CENTEX HOME EQUITY CXHEA 2003-A AF4 | 12/25/2031 | 4.250 | 1,471 | 1,457 | 1,463 | |||||||||
CHASE MORTGAGE FINANCE 07-A1 1A5 | 2/25/2037 | 3.167 | 6,254 | 6,199 | 6,092 | |||||||||
CHASEFLEX TRUST 07-M1 1A1 | 8/25/2037 | 0.603 | 7,648 | 7,802 | 5,997 | c | ||||||||
CITIGROUP MORTGAGE LOAN TRUST 05-3 | 8/25/2035 | 3.041 | 1,424 | 1,307 | 1,302 | c | ||||||||
CITIGROUP MORTGAGE LOAN TRUST 10-7 2A1 | 2/25/2035 | 2.981 | 940 | 940 | 952 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 10-8 5A6 | 11/25/2036 | 4.000 | 99 | 99 | 99 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 10-9 2A1 | 11/25/2035 | 2.990 | 358 | 359 | 357 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 11-2 3A1 | 9/25/2037 | 3.387 | 224 | 223 | 224 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 12-4 2A1 | 11/25/2035 | 3.357 | 1,184 | 1,183 | 1,177 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 12-6 1A1 | 4/25/2037 | 3.122 | 3,193 | 3,193 | 3,193 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 12-6 2A1 | 8/25/2036 | 2.808 | 2,501 | 2,503 | 2,500 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 12-7 10A1 | 9/25/2036 | 3.234 | 2,480 | 2,478 | 2,473 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 12-7 11A1 | 9/25/2035 | 3.154 | 428 | 428 | 428 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 13-7 2A1 | 8/25/2036 | 2.808 | 5,833 | 5,847 | 5,753 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 13-9 2A1 | 9/25/2034 | 2.964 | 10,182 | 10,216 | 10,127 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2014-11 | 10/25/2035 | 3.119 | 12,775 | 12,994 | 12,909 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2014-2 | 2/20/2036 | 3.077 | 10,879 | 10,936 | 10,862 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-11 | 3/25/2035 | 3.061 | 23,280 | 23,446 | 23,336 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-9 | 2/20/2036 | 3.243 | 10,120 | 10,169 | 10,054 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2014-2 | 4/25/2036 | 3.191 | 12,423 | 12,475 | 12,175 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2014-5 | 2/20/2036 | 3.105 | 13,059 | 13,164 | 13,092 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2015-9 | 2/25/2036 | 3.073 | 15,742 | 15,831 | 15,640 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2012-4 | 3/25/2036 | 3.009 | 4,193 | 4,216 | 4,183 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2013-11 | 9/25/2034 | 3.079 | 5,097 | 5,153 | 5,123 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
METLIFE SECURITIZATION TRUST A-2017-1A | 4/25/2055 | 3.000 | 11,696 | 11,778 | 12,318 | ||||||||||||||||||
METLIFE SECURITIZATION TRUST A-2018-1A | 3/25/2057 | 3.750 | 10,832 | 10,841 | 11,678 | ||||||||||||||||||
MFA TRUST A1-2017-RPL1 | 2/25/2057 | 2.588 | 10,462 | 10,451 | 10,581 | ||||||||||||||||||
MFA TRUST MFRA_ A1-2020-NQM3 | 1/26/2065 | 1.014 | 9,602 | 9,602 | 9,586 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2016-1 | 4/25/2057 | 2.500 | 4,698 | 4,703 | 4,753 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-1 | 11/25/2058 | 2.750 | 11,236 | 11,207 | 11,408 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-2 | 7/25/2059 | 2.750 | 13,343 | 13,392 | 13,579 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-3 | 1/25/2061 | 2.750 | 15,394 | 15,431 | 15,792 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2018-3 | 8/25/2058 | 3.500 | 6,000 | 6,142 | 6,353 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2019-1 | 10/25/2069 | 3.250 | 8,313 | 8,400 | 8,773 | ||||||||||||||||||
MILL CITY MORTGAGE TRUST A1-2019-GS1 | 7/25/2059 | 2.750 | 12,274 | 12,320 | 12,756 | ||||||||||||||||||
MORGAN STANLEY MORTGAGE LOAN 04-10AR A1 | 11/25/2034 | 3.633 | 248 | 250 | 248 | ||||||||||||||||||
MORGAN STANLEY MORTGAGE LOAN PT2A | 11/25/2034 | 2.761 | 250 | 254 | 249 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST 2A-2014-R4 | 8/26/2034 | 3.108 | 1,748 | 1,750 | 1,740 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R7 | 6/26/2035 | 3.325 | 2,303 | 2,305 | 2,304 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST 3A-2014-R4 | 8/26/2034 | 3.127 | 1,529 | 1,531 | 1,527 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST 5A-2013-R9 | 6/26/2046 | 0.352 | 2,228 | 2,209 | 2,216 | ||||||||||||||||||
MORGAN STANLEY REREMIC TRUST A-2014-R7 | 1/26/2051 | 3.000 | 4,755 | 4,713 | 5,021 | ||||||||||||||||||
NATIONSTAR MORTGAGE LOAN TRUST A-2013-A | 12/25/2052 | 3.750 | 994 | 1,011 | 1,028 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN A1-2019-RPL3 | 7/25/2059 | 2.750 | 15,266 | 15,719 | 16,047 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRSUT A1-2017-6A | 8/27/2057 | 4.000 | 11,295 | 11,592 | 12,009 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-1A | 3/25/2056 | 3.750 | 7,465 | 7,630 | 7,921 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2 | 9/25/2056 | 3.750 | 13,771 | 14,177 | 14,584 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2A | 11/26/2035 | 3.750 | 5,297 | 5,388 | 5,618 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-4A | 11/25/2056 | 3.750 | 14,655 | 15,000 | 15,519 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-1A | 2/25/2057 | 4.000 | 12,112 | 12,381 | 13,091 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-3A | 4/25/2057 | 4.000 | 15,611 | 16,084 | 16,601 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-NQM4 | 9/25/2059 | 2.492 | 6,182 | 6,179 | 6,310 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2014-3 | 11/25/2054 | 3.750 | 2,373 | 2,418 | 2,524 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2017-2A | 3/25/2057 | 4.000 | 14,771 | 15,235 | 15,973 | ||||||||||||||||||
NOMURA RESECURITIZATION TRUST 1A1-2015-6R | 4/26/2037 | 0.406 | 517 | 514 | 515 | ||||||||||||||||||
NOMURA RESECURITIZATION TRUST 3A1-2014-7R | 1/26/2036 | 3.050 | 458 | 458 | 457 | ||||||||||||||||||
NOMURA RESECURITIZATION TRUST 4A1-2015-4R | 3/26/2037 | 3.647 | 1,527 | 1,525 | 1,530 | ||||||||||||||||||
OCEANVIEW MORTGAGE LOAN TRUST CLASS-20-676 | 5/28/2050 | 1.733 | 7,863 | 7,861 | 7,899 | ||||||||||||||||||
ONSLOW BAY FINANCIAL 2A1A-2018-EX | 4/25/2048 | 0.998 | 3,637 | 3,637 | 3,636 | ||||||||||||||||||
ONSLOW BAY FINANCIAL LLC 2A1A-2019-EX | 10/25/2059 | 1.048 | 5,922 | 5,922 | 5,923 | ||||||||||||||||||
ONSLOW BAY FINANCIAL LLC 2A1A-2019-EX | 1/25/2059 | 1.098 | 5,961 | 5,967 | 5,961 | ||||||||||||||||||
RBSSP RESECURITIZATION TRUST 12-6 8A1 | 4/26/2035 | 0.648 | 13 | 13 | 13 | ||||||||||||||||||
RBSSP RESECURITIZATION TRUST 19A1-2009-12 | 12/25/2035 | 2.454 | 923 | 923 | 925 | ||||||||||||||||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-1 | 10/25/2058 | 3.936 | 17,525 | 17,506 | 17,936 | ||||||||||||||||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-2 | 5/25/2059 | 2.913 | 18,587 | 18,578 | 18,912 | ||||||||||||||||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-3 | 9/25/2059 | 2.633 | 18,982 | 18,971 | 19,302 | ||||||||||||||||||
STAR A1-2020-3 | 4/25/2065 | 1.486 | 8,866 | 8,865 | 8,895 | ||||||||||||||||||
STARWOOD MORTGAGE RESIDENTIAL A1-2018-IMC2 | 10/25/2048 | 4.121 | 19,678 | 19,660 | 20,201 | ||||||||||||||||||
STARWOOD MORTGAGE RESIDENTIAL A1-202019-IN | 9/27/2049 | 2.610 | 14,221 | 14,213 | 14,481 | ||||||||||||||||||
STRUCTURED ASSET INVESTMENT LOAN TRUST M1-2003-BC5 | 6/25/2033 | 1.273 | 2,198 | 2,146 | 2,199 | ||||||||||||||||||
STRUCTURED ASSET SECURITIES CORPORATION 03-24A 5A | 7/25/2033 | 2.391 | 294 | 297 | 294 |
CITIGROUP MORTGAGE LOAN TRUST 3A1-2014-6 | 11/25/2035 | 1.883 | 15,098 | 14,911 | 14,871 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2015-5 | 8/25/2034 | 3.109 | 9,431 | 9,558 | 9,520 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 4A1-2015-5 | 4/20/2035 | 3.023 | 22,166 | 22,341 | 22,169 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 5A1-2014-11 | 11/25/2036 | 3.250 | 6,510 | 6,576 | 6,598 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST 5A1-2015-5 | 1/25/2036 | 0.842 | 11,526 | 11,115 | 10,921 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST A1-2015-PS1 | 9/25/2042 | 3.750 | 20,060 | 20,330 | 20,628 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST A4-2015-A | 6/25/2058 | 4.250 | 1,750 | 1,819 | 1,813 | |||||||||
CITIGROUP MORTGAGE LOAN TRUST CMLTI_13 1A1 | 3/25/2035 | 3.322 | 9,407 | 9,473 | 9,420 | |||||||||
COLT FUNDING LLC A1-2016-3 | 12/26/2046 | 2.800 | 34,300 | 34,328 | 34,360 | |||||||||
COLT FUNDING LLC 6-2 | 9/25/2046 | 2.750 | 10,267 | 10,318 | 10,245 | |||||||||
COUNTRYWIDE HOME EQUITY LOAN TRUST 04-K 2A | 2/15/2034 | 0.808 | 158 | 87 | 146 | c | ||||||||
COUNTRYWIDE HOME LOANS 03-46 4A1 | 1/19/2034 | 3.138 | 4,968 | 5,091 | 4,970 | |||||||||
COUNTRYWIDE HOME LOANS 05-HYB7 5A1 | 11/20/2035 | 2.635 | 4,935 | 3,576 | 4,145 | c | ||||||||
COUNTYWIDE ALTERNATIVE LOAN 04-33 2A1 | 12/25/2034 | 3.316 | 414 | 419 | 404 | |||||||||
COUNTYWIDE ALTERNATIVE LOAN 05-24 2A1 | 7/20/2035 | 1.720 | 1,935 | 1,374 | 1,623 | c | ||||||||
COUNTYWIDE ALTERNATIVE LOAN 05-27 1A4 | 8/25/2035 | 1.761 | 2,284 | 1,628 | 1,608 | c | ||||||||
CREDIT SUISSE COMMERCIAL MORTGAGE 13-2R 1A1 | 5/27/2036 | 2.000 | 330 | 329 | 329 | |||||||||
CREDIT SUISSE COMMERCIAL MORTGAGE 13-2R 6A1 | 9/27/2036 | 3.329 | 5,588 | 5,659 | 5,681 | |||||||||
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES 04-AR3 5A1 | 4/25/2034 | 2.988 | 3,550 | 3,600 | 3,658 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 09-2R 1A12 | 9/26/2034 | 3.039 | 26,418 | 26,441 | 26,273 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 09-2R 1A13 | 9/26/2034 | 3.039 | 28,874 | 28,877 | 28,483 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 10-17R 1A1 | 6/26/2036 | 2.966 | 3,612 | 3,612 | 3,675 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 13-8R 6A1 | 5/27/2037 | 0.824 | 3,393 | 3,373 | 3,372 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 3A1-2014-12R | 6/27/2037 | 0.704 | 280 | 280 | 272 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL 3A1-2015-7R | 10/27/2036 | 0.896 | 17,377 | 16,763 | 16,737 | |||||||||
CREDIT SUISSE MORTGAGE CAPITAL A6-2015-1R | 12/27/2035 | 3.565 | 11,415 | 11,587 | 11,653 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 13-11R 1A1 | 6/27/2034 | 2.750 | 7,798 | 7,798 | 7,713 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 13-11R 2A1 | 5/27/2034 | 2.750 | 13,634 | 13,643 | 13,401 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 15A1-2014-11 | 1/27/2036 | 2.994 | 19,354 | 19,528 | 19,408 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 1A1-2015-6R | 7/27/2035 | 3.107 | 15,094 | 15,267 | 15,177 | |||||||||
CREDIT SUISSE MORTGAGE CAPTIAL 5A1-2014-5R | 7/27/2037 | 2.500 | 7,778 | 7,778 | 7,602 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 2A12-2010-2R | 10/26/2036 | 3.180 | 28,060 | 28,421 | 28,343 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 2A12-2010-7R | 4/26/2037 | 4.000 | 4,977 | 5,036 | 4,948 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 2A14-2009-11 | 9/26/2036 | 2.969 | 3,094 | 3,117 | 3,078 | |||||||||
CREDIT SUISSE MORTGAGE TRUST 6A12-2010-2R | 7/26/2037 | 4.341 | 6,240 | 6,324 | 6,268 | |||||||||
DEUTSCHE ALTA SECURITIES INC 06-AR6 A4 | 2/25/2037 | 0.603 | 6,288 | 2,563 | 5,616 | c | ||||||||
DEUTSCHE ALTA SECURITIES INC 07-AR1 A4 | 1/25/2047 | 0.593 | 6,150 | 6,235 | 5,143 | c | ||||||||
DEUTSCHE ALTA SECURITIES INC 07-OA1 A1 | 2/25/2047 | 0.674 | 3,216 | 2,718 | 2,304 | c | ||||||||
EQUITY ONE ABS INC 04-3 AF4 | 7/25/2034 | 4.826 | 1,649 | 1,649 | 1,677 | |||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE 04-AA4 A1 | 10/25/2034 | 2.838 | 1,040 | 1,055 | 1,047 | |||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE 04-AA7 1A1 | 2/25/2035 | 2.746 | 783 | 791 | 705 | |||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE 05-AA2 IA1 | 3/25/2035 | 2.728 | 1,454 | 1,478 | 1,322 | |||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE 05-AA3 3A1 | 5/25/2035 | 2.972 | 3,109 | 3,136 | 2,945 | |||||||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 3A | 8/19/2034 | 3.629 | 803 | 805 | 781 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
TOWD POINT MORTGAGE TRUST 1A12-2015-2 | 11/25/2060 | 2.750 | 510 | 508 | 511 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2015-4 | 4/25/2055 | 3.500 | 147 | 147 | 148 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2015-5 | 5/25/2055 | 3.500 | 1,883 | 1,887 | 1,898 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2015-6 | 4/25/2055 | 3.500 | 3,983 | 3,992 | 4,070 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2016-1 | 2/25/2055 | 3.500 | 3,823 | 3,834 | 3,874 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2016-2 | 8/25/2055 | 3.000 | 5,760 | 5,769 | 5,852 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2016-3 | 4/25/2056 | 2.250 | 8,063 | 8,051 | 8,139 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2017-3 | 7/25/2057 | 2.750 | 10,155 | 10,181 | 10,426 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2017-4 | 6/25/2057 | 2.750 | 12,540 | 12,584 | 12,983 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1-2019-HY1 | 10/25/2048 | 1.148 | 5,411 | 5,432 | 5,432 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1A-2015-3 | 3/25/2054 | 3.500 | 942 | 942 | 947 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A1B-2015-3 | 3/25/2054 | 3.000 | 471 | 471 | 473 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST A4B-2015-3 | 3/25/2054 | 3.500 | 1,641 | 1,656 | 1,696 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2017-1A | 1/25/2047 | 2.881 | 3,174 | 3,170 | 3,185 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2019-1 | 2/25/2059 | 3.836 | 11,687 | 11,673 | 11,747 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2019-3 | 7/25/2059 | 2.784 | 22,628 | 22,612 | 23,135 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2019-4 | 11/25/2059 | 2.642 | 12,768 | 12,760 | 13,053 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1-2019-INV3 | 11/25/2059 | 2.692 | 15,545 | 15,540 | 16,012 | ||||||||||||||||||
VERUS SECURITIZATION TRUST A1FL-2018-IN | 10/25/2058 | 1.348 | 6,096 | 6,117 | 6,107 | ||||||||||||||||||
VISIO A1-2019-2 | 11/25/2054 | 2.722 | 33,223 | 33,040 | 33,837 | ||||||||||||||||||
WASHINGTON MUTUAL 03-AR6 A1 | 6/25/2033 | 3.102 | 472 | 471 | 481 | ||||||||||||||||||
WASHINGTON MUTUAL 04-AR10 A1A | 7/25/2044 | 1.068 | 350 | 351 | 344 | ||||||||||||||||||
WASHINGTON MUTUAL 05-AR3 A2 | 3/25/2035 | 3.596 | 692 | 695 | 703 | ||||||||||||||||||
WASHINGTON MUTUAL 05-AR4 A5 | 4/25/2035 | 3.566 | 2,028 | 2,021 | 2,047 | ||||||||||||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-K 2A6 | 7/25/2034 | 3.083 | 536 | 552 | 531 | ||||||||||||||||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,236,334 | 1,261,547 | |||||||||||||||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES | 2,496,350 | 2,529,925 |
ASSET BACKED SECURITIES | |||||||||||||||||||||||
APIDOS CLO APID_15-20A | 7/16/2031 | 1.330 | 20,000 | 20,000 | 19,954 | ||||||||||||||||||
APIDOS CLO APID_20-33A | 7/24/2031 | 1.915 | 22,000 | 22,000 | 22,068 | ||||||||||||||||||
ARI FLEET LEASE TRUST_19 A2B-2019-A | 11/15/2027 | 0.639 | 6,153 | 6,153 | 6,159 | ||||||||||||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-1A | 6/20/2022 | 2.990 | 36,874 | 36,921 | 37,080 | ||||||||||||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-2A | 11/20/2022 | 2.720 | 38,000 | 37,953 | 38,498 | ||||||||||||||||||
AVIS BUDGET RENTAL CAR FUNDING A-2017-1A | 9/20/2023 | 3.070 | 8,020 | 8,036 | 8,283 | ||||||||||||||||||
BAIN CAPITAL CREDIT CLO BCC_ A1-2020-5A | 1/20/2032 | 1.438 | 40,000 | 40,000 | 40,012 | ||||||||||||||||||
BALLYROCK A1-2018-1A | 4/20/2031 | 1.218 | 40,000 | 40,000 | 39,747 | ||||||||||||||||||
BRAZOS HIGHER EDUCATION AUTHORITY A2-2010-1 | 2/25/2035 | 1.407 | 20,000 | 19,856 | 20,182 | ||||||||||||||||||
BROAD RIVER_ A-2020-1A | 4/20/2029 | 2.068 | 16,000 | 16,000 | 16,029 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES 15-5A | 1/20/2032 | 1.538 | 15,000 | 15,000 | 15,000 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES 20-143 | 10/15/2030 | 1.337 | 12,239 | 12,250 | 12,188 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES A1R-2013-1A | 8/14/2030 | 1.441 | 19,823 | 19,823 | 19,816 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES A1R2-2014-1A | 4/17/2031 | 1.188 | 29,909 | 28,973 | 29,657 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES A1RR-2013-4A | 1/15/2031 | 1.230 | 19,710 | 19,710 | 19,554 | ||||||||||||||||||
CIFC FUNDING LTD_17-1A AR-2017-1A | 4/23/2029 | 1.219 | 13,000 | 12,802 | 12,956 | ||||||||||||||||||
COLLEGE LOAN CORPORATION TRUST 02-2 A24 | 3/1/2042 | 1.544 | 10,000 | 8,847 | 9,899 | ||||||||||||||||||
DRYDEN SENIOR LOAN FUND A1-2017-47A | 4/15/2028 | 1.477 | 21,700 | 21,742 | 21,701 | ||||||||||||||||||
DRYDEN SENIOR LOAN FUND A1-2018-55A | 4/15/2031 | 1.257 | 12,000 | 12,000 | 11,953 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA A-2012-2 | 4/25/2039 | 0.878 | 2,706 | 2,705 | 2,689 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA A-2014-1 | 2/25/2039 | 0.848 | 8,122 | 8,035 | 8,074 |
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 5A1 | 8/19/2034 | 3.699 | 1,031 | 1,032 | 1,032 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR1 2A1 | 1/25/2035 | 3.463 | 2,526 | 2,536 | 2,569 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR3 6A1 | 5/25/2035 | 3.102 | 2,178 | 2,187 | 2,035 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR5 2A1 | 10/25/2035 | 2.826 | 3,590 | 3,285 | 3,130 | c | ||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR7 2A1 | 11/25/2035 | 3.357 | 1,552 | 1,466 | 1,503 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 09-1R 2A1 | 11/25/2035 | 3.096 | 547 | 532 | 545 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 09-1R 3A1 | 11/25/2035 | 3.040 | 926 | 889 | 924 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 2A-2014-4R | 8/26/2035 | 3.655 | 11,467 | 11,686 | 11,645 | |||||||||
GREENPOINT MORTGAGE FUNDING TRUST 05-AR5 4A1 | 11/25/2045 | 2.376 | 4,906 | 4,341 | 3,637 | c | ||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-10 4A | 1/19/2035 | 3.052 | 660 | 665 | 657 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 04-7 3A1 | 11/19/2034 | 2.617 | 949 | 942 | 923 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 05-15 3A1A1 | 10/20/2045 | 2.410 | 6,158 | 5,492 | 5,382 | c | ||||||||
HARBORVIEW MORTGAGE LOAN TRUST 05-8 2A2A | 9/19/2035 | 2.117 | 1,808 | 1,479 | 1,276 | c | ||||||||
HARBORVIEW MORTGAGE LOAN TRUST 06-14 2A1B | 1/25/2047 | 0.639 | 2,447 | 1,053 | 779 | c | ||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-1 4A | 4/19/2034 | 3.150 | 314 | 316 | 315 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-4 3A | 6/19/2034 | 1.658 | 87 | 86 | 83 | |||||||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-6 5A | 8/19/2034 | 3.408 | 277 | 275 | 275 | |||||||||
INDYMAC INDX MORTGAGE LOAN TRUST 05-AR5 2A1 | 5/25/2035 | 2.737 | 2,999 | 2,674 | 2,563 | c | ||||||||
JEFFERIES & CO 09-R12 1A1 | 2/26/2035 | 3.001 | 1,926 | 1,906 | 1,937 | |||||||||
JEFFERIES & CO 09-R12 2A1 | 1/26/2035 | 3.167 | 933 | 923 | 943 | |||||||||
JEFFERIES & CO 09-R3 1A1 | 12/26/2035 | 2.964 | 1,442 | 1,401 | 1,446 | |||||||||
JEFFERIES & CO 2A-2009-R2 | 12/26/2037 | 3.160 | 4,497 | 4,497 | 4,497 | |||||||||
JEFFERIES & CO A1-2015-R1 | 12/26/2036 | 0.743 | 9,524 | 9,085 | 9,143 | |||||||||
JP MORGAN REREMIC 10-5 3A1 | 8/26/2036 | 2.805 | 326 | 326 | 326 | |||||||||
JP MORGAN REREMIC 11-2 5A3 | 3/26/2036 | 3.000 | 1,170 | 1,164 | 1,170 | |||||||||
JP MORGAN REREMIC 3A1-2009-10 | 10/26/2035 | 3.072 | 10,470 | 10,553 | 10,557 | |||||||||
LUMINENT MORTGAGE TRUST 06-6 2A2 | 10/25/2046 | 0.673 | 1,288 | 184 | 863 | c | ||||||||
MASTR ADJUSTABLE RATE MORTGAGES TRUST 05-1 3A1 | 2/25/2035 | 4.373 | 1,533 | 1,552 | 1,436 | |||||||||
MERRILL LYNCH MORTGAGE INVESTOR 05-A2 A2 | 2/25/2035 | 2.688 | 1,896 | 1,896 | 1,912 | |||||||||
MERRILL LYNCH MORTGAGE INVESTORS TRUST 03-A5 2A6A | 8/25/2033 | 3.013 | 1,299 | 1,297 | 1,329 | |||||||||
MERRILL LYNCH MORTGAGE INVESTORS TRUST 05-A1 2A | 12/25/2034 | 3.032 | 853 | 855 | 866 | |||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2015-1 | 6/25/2056 | 2.230 | 12,738 | 12,724 | 12,755 | |||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2015-2 | 9/25/2057 | 3.000 | 10,190 | 10,221 | 10,260 | |||||||||
MILL CITY MORTGAGE LOAN TRUST A1-2016-1 | 4/25/2057 | 2.500 | 22,426 | 22,554 | 22,316 | |||||||||
MILL CITY MORTGAGE TRUST A2-2015-1 | 6/25/2056 | 3.000 | 27,500 | 27,609 | 27,713 | |||||||||
MLCC MORTGAGE INVESTORS INC 04-1 2A2 | 12/25/2034 | 2.812 | 519 | 520 | 521 | |||||||||
MORGAN STANLEY MORTGAGE LOAN 04-10AR A1 | 11/25/2034 | 3.483 | 537 | 544 | 539 | |||||||||
MORGAN STANLEY MORTGAGE LOAN PT2A | 11/25/2034 | 3.012 | 1,075 | 1,092 | 1,088 | |||||||||
MORGAN STANLEY REREMIC TRUST 10A-2013-R8 | 9/26/2036 | 3.001 | 5,093 | 5,129 | 5,096 | |||||||||
MORGAN STANLEY REREMIC TRUST 10-R6 3A | 9/26/2036 | 0.962 | 1,262 | 1,255 | 1,239 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R1 5A | 11/26/2036 | 2.617 | 4,828 | 4,870 | 4,834 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R3 11A | 2/26/2036 | 3.229 | 4,340 | 4,340 | 4,330 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R3 1A | 2/26/2036 | 3.338 | 13,618 | 13,686 | 13,696 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R3 4A | 12/26/2036 | 2.658 | 5,314 | 5,336 | 5,298 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
EDUCATIONAL SERVICES OF AMERICA A-2014-3 | 2/25/2036 | 0.748 | 602 | 593 | 595 | ||||||||||||||||||
GOLDENTREE LOAN MANAGEMENT US A-2020-7A | 4/20/2031 | 2.118 | 16,750 | 16,750 | 16,790 | ||||||||||||||||||
HENDERSON RECEIVABLES LLC 10-3A A | 12/15/2048 | 3.820 | 653 | 653 | 685 | ||||||||||||||||||
HERTZ VEHICLE FINANCING LLC A-2015-3A | 9/25/2021 | 2.670 | 4,324 | 4,324 | 4,333 | ||||||||||||||||||
HERTZ VEHICLE FINANCING LLC A-2016-2A | 3/25/2022 | 2.950 | 7,414 | 7,413 | 7,420 | ||||||||||||||||||
HERTZ VEHICLE FINANCING LLC A-2016-4A | 7/25/2022 | 2.650 | 1,704 | 1,701 | 1,708 | ||||||||||||||||||
MAGNETITE CLO LTD_ A-2020-26A | 7/15/2030 | 1.987 | 24,000 | 24,000 | 24,078 | ||||||||||||||||||
MAGNETITE CLO LTD_A1R2-2012-7A | 1/15/2028 | 1.037 | 13,250 | 13,001 | 13,167 | ||||||||||||||||||
MISSISSIPPI HIGHER EDUCATION ASSISTANCE CORP. A1-2014-1 | 10/25/2035 | 0.828 | 4,442 | 4,372 | 4,416 | ||||||||||||||||||
MVW OWNER TRUST 16-1A | 12/20/2033 | 2.250 | 4,385 | 4,367 | 4,333 | ||||||||||||||||||
NAVIENT STUDENT LOAN TRUST A2B-2018-DA | 12/15/2059 | 0.959 | 11,177 | 11,141 | 11,014 | ||||||||||||||||||
NORTHSTAR EDUCATION FINANCE A3-2002-1 | 4/1/2042 | 2.195 | 5,000 | 4,763 | 4,891 | ||||||||||||||||||
OCTAGON INVESTMENT PARTNERS OCT30_17-1A | 3/17/2030 | 1.538 | 6,900 | 6,900 | 6,900 | ||||||||||||||||||
OZLM A1-2017-21A | 1/20/2031 | 1.368 | 16,000 | 16,015 | 15,949 | ||||||||||||||||||
PALMER SQUARE LOAN FUNDING LTD A1-2020-1A | 2/20/2028 | 1.024 | 21,117 | 20,722 | 21,066 | ||||||||||||||||||
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY WL 13-1A | 11/25/2036 | 0.648 | 2,140 | 2,108 | 2,080 | ||||||||||||||||||
RACE POINT CLO LTD_13-8A AR2-2013-8A | 2/20/2030 | 1.264 | 13,823 | 13,823 | 13,790 | ||||||||||||||||||
SALLIE MAE 11-2 A1 | 11/25/2027 | 0.748 | 239 | 239 | 239 | ||||||||||||||||||
SALLIE MAE 12-3 A | 12/27/2038 | 0.798 | 5,657 | 5,689 | 5,625 | ||||||||||||||||||
SALLIE MAE A6-2006-2 | 1/25/2041 | 0.385 | 15,833 | 15,129 | 15,269 | ||||||||||||||||||
SBA TOWER TRUST C-2013-2 | 4/11/2023 | 3.722 | 2,815 | 2,802 | 2,889 | ||||||||||||||||||
SBA TOWER TRUST C-2017-1 | 4/11/2022 | 3.168 | 22,000 | 22,000 | 22,037 | ||||||||||||||||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-2A | 7/20/2033 | 2.330 | 108 | 107 | 108 | ||||||||||||||||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-3A | 10/20/2033 | 2.430 | 2,333 | 2,333 | 2,320 | ||||||||||||||||||
SMALL BUSINESS ADMINISTRATION 2002-20J | 10/1/2022 | 4.750 | 63 | 63 | 64 | ||||||||||||||||||
SMB PRIVATE EDUCATION LOAN TRUST A2A-2017-B | 10/15/2035 | 2.820 | 7,506 | 7,506 | 7,782 | ||||||||||||||||||
STUDENT LOAN TRUST A4A-2008-1 | 12/15/2032 | 1.817 | 3,389 | 3,423 | 3,459 | ||||||||||||||||||
TRIP RAIL MASTER FUNDING LLC A1-2017-1A | 8/15/2047 | 2.709 | 2,399 | 2,399 | 2,402 | ||||||||||||||||||
VOI MORTGAGE LLC A-2016-A | 7/20/2033 | 2.540 | 3,483 | 3,481 | 3,502 | ||||||||||||||||||
WELLS FARGO MORTGAGE BACKED SECURITY A-2013-A | 3/15/2029 | 3.100 | 154 | 154 | 154 | ||||||||||||||||||
TOTAL ASSET BACKED SECURITIES | 626,777 | 630,564 |
COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
FANNIE MAE 06-M2 A2A | 10/25/2032 | 5.271 | 1,750 | 1,809 | 1,992 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH | 7/25/2030 | 0.408 | 18,880 | 18,880 | 18,882 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH | 3/25/2030 | 0.478 | 20,516 | 20,516 | 20,582 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH | 11/25/2028 | 0.708 | 24,043 | 24,285 | 24,330 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED P AL-20KF86 | 8/25/2027 | 0.438 | 15,249 | 15,249 | 15,287 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED P AL-20KF88 | 9/25/2030 | 0.478 | 22,000 | 22,000 | 22,057 | ||||||||||||||||||
FHLMC MULTIFAMILY STRUCTURED P AL-20KF90 | 9/25/2030 | 0.478 | 19,000 | 19,000 | 19,004 | ||||||||||||||||||
FREDDIE MAC A10-20KS10 | 10/25/2028 | 0.763 | 19,460 | 19,469 | 19,545 | ||||||||||||||||||
FREDDIE MAC A-20KBF2 | 10/25/2025 | 0.593 | 23,306 | 23,306 | 23,420 | ||||||||||||||||||
FREDDIE MAC A-20KF50 | 7/25/2028 | 0.553 | 7,036 | 7,042 | 7,075 | ||||||||||||||||||
FREDDIE MAC A-20KF52 | 9/25/2028 | 0.573 | 13,181 | 13,181 | 13,314 |
MORGAN STANLEY REREMIC TRUST 13-R3 5A | 11/26/2036 | 2.617 | 3,632 | 3,619 | 3,616 | |||||||||
MORGAN STANLEY REREMIC TRUST 13-R8 1A | 9/26/2036 | 3.016 | 20,101 | 20,420 | 19,984 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2010-R1 | 7/26/2035 | 3.090 | 15,156 | 15,283 | 15,250 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2010-R3 | 7/26/2035 | 3.130 | 6,489 | 6,542 | 6,495 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2010-R5 | 1/26/2035 | 2.807 | 5,288 | 5,328 | 5,293 | |||||||||
MORGAN STANLEY REREMIC TRUST 1A-2013-R9 | 6/26/2046 | 2.983 | 5,778 | 5,830 | 5,752 | |||||||||
MORGAN STANLEY REREMIC TRUST 2010-R2 1A | 9/26/2035 | 3.043 | 1,701 | 1,752 | 1,703 | |||||||||
MORGAN STANLEY REREMIC TRUST 2A-2014-R4 | 8/26/2034 | 3.126 | 22,016 | 22,361 | 22,043 | |||||||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R1 | 11/20/2036 | 2.981 | 8,196 | 8,206 | 8,155 | |||||||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R7 | 6/26/2035 | 3.145 | 9,666 | 9,716 | 9,722 | |||||||||
MORGAN STANLEY REREMIC TRUST 3A-2013-R8 | 9/26/2036 | 3.242 | 6,267 | 6,316 | 6,264 | |||||||||
MORGAN STANLEY REREMIC TRUST 3A-2014-R4 | 8/26/2034 | 3.087 | 17,330 | 17,569 | 17,445 | |||||||||
MORGAN STANLEY REREMIC TRUST 4A-2013-R8 | 9/26/2036 | 3.242 | 2,753 | 2,778 | 2,772 | |||||||||
MORGAN STANLEY REREMIC TRUST 4A-2015-R4 | 8/26/2047 | 3.158 | 15,982 | 16,039 | 16,062 | |||||||||
MORGAN STANLEY REREMIC TRUST 5A-2013-R9 | 6/26/2046 | 0.939 | 14,776 | 14,427 | 14,168 | |||||||||
MORGAN STANLEY REREMIC TRUST 6A-2013-R8 | 9/26/2036 | 2.983 | 3,381 | 3,391 | 3,374 | |||||||||
MORGAN STANLEY REREMIC TRUST 7A-2013-R8 | 9/26/2036 | 3.079 | 6,091 | 6,146 | 6,029 | |||||||||
MORGAN STANLEY REREMIC TRUST 8A-2015-R3 | 4/26/2047 | 2.761 | 9,753 | 9,860 | 9,795 | |||||||||
MORGAN STANLEY REREMIC TRUST A1-2014-R6 | 9/26/2035 | 3.269 | 28,453 | 28,887 | 28,933 | |||||||||
MORGAN STANLEY REREMIC TRUST A-2014-R7 | 1/26/2051 | 3.000 | 25,841 | 25,296 | 25,064 | |||||||||
NATIONSTAR MORTGAGE LOAN TRUST A-2013-A | 12/25/2052 | 3.750 | 3,249 | 3,317 | 3,357 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-1A | 3/25/2056 | 3.750 | 20,382 | 20,953 | 20,804 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2 | 9/25/2056 | 3.750 | 33,845 | 35,191 | 34,489 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2A | 11/26/2035 | 3.750 | 12,857 | 13,242 | 13,102 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-4A | 11/25/2056 | 3.750 | 34,198 | 35,224 | 35,241 | |||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2014-3 | 11/25/2054 | 3.750 | 6,419 | 6,562 | 6,541 | |||||||||
NOMURA RESECURITIZATION TRUST 1A1-2015-6R | 4/26/2037 | 0.792 | 11,617 | 11,057 | 11,085 | |||||||||
NOMURA RESECURITIZATION TRUST 3A1-2014-7R | 1/26/2036 | 3.289 | 7,353 | 7,457 | 7,514 | |||||||||
NOMURA RESECURITIZATION TRUST 4A1-2015-4R | 3/26/2037 | 2.828 | 12,144 | 12,164 | 12,320 | |||||||||
NOMURA RESECURITIZATION TRUST 5A1-2014-6R | 4/26/2037 | 2.952 | 4,498 | 4,553 | 4,577 | |||||||||
RBSSP RESECURITIZATION TRUST 12-6 8A1 | 4/26/2035 | 1.084 | 4,814 | 4,668 | 4,625 | |||||||||
RBSSP RESECURITIZATION TRUST 19A1-2009-12 | 12/25/2035 | 2.847 | 15,609 | 15,574 | 15,830 | |||||||||
RBSSP RESECURITIZATION TRUST 2009-8 1A1 | 4/26/2036 | 3.154 | 3,120 | 3,134 | 3,131 | |||||||||
RBSSP RESECURITIZATION TRUST 2A1-2009-6 | 1/26/2036 | 2.846 | 7,642 | 7,686 | 7,726 | |||||||||
RBSSP RESECURITIZATION TRUST 7A3-2010-12 | 12/27/2035 | 4.000 | 1,113 | 1,120 | 1,115 | |||||||||
RENAISSANCE HOME EQUITY LOAN 05-3 AF3 | 11/25/2035 | 4.814 | 1,483 | 1,479 | 1,487 | |||||||||
RESIDENTIAL ACCREDIT LOANS INC 05-QA2 A1II | 2/25/2035 | 3.167 | 2,956 | 2,514 | 2,464 | c | ||||||||
RESIDENTIAL ACCREDIT LOANS INC 07-QO1 A2 | 2/25/2047 | 0.623 | 1,310 | 50 | 361 | c | ||||||||
RESIDENTIAL ASSET SECURITIES 03-K10 AI6 | 12/25/2033 | 4.540 | 425 | 428 | 435 | |||||||||
RESIDENTIAL ASSET SECURITIES CORPORATION 2004-KS9 AI6 | 10/25/2034 | 4.620 | 1,110 | 632 | 1,011 | c | ||||||||
RESIDENTIAL FUNDING MORTGAGE SECTION I 05-SA2 IIIA3 | 6/25/2035 | 3.329 | 2,227 | 2,231 | 2,173 | |||||||||
RESIDENTIAL FUNDING MORTGAGE SECTION I 06-RP1 | 10/25/2045 | 0.685 | 5,589 | 5,552 | 5,533 | |||||||||
STRUCTURED ASSET INVESTMENT LOAN TRUST M1-2003-BC5 | 6/25/2033 | 1.709 | 7,134 | 6,907 | 7,064 | |||||||||
STRUCTURED ASSET SECURITIES CORPORATION 03-24A 5A | 7/25/2033 | 3.131 | 362 | 368 | 360 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FREDDIE MAC A-20KF53 | 10/25/2025 | 0.530 | 18,097 | 18,097 | 18,152 | ||||||||||||||||||
FREDDIE MAC A-20KF54 | 11/25/2028 | 0.633 | 53,752 | 53,754 | 54,068 | ||||||||||||||||||
FREDDIE MAC A-20KF55 | 11/25/2025 | 0.663 | 45,645 | 45,700 | 45,934 | ||||||||||||||||||
FREDDIE MAC A-20KF57 | 12/25/2028 | 0.693 | 28,095 | 28,095 | 28,268 | ||||||||||||||||||
FREDDIE MAC A-20KF58 | 1/25/2026 | 0.653 | 58,332 | 58,428 | 58,674 | ||||||||||||||||||
FREDDIE MAC A-20KF59 | 2/25/2029 | 0.693 | 25,429 | 25,429 | 25,582 | ||||||||||||||||||
FREDDIE MAC A-20KF60 | 2/25/2026 | 0.643 | 44,798 | 44,874 | 45,205 | ||||||||||||||||||
FREDDIE MAC A-20KF61 | 3/25/2029 | 0.683 | 21,137 | 21,176 | 21,371 | ||||||||||||||||||
FREDDIE MAC AFL-20KSL1 | 11/25/2023 | 0.610 | 22,000 | 22,000 | 22,095 | ||||||||||||||||||
FREDDIE MAC AFL-20W5FL | 5/25/2025 | 0.373 | 1,786 | 1,786 | 1,786 | ||||||||||||||||||
FREDDIE MAC AFLW-20KL3W | 8/25/2025 | 0.603 | 15,000 | 15,024 | 15,089 | ||||||||||||||||||
FREDDIE MAC FHLMC_KF85 | 8/25/2030 | 0.448 | 30,000 | 30,000 | 30,010 | ||||||||||||||||||
GINNIE MAE 11-165 A | 10/16/2037 | 2.194 | 902 | 902 | 903 | ||||||||||||||||||
GINNIE MAE 13-141 A | 6/16/2040 | 2.023 | 4,620 | 4,618 | 4,660 | ||||||||||||||||||
GINNIE MAE 13-146 AH | 8/16/2040 | 2.000 | 2,160 | 2,160 | 2,177 | ||||||||||||||||||
GINNIE MAE 17-127 | 4/16/2052 | 2.500 | 13,723 | 13,651 | 14,315 | ||||||||||||||||||
GINNIE MAE 17-135 | 5/16/2049 | 2.200 | 17,955 | 17,847 | 18,388 | ||||||||||||||||||
GINNIE MAE 17-146 | 8/16/2047 | 2.200 | 17,596 | 17,507 | 18,084 | ||||||||||||||||||
GINNIE MAE 7-140 | 2/16/2059 | 2.500 | 12,430 | 12,370 | 12,972 | ||||||||||||||||||
GINNIE MAE A-2013-57 | 6/16/2037 | 1.350 | 1,214 | 1,209 | 1,218 | ||||||||||||||||||
GINNIE MAE AB-2013-194 | 5/16/2038 | 2.250 | 3,350 | 3,353 | 3,372 | ||||||||||||||||||
GINNIE MAE AB-2014-143 | 3/16/2040 | 2.500 | 688 | 692 | 693 | ||||||||||||||||||
GINNIE MAE AC-2013-13 | 4/16/2046 | 1.700 | 2,311 | 2,242 | 2,353 | ||||||||||||||||||
GINNIE MAE AC-2014-112 | 12/16/2040 | 1.900 | 1,322 | 1,327 | 1,331 | ||||||||||||||||||
GINNIE MAE AC-2014-143 | 3/16/2040 | 2.000 | 1,376 | 1,378 | 1,384 | ||||||||||||||||||
GINNIE MAE AC-2014-48 | 10/16/2041 | 1.900 | 1,139 | 1,140 | 1,141 | ||||||||||||||||||
GINNIE MAE AC-2014-70 | 4/16/2042 | 1.900 | 1,129 | 1,129 | 1,130 | ||||||||||||||||||
GINNIE MAE AC-2015-98 | 4/16/2041 | 2.150 | 6,963 | 7,011 | 7,071 | ||||||||||||||||||
GINNIE MAE AD-2014-9 | 9/16/2041 | 2.500 | 952 | 957 | 958 | ||||||||||||||||||
GINNIE MAE AD-2016-1829 | 11/16/2043 | 2.250 | 8,850 | 8,874 | 9,020 | ||||||||||||||||||
GINNIE MAE AG-2016-39 | 1/16/2043 | 2.300 | 8,963 | 8,985 | 9,169 | ||||||||||||||||||
GINNIE MAE AG-2017-171 | 10/16/2048 | 2.250 | 19,355 | 19,182 | 19,918 | ||||||||||||||||||
GINNIE MAE AN-2014-17 | 6/16/2048 | 2.374 | 1,780 | 1,791 | 1,837 | ||||||||||||||||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 677,425 | 683,816 |
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
280 PARK AVENUE MORTGAGE TRUST 2017-A | 9/15/2034 | 1.026 | 40,000 | 40,000 | 40,000 | ||||||||||||||||||
ASHFORD HOSPITALITY TRUST_A-2018-KEYS | 6/15/2035 | 1.159 | 40,000 | 40,000 | 38,138 | ||||||||||||||||||
BANC OF AMERICA MERRILL LYNCH A-2018-DSNY | 9/15/2034 | 1.009 | 33,350 | 33,253 | 32,932 | ||||||||||||||||||
BARCLAYS COMMERCIAL MORTGAGE A-2019-BWAY | 11/15/2034 | 1.115 | 10,000 | 9,970 | 9,756 | ||||||||||||||||||
BFLD TRUST A-2019-DPLO | 10/15/2034 | 1.249 | 28,000 | 27,971 | 27,730 | ||||||||||||||||||
BHMS MORTGAGE TRUST BHMS_18-ATLS | 7/15/2035 | 1.409 | 40,000 | 40,000 | 39,000 | ||||||||||||||||||
BRAEMAR HOTELS & RESORTS TRUST A-2018-PRME | 6/15/2035 | 0.979 | 19,768 | 19,765 | 19,236 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST A-2019-ATL | 10/15/2036 | 1.227 | 27,275 | 27,268 | 26,446 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST A-2019-XL | 10/15/2036 | 1.079 | 4,746 | 4,751 | 4,750 | ||||||||||||||||||
BX TRUST A-2018-GW | 5/15/2035 | 0.959 | 38,592 | 38,549 | 37,939 | ||||||||||||||||||
BX TRUST_19-RP A-2019-RP | 6/15/2034 | 1.204 | 25,000 | 24,972 | 24,084 | ||||||||||||||||||
CAMB COMMERCIAL MORTGAGE TRUST A-2019-LIFE | 12/15/2037 | 1.229 | 15,000 | 15,000 | 15,015 | ||||||||||||||||||
CGDB COMMERCIAL MORTGAGE TRUST A-2019-MOB | 11/15/2036 | 1.109 | 15,000 | 15,000 | 14,855 | ||||||||||||||||||
COLONY MORTGAGE CAPITAL LTD A-2019-IKPR | 11/15/2038 | 1.288 | 20,000 | 19,907 | 19,378 |
TOWD POINT MORTGAGE TRUST 1A12-2015-2 | 11/25/2060 | 2.750 | 4,168 | 4,144 | 4,190 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2015-5 | 5/25/2055 | 3.500 | 12,575 | 12,787 | 12,897 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2015-6 | 4/25/2055 | 3.500 | 16,032 | 16,200 | 16,469 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2016-1 | 2/25/2055 | 3.500 | 22,446 | 22,784 | 23,020 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2016-2 | 8/25/2055 | 3.000 | 20,636 | 20,778 | 20,920 | |||||||||
TOWD POINT MORTGAGE TRUST A1-2016-3 | 8/25/2055 | 2.250 | 35,307 | 35,256 | 35,060 | |||||||||
TOWD POINT MORTGAGE TRUST A1A-2015-3 | 3/25/2054 | 3.500 | 13,099 | 13,284 | 13,352 | |||||||||
TOWD POINT MORTGAGE TRUST A1B-2015-3 | 3/25/2054 | 3.000 | 6,549 | 6,584 | 6,600 | |||||||||
TOWD POINT MORTGAGE TRUST A4B-2015-3 | 3/25/2054 | 3.500 | 5,697 | 5,814 | 5,779 | |||||||||
WASHINGTON MUTUAL 03-AR6 A1 | 6/25/2033 | 2.899 | 1,458 | 1,454 | 1,472 | |||||||||
WASHINGTON MUTUAL 04-AR10 A1A | 7/25/2044 | 1.065 | 888 | 891 | 816 | |||||||||
WASHINGTON MUTUAL 05-AR10 1A3 | 9/25/2035 | 2.748 | 7,651 | 7,644 | 7,448 | |||||||||
WASHINGTON MUTUAL 05-AR3 A2 | 3/25/2035 | 2.798 | 2,309 | 2,317 | 2,321 | |||||||||
WASHINGTON MUTUAL 05-AR4 A5 | 4/25/2035 | 2.792 | 6,103 | 6,082 | 6,110 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 03-M A1 | 12/25/2033 | 3.000 | 1,145 | 1,179 | 1,146 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-DD 2A6 | 1/25/2035 | 3.014 | 2,003 | 2,001 | 2,031 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-I 1A1 | 7/25/2034 | 3.135 | 2,132 | 2,135 | 2,182 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-K 2A6 | 7/25/2034 | 3.098 | 1,939 | 2,004 | 1,974 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-W A8 | 11/25/2034 | 3.003 | 5,888 | 5,898 | 6,055 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR12 2A5 | 6/25/2035 | 3.013 | 2,673 | 2,538 | 2,758 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR2 2A2 | 3/25/2035 | 2.908 | 557 | 558 | 562 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR2 3A1 | 3/25/2035 | 2.876 | 1,279 | 1,270 | 1,307 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 2004-0 A1 | 8/25/2034 | 2.995 | 296 | 294 | 302 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 2004-Q 1A2 | 9/25/2034 | 3.004 | 3,716 | 3,767 | 3,813 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 2907 AG | 1/25/2035 | 3.040 | 850 | 852 | 859 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 2A2-2005-AR1 | 6/25/2035 | 3.010 | 10,702 | 10,940 | 11,104 | |||||||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,626,886 | 1,621,087 | ||||||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES | 3,192,055 | 3,183,399 | ||||||||||||
ASSET BACKED SECURITIES | ||||||||||||||
ACCESS GROUP INC ACCESS 06-1 A2 | 8/25/2023 | 0.935 | 695 | 687 | 691 | |||||||||
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST A-2016-1A | 5/12/2020 | 2.370 | 2,121 | 2,121 | 2,126 | |||||||||
ARES CLO LTD DEF_04014JAA | 4/15/2025 | 1.980 | 40,000 | 39,943 | 39,947 | |||||||||
ARL FIRST LLC ARLFR A1-2012-1A | 12/15/2042 | 2.288 | 10,960 | 11,046 | 10,647 | |||||||||
ATRIUM CDO CORPORATION 10A | 7/16/2025 | 2.000 | 25,000 | 24,983 | 24,976 | |||||||||
AVIS BUDGET RENTAL CAR FUNDING 2015-2A | 12/20/2021 | 2.630 | 15,000 | 15,174 | 14,832 | |||||||||
BRAZOS HIGHER EDUCATION AUTHORITY A2-2010-1 | 2/25/2035 | 2.125 | 20,000 | 19,758 | 19,650 | |||||||||
CARLYLE GLOBAL MARKET STRATEGIES DEF_14310BAA | 2/14/2025 | 2.187 | 20,000 | 20,000 | 20,000 | |||||||||
CENTRE POINT FUNDING LLC 12-2 A | 8/20/2021 | 2.610 | 761 | 761 | 748 | |||||||||
CHESAPEAKE FUNDING II LLC A1-2016-1A | 3/15/2028 | 2.110 | 6,887 | 6,886 | 6,875 | |||||||||
CLI FUNDING LLC A-2014-1A | 6/18/2029 | 3.290 | 11,206 | 11,220 | 10,688 | |||||||||
COLLEGE LOAN CORPORATION TRUST 02-2 A24 | 3/1/2042 | 1.768 | 10,000 | 8,697 | 9,656 | |||||||||
CRONOS CONTAINERS PROGRAM LTD 13-1 A | 4/18/2028 | 3.080 | 5,637 | 5,662 | 5,388 | |||||||||
DIAMOND RESORTS OWNER TRUST A-2013-2 | 5/20/2026 | 2.270 | 1,910 | 1,909 | 1,896 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
COMM_ A-2019-521F | 6/15/2034 | 1.059 | 16,510 | 16,512 | 16,226 | ||||||||||||||||||
COSMOPOLITAN HOTEL TRUST A-2017-CSMO | 11/15/2036 | 1.089 | 39,690 | 39,672 | 39,295 | ||||||||||||||||||
DBGS MORTGAGE TRUST A-2018-5BP | 6/15/2033 | 0.804 | 40,000 | 39,960 | 39,926 | ||||||||||||||||||
DBGS MORTGAGE TRUST A-2018-BIOD | 5/15/2035 | 0.962 | 23,203 | 23,200 | 23,204 | ||||||||||||||||||
DBUBS MORTGAGE TRUST 11-LC2 A1 | 7/10/2044 | 3.527 | 46 | 46 | 46 | ||||||||||||||||||
DBWF MORTGAGE TRUST A-2018-GLKS | 12/19/2030 | 1.182 | 20,000 | 19,917 | 19,751 | ||||||||||||||||||
HOME PARTNERS OF AMERICA TRUST A-2017-1 | 7/17/2034 | 0.976 | 13,550 | 13,541 | 13,502 | ||||||||||||||||||
HOME PARTNERS OF AMERICA TRUST A-2018-1 | 7/17/2037 | 1.058 | 14,585 | 14,585 | 14,509 | ||||||||||||||||||
INVITATION HOMES TRUST A-2017-SFR2 | 12/17/2036 | 1.009 | 38,756 | 38,537 | 38,604 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR1 | 3/17/2037 | 0.852 | 26,845 | 26,732 | 26,622 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR2 | 6/17/2037 | 1.059 | 36,394 | 36,233 | 36,490 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR3 | 7/17/2037 | 1.159 | 36,580 | 36,580 | 36,255 | ||||||||||||||||||
INVITATION HOMES TRUST A-2018-SFR4 | 1/17/2038 | 1.258 | 25,960 | 25,963 | 26,154 | ||||||||||||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE A-2018-ASH8 | 2/15/2035 | 0.959 | 11,398 | 11,397 | 10,834 | ||||||||||||||||||
MORGAN STANLEY CAPITAL I TRUST MSC_18-BOP | 8/15/2033 | 1.009 | 19,269 | 19,269 | 19,033 | ||||||||||||||||||
ONE NEW YORK PLAZA TRUST ONYP_ A-2020-1NYP | 1/15/2026 | 1.109 | 18,200 | 18,200 | 18,206 | ||||||||||||||||||
PROGRESS RESIDENTIAL TRUST A-2017-SFR1 | 8/17/2034 | 2.768 | 18,768 | 18,753 | 18,929 | ||||||||||||||||||
UBS COMMERCIAL MORTGAGE TRUST A-2018-NYCH | 2/15/2032 | 1.009 | 12,186 | 12,182 | 12,085 | ||||||||||||||||||
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 11-C1 AAB | 1/10/2045 | 3.187 | 1,466 | 1,466 | 1,475 | ||||||||||||||||||
WELLS FARGO COMMERCIAL MORTGAGE TRUST AFL-2012-C7 | 6/15/2045 | 1.353 | 10,458 | 10,481 | 10,419 | ||||||||||||||||||
WELLS FARGO COMMERCIAL MORTGAGE TRUST_17-SMP | 12/15/2034 | 0.909 | 18,500 | 18,389 | 18,138 | ||||||||||||||||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 798,021 | 788,962 | |||||||||||||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 1,475,446 | 1,472,778 |
CORPORATE DEBT SECURITIES | |||||||||||||||||||||||
BANKING | |||||||||||||||||||||||
WASHINGTON MUTUAL BANK/HENDERSON | 6/15/2011 | — | 1,500 | — | 3 | c,d | |||||||||||||||||
TOTAL BANKING | — | 3 | |||||||||||||||||||||
CAPITAL GOODS | |||||||||||||||||||||||
GENERAL DYNAMICS CORPORATION | 5/11/2021 | 3.000 | 14,905 | 14,892 | 15,048 | ||||||||||||||||||
NORTHROP GRUMMAN CORP | 3/15/2021 | 3.500 | 5,000 | 5,010 | 5,031 | ||||||||||||||||||
NORTHROP GRUMMAN CORP | 10/15/2022 | 2.550 | 16,643 | 16,417 | 17,283 | ||||||||||||||||||
TOTAL CAPITAL GOODS | 36,319 | 37,362 | |||||||||||||||||||||
COMMUNICATIONS | |||||||||||||||||||||||
SKY PLC | 11/26/2022 | 3.125 | 5,000 | 4,995 | 5,253 | ||||||||||||||||||
TOTAL COMMUNICATIONS | 4,995 | 5,253 | |||||||||||||||||||||
CONSUMER NON CYCLICAL | |||||||||||||||||||||||
BECTON DICKINSON AND COMPANY | 6/6/2022 | 2.894 | 21,318 | 21,536 | 22,003 | ||||||||||||||||||
CVS HEALTH CORPORATION | 6/1/2021 | 2.125 | 17,075 | 17,049 | 17,173 | ||||||||||||||||||
ESSILOR INTERNATIONAL SA | 1/5/2022 | 2.050 | 6,000 | 6,000 | 6,054 | ||||||||||||||||||
KROGER CO | 8/1/2022 | 2.800 | 5,845 | 5,775 | 6,057 | ||||||||||||||||||
MOLSON COORS BREWING | 7/15/2021 | 2.100 | 10,000 | 9,967 | 10,073 | ||||||||||||||||||
NESTLE SA | 9/24/2021 | 3.100 | 33,700 | 33,953 | 34,313 | ||||||||||||||||||
SYSCO CORPORATION | 7/15/2021 | 2.500 | 2,000 | 2,001 | 2,019 | ||||||||||||||||||
TOTAL CONSUMER NON CYCLICAL | 96,281 | 97,692 | |||||||||||||||||||||
ELECTRIC |
DRYDEN SENIOR LOAN FUND A4A-2008-1 | 10/15/2028 | 0.978 | 20,000 | 20,037 | 20,038 | |||||||||
DRYDEN SENIOR LOAN FUND DEF_26250UAC | 7/15/2025 | 1.980 | 40,000 | 40,000 | 39,847 | |||||||||
DT AUTO OWNER TRUST A-2015-3A | 3/15/2019 | 1.660 | 1,121 | 1,121 | 1,121 | |||||||||
EDUCATIONAL SERVICES OF AMERICA A-2014-1 | 2/25/2039 | 1.456 | 19,281 | 18,994 | 19,000 | |||||||||
EXETER AUTOMOBILE RECEIVABLES A-2015-1A | 6/17/2019 | 1.600 | 1,021 | 1,021 | 1,021 | |||||||||
EXETER AUTOMOBILE RECEIVABLES A-2015-2A | 11/15/2019 | 1.540 | 1,254 | 1,254 | 1,254 | |||||||||
FIRST INVESTORS AUTO OWNER TRUST A2-2016-1A | 4/15/2021 | 2.260 | 13,200 | 13,200 | 13,214 | |||||||||
GLOBAL SUPPLY CHAIN FINANCE A1-2014-1A | 7/17/2029 | 3.190 | 7,583 | 7,582 | 7,282 | |||||||||
GREEN TREE AGENCY ADVANCE FUND AT1-2016-TI | 10/15/2048 | 2.380 | 13,250 | 13,244 | 13,142 | |||||||||
HENDERSON RECEIVABLES LLC 10-3A A | 12/15/2048 | 3.820 | 1,343 | 1,344 | 1,356 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2015-2A | 9/25/2019 | 2.020 | 4,475 | 4,474 | 4,427 | |||||||||
HERTZ VEHICLE FINANCING LLC A-2016-1A | 3/25/2020 | 2.320 | 17,105 | 17,102 | 16,997 | |||||||||
HILTON GRAND VACATIONS TRUST 13-A A | 1/25/2026 | 2.280 | 3,339 | 3,339 | 3,325 | |||||||||
KENTUCKY HIGHER EDUCATION STUDENT LOAN A1-2013-2 | 9/1/2028 | 1.133 | 8,773 | 8,575 | 8,675 | |||||||||
MISSISSIPPI HIGHER EDUCATION ASSISTANCE CORP. A1-2014-1 | 10/25/2035 | 1.264 | 7,506 | 7,321 | 7,308 | |||||||||
MVW OWNER TRUST MVWOT_16-1A | 12/20/2033 | 2.250 | 20,668 | 20,523 | 20,256 | |||||||||
NAVITAS EQUIPMENT RECEIVABLES 2016-1 A2 | 6/15/2021 | 2.200 | 7,000 | 7,000 | 6,988 | |||||||||
NEW RESIDENTIAL ADVANCE RECEIVABLE AT1-2016-T1 | 6/15/2049 | 2.751 | 15,846 | 15,846 | 15,787 | |||||||||
NORTHSTAR EDUCATION FINANCE 04-2 A3 | 7/30/2018 | 1.060 | 2,193 | 2,190 | 2,189 | |||||||||
OAK HILL CREDIT PARTNERS DEF_67104CAA | 4/20/2025 | 2.001 | 20,000 | 20,000 | 19,981 | |||||||||
ONEMAIN DIRECT AUTO RECEIVABLE 2016-1A | 1/15/2021 | 2.040 | 13,598 | 13,598 | 13,613 | |||||||||
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY WL-15Y 6.055 | 11/25/2036 | 1.084 | 4,177 | 4,090 | 4,085 | |||||||||
RACE POINT CLO LTD DEF_74982LAC | 2/20/2025 | 2.161 | 14,000 | 13,986 | 13,993 | |||||||||
SALLIE MAE 03-A A2 | 9/15/2020 | 1.403 | 603 | 582 | 602 | |||||||||
SALLIE MAE 03-C A2 | 9/15/2020 | 1.240 | 459 | 452 | 455 | |||||||||
SALLIE MAE 05-B A2 | 3/15/2023 | 1.030 | 1,393 | 1,363 | 1,390 | |||||||||
SALLIE MAE 06-3 A4 | 7/25/2019 | 0.795 | 1,306 | 1,297 | 1,300 | |||||||||
SALLIE MAE 06-4 A5 | 10/27/2025 | 0.815 | 2,625 | 2,624 | 2,623 | |||||||||
SALLIE MAE 11-2 A1 | 11/25/2027 | 1.184 | 1,565 | 1,564 | 1,564 | |||||||||
SALLIE MAE 12-3 A | 12/26/2025 | 1.234 | 9,931 | 10,000 | 9,669 | |||||||||
SALLIE MAE 12-B A2 | 10/15/2030 | 3.480 | 2,899 | 2,911 | 2,944 | |||||||||
SBA TOWER TRUST A-2015-1 | 10/15/2020 | 3.156 | 5,850 | 5,936 | 5,897 | |||||||||
SBA TOWER TRUST C-2013-1 | 4/16/2018 | 2.240 | 17,100 | 17,105 | 16,978 | |||||||||
SBA TOWER TRUST C-2013-2 | 4/17/2023 | 3.722 | 2,610 | 2,569 | 2,589 | |||||||||
SBA TOWER TRUST C-2016-1A | 7/15/2021 | 2.877 | 155 | 152 | 154 | |||||||||
SCHOLAR FUNDING TRUST SCHOOL 12-B A1 | 10/28/2025 | 1.156 | 466 | 465 | 466 | |||||||||
SIERRA RECEIVABLES FUNDING CO LLC A-2016-1A | 3/21/2033 | 3.080 | 12,604 | 12,602 | 12,544 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY 12-1A A | 11/20/2028 | 2.840 | 589 | 589 | 589 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY 12-3A A | 8/20/2029 | 1.870 | 2,779 | 2,784 | 2,777 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY 13-2A A | 11/20/2025 | 2.280 | 1,070 | 1,070 | 1,069 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-2A | 7/20/2033 | 2.330 | 811 | 795 | 796 | |||||||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-3A | 10/20/2033 | 2.430 | 15,559 | 15,556 | 15,298 | |||||||||
SMALL BUSINESS ADMINISTRATION 2002-20J | 10/1/2022 | 4.750 | 377 | 380 | 392 | |||||||||
SOCIAL PROFESSIONAL LOAN PROGRAM LLC A2A-2016-B | 3/25/2031 | 1.680 | 6,680 | 6,680 | 6,667 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
AMERICAN ELECTRIC POWER COMPANY INC | 10/1/2022 | 2.400 | 3,000 | 2,968 | 3,097 | ||||||||||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 12/1/2021 | 3.650 | 10,316 | 10,316 | 10,626 | ||||||||||||||||||
BERKSHIRE HATHAWAY INC | 8/15/2023 | 3.375 | 14,195 | 14,461 | 15,180 | ||||||||||||||||||
CMS ENERGY CORPORATION | 8/31/2024 | 3.125 | 10,250 | 10,546 | 11,059 | ||||||||||||||||||
DUKE ENERGY CORP | 8/15/2022 | 3.050 | 3,053 | 3,018 | 3,162 | ||||||||||||||||||
EMERA INCORPORATED | 6/15/2021 | 2.700 | 20,495 | 20,396 | 20,656 | ||||||||||||||||||
EVERSOURCE ENERGY | 3/15/2022 | 2.750 | 1,050 | 1,050 | 1,078 | ||||||||||||||||||
THE SOUTHERN COMPANY | 3/30/2022 | 2.450 | 500 | 490 | 512 | ||||||||||||||||||
THE SOUTHERN COMPANY | 7/1/2021 | 2.350 | 33,334 | 33,308 | 33,609 | ||||||||||||||||||
XCEL ENERGY INC | 3/15/2021 | 2.400 | 4,325 | 4,315 | 4,335 | ||||||||||||||||||
TOTAL ELECTRIC | 100,868 | 103,314 | |||||||||||||||||||||
INSURANCE | |||||||||||||||||||||||
UNITEDHEALTH GROUP INC | 11/15/2021 | 3.375 | 20,000 | 20,031 | 20,347 | ||||||||||||||||||
UNITEDHEALTH GROUP INC | 3/15/2022 | 2.875 | 2,000 | 1,986 | 2,049 | ||||||||||||||||||
TOTAL INSURANCE | 22,017 | 22,396 | |||||||||||||||||||||
NATURAL GAS | |||||||||||||||||||||||
CENTERPOINT ENERGY INC | 4/1/2023 | 3.550 | 3,563 | 3,719 | 3,800 | ||||||||||||||||||
TOTAL NATURAL GAS | 3,719 | 3,800 | |||||||||||||||||||||
TOTAL CORPORATE DEBT SECURITIES | 264,199 | 269,820 | |||||||||||||||||||||
TOTAL FIXED MATURITIES | 6,334,451 | 6,375,260 |
EQUITY SECURITIES | |||||||||||||||||||||||
CONGLOMERATES/DIVERSIFIED MFG | |||||||||||||||||||||||
DAYCO LLC | 10 | 115 | 56 | d | |||||||||||||||||||
TOTAL CONGLOMERATES/DIVERSIFIED MFG | 115 | 56 | |||||||||||||||||||||
TOTAL EQUITY SECURITIES | 115 | 56 |
SYNDICATED LOANS | |||||||||||||||||||||||
BASIC INDUSTRY | |||||||||||||||||||||||
ALPHA 3 BV | 1/31/2024 | 4.000 | 151 | 151 | 151 | ||||||||||||||||||
AXALTA COATING SYSTEMS LTD | 6/1/2024 | 2.653 | 875 | 872 | 872 | ||||||||||||||||||
CHEMOURS COMPANY | 4/3/2025 | 1.970 | 1,220 | 1,217 | 1,217 | ||||||||||||||||||
ELEMENT SOLUTIONS INC | 1/31/2026 | 1.900 | 1,866 | 1,867 | 1,867 | ||||||||||||||||||
FLINT GROUP GERMANY | 9/7/2021 | 2.146 | 985 | 982 | 982 | ||||||||||||||||||
FLINT GROUP GERMANY | 9/7/2021 | 6.000 | 85 | 85 | 85 | ||||||||||||||||||
HEXION HOLDINGS LLC | 7/1/2026 | 6.000 | 516 | 513 | 513 | ||||||||||||||||||
INEOS LTD | 3/29/2024 | 3.730 | 493 | 488 | 488 | ||||||||||||||||||
KRATON CORP | 3/8/2025 | 2.146 | 1,320 | 1,320 | 1,320 | ||||||||||||||||||
MESSER INDUSTRIE GMBH | 3/2/2026 | 2.720 | 1,231 | 1,226 | 1,226 | ||||||||||||||||||
MINERALS TECHNOLOGIES INC. | 2/13/2024 | 3.000 | 729 | 729 | 729 | ||||||||||||||||||
ORION ENGINEERED CARBONS | 7/25/2024 | 2.220 | 802 | 803 | 803 | ||||||||||||||||||
TRINSEO SA | 9/6/2024 | 2.146 | 1,315 | 1,314 | 1,314 | ||||||||||||||||||
UNIVAR INC | 7/1/2024 | 2.396 | 543 | 541 | 541 | ||||||||||||||||||
TOTAL BASIC INDUSTRY | 12,108 | 12,108 | |||||||||||||||||||||
BROKERAGE |
SPS SERVICER ADVANCE RECEIVABLE AT2-2016-T2 | 11/15/2049 | 2.750 | 25,000 | 24,996 | 24,874 | |||||||||
SPS SERVICER ADVANCE RECEIVABLE AT3-2015-T3 | 7/15/2047 | 2.920 | 10,789 | 10,789 | 10,798 | |||||||||
STUDENT LOAN TRUST A4A-2008-1 | 12/15/2032 | 2.563 | 6,480 | 6,577 | 6,563 | |||||||||
SVO VOI MORTGAGE CORP 12-A A | 9/20/2029 | 2.000 | 1,440 | 1,454 | 1,424 | |||||||||
TAL ADVANTAGE LLC 13-1 A | 2/22/2038 | 2.830 | 2,328 | 2,333 | 2,214 | |||||||||
TREMEN PARK A-2016-1A | 4/20/2027 | 2.251 | 20,000 | 20,082 | 19,992 | |||||||||
U-HAUL S FLEET LLC 10-BT1A 1 | 10/25/2023 | 4.899 | 4,519 | 4,519 | 4,595 | |||||||||
VOI MORTGAGE LLC VSTNA_16 | 7/20/2033 | 2.540 | 15,276 | 15,273 | 15,117 | |||||||||
VOYA CLO LTD DEF_44986WAA | 4/25/2025 | 2.032 | 30,000 | 30,000 | 29,978 | |||||||||
WELLS FARGO MORTGAGE BACKED SECURITY A-2013-A | 3/15/2029 | 3.100 | 1,090 | 1,090 | 1,086 | |||||||||
TOTAL ASSET BACKED SECURITIES | 629,277 | 626,423 | ||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
FANNIE MAE 06-M2 A2A | 10/25/2032 | 5.271 | 7,773 | 8,217 | 8,162 | |||||||||
FANNIE MAE DEF_31381HZL | 1/1/2019 | 6.075 | 503 | 503 | 510 | |||||||||
GINNIE MAE 10-161 AB | 5/16/2035 | 2.110 | 147 | 146 | 146 | |||||||||
GINNIE MAE 11-165 A | 10/16/2037 | 2.194 | 12,623 | 12,704 | 12,593 | |||||||||
GINNIE MAE 13-141 A | 6/16/2040 | 2.023 | 13,066 | 13,067 | 12,996 | |||||||||
GINNIE MAE 13-146 AH | 8/16/2040 | 2.000 | 6,000 | 6,007 | 6,004 | |||||||||
GINNIE MAE 13-159 A | 8/16/2038 | 1.794 | 8,170 | 8,128 | 8,142 | |||||||||
GINNIE MAE A-2013-57 | 6/16/2037 | 1.350 | 4,311 | 4,266 | 4,233 | |||||||||
GINNIE MAE A-2014-61 | 1/16/2044 | 2.205 | 7,426 | 7,438 | 7,425 | |||||||||
GINNIE MAE AB-2013-194 | 5/16/2038 | 2.250 | 9,839 | 9,871 | 9,826 | |||||||||
GINNIE MAE AB-2014-143 | 3/16/2040 | 2.500 | 3,459 | 3,522 | 3,480 | |||||||||
GINNIE MAE AB-2014-75 | 6/16/2047 | 2.000 | 5,689 | 5,703 | 5,776 | |||||||||
GINNIE MAE AC-2013-13 | 4/16/2046 | 1.700 | 5,661 | 5,433 | 5,361 | |||||||||
GINNIE MAE AC-2014-112 | 12/16/2040 | 1.900 | 5,493 | 5,552 | 5,514 | |||||||||
GINNIE MAE AC-2014-143 | 3/16/2040 | 2.000 | 6,918 | 6,967 | 6,981 | |||||||||
GINNIE MAE AC-2014-48 | 10/16/2041 | 1.900 | 11,265 | 11,363 | 11,270 | |||||||||
GINNIE MAE AC-2014-70 | 4/16/2042 | 1.900 | 12,660 | 12,765 | 12,683 | |||||||||
GINNIE MAE AC-2015-98 | 4/16/2041 | 2.150 | 14,170 | 14,355 | 14,215 | |||||||||
GINNIE MAE AD-2014-9 | 9/16/2041 | 2.500 | 6,567 | 6,698 | 6,604 | |||||||||
GINNIE MAE AD-2016-1829 | 11/16/2043 | 2.250 | 19,617 | 19,739 | 19,547 | |||||||||
GINNIE MAE AG-2016-39 | 1/16/2043 | 2.300 | 14,745 | 14,822 | 14,665 | |||||||||
GINNIE MAE AN-2014-17 | 6/16/2048 | 2.362 | 6,258 | 6,396 | 6,498 | |||||||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 183,662 | 182,631 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
ALIXPARTNERS LLP | 4/4/2024 | 2.646 | 970 | 974 | 974 | ||||||||||||||||||
CITADEL SECURITIES LP TERM LOAN B | 2/27/2026 | 2.896 | 703 | 698 | 698 | ||||||||||||||||||
CRESTVIEW PARTNERS II GP LP | 7/1/2026 | 2.734 | 609 | 604 | 604 | ||||||||||||||||||
GREENHILL & CO INC | 4/12/2024 | 3.398 | 588 | 586 | 586 | ||||||||||||||||||
JEFFERIES FINANCIAL GROUP INC | 6/1/2026 | 3.188 | 990 | 992 | 992 | ||||||||||||||||||
LPL HOLDINGS INC TERM LOAN B1 | 11/12/2026 | 1.898 | 623 | 618 | 618 | ||||||||||||||||||
RUSSELL INVESTMENTS US INSTITU 2025 TERM LOAN | 5/30/2025 | 4.000 | 1,339 | 1,340 | 1,340 | ||||||||||||||||||
TOTAL BROKERAGE | 5,812 | 5,812 | |||||||||||||||||||||
CAPITAL GOODS | |||||||||||||||||||||||
ADVANCED DRAINAGE SYSTEMS INC | 7/31/2026 | 2.438 | 601 | 600 | 600 | ||||||||||||||||||
ALBEA BEAUTY HOLDINGS | 4/22/2024 | 4.000 | 230 | 230 | 230 | ||||||||||||||||||
ALLNEX USA | 9/13/2023 | 4.000 | 217 | 217 | 217 | ||||||||||||||||||
ALLNEX USA | 9/13/2023 | 4.000 | 164 | 163 | 163 | ||||||||||||||||||
ALTRA INDUSTRIAL MOTION CORP | 10/1/2025 | 2.146 | 989 | 987 | 987 | ||||||||||||||||||
ANCHOR GLASS CONTAINER CORP | 12/7/2023 | 3.750 | 969 | 969 | 969 | ||||||||||||||||||
API GROUP DE INC | 10/1/2026 | 2.646 | 696 | 691 | 691 | ||||||||||||||||||
BERRY GLOBAL INC | 7/1/2026 | 2.149 | 1,086 | 1,084 | 1,084 | ||||||||||||||||||
COLUMBUS MCKINNON CORP TERM LOAN - INITIAL | 1/31/2024 | 3.500 | 747 | 742 | 742 | ||||||||||||||||||
DOOSAN INFRACORE CO LTD | 5/18/2024 | 1.970 | 788 | 789 | 789 | ||||||||||||||||||
ENERGY SOLUTIONS LLC | 5/12/2025 | 4.750 | 635 | 633 | 633 | ||||||||||||||||||
EWT HOLDINGS III CORP | 12/20/2024 | 2.646 | 751 | 750 | 750 | ||||||||||||||||||
GENERAC POWER SYSTEMS INC | 12/13/2026 | 1.905 | 1,416 | 1,417 | 1,417 | ||||||||||||||||||
GFL ENVIRONMENTAL INC TERM LOAN - INCR | 5/30/2025 | 4.000 | 319 | 318 | 318 | ||||||||||||||||||
INGERSOLL RAND INC | 3/1/2027 | 1.896 | 323 | 323 | 323 | ||||||||||||||||||
INGERSOLL-RAND SERVICES CO | 3/1/2027 | 2.146 | 1,244 | 1,242 | 1,242 | ||||||||||||||||||
PLASTIPAK HOLDINGS INC. | 10/14/2024 | 2.650 | 945 | 946 | 946 | ||||||||||||||||||
PLY GEM MIDCO LLC | 4/12/2025 | 3.904 | 196 | 195 | 195 | ||||||||||||||||||
PRINTPACK HOLDINGS INC | 7/26/2023 | 4.000 | 130 | 130 | 130 | ||||||||||||||||||
QUIKRETE HOLDINGS INC | 2/1/2027 | 2.646 | 1,365 | 1,356 | 1,356 | ||||||||||||||||||
REXNORD LLC | 8/21/2024 | 1.896 | 900 | 895 | 895 | ||||||||||||||||||
REYNOLDS CONSUMER PRODUCTS LLC | 1/29/2027 | 1.896 | 251 | 251 | 251 | ||||||||||||||||||
REYNOLDS GROUP HOLDINGS INC | 2/5/2023 | 2.896 | 327 | 327 | 327 | ||||||||||||||||||
TEREX CORP TERM LOAN B | 1/31/2024 | 2.750 | 249 | 242 | 242 | ||||||||||||||||||
TRANSDIGM INC | 12/9/2025 | 2.396 | 839 | 838 | 838 | ||||||||||||||||||
UNITED RENTALS INC | 10/31/2025 | 1.896 | 984 | 984 | 984 | ||||||||||||||||||
US ECOLOGY INC | 11/2/2026 | 2.646 | 670 | 668 | 668 | ||||||||||||||||||
WILSONART LLC | 12/19/2023 | 4.250 | 288 | 288 | 288 | ||||||||||||||||||
ZEKELMAN INDUSTRIES INC | 1/20/2027 | 2.143 | 728 | 730 | 730 | ||||||||||||||||||
TOTAL CAPITAL GOODS | 19,005 | 19,005 | |||||||||||||||||||||
COMMUNICATIONS | |||||||||||||||||||||||
ALTICE FRANCE SA | 7/15/2025 | 2.896 | 965 | 964 | 964 | ||||||||||||||||||
CELLULAR SOUTH INC | 5/24/2024 | 2.396 | 871 | 870 | 870 | ||||||||||||||||||
CENTURYLINK INC | 3/15/2027 | 2.396 | 1,241 | 1,241 | 1,241 |
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||||||
AMERICAN HOMES 4 RENT A-2014-SFR1 | 6/17/2031 | 1.539 | 3,634 | 3,605 | 3,621 | |||||||||
BHMS MORTGAGE TRUST AFL-2014-ATL | 7/5/2033 | 2.028 | 22,500 | 22,416 | 22,521 | |||||||||
BHMS MORTGAGE TRUST BHMS_14-AT | 7/5/2033 | 3.601 | 5,000 | 5,178 | 5,049 | |||||||||
CFCRE COMMERCIAL MORTAGE TRUST 11-C2 A2 | 12/15/2047 | 3.061 | 606 | 606 | 605 | |||||||||
CGGS COMMERCIAL MORTGAGE TRUST AFX-2016-RND | 2/10/2033 | 2.757 | 12,000 | 11,999 | 11,960 | |||||||||
COLONY MULTIFAMILY MORTGAGE TRUST A-2014-1 | 4/20/2050 | 2.543 | 3,913 | 3,909 | 3,881 | |||||||||
COLONY STARWOOD HOMES A-2016-2A | 12/17/2033 | 1.986 | 34,915 | 34,915 | 34,915 | |||||||||
COMM MORTGAGE TRUST 13-THL A1 | 6/8/2030 | 1.536 | 4,757 | 4,755 | 4,765 | |||||||||
COSMOPOLITAN HOTEL TRUST A-2016-2A | 11/15/2033 | 2.104 | 24,000 | 24,000 | 24,075 | |||||||||
DBUBS MORTGAGE TRUST 11-LC2 A1 | 7/10/2044 | 3.527 | 2,173 | 2,181 | 2,241 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 10-C2 A1 | 12/10/2043 | 3.849 | 1,142 | 1,146 | 1,180 | |||||||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 11-GC5 A2 | 8/10/2044 | 2.999 | 227 | 227 | 227 | |||||||||
HOME PARTNERS OF AMERICA TRUST 2016-2 | 10/17/2033 | 1.886 | 14,956 | 14,848 | 14,931 | |||||||||
INVITATION HOMES TRUST A-2014-SFR1 | 6/17/2031 | 1.539 | 10,292 | 10,183 | 10,254 | |||||||||
INVITATION HOMES TRUST A-2014-SFR3 | 12/17/2031 | 1.739 | 37,842 | 37,560 | 37,842 | |||||||||
INVITATION HOMES TRUST A-2015-SFR1 | 3/17/2032 | 2.000 | 11,223 | 11,229 | 11,240 | |||||||||
INVITATION HOMES TRUST A-2015-SFR2 | 6/17/2032 | 1.888 | 9,983 | 9,967 | 10,000 | |||||||||
INVITATION HOMES TRUST A-2015-SFR3 | 8/17/2032 | 1.839 | 24,551 | 24,579 | 24,611 | |||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE 09-IWST A2 | 12/5/2027 | 5.633 | 1,250 | 1,371 | 1,344 | |||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE 10-CNTR A1 | 8/5/2032 | 3.300 | 5,559 | 5,578 | 5,663 | |||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE JPMCC_16-ASH | 10/15/2034 | 2.204 | 30,000 | 29,963 | 30,001 | |||||||||
MORGAN STANLEY REREMIC TRUST 09-GG10 A4A | 8/12/2045 | 5.793 | 15,653 | 15,770 | 15,691 | |||||||||
MORGAN STANLEY REREMIC TRUST 10-GG10 A4A | 8/15/2045 | 5.793 | 29,660 | 29,816 | 29,734 | |||||||||
RIALTO REAL ESTATE FUND LP A-2014-LT5 | 5/15/2024 | 2.850 | 24 | 24 | 24 | |||||||||
RIALTO REAL ESTATE FUND LP A-2015-LT7 | 12/25/2032 | 3.000 | 2,028 | 2,028 | 2,028 | |||||||||
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 11-C1 AAB | 1/10/2045 | 3.187 | 8,615 | 8,655 | 8,838 | |||||||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 316,508 | 317,241 | ||||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 500,170 | 499,872 | ||||||||||||
CORPORATE DEBT SECURITIES | ||||||||||||||
BANKING | ||||||||||||||
WASHINGTON MUTUAL BANK/HENDERSON | 6/15/2011 | — | 1,500 | — | 3 | c,d | ||||||||
TOTAL BANKING | — | 3 | ||||||||||||
BASIC INDUSTRY | ||||||||||||||
LYONDELLBASELL INDUSTRIES NV | 4/15/2019 | 5.000 | 29,615 | 31,243 | 31,293 | |||||||||
TOTAL BASIC INDUSTRY | 31,243 | 31,293 | ||||||||||||
CAPITAL GOODS | ||||||||||||||
HONEYWELL INTERNATIONAL INC | 10/30/2019 | 1.400 | 18,980 | 18,966 | 18,804 | |||||||||
L-3 COMMUNICATIONS HOLDINGS INC | 10/15/2019 | 5.200 | 15,567 | 16,975 | 16,743 | |||||||||
LOCKHEED MARTIN CORPORATION | 11/23/2018 | 1.850 | 29,734 | 30,018 | 29,852 | |||||||||
NORDSON CORPORATION | 7/26/2017 | 2.270 | 15,000 | 15,000 | 15,048 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
CHARTER COMMUNICATIONS INC | 4/30/2025 | 1.900 | 1,413 | 1,414 | 1,414 | ||||||||||||||||||
COGECO COMMUNICATIONS (USA) II LP | 1/3/2025 | 2.146 | 1,367 | 1,366 | 1,366 | ||||||||||||||||||
CSC HOLDINGS LLC | 7/17/2025 | 2.409 | 956 | 953 | 953 | ||||||||||||||||||
CSC HOLDINGS LLC | 1/15/2026 | 2.409 | 983 | 960 | 960 | ||||||||||||||||||
DIAMOND SPORTS GROUP LLC | 8/24/2026 | 3.400 | 1,163 | 1,160 | 1,160 | ||||||||||||||||||
ENTRAVISION COMMUNICATIONS CORPORATION | 11/30/2024 | 2.896 | 306 | 305 | 305 | ||||||||||||||||||
EW SCRIPPS CO TERM LOAN - B2 | 5/1/2026 | 2.646 | 499 | 488 | 488 | ||||||||||||||||||
GRAY TELEVISION INC | 2/7/2024 | 2.405 | 278 | 278 | 278 | ||||||||||||||||||
HUBBARD RADIO LLC | 3/28/2025 | 5.250 | 259 | 258 | 258 | ||||||||||||||||||
ION MEDIA NETWORKS INC | 12/18/2024 | 3.188 | 1,290 | 1,291 | 1,291 | ||||||||||||||||||
LEVEL 3 PARENT LLC | 3/1/2027 | 1.896 | 337 | 337 | 337 | ||||||||||||||||||
LIONS GATE ENTERTAINMENT CORP | 3/24/2025 | 2.397 | 813 | 813 | 813 | ||||||||||||||||||
LIONS GATE ENTERTAINMENT CORP | 3/22/2023 | 1.897 | 1,052 | 1,052 | 1,052 | ||||||||||||||||||
MEDIACOM COMMUNICATIONS CORPORATION | 2/15/2024 | 1.850 | 427 | 426 | 426 | ||||||||||||||||||
NASCAR HOLDINGS INC | 10/19/2026 | 2.896 | 451 | 449 | 449 | ||||||||||||||||||
NEXSTAR MEDIA GROUP INC | 1/17/2024 | 2.395 | 396 | 396 | 396 | ||||||||||||||||||
NIELSEN HOLDINGS PLC | 10/2/2023 | 2.146 | 1,029 | 1,028 | 1,028 | ||||||||||||||||||
SBA COMMUNICATIONS CORP | 4/11/2025 | 1.900 | 1,243 | 1,238 | 1,238 | ||||||||||||||||||
SINCLAIR BROADCAST GROUP INC | 1/3/2024 | 2.400 | 798 | 794 | 794 | ||||||||||||||||||
SOUTHWIRE CO | 5/19/2025 | 1.896 | 1,246 | 1,244 | 1,244 | ||||||||||||||||||
TELESAT LLC | 11/25/2026 | 2.900 | 993 | 990 | 990 | ||||||||||||||||||
TERRIER MEDIA BUYER INC | 12/17/2026 | 4.396 | 998 | 974 | 974 | ||||||||||||||||||
UNIVISION HOLDINGS INC | 3/15/2026 | 4.750 | 861 | 858 | 858 | ||||||||||||||||||
URBAN ONE INC | 4/18/2023 | 5.000 | 500 | 498 | 498 | ||||||||||||||||||
VIRGIN MEDIA BRISTOL LLC | 1/31/2028 | 2.659 | 1,000 | 1,001 | 1,001 | ||||||||||||||||||
TOTAL COMMUNICATIONS | 23,646 | 23,646 | |||||||||||||||||||||
CONSUMER CYCLICAL | |||||||||||||||||||||||
1011778 BC UNLIMITED LIABILITY | 11/19/2026 | 1.896 | 1,328 | 1,326 | 1,326 | ||||||||||||||||||
AMERICAN AXLE & MANUFACTURING TERM LOAN B | 4/6/2024 | 3.000 | 458 | 449 | 449 | ||||||||||||||||||
ARISTOCRAT LEISURE LTD | 10/19/2024 | 1.959 | 1,429 | 1,428 | 1,428 | ||||||||||||||||||
BJS WHOLESALE CLUB INC TERM LOAN B | 2/3/2024 | 2.154 | 345 | 341 | 341 | ||||||||||||||||||
CAESARS ENTERTAINMENT CORP | 12/23/2024 | 2.896 | 1,083 | 1,078 | 1,078 | ||||||||||||||||||
CCM MERGER TERM LOAN B | 11/1/2025 | 4.500 | 222 | 218 | 218 | ||||||||||||||||||
CEDAR FAIR LP | 4/13/2024 | 1.896 | 181 | 172 | 172 | ||||||||||||||||||
CINEWORLD FINANCE US INC | 2/28/2025 | 2.769 | 345 | 344 | 344 | ||||||||||||||||||
CITYCENTER HOLDINGS LLC | 4/18/2024 | 3.000 | 1,560 | 1,559 | 1,559 | ||||||||||||||||||
FOUR SEASONS HOLDINGS INC | 11/30/2023 | 2.146 | 1,462 | 1,460 | 1,460 | ||||||||||||||||||
GO DADDY INC | 2/15/2024 | 1.896 | 944 | 943 | 943 | ||||||||||||||||||
HANESBRANDS INC | 12/13/2024 | 1.896 | 650 | 639 | 639 | ||||||||||||||||||
HARBOR FREIGHT TERM LOAN B | 10/19/2027 | 4.000 | 499 | 491 | 491 | ||||||||||||||||||
HILTON WORLDWIDE HOLDINGS INC | 6/22/2026 | 1.898 | 749 | 748 | 748 | ||||||||||||||||||
KAR AUCTION SERVICES INC | 9/18/2026 | 2.438 | 743 | 741 | 741 | ||||||||||||||||||
KFC HOLDING CORPORATION | 4/2/2025 | 1.908 | 1,343 | 1,345 | 1,345 | ||||||||||||||||||
METRO-GOLDWYN-MAYER INC | 7/7/2025 | 2.650 | 1,374 | 1,366 | 1,366 |
NORTHROP GRUMMAN CORPORATION | 6/1/2018 | 1.750 | 24,277 | 24,365 | 24,344 | |||||||||
STERICYCLE INC | 10/15/2017 | 3.890 | 800 | 812 | 814 | |||||||||
TOTAL CAPITAL GOODS | 106,136 | 105,605 | ||||||||||||
COMMUNICATIONS | ||||||||||||||
A&E TELEVISION NETWORKS LLC | 8/22/2019 | 3.110 | 5,000 | 5,044 | 5,055 | |||||||||
ROGERS COMMUNICATIONS INC | 8/15/2018 | 6.800 | 15,238 | 16,510 | 16,416 | |||||||||
SCRIPPS NETWORKS INTERACTIVE INC | 11/15/2019 | 2.750 | 36,347 | 36,509 | 36,862 | |||||||||
SKY PLC | 2/15/2018 | 6.100 | 16,312 | 17,073 | 17,020 | |||||||||
SKY PLC | 11/26/2022 | 3.125 | 5,000 | 4,986 | 4,959 | |||||||||
SKY PLC | 9/16/2019 | 2.625 | 11,805 | 11,872 | 11,853 | |||||||||
VODAFONE GROUP PLC | 2/27/2017 | 5.625 | 5,300 | 5,335 | 5,330 | |||||||||
TOTAL COMMUNICATIONS | 97,329 | 97,495 | ||||||||||||
CONSUMER CYCLICAL | ||||||||||||||
AUTOLIV INC | 4/23/2019 | 2.840 | 5,000 | 5,000 | 5,062 | |||||||||
CABELAS INCORPORATED | 8/4/2020 | 3.230 | 8,000 | 8,000 | 7,979 | |||||||||
CVS HEALTH CORPORATION | 8/12/2019 | 2.250 | 5,595 | 5,631 | 5,626 | |||||||||
CVS HEALTH CORPORATION | 7/20/2018 | 1.900 | 16,133 | 16,215 | 16,195 | |||||||||
MCDONALDS CORPORATION | 3/1/2018 | 5.350 | 20,705 | 21,696 | 21,577 | |||||||||
MCDONALDS CORPORATION | 5/29/2019 | 1.875 | 2,142 | 2,139 | 2,138 | |||||||||
TOTAL CONSUMER CYCLICAL | 58,681 | 58,577 | ||||||||||||
CONSUMER NON CYCLICAL | ||||||||||||||
ABBVIE INC | 5/14/2018 | 1.800 | 34,500 | 34,491 | 34,526 | |||||||||
ALLERGAN PLC | 3/12/2018 | 2.350 | 37,768 | 37,984 | 37,986 | |||||||||
ALLERGAN PLC | 3/12/2020 | 3.000 | 1,465 | 1,494 | 1,485 | |||||||||
ANHEUSER-BUSCH INBEV SA NV | 1/17/2018 | 1.250 | 37,180 | 36,972 | 37,147 | |||||||||
BACARDI LTD | 1/15/2021 | 4.500 | 1,525 | 1,658 | 1,613 | |||||||||
BECTON DICKINSON AND COMPANY | 12/15/2019 | 2.675 | 24,067 | 24,256 | 24,419 | |||||||||
CLOROX COMPANY | 10/15/2017 | 5.950 | 22,804 | 23,581 | 23,628 | |||||||||
CONAGRA BRANDS INC | 1/25/2018 | 1.900 | 19,375 | 19,394 | 19,397 | |||||||||
DIAGEO PLC | 5/11/2017 | 1.500 | 31,885 | 31,905 | 31,932 | |||||||||
ESSILOR INTERNATIONAL SA | 3/15/2017 | 2.650 | 7,500 | 7,500 | 7,519 | |||||||||
ESSILOR INTERNATIONAL SA | 5/4/2017 | 1.840 | 15,000 | 15,003 | 15,017 | |||||||||
ESSILOR INTERNATIONAL SA | 1/5/2022 | 2.050 | 6,000 | 6,000 | 5,768 | |||||||||
GENERAL MILLS INC | 10/20/2017 | 1.400 | 30,000 | 29,999 | 30,035 | |||||||||
JM SMUCKER CO | 3/15/2018 | 1.750 | 30,303 | 30,327 | 30,343 | |||||||||
JM SMUCKER CO | 3/15/2020 | 2.500 | 9,231 | 9,253 | 9,275 | |||||||||
KELLOGG COMPANY | 11/15/2019 | 4.150 | 15,100 | 15,879 | 15,917 | |||||||||
KELLOGG COMPANY | 12/15/2020 | 4.000 | 15,000 | 16,275 | 15,796 | |||||||||
MARS INC | 10/11/2017 | 2.190 | 35,000 | 35,000 | 35,119 | |||||||||
MARS INC | 10/20/2017 | 2.000 | 7,746 | 7,781 | 7,785 | |||||||||
MOLSON COORS BREWING CO | 7/15/2019 | 1.450 | 26,761 | 26,743 | 26,366 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
MOHEGAN TRIBAL GAMING AUTHORITY | 10/13/2023 | 6.375 | 633 | 629 | 629 | ||||||||||||||||||
NAI ENTERTAINMENT HOLDINGS LLC | 5/8/2025 | 3.500 | 798 | 797 | 797 | ||||||||||||||||||
NAVISTAR INC | 11/6/2024 | 3.660 | 742 | 744 | 744 | ||||||||||||||||||
PCI GAMING AUTHORITY | 5/29/2026 | 2.646 | 395 | 394 | 394 | ||||||||||||||||||
PENN NATIONAL GAMING INC | 10/15/2025 | 3.000 | 1,124 | 1,123 | 1,123 | ||||||||||||||||||
PRIME SECURITY SERVICES TOPCO PARENT LP | 9/13/2026 | 4.250 | 894 | 886 | 886 | ||||||||||||||||||
QUALITY SOLUTIONS INTERNATIONAL LTD | 8/21/2025 | 2.896 | 915 | 906 | 906 | ||||||||||||||||||
SCIENTIFIC GAMES CORP | 8/14/2024 | 2.896 | 1,393 | 1,388 | 1,388 | ||||||||||||||||||
SEMINOLE TRIBE OF FLORIDA INC | 7/8/2024 | 1.896 | 848 | 846 | 846 | ||||||||||||||||||
SERVICEMASTER GLOBAL HOLDINGS INC | 10/31/2026 | 1.938 | 498 | 497 | 497 | ||||||||||||||||||
SIX FLAGS ENTERTAINMENT CORP | 4/17/2026 | 1.900 | 760 | 760 | 760 | ||||||||||||||||||
WILLIAM MORRIS ENDEAVOR ENTERTAINMENT LLC | 5/16/2025 | 2.900 | 904 | 902 | 902 | ||||||||||||||||||
WYNDHAM WORLDWIDE CORP | 4/27/2025 | 1.896 | 980 | 979 | 979 | ||||||||||||||||||
TOTAL CONSUMER CYCLICAL | 25,499 | 25,499 | |||||||||||||||||||||
CONSUMER NON CYCLICAL | |||||||||||||||||||||||
ARAMARK | 3/28/2024 | 1.895 | 1,354 | 1,355 | 1,355 | ||||||||||||||||||
B&G FOODS INC | 10/10/2026 | 2.646 | 268 | 267 | 267 | ||||||||||||||||||
BAUSCH HEALTH COMPANIES INC | 6/1/2025 | 3.500 | 462 | 460 | 460 | ||||||||||||||||||
CATALENT INC | 5/10/2026 | 3.250 | 493 | 491 | 491 | ||||||||||||||||||
CHANGE HEALTHCARE HOLDINGS LLC | 3/1/2024 | 3.500 | 703 | 702 | 702 | ||||||||||||||||||
DAVITA INC | 8/12/2026 | 1.896 | 743 | 741 | 741 | ||||||||||||||||||
ELANCO ANIMAL HEALTH INC | 8/1/2027 | 1.905 | 708 | 704 | 704 | ||||||||||||||||||
ENDO INTERNATIONAL PLC | 4/29/2024 | 5.000 | 266 | 265 | 265 | ||||||||||||||||||
ENERGIZER HOLDINGS INC TERM LOAN B - PHASE 1 | 12/16/2027 | 2.750 | 191 | 190 | 190 | ||||||||||||||||||
ENERGIZER HOLDINGS INC TERM LOAN B - PHASE 2 | 12/16/2027 | 2.750 | 226 | 225 | 225 | ||||||||||||||||||
GRIFOLS SA | 11/15/2027 | 2.101 | 1,198 | 1,194 | 1,194 | ||||||||||||||||||
HCA HEALTHCARE INC | 3/13/2025 | 1.896 | 414 | 414 | 414 | ||||||||||||||||||
IQVIA INC TERM LOAN - B3 | 6/6/2025 | 1.970 | 499 | 491 | 491 | ||||||||||||||||||
JAGUAR HOLDING COMPANY | 8/18/2022 | 3.500 | 948 | 946 | 946 | ||||||||||||||||||
JBS SA | 5/1/2026 | 2.146 | 566 | 565 | 565 | ||||||||||||||||||
MALLINCKRODT INTERNATIONAL | 9/24/2024 | 5.500 | 787 | 786 | 786 | ||||||||||||||||||
MALLINCKRODT INTERNATIONAL | 2/24/2025 | 5.750 | 266 | 266 | 266 | ||||||||||||||||||
PRESTIGE BRANDS INC TERM LOAN B4 | 1/26/2024 | 2.146 | 442 | 438 | 438 | ||||||||||||||||||
SELECT MEDICAL CORPORATION | 3/6/2025 | 2.530 | 1,248 | 1,243 | 1,243 | ||||||||||||||||||
US FOODS HOLDING CORP | 8/30/2026 | 2.146 | 248 | 246 | 246 | ||||||||||||||||||
US FOODS HOLDING CORPORATION | 6/27/2023 | 1.896 | 1,414 | 1,413 | 1,413 | ||||||||||||||||||
TOTAL CONSUMER NON CYCLICAL | 13,402 | 13,402 | |||||||||||||||||||||
ELECTRIC | |||||||||||||||||||||||
ASTORIA ENERGY LLC TERM LOAN B | 12/2/2027 | 4.500 | 741 | 737 | 737 | ||||||||||||||||||
CALPINE CONSTRUCTION FINANCE | 1/15/2025 | 2.146 | 1,950 | 1,951 | 1,951 | ||||||||||||||||||
CALPINE CORP 2020 TERM LOAN | 12/16/2027 | 2.620 | 329 | 324 | 324 | ||||||||||||||||||
CARROLL COUNTRY ENERGY LLC | 2/16/2026 | 3.720 | 672 | 667 | 667 | ||||||||||||||||||
CPV SHORE HOLDINGS LLC | 12/29/2025 | 3.900 | 666 | 661 | 661 |
MONDELEZ INTERNATIONAL INC | 10/28/2019 | 1.625 | 28,625 | 28,567 | 28,069 | |||||||||
PFIZER INC | 12/15/2019 | 1.700 | 14,425 | 14,415 | 14,411 | |||||||||
SHIRE PLC | 9/23/2019 | 1.900 | 10,000 | 9,883 | 9,873 | |||||||||
SODEXO SA | 3/4/2019 | 2.710 | 10,000 | 10,000 | 10,076 | |||||||||
SYSCO CORPORATION | 4/1/2019 | 1.900 | 37,240 | 37,342 | 37,118 | |||||||||
TEVA PHARMACEUTICAL INDUSTRIES LTD | 7/19/2019 | 1.700 | 15,000 | 14,999 | 14,738 | |||||||||
TYSON 2009 FAMILY TRUST | 8/15/2019 | 2.650 | 38,879 | 39,078 | 39,250 | |||||||||
TOTAL CONSUMER NON CYCLICAL | 565,779 | 564,608 | ||||||||||||
ELECTRIC | ||||||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 4/30/2019 | 2.610 | 8,000 | 8,000 | 8,040 | |||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 12/15/2017 | 1.650 | 7,724 | 7,729 | 7,727 | |||||||||
CENTERPOINT ENERGY INC | 2/1/2017 | 5.950 | 19,910 | 19,985 | 19,978 | |||||||||
DOMINION RESOURCES INC/VA | 9/15/2017 | 1.400 | 2,480 | 2,479 | 2,477 | |||||||||
DOMINION RESOURCES INC/VA | 3/15/2017 | 1.250 | 5,485 | 5,483 | 5,485 | |||||||||
DOMINION RESOURCES INC/VA | 6/15/2018 | 1.900 | 13,810 | 13,809 | 13,817 | |||||||||
DOMINION RESOURCES INC/VA | 2/15/2018 | 2.125 | 15,000 | 14,997 | 15,048 | |||||||||
DUKE ENERGY CORP | 8/15/2017 | 1.625 | 9,365 | 9,378 | 9,380 | |||||||||
ELECTRIC TRANSMISSION TEXAS LLC | 6/28/2018 | 3.690 | 25,000 | 25,504 | 25,592 | |||||||||
EMERA INC. | 6/15/2019 | 2.150 | 6,520 | 6,518 | 6,513 | |||||||||
EVERSOURCE ENERGY | 5/1/2018 | 1.450 | 28,830 | 28,658 | 28,735 | |||||||||
EVERSOURCE ENERGY | 1/15/2018 | 1.600 | 8,025 | 8,023 | 8,007 | |||||||||
NEXTERA ENERGY INC | 6/1/2017 | 1.586 | 5,770 | 5,770 | 5,773 | |||||||||
NEXTERA ENERGY INC | 9/1/2017 | 2.056 | 20,000 | 20,022 | 20,088 | |||||||||
PG&E CORPORATION | 3/1/2019 | 2.400 | 37,922 | 38,159 | 38,066 | |||||||||
PPL CORPORATION | 6/1/2018 | 1.900 | 29,901 | 29,883 | 29,894 | |||||||||
TEXAS ENERGY FUTURE HOLDINGS LP | 9/30/2017 | 5.000 | 3,795 | 3,889 | 3,895 | |||||||||
TEXAS ENERGY FUTURE HOLDINGS LP | 6/1/2019 | 2.150 | 13,335 | 13,404 | 13,362 | |||||||||
TRANSALTA CORPORATION | 5/15/2018 | 6.900 | 2,660 | 2,627 | 2,771 | |||||||||
TRANSALTA CORPORATION | 6/3/2017 | 1.900 | 33,942 | 33,837 | 33,772 | |||||||||
WEC ENERGY GROUP INC | 6/15/2018 | 1.650 | 19,667 | 19,666 | 19,649 | |||||||||
XCEL ENERGY INC | 8/15/2020 | 2.200 | 14,835 | 14,812 | 14,857 | |||||||||
XCEL ENERGY INC | 6/1/2017 | 1.200 | 7,000 | 6,999 | 6,993 | |||||||||
TOTAL ELECTRIC | 339,631 | 339,919 | ||||||||||||
ENERGY | ||||||||||||||
BERKSHIRE HATHAWAY INC | 4/30/2018 | 4.893 | 6,743 | 6,966 | 6,921 | |||||||||
CANADIAN NATURAL RESOURCES LTD | 5/15/2017 | 5.700 | 29,200 | 29,618 | 29,635 | |||||||||
CENOVUS ENERGY INC | 10/15/2019 | 5.700 | 8,558 | 8,730 | 9,155 | |||||||||
CHEVRON CORP | 11/16/2018 | 1.790 | 25,000 | 25,000 | 25,095 | |||||||||
ENERGY TRANSFER EQUITY LP | 11/1/2017 | 6.200 | 27,918 | 28,792 | 28,732 | |||||||||
ENTERPRISE PRODUCTS PARTNERS L.P. | 10/15/2019 | 2.550 | 24,460 | 24,708 | 24,710 | |||||||||
NOBLE CORPORATION PLC | 3/15/2017 | 2.500 | 5,000 | 5,006 | 4,981 | |||||||||
PHILLIPS 66 | 5/1/2017 | 2.950 | 17,360 | 17,458 | 17,457 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
EASTERN POWER LLC | 10/2/2025 | 4.750 | 1,453 | 1,453 | 1,453 | ||||||||||||||||||
EDGEWATER GENERATION LLC | 12/13/2025 | 3.896 | 1,222 | 1,219 | 1,219 | ||||||||||||||||||
EFS COGEN HOLDINGS I LLC NEW TERM LOAN 2020 | 9/10/2027 | 4.500 | 750 | 746 | 746 | ||||||||||||||||||
EXGEN RENEWABLES IV LLC TERM LOAN | 12/16/2027 | 3.750 | 500 | 498 | 498 | ||||||||||||||||||
HELIX GEN FUNDING LLC | 6/3/2024 | 4.750 | 899 | 897 | 897 | ||||||||||||||||||
INVENERGY CLEAN POWER LLC | 8/28/2025 | 3.146 | 861 | 859 | 859 | ||||||||||||||||||
LMBE-MC HOLDCO II LLC | 11/26/2025 | 5.000 | 635 | 633 | 633 | ||||||||||||||||||
VISTRA ENERGY CORP | 12/31/2025 | 1.897 | 1,242 | 1,241 | 1,241 | ||||||||||||||||||
WEST DEPTFORD ENERGY HOLDINGS LLC | 8/26/2026 | 3.896 | 1,198 | 1,195 | 1,195 | ||||||||||||||||||
WG PARTNERS | 11/15/2023 | 4.500 | 325 | 323 | 323 | ||||||||||||||||||
TOTAL ELECTRIC | 13,404 | 13,404 | |||||||||||||||||||||
ENERGY | |||||||||||||||||||||||
APERGY CORP | 5/9/2025 | 2.688 | 1,137 | 1,139 | 1,139 | ||||||||||||||||||
HERCULES MERGER SUB LLC | 11/1/2026 | 2.905 | 423 | 421 | 421 | ||||||||||||||||||
TRAVERSE MIDSTREAM PARTNERS | 9/27/2024 | 6.500 | 683 | 681 | 681 | ||||||||||||||||||
TOTAL ENERGY | 2,241 | 2,241 | |||||||||||||||||||||
FINANCE COMPANY | |||||||||||||||||||||||
AVOLON TLB BORROWER | 1/15/2025 | 2.500 | 572 | 571 | 571 | ||||||||||||||||||
CLIPPER ACQUISITIONS CORP TERM LOAN B | 12/27/2024 | 1.902 | 919 | 917 | 917 | ||||||||||||||||||
FINCO I LLC 2020 REPLACEMENT TERM LOAN | 6/27/2025 | 2.648 | 1,086 | 1,087 | 1,087 | ||||||||||||||||||
HAINAN TRAFFIC ADMINISTRATION HOLDING CO LTD | 2/12/2027 | 2.250 | 398 | 397 | 397 | ||||||||||||||||||
TOTAL FINANCE COMPANY | 2,972 | 2,972 | |||||||||||||||||||||
INSURANCE | |||||||||||||||||||||||
ASURION LLC | 11/3/2023 | 3.146 | 201 | 200 | 200 | ||||||||||||||||||
ASURION LLC | 11/29/2024 | 3.146 | 415 | 414 | 414 | ||||||||||||||||||
ASURION LLC TERM LOAN B8 | 12/23/2026 | 3.346 | 473 | 470 | 470 | ||||||||||||||||||
TOTAL INSURANCE | 1,084 | 1,084 | |||||||||||||||||||||
OTHER FINANCIAL INSTITUTIONS | |||||||||||||||||||||||
TRANSUNION | 11/16/2026 | 1.896 | 1,128 | 1,126 | 1,126 | ||||||||||||||||||
TOTAL OTHER FINANCIAL INSTITUTIONS | 1,126 | 1,126 | |||||||||||||||||||||
OTHER INDUSTRY | |||||||||||||||||||||||
HAMILTON HOLDCO LLC | 1/2/2027 | 3.460 | 1,474 | 1,475 | 1,475 | ||||||||||||||||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 4.750 | 987 | 983 | 983 | ||||||||||||||||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 4.750 | 56 | 55 | 55 | ||||||||||||||||||
TOTAL OTHER INDUSTRY | 2,513 | 2,513 | |||||||||||||||||||||
OTHER UTILITY | |||||||||||||||||||||||
SANDY CREEK TERM LOAN | 2/9/2021 | 5.000 | 818 | 818 | 818 | ||||||||||||||||||
TOTAL OTHER UTILITY | 818 | 818 | |||||||||||||||||||||
SOUTHERN NATURAL GAS COMPANY LLC | 4/1/2017 | 5.900 | 3,296 | 3,332 | 3,330 | |||||||||
TRANSCANADA CORPORATION | 11/9/2017 | 1.625 | 33,500 | 33,494 | 33,475 | |||||||||
TRANSCANADA CORPORATION | 6/1/2018 | 2.450 | 20,500 | 20,568 | 20,600 | |||||||||
TOTAL ENERGY | 203,672 | 204,091 | ||||||||||||
NATURAL GAS | ||||||||||||||
CENTERPOINT ENERGY INC | 11/1/2017 | 6.125 | 12,153 | 12,585 | 12,558 | |||||||||
NISOURCE INC | 3/15/2018 | 6.400 | 1,842 | 1,948 | 1,940 | |||||||||
SEMPRA ENERGY | 4/1/2017 | 2.300 | 29,735 | 29,801 | 29,793 | |||||||||
SEMPRA ENERGY | 3/15/2020 | 2.400 | 8,565 | 8,548 | 8,552 | |||||||||
TOTAL NATURAL GAS | 52,882 | 52,843 | ||||||||||||
INSURANCE | ||||||||||||||
AETNA INC | 6/7/2019 | 1.900 | 9,865 | 9,859 | 9,842 | |||||||||
TOTAL INSURANCE | 9,859 | 9,842 | ||||||||||||
TECHNOLOGY | ||||||||||||||
CISCO SYSTEMS INC | 6/15/2018 | 1.650 | 20,000 | 19,998 | 20,060 | |||||||||
CISCO SYSTEMS INC | 9/20/2019 | 1.400 | 12,495 | 12,482 | 12,359 | |||||||||
HEWLETT PACKARD ENTERPRISE CO | 10/5/2018 | 2.850 | 10,000 | 10,000 | 10,097 | |||||||||
SAP SE | 10/14/2017 | 2.950 | 3,000 | 3,022 | 3,029 | |||||||||
SAP SE | 11/15/2017 | 2.130 | 10,000 | 10,000 | 10,033 | |||||||||
TOTAL TECHNOLOGY | 55,502 | 55,578 | ||||||||||||
TRANSPORTATION | ||||||||||||||
CRAWFORD GROUP INC | 10/15/2017 | 6.375 | 19,708 | 20,408 | 20,420 | |||||||||
CRAWFORD GROUP INC | 3/15/2017 | 2.750 | 3,694 | 3,704 | 3,704 | |||||||||
CRAWFORD GROUP INC | 11/1/2018 | 2.800 | 12,880 | 13,028 | 13,039 | |||||||||
NORFOLK SOUTHERN CORPORATION | 4/1/2018 | 5.750 | 35,231 | 36,984 | 36,992 | |||||||||
UNION PACIFIC CORPORATION | 8/15/2018 | 5.700 | 1,000 | 1,069 | 1,068 | |||||||||
TOTAL TRANSPORTATION | 75,193 | 75,223 | ||||||||||||
TOTAL CORPORATE DEBT SECURITIES | 1,595,907 | 1,595,077 | ||||||||||||
TOTAL FIXED MATURITIES | 5,966,057 | 5,953,701 | ||||||||||||
COMMON STOCKS | ||||||||||||||
CHEMICALS | ||||||||||||||
LYONDELLBASELL INDUSTRIES | 16 | 82 | 1,389 | |||||||||||
TOTAL CHEMICALS | 82 | 1,389 | ||||||||||||
CONGLOMERATES/DIVERSIFIED MFG | ||||||||||||||
DAYCO LLC | 10 | 115 | 283 | d | ||||||||||
TOTAL CONGLOMERATES/DIVERSIFIED MFG | 115 | 283 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FINANCE - OTHER | ||||||||||||||
TCEH Corp | 30 | 431 | 470 | |||||||||||
TOTAL FINANCE - OTHER | 431 | 470 | ||||||||||||
GAMING | ||||||||||||||
HERBST GAMING INC | 9 | 86 | 152 | d | ||||||||||
TROPICANA ENTERTAINMENT LLC | 4 | — | 74 | d | ||||||||||
TOTAL GAMING | 86 | 226 | ||||||||||||
LEISURE | ||||||||||||||
MGM HOLDINGS II INC | 37 | 714 | 3,349 | c,d | ||||||||||
TOTAL LEISURE | 714 | 3,349 | ||||||||||||
MEDIA | ||||||||||||||
CENGAGE LEARNING INC | 4 | 128 | 58 | |||||||||||
DEX MEDIA INC | 19 | 40 | 47 | |||||||||||
HIBU PLC | 197 | — | — | |||||||||||
HIBU GROUP 2013 LTD | 210 | — | — | |||||||||||
MEDIANEWS GRP INC | 3 | 41 | 69 | d | ||||||||||
TRIBUNE MEDIA COMPANY | 13 | 576 | 449 | |||||||||||
TRIBUNE PUBLISHING CO | 2 | 1 | 26 | |||||||||||
TOTAL MEDIA | 786 | 649 | ||||||||||||
METALS/MINING | ||||||||||||||
ALERIS INTERNATIONAL INC | 5 | 184 | 161 | d | ||||||||||
TOTAL METALS/MINING | 184 | 161 | ||||||||||||
TELECOMMUNICATIONS | ||||||||||||||
HAWAIIAN TELCOM HOLDCO INC | 3 | 50 | 82 | c,d | ||||||||||
TOTAL TELECOMMUNICATIONS | 50 | 82 | ||||||||||||
TOTAL COMMON STOCKS | 2,448 | 6,609 | ||||||||||||
SYNDICATED LOANS | ||||||||||||||
BASIC INDUSTRY | ||||||||||||||
AXALTA COATING SYSTEMS LTD | 2/1/2023 | 3.250 | 1,142 | 1,141 | 1,141 | |||||||||
CHEMOURS COMPANY | 5/12/2022 | 3.750 | 99 | 98 | 98 | |||||||||
FLEX ACQUISITION HOLDINGS INC | 12/19/2023 | 4.243 | 125 | 124 | 124 | |||||||||
FLINT GROUP GERMANY GMBH | 9/7/2021 | 4.500 | 89 | 89 | 89 | |||||||||
FLINT GROUP GERMANY GMBH | 9/7/2021 | 4.500 | 538 | 536 | 536 | |||||||||
FORTESCUE METALS GROUP LTD | 6/30/2019 | 3.750 | 402 | 401 | 401 | |||||||||
HUNTSMAN CORP | 4/19/2019 | 3.665 | 1,158 | 1,158 | 1,158 | |||||||||
INEOS AG | 12/15/2020 | 3.750 | 987 | 981 | 981 | |||||||||
MINERALS TECHNOLOGIES INC. | 5/10/2021 | 3.750 | 73 | 73 | 73 | |||||||||
NEXEO SOLUTIONS HOLDINGS LLC | 6/9/2023 | 5.250 | 723 | 720 | 720 | |||||||||
PLATFORM SPECIALTY PRODUCTS CORP | 10/13/2023 | 5.000 | 886 | 882 | 882 |
REITS | |||||||||||||||||||||||
EXTENDED STAY AMERICA INC | 9/18/2026 | 2.146 | 495 | 494 | 494 | ||||||||||||||||||
RYMAN HOSPITALITY PROPERTIES | 5/11/2024 | 2.150 | 756 | 755 | 755 | ||||||||||||||||||
VICI PROPERTIES INC | 12/20/2024 | 1.894 | 1,810 | 1,813 | 1,813 | ||||||||||||||||||
TOTAL REITS | 3,062 | 3,062 | |||||||||||||||||||||
TECHNOLOGY | |||||||||||||||||||||||
CARLYLE GROUP INC | 4/16/2025 | 1.896 | 587 | 583 | 583 | ||||||||||||||||||
CDW CORP | 10/13/2026 | 1.900 | 959 | 959 | 959 | ||||||||||||||||||
CELESTICA INC. | 6/27/2025 | 2.396 | 928 | 925 | 925 | ||||||||||||||||||
COMMSCOPE HOLDING CO INC | 4/6/2026 | 3.396 | 1,238 | 1,229 | 1,229 | ||||||||||||||||||
DELL TECHNOLOGIES INC | 9/19/2025 | 2.750 | 1,421 | 1,420 | 1,420 | ||||||||||||||||||
MA FINANCECO LLC | 6/21/2024 | 2.896 | 160 | 159 | 159 | ||||||||||||||||||
MACDONALD DETTWILER AND ASSOCIATES LTD | 10/4/2024 | 2.900 | 722 | 720 | 720 | ||||||||||||||||||
MKS INSTRUMENTS INC TERM LOAN B6 | 2/2/2026 | 1.896 | 499 | 495 | 495 | ||||||||||||||||||
NCR CORPORATION | 8/28/2026 | 2.650 | 496 | 484 | 484 | ||||||||||||||||||
NEUSTAR | 8/8/2024 | 4.500 | 174 | 172 | 172 | ||||||||||||||||||
ON SEMICONDUCTOR CORPORATION | 9/16/2026 | 2.146 | 1,399 | 1,402 | 1,402 | ||||||||||||||||||
PERSPECTA INC | 5/31/2025 | 2.396 | 1,006 | 1,005 | 1,005 | ||||||||||||||||||
PITNEY BOWES INC TERM LOAN B INCR | 1/7/2025 | 5.650 | 494 | 481 | 481 | ||||||||||||||||||
PLANTRONICS INC | 7/2/2025 | 2.646 | 687 | 683 | 683 | ||||||||||||||||||
SABRE HOLDINGS CORPORATION | 2/22/2024 | 2.146 | 1,089 | 1,081 | 1,081 | ||||||||||||||||||
SCIENCE APPLICATIONS INTERNATIONAL CORP | 10/31/2025 | 2.021 | 1,225 | 1,221 | 1,221 | ||||||||||||||||||
SEATTLE SPINCO INC | 6/21/2024 | 2.896 | 1,177 | 1,172 | 1,172 | ||||||||||||||||||
SS&C TECHNOLOGIES HOLDINGS INC | 4/16/2025 | 1.896 | 445 | 441 | 441 | ||||||||||||||||||
TTM TECHNOLOGIES INC | 9/25/2024 | 2.655 | 431 | 429 | 429 | ||||||||||||||||||
VERINT SYSTEMS INC | 6/28/2024 | 2.155 | 1,123 | 1,121 | 1,121 | ||||||||||||||||||
WESTERN DIGITAL CORPORATION | 4/29/2023 | 1.896 | 1,110 | 1,109 | 1,109 | ||||||||||||||||||
XPERI HOLDING CORP | 6/2/2025 | 4.146 | 988 | 903 | 903 | ||||||||||||||||||
TOTAL TECHNOLOGY | 18,194 | 18,194 | |||||||||||||||||||||
TRANSPORTATION | |||||||||||||||||||||||
AMERICAN AIRLINES GROUP INC | 12/14/2023 | 2.159 | 970 | 968 | 968 | ||||||||||||||||||
AMERICAN AIRLINES GROUP INC | 6/27/2025 | 1.898 | 951 | 949 | 949 | ||||||||||||||||||
GENESEE & WYOMING INC | 4/1/2024 | 1.895 | 1,550 | 1,547 | 1,547 | ||||||||||||||||||
UNITED CONTINENTAL HOLDINGS INC | 2/23/2025 | 2.146 | 500 | 485 | 485 | ||||||||||||||||||
XPO LOGISTICS INC | 12/30/2026 | 2.220 | 647 | 645 | 645 | ||||||||||||||||||
TOTAL TRANSPORTATION | 4,594 | 4,594 | |||||||||||||||||||||
TOTAL SYNDICATED LOANS BEFORE ALLOWANCE FOR LOAN LOSSES | 149,480 | 149,480 | |||||||||||||||||||||
ALLOWANCE FOR LOAN LOSSES | (2,259) | (2,259) | |||||||||||||||||||||
TOTAL SYNDICATED LOANS - NET | 147,221 | 147,221 |
POLYONE CORPORATION | 11/12/2022 | 3.500 | 124 | 124 | 124 | |||||||||
RAVAGO HOLDINGS AMERICA INC | 6/30/2023 | 5.000 | 524 | 519 | 519 | |||||||||
TRONOX LTD | 3/19/2020 | 4.500 | 980 | 975 | 975 | |||||||||
UNIVAR INC | 7/1/2022 | 4.250 | 990 | 984 | 984 | |||||||||
VERSUM MATERIALS INC | 9/30/2023 | 3.338 | 75 | 75 | 75 | |||||||||
TOTAL BASIC INDUSTRY | 8,880 | 8,880 | ||||||||||||
BROKERAGE | ||||||||||||||
LPL HOLDINGS | 3/29/2019 | 3.250 | 725 | 721 | 721 | |||||||||
TOTAL BROKERAGE | 721 | 721 | ||||||||||||
CAPITAL GOODS | ||||||||||||||
ACCUDYNE INDUSTRIES BORROWER / ACCUDYNE INDUSTRIES LLC | 12/13/2019 | 4.000 | 949 | 940 | 940 | |||||||||
ADVANCED DISPOSAL SERVICES INC | 10/28/2023 | 3.500 | 807 | 805 | 805 | |||||||||
AI GLOBAL INVESTMENTS & CY SCA | 9/13/2023 | 5.131 | 185 | 185 | 185 | |||||||||
AI GLOBAL INVESTMENTS & CY SCA | 9/13/2023 | 5.131 | 140 | 139 | 139 | |||||||||
ANCHOR GLASS CONTAINER CORP | 12/7/2023 | 4.250 | 175 | 174 | 174 | |||||||||
B/E AEROSPACE INC | 12/16/2021 | 3.893 | 141 | 140 | 140 | |||||||||
BERRY PLASTICS CORP | 2/8/2020 | 3.500 | 977 | 967 | 967 | |||||||||
BERRY PLASTICS GROUP INC | 1/6/2021 | 3.500 | 2,024 | 2,005 | 2,005 | |||||||||
BOE HOLDING CORP | 9/9/2023 | 4.701 | 949 | 949 | 949 | |||||||||
BOOZ ALLEN HAMILTON HOLDING CORP | 7/7/2023 | 3.494 | 150 | 150 | 150 | |||||||||
COD INTERMEDIATE LLC | 8/12/2023 | 4.004 | 425 | 424 | 424 | |||||||||
CROSBY US ACQUISITION CORP | 11/23/2020 | 4.000 | 977 | 975 | 975 | |||||||||
DOUGLAS DYNAMICS INC | 12/31/2021 | 5.250 | 175 | 174 | 174 | |||||||||
EWT HOLDINGS III CORP | 1/15/2021 | 3.500 | 987 | 987 | 987 | |||||||||
FORSTMANN LITTLE & CO | 5/6/2021 | 5.250 | 980 | 974 | 974 | |||||||||
HD SUPPLY HOLDINGS INC | 10/17/2023 | 3.588 | 350 | 348 | 348 | |||||||||
HUSKY INJECTION MOLDING SYSTEMS LTD | 6/30/2021 | 4.250 | 991 | 980 | 980 | |||||||||
LEIDOS HOLDINGS INC | 8/16/2023 | 3.556 | 125 | 125 | 125 | |||||||||
LONE STAR FUND IX (US) LP | 10/25/2023 | 4.500 | 125 | 124 | 124 | |||||||||
PACKAGING HOLDINGS LTD | 1/21/2023 | 4.250 | 896 | 896 | 896 | |||||||||
PRINTPACK HOLDINGS INC | 7/25/2023 | 5.000 | 135 | 135 | 135 | |||||||||
QUIKRETE HOLDINGS INC | 11/15/2023 | 4.000 | 650 | 647 | 647 | |||||||||
TRANSDIGM INC | 6/8/2023 | 3.750 | 874 | 871 | 871 | |||||||||
WASTE INDUSTRIES USA INC. | 2/27/2020 | 3.500 | 246 | 246 | 246 | |||||||||
WESCO AIRCRAFT HARDWARE CORP | 2/28/2021 | 3.338 | 1,516 | 1,500 | 1,500 | |||||||||
WILSONART (ILLINOIS TOOL) | 12/19/2023 | 4.500 | 300 | 299 | 299 | |||||||||
TOTAL CAPITAL GOODS | 16,159 | 16,159 | ||||||||||||
COMMUNICATIONS | ||||||||||||||
ARRIS INTERNATIONAL PLC | 4/17/2020 | 3.500 | 1,000 | 1,000 | 1,000 | |||||||||
CHARTER COMMUNICATIONS INC | 1/3/2021 | 3.000 | 1,287 | 1,273 | 1,273 | |||||||||
DEUTSCHE TELEKOM AG | 11/9/2022 | 3.500 | 993 | 992 | 992 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
PURCHASED OPTIONS | |||||||||||||||||||||||
BNP SECURITIES | 1/19/2021 | 1 | 458 | 458 | |||||||||||||||||||
BNP SECURITIES | 2/2/2021 | — | 106 | 106 | |||||||||||||||||||
BNP SECURITIES | 2/16/2021 | — | 208 | 208 | |||||||||||||||||||
BNP SECURITIES | 2/23/2021 | — | 101 | 101 | |||||||||||||||||||
BNP SECURITIES | 3/2/2021 | — | 103 | 103 | |||||||||||||||||||
BNP SECURITIES | 3/30/2021 | — | 114 | 114 | |||||||||||||||||||
BNP SECURITIES | 4/13/2021 | — | 105 | 105 | |||||||||||||||||||
BNP SECURITIES | 4/27/2021 | — | 111 | 111 | |||||||||||||||||||
BNP SECURITIES | 8/3/2021 | — | 93 | 93 | |||||||||||||||||||
BNP SECURITIES | 8/10/2021 | — | 380 | 380 | |||||||||||||||||||
BNP SECURITIES | 8/17/2021 | — | 93 | 93 | |||||||||||||||||||
BNP SECURITIES | 9/28/2021 | — | 89 | 89 | |||||||||||||||||||
BNP SECURITIES | 10/26/2021 | — | 221 | 221 | |||||||||||||||||||
BNP SECURITIES | 11/2/2021 | — | 208 | 208 | |||||||||||||||||||
BNP SECURITIES | 2/1/2022 | — | 214 | 214 | |||||||||||||||||||
BNP SECURITIES | 3/30/2021 | — | 179 | 179 | |||||||||||||||||||
BNP SECURITIES | 3/29/2022 | — | 193 | 193 | |||||||||||||||||||
BNP SECURITIES | 4/13/2021 | — | 86 | 86 | |||||||||||||||||||
BNP SECURITIES | 4/12/2022 | — | 187 | 187 | |||||||||||||||||||
BNP SECURITIES | 4/19/2022 | — | 92 | 92 | |||||||||||||||||||
BNP SECURITIES | 6/29/2021 | — | 246 | 246 | |||||||||||||||||||
BNP SECURITIES | 6/28/2022 | — | 179 | 179 | |||||||||||||||||||
BNP SECURITIES | 7/13/2021 | — | 79 | 79 | |||||||||||||||||||
BNP SECURITIES | 9/20/2022 | — | 183 | 183 | |||||||||||||||||||
BNP SECURITIES | 10/11/2022 | — | 179 | 179 | |||||||||||||||||||
BNP SECURITIES | 11/1/2022 | — | 84 | 84 | |||||||||||||||||||
BNP SECURITIES | 11/15/2022 | — | 162 | 162 | |||||||||||||||||||
BNP SECURITIES | 11/30/2021 | — | 76 | 76 | |||||||||||||||||||
BNP SECURITIES | 1/26/2021 | 2 | 777 | 777 | |||||||||||||||||||
BNP SECURITIES | 2/9/2021 | 1 | 579 | 579 | |||||||||||||||||||
BNP SECURITIES | 2/7/2023 | — | 65 | 65 | |||||||||||||||||||
BNP SECURITIES | 3/2/2021 | 1 | 986 | 986 | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | — | 91 | 91 | |||||||||||||||||||
BNP SECURITIES | 3/30/2021 | 2 | 1,989 | 1,989 | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | — | 247 | 247 | |||||||||||||||||||
BNP SECURITIES | 4/6/2021 | 2 | 1,866 | 1,866 | |||||||||||||||||||
BNP SECURITIES | 4/20/2021 | 2 | 1,640 | 1,640 | |||||||||||||||||||
BNP SECURITIES | 4/19/2022 | — | 108 | 108 | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | — | 112 | 112 | |||||||||||||||||||
BNP SECURITIES | 4/27/2021 | 2 | 1,540 | 1,540 | |||||||||||||||||||
BNP SECURITIES | 4/26/2022 | — | 97 | 97 | |||||||||||||||||||
BNP SECURITIES | 4/25/2023 | — | 102 | 102 | |||||||||||||||||||
BNP SECURITIES | 5/4/2021 | 2 | 1,626 | 1,626 | |||||||||||||||||||
BNP SECURITIES | 5/2/2023 | — | 102 | 102 |
DEX MEDIA INC (DELAWARE) | 7/29/2021 | 11.000 | 121 | 117 | 117 | |||||||||
ENTRAVISION COMMUNICATIONS CORPORATION | 5/31/2020 | 3.500 | 927 | 921 | 921 | |||||||||
GRUPO TELEVISA SAB | 3/1/2020 | 4.000 | 984 | 978 | 978 | |||||||||
HIBU PLC | 9/6/2065 | 8.500 | 126 | 143 | 143 | |||||||||
HIBU PLC | 9/6/2021 | 8.000 | 138 | 136 | 136 | |||||||||
HUBBARD RADIO LLC | 5/27/2022 | 4.250 | 191 | 191 | 191 | |||||||||
INTELSAT SA | 6/30/2019 | 3.750 | 1,000 | 991 | 991 | |||||||||
ION MEDIA NETWORKS INC | 12/18/2020 | 4.500 | 325 | 323 | 323 | |||||||||
MEDIA GENERAL INC | 7/31/2020 | 4.000 | 907 | 904 | 904 | |||||||||
MEDIACOM COMMUNICATIONS CORPORATION | 3/31/2018 | 3.210 | 987 | 982 | 982 | |||||||||
NATIONAL CINEMEDIA LLC | 11/26/2019 | 3.360 | 1,000 | 986 | 986 | |||||||||
NEXSTAR BROADCASTING GROUP INC | 12/15/2023 | 3.500 | 425 | 424 | 424 | |||||||||
NEXT LUXEMBOURG SCSP | 10/11/2024 | 3.876 | 313 | 310 | 310 | |||||||||
SALEM MEDIA GROUP INC | 3/13/2020 | 4.500 | 978 | 975 | 975 | |||||||||
SINCLAIR BROADCAST GROUP INC | 4/9/2020 | 3.000 | 980 | 969 | 969 | |||||||||
SONIFI SOLUTIONS INC | 3/28/2018 | 6.750 | 321 | 297 | 297 | |||||||||
SOUTHWIRE CO | 2/10/2021 | 3.250 | 969 | 959 | 959 | |||||||||
TRIBUNE MEDIA COMPANY | 12/27/2020 | 3.750 | 1,261 | 1,258 | 1,258 | |||||||||
VNU INTERMEDIATE HOLDING BV | 9/30/2023 | 3.154 | 742 | 741 | 741 | |||||||||
WINDSTREAM HOLDINGS INC | 8/8/2019 | 3.500 | 980 | 972 | 972 | |||||||||
TOTAL COMMUNICATIONS | 16,842 | 16,842 | ||||||||||||
CONSUMER CYCLICAL | ||||||||||||||
AFFINITY GAMING LLC | 7/1/2023 | 5.000 | 324 | 323 | 323 | |||||||||
ALLISON TRANSMISSION INC | 9/16/2022 | 3.250 | 563 | 562 | 562 | |||||||||
ANSCHUTZ CO | 4/1/2022 | 3.250 | 982 | 979 | 979 | |||||||||
ARGOS HOLDINGS INC | 3/10/2022 | 4.000 | 987 | 987 | 987 | |||||||||
BASS PRO GROUP LLC | 6/5/2020 | 4.000 | 148 | 147 | 147 | |||||||||
BOYD GAMING CORPORATION | 9/15/2023 | 3.749 | 125 | 125 | 125 | |||||||||
CCM MERGER INC | 8/8/2021 | 4.000 | 325 | 324 | 324 | |||||||||
CREATIVE ARTISTS AGENCY LLC | 12/17/2021 | 5.004 | 691 | 689 | 689 | |||||||||
DALIAN HEXING INVESTMENT CO LTD | 12/15/2022 | 3.989 | 987 | 986 | 986 | |||||||||
DIGITAL CINEMA IMPLEMENTATION PARTNERS LLC | 5/17/2021 | 3.335 | 753 | 746 | 746 | |||||||||
DOLLAR TREE INC | 7/6/2022 | 3.250 | 84 | 84 | 84 | |||||||||
FIAT CHRYSLER AUTOMOBILES NV | 12/31/2018 | 3.270 | 583 | 582 | 582 | |||||||||
GATES GLOBAL LLC | 7/6/2021 | 4.250 | 973 | 951 | 951 | |||||||||
HILTON WORLDWIDE HOLDINGS INC | 10/26/2020 | 3.500 | 65 | 65 | 65 | |||||||||
HILTON WORLDWIDE HOLDINGS INC | 10/25/2023 | 3.084 | 888 | 885 | 885 | |||||||||
HUDSONS BAY CO | 9/30/2022 | 4.250 | 69 | 69 | 69 | |||||||||
KKR & CO LP | 7/1/2022 | 5.000 | 1,003 | 1,000 | 1,000 | |||||||||
LAS VEGAS SANDS CORP | 12/19/2020 | 3.250 | 545 | 536 | 536 | |||||||||
LIONS GATE ENTERTAINMENT CORP | 12/1/2023 | 3.750 | 350 | 348 | 348 | |||||||||
LIONS GATE ENTERTAINMENT CORP | 12/1/2021 | 3.149 | 150 | 149 | 149 | |||||||||
MICHAELS COMPANIES INC | 1/28/2023 | 3.750 | 987 | 985 | 985 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
BNP SECURITIES | 5/18/2021 | 2 | 1,453 | 1,453 | |||||||||||||||||||
BNP SECURITIES | 5/16/2023 | — | 294 | 294 | |||||||||||||||||||
BNP SECURITIES | 6/8/2021 | 2 | 969 | 969 | |||||||||||||||||||
BNP SECURITIES | 6/7/2022 | — | 71 | 71 | |||||||||||||||||||
BNP SECURITIES | 6/29/2021 | 1 | 989 | 989 | |||||||||||||||||||
BNP SECURITIES | 7/6/2021 | 2 | 1,138 | 1,138 | |||||||||||||||||||
BNP SECURITIES | 7/13/2021 | 2 | 941 | 941 | |||||||||||||||||||
BNP SECURITIES | 8/10/2021 | 2 | 792 | 792 | |||||||||||||||||||
BNP SECURITIES | 8/17/2021 | 2 | 729 | 729 | |||||||||||||||||||
BNP SECURITIES | 8/16/2022 | — | 119 | 119 | |||||||||||||||||||
BNP SECURITIES | 8/15/2023 | — | 67 | 67 | |||||||||||||||||||
BNP SECURITIES | 8/24/2021 | 1 | 627 | 627 | |||||||||||||||||||
BNP SECURITIES | 8/22/2023 | — | 63 | 63 | |||||||||||||||||||
BNP SECURITIES | 9/14/2021 | 1 | 585 | 585 | |||||||||||||||||||
BNP SECURITIES | 9/21/2021 | 1 | 781 | 781 | |||||||||||||||||||
BNP SECURITIES | 10/5/2021 | 1 | 686 | 686 | |||||||||||||||||||
BNP SECURITIES | 10/12/2021 | 1 | 501 | 501 | |||||||||||||||||||
BNP SECURITIES | 10/19/2021 | 1 | 518 | 518 | |||||||||||||||||||
BNP SECURITIES | 10/26/2021 | 1 | 616 | 616 | |||||||||||||||||||
BNP SECURITIES | 11/9/2021 | 1 | 527 | 527 | |||||||||||||||||||
BNP SECURITIES | 11/16/2021 | 1 | 399 | 399 | |||||||||||||||||||
BNP SECURITIES | 12/14/2021 | 1 | 316 | 316 | |||||||||||||||||||
BNP SECURITIES | 12/21/2021 | 1 | 292 | 292 | |||||||||||||||||||
BNP SECURITIES | 12/28/2021 | 1 | 272 | 272 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/5/2021 | — | 100 | 100 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/12/2021 | — | 98 | 98 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/26/2021 | — | 93 | 93 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/9/2021 | — | 109 | 109 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/9/2021 | — | 198 | 198 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/16/2021 | — | 104 | 104 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/6/2021 | — | 110 | 110 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/20/2021 | — | 112 | 112 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/4/2021 | — | 109 | 109 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/11/2021 | — | 105 | 105 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/25/2021 | — | 107 | 107 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/1/2021 | — | 102 | 102 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/8/2021 | — | 99 | 99 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/15/2021 | — | 101 | 101 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/22/2021 | — | 105 | 105 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/29/2021 | — | 212 | 212 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/6/2021 | — | 98 | 98 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/13/2021 | — | 194 | 194 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/20/2021 | — | 96 | 96 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/27/2021 | — | 97 | 97 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/24/2021 | — | 90 | 90 |
MOHEGAN TRIBAL GAMING AUTHORITY | 10/13/2023 | 5.500 | 675 | 668 | 668 | |||||||||
NEIMAN MARCUS GROUP INC | 10/25/2020 | 4.250 | 987 | 978 | 978 | |||||||||
PENN NATIONAL GAMING INC | 10/30/2020 | 3.250 | 977 | 973 | 973 | |||||||||
PVH CORP | 2/13/2019 | 2.207 | 997 | 997 | 997 | |||||||||
RESTAURANT BRANDS INTERNATIONAL INC | 12/10/2021 | 3.750 | 987 | 986 | 986 | |||||||||
SERVICEMASTER GLOBAL HOLDINGS INC | 11/8/2023 | 3.106 | 650 | 648 | 648 | |||||||||
SIX FLAGS ENTERTAINMENT CORP | 6/30/2022 | 3.284 | 172 | 171 | 171 | |||||||||
THL PC TOPCO LP | 8/19/2022 | 4.204 | 183 | 183 | 183 | |||||||||
WEST CORPORATION | 6/17/2023 | 2.500 | 150 | 150 | 150 | |||||||||
YUM! BRANDS INC. | 6/16/2023 | 3.486 | 175 | 174 | 174 | |||||||||
TOTAL CONSUMER CYCLICAL | 17,450 | 17,450 | ||||||||||||
CONSUMER NON CYCLICAL | ||||||||||||||
ALBERTSONS INVESTOR HOLDINGS LLC | 6/22/2023 | 4.246 | 305 | 304 | 304 | |||||||||
ALERE INC | 6/20/2022 | 4.250 | 349 | 346 | 346 | |||||||||
ARAMARK | 2/24/2021 | 3.338 | 728 | 726 | 726 | |||||||||
CATALENT INC | 5/20/2021 | 3.750 | 578 | 575 | 575 | |||||||||
ENDO INTERNATIONAL PLC | 9/26/2022 | 3.750 | 124 | 123 | 123 | |||||||||
GRIFOLS SA | 2/27/2021 | 3.708 | 977 | 974 | 974 | |||||||||
JAGUAR HOLDING COMPANY I | 8/18/2022 | 4.250 | 988 | 983 | 983 | |||||||||
JBS SA | 9/18/2020 | 3.750 | 980 | 970 | 970 | |||||||||
MALLINCKRODT PLC | 3/19/2021 | 3.338 | 977 | 976 | 976 | |||||||||
PINNACLE FOODS INC | 4/29/2020 | 3.387 | 1,000 | 998 | 998 | |||||||||
PRESTIGE BRANDS HOLDINGS INC | 9/3/2021 | 3.500 | 822 | 819 | 819 | |||||||||
QUORUM HEALTH CORP | 4/29/2022 | 6.750 | 148 | 145 | 145 | |||||||||
ROYALTY PHARMA INVESTMENTS | 10/5/2022 | 3.176 | 303 | 303 | 303 | |||||||||
TEAM HEALTH HOLDINGS INC | 11/23/2022 | 3.838 | 248 | 246 | 246 | |||||||||
US FOODS HOLDING CORP | 6/27/2023 | 3.750 | 1,474 | 1,469 | 1,469 | |||||||||
VALEANT PHARMACEUTICALS INTERNATIONAL INC | 4/1/2022 | 5.500 | 945 | 940 | 940 | |||||||||
TOTAL CONSUMER NON CYCLICAL | 10,897 | 10,897 | ||||||||||||
ELECTRIC | ||||||||||||||
ASTORIA PROJECT PARTNERS | 12/24/2021 | 5.000 | 227 | 225 | 225 | |||||||||
CALPINE CORP | 1/31/2022 | 3.340 | 1,000 | 992 | 992 | |||||||||
DYNEGY INC | 4/23/2020 | 4.000 | 286 | 284 | 284 | |||||||||
LIGHTSTONE GENERATION LLC | 12/18/2023 | 6.463 | 183 | 179 | 179 | |||||||||
LIGHTSTONE GENERATION LLC | 12/8/2023 | 6.463 | 17 | 17 | 17 | |||||||||
NRG ENERGY INC | 6/30/2023 | 3.500 | 998 | 991 | 991 | |||||||||
VIVA ALAMO LLC | 2/22/2021 | 5.474 | 269 | 267 | 267 | |||||||||
WG PARTNERS | 11/15/2023 | 5.000 | 375 | 371 | 371 | |||||||||
WINDSOR FINANCING LLC | 12/5/2017 | 6.250 | 905 | 908 | 908 | |||||||||
TOTAL ELECTRIC | 4,234 | 4,234 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WELLS FARGO BANK NA | 8/31/2021 | — | 90 | 90 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/7/2021 | — | 274 | 274 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/14/2021 | — | 270 | 270 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/21/2021 | — | 178 | 178 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/5/2021 | — | 185 | 185 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/12/2021 | — | 198 | 198 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/19/2021 | — | 210 | 210 | |||||||||||||||||||
WELLS FARGO BANK NA | 11/9/2021 | — | 214 | 214 | |||||||||||||||||||
WELLS FARGO BANK NA | 11/16/2021 | — | 228 | 228 | |||||||||||||||||||
WELLS FARGO BANK NA | 11/23/2021 | — | 111 | 111 | |||||||||||||||||||
WELLS FARGO BANK NA | 11/30/2021 | — | 109 | 109 | |||||||||||||||||||
WELLS FARGO BANK NA | 12/7/2021 | — | 230 | 230 | |||||||||||||||||||
WELLS FARGO BANK NA | 12/14/2021 | — | 369 | 369 | |||||||||||||||||||
WELLS FARGO BANK NA | 12/21/2021 | — | 563 | 563 | |||||||||||||||||||
WELLS FARGO BANK NA | 12/28/2021 | — | 253 | 253 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/5/2021 | — | 236 | 236 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/4/2022 | — | 241 | 241 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/12/2021 | — | 115 | 115 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/11/2022 | — | 235 | 235 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/19/2021 | — | 112 | 112 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/18/2022 | — | 116 | 116 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/26/2021 | — | 223 | 223 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/25/2022 | — | 230 | 230 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/9/2021 | — | 405 | 405 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/8/2022 | — | 319 | 319 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/16/2021 | — | 195 | 195 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | 207 | 207 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/23/2021 | — | 192 | 192 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | 204 | 204 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/2/2021 | — | 97 | 97 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/1/2022 | — | 103 | 103 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/9/2021 | — | 97 | 97 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | 308 | 308 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/16/2021 | — | 93 | 93 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/15/2022 | — | 99 | 99 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/23/2021 | — | 188 | 188 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | — | 201 | 201 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/6/2021 | — | 89 | 89 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/5/2022 | 1 | 479 | 479 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/27/2021 | — | 83 | 83 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/26/2022 | — | 91 | 91 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/3/2022 | — | 192 | 192 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/11/2021 | — | 94 | 94 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/10/2022 | — | 200 | 200 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/24/2022 | — | 205 | 205 |
ENERGY | ||||||||||||||
RHODE ISLAND STATE ENERGY CENTER | 12/19/2022 | 5.750 | 199 | 196 | 196 | |||||||||
TOTAL ENERGY | 196 | 196 | ||||||||||||
FINANCE COMPANY | ||||||||||||||
ISTAR INC | 7/1/2020 | 5.500 | 898 | 890 | 890 | |||||||||
TOTAL FINANCE COMPANY | 890 | 890 | ||||||||||||
INSURANCE | ||||||||||||||
HOCKEY PARENT HOLDINGS LP | 10/2/2020 | 4.000 | 987 | 977 | 977 | |||||||||
NEW ASURION CORPORATION | 8/4/2022 | 5.000 | 293 | 292 | 292 | |||||||||
NEW ASURION CORPORATION | 11/3/2023 | 4.750 | 325 | 323 | 323 | |||||||||
TOTAL INSURANCE | 1,592 | 1,592 | ||||||||||||
OTHER INDUSTRY | ||||||||||||||
MUELLER WATER PRODUCTS INC | 11/24/2021 | 4.027 | 987 | 987 | 987 | |||||||||
VARSITY BRANDS HOLDING CO INC | 12/10/2021 | 5.000 | 123 | 122 | 122 | |||||||||
TOTAL OTHER INDUSTRY | 1,109 | 1,109 | ||||||||||||
OTHER UTILITY | ||||||||||||||
LS POWER DEVELOPMENT LLC | 11/9/2020 | 5.000 | 918 | 915 | 915 | |||||||||
TOTAL OTHER UTILITY | 915 | 915 | ||||||||||||
REITS | ||||||||||||||
DTZ INVESTMENT HOLDINGS LP | 11/4/2021 | 4.250 | 1,210 | 1,202 | 1,202 | |||||||||
EXTENDED STAY AMERICA INC | 8/30/2023 | 3.750 | 150 | 149 | 149 | |||||||||
TOTAL REITS | 1,351 | 1,351 | ||||||||||||
TECHNOLOGY | ||||||||||||||
BROADCOM LTD | 2/1/2023 | 3.704 | 606 | 598 | 598 | |||||||||
CSRA INC | 11/30/2023 | 3.435 | 124 | 124 | 124 | |||||||||
DELL TECHNOLOGIES INC | 9/7/2023 | 4.000 | 575 | 570 | 570 | |||||||||
DELL TECHNOLOGIES INC | 9/7/2021 | 2.860 | 400 | 388 | 388 | |||||||||
MICROSEMI CORPORATION | 1/15/2023 | 3.750 | 175 | 171 | 171 | |||||||||
NEW MOUNTAIN PARTNERS III LP | 10/12/2023 | 4.500 | 125 | 124 | 124 | |||||||||
NEW OMAHA HOLDINGS LP | 7/10/2022 | 3.576 | 933 | 931 | 931 | |||||||||
NXP SEMICONDUCTORS NV | 12/7/2020 | 3.405 | 173 | 172 | 172 | |||||||||
RIVERBED HOLDINGS INC | 4/24/2022 | 4.250 | 200 | 200 | 200 | |||||||||
SABRE HOLDINGS CORPORATION | 2/19/2019 | 4.000 | 822 | 821 | 821 | |||||||||
SCIENCE APPLICATIONS INTERNATIONAL CORP | 5/4/2022 | 3.438 | 779 | 778 | 778 | |||||||||
TESSERA TECHNOLOGIES INC. | 12/9/2023 | 4.000 | 250 | 248 | 248 | |||||||||
TTM TECHNOLOGIES INC | 5/31/2021 | 5.250 | 74 | 72 | 72 | |||||||||
WESTERN DIGITAL CORPORATION | 4/29/2023 | 4.500 | 239 | 233 | 233 | |||||||||
TOTAL TECHNOLOGY | 5,430 | 5,430 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WELLS FARGO BANK NA | 6/1/2021 | — | 97 | 97 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/31/2022 | — | 103 | 103 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/15/2021 | — | 173 | 173 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/14/2022 | — | 187 | 187 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/22/2021 | — | 174 | 174 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | 187 | 187 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/27/2021 | — | 79 | 79 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/26/2022 | — | 87 | 87 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/3/2021 | — | 182 | 182 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/16/2022 | — | 192 | 192 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/13/2022 | — | 88 | 88 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/27/2022 | — | 93 | 93 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/5/2021 | — | 91 | 91 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/4/2022 | — | 194 | 194 | |||||||||||||||||||
WELLS FARGO BANK NA | 10/25/2022 | — | 86 | 86 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/5/2021 | 1 | 727 | 727 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/12/2021 | 1 | 617 | 617 | |||||||||||||||||||
WELLS FARGO BANK NA | 1/19/2021 | 1 | 528 | 528 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/2/2021 | 2 | 703 | 703 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/16/2021 | 1 | 570 | 570 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | 57 | 57 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/14/2023 | — | 65 | 65 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/23/2021 | 1 | 892 | 892 | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | 75 | 75 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/9/2021 | 2 | 1,316 | 1,316 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | 95 | 95 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/7/2023 | — | 100 | 100 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/23/2021 | 2 | 2,608 | 2,608 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | — | 265 | 265 | |||||||||||||||||||
WELLS FARGO BANK NA | 3/21/2023 | — | 269 | 269 | |||||||||||||||||||
WELLS FARGO BANK NA | 4/13/2021 | 2 | 1,563 | 1,563 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/11/2021 | 2 | 1,446 | 1,446 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/9/2023 | — | 102 | 102 | |||||||||||||||||||
WELLS FARGO BANK NA | 5/25/2021 | 1 | 1,112 | 1,112 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/1/2021 | 2 | 1,433 | 1,433 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/15/2021 | 1 | 954 | 954 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/13/2023 | — | 84 | 84 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/22/2021 | 2 | 1,018 | 1,018 | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | 77 | 77 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/20/2021 | 2 | 932 | 932 | |||||||||||||||||||
WELLS FARGO BANK NA | 7/27/2021 | 2 | 927 | 927 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/3/2021 | 2 | 823 | 823 | |||||||||||||||||||
WELLS FARGO BANK NA | 8/31/2021 | 1 | 467 | 467 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/7/2021 | 1 | 703 | 703 | |||||||||||||||||||
WELLS FARGO BANK NA | 9/28/2021 | 1 | 656 | 656 |
TRANSPORTATION | ||||||||||||||
AMERICAN AIRLINES GROUP INC | 6/27/2020 | 3.250 | 980 | 977 | 977 | |||||||||
DELTA AIR LINES INC | 10/18/2018 | 3.250 | 980 | 972 | 972 | |||||||||
HERTZ GLOBAL HOLDINGS INC | 6/30/2023 | 3.500 | 1,000 | 991 | 991 | |||||||||
TOTAL TRANSPORTATION | 2,940 | 2,940 | ||||||||||||
TOTAL SYNDICATED LOANS BEFORE ALLOWANCE FOR LOAN LOSSES | 89,606 | 89,606 | ||||||||||||
ALLOWANCE FOR LOAN LOSSES | (941 | ) | (941 | ) | ||||||||||
TOTAL SYNDICATED LOANS - NET | 88,665 | 88,665 | ||||||||||||
DERIVATIVES | ||||||||||||||
PURCHASED OPTIONS | ||||||||||||||
BNP PARIBAS SA | 8/29/2017 | — | 105 | 105 | ||||||||||
BNP PARIBAS SA | 8/28/2018 | — | 120 | 120 | ||||||||||
BNP PARIBAS SA | 10/23/2018 | — | 91 | 91 | ||||||||||
BNP PARIBAS SA | 5/9/2017 | — | 693 | 693 | ||||||||||
BNP PARIBAS SA | 5/8/2018 | — | 26 | 26 | ||||||||||
BNP PARIBAS SA | 5/7/2019 | — | 32 | 32 | ||||||||||
BNP PARIBAS SA | 6/20/2017 | — | 754 | 754 | ||||||||||
BNP PARIBAS SA | 6/19/2018 | — | 26 | 26 | ||||||||||
BNP PARIBAS SA | 6/18/2019 | — | 65 | 65 | ||||||||||
BNP PARIBAS SA | 6/27/2017 | — | 1,022 | 1,022 | ||||||||||
BNP PARIBAS SA | 6/26/2018 | — | 30 | 30 | ||||||||||
BNP PARIBAS SA | 6/25/2019 | — | 36 | 36 | ||||||||||
BNP PARIBAS SA | 7/3/2017 | — | 899 | 899 | ||||||||||
BNP PARIBAS SA | 7/2/2019 | — | 33 | 33 | ||||||||||
BNP PARIBAS SA | 7/25/2017 | — | 495 | 495 | ||||||||||
BNP PARIBAS SA | 7/23/2019 | — | 28 | 28 | ||||||||||
BNP PARIBAS SA | 8/1/2017 | — | 500 | 500 | ||||||||||
BNP PARIBAS SA | 7/31/2018 | — | 23 | 23 | ||||||||||
BNP PARIBAS SA | 7/30/2019 | — | 29 | 29 | ||||||||||
BNP PARIBAS SA | 8/15/2017 | — | 555 | 555 | ||||||||||
BNP PARIBAS SA | 8/14/2018 | — | 22 | 22 | ||||||||||
BNP PARIBAS SA | 8/22/2017 | — | 462 | 462 | ||||||||||
BNP PARIBAS SA | 8/20/2019 | — | 28 | 28 | ||||||||||
BNP PARIBAS SA | 9/12/2017 | — | 757 | 757 | ||||||||||
BNP PARIBAS SA | 9/10/2019 | — | 31 | 31 | ||||||||||
BNP PARIBAS SA | 9/26/2017 | — | 594 | 594 | ||||||||||
BNP PARIBAS SA | 10/3/2017 | — | 674 | 674 | ||||||||||
BNP PARIBAS SA | 10/1/2019 | — | 61 | 61 | ||||||||||
BNP PARIBAS SA | 10/24/2017 | — | 656 | 656 | ||||||||||
BNP PARIBAS SA | 10/22/2019 | — | 31 | 31 | ||||||||||
BNP PARIBAS SA | 11/7/2017 | — | 673 | 673 | ||||||||||
BNP PARIBAS SA | 11/6/2018 | — | 26 | 26 | ||||||||||
BNP PARIBAS SA | 11/5/2019 | — | 32 | 32 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WELLS FARGO BANK NA | 11/2/2021 | 1 | 587 | 587 | |||||||||||||||||||
WELLS FARGO BANK NA | 11/23/2021 | 1 | 383 | 383 | |||||||||||||||||||
WELLS FARGO BANK NA | 11/30/2021 | 1 | 366 | 366 | |||||||||||||||||||
WELLS FARGO BANK NA | 12/7/2021 | 1 | 341 | 341 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | 66,645 | 66,645 | |||||||||||||||||||||
WRITTEN OPTIONS | |||||||||||||||||||||||
BNP SECURITIES | 1/19/2021 | (1) | (331) | (331) | |||||||||||||||||||
BNP SECURITIES | 2/2/2021 | — | (82) | (82) | |||||||||||||||||||
BNP SECURITIES | 2/16/2021 | — | (160) | (160) | |||||||||||||||||||
BNP SECURITIES | 2/23/2021 | — | (77) | (77) | |||||||||||||||||||
BNP SECURITIES | 3/2/2021 | — | (76) | (76) | |||||||||||||||||||
BNP SECURITIES | 3/30/2021 | — | (89) | (89) | |||||||||||||||||||
BNP SECURITIES | 4/13/2021 | — | (79) | (79) | |||||||||||||||||||
BNP SECURITIES | 4/27/2021 | — | (80) | (80) | |||||||||||||||||||
BNP SECURITIES | 8/3/2021 | — | (60) | (60) | |||||||||||||||||||
BNP SECURITIES | 8/10/2021 | — | (247) | (247) | |||||||||||||||||||
BNP SECURITIES | 8/17/2021 | — | (60) | (60) | |||||||||||||||||||
BNP SECURITIES | 9/28/2021 | — | (56) | (56) | |||||||||||||||||||
BNP SECURITIES | 10/26/2021 | — | (158) | (158) | |||||||||||||||||||
BNP SECURITIES | 11/2/2021 | — | (145) | (145) | |||||||||||||||||||
BNP SECURITIES | 2/1/2022 | — | (146) | (146) | |||||||||||||||||||
BNP SECURITIES | 3/30/2021 | — | (140) | (140) | |||||||||||||||||||
BNP SECURITIES | 3/29/2022 | — | (133) | (133) | |||||||||||||||||||
BNP SECURITIES | 4/13/2021 | — | (66) | (66) | |||||||||||||||||||
BNP SECURITIES | 4/12/2022 | — | (127) | (127) | |||||||||||||||||||
BNP SECURITIES | 4/19/2022 | — | (62) | (62) | |||||||||||||||||||
BNP SECURITIES | 6/29/2021 | — | (202) | (202) | |||||||||||||||||||
BNP SECURITIES | 6/28/2022 | — | (132) | (132) | |||||||||||||||||||
BNP SECURITIES | 7/13/2021 | — | (65) | (65) | |||||||||||||||||||
BNP SECURITIES | 9/20/2022 | — | (152) | (152) | |||||||||||||||||||
BNP SECURITIES | 10/11/2022 | — | (148) | (148) | |||||||||||||||||||
BNP SECURITIES | 11/1/2022 | — | (68) | (68) | |||||||||||||||||||
BNP SECURITIES | 11/15/2022 | — | (130) | (130) | |||||||||||||||||||
BNP SECURITIES | 11/30/2021 | — | (66) | (66) | |||||||||||||||||||
BNP SECURITIES | 1/26/2021 | (2) | (688) | (688) | |||||||||||||||||||
BNP SECURITIES | 2/9/2021 | (1) | (503) | (503) | |||||||||||||||||||
BNP SECURITIES | 2/7/2023 | — | (50) | (50) | |||||||||||||||||||
BNP SECURITIES | 3/2/2021 | (1) | (933) | (933) | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | — | (77) | (77) | |||||||||||||||||||
BNP SECURITIES | 3/30/2021 | (2) | (1,951) | (1,951) | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | — | (231) | (231) | |||||||||||||||||||
BNP SECURITIES | 4/6/2021 | (2) | (1,826) | (1,826) | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | — | (104) | (104) |
BNP PARIBAS SA | 11/21/2017 | — | 485 | 485 | ||||||||||
BNP PARIBAS SA | 11/20/2018 | — | 22 | 22 | ||||||||||
BNP PARIBAS SA | 11/19/2019 | — | 28 | 28 | ||||||||||
BNP PARIBAS SA | 11/28/2017 | — | 456 | 456 | ||||||||||
BNP PARIBAS SA | 11/27/2018 | — | 22 | 22 | ||||||||||
BNP PARIBAS SA | 12/12/2017 | — | 313 | 313 | ||||||||||
BNP PARIBAS SA | 12/11/2018 | — | 38 | 38 | ||||||||||
BNP PARIBAS SA | 12/10/2019 | — | 25 | 25 | ||||||||||
BNP PARIBAS SA | 12/26/2017 | — | 393 | 393 | ||||||||||
BNP PARIBAS SA | 12/24/2018 | — | 19 | 19 | ||||||||||
BNP PARIBAS SA | 12/24/2019 | — | 27 | 27 | ||||||||||
WELLS FARGO BANK NA | 8/22/2017 | — | 155 | 155 | ||||||||||
WELLS FARGO BANK NA | 8/21/2018 | — | 216 | 216 | ||||||||||
WELLS FARGO BANK NA | 12/11/2018 | — | 129 | 129 | ||||||||||
WELLS FARGO BANK NA | 1/3/2017 | — | 930 | 930 | ||||||||||
WELLS FARGO BANK NA | 1/10/2017 | — | 1,285 | 1,285 | ||||||||||
WELLS FARGO BANK NA | 1/17/2017 | — | 1,389 | 1,389 | ||||||||||
WELLS FARGO BANK NA | 1/16/2018 | — | 79 | 79 | ||||||||||
WELLS FARGO BANK NA | 1/15/2019 | — | 132 | 132 | ||||||||||
WELLS FARGO BANK NA | 1/24/2017 | — | 1,631 | 1,631 | ||||||||||
WELLS FARGO BANK NA | 1/23/2018 | — | 113 | 113 | ||||||||||
WELLS FARGO BANK NA | 1/31/2017 | — | 1,401 | 1,401 | ||||||||||
WELLS FARGO BANK NA | 1/29/2019 | — | 128 | 128 | ||||||||||
WELLS FARGO BANK NA | 2/7/2017 | — | 2,074 | 2,074 | ||||||||||
WELLS FARGO BANK NA | 2/14/2017 | — | 1,701 | 1,701 | ||||||||||
WELLS FARGO BANK NA | 2/21/2017 | — | 1,485 | 1,485 | ||||||||||
WELLS FARGO BANK NA | 2/20/2018 | — | 147 | 147 | ||||||||||
WELLS FARGO BANK NA | 2/28/2017 | — | 1,126 | 1,126 | ||||||||||
WELLS FARGO BANK NA | 3/7/2017 | — | 1,153 | 1,153 | ||||||||||
WELLS FARGO BANK NA | 3/14/2017 | — | 939 | 939 | ||||||||||
WELLS FARGO BANK NA | 3/21/2017 | — | 879 | 879 | ||||||||||
WELLS FARGO BANK NA | 3/28/2017 | — | 985 | 985 | ||||||||||
WELLS FARGO BANK NA | 3/27/2018 | — | 82 | 82 | ||||||||||
WELLS FARGO BANK NA | 3/26/2019 | — | 166 | 166 | ||||||||||
WELLS FARGO BANK NA | 4/4/2017 | — | 809 | 809 | ||||||||||
WELLS FARGO BANK NA | 4/11/2017 | — | 855 | 855 | ||||||||||
WELLS FARGO BANK NA | 4/9/2019 | — | 33 | 33 | ||||||||||
WELLS FARGO BANK NA | 4/18/2017 | — | 685 | 685 | ||||||||||
WELLS FARGO BANK NA | 4/17/2018 | — | 25 | 25 | ||||||||||
WELLS FARGO BANK NA | 4/16/2019 | — | 61 | 61 | ||||||||||
WELLS FARGO BANK NA | 4/25/2017 | — | 707 | 707 | ||||||||||
WELLS FARGO BANK NA | 4/24/2018 | — | 25 | 25 | ||||||||||
WELLS FARGO BANK NA | 4/23/2019 | — | 31 | 31 | ||||||||||
WELLS FARGO BANK NA | 5/2/2017 | — | 793 | 793 |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
BNP SECURITIES | 4/19/2022 | — | (104) | (104) | |||||||||||||||||||
BNP SECURITIES | 4/20/2021 | (2) | (1,602) | (1,602) | |||||||||||||||||||
BNP SECURITIES | 4/27/2021 | (2) | (1,478) | (1,478) | |||||||||||||||||||
BNP SECURITIES | 4/26/2022 | — | (90) | (90) | |||||||||||||||||||
BNP SECURITIES | 4/25/2023 | — | (88) | (88) | |||||||||||||||||||
BNP SECURITIES | 5/4/2021 | (2) | (1,561) | (1,561) | |||||||||||||||||||
BNP SECURITIES | 5/2/2023 | — | (88) | (88) | |||||||||||||||||||
BNP SECURITIES | 5/18/2021 | (2) | (1,335) | (1,335) | |||||||||||||||||||
BNP SECURITIES | 5/16/2023 | — | (265) | (265) | |||||||||||||||||||
BNP SECURITIES | 5/18/2021 | — | (78) | (78) | |||||||||||||||||||
BNP SECURITIES | 6/8/2021 | (2) | (936) | (936) | |||||||||||||||||||
BNP SECURITIES | 6/7/2022 | — | (66) | (66) | |||||||||||||||||||
BNP SECURITIES | 6/29/2021 | (1) | (961) | (961) | |||||||||||||||||||
BNP SECURITIES | 7/6/2021 | (2) | (1,103) | (1,103) | |||||||||||||||||||
BNP SECURITIES | 7/13/2021 | (2) | (927) | (927) | |||||||||||||||||||
BNP SECURITIES | 8/10/2021 | (2) | (778) | (778) | |||||||||||||||||||
BNP SECURITIES | 8/15/2023 | — | (61) | (61) | |||||||||||||||||||
BNP SECURITIES | 8/16/2022 | — | (115) | (115) | |||||||||||||||||||
BNP SECURITIES | 8/17/2021 | (2) | (716) | (716) | |||||||||||||||||||
BNP SECURITIES | 8/24/2021 | (1) | (614) | (614) | |||||||||||||||||||
BNP SECURITIES | 8/22/2023 | — | (58) | (58) | |||||||||||||||||||
BNP SECURITIES | 9/14/2021 | (1) | (574) | (574) | |||||||||||||||||||
BNP SECURITIES | 9/21/2021 | (1) | (773) | (773) | |||||||||||||||||||
BNP SECURITIES | 10/5/2021 | (1) | (679) | (679) | |||||||||||||||||||
BNP SECURITIES | 10/12/2021 | (1) | (495) | (495) | |||||||||||||||||||
BNP SECURITIES | 10/19/2021 | (1) | (513) | (513) | |||||||||||||||||||
BNP SECURITIES | 10/26/2021 | (1) | (610) | (610) | |||||||||||||||||||
BNP SECURITIES | 11/9/2021 | (1) | (520) | (520) | |||||||||||||||||||
BNP SECURITIES | 11/16/2021 | (1) | (394) | (394) | |||||||||||||||||||
BNP SECURITIES | 12/14/2021 | (1) | (312) | (312) | |||||||||||||||||||
BNP SECURITIES | 12/21/2021 | (1) | (288) | (288) | |||||||||||||||||||
BNP SECURITIES | 12/28/2021 | (1) | (268) | (268) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/5/2021 | — | (76) | (76) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/12/2021 | — | (73) | (73) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/26/2021 | — | (68) | (68) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/9/2021 | — | (85) | (85) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/9/2021 | — | (145) | (145) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/16/2021 | — | (78) | (78) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/6/2021 | — | (84) | (84) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/20/2021 | — | (87) | (87) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/4/2021 | — | (79) | (79) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/11/2021 | — | (75) | (75) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/25/2021 | — | (78) | (78) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/1/2021 | — | (72) | (72) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/8/2021 | — | (65) | (65) |
WELLS FARGO BANK NA | 5/1/2018 | — | 55 | 55 | ||||||||||
WELLS FARGO BANK NA | 4/30/2019 | — | 67 | 67 | ||||||||||
WELLS FARGO BANK NA | 5/16/2017 | — | 944 | 944 | ||||||||||
WELLS FARGO BANK NA | 5/15/2018 | — | 57 | 57 | ||||||||||
WELLS FARGO BANK NA | 5/14/2019 | — | 34 | 34 | ||||||||||
WELLS FARGO BANK NA | 5/23/2017 | — | 789 | 789 | ||||||||||
WELLS FARGO BANK NA | 5/21/2019 | — | 33 | 33 | ||||||||||
WELLS FARGO BANK NA | 5/30/2017 | — | 746 | 746 | ||||||||||
WELLS FARGO BANK NA | 6/6/2017 | — | 704 | 704 | ||||||||||
WELLS FARGO BANK NA | 6/5/2018 | — | 25 | 25 | ||||||||||
WELLS FARGO BANK NA | 6/4/2019 | — | 61 | 61 | ||||||||||
WELLS FARGO BANK NA | 6/13/2017 | — | 772 | 772 | ||||||||||
WELLS FARGO BANK NA | 6/12/2018 | — | 27 | 27 | ||||||||||
WELLS FARGO BANK NA | 6/11/2019 | — | 66 | 66 | ||||||||||
WELLS FARGO BANK NA | 7/11/2017 | — | 585 | 585 | ||||||||||
WELLS FARGO BANK NA | 7/9/2019 | — | 29 | 29 | ||||||||||
WELLS FARGO BANK NA | 7/18/2017 | — | 488 | 488 | ||||||||||
WELLS FARGO BANK NA | 8/8/2017 | — | 447 | 447 | ||||||||||
WELLS FARGO BANK NA | 8/7/2018 | — | 65 | 65 | ||||||||||
WELLS FARGO BANK NA | 8/6/2019 | — | 55 | 55 | ||||||||||
WELLS FARGO BANK NA | 8/29/2017 | — | 477 | 477 | ||||||||||
WELLS FARGO BANK NA | 8/28/2018 | — | 22 | 22 | ||||||||||
WELLS FARGO BANK NA | 9/5/2017 | — | 530 | 530 | ||||||||||
WELLS FARGO BANK NA | 9/3/2019 | — | 28 | 28 | ||||||||||
WELLS FARGO BANK NA | 9/19/2017 | — | 674 | 674 | ||||||||||
WELLS FARGO BANK NA | 10/10/2017 | — | 572 | 572 | ||||||||||
WELLS FARGO BANK NA | 10/9/2018 | — | 25 | 25 | ||||||||||
WELLS FARGO BANK NA | 10/8/2019 | — | 31 | 31 | ||||||||||
WELLS FARGO BANK NA | 10/17/2017 | — | 623 | 623 | ||||||||||
WELLS FARGO BANK NA | 10/16/2018 | — | 25 | 25 | ||||||||||
WELLS FARGO BANK NA | 10/15/2019 | — | 31 | 31 | ||||||||||
WELLS FARGO BANK NA | 10/31/2017 | — | 680 | 680 | ||||||||||
WELLS FARGO BANK NA | 10/29/2019 | — | 33 | 33 | ||||||||||
WELLS FARGO BANK NA | 11/14/2017 | — | 547 | 547 | ||||||||||
WELLS FARGO BANK NA | 11/12/2019 | — | 29 | 29 | ||||||||||
WELLS FARGO BANK NA | 12/5/2017 | — | 490 | 490 | ||||||||||
WELLS FARGO BANK NA | 12/4/2018 | — | 22 | 22 | ||||||||||
WELLS FARGO BANK NA | 12/3/2019 | — | 28 | 28 | ||||||||||
WELLS FARGO BANK NA | 12/19/2017 | — | 352 | 352 | ||||||||||
WELLS FARGO BANK NA | 12/18/2018 | — | 19 | 19 | ||||||||||
WELLS FARGO BANK NA | 12/17/2019 | — | 25 | 25 | ||||||||||
TOTAL PURCHASED OPTIONS | 45,098 | 45,098 | ||||||||||||
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WELLS FARGO BANK NA | 6/15/2021 | — | (67) | (67) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/22/2021 | — | (71) | (71) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/29/2021 | — | (145) | (145) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/6/2021 | — | (65) | (65) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/13/2021 | — | (132) | (132) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/20/2021 | — | (63) | (63) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/27/2021 | — | (64) | (64) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/24/2021 | — | (57) | (57) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/31/2021 | — | (57) | (57) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/7/2021 | — | (175) | (175) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/14/2021 | — | (171) | (171) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/21/2021 | — | (113) | (113) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/5/2021 | — | (120) | (120) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/12/2021 | — | (134) | (134) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/19/2021 | — | (147) | (147) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/9/2021 | — | (152) | (152) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/16/2021 | — | (167) | (167) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/23/2021 | — | (80) | (80) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/30/2021 | — | (75) | (75) | |||||||||||||||||||
WELLS FARGO BANK NA | 12/7/2021 | — | (162) | (162) | |||||||||||||||||||
WELLS FARGO BANK NA | 12/14/2021 | — | (269) | (269) | |||||||||||||||||||
WELLS FARGO BANK NA | 12/21/2021 | — | (327) | (327) | |||||||||||||||||||
WELLS FARGO BANK NA | 12/21/2021 | — | (54) | (54) | |||||||||||||||||||
WELLS FARGO BANK NA | 12/28/2021 | — | (188) | (188) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/5/2021 | — | (194) | (194) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/4/2022 | — | (175) | (175) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/12/2021 | — | (93) | (93) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/11/2022 | — | (168) | (168) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/19/2021 | — | (91) | (91) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/18/2022 | — | (82) | (82) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/26/2021 | — | (180) | (180) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/25/2022 | — | (163) | (163) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/9/2021 | — | (315) | (315) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/8/2022 | — | (218) | (218) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/16/2021 | — | (155) | (155) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | (147) | (147) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/23/2021 | — | (153) | (153) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | (144) | (144) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/2/2021 | — | (77) | (77) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/1/2022 | — | (73) | (73) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/9/2021 | — | (77) | (77) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | (218) | (218) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/16/2021 | — | (73) | (73) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/15/2022 | — | (69) | (69) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/23/2021 | — | (149) | (149) |
WRITTEN OPTIONS | ||||||||||||||
BNP PARIBAS SA | 8/21/2018 | — | (165 | ) | (165 | ) | ||||||||
BNP PARIBAS SA | 8/29/2017 | — | (88 | ) | (88 | ) | ||||||||
BNP PARIBAS SA | 8/28/2018 | — | (89 | ) | (89 | ) | ||||||||
BNP PARIBAS SA | 4/30/2019 | — | (46 | ) | (46 | ) | ||||||||
BNP PARIBAS SA | 5/9/2017 | — | (548 | ) | (548 | ) | ||||||||
BNP PARIBAS SA | 5/9/2017 | — | (7 | ) | (7 | ) | ||||||||
BNP PARIBAS SA | 5/8/2018 | — | (20 | ) | (20 | ) | ||||||||
BNP PARIBAS SA | 6/11/2019 | — | (46 | ) | (46 | ) | ||||||||
BNP PARIBAS SA | 6/20/2017 | — | (643 | ) | (643 | ) | ||||||||
BNP PARIBAS SA | 6/20/2017 | — | (11 | ) | (11 | ) | ||||||||
BNP PARIBAS SA | 6/19/2018 | — | (22 | ) | (22 | ) | ||||||||
BNP PARIBAS SA | 6/18/2019 | — | (49 | ) | (49 | ) | ||||||||
BNP PARIBAS SA | 6/25/2019 | — | (28 | ) | (28 | ) | ||||||||
BNP PARIBAS SA | 6/26/2018 | — | (26 | ) | (26 | ) | ||||||||
BNP PARIBAS SA | 6/27/2017 | — | (15 | ) | (15 | ) | ||||||||
BNP PARIBAS SA | 6/27/2017 | — | (891 | ) | (891 | ) | ||||||||
BNP PARIBAS SA | 7/3/2017 | — | (771 | ) | (771 | ) | ||||||||
BNP PARIBAS SA | 7/3/2017 | — | (11 | ) | (11 | ) | ||||||||
BNP PARIBAS SA | 7/18/2017 | — | (7 | ) | (7 | ) | ||||||||
BNP PARIBAS SA | 7/25/2017 | — | (404 | ) | (404 | ) | ||||||||
BNP PARIBAS SA | 7/25/2017 | — | (7 | ) | (7 | ) | ||||||||
BNP PARIBAS SA | 7/23/2019 | — | (21 | ) | (21 | ) | ||||||||
BNP PARIBAS SA | 8/1/2017 | — | (413 | ) | (413 | ) | ||||||||
BNP PARIBAS SA | 8/1/2017 | — | (8 | ) | (8 | ) | ||||||||
BNP PARIBAS SA | 7/31/2018 | — | (19 | ) | (19 | ) | ||||||||
BNP PARIBAS SA | 8/6/2019 | — | (41 | ) | (41 | ) | ||||||||
BNP PARIBAS SA | 8/15/2017 | — | (455 | ) | (455 | ) | ||||||||
BNP PARIBAS SA | 8/15/2017 | — | (7 | ) | (7 | ) | ||||||||
BNP PARIBAS SA | 8/14/2018 | — | (18 | ) | (18 | ) | ||||||||
BNP PARIBAS SA | 8/20/2019 | — | (20 | ) | (20 | ) | ||||||||
BNP PARIBAS SA | 8/22/2017 | — | (382 | ) | (382 | ) | ||||||||
BNP PARIBAS SA | 9/3/2019 | — | (21 | ) | (21 | ) | ||||||||
BNP PARIBAS SA | 9/12/2017 | — | (649 | ) | (649 | ) | ||||||||
BNP PARIBAS SA | 9/12/2017 | — | (11 | ) | (11 | ) | ||||||||
BNP PARIBAS SA | 9/19/2017 | — | (10 | ) | (10 | ) | ||||||||
BNP PARIBAS SA | 9/26/2017 | — | (503 | ) | (503 | ) | ||||||||
BNP PARIBAS SA | 9/26/2017 | — | (9 | ) | (9 | ) | ||||||||
BNP PARIBAS SA | 10/3/2017 | — | (575 | ) | (575 | ) | ||||||||
BNP PARIBAS SA | 10/3/2017 | — | (10 | ) | (10 | ) | ||||||||
BNP PARIBAS SA | 10/15/2019 | — | (24 | ) | (24 | ) | ||||||||
BNP PARIBAS SA | 10/24/2017 | — | (573 | ) | (573 | ) | ||||||||
BNP PARIBAS SA | 10/24/2017 | — | (12 | ) | (12 | ) | ||||||||
BNP PARIBAS SA | 10/29/2019 | — | (25 | ) | (25 | ) |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WELLS FARGO BANK NA | 3/22/2022 | — | (141) | (141) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/6/2021 | (69) | (69) | ||||||||||||||||||||
WELLS FARGO BANK NA | 4/5/2022 | (1) | (329) | (329) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/27/2021 | — | (65) | (65) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/26/2022 | — | (63) | (63) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/3/2022 | — | (137) | (137) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/11/2021 | — | (76) | (76) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/10/2022 | — | (145) | (145) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/24/2022 | — | (151) | (151) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/1/2021 | — | (80) | (80) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/31/2022 | — | (76) | (76) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/15/2021 | — | (138) | (138) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/14/2022 | — | (132) | (132) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/22/2021 | — | (139) | (139) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | (133) | (133) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/27/2021 | — | (65) | (65) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/26/2022 | — | (63) | (63) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/3/2021 | — | (154) | (154) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/16/2022 | — | (151) | (151) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/13/2022 | — | (72) | (72) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/27/2022 | — | (78) | (78) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/5/2021 | — | (82) | (82) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/4/2022 | — | (163) | (163) | |||||||||||||||||||
WELLS FARGO BANK NA | 10/25/2022 | (71) | (71) | ||||||||||||||||||||
WELLS FARGO BANK NA | 1/5/2021 | (1) | (647) | (647) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/12/2021 | (1) | (543) | (543) | |||||||||||||||||||
WELLS FARGO BANK NA | 1/19/2021 | (1) | (459) | (459) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/2/2021 | (2) | (621) | (621) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/16/2021 | (1) | (510) | (510) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/15/2022 | — | (48) | (48) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/14/2023 | — | (51) | (51) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/23/2021 | (1) | (833) | (833) | |||||||||||||||||||
WELLS FARGO BANK NA | 2/22/2022 | — | (67) | (67) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/9/2021 | (2) | (1,257) | (1,257) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/8/2022 | — | (86) | (86) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/7/2023 | — | (87) | (87) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/23/2021 | (2) | (2,540) | (2,540) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/22/2022 | — | (251) | (251) | |||||||||||||||||||
WELLS FARGO BANK NA | 3/21/2023 | — | (244) | (244) | |||||||||||||||||||
WELLS FARGO BANK NA | 4/13/2021 | (2) | (1,521) | (1,521) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/11/2021 | (2) | (1,388) | (1,388) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/9/2023 | — | (88) | (88) | |||||||||||||||||||
WELLS FARGO BANK NA | 5/25/2021 | (1) | (1,083) | (1,083) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/1/2021 | (2) | (1,392) | (1,392) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/15/2021 | (1) | (925) | (925) |
BNP PARIBAS SA | 11/7/2017 | — | (589 | ) | (589 | ) | ||||||||
BNP PARIBAS SA | 11/7/2017 | — | (12 | ) | (12 | ) | ||||||||
BNP PARIBAS SA | 11/6/2018 | — | (22 | ) | (22 | ) | ||||||||
BNP PARIBAS SA | 11/12/2019 | — | (22 | ) | (22 | ) | ||||||||
BNP PARIBAS SA | 11/19/2019 | — | (21 | ) | (21 | ) | ||||||||
BNP PARIBAS SA | 11/20/2018 | — | (19 | ) | (19 | ) | ||||||||
BNP PARIBAS SA | 11/21/2017 | — | (10 | ) | (10 | ) | ||||||||
BNP PARIBAS SA | 11/21/2017 | — | (418 | ) | (418 | ) | ||||||||
BNP PARIBAS SA | 11/28/2017 | — | (392 | ) | (392 | ) | ||||||||
BNP PARIBAS SA | 11/28/2017 | — | (10 | ) | (10 | ) | ||||||||
BNP PARIBAS SA | 12/3/2019 | — | (21 | ) | (21 | ) | ||||||||
BNP PARIBAS SA | 12/12/2017 | — | (263 | ) | (263 | ) | ||||||||
BNP PARIBAS SA | 12/12/2017 | — | (7 | ) | (7 | ) | ||||||||
BNP PARIBAS SA | 12/11/2018 | — | (31 | ) | (31 | ) | ||||||||
BNP PARIBAS SA | 12/17/2019 | — | (18 | ) | (18 | ) | ||||||||
BNP PARIBAS SA | 12/26/2017 | — | (7 | ) | (7 | ) | ||||||||
BNP PARIBAS SA | 12/26/2017 | — | (334 | ) | (334 | ) | ||||||||
BNP PARIBAS SA | 12/24/2018 | — | (16 | ) | (16 | ) | ||||||||
BNP PARIBAS SA | 12/24/2019 | — | (15 | ) | (15 | ) | ||||||||
WELLS FARGO BANK NA | 8/22/2017 | — | (133 | ) | (133 | ) | ||||||||
WELLS FARGO BANK NA | 10/23/2018 | — | (62 | ) | (62 | ) | ||||||||
WELLS FARGO BANK NA | 12/11/2018 | — | (69 | ) | (69 | ) | ||||||||
WELLS FARGO BANK NA | 12/11/2018 | — | (7 | ) | (7 | ) | ||||||||
WELLS FARGO BANK NA | 1/3/2017 | — | (785 | ) | (785 | ) | ||||||||
WELLS FARGO BANK NA | 1/3/2017 | — | (12 | ) | (12 | ) | ||||||||
WELLS FARGO BANK NA | 1/10/2017 | — | (1,133 | ) | (1,133 | ) | ||||||||
WELLS FARGO BANK NA | 1/10/2017 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 1/17/2017 | — | (1,209 | ) | (1,209 | ) | ||||||||
WELLS FARGO BANK NA | 1/17/2017 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 1/16/2018 | — | (66 | ) | (66 | ) | ||||||||
WELLS FARGO BANK NA | 1/15/2019 | — | (99 | ) | (99 | ) | ||||||||
WELLS FARGO BANK NA | 1/24/2017 | — | (1,416 | ) | (1,416 | ) | ||||||||
WELLS FARGO BANK NA | 1/24/2017 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 1/23/2018 | — | (94 | ) | (94 | ) | ||||||||
WELLS FARGO BANK NA | 1/31/2017 | — | (1,213 | ) | (1,213 | ) | ||||||||
WELLS FARGO BANK NA | 1/31/2017 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 1/29/2019 | — | (95 | ) | (95 | ) | ||||||||
WELLS FARGO BANK NA | 2/7/2017 | — | (1,842 | ) | (1,842 | ) | ||||||||
WELLS FARGO BANK NA | 2/7/2017 | — | (26 | ) | (26 | ) | ||||||||
WELLS FARGO BANK NA | 2/14/2017 | — | (1,485 | ) | (1,485 | ) | ||||||||
WELLS FARGO BANK NA | 2/14/2017 | — | (21 | ) | (21 | ) | ||||||||
WELLS FARGO BANK NA | 2/21/2017 | — | (1,285 | ) | (1,285 | ) | ||||||||
WELLS FARGO BANK NA | 2/21/2017 | — | (19 | ) | (19 | ) | ||||||||
WELLS FARGO BANK NA | 2/20/2018 | — | (122 | ) | (122 | ) |
Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
WELLS FARGO BANK NA | 2/28/2017 | — | (942 | ) | (942 | ) | ||||||||
WELLS FARGO BANK NA | 2/28/2017 | — | (14 | ) | (14 | ) | ||||||||
WELLS FARGO BANK NA | 3/7/2017 | — | (967 | ) | (967 | ) | ||||||||
WELLS FARGO BANK NA | 3/7/2017 | — | (14 | ) | (14 | ) | ||||||||
WELLS FARGO BANK NA | 3/14/2017 | — | (771 | ) | (771 | ) | ||||||||
WELLS FARGO BANK NA | 3/14/2017 | — | (11 | ) | (11 | ) | ||||||||
WELLS FARGO BANK NA | 3/21/2017 | — | (706 | ) | (706 | ) | ||||||||
WELLS FARGO BANK NA | 3/21/2017 | — | (8 | ) | (8 | ) | ||||||||
WELLS FARGO BANK NA | 3/28/2017 | — | (777 | ) | (777 | ) | ||||||||
WELLS FARGO BANK NA | 3/28/2017 | — | (16 | ) | (16 | ) | ||||||||
WELLS FARGO BANK NA | 3/27/2018 | — | (64 | ) | (64 | ) | ||||||||
WELLS FARGO BANK NA | 3/26/2019 | — | (114 | ) | (114 | ) | ||||||||
WELLS FARGO BANK NA | 4/4/2017 | — | (654 | ) | (654 | ) | ||||||||
WELLS FARGO BANK NA | 4/4/2017 | — | (9 | ) | (9 | ) | ||||||||
WELLS FARGO BANK NA | 4/11/2017 | — | (686 | ) | (686 | ) | ||||||||
WELLS FARGO BANK NA | 4/11/2017 | — | (8 | ) | (8 | ) | ||||||||
WELLS FARGO BANK NA | 4/9/2019 | — | (23 | ) | (23 | ) | ||||||||
WELLS FARGO BANK NA | 4/18/2017 | — | (531 | ) | (531 | ) | ||||||||
WELLS FARGO BANK NA | 4/18/2017 | — | (6 | ) | (6 | ) | ||||||||
WELLS FARGO BANK NA | 4/17/2018 | — | (19 | ) | (19 | ) | ||||||||
WELLS FARGO BANK NA | 4/16/2019 | — | (41 | ) | (41 | ) | ||||||||
WELLS FARGO BANK NA | 4/25/2017 | — | (554 | ) | (554 | ) | ||||||||
WELLS FARGO BANK NA | 4/25/2017 | — | (7 | ) | (7 | ) | ||||||||
WELLS FARGO BANK NA | 4/24/2018 | — | (20 | ) | (20 | ) | ||||||||
WELLS FARGO BANK NA | 4/23/2019 | — | (21 | ) | (21 | ) | ||||||||
WELLS FARGO BANK NA | 5/2/2017 | — | (640 | ) | (640 | ) | ||||||||
WELLS FARGO BANK NA | 5/2/2017 | — | (9 | ) | (9 | ) | ||||||||
WELLS FARGO BANK NA | 5/1/2018 | — | (43 | ) | (43 | ) | ||||||||
WELLS FARGO BANK NA | 5/7/2019 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 5/16/2017 | — | (780 | ) | (780 | ) | ||||||||
WELLS FARGO BANK NA | 5/16/2017 | — | (11 | ) | (11 | ) | ||||||||
WELLS FARGO BANK NA | 5/15/2018 | — | (46 | ) | (46 | ) | ||||||||
WELLS FARGO BANK NA | 5/14/2019 | — | (24 | ) | (24 | ) | ||||||||
WELLS FARGO BANK NA | 5/21/2019 | — | (23 | ) | (23 | ) | ||||||||
WELLS FARGO BANK NA | 5/23/2017 | — | (639 | ) | (639 | ) | ||||||||
WELLS FARGO BANK NA | 5/23/2017 | — | (9 | ) | (9 | ) | ||||||||
WELLS FARGO BANK NA | 5/30/2017 | — | (598 | ) | (598 | ) | ||||||||
WELLS FARGO BANK NA | 5/30/2017 | — | (8 | ) | (8 | ) | ||||||||
WELLS FARGO BANK NA | 6/6/2017 | — | (561 | ) | (561 | ) | ||||||||
WELLS FARGO BANK NA | 6/6/2017 | — | (7 | ) | (7 | ) | ||||||||
WELLS FARGO BANK NA | 6/5/2018 | — | (19 | ) | (19 | ) | ||||||||
WELLS FARGO BANK NA | 6/4/2019 | — | (42 | ) | (42 | ) | ||||||||
WELLS FARGO BANK NA | 6/13/2017 | — | (629 | ) | (629 | ) | ||||||||
WELLS FARGO BANK NA | 6/13/2017 | — | (9 | ) | (9 | ) |
WELLS FARGO BANK NA | 6/13/2023 | — | (74) | (74) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/22/2021 | (2) | (988) | (988) | |||||||||||||||||||
WELLS FARGO BANK NA | 6/21/2022 | — | (72) | (72) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/20/2021 | (2) | (917) | (917) | |||||||||||||||||||
WELLS FARGO BANK NA | 7/27/2021 | (2) | (913) | (913) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/3/2021 | (2) | (809) | (809) | |||||||||||||||||||
WELLS FARGO BANK NA | 8/31/2021 | (1) | (456) | (456) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/7/2021 | (1) | (691) | (691) | |||||||||||||||||||
WELLS FARGO BANK NA | 9/28/2021 | (1) | (650) | (650) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/2/2021 | (1) | (581) | (581) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/23/2021 | (1) | (378) | (378) | |||||||||||||||||||
WELLS FARGO BANK NA | 11/30/2021 | (1) | (361) | (361) | |||||||||||||||||||
WELLS FARGO BANK NA | 12/7/2021 | (1) | (336) | (336) | |||||||||||||||||||
TOTAL WRITTEN OPTIONS | (59,924) | (59,924) |
WELLS FARGO BANK NA | 6/12/2018 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 7/2/2019 | — | (25 | ) | (25 | ) | ||||||||
WELLS FARGO BANK NA | 7/11/2017 | — | (472 | ) | (472 | ) | ||||||||
WELLS FARGO BANK NA | 7/11/2017 | — | (15 | ) | (15 | ) | ||||||||
WELLS FARGO BANK NA | 7/9/2019 | — | (21 | ) | (21 | ) | ||||||||
WELLS FARGO BANK NA | 7/18/2017 | — | (400 | ) | (400 | ) | ||||||||
WELLS FARGO BANK NA | 7/30/2019 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 8/8/2017 | — | (363 | ) | (363 | ) | ||||||||
WELLS FARGO BANK NA | 8/8/2017 | — | (7 | ) | (7 | ) | ||||||||
WELLS FARGO BANK NA | 8/7/2018 | — | (53 | ) | (53 | ) | ||||||||
WELLS FARGO BANK NA | 8/22/2017 | — | (7 | ) | (7 | ) | ||||||||
WELLS FARGO BANK NA | 8/29/2017 | — | (396 | ) | (396 | ) | ||||||||
WELLS FARGO BANK NA | 8/29/2017 | — | (8 | ) | (8 | ) | ||||||||
WELLS FARGO BANK NA | 8/28/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 9/5/2017 | — | (440 | ) | (440 | ) | ||||||||
WELLS FARGO BANK NA | 9/5/2017 | — | (8 | ) | (8 | ) | ||||||||
WELLS FARGO BANK NA | 9/10/2019 | — | (24 | ) | (24 | ) | ||||||||
WELLS FARGO BANK NA | 9/19/2017 | — | (575 | ) | (575 | ) | ||||||||
WELLS FARGO BANK NA | 10/1/2019 | — | (46 | ) | (46 | ) | ||||||||
WELLS FARGO BANK NA | 10/10/2017 | — | (498 | ) | (498 | ) | ||||||||
WELLS FARGO BANK NA | 10/10/2017 | — | (12 | ) | (12 | ) | ||||||||
WELLS FARGO BANK NA | 10/9/2018 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 10/8/2019 | — | (24 | ) | (24 | ) | ||||||||
WELLS FARGO BANK NA | 10/17/2017 | — | (544 | ) | (544 | ) | ||||||||
WELLS FARGO BANK NA | 10/17/2017 | — | (12 | ) | (12 | ) | ||||||||
WELLS FARGO BANK NA | 10/16/2018 | — | (22 | ) | (22 | ) | ||||||||
WELLS FARGO BANK NA | 10/22/2019 | — | (24 | ) | (24 | ) | ||||||||
WELLS FARGO BANK NA | 10/31/2017 | — | (600 | ) | (600 | ) | ||||||||
WELLS FARGO BANK NA | 10/31/2017 | — | (14 | ) | (14 | ) | ||||||||
WELLS FARGO BANK NA | 11/5/2019 | — | (24 | ) | (24 | ) | ||||||||
WELLS FARGO BANK NA | 11/14/2017 | — | (474 | ) | (474 | ) | ||||||||
WELLS FARGO BANK NA | 11/14/2017 | — | (10 | ) | (10 | ) | ||||||||
WELLS FARGO BANK NA | 11/27/2018 | — | (19 | ) | (19 | ) | ||||||||
WELLS FARGO BANK NA | 12/5/2017 | — | (422 | ) | (422 | ) | ||||||||
WELLS FARGO BANK NA | 12/5/2017 | — | (9 | ) | (9 | ) | ||||||||
WELLS FARGO BANK NA | 12/4/2018 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 12/10/2019 | — | (18 | ) | (18 | ) | ||||||||
WELLS FARGO BANK NA | 12/19/2017 | — | (298 | ) | (298 | ) | ||||||||
WELLS FARGO BANK NA | 12/19/2017 | — | (7 | ) | (7 | ) | ||||||||
WELLS FARGO BANK NA | 12/18/2018 | — | (16 | ) | (16 | ) | ||||||||
TOTAL WRITTEN OPTIONS | (38,313 | ) | (38,313 | ) | ||||||||||
FUTURES | |||||||||||||||||||||||
S&P 500 MINI FUTURES | 3/19/2071 | — | 18 | 18 | |||||||||||||||||||
TOTAL FUTURES | 18 | 18 | |||||||||||||||||||||
TOTAL DERIVATIVES - NET | 6,739 | 6,739 | |||||||||||||||||||||
TOTAL INVESTMENTS IN CASH EQUIVALENTS, FIXED MATURITIES, EQUITY SECURITIES, SYNDICATED LOANS AND DERIVATIVES | $ | 7,032,809 | $ | 7,073,559 |
FUTURES | ||||||||||||||
S&P 500 MINI FUTURES | 3/1/2017 | — | (6 | ) | (6 | ) | ||||||||
TOTAL FUTURES | (6 | ) | (6 | ) | ||||||||||
TOTAL DERIVATIVES - NET | 6,779 | 6,779 | ||||||||||||
TOTAL INVESTMENTS IN CASH EQUIVALENTS, FIXED MATURITIES, COMMON STOCK, SYNDICATED LOANS AND DERIVATIVES | $ | 6,175,334 | $ | 6,167,139 |
Part 1 - Mortgage loans on real estate at end of period Part 2 - Interest earned on mortgages | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | Interest due and accrued at end of period | Average gross rate of interest on mortgages held at end of period (e) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan No. | Description (a) | Property Location | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Other - liens on: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Apartment and business: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Under $500: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
121047366 | Murray | UT | 1 | $ | — | $ | 162 | $ | 162 | $ | — | $ | — | $ | — | 3.310 | % | ||||||||||||||||||||||||||||||||||||||||||
121087290 | Doraville | GA | 1 | — | 144 | 144 | — | — | 1 | 5.770 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087359 | Apex | NC | 1 | — | 47 | 47 | — | — | — | 3.520 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087370 | La Jolla | CA | 1 | — | 114 | 114 | — | — | — | 3.260 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087371 | Bulverde | TX | 1 | — | 403 | 403 | — | — | 1 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
Over $500: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
121047210 | West Haven | CT | 1 | — | 4,076 | 4,076 | — | — | 12 | 3.600 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047262 | Fargo | ND | 1 | — | 3,306 | 3,306 | — | — | 15 | 5.440 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047343 | Durham | NC | 1 | — | 1,133 | 1,133 | — | — | 3 | 3.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047347 | Lawrenceville | GA | 1 | — | 1,426 | 1,426 | — | — | 5 | 3.970 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047364 | Kansas City | KS | 1 | — | 908 | 908 | — | — | 3 | 3.420 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047377 | Cookeville | TN | 1 | — | 581 | 581 | — | — | 2 | 3.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047383 | Las Vegas | NV | 1 | — | 2,578 | 2,578 | — | — | 6 | 2.980 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047385 | Cicero | IL | 1 | — | 2,960 | 2,960 | — | — | 9 | 3.850 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047387 | Washington Terrace | UT | 1 | — | 2,177 | 2,177 | — | — | 5 | 3.020 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047392 | Philadelphia | PA | 1 | — | 3,279 | 3,279 | — | — | 12 | 4.310 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047393 | Moore | SC | 1 | — | 1,309 | 1,309 | — | — | 5 | 4.130 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047398 | Springfield | IL | 1 | — | 968 | 968 | — | — | 4 | 4.390 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047400 | Pittsford | NY | 1 | — | 1,377 | 1,377 | — | — | 5 | 4.070 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047402 | Miami | FL | 1 | — | 1,436 | 1,436 | — | — | 4 | 3.750 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047408 | Wyomissing | PA | 1 | — | 3,010 | 3,010 | — | — | 7 | 2.700 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047410 | Chicago | IL | 1 | — | 2,779 | 2,779 | — | — | 6 | 2.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087245 | Southport | CT | 1 | — | 2,690 | 2,690 | — | — | 9 | 4.010 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087313 | Orchard Park | NY | 1 | — | 2,340 | 2,340 | — | — | 8 | 4.050 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087327 | Marietta | GA | 1 | — | 2,152 | 2,152 | — | — | 7 | 3.820 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087344 | Norcross | GA | 1 | — | 1,311 | 1,311 | — | — | 4 | 3.380 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087349 | Carlsbad | CA | 1 | — | 2,131 | 2,131 | — | — | 5 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087358 | Philadelphia | PA | 1 | — | 3,536 | 3,536 | — | — | 10 | 3.450 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087360 | Sun City Center | FL | 1 | — | 3,746 | 3,746 | — | — | 10 | 3.300 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087361 | Oswego | OR | 1 | — | 4,147 | 4,147 | — | — | 15 | 4.260 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087362 | Atlanta | GA | 1 | — | 2,099 | 2,099 | — | — | 7 | 3.810 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087365 | Fairfax | VA | 1 | — | 1,858 | 1,858 | — | — | 7 | 4.450 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087369 | Acworth | GA | 1 | — | 1,134 | 1,134 | — | — | 3 | 3.550 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087375 | Florence | KY | 1 | — | 854 | 854 | — | — | 2 | 3.040 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087376 | Sterling Heights | MI | 1 | — | 1,458 | 1,458 | — | — | 4 | 3.620 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087378 | Pittsburgh | PA | 1 | — | 2,041 | 2,041 | — | — | 6 | 3.690 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087379 | Euless | TX | 1 | — | 1,333 | 1,333 | — | — | 4 | 3.700 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087381 | San Diego | CA | 1 | — | 2,902 | 2,902 | — | — | 8 | 3.130 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087382 | San Diego | CA | 1 | — | 2,775 | 2,775 | — | — | 7 | 3.090 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087384 | Culver City | CA | 1 | — | 2,738 | 2,738 | — | — | 9 | 3.840 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087386 | Bellingham | WA | 1 | — | 4,875 | 4,875 | — | — | 15 | 3.570 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087388 | Riverside | CA | 1 | — | 1,277 | 1,277 | — | — | 3 | 3.270 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087389 | Palmdale | CA | 1 | — | 1,724 | 1,724 | — | — | 5 | 3.270 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087394 | Richmond | TX | 1 | — | 2,987 | 2,987 | — | — | 10 | 4.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087395 | San Francisco | CA | 1 | — | 4,302 | 4,302 | — | — | 15 | 4.180 |
Part 1 - Mortgage loans on real estate at end of period Part 2 - Interest earned on mortgages | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | Interest due and accrued at end of period | Average gross rate of interest on mortgages held at end of period (e) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan No. | Description (a) | Property Location | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
121087396 | Seattle | WA | 1 | — | 4,758 | 4,758 | — | — | 17 | 4.410 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087397 | Nashville | TN | 1 | — | 1,503 | 1,503 | — | — | 5 | 4.350 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087403 | Houston | TX | 1 | — | 4,350 | 4,350 | — | — | 13 | 3.470 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087404 | Blaine | MN | 1 | — | 1,680 | 1,680 | — | — | 5 | 3.320 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087405 | Monroe | WA | 1 | — | 4,151 | 4,151 | — | — | 12 | 3.390 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087406 | Kokomo | IN | 1 | — | 3,000 | 3,000 | — | — | 7 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087407 | Victorville | CA | 1 | — | 1,986 | 1,986 | — | — | 5 | 2.960 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087409 | Pompano Beach | FL | 1 | — | 1,779 | 1,779 | — | — | 4 | 2.740 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087411 | Syracyse | UT | 1 | — | 2,650 | 2,650 | — | — | — | 2.520 | |||||||||||||||||||||||||||||||||||||||||||||||||
Total Other | 53 | — | 116,440 | 116,440 | — | — | 346 | 3.626 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Unallocated Reserve for Losses | 493 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total First Mortgage Loans on Real Estate | 53 | $ | — | $ | 115,947 | $ | 116,440 | $ | — | $ | — | $ | 346 | 3.626 | % |
Part 3 - Location of mortgaged properties | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | ||||||||||||||||||||||||||||||||||||||
State in which mortgaged property is located | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||||||||||||
California | CA | 9 | $ | — | $ | 19,949 | $ | 19,949 | $ | — | $ | — | |||||||||||||||||||||||||||||
Connecticut | CT | 2 | — | 6,766 | 6,766 | — | — | ||||||||||||||||||||||||||||||||||
Florida | FL | 3 | — | 6,961 | 6,961 | — | — | ||||||||||||||||||||||||||||||||||
Georgia | GA | 6 | — | 8,265 | 8,265 | — | — | ||||||||||||||||||||||||||||||||||
Illinois | IL | 3 | — | 6,708 | 6,708 | — | — | ||||||||||||||||||||||||||||||||||
Indiana | IN | 1 | 3,000 | 3,000 | |||||||||||||||||||||||||||||||||||||
Kansas | KS | 1 | — | 907 | 907 | — | — | ||||||||||||||||||||||||||||||||||
Kentucky | KY | 1 | — | 854 | 854 | — | — | ||||||||||||||||||||||||||||||||||
Michigan | MI | 1 | — | 1,458 | 1,458 | — | — | ||||||||||||||||||||||||||||||||||
Minnesota | MN | 1 | — | 1,680 | 1,680 | — | — | ||||||||||||||||||||||||||||||||||
North Carolina | NC | 2 | — | 1,180 | 1,180 | — | — | ||||||||||||||||||||||||||||||||||
North Dakota | ND | 1 | — | 3,306 | 3,306 | — | — | ||||||||||||||||||||||||||||||||||
Nevada | NV | 1 | — | 2,578 | 2,578 | — | — | ||||||||||||||||||||||||||||||||||
New York | NY | 2 | — | 3,717 | 3,717 | — | — | ||||||||||||||||||||||||||||||||||
Oregon | OR | 1 | — | 4,147 | 4,147 | — | — | ||||||||||||||||||||||||||||||||||
Pennsylvania | PA | 4 | — | 11,865 | 11,865 | — | — | ||||||||||||||||||||||||||||||||||
South Carolina | SC | 1 | — | 1,309 | 1,309 | — | — | ||||||||||||||||||||||||||||||||||
Tennessee | TN | 2 | — | 2,085 | 2,085 | — | — | ||||||||||||||||||||||||||||||||||
Texas | TX | 4 | — | 9,073 | 9,073 | — | — | ||||||||||||||||||||||||||||||||||
Utah | UT | 3 | — | 4,989 | 4,989 | — | — | ||||||||||||||||||||||||||||||||||
Virginia | VA | 1 | — | 1,858 | 1,858 | — | — | ||||||||||||||||||||||||||||||||||
Washington | WA | 3 | — | 13,785 | 13,785 | — | — | ||||||||||||||||||||||||||||||||||
Total | 53 | — | 116,440 | 116,440 | — | — | |||||||||||||||||||||||||||||||||||
Unallocated Reserve for Losses | 493 | ||||||||||||||||||||||||||||||||||||||||
Total | 53 | $ | — | $ | 115,947 | $ | 116,440 | $ | — | $ | — |
Part 1 - Mortgage loans on real estate at end of period Part 2 - Interest earned on mortgages | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | Interest due and accrued at end of period | Average gross rate of interest on mortgages held at end of period (e) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan No. | Description (a) | Property Location | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Other - liens on: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Apartment and business: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Under $500: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
121047366 | Murray | UT | 1 | $ | — | $ | 318 | $ | 318 | $ | — | $ | — | $ | — | 3.310 | % | ||||||||||||||||||||||||||||||||||||||||||
121087290 | Doraville | GA | 1 | — | 378 | 378 | — | — | 2 | 5.770 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087347 | Lawrenceville | GA | 1 | — | 58 | 58 | — | — | — | 4.650 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087351 | Gardena | CA | 1 | — | 163 | 163 | — | — | 1 | 4.450 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087359 | Apex | NC | 1 | — | 185 | 185 | — | — | — | 3.520 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087370 | La Jolla | CA | 1 | — | 300 | 300 | — | — | 1 | 3.260 | |||||||||||||||||||||||||||||||||||||||||||||||||
Over $500: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
121047210 | West Haven | CT | 1 | — | 4,212 | 4,212 | — | — | 13 | 3.600 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047262 | Fargo | ND | 1 | — | 3,937 | 3,937 | — | — | 18 | 5.440 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047343 | Durham | NC | 1 | — | 1,175 | 1,175 | — | — | 3 | 3.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047364 | Kansas City | KS | 1 | — | 950 | 950 | — | — | 3 | 3.420 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047377 | Cookeville | TN | 1 | — | 857 | 857 | — | — | 2 | 3.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047383 | Las Vegas | NV | 1 | — | 2,551 | 2,551 | — | — | 7 | 3.340 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047385 | Cicero | IL | 1 | — | 3,050 | 3,050 | — | — | 10 | 3.850 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047387 | Washington Terrace | UT | 1 | — | 2,168 | 2,168 | — | — | 7 | 3.730 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047392 | Philadelphia | PA | 1 | — | 3,344 | 3,344 | — | — | 12 | 4.310 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047393 | Moore | SC | 1 | — | 1,517 | 1,517 | — | — | 5 | 4.130 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047398 | Springfield | IL | 1 | — | 1,078 | 1,078 | — | — | 4 | 4.390 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047399 | Colorado Springs | CO | 1 | — | 4,366 | 4,366 | — | — | 15 | 4.010 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047400 | Pittsford | NY | 1 | — | 1,531 | 1,531 | — | — | 5 | 4.070 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047402 | Miami | FL | 1 | — | 1,465 | 1,465 | — | — | 5 | 3.750 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087245 | Southport | CT | 1 | — | 2,771 | 2,771 | — | — | 9 | 4.010 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087313 | Orchard Park | NY | 1 | — | 2,458 | 2,458 | — | — | 8 | 4.050 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087327 | Marietta | GA | 1 | — | 2,218 | 2,218 | — | — | 7 | 3.820 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087344 | Norcross | GA | 1 | — | 1,390 | 1,390 | — | — | 4 | 3.380 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087345 | Henderson | NV | 1 | — | 3,459 | 3,459 | — | — | 13 | 4.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087349 | Carlsbad | CA | 1 | — | 2,177 | 2,177 | — | — | 5 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087358 | Philadelphia | PA | 1 | — | 3,657 | 3,657 | — | — | 11 | 3.450 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087360 | Sun City Center | FL | 1 | — | 3,842 | 3,842 | — | — | 11 | 3.300 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087361 | Oswego | OR | 1 | — | 4,416 | 4,416 | — | — | 16 | 4.260 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087362 | Atlanta | GA | 1 | — | 2,196 | 2,196 | — | — | 7 | 3.810 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087365 | Fairfax | VA | 1 | — | 1,913 | 1,913 | — | — | 7 | 4.450 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087369 | Acworth | GA | 1 | — | 1,214 | 1,214 | — | — | 4 | 3.550 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087371 | Bulverde | TX | 1 | — | 588 | 588 | — | — | 1 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087372 | Brea | CA | 1 | — | 2,885 | 2,885 | — | — | 7 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087375 | Florence | KY | 1 | — | 1,077 | 1,077 | — | — | 3 | 3.040 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087376 | Sterling Heights | MI | 1 | — | 1,798 | 1,798 | — | — | 5 | 3.620 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087378 | Pittsburgh | PA | 1 | — | 2,222 | 2,222 | — | — | 7 | 3.690 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087379 | Euless | TX | 1 | — | 1,380 | 1,380 | — | — | 4 | 3.700 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087381 | San Diego | CA | 1 | — | 3,341 | 3,341 | — | — | 9 | 3.130 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087382 | San Diego | CA | 1 | — | 3,263 | 3,263 | — | — | 8 | 3.090 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087384 | Culver City | CA | 1 | — | 2,800 | 2,800 | — | — | 9 | 3.840 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087386 | Bellingham | WA | 1 | — | 4,987 | 4,987 | — | — | 15 | 3.570 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087388 | Riverside | CA | 1 | — | 1,467 | 1,467 | — | — | 4 | 3.270 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087389 | Palmdale | CA | 1 | — | 1,980 | 1,980 | — | — | 5 | 3.270 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087394 | Richmond | TX | 1 | — | 3,387 | 3,387 | — | — | 11 | 4.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087395 | San Francisco | CA | 1 | — | 4,420 | 4,420 | — | — | 15 | 4.180 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087396 | Seattle | WA | 1 | — | 4,847 | 4,847 | — | — | 18 | 4.410 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087397 | Nashville | TN | 1 | — | 1,681 | 1,681 | — | — | 6 | 4.350 |
Part 1 - Mortgage loans on real estate at end of period Part 2 - Interest earned on mortgages | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | Interest due and accrued at end of period | Average gross rate of interest on mortgages held at end of period (e) | ||||||||||||||||||||||||||||
Loan No. | Description (a) | Property Location | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||
Other - liens on: | |||||||||||||||||||||||||||||||||
Apartment and business: | |||||||||||||||||||||||||||||||||
Under $500: | |||||||||||||||||||||||||||||||||
121087368 | Norwich | NY | 1 | $ | — | $ | 378 | $ | 378 | $ | — | $ | — | $ | 1 | 3.170 | % | ||||||||||||||||
121087353 | Clayco | OR | 1 | — | 410 | 410 | — | — | 2 | 4.450 | |||||||||||||||||||||||
Over $500: | |||||||||||||||||||||||||||||||||
121047195 | Pharr | TX | 1 | — | 1,011 | 1,011 | — | — | 3 | 3.530 | |||||||||||||||||||||||
121047196 | Pharr | TX | 1 | — | 2,262 | 2,262 | — | — | 7 | 3.530 | |||||||||||||||||||||||
121047197 | Alamo | TX | 1 | — | 518 | 518 | — | — | 2 | 3.530 | |||||||||||||||||||||||
121047210 | West Haven | CT | 1 | — | 4,592 | 4,592 | — | — | 14 | 3.600 | |||||||||||||||||||||||
121047262 | Fargo | ND | 1 | — | 5,639 | 5,639 | — | — | 26 | 5.440 | |||||||||||||||||||||||
121047343 | Durham | NC | 1 | — | 1,429 | 1,429 | — | — | 5 | 4.000 | |||||||||||||||||||||||
121047364 | Kansas City | KS | 1 | — | 1,068 | 1,068 | — | — | 3 | 3.420 | |||||||||||||||||||||||
121047366 | Murray | UT | 1 | — | 758 | 758 | — | — | — | 3.310 | |||||||||||||||||||||||
121047377 | Cookville | TN | 1 | — | 1,629 | 1,629 | — | — | 5 | 3.500 | |||||||||||||||||||||||
121047383 | Las Vegas | NV | 1 | — | 2,788 | 2,788 | — | — | 8 | 3.340 | |||||||||||||||||||||||
121047385 | Cicero | IL | 1 | — | 3,280 | 3,280 | — | — | 11 | 3.850 | |||||||||||||||||||||||
121047387 | Washington Terrace | UT | 1 | — | 2,300 | 2,300 | — | — | 7 | 3.730 | |||||||||||||||||||||||
121047388 | Riverside | CA | 1 | — | 2,000 | 2,000 | — | — | 5 | 3.270 | |||||||||||||||||||||||
121047389 | Palmdale | CA | 1 | — | 2,700 | 2,700 | — | — | 7 | 3.270 | |||||||||||||||||||||||
121087245 | Southport | CT | 1 | — | 2,994 | 2,994 | — | — | 10 | 4.010 | |||||||||||||||||||||||
121087290 | Doraville | GA | 1 | — | 1,006 | 1,006 | — | — | 5 | 5.770 | |||||||||||||||||||||||
121087313 | Orchard Park | NY | 1 | — | 2,785 | 2,785 | — | — | 9 | 4.050 | |||||||||||||||||||||||
121087327 | Marietta | GA | 1 | — | 2,400 | 2,400 | — | — | 8 | 3.820 | |||||||||||||||||||||||
121087344 | Norcross | GA | 1 | — | 1,611 | 1,611 | — | — | 5 | 3.380 | |||||||||||||||||||||||
121087345 | Henderson | NV | 1 | — | 4,606 | 4,606 | — | — | 17 | 4.500 | |||||||||||||||||||||||
121087347 | Lawrenceville | GA | 1 | — | 686 | 686 | — | — | 3 | 4.650 | |||||||||||||||||||||||
121087349 | Carlsbad | CA | 1 | — | 1,788 | 1,788 | — | — | 5 | 3.130 | |||||||||||||||||||||||
121087351 | Gardena | CA | 1 | — | 838 | 838 | — | — | 3 | 4.450 | |||||||||||||||||||||||
121087355 | Oregon City | OR | 1 | — | 853 | 853 | — | — | 2 | 3.460 | |||||||||||||||||||||||
121087358 | Philadelphia | PA | 1 | — | 3,995 | 3,995 | — | — | 11 | 3.450 | |||||||||||||||||||||||
121087359 | Apex | NC | 1 | — | 572 | 572 | — | — | 2 | 3.520 | |||||||||||||||||||||||
121087360 | Sun City Center | FL | 1 | — | 4,110 | 4,110 | — | — | 11 | 3.300 | |||||||||||||||||||||||
121087361 | Oswego | OR | 1 | — | 2,499 | 2,499 | — | — | 7 | 3.480 | |||||||||||||||||||||||
121087362 | Atlanta | GA | 1 | — | 2,465 | 2,465 | — | — | 8 | 3.810 | |||||||||||||||||||||||
121087365 | Fairfax | VA | 1 | — | 2,065 | 2,065 | — | — | 8 | 4.450 | |||||||||||||||||||||||
121087367 | Port Richey | FL | 1 | — | 2,903 | 2,903 | — | — | 9 | 3.590 | |||||||||||||||||||||||
121087369 | Ackworth | GA | 1 | — | 1,438 | 1,438 | — | — | 4 | 3.290 | |||||||||||||||||||||||
121087370 | La Jolla | CA | 1 | — | 777 | 777 | — | — | 2 | 3.260 | |||||||||||||||||||||||
121087371 | Bulverde | TX | 1 | — | 1,054 | 1,054 | — | — | 3 | 3.000 | |||||||||||||||||||||||
121087372 | Brea | CA | 1 | — | 3,028 | 3,028 | — | — | 7 | 2.940 | |||||||||||||||||||||||
121087373 | Dekalb | GA | 1 | — | 1,134 | 1,134 | — | — | 3 | 3.220 | |||||||||||||||||||||||
121087374 | Fort Payne | AL | 1 | — | 1,558 | 1,558 | — | — | 4 | 3.210 | |||||||||||||||||||||||
121087375 | Florence | KY | 1 | — | 1,704 | 1,704 | — | — | 4 | 3.040 |
Part 1 - Mortgage loans on real estate at end of period Part 2 - Interest earned on mortgages | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | Interest due and accrued at end of period | Average gross rate of interest on mortgages held at end of period (e) | ||||||||||||||||||||||||||||
Loan No. | Description (a) | Property Location | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||
121087376 | Sterling Heights | MI | 1 | — | 2,748 | 2,748 | — | — | 8 | 3.620 | |||||||||||||||||||||||
121087378 | Pittsburgh | PA | 1 | — | 2,729 | 2,729 | — | — | 8 | 3.690 | |||||||||||||||||||||||
121087379 | Euless | TX | 1 | — | 1,509 | 1,509 | — | — | 5 | 3.700 | |||||||||||||||||||||||
121087380 | Virginia Beach | VA | 1 | — | 1,874 | 1,874 | — | — | 5 | 3.400 | |||||||||||||||||||||||
121087381 | San Diego | CA | 1 | — | 4,580 | 4,580 | — | — | 12 | 3.130 | |||||||||||||||||||||||
121087382 | San Diego | CA | 1 | — | 4,640 | 4,640 | — | — | 12 | 3.090 | |||||||||||||||||||||||
121087384 | Culver City | CA | 1 | — | 2,973 | 2,973 | — | — | 10 | 3.840 | |||||||||||||||||||||||
121087386 | Bellingham | WA | 1 | — | 5,301 | 5,301 | — | — | 16 | 3.570 | |||||||||||||||||||||||
121087390 | Freehold Township | NJ | 1 | — | 2,000 | 2,000 | — | — | — | 3.450 | |||||||||||||||||||||||
Total Other | 49 | — | 109,985 | 109,985 | — | — | 332 | 3.683 | |||||||||||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||||||||||||
Total First Mortgage Loans on Real Estate | 49 | $ | — | $ | 107,644 | $ | 109,985 | $ | — | $ | — | $ | 332 | 3.683% |
Part 3 - Location of mortgaged properties | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | ||||||||||||||||||||
State in which mortgaged property is located | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||
Alabama | AL | 1 | $ | — | $ | 1,558 | $ | 1,558 | $ | — | $ | — | |||||||||||
California | CA | 9 | — | 23,325 | 23,325 | — | — | ||||||||||||||||
Connecticut | CT | 2 | — | 7,586 | 7,586 | — | — | ||||||||||||||||
Florida | FL | 2 | — | 7,013 | 7,013 | — | — | ||||||||||||||||
Georgia | GA | 7 | — | 10,741 | 10,741 | — | — | ||||||||||||||||
Illinois | IL | 1 | — | 3,280 | 3,280 | — | — | ||||||||||||||||
Kansas | KS | 1 | — | 1,068 | 1,068 | — | — | ||||||||||||||||
Kentucky | KY | 1 | — | 1,704 | 1,704 | — | — | ||||||||||||||||
Michigan | MI | 1 | — | 2,748 | 2,748 | — | — | ||||||||||||||||
North Carolina | NC | 2 | — | 2,001 | 2,001 | — | — | ||||||||||||||||
North Dakota | ND | 1 | — | 5,638 | 5,638 | — | — | ||||||||||||||||
New Jersey | NJ | 1 | — | 2,000 | 2,000 | — | — | ||||||||||||||||
Nevada | NV | 2 | — | 7,394 | 7,394 | — | — | ||||||||||||||||
New York | NY | 2 | — | 3,163 | 3,163 | — | — | ||||||||||||||||
Oregon | OR | 3 | — | 3,762 | 3,762 | — | — | ||||||||||||||||
Pennsylvania | PA | 2 | — | 6,724 | 6,724 | — | — | ||||||||||||||||
Tennessee | TN | 1 | — | 1,629 | 1,629 | — | — | ||||||||||||||||
Texas | TX | 5 | — | 6,354 | 6,354 | — | — | ||||||||||||||||
Utah | UT | 2 | — | 3,058 | 3,058 | — | — | ||||||||||||||||
Virginia | VA | 2 | — | 3,939 | 3,939 | — | — | ||||||||||||||||
Washington | WA | 1 | — | 5,300 | 5,300 | — | — | ||||||||||||||||
Total | 49 | — | 109,985 | 109,985 | — | — | |||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||
Total | 49 | $ | — | $ | 107,644 | $ | 109,985 | $ | — | $ | — | ||||||||||||
NOTES: (a) The classification “residential” includes single dwellings only. Residential multiple dwellings are included in “apartment and business”. (b) Real estate taxes and easements, which in the opinion of ACC are not undue burden on the properties, have been excluded from the determination of “prior liens”. (c) In this Schedule III, carrying amount of mortgage loans represents unpaid principal balances plus unamortized premiums less unamortized discounts and reserve for loss. (d) Interest in arrears for less than three months has been disregarded in computing the total amount of principal subject to delinquent interest. The amounts of mortgage loans being foreclosed are also included in amounts subject to delinquent interest. (e) Information as to interest income by type and class of loan has been omitted because it is not readily available and the obtaining thereof would involve unreasonable effort and expense. In lieu thereof, the average gross interest rates (exclusive of amortization of discounts and premiums) on mortgage loans held at December 31, 2017 are shown by type and class of loan. |
Part 1 - Mortgage loans on real estate at end of period Part 2 - Interest earned on mortgages | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | Interest due and accrued at end of period | Average gross rate of interest on mortgages held at end of period (e) | ||||||||||||||||||||||||||||
Loan No. | Description (a) | Property Location | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||
Other - liens on: | |||||||||||||||||||||||||||||||||
Apartment and business: | |||||||||||||||||||||||||||||||||
Over $500: | |||||||||||||||||||||||||||||||||
121047195 | Pharr | TX | 1 | $ | — | $ | 1,175 | $ | 1,175 | $ | — | $ | — | $ | 3 | 3.530 | % | ||||||||||||||||
121047196 | Pharr | TX | 1 | — | 2,628 | 2,628 | — | — | 8 | 3.530 | |||||||||||||||||||||||
121047197 | Alamo | TX | 1 | — | 602 | 602 | — | — | 2 | 3.530 | |||||||||||||||||||||||
121047210 | West Haven | CT | 1 | — | 4,700 | 4,700 | — | — | — | 3.600 | |||||||||||||||||||||||
121047262 | Fargo | ND | 1 | — | 6,147 | 6,147 | — | — | 28 | 5.440 | |||||||||||||||||||||||
121047343 | Durham | NC | 1 | — | 1,550 | 1,550 | — | — | 5 | 4.000 | |||||||||||||||||||||||
121047364 | Kansas City | KS | 1 | — | 1,106 | 1,106 | — | — | 3 | 3.110 | |||||||||||||||||||||||
121047377 | Cookville | TN | 1 | — | 1,868 | 1,868 | — | — | 5 | 3.500 | |||||||||||||||||||||||
121087245 | Southport | CT | 1 | — | 2,724 | 2,724 | — | — | 13 | 5.750 | |||||||||||||||||||||||
121087290 | Doraville | GA | 1 | — | 1,193 | 1,193 | — | — | 6 | 5.770 | |||||||||||||||||||||||
121087313 | Orchard Park | NY | 1 | — | 2,885 | 2,885 | — | — | 10 | 4.050 | |||||||||||||||||||||||
121087327 | Marietta | GA | 1 | — | 1,877 | 1,877 | — | — | 5 | 3.410 | |||||||||||||||||||||||
121087344 | Norcross | GA | 1 | — | 1,680 | 1,680 | — | — | 5 | 3.380 | |||||||||||||||||||||||
121087345 | Henderson | NV | 1 | — | 4,955 | 4,955 | — | — | 19 | 4.500 | |||||||||||||||||||||||
121087347 | Lawrenceville | GA | 1 | — | 863 | 863 | — | — | 3 | 4.650 | |||||||||||||||||||||||
121087349 | Carlsbad | CA | 1 | — | 1,859 | 1,859 | — | — | 5 | 3.000 | |||||||||||||||||||||||
121087351 | Gardena | CA | 1 | — | 1,044 | 1,044 | — | — | 4 | 4.450 | |||||||||||||||||||||||
121087353 | Beaverton | OR | 1 | — | 514 | 514 | — | — | 2 | 4.450 | |||||||||||||||||||||||
121087355 | Oregon City | OR | 1 | — | 1,104 | 1,104 | — | — | 3 | 3.460 | |||||||||||||||||||||||
121087358 | Philadelphia | PA | 1 | — | 4,100 | 4,100 | — | — | 12 | 3.450 | |||||||||||||||||||||||
121087359 | Apex | NC | 1 | — | 692 | 692 | — | — | 2 | 3.520 | |||||||||||||||||||||||
121087360 | Sun City Center | FL | 1 | — | 4,193 | 4,193 | — | — | 12 | 3.300 | |||||||||||||||||||||||
121087361 | Oswego | OR | 1 | — | 2,984 | 2,984 | — | — | 9 | 3.480 | |||||||||||||||||||||||
121087362 | Atlanta | GA | 1 | — | 2,099 | 2,099 | — | — | 6 | 3.580 | |||||||||||||||||||||||
121087365 | Fairfax | VA | 1 | — | 1,872 | 1,872 | — | — | 6 | 3.610 | |||||||||||||||||||||||
121087366 | Murray | UT | 1 | — | 895 | 895 | — | — | — | 3.310 | |||||||||||||||||||||||
121087367 | Port Richey | FL | 1 | — | 3,123 | 3,123 | — | — | 9 | 3.590 | |||||||||||||||||||||||
121087368 | Norwich | NY | 1 | — | 1,010 | 1,010 | — | — | 3 | 3.170 | |||||||||||||||||||||||
121087369 | Ackworth | GA | 1 | — | 1,509 | 1,509 | — | — | 4 | 3.290 | |||||||||||||||||||||||
121087370 | La Jolla | CA | 1 | — | 941 | 941 | — | — | 3 | 3.260 | |||||||||||||||||||||||
121087371 | Bulverde | TX | 1 | — | 1,220 | 1,220 | — | — | 3 | 3.000 | |||||||||||||||||||||||
121087372 | Brea | CA | 1 | — | 3,098 | 3,098 | — | — | 8 | 2.940 | |||||||||||||||||||||||
121087373 | Dekalb | GA | 1 | — | 1,271 | 1,271 | — | — | 3 | 3.220 | |||||||||||||||||||||||
121087374 | Fort Payne | AL | 1 | — | 1,739 | 1,739 | — | — | 5 | 3.210 | |||||||||||||||||||||||
121087375 | Florence | KY | 1 | — | 1,901 | 1,901 | — | — | 5 | 3.040 | |||||||||||||||||||||||
121087376 | Sterling Heights | MI | 1 | — | 3,043 | 3,043 | — | — | 9 | 3.620 | |||||||||||||||||||||||
121087378 | Pittsburgh | PA | 1 | — | 2,886 | 2,886 | — | — | 9 | 3.690 | |||||||||||||||||||||||
121087379 | Euless | TX | 1 | — | 1,549 | 1,549 | — | — | 4 | 3.700 | |||||||||||||||||||||||
121087380 | Virginia Beach | VA | 1 | — | 1,925 | 1,925 | — | — | 4 | 3.400 | |||||||||||||||||||||||
121087381 | San Diego | CA | 1 | — | 4,967 | 4,967 | — | — | 13 | 3.130 | |||||||||||||||||||||||
Total Other | 40 | — | 87,491 | 87,491 | — | — | 258 | 3.763 | |||||||||||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||||||||||||
Total First Mortgage Loans on Real Estate | 40 | $ | — | $ | 85,150 | $ | 87,491 | $ | — | $ | — | $ | 258 | 3.763 | % |
Part 1 - Mortgage loans on real estate at end of period Part 2 - Interest earned on mortgages | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | Interest due and accrued at end of period | Average gross rate of interest on mortgages held at end of period (e) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loan No. | Description (a) | Property Location | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
121087401 | Southlake | TX | 1 | — | 2,324 | 2,324 | — | — | 8 | 4.030 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087403 | Houston | TX | 1 | — | 4,472 | 4,472 | — | — | 13 | 3.470 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087404 | Blaine | MN | 1 | — | 1,780 | 1,780 | — | — | 5 | 3.320 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087405 | Monroe | WA | 1 | — | 4,237 | 4,237 | — | — | 12 | 3.390 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087406 | Kokomo | IN | 1 | — | 3,000 | 3,000 | — | — | 8 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
Total Other | 53 | — | 123,250 | 123,250 | — | — | 388 | 3.782 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Unallocated Reserve for Losses | 931 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total First Mortgage Loans on Real Estate | 53 | $ | — | $ | 122,319 | $ | 123,250 | $ | — | $ | — | $ | 388 | 3.782 | % |
Part 3 - Location of mortgaged properties | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | ||||||||||||||||||||||||||||||||||||||
State in which mortgaged property is located | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||||||||||||||||||||
California | CA | 10 | $ | — | $ | 22,797 | $ | 22,797 | $ | — | $ | — | |||||||||||||||||||||||||||||
Colorado | CO | 1 | — | 4,366 | 4,366 | — | — | ||||||||||||||||||||||||||||||||||
Connecticut | CT | 2 | — | 6,983 | 6,983 | — | — | ||||||||||||||||||||||||||||||||||
Florida | FL | 2 | — | 5,307 | 5,307 | — | — | ||||||||||||||||||||||||||||||||||
Georgia | GA | 6 | — | 7,453 | 7,453 | — | — | ||||||||||||||||||||||||||||||||||
Illinois | IL | 2 | — | 4,128 | 4,128 | — | — | ||||||||||||||||||||||||||||||||||
Indiana | IN | 1 | — | 3,000 | 3,000 | — | — | ||||||||||||||||||||||||||||||||||
Kansas | KS | 1 | — | 950 | 950 | — | — | ||||||||||||||||||||||||||||||||||
Kentucky | KY | 1 | — | 1,077 | 1,077 | — | — | ||||||||||||||||||||||||||||||||||
Michigan | MI | 1 | — | 1,798 | 1,798 | — | — | ||||||||||||||||||||||||||||||||||
Minnesota | MN | 1 | — | 1,780 | 1,780 | — | — | ||||||||||||||||||||||||||||||||||
North Carolina | NC | 2 | — | 1,360 | 1,360 | — | — | ||||||||||||||||||||||||||||||||||
North Dakota | ND | 1 | — | 3,938 | 3,938 | — | — | ||||||||||||||||||||||||||||||||||
Nevada | NV | 2 | — | 6,011 | 6,011 | — | — | ||||||||||||||||||||||||||||||||||
New York | NY | 2 | — | 3,989 | 3,989 | — | — | ||||||||||||||||||||||||||||||||||
Oregon | OR | 1 | — | 4,415 | 4,415 | — | — | ||||||||||||||||||||||||||||||||||
Pennsylvania | PA | 3 | — | 9,223 | 9,223 | — | — | ||||||||||||||||||||||||||||||||||
South Carolina | SC | 1 | — | 1,516 | 1,516 | — | — | ||||||||||||||||||||||||||||||||||
Tennessee | TN | 2 | — | 2,538 | 2,538 | — | — | ||||||||||||||||||||||||||||||||||
Texas | TX | 5 | — | 12,151 | 12,151 | — | — | ||||||||||||||||||||||||||||||||||
Utah | UT | 2 | — | 2,486 | 2,486 | — | — | ||||||||||||||||||||||||||||||||||
Virginia | VA | 1 | — | 1,913 | 1,913 | — | — | ||||||||||||||||||||||||||||||||||
Washington | WA | 3 | — | 14,071 | 14,071 | — | — | ||||||||||||||||||||||||||||||||||
Total | 53 | — | 123,250 | 123,250 | — | — | |||||||||||||||||||||||||||||||||||
Unallocated Reserve for Losses | 931 | ||||||||||||||||||||||||||||||||||||||||
Total | 53 | $ | — | $ | 122,319 | $ | 123,250 | $ | — | $ | — |
Part 3 - Location of mortgaged properties | Carrying amount of mortgages (c) | Amount of principal unpaid at end of period | Amount of mortgages being foreclosed | ||||||||||||||||||||
State in which mortgaged property is located | Number of loans | Prior liens (b) | Total | Subject to delinquent interest (d) | |||||||||||||||||||
Alabama | AL | 1 | $ | — | $ | 1,739 | $ | 1,739 | $ | — | $ | — | |||||||||||
California | CA | 5 | — | 11,911 | 11,911 | — | — | ||||||||||||||||
Connecticut | CT | 2 | — | 7,424 | 7,424 | — | — | ||||||||||||||||
Florida | FL | 2 | — | 7,316 | 7,316 | — | — | ||||||||||||||||
Georgia | GA | 7 | — | 10,491 | 10,491 | — | — | ||||||||||||||||
Kansas | KS | 1 | — | 1,106 | 1,106 | — | — | ||||||||||||||||
Kentucky | KY | 1 | — | 1,901 | 1,901 | — | — | ||||||||||||||||
Michigan | MI | 1 | — | 3,043 | 3,043 | — | — | ||||||||||||||||
North Carolina | NC | 2 | — | 2,242 | 2,242 | — | — | ||||||||||||||||
North Dakota | ND | 1 | — | 6,147 | 6,147 | — | — | ||||||||||||||||
Nevada | NV | 1 | — | 4,955 | 4,955 | — | — | ||||||||||||||||
New York | NY | 2 | — | 3,895 | 3,895 | — | — | ||||||||||||||||
Oregon | OR | 3 | — | 4,601 | 4,601 | — | — | ||||||||||||||||
Pennsylvania | PA | 2 | — | 6,986 | 6,986 | — | — | ||||||||||||||||
Tennessee | TN | 1 | — | 1,868 | 1,868 | — | — | ||||||||||||||||
Texas | TX | 5 | — | 7,174 | 7,174 | — | — | ||||||||||||||||
Utah | UT | 1 | — | 895 | 895 | — | — | ||||||||||||||||
Virginia | VA | 2 | — | 3,797 | 3,797 | — | — | ||||||||||||||||
Total | 40 | — | 87,491 | 87,491 | — | — | |||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||
Total | 40 | $ | — | $ | 85,150 | $ | 87,491 | $ | — | $ | — | ||||||||||||
NOTES: (a) The classification “residential” includes single dwellings only. Residential multiple dwellings are included in “apartment and business”. (b) Real estate taxes and easements, which in the opinion of ACC are not undue burden on the properties, have been excluded from the determination of “prior liens”. (c) In this Schedule III, carrying amount of mortgage loans represents unpaid principal balances plus unamortized premiums less unamortized discounts and reserve for loss. (d) Interest in arrears for less than three months has been disregarded in computing the total amount of principal subject to delinquent interest. The amounts of mortgage loans being foreclosed are also included in amounts subject to delinquent interest. (e) Information as to interest income by type and class of loan has been omitted because it is not readily available and the obtaining thereof would involve unreasonable effort and expense. In lieu thereof, the average gross interest rates (exclusive of amortization of discounts and premiums) on mortgage loans held at December 31, 2016 are shown by type and class of loan. |
2021 | 2020 | 2019 | |||||||||||||||
Combined average | 3.626 | % | 3.782 | % | 3.832 | % |
2017 | 2016 | 2015 | ||||||
Combined average | 3.683 | % | 3.763 | % | 4.054 | % |
2017 | 2016 | 2015 | 2021 | 2020 | 2019 | |||||||||||||||||||||||
Balance at beginning of period | $ | 85,150 | $ | 97,910 | $ | 94,632 | Balance at beginning of period | $ | 122,319 | $ | 123,040 | $ | 112,434 | |||||||||||||||
Additions during period: | Additions during period: | |||||||||||||||||||||||||||
Purchases and fundings | 30,086 | 14,164 | 16,486 | Purchases and fundings | 13,937 | 7,962 | 22,870 | |||||||||||||||||||||
Impact of of change in accounting policies | Impact of of change in accounting policies | — | 1,608 | — | ||||||||||||||||||||||||
Deductions during period: | Deductions during period: | |||||||||||||||||||||||||||
Collections of principal | (7,592 | ) | (26,924 | ) | (13,208 | ) | Collections of principal | (20,747) | (10,096) | (12,264) | ||||||||||||||||||
Provision for credit loss | Provision for credit loss | 438 | (195) | — | ||||||||||||||||||||||||
Net additions (deductions) | 22,494 | (12,760 | ) | 3,278 | Net additions (deductions) | (6,372) | (721) | 10,606 | ||||||||||||||||||||
Balance at end of period | $ | 107,644 | $ | 85,150 | $ | 97,910 | Balance at end of period | $ | 115,947 | $ | 122,319 | $ | 123,040 |
Name of Depositary | December 31, 2021 | |||||||||||||||||||||||||||||||
Investment Securities | Mortgage Loans (b) | Other (c) | Total | |||||||||||||||||||||||||||||
Bonds and Notes (a) | ||||||||||||||||||||||||||||||||
Deposits with states or their depositories to meet requirements of statutes and agreements: | ||||||||||||||||||||||||||||||||
Illinois - Secretary of State of Illinois | $ | 50 | $ | — | $ | — | $ | 50 | ||||||||||||||||||||||||
New Jersey - Commissioner of Banking and Insurance of New Jersey | 52 | — | — | 52 | ||||||||||||||||||||||||||||
Pennsylvania - Treasurer of the State of Pennsylvania | 155 | — | — | 155 | ||||||||||||||||||||||||||||
Texas - Treasurer of the State of Texas | 108 | — | — | 108 | ||||||||||||||||||||||||||||
Total State Deposits to meet requirements of statutes and agreements | 365 | — | — | 365 | ||||||||||||||||||||||||||||
Total Central Depository - Ameriprise Trust Company | 5,382,213 | 115,947 | 105,622 | 5,603,782 | ||||||||||||||||||||||||||||
Total Deposits | $ | 5,382,578 | $ | 115,947 | $ | 105,622 | 5,604,147 | |||||||||||||||||||||||||
NOTES: (a) Represents amortized cost of bonds, notes and cash equivalents. (b) Represents unpaid principal balance of mortgage loans less unamortized discounts and allowance for credit losses. (c) Represents amortized cost of syndicated loans. |
Name of Depositary | December 31, 2020 | |||||||||||||||||||||||||||||||
Investment Securities | Mortgage Loans (c) | Other (d) | Total | |||||||||||||||||||||||||||||
Bonds and Notes (a) | Equity Securities (b) | |||||||||||||||||||||||||||||||
Deposits with states or their depositories to meet requirements of statutes and agreements: | ||||||||||||||||||||||||||||||||
Illinois - Secretary of State of Illinois | $ | 50 | $ | — | $ | — | $ | — | $ | 50 | ||||||||||||||||||||||
New Jersey - Commissioner of Banking and Insurance of New Jersey | 52 | — | — | — | 52 | |||||||||||||||||||||||||||
Pennsylvania - Treasurer of the State of Pennsylvania | 156 | — | — | — | 156 | |||||||||||||||||||||||||||
Texas - Treasurer of the State of Texas | 165 | — | — | — | 165 | |||||||||||||||||||||||||||
Total State Deposits to meet requirements of statutes and agreements | 423 | — | — | — | 423 | |||||||||||||||||||||||||||
Total Central Depository - Ameriprise Trust Company | 6,878,310 | 56 | 122,319 | 147,221 | 7,147,906 | |||||||||||||||||||||||||||
Total Deposits | $ | 6,878,733 | $ | 56 | $ | 122,319 | $ | 147,221 | 7,148,329 |
Name of Depositary | December 31, 2017 | |||||||||||||||||||
Investment Securities | Mortgage Loans (c) | Other (d) | Total | |||||||||||||||||
Bonds and Notes (a) | Stocks (b) | |||||||||||||||||||
Deposits with states or their depositories to meet requirements of statutes and agreements: | ||||||||||||||||||||
Illinois - Secretary of State of Illinois | $ | 50 | $ | — | $ | — | $ | — | $ | 50 | ||||||||||
New Jersey - Commissioner of Banking and Insurance of New Jersey | 53 | — | — | — | 53 | |||||||||||||||
Pennsylvania - Treasurer of the State of Pennsylvania | 158 | — | — | — | 158 | |||||||||||||||
Texas - Treasurer of the State of Texas | 174 | — | — | — | 174 | |||||||||||||||
Total State Deposits to meet requirements of statutes and agreements | 435 | — | — | — | 435 | |||||||||||||||
Total Central Depository - Ameriprise Trust Company | 6,607,199 | 1,000 | 107,644 | 42,765 | 6,758,608 | |||||||||||||||
Total Deposits | $ | 6,607,634 | $ | 1,000 | $ | 107,644 | $ | 42,765 | $ | 6,759,043 | ||||||||||
Notes: (a) Represents amortized cost of bonds, notes and cash equivalents. (b) Represents fair value of common stocks. (c) Represents unpaid principal balance of mortgage loans less unamortized discounts and reserve for losses. (d) Represents cost of syndicated loans and payable for investment securities purchased. |
Name of Depositary | December 31, 2016 | |||||||||||||||||||
Investment Securities | Mortgage Loans (c) | Other (d) | Total | |||||||||||||||||
Bonds and Notes (a) | Stocks (b) | |||||||||||||||||||
Deposits with states or their depositories to meet requirements of statutes and agreements: | ||||||||||||||||||||
Illinois - Secretary of State of Illinois | $ | 50 | $ | — | $ | — | $ | — | $ | 50 | ||||||||||
New Jersey - Commissioner of Banking and Insurance of New Jersey | 53 | — | — | — | 53 | |||||||||||||||
Pennsylvania - Treasurer of the State of Pennsylvania | 159 | — | — | — | 159 | |||||||||||||||
Texas - Treasurer of the State of Texas | 100 | — | — | — | 100 | |||||||||||||||
Total State Deposits to meet requirements of statutes and agreements | 362 | — | — | — | 362 | |||||||||||||||
Total Central Depository - Ameriprise Trust Company | 6,077,080 | 6,609 | 85,150 | 81,697 | 6,250,536 | |||||||||||||||
Total Deposits | $ | 6,077,442 | $ | 6,609 | $ | 85,150 | $ | 81,697 | $ | 6,250,898 | ||||||||||
Notes: (a) Represents amortized cost of bonds, notes and cash equivalents. (b) Represents fair value of common stocks. (c) Represents unpaid principal balance of mortgage loans less unamortized discounts and reserve for losses. (d) Represents cost of syndicated loans and payable for investment securities purchased. |
Description | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
Installment certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Reserves to mature: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Inst I95 | 514 | $ | — | $ | 4,729 | $ | — | $ | 2,183 | $ | 18 | $ | (453) | $ | (1,669) | $ | — | 450 | $ | — | $ | 4,808 | |||||||||||||||||||||||||||||||
Inst-E | 2 | — | 2 | — | 80 | — | — | — | — | 1 | — | 82 | |||||||||||||||||||||||||||||||||||||||||
RP-Q-Installment | 1 | 6 | 5 | — | — | — | — | — | — | 2 | 6 | 5 | |||||||||||||||||||||||||||||||||||||||||
RP-Q-Flexible Payment | 1 | 12 | 11 | — | — | — | — | (11) | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R | 154 | 16,085 | 904 | — | 178 | 3 | (84) | (205) | — | 139 | 18,871 | 796 | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | 1 | 2,052 | 365 | — | 55 | 1 | — | — | — | 1 | 2,052 | 421 | |||||||||||||||||||||||||||||||||||||||||
Total | 673 | 18,155 | 6,016 | — | 2,496 | 22 | (537) | (1,885) | — | 593 | 20,929 | 6,112 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 18 | — | — | — | — | (18) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-E | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R | — | — | — | 3 | — | — | — | — | (3) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | — | — | — | 1 | — | — | — | — | (1) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | 22 | — | — | — | — | (22) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Res for accrued 3rd year 213 - Installment Prod only | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Installment Certificates | 673 | 18,155 | 6,016 | 22 | 2,496 | 22 | (537) | (1,885) | (22) | 593 | 20,929 | 6,112 | |||||||||||||||||||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Single - Payment certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 76,211 | 2,016,223 | 2,173,581 | — | 457,271 | 5,534 | (2,919) | (987,748) | — | 56,831 | 1,587,640 | 1,645,719 | |||||||||||||||||||||||||||||||||||||||||
IC - Stepup - 190 | 233 | 8,714 | 9,156 | — | — | 67 | — | (2,589) | — | 161 | 6,417 | 6,634 | |||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings Emp (VT) - 166 | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variables PMT - 3mo. - 662 | 72,627 | 2,147,424 | 2,176,948 | — | 1,561,781 | 168 | (1,912) | (1,841,893) | — | 66,659 | 1,889,641 | 1,895,092 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock Market - 180 | 4,992 | 34,486 | 40,128 | — | 47 | 304 | (1,527) | (11,611) | — | 3,786 | 23,928 | 27,341 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC - 181 | 4,611 | 84,522 | 98,000 | — | 1,111 | 639 | (2,610) | (23,893) | — | 3,707 | 64,548 | 73,247 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | 8,058 | 68,859 | 72,075 | — | 6,995 | 496 | — | (24,070) | — | 6,666 | 53,566 | 55,496 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | 1,180 | 21,569 | 23,090 | — | 1,744 | 856 | — | (9,681) | — | 873 | 15,295 | 16,009 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | 2,232 | 37,824 | 39,244 | — | 812 | 1,764 | — | (12,471) | — | 1,881 | 28,247 | 29,349 | |||||||||||||||||||||||||||||||||||||||||
Total | 170,144 | 4,419,621 | 4,632,222 | — | 2,029,761 | 9,828 | (8,968) | (2,913,956) | — | 140,564 | 3,669,282 | 3,748,887 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 434 | 5,417 | — | — | — | (183) | (5,535) | — | — | 133 | |||||||||||||||||||||||||||||||||||||||||
IC-Preferred Investors | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
IC-Stepup -190 | — | — | 5 | 95 | — | — | — | (30) | (66) | — | — | 4 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 8 | 200 | — | — | — | (32) | (168) | — | — | 8 | |||||||||||||||||||||||||||||||||||||||||
IC-Stk Mkt, 2004/16/31-4000/16 | — | — | 7 | 3 | — | — | — | — | (8) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 10 | 6 | — | — | — | (1) | (12) | — | — | 3 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 28 | 9 | — | — | — | — | (32) | — | — | 5 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 80 | 34 | — | — | — | (1) | (63) | — | — | 50 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC | — | — | 2 | 9 | — | — | — | — | (12) | — | — | (1) | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 574 | 5,773 | — | — | — | (247) | (5,896) | — | — | 204 | |||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1) | — | — | — | — | — | — | — | — | (1) |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2017 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
Installment certificates: | ||||||||||||||||||||||||||||||||||||||||
Reserves to mature: | ||||||||||||||||||||||||||||||||||||||||
Inst I95 | 1,290 | $ | — | $ | 11,904 | $ | — | $ | 3,286 | $ | 64 | $ | (903 | ) | $ | (4,026 | ) | $ | — | 1,060 | $ | — | $ | 10,325 | ||||||||||||||||
Inst-E | 11 | — | 142 | — | 160 | 1 | — | (81 | ) | — | 6 | — | 222 | |||||||||||||||||||||||||||
RP-Q-Installment | 1 | 6 | 4 | — | — | — | — | — | — | 1 | 6 | 4 | ||||||||||||||||||||||||||||
RP-Q-Flexible Payment | 1 | 12 | 11 | — | — | — | — | — | — | 1 | 12 | 11 | ||||||||||||||||||||||||||||
RP-Q-Ins | 2 | 12 | 2 | — | — | — | — | — | — | 2 | 12 | 2 | ||||||||||||||||||||||||||||
Inst-R | 203 | 35,358 | 1,232 | — | 228 | 7 | (61 | ) | (381 | ) | — | 188 | 31,076 | 1,025 | ||||||||||||||||||||||||||
Inst-R-E | 1 | 2,052 | 174 | — | 54 | 1 | — | — | — | 1 | 2,052 | 229 | ||||||||||||||||||||||||||||
Total | 1,509 | 37,440 | 13,469 | — | 3,728 | 73 | (964 | ) | (4,488 | ) | — | 1,259 | 33,158 | 11,818 | ||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | ||||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 64 | — | — | — | — | (64 | ) | — | — | — | |||||||||||||||||||||||||||
Inst-E | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | |||||||||||||||||||||||||||
Inst-R | — | — | — | 7 | — | — | — | — | (7 | ) | — | — | — | |||||||||||||||||||||||||||
Inst-R-E | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | |||||||||||||||||||||||||||
Total | — | — | — | 73 | — | — | — | — | (73 | ) | — | — | — | |||||||||||||||||||||||||||
Res for accrued 3rd year 213 - Installment Prod only | — | — | 3 | (1 | ) | (1 | ) | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||
Total | — | — | 3 | (1 | ) | (1 | ) | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||
Total Installment Certificates | 1,509 | 37,440 | 13,472 | 72 | 3,727 | 73 | (964 | ) | (4,488 | ) | (73 | ) | 1,259 | 33,158 | 11,819 | |||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | ||||||||||||||||||||||||||||||||||||||||
Single - Payment certificates: | ||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 71,492 | 1,991,401 | 2,049,828 | — | 1,392,513 | 21,755 | (3,426 | ) | (1,011,491 | ) | — | 80,112 | 2,388,722 | 2,449,179 | ||||||||||||||||||||||||||
IC - Stepup - 190 | 315 | 10,947 | 11,042 | — | 5,343 | 153 | — | (1,931 | ) | — | 423 | 14,410 | 14,607 | |||||||||||||||||||||||||||
IC-Flexible Savings Emp (VT) - 166 | 8 | 66 | 96 | — | — | 1 | (14 | ) | — | — | 5 | 57 | 83 | |||||||||||||||||||||||||||
Cash Reserve Variables PMT - 3mo. - 662 | 54,990 | 1,817,728 | 1,823,714 | — | 2,120,980 | 5,930 | (1,424 | ) | (2,119,069 | ) | — | 63,084 | 1,824,588 | 1,830,131 | ||||||||||||||||||||||||||
IC-Stock Market - 180 | 14,130 | 110,851 | 122,802 | — | 291 | 1,980 | (2,493 | ) | (27,506 | ) | — | 11,686 | 84,900 | 95,074 | ||||||||||||||||||||||||||
IC-MSC - 181 | 9,601 | 181,526 | 202,311 | — | 4,697 | 2,889 | — | (29,546 | ) | — | 8,620 | 161,024 | 180,351 | |||||||||||||||||||||||||||
IC-Stock1 - 210 | 4,006 | 49,670 | 49,805 | — | 24,516 | 793 | — | (16,743 | ) | — | 5,807 | 57,770 | 58,371 | |||||||||||||||||||||||||||
IC-Stock2 - 220 | 721 | 13,276 | 13,277 | — | 9,008 | 158 | — | (2,601 | ) | — | 1,114 | 19,767 | 19,842 | |||||||||||||||||||||||||||
IC-Stock3 - 230 | 819 | 15,998 | 15,999 | — | 10,275 | — | — | (445 | ) | — | 1,377 | 25,828 | 25,829 | |||||||||||||||||||||||||||
Total | 156,082 | 4,191,463 | 4,288,874 | — | 3,567,623 | 33,659 | (7,357 | ) | (3,209,332 | ) | — | 172,228 | 4,577,066 | 4,673,467 | ||||||||||||||||||||||||||
Description | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
IC-Stock | — | — | 325 | 48 | — | — | — | (2) | (295) | — | — | 76 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 521 | 100 | — | — | — | (33) | (484) | — | — | 104 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 1,006 | 32 | — | — | — | (5) | (824) | — | — | 209 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 3,731 | 43 | — | — | — | (11) | (1,702) | — | — | 2,061 | |||||||||||||||||||||||||||||||||||||||||
IC-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 642 | 114 | — | — | — | (18) | (628) | — | — | 110 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 6,224 | 337 | — | — | — | (69) | (3,933) | — | — | 2,559 | |||||||||||||||||||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 170,144 | 4,419,621 | 4,639,020 | 6,110 | 2,029,761 | 9,828 | (8,968) | (2,914,272) | (9,829) | 140,564 | 3,669,282 | 3,751,650 | |||||||||||||||||||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 24 | — | — | 1 | — | — | — | 3 | 12 | 25 | ||||||||||||||||||||||||||||||||||||||||
R78 - 911 | 3.5 | 3 | 12 | 21 | — | — | 1 | — | — | — | 3 | 12 | 22 | ||||||||||||||||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 39 | 67 | — | — | 2 | — | — | — | 5 | 39 | 69 | ||||||||||||||||||||||||||||||||||||||||
R-80 - 913 | 3.5 | 3 | 21 | 33 | — | — | 1 | — | — | — | 3 | 21 | 34 | ||||||||||||||||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 1 | 10 | 16 | — | — | 1 | — | — | — | 1 | 10 | 17 | ||||||||||||||||||||||||||||||||||||||||
R-82A - 915 | 3.5 | 7 | 31 | 39 | — | — | 1 | — | (3) | — | 6 | 29 | 37 | ||||||||||||||||||||||||||||||||||||||||
RP-Q - 916 | 26 | 34 | 109 | — | — | — | — | (8) | — | 25 | 33 | 101 | |||||||||||||||||||||||||||||||||||||||||
R-II - 920 | 3.5 | 8 | 63 | 62 | — | — | 2 | — | — | — | 8 | 63 | 64 | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings - 971 | 34,382 | 936,701 | 1,001,464 | — | 80,057 | 2,835 | (538) | (400,932) | — | 25,455 | 660,294 | 682,886 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 32,551 | 948,775 | 982,065 | — | 600,338 | 68 | (13) | (818,365) | — | 29,957 | 762,247 | 764,093 | |||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 1 | 71 | 82 | — | — | 1 | — | — | — | 1 | 71 | 83 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock Market - 960 | 1,576 | 15,634 | 17,840 | — | 7 | 123 | (258) | (4,614) | — | 1,203 | 11,668 | 13,098 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | 197 | 6,000 | 6,441 | — | 73 | — | (3,223) | — | 107 | 3,119 | 3,291 | ||||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | 3,096 | 33,363 | 34,836 | — | 3,105 | 259 | — | (13,713) | — | 2,314 | 23,580 | 24,487 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | 821 | 12,977 | 13,559 | — | 1,892 | 462 | — | (6,353) | — | 569 | 9,218 | 9,560 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | 1,441 | 22,569 | 23,205 | — | 437 | 1,084 | — | (7,651) | — | 1,208 | 16,422 | 17,075 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert - 961 | 1,124 | 25,645 | 28,420 | — | 198 | 192 | (39) | (7,481) | — | 916 | 19,788 | 21,290 | |||||||||||||||||||||||||||||||||||||||||
D-1 990-993 | 2 | 853 | 939 | — | — | 2 | — | (94) | — | 2 | 761 | 847 | |||||||||||||||||||||||||||||||||||||||||
Total | 75,247 | 2,002,810 | 2,109,222 | — | 686,034 | 5,108 | (848) | (1,262,437) | — | 61,786 | 1,507,387 | 1,537,079 | |||||||||||||||||||||||||||||||||||||||||
Additional Interest on R-Series Single Payment Reserves: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
R-77 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-78 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-79 | 3.5 | — | — | — | 2 | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-80 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-81 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-82A | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
RP-Q | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
R-II | 3.5 | — | — | — | 2 | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings | — | — | 213 | 2,699 | — | — | — | (27) | (2,834) | — | — | 51 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | — | — | 4 | 70 | — | — | — | — | (73) | — | — | 1 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 3 | 84 | — | — | — | (15) | (69) | — | — | 3 | |||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp | — | — | — | 1 | — | — | — | — | (1) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 3 | 1 | — | — | — | — | (3) | — | — | 1 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 | — | — | 7 | 5 | — | — | — | — | (10) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 | — | — | 17 | 5 | — | — | — | — | (20) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 | — | — | 31 | 13 | — | — | — | — | (23) | — | — | 21 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2017 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | ||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 721 | 22,724 | — | — | — | (548 | ) | (21,762 | ) | — | — | 1,135 | ||||||||||||||||||||||||||
IC-Preferred Investors | — | — | 1 | — | — | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||||
IC-Stepup -190 | — | — | 5 | 157 | — | — | — | (3 | ) | (153 | ) | — | — | 6 | ||||||||||||||||||||||||||
IC-FS-EMP | — | — | — | 1 | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 227 | 7,078 | — | — | — | (1,085 | ) | (5,924 | ) | — | — | 296 | ||||||||||||||||||||||||||
IC-Stk Mkt, 2004/16/31-4000/16 | — | — | 19 | 25 | — | — | — | — | (28 | ) | — | — | 16 | |||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 4 | 12 | — | — | — | — | (9 | ) | — | — | 7 | |||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 3 | 6 | — | — | — | — | (2 | ) | — | — | 7 | |||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 9 | 11 | — | — | — | — | — | — | — | 20 | ||||||||||||||||||||||||||||
IC-MSC | — | — | 13 | 36 | — | — | — | — | (36 | ) | — | — | 13 | |||||||||||||||||||||||||||
Total | — | — | 1,002 | 30,050 | — | — | — | (1,636 | ) | (27,915 | ) | — | — | 1,501 | ||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | ||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1 | ) | — | — | — | — | — | — | — | — | (1 | ) | ||||||||||||||||||||||||||
IC-Stock | — | — | 1,938 | 1,398 | — | — | — | (18 | ) | (1,952 | ) | — | — | 1,366 | ||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 751 | 857 | — | — | — | (3 | ) | (784 | ) | — | — | 821 | ||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 434 | 424 | — | — | — | — | (156 | ) | — | — | 702 | |||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 945 | 884 | — | — | — | — | — | — | — | 1,829 | ||||||||||||||||||||||||||||
IC-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 2,816 | 2,439 | — | — | — | (87 | ) | (2,855 | ) | — | — | 2,313 | ||||||||||||||||||||||||||
Total | — | — | 6,883 | 6,002 | — | — | — | (108 | ) | (5,747 | ) | — | — | 7,030 | ||||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 156,082 | 4,191,463 | 4,296,759 | 36,052 | 3,567,623 | 33,659 | (7,357 | ) | (3,211,076 | ) | (33,662 | ) | 172,228 | 4,577,066 | 4,681,998 | |||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | ||||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 21 | — | — | 1 | — | — | — | 3 | 12 | 22 | |||||||||||||||||||||||||||
R78 - 911 | 3.5 | 6 | 41 | 60 | — | — | 2 | — | — | — | 6 | 41 | 62 | |||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 40 | 58 | — | — | 2 | — | — | — | 5 | 40 | 60 | |||||||||||||||||||||||||||
R-80 - 913 | 3.5 | 4 | 26 | 33 | — | — | 1 | — | — | — | 4 | 26 | 34 | |||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 2 | 24 | 31 | — | — | 1 | — | — | — | 2 | 24 | 32 | |||||||||||||||||||||||||||
R-82A - 915 | 3.5 | 12 | 49 | 51 | — | — | 2 | — | (8 | ) | — | 10 | 42 | 45 | ||||||||||||||||||||||||||
RP-Q - 916 | 39 | 55 | 163 | — | — | 1 | — | (20 | ) | — | 38 | 48 | 144 | |||||||||||||||||||||||||||
R-II - 920 | 3.5 | 10 | 76 | 64 | — | — | 2 | — | (3 | ) | — | 9 | 72 | 63 | ||||||||||||||||||||||||||
RP-Flexible Savings - 971 | 30,597 | 794,306 | 814,836 | — | 376,139 | 8,253 | (222 | ) | (300,375 | ) | — | 33,277 | 877,273 | 898,631 | ||||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 19,090 | 647,314 | 648,752 | — | 699,618 | 2,036 | (1 | ) | (705,829 | ) | — | 22,404 | 642,849 | 644,576 | ||||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 15 | 173 | 228 | — | — | 2 | (17 | ) | (18 | ) | — | 12 | 143 | 195 | ||||||||||||||||||||||||||
RP-Stock Market - 960 | 4,453 | 46,361 | 49,936 | — | 96 | 811 | (372 | ) | (10,831 | ) | — | 3,598 | 36,393 | 39,640 | ||||||||||||||||||||||||||
RP-Stepup - 940 | 215 | 6,295 | 6,354 | — | 5,339 | 96 | — | (903 | ) | — | 343 | 10,751 | 10,886 | |||||||||||||||||||||||||||
RP-Stock1 - 941 | 1,626 | 22,787 | 22,843 | — | 11,923 | 366 | — | (7,406 | ) | — | 2,259 | 27,458 | 27,726 | |||||||||||||||||||||||||||
RP-Stock2 - 942 | 443 | 8,022 | 8,022 | — | 5,007 | 82 | — | (1,842 | ) | — | 668 | 11,246 | 11,269 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2017 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
RP-Stock3 - 943 | 558 | 10,312 | 10,312 | — | 6,600 | — | — | (101 | ) | — | 947 | 16,811 | 16,811 | |||||||||||||||||||||||||||
Market Strategy Cert - 961 | 2,143 | 50,971 | 54,637 | — | 694 | 787 | — | (7,966 | ) | — | 1,927 | 44,776 | 48,152 | |||||||||||||||||||||||||||
D-1 990-993 | 5 | 608 | 747 | — | 143 | 8 | (1 | ) | (27 | ) | — | 4 | 735 | 870 | ||||||||||||||||||||||||||
Total | 59,226 | 1,587,472 | 1,617,148 | — | 1,105,559 | 12,453 | (613 | ) | (1,035,329 | ) | — | 65,516 | 1,668,740 | 1,699,218 | ||||||||||||||||||||||||||
Additional Interest on R-Series Single Payment Reserves: | ||||||||||||||||||||||||||||||||||||||||
R-77 | 3.5 | — | — | 2 | 1 | — | — | — | — | (1 | ) | — | — | 2 | ||||||||||||||||||||||||||
R-78 | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
R-79 | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
R-80 | 3.5 | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||
R-81 | 3.5 | — | — | 1 | 1 | — | — | — | — | (1 | ) | — | — | 1 | ||||||||||||||||||||||||||
R-82A | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
RP-Q | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | |||||||||||||||||||||||||||
R-II | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
RP-Flexible Savings | — | — | 287 | 8,470 | — | — | — | (98 | ) | (8,253 | ) | — | — | 406 | ||||||||||||||||||||||||||
RP-Stepup - 940 | — | — | 2 | 98 | — | — | — | — | (96 | ) | — | — | 4 | |||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 80 | 2,475 | — | — | — | (415 | ) | (2,036 | ) | — | — | 104 | ||||||||||||||||||||||||||
RP-Flexible Savings Emp | — | — | — | 2 | — | — | — | — | (2 | ) | — | — | — | |||||||||||||||||||||||||||
RP-Stock Market | — | — | 8 | 10 | — | — | — | — | (10 | ) | — | — | 8 | |||||||||||||||||||||||||||
RP-Stock1 | — | — | 2 | 7 | — | — | — | — | (5 | ) | — | — | 4 | |||||||||||||||||||||||||||
RP-Stock2 | — | — | 1 | 4 | — | — | — | — | (1 | ) | — | — | 4 | |||||||||||||||||||||||||||
RP-Stock3 | — | — | 2 | 4 | — | — | — | — | — | — | — | 6 | ||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 10 | 19 | — | — | — | — | (18 | ) | — | — | 11 | |||||||||||||||||||||||||||
D-1 - 400 | 8 | 7 | — | 10 | — | — | — | (2 | ) | (8 | ) | 7 | 7 | — | ||||||||||||||||||||||||||
Total | 8 | 7 | 403 | 11,111 | — | — | — | (515 | ) | (10,441 | ) | 7 | 7 | 558 | ||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | ||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 775 | 587 | — | — | — | (1 | ) | (801 | ) | — | — | 560 | ||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | 345 | 400 | — | — | — | (4 | ) | (361 | ) | — | — | 380 | ||||||||||||||||||||||||||
RP-Stock2 - 942 | — | — | 257 | 217 | — | — | — | — | (81 | ) | — | — | 393 | |||||||||||||||||||||||||||
RP-Stock3 - 943 | — | — | 651 | 563 | — | — | — | — | — | — | — | 1,214 | ||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 748 | 645 | — | — | — | (14 | ) | (769 | ) | — | — | 610 | ||||||||||||||||||||||||||
Total | — | — | 2,776 | 2,412 | — | — | — | (19 | ) | (2,012 | ) | — | — | 3,157 | ||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 59,234 | 1,587,479 | 1,620,327 | 13,523 | 1,105,559 | 12,453 | (613 | ) | (1,035,863 | ) | (12,453 | ) | 65,523 | 1,668,747 | 1,702,933 | |||||||||||||||||||||||||
Fully Paid Up Certificates | ||||||||||||||||||||||||||||||||||||||||
Paid-up certificates: | ||||||||||||||||||||||||||||||||||||||||
I-76 - 640 | 3.5 | — | — | 1 | — | — | — | (1 | ) | — | — | — | — | — | ||||||||||||||||||||||||||
Total | — | — | 1 | — | — | — | (1 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | ||||||||||||||||||||||||||||||||||||||||
I-76 | 3.5 | 2 | 1 | 1 | — | — | — | — | — | — | — | — | 1 | |||||||||||||||||||||||||||
Total | 2 | 1 | 1 | — | — | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | 2 | 1 | 2 | — | — | — | (1 | ) | — | — | — | — | 1 | |||||||||||||||||||||||||||
Description | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 5 | 4 | — | — | — | — | (7) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
D-1 - 400 | 7 | 7 | — | 2 | — | — | — | — | (2) | 7 | 7 | — | |||||||||||||||||||||||||||||||||||||||||
Total | 7 | 7 | 283 | 2,893 | — | — | — | (42) | (3,051) | 7 | 7 | 83 | |||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 116 | 24 | — | — | — | — | (120) | — | — | 20 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | 255 | 43 | — | — | — | (2) | (249) | — | — | 47 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | — | — | 564 | 19 | — | — | — | — | (441) | — | — | 142 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | — | — | 2,358 | 29 | — | — | — | — | (1,061) | — | — | 1,326 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 184 | 33 | — | — | — | (2) | (186) | — | — | 29 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 3,477 | 148 | — | — | — | (4) | (2,057) | — | — | 1,564 | |||||||||||||||||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 75,254 | 2,002,817 | 2,112,982 | 3,041 | 686,034 | 5,108 | (848) | (1,262,483) | (5,108) | 61,793 | 1,507,394 | 1,538,726 | |||||||||||||||||||||||||||||||||||||||||
Fully Paid Up Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 | 3.5 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Optional Settlement Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 5,107 | 149 | — | — | (615) | (324) | — | — | — | 4,317 | ||||||||||||||||||||||||||||||||||||||||
Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 17 | 1 | — | — | — | — | — | — | — | 18 | ||||||||||||||||||||||||||||||||||||||||
Series R-Installent (Prod 980, 981, 982) | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Add’l credits and accrued int. thereon | 2.5-3 | — | — | 32 | 1 | — | — | (11) | (2) | — | — | — | 20 | ||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | — | — | — | — | — | — | — | — | (1) | — | — | (1) | |||||||||||||||||||||||||||||||||||||||||
Total Optional Settlement | — | — | 5,156 | 151 | — | — | (626) | (326) | (1) | — | — | 4,354 | |||||||||||||||||||||||||||||||||||||||||
Due to unlocated cert holders | — | — | 400 | — | — | 611 | — | — | (582) | — | — | 429 | |||||||||||||||||||||||||||||||||||||||||
Total Certificate Reserves (1) | 246,071 | $ | 6,440,593 | $ | 6,763,574 | $ | 9,324 | $ | 2,718,291 | $ | 15,569 | $ | (10,979) | $ | (4,178,966) | $ | (15,542) | 202,950 | $ | 5,197,605 | $ | 5,301,271 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2017 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
Optional Settlement Certificates | ||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 8,300 | 235 | — | 1 | (1,016 | ) | (586 | ) | — | — | — | 6,934 | |||||||||||||||||||||||||
Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 31 | 1 | — | — | (3 | ) | (2 | ) | — | — | — | 27 | |||||||||||||||||||||||||
Series R-Installent (Prod 980, 981, 982) | — | — | 2 | — | — | — | — | — | — | — | — | 2 | ||||||||||||||||||||||||||||
Add’l credits and accrued int. thereon | 2.5-3 | — | — | 170 | 4 | — | 1 | (74 | ) | (4 | ) | (1 | ) | — | — | 96 | ||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | |||||||||||||||||||||||||||
Total Optional Settlement | — | — | 8,503 | 241 | — | 2 | (1,093 | ) | (592 | ) | (2 | ) | — | — | 7,059 | |||||||||||||||||||||||||
Due to unlocated cert holders | — | — | 352 | — | — | 91 | — | — | (178 | ) | — | — | 265 | |||||||||||||||||||||||||||
Total Certificate Reserves(1) | 216,827 | $ | 5,816,383 | $ | 5,939,415 | $ | 49,888 | $ | 4,676,909 | $ | 46,278 | $ | (10,028 | ) | $ | (4,252,019 | ) | $ | (46,368 | ) | 239,010 | $ | 6,278,971 | $ | 6,404,075 |
Year Ended December 31, 2021 | |||||
Additional credits on installment certificates and accrued interest thereon: | |||||
Other additions represent: | |||||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 22 | |||
Other deductions represent: | |||||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 22 | |||
Optional settlement certificates: | |||||
Other deductions represent: | |||||
Transfers to reserves for additional credits and accrued interest thereon | $ | 1 | |||
Single-Payment certificates: | |||||
Other additions represent: | |||||
Flexible Savings | $ | 5,534 | |||
Stepup | 67 | ||||
Cash Reserve-3mo | 168 | ||||
Stock Market | 304 | ||||
IC-Stock1 | 496 | ||||
IC-Stock2 | 856 | ||||
IC-Stock3 | 1,764 | ||||
Market Strategy | 639 | ||||
RP-Q | — | ||||
Cash Reserve-RP-3mo | 68 | ||||
Flexible Savings-RP | 2,835 | ||||
Stepup-RP | 73 | ||||
Flexible Savings-RP-Emp | 1 | ||||
Stock Market-RP | 123 | ||||
RP-Stock1 | 259 | ||||
RP-Stock2 | 462 | ||||
RP-Stock3 | 1,084 | ||||
Market Strategy-RP | 192 | ||||
Transfers from accruals at anniversaries maintained in a separate reserve account | 11 | ||||
$ | 14,936 |
Part 2 - Descriptions of Additions to Reserves Charged to Other Accounts and Deductions from Reserves Credited to other Accounts | Year Ended December 31, 2017 | ||
Additional credits on installment certificates and accrued interest thereon: | |||
Other additions represent: | |||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 73 | |
Other deductions represent: | |||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 73 | |
Optional settlement certificates: | |||
Other additions represent: | |||
Transfers from installment certificate reserves (less surrender charges), optional settlement privileges | $ | 1 | |
Transfers from accruals for additional credits to be allowed at next anniversaries | 1 | ||
$ | 2 | ||
Other deductions represent: | |||
Transfers to reserves for additional credits and accrued interest thereon | $ | 1 | |
Transfers to optional settlement reserves | 1 | ||
$ | 2 | ||
Single-Payment certificates: | |||
Other additions represent: | |||
Flexible Savings | $ | 21,755 | |
Stepup | 153 | ||
Flexible Savings-Emp | 1 | ||
Preferred Investors | — | ||
Cash Reserve-3mo | 5,930 | ||
Stock Market | 1,980 | ||
IC-Stock1 | 793 | ||
IC-Stock2 | 158 | ||
Market Strategy | 2,889 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 2,036 | ||
Flexible Savings-RP | 8,253 | ||
Stepup-RP | 96 | ||
Flexible Savings-RP-Emp | 2 | ||
Stock Market-RP | 811 | ||
RP-Stock1 | 366 | ||
RP-Stock2 | 82 | ||
Market Strategy-RP | 787 | ||
Transfers from accruals at anniversaries maintained in a separate reserve account | 19 | ||
$ | 46,112 | ||
Year Ended December 31, 2021 | |||||
Other deductions represent: | |||||
Transfers to optional settlement reserves: | |||||
Single-Payment | $ | 4,155 | |||
Transfers to reserves for additional credits and accrued interest thereon | (11) | ||||
Flexible Savings | 5,535 | ||||
Stepup | 66 | ||||
Cash Reserve-3mo | 168 | ||||
Stock Market | 8 | ||||
Stock1 | 13 | ||||
Stock2 | 32 | ||||
Stock3 | 64 | ||||
Market Strategy Cert | 12 | ||||
Cash Reserve-RP-3mo | 69 | ||||
Flexible Savings-RP | 2,834 | ||||
Stepup-RP | 73 | ||||
Flexible Savings-RP-Emp | 1 | ||||
Stock Market-RP | 123 | ||||
RP-Stock1 | 259 | ||||
RP-Stock2 | 461 | ||||
RP-Stock3 | 1,084 | ||||
Transfers to Federal tax withholding | (9) | ||||
$ | 14,937 | ||||
Due to unlocated certificate holders: | |||||
Other additions represent: | |||||
Amounts equivalent to payments due certificates holders who could not be located | $ | 611 | |||
Other deductions represent: | |||||
Payments to certificate holders credited to cash | $ | 582 |
Part 2 - Descriptions of Additions to Reserves Charged to Other Accounts and Deductions from Reserves Credited to other Accounts | Year Ended December 31, 2017 | ||
Other deductions represent: | |||
Transfers to optional settlement reserves: | |||
Single-Payment | $ | 6,571 | |
Transfers to reserves for additional credits and accrued interest thereon | (19 | ) | |
Flexible Savings | 21,769 | ||
Stepup | 153 | ||
Flexible Savings-Emp | 1 | ||
Cash Reserve-3mo | 5,927 | ||
Stock Market | 29 | ||
Stock1 | 9 | ||
Stock2 | 2 | ||
Market Strategy Cert | 39 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 2,036 | ||
Flexible Savings-RP | 8,253 | ||
Stepup-RP | 96 | ||
Flexible Savings-RP-Emp | 2 | ||
Stock Market-RP | 811 | ||
RP-Stock1 | 366 | ||
RP-Stock2 | 82 | ||
Transfers to Federal tax withholding | (13 | ) | |
$ | 46,115 | ||
Due to unlocated certificate holders: | |||
Other additions represent: | |||
Amounts equivalent to payments due certificates holders who could not be located | $ | 91 | |
Other deductions represent: | |||
Payments to certificate holders credited to cash | $ | 178 |
MO’s Paid | Number of Accounts w/Certificate Holders | Amount of Maturity Value | Amount of Reserves | Deduction from Reserves Cash Surrenders Prior to Maturity Surrender | Other Deductions | |||||||||||||||||||||||||||||||||||||||||||||
2020 | 2021 | 2020 | 2021 | 2020 | 2021 | 2021 | 2021 | |||||||||||||||||||||||||||||||||||||||||||
1-12 | 76 | 71 | $ | 1,080 | $ | 5,535 | $ | 814 | $ | 480 | $ | 167 | $ | — | ||||||||||||||||||||||||||||||||||||
13-24 | 86 | 53 | 3,712 | 784 | 626 | 656 | 109 | — | ||||||||||||||||||||||||||||||||||||||||||
25-36 | 91 | 68 | 5,334 | 2,886 | 584 | 688 | 65 | — | ||||||||||||||||||||||||||||||||||||||||||
37-48 | 54 | 86 | 593 | 5,367 | 396 | 804 | 22 | — | ||||||||||||||||||||||||||||||||||||||||||
49-60 | 76 | 50 | 236 | 583 | 912 | 441 | 19 | — | ||||||||||||||||||||||||||||||||||||||||||
61-72 | 69 | 69 | 2,135 | 215 | 817 | 797 | 36 | — | ||||||||||||||||||||||||||||||||||||||||||
73-84 | 57 | 59 | 3,006 | 2,133 | 473 | 853 | 42 | — | ||||||||||||||||||||||||||||||||||||||||||
85-96 | 54 | 52 | 565 | 2,976 | 501 | 561 | 40 | — | ||||||||||||||||||||||||||||||||||||||||||
97-108 | 54 | 44 | 1,476 | 444 | 429 | 399 | 25 | — | ||||||||||||||||||||||||||||||||||||||||||
109-120 | 54 | 40 | — | — | 448 | 428 | 30 | — | ||||||||||||||||||||||||||||||||||||||||||
121-132 | — | — | — | — | — | — | 90 | — | ||||||||||||||||||||||||||||||||||||||||||
133-144 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
145-156 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
157-168 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
169-180 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
181-192 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
193-204 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
205-216 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
217-228 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
229-240 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
241-252 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
253-264 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
265-276 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
277-288 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
289-300 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
301-312 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
313-324 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
325-336 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
337-348 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
349-360 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
361-372 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
373-384 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
385-396 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
397-408 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
409-420 | 1 | — | 12 | — | 11 | — | 11 | — | ||||||||||||||||||||||||||||||||||||||||||
457-468 | — | 1 | — | 6 | — | 5 | — | — | ||||||||||||||||||||||||||||||||||||||||||
TOTAL - ALL SERIES | 673 | 593 | $ | 18,155 | $ | 20,929 | $ | 6,016 | $ | 6,112 | $ | 656 | $ | — |
Part 3 - Information Regarding Installment Certificates | ||||||||||||||||||||||||||||||
MO’s Paid | Number of Accounts w/Certificate Holders | Amount of Maturity Value | Amount of Reserves | Deduction from Reserves Cash Surrenders Prior to Maturity Surrender | Other Deductions | |||||||||||||||||||||||||
2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2017 | 2017 | |||||||||||||||||||||||
1-12 | 137 | 109 | $ | 1,502 | $ | 1,383 | $ | 401 | $ | 593 | $ | 8 | $ | — | ||||||||||||||||
13-24 | 102 | 111 | 2,667 | 679 | 687 | 479 | 12 | — | ||||||||||||||||||||||
25-36 | 93 | 85 | 5,433 | 2,154 | 624 | 720 | 46 | — | ||||||||||||||||||||||
37-48 | 86 | 77 | 3,887 | 3,040 | 432 | 483 | 186 | — | ||||||||||||||||||||||
49-60 | 108 | 77 | 5,076 | 3,159 | 796 | 432 | 38 | — | ||||||||||||||||||||||
61-72 | 121 | 100 | 1,457 | 4,878 | 636 | 775 | 96 | — | ||||||||||||||||||||||
73-84 | 129 | 115 | 16,497 | 1,457 | 888 | 675 | 26 | — | ||||||||||||||||||||||
85-96 | 345 | 113 | 831 | 16,366 | 5,316 | 769 | 104 | — | ||||||||||||||||||||||
97-108 | 236 | 283 | 60 | 12 | 2,585 | 4,803 | 592 | — | ||||||||||||||||||||||
109-120 | 147 | 184 | — | — | 1,085 | 2,070 | 318 | — | ||||||||||||||||||||||
121-132 | 1 | — | — | — | 1 | — | 280 | — | ||||||||||||||||||||||
133-144 | — | 1 | — | — | — | 1 | — | — | ||||||||||||||||||||||
145-156 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
157-168 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
169-180 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
181-192 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
193-204 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
205-216 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
217-228 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
229-240 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
241-252 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
253-264 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
265-276 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
277-288 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
289-300 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
301-312 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
313-324 | 2 | — | 12 | — | 2 | — | — | — | ||||||||||||||||||||||
325-336 | — | 2 | — | 12 | — | 2 | — | — | ||||||||||||||||||||||
337-348 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
349-360 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
361-372 | 1 | — | 12 | — | 11 | — | — | — | ||||||||||||||||||||||
373-384 | — | 1 | — | 12 | — | 11 | — | — | ||||||||||||||||||||||
385-396 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
397-408 | 1 | — | 6 | — | 5 | — | — | — | ||||||||||||||||||||||
409-420 | — | 1 | — | 6 | — | 5 | — | — | ||||||||||||||||||||||
TOTAL - ALL SERIES | 1,509 | 1,259 | $ | 37,440 | $ | 33,158 | $ | 13,469 | $ | 11,818 | $ | 1,706 | $ | — |
Description | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
Installment certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Reserves to mature: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
22A | — | $ | — | $ | — | $ | 32 | $ | — | $ | — | $ | (32) | $ | — | $ | — | — | $ | — | $ | — | |||||||||||||||||||||||||||||||
Inst I95 | 600 | — | 4,117 | — | 2,365 | 30 | (412) | (1,371) | — | 514 | — | 4,729 | |||||||||||||||||||||||||||||||||||||||||
Inst-E | 1 | — | 29 | — | 12 | — | — | (39) | — | 2 | — | 2 | |||||||||||||||||||||||||||||||||||||||||
RP-Q-Installment | 1 | 6 | 4 | — | — | — | — | 1 | — | 1 | 6 | 5 | |||||||||||||||||||||||||||||||||||||||||
RP-Q-Flexible Payment | 1 | 12 | 11 | — | — | — | — | — | — | 1 | 12 | 11 | |||||||||||||||||||||||||||||||||||||||||
Inst-R | 177 | 23,426 | 903 | — | 158 | 6 | (38) | (125) | — | 154 | 16,085 | 904 | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | 1 | 2,052 | 307 | — | 56 | 2 | — | — | — | 1 | 2,052 | 365 | |||||||||||||||||||||||||||||||||||||||||
Total | 781 | 25,496 | 5,371 | 32 | 2,591 | 38 | (482) | (1,534) | — | 673 | 18,155 | 6,016 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 30 | — | — | — | — | (30) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-E | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R | — | — | — | 6 | — | — | — | — | (6) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | — | — | — | 2 | — | — | — | — | (2) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | 38 | — | — | — | — | (38) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Installment Certificates | 781 | 25,496 | 5,371 | 70 | 2,591 | 38 | (482) | (1,534) | (38) | 673 | 18,155 | 6,016 | |||||||||||||||||||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Single - Payment certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 103,136 | 2,885,658 | 2,986,294 | — | 530,119 | 27,892 | (1,731) | (1,368,993) | — | 76,211 | 2,016,223 | 2,173,581 | |||||||||||||||||||||||||||||||||||||||||
IC - Stepup - 190 | 309 | 9,947 | 10,299 | — | 2,702 | 118 | — | (3,963) | — | 233 | 8,714 | 9,156 | |||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings Emp (VT) - 166 | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variables PMT - 3mo. - 662 | 73,450 | 1,971,489 | 1,983,413 | — | 2,307,746 | 7,833 | (1,823) | (2,120,221) | — | 72,627 | 2,147,424 | 2,176,948 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock Market - 180 | 6,414 | 45,100 | 50,955 | — | 129 | 977 | (1,629) | (10,304) | — | 4,992 | 34,486 | 40,128 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC - 181 | 5,727 | 103,885 | 117,648 | — | 1,445 | 2,070 | (3,373) | (19,790) | — | 4,611 | 84,522 | 98,000 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | 8,368 | 79,243 | 81,006 | — | 11,652 | 1,513 | — | (22,096) | — | 8,058 | 68,859 | 72,075 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | 1,379 | 25,555 | 25,928 | — | 3,975 | 665 | — | (7,478) | — | 1,180 | 21,569 | 23,090 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | 2,252 | 39,535 | 40,083 | — | 4,821 | 796 | — | (6,456) | — | 2,232 | 37,824 | 39,244 | |||||||||||||||||||||||||||||||||||||||||
Total | 201,035 | 5,160,412 | 5,295,626 | — | 2,862,589 | 41,864 | (8,556) | (3,559,301) | — | 170,144 | 4,419,621 | 4,632,222 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 1,912 | 27,161 | — | — | — | (744) | (27,895) | — | — | 434 | |||||||||||||||||||||||||||||||||||||||||
IC-Preferred Investors | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
IC-Stepup -190 | — | — | 7 | 139 | — | — | — | (23) | (118) | — | — | 5 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 709 | 8,597 | — | — | — | (1,487) | (7,811) | — | — | 8 | |||||||||||||||||||||||||||||||||||||||||
IC-Stk Mkt, 2004/16/31-4000/16 | — | — | 23 | 16 | — | — | — | — | (32) | — | — | 7 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 30 | 26 | — | — | — | (2) | (44) | — | — | 10 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 34 | 25 | — | — | — | — | (31) | — | — | 28 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 51 | 42 | — | — | — | — | (13) | — | — | 80 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC | — | — | 20 | 48 | — | — | — | (1) | (65) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 2,786 | 36,054 | — | — | — | (2,257) | (36,009) | — | — | 574 | |||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | — | — | — | — | — | — | (1) | — | — | (1) | |||||||||||||||||||||||||||||||||||||||||
IC-Stock | — | — | 1,285 | (9) | — | — | — | (5) | (946) | — | — | 325 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 1,958 | 123 | — | — | — | (90) | (1,470) | — | — | 521 |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||
Description | December 31, 2016 | ||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | Number of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||
Installment certificates: | |||||||||||||||||||||||||||||||||||||||
Reserves to mature: | |||||||||||||||||||||||||||||||||||||||
IC-I-EMP | 1 | $ | 6 | $ | 13 | $ | — | $ | — | $ | — | $ | (13 | ) | $ | — | $ | — | — | $ | — | $ | — | ||||||||||||||||
Inst I95 | 1,529 | — | 13,515 | — | 3,747 | 66 | (1,118 | ) | (4,306 | ) | 1,290 | — | 11,904 | ||||||||||||||||||||||||||
Inst-E | 10 | — | 137 | — | 39 | 1 | (35 | ) | 11 | — | 142 | ||||||||||||||||||||||||||||
RP-Q-Installment | 1 | 6 | 4 | — | — | — | — | — | — | 1 | 6 | 4 | |||||||||||||||||||||||||||
RP-Q-Flexible Payment | 1 | 12 | 11 | — | — | — | — | — | — | 1 | 12 | 11 | |||||||||||||||||||||||||||
RP-Q-Ins | 2 | 12 | 2 | — | — | — | — | — | — | 2 | 12 | 2 | |||||||||||||||||||||||||||
Inst-R | 232 | 41,317 | 1,395 | — | 215 | 7 | (43 | ) | (342 | ) | — | 203 | 35,358 | 1,232 | |||||||||||||||||||||||||
Inst-R-E | 2 | 2,058 | 122 | — | 53 | 1 | — | (2 | ) | — | 1 | 2,052 | 174 | ||||||||||||||||||||||||||
Total | 1,778 | 43,411 | 15,199 | — | 4,054 | 75 | (1,174 | ) | (4,685 | ) | — | 1,509 | 37,440 | 13,469 | |||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 66 | — | — | — | — | (66 | ) | — | — | — | ||||||||||||||||||||||||||
Inst-E | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||
Inst-R | — | — | — | 7 | — | — | — | — | (7 | ) | — | — | — | ||||||||||||||||||||||||||
Inst-R-E | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||
Total | — | — | — | 75 | — | — | — | — | (75 | ) | — | — | — | ||||||||||||||||||||||||||
Res for accrued 3rd year 2113 - Install-ment Prod only. | — | — | 5 | — | (2 | ) | — | — | — | — | — | — | 3 | ||||||||||||||||||||||||||
Total | — | — | 5 | — | (2 | ) | — | — | — | — | — | — | 3 | ||||||||||||||||||||||||||
Total Installment Certificates | 1,778 | 43,411 | 15,204 | 75 | 4,052 | 75 | (1,174 | ) | (4,685 | ) | (75 | ) | 1,509 | 37,440 | 13,472 | ||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | |||||||||||||||||||||||||||||||||||||||
Single-Payment certificates: | |||||||||||||||||||||||||||||||||||||||
IC-2-84 0 115, 116, 117, 118, 119 | 3.5 | 1 | 2 | 2 | — | — | — | — | (2 | ) | — | — | — | — | |||||||||||||||||||||||||
IC-2-85 -120,121, 122, 123, 124, 125, 126, 127, 128, 129, 130 | 3.5 | 1 | 14 | 14 | — | — | — | — | (14 | ) | — | — | — | — | |||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 64,224 | 1,551,554 | 1,607,607 | — | 1,088,398 | 17,077 | (2,809 | ) | (660,445 | ) | — | 71,492 | 1,991,401 | 2,049,828 | |||||||||||||||||||||||||
IC-Stepup - 190 | 145 | 4,412 | 4,423 | — | 6,576 | 87 | — | (44 | ) | — | 315 | 10,947 | 11,042 | ||||||||||||||||||||||||||
IC-Flexible Savings Emp (VT) - 166 | 24 | 348 | 404 | — | — | 2 | (52 | ) | (258 | ) | — | 8 | 66 | 96 | |||||||||||||||||||||||||
Cash Reserve Variable PMT-3mo. - 662 | 45,755 | 1,600,119 | 1,605,541 | — | 1,914,124 | 4,877 | (1,650 | ) | (1,699,178 | ) | — | 54,990 | 1,817,728 | 1,823,714 | |||||||||||||||||||||||||
IC-Stock Market - 180 | 17,348 | 142,750 | 157,395 | — | 612 | 931 | (2,773 | ) | (33,363 | ) | — | 14,130 | 110,851 | 122,802 | |||||||||||||||||||||||||
IC-MSC - 181 | 10,741 | 203,532 | 226,367 | — | 6,871 | 1,391 | — | (32,318 | ) | — | 9,601 | 181,526 | 202,311 | ||||||||||||||||||||||||||
IC-Stock1 - 210 | 1,366 | 19,660 | 19,660 | — | 38,080 | 210 | — | (8,145 | ) | — | 4,006 | 49,670 | 49,805 | ||||||||||||||||||||||||||
IC-Stock2 - 220 | 263 | 4,715 | 4,715 | — | 8,869 | — | — | (307 | ) | — | 721 | 13,276 | 13,277 | ||||||||||||||||||||||||||
IC-Stock3 - 230 | 285 | 6,943 | 6,943 | — | 9,324 | — | — | (268 | ) | — | 819 | 15,998 | 15,999 | ||||||||||||||||||||||||||
Total | 140,153 | 3,534,049 | 3,633,071 | — | 3,072,854 | 24,575 | (7,284 | ) | (2,434,342 | ) | — | 156,082 | 4,191,463 | 4,288,874 | |||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||
IC-2-84 | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | — | ||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 571 | 17,748 | — | — | — | (514 | ) | (17,084 | ) | — | — | 721 | |||||||||||||||||||||||||
IC-Preferred Investors | — | — | 1 | — | — | — | — | — | — | — | — | 1 | |||||||||||||||||||||||||||
IC-Stepup - 190 | — | — | 2 | 93 | — | — | — | (3 | ) | (87 | ) | — | — | 5 |
Description | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 1,493 | 150 | — | — | — | (3) | (634) | — | — | 1,006 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 3,871 | 643 | — | — | — | — | (783) | — | — | 3,731 | |||||||||||||||||||||||||||||||||||||||||
IC-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 2,592 | 113 | — | — | — | (59) | (2,004) | — | — | 642 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 11,199 | 1,020 | — | — | — | (157) | (5,838) | — | — | 6,224 | |||||||||||||||||||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 201,035 | 5,160,412 | 5,309,611 | 37,074 | 2,862,589 | 41,864 | (8,556) | (3,561,715) | (41,847) | 170,144 | 4,419,621 | 4,639,020 | |||||||||||||||||||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 23 | — | — | 1 | — | — | — | 3 | 12 | 24 | ||||||||||||||||||||||||||||||||||||||||
R78 - 911 | 3.5 | 5 | 26 | 42 | — | — | 2 | — | (23) | — | 3 | 12 | 21 | ||||||||||||||||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 39 | 65 | — | — | 2 | — | — | 5 | 39 | 67 | |||||||||||||||||||||||||||||||||||||||||
R-80 - 913 | 3.5 | 4 | 23 | 34 | — | — | 1 | — | (2) | — | 3 | 21 | 33 | ||||||||||||||||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 2 | 24 | 35 | — | — | 1 | — | (20) | — | 1 | 10 | 16 | ||||||||||||||||||||||||||||||||||||||||
R-82A - 915 | 3.5 | 8 | 36 | 44 | — | — | 1 | — | (6) | — | 7 | 31 | 39 | ||||||||||||||||||||||||||||||||||||||||
RP-Q - 916 | 30 | 38 | 116 | — | — | — | — | (7) | — | 26 | 34 | 109 | |||||||||||||||||||||||||||||||||||||||||
R-II - 920 | 3.5 | 8 | 63 | 60 | — | — | 2 | — | — | — | 8 | 63 | 62 | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings - 971 | 45,821 | 1,319,131 | 1,359,076 | — | 202,391 | 13,416 | (1,288) | (572,131) | — | 34,382 | 936,701 | 1,001,464 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 29,471 | 689,732 | 693,653 | — | 1,116,296 | 2,800 | (47) | (830,637) | — | 32,551 | 948,775 | 982,065 | |||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 3 | 81 | 92 | — | — | 1 | (11) | — | 1 | 71 | 82 | ||||||||||||||||||||||||||||||||||||||||||
RP-Stock Market - 960 | 1,996 | 20,501 | 22,605 | — | 4 | 421 | (342) | (4,848) | — | 1,576 | 15,634 | 17,840 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | 283 | 9,619 | 9,899 | — | 126 | — | (3,584) | — | 197 | 6,000 | 6,441 | ||||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | 3,358 | 39,055 | 39,869 | — | 5,858 | 788 | — | (11,679) | — | 3,096 | 33,363 | 34,836 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | 920 | 15,618 | 15,824 | — | 2,635 | 442 | — | (5,342) | — | 821 | 12,977 | 13,559 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | 1,410 | 24,569 | 24,908 | — | 2,905 | 520 | — | (5,128) | — | 1,441 | 22,569 | 23,205 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert - 961 | 1,355 | 31,852 | 34,532 | — | 562 | 622 | (351) | (6,945) | — | 1,124 | 25,645 | 28,420 | |||||||||||||||||||||||||||||||||||||||||
D-1 990-993 | 4 | 1,122 | 1,270 | — | 106 | 9 | (59) | (387) | — | 2 | 853 | 939 | |||||||||||||||||||||||||||||||||||||||||
Total | 84,686 | 2,151,541 | 2,202,147 | — | 1,330,757 | 19,155 | (2,098) | (1,440,739) | — | 75,247 | 2,002,810 | 2,109,222 | |||||||||||||||||||||||||||||||||||||||||
Additional Interest on R-Series Single Payment Reserves: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
R-77 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-78 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-79 | 3.5 | — | — | — | 2 | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-80 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-81 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-82A | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
RP-Q | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
R-II | 3.5 | — | — | — | 2 | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings | — | — | 876 | 12,899 | — | — | — | (149) | (13,413) | — | — | 213 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | — | — | 7 | 124 | — | — | — | (1) | (126) | — | — | 4 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 246 | 3,174 | — | — | — | (616) | (2,801) | — | — | 3 | |||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp | — | — | — | 1 | — | — | — | (1) | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 9 | 7 | — | — | — | — | (13) | — | — | 3 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 | — | — | 22 | 23 | — | — | — | — | (38) | — | — | 7 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 | — | — | 18 | 15 | — | — | — | — | (16) | — | — | 17 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 | — | — | 18 | 16 | — | — | — | — | (3) | — | — | 31 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 21 | 23 | — | — | — | — | (39) | — | — | 5 | |||||||||||||||||||||||||||||||||||||||||
D-1 - 400 | 7 | 7 | — | 10 | — | — | — | — | (10) | 7 | 7 | — |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||
Description | December 31, 2016 | ||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | Number of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||
IC-FS-EMP | — | — | 1 | 2 | — | — | — | (1 | ) | (2 | ) | — | — | — | |||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 199 | 5,696 | — | — | — | (789 | ) | (4,879 | ) | — | — | 227 | |||||||||||||||||||||||||
IC-Stk Mkt, 2004/16/31-4000/16 | — | — | 21 | 31 | — | — | — | (1 | ) | (32 | ) | — | — | 19 | |||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 1 | 7 | — | — | — | — | (4 | ) | — | — | 4 | ||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | — | 3 | — | — | — | — | — | — | — | 3 | |||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 1 | 8 | — | — | — | — | — | — | — | 9 | |||||||||||||||||||||||||||
IC-MSC | — | — | 11 | 41 | — | — | — | — | (39 | ) | — | — | 13 | ||||||||||||||||||||||||||
Total | — | — | 809 | 23,629 | — | — | — | (1,309 | ) | (22,127 | ) | — | — | 1,002 | |||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1 | ) | — | — | — | — | — | — | — | — | (1 | ) | |||||||||||||||||||||||||
IC-Stock | — | — | 478 | 2,368 | — | — | — | (9 | ) | (899 | ) | — | — | 1,938 | |||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 78 | 879 | — | — | — | — | (206 | ) | — | — | 751 | ||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 60 | 374 | — | — | — | — | — | — | — | 434 | |||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 130 | 815 | — | — | — | — | — | — | — | 945 | |||||||||||||||||||||||||||
IC-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 624 | 3,580 | — | — | — | (35 | ) | (1,353 | ) | — | — | 2,816 | |||||||||||||||||||||||||
Total | — | — | 1,369 | 8,016 | — | — | — | (44 | ) | (2,458 | ) | — | — | 6,883 | |||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 140,153 | 3,534,049 | 3,635,249 | 31,645 | 3,072,854 | 24,575 | (7,284 | ) | (2,435,695 | ) | (24,585 | ) | 156,082 | 4,191,463 | 4,296,759 | ||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | |||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 20 | — | — | 1 | — | — | — | 3 | 12 | 21 | ||||||||||||||||||||||||||
R-78 - 911 | 3.5 | 6 | 41 | 58 | — | — | 2 | — | — | — | 6 | 41 | 60 | ||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 40 | 57 | — | — | 2 | — | (1 | ) | — | 5 | 40 | 58 | |||||||||||||||||||||||||
R-80 - 913 | 3.5 | 4 | 26 | 32 | — | — | 1 | — | — | — | 4 | 26 | 33 | ||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 3 | 26 | 31 | — | — | 1 | — | (1 | ) | — | 2 | 24 | 31 | |||||||||||||||||||||||||
R-82A - 915 | 3.5 | 14 | 61 | 62 | — | — | 2 | — | (13 | ) | — | 12 | 49 | 51 | |||||||||||||||||||||||||
RP-Q - 916 | 45 | 60 | 176 | — | — | 1 | — | (14 | ) | — | 39 | 55 | 163 | ||||||||||||||||||||||||||
R-II - 920 | 3.5 | 10 | 77 | 63 | — | — | 2 | — | (1 | ) | — | 10 | 76 | 64 | |||||||||||||||||||||||||
RP-Flexible Savings - 971 | 26,115 | 586,160 | 605,594 | — | 408,584 | 7,040 | (238 | ) | (206,144 | ) | — | 30,597 | 794,306 | 814,836 | |||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 13,780 | 422,566 | 423,599 | — | 695,111 | 1,488 | (75 | ) | (471,371 | ) | — | 19,090 | 647,314 | 648,752 | |||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 13 | 185 | 237 | — | — | 3 | — | (12 | ) | — | 15 | 173 | 228 | ||||||||||||||||||||||||||
RP-Stock Market - 960 | 5,308 | 58,182 | 62,549 | — | 146 | 388 | (418 | ) | (12,729 | ) | — | 4,453 | 46,361 | 49,936 | |||||||||||||||||||||||||
RP-Stepup - 940 | 100 | 3,078 | 3,087 | — | 3,343 | 55 | — | (131 | ) | — | 215 | 6,295 | 6,354 | ||||||||||||||||||||||||||
RP-Stock1 - 941 | 529 | 8,975 | 8,975 | — | 17,026 | 101 | — | (3,259 | ) | — | 1,626 | 22,787 | 22,843 | ||||||||||||||||||||||||||
RP-Stock2 - 942 | 117 | 2,477 | 2,477 | — | 5,566 | — | — | (21 | ) | — | 443 | 8,022 | 8,022 | ||||||||||||||||||||||||||
RP-Stock3 - 943 | 184 | 3,763 | 3,763 | — | 6,626 | — | — | (77 | ) | — | 558 | 10,312 | 10,312 | ||||||||||||||||||||||||||
Market Strategy Cert - 961 | 2,367 | 58,249 | 62,448 | — | 1,248 | 397 | — | (9,456 | ) | — | 2,143 | 50,971 | 54,637 | ||||||||||||||||||||||||||
D-1 990-993 | 5 | 464 | 598 | — | 154 | 5 | — | (10 | ) | — | 5 | 608 | 747 | ||||||||||||||||||||||||||
Total | 48,608 | 1,144,442 | 1,173,826 | — | 1,137,804 | 9,489 | (731 | ) | (703,240 | ) | — | 59,226 | 1,587,472 | 1,617,148 | |||||||||||||||||||||||||
Additional Interest on R-Series Single Payment Reserves: | |||||||||||||||||||||||||||||||||||||||
R-77 | 3.5 | — | — | 2 | 1 | — | — | — | — | (1 | ) | — | — | 2 | |||||||||||||||||||||||||
R-78 | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | |||||||||||||||||||||||||
R-79 | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||
Description | December 31, 2016 | ||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | Number of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||
R-80 | 3.5 | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | |||||||||||||||||||||||||
R-81 | 3.5 | — | — | 1 | 1 | — | — | — | — | (1 | ) | — | — | 1 | |||||||||||||||||||||||||
R-82A | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | |||||||||||||||||||||||||
RP-Q | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||
R-II | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
RP-Flexible Savings | 3.5 | — | — | 211 | 7,209 | — | — | — | (92 | ) | (7,041 | ) | — | — | 287 | ||||||||||||||||||||||||
RP-Stepup - 940 | — | — | 1 | 56 | — | — | — | — | (55 | ) | — | — | 2 | ||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 53 | 1,781 | — | — | — | (266 | ) | (1,488 | ) | — | — | 80 | |||||||||||||||||||||||||
RP-Flexible Savings Emp | — | — | — | 3 | — | — | — | — | (3 | ) | — | — | — | ||||||||||||||||||||||||||
RP-Stock Market | — | — | 8 | 11 | — | — | — | — | (11 | ) | — | — | 8 | ||||||||||||||||||||||||||
RP-Stock1 | — | — | — | 3 | — | — | — | — | (1 | ) | — | — | 2 | ||||||||||||||||||||||||||
RP-Stock2 | — | — | — | 1 | — | — | — | — | — | — | — | 1 | |||||||||||||||||||||||||||
RP-Stock3 | — | — | — | 2 | — | — | — | — | — | — | — | 2 | |||||||||||||||||||||||||||
Market Strategy Cert | — | — | 9 | 18 | — | — | — | — | (17 | ) | — | — | 10 | ||||||||||||||||||||||||||
D-1 - 400 | 8 | 7 | — | 6 | — | — | — | (1 | ) | (5 | ) | 8 | 7 | — | |||||||||||||||||||||||||
Total | 8 | 7 | 293 | 9,102 | — | — | — | (359 | ) | (8,633 | ) | 8 | 7 | 403 | |||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | |||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 181 | 971 | — | — | — | — | (377 | ) | — | — | 775 | ||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | 31 | 415 | — | — | — | (1 | ) | (100 | ) | — | — | 345 | |||||||||||||||||||||||||
RP-Stock2 - 942 | — | — | 37 | 220 | — | — | — | — | — | — | — | 257 | |||||||||||||||||||||||||||
RP-Stock3 - 943 | — | — | 71 | 580 | — | — | — | — | — | — | — | 651 | |||||||||||||||||||||||||||
Market Strategy Cert | — | — | 165 | 971 | — | — | — | (8 | ) | (380 | ) | — | — | 748 | |||||||||||||||||||||||||
Total | — | — | 485 | 3,157 | — | — | — | (9 | ) | (857 | ) | — | — | 2,776 | |||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 48,616 | 1,144,449 | 1,174,604 | 12,259 | 1,137,804 | 9,489 | (731 | ) | (703,608 | ) | (9,490 | ) | 59,234 | 1,587,479 | 1,620,327 | ||||||||||||||||||||||||
Fully Paid Up Certificates | |||||||||||||||||||||||||||||||||||||||
Paid-up certificates: | |||||||||||||||||||||||||||||||||||||||
I-76 - 640 | 3.5 | — | — | 2 | — | — | — | — | (1 | ) | — | — | — | 1 | |||||||||||||||||||||||||
Total | — | — | 2 | — | — | — | — | (1 | ) | — | — | — | 1 | ||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||
I-76 | 3.5 | 4 | 2 | 1 | — | — | — | 2 | 1 | 1 | |||||||||||||||||||||||||||||
Total | 4 | 2 | 1 | — | — | — | 2 | 1 | 1 | ||||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | 4 | 2 | 3 | — | — | — | — | (1 | ) | — | 2 | 1 | 2 | ||||||||||||||||||||||||||
Optional Settlement Certificates | |||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 9,580 | 279 | — | 2 | (1,106 | ) | (455 | ) | — | — | — | 8,300 | ||||||||||||||||||||||||
Series R-II & RP-2-84 - 88 - Prod 921 | 3.5 | — | — | 34 | 1 | — | — | (1 | ) | (3 | ) | — | — | — | 31 | ||||||||||||||||||||||||
Series R-Installment (Prod 980, 981,982) | — | — | 2 | — | — | — | — | — | — | — | — | 2 | |||||||||||||||||||||||||||
Add'l credits and accrued int. thereon | 2.5 - 3 | — | — | 245 | 6 | — | 1 | (75 | ) | (5 | ) | (2 | ) | — | — | 170 |
Description | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
Total | 7 | 7 | 1,217 | 16,301 | — | — | — | (767) | (16,468) | 7 | 7 | 283 | |||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 555 | (30) | — | — | — | (1) | (408) | — | — | 116 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | 954 | 56 | — | — | — | (5) | (750) | — | — | 255 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | — | — | 913 | 80 | — | — | — | (2) | (427) | — | — | 564 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | — | — | 2,487 | 388 | — | — | — | — | (517) | — | — | 2,358 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 748 | 26 | — | — | — | (6) | (584) | — | — | 184 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 5,657 | 520 | — | — | — | (14) | (2,686) | — | — | 3,477 | |||||||||||||||||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 84,693 | 2,151,548 | 2,209,021 | 16,821 | 1,330,757 | 19,155 | (2,098) | (1,441,520) | (19,154) | 75,254 | 2,002,817 | 2,112,982 | |||||||||||||||||||||||||||||||||||||||||
Fully Paid Up Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 | 3.5 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Optional Settlement Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 5,398 | 166 | — | — | (363) | (94) | — | — | — | 5,107 | ||||||||||||||||||||||||||||||||||||||||
Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 17 | — | — | — | — | — | — | — | 17 | |||||||||||||||||||||||||||||||||||||||||
Series R-Installment (Prod 980, 981, 982) | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Add’l credits and accrued int. thereon | 2.5-3 | — | — | 41 | 1 | — | — | (8) | (2) | — | — | — | 32 | ||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Optional Settlement | — | — | 5,456 | 168 | — | — | (371) | (96) | (1) | — | — | 5,156 | |||||||||||||||||||||||||||||||||||||||||
Due to unlocated cert holders | — | — | 439 | — | — | 1,125 | — | — | (1,164) | — | — | 400 | |||||||||||||||||||||||||||||||||||||||||
Total Certificate Reserves (1) | 286,509 | $ | 7,337,456 | $ | 7,529,898 | $ | 54,133 | $ | 4,195,937 | $ | 62,182 | $ | (11,507) | $ | (5,004,865) | $ | (62,204) | 246,071 | $ | 6,440,593 | $ | 6,763,574 |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||
Description | December 31, 2016 | ||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | Number of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||
Total Optional Settlement | — | — | 9,861 | 287 | — | 3 | (1,182 | ) | (463 | ) | (3 | ) | — | — | 8,503 | ||||||||||||||||||||||||
Due to unlocated cert holders | — | — | 346 | — | — | 347 | — | (1 | ) | (340 | ) | — | — | 352 | |||||||||||||||||||||||||
Total Certificate Reserves (1) | 190,551 | $ | 4,721,911 | $ | 4,835,267 | $ | 44,266 | $ | 4,214,710 | $ | 34,489 | $ | (10,371 | ) | $ | (3,144,453 | ) | $ | (34,493 | ) | 216,827 | $ | 5,816,383 | $ | 5,939,415 |
Part 2 - Descriptions of Additions to Reserves Charged to Other Accounts and Deductions from Reserves Credited to other Accounts | Year Ended December 31, 2016 | ||
Additional credits on installment certificates and accrued interest thereon: | |||
Other additions represent: | |||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 75 | |
Other deductions represent: | |||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 75 | |
Optional settlement certificates: | |||
Other additions represent: | |||
Transfers from installment certificate reserves (less surrender charges), optional settlement privileges | $ | 1 | |
Transfers from accruals for additional credits to be allowed at next anniversaries | 2 | ||
$ | 3 | ||
Other deductions represent: | |||
Transfers to reserves for additional credits and accrued interest thereon | $ | 3 | |
Single-Payment certificates: | |||
Other additions represent: | |||
Flexible Savings | $ | 17,077 | |
Stepup | 87 | ||
Flexible Savings-Emp | 2 | ||
Cash Reserve-3mo | 4,877 | ||
Stock Market | 931 | ||
IC-Stock1 | 210 | ||
Market Strategy | 1,391 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 1,488 | ||
Flexible Savings-RP | 7,041 | ||
Stepup-RP | 55 | ||
Flexible Savings-RP-Emp | 3 | ||
Stock Market-RP | 388 | ||
RP-Stock1 | 101 | ||
Market Strategy-RP | 397 | ||
Transfers from accruals at anniversaries maintained in a separate reserve account | 16 | ||
$ | 34,065 |
Year Ended December 31, 2020 | |||||
Additional credits on installment certificates and accrued interest thereon: | |||||
Other additions represent: | |||||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 38 | |||
Other deductions represent: | |||||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 38 | |||
Optional settlement certificates: | |||||
Other deductions represent: | |||||
Transfers to reserves for additional credits and accrued interest thereon | $ | 1 | |||
Single-Payment certificates: | |||||
Other additions represent: | |||||
Flexible Savings | $ | 27,892 | |||
Stepup | 118 | ||||
Cash Reserve-3mo | 7,833 | ||||
Stock Market | 977 | ||||
IC-Stock1 | 1,513 | ||||
IC-Stock2 | 665 | ||||
IC-Stock3 | 796 | ||||
Market Strategy | 2,070 | ||||
Cash Reserve-RP-3mo | 2,800 | ||||
Flexible Savings-RP | 13,416 | ||||
Stepup-RP | 126 | ||||
Flexible Savings-RP-Emp | 1 | ||||
Stock Market-RP | 421 | ||||
RP-Stock1 | 788 | ||||
RP-Stock2 | 442 | ||||
RP-Stock3 | 520 | ||||
Market Strategy-RP | 622 | ||||
Transfers from accruals at anniversaries maintained in a separate reserve account | 19 | ||||
$ | 61,019 | ||||
Year Ended December 31, 2020 |
Part 2 - Descriptions of Additions to Reserves Charged to Other Accounts and Deductions from Reserves Credited to other Accounts | Year Ended December 31, 2016 | ||
Other deductions represent: | |||
Transfers to optional settlement reserves: | |||
Single-Payment | $ | 2,855 | |
Transfers to reserves for additional credits and accrued interest thereon | (16 | ) | |
Flexible Savings | 17,089 | ||
Stepup | 87 | ||
Flexible Savings-Emp | 2 | ||
Cash Reserve-3mo | 4,881 | ||
Stock Market | 1 | ||
Stock1 | 34 | ||
Stock2 | 4 | ||
Market Strategy Cert | 32 | ||
AEBI Stock Market | 39 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 1,488 | ||
Flexible Savings-RP | 7,041 | ||
Stepup-RP | 55 | ||
Flexible Savings-RP-Emp | 3 | ||
Stock Market-RP | 388 | ||
RP-Stock1 | 101 | ||
Transfers to Federal tax withholding | (10 | ) | |
$ | 34,075 | ||
Due to unlocated certificate holders: | |||
Other additions represent: | |||
Amounts equivalent to payments due certificates holders who could not be located | $ | 347 | |
Other deductions represent: | |||
Payments to certificate holders credited to cash | $ | 340 |
Other deductions represent: | |||||
Transfers to optional settlement reserves: | |||||
Single-Payment | $ | 6,493 | |||
Transfers to reserves for additional credits and accrued interest thereon | (19) | ||||
Flexible Savings | 27,899 | ||||
Stepup | 118 | ||||
Cash Reserve-3mo | 7,813 | ||||
Stock Market | 33 | ||||
Stock1 | 46 | ||||
Stock2 | 31 | ||||
Stock3 | 13 | ||||
Market Strategy Cert | 67 | ||||
Cash Reserve-RP-3mo | 2,801 | ||||
Flexible Savings-RP | 13,414 | ||||
Stepup-RP | 126 | ||||
Flexible Savings-RP-Emp | 1 | ||||
Stock Market-RP | 421 | ||||
RP-Stock1 | 788 | ||||
RP-Stock2 | 443 | ||||
RP-Stock3 | 520 | ||||
Transfers to Federal tax withholding | (7) | ||||
$ | 61,001 | ||||
Due to unlocated certificate holders: | |||||
Other additions represent: | |||||
Amounts equivalent to payments due certificates holders who could not be located | $ | 1,125 | |||
Other deductions represent: | |||||
Payments to certificate holders credited to cash | $ | 1,164 | |||
MO’s Paid | Number of Accounts w/Certificate Holders | Amount of Maturity Value | Amount of Reserves | Deduction from Reserves Cash Surrenders Prior to Maturity Surrender | Other Deductions | |||||||||||||||||||||||||||||||||||||||||||||
2019 | 2020 | 2019 | 2020 | 2019 | 2020 | 2020 | 2020 | |||||||||||||||||||||||||||||||||||||||||||
1-12 | 103 | 76 | $ | 7,557 | $ | 1,081 | $ | 468 | $ | 814 | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||
13-24 | 113 | 86 | 7,289 | 3,713 | 457 | 626 | 22 | — | ||||||||||||||||||||||||||||||||||||||||||
25-36 | 63 | 91 | 653 | 5,335 | 337 | 585 | 32 | — | ||||||||||||||||||||||||||||||||||||||||||
37-48 | 86 | 54 | 322 | 594 | 682 | 397 | 41 | — | ||||||||||||||||||||||||||||||||||||||||||
49-60 | 72 | 76 | 2,135 | 237 | 713 | 912 | 23 | — | ||||||||||||||||||||||||||||||||||||||||||
61-72 | 66 | 70 | 3,075 | 2,135 | 530 | 817 | 7 | — | ||||||||||||||||||||||||||||||||||||||||||
73-84 | 62 | 57 | 2,377 | 3,006 | 480 | 473 | 34 | — | ||||||||||||||||||||||||||||||||||||||||||
85-96 | 72 | 54 | 1,908 | 566 | 611 | 501 | 35 | — | ||||||||||||||||||||||||||||||||||||||||||
97-108 | 72 | 54 | 162 | 1,476 | 584 | 430 | 35 | — | ||||||||||||||||||||||||||||||||||||||||||
109-120 | 70 | 54 | — | — | 493 | 449 | 96 | — | ||||||||||||||||||||||||||||||||||||||||||
121-132 | — | — | — | — | — | — | 139 | — | ||||||||||||||||||||||||||||||||||||||||||
133-144 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
145-156 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
157-168 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
169-180 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
181-192 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
193-204 | — | — | — | — | — | — | — | — |
Part 3 - Information Regarding Installment Certificates | ||||||||||||||||||||||||||||||
MO’s Paid | Number of Accounts w/Certificate Holders | Amount of Maturity Value | Amount of Reserves | Deduction from Reserves Cash Surrenders Prior to Maturity Surrender | Other Deductions | |||||||||||||||||||||||||
2015 | 2016 | 2015 | 2016 | 2015 | 2016 | 2016 | 2016 | |||||||||||||||||||||||
1-12 | 132 | 137 | $ | 2,713 | $ | 1,502 | $ | 562 | $ | 401 | $ | 2 | $ | — | ||||||||||||||||
13-24 | 111 | 102 | 7,038 | 2,667 | 588 | 687 | 32 | — | ||||||||||||||||||||||
25-36 | 103 | 93 | 7,366 | 5,433 | 557 | 624 | 28 | — | ||||||||||||||||||||||
37-48 | 124 | 86 | 5,176 | 3,887 | 715 | 432 | 150 | — | ||||||||||||||||||||||
49-60 | 141 | 108 | 1,529 | 5,076 | 693 | 796 | 67 | — | ||||||||||||||||||||||
61-72 | 148 | 121 | 17,475 | 1,457 | 881 | 636 | 74 | — | ||||||||||||||||||||||
73-84 | 393 | 129 | 1,159 | 16,497 | 5,479 | 888 | 91 | — | ||||||||||||||||||||||
85-96 | 282 | 345 | 631 | 831 | 2,827 | 5,316 | 389 | — | ||||||||||||||||||||||
97-108 | 180 | 236 | 288 | 60 | 1,408 | 2,585 | 324 | — | ||||||||||||||||||||||
109-120 | 160 | 147 | 6 | — | 1,471 | 1,085 | 121 | — | ||||||||||||||||||||||
121-132 | — | 1 | — | — | — | 1 | 372 | — | ||||||||||||||||||||||
133-144 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
145-156 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
157-168 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
169-180 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
181-192 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
193-204 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
205-216 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
217-228 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
229-240 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
241-252 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
253-264 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
265-276 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
277-288 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
289-300 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
301-312 | 2 | — | 12 | — | 2 | — | — | — | ||||||||||||||||||||||
313-324 | — | 2 | — | 12 | — | 2 | — | — | ||||||||||||||||||||||
325-336 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
337-348 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
349-360 | 1 | — | 12 | — | 11 | — | — | — | ||||||||||||||||||||||
361-372 | — | 1 | — | 12 | — | 11 | — | — | ||||||||||||||||||||||
373-384 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
385-396 | 1 | — | 6 | — | 5 | — | — | — | ||||||||||||||||||||||
397-408 | — | 1 | — | 6 | — | 5 | — | — | ||||||||||||||||||||||
TOTAL - ALL SERIES | 1,778 | 1,509 | $ | 43,411 | $ | 37,440 | $ | 15,199 | $ | 13,469 | $ | 1,650 | $ | — |
205-216 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
217-228 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
229-240 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
241-252 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
253-264 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
265-276 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
277-288 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
289-300 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
301-312 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
313-324 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
325-336 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
337-348 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
349-360 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
361-372 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
373-384 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
385-396 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
397-408 | 1 | — | 12 | — | 11 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
409-420 | — | 1 | — | 12 | — | 12 | — | — | ||||||||||||||||||||||||||||||||||||||||||
433-444 | 1 | — | 6 | — | 5 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
TOTAL - ALL SERIES | 781 | 673 | $ | 25,496 | $ | 18,155 | $ | 5,371 | $ | 6,016 | $ | 464 | $ | — |
Description | December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
Installment certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Reserves to mature: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Inst I95 | 822 | $ | — | $ | 7,454 | $ | — | $ | 2,085 | $ | 68 | $ | (2,849) | $ | (2,641) | $ | — | 600 | $ | — | $ | 4,117 | |||||||||||||||||||||||||||||||
Inst-E | 5 | — | 189 | — | 33 | 2 | (15) | (180) | — | 1 | — | 29 | |||||||||||||||||||||||||||||||||||||||||
RP-Q-Installment | 1 | 6 | 4 | — | — | — | — | — | — | 1 | 6 | 4 | |||||||||||||||||||||||||||||||||||||||||
RP-Q-Flexible Payment | 1 | 12 | 11 | — | — | — | — | — | — | 1 | 12 | 11 | |||||||||||||||||||||||||||||||||||||||||
Inst-R | 178 | 34,031 | 906 | — | 207 | 12 | (67) | (155) | — | 177 | 23,426 | 903 | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | 1 | 2,052 | 250 | — | 53 | 4 | — | — | — | 1 | 2,052 | 307 | |||||||||||||||||||||||||||||||||||||||||
Total | 1,008 | 36,101 | 8,814 | — | 2,378 | 86 | (2,931) | (2,976) | — | 781 | 25,496 | 5,371 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 68 | — | — | — | — | (68) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-E | — | — | — | 2 | — | — | — | — | (2) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R | — | — | — | 12 | — | — | — | — | (12) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | — | — | — | 4 | — | — | — | — | (4) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | 86 | — | — | — | — | (86) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Installment Certificates | 1,008 | 36,101 | 8,814 | 86 | 2,378 | 86 | (2,931) | (2,976) | (86) | 781 | 25,496 | 5,371 | |||||||||||||||||||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Single - Payment certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 107,778 | 3,398,323 | 3,479,056 | — | 1,125,339 | 63,704 | (2,741) | (1,679,064) | — | 103,136 | 2,885,658 | 2,986,294 | |||||||||||||||||||||||||||||||||||||||||
IC - Stepup - 190 | 404 | 13,367 | 13,672 | — | 1,109 | 205 | — | (4,687) | — | 309 | 9,947 | 10,299 | |||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings Emp (VT) - 166 | 1 | 1 | 3 | — | — | — | (3) | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variables PMT - 3mo. - 662 | 68,512 | 1,846,437 | 1,853,780 | (6) | 2,471,489 | 17,792 | (1,361) | (2,358,281) | — | 73,450 | 1,971,489 | 1,983,413 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock Market - 180 | 8,308 | 59,787 | 66,860 | — | 293 | 1,373 | (2,744) | (14,827) | — | 6,414 | 45,100 | 50,955 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC - 181 | 7,191 | 128,093 | 144,112 | — | 3,457 | 2,633 | (4,105) | (28,449) | — | 5,727 | 103,885 | 117,648 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | 7,570 | 71,118 | 72,105 | — | 26,936 | 1,459 | — | (19,494) | — | 8,368 | 79,243 | 81,006 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | 1,293 | 22,731 | 22,945 | — | 8,805 | 419 | — | (6,241) | — | 1,379 | 25,555 | 25,928 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | 1,947 | 34,196 | 34,413 | — | 10,224 | 679 | — | (5,233) | — | 2,252 | 39,535 | 40,083 | |||||||||||||||||||||||||||||||||||||||||
Total | 203,004 | 5,574,053 | 5,686,946 | (6) | 3,647,652 | 88,264 | (10,954) | (4,116,276) | — | 201,035 | 5,160,412 | 5,295,626 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 2,645 | 64,477 | — | — | — | (1,495) | (63,715) | — | — | 1,912 | |||||||||||||||||||||||||||||||||||||||||
IC-Preferred Investors | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
IC-Stepup -190 | — | — | 8 | 205 | — | — | — | (1) | (205) | — | — | 7 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 671 | 21,494 | — | — | — | (3,667) | (17,789) | — | — | 709 | |||||||||||||||||||||||||||||||||||||||||
IC-Stk Mkt, 2004/16/31-4000/16 | — | — | 20 | 38 | — | — | — | — | (35) | — | — | 23 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 18 | 50 | — | — | — | (2) | (36) | — | — | 30 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 13 | 27 | — | — | — | — | (6) | — | — | 34 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 27 | 39 | — | — | — | — | (15) | — | — | 51 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC | — | — | 23 | 96 | — | — | — | — | (99) | — | — | 20 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 3,426 | 86,426 | — | — | — | (5,166) | (81,900) | — | — | 2,786 | |||||||||||||||||||||||||||||||||||||||||
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2015 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
Installment certificates: | ||||||||||||||||||||||||||||||||||||||||
Reserves to mature: | ||||||||||||||||||||||||||||||||||||||||
I-76 | 3.35 | — | $ | — | $ | (1 | ) | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
IC-Q-IN | 3 | 36 | 1 | — | — | — | — | (1 | ) | — | — | — | — | |||||||||||||||||||||||||||
IC-I | 3 | 43 | 40 | — | 3 | — | (43 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
IC-I-EMP | 1 | 6 | 12 | — | 1 | — | — | — | 1 | 6 | 13 | |||||||||||||||||||||||||||||
Inst I95 | 1,920 | — | 15,874 | — | 4,742 | 71 | (1,683 | ) | (5,489 | ) | — | 1,529 | — | 13,515 | ||||||||||||||||||||||||||
Inst-E | 12 | — | 137 | — | 57 | 1 | (6 | ) | (52 | ) | — | 10 | — | 137 | ||||||||||||||||||||||||||
RP-Q-Installment | 3 | 22 | 8 | — | — | — | (4 | ) | — | — | 1 | 6 | 4 | |||||||||||||||||||||||||||
RP-Q-Flexible Payment | 1 | 12 | 11 | — | — | — | — | — | — | 1 | 12 | 11 | ||||||||||||||||||||||||||||
RP-Q-Ins | 2 | 12 | 2 | — | — | — | — | — | — | 2 | 12 | 2 | ||||||||||||||||||||||||||||
Inst-R | 270 | 47,408 | 1,770 | — | 289 | 7 | (43 | ) | (628 | ) | — | 232 | 41,317 | 1,395 | ||||||||||||||||||||||||||
Inst-R-E | 1 | 12 | 25 | — | 137 | — | — | (40 | ) | — | 2 | 2,058 | 122 | |||||||||||||||||||||||||||
Total | 2,216 | 47,551 | 17,879 | 1 | 5,229 | 79 | (1,779 | ) | (6,210 | ) | — | 1,778 | 43,411 | 15,199 | ||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | ||||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 71 | — | — | — | — | (71 | ) | — | — | — | |||||||||||||||||||||||||||
Inst-E | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | |||||||||||||||||||||||||||
Inst-R | — | — | — | 7 | — | — | — | — | (7 | ) | — | — | — | |||||||||||||||||||||||||||
Total | — | — | — | 79 | — | — | — | — | (79 | ) | — | — | — | |||||||||||||||||||||||||||
Res for accrued 3rd year 2113 - Installment Prod only. | — | — | 32 | — | (27 | ) | — | — | — | — | — | — | 5 | |||||||||||||||||||||||||||
Total | — | — | 32 | — | (27 | ) | — | — | — | — | — | — | 5 | |||||||||||||||||||||||||||
Total Installment Certificates | 2,216 | 47,551 | 17,911 | 80 | 5,202 | 79 | (1,779 | ) | (6,210 | ) | (79 | ) | 1,778 | 43,411 | 15,204 | |||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | ||||||||||||||||||||||||||||||||||||||||
Single-Payment certificates: | ||||||||||||||||||||||||||||||||||||||||
IC-2-84 - 115, 116, 117,118, 119 | 3.5 | 1 | 2 | 2 | — | — | — | — | — | — | 1 | 2 | 2 | |||||||||||||||||||||||||||
IC-2-85-120,121,122,123,124,125,126,127,128,129, 130 | 3.5 | 1 | 14 | 14 | — | — | — | — | — | — | 1 | 14 | 14 | |||||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 64,341 | 1,323,771 | 1,385,149 | — | 744,484 | 11,585 | (6,190 | ) | (527,421 | ) | — | 64,224 | 1,551,554 | 1,607,607 | ||||||||||||||||||||||||||
IC-Stepup - 190 | — | — | — | — | 4,413 | 11 | — | (1 | ) | — | 145 | 4,412 | 4,423 | |||||||||||||||||||||||||||
IC-Flexible Savings Emp (VT) - 166 | 45 | 466 | 563 | — | — | 2 | (110 | ) | (51 | ) | — | 24 | 348 | 404 | ||||||||||||||||||||||||||
Cash Reserve Variable PMT-3mo. - 662 | 40,292 | 1,351,071 | 1,355,993 | — | 1,617,666 | 4,162 | (1,590 | ) | (1,370,690 | ) | — | 45,755 | 1,600,119 | 1,605,541 | ||||||||||||||||||||||||||
IC-Stock Market-180 | 20,731 | 173,338 | 189,815 | — | 8,669 | 2,116 | (2,888 | ) | (40,317 | ) | — | 17,348 | 142,750 | 157,395 | ||||||||||||||||||||||||||
IC-MSC-181 | 11,947 | 226,349 | 251,313 | — | 12,624 | 2,507 | — | (40,077 | ) | — | 10,741 | 203,532 | 226,367 | |||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | — | — | 19,885 | — | — | (225 | ) | — | 1,366 | 19,660 | 19,660 | |||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | — | — | 4,726 | — | — | (11 | ) | — | 263 | 4,715 | 4,715 | |||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | — | — | 6,943 | — | — | — | — | 285 | 6,943 | 6,943 | ||||||||||||||||||||||||||||
Total | 137,358 | 3,075,011 | 3,182,849 | — | 2,419,410 | 20,383 | (10,778 | ) | (1,978,793 | ) | — | 140,153 | 3,534,049 | 3,633,071 |
Description | December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1) | — | — | — | — | — | — | — | — | (1) | |||||||||||||||||||||||||||||||||||||||||
IC-Stock | — | — | 42 | 2,588 | — | — | — | (8) | (1,338) | — | — | 1,284 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 39 | 3,416 | — | — | — | (74) | (1,423) | — | — | 1,958 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 232 | 1,676 | — | — | — | (2) | (413) | — | — | 1,493 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 1,008 | 3,528 | — | — | — | — | (664) | — | — | 3,872 | |||||||||||||||||||||||||||||||||||||||||
IC-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 54 | 5,145 | — | — | — | (71) | (2,536) | — | — | 2,592 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 1,374 | 16,353 | — | — | — | (155) | (6,374) | — | — | 11,198 | |||||||||||||||||||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 203,004 | 5,574,053 | 5,691,746 | 102,773 | 3,647,652 | 88,264 | (10,954) | (4,121,597) | (88,274) | 201,035 | 5,160,412 | 5,309,610 | |||||||||||||||||||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 23 | — | — | — | — | — | — | 3 | 12 | 23 | ||||||||||||||||||||||||||||||||||||||||
R78 - 911 | 3.5 | 6 | 29 | 44 | — | — | 2 | — | (4) | — | 5 | 26 | 42 | ||||||||||||||||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 39 | 61 | — | — | 4 | — | — | — | 5 | 39 | 65 | ||||||||||||||||||||||||||||||||||||||||
R-80 - 913 | 3.5 | 4 | 25 | 34 | — | — | 2 | — | (2) | — | 4 | 23 | 34 | ||||||||||||||||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 2 | 24 | 33 | — | — | 2 | — | — | — | 2 | 24 | 35 | ||||||||||||||||||||||||||||||||||||||||
R-82A - 915 | 3.5 | 10 | 42 | 46 | — | — | 2 | — | (4) | — | 8 | 36 | 44 | ||||||||||||||||||||||||||||||||||||||||
RP-Q - 916 | 33 | 41 | 124 | — | — | 1 | — | (9) | — | 30 | 38 | 116 | |||||||||||||||||||||||||||||||||||||||||
R-II - 920 | 3.5 | 8 | 63 | 57 | — | — | 3 | — | — | — | 8 | 63 | 60 | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings - 971 | 46,284 | 1,395,497 | 1,425,001 | — | 486,586 | 28,503 | (337) | (580,677) | — | 45,821 | 1,319,131 | 1,359,076 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 25,482 | 602,887 | 605,092 | — | 813,679 | 5,723 | (7) | (730,834) | — | 29,471 | 689,732 | 693,653 | |||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 11 | 156 | 209 | — | — | 3 | (28) | (92) | — | 3 | 81 | 92 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock Market - 960 | 2,605 | 27,255 | 29,684 | — | 74 | 611 | (482) | (7,282) | — | 1,996 | 20,501 | 22,605 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | 351 | 11,447 | 11,682 | — | 1,416 | 185 | — | (3,384) | — | 283 | 9,619 | 9,899 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | 3,033 | 33,745 | 34,182 | — | 14,774 | 727 | — | (9,814) | — | 3,358 | 39,055 | 39,869 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | 772 | 13,765 | 13,898 | — | 5,244 | 221 | — | (3,539) | — | 920 | 15,618 | 15,824 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | 1,218 | 21,964 | 22,077 | — | 6,026 | 503 | — | (3,698) | — | 1,410 | 24,569 | 24,908 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert - 961 | 1,600 | 38,068 | 40,940 | — | 544 | 761 | (295) | (7,418) | — | 1,355 | 31,852 | 34,532 | |||||||||||||||||||||||||||||||||||||||||
D-1 990-993 | 4 | 1,121 | 1,275 | — | 108 | 25 | — | (138) | — | 4 | 1,122 | 1,270 | |||||||||||||||||||||||||||||||||||||||||
Total | 81,431 | 2,146,180 | 2,184,462 | — | 1,328,451 | 37,278 | (1,149) | (1,346,895) | — | 84,686 | 2,151,541 | 2,202,147 | |||||||||||||||||||||||||||||||||||||||||
Additional Interest on R-Series Single Payment Reserves: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
R-77 | 3.5 | — | — | 2 | — | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-78 | 3.5 | — | — | 2 | — | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-79 | 3.5 | — | — | 2 | — | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-80 | 3.5 | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-81 | 3.5 | — | — | 1 | 1 | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-82A | 3.5 | — | — | 2 | 1 | — | — | — | — | (3) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
RP-Q | — | — | — | 1 | — | — | — | — | (1) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
R-II | 3.5 | — | — | 2 | 1 | — | — | — | — | (3) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings | — | — | 1,073 | 28,625 | — | — | — | (319) | (28,503) | — | — | 876 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | — | — | 7 | 185 | — | — | — | — | (185) | — | — | 7 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 208 | 7,128 | — | — | — | (1,367) | (5,723) | — | — | 246 | |||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp | — | — | — | 3 | — | — | — | — | (3) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 10 | 15 | — | — | — | (1) | (15) | — | — | 9 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 | — | — | 12 | 39 | — | — | — | (1) | (28) | — | — | 22 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 | — | — | 10 | 16 | — | — | — | — | (8) | — | — | 18 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 | — | — | 12 | 16 | — | — | — | — | (10) | — | — | 18 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2015 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | ||||||||||||||||||||||||||||||||||||||||
IC-2-84 | — | — | 1 | — | — | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 436 | 12,208 | — | — | — | (482 | ) | (11,591 | ) | — | — | 571 | ||||||||||||||||||||||||||
IC-Preferred Investors | — | — | 1 | — | — | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||||
IC-Stepup - 190 | — | — | — | 14 | — | — | — | (1 | ) | (11 | ) | — | — | 2 | ||||||||||||||||||||||||||
IC-FS-EMP | — | — | 1 | 4 | — | — | — | (2 | ) | (2 | ) | — | — | 1 | ||||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 154 | 4,874 | — | — | — | (665 | ) | (4,164 | ) | — | — | 199 | ||||||||||||||||||||||||||
IC-Stk Mkt, 2004/ 16/31 - 4000/16 | — | — | 24 | 37 | — | — | — | (3 | ) | (37 | ) | — | — | 21 | ||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | — | 1 | — | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | — | 1 | — | — | — | — | — | — | 1 | |||||||||||||||||||||||||||||
IC-MSC | — | — | 12 | 41 | — | — | — | (1 | ) | (41 | ) | — | — | 11 | ||||||||||||||||||||||||||
Total | — | — | 629 | 17,180 | — | — | — | (1,154 | ) | (15,846 | ) | — | — | 809 | ||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | ||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1 | ) | — | — | — | — | — | — | — | — | (1 | ) | ||||||||||||||||||||||||||
IC-Stock | — | — | 2,430 | 163 | — | — | — | (35 | ) | (2,080 | ) | — | — | 478 | ||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | — | 78 | — | — | — | — | — | — | — | 78 | ||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | — | 60 | — | — | — | — | — | — | — | 60 | ||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | — | 130 | — | — | — | — | — | — | — | 130 | ||||||||||||||||||||||||||||
IC-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 2,849 | 335 | — | — | — | (92 | ) | (2,468 | ) | — | — | 624 | ||||||||||||||||||||||||||
Total | — | — | 5,278 | 766 | — | — | — | (127 | ) | (4,548 | ) | — | — | 1,369 | ||||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 137,358 | 3,075,011 | 3,188,756 | 17,946 | 2,419,410 | 20,383 | (10,778 | ) | (1,980,074 | ) | (20,394 | ) | 140,153 | 3,534,049 | 3,635,249 | |||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | ||||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 19 | — | — | 1 | — | — | — | 3 | 12 | 20 | |||||||||||||||||||||||||||
R-78 - 911 | 3.5 | 7 | 43 | 59 | — | — | 2 | — | (3 | ) | — | 6 | 41 | 58 | ||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 40 | 55 | — | — | 2 | — | — | — | 5 | 40 | 57 | |||||||||||||||||||||||||||
R-80 - 913 | 3.5 | 5 | 26 | 31 | — | — | 1 | — | — | — | 4 | 26 | 32 | |||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 4 | 28 | 33 | — | — | 1 | — | (3 | ) | — | 3 | 26 | 31 | ||||||||||||||||||||||||||
R-82A - 915 | 3.5 | 16 | 66 | 64 | — | — | 2 | — | (4 | ) | — | 14 | 61 | 62 | ||||||||||||||||||||||||||
RP-Q - 916 | 54 | 71 | 208 | — | — | 1 | — | (33 | ) | — | 45 | 60 | 176 | |||||||||||||||||||||||||||
R-II - 920 | 3.5 | 14 | 96 | 76 | — | — | 3 | — | (16 | ) | — | 10 | 77 | 63 | ||||||||||||||||||||||||||
RP-Flexible Savings -971 | 25,704 | 528,481 | 549,433 | — | 198,083 | 4,569 | (386 | ) | (146,105 | ) | — | 26,115 | 586,160 | 605,594 | ||||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 10,298 | 284,994 | 285,828 | (1 | ) | 461,046 | 956 | (15 | ) | (324,215 | ) | — | 13,780 | 422,566 | 423,599 | |||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 17 | 224 | 296 | — | — | 2 | — | (61 | ) | — | 13 | 185 | 237 | |||||||||||||||||||||||||||
RP-Stock Market - 960 | 6,192 | 68,158 | 73,197 | — | 3,503 | 844 | (417 | ) | (14,578 | ) | — | 5,308 | 58,182 | 62,549 | ||||||||||||||||||||||||||
RP-Stepup - 940 | — | — | — | — | 3,094 | 8 | — | (15 | ) | — | 100 | 3,078 | 3,087 | |||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | — | — | 8,980 | — | — | (5 | ) | — | 529 | 8,975 | 8,975 | |||||||||||||||||||||||||||
RP-Stock2 - 942 | — | — | — | — | 2,477 | — | — | — | — | 117 | 2,477 | 2,477 | ||||||||||||||||||||||||||||
RP-Stock3 - 943 | — | — | — | — | 3,763 | — | — | — | — | 184 | 3,763 | 3,763 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2015 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
Market Strategy Cert -961 | 2,610 | 64,242 | 68,959 | — | 3,882 | 694 | — | (11,087 | ) | — | 2,367 | 58,249 | 62,448 | |||||||||||||||||||||||||||
D-1 990-993 | 10 | 1,154 | 1,330 | — | — | 6 | (401 | ) | (337 | ) | — | 5 | 464 | 598 | ||||||||||||||||||||||||||
Total | 44,939 | 947,635 | 979,588 | (1 | ) | 684,828 | 7,092 | (1,219 | ) | (496,462 | ) | — | 48,608 | 1,144,442 | 1,173,826 | |||||||||||||||||||||||||
Additional Interest on R-Series Single Payment Reserves: | ||||||||||||||||||||||||||||||||||||||||
R-77 | 3.5 | — | — | 2 | 1 | — | — | — | — | (1 | ) | — | — | 2 | ||||||||||||||||||||||||||
R-78 | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
R-79 | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
R-80 | 3.5 | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||
R-81 | 3.5 | — | — | 1 | 1 | — | — | — | — | (1 | ) | — | — | 1 | ||||||||||||||||||||||||||
R-82A | 3.5 | — | — | 2 | 2 | — | — | — | — | (2 | ) | — | — | 2 | ||||||||||||||||||||||||||
RP-Q | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | |||||||||||||||||||||||||||
R-II | — | — | 2 | 3 | — | — | — | — | (3 | ) | — | — | 2 | |||||||||||||||||||||||||||
RP-Flexible Savings | 3.5 | — | — | 167 | 4,695 | — | — | — | (82 | ) | (4,569 | ) | — | — | 211 | |||||||||||||||||||||||||
RP-Stepup - 940 | — | — | — | 9 | — | — | — | — | (8 | ) | — | — | 1 | |||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 33 | 1,155 | — | — | — | (179 | ) | (956 | ) | — | — | 53 | ||||||||||||||||||||||||||
RP-Flexible Savings Emp | — | — | — | 2 | — | — | — | — | (2 | ) | — | — | — | |||||||||||||||||||||||||||
RP-Stock Market | — | — | 8 | 13 | — | — | — | — | (13 | ) | — | — | 8 | |||||||||||||||||||||||||||
Market Strategy Cert | — | — | 7 | 17 | — | — | — | — | (15 | ) | — | — | 9 | |||||||||||||||||||||||||||
D-1 - 400 | 10 | 9 | — | 8 | — | — | — | (2 | ) | (6 | ) | 8 | 7 | — | ||||||||||||||||||||||||||
Total | 10 | 9 | 226 | 5,912 | — | — | — | (263 | ) | (5,582 | ) | 8 | 7 | 293 | ||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | ||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 933 | 82 | — | — | — | (4 | ) | (830 | ) | — | — | 181 | ||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | — | 31 | — | — | — | — | — | — | — | 31 | ||||||||||||||||||||||||||||
RP-Stock2 - 942 | — | — | — | 37 | — | — | — | — | — | — | — | 37 | ||||||||||||||||||||||||||||
RP-Stock3 - 943 | — | — | — | 71 | — | — | — | — | — | — | — | 71 | ||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 768 | 89 | — | — | — | (14 | ) | (678 | ) | — | — | 165 | ||||||||||||||||||||||||||
Total | — | — | 1,701 | 310 | — | — | — | (18 | ) | (1,508 | ) | — | — | 485 | ||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 44,949 | 947,644 | 981,515 | 6,221 | 684,828 | 7,092 | (1,219 | ) | (496,743 | ) | (7,090 | ) | 48,616 | 1,144,449 | 1,174,604 | |||||||||||||||||||||||||
Fully Paid Up Certificates | ||||||||||||||||||||||||||||||||||||||||
Paid-up certificates: | ||||||||||||||||||||||||||||||||||||||||
I-76 - 640 | 3.5 | — | — | 13 | — | — | — | (9 | ) | (2 | ) | — | — | — | 2 | |||||||||||||||||||||||||
Total | — | — | 13 | — | — | — | (9 | ) | (2 | ) | — | — | — | 2 | ||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | ||||||||||||||||||||||||||||||||||||||||
I-76 | 3.5 | 6 | 13 | 3 | — | — | — | (1 | ) | (1 | ) | — | 4 | 2 | 1 | |||||||||||||||||||||||||
Total | 6 | 13 | 3 | — | — | — | (1 | ) | (1 | ) | — | 4 | 2 | 1 | ||||||||||||||||||||||||||
Total Fully Paid-up Certificates | 6 | 13 | 16 | — | — | — | (10 | ) | (3 | ) | — | 4 | 2 | 3 | ||||||||||||||||||||||||||
Description | December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | |||||||||||||||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | ||||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 18 | 51 | — | — | — | — | (48) | — | — | 21 | |||||||||||||||||||||||||||||||||||||||||
D-1 - 400 | 7 | 7 | — | 26 | — | — | — | (1) | (25) | 7 | 7 | — | |||||||||||||||||||||||||||||||||||||||||
Total | 7 | 7 | 1,361 | 36,109 | — | — | — | (1,689) | (34,564) | 7 | 7 | 1,217 | |||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 3 | 1,149 | — | — | — | (1) | (596) | — | — | 555 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | 38 | 1,627 | — | — | — | (12) | (699) | — | — | 954 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | — | — | 119 | 1,007 | — | — | — | — | (213) | — | — | 913 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | — | — | 751 | 2,229 | — | — | — | — | (493) | — | — | 2,487 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 15 | 1,455 | — | — | — | (9) | (713) | — | — | 748 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 926 | 7,467 | — | — | — | (22) | (2,714) | — | — | 5,657 | |||||||||||||||||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 81,438 | 2,146,187 | 2,186,749 | 43,576 | 1,328,451 | 37,278 | (1,149) | (1,348,606) | (37,278) | 84,693 | 2,151,548 | 2,209,021 | |||||||||||||||||||||||||||||||||||||||||
Fully Paid Up Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 | 3.5 | — | — | 1 | — | — | — | — | (1) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
Total | — | — | 1 | — | — | — | — | (1) | (37,278) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | — | — | 1 | — | — | — | — | (1) | (37,278) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Optional Settlement Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 5,981 | 177 | — | — | (489) | (271) | — | — | — | 5,398 | ||||||||||||||||||||||||||||||||||||||||
Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 15 | 2 | — | — | — | — | — | — | — | 17 | ||||||||||||||||||||||||||||||||||||||||
Series R-Installment (Prod 980, 981, 982) | — | — | 2 | — | — | — | — | (2) | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Add’l credits and accrued int. thereon | 2.5-3 | — | — | 60 | — | — | — | (16) | (3) | — | — | — | 41 | ||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Optional Settlement | — | — | 6,058 | 180 | — | — | (505) | (276) | (1) | — | — | 5,456 | |||||||||||||||||||||||||||||||||||||||||
Due to unlocated cert holders | — | — | 234 | — | — | 431 | — | — | (226) | — | — | 439 | |||||||||||||||||||||||||||||||||||||||||
Total Certificate Reserves (1) | 285,450 | $ | 7,756,341 | $ | 7,893,602 | $ | 146,615 | $ | 4,978,481 | 195 | $ | (15,539) | $ | (5,473,456) | (223) | 286,509 | $ | 7,337,456 | $ | 7,529,897 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2015 | |||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | ||||||||||||||||||||||||||||||||||||
No. of accounts with security holders | Amount of maturity value | Amount of reserves | Charged to profit and loss or income | Reserve payments by certificate holders | Charged to other accounts (per part 2) | Maturities | Cash surrenders prior to maturity | Credited to other accounts (per part 2) | No. of accounts with security holders | Amount of maturity value | Amount of reserves | |||||||||||||||||||||||||||||
Optional Settlement Certificates | ||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | 2.5-3-3-3.5 | — | — | 20,536 | 513 | — | — | (10,491 | ) | (978 | ) | — | — | — | 9,580 | |||||||||||||||||||||||||
Series R-II & RP-2-84 - 88 - Prod 921 | 3.5 | — | — | 34 | 1 | — | — | (1 | ) | — | — | — | — | 34 | ||||||||||||||||||||||||||
Series R-Installment (Prod 980, 981,982) | — | — | 17 | — | — | — | (14 | ) | (1 | ) | — | — | — | 2 | ||||||||||||||||||||||||||
Total | — | — | 20,587 | 514 | — | — | (10,506 | ) | (979 | ) | — | — | — | 9,616 | ||||||||||||||||||||||||||
Add'l credits and accrued int. thereon | 2.5 - 3 | — | — | 1,092 | 24 | — | 2 | (825 | ) | (48 | ) | — | — | — | 245 | |||||||||||||||||||||||||
Total | — | — | 1,092 | 24 | — | 2 | (825 | ) | (48 | ) | — | — | — | 245 | ||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | — | — | — | 2 | — | — | — | — | (2 | ) | — | — | — | |||||||||||||||||||||||||||
Total | — | — | — | 2 | — | — | — | — | (2 | ) | — | — | — | |||||||||||||||||||||||||||
Total Optional Settlement | — | — | 21,679 | 540 | — | 2 | (11,331 | ) | (1,027 | ) | (2 | ) | — | — | 9,861 | |||||||||||||||||||||||||
Due to unlocated cert holders | — | — | 146 | — | — | 625 | — | (7 | ) | (418 | ) | — | — | 346 | ||||||||||||||||||||||||||
Total Certificate Reserves (1) | 184,529 | $ | 4,070,219 | $ | 4,210,023 | $ | 24,787 | $ | 3,109,440 | $ | 28,181 | $ | (25,117 | ) | $ | (2,484,064 | ) | $ | (27,983 | ) | 190,551 | $ | 4,721,911 | $ | 4,835,267 |
Year Ended December 31, 2019 | |||||
Additional credits on installment certificates and accrued interest thereon: | |||||
Other additions represent: | |||||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 86 | |||
Other deductions represent: | |||||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 86 | |||
Optional settlement certificates: | |||||
Other deductions represent: | |||||
Transfers to reserves for additional credits and accrued interest thereon | $ | 1 | |||
Single-Payment certificates: | |||||
Other additions represent: | |||||
Flexible Savings | $ | 63,704 | |||
Stepup | 205 | ||||
Cash Reserve-3mo | 17,792 | ||||
Stock Market | 1,373 | ||||
IC-Stock1 | 1,459 | ||||
IC-Stock2 | 419 | ||||
IC-Stock3 | 679 | ||||
Market Strategy | 2,633 | ||||
RP-Q | 1 | ||||
Cash Reserve-RP-3mo | 5,723 | ||||
Flexible Savings-RP | 28,503 | ||||
Stepup-RP | 185 | ||||
Flexible Savings-RP-Emp | 3 | ||||
Stock Market-RP | 611 | ||||
RP-Stock1 | 727 | ||||
RP-Stock2 | 221 | ||||
RP-Stock3 | 503 | ||||
Market Strategy-RP | 761 | ||||
Transfers from accruals at anniversaries maintained in a separate reserve account | 40 | ||||
$ | 125,542 | ||||
Other deductions represent: | |||||
Transfers to optional settlement reserves: | |||||
Single-Payment | $ | 7,215 | |||
Transfers to reserves for additional credits and accrued interest thereon | (40) | ||||
Flexible Savings | 63,725 | ||||
Stepup | 205 | ||||
Cash Reserve-3mo | 17,794 | ||||
Stock Market | 35 | ||||
Stock1 | 38 |
Part 2 - Descriptions of Additions to Reserves Charged to Other Accounts and Deductions from Reserves Credited to other Accounts | Year Ended December 31, 2015 | ||
Additional credits on installment certificates and accrued interest thereon: | |||
Other additions represent: | |||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 79 | |
Other deductions represent: | |||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 79 | |
Optional settlement certificates: | |||
Other additions represent: | |||
Transfers from accruals for additional credits to be allowed at next anniversaries | $ | 2 | |
Other deductions represent: | |||
Transfers to reserve for additional credits and accrued interest thereon | $ | 2 | |
Single-Payment certificates: | |||
Other additions represent: | |||
Flexible Savings | $ | 11,585 | |
Stepup | 11 | ||
Flexible Savings-Emp | 2 | ||
Cash Reserve-3mo | 4,162 | ||
Stock Market | 2,116 | ||
Market Strategy | 2,507 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 956 | ||
Flexible Savings-RP | 4,569 | ||
Stepup-RP | 8 | ||
Flexible Savings-RP-Emp | 2 | ||
Stock Market-RP | 844 | ||
Market Strategy-RP | 694 | ||
Transfers from accruals at anniversaries maintained in a separate reserve account | 18 | ||
$ | 27,475 | ||
Other deductions represent: | |||
Transfers to optional settlement reserves: | |||
Single-Payment | $ | 5,238 | |
Transfers to reserves for additional credits and accrued interest thereon | (17 | ) | |
Flexible Savings | 11,595 | ||
Stepup | 11 | ||
Flexible Savings-Emp | 2 | ||
Cash Reserve-3mo | 4,167 | ||
Stock Market | 1 | ||
Stock1 | 39 | ||
Market Strategy Cert | 37 | ||
AEBI Stock Market | 41 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 956 | ||
Flexible Savings-RP | 4,569 | ||
Stepup-RP | 8 | ||
Flexible Savings-RP-Emp | 2 | ||
Stock Market-RP | 844 | ||
Transfers to Federal tax withholding | (10 | ) | |
$ | 27,484 | ||
Due to unlocated certificate holders: | |||
Other additions represent: | |||
Amounts equivalent to payments due certificates holders who could not be located | $ | 625 | |
Other deductions represent: | |||
Payments to certificate holders credited to cash | $ | 418 |
Stock2 | 6 | ||||
Stock3 | 15 | ||||
Market Strategy Cert | 97 | ||||
RP-Q | 1 | ||||
Cash Reserve-RP-3mo | 5,723 | ||||
Flexible Savings-RP | 28,503 | ||||
Stepup-RP | 185 | ||||
Flexible Savings-RP-Emp | 3 | ||||
Stock Market-RP | 611 | ||||
RP-Stock1 | 727 | ||||
RP-Stock2 | 221 | ||||
RP-Stock3 | 503 | ||||
Transfers to Federal tax withholding | (15) | ||||
$ | 125,552 | ||||
Due to unlocated certificate holders: | |||||
Other additions represent: | |||||
Amounts equivalent to payments due certificates holders who could not be located | $ | 431 | |||
Other deductions represent: | |||||
Payments to certificate holders credited to cash | $ | 226 | |||
RP-Stock2 | 204 | ||||
RP-Stock3 | 263 | ||||
Transfers to Federal tax withholding | (10) | ||||
$ | 163,225 | ||||
Due to unlocated certificate holders: | |||||
Other additions represent: | |||||
Amounts equivalent to payments due certificates holders who could not be located | $ | 195 | |||
Other deductions represent: | |||||
Payments to certificate holders credited to cash | $ | 223 |
Part 3 - Information Regarding Installment Certificates | ||||||||||||||||||||||||||||||
MO’s Paid | Number of Accounts w/Certificate Holders | Amount of Maturity Value | Amount of Reserves | Deduction from Reserves Cash Surrenders Prior to Maturity Surrender | Other Deductions | |||||||||||||||||||||||||
2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2015 | 2015 | |||||||||||||||||||||||
1-12 | 140 | 132 | $ | 7,776 | $ | 2,707 | $ | 602 | $ | 562 | $ | 47 | $ | — | ||||||||||||||||
13-24 | 119 | 111 | 7,668 | 7,044 | 686 | 588 | 61 | — | ||||||||||||||||||||||
25-36 | 154 | 103 | 8,064 | 7,366 | 797 | 557 | 23 | — | ||||||||||||||||||||||
37-48 | 165 | 124 | 2,452 | 5,176 | 783 | 715 | 184 | — | ||||||||||||||||||||||
49-60 | 158 | 141 | 17,488 | 1,529 | 881 | 693 | 109 | — | ||||||||||||||||||||||
61-72 | 477 | 148 | 2,837 | 17,475 | 5,632 | 881 | 40 | — | ||||||||||||||||||||||
73-84 | 318 | 393 | 631 | 1,159 | 2,787 | 5,479 | 875 | — | ||||||||||||||||||||||
85-96 | 209 | 282 | 486 | 631 | 1,512 | 2,827 | 266 | — | ||||||||||||||||||||||
97-108 | 198 | 180 | 24 | 288 | 1,742 | 1,408 | 181 | — | ||||||||||||||||||||||
109-120 | 269 | 160 | 43 | 6 | 2,434 | 1,471 | 170 | — | ||||||||||||||||||||||
121-132 | — | — | — | — | — | — | 922 | — | ||||||||||||||||||||||
133-144 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
145-156 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
157-168 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
169-180 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
181-192 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
193-204 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
205-216 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
217-228 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
229-240 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
241-252 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
253-264 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
265-276 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
277-288 | 3 | — | 36 | — | 1 | — | — | — | ||||||||||||||||||||||
289-300 | 2 | — | 12 | — | 2 | — | 1 | — | ||||||||||||||||||||||
301-312 | — | 2 | — | 12 | — | 2 | — | — | ||||||||||||||||||||||
313-324 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
325-336 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
337-348 | 1 | — | 12 | — | 11 | — | — | — | ||||||||||||||||||||||
349-360 | 2 | 1 | 16 | 12 | 4 | 11 | — | — | ||||||||||||||||||||||
361-372 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
373-384 | 1 | — | 6 | — | 5 | — | — | — | ||||||||||||||||||||||
385-396 | — | 1 | — | 6 | — | 5 | — | — | ||||||||||||||||||||||
TOTAL - ALL SERIES | 2,216 | 1,778 | $ | 47,551 | $ | 43,411 | $ | 17,879 | $ | 15,199 | $ | 2,879 | $ | — |
MO’s Paid | Number of Accounts w/Certificate Holders | Amount of Maturity Value | Amount of Reserves | Deduction from Reserves Cash Surrenders Prior to Maturity Surrender | Other Deductions | |||||||||||||||||||||||||||||||||||||||||||||
2018 | 2019 | 2018 | 2019 | 2018 | 2019 | 2019 | 2019 | |||||||||||||||||||||||||||||||||||||||||||
1-12 | 141 | 103 | $ | 22,621 | $ | 7,557 | $ | 466 | $ | 468 | $ | 2 | $ | — | ||||||||||||||||||||||||||||||||||||
13-24 | 83 | 113 | 1,070 | 7,289 | 469 | 457 | 56 | — | ||||||||||||||||||||||||||||||||||||||||||
25-36 | 93 | 63 | 322 | 653 | 453 | 337 | 139 | — | ||||||||||||||||||||||||||||||||||||||||||
37-48 | 79 | 86 | 2,141 | 322 | 615 | 682 | 47 | — | ||||||||||||||||||||||||||||||||||||||||||
49-60 | 68 | 72 | 3,015 | 2,135 | 456 | 713 | 62 | — | ||||||||||||||||||||||||||||||||||||||||||
61-72 | 67 | 66 | 2,377 | 3,075 | 465 | 530 | 9 | — | ||||||||||||||||||||||||||||||||||||||||||
73-84 | 82 | 62 | 1,938 | 2,377 | 690 | 480 | 18 | — | ||||||||||||||||||||||||||||||||||||||||||
85-96 | 92 | 72 | 993 | 1,908 | 612 | 611 | 121 | — | ||||||||||||||||||||||||||||||||||||||||||
97-108 | 95 | 72 | 1,606 | 162 | 613 | 584 | 32 | — | ||||||||||||||||||||||||||||||||||||||||||
109-120 | 206 | 70 | — | — | 3,959 | 493 | 124 | — | ||||||||||||||||||||||||||||||||||||||||||
121-132 | — | — | — | — | — | — | 1,133 | — | ||||||||||||||||||||||||||||||||||||||||||
133-144 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
145-156 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
157-168 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
169-180 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
181-192 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
193-204 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
205-216 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
217-228 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
229-240 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
241-252 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
253-264 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
265-276 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
277-288 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
289-300 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
301-312 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
313-324 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
325-336 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
337-348 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
349-360 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
361-372 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
373-384 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
385-396 | 1 | — | 12 | — | 11 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
397-408 | — | 1 | — | 12 | — | 11 | — | — | ||||||||||||||||||||||||||||||||||||||||||
409-420 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
421-432 | 1 | — | 6 | — | 5 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
433-444 | — | 1 | — | 6 | — | 5 | — | — | ||||||||||||||||||||||||||||||||||||||||||
TOTAL - ALL SERIES | 1,008 | 781 | $ | 36,101 | $ | 25,496 | $ | 8,814 | $ | 5,371 | $ | 1,743 | $ | — |
Reserves deducted from assets to which they apply | Year Ended December 31, 2021 | ||||||||||||||||
Balance at beginning of period (1) | Change in allowance/ writedowns from 2020 to 2021 | Balance at end of period | |||||||||||||||
Allowance for credit losses: | |||||||||||||||||
Conventional first mortgage loans and other loans | $ | 3,190 | $ | (1,672) | $ | 1,518 |
Reserves deducted from assets to which they apply | Year Ended December 31, 2020 | ||||||||||||||||||||||
Balance at beginning of period (1) | Cumulative effect of adoption of current expected credit losses guidance | Change in allowance/ writedowns from 2019 to 2020 | Balance at end of period | ||||||||||||||||||||
Allowance for losses: | |||||||||||||||||||||||
Conventional first mortgage loans and other loans | $ | 3,022 | $ | (771) | $ | 939 | $ | 3,190 |
Reserves deducted from assets to which they apply | Year Ended December 31, 2019 | ||||||||||||||||
Balance at beginning of period | Change in reserves/ writedowns from 2018 to 2019 | Balance at end of period | |||||||||||||||
Allowance for losses: | |||||||||||||||||
Conventional first mortgage loans and other loans | $ | 3,120 | $ | (98) | $ | 3,022 |
Reserves deducted from assets to which they apply | Year Ended December 31, 2017 | ||||||||||
Balance at beginning of period | Change in reserves/ writedowns from 2016 to 2017 | Balance at end of period | |||||||||
Allowance for losses: | |||||||||||
Conventional first mortgage loans and other loans | $ | 3,283 | $ | — | $ | 3,283 |
Reserves deducted from assets to which they apply | Year Ended December 31, 2016 | ||||||||||
Balance at beginning of period | Change in reserves/ writedowns from 2015 to 2016 | Balance at end of period | |||||||||
Allowance for losses: | |||||||||||
Conventional first mortgage loans and other loans | $ | 3,964 | $ | (681 | ) | $ | 3,283 |
Reserves deducted from assets to which they apply | Year Ended December 31, 2015 | ||||||||||
Balance at beginning of period | Change in reserves/ writedowns from 2014 to 2015 | Balance at end of period | |||||||||
Allowance for losses: | |||||||||||
Conventional first mortgage loans and other loans | $ | 3,464 | $ | 500 | $ | 3,964 |