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, | ||||||||||||||
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: | ||||||||||||||||||||
Title of each class | Trading Symbol | Name of each exchange on which registered | ||||||||||||||||||
Common Stock (par value $10 per share) | None | 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. | ☐ |
If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. | ☐ |
Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to §240.10D-1(b). | ☐ |
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, 2019 | |||||||
January 31, 2019 | $ | — | $ | 3.5 | |||
February 28, 2019 | — | 1.0 | |||||
April 15, 2019 (1) | 6.2 | — | |||||
June 17, 2019 (1) | 6.5 | — | |||||
September 9, 2019 | 35.0 | — | |||||
December 24, 2019 | 26.0 | — | |||||
Total | $ | 73.7 | $ | 4.5 | |||
For the year ended December 31, 2018 | |||||||
June 29, 2018 | $ | — | $ | 3.0 | |||
July 31, 2018 | — | 5.0 | |||||
August 31, 2018 | — | 5.0 | |||||
September 27, 2018 | — | 2.0 | |||||
October 30, 2018 | — | 5.0 | |||||
November 19, 2018 | — | 5.0 | |||||
December 21, 2018 | — | 7.5 | |||||
Total | $ | — | $ | 32.5 | |||
(1) See Note 1 to ACC’s Consolidated Financial Statements for more information. |
Dividends to Ameriprise Financial | Return of Capital to Ameriprise Financial | Receipt of Capital from Ameriprise Financial | |||||||||||||||
(in millions) | |||||||||||||||||
For the year ended December 31, 2022 | |||||||||||||||||
March 30, 2022 | $ | 4.3 | $ | 7.0 | $ | — | |||||||||||
June 30, 2022 | 7.0 | — | — | ||||||||||||||
August 31, 2022 | — | — | 13.0 | ||||||||||||||
September 27, 2022 | — | — | 15.0 | ||||||||||||||
September 30, 2022 | — | — | 5.0 | ||||||||||||||
October 28, 2022 | — | — | 45.0 | ||||||||||||||
November 28, 2022 | — | — | 50.0 | ||||||||||||||
December 28, 2022 | — | — | 50.0 | ||||||||||||||
December 30, 2022 | — | — | 8.0 | ||||||||||||||
Total | $ | 11.3 | $ | 7.0 | $ | 186.0 | |||||||||||
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 | $ | — |
Interest Rate Increase 100 Basis Points | Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | ||||||||||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | Before Hedge Impact | Hedge Impact | Net Impact | |||||||||||||||||||||||||
(in thousands) | (in thousands) | |||||||||||||||||||||||||||||
Certificates | Certificates | $ | 13,413 | N/A | $ | 13,413 | Certificates | $ | (8,584) | N/A | $ | (8,584) | ||||||||||||||||||
N/A Not Applicable. |
Equity Price Decline 10% | Equity Price Exposure to Pretax Income | |||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||
(in thousands) | ||||||||||||
Certificates | $ | 3,294 | $ | (3,076 | ) | $ | 218 |
Equity Price Decline 10% | Equity Price Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 1,216 | $ | (1,137) | $ | 79 |
Dividends to Ameriprise Financial | Return of Capital to Ameriprise Financial | Receipt of Capital from Ameriprise Financial | |||||||||||||||
(in millions) | |||||||||||||||||
For the year ended December 31, 2022 | |||||||||||||||||
March 30, 2022 | $ | 4.3 | $ | 7.0 | $ | — | |||||||||||
June 30, 2022 | 7.0 | — | — | ||||||||||||||
August 31, 2022 | — | — | 13.0 | ||||||||||||||
September 27, 2022 | — | — | 15.0 | ||||||||||||||
September 30, 2022 | — | — | 5.0 | ||||||||||||||
October 28, 2022 | — | — | 45.0 | ||||||||||||||
November 28, 2022 | — | — | 50.0 | ||||||||||||||
December 28, 2022 | — | — | 50.0 | ||||||||||||||
December 30, 2022 | — | — | 8.0 | ||||||||||||||
Total | $ | 11.3 | $ | 7.0 | $ | 186.0 | |||||||||||
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 | $ | — |
Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | (8,584) | N/A | $ | (8,584) |
Equity Price Decline 10% | Equity Price Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 1,216 | $ | (1,137) | $ | 79 |
F-1 |
Dividends to Ameriprise Financial | Return of Capital to Ameriprise Financial | Receipt of Capital from Ameriprise Financial | |||||||||||||||
(in millions) | |||||||||||||||||
For the year ended December 31, 2022 | |||||||||||||||||
March 30, 2022 | $ | 4.3 | $ | 7.0 | $ | — | |||||||||||
June 30, 2022 | 7.0 | — | — | ||||||||||||||
August 31, 2022 | — | — | 13.0 | ||||||||||||||
September 27, 2022 | — | — | 15.0 | ||||||||||||||
September 30, 2022 | — | — | 5.0 | ||||||||||||||
October 28, 2022 | — | — | 45.0 | ||||||||||||||
November 28, 2022 | — | — | 50.0 | ||||||||||||||
December 28, 2022 | — | — | 50.0 | ||||||||||||||
December 30, 2022 | — | — | 8.0 | ||||||||||||||
Total | $ | 11.3 | $ | 7.0 | $ | 186.0 | |||||||||||
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 | $ | — |
Interest Rate Increase 100 Basis Points | Interest Rate Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | (8,584) | N/A | $ | (8,584) |
Equity Price Decline 10% | Equity Price Exposure to Pretax Income | |||||||||||||||||||
Before Hedge Impact | Hedge Impact | Net Impact | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Certificates | $ | 1,216 | $ | (1,137) | $ | 79 |
(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, 2022. | ||||||||
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 November 2022. | ||||||||
Code of Ethics under Rule 17j-1 for Registrant’s underwriter, as revised January 1, 2023. | ||||||||
24* | Directors’ Power of Attorney, dated February 13, 2023 and February 16, 2023. | |||||||
31.1* | Certification of Abu M. Arif, Chief Executive Officer, pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
31.2* | Certification of James R. Hill, Chief Financial Officer, pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
32* | Certification of Abu M. Arif, Chief Executive Officer and James R. Hill, Chief Financial Officer 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/ | ||||||||
Vice President and Chief Financial Officer (Principal Financial Officer) |
Date: | February | By | /s/ | ||||||||
Vice President, Controller and Chief Accounting Officer |
Date: | February | By | /s/ | ||||||||
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. |
Page | |||||||||||
Part I. Financial Information | |||||||||||
Report of Independent Registered Public Accounting Firm(PCAOB Firm ID 238) | 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, | |||||||||||
V. Qualified Assets on Deposit — December 31, | |||||||||||
VI. Certificate Reserves — Years Ended December 31, | |||||||||||
VII. Valuation and Qualifying Accounts — Years Ended December 31, |
Years Ended December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Investment Income: | |||||||||||
Interest income: | |||||||||||
Available-for-Sale securities | $ | 212,395 | $ | 171,558 | $ | 134,340 | |||||
Commercial mortgage loans and syndicated loans | 11,804 | 9,725 | 7,465 | ||||||||
Cash and cash equivalents | 10,593 | 6,872 | 2,701 | ||||||||
Certificate loans | 12 | 16 | 27 | ||||||||
Dividends | 1 | 31 | 229 | ||||||||
Other | 97 | 538 | 358 | ||||||||
Total investment income | 234,902 | 188,740 | 145,120 | ||||||||
Investment Expenses: | |||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||
Distribution | 20,381 | 19,128 | 15,734 | ||||||||
Investment advisory and services | 17,933 | 15,683 | 14,222 | ||||||||
Transfer agent | 8,996 | 7,831 | 6,958 | ||||||||
Depository | 100 | 89 | 83 | ||||||||
Other | 440 | 555 | 518 | ||||||||
Total investment expenses | 47,850 | 43,286 | 37,515 | ||||||||
Net investment income before provision for certificate reserves and income taxes | 187,052 | 145,454 | 107,605 | ||||||||
Provision for Certificate Reserves: | |||||||||||
According to the terms of the certificates: | |||||||||||
Provision for certificate reserves | 574 | 437 | 380 | ||||||||
Interest on additional credits | 1 | 2 | 4 | ||||||||
Additional credits/interest authorized by ACC | 129,356 | 85,085 | 45,953 | ||||||||
Total provision for certificate reserves before reserve recoveries | 129,931 | 85,524 | 46,337 | ||||||||
Reserve recoveries from terminations prior to maturity | (924 | ) | (932 | ) | (880 | ) | |||||
Net provision for certificate reserves | 129,007 | 84,592 | 45,457 | ||||||||
Net investment income before income taxes | 58,045 | 60,862 | 62,148 | ||||||||
Income tax expense | 13,908 | 15,736 | 25,973 | ||||||||
Net investment income, after-tax | 44,137 | 45,126 | 36,175 | ||||||||
Net realized gain (loss) on investments: | |||||||||||
Securities of unaffiliated issuers before income taxes | (279 | ) | 134 | 12,048 | |||||||
Income tax expense (benefit) | (59 | ) | 28 | 4,217 | |||||||
Net realized gain (loss) on investments, after-tax | (220 | ) | 106 | 7,831 | |||||||
Net income | $ | 43,917 | $ | 45,232 | $ | 44,006 | |||||
Supplemental Disclosures: | |||||||||||
Total other-than-temporary impairment losses on securities | $ | — | $ | — | $ | — | |||||
Portion of loss recognized in other comprehensive income (loss) (before taxes) | — | — | (193 | ) | |||||||
Net impairment losses recognized in net realized gain (loss) on investments | $ | — | $ | — | $ | (193 | ) | ||||
See Notes to Consolidated Financial Statements. |
Years Ended December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Net income | $ | 43,917 | $ | 45,232 | $ | 44,006 | |||||
Other comprehensive income (loss), net of tax: | |||||||||||
Net unrealized gains (losses) on securities: | |||||||||||
Net unrealized gains (losses) on securities arising during the period | 46,247 | (28,326 | ) | 7,352 | |||||||
Reclassification of net (gains) losses on securities included in net income | (153 | ) | 120 | (7,814 | ) | ||||||
Total other comprehensive income (loss), net of tax | 46,094 | (28,206 | ) | (462 | ) | ||||||
Total comprehensive income (loss) | $ | 90,011 | $ | 17,026 | $ | 43,544 | |||||
See Notes to Consolidated Financial Statements. |
December 31, | |||||||
2019 | 2018 | ||||||
(in thousands, except share data) | |||||||
ASSETS | |||||||
Qualified Assets | |||||||
Investments in unaffiliated issuers: | |||||||
Cash and cash equivalents | $ | 384,194 | $ | 405,279 | |||
Available-for-Sale securities: | |||||||
Fixed maturities, at fair value (amortized cost: 2019, $7,362,814; 2018, $7,781,708) | 7,376,772 | 7,734,750 | |||||
Commercial mortgage loans and syndicated loans, at cost (less allowance for loan losses: 2019, $3,022; 2018, $3,120; fair value: 2019, $272,454; 2018, $253,219) | 269,859 | 260,178 | |||||
Equity securities, at fair value (cost: 2019, $299; 2018, $299) | 188 | 466 | |||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 216 | 243 | |||||
Total investments | 8,031,229 | 8,400,916 | |||||
Receivables: | |||||||
Dividends and interest | 14,141 | 18,319 | |||||
Receivables from brokers, dealers and clearing organizations | 9,655 | 7,554 | |||||
Other receivables | 218 | 182 | |||||
Total receivables | 24,014 | 26,055 | |||||
Derivative assets | 56,044 | 13,179 | |||||
Total qualified assets | 8,111,287 | 8,440,150 | |||||
Other Assets: | |||||||
Deferred taxes, net | 988 | 2,302 | |||||
Taxes receivable from parent | 602 | 1,731 | |||||
Due from related party | 30 | 27 | |||||
Total other assets | 1,620 | 4,060 | |||||
Total assets | $ | 8,112,907 | $ | 8,444,210 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Investment Income: | |||||||||||||||||
Interest income: | |||||||||||||||||
Available-for-Sale securities | $ | 135,500 | $ | 59,409 | $ | 123,900 | |||||||||||
Commercial mortgage loans and syndicated loans | 8,286 | 8,116 | 9,780 | ||||||||||||||
Cash and cash equivalents | 15,124 | 612 | 2,289 | ||||||||||||||
Certificate loans | 4 | 8 | 12 | ||||||||||||||
Dividends | — | 1 | — | ||||||||||||||
Other | 182 | 394 | 205 | ||||||||||||||
Total investment income | 159,096 | 68,540 | 136,186 | ||||||||||||||
Investment Expenses: | |||||||||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||||||||
Distribution | 8,868 | 6,805 | 16,778 | ||||||||||||||
Investment advisory and services | 13,138 | 13,790 | 16,672 | ||||||||||||||
Transfer agent | 6,218 | 6,957 | 8,390 | ||||||||||||||
Depository | 73 | 90 | 94 | ||||||||||||||
Other | 444 | 717 | 485 | ||||||||||||||
Total investment expenses | 28,741 | 28,359 | 42,419 | ||||||||||||||
Net investment income before provision for certificate reserves and income taxes | 130,355 | 40,181 | 93,767 | ||||||||||||||
Provision for Certificate Reserves: | |||||||||||||||||
According to the terms of the certificates: | |||||||||||||||||
Provision for certificate reserves | 206 | 249 | 417 | ||||||||||||||
Interest on additional credits | 1 | 1 | 1 | ||||||||||||||
Additional credits/interest authorized by ACC | 54,167 | 10,031 | 56,845 | ||||||||||||||
Total provision for certificate reserves before reserve recoveries | 54,374 | 10,281 | 57,263 | ||||||||||||||
Reserve recoveries from terminations prior to maturity | (869) | (760) | (874) | ||||||||||||||
Net provision for certificate reserves | 53,505 | 9,521 | 56,389 | ||||||||||||||
Net investment income before income taxes | 76,850 | 30,660 | 37,378 | ||||||||||||||
Income tax expense | 19,032 | 7,467 | 8,984 | ||||||||||||||
Net investment income, after-tax | 57,818 | 23,193 | 28,394 | ||||||||||||||
Net realized gain (loss) on investments: | |||||||||||||||||
Securities of unaffiliated issuers before income taxes | 20 | 2,598 | 1,349 | ||||||||||||||
Income tax expense (benefit) | 4 | 545 | 283 | ||||||||||||||
Net realized gain (loss) on investments, after-tax | 16 | 2,053 | 1,066 | ||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 | |||||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||
Net unrealized gains (losses) on securities: | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period | (131,066) | (16,097) | 22,763 | ||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (15) | (863) | (2,330) | ||||||||||||||
Total other comprehensive income (loss), net of tax | (131,081) | (16,960) | 20,433 | ||||||||||||||
Total comprehensive income (loss) | $ | (73,247) | $ | 8,286 | $ | 49,893 |
Consolidated Balance Sheets (continued) | |||||||
December 31, | |||||||
2019 | 2018 | ||||||
(in thousands, except share data) | |||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||
Liabilities | |||||||
Certificate reserves | |||||||
Installment certificates: | |||||||
Reserves to mature | $ | 5,371 | $ | 8,814 | |||
Fully paid certificates: | |||||||
Reserves to mature | 7,503,188 | 7,877,406 | |||||
Additional credits and accrued interest | 13,325 | 5,510 | |||||
Due to unlocated certificate holders | 439 | 234 | |||||
Total certificate reserves | 7,522,323 | 7,891,964 | |||||
Accounts payable and accrued liabilities: | |||||||
Due to related party | 3,564 | 3,627 | |||||
Taxes payable to parent | 135 | 1,944 | |||||
Payables to brokers, dealers and clearing organizations | 52,575 | 98,930 | |||||
Total accounts payable and accrued liabilities | 56,274 | 104,501 | |||||
Derivative liabilities | 43,598 | 8,209 | |||||
Other liabilities | 48,446 | 30,674 | |||||
Total liabilities | 7,670,641 | 8,035,348 | |||||
Shareholder’s Equity | |||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||
Additional paid-in capital | 331,700 | 285,017 | |||||
Retained earnings: | |||||||
Appropriated for pre-declared additional credits and interest | 321 | 910 | |||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||
Unappropriated | 96,467 | 155,251 | |||||
Accumulated other comprehensive income (loss), net of tax | 12,263 | (33,831 | ) | ||||
Total shareholder’s equity | 442,266 | 408,862 | |||||
Total liabilities and shareholder’s equity | $ | 8,112,907 | $ | 8,444,210 | |||
See Notes to Consolidated Financial Statements. |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands, except share data) | |||||||||||
ASSETS | |||||||||||
Qualified Assets | |||||||||||
Investments in unaffiliated issuers: | |||||||||||
Cash and cash equivalents | $ | 1,180,868 | $ | 689,792 | |||||||
Available-for-Sale securities: | |||||||||||
Fixed maturities, at fair value (amortized cost: 2022, $8,523,011; 2021, $4,710,303) | 8,368,916 | 4,728,811 | |||||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2022, $1,472; 2021, $1,518; fair value: 2022, $195,252; 2021, $223,495) | 204,493 | 221,569 | |||||||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 72 | 83 | |||||||||
Total investments | 9,754,349 | 5,640,255 | |||||||||
Receivables: | |||||||||||
Dividends and interest | 22,052 | 5,159 | |||||||||
Receivables from brokers, dealers and clearing organizations | 2,814 | 4,920 | |||||||||
Other receivables | 71 | 403 | |||||||||
Total receivables | 24,937 | 10,482 | |||||||||
Derivative assets | 8,786 | 44,135 | |||||||||
Total qualified assets | 9,788,072 | 5,694,872 | |||||||||
Other Assets: | |||||||||||
Deferred taxes, net | 37,892 | — | |||||||||
Taxes receivable from parent | — | 50 | |||||||||
Due from related party | — | 23 | |||||||||
Total other assets | 37,892 | 73 | |||||||||
Total assets | $ | 9,825,964 | $ | 5,694,945 |
Consolidated Balance Sheets (continued) | |||||||||||
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands, except share data) | |||||||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||||||
Liabilities | |||||||||||
Certificate reserves | |||||||||||
Installment certificates: | |||||||||||
Reserves to mature | $ | 8,413 | $ | 6,112 | |||||||
Fully paid certificates: | |||||||||||
Reserves to mature | 9,293,480 | 5,290,301 | |||||||||
Additional credits and accrued interest | 11,079 | 3,647 | |||||||||
Due to unlocated certificate holders | 433 | 429 | |||||||||
Total certificate reserves | 9,313,405 | 5,300,489 | |||||||||
Accounts payable and accrued liabilities: | |||||||||||
Due to related party | 3,047 | 1,958 | |||||||||
Taxes payable to parent | 5,708 | 373 | |||||||||
Payables to brokers, dealers and clearing organizations | 68,533 | 7,862 | |||||||||
Total accounts payable and accrued liabilities | 77,288 | 10,193 | |||||||||
Derivative liabilities | 6,649 | 41,470 | |||||||||
Deferred taxes, net | — | 4,557 | |||||||||
Other liabilities | 14,139 | 18,206 | |||||||||
Total liabilities | 9,411,481 | 5,374,915 | |||||||||
Shareholder’s Equity | |||||||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||||||
Additional paid-in capital | 481,667 | 302,709 | |||||||||
Retained earnings: | |||||||||||
Appropriated for pre-declared additional credits and interest | 15,960 | — | |||||||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||||||
Unappropriated | 30,686 | 70 | |||||||||
Accumulated other comprehensive income (loss), net of tax | (115,345) | 15,736 | |||||||||
Total shareholder’s equity | 414,483 | 320,030 | |||||||||
Total liabilities and shareholder’s equity | $ | 9,825,964 | $ | 5,694,945 |
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, 2020 | 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 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 57,834 | — | 57,834 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (131,081) | (131,081) | |||||||||||||||||||||||||||||||||||||||
Transfer to appropriated from unappropriated | — | — | — | 15,960 | — | (15,960) | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (11,258) | — | (11,258) | |||||||||||||||||||||||||||||||||||||||
Return of capital to parent | — | — | (7,042) | — | — | — | — | (7,042) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 186,000 | — | — | — | — | 186,000 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2022 | 150,000 | $ | 1,500 | $ | 481,667 | $ | 15,960 | $ | 15 | $ | 30,686 | $ | (115,345) | $ | 414,483 |
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, 2017 | 150,000 | $ | 1,500 | $ | 247,517 | $ | — | $ | 15 | $ | 81,925 | $ | (5,165 | ) | $ | 325,792 | ||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 44,006 | — | 44,006 | ||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (462 | ) | (462 | ) | ||||||||||||||||||||
Total comprehensive income (loss) | 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 | |||||||||||||||||||||
Cumulative effect of adoption of equity securities guidance | — | — | — | — | — | (2 | ) | 2 | — | |||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 45,232 | — | 45,232 | ||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (28,206 | ) | (28,206 | ) | ||||||||||||||||||||
Total comprehensive income (loss) | 17,026 | |||||||||||||||||||||||||||||
Transfer to appropriated from unappropriated | — | — | — | 887 | — | (887 | ) | — | — | |||||||||||||||||||||
Receipt of capital from parent | — | — | 32,500 | — | — | — | — | �� | 32,500 | |||||||||||||||||||||
Balance at December 31, 2018 | 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 | ) | ||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 43,917 | — | 43,917 | ||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | 46,094 | 46,094 | ||||||||||||||||||||||
Total comprehensive income (loss) | 90,011 | |||||||||||||||||||||||||||||
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 | |||||||||||||||
(1) See Note 1 for more information. | ||||||||||||||||||||||||||||||
See Notes to Consolidated Financial Statements. |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Cash Flows from Operating Activities | |||||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||||||||
Amortization of premiums, accretion of discounts, net | (22,512) | 2,382 | (8,838) | ||||||||||||||
Deferred income tax expense (benefit) | (927) | 1,657 | 2,626 | ||||||||||||||
Net realized (gain) loss on Available-for-Sale securities | (19) | (1,093) | (2,950) | ||||||||||||||
Other net realized (gain) loss | 45 | 167 | 662 | ||||||||||||||
Provision for credit losses | (46) | (1,672) | 939 | ||||||||||||||
Changes in operating assets and liabilities: | |||||||||||||||||
Dividends and interest receivable | (9,486) | 4,560 | 25,092 | ||||||||||||||
Certificate reserves, net | 8,309 | (3,032) | (4,999) | ||||||||||||||
Taxes payable to/receivable from parent, net | 5,385 | (487) | 1,277 | ||||||||||||||
Derivatives, net of collateral | (492) | 224 | 7 | ||||||||||||||
Other liabilities | (3,047) | (7,237) | (13,453) | ||||||||||||||
Other receivables | 332 | (43) | (142) | ||||||||||||||
Payables to brokers, dealers and clearing organizations | 33,939 | — | — | ||||||||||||||
Other, net | 1,165 | 1,055 | (1,936) | ||||||||||||||
Net cash provided by (used in) operating activities | 70,480 | 21,727 | 27,745 | ||||||||||||||
Cash Flows from Investing Activities | |||||||||||||||||
Available-for-Sale securities: | |||||||||||||||||
Maturities, redemptions and calls | 3,657,184 | 4,637,978 | 4,779,020 | ||||||||||||||
Purchases | (7,426,951) | (3,015,291) | (3,798,529) | ||||||||||||||
Commercial mortgage loans and syndicated loans: | |||||||||||||||||
Sales, maturities and repayments | 53,550 | 74,945 | 40,759 | ||||||||||||||
Purchases and fundings | (35,505) | (26,486) | (41,761) | ||||||||||||||
Equity securities: | |||||||||||||||||
Sales | — | 48 | 113 | ||||||||||||||
Certificate loans, net | 11 | 129 | 4 | ||||||||||||||
Net cash provided by (used in) investing activities | (3,751,711) | 1,671,323 | 979,606 | ||||||||||||||
Cash Flows from Financing Activities | |||||||||||||||||
Payments from certificate holders and other additions | 8,343,118 | 2,733,012 | 4,259,469 | ||||||||||||||
Certificate maturities and cash surrenders | (4,338,511) | (4,189,922) | (5,016,362) | ||||||||||||||
Receipt of capital from parent | 186,000 | — | 10,000 | ||||||||||||||
Dividend to parent | (11,258) | (70,009) | (82,000) | ||||||||||||||
Return of capital to parent | (7,042) | (38,991) | — | ||||||||||||||
Net cash provided by (used in) financing activities | 4,172,307 | (1,565,910) | (828,893) | ||||||||||||||
Net increase (decrease) in cash and cash equivalents | 491,076 | 127,140 | 178,458 | ||||||||||||||
Cash and cash equivalents at beginning of period | 689,792 | 562,652 | 384,194 | ||||||||||||||
Cash and cash equivalents at end of period | $ | 1,180,868 | $ | 689,792 | $ | 562,652 | |||||||||||
Supplemental disclosures including non-cash transactions: | |||||||||||||||||
Cash paid (received) for income taxes | $ | 13,684 | $ | 7,054 | $ | 5,558 | |||||||||||
Cash paid for interest | 45,485 | 14,721 | 63,532 |
Years Ended December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Cash Flows from Operating Activities | |||||||||||
Net income | $ | 43,917 | $ | 45,232 | $ | 44,006 | |||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||
Amortization of premiums, accretion of discounts, net | (32,856 | ) | (13,686 | ) | 20,853 | ||||||
Deferred income tax expense (benefit) | (2,716 | ) | 111 | (192 | ) | ||||||
Net realized (gain) loss on Available-for-Sale securities | (194 | ) | 152 | (12,214 | ) | ||||||
Other net realized (gain) loss | 473 | (286 | ) | (27 | ) | ||||||
Other-than-temporary impairments and provision for loan loss | — | — | 193 | ||||||||
Changes in operating assets and liabilities: | |||||||||||
Dividends and interest receivable | 45,114 | (1,242 | ) | 1,286 | |||||||
Certificate reserves, net | 8,744 | (2,125 | ) | 2,653 | |||||||
Deferred taxes, net | — | 7,499 | 871 | ||||||||
Taxes payable to/receivable from parent, net | 1,264 | (1,315 | ) | (1,977 | ) | ||||||
Derivatives, net of collateral | 434 | 290 | (1,080 | ) | |||||||
Other liabilities | 9,862 | (7,323 | ) | 8,601 | |||||||
Other receivables | (36 | ) | (182 | ) | 371 | ||||||
Payables to brokers, dealers and clearing organizations | (21,451 | ) | 21,451 | — | |||||||
Other, net | (132 | ) | 890 | 374 | |||||||
Net cash provided by (used in) operating activities | 52,423 | 49,466 | 63,718 | ||||||||
Cash Flows from Investing Activities | |||||||||||
Available-for-Sale securities: | |||||||||||
Sales | 9,689 | 367,956 | 184,043 | ||||||||
Maturities, redemptions and calls | 5,305,739 | 3,790,466 | 2,163,138 | ||||||||
Purchases | (4,929,747 | ) | (5,341,602 | ) | (2,902,425 | ) | |||||
Commercial mortgage loans and syndicated loans: | |||||||||||
Sales, maturities and repayments | 52,826 | 50,281 | 41,106 | ||||||||
Purchases and fundings | (64,456 | ) | (106,828 | ) | (68,034 | ) | |||||
Equity securities: | |||||||||||
Sales | — | 614 | — | ||||||||
Certificate loans, net | 27 | 190 | 116 | ||||||||
Net cash provided by (used in) investing activities | 374,078 | (1,238,923 | ) | (582,056 | ) | ||||||
Cash Flows from Financing Activities | |||||||||||
Payments from certificate holders and other additions | 5,110,412 | 6,238,282 | 4,724,758 | ||||||||
Certificate maturities and cash surrenders | (5,488,797 | ) | (4,744,517 | ) | (4,262,138 | ) | |||||
Capital contribution from parent | 4,500 | 32,500 | 5,000 | ||||||||
Dividend to parent | (73,701 | ) | — | (15,000 | ) | ||||||
Net cash provided by (used in) financing activities | (447,586 | ) | 1,526,265 | 452,620 | |||||||
Net increase (decrease) in cash and cash equivalents | (21,085 | ) | 336,808 | (65,718 | ) | ||||||
Cash and cash equivalents at beginning of period | 405,279 | 68,471 | 134,189 | ||||||||
Cash and cash equivalents at end of period | $ | 384,194 | $ | 405,279 | $ | 68,471 | |||||
Supplemental disclosures including non-cash transactions: | |||||||||||
Cash paid (received) for income taxes | $ | 15,133 | $ | 21,001 | $ | 21,995 | |||||
Cash paid for interest | 131,930 | 84,003 | 47,850 | ||||||||
See Notes to Consolidated Financial Statements. |
December 31, 2022 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 212 | $ | 130 | $ | 82 | |||||||||||
Texas and Illinois (at par value) | 360 | 150 | 210 | ||||||||||||||
Custodian (at amortized cost) | 9,886,405 | 9,313,729 | 572,676 | ||||||||||||||
Total | $ | 9,886,977 | $ | 9,314,009 | $ | 572,968 |
December 31, 2019 | |||||||||||
Deposits | Required Deposits | Excess | |||||||||
(in thousands) | |||||||||||
Deposits to meet certificate liability requirements: | |||||||||||
Pennsylvania and New Jersey (at market value) | $ | 255 | $ | 130 | $ | 125 | |||||
Texas and Illinois (at par value) | 160 | 150 | 10 | ||||||||
Custodian | 7,998,357 | 7,529,648 | 468,709 | ||||||||
Total | $ | 7,998,772 | $ | 7,529,928 | $ | 468,844 |
December 31, 2018 | December 31, 2021 | |||||||||||||||||||||||||||
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) | $ | 244 | $ | 130 | $ | 114 | Pennsylvania and New Jersey (at market value) | $ | 250 | $ | 130 | $ | 120 | |||||||||||||||
Texas and Illinois (at par value) | 190 | 150 | 40 | Texas and Illinois (at par value) | 156 | 150 | 6 | |||||||||||||||||||||
Custodian | 8,303,600 | 7,893,325 | 410,275 | |||||||||||||||||||||||||
Custodian (at amortized cost) | Custodian (at amortized cost) | 5,603,782 | 5,301,158 | 302,624 | ||||||||||||||||||||||||
Total | $ | 8,304,034 | $ | 7,893,605 | $ | 410,429 | Total | $ | 5,604,188 | $ | 5,301,438 | $ | 302,750 |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands) | |||||||||||
Available-for-Sale securities: Fixed maturities, at fair value (allowance for credit losses: 2022 and 2021, nil; amortized cost: 2022, $8,523,011; 2021, $4,710,303) | $ | 8,368,916 | $ | 4,728,811 | |||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2022, $1,472; 2021, $1,518; fair value: 2022, $195,252; 2021, $223,495) | 204,493 | 221,569 | |||||||||
Certificate loans — secured by certificate reserves, at cost, which approximates fair value | 72 | 83 | |||||||||
Total | $ | 8,573,481 | $ | 4,950,463 |
Description of Securities | December 31, 2022 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Corporate debt securities | $ | 800,596 | $ | 497 | $ | (8,151) | $ | 792,942 | ||||||||||||||||||||||||
Residential mortgage backed securities | 2,210,633 | 4,202 | (114,971) | 2,099,864 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,976,401 | 872 | (28,521) | 1,948,752 | ||||||||||||||||||||||||||||
Asset backed securities | 1,463,147 | 2,599 | (10,474) | 1,455,272 | ||||||||||||||||||||||||||||
State and municipal obligations | 9,451 | — | (296) | 9,155 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 2,062,783 | 819 | (671) | 2,062,931 | ||||||||||||||||||||||||||||
Total | $ | 8,523,011 | $ | 8,989 | $ | (163,084) | $ | 8,368,916 |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Corporate debt securities | $ | 51,201 | $ | 849 | $ | — | $ | 52,050 | ||||||||||||||||||||||||
Residential mortgage backed securities | 1,680,371 | 15,708 | (2,531) | 1,693,548 | ||||||||||||||||||||||||||||
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, 2019 | |||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Noncredit OTTI (1) | ||||||||||||||||
(in thousands) | ||||||||||||||||||||
Residential mortgage backed securities | $ | 3,052,502 | $ | 16,238 | $ | (9,022 | ) | $ | 3,059,718 | $ | — | |||||||||
Corporate debt securities | 519,365 | 5,580 | (108 | ) | 524,837 | 3 | ||||||||||||||
Commercial mortgage backed securities | 1,452,823 | 1,017 | (2,949 | ) | 1,450,891 | — | ||||||||||||||
Asset backed securities | 627,380 | 3,485 | (1,162 | ) | 629,703 | — | ||||||||||||||
State and municipal obligations | 32,622 | 223 | (105 | ) | 32,740 | — | ||||||||||||||
U.S. government and agency obligations | 1,678,122 | 762 | (1 | ) | 1,678,883 | — | ||||||||||||||
Total | $ | 7,362,814 | $ | 27,305 | $ | (13,347 | ) | $ | 7,376,772 | $ | 3 |
Description of Securities | December 31, 2018 | |||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Noncredit OTTI (1) | ||||||||||||||||
(in thousands) | ||||||||||||||||||||
Residential mortgage backed securities | $ | 3,073,657 | $ | 7,639 | $ | (27,593 | ) | $ | 3,053,703 | $ | — | |||||||||
Corporate debt securities | 1,027,462 | 488 | (9,133 | ) | 1,018,817 | 3 | ||||||||||||||
Commercial mortgage backed securities | 1,211,468 | 276 | (13,764 | ) | 1,197,980 | — | ||||||||||||||
Asset backed securities | 667,332 | 2,867 | (7,468 | ) | 662,731 | — | ||||||||||||||
State and municipal obligations | 62,032 | 60 | (502 | ) | 61,590 | — | ||||||||||||||
U.S. government and agency obligations | 1,739,757 | 250 | (78 | ) | 1,739,929 | — | ||||||||||||||
Total | $ | 7,781,708 | $ | 11,580 | $ | (58,538 | ) | $ | 7,734,750 | $ | 3 |
Ratings | Ratings | December 31, 2019 | December 31, 2018 | Ratings | December 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | $ | 6,551,393 | $ | 6,554,916 | 89 | % | $ | 6,247,699 | $ | 6,209,709 | 80 | % | AAA | $ | 7,504,912 | $ | 7,361,766 | 88 | % | $ | 4,556,729 | $ | 4,570,394 | 97 | % | ||||||||||||||||||||||||||||||||||
AA | AA | 127,621 | 128,753 | 2 | 221,126 | 220,466 | 3 | AA | 104,049 | 100,303 | 1 | 54,137 | 55,093 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||
A | A | 289,553 | 293,204 | 4 | 497,428 | 493,964 | 6 | A | 165,663 | 164,265 | 2 | 72,913 | 75,140 | 2 | ||||||||||||||||||||||||||||||||||||||||||||||
BBB | BBB | 381,044 | 386,791 | 5 | 782,284 | 777,928 | 10 | BBB | 732,811 | 727,450 | 9 | 20,442 | 22,061 | — | ||||||||||||||||||||||||||||||||||||||||||||||
Below investment grade | Below investment grade | 13,203 | 13,108 | — | 33,171 | 32,683 | 1 | Below investment grade | 15,576 | 15,132 | — | 6,082 | 6,123 | — | ||||||||||||||||||||||||||||||||||||||||||||||
Total fixed maturities | Total fixed maturities | $ | 7,362,814 | $ | 7,376,772 | 100 | % | $ | 7,781,708 | $ | 7,734,750 | 100 | % | Total fixed maturities | $ | 8,523,011 | $ | 8,368,916 | 100 | % | $ | 4,710,303 | $ | 4,728,811 | 100 | % |
Description of Securities | December 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | 48 | $ | 598,028 | $ | (8,151) | — | $ | — | $ | — | 48 | $ | 598,028 | $ | (8,151) | |||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 208 | 1,609,795 | (83,810) | 78 | 253,759 | (31,161) | 286 | 1,863,554 | (114,971) | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 64 | 1,396,001 | (16,637) | 21 | 379,588 | (11,884) | 85 | 1,775,589 | (28,521) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 42 | 816,065 | (8,671) | 5 | 87,706 | (1,803) | 47 | 903,771 | (10,474) | |||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | 7 | 8,251 | (200) | 1 | 904 | (96) | 8 | 9,155 | (296) | |||||||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | 11 | 559,320 | (671) | — | — | — | 11 | 559,320 | (671) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 380 | $ | 4,987,460 | $ | (118,140) | 105 | $ | 721,957 | $ | (44,944) | 485 | $ | 5,709,417 | $ | (163,084) |
Description of Securities | Description of Securities | December 31, 2019 | Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 64 | $ | 987,968 | $ | (3,731 | ) | 90 | $ | 776,834 | $ | (5,291 | ) | 154 | $ | 1,764,802 | $ | (9,022 | ) | Residential mortgage backed securities | 43 | $ | 295,433 | $ | (1,733) | 48 | $ | 114,067 | $ | (798) | 91 | $ | 409,500 | $ | (2,531) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | 1 | 1,201 | — | 8 | 52,348 | (108 | ) | 9 | 53,549 | (108 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | Commercial mortgage backed securities | 33 | 891,414 | (1,662 | ) | 24 | 232,184 | (1,287 | ) | 57 | 1,123,598 | (2,949 | ) | Commercial mortgage backed securities | 25 | 538,380 | (842) | 3 | 55,352 | (194) | 28 | 593,732 | (1,036) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | Asset backed securities | 8 | 59,048 | (95 | ) | 14 | 183,116 | (1,067 | ) | 22 | 242,164 | (1,162 | ) | Asset backed securities | 5 | 117,631 | (119) | 5 | 92,986 | (214) | 10 | 210,617 | (333) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | State and municipal obligations | — | — | — | 1 | 2,705 | (105 | ) | 1 | 2,705 | (105 | ) | State and municipal obligations | 1 | 996 | (4) | — | — | — | 1 | 996 | (4) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | U.S. government and agency obligations | 2 | 99,606 | (1 | ) | — | — | — | 2 | 99,606 | (1 | ) | U.S. government and agency obligations | 9 | 469,836 | (17) | — | — | — | 9 | 469,836 | (17) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | 108 | $ | 2,039,237 | $ | (5,489 | ) | 137 | $ | 1,247,187 | $ | (7,858 | ) | 245 | $ | 3,286,424 | $ | (13,347 | ) | Total | 83 | $ | 1,422,276 | $ | (2,715) | 56 | $ | 262,405 | $ | (1,206) | 139 | $ | 1,684,681 | $ | (3,921) |
Description of Securities | December 31, 2018 | ||||||||||||||||||||||||||||||||
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 | 97 | $ | 1,125,780 | $ | (8,273 | ) | 113 | $ | 1,012,582 | $ | (19,320 | ) | 210 | $ | 2,138,362 | $ | (27,593 | ) | |||||||||||||||
Corporate debt securities | 35 | 376,774 | (3,027 | ) | 43 | 492,955 | (6,106 | ) | 78 | 869,729 | (9,133 | ) | |||||||||||||||||||||
Commercial mortgage backed securities | 39 | 892,856 | (5,245 | ) | 24 | 240,762 | (8,519 | ) | 63 | 1,133,618 | (13,764 | ) | |||||||||||||||||||||
Asset backed securities | 23 | 296,298 | (3,815 | ) | 23 | 272,466 | (3,653 | ) | 46 | 568,764 | (7,468 | ) | |||||||||||||||||||||
State and municipal obligations | 7 | 28,640 | (103 | ) | 9 | 18,482 | (399 | ) | 16 | 47,122 | (502 | ) | |||||||||||||||||||||
U.S. government and agency obligations | 10 | 721,934 | (78 | ) | — | — | — | 10 | 721,934 | (78 | ) | ||||||||||||||||||||||
Total | 211 | $ | 3,442,282 | $ | (20,541 | ) | 212 | $ | 2,037,247 | $ | (37,997 | ) | 423 | $ | 5,479,529 | $ | (58,538 | ) |
Years Ended December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Beginning balance | $ | — | $ | — | $ | 46,522 | |||||
Reductions for securities sold during the period (realized) | — | — | (46,715 | ) | |||||||
Credit losses for which an other-than-temporary impairment was previously recognized | — | — | 193 | ||||||||
Ending balance | $ | — | $ | — | $ | — |
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, 2017 | $ | (8,195 | ) | $ | 3,030 | $ | (5,165 | ) | ||||
Net unrealized gains (losses) on securities arising during the period (1) | 10,637 | (3,285 | ) | 7,352 | ||||||||
Reclassification of net (gains) losses on securities included in net income | (12,021 | ) | 4,207 | (7,814 | ) | |||||||
Balance at December 31, 2017 | (9,579 | ) | 3,952 | (5,627 | ) | (2) | ||||||
Cumulative effect of adoption of equity securities guidance | 3 | (1 | ) | 2 | ||||||||
Net unrealized gains (losses) on securities arising during the period (1) | (37,534 | ) | 9,208 | (28,326 | ) | |||||||
Reclassification of net (gains) losses on securities included in net income | 152 | (32 | ) | 120 | ||||||||
Balance at December 31, 2018 | (46,958 | ) | 13,127 | (33,831 | ) | (2) | ||||||
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 | (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, 2020 | $ | 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) | (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 (2) | (1,093) | 230 | (863) | |||||||||||||||||
Balance at December 31, 2021 | 18,509 | (2,773) | 15,736 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | (172,584) | 41,518 | (131,066) | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income (2) | (19) | 4 | (15) | |||||||||||||||||
Balance at December 31, 2022 | $ | (154,094) | $ | 38,749 | $ | (115,345) |
Years Ended December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Gross realized investment gains | $ | 265 | $ | 909 | $ | 14,553 | |||||
Gross realized investment losses | (71 | ) | (1,061 | ) | (2,339 | ) | |||||
Other-than-temporary impairments | — | — | (193 | ) | |||||||
Total | $ | 194 | $ | (152 | ) | $ | 12,021 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Gross realized gains | $ | 19 | $ | 1,132 | $ | 2,950 | |||||||||||
Gross realized losses | — | (39) | — | ||||||||||||||
Total | $ | 19 | $ | 1,093 | $ | 2,950 |
Amortized Cost | Fair Value | ||||||||||
(in thousands) | |||||||||||
Due within one year | $ | 2,148,158 | $ | 2,147,363 | |||||||
Due after one year through five years | 724,466 | 717,453 | |||||||||
Due after five years through 10 years | 206 | 212 | |||||||||
2,872,830 | 2,865,028 | ||||||||||
Residential mortgage backed securities | 2,210,633 | 2,099,864 | |||||||||
Commercial mortgage backed securities | 1,976,401 | 1,948,752 | |||||||||
Asset backed securities | 1,463,147 | 1,455,272 | |||||||||
Total | $ | 8,523,011 | $ | 8,368,916 |
Amortized Cost | Fair Value | ||||||
(in thousands) | |||||||
Due within one year | $ | 1,996,523 | $ | 1,998,340 | |||
Due after one year through five years | 233,377 | 237,865 | |||||
Due after five years through 10 years | 209 | 255 | |||||
Due after 10 years | — | — | |||||
2,230,109 | 2,236,460 | ||||||
Residential mortgage backed securities | 3,052,502 | 3,059,718 | |||||
Commercial mortgage backed securities | 1,452,823 | 1,450,891 | |||||
Asset backed securities | 627,380 | 629,703 | |||||
Total | $ | 7,362,814 | $ | 7,376,772 |
Commercial Loans | |||||
(in thousands) | |||||
Balance at December 31, 2019 (1) | $ | 3,022 | |||
Cumulative effect of adoption of current expected credit losses guidance | (771) | ||||
Balance at January 1, 2020 | 2,251 | ||||
Provisions | 939 | ||||
Balance at December 31, 2020 | 3,190 | ||||
Provisions | (1,672) | ||||
Balance at December 31, 2021 | 1,518 | ||||
Provisions | (46) | ||||
Balance at December 31, 2022 | $ | 1,472 |
December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Beginning balance | $ | 3,120 | $ | 3,283 | $ | 3,283 | |||||
Charge-offs | (98 | ) | (163 | ) | — | ||||||
Ending balance | $ | 3,022 | $ | 3,120 | $ | 3,283 | |||||
Individually evaluated for impairment | $ | — | $ | — | $ | — | |||||
Collectively evaluated for impairment | 3,022 | 3,120 | 3,283 |
December 31, | |||||||
2019 | 2018 | ||||||
(in thousands) | |||||||
Individually evaluated for impairment | $ | 2,278 | $ | 3,783 | |||
Collectively evaluated for impairment | 270,603 | 259,515 | |||||
Total | $ | 272,881 | $ | 263,298 |
Years Ended December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Purchases | |||||||||||
Syndicated loans | $ | 40,306 | $ | 83,763 | $ | 44,141 | |||||
Sales | |||||||||||
Syndicated loans | $ | 10,765 | $ | 7,054 | $ | 4,476 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | 3,211 | $ | — | $ | 3,211 | ||||||||||||||||||||||||||||||
80% - 100% | 5,500 | — | — | — | — | — | 5,500 | |||||||||||||||||||||||||||||||||||||
60% - 80% | — | 1,727 | — | — | — | 3,411 | 5,138 | |||||||||||||||||||||||||||||||||||||
40% - 60% | — | 4,963 | 4,062 | 10,630 | 2,570 | 8,299 | 30,524 | |||||||||||||||||||||||||||||||||||||
< 40% | 1,628 | 4,544 | 3,000 | 3,646 | 6,589 | 38,834 | 58,241 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,128 | $ | 11,234 | $ | 7,062 | $ | 14,276 | $ | 12,370 | $ | 50,544 | $ | 102,614 |
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 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
East North Central | $ | 9,116 | $ | 11,166 | 9 | % | 10 | % | |||||||||||||||
East South Central | 2,239 | 2,939 | 2 | 3 | |||||||||||||||||||
Middle Atlantic | 14,640 | 15,581 | 14 | 13 | |||||||||||||||||||
Mountain | 9,135 | 7,567 | 9 | 6 | |||||||||||||||||||
New England | 6,542 | 6,766 | 6 | 6 | |||||||||||||||||||
Pacific | 36,432 | 37,881 | 36 | 32 | |||||||||||||||||||
South Atlantic | 12,003 | 19,574 | 12 | 17 | |||||||||||||||||||
West North Central | 4,215 | 5,893 | 4 | 5 | |||||||||||||||||||
West South Central | 8,292 | 9,073 | 8 | 8 | |||||||||||||||||||
102,614 | 116,440 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 451 | 493 | |||||||||||||||||||||
Total | $ | 102,163 | $ | 115,947 |
Loans | Percentage | ||||||||||||
December 31, | December 31, | ||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||
(in thousands) | |||||||||||||
East North Central | $ | 6,424 | $ | 5,642 | 5 | % | 5 | % | |||||
East South Central | 4,266 | 6,253 | 4 | 5 | |||||||||
Middle Atlantic | 15,495 | 14,443 | 12 | 13 | |||||||||
Mountain | 13,556 | 9,794 | 11 | 9 | |||||||||
New England | 7,191 | 7,392 | 6 | 6 | |||||||||
Pacific | 39,342 | 37,147 | 31 | 32 | |||||||||
South Atlantic | 18,835 | 21,479 | 15 | 19 | |||||||||
West North Central | 7,396 | 6,132 | 6 | 5 | |||||||||
West South Central | 12,876 | 6,493 | 10 | 6 | |||||||||
125,381 | 114,775 | 100 | % | 100 | % | ||||||||
Less: allowance for loan losses | 2,341 | 2,341 | |||||||||||
Total | $ | 123,040 | $ | 112,434 |
Loans | Percentage | Loans | Percentage | December 31, | ||||||||||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||
(in thousands) | (in thousands) | |||||||||||||||||||||||||||||||||||
Apartments | $ | 32,162 | $ | 26,795 | 25 | % | 23 | % | Apartments | $ | 29,969 | $ | 32,457 | 29 | % | 28 | % | |||||||||||||||||||
Industrial | 24,969 | 27,162 | 20 | 24 | Industrial | 25,668 | 25,738 | 25 | 22 | |||||||||||||||||||||||||||
Mixed use | 12,105 | 7,646 | 10 | 7 | Mixed use | 10,658 | 10,938 | 11 | 10 | |||||||||||||||||||||||||||
Office | 14,952 | 16,087 | 12 | 14 | Office | 16,293 | 16,470 | 16 | 14 | |||||||||||||||||||||||||||
Retail | 39,719 | 34,814 | 32 | 30 | Retail | 17,592 | 28,026 | 17 | 24 | |||||||||||||||||||||||||||
Hotel | 432 | 607 | — | 1 | Hotel | — | 114 | — | — | |||||||||||||||||||||||||||
Other | 1,042 | 1,664 | 1 | 1 | Other | 2,434 | 2,697 | 2 | 2 | |||||||||||||||||||||||||||
125,381 | 114,775 | 100 | % | 100 | % | 102,614 | 116,440 | 100 | % | 100 | % | |||||||||||||||||||||||||
Less: allowance for loan losses | 2,341 | 2,341 | Less: allowance for loan losses | 451 | 493 | |||||||||||||||||||||||||||||||
Total | $ | 123,040 | $ | 112,434 | Total | $ | 102,163 | $ | 115,947 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | 1,132 | $ | — | $ | — | $ | — | $ | 337 | $ | — | $ | 1,469 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | — | 1,937 | — | 1,786 | 3,723 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | 3,561 | 717 | 3,058 | 4,740 | 6,859 | 18,935 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 2,948 | 7,993 | 5,387 | 6,813 | 5,284 | 16,242 | 44,667 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 3,342 | 4,423 | 2,556 | 3,467 | 7,880 | 12,889 | 34,557 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,422 | $ | 15,977 | $ | 8,660 | $ | 15,275 | $ | 18,241 | $ | 37,776 | $ | 103,351 |
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, 2022 | |||||||||||||||||
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) | $ | 8,413 | 4.09 | % | 4.09 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 4,032 | 3.22 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 9,079,145 | 2.97 | % | 2.97 | % | ||||||||||||
Equity indexed (2) | 210,303 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 17 | 3.07 | % | — | |||||||||||||
Without guaranteed rates (1) | 11,062 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 433 | N/A | N/A | ||||||||||||||
Total | $ | 9,313,405 |
December 31, 2019 | |||||||||
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) | $ | 5,371 | 1.05 | % | 1.05 | % | |||
Fully paid certificates: | |||||||||
Reserves to mature: | |||||||||
With guaranteed rates | 5,710 | 3.19 | % | 0.01 | % | ||||
Without guaranteed rates (1) | 7,063,066 | 1.37 | % | 1.37 | % | ||||
Equity indexed (2) | 434,412 | N/A | N/A | ||||||
Additional credits and accrued interest: | |||||||||
With guaranteed rates | 41 | 2.95 | % | — | |||||
Without guaranteed rates (1) | 13,284 | N/A | N/A | ||||||
Due to unlocated certificate holders | 439 | N/A | N/A | ||||||
Total | $ | 7,522,323 |
December 31, 2018 | December 31, 2021 | |||||||||||||||||||||||||
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) | $ | 8,814 | 1.39 | % | 1.39 | % | Without guaranteed rates (1) | $ | 6,112 | 0.25 | % | 0.25 | % | |||||||||||||
Fully paid certificates: | Fully paid certificates: | |||||||||||||||||||||||||
Reserves to mature: | Reserves to mature: | |||||||||||||||||||||||||
With guaranteed rates | 6,296 | 3.17 | % | 0.01 | % | With guaranteed rates | 4,592 | 3.20 | % | 0.01 | % | |||||||||||||||
Without guaranteed rates (1) | 7,412,609 | 1.62 | % | 1.62 | % | Without guaranteed rates (1) | 5,012,286 | 0.10 | % | 0.10 | % | |||||||||||||||
Equity indexed (2) | 458,501 | N/A | N/A | Equity indexed (2) | 273,423 | N/A | N/A | |||||||||||||||||||
Additional credits and accrued interest: | Additional credits and accrued interest: | |||||||||||||||||||||||||
With guaranteed rates | 57 | 2.96 | % | — | With guaranteed rates | 20 | 3.06 | % | — | |||||||||||||||||
Without guaranteed rates (1) | 5,453 | N/A | N/A | Without guaranteed rates (1) | 3,627 | N/A | N/A | |||||||||||||||||||
Due to unlocated certificate holders | 234 | N/A | N/A | Due to unlocated certificate holders | 429 | N/A | N/A | |||||||||||||||||||
Total | $ | 7,891,964 | Total | $ | 5,300,489 |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands) | |||||||||||
Reserves with terms of one year or less | $ | 8,927,109 | $ | 5,131,740 | |||||||
Other | 386,296 | 168,749 | |||||||||
Total certificate reserves | 9,313,405 | 5,300,489 | |||||||||
Unapplied certificate transactions | 6,858 | 467 | |||||||||
Certificate loans and accrued interest | (73) | (85) | |||||||||
Total | $ | 9,320,190 | $ | 5,300,871 |
December 31, | |||||||
2019 | 2018 | ||||||
(in thousands) | |||||||
Reserves with terms of one year or less | $ | 7,197,839 | $ | 7,517,277 | |||
Other | 324,484 | 374,687 | |||||
Total certificate reserves | 7,522,323 | 7,891,964 | |||||
Unapplied certificate transactions | 810 | 4,697 | |||||
Certificate loans and accrued interest | (219 | ) | (247 | ) | |||
Total | $ | 7,522,914 | $ | 7,896,414 |
Level 1 Unadjusted quoted prices for identical assets or liabilities in active markets that are accessible at the measurement date. Level 2 Prices or valuations based on observable inputs other than quoted prices in active markets for identical assets and liabilities. Level 3 Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
December 31, 2022 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 1,159,470 | $ | — | $ | 1,159,470 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Corporate debt securities | — | 783,289 | 9,653 | 792,942 | |||||||||||||||||||
Residential mortgage backed securities | — | 2,099,864 | — | 2,099,864 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,948,752 | — | 1,948,752 | |||||||||||||||||||
Asset backed securities | — | 1,450,381 | 4,891 | 1,455,272 | |||||||||||||||||||
State and municipal obligations | — | 9,155 | — | 9,155 | |||||||||||||||||||
U.S. government and agency obligations | 2,062,931 | — | — | 2,062,931 | |||||||||||||||||||
Total Available-for-Sale securities | 2,062,931 | 6,291,441 | 14,544 | 8,368,916 | |||||||||||||||||||
Equity derivative contracts | — | 8,786 | — | 8,786 | |||||||||||||||||||
Total assets at fair value | $ | 2,062,931 | $ | 7,459,697 | $ | 14,544 | $ | 9,537,172 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 3,572 | $ | — | $ | 3,572 | |||||||||||||||
Equity derivative contracts | 8 | 6,641 | — | 6,649 | |||||||||||||||||||
Total liabilities at fair value | $ | 8 | $ | 10,213 | $ | — | $ | 10,221 |
December 31, 2019 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | (in thousands) | ||||||||||||||||||||||||||||||
Assets | Assets | |||||||||||||||||||||||||||||||||||||
Cash equivalents | $ | — | $ | 365,867 | $ | — | $ | 365,867 | Cash equivalents | $ | — | $ | 672,275 | $ | — | $ | 672,275 | |||||||||||||||||||||
Available-for-Sale securities: | Available-for-Sale securities: | |||||||||||||||||||||||||||||||||||||
Corporate debt securities | Corporate debt securities | — | 46,046 | 6,004 | 52,050 | |||||||||||||||||||||||||||||||||
Residential mortgage backed securities | — | 3,059,718 | — | 3,059,718 | Residential mortgage backed securities | — | 1,693,548 | — | 1,693,548 | |||||||||||||||||||||||||||||
Corporate debt securities | — | 510,567 | 14,270 | 524,837 | ||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | — | 1,450,891 | — | 1,450,891 | Commercial mortgage backed securities | — | 1,165,929 | — | 1,165,929 | |||||||||||||||||||||||||||||
Asset backed securities | — | 624,869 | 4,834 | 629,703 | Asset backed securities | — | 500,369 | 4,891 | 505,260 | |||||||||||||||||||||||||||||
State and municipal obligations | — | 32,740 | — | 32,740 | State and municipal obligations | — | 12,044 | — | 12,044 | |||||||||||||||||||||||||||||
U.S. government and agency obligations | 1,678,883 | — | — | 1,678,883 | U.S. government and agency obligations | 1,299,980 | — | — | 1,299,980 | |||||||||||||||||||||||||||||
Total Available-for-Sale securities | 1,678,883 | 5,678,785 | 19,104 | 7,376,772 | Total Available-for-Sale securities | 1,299,980 | 3,417,936 | 10,895 | 4,728,811 | |||||||||||||||||||||||||||||
Equity securities | — | 116 | 72 | 188 | ||||||||||||||||||||||||||||||||||
Equity derivative contracts | 6 | 56,038 | — | 56,044 | Equity derivative contracts | — | 44,135 | — | 44,135 | |||||||||||||||||||||||||||||
Total assets at fair value | $ | 1,678,889 | $ | 6,100,806 | $ | 19,176 | $ | 7,798,871 | Total assets at fair value | $ | 1,299,980 | $ | 4,134,346 | $ | 10,895 | $ | 5,445,221 | |||||||||||||||||||||
Liabilities | Liabilities | |||||||||||||||||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 13,961 | $ | — | $ | 13,961 | Stock market certificate embedded derivatives | $ | — | $ | 3,853 | $ | — | $ | 3,853 | |||||||||||||||||||||
Equity derivative contracts | — | 43,598 | — | 43,598 | Equity derivative contracts | 3 | 41,467 | — | 41,470 | |||||||||||||||||||||||||||||
Total liabilities at fair value | $ | — | $ | 57,559 | $ | — | $ | 57,559 | Total liabilities at fair value | $ | 3 | $ | 45,320 | $ | — | $ | 45,323 |
December 31, 2018 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(in thousands) | |||||||||||||||
Assets | |||||||||||||||
Cash equivalents | $ | — | $ | 360,580 | $ | — | $ | 360,580 | |||||||
Available-for-Sale securities: | |||||||||||||||
Residential mortgage backed securities | — | 2,991,115 | 62,588 | 3,053,703 | |||||||||||
Corporate debt securities | — | 976,975 | 41,842 | 1,018,817 | |||||||||||
Commercial mortgage backed securities | — | 1,178,193 | 19,787 | 1,197,980 | |||||||||||
Asset backed securities | — | 662,731 | — | 662,731 | |||||||||||
State and municipal obligations | — | 61,590 | — | 61,590 | |||||||||||
U.S. government and agency obligations | 1,739,929 | — | — | 1,739,929 | |||||||||||
Total Available-for-Sale securities | 1,739,929 | 5,870,604 | 124,217 | 7,734,750 | |||||||||||
Equity securities | — | 466 | — | 466 | |||||||||||
Equity derivative contracts | 6 | 13,173 | — | 13,179 | |||||||||||
Total assets at fair value | $ | 1,739,935 | $ | 6,244,823 | $ | 124,217 | $ | 8,108,975 | |||||||
Liabilities | |||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 6,145 | $ | — | $ | 6,145 | |||||||
Equity derivative contracts | — | 8,209 | — | 8,209 | |||||||||||
Total liabilities at fair value | $ | — | $ | 14,354 | $ | — | $ | 14,354 |
Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
Corporate Debt Securities | Residential Mortgage Backed Securities | Asset Backed Securities | Total | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Balance at January 1, 2022 | $ | 6,004 | $ | — | $ | 4,891 | $ | 10,895 | ||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||
Net income | 45 | — | 38 | 83 | (1) | |||||||||||||||||||||||||||
Other comprehensive income (loss) | (214) | (504) | (193) | (911) | ||||||||||||||||||||||||||||
Purchases | 9,818 | 99,956 | 17,582 | 127,356 | ||||||||||||||||||||||||||||
Settlements | (6,000) | — | — | (6,000) | ||||||||||||||||||||||||||||
Transfers out of Level 3 | — | (99,452) | (17,427) | (116,879) | ||||||||||||||||||||||||||||
Balance at December 31, 2022 | $ | 9,653 | $ | — | $ | 4,891 | $ | 14,544 | ||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2022 | $ | 45 | $ | — | $ | 38 | $ | 83 | (1) | |||||||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2022 | $ | (212) | $ | — | $ | (38) | $ | (250) |
Available-for-Sale Securities | ||||||||||||||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance at 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 at 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 | |||||||||||||||||||||||
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) relating to assets held at December 31, 2019 | $ | — | $ | (46 | ) | $ | — | $ | 17 | $ | (29 | ) | (1) | $ | (276 | ) | (2) |
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, 2018 | $ | 68,710 | $ | 67,341 | $ | — | $ | — | $ | 136,051 | $ | 28 | ||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||
Net income | 18 | (229 | ) | 1 | — | (210 | ) | (1) | — | |||||||||||||||
Other comprehensive income (loss) | (389 | ) | (270 | ) | (1 | ) | — | (660 | ) | — | ||||||||||||||
Purchases | 59,999 | — | 59,787 | 12,333 | 132,119 | — | ||||||||||||||||||
Settlements | (23,352 | ) | (25,000 | ) | — | — | (48,352 | ) | — | |||||||||||||||
Transfers out of Level 3 | (42,398 | ) | — | (40,000 | ) | (12,333 | ) | (94,731 | ) | (28 | ) | |||||||||||||
Balance, December 31, 2018 | $ | 62,588 | $ | 41,842 | $ | 19,787 | $ | — | $ | 124,217 | $ | — | ||||||||||||
Changes in unrealized gains (losses) relating to assets held at December 31, 2018 | $ | 104 | $ | (61 | ) | $ | 1 | $ | — | $ | 44 | (1) | $ | — |
Available-for-Sale Securities | Equity Securities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities | Corporate Debt Securities | Asset Backed Securities | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Backed Securities | Corporate Debt Securities | Commercial Mortgage Backed Securities | Asset Backed Securities | Common Stocks | Total | (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2017 | $ | 153,183 | $ | 154,156 | $ | — | $ | 30,788 | $ | 717 | $ | 338,844 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at January 1, 2020 | Balance at 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 | ) | (3) | 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 | ) | (1) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2020 | Balance at 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 | $ | — |
December 31, 2022 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 9,650 | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.1% | 1.1% |
December 31, 2019 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||
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) | $ | 14,267 | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.9% - 1.1% | 1.0% | Corporate debt securities (private placements) | $ | 6,001 | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.9% | 0.9% |
December 31, 2018 | |||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||
(in thousands) | |||||||||||
Corporate debt securities (private placements) | $ | 41,839 | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.2% - 1.6% | 1.3% |
(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, 2022. | ||||||||
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 November 2022. | ||||||||
Code of Ethics under Rule 17j-1 for Registrant’s underwriter, as revised January 1, 2023. | ||||||||
24* | Directors’ Power of Attorney, dated February 13, 2023 and February 16, 2023. | |||||||
31.1* | Certification of Abu M. Arif, Chief Executive Officer, pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
31.2* | Certification of James R. Hill, Chief Financial Officer, pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
32* | Certification of Abu M. Arif, Chief Executive Officer and James R. Hill, Chief Financial Officer 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 23, 2023 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 23, 2023 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 23, 2023 | By | /s/ James R. Hill | ||||||||
James R. Hill Vice President and Chief Financial Officer (Principal Financial Officer) |
Date: | February 23, 2023 | By | /s/ Brian L. Granger | ||||||||
Brian L. Granger Vice President, Controller and Chief Accounting Officer |
Date: | February 23, 2023 | By | /s/ Ronald L. Guzior* | ||||||||
Ronald L. Guzior Director |
Date: | February 23, 2023 | By | /s/ Karen M. Bohn* | ||||||||
Karen M. Bohn Director |
Date: | February 23, 2023 | By | /s/ Lorna P. Gleason* | ||||||||
Lorna P. Gleason Director |
Date: | February 23, 2023 | 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-12 | |||||||||||
F-13 | |||||||||||
F-16 | |||||||||||
F-19 | |||||||||||
F-20 | |||||||||||
F-20 | |||||||||||
F-21 | |||||||||||
F-26 | |||||||||||
F-28 | |||||||||||
F-29 | |||||||||||
F-30 | |||||||||||
Part II. Consolidated Financial Schedules | |||||||||||
I. Investments in Securities of Unaffiliated Issuers — December 31, 2022 and 2021 | F-31 | ||||||||||
III. Mortgage Loans on Real Estate and Interest Earned on Mortgages — Years Ended December 31, 2022, 2021 and 2020 | F-74 | ||||||||||
V. Qualified Assets on Deposit — December 31, 2022 and 2021 | F-81 | ||||||||||
VI. Certificate Reserves — Years Ended December 31, 2022, 2021 and 2020 | F-82 | ||||||||||
VII. Valuation and Qualifying Accounts — Years Ended December 31, 2022, 2021 and 2020 | F-100 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Investment Income: | |||||||||||||||||
Interest income: | |||||||||||||||||
Available-for-Sale securities | $ | 135,500 | $ | 59,409 | $ | 123,900 | |||||||||||
Commercial mortgage loans and syndicated loans | 8,286 | 8,116 | 9,780 | ||||||||||||||
Cash and cash equivalents | 15,124 | 612 | 2,289 | ||||||||||||||
Certificate loans | 4 | 8 | 12 | ||||||||||||||
Dividends | — | 1 | — | ||||||||||||||
Other | 182 | 394 | 205 | ||||||||||||||
Total investment income | 159,096 | 68,540 | 136,186 | ||||||||||||||
Investment Expenses: | |||||||||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||||||||
Distribution | 8,868 | 6,805 | 16,778 | ||||||||||||||
Investment advisory and services | 13,138 | 13,790 | 16,672 | ||||||||||||||
Transfer agent | 6,218 | 6,957 | 8,390 | ||||||||||||||
Depository | 73 | 90 | 94 | ||||||||||||||
Other | 444 | 717 | 485 | ||||||||||||||
Total investment expenses | 28,741 | 28,359 | 42,419 | ||||||||||||||
Net investment income before provision for certificate reserves and income taxes | 130,355 | 40,181 | 93,767 | ||||||||||||||
Provision for Certificate Reserves: | |||||||||||||||||
According to the terms of the certificates: | |||||||||||||||||
Provision for certificate reserves | 206 | 249 | 417 | ||||||||||||||
Interest on additional credits | 1 | 1 | 1 | ||||||||||||||
Additional credits/interest authorized by ACC | 54,167 | 10,031 | 56,845 | ||||||||||||||
Total provision for certificate reserves before reserve recoveries | 54,374 | 10,281 | 57,263 | ||||||||||||||
Reserve recoveries from terminations prior to maturity | (869) | (760) | (874) | ||||||||||||||
Net provision for certificate reserves | 53,505 | 9,521 | 56,389 | ||||||||||||||
Net investment income before income taxes | 76,850 | 30,660 | 37,378 | ||||||||||||||
Income tax expense | 19,032 | 7,467 | 8,984 | ||||||||||||||
Net investment income, after-tax | 57,818 | 23,193 | 28,394 | ||||||||||||||
Net realized gain (loss) on investments: | |||||||||||||||||
Securities of unaffiliated issuers before income taxes | 20 | 2,598 | 1,349 | ||||||||||||||
Income tax expense (benefit) | 4 | 545 | 283 | ||||||||||||||
Net realized gain (loss) on investments, after-tax | 16 | 2,053 | 1,066 | ||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 | |||||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||
Net unrealized gains (losses) on securities: | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period | (131,066) | (16,097) | 22,763 | ||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (15) | (863) | (2,330) | ||||||||||||||
Total other comprehensive income (loss), net of tax | (131,081) | (16,960) | 20,433 | ||||||||||||||
Total comprehensive income (loss) | $ | (73,247) | $ | 8,286 | $ | 49,893 |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands, except share data) | |||||||||||
ASSETS | |||||||||||
Qualified Assets | |||||||||||
Investments in unaffiliated issuers: | |||||||||||
Cash and cash equivalents | $ | 1,180,868 | $ | 689,792 | |||||||
Available-for-Sale securities: | |||||||||||
Fixed maturities, at fair value (amortized cost: 2022, $8,523,011; 2021, $4,710,303) | 8,368,916 | 4,728,811 | |||||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2022, $1,472; 2021, $1,518; fair value: 2022, $195,252; 2021, $223,495) | 204,493 | 221,569 | |||||||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 72 | 83 | |||||||||
Total investments | 9,754,349 | 5,640,255 | |||||||||
Receivables: | |||||||||||
Dividends and interest | 22,052 | 5,159 | |||||||||
Receivables from brokers, dealers and clearing organizations | 2,814 | 4,920 | |||||||||
Other receivables | 71 | 403 | |||||||||
Total receivables | 24,937 | 10,482 | |||||||||
Derivative assets | 8,786 | 44,135 | |||||||||
Total qualified assets | 9,788,072 | 5,694,872 | |||||||||
Other Assets: | |||||||||||
Deferred taxes, net | 37,892 | — | |||||||||
Taxes receivable from parent | — | 50 | |||||||||
Due from related party | — | 23 | |||||||||
Total other assets | 37,892 | 73 | |||||||||
Total assets | $ | 9,825,964 | $ | 5,694,945 |
Consolidated Balance Sheets (continued) | |||||||||||
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands, except share data) | |||||||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||||||
Liabilities | |||||||||||
Certificate reserves | |||||||||||
Installment certificates: | |||||||||||
Reserves to mature | $ | 8,413 | $ | 6,112 | |||||||
Fully paid certificates: | |||||||||||
Reserves to mature | 9,293,480 | 5,290,301 | |||||||||
Additional credits and accrued interest | 11,079 | 3,647 | |||||||||
Due to unlocated certificate holders | 433 | 429 | |||||||||
Total certificate reserves | 9,313,405 | 5,300,489 | |||||||||
Accounts payable and accrued liabilities: | |||||||||||
Due to related party | 3,047 | 1,958 | |||||||||
Taxes payable to parent | 5,708 | 373 | |||||||||
Payables to brokers, dealers and clearing organizations | 68,533 | 7,862 | |||||||||
Total accounts payable and accrued liabilities | 77,288 | 10,193 | |||||||||
Derivative liabilities | 6,649 | 41,470 | |||||||||
Deferred taxes, net | — | 4,557 | |||||||||
Other liabilities | 14,139 | 18,206 | |||||||||
Total liabilities | 9,411,481 | 5,374,915 | |||||||||
Shareholder’s Equity | |||||||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||||||
Additional paid-in capital | 481,667 | 302,709 | |||||||||
Retained earnings: | |||||||||||
Appropriated for pre-declared additional credits and interest | 15,960 | — | |||||||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||||||
Unappropriated | 30,686 | 70 | |||||||||
Accumulated other comprehensive income (loss), net of tax | (115,345) | 15,736 | |||||||||
Total shareholder’s equity | 414,483 | 320,030 | |||||||||
Total liabilities and shareholder’s equity | $ | 9,825,964 | $ | 5,694,945 |
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, 2020 | 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 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 57,834 | — | 57,834 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (131,081) | (131,081) | |||||||||||||||||||||||||||||||||||||||
Transfer to appropriated from unappropriated | — | — | — | 15,960 | — | (15,960) | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (11,258) | — | (11,258) | |||||||||||||||||||||||||||||||||||||||
Return of capital to parent | — | — | (7,042) | — | — | — | — | (7,042) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 186,000 | — | — | — | — | 186,000 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2022 | 150,000 | $ | 1,500 | $ | 481,667 | $ | 15,960 | $ | 15 | $ | 30,686 | $ | (115,345) | $ | 414,483 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Cash Flows from Operating Activities | |||||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||||||||
Amortization of premiums, accretion of discounts, net | (22,512) | 2,382 | (8,838) | ||||||||||||||
Deferred income tax expense (benefit) | (927) | 1,657 | 2,626 | ||||||||||||||
Net realized (gain) loss on Available-for-Sale securities | (19) | (1,093) | (2,950) | ||||||||||||||
Other net realized (gain) loss | 45 | 167 | 662 | ||||||||||||||
Provision for credit losses | (46) | (1,672) | 939 | ||||||||||||||
Changes in operating assets and liabilities: | |||||||||||||||||
Dividends and interest receivable | (9,486) | 4,560 | 25,092 | ||||||||||||||
Certificate reserves, net | 8,309 | (3,032) | (4,999) | ||||||||||||||
Taxes payable to/receivable from parent, net | 5,385 | (487) | 1,277 | ||||||||||||||
Derivatives, net of collateral | (492) | 224 | 7 | ||||||||||||||
Other liabilities | (3,047) | (7,237) | (13,453) | ||||||||||||||
Other receivables | 332 | (43) | (142) | ||||||||||||||
Payables to brokers, dealers and clearing organizations | 33,939 | — | — | ||||||||||||||
Other, net | 1,165 | 1,055 | (1,936) | ||||||||||||||
Net cash provided by (used in) operating activities | 70,480 | 21,727 | 27,745 | ||||||||||||||
Cash Flows from Investing Activities | |||||||||||||||||
Available-for-Sale securities: | |||||||||||||||||
Maturities, redemptions and calls | 3,657,184 | 4,637,978 | 4,779,020 | ||||||||||||||
Purchases | (7,426,951) | (3,015,291) | (3,798,529) | ||||||||||||||
Commercial mortgage loans and syndicated loans: | |||||||||||||||||
Sales, maturities and repayments | 53,550 | 74,945 | 40,759 | ||||||||||||||
Purchases and fundings | (35,505) | (26,486) | (41,761) | ||||||||||||||
Equity securities: | |||||||||||||||||
Sales | — | 48 | 113 | ||||||||||||||
Certificate loans, net | 11 | 129 | 4 | ||||||||||||||
Net cash provided by (used in) investing activities | (3,751,711) | 1,671,323 | 979,606 | ||||||||||||||
Cash Flows from Financing Activities | |||||||||||||||||
Payments from certificate holders and other additions | 8,343,118 | 2,733,012 | 4,259,469 | ||||||||||||||
Certificate maturities and cash surrenders | (4,338,511) | (4,189,922) | (5,016,362) | ||||||||||||||
Receipt of capital from parent | 186,000 | — | 10,000 | ||||||||||||||
Dividend to parent | (11,258) | (70,009) | (82,000) | ||||||||||||||
Return of capital to parent | (7,042) | (38,991) | — | ||||||||||||||
Net cash provided by (used in) financing activities | 4,172,307 | (1,565,910) | (828,893) | ||||||||||||||
Net increase (decrease) in cash and cash equivalents | 491,076 | 127,140 | 178,458 | ||||||||||||||
Cash and cash equivalents at beginning of period | 689,792 | 562,652 | 384,194 | ||||||||||||||
Cash and cash equivalents at end of period | $ | 1,180,868 | $ | 689,792 | $ | 562,652 | |||||||||||
Supplemental disclosures including non-cash transactions: | |||||||||||||||||
Cash paid (received) for income taxes | $ | 13,684 | $ | 7,054 | $ | 5,558 | |||||||||||
Cash paid for interest | 45,485 | 14,721 | 63,532 |
December 31, 2022 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 212 | $ | 130 | $ | 82 | |||||||||||
Texas and Illinois (at par value) | 360 | 150 | 210 | ||||||||||||||
Custodian (at amortized cost) | 9,886,405 | 9,313,729 | 572,676 | ||||||||||||||
Total | $ | 9,886,977 | $ | 9,314,009 | $ | 572,968 |
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 (at amortized cost) | 5,603,782 | 5,301,158 | 302,624 | ||||||||||||||
Total | $ | 5,604,188 | $ | 5,301,438 | $ | 302,750 |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands) | |||||||||||
Available-for-Sale securities: Fixed maturities, at fair value (allowance for credit losses: 2022 and 2021, nil; amortized cost: 2022, $8,523,011; 2021, $4,710,303) | $ | 8,368,916 | $ | 4,728,811 | |||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2022, $1,472; 2021, $1,518; fair value: 2022, $195,252; 2021, $223,495) | 204,493 | 221,569 | |||||||||
Certificate loans — secured by certificate reserves, at cost, which approximates fair value | 72 | 83 | |||||||||
Total | $ | 8,573,481 | $ | 4,950,463 |
Description of Securities | December 31, 2022 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Corporate debt securities | $ | 800,596 | $ | 497 | $ | (8,151) | $ | 792,942 | ||||||||||||||||||||||||
Residential mortgage backed securities | 2,210,633 | 4,202 | (114,971) | 2,099,864 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,976,401 | 872 | (28,521) | 1,948,752 | ||||||||||||||||||||||||||||
Asset backed securities | 1,463,147 | 2,599 | (10,474) | 1,455,272 | ||||||||||||||||||||||||||||
State and municipal obligations | 9,451 | — | (296) | 9,155 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 2,062,783 | 819 | (671) | 2,062,931 | ||||||||||||||||||||||||||||
Total | $ | 8,523,011 | $ | 8,989 | $ | (163,084) | $ | 8,368,916 |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Corporate debt securities | $ | 51,201 | $ | 849 | $ | — | $ | 52,050 | ||||||||||||||||||||||||
Residential mortgage backed securities | 1,680,371 | 15,708 | (2,531) | 1,693,548 | ||||||||||||||||||||||||||||
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 |
Ratings | December 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||
Amortized Cost | Fair Value | Percent of Total Fair Value | Amortized Cost | Fair Value | Percent of Total Fair Value | |||||||||||||||||||||||||||||||||
(in thousands, except percentages) | ||||||||||||||||||||||||||||||||||||||
AAA | $ | 7,504,912 | $ | 7,361,766 | 88 | % | $ | 4,556,729 | $ | 4,570,394 | 97 | % | ||||||||||||||||||||||||||
AA | 104,049 | 100,303 | 1 | 54,137 | 55,093 | 1 | ||||||||||||||||||||||||||||||||
A | 165,663 | 164,265 | 2 | 72,913 | 75,140 | 2 | ||||||||||||||||||||||||||||||||
BBB | 732,811 | 727,450 | 9 | 20,442 | 22,061 | — | ||||||||||||||||||||||||||||||||
Below investment grade | 15,576 | 15,132 | — | 6,082 | 6,123 | — | ||||||||||||||||||||||||||||||||
Total fixed maturities | $ | 8,523,011 | $ | 8,368,916 | 100 | % | $ | 4,710,303 | $ | 4,728,811 | 100 | % |
Description of Securities | December 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | 48 | $ | 598,028 | $ | (8,151) | — | $ | — | $ | — | 48 | $ | 598,028 | $ | (8,151) | |||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 208 | 1,609,795 | (83,810) | 78 | 253,759 | (31,161) | 286 | 1,863,554 | (114,971) | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 64 | 1,396,001 | (16,637) | 21 | 379,588 | (11,884) | 85 | 1,775,589 | (28,521) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 42 | 816,065 | (8,671) | 5 | 87,706 | (1,803) | 47 | 903,771 | (10,474) | |||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | 7 | 8,251 | (200) | 1 | 904 | (96) | 8 | 9,155 | (296) | |||||||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | 11 | 559,320 | (671) | — | — | — | 11 | 559,320 | (671) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 380 | $ | 4,987,460 | $ | (118,140) | 105 | $ | 721,957 | $ | (44,944) | 485 | $ | 5,709,417 | $ | (163,084) |
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) |
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, 2020 | $ | 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) | (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 (2) | (1,093) | 230 | (863) | |||||||||||||||||
Balance at December 31, 2021 | 18,509 | (2,773) | 15,736 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | (172,584) | 41,518 | (131,066) | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income (2) | (19) | 4 | (15) | |||||||||||||||||
Balance at December 31, 2022 | $ | (154,094) | $ | 38,749 | $ | (115,345) |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Gross realized gains | $ | 19 | $ | 1,132 | $ | 2,950 | |||||||||||
Gross realized losses | — | (39) | — | ||||||||||||||
Total | $ | 19 | $ | 1,093 | $ | 2,950 |
Amortized Cost | Fair Value | ||||||||||
(in thousands) | |||||||||||
Due within one year | $ | 2,148,158 | $ | 2,147,363 | |||||||
Due after one year through five years | 724,466 | 717,453 | |||||||||
Due after five years through 10 years | 206 | 212 | |||||||||
2,872,830 | 2,865,028 | ||||||||||
Residential mortgage backed securities | 2,210,633 | 2,099,864 | |||||||||
Commercial mortgage backed securities | 1,976,401 | 1,948,752 | |||||||||
Asset backed securities | 1,463,147 | 1,455,272 | |||||||||
Total | $ | 8,523,011 | $ | 8,368,916 |
Commercial Loans | |||||
(in thousands) | |||||
Balance at December 31, 2019 (1) | $ | 3,022 | |||
Cumulative effect of adoption of current expected credit losses guidance | (771) | ||||
Balance at January 1, 2020 | 2,251 | ||||
Provisions | 939 | ||||
Balance at December 31, 2020 | 3,190 | ||||
Provisions | (1,672) | ||||
Balance at December 31, 2021 | 1,518 | ||||
Provisions | (46) | ||||
Balance at December 31, 2022 | $ | 1,472 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | 3,211 | $ | — | $ | 3,211 | ||||||||||||||||||||||||||||||
80% - 100% | 5,500 | — | — | — | — | — | 5,500 | |||||||||||||||||||||||||||||||||||||
60% - 80% | — | 1,727 | — | — | — | 3,411 | 5,138 | |||||||||||||||||||||||||||||||||||||
40% - 60% | — | 4,963 | 4,062 | 10,630 | 2,570 | 8,299 | 30,524 | |||||||||||||||||||||||||||||||||||||
< 40% | 1,628 | 4,544 | 3,000 | 3,646 | 6,589 | 38,834 | 58,241 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,128 | $ | 11,234 | $ | 7,062 | $ | 14,276 | $ | 12,370 | $ | 50,544 | $ | 102,614 |
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 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
East North Central | $ | 9,116 | $ | 11,166 | 9 | % | 10 | % | |||||||||||||||
East South Central | 2,239 | 2,939 | 2 | 3 | |||||||||||||||||||
Middle Atlantic | 14,640 | 15,581 | 14 | 13 | |||||||||||||||||||
Mountain | 9,135 | 7,567 | 9 | 6 | |||||||||||||||||||
New England | 6,542 | 6,766 | 6 | 6 | |||||||||||||||||||
Pacific | 36,432 | 37,881 | 36 | 32 | |||||||||||||||||||
South Atlantic | 12,003 | 19,574 | 12 | 17 | |||||||||||||||||||
West North Central | 4,215 | 5,893 | 4 | 5 | |||||||||||||||||||
West South Central | 8,292 | 9,073 | 8 | 8 | |||||||||||||||||||
102,614 | 116,440 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 451 | 493 | |||||||||||||||||||||
Total | $ | 102,163 | $ | 115,947 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Apartments | $ | 29,969 | $ | 32,457 | 29 | % | 28 | % | |||||||||||||||
Industrial | 25,668 | 25,738 | 25 | 22 | |||||||||||||||||||
Mixed use | 10,658 | 10,938 | 11 | 10 | |||||||||||||||||||
Office | 16,293 | 16,470 | 16 | 14 | |||||||||||||||||||
Retail | 17,592 | 28,026 | 17 | 24 | |||||||||||||||||||
Hotel | — | 114 | — | — | |||||||||||||||||||
Other | 2,434 | 2,697 | 2 | 2 | |||||||||||||||||||
102,614 | 116,440 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 451 | 493 | |||||||||||||||||||||
Total | $ | 102,163 | $ | 115,947 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | 1,132 | $ | — | $ | — | $ | — | $ | 337 | $ | — | $ | 1,469 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | — | 1,937 | — | 1,786 | 3,723 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | 3,561 | 717 | 3,058 | 4,740 | 6,859 | 18,935 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 2,948 | 7,993 | 5,387 | 6,813 | 5,284 | 16,242 | 44,667 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 3,342 | 4,423 | 2,556 | 3,467 | 7,880 | 12,889 | 34,557 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,422 | $ | 15,977 | $ | 8,660 | $ | 15,275 | $ | 18,241 | $ | 37,776 | $ | 103,351 |
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, 2022 | |||||||||||||||||
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) | $ | 8,413 | 4.09 | % | 4.09 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 4,032 | 3.22 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 9,079,145 | 2.97 | % | 2.97 | % | ||||||||||||
Equity indexed (2) | 210,303 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 17 | 3.07 | % | — | |||||||||||||
Without guaranteed rates (1) | 11,062 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 433 | N/A | N/A | ||||||||||||||
Total | $ | 9,313,405 |
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, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands) | |||||||||||
Reserves with terms of one year or less | $ | 8,927,109 | $ | 5,131,740 | |||||||
Other | 386,296 | 168,749 | |||||||||
Total certificate reserves | 9,313,405 | 5,300,489 | |||||||||
Unapplied certificate transactions | 6,858 | 467 | |||||||||
Certificate loans and accrued interest | (73) | (85) | |||||||||
Total | $ | 9,320,190 | $ | 5,300,871 |
December 31, 2022 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 1,159,470 | $ | — | $ | 1,159,470 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Corporate debt securities | — | 783,289 | 9,653 | 792,942 | |||||||||||||||||||
Residential mortgage backed securities | — | 2,099,864 | — | 2,099,864 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,948,752 | — | 1,948,752 | |||||||||||||||||||
Asset backed securities | — | 1,450,381 | 4,891 | 1,455,272 | |||||||||||||||||||
State and municipal obligations | — | 9,155 | — | 9,155 | |||||||||||||||||||
U.S. government and agency obligations | 2,062,931 | — | — | 2,062,931 | |||||||||||||||||||
Total Available-for-Sale securities | 2,062,931 | 6,291,441 | 14,544 | 8,368,916 | |||||||||||||||||||
Equity derivative contracts | — | 8,786 | — | 8,786 | |||||||||||||||||||
Total assets at fair value | $ | 2,062,931 | $ | 7,459,697 | $ | 14,544 | $ | 9,537,172 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 3,572 | $ | — | $ | 3,572 | |||||||||||||||
Equity derivative contracts | 8 | 6,641 | — | 6,649 | |||||||||||||||||||
Total liabilities at fair value | $ | 8 | $ | 10,213 | $ | — | $ | 10,221 |
December 31, 2021 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 672,275 | $ | — | $ | 672,275 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Corporate debt securities | — | 46,046 | 6,004 | 52,050 | |||||||||||||||||||
Residential mortgage backed securities | — | 1,693,548 | — | 1,693,548 | |||||||||||||||||||
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, 2019 | |||||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
(in thousands) | |||||||||||||||||||
Financial Assets | |||||||||||||||||||
Syndicated loans | $ | 146,819 | $ | — | $ | 140,294 | $ | 6,287 | $ | 146,581 | |||||||||
Commercial mortgage loans | 123,040 | — | — | 125,873 | 125,873 | ||||||||||||||
Certificate loans | 216 | — | 216 | — | 216 | ||||||||||||||
Financial Liabilities | |||||||||||||||||||
Certificate reserves | $ | 7,508,362 | $ | — | $ | — | $ | 7,497,180 | $ | 7,497,180 |
December 31, 2018 | |||||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
(in thousands) | |||||||||||||||||||
Financial Assets | |||||||||||||||||||
Syndicated loans | $ | 147,744 | $ | — | $ | 130,007 | $ | 11,444 | $ | 141,451 | |||||||||
Commercial mortgage loans | 112,434 | — | — | 111,768 | 111,768 | ||||||||||||||
Certificate loans | 243 | — | 243 | — | 243 | ||||||||||||||
Financial Liabilities | |||||||||||||||||||
Certificate reserves | $ | 7,885,819 | $ | — | $ | — | $ | 7,844,724 | $ | 7,844,724 |
Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
Corporate Debt Securities | Residential Mortgage Backed Securities | Asset Backed Securities | Total | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Balance at January 1, 2022 | $ | 6,004 | $ | — | $ | 4,891 | $ | 10,895 | ||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||
Net income | 45 | — | 38 | 83 | (1) | |||||||||||||||||||||||||||
Other comprehensive income (loss) | (214) | (504) | (193) | (911) | ||||||||||||||||||||||||||||
Purchases | 9,818 | 99,956 | 17,582 | 127,356 | ||||||||||||||||||||||||||||
Settlements | (6,000) | — | — | (6,000) | ||||||||||||||||||||||||||||
Transfers out of Level 3 | — | (99,452) | (17,427) | (116,879) | ||||||||||||||||||||||||||||
Balance at December 31, 2022 | $ | 9,653 | $ | — | $ | 4,891 | $ | 14,544 | ||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2022 | $ | 45 | $ | — | $ | 38 | $ | 83 | (1) | |||||||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2022 | $ | (212) | $ | — | $ | (38) | $ | (250) |
Available-for-Sale Securities | ||||||||||||||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance at 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 at 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 at 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 at 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 | $ | — |
December 31, 2019 | |||||||||||||||||||||||
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 | $ | 56,038 | $ | — | $ | 56,038 | $ | (43,598 | ) | $ | (12,185 | ) | $ | 255 | |||||||||
Exchange-traded | 6 | — | 6 | — | — | 6 | |||||||||||||||||
Total | $ | 56,044 | $ | — | $ | 56,044 | $ | (43,598 | ) | $ | (12,185 | ) | $ | 261 |
December 31, 2018 | |||||||||||||||||||||||
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 | $ | 13,173 | $ | — | $ | 13,173 | $ | (8,209 | ) | $ | (4,553 | ) | $ | 411 | |||||||||
Exchange-traded | 6 | — | 6 | — | — | 6 | |||||||||||||||||
Total | $ | 13,179 | $ | — | $ | 13,179 | $ | (8,209 | ) | $ | (4,553 | ) | $ | 417 |
December 31, 2022 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 9,650 | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.1% | 1.1% |
December 31, 2019 | |||||||||||||||||||||||
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 | $ | 43,598 | $ | — | $ | 43,598 | $ | (43,598 | ) | $ | — | $ | — | ||||||||||
Total | $ | 43,598 | $ | — | $ | 43,598 | $ | (43,598 | ) | $ | — | $ | — |
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, 2018 | |||||||||||||||||||||||
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 | $ | 8,209 | $ | — | $ | 8,209 | $ | (8,209 | ) | $ | — | $ | — | ||||||||||
Total | $ | 8,209 | $ | — | $ | 8,209 | $ | (8,209 | ) | $ | — | $ | — |
December 31, 2019 | December 31, 2018 | ||||||||||||||||||||||
Notional | Gross Fair Value | Notional | Gross Fair Value | ||||||||||||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | |||||||||||||||||||||||
Equity contracts (1) | $ | 742,387 | $ | 56,044 | $ | 43,598 | $ | 828,182 | $ | 13,179 | $ | 8,209 | |||||||||||
Embedded derivatives | |||||||||||||||||||||||
Stock market certificates (2) | N/A | — | 13,961 | N/A | — | 6,145 | |||||||||||||||||
Total derivatives | $ | 742,387 | $ | 56,044 | $ | 57,559 | $ | 828,182 | $ | 13,179 | $ | 14,354 |
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, | ||||||||||||||
2019 | 2018 | 2017 | ||||||||||||
(in thousands) | ||||||||||||||
Equity contracts | ||||||||||||||
Stock market certificates | Net provision for certificate reserves | $ | 10,743 | $ | (3,645 | ) | $ | 4,166 | ||||||
Stock market certificates embedded derivatives | Net provision for certificate reserves | (9,317 | ) | (1) | 4,027 | (4,174 | ) | |||||||
Total | $ | 1,426 | $ | 382 | $ | (8 | ) |
(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, 2022. | ||||||||
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 November 2022. | ||||||||
Code of Ethics under Rule 17j-1 for Registrant’s underwriter, as revised January 1, 2023. | ||||||||
24* | Directors’ Power of Attorney, dated February 13, 2023 and February 16, 2023. | |||||||
31.1* | Certification of Abu M. Arif, Chief Executive Officer, pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
31.2* | Certification of James R. Hill, Chief Financial Officer, pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. | |||||||
32* | Certification of Abu M. Arif, Chief Executive Officer and James R. Hill, Chief Financial Officer 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 23, 2023 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 23, 2023 | By | /s/ Abu M. Arif | ||||||||
Abu M. Arif Director, President and Chief Executive Officer (Principal Executive Officer) |
Date: | February 23, 2023 | By | /s/ James R. Hill | ||||||||
James R. Hill Vice President and Chief Financial Officer (Principal Financial Officer) |
Date: | February 23, 2023 | By | /s/ Brian L. Granger | ||||||||
Brian L. Granger Vice President, Controller and Chief Accounting Officer |
Date: | February 23, 2023 | By | /s/ Ronald L. Guzior* | ||||||||
Ronald L. Guzior Director |
Date: | February 23, 2023 | By | /s/ Karen M. Bohn* | ||||||||
Karen M. Bohn Director |
Date: | February 23, 2023 | By | /s/ Lorna P. Gleason* | ||||||||
Lorna P. Gleason Director |
Date: | February 23, 2023 | 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-12 | |||||||||||
F-13 | |||||||||||
F-16 | |||||||||||
F-19 | |||||||||||
F-20 | |||||||||||
F-20 | |||||||||||
F-21 | |||||||||||
F-26 | |||||||||||
F-28 | |||||||||||
F-29 | |||||||||||
F-30 | |||||||||||
Part II. Consolidated Financial Schedules | |||||||||||
I. Investments in Securities of Unaffiliated Issuers — December 31, 2022 and 2021 | F-31 | ||||||||||
III. Mortgage Loans on Real Estate and Interest Earned on Mortgages — Years Ended December 31, 2022, 2021 and 2020 | F-74 | ||||||||||
V. Qualified Assets on Deposit — December 31, 2022 and 2021 | F-81 | ||||||||||
VI. Certificate Reserves — Years Ended December 31, 2022, 2021 and 2020 | F-82 | ||||||||||
VII. Valuation and Qualifying Accounts — Years Ended December 31, 2022, 2021 and 2020 | F-100 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Investment Income: | |||||||||||||||||
Interest income: | |||||||||||||||||
Available-for-Sale securities | $ | 135,500 | $ | 59,409 | $ | 123,900 | |||||||||||
Commercial mortgage loans and syndicated loans | 8,286 | 8,116 | 9,780 | ||||||||||||||
Cash and cash equivalents | 15,124 | 612 | 2,289 | ||||||||||||||
Certificate loans | 4 | 8 | 12 | ||||||||||||||
Dividends | — | 1 | — | ||||||||||||||
Other | 182 | 394 | 205 | ||||||||||||||
Total investment income | 159,096 | 68,540 | 136,186 | ||||||||||||||
Investment Expenses: | |||||||||||||||||
Ameriprise Financial and affiliated company fees: | |||||||||||||||||
Distribution | 8,868 | 6,805 | 16,778 | ||||||||||||||
Investment advisory and services | 13,138 | 13,790 | 16,672 | ||||||||||||||
Transfer agent | 6,218 | 6,957 | 8,390 | ||||||||||||||
Depository | 73 | 90 | 94 | ||||||||||||||
Other | 444 | 717 | 485 | ||||||||||||||
Total investment expenses | 28,741 | 28,359 | 42,419 | ||||||||||||||
Net investment income before provision for certificate reserves and income taxes | 130,355 | 40,181 | 93,767 | ||||||||||||||
Provision for Certificate Reserves: | |||||||||||||||||
According to the terms of the certificates: | |||||||||||||||||
Provision for certificate reserves | 206 | 249 | 417 | ||||||||||||||
Interest on additional credits | 1 | 1 | 1 | ||||||||||||||
Additional credits/interest authorized by ACC | 54,167 | 10,031 | 56,845 | ||||||||||||||
Total provision for certificate reserves before reserve recoveries | 54,374 | 10,281 | 57,263 | ||||||||||||||
Reserve recoveries from terminations prior to maturity | (869) | (760) | (874) | ||||||||||||||
Net provision for certificate reserves | 53,505 | 9,521 | 56,389 | ||||||||||||||
Net investment income before income taxes | 76,850 | 30,660 | 37,378 | ||||||||||||||
Income tax expense | 19,032 | 7,467 | 8,984 | ||||||||||||||
Net investment income, after-tax | 57,818 | 23,193 | 28,394 | ||||||||||||||
Net realized gain (loss) on investments: | |||||||||||||||||
Securities of unaffiliated issuers before income taxes | 20 | 2,598 | 1,349 | ||||||||||||||
Income tax expense (benefit) | 4 | 545 | 283 | ||||||||||||||
Net realized gain (loss) on investments, after-tax | 16 | 2,053 | 1,066 | ||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 | |||||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||
Net unrealized gains (losses) on securities: | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period | (131,066) | (16,097) | 22,763 | ||||||||||||||
Reclassification of net (gains) losses on securities included in net income | (15) | (863) | (2,330) | ||||||||||||||
Total other comprehensive income (loss), net of tax | (131,081) | (16,960) | 20,433 | ||||||||||||||
Total comprehensive income (loss) | $ | (73,247) | $ | 8,286 | $ | 49,893 |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands, except share data) | |||||||||||
ASSETS | |||||||||||
Qualified Assets | |||||||||||
Investments in unaffiliated issuers: | |||||||||||
Cash and cash equivalents | $ | 1,180,868 | $ | 689,792 | |||||||
Available-for-Sale securities: | |||||||||||
Fixed maturities, at fair value (amortized cost: 2022, $8,523,011; 2021, $4,710,303) | 8,368,916 | 4,728,811 | |||||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2022, $1,472; 2021, $1,518; fair value: 2022, $195,252; 2021, $223,495) | 204,493 | 221,569 | |||||||||
Certificate loans – secured by certificate reserves, at cost, which approximates fair value | 72 | 83 | |||||||||
Total investments | 9,754,349 | 5,640,255 | |||||||||
Receivables: | |||||||||||
Dividends and interest | 22,052 | 5,159 | |||||||||
Receivables from brokers, dealers and clearing organizations | 2,814 | 4,920 | |||||||||
Other receivables | 71 | 403 | |||||||||
Total receivables | 24,937 | 10,482 | |||||||||
Derivative assets | 8,786 | 44,135 | |||||||||
Total qualified assets | 9,788,072 | 5,694,872 | |||||||||
Other Assets: | |||||||||||
Deferred taxes, net | 37,892 | — | |||||||||
Taxes receivable from parent | — | 50 | |||||||||
Due from related party | — | 23 | |||||||||
Total other assets | 37,892 | 73 | |||||||||
Total assets | $ | 9,825,964 | $ | 5,694,945 |
Consolidated Balance Sheets (continued) | |||||||||||
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands, except share data) | |||||||||||
LIABILITIES AND SHAREHOLDER’S EQUITY | |||||||||||
Liabilities | |||||||||||
Certificate reserves | |||||||||||
Installment certificates: | |||||||||||
Reserves to mature | $ | 8,413 | $ | 6,112 | |||||||
Fully paid certificates: | |||||||||||
Reserves to mature | 9,293,480 | 5,290,301 | |||||||||
Additional credits and accrued interest | 11,079 | 3,647 | |||||||||
Due to unlocated certificate holders | 433 | 429 | |||||||||
Total certificate reserves | 9,313,405 | 5,300,489 | |||||||||
Accounts payable and accrued liabilities: | |||||||||||
Due to related party | 3,047 | 1,958 | |||||||||
Taxes payable to parent | 5,708 | 373 | |||||||||
Payables to brokers, dealers and clearing organizations | 68,533 | 7,862 | |||||||||
Total accounts payable and accrued liabilities | 77,288 | 10,193 | |||||||||
Derivative liabilities | 6,649 | 41,470 | |||||||||
Deferred taxes, net | — | 4,557 | |||||||||
Other liabilities | 14,139 | 18,206 | |||||||||
Total liabilities | 9,411,481 | 5,374,915 | |||||||||
Shareholder’s Equity | |||||||||||
Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 | 1,500 | |||||||||
Additional paid-in capital | 481,667 | 302,709 | |||||||||
Retained earnings: | |||||||||||
Appropriated for pre-declared additional credits and interest | 15,960 | — | |||||||||
Appropriated for additional interest on advance payments | 15 | 15 | |||||||||
Unappropriated | 30,686 | 70 | |||||||||
Accumulated other comprehensive income (loss), net of tax | (115,345) | 15,736 | |||||||||
Total shareholder’s equity | 414,483 | 320,030 | |||||||||
Total liabilities and shareholder’s equity | $ | 9,825,964 | $ | 5,694,945 |
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, 2020 | 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 | |||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | 57,834 | — | 57,834 | |||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | — | — | — | — | — | — | (131,081) | (131,081) | |||||||||||||||||||||||||||||||||||||||
Transfer to appropriated from unappropriated | — | — | — | 15,960 | — | (15,960) | — | — | |||||||||||||||||||||||||||||||||||||||
Dividend to parent | — | — | — | — | — | (11,258) | — | (11,258) | |||||||||||||||||||||||||||||||||||||||
Return of capital to parent | — | — | (7,042) | — | — | — | — | (7,042) | |||||||||||||||||||||||||||||||||||||||
Receipt of capital from parent | — | — | 186,000 | — | — | — | — | 186,000 | |||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2022 | 150,000 | $ | 1,500 | $ | 481,667 | $ | 15,960 | $ | 15 | $ | 30,686 | $ | (115,345) | $ | 414,483 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Cash Flows from Operating Activities | |||||||||||||||||
Net income | $ | 57,834 | $ | 25,246 | $ | 29,460 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||||||||
Amortization of premiums, accretion of discounts, net | (22,512) | 2,382 | (8,838) | ||||||||||||||
Deferred income tax expense (benefit) | (927) | 1,657 | 2,626 | ||||||||||||||
Net realized (gain) loss on Available-for-Sale securities | (19) | (1,093) | (2,950) | ||||||||||||||
Other net realized (gain) loss | 45 | 167 | 662 | ||||||||||||||
Provision for credit losses | (46) | (1,672) | 939 | ||||||||||||||
Changes in operating assets and liabilities: | |||||||||||||||||
Dividends and interest receivable | (9,486) | 4,560 | 25,092 | ||||||||||||||
Certificate reserves, net | 8,309 | (3,032) | (4,999) | ||||||||||||||
Taxes payable to/receivable from parent, net | 5,385 | (487) | 1,277 | ||||||||||||||
Derivatives, net of collateral | (492) | 224 | 7 | ||||||||||||||
Other liabilities | (3,047) | (7,237) | (13,453) | ||||||||||||||
Other receivables | 332 | (43) | (142) | ||||||||||||||
Payables to brokers, dealers and clearing organizations | 33,939 | — | — | ||||||||||||||
Other, net | 1,165 | 1,055 | (1,936) | ||||||||||||||
Net cash provided by (used in) operating activities | 70,480 | 21,727 | 27,745 | ||||||||||||||
Cash Flows from Investing Activities | |||||||||||||||||
Available-for-Sale securities: | |||||||||||||||||
Maturities, redemptions and calls | 3,657,184 | 4,637,978 | 4,779,020 | ||||||||||||||
Purchases | (7,426,951) | (3,015,291) | (3,798,529) | ||||||||||||||
Commercial mortgage loans and syndicated loans: | |||||||||||||||||
Sales, maturities and repayments | 53,550 | 74,945 | 40,759 | ||||||||||||||
Purchases and fundings | (35,505) | (26,486) | (41,761) | ||||||||||||||
Equity securities: | |||||||||||||||||
Sales | — | 48 | 113 | ||||||||||||||
Certificate loans, net | 11 | 129 | 4 | ||||||||||||||
Net cash provided by (used in) investing activities | (3,751,711) | 1,671,323 | 979,606 | ||||||||||||||
Cash Flows from Financing Activities | |||||||||||||||||
Payments from certificate holders and other additions | 8,343,118 | 2,733,012 | 4,259,469 | ||||||||||||||
Certificate maturities and cash surrenders | (4,338,511) | (4,189,922) | (5,016,362) | ||||||||||||||
Receipt of capital from parent | 186,000 | — | 10,000 | ||||||||||||||
Dividend to parent | (11,258) | (70,009) | (82,000) | ||||||||||||||
Return of capital to parent | (7,042) | (38,991) | — | ||||||||||||||
Net cash provided by (used in) financing activities | 4,172,307 | (1,565,910) | (828,893) | ||||||||||||||
Net increase (decrease) in cash and cash equivalents | 491,076 | 127,140 | 178,458 | ||||||||||||||
Cash and cash equivalents at beginning of period | 689,792 | 562,652 | 384,194 | ||||||||||||||
Cash and cash equivalents at end of period | $ | 1,180,868 | $ | 689,792 | $ | 562,652 | |||||||||||
Supplemental disclosures including non-cash transactions: | |||||||||||||||||
Cash paid (received) for income taxes | $ | 13,684 | $ | 7,054 | $ | 5,558 | |||||||||||
Cash paid for interest | 45,485 | 14,721 | 63,532 |
December 31, 2022 | |||||||||||||||||
Deposits | Required Deposits | Excess | |||||||||||||||
(in thousands) | |||||||||||||||||
Deposits to meet certificate liability requirements: | |||||||||||||||||
Pennsylvania and New Jersey (at market value) | $ | 212 | $ | 130 | $ | 82 | |||||||||||
Texas and Illinois (at par value) | 360 | 150 | 210 | ||||||||||||||
Custodian (at amortized cost) | 9,886,405 | 9,313,729 | 572,676 | ||||||||||||||
Total | $ | 9,886,977 | $ | 9,314,009 | $ | 572,968 |
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 (at amortized cost) | 5,603,782 | 5,301,158 | 302,624 | ||||||||||||||
Total | $ | 5,604,188 | $ | 5,301,438 | $ | 302,750 |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands) | |||||||||||
Available-for-Sale securities: Fixed maturities, at fair value (allowance for credit losses: 2022 and 2021, nil; amortized cost: 2022, $8,523,011; 2021, $4,710,303) | $ | 8,368,916 | $ | 4,728,811 | |||||||
Commercial mortgage loans and syndicated loans, at cost (allowance for credit losses: 2022, $1,472; 2021, $1,518; fair value: 2022, $195,252; 2021, $223,495) | 204,493 | 221,569 | |||||||||
Certificate loans — secured by certificate reserves, at cost, which approximates fair value | 72 | 83 | |||||||||
Total | $ | 8,573,481 | $ | 4,950,463 |
Description of Securities | December 31, 2022 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Corporate debt securities | $ | 800,596 | $ | 497 | $ | (8,151) | $ | 792,942 | ||||||||||||||||||||||||
Residential mortgage backed securities | 2,210,633 | 4,202 | (114,971) | 2,099,864 | ||||||||||||||||||||||||||||
Commercial mortgage backed securities | 1,976,401 | 872 | (28,521) | 1,948,752 | ||||||||||||||||||||||||||||
Asset backed securities | 1,463,147 | 2,599 | (10,474) | 1,455,272 | ||||||||||||||||||||||||||||
State and municipal obligations | 9,451 | — | (296) | 9,155 | ||||||||||||||||||||||||||||
U.S. government and agency obligations | 2,062,783 | 819 | (671) | 2,062,931 | ||||||||||||||||||||||||||||
Total | $ | 8,523,011 | $ | 8,989 | $ | (163,084) | $ | 8,368,916 |
Description of Securities | December 31, 2021 | |||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Corporate debt securities | $ | 51,201 | $ | 849 | $ | — | $ | 52,050 | ||||||||||||||||||||||||
Residential mortgage backed securities | 1,680,371 | 15,708 | (2,531) | 1,693,548 | ||||||||||||||||||||||||||||
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 |
Ratings | December 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||
Amortized Cost | Fair Value | Percent of Total Fair Value | Amortized Cost | Fair Value | Percent of Total Fair Value | |||||||||||||||||||||||||||||||||
(in thousands, except percentages) | ||||||||||||||||||||||||||||||||||||||
AAA | $ | 7,504,912 | $ | 7,361,766 | 88 | % | $ | 4,556,729 | $ | 4,570,394 | 97 | % | ||||||||||||||||||||||||||
AA | 104,049 | 100,303 | 1 | 54,137 | 55,093 | 1 | ||||||||||||||||||||||||||||||||
A | 165,663 | 164,265 | 2 | 72,913 | 75,140 | 2 | ||||||||||||||||||||||||||||||||
BBB | 732,811 | 727,450 | 9 | 20,442 | 22,061 | — | ||||||||||||||||||||||||||||||||
Below investment grade | 15,576 | 15,132 | — | 6,082 | 6,123 | — | ||||||||||||||||||||||||||||||||
Total fixed maturities | $ | 8,523,011 | $ | 8,368,916 | 100 | % | $ | 4,710,303 | $ | 4,728,811 | 100 | % |
Description of Securities | December 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | 48 | $ | 598,028 | $ | (8,151) | — | $ | — | $ | — | 48 | $ | 598,028 | $ | (8,151) | |||||||||||||||||||||||||||||||||||||||||
Residential mortgage backed securities | 208 | 1,609,795 | (83,810) | 78 | 253,759 | (31,161) | 286 | 1,863,554 | (114,971) | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage backed securities | 64 | 1,396,001 | (16,637) | 21 | 379,588 | (11,884) | 85 | 1,775,589 | (28,521) | |||||||||||||||||||||||||||||||||||||||||||||||
Asset backed securities | 42 | 816,065 | (8,671) | 5 | 87,706 | (1,803) | 47 | 903,771 | (10,474) | |||||||||||||||||||||||||||||||||||||||||||||||
State and municipal obligations | 7 | 8,251 | (200) | 1 | 904 | (96) | 8 | 9,155 | (296) | |||||||||||||||||||||||||||||||||||||||||||||||
U.S. government and agency obligations | 11 | 559,320 | (671) | — | — | — | 11 | 559,320 | (671) | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 380 | $ | 4,987,460 | $ | (118,140) | 105 | $ | 721,957 | $ | (44,944) | 485 | $ | 5,709,417 | $ | (163,084) |
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) |
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, 2020 | $ | 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) | (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 (2) | (1,093) | 230 | (863) | |||||||||||||||||
Balance at December 31, 2021 | 18,509 | (2,773) | 15,736 | |||||||||||||||||
Net unrealized gains (losses) on securities arising during the period (1) | (172,584) | 41,518 | (131,066) | |||||||||||||||||
Reclassification of net (gains) losses on securities included in net income (2) | (19) | 4 | (15) | |||||||||||||||||
Balance at December 31, 2022 | $ | (154,094) | $ | 38,749 | $ | (115,345) |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Gross realized gains | $ | 19 | $ | 1,132 | $ | 2,950 | |||||||||||
Gross realized losses | — | (39) | — | ||||||||||||||
Total | $ | 19 | $ | 1,093 | $ | 2,950 |
Amortized Cost | Fair Value | ||||||||||
(in thousands) | |||||||||||
Due within one year | $ | 2,148,158 | $ | 2,147,363 | |||||||
Due after one year through five years | 724,466 | 717,453 | |||||||||
Due after five years through 10 years | 206 | 212 | |||||||||
2,872,830 | 2,865,028 | ||||||||||
Residential mortgage backed securities | 2,210,633 | 2,099,864 | |||||||||
Commercial mortgage backed securities | 1,976,401 | 1,948,752 | |||||||||
Asset backed securities | 1,463,147 | 1,455,272 | |||||||||
Total | $ | 8,523,011 | $ | 8,368,916 |
Commercial Loans | |||||
(in thousands) | |||||
Balance at December 31, 2019 (1) | $ | 3,022 | |||
Cumulative effect of adoption of current expected credit losses guidance | (771) | ||||
Balance at January 1, 2020 | 2,251 | ||||
Provisions | 939 | ||||
Balance at December 31, 2020 | 3,190 | ||||
Provisions | (1,672) | ||||
Balance at December 31, 2021 | 1,518 | ||||
Provisions | (46) | ||||
Balance at December 31, 2022 | $ | 1,472 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
> 100% | $ | — | $ | — | $ | — | $ | — | $ | 3,211 | $ | — | $ | 3,211 | ||||||||||||||||||||||||||||||
80% - 100% | 5,500 | — | — | — | — | — | 5,500 | |||||||||||||||||||||||||||||||||||||
60% - 80% | — | 1,727 | — | — | — | 3,411 | 5,138 | |||||||||||||||||||||||||||||||||||||
40% - 60% | — | 4,963 | 4,062 | 10,630 | 2,570 | 8,299 | 30,524 | |||||||||||||||||||||||||||||||||||||
< 40% | 1,628 | 4,544 | 3,000 | 3,646 | 6,589 | 38,834 | 58,241 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,128 | $ | 11,234 | $ | 7,062 | $ | 14,276 | $ | 12,370 | $ | 50,544 | $ | 102,614 |
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 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
East North Central | $ | 9,116 | $ | 11,166 | 9 | % | 10 | % | |||||||||||||||
East South Central | 2,239 | 2,939 | 2 | 3 | |||||||||||||||||||
Middle Atlantic | 14,640 | 15,581 | 14 | 13 | |||||||||||||||||||
Mountain | 9,135 | 7,567 | 9 | 6 | |||||||||||||||||||
New England | 6,542 | 6,766 | 6 | 6 | |||||||||||||||||||
Pacific | 36,432 | 37,881 | 36 | 32 | |||||||||||||||||||
South Atlantic | 12,003 | 19,574 | 12 | 17 | |||||||||||||||||||
West North Central | 4,215 | 5,893 | 4 | 5 | |||||||||||||||||||
West South Central | 8,292 | 9,073 | 8 | 8 | |||||||||||||||||||
102,614 | 116,440 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 451 | 493 | |||||||||||||||||||||
Total | $ | 102,163 | $ | 115,947 |
Loans | Percentage | ||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Apartments | $ | 29,969 | $ | 32,457 | 29 | % | 28 | % | |||||||||||||||
Industrial | 25,668 | 25,738 | 25 | 22 | |||||||||||||||||||
Mixed use | 10,658 | 10,938 | 11 | 10 | |||||||||||||||||||
Office | 16,293 | 16,470 | 16 | 14 | |||||||||||||||||||
Retail | 17,592 | 28,026 | 17 | 24 | |||||||||||||||||||
Hotel | — | 114 | — | — | |||||||||||||||||||
Other | 2,434 | 2,697 | 2 | 2 | |||||||||||||||||||
102,614 | 116,440 | 100 | % | 100 | % | ||||||||||||||||||
Less: allowance for loan losses | 451 | 493 | |||||||||||||||||||||
Total | $ | 102,163 | $ | 115,947 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Internal Risk Rating | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Total | |||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Risk 5 | $ | 1,132 | $ | — | $ | — | $ | — | $ | 337 | $ | — | $ | 1,469 | ||||||||||||||||||||||||||||||
Risk 4 | — | — | — | 1,937 | — | 1,786 | 3,723 | |||||||||||||||||||||||||||||||||||||
Risk 3 | — | 3,561 | 717 | 3,058 | 4,740 | 6,859 | 18,935 | |||||||||||||||||||||||||||||||||||||
Risk 2 | 2,948 | 7,993 | 5,387 | 6,813 | 5,284 | 16,242 | 44,667 | |||||||||||||||||||||||||||||||||||||
Risk 1 | 3,342 | 4,423 | 2,556 | 3,467 | 7,880 | 12,889 | 34,557 | |||||||||||||||||||||||||||||||||||||
Total | $ | 7,422 | $ | 15,977 | $ | 8,660 | $ | 15,275 | $ | 18,241 | $ | 37,776 | $ | 103,351 |
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, 2022 | |||||||||||||||||
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) | $ | 8,413 | 4.09 | % | 4.09 | % | |||||||||||
Fully paid certificates: | |||||||||||||||||
Reserves to mature: | |||||||||||||||||
With guaranteed rates | 4,032 | 3.22 | % | 0.01 | % | ||||||||||||
Without guaranteed rates (1) | 9,079,145 | 2.97 | % | 2.97 | % | ||||||||||||
Equity indexed (2) | 210,303 | N/A | N/A | ||||||||||||||
Additional credits and accrued interest: | |||||||||||||||||
With guaranteed rates | 17 | 3.07 | % | — | |||||||||||||
Without guaranteed rates (1) | 11,062 | N/A | N/A | ||||||||||||||
Due to unlocated certificate holders | 433 | N/A | N/A | ||||||||||||||
Total | $ | 9,313,405 |
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, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands) | |||||||||||
Reserves with terms of one year or less | $ | 8,927,109 | $ | 5,131,740 | |||||||
Other | 386,296 | 168,749 | |||||||||
Total certificate reserves | 9,313,405 | 5,300,489 | |||||||||
Unapplied certificate transactions | 6,858 | 467 | |||||||||
Certificate loans and accrued interest | (73) | (85) | |||||||||
Total | $ | 9,320,190 | $ | 5,300,871 |
December 31, 2022 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 1,159,470 | $ | — | $ | 1,159,470 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Corporate debt securities | — | 783,289 | 9,653 | 792,942 | |||||||||||||||||||
Residential mortgage backed securities | — | 2,099,864 | — | 2,099,864 | |||||||||||||||||||
Commercial mortgage backed securities | — | 1,948,752 | — | 1,948,752 | |||||||||||||||||||
Asset backed securities | — | 1,450,381 | 4,891 | 1,455,272 | |||||||||||||||||||
State and municipal obligations | — | 9,155 | — | 9,155 | |||||||||||||||||||
U.S. government and agency obligations | 2,062,931 | — | — | 2,062,931 | |||||||||||||||||||
Total Available-for-Sale securities | 2,062,931 | 6,291,441 | 14,544 | 8,368,916 | |||||||||||||||||||
Equity derivative contracts | — | 8,786 | — | 8,786 | |||||||||||||||||||
Total assets at fair value | $ | 2,062,931 | $ | 7,459,697 | $ | 14,544 | $ | 9,537,172 | |||||||||||||||
Liabilities | |||||||||||||||||||||||
Stock market certificate embedded derivatives | $ | — | $ | 3,572 | $ | — | $ | 3,572 | |||||||||||||||
Equity derivative contracts | 8 | 6,641 | — | 6,649 | |||||||||||||||||||
Total liabilities at fair value | $ | 8 | $ | 10,213 | $ | — | $ | 10,221 |
December 31, 2021 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash equivalents | $ | — | $ | 672,275 | $ | — | $ | 672,275 | |||||||||||||||
Available-for-Sale securities: | |||||||||||||||||||||||
Corporate debt securities | — | 46,046 | 6,004 | 52,050 | |||||||||||||||||||
Residential mortgage backed securities | — | 1,693,548 | — | 1,693,548 | |||||||||||||||||||
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 |
Available-for-Sale Securities | ||||||||||||||||||||||||||||||||
Corporate Debt Securities | Residential Mortgage Backed Securities | Asset Backed Securities | Total | |||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Balance at January 1, 2022 | $ | 6,004 | $ | — | $ | 4,891 | $ | 10,895 | ||||||||||||||||||||||||
Total gains (losses) included in: | ||||||||||||||||||||||||||||||||
Net income | 45 | — | 38 | 83 | (1) | |||||||||||||||||||||||||||
Other comprehensive income (loss) | (214) | (504) | (193) | (911) | ||||||||||||||||||||||||||||
Purchases | 9,818 | 99,956 | 17,582 | 127,356 | ||||||||||||||||||||||||||||
Settlements | (6,000) | — | — | (6,000) | ||||||||||||||||||||||||||||
Transfers out of Level 3 | — | (99,452) | (17,427) | (116,879) | ||||||||||||||||||||||||||||
Balance at December 31, 2022 | $ | 9,653 | $ | — | $ | 4,891 | $ | 14,544 | ||||||||||||||||||||||||
Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2022 | $ | 45 | $ | — | $ | 38 | $ | 83 | (1) | |||||||||||||||||||||||
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2022 | $ | (212) | $ | — | $ | (38) | $ | (250) |
Available-for-Sale Securities | ||||||||||||||||||||||||||||||||||||||
Corporate Debt Securities | Asset Backed Securities | Total | ||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Balance at 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 at 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 at 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 at 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 | $ | — |
December 31, 2022 | |||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Corporate debt securities (private placements) | $ | 9,650 | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.1% | 1.1% |
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, 2022 | |||||||||||||||||||||||||||||
Carrying Value | Fair Value | ||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||||||||
Syndicated loans | $ | 102,330 | $ | — | $ | 96,552 | $ | 3,024 | $ | 99,576 | |||||||||||||||||||
Commercial mortgage loans | 102,163 | — | — | 95,676 | 95,676 | ||||||||||||||||||||||||
Certificate loans | 72 | — | 72 | — | 72 | ||||||||||||||||||||||||
Financial Liabilities | |||||||||||||||||||||||||||||
Certificate reserves | $ | 9,309,833 | $ | — | $ | — | $ | 9,253,304 | $ | 9,253,304 |
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, 2022 | |||||||||||||||||||||||||||||||||||
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 | $ | 8,786 | $ | — | $ | 8,786 | $ | (6,641) | $ | (1,893) | $ | 252 | |||||||||||||||||||||||
Total | $ | 8,786 | $ | — | $ | 8,786 | $ | (6,641) | $ | (1,893) | $ | 252 |
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, 2022 | |||||||||||||||||||||||||||||||||||
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 | $ | 6,641 | $ | — | $ | 6,641 | $ | (6,641) | $ | — | $ | — | |||||||||||||||||||||||
Exchange-traded | 8 | — | 8 | — | — | 8 | |||||||||||||||||||||||||||||
Total | $ | 6,649 | $ | — | $ | 6,649 | $ | (6,641) | $ | — | $ | 8 |
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, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||
Notional | Gross Fair Value | Notional | Gross Fair Value | ||||||||||||||||||||||||||||||||
Assets | Liabilities | Assets | Liabilities | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Derivatives not designated as hedging instruments | |||||||||||||||||||||||||||||||||||
Equity contracts (1) | $ | 283,681 | $ | 8,786 | $ | 6,649 | $ | 400,458 | $ | 44,135 | $ | 41,470 | |||||||||||||||||||||||
Embedded derivatives | |||||||||||||||||||||||||||||||||||
Stock market certificates (2) | N/A | — | 3,572 | N/A | — | 3,853 | |||||||||||||||||||||||||||||
Total derivatives | $ | 283,681 | $ | 8,786 | $ | 10,221 | $ | 400,458 | $ | 44,135 | $ | 45,323 |
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, | ||||||||||||||||||||||||||
2022 | 2021 | 2020 | ||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Equity contracts | ||||||||||||||||||||||||||
Stock market certificates | Net provision for certificate reserves | $ | (580) | $ | 1,403 | $ | 1,271 | |||||||||||||||||||
Stock market certificates embedded derivatives | Net provision for certificate reserves | 439 | (1,173) | (1,214) | ||||||||||||||||||||||
Total | $ | (141) | $ | 230 | $ | 57 |
Accumulated Other Comprehensive Income (Loss) Reclassification | Location of (Gain) Loss Recognized in Income | 2019 | 2018 | |||||||
(in thousands) | ||||||||||
Unrealized net (gains) losses on Available-for-Sale securities | Net realized gain (loss) on investments | $ | (194 | ) | $ | 152 | ||||
Tax expense (benefit) | Income tax expense (benefit) | 41 | (32 | ) | ||||||
Net of tax | $ | (153 | ) | $ | 120 |
Years Ended December 31, | |||||||||||
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Current income tax: | |||||||||||
Federal | $ | 14,167 | $ | 12,995 | $ | 25,319 | |||||
State and local | 2,398 | 1,745 | 3,047 | ||||||||
Total current income tax | 16,565 | 14,740 | 28,366 | ||||||||
Deferred income tax: | |||||||||||
Federal | (2,295 | ) | 913 | 2,016 | |||||||
State and local | (421 | ) | 111 | (192 | ) | ||||||
Total deferred income tax | (2,716 | ) | 1,024 | 1,824 | |||||||
Total income tax provision | $ | 13,849 | $ | 15,764 | $ | 30,190 |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Current income tax | |||||||||||||||||
Federal | $ | 16,874 | $ | 5,738 | $ | 5,576 | |||||||||||
State and local | 3,089 | 617 | 1,065 | ||||||||||||||
Total current income tax | 19,963 | 6,355 | 6,641 | ||||||||||||||
Deferred income tax | |||||||||||||||||
Federal | (778) | 1,397 | 2,188 | ||||||||||||||
State and local | (149) | 260 | 438 | ||||||||||||||
Total deferred income tax | (927) | 1,657 | 2,626 | ||||||||||||||
Total income tax provision | $ | 19,036 | $ | 8,012 | $ | 9,267 |
Years Ended December 31, | ||||||||
2019 | 2018 | 2017 | ||||||
Tax at U.S. statutory rate | 21.0 | % | 21.0 | % | 35.0 | % | ||
Changes in taxes resulting from: | ||||||||
State income tax, net | 2.7 | 2.4 | 2.5 | |||||
Uncertain tax positions | — | 1.8 | — | |||||
Impact of the Tax Act | — | — | 4.6 | |||||
Other | 0.3 | 0.6 | (1.4 | ) | ||||
Income tax provision | 24.0 | % | 25.8 | % | 40.7 | % |
Years Ended December 31, | |||||||||||||||||
2022 | 2021 | 2020 | |||||||||||||||
Tax at U.S. statutory rate | 21.0 | % | 21.0 | % | 21.0 | % | |||||||||||
Changes in taxes resulting from: | |||||||||||||||||
State income tax, net | 3.0 | 2.1 | 3.0 | ||||||||||||||
Other | 0.8 | 1.0 | (0.1) | ||||||||||||||
Income tax provision | 24.8 | % | 24.1 | % | 23.9 | % |
December 31, | |||||||||||
2022 | 2021 | ||||||||||
(in thousands) | |||||||||||
Deferred income tax assets | |||||||||||
Net unrealized losses on Available-for-Sale securities | $ | 37,081 | $ | — | |||||||
Certificate reserves | 2,766 | 1,057 | |||||||||
Total deferred income tax assets | 39,847 | 1,057 | |||||||||
Deferred income tax liabilities | |||||||||||
Investments, including bond discounts and premiums | 1,955 | 1,173 | |||||||||
Net unrealized gains on Available-for-Sale securities | — | 4,441 | |||||||||
Total deferred income tax liabilities | 1,955 | 5,614 | |||||||||
Net deferred income tax assets (liabilities) | $ | 37,892 | $ | (4,557) |
December 31, | |||||||
2019 | 2018 | ||||||
(in thousands) | |||||||
Deferred income tax assets: | |||||||
Certificate reserves | $ | 5,022 | $ | 304 | |||
Investment unrealized losses, net | — | 2,020 | |||||
Other | 162 | 58 | |||||
Total deferred income tax assets | 5,184 | 2,382 | |||||
Deferred income tax liabilities: | |||||||
Investment unrealized gains, net | 3,365 | — | |||||
Investments, including bond discounts and premiums | 831 | 80 | |||||
Total deferred income tax liabilities | 4,196 | 80 | |||||
Net deferred income tax assets | $ | 988 | $ | 2,302 |
2019 | 2018 | 2017 | |||||||||
(in thousands) | |||||||||||
Balance at January 1 | $ | 3,770 | $ | 2,531 | $ | 2,486 | |||||
Additions based on tax positions related to the current year | 715 | 1,112 | 1,217 | ||||||||
Additions for tax positions of prior years | — | 127 | 14 | ||||||||
Reductions for tax positions of prior years | (718 | ) | — | (532 | ) | ||||||
Settlements | — | — | (654 | ) | |||||||
Balance at December 31 | $ | 3,767 | $ | 3,770 | $ | 2,531 |
2022 | 2021 | 2020 | |||||||||||||||
(in thousands) | |||||||||||||||||
Balance at January 1 | $ | 3,826 | $ | 3,531 | $ | 3,767 | |||||||||||
Additions based on tax positions related to the current year | 586 | 316 | 167 | ||||||||||||||
Additions for tax positions of prior years | — | 82 | — | ||||||||||||||
Reductions for tax positions of prior years | (33) | — | (194) | ||||||||||||||
Reductions due to lapse of statute of limitations | (37) | (103) | (209) | ||||||||||||||
Balance at December 31 | $ | 4,342 | $ | 3,826 | $ | 3,531 |
(in thousands) 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 | 1/3/2023 | 4.320 | % | $ | 76,400 | $ | 76,400 | $ | 76,400 | ||||||||||||||
CANADIAN IMPERIAL BANK OF COMMERCE | 1/3/2023 | 4.290 | 25,000 | 25,000 | 25,000 | ||||||||||||||||||
TOTAL CERTIFICATE OF DEPOSITS | 101,400 | 101,400 | |||||||||||||||||||||
COMMERCIAL PAPER | |||||||||||||||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 1/6/2023 | — | 30,000 | 29,979 | 29,979 | ||||||||||||||||||
CENTERPOINT ENERGY INC | 1/3/2023 | — | 40,000 | 39,986 | 39,986 | ||||||||||||||||||
CLOROX COMPANY | 1/11/2023 | — | 10,000 | 9,986 | 9,986 | ||||||||||||||||||
CONSOLIDATED EDISON INC | 1/9/2023 | — | 30,000 | 29,969 | 29,969 | ||||||||||||||||||
DTE ENERGY COMPANY | 1/6/2023 | — | 22,900 | 22,885 | 22,885 | ||||||||||||||||||
DTE ENERGY COMPANY | 1/10/2023 | — | 4,000 | 3,995 | 3,995 | ||||||||||||||||||
DOMINION ENERGY INC | 1/10/2023 | — | 14,000 | 13,983 | 13,983 | ||||||||||||||||||
DOMINION ENERGY INC | 1/18/2023 | — | 36,000 | 35,917 | 35,917 | ||||||||||||||||||
DUKE ENERGY CORP | 1/5/2023 | — | 15,000 | 14,992 | 14,992 | ||||||||||||||||||
DUKE ENERGY CORP | 1/13/2023 | — | 25,000 | 24,962 | 24,962 | ||||||||||||||||||
DUKE ENERGY CORP | 1/18/2023 | — | 10,000 | 9,978 | 9,978 | ||||||||||||||||||
EATON CORPORATION PLC | 1/5/2023 | — | 47,000 | 46,972 | 46,972 | ||||||||||||||||||
ENBRIDGE INC | 1/3/2023 | — | 13,400 | 13,395 | 13,395 | ||||||||||||||||||
ENBRIDGE INC | 1/13/2023 | — | 30,000 | 29,951 | 29,951 | ||||||||||||||||||
EVERGY INC | 1/3/2023 | — | 54,000 | 53,983 | 53,983 | ||||||||||||||||||
EVERSOURCE ENERGY | 1/10/2023 | — | 40,000 | 39,951 | 39,951 | ||||||||||||||||||
EXELON CORPORATION | 1/9/2023 | — | 25,000 | 24,971 | 24,971 | ||||||||||||||||||
EXELON CORPORATION | 1/18/2023 | — | 24,500 | 24,443 | 24,443 | ||||||||||||||||||
FISERV INC | 1/13/2023 | — | 13,000 | 12,979 | 12,979 | ||||||||||||||||||
FISERV INC | 1/26/2023 | — | 20,000 | 19,931 | 19,931 | ||||||||||||||||||
HEWLETT PACKARD ENTERPRISE CO | 1/4/2023 | — | 25,000 | 24,990 | 24,990 | ||||||||||||||||||
HEWLETT PACKARD ENTERPRISE CO | 1/5/2023 | — | 25,000 | 24,986 | 24,986 | ||||||||||||||||||
MCKESSON CORP | 1/6/2023 | — | 25,000 | 24,983 | 24,983 | ||||||||||||||||||
MONDELEZ INTERNATIONAL INC | 1/10/2023 | — | 21,000 | 20,975 | 20,975 | ||||||||||||||||||
MONDELEZ INTERNATIONAL INC | 1/20/2023 | — | 30,000 | 29,926 | 29,926 | ||||||||||||||||||
NISOURCE INC | 1/6/2023 | — | 16,000 | 15,989 | 15,989 | ||||||||||||||||||
ORACLE CORPORATION | 1/4/2023 | — | 46,375 | 46,357 | 46,357 | ||||||||||||||||||
REPUBLIC SERVICES INC | 1/3/2023 | — | 25,000 | 24,993 | 24,993 | ||||||||||||||||||
REPUBLIC SERVICES INC | 1/19/2023 | — | 20,000 | 19,951 | 19,951 | ||||||||||||||||||
SOUTHERN COMPANY THE | 1/17/2023 | — | 34,000 | 33,939 | 33,939 | ||||||||||||||||||
SUNCOR ENERGY INC | 1/3/2023 | — | 20,000 | 19,995 | 19,995 | ||||||||||||||||||
SUNCOR ENERGY INC | 1/6/2023 | — | 10,000 | 9,993 | 9,993 | ||||||||||||||||||
SUNCOR ENERGY INC | 1/17/2023 | — | 12,400 | 12,373 | 12,373 | ||||||||||||||||||
SYSCO CORPORATION | 1/3/2023 | — | 25,100 | 25,094 | 25,094 | ||||||||||||||||||
THOMSON REUTERS CORPORATION | 1/11/2023 | — | 50,000 | 49,933 | 49,933 | ||||||||||||||||||
TC ENERGY CORP | 1/3/2023 | — | 19,000 | 18,995 | 18,995 | ||||||||||||||||||
VODAFONE GROUP PLC | 1/3/2023 | — | 40,000 | 39,990 | 39,990 | ||||||||||||||||||
WEC ENERGY GROUP INC | 1/3/2023 | — | 27,800 | 27,791 | 27,791 | ||||||||||||||||||
WILLIAMS COMPANIES INC | 1/10/2023 | — | 40,000 | 39,950 | 39,950 | ||||||||||||||||||
XCEL ENERGY INC | 1/6/2023 | — | 30,000 | 29,978 | 29,978 | ||||||||||||||||||
XCEL ENERGY INC | 1/11/2023 | — | 13,700 | 13,681 | 13,681 | ||||||||||||||||||
TOTAL COMMERCIAL PAPER | 1,058,070 | 1,058,070 | |||||||||||||||||||||
TOTAL CASH EQUIVALENTS | 1,159,470 | 1,159,470 |
CASH EQUIVALENTS | |||||||||||||||
COMMERCIAL PAPER | |||||||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 1/22/2020 | — | % | $ | 15,000 | $ | 14,983 | $ | 14,983 | ||||||
BANK OF NEW YORK MELLON CORP/THE | 1/2/2020 | — | 40,000 | 39,998 | 39,998 | ||||||||||
CENTERPOINT ENERGY INC | 1/2/2020 | — | 35,100 | 35,098 | 35,098 | ||||||||||
CMS ENERGY CORPORATION | 1/2/2020 | — | 21,000 | 20,999 | 20,999 | ||||||||||
CRAWFORD GROUP INC | 1/7/2020 | — | 40,000 | 39,987 | 39,987 | ||||||||||
DUPONT DE NEMOURS INC | 1/16/2020 | — | 44,030 | 43,992 | 43,992 | ||||||||||
EVERSOURCE ENERGY | 1/8/2020 | — | 35,000 | 34,987 | 34,987 | ||||||||||
J M SMUCKER CO | 1/7/2020 | — | 22,800 | 22,792 | 22,792 | ||||||||||
MCKESSON CORP | 1/13/2020 | — | 29,500 | 29,480 | 29,480 | ||||||||||
NISOURCE INC | 1/13/2020 | — | 20,000 | 19,986 | 19,986 | ||||||||||
NISOURCE INC | 1/17/2020 | — | 20,000 | 19,981 | 19,981 | ||||||||||
PPL CORPORATION | 1/3/2020 | — | 4,800 | 4,799 | 4,799 | ||||||||||
PPL CORPORATION | 1/6/2020 | — | 23,600 | 23,594 | 23,594 | ||||||||||
THE SOUTHERN COMPANY | 1/10/2020 | — | 11,200 | 11,194 | 11,194 | ||||||||||
THE SOUTHERN COMPANY | 1/14/2020 | — | 4,000 | 3,997 | 3,997 | ||||||||||
TOTAL COMMERCIAL PAPER | 365,867 | 365,867 | |||||||||||||
TOTAL CASH EQUIVALENTS | 365,867 | 365,867 | |||||||||||||
FIXED MATURITIES | |||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||||||||||||
UNITED STATES TREASURY BILL | 1/2/2020 | — | 50,000 | 49,997 | 49,997 | ||||||||||
UNITED STATES TREASURY BILL | 1/30/2020 | — | 50,000 | 49,916 | 49,945 | ||||||||||
UNITED STATES TREASURY BILL | 2/27/2020 | — | 75,000 | 74,779 | 74,827 | ||||||||||
UNITED STATES TREASURY BILL | 3/26/2020 | — | 75,000 | 74,665 | 74,737 | ||||||||||
UNITED STATES TREASURY BILL | 4/23/2020 | — | 60,000 | 59,697 | 59,718 | ||||||||||
UNITED STATES TREASURY BILL | 5/21/2020 | — | 60,000 | 59,635 | 59,648 | ||||||||||
UNITED STATES TREASURY BILL | 6/18/2020 | — | 60,000 | 59,567 | 59,571 | ||||||||||
UNITED STATES TREASURY BILL | 1/9/2020 | — | 50,000 | 49,976 | 49,987 | ||||||||||
UNITED STATES TREASURY BILL | 1/16/2020 | — | 50,000 | 49,957 | 49,972 | ||||||||||
UNITED STATES TREASURY BILL | 1/23/2020 | — | 50,000 | 49,937 | 49,958 | ||||||||||
UNITED STATES TREASURY BILL | 2/6/2020 | — | 75,000 | 74,857 | 74,891 | ||||||||||
UNITED STATES TREASURY BILL | 2/13/2020 | — | 75,000 | 74,828 | 74,871 | ||||||||||
UNITED STATES TREASURY BILL | 2/20/2020 | — | 75,000 | 74,809 | 74,847 | ||||||||||
UNITED STATES TREASURY BILL | 3/5/2020 | — | 75,000 | 74,752 | 74,805 | ||||||||||
UNITED STATES TREASURY BILL | 3/12/2020 | — | 75,000 | 74,725 | 74,783 | ||||||||||
UNITED STATES TREASURY BILL | 3/19/2020 | — | 75,000 | 74,692 | 74,764 | ||||||||||
UNITED STATES TREASURY BILL | 4/2/2020 | — | 75,000 | 74,651 | 74,713 | ||||||||||
UNITED STATES TREASURY BILL | 4/9/2020 | — | 60,000 | 59,730 | 59,752 | ||||||||||
UNITED STATES TREASURY BILL | 4/16/2020 | — | 60,000 | 59,711 | 59,737 | ||||||||||
UNITED STATES TREASURY BILL | 4/30/2020 | — | 60,000 | 59,673 | 59,698 | ||||||||||
UNITED STATES TREASURY BILL | 5/7/2020 | — | 60,000 | 59,679 | 59,683 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FIXED MATURITIES | |||||||||||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||||||||||||||||||||
UNITED STATES TREASURY BILL | 1/26/2023 | — | 50,000 | 49,895 | 49,879 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/23/2023 | — | 50,000 | 49,768 | 49,700 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 4/20/2023 | — | 50,000 | 49,345 | 49,350 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 5/18/2023 | — | 120,000 | 117,950 | 117,981 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/15/2023 | — | 150,000 | 146,794 | 146,992 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/5/2023 | — | 50,000 | 49,986 | 49,989 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/12/2023 | — | 50,000 | 49,958 | 49,955 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 1/19/2023 | — | 50,000 | 49,925 | 49,918 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/2/2023 | — | 50,000 | 49,875 | 49,843 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/9/2023 | — | 50,000 | 49,835 | 49,800 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 2/16/2023 | — | 50,000 | 49,805 | 49,751 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/2/2023 | — | 50,000 | 49,721 | 49,655 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 3/9/2023 | — | 50,000 | 49,681 | 49,618 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 4/13/2023 | — | 50,000 | 49,418 | 49,437 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 4/27/2023 | — | 120,000 | 118,270 | 118,329 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 5/4/2023 | — | 120,000 | 118,157 | 118,203 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 5/11/2023 | — | 120,000 | 118,031 | 118,064 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 5/25/2023 | — | 150,000 | 147,260 | 147,344 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/1/2023 | — | 150,000 | 147,114 | 147,205 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/8/2023 | — | 150,000 | 146,968 | 147,072 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/22/2023 | — | 150,000 | 146,718 | 146,819 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 6/29/2023 | — | 150,000 | 146,575 | 146,616 | ||||||||||||||||||
UNITED STATES TREASURY BILL | 10/5/2023 | — | 115,000 | 111,473 | 111,145 | ||||||||||||||||||
UNITED STATES TREASURY BOND | 11/15/2028 | 5.250 | 200 | 206 | 212 | ||||||||||||||||||
UNITED STATES TREASURY BOND | 8/15/2024 | 2.375 | 56 | 55 | 54 | ||||||||||||||||||
TOTAL U. S. GOVERNMENT AND AGENCY OBLIGATIONS | 2,062,783 | 2,062,931 | |||||||||||||||||||||
STATE AND MUNICIPAL OBLIGATIONS | |||||||||||||||||||||||
STATE OF CONNECTICUT | 7/1/2023 | 2.000 | 750 | 751 | 742 | ||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL AIRPORT | 11/1/2023 | 1.041 | 250 | 250 | 242 | ||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL AIRPORT | 11/1/2024 | 1.229 | 250 | 250 | 234 | ||||||||||||||||||
DALLAS FORT WORTH TEXAS INTL AIRPORT | 11/1/2025 | 1.329 | 1,000 | 1,000 | 904 | ||||||||||||||||||
GREAT LAKES WATER AUTHORITY | 7/1/2024 | 1.604 | 600 | 600 | 573 | ||||||||||||||||||
GREAT LAKES WATER AUTHORITY | 7/1/2025 | 1.654 | 600 | 600 | 555 | ||||||||||||||||||
LONG ISLAND POWER AUTHORITY | 3/1/2023 | 0.764 | 1,000 | 1,000 | 994 | ||||||||||||||||||
PORT AUTHORITY OF NEW YORK | 7/1/2023 | 1.086 | 5,000 | 5,000 | 4,911 | ||||||||||||||||||
TOTAL STATE AND MUNICIPAL OBLIGATIONS | 9,451 | 9,155 |
RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
FANNIE MAE AF-204620 | 11/15/2042 | 4.560 | 3,481 | 3,473 | 3,425 | ||||||||||||||||||
FANNIE MAE FA-204624 | 12/15/2038 | 4.570 | 10,194 | 10,166 | 10,042 | ||||||||||||||||||
FANNIE MAE 06-36 GF | 5/25/2036 | 4.689 | 2,341 | 2,350 | 2,291 | ||||||||||||||||||
FANNIE MAE 07-46 FB | 5/25/2037 | 4.759 | 599 | 601 | 585 | ||||||||||||||||||
FANNIE MAE 07-6 | 2/25/2037 | 4.839 | 4,039 | 4,045 | 3,950 | ||||||||||||||||||
FANNIE MAE 09-107 FL | 2/25/2038 | 2.192 | 1,237 | 1,243 | 1,206 | ||||||||||||||||||
FANNIE MAE FK-2010-123 | 11/25/2040 | 4.839 | 4,843 | 4,886 | 4,726 |
UNITED STATES TREASURY BILL | 5/14/2020 | — | 60,000 | 59,654 | 59,662 | |||||||||
UNITED STATES TREASURY BILL | 5/28/2020 | — | 60,000 | 59,614 | 59,625 | |||||||||
UNITED STATES TREASURY BILL | 6/4/2020 | — | 60,000 | 59,594 | 59,609 | |||||||||
UNITED STATES TREASURY BILL | 6/11/2020 | — | 60,000 | 59,590 | 59,592 | |||||||||
UNITED STATES TREASURY BILL | 6/25/2020 | — | 50,000 | 49,618 | 49,628 | |||||||||
UNITED STATES TREASURY BILL | 7/2/2020 | — | 50,000 | 49,610 | 49,609 | |||||||||
UNITED STATES TREASURY BOND | 11/15/2028 | 5.250 | 200 | 209 | 254 | |||||||||
TOTAL U. S. GOVERNMENT AND AGENCY OBLIGATIONS | 1,678,122 | 1,678,883 | ||||||||||||
STATE AND MUNICIPAL OBLIGATIONS | ||||||||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2020 | 3.757 | 3,205 | 3,205 | 3,209 | |||||||||
FLORIDA ST MID-BAY BRIDGE AUTHORITY | 10/1/2021 | 3.784 | 1,845 | 1,845 | 1,865 | |||||||||
KENTUCKY ST PPTY & BLDGS COMMN | 5/1/2020 | 2.263 | 1,285 | 1,285 | 1,287 | |||||||||
KENTUCKY ST PPTY & BLDGS COMMN | 5/1/2021 | 2.564 | 1,100 | 1,100 | 1,106 | |||||||||
L'ANSE CREUSE MICHIGAN PUBLIC SCHOOLS | 5/1/2020 | 2.159 | 5,000 | 5,000 | 5,007 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 4/1/2020 | 1.946 | 1,080 | 1,080 | 1,081 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2020 | 4.125 | 2,810 | 2,810 | 2,705 | |||||||||
PORT OF SEATTLE | 5/1/2020 | 2.007 | 5,000 | 5,000 | 5,003 | |||||||||
STATE OF CONNECTICUT | 9/15/2020 | 3.750 | 4,250 | 4,268 | 4,303 | |||||||||
STATE OF CONNECTICUT | 9/15/2021 | 4.000 | 3,000 | 3,033 | 3,097 | |||||||||
STATE OF CONNECTICUT | 9/15/2022 | 3.471 | 2,000 | 2,000 | 2,071 | |||||||||
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2020 | 2.250 | 2,000 | 1,996 | 2,006 | |||||||||
TOTAL STATE AND MUNICIPAL OBLIGATIONS | 32,622 | 32,740 |
RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||
FANNIE MAE 06-36 GF | 5/25/2036 | 2.092 | 4,159 | 4,174 | 4,130 | |||||
FANNIE MAE 07-46 FB | 5/25/2037 | 2.162 | 1,802 | 1,805 | 1,800 | |||||
FANNIE MAE 09-107 FL | 2/25/2038 | 2.442 | 2,012 | 2,020 | 2,030 | |||||
FANNIE MAE 13-2 KF | 1/25/2037 | 1.972 | 6,919 | 6,907 | 6,843 | |||||
FANNIE MAE AF-2015-22C | 4/25/2045 | 2.041 | 13,534 | 13,488 | 13,477 | |||||
FANNIE MAE AF-2015-42 | 6/25/2055 | 2.021 | 13,025 | 12,956 | 13,007 | |||||
FANNIE MAE AF-2015-91 | 12/25/2045 | 2.061 | 13,716 | 13,656 | 13,630 | |||||
FANNIE MAE FA-2015-4 | 2/25/2045 | 2.041 | 5,339 | 5,345 | 5,318 | |||||
FANNIE MAE FW-2015-84 | 11/25/2045 | 2.041 | 13,957 | 13,938 | 13,900 | |||||
FANNIE MAE 07-6 | 2/25/2037 | 2.242 | 6,211 | 6,221 | 6,225 | |||||
FANNIE MAE 09-101 | 12/25/2039 | 2.632 | 10,336 | 10,487 | 10,495 | |||||
FANNIE MAE 12-133 | 4/25/2042 | 2.042 | 9,390 | 9,362 | 9,259 | |||||
FANNIE MAE 16-2 | 2/25/2056 | 2.189 | 4,372 | 4,366 | 4,371 | |||||
FANNIE MAE 303970 | 9/1/2024 | 6.000 | 112 | 111 | 124 | |||||
FANNIE MAE 545492 | 2/1/2022 | 5.500 | 32 | 32 | 35 | |||||
FANNIE MAE 725558 | 6/1/2034 | 4.463 | 45 | 45 | 47 | |||||
FANNIE MAE 725694 | 7/1/2034 | 3.383 | 164 | 161 | 167 | |||||
FANNIE MAE 725719 | 7/1/2033 | 3.546 | 352 | 350 | 360 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FANNIE MAE 12-133 | 4/25/2042 | 4.639 | 2,866 | 2,857 | 2,757 | ||||||||||||||||||
FANNIE MAE FA-2013-1 | 2/25/2043 | 4.739 | 4,412 | 4,427 | 4,265 | ||||||||||||||||||
FANNIE MAE 13-2 KF | 1/25/2037 | 4.569 | 3,468 | 3,460 | 3,357 | ||||||||||||||||||
FANNIE MAE AF-2015-22C | 4/25/2045 | 4.470 | 6,407 | 6,384 | 6,210 | ||||||||||||||||||
FANNIE MAE KF-2015-27 | 5/25/2045 | 4.689 | 5,526 | 5,511 | 5,424 | ||||||||||||||||||
FANNIE MAE DF-2015-38 | 6/25/2055 | 4.430 | 9,367 | 9,307 | 9,146 | ||||||||||||||||||
FANNIE MAE FA-2015-4 | 2/25/2045 | 4.470 | 2,313 | 2,315 | 2,248 | ||||||||||||||||||
FANNIE MAE AF-2015-42 | 6/25/2055 | 4.450 | 5,888 | 5,857 | 5,805 | ||||||||||||||||||
FANNIE MAE_15-50 | 7/25/2045 | 4.470 | 9,682 | 9,671 | 9,393 | ||||||||||||||||||
FANNIE MAE FA-2015-55 | 8/25/2055 | 4.470 | 3,948 | 3,932 | 3,911 | ||||||||||||||||||
FANNIE MAE FW-2015-84 | 11/25/2045 | 4.470 | 6,719 | 6,710 | 6,513 | ||||||||||||||||||
FANNIE MAE AF-2015-91 | 12/25/2045 | 4.490 | 6,279 | 6,250 | 6,199 | ||||||||||||||||||
FANNIE MAE_15-93 | 8/25/2045 | 4.739 | 1,983 | 1,978 | 1,938 | ||||||||||||||||||
FANNIE MAE_16-11 | 3/25/2046 | 4.670 | 4,050 | 4,053 | 3,920 | ||||||||||||||||||
FANNIE MAE AF-2016-11 | 3/25/2046 | 4.620 | 2,902 | 2,896 | 2,875 | ||||||||||||||||||
FANNIE MAE 16-2 | 2/25/2056 | 4.600 | 1,965 | 1,962 | 1,967 | ||||||||||||||||||
FANNIE MAE WF-2016-68 | 10/25/2046 | 4.570 | 2,287 | 2,289 | 2,216 | ||||||||||||||||||
FANNIE MAE FT-2016-84 | 11/25/2046 | 4.889 | 6,428 | 6,488 | 6,241 | ||||||||||||||||||
FANNIE MAE AF-2016-87 | 11/25/2046 | 4.520 | 4,279 | 4,276 | 4,148 | ||||||||||||||||||
FANNIE MAE AF-2016-88 | 12/25/2046 | 4.560 | 3,441 | 3,441 | 3,354 | ||||||||||||||||||
FANNIE MAE DF-2017-16 | 3/25/2047 | 4.540 | 2,028 | 2,036 | 1,951 | ||||||||||||||||||
FANNIE MAE FL-2017-4 | 2/25/2047 | 4.570 | 4,706 | 4,706 | 4,605 | ||||||||||||||||||
FANNIE MAE FC-2017-51 | 7/25/2047 | 4.739 | 16,642 | 16,692 | 16,032 | ||||||||||||||||||
FANNIE MAE FNMA_17-8 | 2/25/2047 | 4.789 | 33,069 | 33,069 | 32,312 | ||||||||||||||||||
FANNIE MAE FC-2018-73 | 10/25/2048 | 4.689 | 20,917 | 20,861 | 20,103 | ||||||||||||||||||
FANNIE MAE AF-2018-87 | 12/25/2048 | 4.420 | 11,839 | 11,787 | 11,519 | ||||||||||||||||||
FANNIE MAE_CF-2019-33 | 7/25/2049 | 4.859 | 11,298 | 11,319 | 10,935 | ||||||||||||||||||
FANNIE MAE FC-2019-76 | 12/25/2049 | 4.889 | 10,175 | 10,172 | 9,913 | ||||||||||||||||||
FANNIE MAE_FA-2020-47 | 7/25/2050 | 4.789 | 28,521 | 28,521 | 27,791 | ||||||||||||||||||
FANNIE MAE FNMA_22-44 | 7/25/2052 | 4.328 | 17,958 | 17,925 | 17,479 | ||||||||||||||||||
FANNIE MAE_YF-204979 | 6/25/2050 | 4.839 | 19,039 | 19,055 | 18,504 | ||||||||||||||||||
FANNIE MAE 09-101 | 12/25/2039 | 5.229 | 5,096 | 5,168 | 5,099 | ||||||||||||||||||
FREDDIE MAC 1Q1572 | 5/1/2038 | 2.714 | 4,052 | 4,261 | 4,072 | ||||||||||||||||||
FREDDIE MAC 848416 | 2/1/2041 | 2.226 | 2,318 | 2,416 | 2,314 | ||||||||||||||||||
FREDDIE MAC 848530 | 9/1/2039 | 3.330 | 1,063 | 1,120 | 1,073 | ||||||||||||||||||
FREDDIE MAC 849281 | 8/1/2037 | 3.751 | 2,344 | 2,482 | 2,376 | ||||||||||||||||||
FREDDIE MAC SB0752 | 10/1/2037 | 4.500 | 14,766 | 14,459 | 14,684 | ||||||||||||||||||
FREDDIE MAC SB8155 | 5/1/2037 | 3.000 | 30,894 | 29,997 | 28,936 | ||||||||||||||||||
FREDDIE MAC SB8191 | 10/1/2037 | 4.500 | 37,782 | 36,962 | 37,540 | ||||||||||||||||||
FREDDIE MAC SB8197 | 12/1/2037 | 4.000 | 34,732 | 34,048 | 33,897 | ||||||||||||||||||
FREDDIE MAC 781884 | 8/1/2034 | 4.250 | 175 | 177 | 177 | ||||||||||||||||||
FREDDIE MAC LF-204475 | 4/15/2040 | 4.430 | 1,253 | 1,252 | 1,232 | ||||||||||||||||||
FREDDIE MAC FB-204495 | 11/15/2038 | 4.470 | 4,832 | 4,809 | 4,759 | ||||||||||||||||||
FREDDIE MAC 5258 | 8/25/2052 | 4.428 | 49,240 | 49,240 | 48,134 | ||||||||||||||||||
FREDDIE MAC 1H2520 | 6/1/2035 | 3.504 | 1,192 | 1,256 | 1,207 | ||||||||||||||||||
FREDDIE MAC 1N1474 | 5/1/2037 | 4.760 | 29 | 30 | 29 | ||||||||||||||||||
FREDDIE MAC 1Q1515 | 11/1/2038 | 3.138 | 4,887 | 5,144 | 4,930 | ||||||||||||||||||
FREDDIE MAC 1Q1540 | 6/1/2040 | 2.590 | 2,094 | 2,229 | 2,109 | ||||||||||||||||||
FREDDIE MAC 1Q1548 | 8/1/2038 | 2.779 | 1,868 | 1,960 | 1,877 | ||||||||||||||||||
FREDDIE MAC 848922 | 4/1/2037 | 3.351 | 1,577 | 1,671 | 1,590 |
FANNIE MAE 735034 | 10/1/2034 | 4.017 | 2,938 | 3,088 | 3,053 | |||||
FANNIE MAE 735702 | 7/1/2035 | 4.472 | 2,210 | 2,271 | 2,316 | |||||
FANNIE MAE 794787 | 10/1/2034 | 3.749 | 98 | 99 | 102 | |||||
FANNIE MAE 799733 | 11/1/2034 | 3.573 | 187 | 189 | 194 | |||||
FANNIE MAE 801337 | 9/1/2034 | 3.843 | 1,644 | 1,728 | 1,703 | |||||
FANNIE MAE 801917 | 10/1/2034 | 3.881 | 261 | 262 | 271 | |||||
FANNIE MAE 804561 | 9/1/2034 | 4.320 | 424 | 424 | 446 | |||||
FANNIE MAE 807219 | 1/1/2035 | 3.878 | 914 | 921 | 959 | |||||
FANNIE MAE 809532 | 2/1/2035 | 4.768 | 165 | 166 | 173 | |||||
FANNIE MAE 834552 | 8/1/2035 | 4.117 | 217 | 218 | 227 | |||||
FANNIE MAE 889485 | 6/1/2036 | 4.194 | 2,243 | 2,278 | 2,348 | |||||
FANNIE MAE 922674 | 4/1/2036 | 4.578 | 1,039 | 1,063 | 1,095 | |||||
FANNIE MAE 968438 | 1/1/2038 | 3.655 | 1,037 | 1,089 | 1,080 | |||||
FANNIE MAE 995123 | 8/1/2037 | 4.487 | 916 | 947 | 971 | |||||
FANNIE MAE 995548 | 9/1/2035 | 4.353 | 1,012 | 1,034 | 1,058 | |||||
FANNIE MAE 995604 | 11/1/2035 | 4.068 | 3,560 | 3,746 | 3,736 | |||||
FANNIE MAE 995614 | 8/1/2037 | 3.207 | 816 | 858 | 825 | |||||
FANNIE MAE AB1980 | 12/1/2020 | 3.000 | 361 | 362 | 370 | |||||
FANNIE MAE AB5230 | 5/1/2027 | 2.500 | 6,492 | 6,588 | 6,579 | |||||
FANNIE MAE AD0901 | 4/1/2040 | 4.709 | 3,565 | 3,786 | 3,752 | |||||
FANNIE MAE AE0559 | 12/1/2034 | 3.858 | 2,828 | 2,967 | 2,948 | |||||
FANNIE MAE AE0566 | 8/1/2035 | 4.408 | 2,064 | 2,167 | 2,168 | |||||
FANNIE MAE AF-2016-11 | 3/25/2046 | 2.191 | 6,932 | 6,920 | 6,951 | |||||
FANNIE MAE AF-2016-87 | 11/25/2046 | 2.109 | 9,565 | 9,561 | 9,523 | |||||
FANNIE MAE AF-2016-88 | 12/25/2046 | 2.149 | 7,970 | 7,970 | 7,965 | |||||
FANNIE MAE AF-2018-87 | 12/25/2048 | 2.009 | 27,244 | 27,130 | 26,940 | |||||
FANNIE MAE AF-204620 | 11/15/2042 | 2.149 | 8,423 | 8,408 | 8,425 | |||||
FANNIE MAE AL1037 | 1/1/2037 | 4.628 | 2,145 | 2,279 | 2,265 | |||||
FANNIE MAE AL2269 | 10/1/2040 | 4.168 | 2,387 | 2,537 | 2,522 | |||||
FANNIE MAE AL3935 | 9/1/2037 | 4.267 | 5,615 | 5,926 | 5,892 | |||||
FANNIE MAE AL3961 | 2/1/2039 | 4.502 | 3,320 | 3,501 | 3,465 | |||||
FANNIE MAE AL4100 | 9/1/2036 | 4.249 | 5,691 | 5,990 | 5,959 | |||||
FANNIE MAE AL4110 | 3/1/2037 | 3.874 | 3,825 | 4,016 | 3,994 | |||||
FANNIE MAE AL4114 | 2/1/2039 | 4.442 | 5,483 | 5,809 | 5,792 | |||||
FANNIE MAE AO8746 | 8/1/2027 | 2.500 | 11,592 | 11,871 | 11,746 | |||||
FANNIE MAE ARM 190726 | 3/1/2033 | 4.825 | 68 | 70 | 71 | |||||
FANNIE MAE ARM 249907 | 2/1/2024 | 5.250 | 83 | 83 | 85 | |||||
FANNIE MAE ARM 303259 | 3/1/2025 | 4.627 | 12 | 12 | 12 | |||||
FANNIE MAE ARM 545786 | 6/1/2032 | 4.665 | 179 | 180 | 180 | |||||
FANNIE MAE ARM 620293 | 1/1/2032 | 3.900 | 142 | 141 | 147 | |||||
FANNIE MAE ARM 651629 | 8/1/2032 | 4.143 | 160 | 160 | 166 | |||||
FANNIE MAE ARM 654158 | 10/1/2032 | 3.415 | 137 | 138 | 143 | |||||
FANNIE MAE ARM 655646 | 8/1/2032 | 4.215 | 94 | 94 | 97 | |||||
FANNIE MAE ARM 655798 | 8/1/2032 | 3.736 | 219 | 219 | 230 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FREDDIE MAC ARM 780514 | 5/1/2033 | 3.062 | 86 | 88 | 87 | ||||||||||||||||||
FREDDIE MAC ARM 780845 | 9/1/2033 | 4.296 | 40 | 39 | 41 | ||||||||||||||||||
FREDDIE MAC ARM 780903 | 9/1/2033 | 4.321 | 46 | 46 | 46 | ||||||||||||||||||
FREDDIE MAC ARM 845654 | 2/1/2024 | 2.625 | 1 | 1 | 1 | ||||||||||||||||||
FREDDIE MAC ARM 845730 | 11/1/2023 | 4.375 | 4 | 4 | 4 | ||||||||||||||||||
FREDDIE MAC 845733 | 4/1/2024 | 2.625 | 8 | 8 | 8 | ||||||||||||||||||
FREDDIE MAC ARM 846702 | 10/1/2029 | 4.460 | — | — | — | ||||||||||||||||||
FANNIE MAE 22-33 | 9/25/2038 | 4.328 | 21,843 | 21,843 | 21,362 | ||||||||||||||||||
FANNIE MAE 22-37 | 7/25/2052 | 4.328 | 45,484 | 45,443 | 44,590 | ||||||||||||||||||
FANNIE MAE 22-43 FB | 7/25/2052 | 4.528 | 37,342 | 37,405 | 36,560 | ||||||||||||||||||
FANNIE MAE 22-66 | 10/25/2052 | 4.478 | 24,338 | 24,364 | 23,740 | ||||||||||||||||||
FANNIE MAE AL4110 | 3/1/2037 | 3.638 | 1,678 | 1,757 | 1,692 | ||||||||||||||||||
FANNIE MAE AL4100 | 9/1/2036 | 3.673 | 2,060 | 2,162 | 2,089 | ||||||||||||||||||
FANNIE MAE AL4114 | 2/1/2039 | 3.537 | 1,854 | 1,959 | 1,888 | ||||||||||||||||||
FANNIE MAE AS4507 | 2/1/2030 | 3.000 | 3,989 | 4,086 | 3,816 | ||||||||||||||||||
FANNIE MAE AS4878 | 4/1/2030 | 3.000 | 5,104 | 5,229 | 4,883 | ||||||||||||||||||
FANNIE MAE 725719 | 7/1/2033 | 3.231 | 131 | 131 | 130 | ||||||||||||||||||
FANNIE MAE 725694 | 7/1/2034 | 3.340 | 99 | 98 | 97 | ||||||||||||||||||
FANNIE MAE 834552 | 8/1/2035 | 4.100 | 113 | 114 | 114 | ||||||||||||||||||
FANNIE MAE BE5622 | 1/1/2032 | 2.500 | 11,390 | 11,462 | 10,649 | ||||||||||||||||||
FANNIE MAE BK0933 | 7/1/2033 | 3.500 | 4,097 | 4,140 | 3,939 | ||||||||||||||||||
FANNIE MAE BT1939 | 2/1/2037 | 2.000 | 9,035 | 8,962 | 8,058 | ||||||||||||||||||
FANNIE MAE CA1265 | 2/1/2033 | 3.000 | 9,513 | 9,467 | 9,053 | ||||||||||||||||||
FANNIE MAE CA2283 | 8/1/2033 | 3.500 | 4,461 | 4,454 | 4,290 | ||||||||||||||||||
FANNIE MAE FM9247 | 11/1/2036 | 2.000 | 6,978 | 7,157 | 6,215 | ||||||||||||||||||
FANNIE MAE FS2940 | 9/1/2037 | 4.500 | 14,487 | 14,144 | 14,398 | ||||||||||||||||||
FANNIE MAE MA3391 | 6/1/2033 | 3.000 | 5,433 | 5,385 | 5,103 | ||||||||||||||||||
FANNIE MAE MA4697 | 8/1/2042 | 4.000 | 19,375 | 19,419 | 18,356 | ||||||||||||||||||
FANNIE MAE 303970 | 9/1/2024 | 6.000 | 7 | 7 | 8 | ||||||||||||||||||
FANNIE MAE 725558 | 6/1/2034 | 3.337 | 31 | 31 | 31 | ||||||||||||||||||
FANNIE MAE 735034 | 10/1/2034 | 3.785 | 1,270 | 1,329 | 1,281 | ||||||||||||||||||
FANNIE MAE 735702 | 7/1/2035 | 3.629 | 907 | 930 | 922 | ||||||||||||||||||
FANNIE MAE 794787 | 10/1/2034 | 3.710 | 45 | 45 | 44 | ||||||||||||||||||
FANNIE MAE 799733 | 11/1/2034 | 3.809 | 117 | 119 | 115 | ||||||||||||||||||
FANNIE MAE 801337 | 9/1/2034 | 4.022 | 679 | 712 | 694 | ||||||||||||||||||
FANNIE MAE 801917 | 10/1/2034 | 4.070 | 159 | 160 | 157 | ||||||||||||||||||
FANNIE MAE 804561 | 9/1/2034 | 4.081 | 159 | 159 | 159 | ||||||||||||||||||
FANNIE MAE 807219 | 1/1/2035 | 3.918 | 353 | 355 | 352 | ||||||||||||||||||
FANNIE MAE 809532 | 2/1/2035 | 2.152 | 138 | 139 | 138 | ||||||||||||||||||
FANNIE MAE 889485 | 6/1/2036 | 3.784 | 1,049 | 1,064 | 1,062 | ||||||||||||||||||
FANNIE MAE 922674 | 4/1/2036 | 3.286 | 411 | 420 | 417 | ||||||||||||||||||
FANNIE MAE 968438 | 1/1/2038 | 3.905 | 313 | 328 | 307 | ||||||||||||||||||
FANNIE MAE 995123 | 8/1/2037 | 4.080 | 108 | 112 | 110 | ||||||||||||||||||
FANNIE MAE 995548 | 9/1/2035 | 3.503 | 535 | 545 | 541 | ||||||||||||||||||
FANNIE MAE 995604 | 11/1/2035 | 3.736 | 1,239 | 1,299 | 1,256 | ||||||||||||||||||
FANNIE MAE 995614 | 8/1/2037 | 3.407 | 211 | 222 | 209 | ||||||||||||||||||
FANNIE MAE AB5230 | 5/1/2027 | 2.500 | 2,060 | 2,080 | 1,972 | ||||||||||||||||||
FANNIE MAE AD0901 | 4/1/2040 | 2.841 | 978 | 1,037 | 985 | ||||||||||||||||||
FANNIE MAE AE0559 | 12/1/2034 | 3.595 | 1,307 | 1,365 | 1,315 | ||||||||||||||||||
FANNIE MAE AE0566 | 8/1/2035 | 3.437 | 1,215 | 1,270 | 1,231 |
FANNIE MAE ARM 661349 | 9/1/2032 | 4.145 | 83 | 83 | 88 | |||||
FANNIE MAE ARM 661744 | 10/1/2032 | 4.114 | 193 | 194 | 202 | |||||
FANNIE MAE ARM 664750 | 10/1/2032 | 3.613 | 70 | 71 | 73 | |||||
FANNIE MAE ARM 670731 | 11/1/2032 | 3.415 | 373 | 374 | 387 | |||||
FANNIE MAE ARM 670779 | 11/1/2032 | 3.415 | 275 | 277 | 285 | |||||
FANNIE MAE ARM 670890 | 12/1/2032 | 3.290 | 99 | 99 | 100 | |||||
FANNIE MAE ARM 670912 | 12/1/2032 | 3.290 | 106 | 107 | 107 | |||||
FANNIE MAE ARM 670947 | 12/1/2032 | 3.290 | 168 | 169 | 175 | |||||
FANNIE MAE ARM 694852 | 4/1/2033 | 4.565 | 192 | 195 | 199 | |||||
FANNIE MAE ARM 722779 | 9/1/2033 | 3.663 | 317 | 318 | 326 | |||||
FANNIE MAE ARM 733525 | 8/1/2033 | 3.743 | 332 | 320 | 344 | |||||
FANNIE MAE ARM 739194 | 9/1/2033 | 3.812 | 407 | 408 | 424 | |||||
FANNIE MAE ARM 743256 | 10/1/2033 | 3.880 | 112 | 111 | 117 | |||||
FANNIE MAE ARM 743856 | 11/1/2033 | 3.914 | 112 | 112 | 118 | |||||
FANNIE MAE ARM 758873 | 12/1/2033 | 3.607 | 57 | 56 | 59 | |||||
FANNIE MAE AS4507 | 2/1/2030 | 3.000 | 6,996 | 7,223 | 7,223 | |||||
FANNIE MAE AS4878 | 4/1/2030 | 3.000 | 9,948 | 10,264 | 10,271 | |||||
FANNIE MAE BE5622 | 1/1/2032 | 2.500 | 26,768 | 26,971 | 27,078 | |||||
FANNIE MAE BK0933 | 7/1/2033 | 3.500 | 17,975 | 18,179 | 18,670 | |||||
FANNIE MAE CA1265 | 2/1/2033 | 3.000 | 26,222 | 26,088 | 27,035 | |||||
FANNIE MAE CA2283 | 8/1/2033 | 3.500 | 18,691 | 18,664 | 19,481 | |||||
FANNIE MAE DF-2015-38 | 6/25/2055 | 2.001 | 21,517 | 21,378 | 21,399 | |||||
FANNIE MAE DF-2017-16 | 3/25/2047 | 2.129 | 5,427 | 5,449 | 5,414 | |||||
FANNIE MAE F-2019-31 | 7/25/2049 | 2.242 | 41,386 | 41,360 | 41,376 | |||||
FANNIE MAE FA-2013-1 | 2/25/2043 | 2.142 | 11,023 | 11,059 | 10,990 | |||||
FANNIE MAE FA-2015-55 | 8/25/2055 | 2.041 | 9,099 | 9,064 | 9,037 | |||||
FANNIE MAE FA-204624 | 12/15/2038 | 2.159 | 23,366 | 23,317 | 23,385 | |||||
FANNIE MAE FC-2017-51 | 7/25/2047 | 2.142 | 34,823 | 34,928 | 34,571 | |||||
FANNIE MAE FC-2018-73 | 10/25/2048 | 2.092 | 51,385 | 51,230 | 50,894 | |||||
FANNIE MAE FC-2019-76 | 12/25/2049 | 2.292 | 29,776 | 29,767 | 29,743 | |||||
FANNIE MAE FK-2010-123 | 11/25/2040 | 2.242 | 9,958 | 10,046 | 9,922 | |||||
FANNIE MAE FL-2017-4 | 2/25/2047 | 2.159 | 10,324 | 10,324 | 10,342 | |||||
FANNIE MAE FT-2016-84 | 11/25/2046 | 2.292 | 17,241 | 17,398 | 17,240 | |||||
FANNIE MAE GF-204639 | 3/15/2036 | 2.159 | 22,834 | 22,787 | 22,856 | |||||
FANNIE MAE HYBRID ARM 566074 | 5/1/2031 | 4.775 | 259 | 259 | 270 | |||||
FANNIE MAE HYBRID ARM 584507 | 6/1/2031 | 4.599 | 112 | 112 | 118 | |||||
FANNIE MAE KF-2015-27 | 5/25/2045 | 2.092 | 12,064 | 12,030 | 11,997 | |||||
FANNIE MAE MA0598 | 12/1/2020 | 3.500 | 319 | 320 | 330 | |||||
FANNIE MAE MA1144 | 8/1/2027 | 2.500 | 5,641 | 5,784 | 5,707 | |||||
FANNIE MAE MA3391 | 6/1/2033 | 3.000 | 19,382 | 19,201 | 19,885 | |||||
FANNIE MAE WF-2016-68 | 10/25/2046 | 2.159 | 5,913 | 5,920 | 5,906 | |||||
FANNIE MAE_15-50 | 7/25/2045 | 2.041 | 21,539 | 21,517 | 21,445 | |||||
FANNIE MAE_15-93 | 8/25/2045 | 2.142 | 12,328 | 12,294 | 12,255 | |||||
FANNIE MAE_16-11 | 3/25/2046 | 2.259 | 8,949 | 8,959 | 8,962 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FANNIE MAE AL1037 | 1/1/2037 | 3.261 | 1,204 | 1,273 | 1,224 | ||||||||||||||||||
FANNIE MAE AL2269 | 10/1/2040 | 3.783 | 974 | 1,033 | 987 | ||||||||||||||||||
FANNIE MAE AL3935 | 9/1/2037 | 3.720 | 2,904 | 3,052 | 2,941 | ||||||||||||||||||
FANNIE MAE AL3961 | 2/1/2039 | 2.644 | 929 | 978 | 935 | ||||||||||||||||||
FANNIE MAE AO8746 | 8/1/2027 | 2.500 | 3,921 | 3,987 | 3,745 | ||||||||||||||||||
FANNIE MAE ARM 190726 | 3/1/2033 | 5.402 | 16 | 16 | 16 | ||||||||||||||||||
FANNIE MAE ARM 249907 | 2/1/2024 | 2.750 | 3 | 3 | 3 | ||||||||||||||||||
FANNIE MAE ARM 303259 | 3/1/2025 | 2.480 | 4 | 4 | 3 | ||||||||||||||||||
FANNIE MAE ARM 545786 | 6/1/2032 | 3.290 | 142 | 143 | 141 | ||||||||||||||||||
FANNIE MAE ARM 620293 | 1/1/2032 | 4.400 | 23 | 23 | 23 | ||||||||||||||||||
FANNIE MAE ARM 651629 | 8/1/2032 | 3.935 | 21 | 21 | 20 | ||||||||||||||||||
FANNIE MAE ARM 655646 | 8/1/2032 | 3.965 | 69 | 69 | 68 | ||||||||||||||||||
FANNIE MAE ARM 655798 | 8/1/2032 | 3.854 | 157 | 157 | 155 | ||||||||||||||||||
FANNIE MAE ARM 661349 | 9/1/2032 | 4.270 | 67 | 67 | 68 | ||||||||||||||||||
FANNIE MAE ARM 661744 | 10/1/2032 | 4.062 | 99 | 99 | 100 | ||||||||||||||||||
FANNIE MAE ARM 664750 | 10/1/2032 | 3.863 | 56 | 56 | 55 | ||||||||||||||||||
FANNIE MAE ARM 670731 | 11/1/2032 | 3.540 | 49 | 49 | 48 | ||||||||||||||||||
FANNIE MAE ARM 670779 | 11/1/2032 | 3.435 | 220 | 220 | 216 | ||||||||||||||||||
FANNIE MAE ARM 670890 | 12/1/2032 | 3.665 | 74 | 75 | 73 | ||||||||||||||||||
FANNIE MAE ARM 670912 | 12/1/2032 | 3.665 | 54 | 54 | 52 | ||||||||||||||||||
FANNIE MAE ARM 670947 | 12/1/2032 | 3.665 | 129 | 130 | 126 | ||||||||||||||||||
FANNIE MAE ARM 722779 | 9/1/2033 | 2.788 | 57 | 57 | 56 | ||||||||||||||||||
FANNIE MAE ARM 733525 | 8/1/2033 | 3.750 | 219 | 212 | 218 | ||||||||||||||||||
FANNIE MAE ARM 739194 | 9/1/2033 | 3.854 | 240 | 241 | 240 | ||||||||||||||||||
FANNIE MAE ARM 743256 | 10/1/2033 | 3.859 | 53 | 53 | 53 | ||||||||||||||||||
FANNIE MAE ARM 743856 | 11/1/2033 | 4.227 | 29 | 29 | 30 | ||||||||||||||||||
FANNIE MAE ARM 758873 | 12/1/2033 | 3.911 | 46 | 46 | 46 | ||||||||||||||||||
FANNIE MAE HYBRID ARM 566074 | 5/1/2031 | 3.334 | 148 | 148 | 146 | ||||||||||||||||||
FANNIE MAE HYBRID ARM 584507 | 6/1/2031 | 3.589 | 87 | 87 | 88 | ||||||||||||||||||
FANNIE MAE MA1144 | 8/1/2027 | 2.500 | 1,840 | 1,873 | 1,747 | ||||||||||||||||||
FREDDIE MAC 2A-AOT-76 | 10/25/2037 | 2.016 | 3,529 | 3,588 | 3,018 | ||||||||||||||||||
FREDDIE MAC 4363 2014 FA | 9/15/2041 | 3.027 | 1,425 | 1,427 | 1,368 | ||||||||||||||||||
FREDDIE MAC GF-204367 | 3/15/2037 | 4.470 | 6,827 | 6,814 | 6,584 | ||||||||||||||||||
FANNIE MAE F-2019-31 | 7/25/2049 | 4.839 | 20,466 | 20,456 | 19,831 | ||||||||||||||||||
FREDDIE MAC AF-204774 | 7/15/2042 | 4.420 | 3,897 | 3,891 | 3,854 | ||||||||||||||||||
FREDDIE MAC FHLMC_22-5278 | 11/25/2052 | 4.728 | 82,438 | 82,438 | 81,773 | ||||||||||||||||||
FREDDIE MAC F2-20350 | 9/15/2040 | 3.008 | 11,916 | 11,905 | 11,631 | ||||||||||||||||||
FREDDIE MAC FD-203928 | 9/15/2041 | 4.738 | 13,720 | 13,816 | 13,452 | ||||||||||||||||||
FREDDIE MAC 4159 FD | 1/15/2043 | 4.668 | 3,344 | 3,355 | 3,284 | ||||||||||||||||||
FREDDIE MAC 4248 | 5/15/2041 | 4.768 | 5,327 | 5,335 | 5,234 | ||||||||||||||||||
FREDDIE MAC FD-204301 | 7/15/2037 | 4.718 | 4,646 | 4,674 | 4,558 | ||||||||||||||||||
FREDDIE MAC 4448 | 5/15/2040 | 4.440 | 3,870 | 3,850 | 3,734 | ||||||||||||||||||
FREDDIE MAC WF-204491 | 8/15/2039 | 4.440 | 2,360 | 2,357 | 2,317 | ||||||||||||||||||
FREDDIE MAC FL-204523 | 8/15/2038 | 4.470 | 3,660 | 3,637 | 3,543 | ||||||||||||||||||
FREDDIE MAC FA-204547 | 9/15/2040 | 4.570 | 3,309 | 3,303 | 3,212 | ||||||||||||||||||
FREDDIE MAC AF-204559 | 3/15/2042 | 4.620 | 4,275 | 4,258 | 4,216 | ||||||||||||||||||
FREDDIE MAC KF-204560 | 7/15/2040 | 4.670 | 5,057 | 5,047 | 5,034 |
FREDDIE MAC 4159 FD | 1/15/2043 | 2.090 | 6,749 | 6,769 | 6,723 | |||||
FREDDIE MAC 4363 2014 FA | 9/15/2041 | 2.402 | 3,461 | 3,468 | 3,442 | |||||
FREDDIE MAC FB-204495 | 11/15/2038 | 2.041 | 11,899 | 11,847 | 11,858 | |||||
FREDDIE MAC LF-204475 | 4/15/2040 | 2.001 | 2,904 | 2,903 | 2,895 | |||||
FREDDIE MAC WF-204491 | 8/15/2039 | 2.011 | 5,587 | 5,583 | 5,571 | |||||
FREDDIE MAC 1H2520 | 6/1/2035 | 4.668 | 2,985 | 3,157 | 3,154 | |||||
FREDDIE MAC 1N1474 | 5/1/2037 | 4.203 | 257 | 267 | 269 | |||||
FREDDIE MAC 1Q1515 | 11/1/2038 | 4.531 | 11,399 | 12,034 | 11,974 | |||||
FREDDIE MAC 1Q1540 | 6/1/2040 | 4.583 | 4,175 | 4,458 | 4,376 | |||||
FREDDIE MAC 1Q1548 | 8/1/2038 | 4.399 | 5,299 | 5,573 | 5,563 | |||||
FREDDIE MAC 1Q1572 | 5/1/2038 | 4.538 | 8,473 | 8,940 | 8,887 | |||||
FREDDIE MAC 2A-AOT-76 | 10/25/2037 | 2.281 | 6,130 | 6,241 | 6,545 | |||||
FREDDIE MAC 4595 | 10/15/2037 | 2.259 | 7,672 | 7,672 | 7,692 | |||||
FREDDIE MAC 781884 | 8/1/2034 | 4.325 | 326 | 330 | 344 | |||||
FREDDIE MAC 848416 | 2/1/2041 | 4.958 | 4,811 | 5,022 | 5,042 | |||||
FREDDIE MAC 848530 | 9/1/2039 | 4.424 | 2,581 | 2,725 | 2,710 | |||||
FREDDIE MAC 848922 | 4/1/2037 | 4.449 | 2,795 | 2,976 | 2,938 | |||||
FREDDIE MAC 849281 | 8/1/2037 | 4.426 | 4,579 | 4,873 | 4,838 | |||||
FREDDIE MAC AF-204559 | 3/15/2042 | 2.191 | 8,847 | 8,817 | 8,861 | |||||
FREDDIE MAC AF-204615 | 10/15/2038 | 2.059 | 4,941 | 4,926 | 4,938 | |||||
FREDDIE MAC AF-204774 | 7/15/2042 | 2.009 | 9,247 | 9,239 | 9,235 | |||||
FREDDIE MAC ARM 350190 | 5/1/2022 | 4.750 | 12 | 12 | 12 | |||||
FREDDIE MAC ARM 780514 | 5/1/2033 | 4.798 | 165 | 168 | 172 | |||||
FREDDIE MAC ARM 780845 | 9/1/2033 | 4.250 | 92 | 91 | 97 | |||||
FREDDIE MAC ARM 780903 | 9/1/2033 | 4.312 | 160 | 159 | 169 | |||||
FREDDIE MAC ARM 785363 | 2/1/2025 | 4.989 | 21 | 21 | 22 | |||||
FREDDIE MAC ARM 788941 | 12/1/2031 | 4.000 | 6 | 6 | 6 | |||||
FREDDIE MAC ARM 845154 | 7/1/2022 | 4.553 | 12 | 12 | 12 | |||||
FREDDIE MAC ARM 845654 | 2/1/2024 | 4.625 | 45 | 45 | 46 | |||||
FREDDIE MAC ARM 845730 | 11/1/2023 | 4.473 | 67 | 67 | 68 | |||||
FREDDIE MAC ARM 845733 | 4/1/2024 | 4.807 | 49 | 49 | 50 | |||||
FREDDIE MAC ARM 846702 | 10/1/2029 | 4.585 | 7 | 7 | 7 | |||||
FREDDIE MAC C90581 | 8/1/2022 | 5.500 | 38 | 37 | 40 | |||||
FREDDIE MAC C90582 | 9/1/2022 | 5.500 | 30 | 30 | 32 | |||||
FREDDIE MAC F2-20350 | 9/15/2040 | 2.059 | 27,768 | 27,749 | 27,435 | |||||
FREDDIE MAC F4-20328 | 2/15/2038 | 2.131 | 5,462 | 5,466 | 5,397 | |||||
FREDDIE MAC FA-204547 | 9/15/2040 | 2.159 | 7,643 | 7,632 | 7,652 | |||||
FREDDIE MAC FA-204822 | 5/15/2035 | 1.990 | 59,946 | 59,932 | 59,427 | |||||
FREDDIE MAC FD-203928 | 9/15/2041 | 2.160 | 26,077 | 26,261 | 25,949 | |||||
FREDDIE MAC FD-204301 | 7/15/2037 | 2.140 | 9,339 | 9,396 | 9,319 | |||||
FREDDIE MAC FL-204523 | 8/15/2038 | 2.041 | 9,541 | 9,488 | 9,514 | |||||
FREDDIE MAC G16485 | 5/1/2033 | 3.000 | 19,684 | 19,551 | 20,244 | |||||
FREDDIE MAC G30227 | 5/1/2023 | 5.500 | 156 | 158 | 168 | |||||
FREDDIE MAC GF-204367 | 3/15/2037 | 2.059 | 15,407 | 15,382 | 15,311 |
(in thousands) 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 | 4.670 | 2,896 | 2,896 | 2,852 | ||||||||||||||||||
FREDDIE MAC AF-204615 | 10/15/2038 | 4.470 | 2,246 | 2,238 | 2,184 | ||||||||||||||||||
FANNIE MAE GF-204639 | 3/15/2036 | 4.570 | 9,968 | 9,940 | 9,834 | ||||||||||||||||||
FREDDIE MAC WF-204681 | 8/15/2033 | 4.470 | 13,473 | 13,463 | 13,284 | ||||||||||||||||||
FREDDIE MAC WF-204697 | 6/15/2038 | 4.470 | 9,048 | 9,047 | 8,982 | ||||||||||||||||||
FREDDIE MAC WF-204730 | 8/15/2038 | 4.470 | 18,280 | 18,190 | 18,347 | ||||||||||||||||||
FREDDIE MAC FA-204822 | 5/15/2035 | 4.568 | 28,734 | 28,730 | 28,296 | ||||||||||||||||||
FREDDIE MAC_JF-204981 | 6/25/2050 | 4.789 | 16,456 | 16,455 | 16,143 | ||||||||||||||||||
FREDDIE MAC 4981 | 6/25/2050 | 4.789 | 39,695 | 39,942 | 38,430 | ||||||||||||||||||
FREDDIE MAC FHLMC_5080 | 3/25/2051 | 4.148 | 16,567 | 16,567 | 15,143 | ||||||||||||||||||
FREDDIE MAC G16485 | 5/1/2033 | 3.000 | 6,640 | 6,598 | 6,244 | ||||||||||||||||||
FREDDIE MAC J32518 | 8/1/2030 | 3.000 | 5,067 | 5,197 | 4,853 | ||||||||||||||||||
FREDDIE MAC G30227 | 5/1/2023 | 5.500 | 6 | 6 | 6 | ||||||||||||||||||
FREDDIE MAC F4-20328 | 2/15/2038 | 2.993 | 2,528 | 2,530 | 2,465 | ||||||||||||||||||
GINNIE MAE FB-2013-151 | 2/20/2040 | 4.703 | 7,963 | 7,998 | 7,803 | ||||||||||||||||||
GINNIE MAE LF-2015-82 | 4/20/2041 | 2.430 | 2,568 | 2,568 | 2,508 | ||||||||||||||||||
GINNIE MAE AF-2020-36 | 3/20/2050 | 4.803 | 27,240 | 27,276 | 26,460 | ||||||||||||||||||
GINNIE MAE II 082573 | 7/20/2040 | 2.625 | 1,605 | 1,659 | 1,568 | ||||||||||||||||||
GINNIE MAE II 082431 | 12/20/2039 | 1.750 | 1,577 | 1,636 | 1,535 | ||||||||||||||||||
GINNIE MAE II 082710 | 1/20/2041 | 2.625 | 1,175 | 1,219 | 1,161 | ||||||||||||||||||
GINNIE MAE FC-2009-8 | 2/16/2039 | 5.226 | 6,040 | 6,188 | 6,074 | ||||||||||||||||||
GINNIE MAE FA-2014-43 | 3/20/2044 | 4.753 | 6,638 | 6,644 | 6,494 | ||||||||||||||||||
GINNIE MAE AF-2014-94 | 11/20/2041 | 2.124 | 1,655 | 1,658 | 1,567 | ||||||||||||||||||
GINNIE MAE AF-2015-18 | 2/20/2040 | 2.660 | 4,487 | 4,493 | 4,383 | ||||||||||||||||||
GINNIE MAE FA-2016-115 | 8/20/2046 | 4.753 | 14,639 | 14,719 | 14,269 | ||||||||||||||||||
GINNIE MAE MF-2016-108 | 8/20/2046 | 4.420 | 552 | 550 | 532 | ||||||||||||||||||
GINNIE MAE FC-2018-67 | 5/20/2048 | 4.653 | 4,500 | 4,503 | 4,356 | ||||||||||||||||||
GINNIE MAE 18-66 | 5/20/2048 | 4.603 | 3,569 | 3,569 | 3,479 | ||||||||||||||||||
GINNIE MAE 18-168 | 12/20/2048 | 4.753 | 13,679 | 13,680 | 13,340 | ||||||||||||||||||
GINNIE MAE 19-143 | 11/20/2049 | 4.803 | 12,908 | 12,952 | 12,609 | ||||||||||||||||||
GINNIE MAE 22-18 | 1/20/2052 | 4.026 | 23,582 | 23,541 | 22,626 | ||||||||||||||||||
GINNIE MAE 22-207 | 12/20/2052 | 4.346 | 58,722 | 58,722 | 58,722 | ||||||||||||||||||
GINNIE MAE 22-213 | 12/20/2052 | 4.346 | 75,000 | 75,000 | 75,000 | ||||||||||||||||||
GINNIE MAE 22-99 | 6/20/2052 | 4.376 | 39,532 | 39,580 | 38,454 | ||||||||||||||||||
GINNIE MAE 22-137 | 8/20/2052 | 4.276 | 24,903 | 24,887 | 24,363 | ||||||||||||||||||
GINNIE MAE 22-168 | 9/20/2052 | 4.326 | 74,446 | 74,446 | 72,745 | ||||||||||||||||||
GINNIE MAE II 082464 | 1/20/2040 | 2.625 | 601 | 642 | 593 | ||||||||||||||||||
GINNIE MAE II 082497 | 3/20/2040 | 2.625 | 1,100 | 1,164 | 1,086 | ||||||||||||||||||
GINNIE MAE II 082581 | 7/20/2040 | 2.625 | 2,026 | 2,162 | 1,979 | ||||||||||||||||||
GINNIE MAE II 082602 | 8/20/2040 | 2.625 | 3,703 | 3,956 | 3,617 | ||||||||||||||||||
GINNIE MAE II 082794 | 4/20/2041 | 2.875 | 1,903 | 2,024 | 1,881 | ||||||||||||||||||
GINNIE MAE II ARM 8157 | 3/20/2023 | 2.625 | 1 | 1 | 1 | ||||||||||||||||||
GINNIE MAE II ARM 8638 | 6/20/2025 | 2.875 | 14 | 14 | 14 | ||||||||||||||||||
GINNIE MAE AF-2014-129 | 10/20/2041 | 2.588 | 2,366 | 2,363 | 2,294 | ||||||||||||||||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,524,766 | 1,488,648 |
FREDDIE MAC J32518 | 8/1/2030 | 3.000 | 11,590 | 11,954 | 11,954 | |||||
FREDDIE MAC KF-204560 | 7/15/2040 | 2.241 | 12,037 | 12,021 | 11,992 | |||||
FREDDIE MAC WF-204681 | 8/15/2033 | 2.059 | 26,791 | 26,793 | 26,788 | |||||
FREDDIE MAC WF-204697 | 6/15/2038 | 2.059 | 19,840 | 19,847 | 19,821 | |||||
FREDDIE MAC WF-204730 | 8/15/2038 | 2.059 | 39,086 | 38,902 | 38,612 | |||||
FREDDIE MAC_4248 | 5/15/2041 | 2.190 | 10,926 | 10,944 | 10,921 | |||||
FREDDIE MAC_4448 | 5/15/2040 | 2.029 | 8,646 | 8,601 | 8,580 | |||||
GINNIE MAE MF-2016-108 | 8/20/2046 | 2.009 | 1,800 | 1,792 | 1,770 | |||||
GINNIE MAE AF-2014-129 | 10/20/2041 | 2.009 | 5,287 | 5,282 | 5,303 | |||||
GINNIE MAE AF-2014-94 | 11/20/2041 | 2.159 | 3,918 | 3,926 | 3,888 | |||||
GINNIE MAE AF-2015-18 | 2/20/2040 | 2.039 | 9,865 | 9,879 | 9,866 | |||||
GINNIE MAE AF-2018-168 | 12/20/2048 | 2.165 | 43,302 | 43,309 | 43,270 | |||||
GINNIE MAE FA-2014-43 | 3/20/2044 | 2.165 | 15,519 | 15,533 | 15,413 | |||||
GINNIE MAE FA-2016-115 | 8/20/2046 | 2.165 | 32,995 | 33,172 | 32,986 | |||||
GINNIE MAE FB-2013-151 | 2/20/2040 | 2.115 | 19,376 | 19,460 | 19,176 | |||||
GINNIE MAE FC-2009-8 | 2/16/2039 | 2.640 | 11,611 | 11,896 | 11,872 | |||||
GINNIE MAE FC-2018-67 | 5/20/2048 | 2.065 | 14,708 | 14,721 | 14,675 | |||||
GINNIE MAE FD-2018-66 | 5/20/2048 | 2.015 | 8,393 | 8,393 | 8,347 | |||||
GINNIE MAE II 082431 | 12/20/2039 | 4.125 | 3,342 | 3,473 | 3,456 | |||||
GINNIE MAE II 082464 | 1/20/2040 | 4.000 | 1,560 | 1,673 | 1,617 | |||||
GINNIE MAE II 082497 | 3/20/2040 | 4.000 | 2,478 | 2,629 | 2,567 | |||||
GINNIE MAE II 082573 | 7/20/2040 | 3.250 | 3,209 | 3,321 | 3,319 | |||||
GINNIE MAE II 082581 | 7/20/2040 | 3.250 | 4,856 | 5,197 | 5,032 | |||||
GINNIE MAE II 082602 | 8/20/2040 | 3.250 | 7,800 | 8,360 | 8,082 | |||||
GINNIE MAE II 082710 | 1/20/2041 | 4.000 | 2,818 | 2,930 | 2,910 | |||||
GINNIE MAE II 082794 | 4/20/2041 | 3.875 | 4,567 | 4,868 | 4,724 | |||||
GINNIE MAE II ARM 8157 | 3/20/2023 | 4.000 | 25 | 25 | 25 | |||||
GINNIE MAE II ARM 8638 | 6/20/2025 | 3.875 | 46 | 46 | 46 | |||||
GINNIE MAE LF-2015-82 | 4/20/2041 | 2.009 | 5,623 | 5,625 | 5,609 | |||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,363,587 | 1,362,593 | ||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||
ADJUSTABLE RATE MORTGAGE TRUST 04-2 6A1 | 2/25/2035 | 4.222 | 262 | 264 | 266 | |||||
ANGEL OAK MORTGAGE TRUST A1-2017-1 | 1/25/2047 | 2.810 | 1,060 | 1,058 | 1,059 | |||||
ANGEL OAK MORTGAGE TRUST A1-2017-2 | 7/25/2047 | 2.478 | 10,554 | 10,545 | 10,536 | |||||
ANGEL OAK MORTGAGE TRUST A1-2018-2 | 7/27/2048 | 3.674 | 6,794 | 6,787 | 6,857 | |||||
ANGEL OAK MORTGAGE TRUST A1-2018-3 | 9/25/2048 | 3.649 | 14,736 | 14,721 | 14,896 | |||||
ANGEL OAK MORTGAGE TRUST A1-2019-1 | 11/25/2048 | 3.920 | 27,818 | 27,794 | 28,133 | |||||
APS RESECURITIZATION TRUST 1A-2016-3 | 11/27/2066 | 4.042 | 13,798 | 13,744 | 15,594 | |||||
APS RESECURITIZATION TRUST 2A-2015-1 | 8/28/2054 | 2.107 | 429 | 428 | 428 | |||||
APS RESECURITIZATION TRUST 2A-2016-3 | 11/27/2046 | 4.042 | 11,003 | 10,952 | 12,473 | |||||
ARROYO MORTGAGE TRUST A1-2019-1 | 1/25/2049 | 3.805 | 20,626 | 20,614 | 20,774 | |||||
ARROYO MORTGAGE TRUST A1-2019-3 | 10/25/2048 | 2.962 | 16,066 | 16,063 | 15,921 | |||||
BANK OF AMERICA FUNDING CORPORATION 7A1-2015-R4 | 11/27/2045 | 3.441 | 4,881 | 4,865 | 4,916 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
ADJUSTABLE RATE MORTGAGE TRUST ARMT_04-2 | 2/25/2035 | 3.798 | 86 | 86 | 84 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST AOMT_22-1 | 12/25/2066 | 2.881 | 27,928 | 27,919 | 24,741 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST AOMT_19-1 | 11/25/2048 | 3.920 | 278 | 278 | 276 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST AOMT_18-3 | 9/25/2048 | 3.649 | 126 | 126 | 125 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST AOMT_20-5 | 5/25/2065 | 1.373 | 5,245 | 5,242 | 4,656 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST AOMT_20-2 | 1/26/2065 | 2.531 | 1,730 | 1,746 | 1,560 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST AOMT_20-3 | 4/25/2065 | 1.691 | 4,745 | 4,742 | 4,186 | ||||||||||||||||||
ANGEL OAK MORTGAGE TRUST AOMT_21-8 | 11/25/2066 | 1.820 | 11,743 | 11,740 | 9,868 | ||||||||||||||||||
APS RESECURITIZATION TRUST APS_16-3 | 11/27/2066 | 6.639 | 5,691 | 5,679 | 7,250 | ||||||||||||||||||
APS RESECURITIZATION TRUST APS_16-3 | 11/27/2046 | 6.639 | 5,064 | 5,052 | 6,441 | ||||||||||||||||||
ARROYO MORTGAGE TRUST ARRW_19-1 | 1/25/2049 | 3.805 | 5,634 | 5,627 | 5,252 | ||||||||||||||||||
ARRW_19-3 | 10/25/2048 | 2.962 | 3,914 | 3,911 | 3,522 | ||||||||||||||||||
BANK OF AMERICA MORTGAGE SECURITIES BOAMS_04-E | 6/25/2034 | 3.587 | 680 | 677 | 644 | ||||||||||||||||||
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-RPL1 | 5/26/2059 | 2.500 | 12,185 | 12,338 | 11,215 | ||||||||||||||||||
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_22-NQM1 | 9/25/2061 | 3.626 | 20,041 | 20,019 | 18,786 | ||||||||||||||||||
BUNKER HILL LOAN DEPOSITARY TRUST BHLD_19-2 | 7/25/2049 | 2.879 | 6,236 | 6,231 | 5,817 | ||||||||||||||||||
BUNKER HILL LOAN DEPOSITARY TRUST BHLD_19-3 | 11/25/2059 | 2.724 | 2,868 | 2,866 | 2,738 | ||||||||||||||||||
CENTEX HOME EQUITY CXHE_03-A | 12/25/2031 | 4.250 | 288 | 287 | 285 | ||||||||||||||||||
CHASE MORTGAGE FINANCE CORPORATION CHASE_07-A1 | 2/25/2037 | 3.492 | 945 | 937 | 902 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_15-5 | 8/25/2034 | 3.619 | 532 | 532 | 523 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_15-RP2 CMLTI_15-PS1 | 9/25/2042 | 3.750 | 1,307 | 1,316 | 1,219 | ||||||||||||||||||
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_15-11 | 3/25/2035 | 3.525 | 437 | 436 | 428 | ||||||||||||||||||
COLT FUNDING LLC COLT_20-2R | 10/26/2065 | 1.325 | 6,117 | 6,114 | 5,297 | ||||||||||||||||||
COLT FUNDING LLC COLT_21-6 | 12/25/2066 | 1.907 | 21,708 | 21,702 | 18,446 | ||||||||||||||||||
COLT MORTGAGE LOAN TRUST COLT_22-2 | 2/25/2067 | 2.994 | 13,784 | 13,783 | 12,468 | ||||||||||||||||||
COLT MORTGAGE LOAN TRUST COLT_22-1 | 12/27/2066 | 2.284 | 21,554 | 21,548 | 18,751 | ||||||||||||||||||
COUNTRYWIDE HOME LOANS CWHL_03-46 | 1/19/2034 | 3.912 | 726 | 735 | 667 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_15-6R | 7/27/2035 | 3.275 | 215 | 215 | 213 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_17-FHA1 | 4/25/2047 | 3.250 | 9,961 | 10,040 | 8,844 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_17-RPL3 | 8/1/2057 | 4.000 | 17,326 | 17,837 | 15,563 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_19-NQM1 | 10/25/2059 | 2.656 | 1,264 | 1,263 | 1,195 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_20-SPT1 | 4/25/2065 | 1.616 | 1,935 | 1,934 | 1,873 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_22-ATH1 | 1/25/2067 | 2.870 | 15,338 | 15,334 | 13,994 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_22-ATH2 | 5/25/2067 | 4.547 | 19,113 | 19,111 | 18,566 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_17-RPL1 | 7/25/2057 | 2.750 | 7,612 | 7,601 | 6,948 | ||||||||||||||||||
CS FIRST BOSTON MORTGAGE SECURITIES CORP. CSFB_04-AR3 | 4/25/2034 | 3.452 | 197 | 199 | 179 | ||||||||||||||||||
CSMC TRUST CSMC_21-NQM8 | 10/25/2066 | 1.841 | 25,764 | 25,763 | 21,597 | ||||||||||||||||||
CREDIT SUISSE MORTGAGE TRUST CSMC_19-AFC1 | 7/25/2049 | 2.573 | 7,015 | 7,010 | 6,518 | ||||||||||||||||||
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_22-1 | 1/25/2067 | 2.205 | 22,487 | 22,476 | 19,516 | ||||||||||||||||||
ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_22-1 | 1/25/2067 | 2.206 | 22,006 | 22,001 | 18,639 | ||||||||||||||||||
ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_19-2 | 11/25/2059 | 2.739 | 5,266 | 5,261 | 4,867 | ||||||||||||||||||
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES FHAMS_04-AA4 | 10/25/2034 | 4.010 | 141 | 143 | 139 | ||||||||||||||||||
GCAT TRUST GCAT_22-HX1 | 12/27/2066 | 2.885 | 18,116 | 18,112 | 16,200 | ||||||||||||||||||
GCAT_19-NQM3 | 11/25/2059 | 2.686 | 4,031 | 4,028 | 3,730 | ||||||||||||||||||
GMAC MORTGAGE CORPORATION LOAN TRUST GMACM_04-AR2 | 8/19/2034 | 3.971 | 186 | 186 | 160 |
BANK OF AMERICA FUNDING CORPORATION A1-2016-R1 | 3/25/2040 | 2.500 | 13,901 | 13,845 | 13,819 | |||||
BANK OF AMERICA MORTGAGE SECURITY 2004-E 2A6 | 6/25/2034 | 4.777 | 1,477 | 1,469 | 1,487 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A1-2017-RT1 | 3/28/2057 | 3.000 | 9,355 | 9,397 | 9,424 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL1 | 4/28/2055 | 4.000 | 17,760 | 18,075 | 18,115 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL2 | 6/28/2053 | 4.000 | 18,998 | 19,337 | 19,330 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT5 | 5/28/2069 | 3.500 | 23,263 | 23,655 | 23,646 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT6 | 10/28/2057 | 3.500 | 21,199 | 21,524 | 21,399 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL1 | 10/28/2064 | 4.000 | 17,484 | 17,910 | 17,881 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL2 | 6/28/2054 | 4.000 | 18,670 | 19,134 | 18,992 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL3 | 11/28/2053 | 4.000 | 14,333 | 14,689 | 14,667 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL4 | 1/28/2055 | 3.500 | 16,610 | 16,896 | 16,795 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL5 | 6/28/2057 | 3.500 | 18,798 | 19,190 | 19,087 | |||||
BCAP LLC TRUST 3A1-2014-RR2 | 9/26/2046 | 3.284 | 1,640 | 1,626 | 1,647 | |||||
BCAP LLC TRUST 4A1-2013-RR7 | 12/27/2034 | 4.162 | 1,034 | 1,035 | 1,038 | |||||
BRAVO RESIDENTIAL FUNDING TRUST A1-2019-NQM2 | 11/25/2059 | 2.748 | 24,060 | 24,060 | 24,018 | |||||
BUNKER HILL LOAN DEPOSITARY A1-2019-1 | 10/26/2048 | 3.613 | 19,794 | 19,784 | 19,812 | |||||
BUNKER HILL LOAN DEPOSITARY A1-2019-2 | 7/25/2049 | 2.880 | 22,842 | 22,835 | 22,692 | |||||
BUNKER HILL LOAN DEPOSITARY A1-2019-3 | 11/25/2059 | 2.724 | 14,852 | 14,851 | 14,837 | |||||
CENTEX HOME EQUITY 2003-A AF4 | 12/25/2031 | 4.250 | 985 | 978 | 991 | |||||
CHASE MORTGAGE FINANCE 07-A1 1A5 | 2/25/2037 | 4.574 | 2,490 | 2,468 | 2,531 | |||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2014-11 | 10/25/2035 | 4.417 | 2,556 | 2,565 | 2,561 | |||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-11 | 3/25/2035 | 4.021 | 7,611 | 7,635 | 7,741 | |||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-9 | 2/20/2036 | 3.716 | 1,069 | 1,069 | 1,067 | |||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2015-9 | 2/25/2036 | 3.979 | 3,506 | 3,508 | 3,509 | |||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2015-5 | 8/25/2034 | 4.195 | 3,657 | 3,684 | 3,733 | |||||
CITIGROUP MORTGAGE LOAN TRUST 4A1-2015-5 | 4/20/2035 | 3.900 | 7,465 | 7,488 | 7,513 | |||||
CITIGROUP MORTGAGE LOAN TRUST 5A1-2015-5 | 1/25/2036 | 2.208 | 1,472 | 1,461 | 1,464 | |||||
CITIGROUP MORTGAGE LOAN TRUST A1-2015-PS1 | 9/25/2042 | 3.750 | 7,013 | 7,090 | 7,145 | |||||
CITIGROUP MORTGAGE LOAN TRUST A1-2019-IMC1 | 7/25/2049 | 2.720 | 31,402 | 31,378 | 31,297 | |||||
CITIGROUP MORTGAGE LOAN TRUST A4-2015-A | 6/25/2058 | 4.250 | 487 | 503 | 505 | |||||
COLT FUNDING LLC A1-2018-4 | 12/28/2048 | 4.006 | 11,251 | 11,244 | 11,297 | |||||
COLT FUNDING LLC A1-2019-1 | 3/25/2049 | 3.705 | 17,987 | 17,979 | 18,076 | |||||
COLT FUNDING LLC_ A1-2019-3 | 8/25/2049 | 2.764 | 8,154 | 8,152 | 8,148 | |||||
COMMERCIAL TRUST CORPORATION A-2017-7 | 4/25/2057 | 3.000 | 11,450 | 11,507 | 11,495 | |||||
COUNTRYWIDE HOME LOANS 03-46 4A1 | 1/19/2034 | 3.910 | 2,214 | 2,264 | 2,240 | |||||
COUNTYWIDE ALTERNATIVE LOAN 04-33 2A1 | 12/25/2034 | 3.904 | 80 | 81 | 83 | |||||
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES 04-AR3 | 4/25/2034 | 4.260 | 1,555 | 1,574 | 1,591 | |||||
CREDIT SUISSE MORTGAGE CAPITAL 10-17R 1A1 | 6/26/2036 | 4.254 | 203 | 203 | 203 | |||||
CREDIT SUISSE MORTGAGE CAPITAL 3A1-2015-7R | 10/27/2036 | 1.932 | 8,566 | 8,380 | 8,397 | |||||
CREDIT SUISSE MORTGAGE CAPITAL A6-2015-1R | 12/27/2035 | 4.121 | 1,835 | 1,839 | 1,850 | |||||
CREDIT SUISSE MORTGAGE CAPITAL CLASS-20-125 | 7/25/2049 | 2.573 | 37,439 | 37,428 | 37,296 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL 15A1-2014-11 | 1/27/2036 | 3.895 | 2,852 | 2,852 | 2,869 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL 1A1-2015-6R | 7/27/2035 | 4.343 | 4,599 | 4,621 | 4,695 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL 5A1-2014-5R | 7/27/2037 | 2.500 | 650 | 650 | 647 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
GMAC MORTGAGE CORPORATION LOAN TRUST GMACM_04-AR2 | 8/19/2034 | 3.417 | 113 | 113 | 97 | ||||||||||||||||||
GS MORTGAGE SECURITIES TRUST GSMBS_18-RPL1 | 10/25/2057 | 3.750 | 5,547 | 5,500 | 5,236 | ||||||||||||||||||
GSR MORTGAGE LOAN TRUST GSR_05-AR1 | 1/25/2035 | 4.217 | 612 | 613 | 558 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST HVMLT_04-7 | 11/19/2034 | 3.426 | 185 | 184 | 167 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST HVMLT_04-1 | 4/19/2034 | 4.154 | 99 | 100 | 93 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST HVMLT_04-10 | 1/19/2035 | 3.606 | 124 | 125 | 114 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST HVMLT_04-4 | 6/19/2034 | 4.893 | 29 | 29 | 27 | ||||||||||||||||||
HARBORVIEW MORTGAGE LOAN TRUST HVMLT_04-6 | 8/19/2034 | 3.776 | 73 | 73 | 65 | ||||||||||||||||||
IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM4 | 1/25/2057 | 2.091 | 27,546 | 27,541 | 23,095 | ||||||||||||||||||
JP MORGAN MORTGAGE TRUST JPMMT_19-LTV2 | 12/25/2049 | 5.289 | 102 | 102 | 101 | ||||||||||||||||||
MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_21-INV3 | 10/25/2051 | 2.500 | 22,602 | 22,891 | 18,158 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS INC MLMI_05-A2 | 2/25/2035 | 3.046 | 392 | 392 | 358 | ||||||||||||||||||
METLIFE SECURITIZATION TRUST MST_17-1A | 4/25/2055 | 3.000 | 6,013 | 6,040 | 5,613 | ||||||||||||||||||
METLIFE SECURITIZATION TRUST MST_18-1A | 3/25/2057 | 3.750 | 5,761 | 5,763 | 5,409 | ||||||||||||||||||
MFA TRUST MFRA_20-NQM3 | 1/26/2065 | 1.014 | 2,582 | 2,581 | 2,289 | ||||||||||||||||||
MILL CITY MORTGAGE LOAN TRUST MCMLT_17-3 | 1/25/2061 | 2.750 | 4,736 | 4,736 | 4,489 | ||||||||||||||||||
MILL CITY MORTGAGE TRUST MCMLT_17-2 | 7/25/2059 | 2.750 | 2,327 | 2,326 | 2,276 | ||||||||||||||||||
MILL CITY MORTGAGE TRUST MCMLT_18-3 | 8/25/2058 | 3.472 | 2,848 | 2,886 | 2,701 | ||||||||||||||||||
MILL CITY MORTGAGE TRUST MCMLT_19-1 | 10/25/2069 | 3.250 | 4,681 | 4,711 | 4,402 | ||||||||||||||||||
MILL CITY MORTGAGE TRUST MCMLT_19-GS1 | 7/25/2059 | 2.750 | 6,082 | 6,092 | 5,652 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS TRUST MLCC_04-1 | 12/25/2034 | 3.139 | 101 | 101 | 92 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS TRUST MLMI_03-A5 | 8/25/2033 | 3.494 | 205 | 204 | 189 | ||||||||||||||||||
MERRILL LYNCH MORTGAGE INVESTORS INC MLMI_05-A1 | 12/25/2034 | 4.180 | 117 | 117 | 113 | ||||||||||||||||||
MORGAN STANLEY MORTGAGE LOAN TRUST MSM_04-10AR | 11/25/2034 | 4.402 | 203 | 205 | 186 | ||||||||||||||||||
MORGAN STANLEY MORTGAGE LOAN TRUST MSM_04-10AR | 11/25/2034 | 4.023 | 89 | 90 | 83 | ||||||||||||||||||
MSRR_15-R7 | 6/26/2035 | 3.548 | 564 | 563 | 551 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-NQM4 | 9/25/2059 | 2.492 | 1,555 | 1,554 | 1,410 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_17-3A | 4/25/2057 | 4.000 | 8,799 | 9,022 | 8,304 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_16-1A | 3/25/2056 | 3.750 | 4,063 | 4,171 | 3,734 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_16-2A | 11/26/2035 | 3.750 | 2,872 | 2,930 | 2,659 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_16-3A | 9/25/2056 | 3.750 | 7,705 | 7,927 | 7,063 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_17-1A | 2/25/2057 | 4.000 | 6,902 | 7,048 | 6,487 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_17-2A | 3/25/2057 | 4.000 | 8,288 | 8,516 | 7,765 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_16-4A | 11/25/2056 | 3.750 | 8,574 | 8,805 | 7,700 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_17-6A | 8/27/2057 | 4.000 | 6,617 | 6,767 | 6,135 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3 | 7/25/2059 | 2.750 | 9,078 | 9,272 | 8,435 | ||||||||||||||||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_14-3A | 11/25/2054 | 3.750 | 1,458 | 1,482 | 1,333 | ||||||||||||||||||
NATIONSTAR MORTGAGE LOAN TRUST NSMLT_13-A | 12/25/2052 | 3.750 | 610 | 619 | 558 | ||||||||||||||||||
OCEANVIEW MORTGAGE LOAN TRUST OVMLT_20-1 | 5/28/2050 | 1.733 | 2,844 | 2,842 | 2,523 | ||||||||||||||||||
ONSLOW BAY FINANCIAL LLC OBX_21-INV1 | 9/25/2051 | 2.500 | 20,963 | 21,202 | 16,824 | ||||||||||||||||||
RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-2 | 5/25/2059 | 2.913 | 2,137 | 2,134 | 2,081 | ||||||||||||||||||
RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3 | 9/25/2059 | 2.633 | 2,684 | 2,680 | 2,595 | ||||||||||||||||||
RUN_22-NQM1 | 3/25/2067 | 4.000 | 9,493 | 9,423 | 9,062 | ||||||||||||||||||
SASC_03-24A | 7/25/2033 | 4.481 | 254 | 256 | 237 | ||||||||||||||||||
STAR_20-3 | 4/25/2065 | 1.486 | 2,154 | 2,153 | 1,984 |
CREDIT SUISSE MORTGAGE CAPTIAL A1-2017-FHA1 | 4/25/2047 | 3.250 | 15,424 | 15,580 | 15,416 | |||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL1 | 7/25/2057 | 2.750 | 16,929 | 16,911 | 16,778 | |||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL3 | 8/1/2057 | 4.000 | 35,761 | 37,000 | 37,288 | |||||
CREDIT SUISSE MORTGAGE TRUST A1-2019-NQM1 | 10/25/2059 | 2.656 | 9,650 | 9,650 | 9,646 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-1A | 12/26/2046 | 2.725 | 5,104 | 5,098 | 5,081 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-2A | 6/25/2047 | 2.453 | 8,937 | 8,930 | 8,923 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-3A | 10/25/2047 | 2.577 | 3,894 | 3,890 | 3,892 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2018-4A | 10/25/2058 | 4.080 | 23,555 | 23,525 | 23,691 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2019-1A | 1/25/2059 | 3.743 | 26,002 | 25,988 | 26,201 | |||||
ELLINGTON FINANCIAL MORTGAGE A1-2019-2 | 11/25/2059 | 2.739 | 24,447 | 24,446 | 24,367 | |||||
FIRST HORIZON ALTERNATIVE MORTGAGE 04-AA4 A1 | 10/25/2034 | 3.973 | 385 | 389 | 386 | |||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 3A | 8/19/2034 | 4.662 | 386 | 387 | 380 | |||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 5A1 | 8/19/2034 | 4.665 | 271 | 271 | 275 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR1 2A1 | 1/25/2035 | 4.094 | 1,202 | 1,206 | 1,199 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 2A-2014-4R | 8/26/2035 | 4.446 | 1,595 | 1,600 | 1,604 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION A1A-2018-RPL | 10/25/2057 | 3.750 | 13,217 | 13,046 | 13,496 | |||||
GOVERNMENTAL COLLECTORS ASSOCIATION OF TEXAS A1-2019-NQM2 | 9/25/2059 | 2.855 | 36,976 | 36,970 | 36,782 | |||||
GOVERNMENTAL COLLECTORS ASSOCIATION OF TEXAS A1-2019-NQM3 | 11/25/2059 | 2.686 | 19,755 | 19,753 | 19,649 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 04-10 4A | 1/19/2035 | 4.021 | 301 | 304 | 301 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 04-7 3A1 | 11/19/2034 | 3.914 | 455 | 452 | 459 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-1 4A | 4/19/2034 | 4.247 | 258 | 259 | 265 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-4 3A | 6/19/2034 | 2.816 | 47 | 46 | 46 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-6 5A | 8/19/2034 | 4.675 | 134 | 133 | 133 | |||||
HOMEWARD OPPORTUNITIES A1-2018-2 | 11/25/2058 | 3.985 | 29,330 | 29,312 | 29,803 | |||||
HOMEWARD OPPORTUNITIES FUND I A1-2018-1 | 6/25/2048 | 3.766 | 12,375 | 12,366 | 12,504 | |||||
J.P. MORGAN MORTGAGE TRUST A11-2019-LTV | 12/25/2049 | 2.692 | 8,592 | 8,592 | 8,557 | |||||
JEFFERIES & CO A1-2015-R1 | 12/26/2036 | 1.848 | 2,728 | 2,672 | 2,691 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 03-A5 2A6A | 8/25/2033 | 4.167 | 590 | 588 | 598 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 04-1 2A2 | 12/25/2034 | 3.944 | 216 | 217 | 212 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A1 2A | 12/25/2034 | 4.221 | 350 | 351 | 362 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A2 A2 | 2/25/2035 | 4.359 | 814 | 814 | 805 | |||||
METLIFE SECURITIZATION TRUST A-2017-1A | 4/25/2055 | 3.000 | 15,210 | 15,332 | 15,380 | |||||
METLIFE SECURITIZATION TRUST A-2018-1A | 3/25/2057 | 3.750 | 13,682 | 13,699 | 14,212 | |||||
MFA TRUST A1-2017-RPL1 | 2/25/2057 | 2.588 | 15,758 | 15,745 | 15,703 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2016-1 | 4/25/2057 | 2.500 | 8,635 | 8,654 | 8,632 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-1 | 11/25/2058 | 2.750 | 18,207 | 18,154 | 18,272 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-2 | 7/25/2059 | 2.750 | 20,185 | 20,291 | 20,257 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-3 | 1/25/2061 | 2.750 | 20,684 | 20,752 | 20,748 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2018-3 | 8/25/2058 | 3.500 | 7,387 | 7,589 | 7,559 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2019-1 | 10/25/2069 | 3.250 | 9,892 | 10,012 | 10,075 | |||||
MILL CITY MORTGAGE TRUST A1-2019-GS1 | 7/25/2059 | 2.750 | 14,509 | 14,575 | 14,582 | |||||
MORGAN STANLEY MORTGAGE LOAN 04-10AR A1 | 11/25/2034 | 4.453 | 259 | 261 | 266 | |||||
MORGAN STANLEY MORTGAGE LOAN PT2A | 11/25/2034 | 4.126 | 386 | 392 | 389 | |||||
MORGAN STANLEY REREMIC TRUST 2014-R6 A | 9/26/2035 | 4.339 | 2,819 | 2,821 | 2,850 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_22-1 | 12/25/2066 | 2.447 | 26,004 | 25,996 | 22,277 | ||||||||||||||||||
STRUCTURED ASSET INVESTMENT LOAN TRUST SAIL_03-BC5 | 6/25/2033 | 5.141 | 979 | 956 | 968 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST TPMT_17-3 | 7/25/2057 | 2.750 | 2,885 | 2,885 | 2,772 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST TPMT_15-3 | 3/25/2054 | 3.500 | 109 | 109 | 108 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST TPMT_17-4 | 6/25/2057 | 2.750 | 5,520 | 5,527 | 5,100 | ||||||||||||||||||
TOWD POINT MORTGAGE TRUST TPMT_19-HY1 | 10/25/2048 | 5.389 | 2,365 | 2,371 | 2,346 | ||||||||||||||||||
UWM MORTGAGE TRUST UWM_21-INV1 | 9/25/2051 | 2.500 | 22,526 | 22,871 | 18,125 | ||||||||||||||||||
VERUS SECURITIZATION TRUST VERUS_19-4 | 11/25/2059 | 2.642 | 1,892 | 1,890 | 1,801 | ||||||||||||||||||
VERUS SECURITIZATION TRUST VERUS_19-INV3 | 11/25/2059 | 2.692 | 4,195 | 4,191 | 3,983 | ||||||||||||||||||
VERUS SECURITIZATION TRUST VERUS_21-R1 | 10/25/2063 | 0.820 | 6,710 | 6,708 | 5,901 | ||||||||||||||||||
VERUS SECURITIZATION TRUST VERUS_21-7 | 10/25/2066 | 1.829 | 16,342 | 16,338 | 13,998 | ||||||||||||||||||
VERUS SECURITIZATION TRUST VERUS_22-1 | 1/25/2067 | 2.724 | 18,187 | 18,182 | 16,146 | ||||||||||||||||||
VISIO_19-2 | 11/25/2054 | 2.722 | 12,423 | 12,368 | 11,608 | ||||||||||||||||||
WAMU MORTGAGE PASS-THROUGH CERTIFICATES WAMU_03-AR6 | 6/25/2033 | 3.390 | 276 | 275 | 254 | ||||||||||||||||||
WAMU MORTGAGE PASS-THROUGH CERTIFICATES WAMU_04-AR10 | 7/25/2044 | 3.714 | 184 | 185 | 167 | ||||||||||||||||||
WAMU MORTGAGE PASS-THROUGH CERTIFICATES WAMU_05-AR3 | 3/25/2035 | 2.868 | 408 | 408 | 368 | ||||||||||||||||||
WAMU MORTGAGE PASS-THROUGH CERTIFICATES WAMU_05-AR4 | 4/25/2035 | 2.986 | 1,224 | 1,220 | 1,087 | ||||||||||||||||||
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST WFMBS_04-K | 7/25/2034 | 3.668 | 315 | 323 | 316 | ||||||||||||||||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 685,867 | 611,216 | |||||||||||||||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES | 2,210,633 | 2,099,864 |
ASSET BACKED SECURITIES | |||||||||||||||||||||||
AFFIRM ASSET SECURITIZATION TRUST AFFRM_22-A | 5/17/2027 | 4.300 | 18,000 | 17,644 | 17,083 | ||||||||||||||||||
ALLY AUTO RECEIVABLES TRUST ALLYA_22-3 | 6/16/2025 | 5.290 | 25,000 | 24,999 | 25,107 | ||||||||||||||||||
ALLY AUTO RECEIVABLES TRUST ALLYA_22-3 | 4/15/2027 | 5.070 | 16,800 | 16,799 | 16,867 | ||||||||||||||||||
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_22-4 | 5/13/2026 | 6.200 | 36,109 | 36,107 | 36,123 | ||||||||||||||||||
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_22-2 | 12/18/2025 | 4.200 | 35,218 | 35,216 | 34,943 | ||||||||||||||||||
APIDOS CLO APID_15-20A | 7/16/2031 | 5.179 | 20,000 | 20,000 | 19,683 | ||||||||||||||||||
APIDOS CLO APID_20-33A | 10/24/2034 | 5.475 | 22,000 | 22,000 | 21,455 | ||||||||||||||||||
BAIN CAPITAL CREDIT CLO BCC_20-5A | 1/20/2032 | 5.463 | 40,000 | 40,000 | 39,323 | ||||||||||||||||||
BALLYROCK LTD BALLY_18-1A | 4/20/2031 | 5.243 | 40,000 | 40,000 | 39,343 | ||||||||||||||||||
BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_10-1 | 2/25/2035 | 5.899 | 17,853 | 17,755 | 17,737 | ||||||||||||||||||
BROAD RIVER BSL FUNDING CLO BDRVR_20-1 | 7/20/2034 | 5.413 | 16,000 | 16,000 | 15,486 | ||||||||||||||||||
CIFC FUNDING LTD CIFC_17-1A | 4/23/2029 | 5.288 | 12,186 | 12,067 | 12,065 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES CGMS_13-3A | 10/15/2030 | 5.179 | 12,239 | 12,248 | 12,102 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES CGMS_13-4A | 1/15/2031 | 5.079 | 19,710 | 19,709 | 19,464 | ||||||||||||||||||
CARLYLE GLOBAL MARKET STRATEGIES CGMS_14-1A | 4/17/2031 | 5.049 | 29,909 | 29,178 | 29,434 | ||||||||||||||||||
CARMAX AUTO OWNER TRUST CARMX_22-4 | 12/15/2025 | 4.707 | 37,500 | 37,500 | 37,616 | ||||||||||||||||||
COLLEGE LOAN CORPORATION TRUST COLLE_02-2 | 3/1/2042 | 3.586 | 10,000 | 8,965 | 9,909 | ||||||||||||||||||
DT AUTO OWNER TRUST DTAOT_22-3 | 10/15/2026 | 6.050 | 42,822 | 42,820 | 42,943 | ||||||||||||||||||
DRYDEN SENIOR LOAN FUND DRSLF_18-55A | 4/15/2031 | 5.099 | 12,000 | 12,000 | 11,841 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA INC EDUSA_12-2 | 4/25/2039 | 5.119 | 1,288 | 1,287 | 1,285 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA INC EDUSA_14-1 | 2/25/2039 | 5.089 | 4,331 | 4,291 | 4,262 | ||||||||||||||||||
EDUCATIONAL SERVICES OF AMERICA INC EDUSA_14-3 | 2/25/2036 | 4.989 | 372 | 367 | 363 | ||||||||||||||||||
EXETER AUTOMOBILE RECEIVABLES TRUST EART_22-3 | 8/15/2024 | 3.450 | 23,056 | 23,056 | 23,009 | ||||||||||||||||||
EXETER AUTOMOBILE RECEIVABLES TRUST EART_22-6 | 11/17/2025 | 5.730 | 34,410 | 34,410 | 34,438 | ||||||||||||||||||
EXETER AUTOMOBILE RECEIVABLES TRUST EART_22-6 | 8/17/2026 | 5.700 | 10,000 | 9,999 | 10,029 |
MORGAN STANLEY REREMIC TRUST 2A-2014-R4 | 8/26/2034 | 4.288 | 4,754 | 4,778 | 4,812 | |||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R7 | 6/26/2035 | 4.365 | 2,991 | 2,997 | 3,101 | |||||
MORGAN STANLEY REREMIC TRUST 3A-2014-R4 | 8/26/2034 | 4.174 | 4,042 | 4,059 | 4,071 | |||||
MORGAN STANLEY REREMIC TRUST 5A-2013-R9 | 6/26/2046 | 1.965 | 4,551 | 4,488 | 4,481 | |||||
MORGAN STANLEY REREMIC TRUST A-2014-R7 | 1/26/2051 | 3.000 | 9,369 | 9,250 | 9,355 | |||||
NATIONSTAR MORTGAGE LOAN TRUST A-2013-A | 12/25/2052 | 3.750 | 1,370 | 1,395 | 1,392 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRSUT A1-2017-6A | 8/27/2057 | 4.000 | 13,784 | 14,168 | 14,297 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-1A | 3/25/2056 | 3.750 | 9,925 | 10,158 | 10,211 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2 | 9/25/2056 | 3.750 | 17,701 | 18,253 | 18,215 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2A | 11/26/2035 | 3.750 | 6,885 | 7,034 | 7,107 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-4A | 11/25/2056 | 3.750 | 18,330 | 18,782 | 18,895 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-1A | 2/25/2057 | 4.000 | 15,611 | 15,978 | 16,210 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-3A | 4/25/2057 | 4.000 | 19,808 | 20,446 | 20,582 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-NQM4 | 9/25/2059 | 2.492 | 8,590 | 8,590 | 8,555 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2014-3 | 11/25/2054 | 3.750 | 2,932 | 2,991 | 3,020 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2017-2A | 3/25/2057 | 4.000 | 18,634 | 19,246 | 19,438 | |||||
NOMURA RESECURITIZATION TRUST 1A1-2015-6R | 4/26/2037 | 1.966 | 2,603 | 2,560 | 2,579 | |||||
NOMURA RESECURITIZATION TRUST 3A1-2014-7R | 1/26/2036 | 3.956 | 1,705 | 1,713 | 1,724 | |||||
NOMURA RESECURITIZATION TRUST 4A1-2015-4R | 3/26/2037 | 4.172 | 3,391 | 3,388 | 3,429 | |||||
ONSLOW BAY FINANCIAL 2A1A-2018-EX | 4/25/2048 | 2.642 | 10,670 | 10,670 | 10,574 | |||||
ONSLOW BAY FINANCIAL LLC 2A1A-2019-EX | 10/25/2059 | 2.692 | 10,217 | 10,217 | 10,217 | |||||
ONSLOW BAY FINANCIAL LLC 2A1A-2019-EX | 1/25/2059 | 2.755 | 11,365 | 11,385 | 11,364 | |||||
RBSSP RESECURITIZATION TRUST 12-6 8A1 | 4/26/2035 | 2.292 | 770 | 763 | 770 | |||||
RBSSP RESECURITIZATION TRUST 19A1-2009-12 | 12/25/2035 | 3.554 | 3,354 | 3,351 | 3,397 | |||||
RCO MORTGAGE LLC A1-2018-VFS1 | 12/26/2053 | 4.270 | 33,534 | 33,520 | 34,069 | |||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-1 | 10/25/2058 | 3.936 | 26,055 | 26,035 | 26,344 | |||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-2 | 5/25/2059 | 2.913 | 29,333 | 29,332 | 29,290 | |||||
RESIDENTIAL MORTGAGE LOAN TRUST A1-2019-3 | 9/25/2059 | 2.633 | 28,862 | 28,857 | 28,781 | |||||
STAR A1-2018-IMC1 | 3/25/2048 | 3.793 | 21,427 | 21,413 | 21,491 | |||||
STARWOOD MORTGAGE RESIDENTIAL A1-2018-IMC2 | 10/25/2048 | 4.121 | 29,157 | 29,134 | 29,888 | |||||
STARWOOD MORTGAGE RESIDENTIAL A1-202019-IN | 8/25/2049 | 2.610 | 20,874 | 20,870 | 20,734 | |||||
STRUCTURED ASSET INVESTMENT LOAN TRUST M1-2003-BC5 | 6/25/2033 | 2.948 | 3,003 | 2,924 | 3,012 | |||||
STRUCTURED ASSET SECURITIES CORPORATION 03-24A 5A | 7/25/2033 | 4.178 | 313 | 316 | 317 | |||||
TOWD POINT MORTGAGE TRUST 1A12-2015-2 | 11/25/2060 | 2.750 | 1,573 | 1,567 | 1,575 | |||||
TOWD POINT MORTGAGE TRUST A1-2015-4 | 4/25/2055 | 3.500 | 493 | 498 | 497 | |||||
TOWD POINT MORTGAGE TRUST A1-2015-5 | 5/25/2055 | 3.500 | 4,740 | 4,775 | 4,788 | |||||
TOWD POINT MORTGAGE TRUST A1-2015-6 | 4/25/2055 | 3.500 | 7,409 | 7,448 | 7,505 | |||||
TOWD POINT MORTGAGE TRUST A1-2016-1 | 2/25/2055 | 3.500 | 7,703 | 7,753 | 7,793 | |||||
TOWD POINT MORTGAGE TRUST A1-2016-2 | 8/25/2055 | 3.000 | 9,668 | 9,699 | 9,750 | |||||
TOWD POINT MORTGAGE TRUST A1-2016-3 | 4/25/2056 | 2.250 | 14,650 | 14,629 | 14,613 | |||||
TOWD POINT MORTGAGE TRUST A1-2017-3 | 7/25/2057 | 2.750 | 13,954 | 14,003 | 14,010 | |||||
TOWD POINT MORTGAGE TRUST A1-2017-4 | 6/25/2057 | 2.750 | 16,325 | 16,397 | 16,387 | |||||
TOWD POINT MORTGAGE TRUST A1-2019-HY1 | 10/25/2048 | 2.792 | 7,470 | 7,505 | 7,487 | |||||
TOWD POINT MORTGAGE TRUST A1A-2015-3 | 3/25/2054 | 3.500 | 3,904 | 3,924 | 3,924 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
FLAGSHIP CREDIT AUTO TRUST FCAT_22-4 | 9/15/2026 | 6.150 | 48,000 | 47,996 | 48,272 | ||||||||||||||||||
FORD CREDIT AUTO OWNER TRUST FORDO_22-D | 8/15/2025 | 5.370 | 10,000 | 9,999 | 10,006 | ||||||||||||||||||
FORD CREDIT AUTO OWNER TRUST FORDO_22-D | 8/15/2025 | 4.567 | 21,000 | 21,000 | 21,010 | ||||||||||||||||||
FORD CREDIT AUTO OWNER TRUST FORDR_19-1 | 7/15/2030 | 3.520 | 15,553 | 15,259 | 15,256 | ||||||||||||||||||
FORD CREDIT AUTO OWNER TRUST FORDR_18-1 | 7/15/2031 | 3.190 | 50,613 | 48,623 | 48,400 | ||||||||||||||||||
FREED ABS TRUST FREED_22-4FP | 12/18/2029 | 6.490 | 11,951 | 11,951 | 11,968 | ||||||||||||||||||
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_22-4 | 11/17/2025 | 4.600 | 15,000 | 14,999 | 14,934 | ||||||||||||||||||
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_22-4 | 11/17/2025 | 4.458 | 30,000 | 30,000 | 30,037 | ||||||||||||||||||
GLS AUTO RECEIVABLES TRUST GCAR_22-3 | 5/15/2026 | 4.590 | 30,000 | 29,998 | 29,755 | ||||||||||||||||||
GOLDENTREE LOAN MANAGEMENT US CLO1 LTD GLM_20-7 | 4/20/2034 | 5.313 | 16,750 | 16,750 | 16,267 | ||||||||||||||||||
321 HENDERSON RECEIVABLES LLC HENDR_10-3A | 12/15/2048 | 3.820 | 387 | 387 | 376 | ||||||||||||||||||
MADISON PARK FUNDING LTD MDPK_21-48A | 4/19/2033 | 5.377 | 40,000 | 40,000 | 39,333 | ||||||||||||||||||
MAGNETITE CLO LTD MAGNE_12-7A | 1/15/2028 | 4.879 | 12,090 | 11,940 | 11,935 | ||||||||||||||||||
MAGNETITE CLO LIMITED MAGNE_20-26 | 7/25/2034 | 5.478 | 25,000 | 25,000 | 24,369 | ||||||||||||||||||
MARLETTE FUNDING TRUST MFT_22-3 | 11/15/2032 | 5.180 | 29,224 | 29,222 | 28,983 | ||||||||||||||||||
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_22-1 | 10/15/2025 | 5.260 | 30,000 | 29,998 | 30,055 | ||||||||||||||||||
MISSISSIPPI HIGHER EDUCATION ASSISTANCE CORP MHEAC_14-1 | 10/25/2035 | 5.067 | 2,980 | 2,934 | 2,927 | ||||||||||||||||||
NAVIENT STUDENT LOAN TRUST NAVSL_18-DA | 12/15/2059 | 5.118 | 6,513 | 6,496 | 6,299 | ||||||||||||||||||
NISSAN AUTO LEASE TRUST NALT_22-A | 8/15/2024 | 3.450 | 28,317 | 28,317 | 28,092 | ||||||||||||||||||
NORTHSTAR EDUCATION FINANCE INC NEF_02-1 | 4/1/2042 | 6.138 | 5,000 | 4,817 | 4,891 | ||||||||||||||||||
OZLM LTD OZLM_17-21A | 1/20/2031 | 5.393 | 16,000 | 16,011 | 15,708 | ||||||||||||||||||
OAKC_21-8A | 1/18/2034 | 5.384 | 30,000 | 30,000 | 29,410 | ||||||||||||||||||
ONEMAIN DIRECT AUTO RECEIVABLES TRUST ODART_21-1A | 7/14/2028 | 0.870 | 13,000 | 12,045 | 12,021 | ||||||||||||||||||
PAGAYA AI DEBT SELECTION TRUST PAID_22-5 | 6/17/2030 | 8.096 | 25,000 | 25,000 | 25,014 | ||||||||||||||||||
PALMER SQUARE LOAN FUNDING LTD PSTAT_20-1A | 2/20/2028 | 5.475 | 6,571 | 6,497 | 6,525 | ||||||||||||||||||
RACE POINT CLO LTD RACEP_13-8A | 2/20/2030 | 5.715 | 13,109 | 13,108 | 12,915 | ||||||||||||||||||
RR LTD RRAM_21-19A | 10/15/2035 | 5.219 | 15,000 | 15,000 | 14,687 | ||||||||||||||||||
REACH FINANCIAL LLC REACH_22-2 | 5/15/2030 | 6.630 | 20,071 | 20,070 | 20,029 | ||||||||||||||||||
SLM STUDENT LOAN TRUST SLMA_06-2 | 1/25/2041 | 4.528 | 11,716 | 11,210 | 11,089 | ||||||||||||||||||
SLC STUDENT LOAN TRUST SLCLT_08-1 | 12/15/2032 | 4.893 | 2,058 | 2,075 | 2,035 | ||||||||||||||||||
SLM STUDENT LOAN TRUST SLMA_12-3 | 12/27/2038 | 5.039 | 4,473 | 4,500 | 4,286 | ||||||||||||||||||
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-1 | 11/17/2025 | 1.940 | 16,775 | 16,509 | 16,524 | ||||||||||||||||||
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-4 | 7/15/2025 | 4.050 | 30,768 | 30,768 | 30,702 | ||||||||||||||||||
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-7 | 1/15/2026 | 5.810 | 50,000 | 49,999 | 50,179 | ||||||||||||||||||
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-6 | 5/15/2025 | 4.370 | 15,000 | 15,000 | 14,916 | ||||||||||||||||||
SMB PRIVATE EDUCATION LOAN TRUST SMB_17-B | 10/15/2035 | 2.820 | 4,147 | 4,146 | 3,982 | ||||||||||||||||||
SOFI CONSUMER LOAN PROGRAM LLC SCLP_22-1S | 4/15/2031 | 6.210 | 30,000 | 30,000 | 29,975 | ||||||||||||||||||
THEOREM FUNDING TRUST THRM_22-3 | 4/15/2029 | 7.600 | 23,542 | 23,485 | 23,537 | ||||||||||||||||||
THEOREM FUNDING TRUST THRM_22-2 | 12/15/2028 | 6.060 | 20,101 | 20,101 | 19,749 | ||||||||||||||||||
TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_19-1A | 11/25/2031 | 2.560 | 21,725 | 20,876 | 20,957 | ||||||||||||||||||
UPSTART SECURITIZATION TRUST UPST_22-2 | 5/20/2032 | 4.370 | 13,438 | 13,398 | 13,137 | ||||||||||||||||||
VERIZON MASTER TRUST VZMT_22-7 | 11/22/2027 | 5.230 | 10,000 | 9,998 | 10,060 |
TOWD POINT MORTGAGE TRUST A1B-2015-3 | 3/25/2054 | 3.000 | 1,952 | 1,954 | 1,955 | |||||
TOWD POINT MORTGAGE TRUST A4B-2015-3 | 3/25/2054 | 3.500 | 2,629 | 2,664 | 2,667 | |||||
VERUS SECURITIZATION TRUST A1-2017-1A | 1/25/2047 | 2.881 | 6,202 | 6,196 | 6,201 | |||||
VERUS SECURITIZATION TRUST A1-2017-2A | 7/25/2047 | 2.485 | 10,712 | 10,703 | 10,670 | |||||
VERUS SECURITIZATION TRUST A1-2019-1 | 2/25/2059 | 3.836 | 20,516 | 20,497 | 20,729 | |||||
VERUS SECURITIZATION TRUST A1-2019-3 | 7/25/2059 | 2.784 | 35,921 | 35,907 | 35,973 | |||||
VERUS SECURITIZATION TRUST A1-2019-4 | 11/25/2059 | 2.642 | 19,577 | 19,575 | 19,498 | |||||
VERUS SECURITIZATION TRUST A1-2019-INV3 | 11/25/2059 | 2.692 | 19,848 | 19,848 | 19,850 | |||||
VERUS SECURITIZATION TRUST A1FL-2018-IN | 10/25/2058 | 2.992 | 9,764 | 9,802 | 9,797 | |||||
VISIO A1-2019-2 | 11/25/2054 | 2.722 | 34,488 | 34,487 | 34,346 | |||||
WASHINGTON MUTUAL 03-AR6 A1 | 6/25/2033 | 4.699 | 600 | 598 | 599 | |||||
WASHINGTON MUTUAL 04-AR10 A1A | 7/25/2044 | 2.943 | 445 | 446 | 439 | |||||
WASHINGTON MUTUAL 05-AR3 A2 | 3/25/2035 | 4.432 | 990 | 994 | 970 | |||||
WASHINGTON MUTUAL 05-AR4 A5 | 4/25/2035 | 4.200 | 2,485 | 2,476 | 2,460 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-K 2A6 | 7/25/2034 | 4.975 | 715 | 738 | 722 | |||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,688,915 | 1,697,125 | ||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES | 3,052,502 | 3,059,718 | ||||||||
ASSET BACKED SECURITIES | ||||||||||
APIDOS CLO APID_15-20A | 7/16/2031 | 3.101 | 20,000 | 20,000 | 19,950 | |||||
ARI FLEET LEASE TRUST_19 A2B-2019-A | 11/15/2027 | 2.220 | 10,000 | 10,000 | 10,010 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2015-2A | 12/20/2021 | 2.630 | 35,669 | 35,711 | 35,763 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-1A | 6/20/2022 | 2.990 | 36,874 | 37,100 | 37,265 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-2A | 11/20/2022 | 2.720 | 38,000 | 37,884 | 38,235 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2017-1A | 9/20/2023 | 3.070 | 8,020 | 8,046 | 8,157 | |||||
BALLYROCK A1-2018-1A | 4/20/2031 | 2.966 | 40,000 | 40,000 | 39,531 | |||||
BRAZOS HIGHER EDUCATION AUTHORITY A2-2010-1 | 2/25/2035 | 3.110 | 20,000 | 19,828 | 19,945 | |||||
CARLYLE GLOBAL MARKET STRATEGIES 15-5A | 1/20/2032 | 3.286 | 15,000 | 15,000 | 14,992 | |||||
CARLYLE GLOBAL MARKET STRATEGIES 20-143 | 10/15/2030 | 3.101 | 12,315 | 12,329 | 12,256 | |||||
CARLYLE GLOBAL MARKET STRATEGIES A1R-2013-1A | 8/14/2030 | 3.129 | 20,000 | 20,000 | 19,992 | |||||
CARLYLE GLOBAL MARKET STRATEGIES A1RR-2013-4A | 1/15/2031 | 3.001 | 20,000 | 20,000 | 19,851 | |||||
CENTRE POINT FUNDING LLC 12-2 A | 8/20/2021 | 2.610 | 102 | 102 | 101 | |||||
CLI FUNDING LLC A-2014-1A | 6/18/2029 | 3.290 | 6,848 | 6,854 | 6,858 | |||||
COLLEGE LOAN CORPORATION TRUST 02-2 A24 | 3/1/2042 | 3.003 | 10,000 | 8,753 | 10,019 | |||||
DRYDEN SENIOR LOAN FUND A1-2017-47A | 4/15/2028 | 3.241 | 21,700 | 21,755 | 21,702 | |||||
DRYDEN SENIOR LOAN FUND A1-2018-55A | 4/15/2031 | 3.021 | 12,000 | 12,000 | 11,937 | |||||
DRYDEN SENIOR LOAN FUND AR2-2014-33A | 4/15/2029 | 3.231 | 20,000 | 20,000 | 19,977 | |||||
EDUCATIONAL SERVICES OF AMERICA A-2012-2 | 4/25/2039 | 2.522 | 3,329 | 3,327 | 3,325 | |||||
EDUCATIONAL SERVICES OF AMERICA A-2014-1 | 2/25/2039 | 2.492 | 10,412 | 10,289 | 10,309 | |||||
EDUCATIONAL SERVICES OF AMERICA A-2014-3 | 2/25/2036 | 2.392 | 736 | 725 | 721 | |||||
HENDERSON RECEIVABLES LLC 10-3A A | 12/15/2048 | 3.820 | 794 | 794 | 818 | |||||
HERTZ VEHICLE FINANCING LLC A-2015-1A | 3/25/2021 | 2.730 | 35,000 | 34,993 | 35,039 | |||||
HERTZ VEHICLE FINANCING LLC A-2015-3A | 9/25/2021 | 2.670 | 20,000 | 19,971 | 20,054 | |||||
HERTZ VEHICLE FINANCING LLC A-2016-2A | 3/25/2022 | 2.950 | 33,900 | 33,872 | 34,152 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
VERIZON MASTER TRUST VZMT_22-7 | 11/22/2027 | 4.676 | 35,750 | 35,750 | 35,591 | ||||||||||||||||||
WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_22-3A | 7/15/2025 | 5.240 | 50,000 | 49,998 | 49,689 | ||||||||||||||||||
WORLD OMNI AUTO RECEIVABLE TRUST WOART_22-D | 3/16/2026 | 4.657 | 27,500 | 27,500 | 27,480 | ||||||||||||||||||
TOTAL ASSET BACKED SECURITIES | 1,463,147 | 1,455,272 |
COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
FANNIE MAE 06-M2 A2A | 10/25/2032 | 5.271 | 800 | 821 | 785 | ||||||||||||||||||
FREDDIE MAC KF77 | 2/25/2027 | 5.089 | 25,206 | 25,169 | 25,141 | ||||||||||||||||||
FREDDIE MAC KF77 | 2/25/2027 | 4.828 | 17,978 | 17,990 | 17,972 | ||||||||||||||||||
FREDDIE MAC KF78 | 3/25/2030 | 4.928 | 15,475 | 15,499 | 15,475 | ||||||||||||||||||
FREDDIE MAC AL-20KF88 | 9/25/2030 | 4.472 | 8,657 | 8,657 | 8,498 | ||||||||||||||||||
FREDDIE MAC AL-20KF90 | 9/25/2030 | 4.472 | 11,744 | 11,744 | 11,558 | ||||||||||||||||||
FREDDIE MAC AL-20K98 | 12/25/2030 | 4.312 | 15,319 | 15,319 | 15,133 | ||||||||||||||||||
FREDDIE MAC A-20KF50 | 7/25/2028 | 4.787 | 1,969 | 1,971 | 1,949 | ||||||||||||||||||
FREDDIE MAC AFLW-20KL3W | 8/25/2025 | 4.837 | 14,531 | 14,543 | 14,392 | ||||||||||||||||||
FREDDIE MAC A-20KF53 | 10/25/2025 | 4.195 | 7,368 | 7,368 | 7,289 | ||||||||||||||||||
FREDDIE MAC A-20KF54 | 11/25/2028 | 4.867 | 21,043 | 21,044 | 20,952 | ||||||||||||||||||
FREDDIE MAC A-20KF55 | 11/25/2025 | 4.899 | 23,734 | 23,753 | 23,637 | ||||||||||||||||||
FREDDIE MAC A-20K56 | 11/25/2028 | 4.947 | 10,314 | 10,407 | 10,180 | ||||||||||||||||||
FREDDIE MAC A-20KF58 | 1/25/2026 | 4.889 | 21,740 | 21,765 | 21,607 | ||||||||||||||||||
FREDDIE MAC A-20KF59 | 2/25/2029 | 4.929 | 14,130 | 14,130 | 14,054 | ||||||||||||||||||
FREDDIE MAC A-20KF60 | 2/25/2026 | 4.879 | 16,083 | 16,102 | 15,950 | ||||||||||||||||||
FREDDIE MAC A-20KF61 | 3/25/2029 | 4.919 | 10,906 | 10,922 | 10,746 | ||||||||||||||||||
FREDDIE MAC KF67 | 8/25/2029 | 4.909 | 17,021 | 16,826 | 16,769 | ||||||||||||||||||
FREDDIE MAC KF74 | 1/25/2027 | 4.328 | 9,686 | 9,696 | 9,617 | ||||||||||||||||||
FREDDIE MAC KF76 | 1/25/2030 | 4.538 | 4,450 | 4,386 | 4,419 | ||||||||||||||||||
FREDDIE MAC AS-20KF84 | 7/25/2030 | 4.045 | 8,243 | 8,243 | 8,035 | ||||||||||||||||||
FREDDIE MAC AFL-2020-KXO | 3/25/2030 | 4.472 | 14,224 | 14,224 | 14,050 | ||||||||||||||||||
FREDDIE MAC AL-20KF86 | 8/25/2027 | 4.432 | 3,203 | 3,203 | 3,140 | ||||||||||||||||||
FREDDIE MAC CERTS KF105 | 2/25/2031 | 4.178 | 20,233 | 20,264 | 19,606 | ||||||||||||||||||
FREDDIE MAC K-F120 | 8/25/2031 | 4.128 | 65,528 | 63,167 | 63,073 | ||||||||||||||||||
FREDDIE MAC KF128 | 12/25/2031 | 4.158 | 7,500 | 7,500 | 7,283 | ||||||||||||||||||
FREDDIE MAC KF129 | 1/25/2029 | 3.950 | 12,124 | 12,124 | 11,887 | ||||||||||||||||||
FREDDIE MAC KF139 | 6/25/2032 | 4.468 | 50,000 | 48,989 | 49,386 | ||||||||||||||||||
FREDDIE MAC KF146 | 10/25/2032 | 4.808 | 80,000 | 80,000 | 80,000 | ||||||||||||||||||
FREDDIE MAC KF148 | 11/25/2032 | 4.768 | 117,000 | 117,000 | 117,000 | ||||||||||||||||||
FREDDIE MAC A-20KF57 | 12/25/2028 | 4.927 | 9,528 | 9,528 | 9,468 | ||||||||||||||||||
FREDDIE MAC A10-20KS10 | 10/25/2028 | 4.999 | 19,460 | 19,467 | 19,125 | ||||||||||||||||||
FREDDIE MAC KF145 | 9/25/2032 | 4.828 | 120,000 | 120,012 | 120,000 | ||||||||||||||||||
FREDDIE MAC KF147 | 11/25/2032 | 4.808 | 116,500 | 116,504 | 116,272 | ||||||||||||||||||
FREDDIE MAC KF73 | 11/25/2029 | 4.989 | 26,972 | 27,001 | 26,696 | ||||||||||||||||||
FREDDIE MAC FHLMC_KF85 | 8/25/2030 | 4.442 | 3,620 | 3,620 | 3,561 | ||||||||||||||||||
FREDDIE MAC A-20KF52 | 9/25/2028 | 4.562 | 3,617 | 3,617 | 3,555 | ||||||||||||||||||
FREMF MORTGAGE TRUST AS-20KF97 | 12/25/2030 | 3.975 | 6,885 | 6,885 | 6,723 | ||||||||||||||||||
GINNIE MAE AC-2013-13 | 4/16/2046 | 1.700 | 1,413 | 1,380 | 1,250 | ||||||||||||||||||
GINNIE MAE 17-127 | 4/16/2052 | 2.500 | 5,624 | 5,599 | 5,050 | ||||||||||||||||||
GINNIE MAE 17-135 | 5/16/2049 | 2.200 | 13,371 | 13,309 | 12,270 | ||||||||||||||||||
GINNIE MAE 7-140 | 2/16/2059 | 2.500 | 5,974 | 5,951 | 5,492 | ||||||||||||||||||
GINNIE MAE 17-146 | 8/16/2047 | 2.200 | 5,285 | 5,268 | 4,950 |
HERTZ VEHICLE FINANCING LLC A-2016-4A | 7/25/2022 | 2.650 | 8,168 | 8,113 | 8,211 | |||||
KENTUCKY HIGHER EDUCATION STUDENT LOAN A1-2013-2 | 9/1/2028 | 2.291 | 5,150 | 5,064 | 5,071 | |||||
MISSISSIPPI HIGHER EDUCATION ASSISTANCE CORP. A1-2014-1 | 10/25/2035 | 2.472 | 5,062 | 4,954 | 4,985 | |||||
MVW OWNER TRUST 16-1A | 12/20/2033 | 2.250 | 6,394 | 6,364 | 6,354 | |||||
NAVIENT STUDENT LOAN TRUST A2B-2018-DA | 12/15/2059 | 2.540 | 12,000 | 11,954 | 11,916 | |||||
NORTHSTAR EDUCATION FINANCE A3-2002-1 | 4/1/2042 | 3.870 | 5,000 | 4,738 | 4,834 | |||||
OCTAGON INVESTMENT PARTNERS OCT30_17-1A | 3/17/2030 | 3.286 | 6,900 | 6,900 | 6,917 | |||||
OZLM A1-2017-21A | 1/20/2031 | 3.116 | 16,000 | 16,019 | 16,000 | |||||
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY WL 13-1A | 11/25/2036 | 2.292 | 2,531 | 2,488 | 2,476 | |||||
RACE POINT CLO LTD AR-2013-8A | 2/20/2030 | 3.239 | 14,000 | 14,000 | 14,001 | |||||
SALLIE MAE 11-2 A1 | 11/25/2027 | 2.392 | 492 | 492 | 493 | |||||
SALLIE MAE 12-3 A | 12/27/2038 | 2.442 | 6,282 | 6,296 | 6,177 | |||||
SALLIE MAE A6-2006-2 | 1/25/2041 | 2.110 | 17,491 | 16,649 | 16,673 | |||||
SBA TOWER TRUST A-2015-1 | 10/8/2020 | 3.156 | 8,108 | 8,130 | 8,174 | |||||
SBA TOWER TRUST C-2013-2 | 4/11/2023 | 3.722 | 2,815 | 2,796 | 2,877 | |||||
SBA TOWER TRUST C-2016-1A | 7/9/2021 | 2.877 | 8,055 | 8,071 | 8,082 | |||||
SBA TOWER TRUST C-2017-1 | 4/11/2022 | 3.168 | 22,000 | 22,000 | 22,414 | |||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-1A | 3/21/2033 | 3.080 | 2,813 | 2,813 | 2,825 | |||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-2A | 7/20/2033 | 2.330 | 165 | 163 | 165 | |||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-3A | 10/20/2033 | 2.430 | 3,362 | 3,361 | 3,354 | |||||
SMALL BUSINESS ADMINISTRATION 2002-20J | 10/1/2022 | 4.750 | 104 | 104 | 106 | |||||
SMB PRIVATE EDUCATION LOAN TRUST A2A-2017-B | 10/15/2035 | 2.820 | 9,763 | 9,762 | 9,840 | |||||
STUDENT LOAN TRUST A4A-2008-1 | 12/15/2032 | 3.494 | 3,992 | 4,038 | 4,044 | |||||
TAL ADVANTAGE LLC 13-1 A | 2/22/2038 | 2.830 | 1,195 | 1,197 | 1,188 | |||||
TRIP RAIL MASTER FUNDING LLC A1-2017-1A | 8/15/2047 | 2.709 | 6,235 | 6,235 | 6,236 | |||||
VOI MORTGAGE LLC A-2016-A | 7/20/2033 | 2.540 | 5,073 | 5,070 | 5,052 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY A-2013-A | 3/15/2029 | 3.100 | 277 | 276 | 279 | |||||
TOTAL ASSET BACKED SECURITIES | 627,380 | 629,703 | ||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||
FANNIE MAE 06-M2 A2A | 10/25/2032 | 5.271 | 3,869 | 4,043 | 4,337 | |||||
FREDDIE MAC A10-20KS10 | 10/25/2028 | 2.402 | 24,068 | 24,082 | 24,087 | |||||
FREDDIE MAC A-20KBF2 | 10/25/2025 | 2.232 | 41,101 | 41,101 | 40,957 | |||||
FREDDIE MAC A-20KF50 | 7/25/2028 | 2.192 | 9,465 | 9,474 | 9,400 | |||||
FREDDIE MAC A-20KF52 | 9/25/2028 | 2.212 | 16,600 | 16,600 | 16,550 | |||||
FREDDIE MAC A-20KF53 | 10/25/2025 | 2.182 | 25,042 | 25,042 | 24,984 | |||||
FREDDIE MAC A-20KF54 | 11/25/2028 | 2.272 | 57,350 | 57,353 | 57,223 | |||||
FREDDIE MAC A-20KF55 | 11/25/2025 | 2.302 | 60,597 | 60,686 | 60,559 | |||||
FREDDIE MAC A-20KF57 | 12/25/2028 | 2.332 | 29,572 | 29,572 | 29,565 | |||||
FREDDIE MAC A-20KF58 | 1/25/2026 | 2.292 | 77,747 | 77,901 | 77,682 | |||||
FREDDIE MAC A-20KF59 | 2/25/2029 | 2.332 | 29,996 | 29,996 | 29,988 | |||||
FREDDIE MAC A-20KF60 | 2/25/2026 | 2.282 | 49,950 | 50,051 | 49,839 | |||||
FREDDIE MAC A-20KF61 | 3/25/2029 | 2.322 | 22,997 | 23,044 | 22,940 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
GINNIE MAE AD-2016-1829 | 11/16/2043 | 2.250 | 2,538 | 2,540 | 2,455 | ||||||||||||||||||
GINNIE MAE AG-2016-39 | 1/16/2043 | 2.300 | 3,242 | 3,245 | 3,090 | ||||||||||||||||||
GINNIE MAE AG-2017-171 | 10/16/2048 | 2.250 | 3,297 | 3,283 | 3,148 | ||||||||||||||||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 990,035 | 982,688 |
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | |||||||||||||||||||||||
280 PARK AVENUE MORTGAGE TRUST PRK_17-280P | 9/15/2034 | 5.117 | 40,000 | 40,000 | 39,027 | ||||||||||||||||||
ASHFORD HOSPITALITY TRUST INC AHT1_18-KEYS | 6/15/2035 | 5.318 | 40,000 | 40,000 | 38,752 | ||||||||||||||||||
BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_18-DSNY | 9/15/2034 | 5.168 | 33,350 | 33,305 | 32,719 | ||||||||||||||||||
BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC BBCMS_19-BWAY | 11/15/2034 | 5.274 | 10,000 | 9,984 | 9,302 | ||||||||||||||||||
BFLD TRUST BFLD_19-DPLO | 10/15/2034 | 5.408 | 28,000 | 27,984 | 27,476 | ||||||||||||||||||
BHMS MORTGAGE TRUST BHMS_18-ATLS | 7/15/2035 | 5.568 | 40,000 | 40,000 | 38,556 | ||||||||||||||||||
BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME | 6/15/2035 | 5.138 | 19,768 | 19,767 | 18,978 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST BX_19-XL | 10/15/2036 | 5.352 | 48,923 | 48,363 | 48,251 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST BX_19-ATL | 10/15/2036 | 4.963 | 27,275 | 27,271 | 26,697 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST BX_22-PSB | 8/15/2039 | 6.776 | 48,440 | 48,302 | 48,344 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST BX_21-XL2 | 10/15/2038 | 5.006 | 49,412 | 47,861 | 47,492 | ||||||||||||||||||
BX COMMERCIAL MORTGAGE TRUST BX_21-VOLT | 9/15/2036 | 5.018 | 29,000 | 29,004 | 27,935 | ||||||||||||||||||
BX TRUST BX_18-GW | 5/15/2035 | 5.118 | 38,592 | 38,567 | 37,621 | ||||||||||||||||||
BX TRUST BX_19-RP | 6/15/2034 | 5.363 | 380 | 380 | 370 | ||||||||||||||||||
BX TRUST BX_22-GPA | 10/15/2039 | 5.959 | 13,800 | 13,755 | 13,714 | ||||||||||||||||||
BX TRUST BX_22-MVRK | 3/15/2039 | 5.793 | 15,000 | 14,963 | 14,648 | ||||||||||||||||||
CAMB COMMERCIAL MORTGAGE TRUST CAMB_19-LIFE | 12/15/2037 | 5.388 | 15,000 | 15,000 | 14,775 | ||||||||||||||||||
CGDB COMMERCIAL MORTGAGE TRUST CGDB_19-MOB | 11/15/2036 | 5.268 | 15,000 | 15,000 | 14,645 | ||||||||||||||||||
COLD STORAGE TRUST COLD_20-ICE5 | 11/15/2037 | 5.218 | 23,818 | 23,244 | 23,160 | ||||||||||||||||||
COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR | 11/15/2038 | 5.447 | 20,000 | 19,950 | 19,051 | ||||||||||||||||||
COMM MORTGAGE TRUST COMM_19-521F | 6/15/2034 | 5.218 | 16,510 | 16,511 | 15,786 | ||||||||||||||||||
DBGS MORTGAGE TRUST DBGS_18-5BP | 6/15/2033 | 5.113 | 40,000 | 39,974 | 38,203 | ||||||||||||||||||
DBGS MORTGAGE TRUST DBGS_18-BIOD | 5/15/2035 | 5.121 | 22,844 | 22,842 | 22,452 | ||||||||||||||||||
DBWF MORTGAGE TRUST DBWF_18-GLKS | 12/19/2030 | 5.369 | 20,000 | 19,954 | 19,401 | ||||||||||||||||||
EXTENDED STAY AMERICA TRUST ESA_21-ESH | 7/15/2038 | 5.398 | 36,871 | 35,972 | 35,807 | ||||||||||||||||||
GS MORTGAGE SECURITIES CORPORATION TRUST GSMS_22-ECI | 8/15/2039 | 6.519 | 28,570 | 28,426 | 28,389 | ||||||||||||||||||
GS MORTGAGE SECURITIES CORPORATION TRUST 2022-SHIP GSMS_22-SHIP | 8/15/2036 | 4.525 | 39,000 | 38,403 | 38,507 | ||||||||||||||||||
ILPT COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES ILPT_22-LPF2 | 10/15/2039 | 6.570 | 21,500 | 21,453 | 21,505 | ||||||||||||||||||
INVITATION HOMES TRUST IHSFR_18-SFR4 | 1/17/2038 | 4.976 | 29,847 | 29,848 | 29,553 | ||||||||||||||||||
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_18-ASH8 | 2/15/2035 | 5.118 | 11,398 | 11,397 | 11,055 | ||||||||||||||||||
LIFE FINANCIAL SERVICES TRUST LIFE_22-BMR2 | 5/15/2039 | 5.631 | 32,000 | 31,887 | 31,201 | ||||||||||||||||||
LIFE_21-BMR | 3/15/2038 | 5.018 | 8,036 | 7,809 | 7,781 | ||||||||||||||||||
MORGAN STANLEY CAPITAL I TRUST MSC_18-BOP | 8/15/2033 | 5.168 | 12,624 | 12,624 | 11,944 | ||||||||||||||||||
MTN COMMERCIAL MORTGAGE TRUST MTN_22-LPFL | 3/15/2039 | 5.733 | 50,000 | 49,386 | 48,663 | ||||||||||||||||||
ONE NEW YORK PLAZA TRUST ONYP_20-1NYP | 1/15/2036 | 5.268 | 18,200 | 18,200 | 17,229 | ||||||||||||||||||
STAR_22-SFR3 | 5/17/2024 | 5.971 | 19,939 | 19,907 | 19,803 | ||||||||||||||||||
UBS COMMERCIAL MORTGAGE TRUST UBSCM_18-NYCH | 2/15/2032 | 5.168 | 10,585 | 10,577 | 10,195 | ||||||||||||||||||
WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP | 12/15/2034 | 5.193 | 18,500 | 18,496 | 17,077 | ||||||||||||||||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 986,366 | 966,064 | |||||||||||||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 1,976,401 | 1,948,752 |
FREDDIE MAC AFL-20KSL1 | 11/25/2023 | 2.262 | 22,000 | 22,000 | 21,971 | |||||
FREDDIE MAC AFL-20W5FL | 5/25/2025 | 2.012 | 17,787 | 17,787 | 17,614 | |||||
FREDDIE MAC AFLW-20KL3W | 8/25/2025 | 2.242 | 15,000 | 15,033 | 15,016 | |||||
GINNIE MAE 11-165 A | 10/16/2037 | 2.194 | 3,778 | 3,785 | 3,771 | |||||
GINNIE MAE 13-141 A | 6/16/2040 | 2.023 | 9,093 | 9,090 | 9,045 | |||||
GINNIE MAE 13-146 AH | 8/16/2040 | 2.000 | 3,593 | 3,594 | 3,574 | |||||
GINNIE MAE 13-159 A | 8/16/2038 | 1.794 | 338 | 337 | 337 | |||||
GINNIE MAE 17-127 | 4/16/2052 | 2.500 | 18,222 | 18,118 | 18,170 | |||||
GINNIE MAE 17-135 | 5/16/2049 | 2.200 | 28,926 | 28,721 | 28,706 | |||||
GINNIE MAE 17-146 | 8/16/2047 | 2.200 | 23,804 | 23,669 | 23,606 | |||||
GINNIE MAE 7-140 | 2/16/2059 | 2.500 | 23,725 | 23,596 | 23,686 | |||||
GINNIE MAE A-2013-57 | 6/16/2037 | 1.350 | 2,255 | 2,242 | 2,222 | |||||
GINNIE MAE A-2014-61 | 1/16/2044 | 2.205 | 2,462 | 2,461 | 2,456 | |||||
GINNIE MAE AB-2013-194 | 5/16/2038 | 2.250 | 6,004 | 6,014 | 5,994 | |||||
GINNIE MAE AB-2014-143 | 3/16/2040 | 2.500 | 1,188 | 1,198 | 1,187 | |||||
GINNIE MAE AB-2014-75 | 6/16/2047 | 2.000 | 1,330 | 1,330 | 1,330 | |||||
GINNIE MAE AC-2013-13 | 4/16/2046 | 1.700 | 2,492 | 2,417 | 2,435 | |||||
GINNIE MAE AC-2014-112 | 12/16/2040 | 1.900 | 2,508 | 2,521 | 2,488 | |||||
GINNIE MAE AC-2014-143 | 3/16/2040 | 2.000 | 2,377 | 2,384 | 2,366 | |||||
GINNIE MAE AC-2014-48 | 10/16/2041 | 1.900 | 4,808 | 4,829 | 4,777 | |||||
GINNIE MAE AC-2014-70 | 4/16/2042 | 1.900 | 6,082 | 6,104 | 6,049 | |||||
GINNIE MAE AC-2015-98 | 4/16/2041 | 2.150 | 10,991 | 11,081 | 10,928 | |||||
GINNIE MAE AD-2014-9 | 9/16/2041 | 2.500 | 2,671 | 2,700 | 2,669 | |||||
GINNIE MAE AD-2016-1829 | 11/16/2043 | 2.250 | 14,493 | 14,548 | 14,408 | |||||
GINNIE MAE AG-2016-39 | 1/16/2043 | 2.300 | 11,375 | 11,411 | 11,321 | |||||
GINNIE MAE AG-2017-171 | 10/16/2048 | 2.250 | 23,945 | 23,705 | 23,791 | |||||
GINNIE MAE AN-2014-17 | 6/16/2048 | 2.365 | 3,636 | 3,680 | 3,712 | |||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 713,300 | 711,740 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||
280 PARK AVENUE MORTGAGE TRUST 2017-A | 9/15/2034 | 2.591 | 40,000 | 40,000 | 39,988 | |||||
ASHFORD HOSPITALITY TRUST_A-2018-KEYS | 5/15/2035 | 2.740 | 40,000 | 40,000 | 39,925 | |||||
BANC OF AMERICA MERRILL LYNCH A-2018-DSNY | 9/15/2034 | 2.589 | 18,350 | 18,340 | 18,285 | |||||
BARCLAYS COMMERCIAL MORTGAGE A-2019-BWAY | 11/25/2034 | 2.696 | 10,000 | 9,936 | 9,950 | |||||
BFLD TRUST A-2019-DPLO | 10/15/2034 | 2.830 | 28,000 | 27,936 | 27,948 | |||||
BHMS MORTGAGE TRUST BHMS_18-ATLS | 7/15/2035 | 2.990 | 40,000 | 40,000 | 39,925 | |||||
BRAEMAR HOTELS & RESORTS TRUST A-2018-PRME | 6/15/2035 | 2.560 | 19,768 | 19,761 | 19,671 | |||||
BX COMMERCIAL MORTGAGE TRUST A-2019-ATL | 10/15/2036 | 2.826 | 27,275 | 27,259 | 27,274 | |||||
BX TRUST A-2018-GW | 5/15/2035 | 2.540 | 38,592 | 38,517 | 38,473 | |||||
BX TRUST_19-RP A-2019-RP | 6/15/2034 | 2.785 | 25,000 | 24,910 | 24,857 | |||||
CAMB COMMERCIAL MORTGAGE TRUST A-2019-LIFE | 12/15/2037 | 2.809 | 15,000 | 15,000 | 15,009 | |||||
CGDB COMMERCIAL MORTGAGE TRUST A-2019-MOB | 11/15/2036 | 2.690 | 15,000 | 15,000 | 14,977 | |||||
COLONY MORTGAGE CAPITAL LTD A-2019-IKPR | 11/15/2038 | 2.869 | 20,000 | 19,802 | 19,794 | |||||
COMM_ A-2019-521F | 6/15/2034 | 2.640 | 16,510 | 16,516 | 16,495 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
CORPORATE DEBT SECURITIES | |||||||||||||||||||||||
BANKING | |||||||||||||||||||||||
WASHINGTON MUTUAL BANK/HENDERSON | 6/15/2011 | — | 1,500 | — | 3 | c,d | |||||||||||||||||
TOTAL BANKING | — | 3 | |||||||||||||||||||||
BASIC INDUSTRY | |||||||||||||||||||||||
LYONDELLBASELL INDUSTRIES NV | 4/15/2024 | 5.750 | 20,286 | 20,569 | 20,328 | ||||||||||||||||||
W R GRACE HOLDINGS LLC | 10/1/2024 | 5.625 | 4,166 | 4,086 | 4,117 | ||||||||||||||||||
TOTAL BASIC INDUSTRY | 24,655 | 24,445 | |||||||||||||||||||||
CAPITAL GOODS | |||||||||||||||||||||||
BAE SYSTEMS PLC | 10/7/2024 | 3.800 | 9,750 | 9,517 | 9,521 | ||||||||||||||||||
BERRY GLOBAL INC | 2/15/2024 | 0.950 | 30,317 | 29,091 | 28,815 | ||||||||||||||||||
L3HARRIS TECHNOLOGIES INC | 5/28/2024 | 3.950 | 2,831 | 2,782 | 2,781 | ||||||||||||||||||
L3HARRIS TECHNOLOGIES INC | 6/15/2023 | 3.850 | 6,180 | 6,182 | 6,128 | ||||||||||||||||||
RAYTHEON TECHNOLOGIES CORPORATION | 3/15/2024 | 3.200 | 5,425 | 5,300 | 5,306 | ||||||||||||||||||
TRANSDIGM INC | 12/15/2025 | 8.000 | 4,025 | 4,094 | 4,077 | ||||||||||||||||||
TOTAL CAPITAL GOODS | 56,966 | 56,628 | |||||||||||||||||||||
COMMUNICATIONS | |||||||||||||||||||||||
AMERICAN TOWER CORPORATION | 5/15/2024 | 3.375 | 9,978 | 9,901 | 9,712 | ||||||||||||||||||
WARNER BROS DISCOVERY INC | 3/15/2024 | 3.428 | 25,000 | 25,022 | 24,264 | ||||||||||||||||||
CROWN CASTLE INC | 9/1/2024 | 3.200 | 5,917 | 5,719 | 5,718 | ||||||||||||||||||
FOX CORP | 1/25/2024 | 4.030 | 24,580 | 24,479 | 24,286 | ||||||||||||||||||
COMCAST CORPORATION | 9/16/2024 | 3.750 | 29,084 | 28,418 | 28,395 | ||||||||||||||||||
DEUTSCHE TELEKOM AG | 3/20/2025 | 4.738 | 45,225 | 45,133 | 44,648 | ||||||||||||||||||
TOTAL COMMUNICATIONS | 138,672 | 137,023 | |||||||||||||||||||||
CONSUMER CYCLICAL | |||||||||||||||||||||||
IRB HOLDING CORP | 6/15/2025 | 7.000 | 1,750 | 1,761 | 1,745 | ||||||||||||||||||
NATIONAL BASKETBALL ASSOCIATION | 12/16/2023 | 2.410 | 3,000 | 2,958 | 2,906 | ||||||||||||||||||
NATIONAL BASKETBALL ASSOCIATION | 12/16/2024 | 2.510 | 1,000 | 973 | 946 | ||||||||||||||||||
TOTAL CONSUMER CYCLICAL | 5,692 | 5,597 | |||||||||||||||||||||
CONSUMER NON CYCLICAL | |||||||||||||||||||||||
ABBVIE INC | 11/21/2024 | 2.600 | 17,540 | 16,862 | 16,793 | ||||||||||||||||||
BACARDI LTD | 5/15/2025 | 4.450 | 15,000 | 14,675 | 14,565 | ||||||||||||||||||
BECTON DICKINSON AND COMPANY | 12/15/2024 | 3.734 | 8,000 | 7,853 | 7,800 | ||||||||||||||||||
BECTON DICKINSON AND COMPANY | 6/6/2024 | 3.363 | 13,988 | 13,808 | 13,646 | ||||||||||||||||||
CONSTELLATION BRANDS INC | 11/15/2024 | 4.750 | 7,098 | 7,036 | 7,052 | ||||||||||||||||||
CONSTELLATION BRANDS INC | 5/9/2024 | 3.600 | 17,003 | 16,636 | 16,643 | ||||||||||||||||||
DT FAMILY 2009 LLC | 8/15/2024 | 3.950 | 14,121 | 13,814 | 13,893 | ||||||||||||||||||
GENERAL ELECTRIC CO | 11/15/2024 | 5.550 | 50,000 | 50,075 | 50,160 | ||||||||||||||||||
GILEAD SCIENCES INC | 4/1/2024 | 3.700 | 10,990 | 10,963 | 10,810 | ||||||||||||||||||
HCA HEALTHCARE INC | 3/15/2024 | 5.000 | 37,000 | 36,936 | 36,797 | ||||||||||||||||||
KEURIG DR PEPPER INC | 12/15/2023 | 3.130 | 9,210 | 9,174 | 9,024 | ||||||||||||||||||
KROGER CO | 2/1/2024 | 4.000 | 7,500 | 7,516 | 7,409 | ||||||||||||||||||
TOTAL CONSUMER NON CYCLICAL | 205,348 | 204,592 | |||||||||||||||||||||
ELECTRIC | |||||||||||||||||||||||
BERKSHIRE HATHAWAY INC | 8/15/2023 | 3.375 | 14,195 | 14,238 | 14,049 | ||||||||||||||||||
CMS ENERGY CORPORATION | 3/1/2024 | 3.875 | 7,689 | 7,671 | 7,531 |
COSMOPOLITAN HOTEL TRUST A-2017-CSMO | 11/15/2036 | 2.670 | 39,690 | 39,663 | 39,653 | |||||
DBGS MORTGAGE TRUST A-2018-5BP | 6/15/2033 | 2.385 | 40,000 | 39,939 | 39,880 | |||||
DBGS MORTGAGE TRUST A-2018-BIOD | 5/15/2035 | 2.543 | 23,203 | 23,198 | 23,161 | |||||
DBUBS MORTGAGE TRUST 11-LC2 A1 | 7/10/2044 | 3.527 | 610 | 610 | 614 | |||||
DBWF MORTGAGE TRUST A-2018-GLKS | 11/19/2035 | 2.794 | 20,000 | 19,894 | 19,975 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 10-C2 A1 | 12/10/2043 | 3.849 | 266 | 266 | 267 | |||||
GPT_18-GPP | 6/15/2035 | 2.752 | 2,539 | 2,538 | 2,533 | |||||
HOME PARTNERS OF AMERICA TRUST A-2017-1 | 7/17/2034 | 2.554 | 17,136 | 17,119 | 17,128 | |||||
HOME PARTNERS OF AMERICA TRUST A-2018-1 | 7/17/2037 | 2.637 | 23,439 | 23,439 | 23,426 | |||||
INVITATION HOMES TRUST A-2017-SFR2 | 12/17/2036 | 2.587 | 13,507 | 13,482 | 13,457 | |||||
INVITATION HOMES TRUST A-2018-SFR2 | 6/17/2037 | 2.637 | 13,550 | 13,529 | 13,545 | |||||
INVITATION HOMES TRUST A-2018-SFR3 | 7/17/2037 | 2.737 | 37,847 | 37,847 | 37,847 | |||||
INVITATION HOMES TRUST A-2018-SFR4 | 1/17/2038 | 2.837 | 32,201 | 32,229 | 32,292 | |||||
JP MORGAN CHASE COMMERCIAL MORTGAGE A-2018-ASH8 | 2/15/2035 | 2.540 | 11,398 | 11,392 | 11,362 | |||||
MORGAN STANLEY CAPITAL I TRUST MSC_18-BOP | 8/15/2033 | 2.590 | 20,000 | 20,000 | 19,931 | |||||
PROGRESS RESIDENTIAL TRUST A-2017-SFR1 | 8/17/2034 | 2.768 | 18,821 | 18,810 | 18,780 | |||||
STARWOOD WAYPOINT HOMES TRUST-2017-1 | 1/17/2035 | 2.716 | 28,159 | 28,159 | 28,148 | |||||
UBS COMMERCIAL MORTGAGE TRUST A-2018-NYCH | 2/15/2032 | 2.590 | 11,686 | 11,649 | 11,652 | |||||
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 11-C1 AAB | 1/10/2045 | 3.187 | 3,379 | 3,382 | 3,406 | |||||
WELLS FARGO COMMERCIAL MORTGAGE TRUST AFL-2012-C7 | 6/15/2045 | 2.940 | 11,000 | 11,070 | 11,089 | |||||
WELLS FARGO COMMERCIAL MORTGAGE TRUST_17-SMP | 12/15/2034 | 2.490 | 18,500 | 18,331 | 18,434 | |||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 739,523 | 739,151 | ||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 1,452,823 | 1,450,891 | ||||||||
CORPORATE DEBT SECURITIES | ||||||||||
BANKING | ||||||||||
WASHINGTON MUTUAL BANK/HENDERSON | 6/15/2011 | — | 1,500 | — | 3 | c,d | ||||
TOTAL BANKING | — | 3 | ||||||||
CAPITAL GOODS | ||||||||||
BAE SYSTEMS PLC | 12/15/2020 | 2.850 | 21,099 | 21,063 | 21,227 | |||||
BUNZL PLC | 1/15/2020 | 2.930 | 1,300 | 1,300 | 1,300 | |||||
GENERAL DYNAMICS CORPORATION | 5/11/2020 | 2.875 | 20,000 | 19,990 | 20,071 | |||||
GENERAL DYNAMICS CORPORATION | 5/11/2021 | 3.000 | 14,905 | 14,857 | 15,143 | |||||
NORTHROP GRUMMAN CORP | 3/15/2021 | 3.500 | 5,000 | 5,058 | 5,094 | |||||
NORTHROP GRUMMAN CORP | 10/15/2022 | 2.550 | 16,643 | 16,296 | 16,893 | |||||
SIEMENS AG | 3/16/2020 | 2.200 | 28,000 | 27,974 | 28,014 | |||||
UNITED TECHNOLOGIES CORPORATION | 4/15/2020 | 4.500 | 5,228 | 5,266 | 5,265 | |||||
TOTAL CAPITAL GOODS | 111,804 | 113,007 | ||||||||
COMMUNICATIONS | ||||||||||
AMERICA MOVIL SAB DE CV | 3/30/2020 | 5.000 | 8,922 | 8,962 | 8,981 | |||||
AMERICAN TOWER CORPORATION | 6/1/2020 | 2.800 | 1,061 | 1,059 | 1,064 | |||||
AMERICAN TOWER CORPORATION | 2/15/2021 | 3.300 | 24,365 | 24,329 | 24,691 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
CMS ENERGY CORPORATION | 8/31/2024 | 3.125 | 10,250 | 10,376 | 9,895 | ||||||||||||||||||
DTE ENERGY COMPANY | 10/1/2024 | 2.529 | 1,900 | 1,815 | 1,814 | ||||||||||||||||||
DTE ENERGY COMPANY | 11/1/2024 | 4.220 | 21,413 | 21,390 | 21,071 | ||||||||||||||||||
EMERA INCORPORATED | 6/15/2024 | 0.833 | 21,889 | 20,771 | 20,481 | ||||||||||||||||||
EVERSOURCE ENERGY | 10/1/2024 | 2.900 | 3,939 | 3,837 | 3,798 | ||||||||||||||||||
EVERSOURCE ENERGY | 12/1/2023 | 3.800 | 3,000 | 3,000 | 2,966 | ||||||||||||||||||
NEXTERA ENERGY INC | 3/21/2024 | 2.940 | 47,248 | 45,995 | 46,019 | ||||||||||||||||||
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED | 11/8/2023 | 0.841 | 4,060 | 3,954 | 3,910 | ||||||||||||||||||
SOUTHERN COMPANY THE | 9/15/2024 | 2.200 | 2,526 | 2,397 | 2,408 | ||||||||||||||||||
SOUTHERN COMPANY THE | 2/26/2024 | 0.600 | 14,010 | 13,372 | 13,271 | ||||||||||||||||||
WEC ENERGY GROUP INC | 3/15/2024 | 0.800 | 2,038 | 1,960 | 1,931 | ||||||||||||||||||
TOTAL ELECTRIC | 150,776 | 149,144 | |||||||||||||||||||||
ENERGY | |||||||||||||||||||||||
PLAINS GP HOLDINGS LP | 11/1/2024 | 3.600 | 1,884 | 1,818 | 1,824 | ||||||||||||||||||
WILLIAMS COMPANIES INC | 6/24/2024 | 4.550 | 8,472 | 8,512 | 8,378 | ||||||||||||||||||
TOTAL ENERGY | 10,330 | 10,202 | |||||||||||||||||||||
INSURANCE | |||||||||||||||||||||||
CVS HEALTH CORP | 6/15/2023 | 2.800 | 10,000 | 9,949 | 9,897 | ||||||||||||||||||
CVS HEALTH CORP | 11/15/2024 | 3.500 | 3,949 | 3,820 | 3,840 | ||||||||||||||||||
ELEVANCE HEALTH INC | 12/1/2024 | 3.350 | 15,000 | 14,491 | 14,560 | ||||||||||||||||||
TOTAL INSURANCE | 28,260 | 28,297 | |||||||||||||||||||||
OTHER FINANCIAL INSTITUTIONS | |||||||||||||||||||||||
HARDWOOD FUNDING LLC | 6/7/2024 | 3.180 | 6,000 | 5,932 | 5,799 | ||||||||||||||||||
TOTAL OTHER FINANCIAL INSTITUTIONS | 5,932 | 5,799 | |||||||||||||||||||||
TECHNOLOGY | |||||||||||||||||||||||
BROADCOM INC | 1/15/2024 | 3.625 | 20,250 | 20,175 | 19,904 | ||||||||||||||||||
FIDELITY NATIONAL INFORMATION SERVICES INC | 3/1/2024 | 0.600 | 10,000 | 9,625 | 9,469 | ||||||||||||||||||
FISERV INC | 7/1/2024 | 2.750 | 10,000 | 9,906 | 9,645 | ||||||||||||||||||
MICROCHIP TECHNOLOGY INCORPORATED | 9/1/2023 | 2.670 | 8,159 | 8,085 | 7,998 | ||||||||||||||||||
MICROCHIP TECHNOLOGY INCORPORATED | 2/15/2024 | 0.972 | 42,710 | 40,919 | 40,605 | ||||||||||||||||||
MICROCHIP TECHNOLOGY INCORPORATED | 9/1/2024 | 0.983 | 9,405 | 9,108 | 8,722 | ||||||||||||||||||
NXP SEMICONDUCTORS NV | 3/1/2024 | 4.875 | 14,457 | 14,628 | 14,341 | ||||||||||||||||||
TOTAL TECHNOLOGY | 112,446 | 110,684 | |||||||||||||||||||||
TRANSPORTATION | |||||||||||||||||||||||
CRAWFORD GROUP INC | 11/15/2024 | 3.850 | 40,922 | 40,424 | 39,600 | ||||||||||||||||||
CRAWFORD GROUP INC | 11/1/2023 | 2.700 | 21,419 | 21,095 | 20,928 | ||||||||||||||||||
TOTAL TRANSPORTATION | 61,519 | 60,528 | |||||||||||||||||||||
TOTAL CORPORATE DEBT SECURITIES | 800,596 | 792,942 | |||||||||||||||||||||
TOTAL FIXED MATURITIES | 8,523,011 | 8,368,916 |
SYNDICATED LOANS | |||||||||||||||||||||||
BASIC INDUSTRY | |||||||||||||||||||||||
ASPLUNDH TREE EXPERT LLC | 9/7/2027 | 5.821 | 1,355 | 1,343 | 1,343 | ||||||||||||||||||
CHEMOURS COMPANY | 4/3/2025 | 5.830 | 1,707 | 1,707 | 1,707 |
DISCOVERY COMMUNICATIONS LLC | 6/15/2020 | 2.800 | 3,300 | 3,305 | 3,308 | |||||
SKY PLC | 11/26/2022 | 3.125 | 5,000 | 4,993 | 5,137 | |||||
TOTAL COMMUNICATIONS | 42,648 | 43,181 | ||||||||
CONSUMER CYCLICAL | ||||||||||
COMPASS GROUP PLC | 9/18/2020 | 3.090 | 7,000 | 7,029 | 7,029 | |||||
FORD MOTOR CREDIT COMPANY LLC | 11/2/2020 | 2.343 | 10,000 | 9,881 | 9,969 | |||||
TOTAL CONSUMER CYCLICAL | 16,910 | 16,998 | ||||||||
CONSUMER NON CYCLICAL | ||||||||||
ABBVIE INC | 5/14/2020 | 2.500 | 25,000 | 24,946 | 25,038 | |||||
ALLERGAN PLC | 3/12/2020 | 3.000 | 1,465 | 1,466 | 1,466 | |||||
BACARDI LTD | 1/15/2021 | 4.500 | 2,783 | 2,834 | 2,828 | |||||
BECTON DICKINSON AND COMPANY | 6/5/2020 | 2.404 | 10,720 | 10,720 | 10,732 | |||||
CARDINAL HEALTH INC | 12/15/2020 | 4.625 | 9,490 | 9,594 | 9,719 | |||||
CIGNA CORP | 11/15/2021 | 4.750 | 10,000 | 10,174 | 10,482 | |||||
CVS HEALTH CORPORATION | 6/1/2021 | 2.125 | 12,075 | 11,994 | 12,095 | |||||
ESSILOR INTERNATIONAL SA | 1/5/2022 | 2.050 | 6,000 | 6,000 | 5,938 | |||||
GILEAD SCIENCES INC | 9/1/2020 | 2.550 | 25,000 | 24,916 | 25,103 | |||||
JM SMUCKER | 3/15/2020 | 2.500 | 9,231 | 9,232 | 9,239 | |||||
KELLOGG COMPANY | 12/15/2020 | 4.000 | 15,000 | 15,316 | 15,279 | |||||
KROGER CO | 8/1/2022 | 2.800 | 5,845 | 5,733 | 5,951 | |||||
MOLSON COORS BREWING | 7/15/2021 | 2.100 | 10,000 | 9,907 | 10,007 | |||||
SYSCO CORPORATION | 7/15/2021 | 2.500 | 2,000 | 2,004 | 2,017 | |||||
TOTAL CONSUMER NON CYCLICAL | 144,836 | 145,894 | ||||||||
ELECTRIC | ||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 10/1/2022 | 2.400 | 2,000 | 1,945 | 2,015 | |||||
AMERICAN ELECTRIC POWER COMPANY INC | 11/13/2020 | 2.150 | 6,035 | 5,985 | 6,044 | |||||
AMERICAN ELECTRIC POWER COMPANY INC | 12/1/2021 | 3.650 | 10,316 | 10,315 | 10,639 | |||||
DUKE ENERGY CORP | 8/15/2022 | 3.050 | 3,053 | 2,998 | 3,124 | |||||
EMERA INCORPORATED | 6/15/2021 | 2.700 | 20,495 | 20,185 | 20,676 | |||||
EVERSOURCE ENERGY | 3/15/2022 | 2.750 | 1,050 | 1,050 | 1,065 | |||||
THE SOUTHERN COMPANY | 7/1/2021 | 2.350 | 33,334 | 33,256 | 33,510 | |||||
WEC ENERGY GROUP INC | 11/1/2020 | 4.170 | 1,610 | 1,631 | 1,633 | |||||
WEC ENERGY GROUP INC | 6/15/2021 | 3.375 | 3,500 | 3,484 | 3,570 | |||||
WEC ENERGY GROUP INC | 3/8/2022 | 3.100 | 7,212 | 7,209 | 7,358 | |||||
WEC ENERGY GROUP INC | 6/15/2020 | 2.450 | 16,050 | 16,018 | 16,076 | |||||
XCEL ENERGY INC | 8/15/2020 | 2.200 | 14,835 | 14,831 | 14,857 | |||||
XCEL ENERGY INC | 3/15/2021 | 2.400 | 4,000 | 3,941 | 4,021 | |||||
TOTAL ELECTRIC | 122,848 | 124,588 | ||||||||
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
INEOS LTD | 3/29/2024 | 6.071 | 1,293 | 1,293 | 1,293 | ||||||||||||||||||
ELEMENT SOLUTIONS INC | 1/31/2026 | 6.086 | 1,463 | 1,456 | 1,456 | ||||||||||||||||||
AXALTA COATING SYSTEMS LTD | 6/1/2024 | 5.424 | — | — | — | ||||||||||||||||||
FLINT GROUP GMBH | 9/21/2023 | 9.320 | 58 | 58 | 58 | ||||||||||||||||||
FLINT GROUP GMBH | 9/21/2023 | 9.320 | 353 | 352 | 352 | ||||||||||||||||||
TRINSEO PLC | 9/6/2024 | 6.071 | 1,288 | 1,287 | 1,287 | ||||||||||||||||||
MESSER INDUSTRIES USA INC | 3/2/2026 | 6.174 | 1,018 | 1,015 | 1,015 | ||||||||||||||||||
UNIVAR SOLUTIONS INC | 6/3/2028 | 5.821 | 1,494 | 1,489 | 1,489 | ||||||||||||||||||
TOTAL BASIC INDUSTRY | 10,000 | 10,000 | |||||||||||||||||||||
BROKERAGE | |||||||||||||||||||||||
LPL FINANCIAL HOLDINGS INC | 11/12/2026 | 5.870 | 1,611 | 1,604 | 1,604 | ||||||||||||||||||
RUSSELL INVESTMENTS US INSTITUTIONAL HOLDCO INC | 5/30/2025 | 7.884 | 1,327 | 1,328 | 1,328 | ||||||||||||||||||
GREENHILL & CO INC | 4/12/2024 | 7.321 | 489 | 489 | 489 | ||||||||||||||||||
CITADEL SECURITIES LP | 2/2/2028 | 6.701 | 1,231 | 1,226 | 1,226 | ||||||||||||||||||
TOTAL BROKERAGE | 4,647 | 4,647 | |||||||||||||||||||||
CAPITAL GOODS | |||||||||||||||||||||||
BERRY GLOBAL INC | 7/1/2026 | 6.024 | 1,447 | 1,437 | 1,437 | ||||||||||||||||||
INGERSOLL RAND INC | 3/1/2027 | 5.936 | 317 | 317 | 317 | ||||||||||||||||||
ANCHOR GLASS CONTAINER CORP | 12/7/2023 | 6.532 | 949 | 949 | 949 | ||||||||||||||||||
QUIKRETE HOLDINGS INC | 2/1/2027 | 6.696 | 1,337 | 1,317 | 1,317 | ||||||||||||||||||
PACKAGING HOLDINGS LTD | 1/29/2027 | 5.821 | 1,235 | 1,213 | 1,213 | ||||||||||||||||||
TRANSDIGM INC | 12/9/2025 | 5.924 | 822 | 821 | 821 | ||||||||||||||||||
ZEKELMAN INDUSTRIES INC | 1/24/2027 | 6.729 | 722 | 723 | 723 | ||||||||||||||||||
PAI EUROPE VI FINANCE SARL | 4/20/2024 | 6.424 | 226 | 226 | 226 | ||||||||||||||||||
ENERGY CAPITAL PARTNERS II LLC | 5/9/2025 | 7.424 | 575 | 574 | 574 | ||||||||||||||||||
TRANE TECHNOLOGIES PLC | 3/1/2027 | 5.936 | 1,219 | 1,217 | 1,217 | ||||||||||||||||||
EWT HOLDINGS III CORP | 3/31/2028 | 6.375 | 741 | 737 | 737 | ||||||||||||||||||
BEACON ROOFING SUPPLY INC | 5/19/2028 | 6.321 | 1,126 | 1,111 | 1,111 | ||||||||||||||||||
G HOLDINGS INC | 9/22/2028 | 6.425 | 1,486 | 1,465 | 1,465 | ||||||||||||||||||
GFL ENVIRONMENTAL INC | 5/30/2025 | 7.415 | 314 | 313 | 313 | ||||||||||||||||||
TOTAL CAPITAL GOODS | 12,420 | 12,420 | |||||||||||||||||||||
COMMUNICATIONS | |||||||||||||||||||||||
CHARTER COMMUNICATIONS INC | 4/30/2025 | 5.830 | 1,384 | 1,384 | 1,384 | ||||||||||||||||||
COGECO COMMUNICATIONS (USA) II LP | 1/3/2025 | 6.071 | 1,338 | 1,337 | 1,337 | ||||||||||||||||||
SINCLAIR BROADCAST GROUP INC | 8/24/2026 | 7.567 | 1,140 | 1,131 | 1,131 | ||||||||||||||||||
HUBBARD RADIO LLC | 3/28/2025 | 8.330 | 211 | 210 | 210 | ||||||||||||||||||
LUMEN TECHNOLOGIES INC | 3/1/2027 | 5.821 | 261 | 261 | 261 | ||||||||||||||||||
NEXT LUXEMBOURG SCSP | 7/17/2025 | 6.568 | 936 | 934 | 934 | ||||||||||||||||||
NEXSTAR MEDIA GROUP INC | 9/18/2026 | 6.571 | 488 | 482 | 482 | ||||||||||||||||||
NEXT LUXEMBOURG SCSP | 7/15/2025 | 7.165 | 945 | 944 | 944 | ||||||||||||||||||
SBA COMMUNICATIONS CORP | 4/11/2025 | 5.830 | 1,217 | 1,214 | 1,214 | ||||||||||||||||||
SINCLAIR BROADCAST GROUP INC | 4/1/2028 | 7.080 | 788 | 785 | 785 |
ENERGY | ||||||||||
WILLIAMS COMPANIES INC | 11/15/2020 | 4.125 | 10,000 | 10,042 | 10,120 | |||||
TOTAL ENERGY | 10,042 | 10,120 | ||||||||
FINANCE COMPANIES | ||||||||||
GE CAPITAL INTERNATIONAL | 11/15/2020 | 2.342 | 15,000 | 14,874 | 15,005 | |||||
TOTAL FINANCE COMPANIES | 14,874 | 15,005 | ||||||||
INSURANCE | ||||||||||
UNITEDHEALTH GROUP INC | 11/15/2021 | 3.375 | 20,000 | 20,078 | 20,481 | |||||
UNITEDHEALTH GROUP INC | 3/15/2022 | 2.875 | 2,000 | 1,974 | 2,040 | |||||
TOTAL INSURANCE | 22,052 | 22,521 | ||||||||
NATURAL GAS | ||||||||||
NISOURCE INC | 6/15/2023 | 3.650 | 4,760 | 4,785 | 4,952 | |||||
SEMPRA ENERGY | 3/15/2020 | 2.400 | 8,565 | 8,564 | 8,566 | |||||
TOTAL NATURAL GAS | 13,349 | 13,518 | ||||||||
TECHNOLOGY | ||||||||||
BROADCOM LTD | 1/15/2020 | 2.375 | 20,000 | 20,002 | 20,002 | |||||
TOTAL TECHNOLOGY | 20,002 | 20,002 | ||||||||
TOTAL CORPORATE DEBT SECURITIES | 519,365 | 524,837 | ||||||||
TOTAL FIXED MATURITIES | 7,362,814 | 7,376,772 | ||||||||
EQUITY SECURITIES | ||||||||||
CONGLOMERATES/DIVERSIFIED MFG | ||||||||||
DAYCO LLC | 10 | 115 | 72 | d | ||||||
TOTAL CONGLOMERATES/DIVERSIFIED MFG | 115 | 72 | ||||||||
METALS/MINING | ||||||||||
ALERIS CORPORATION | 5 | 184 | 116 | d | ||||||
TOTAL METALS/MINING | 184 | 116 | ||||||||
TOTAL EQUITY SECURITIES | 299 | 188 | ||||||||
SYNDICATED LOANS | ||||||||||
BASIC INDUSTRY | ||||||||||
ALPHA 3 BV | 1/31/2024 | 5.104 | 153 | 153 | 153 | |||||
AXALTA COATING SYSTEMS LTD | 6/1/2024 | 3.854 | 1,125 | 1,119 | 1,119 | |||||
CHEMOURS COMPANY | 4/3/2025 | 3.460 | 1,885 | 1,886 | 1,886 | |||||
ELEMENT SOLUTIONS INC | 1/31/2026 | 3.702 | 995 | 991 | 991 | |||||
FLINT GROUP GERMANY | 9/7/2021 | 4.936 | 86 | 86 | 86 | |||||
FLINT GROUP GERMANY | 9/7/2021 | 4.936 | 521 | 521 | 521 | |||||
HEXION HOLDINGS LLC | 7/1/2026 | 5.600 | 499 | 494 | 494 | |||||
INEOS LTD | 3/29/2024 | 3.702 | 983 | 983 | 983 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
TELESAT LLC | 12/7/2026 | 7.170 | 814 | 812 | 812 | ||||||||||||||||||
CMG MEDIA CORP | 12/17/2026 | 7.571 | 978 | 961 | 961 | ||||||||||||||||||
GRAY TELEVISION INC | 2/7/2024 | 6.620 | 161 | 161 | 161 | ||||||||||||||||||
ENTRAVISION COMMUNICATIONS CORPORATION | 11/30/2024 | 6.821 | 298 | 297 | 297 | ||||||||||||||||||
LIONS GATE ENTERTAINMENT CORP | 3/24/2025 | 6.321 | 791 | 791 | 791 | ||||||||||||||||||
NEXT LUXEMBOURG SCSP | 1/15/2026 | 6.568 | 963 | 946 | 946 | ||||||||||||||||||
NASCAR HOLDINGS LLC | 10/19/2026 | 6.571 | 966 | 956 | 956 | ||||||||||||||||||
EW SCRIPPS CO | 5/1/2026 | 6.634 | 489 | 481 | 481 | ||||||||||||||||||
LUMEN TECHNOLOGIES INC | 3/15/2027 | 6.321 | 1,216 | 1,215 | 1,215 | ||||||||||||||||||
VMED O2 UK LTD | 1/31/2028 | 6.818 | 1,000 | 1,001 | 1,001 | ||||||||||||||||||
TOTAL COMMUNICATIONS | 16,303 | 16,303 | |||||||||||||||||||||
CONSUMER CYCLICAL | |||||||||||||||||||||||
APOLLO INVESTMENT FUND VIII LP | 9/23/2026 | 6.505 | 880 | 875 | 875 | ||||||||||||||||||
QUALITY SOLUTIONS INTERNATIONAL LTD | 8/21/2025 | 6.821 | 897 | 891 | 891 | ||||||||||||||||||
FOUR SEASONS HOLDINGS INC | 11/30/2023 | 5.754 | — | — | — | ||||||||||||||||||
GODADDY INC | 2/15/2024 | 4.865 | 1,415 | 1,407 | 1,407 | ||||||||||||||||||
HILTON WORLDWIDE HOLDINGS INC | 6/22/2026 | 5.766 | 1,749 | 1,732 | 1,732 | ||||||||||||||||||
YUM! BRANDS INC. | 3/15/2028 | 6.089 | 1,033 | 1,033 | 1,033 | ||||||||||||||||||
SEMINOLE TRIBE OF FLORIDA INC | 7/8/2024 | 5.821 | 124 | 124 | 124 | ||||||||||||||||||
SIX FLAGS ENTERTAINMENT CORP | 4/17/2026 | 5.830 | 760 | 760 | 760 | ||||||||||||||||||
WILLIAM MORRIS ENDEAVOR ENTERTAINMENT LLC | 5/18/2025 | 6.830 | 741 | 739 | 739 | ||||||||||||||||||
BJS WHOLESALE CLUB HOLDINGS INC | 2/3/2024 | 6.270 | 194 | 193 | 193 | ||||||||||||||||||
CAESARS ENTERTAINMENT INC | 12/23/2024 | 6.821 | 824 | 821 | 821 | ||||||||||||||||||
CINEWORLD FINANCE US INC | 2/28/2025 | 4.000 | 338 | 337 | 337 | ||||||||||||||||||
WYNDHAM HOTELS & RESORTS INC | 5/30/2025 | 5.821 | 1,465 | 1,455 | 1,455 | ||||||||||||||||||
NATIONAL AMUSEMENTS INC | 5/8/2025 | 6.580 | 793 | 793 | 793 | ||||||||||||||||||
PCI GAMING AUTHORITY | 5/29/2026 | 6.571 | 364 | 363 | 363 | ||||||||||||||||||
BURLINGTON STORES INC | 6/24/2028 | 6.080 | 1,417 | 1,402 | 1,402 | ||||||||||||||||||
APPLOVIN CORP | 10/25/2028 | 6.674 | 997 | 987 | 987 | ||||||||||||||||||
RESTAURANT BRANDS INTERNATIONAL INC | 11/19/2026 | 5.900 | 1,301 | 1,299 | 1,299 | ||||||||||||||||||
TOTAL CONSUMER CYCLICAL | 15,211 | 15,211 | |||||||||||||||||||||
CONSUMER NON CYCLICAL | |||||||||||||||||||||||
ENERGIZER HOLDINGS INC | 12/16/2027 | 6.625 | 401 | 399 | 399 | ||||||||||||||||||
GRIFOLS SA | 11/15/2027 | 6.071 | 1,117 | 1,114 | 1,114 | ||||||||||||||||||
IQVIA HOLDINGS INC | 6/11/2025 | 5.424 | 462 | 458 | 458 | ||||||||||||||||||
SELECT MEDICAL CORPORATION | 3/6/2025 | 6.580 | 1,248 | 1,239 | 1,239 | ||||||||||||||||||
THOR INDUSTRIES INC | 2/1/2026 | 7.125 | 1,500 | 1,495 | 1,495 | ||||||||||||||||||
US FOODS HOLDING CORP | 8/30/2026 | 6.071 | 218 | 217 | 217 | ||||||||||||||||||
ELANCO ANIMAL HEALTH INC | 8/1/2027 | 5.870 | 660 | 657 | 657 | ||||||||||||||||||
ARAMARK | 4/6/2028 | 6.571 | 1,012 | 1,007 | 1,007 | ||||||||||||||||||
ORGANON & CO | 6/2/2028 | 7.750 | 383 | 381 | 381 | ||||||||||||||||||
PRESTIGE CONSUMER HEALTHCARE INC | 7/3/2028 | 6.071 | 333 | 332 | 332 | ||||||||||||||||||
DOLE PLC | 8/3/2028 | 6.016 | 995 | 985 | 985 |
KRATON CORP | 3/8/2025 | 4.202 | 464 | 464 | 464 | |||||
MESSER INDUSTRIE GMBH | 3/2/2026 | 4.604 | 1,244 | 1,237 | 1,237 | |||||
MINERALS TECHNOLOGIES INC. | 2/13/2024 | 4.031 | 875 | 875 | 875 | |||||
ORION ENGINEERED CARBONS | 7/25/2024 | 4.104 | 812 | 814 | 814 | |||||
TRINSEO SA | 9/6/2024 | 3.702 | 1,328 | 1,328 | 1,328 | |||||
UNIVAR INC | 7/1/2024 | 3.952 | 617 | 615 | 615 | |||||
TOTAL BASIC INDUSTRY | 11,566 | 11,566 | ||||||||
BROKERAGE | ||||||||||
ALIXPARTNERS LLP | 4/4/2024 | 4.452 | 980 | 985 | 985 | |||||
GREENHILL & CO INC | 4/12/2024 | 4.990 | 658 | 655 | 655 | |||||
VICTORY CAPITAL HOLDINGS | 7/1/2026 | 5.349 | 692 | 686 | 686 | |||||
TOTAL BROKERAGE | 2,326 | 2,326 | ||||||||
CAPITAL GOODS | ||||||||||
ADVANCED DISPOSAL SERVICES INC | 11/10/2023 | 3.835 | 926 | 925 | 925 | |||||
ADVANCED DRAINAGE SYSTEMS INC | 7/31/2026 | 4.000 | 882 | 880 | 880 | |||||
ALBEA BEAUTY HOLDINGS | 4/22/2024 | 4.835 | 714 | 713 | 713 | |||||
ALLNEX USA | 9/13/2023 | 5.163 | 219 | 219 | 219 | |||||
ALLNEX USA | 9/13/2023 | 5.163 | 165 | 165 | 165 | |||||
ALTRA INDUSTRIAL MOTION CORP | 10/1/2025 | 3.702 | 1,129 | 1,126 | 1,126 | |||||
ANCHOR GLASS CONTAINER CORP | 12/7/2023 | 4.520 | 979 | 979 | 979 | |||||
API GROUP DE INC | 10/1/2026 | 4.202 | 450 | 448 | 448 | |||||
BERRY GLOBAL INC | 7/1/2026 | 4.215 | 1,097 | 1,095 | 1,095 | |||||
ENERGY SOLUTIONS LLC | 5/12/2025 | 5.854 | 642 | 639 | 639 | |||||
EWT HOLDINGS III CORP | 12/20/2024 | 4.702 | 851 | 850 | 850 | |||||
FLEX ACQUISITION COMPANY INC | 12/29/2023 | 5.091 | 110 | 110 | 110 | |||||
GARDNER DENVER HOLDINGS INC | 7/31/2024 | 4.441 | 325 | 325 | 325 | |||||
GENERAC POWER SYSTEMS INC | 12/13/2026 | 3.441 | 1,416 | 1,417 | 1,417 | |||||
PLASTIPAK HOLDINGS INC. | 10/14/2024 | 4.200 | 980 | 981 | 981 | |||||
PLY GEM MIDCO LLC | 4/12/2025 | 5.486 | 198 | 197 | 197 | |||||
PRINTPACK HOLDINGS INC | 7/26/2023 | 4.750 | 131 | 131 | 131 | |||||
QUIKRETE HOLDINGS INC | 11/15/2023 | 4.452 | 1,125 | 1,117 | 1,117 | |||||
REXNORD LLC | 8/21/2024 | 3.512 | 400 | 400 | 400 | |||||
REYNOLDS GROUP HOLDINGS INC | 2/5/2023 | 4.452 | 869 | 869 | 869 | |||||
TRANSDIGM INC | 6/9/2023 | 4.202 | 848 | 846 | 846 | |||||
UNIMIN CORPORATION | 6/2/2025 | 6.043 | 296 | 296 | 296 | |||||
UNITED RENTALS INC | 10/31/2025 | 3.452 | 743 | 743 | 743 | |||||
US ECOLOGY INC | 10/1/2026 | 4.191 | 675 | 673 | 673 | |||||
WESCO AIRCRAFT HARDWARE CORPORATION | 2/28/2021 | 4.210 | 1,516 | 1,511 | 1,511 | |||||
WILSONART LLC | 12/19/2023 | 5.360 | 292 | 291 | 291 | |||||
TOTAL CAPITAL GOODS | 17,946 | 17,946 | ||||||||
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
ICON PLC | 7/3/2028 | 5.938 | 99 | 99 | 99 | ||||||||||||||||||
ICON LUXEMBOURG SARL | 7/3/2028 | 5.938 | 399 | 398 | 398 | ||||||||||||||||||
TOTAL CONSUMER NON CYCLICAL | 8,781 | 8,781 | |||||||||||||||||||||
ELECTRIC | |||||||||||||||||||||||
VOLT PARENT LP | 12/16/2027 | 6.580 | 323 | 320 | 320 | ||||||||||||||||||
VOLT PARENT LP | 1/15/2025 | 6.071 | 1,910 | 1,910 | 1,910 | ||||||||||||||||||
CONSTELLATION ENERGY CORP | 12/15/2027 | 7.240 | 461 | 459 | 459 | ||||||||||||||||||
HELIX GEN FUNDING LLC | 6/3/2024 | 7.821 | 770 | 769 | 769 | ||||||||||||||||||
INVENERGY CLEAN POWER LLC | 8/28/2025 | 7.951 | 592 | 590 | 590 | ||||||||||||||||||
EASTERN POWER LLC | 10/2/2025 | 7.424 | 842 | 837 | 837 | ||||||||||||||||||
VISTRA CORP | 12/31/2025 | 5.870 | 1,214 | 1,213 | 1,213 | ||||||||||||||||||
WEST DEPTFORD ENERGY HOLDINGS LLC | 8/3/2026 | 7.821 | 1,128 | 1,125 | 1,125 | ||||||||||||||||||
LMBE-MC HOLDCO II LLC | 12/3/2025 | 7.680 | 504 | 503 | 503 | ||||||||||||||||||
EDGEWATER GENERATION LLC (DELAWARE) | 12/13/2025 | 7.821 | 956 | 954 | 954 | ||||||||||||||||||
CPV SHORE HOLDINGS LLC | 12/29/2025 | 7.830 | 650 | 646 | 646 | ||||||||||||||||||
ADVANCED POWER SERVICES NA INC | 2/16/2026 | 7.174 | 599 | 596 | 596 | ||||||||||||||||||
EFS COGEN HOLDINGS I LLC | 10/1/2027 | 7.840 | 720 | 718 | 718 | ||||||||||||||||||
TOTAL ELECTRIC | 10,640 | 10,640 | |||||||||||||||||||||
ENERGY | |||||||||||||||||||||||
IFM GLOBAL INFRASTRUCTURE FUND | 11/1/2026 | 6.370 | 414 | 413 | 413 | ||||||||||||||||||
TRAVERSE MIDSTREAM PARTNERS LLC | 9/27/2024 | 8.405 | 592 | 591 | 591 | ||||||||||||||||||
TOTAL ENERGY | 1,004 | 1,004 | |||||||||||||||||||||
FINANCE COMPANY | |||||||||||||||||||||||
HAINAN HNA NO 2 INFORMATION MANAGEMENT SERVICE CO LTD | 1/15/2025 | 6.103 | 572 | 571 | 571 | ||||||||||||||||||
HAINAN HNA NO 2 INFORMATION MANAGEMENT SERVICE CO LTD | 2/12/2027 | 5.853 | 390 | 389 | 389 | ||||||||||||||||||
FLEETCOR TECHNOLOGIES INC | 4/28/2028 | 5.821 | 1,488 | 1,471 | 1,471 | ||||||||||||||||||
TOTAL FINANCE COMPANY | 2,431 | 2,431 | |||||||||||||||||||||
INSURANCE | |||||||||||||||||||||||
LONESTAR INTERMEDIATE SUPER HOLDINGS LLC | 12/23/2026 | 7.321 | 465 | 462 | 462 | ||||||||||||||||||
LONESTAR INTERMEDIATE SUPER HOLDINGS LLC | 11/29/2024 | 7.071 | 407 | 406 | 406 | ||||||||||||||||||
TOTAL INSURANCE | 868 | 868 | |||||||||||||||||||||
OTHER FINANCIAL INSTITUTIONS | |||||||||||||||||||||||
SOFTBANK GROUP CORP | 6/27/2025 | 6.571 | 800 | 800 | 800 | ||||||||||||||||||
TRANSUNION | 11/16/2026 | 5.821 | 999 | 997 | 997 | ||||||||||||||||||
TRANSUNION | 12/1/2028 | 6.321 | 994 | 966 | 966 | ||||||||||||||||||
TOTAL OTHER FINANCIAL INSTITUTIONS | 2,763 | 2,763 | |||||||||||||||||||||
OTHER INDUSTRY | |||||||||||||||||||||||
API GROUP DE INC | 10/1/2026 | 6.571 | 1,659 | 1,633 | 1,633 | ||||||||||||||||||
TOTAL OTHER INDUSTRY | 1,633 | 1,633 |
COMMUNICATIONS | ||||||||||
ALTICE FRANCE SA | 7/15/2025 | 4.452 | 975 | 974 | 974 | |||||
CELLULAR SOUTH INC | 5/24/2024 | 4.177 | 880 | 878 | 878 | |||||
CENTURYLINK INC | 1/31/2025 | 4.452 | 1,061 | 1,054 | 1,054 | |||||
CHARTER COMMUNICATIONS INC | 4/30/2025 | 3.450 | 1,427 | 1,429 | 1,429 | |||||
COGECO COMMUNICATIONS (USA) II LP | 1/6/2025 | 3.952 | 1,381 | 1,380 | 1,380 | |||||
CSC HOLDINGS LLC | 1/15/2026 | 3.990 | 993 | 965 | 965 | |||||
CSC HOLDINGS LLC | 7/17/2025 | 3.990 | 966 | 962 | 962 | |||||
DIAMOND SPORTS GROUP LLC | 8/24/2026 | 4.960 | 1,173 | 1,170 | 1,170 | |||||
ENTRAVISION COMMUNICATIONS CORPORATION | 11/30/2024 | 4.452 | 346 | 344 | 344 | |||||
GRAY TELEVISION INC | 2/7/2024 | 3.947 | 278 | 278 | 278 | |||||
HUBBARD RADIO LLC | 3/28/2025 | 5.210 | 267 | 266 | 266 | |||||
ION MEDIA NETWORKS INC | 12/18/2024 | 4.750 | 1,303 | 1,304 | 1,304 | |||||
LEVEL 3 PARENT LLC | 3/1/2027 | 3.452 | 337 | 337 | 337 | |||||
LIONS GATE ENTERTAINMENT CORP | 3/24/2025 | 3.952 | 908 | 908 | 908 | |||||
LIONS GATE ENTERTAINMENT CORP | 3/22/2023 | 3.452 | 1,121 | 1,121 | 1,121 | |||||
MEDIACOM COMMUNICATIONS CORPORATION | 2/15/2024 | 3.330 | 963 | 960 | 960 | |||||
MISSION BROADCASTING INC | 1/17/2024 | 3.941 | 102 | 102 | 102 | |||||
NASCAR HOLDINGS INC | 10/19/2026 | 4.495 | 473 | 471 | 471 | |||||
NEXSTAR MEDIA GROUP INC | 1/17/2024 | 3.941 | 515 | 515 | 515 | |||||
NIELSEN HOLDINGS PLC | 10/2/2023 | 3.710 | 1,039 | 1,039 | 1,039 | |||||
SBA COMMUNICATIONS CORP | 4/11/2025 | 3.460 | 1,256 | 1,249 | 1,249 | |||||
SINCLAIR BROADCAST GROUP INC | 1/3/2024 | 3.960 | 950 | 944 | 944 | |||||
SOUTHWIRE CO | 5/19/2025 | 3.452 | 1,259 | 1,256 | 1,256 | |||||
SPRINT COMMUNICATIONS INC | 2/2/2024 | 4.250 | 1,800 | 1,796 | 1,796 | |||||
SWITCH LTD | 6/26/2024 | 4.050 | 1 | — | — | |||||
TELESAT LLC | 11/25/2026 | 4.630 | 1,000 | 998 | 998 | |||||
UNIVISION COMMUNICATIONS INC | 3/15/2024 | 4.452 | 937 | 933 | 933 | |||||
URBAN ONE INC | 4/18/2023 | 5.710 | 505 | 502 | 502 | |||||
VIRGIN MEDIA BRISTOL LLC | 1/31/2028 | 4.240 | 1,000 | 1,001 | 1,001 | |||||
TOTAL COMMUNICATIONS | 25,136 | 25,136 | ||||||||
CONSUMER CYCLICAL | ||||||||||
1011778 BC UNLIMITED LIABILITY | 11/19/2026 | 3.452 | 1,338 | 1,335 | 1,335 | |||||
ACADEMY LTD | 7/1/2022 | 6.100 | 471 | 470 | 470 | |||||
AFFINITY GAMING LLC | 7/1/2023 | 4.952 | 302 | 301 | 301 | |||||
AMC ENTERTAINMENT INC | 4/22/2026 | 5.230 | 958 | 957 | 957 | |||||
ARISTOCRAT LEISURE LTD | 10/19/2024 | 3.716 | 1,429 | 1,428 | 1,428 | |||||
CAESARS ENTERTAINMENT CORP | 12/23/2024 | 4.452 | 1,094 | 1,087 | 1,087 | |||||
CCM MERGER | 8/6/2021 | 3.952 | 198 | 198 | 198 | |||||
CINEWORLD FINANCE US INC | 2/28/2025 | 3.952 | 348 | 348 | 348 | |||||
CITYCENTER HOLDINGS LLC | 4/18/2024 | 3.952 | 1,576 | 1,575 | 1,575 | |||||
CUSHMAN & WAKEFIELD | 8/21/2025 | 4.952 | 421 | 419 | 419 | |||||
ELDORADO RESORTS INC | 4/17/2024 | 4.000 | 1,235 | 1,233 | 1,233 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
REITS | |||||||||||||||||||||||
RYMAN HOSPITALITY PROPERTIES | 5/11/2024 | 6.080 | 736 | 736 | 736 | ||||||||||||||||||
TOTAL REITS | 736 | 736 | |||||||||||||||||||||
TECHNOLOGY | |||||||||||||||||||||||
NCR CORPORATION | 8/28/2026 | 6.920 | 482 | 473 | 473 | ||||||||||||||||||
CARLYLE GROUP INC/THE | 4/16/2025 | 5.821 | 434 | 432 | 432 | ||||||||||||||||||
CARLYLE GROUP INC/THE | 4/16/2025 | 5.821 | 362 | 361 | 361 | ||||||||||||||||||
MICRO FOCUS INTERNATIONAL PLC | 6/21/2024 | 6.821 | 652 | 650 | 650 | ||||||||||||||||||
TTM TECHNOLOGIES INC | 9/25/2024 | 6.620 | 1,431 | 1,429 | 1,429 | ||||||||||||||||||
ONEX CORPORATION | 6/27/2025 | 6.514 | 928 | 926 | 926 | ||||||||||||||||||
COMMSCOPE HOLDING CO INC | 4/6/2026 | 7.321 | 1,213 | 1,207 | 1,207 | ||||||||||||||||||
ADEIA INC | 6/8/2028 | 7.571 | 768 | 706 | 706 | ||||||||||||||||||
MKS INSTRUMENTS INC | 8/17/2029 | 7.171 | 1,000 | 990 | 990 | ||||||||||||||||||
COHERENT CORP | 7/2/2029 | 6.922 | 982 | 964 | 964 | ||||||||||||||||||
GEN DIGITAL INC | 1/28/2029 | 6.186 | 1,500 | 1,457 | 1,457 | ||||||||||||||||||
ENTEGRIS INC | 7/6/2029 | 5.890 | 1,500 | 1,491 | 1,491 | ||||||||||||||||||
CARLYLE GROUP INC/THE | 3/22/2029 | 6.436 | 580 | 569 | 569 | ||||||||||||||||||
CARLYLE GROUP INC/THE | 3/22/2029 | 6.436 | 385 | 377 | 377 | ||||||||||||||||||
TOTAL TECHNOLOGY | 12,032 | 12,032 | |||||||||||||||||||||
TRANSPORTATION | |||||||||||||||||||||||
AMERICAN AIRLINES GROUP INC | 6/27/2025 | 5.794 | 931 | 930 | 930 | ||||||||||||||||||
XPO LOGISTICS INC | 2/24/2025 | 5.935 | 1,000 | 991 | 991 | ||||||||||||||||||
G & W INTERMEDIATE HOLDINGS LLG | 12/30/2026 | 5.674 | 1,629 | 1,598 | 1,598 | ||||||||||||||||||
UNITED AIRLINES HOLDINGS INC | 4/20/2028 | 8.108 | 365 | 363 | 363 | ||||||||||||||||||
TOTAL TRANSPORTATION | 3,882 | 3,882 | |||||||||||||||||||||
TOTAL SYNDICATED LOANS BEFORE ALLOWANCE FOR LOAN LOSSES | 103,351 | 103,351 | |||||||||||||||||||||
ALLOWANCE FOR LOAN LOSSES | (1,021) | (1,021) | |||||||||||||||||||||
TOTAL SYNDICATED LOANS - NET | 102,330 | 102,330 |
DERIVATIVES | |||||||||||||||||||||||
PURCHASED OPTIONS | |||||||||||||||||||||||
BNP SECURITIES | 2/7/2023 | — | 50 | 50 | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | — | 85 | 85 | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | — | 254 | 254 | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | — | 113 | 113 | |||||||||||||||||||
BNP SECURITIES | 4/25/2023 | — | 101 | 101 | |||||||||||||||||||
BNP SECURITIES | 5/2/2023 | — | 101 | 101 | |||||||||||||||||||
BNP SECURITIES | 5/16/2023 | — | 290 | 290 | |||||||||||||||||||
BNP SECURITIES | 8/15/2023 | — | 62 | 62 | |||||||||||||||||||
BNP SECURITIES | 8/22/2023 | — | 59 | 59 |
FOUR SEASONS HOLDINGS INC | 11/30/2023 | 3.702 | 1,477 | 1,474 | 1,474 | |||||
GO DADDY INC | 2/15/2024 | 3.452 | 957 | 955 | 955 | |||||
HILTON WORLDWIDE HOLDINGS INC | 6/22/2026 | 3.458 | 749 | 747 | 747 | |||||
KAR AUCTION SERVICES INC | 9/18/2026 | 4.063 | 750 | 748 | 748 | |||||
KFC HOLDING CORPORATION | 4/2/2025 | 3.495 | 1,357 | 1,359 | 1,359 | |||||
METRO-GOLDWYN-MAYER INC | 7/7/2025 | 4.210 | 1,388 | 1,378 | 1,378 | |||||
MICHAELS COMPANIES INC | 1/28/2023 | 4.203 | 584 | 583 | 583 | |||||
MOHEGAN TRIBAL GAMING AUTHORITY | 10/13/2023 | 5.702 | 639 | 635 | 635 | |||||
NAI ENTERTAINMENT HOLDINGS LLC | 5/8/2025 | 4.210 | 347 | 346 | 346 | |||||
NAVISTAR INC | 11/6/2024 | 4.865 | 750 | 752 | 752 | |||||
PCI GAMING AUTHORITY | 5/29/2026 | 4.702 | 407 | 405 | 405 | |||||
PENN NATIONAL GAMING INC | 10/15/2025 | 3.952 | 1,267 | 1,265 | 1,265 | |||||
PRIME SECURITY SERVICES TOPCO PARENT LP | 9/13/2026 | 4.944 | 1,000 | 990 | 990 | |||||
SCIENTIFIC GAMES CORP | 8/14/2024 | 4.452 | 1,408 | 1,400 | 1,400 | |||||
SEMINOLE TRIBE OF FLORIDA INC | 7/8/2024 | 3.452 | 944 | 942 | 942 | |||||
SERVICEMASTER GLOBAL HOLDINGS INC | 10/31/2026 | 3.500 | 500 | 499 | 499 | |||||
SIX FLAGS ENTERTAINMENT CORP | 4/17/2026 | 3.460 | 440 | 439 | 439 | |||||
WILLIAM MORRIS ENDEAVOR ENTERTAINMENT LLC | 5/16/2025 | 4.554 | 914 | 911 | 911 | |||||
WYNDHAM WORLDWIDE CORP | 4/27/2025 | 3.452 | 990 | 989 | 989 | |||||
TOTAL CONSUMER CYCLICAL | 26,168 | 26,168 | ||||||||
CONSUMER NON CYCLICAL | ||||||||||
ALBERTSONS INVESTOR HOLDINGS LLC | 8/17/2026 | 4.452 | 178 | 178 | 178 | |||||
ALBERTSONS INVESTOR HOLDINGS LLC | 11/17/2025 | 4.452 | 254 | 254 | 254 | |||||
ARAMARK | 3/28/2024 | 3.452 | 1,354 | 1,355 | 1,355 | |||||
B&G FOODS INC | 10/10/2026 | 4.202 | 325 | 323 | 323 | |||||
BAUSCH HEALTH COMPANIES INC | 6/1/2025 | 4.740 | 511 | 509 | 509 | |||||
CATALENT INC | 5/10/2026 | 3.952 | 498 | 496 | 496 | |||||
CHANGE HEALTHCARE HOLDINGS LLC | 3/1/2024 | 4.202 | 768 | 767 | 767 | |||||
DAVITA INC | 8/12/2026 | 3.952 | 750 | 748 | 748 | |||||
ENDO INTERNATIONAL PLC | 4/29/2024 | 6.000 | 269 | 268 | 268 | |||||
GRIFOLS SA | 11/15/2027 | 3.740 | 1,207 | 1,202 | 1,202 | |||||
HCA HEALTHCARE INC | 3/13/2025 | 3.452 | 419 | 419 | 419 | |||||
JAGUAR HOLDING COMPANY | 8/18/2022 | 4.202 | 958 | 955 | 955 | |||||
JBS SA | 5/1/2026 | 3.702 | 572 | 571 | 571 | |||||
MALLINCKRODT INTERNATIONAL | 9/24/2024 | 4.854 | 795 | 794 | 794 | |||||
MALLINCKRODT INTERNATIONAL | 2/24/2025 | 4.909 | 269 | 268 | 268 | |||||
RPI INTERNATIONAL PARTNERS LP | 3/27/2023 | 3.702 | 929 | 928 | 928 | |||||
SELECT MEDICAL CORPORATION | 3/6/2025 | 4.580 | 1,250 | 1,245 | 1,245 | |||||
TENNESSEE PARENT INC | 2/6/2024 | 4.452 | 926 | 925 | 925 | |||||
US FOODS HOLDING CORP | 8/30/2026 | 3.702 | 250 | 249 | 249 | |||||
US FOODS HOLDING CORPORATION | 6/27/2023 | 3.452 | 1,429 | 1,427 | 1,427 | |||||
TOTAL CONSUMER NON CYCLICAL | 13,881 | 13,881 | ||||||||
(in thousands) 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 | — | 9 | 9 | |||||||||||||||||||
BNP SECURITIES | 1/23/2024 | — | 42 | 42 | |||||||||||||||||||
BNP SECURITIES | 1/10/2023 | 1 | — | — | |||||||||||||||||||
BNP SECURITIES | 1/31/2023 | 1 | — | — | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | 1 | 4 | 4 | |||||||||||||||||||
BNP SECURITIES | 3/14/2023 | 1 | 10 | 10 | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | 1 | 1 | 1 | |||||||||||||||||||
BNP SECURITIES | 4/4/2023 | 1 | 3 | 3 | |||||||||||||||||||
BNP SECURITIES | 4/11/2023 | 1 | 10 | 10 | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | 1 | 6 | 6 | |||||||||||||||||||
BNP SECURITIES | 5/23/2023 | 1 | 110 | 110 | |||||||||||||||||||
BNP SECURITIES | 5/30/2023 | 1 | 52 | 52 | |||||||||||||||||||
BNP SECURITIES | 6/20/2023 | 1 | 187 | 187 | |||||||||||||||||||
BNP SECURITIES | 6/27/2023 | 1 | 170 | 170 | |||||||||||||||||||
BNP SECURITIES | 7/11/2023 | 1 | 178 | 178 | |||||||||||||||||||
BNP SECURITIES | 7/8/2025 | — | 69 | 69 | |||||||||||||||||||
BNP SECURITIES | 8/8/2023 | 1 | 99 | 99 | |||||||||||||||||||
BNP SECURITIES | 9/5/2023 | 1 | 205 | 205 | |||||||||||||||||||
BNP SECURITIES | 9/19/2023 | 1 | 234 | 234 | |||||||||||||||||||
BNP SECURITIES | 10/10/2023 | 1 | 313 | 313 | |||||||||||||||||||
BNP SECURITIES | 10/24/2023 | 1 | 252 | 252 | |||||||||||||||||||
BNP SECURITIES | 10/21/2025 | — | 211 | 211 | |||||||||||||||||||
BNP SECURITIES | 11/21/2023 | 1 | 180 | 180 | |||||||||||||||||||
BNP SECURITIES | 11/19/2024 | — | 50 | 50 | |||||||||||||||||||
BNP SECURITIES | 11/18/2025 | — | 64 | 64 | |||||||||||||||||||
BNP SECURITIES | 11/28/2023 | — | 131 | 131 | |||||||||||||||||||
BNP SECURITIES | 12/5/2023 | 1 | 273 | 273 | |||||||||||||||||||
BNP SECURITIES | 12/19/2023 | 1 | 252 | 252 | |||||||||||||||||||
CS INTERNATIONAL | 1/24/2023 | 1 | — | — | |||||||||||||||||||
CS INTERNATIONAL | 2/14/2023 | 1 | — | — | |||||||||||||||||||
CS INTERNATIONAL | 2/21/2023 | 1 | 4 | 4 | |||||||||||||||||||
CS INTERNATIONAL | 3/7/2023 | 1 | 19 | 19 | |||||||||||||||||||
CS INTERNATIONAL | 4/25/2023 | 1 | 31 | 31 | |||||||||||||||||||
CS INTERNATIONAL | 6/6/2023 | 1 | 59 | 59 | |||||||||||||||||||
CS INTERNATIONAL | 7/18/2023 | 1 | 143 | 143 | |||||||||||||||||||
CS INTERNATIONAL | 7/25/2023 | 1 | 152 | 152 | |||||||||||||||||||
CS INTERNATIONAL | 8/1/2023 | 1 | 86 | 86 | |||||||||||||||||||
CS INTERNATIONAL | 8/22/2023 | 1 | 120 | 120 | |||||||||||||||||||
CS INTERNATIONAL | 9/26/2023 | 1 | 282 | 282 | |||||||||||||||||||
CS INTERNATIONAL | 9/23/2025 | — | 163 | 163 | |||||||||||||||||||
CS INTERNATIONAL | 10/17/2023 | 1 | 220 | 220 | |||||||||||||||||||
CS INTERNATIONAL | 10/31/2023 | 1 | 221 | 221 | |||||||||||||||||||
CS INTERNATIONAL | 11/7/2023 | 1 | 234 | 234 | |||||||||||||||||||
CS INTERNATIONAL | 11/4/2025 | — | 73 | 73 | |||||||||||||||||||
WELLS FARGO BANK | 2/14/2023 | — | 49 | 49 |
ELECTRIC | ||||||||||
AES CORP VA | 5/31/2022 | 3.659 | 63 | 63 | 63 | |||||
CALPINE CONSTRUCTION FINANCE | 1/15/2025 | 4.202 | 1,970 | 1,972 | 1,972 | |||||
CARROLL COUNTRY ENERGY LLC | 2/16/2026 | 5.604 | 724 | 718 | 718 | |||||
CPV SHORE HOLDINGS LLC | 12/29/2025 | 5.460 | 706 | 700 | 700 | |||||
EASTERN POWER LLC | 10/2/2023 | 5.452 | 1,508 | 1,511 | 1,511 | |||||
EDGEWATER GENERATION LLC | 12/13/2025 | 5.452 | 1,242 | 1,238 | 1,238 | |||||
EFS COGEN HOLDINGS I LLC | 6/28/2023 | 5.245 | 935 | 937 | 937 | |||||
HELIX GEN FUNDING LLC | 6/3/2024 | 5.452 | 970 | 968 | 968 | |||||
INVENERGY CLEAN POWER LLC | 8/28/2025 | 5.202 | 932 | 929 | 929 | |||||
LMBE-MC HOLDCO II LLC | 11/26/2025 | 6.110 | 689 | 686 | 686 | |||||
VISTRA ENERGY CORP | 12/31/2025 | 3.459 | 1,252 | 1,251 | 1,251 | |||||
WEST DEPTFORD ENERGY HOLDINGS LLC | 8/26/2026 | 5.452 | 1,225 | 1,221 | 1,221 | |||||
WG PARTNERS | 11/15/2023 | 5.604 | 327 | 325 | 325 | |||||
TOTAL ELECTRIC | 12,519 | 12,519 | ||||||||
ENERGY | ||||||||||
APERGY CORP | 5/9/2025 | 4.250 | 1,208 | 1,211 | 1,211 | |||||
EQUITRANS MIDSTREAM CORP | 1/31/2024 | 6.210 | 1,244 | 1,224 | 1,224 | |||||
HERCULES MERGER SUB LLC | 11/1/2026 | 4.441 | 425 | 423 | 423 | |||||
TRAVERSE MIDSTREAM PARTNERS | 9/27/2024 | 5.710 | 718 | 715 | 715 | |||||
TOTAL ENERGY | 3,573 | 3,573 | ||||||||
FINANCE COMPANY | ||||||||||
AVOLON TLB BORROWER | 1/15/2025 | 3.515 | 1,031 | 1,029 | 1,029 | |||||
FINCO I LLC | 12/27/2022 | 3.702 | 1,196 | 1,197 | 1,197 | |||||
TOTAL FINANCE COMPANY | 2,226 | 2,226 | ||||||||
INSURANCE | ||||||||||
ASURION LLC | 11/29/2024 | 4.702 | 420 | 418 | 418 | |||||
ASURION LLC | 11/3/2023 | 4.702 | 301 | 300 | 300 | |||||
ASURION LLC | 8/4/2022 | 4.702 | 226 | 225 | 225 | |||||
TOTAL INSURANCE | 943 | 943 | ||||||||
OTHER FINANCIAL INSTITUTIONS | ||||||||||
TRANSUNION | 11/16/2026 | 3.452 | 1,170 | 1,168 | 1,168 | |||||
TOTAL OTHER FINANCIAL INSTITUTIONS | 1,168 | 1,168 | ||||||||
OTHER INDUSTRY | ||||||||||
HAMILTON HOLDCO LLC | 1/2/2027 | 4.110 | 988 | 987 | 987 | |||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 5.452 | 987 | 982 | 982 | |||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 5.452 | 56 | 55 | 55 | |||||
TOTAL OTHER INDUSTRY | 2,024 | 2,024 | ||||||||
(in thousands) 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 | 3/7/2023 | — | 97 | 97 | |||||||||||||||||||
WELLS FARGO BANK | 3/21/2023 | — | 281 | 281 | |||||||||||||||||||
WELLS FARGO BANK | 5/9/2023 | — | 101 | 101 | |||||||||||||||||||
WELLS FARGO BANK | 6/13/2023 | — | 80 | 80 | |||||||||||||||||||
WELLS FARGO BANK | 2/21/2023 | — | 22 | 22 | |||||||||||||||||||
WELLS FARGO BANK | 7/11/2023 | — | 6 | 6 | |||||||||||||||||||
WELLS FARGO BANK | 1/3/2023 | 1 | — | — | |||||||||||||||||||
WELLS FARGO BANK | 1/17/2023 | 1 | — | — | |||||||||||||||||||
WELLS FARGO BANK | 2/7/2023 | 1 | — | — | |||||||||||||||||||
WELLS FARGO BANK | 3/21/2023 | 1 | 3 | 3 | |||||||||||||||||||
WELLS FARGO BANK | 5/2/2023 | 1 | 35 | 35 | |||||||||||||||||||
WELLS FARGO BANK | 4/29/2025 | — | 96 | 96 | |||||||||||||||||||
WELLS FARGO BANK | 5/9/2023 | 1 | 86 | 86 | |||||||||||||||||||
WELLS FARGO BANK | 5/16/2023 | 1 | 67 | 67 | |||||||||||||||||||
WELLS FARGO BANK | 6/13/2023 | 1 | 163 | 163 | |||||||||||||||||||
WELLS FARGO BANK | 7/1/2025 | — | 68 | 68 | |||||||||||||||||||
WELLS FARGO BANK | 7/5/2023 | 1 | 200 | 200 | |||||||||||||||||||
WELLS FARGO BANK | 8/15/2023 | 1 | 71 | 71 | |||||||||||||||||||
WELLS FARGO BANK | 8/12/2025 | — | 46 | 46 | |||||||||||||||||||
WELLS FARGO BANK | 8/29/2023 | 1 | 148 | 148 | |||||||||||||||||||
WELLS FARGO BANK | 8/27/2024 | — | 94 | 94 | |||||||||||||||||||
WELLS FARGO BANK | 9/12/2023 | 1 | 229 | 229 | |||||||||||||||||||
WELLS FARGO BANK | 10/3/2023 | 1 | 270 | 270 | |||||||||||||||||||
WELLS FARGO BANK | 11/14/2023 | 1 | 151 | 151 | |||||||||||||||||||
WELLS FARGO BANK | 12/12/2023 | — | 122 | 122 | |||||||||||||||||||
WELLS FARGO BANK | 12/26/2023 | 1 | 210 | 210 | |||||||||||||||||||
WELLS FARGO BANK | 12/24/2024 | — | 61 | 61 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | 8,793 | 8,793 | |||||||||||||||||||||
WRITTEN OPTIONS | |||||||||||||||||||||||
BNP SECURITIES | 2/7/2023 | — | (27) | (27) | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | — | (67) | (67) | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | — | (233) | (233) | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | — | (103) | (103) | |||||||||||||||||||
BNP SECURITIES | 4/25/2023 | — | (84) | (84) | |||||||||||||||||||
BNP SECURITIES | 5/2/2023 | — | (84) | (84) | |||||||||||||||||||
BNP SECURITIES | 5/16/2023 | — | (253) | (253) | |||||||||||||||||||
BNP SECURITIES | 8/15/2023 | — | (57) | (57) | |||||||||||||||||||
BNP SECURITIES | 8/22/2023 | — | (53) | (53) | |||||||||||||||||||
BNP SECURITIES | 1/17/2023 | — | (7) | (7) | |||||||||||||||||||
BNP SECURITIES | 1/23/2024 | — | (39) | (39) | |||||||||||||||||||
BNP SECURITIES | 1/10/2023 | (1) | — | — | |||||||||||||||||||
BNP SECURITIES | 1/31/2023 | (1) | — | — | |||||||||||||||||||
BNP SECURITIES | 2/28/2023 | (1) | (3) | (3) |
OTHER UTILITY | ||||||||||
SANDY CREEK | 11/9/2020 | 6.330 | 829 | 828 | 828 | |||||
TOTAL OTHER UTILITY | 828 | 828 | ||||||||
REITS | ||||||||||
EXTENDED STAY AMERICA INC | 9/18/2026 | 3.702 | 500 | 499 | 499 | |||||
RYMAN HOSPITALITY PROPERTIES | 5/11/2024 | 3.710 | 766 | 765 | 765 | |||||
VICI PROPERTIES INC | 12/20/2024 | 3.785 | 1,810 | 1,814 | 1,814 | |||||
TOTAL REITS | 3,078 | 3,078 | ||||||||
TECHNOLOGY | ||||||||||
CDW CORP | 10/13/2026 | 3.460 | 1,977 | 1,976 | 1,976 | |||||
CELESTICA INC. | 6/27/2025 | 3.825 | 1,086 | 1,082 | 1,082 | |||||
COMMSCOPE HOLDING CO INC | 4/6/2026 | 4.952 | 1,250 | 1,240 | 1,240 | |||||
DELL TECHNOLOGIES INC | 9/19/2025 | 3.710 | 1,454 | 1,453 | 1,453 | |||||
INFOR SOFTWARE PARENT LLC | 2/1/2022 | 4.854 | 414 | 413 | 413 | |||||
LEIDOS HOLDINGS INC | 8/22/2025 | 3.500 | 423 | 422 | 422 | |||||
MA FINANCECO LLC | 6/21/2024 | 4.202 | 160 | 159 | 159 | |||||
MACDONALD DETTWILER AND ASSOCIATES LTD | 10/4/2024 | 4.854 | 980 | 976 | 976 | |||||
MICROCHIP TECHNOLOGY INCORPORATED | 5/29/2025 | 3.710 | 431 | 431 | 431 | |||||
NEUSTAR | 8/8/2024 | 5.202 | 196 | 193 | 193 | |||||
ON SEMICONDUCTOR CORPORATION | 9/16/2026 | 3.702 | 1,413 | 1,417 | 1,417 | |||||
PERSPECTA INC | 5/31/2025 | 3.952 | 1,016 | 1,015 | 1,015 | |||||
PLANTRONICS INC | 7/2/2025 | 4.202 | 1,352 | 1,337 | 1,337 | |||||
SABRE HOLDINGS CORPORATION | 2/22/2024 | 3.702 | 799 | 798 | 798 | |||||
SCIENCE APPLICATIONS INTERNATIONAL CORP | 10/31/2025 | 3.452 | 1,238 | 1,232 | 1,232 | |||||
SEATTLE SPINCO INC | 6/21/2024 | 4.202 | 1,177 | 1,171 | 1,171 | |||||
SS&C EUROPEAN HOLDINGS | 4/16/2025 | 3.952 | 278 | 278 | 278 | |||||
SS&C TECHNOLOGIES | 4/16/2025 | 3.952 | 427 | 426 | 426 | |||||
TTM TECHNOLOGIES INC | 9/25/2024 | 4.191 | 360 | 359 | 359 | |||||
VERINT SYSTEMS INC | 6/28/2024 | 3.796 | 1,134 | 1,132 | 1,132 | |||||
WESTERN DIGITAL CORPORATION | 4/29/2023 | 3.452 | 1,727 | 1,725 | 1,725 | |||||
XPERI CORP | 12/1/2023 | 4.202 | 762 | 734 | 734 | |||||
TOTAL TECHNOLOGY | 19,969 | 19,969 | ||||||||
TRANSPORTATION | ||||||||||
AMERICAN AIRLINES GROUP INC | 12/14/2023 | 3.740 | 980 | 978 | 978 | |||||
AMERICAN AIRLINES GROUP INC | 6/27/2025 | 3.450 | 960 | 959 | 959 | |||||
GENESEE & WYOMING INC | 11/6/2026 | 3.774 | 650 | 651 | 651 | |||||
UNITED CONTINENTAL HOLDINGS INC | 4/1/2024 | 3.452 | 1,566 | 1,561 | 1,561 | |||||
TOTAL TRANSPORTATION | 4,149 | 4,149 | ||||||||
TOTAL SYNDICATED LOANS BEFORE ALLOWANCE FOR LOAN LOSSES | 147,500 | 147,500 | ||||||||
ALLOWANCE FOR LOAN LOSSES | (681 | ) | (681 | ) | ||||||
TOTAL SYNDICATED LOANS - NET | 146,819 | 146,819 |
(in thousands) Issuer | Maturity Date | Coupon Rate | Principal Amount of Bonds & Notes or # of Shares | Amortized Cost (Notes a & b) | Carrying Value (Note a) |
BNP SECURITIES | 3/14/2023 | (1) | (9) | (9) | |||||||||||||||||||
BNP SECURITIES | 3/28/2023 | (1) | (1) | (1) | |||||||||||||||||||
BNP SECURITIES | 4/4/2023 | (1) | (3) | (3) | |||||||||||||||||||
BNP SECURITIES | 4/11/2023 | (1) | (8) | (8) | |||||||||||||||||||
BNP SECURITIES | 4/18/2023 | (1) | (5) | (5) | |||||||||||||||||||
BNP SECURITIES | 5/23/2023 | (1) | (100) | (100) | |||||||||||||||||||
BNP SECURITIES | 5/30/2023 | (1) | (39) | (39) | |||||||||||||||||||
BNP SECURITIES | 6/20/2023 | (1) | (161) | (161) | |||||||||||||||||||
BNP SECURITIES | 6/27/2023 | (1) | (140) | (140) | |||||||||||||||||||
BNP SECURITIES | 7/11/2023 | (1) | (149) | (149) | |||||||||||||||||||
BNP SECURITIES | 7/8/2025 | — | (49) | (49) | |||||||||||||||||||
BNP SECURITIES | 8/8/2023 | (1) | (67) | (67) | |||||||||||||||||||
BNP SECURITIES | 9/5/2023 | (1) | (145) | (145) | |||||||||||||||||||
BNP SECURITIES | 9/19/2023 | (1) | (171) | (171) | |||||||||||||||||||
BNP SECURITIES | 10/10/2023 | (1) | (253) | (253) | |||||||||||||||||||
BNP SECURITIES | 10/24/2023 | (1) | (178) | (178) | |||||||||||||||||||
BNP SECURITIES | 10/21/2025 | — | (116) | (116) | |||||||||||||||||||
BNP SECURITIES | 11/21/2023 | (1) | (109) | (109) | |||||||||||||||||||
BNP SECURITIES | 11/19/2024 | — | (26) | (26) | |||||||||||||||||||
BNP SECURITIES | 11/18/2025 | — | (30) | (30) | |||||||||||||||||||
BNP SECURITIES | 11/28/2023 | — | (82) | (82) | |||||||||||||||||||
BNP SECURITIES | 12/5/2023 | (1) | (174) | (174) | |||||||||||||||||||
BNP SECURITIES | 12/19/2023 | (1) | (173) | (173) | |||||||||||||||||||
CS INTERNATIONAL | 1/24/2023 | (1) | — | — | |||||||||||||||||||
CS INTERNATIONAL | 2/14/2023 | (1) | — | — | |||||||||||||||||||
CS INTERNATIONAL | 2/14/2023 | — | — | — | |||||||||||||||||||
CS INTERNATIONAL | 2/21/2023 | (1) | (3) | (3) | |||||||||||||||||||
CS INTERNATIONAL | 3/7/2023 | (1) | (18) | (18) | |||||||||||||||||||
CS INTERNATIONAL | 4/25/2023 | (1) | (26) | (26) | |||||||||||||||||||
CS INTERNATIONAL | 6/6/2023 | (1) | (45) | (45) | |||||||||||||||||||
CS INTERNATIONAL | 7/18/2023 | (1) | (115) | (115) | |||||||||||||||||||
CS INTERNATIONAL | 7/25/2023 | (1) | (124) | (124) | |||||||||||||||||||
CS INTERNATIONAL | 8/1/2023 | (1) | (66) | (66) | |||||||||||||||||||
CS INTERNATIONAL | 8/22/2023 | (1) | (82) | (82) | |||||||||||||||||||
CS INTERNATIONAL | 9/26/2023 | (1) | (225) | (225) | |||||||||||||||||||
CS INTERNATIONAL | 9/23/2025 | — | (102) | (102) | |||||||||||||||||||
CS INTERNATIONAL | 10/17/2023 | (1) | (165) | (165) | |||||||||||||||||||
CS INTERNATIONAL | 10/31/2023 | (1) | (158) | (158) | |||||||||||||||||||
CS INTERNATIONAL | 11/7/2023 | (1) | (170) | (170) | |||||||||||||||||||
CS INTERNATIONAL | 11/4/2025 | — | (41) | (41) | |||||||||||||||||||
WELLS FARGO BANK | 2/14/2023 | — | (31) | (31) | |||||||||||||||||||
WELLS FARGO BANK | 3/7/2023 | — | (80) | (80) | |||||||||||||||||||
WELLS FARGO BANK | 3/21/2023 | — | (251) | (251) | |||||||||||||||||||
WELLS FARGO BANK | 5/9/2023 | — | (84) | (84) | |||||||||||||||||||
WELLS FARGO BANK | 6/13/2023 | — | (68) | (68) |
DERIVATIVES | ||||||||||
PURCHASED OPTIONS | ||||||||||
BNP PARIBAS SA | 1/14/2020 | — | 96 | 96 | ||||||
BNP PARIBAS SA | 1/21/2020 | — | 190 | 190 | ||||||
BNP PARIBAS SA | 2/11/2020 | — | 179 | 179 | ||||||
BNP PARIBAS SA | 3/17/2020 | — | 177 | 177 | ||||||
BNP PARIBAS SA | 3/24/2020 | — | 174 | 174 | ||||||
BNP PARIBAS SA | 3/31/2020 | — | 87 | 87 | ||||||
BNP PARIBAS SA | 5/19/2020 | — | 251 | 251 | ||||||
BNP PARIBAS SA | 5/26/2020 | — | 82 | 82 | ||||||
BNP PARIBAS SA | 6/2/2020 | — | 81 | 81 | ||||||
BNP PARIBAS SA | 6/16/2020 | — | 80 | 80 | ||||||
BNP PARIBAS SA | 6/30/2020 | — | 81 | 81 | ||||||
BNP PARIBAS SA | 7/7/2020 | — | 81 | 81 | ||||||
BNP PARIBAS SA | 7/14/2020 | — | 78 | 78 | ||||||
BNP PARIBAS SA | 8/4/2020 | — | 154 | 154 | ||||||
BNP PARIBAS SA | 9/15/2020 | — | 74 | 74 | ||||||
BNP PARIBAS SA | 9/29/2020 | — | 72 | 72 | ||||||
BNP PARIBAS SA | 10/20/2020 | — | 70 | 70 | ||||||
BNP PARIBAS SA | 10/27/2020 | — | 69 | 69 | ||||||
BNP PARIBAS SA | 11/17/2020 | — | 135 | 135 | ||||||
BNP PARIBAS SA | 11/24/2020 | — | 65 | 65 | ||||||
BNP PARIBAS SA | 12/1/2020 | — | 65 | 65 | ||||||
BNP PARIBAS SA | 12/15/2020 | — | 61 | 61 | ||||||
BNP PARIBAS SA | 1/21/2020 | — | 39 | 39 | ||||||
BNP PARIBAS SA | 1/19/2021 | 1 | 242 | 242 | ||||||
BNP PARIBAS SA | 2/4/2020 | — | 54 | 54 | ||||||
BNP PARIBAS SA | 2/2/2021 | — | 61 | 61 | ||||||
BNP PARIBAS SA | 2/18/2020 | — | 52 | 52 | ||||||
BNP PARIBAS SA | 2/16/2021 | — | 118 | 118 | ||||||
BNP PARIBAS SA | 2/25/2020 | — | 49 | 49 | ||||||
BNP PARIBAS SA | 2/23/2021 | — | 57 | 57 | ||||||
BNP PARIBAS SA | 3/3/2020 | — | 102 | 102 | ||||||
BNP PARIBAS SA | 3/2/2021 | — | 58 | 58 | ||||||
BNP PARIBAS SA | 3/31/2020 | — | 62 | 62 | ||||||
BNP PARIBAS SA | 3/30/2021 | — | 68 | 68 | ||||||
BNP PARIBAS SA | 4/14/2020 | — | 54 | 54 | ||||||
BNP PARIBAS SA | 4/13/2021 | — | 61 | 61 | ||||||
BNP PARIBAS SA | 4/28/2020 | — | 59 | 59 | ||||||
BNP PARIBAS SA | 4/27/2021 | — | 65 | 65 | ||||||
BNP PARIBAS SA | 8/4/2020 | — | 85 | 85 | ||||||
BNP PARIBAS SA | 8/3/2021 | — | 51 | 51 | ||||||
BNP PARIBAS SA | 8/11/2020 | — | 44 | 44 | ||||||
BNP PARIBAS SA | 8/10/2021 | — | 209 | 209 |
(in thousands) 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 | 2/21/2023 | — | (19) | (19) | |||||||||||||||||||
WELLS FARGO BANK | 7/11/2023 | — | (5) | (5) | |||||||||||||||||||
WELLS FARGO BANK | 1/3/2023 | (1) | — | — | |||||||||||||||||||
WELLS FARGO BANK | 1/17/2023 | (1) | — | — | |||||||||||||||||||
WELLS FARGO BANK | 2/7/2023 | (1) | — | — | |||||||||||||||||||
WELLS FARGO BANK | 3/21/2023 | (1) | (2) | (2) | |||||||||||||||||||
WELLS FARGO BANK | 5/2/2023 | (1) | (29) | (29) | |||||||||||||||||||
WELLS FARGO BANK | 4/29/2025 | — | (83) | (83) | |||||||||||||||||||
WELLS FARGO BANK | 5/9/2023 | (1) | (76) | (76) | |||||||||||||||||||
WELLS FARGO BANK | 5/16/2023 | (1) | (59) | (59) | |||||||||||||||||||
WELLS FARGO BANK | 6/13/2023 | (1) | (141) | (141) | |||||||||||||||||||
WELLS FARGO BANK | 7/1/2025 | — | (48) | (48) | |||||||||||||||||||
WELLS FARGO BANK | 7/5/2023 | (1) | (165) | (165) | |||||||||||||||||||
WELLS FARGO BANK | 8/15/2023 | (1) | (44) | (44) | |||||||||||||||||||
WELLS FARGO BANK | 8/12/2025 | — | (24) | (24) | |||||||||||||||||||
WELLS FARGO BANK | 8/29/2023 | (1) | (110) | (110) | |||||||||||||||||||
WELLS FARGO BANK | 8/27/2024 | — | (63) | (63) | |||||||||||||||||||
WELLS FARGO BANK | 9/12/2023 | (1) | (161) | (161) | |||||||||||||||||||
WELLS FARGO BANK | 10/3/2023 | (1) | (206) | (206) | |||||||||||||||||||
WELLS FARGO BANK | 11/14/2023 | (1) | (92) | (92) | |||||||||||||||||||
WELLS FARGO BANK | 12/12/2023 | — | (75) | (75) | |||||||||||||||||||
WELLS FARGO BANK | 12/26/2023 | (1) | (145) | (145) | |||||||||||||||||||
WELLS FARGO BANK | 12/24/2024 | — | (36) | (36) | |||||||||||||||||||
TOTAL WRITTEN OPTIONS | (6,635) | (6,635) |
FUTURES | |||||||||||||||||||||||
S&P500 EMINI FUT Mar23 | 9/16/2072 | — | (8) | (8) | |||||||||||||||||||
TOTAL FUTURES | (8) | (8) | |||||||||||||||||||||
TOTAL DERIVATIVES - NET | 2,150 | 2,150 | |||||||||||||||||||||
TOTAL INVESTMENTS IN CASH EQUIVALENTS, FIXED MATURITIES, EQUITY SECURITIES, SYNDICATED LOANS AND DERIVATIVES | $ | 9,786,961 | $ | 9,632,866 |
BNP PARIBAS SA | 8/18/2020 | — | 43 | 43 | ||||||
BNP PARIBAS SA | 8/17/2021 | — | 51 | 51 | ||||||
BNP PARIBAS SA | 9/29/2020 | — | 39 | 39 | ||||||
BNP PARIBAS SA | 9/28/2021 | — | 47 | 47 | ||||||
BNP PARIBAS SA | 10/27/2020 | — | 60 | 60 | ||||||
BNP PARIBAS SA | 10/26/2021 | — | 131 | 131 | ||||||
BNP PARIBAS SA | 11/3/2020 | — | 54 | 54 | ||||||
BNP PARIBAS SA | 11/2/2021 | — | 121 | 121 | ||||||
BNP PARIBAS SA | 2/4/2020 | 2 | 894 | 894 | ||||||
BNP PARIBAS SA | 2/1/2022 | — | 125 | 125 | ||||||
BNP PARIBAS SA | 3/31/2020 | 2 | 841 | 841 | ||||||
BNP PARIBAS SA | 3/30/2021 | — | 95 | 95 | ||||||
BNP PARIBAS SA | 3/29/2022 | — | 108 | 108 | ||||||
BNP PARIBAS SA | 4/14/2020 | 2 | 770 | 770 | ||||||
BNP PARIBAS SA | 4/13/2021 | — | 45 | 45 | ||||||
BNP PARIBAS SA | 4/12/2022 | — | 103 | 103 | ||||||
BNP PARIBAS SA | 4/21/2020 | 2 | 691 | 691 | ||||||
BNP PARIBAS SA | 4/19/2022 | — | 50 | 50 | ||||||
BNP PARIBAS SA | 6/30/2020 | 2 | 606 | 606 | ||||||
BNP PARIBAS SA | 6/29/2021 | — | 125 | 125 | ||||||
BNP PARIBAS SA | 6/28/2022 | — | 97 | 97 | ||||||
BNP PARIBAS SA | 7/14/2020 | 2 | 567 | 567 | ||||||
BNP PARIBAS SA | 7/13/2021 | — | 40 | 40 | ||||||
BNP PARIBAS SA | 9/1/2020 | 2 | 708 | 708 | ||||||
BNP PARIBAS SA | 9/8/2020 | 2 | 571 | 571 | ||||||
BNP PARIBAS SA | 9/22/2020 | 2 | 666 | 666 | ||||||
BNP PARIBAS SA | 9/20/2022 | — | 101 | 101 | ||||||
BNP PARIBAS SA | 10/13/2020 | 2 | 569 | 569 | ||||||
BNP PARIBAS SA | 10/11/2022 | — | 98 | 98 | ||||||
BNP PARIBAS SA | 11/3/2020 | 2 | 428 | 428 | ||||||
BNP PARIBAS SA | 11/1/2022 | — | 45 | 45 | ||||||
BNP PARIBAS SA | 11/10/2020 | 2 | 495 | 495 | ||||||
BNP PARIBAS SA | 11/17/2020 | 2 | 387 | 387 | ||||||
BNP PARIBAS SA | 11/15/2022 | — | 85 | 85 | ||||||
BNP PARIBAS SA | 12/1/2020 | 2 | 421 | 421 | ||||||
BNP PARIBAS SA | 11/30/2021 | — | 37 | 37 | ||||||
BNP PARIBAS SA | 12/22/2020 | 2 | 301 | 301 | ||||||
WELLS FARGO BANK NA | 10/27/2020 | 2 | 591 | 591 | ||||||
WELLS FARGO BANK NA | 10/25/2022 | — | 47 | 47 | ||||||
WELLS FARGO BANK NA | 1/7/2020 | — | 96 | 96 | ||||||
WELLS FARGO BANK NA | 1/28/2020 | — | 191 | 191 | ||||||
WELLS FARGO BANK NA | 2/4/2020 | — | 94 | 94 | ||||||
WELLS FARGO BANK NA | 2/18/2020 | — | 87 | 87 | ||||||
WELLS FARGO BANK NA | 2/25/2020 | — | 260 | 260 |
WELLS FARGO BANK NA | 3/3/2020 | — | 86 | 86 | ||||||
WELLS FARGO BANK NA | 3/10/2020 | — | 86 | 86 | ||||||
WELLS FARGO BANK NA | 4/7/2020 | — | 175 | 175 | ||||||
WELLS FARGO BANK NA | 4/14/2020 | — | 89 | 89 | ||||||
WELLS FARGO BANK NA | 4/21/2020 | — | 84 | 84 | ||||||
WELLS FARGO BANK NA | 4/28/2020 | — | 84 | 84 | ||||||
WELLS FARGO BANK NA | 5/5/2020 | — | 168 | 168 | ||||||
WELLS FARGO BANK NA | 5/12/2020 | — | 83 | 83 | ||||||
WELLS FARGO BANK NA | 6/9/2020 | — | 80 | 80 | ||||||
WELLS FARGO BANK NA | 6/23/2020 | — | 82 | 82 | ||||||
WELLS FARGO BANK NA | 7/21/2020 | — | 77 | 77 | ||||||
WELLS FARGO BANK NA | 7/28/2020 | — | 77 | 77 | ||||||
WELLS FARGO BANK NA | 8/11/2020 | — | 78 | 78 | ||||||
WELLS FARGO BANK NA | 8/18/2020 | — | 158 | 158 | ||||||
WELLS FARGO BANK NA | 8/25/2020 | — | 80 | 80 | ||||||
WELLS FARGO BANK NA | 9/8/2020 | — | 75 | 75 | ||||||
WELLS FARGO BANK NA | 9/22/2020 | — | 75 | 75 | ||||||
WELLS FARGO BANK NA | 10/6/2020 | — | 71 | 71 | ||||||
WELLS FARGO BANK NA | 10/13/2020 | — | 70 | 70 | ||||||
WELLS FARGO BANK NA | 11/10/2020 | — | 138 | 138 | ||||||
WELLS FARGO BANK NA | 12/8/2020 | — | 62 | 62 | ||||||
WELLS FARGO BANK NA | 12/29/2020 | — | 60 | 60 | ||||||
WELLS FARGO BANK NA | 1/7/2020 | — | 48 | 48 | ||||||
WELLS FARGO BANK NA | 1/5/2021 | — | 55 | 55 | ||||||
WELLS FARGO BANK NA | 1/14/2020 | — | 46 | 46 | ||||||
WELLS FARGO BANK NA | 1/12/2021 | — | 53 | 53 | ||||||
WELLS FARGO BANK NA | 1/28/2020 | — | 83 | 83 | ||||||
WELLS FARGO BANK NA | 1/26/2021 | — | 50 | 50 | ||||||
WELLS FARGO BANK NA | 2/11/2020 | — | 57 | 57 | ||||||
WELLS FARGO BANK NA | 2/9/2021 | — | 63 | 63 | ||||||
WELLS FARGO BANK NA | 3/10/2020 | — | 95 | 95 | ||||||
WELLS FARGO BANK NA | 3/9/2021 | — | 110 | 110 | ||||||
WELLS FARGO BANK NA | 3/17/2020 | — | 52 | 52 | ||||||
WELLS FARGO BANK NA | 3/16/2021 | — | 59 | 59 | ||||||
WELLS FARGO BANK NA | 3/24/2020 | — | 62 | 62 | ||||||
WELLS FARGO BANK NA | 4/7/2020 | — | 175 | 175 | ||||||
WELLS FARGO BANK NA | 4/6/2021 | — | 64 | 64 | ||||||
WELLS FARGO BANK NA | 4/21/2020 | — | 61 | 61 | ||||||
WELLS FARGO BANK NA | 4/20/2021 | — | 67 | 67 | ||||||
WELLS FARGO BANK NA | 5/5/2020 | — | 57 | 57 | ||||||
WELLS FARGO BANK NA | 5/4/2021 | — | 64 | 64 | ||||||
WELLS FARGO BANK NA | 5/12/2020 | — | 107 | 107 | ||||||
WELLS FARGO BANK NA | 5/11/2021 | — | 61 | 61 | ||||||
WELLS FARGO BANK NA | 5/19/2020 | — | 53 | 53 |
WELLS FARGO BANK NA | 5/26/2020 | — | 112 | 112 | ||||||
WELLS FARGO BANK NA | 5/25/2021 | — | 63 | 63 | ||||||
WELLS FARGO BANK NA | 6/1/2021 | — | 58 | 58 | ||||||
WELLS FARGO BANK NA | 6/9/2020 | — | 95 | 95 | ||||||
WELLS FARGO BANK NA | 6/8/2021 | — | 55 | 55 | ||||||
WELLS FARGO BANK NA | 6/16/2020 | — | 50 | 50 | ||||||
WELLS FARGO BANK NA | 6/15/2021 | — | 57 | 57 | ||||||
WELLS FARGO BANK NA | 6/23/2020 | — | 53 | 53 | ||||||
WELLS FARGO BANK NA | 6/22/2021 | — | 60 | 60 | ||||||
WELLS FARGO BANK NA | 6/30/2020 | — | 55 | 55 | ||||||
WELLS FARGO BANK NA | 6/29/2021 | — | 123 | 123 | ||||||
WELLS FARGO BANK NA | 7/7/2020 | — | 47 | 47 | ||||||
WELLS FARGO BANK NA | 7/6/2021 | — | 55 | 55 | ||||||
WELLS FARGO BANK NA | 7/14/2020 | — | 46 | 46 | ||||||
WELLS FARGO BANK NA | 7/13/2021 | — | 108 | 108 | ||||||
WELLS FARGO BANK NA | 7/21/2020 | — | 91 | 91 | ||||||
WELLS FARGO BANK NA | 7/20/2021 | — | 53 | 53 | ||||||
WELLS FARGO BANK NA | 7/28/2020 | — | 46 | 46 | ||||||
WELLS FARGO BANK NA | 7/27/2021 | — | 54 | 54 | ||||||
WELLS FARGO BANK NA | 8/24/2021 | — | 48 | 48 | ||||||
WELLS FARGO BANK NA | 9/1/2020 | — | 40 | 40 | ||||||
WELLS FARGO BANK NA | 8/31/2021 | — | 48 | 48 | ||||||
WELLS FARGO BANK NA | 9/8/2020 | — | 41 | 41 | ||||||
WELLS FARGO BANK NA | 9/7/2021 | — | 147 | 147 | ||||||
WELLS FARGO BANK NA | 9/15/2020 | — | 80 | 80 | ||||||
WELLS FARGO BANK NA | 9/14/2021 | — | 144 | 144 | ||||||
WELLS FARGO BANK NA | 9/22/2020 | — | 39 | 39 | ||||||
WELLS FARGO BANK NA | 9/21/2021 | — | 95 | 95 | ||||||
WELLS FARGO BANK NA | 10/6/2020 | — | 43 | 43 | ||||||
WELLS FARGO BANK NA | 10/5/2021 | — | 100 | 100 | ||||||
WELLS FARGO BANK NA | 10/13/2020 | — | 97 | 97 | ||||||
WELLS FARGO BANK NA | 10/12/2021 | — | 111 | 111 | ||||||
WELLS FARGO BANK NA | 10/20/2020 | — | 109 | 109 | ||||||
WELLS FARGO BANK NA | 10/19/2021 | — | 121 | 121 | ||||||
WELLS FARGO BANK NA | 11/10/2020 | — | 57 | 57 | ||||||
WELLS FARGO BANK NA | 11/9/2021 | — | 125 | 125 | ||||||
WELLS FARGO BANK NA | 11/17/2020 | — | 127 | 127 | ||||||
WELLS FARGO BANK NA | 11/16/2021 | — | 137 | 137 | ||||||
WELLS FARGO BANK NA | 11/23/2021 | — | 65 | 65 | ||||||
WELLS FARGO BANK NA | 12/1/2020 | — | 59 | 59 | ||||||
WELLS FARGO BANK NA | 11/30/2021 | — | 64 | 64 | ||||||
WELLS FARGO BANK NA | 12/8/2020 | — | 64 | 64 | ||||||
WELLS FARGO BANK NA | 12/7/2021 | — | 138 | 138 | ||||||
WELLS FARGO BANK NA | 12/15/2020 | — | 144 | 144 |
WELLS FARGO BANK NA | 12/14/2021 | — | 228 | 228 | ||||||
WELLS FARGO BANK NA | 12/22/2020 | — | 179 | 179 | ||||||
WELLS FARGO BANK NA | 12/21/2021 | — | 368 | 368 | ||||||
WELLS FARGO BANK NA | 12/29/2020 | — | 76 | 76 | ||||||
WELLS FARGO BANK NA | 12/28/2021 | — | 159 | 159 | ||||||
WELLS FARGO BANK NA | 1/7/2020 | 2 | 1,313 | 1,313 | ||||||
WELLS FARGO BANK NA | 1/5/2021 | — | 140 | 140 | ||||||
WELLS FARGO BANK NA | 1/4/2022 | — | 149 | 149 | ||||||
WELLS FARGO BANK NA | 1/14/2020 | 2 | 1,488 | 1,488 | ||||||
WELLS FARGO BANK NA | 1/12/2021 | — | 67 | 67 | ||||||
WELLS FARGO BANK NA | 1/11/2022 | — | 143 | 143 | ||||||
WELLS FARGO BANK NA | 1/21/2020 | 2 | 1,253 | 1,253 | ||||||
WELLS FARGO BANK NA | 1/19/2021 | — | 65 | 65 | ||||||
WELLS FARGO BANK NA | 1/18/2022 | — | 70 | 70 | ||||||
WELLS FARGO BANK NA | 1/28/2020 | 2 | 1,246 | 1,246 | ||||||
WELLS FARGO BANK NA | 1/26/2021 | — | 129 | 129 | ||||||
WELLS FARGO BANK NA | 1/25/2022 | — | 139 | 139 | ||||||
WELLS FARGO BANK NA | 2/11/2020 | 2 | 1,077 | 1,077 | ||||||
WELLS FARGO BANK NA | 2/9/2021 | — | 225 | 225 | ||||||
WELLS FARGO BANK NA | 2/8/2022 | — | 186 | 186 | ||||||
WELLS FARGO BANK NA | 2/18/2020 | 2 | 818 | 818 | ||||||
WELLS FARGO BANK NA | 2/16/2021 | — | 107 | 107 | ||||||
WELLS FARGO BANK NA | 2/15/2022 | — | 119 | 119 | ||||||
WELLS FARGO BANK NA | 2/25/2020 | 2 | 797 | 797 | ||||||
WELLS FARGO BANK NA | 2/23/2021 | — | 105 | 105 | ||||||
WELLS FARGO BANK NA | 2/22/2022 | — | 117 | 117 | ||||||
WELLS FARGO BANK NA | 3/3/2020 | 2 | 941 | 941 | ||||||
WELLS FARGO BANK NA | 3/2/2021 | — | 53 | 53 | ||||||
WELLS FARGO BANK NA | 3/1/2022 | — | 59 | 59 | ||||||
WELLS FARGO BANK NA | 3/10/2020 | 2 | 896 | 896 | ||||||
WELLS FARGO BANK NA | 3/9/2021 | — | 53 | 53 | ||||||
WELLS FARGO BANK NA | 3/8/2022 | — | 177 | 177 | ||||||
WELLS FARGO BANK NA | 3/17/2020 | 2 | 943 | 943 | ||||||
WELLS FARGO BANK NA | 3/16/2021 | — | 50 | 50 | ||||||
WELLS FARGO BANK NA | 3/15/2022 | — | 56 | 56 | ||||||
WELLS FARGO BANK NA | 3/24/2020 | 2 | 808 | 808 | ||||||
WELLS FARGO BANK NA | 3/23/2021 | — | 103 | 103 | ||||||
WELLS FARGO BANK NA | 3/22/2022 | — | 115 | 115 | ||||||
WELLS FARGO BANK NA | 4/7/2020 | 2 | 749 | 749 | ||||||
WELLS FARGO BANK NA | 4/6/2021 | — | 47 | 47 | ||||||
WELLS FARGO BANK NA | 4/5/2022 | 1 | 267 | 267 | ||||||
WELLS FARGO BANK NA | 4/28/2020 | 2 | 581 | 581 | ||||||
WELLS FARGO BANK NA | 4/27/2021 | — | 43 | 43 | ||||||
WELLS FARGO BANK NA | 4/26/2022 | — | 49 | 49 |
WELLS FARGO BANK NA | 5/5/2020 | 2 | 759 | 759 | ||||||
WELLS FARGO BANK NA | 5/3/2022 | — | 108 | 108 | ||||||
WELLS FARGO BANK NA | 5/12/2020 | 2 | 764 | 764 | ||||||
WELLS FARGO BANK NA | 5/11/2021 | — | 51 | 51 | ||||||
WELLS FARGO BANK NA | 5/10/2022 | — | 114 | 114 | ||||||
WELLS FARGO BANK NA | 5/19/2020 | 2 | 958 | 958 | ||||||
WELLS FARGO BANK NA | 5/26/2020 | 2 | 958 | 958 | ||||||
WELLS FARGO BANK NA | 5/24/2022 | — | 119 | 119 | ||||||
WELLS FARGO BANK NA | 6/2/2020 | 2 | 869 | 869 | ||||||
WELLS FARGO BANK NA | 6/1/2021 | — | 54 | 54 | ||||||
WELLS FARGO BANK NA | 5/31/2022 | — | 60 | 60 | ||||||
WELLS FARGO BANK NA | 6/9/2020 | 2 | 734 | 734 | ||||||
WELLS FARGO BANK NA | 6/16/2020 | 2 | 650 | 650 | ||||||
WELLS FARGO BANK NA | 6/15/2021 | — | 91 | 91 | ||||||
WELLS FARGO BANK NA | 6/14/2022 | — | 104 | 104 | ||||||
WELLS FARGO BANK NA | 6/23/2020 | 2 | 728 | 728 | ||||||
WELLS FARGO BANK NA | 6/22/2021 | — | 91 | 91 | ||||||
WELLS FARGO BANK NA | 6/21/2022 | — | 104 | 104 | ||||||
WELLS FARGO BANK NA | 7/7/2020 | 2 | 604 | 604 | ||||||
WELLS FARGO BANK NA | 7/21/2020 | 2 | 575 | 575 | ||||||
WELLS FARGO BANK NA | 7/28/2020 | 2 | 598 | 598 | ||||||
WELLS FARGO BANK NA | 7/27/2021 | — | 40 | 40 | ||||||
WELLS FARGO BANK NA | 7/26/2022 | — | 47 | 47 | ||||||
WELLS FARGO BANK NA | 8/4/2020 | 2 | 858 | 858 | ||||||
WELLS FARGO BANK NA | 8/3/2021 | — | 98 | 98 | ||||||
WELLS FARGO BANK NA | 8/11/2020 | 2 | 745 | 745 | ||||||
WELLS FARGO BANK NA | 8/18/2020 | 2 | 712 | 712 | ||||||
WELLS FARGO BANK NA | 8/16/2022 | — | 109 | 109 | ||||||
WELLS FARGO BANK NA | 8/25/2020 | 2 | 804 | 804 | ||||||
WELLS FARGO BANK NA | 9/15/2020 | 2 | 575 | 575 | ||||||
WELLS FARGO BANK NA | 9/13/2022 | — | 48 | 48 | ||||||
WELLS FARGO BANK NA | 9/29/2020 | 2 | 638 | 638 | ||||||
WELLS FARGO BANK NA | 9/27/2022 | — | 53 | 53 | ||||||
WELLS FARGO BANK NA | 10/6/2020 | 2 | 664 | 664 | ||||||
WELLS FARGO BANK NA | 10/5/2021 | — | 49 | 49 | ||||||
WELLS FARGO BANK NA | 10/4/2022 | — | 111 | 111 | ||||||
WELLS FARGO BANK NA | 10/20/2020 | 2 | 508 | 508 | ||||||
WELLS FARGO BANK NA | 11/24/2020 | 2 | 395 | 395 | ||||||
WELLS FARGO BANK NA | 12/8/2020 | 1 | 332 | 332 | ||||||
WELLS FARGO BANK NA | 12/15/2020 | 2 | 329 | 329 | ||||||
TOTAL PURCHASED OPTIONS | 56,038 | 56,038 | ||||||||
WRITTEN OPTIONS | ||||||||||
BNP PARIBAS SA | 1/14/2020 | — | (82 | ) | (82 | ) |
BNP PARIBAS SA | 1/21/2020 | — | (153 | ) | (153 | ) | ||||
BNP PARIBAS SA | 2/11/2020 | — | (141 | ) | (141 | ) | ||||
BNP PARIBAS SA | 3/17/2020 | — | (139 | ) | (139 | ) | ||||
BNP PARIBAS SA | 3/24/2020 | — | (137 | ) | (137 | ) | ||||
BNP PARIBAS SA | 3/31/2020 | — | (68 | ) | (68 | ) | ||||
BNP PARIBAS SA | 5/19/2020 | — | (195 | ) | (195 | ) | ||||
BNP PARIBAS SA | 5/26/2020 | — | (63 | ) | (63 | ) | ||||
BNP PARIBAS SA | 6/2/2020 | — | (62 | ) | (62 | ) | ||||
BNP PARIBAS SA | 6/16/2020 | — | (61 | ) | (61 | ) | ||||
BNP PARIBAS SA | 6/30/2020 | — | (62 | ) | (62 | ) | ||||
BNP PARIBAS SA | 7/7/2020 | — | (63 | ) | (63 | ) | ||||
BNP PARIBAS SA | 7/14/2020 | — | (59 | ) | (59 | ) | ||||
BNP PARIBAS SA | 8/4/2020 | — | (117 | ) | (117 | ) | ||||
BNP PARIBAS SA | 9/15/2020 | — | (56 | ) | (56 | ) | ||||
BNP PARIBAS SA | 9/29/2020 | — | (54 | ) | (54 | ) | ||||
BNP PARIBAS SA | 10/20/2020 | — | (51 | ) | (51 | ) | ||||
BNP PARIBAS SA | 10/27/2020 | — | (51 | ) | (51 | ) | ||||
BNP PARIBAS SA | 11/17/2020 | — | (99 | ) | (99 | ) | ||||
BNP PARIBAS SA | 11/24/2020 | — | (47 | ) | (47 | ) | ||||
BNP PARIBAS SA | 12/1/2020 | — | (47 | ) | (47 | ) | ||||
BNP PARIBAS SA | 12/15/2020 | — | (43 | ) | (43 | ) | ||||
BNP PARIBAS SA | 1/21/2020 | — | (27 | ) | (27 | ) | ||||
BNP PARIBAS SA | 1/19/2021 | (1 | ) | (146 | ) | (146 | ) | |||
BNP PARIBAS SA | 2/4/2020 | — | (42 | ) | (42 | ) | ||||
BNP PARIBAS SA | 2/2/2021 | — | (41 | ) | (41 | ) | ||||
BNP PARIBAS SA | 2/18/2020 | — | (40 | ) | (40 | ) | ||||
BNP PARIBAS SA | 2/16/2021 | — | (79 | ) | (79 | ) | ||||
BNP PARIBAS SA | 2/25/2020 | — | (37 | ) | (37 | ) | ||||
BNP PARIBAS SA | 2/23/2021 | — | (38 | ) | (38 | ) | ||||
BNP PARIBAS SA | 3/3/2020 | — | (74 | ) | (74 | ) | ||||
BNP PARIBAS SA | 3/2/2021 | — | (37 | ) | (37 | ) | ||||
BNP PARIBAS SA | 3/31/2020 | — | (49 | ) | (49 | ) | ||||
BNP PARIBAS SA | 3/30/2021 | — | (47 | ) | (47 | ) | ||||
BNP PARIBAS SA | 4/14/2020 | — | (40 | ) | (40 | ) | ||||
BNP PARIBAS SA | 4/13/2021 | — | (40 | ) | (40 | ) | ||||
BNP PARIBAS SA | 4/28/2020 | — | (43 | ) | (43 | ) | ||||
BNP PARIBAS SA | 4/27/2021 | — | (40 | ) | (40 | ) | ||||
BNP PARIBAS SA | 8/4/2020 | — | (52 | ) | (52 | ) | ||||
BNP PARIBAS SA | 8/3/2021 | — | (25 | ) | (25 | ) | ||||
BNP PARIBAS SA | 8/11/2020 | — | (28 | ) | (28 | ) | ||||
BNP PARIBAS SA | 8/10/2021 | — | (106 | ) | (106 | ) | ||||
BNP PARIBAS SA | 8/18/2020 | — | (26 | ) | (26 | ) | ||||
BNP PARIBAS SA | 8/17/2021 | — | (25 | ) | (25 | ) | ||||
BNP PARIBAS SA | 9/29/2020 | — | (23 | ) | (23 | ) |
BNP PARIBAS SA | 9/28/2021 | — | (22 | ) | (22 | ) | ||||
BNP PARIBAS SA | 10/27/2020 | — | (43 | ) | (43 | ) | ||||
BNP PARIBAS SA | 10/26/2021 | — | (79 | ) | (79 | ) | ||||
BNP PARIBAS SA | 11/2/2021 | — | (69 | ) | (69 | ) | ||||
BNP PARIBAS SA | 11/3/2020 | — | (38 | ) | (38 | ) | ||||
BNP PARIBAS SA | 2/4/2020 | (2 | ) | (724 | ) | (724 | ) | |||
BNP PARIBAS SA | 2/1/2022 | — | (69 | ) | (69 | ) | ||||
BNP PARIBAS SA | 3/31/2020 | (2 | ) | (655 | ) | (655 | ) | |||
BNP PARIBAS SA | 3/30/2021 | — | (65 | ) | (65 | ) | ||||
BNP PARIBAS SA | 3/29/2022 | — | (60 | ) | (60 | ) | ||||
BNP PARIBAS SA | 4/14/2020 | (2 | ) | (587 | ) | (587 | ) | |||
BNP PARIBAS SA | 4/13/2021 | — | (30 | ) | (30 | ) | ||||
BNP PARIBAS SA | 4/12/2022 | — | (56 | ) | (56 | ) | ||||
BNP PARIBAS SA | 4/21/2020 | (2 | ) | (519 | ) | (519 | ) | |||
BNP PARIBAS SA | 4/19/2022 | — | (26 | ) | (26 | ) | ||||
BNP PARIBAS SA | 6/30/2020 | (2 | ) | (493 | ) | (493 | ) | |||
BNP PARIBAS SA | 6/29/2021 | — | (92 | ) | (92 | ) | ||||
BNP PARIBAS SA | 6/28/2022 | — | (60 | ) | (60 | ) | ||||
BNP PARIBAS SA | 7/14/2020 | (2 | ) | (456 | ) | (456 | ) | |||
BNP PARIBAS SA | 7/13/2021 | — | (29 | ) | (29 | ) | ||||
BNP PARIBAS SA | 9/1/2020 | (2 | ) | (613 | ) | (613 | ) | |||
BNP PARIBAS SA | 9/8/2020 | (2 | ) | (483 | ) | (483 | ) | |||
BNP PARIBAS SA | 9/22/2020 | (2 | ) | (589 | ) | (589 | ) | |||
BNP PARIBAS SA | 9/20/2022 | — | (76 | ) | (76 | ) | ||||
BNP PARIBAS SA | 10/13/2020 | (2 | ) | (501 | ) | (501 | ) | |||
BNP PARIBAS SA | 10/11/2022 | — | (74 | ) | (74 | ) | ||||
BNP PARIBAS SA | 11/3/2020 | (2 | ) | (371 | ) | (371 | ) | |||
BNP PARIBAS SA | 11/1/2022 | — | (33 | ) | (33 | ) | ||||
BNP PARIBAS SA | 11/10/2020 | (2 | ) | (428 | ) | (428 | ) | |||
BNP PARIBAS SA | 11/17/2020 | (2 | ) | (332 | ) | (332 | ) | |||
BNP PARIBAS SA | 11/15/2022 | — | (62 | ) | (62 | ) | ||||
BNP PARIBAS SA | 12/1/2020 | (2 | ) | (365 | ) | (365 | ) | |||
BNP PARIBAS SA | 11/30/2021 | — | (30 | ) | (30 | ) | ||||
BNP PARIBAS SA | 12/22/2020 | (2 | ) | (256 | ) | (256 | ) | |||
WELLS FARGO BANK NA | 9/29/2020 | (2 | ) | (570 | ) | (570 | ) | |||
WELLS FARGO BANK NA | 10/27/2020 | (2 | ) | (517 | ) | (517 | ) | |||
WELLS FARGO BANK NA | 10/25/2022 | — | (35 | ) | (35 | ) | ||||
WELLS FARGO BANK NA | 1/7/2020 | — | (82 | ) | (82 | ) | ||||
WELLS FARGO BANK NA | 1/28/2020 | — | (153 | ) | (153 | ) | ||||
WELLS FARGO BANK NA | 2/4/2020 | — | (75 | ) | (75 | ) | ||||
WELLS FARGO BANK NA | 2/18/2020 | — | (67 | ) | (67 | ) | ||||
WELLS FARGO BANK NA | 2/25/2020 | — | (202 | ) | (202 | ) | ||||
WELLS FARGO BANK NA | 3/3/2020 | — | (67 | ) | (67 | ) | ||||
WELLS FARGO BANK NA | 3/10/2020 | — | (67 | ) | (67 | ) |
WELLS FARGO BANK NA | 4/7/2020 | — | (138 | ) | (138 | ) | ||||
WELLS FARGO BANK NA | 4/14/2020 | — | (70 | ) | (70 | ) | ||||
WELLS FARGO BANK NA | 4/21/2020 | — | (65 | ) | (65 | ) | ||||
WELLS FARGO BANK NA | 4/28/2020 | — | (65 | ) | (65 | ) | ||||
WELLS FARGO BANK NA | 5/5/2020 | — | (130 | ) | (130 | ) | ||||
WELLS FARGO BANK NA | 5/12/2020 | — | (64 | ) | (64 | ) | ||||
WELLS FARGO BANK NA | 6/9/2020 | — | (61 | ) | (61 | ) | ||||
WELLS FARGO BANK NA | 6/23/2020 | — | (63 | ) | (63 | ) | ||||
WELLS FARGO BANK NA | 7/21/2020 | — | (58 | ) | (58 | ) | ||||
WELLS FARGO BANK NA | 7/28/2020 | — | (58 | ) | (58 | ) | ||||
WELLS FARGO BANK NA | 8/11/2020 | — | (60 | ) | (60 | ) | ||||
WELLS FARGO BANK NA | 8/18/2020 | — | (122 | ) | (122 | ) | ||||
WELLS FARGO BANK NA | 8/25/2020 | — | (62 | ) | (62 | ) | ||||
WELLS FARGO BANK NA | 9/8/2020 | — | (57 | ) | (57 | ) | ||||
WELLS FARGO BANK NA | 9/22/2020 | — | (57 | ) | (57 | ) | ||||
WELLS FARGO BANK NA | 10/6/2020 | — | (53 | ) | (53 | ) | ||||
WELLS FARGO BANK NA | 10/13/2020 | — | (52 | ) | (52 | ) | ||||
WELLS FARGO BANK NA | 11/10/2020 | — | (102 | ) | (102 | ) | ||||
WELLS FARGO BANK NA | 12/8/2020 | — | (44 | ) | (44 | ) | ||||
WELLS FARGO BANK NA | 12/29/2020 | — | (42 | ) | (42 | ) | ||||
WELLS FARGO BANK NA | 1/7/2020 | — | (36 | ) | (36 | ) | ||||
WELLS FARGO BANK NA | 1/5/2021 | — | (36 | ) | (36 | ) | ||||
WELLS FARGO BANK NA | 1/14/2020 | — | (33 | ) | (33 | ) | ||||
WELLS FARGO BANK NA | 1/12/2021 | — | (34 | ) | (34 | ) | ||||
WELLS FARGO BANK NA | 1/28/2020 | — | (58 | ) | (58 | ) | ||||
WELLS FARGO BANK NA | 1/26/2021 | — | (31 | ) | (31 | ) | ||||
WELLS FARGO BANK NA | 2/11/2020 | — | (45 | ) | (45 | ) | ||||
WELLS FARGO BANK NA | 2/9/2021 | — | (44 | ) | (44 | ) | ||||
WELLS FARGO BANK NA | 3/10/2020 | — | (67 | ) | (67 | ) | ||||
WELLS FARGO BANK NA | 3/9/2021 | — | (69 | ) | (69 | ) | ||||
WELLS FARGO BANK NA | 3/17/2020 | — | (38 | ) | (38 | ) | ||||
WELLS FARGO BANK NA | 3/16/2021 | — | (38 | ) | (38 | ) | ||||
WELLS FARGO BANK NA | 3/24/2020 | — | (49 | ) | (49 | ) | ||||
WELLS FARGO BANK NA | 4/7/2020 | — | (135 | ) | (135 | ) | ||||
WELLS FARGO BANK NA | 4/6/2021 | — | (44 | ) | (44 | ) | ||||
WELLS FARGO BANK NA | 4/21/2020 | — | (48 | ) | (48 | ) | ||||
WELLS FARGO BANK NA | 4/20/2021 | — | (46 | ) | (46 | ) | ||||
WELLS FARGO BANK NA | 5/5/2020 | — | (41 | ) | (41 | ) | ||||
WELLS FARGO BANK NA | 5/4/2021 | — | (39 | ) | (39 | ) | ||||
WELLS FARGO BANK NA | 5/12/2020 | — | (76 | ) | (76 | ) | ||||
WELLS FARGO BANK NA | 5/11/2021 | — | (36 | ) | (36 | ) | ||||
WELLS FARGO BANK NA | 5/19/2020 | — | (37 | ) | (37 | ) | ||||
WELLS FARGO BANK NA | 5/26/2020 | — | (80 | ) | (80 | ) | ||||
WELLS FARGO BANK NA | 5/25/2021 | — | (38 | ) | (38 | ) |
WELLS FARGO BANK NA | 6/1/2021 | — | (34 | ) | (34 | ) | ||||
WELLS FARGO BANK NA | 6/9/2020 | — | (60 | ) | (60 | ) | ||||
WELLS FARGO BANK NA | 6/8/2021 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 6/16/2020 | — | (32 | ) | (32 | ) | ||||
WELLS FARGO BANK NA | 6/15/2021 | — | (30 | ) | (30 | ) | ||||
WELLS FARGO BANK NA | 6/23/2020 | — | (36 | ) | (36 | ) | ||||
WELLS FARGO BANK NA | 6/22/2021 | — | (34 | ) | (34 | ) | ||||
WELLS FARGO BANK NA | 6/30/2020 | — | (37 | ) | (37 | ) | ||||
WELLS FARGO BANK NA | 6/29/2021 | — | (69 | ) | (69 | ) | ||||
WELLS FARGO BANK NA | 7/7/2020 | — | (30 | ) | (30 | ) | ||||
WELLS FARGO BANK NA | 7/6/2021 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 7/14/2020 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 7/13/2021 | — | (56 | ) | (56 | ) | ||||
WELLS FARGO BANK NA | 7/21/2020 | — | (58 | ) | (58 | ) | ||||
WELLS FARGO BANK NA | 7/20/2021 | — | (27 | ) | (27 | ) | ||||
WELLS FARGO BANK NA | 7/28/2020 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 7/27/2021 | — | (28 | ) | (28 | ) | ||||
WELLS FARGO BANK NA | 8/24/2021 | — | (23 | ) | (23 | ) | ||||
WELLS FARGO BANK NA | 9/1/2020 | — | (24 | ) | (24 | ) | ||||
WELLS FARGO BANK NA | 8/31/2021 | — | (23 | ) | (23 | ) | ||||
WELLS FARGO BANK NA | 9/8/2020 | — | (25 | ) | (25 | ) | ||||
WELLS FARGO BANK NA | 9/7/2021 | — | (72 | ) | (72 | ) | ||||
WELLS FARGO BANK NA | 9/15/2020 | — | (47 | ) | (47 | ) | ||||
WELLS FARGO BANK NA | 9/14/2021 | — | (69 | ) | (69 | ) | ||||
WELLS FARGO BANK NA | 9/22/2020 | — | (23 | ) | (23 | ) | ||||
WELLS FARGO BANK NA | 9/21/2021 | — | (45 | ) | (45 | ) | ||||
WELLS FARGO BANK NA | 10/6/2020 | — | (26 | ) | (26 | ) | ||||
WELLS FARGO BANK NA | 10/5/2021 | — | (50 | ) | (50 | ) | ||||
WELLS FARGO BANK NA | 10/13/2020 | — | (64 | ) | (64 | ) | ||||
WELLS FARGO BANK NA | 10/12/2021 | — | (60 | ) | (60 | ) | ||||
WELLS FARGO BANK NA | 10/20/2020 | — | (76 | ) | (76 | ) | ||||
WELLS FARGO BANK NA | 10/19/2021 | — | (70 | ) | (70 | ) | ||||
WELLS FARGO BANK NA | 11/10/2020 | — | (41 | ) | (41 | ) | ||||
WELLS FARGO BANK NA | 11/9/2021 | — | (73 | ) | (73 | ) | ||||
WELLS FARGO BANK NA | 11/17/2020 | — | (95 | ) | (95 | ) | ||||
WELLS FARGO BANK NA | 11/16/2021 | — | (85 | ) | (85 | ) | ||||
WELLS FARGO BANK NA | 11/23/2021 | — | (40 | ) | (40 | ) | ||||
WELLS FARGO BANK NA | 12/1/2020 | — | (41 | ) | (41 | ) | ||||
WELLS FARGO BANK NA | 11/30/2021 | — | (36 | ) | (36 | ) | ||||
WELLS FARGO BANK NA | 12/8/2020 | — | (46 | ) | (46 | ) | ||||
WELLS FARGO BANK NA | 12/7/2021 | — | (81 | ) | (81 | ) | ||||
WELLS FARGO BANK NA | 12/15/2020 | — | (109 | ) | (109 | ) | ||||
WELLS FARGO BANK NA | 12/14/2021 | — | (143 | ) | (143 | ) | ||||
WELLS FARGO BANK NA | 12/22/2020 | — | (144 | ) | (144 | ) |
WELLS FARGO BANK NA | 12/21/2021 | — | (192 | ) | (192 | ) | ||||
WELLS FARGO BANK NA | 12/21/2021 | — | (21 | ) | (21 | ) | ||||
WELLS FARGO BANK NA | 12/29/2020 | — | (58 | ) | (58 | ) | ||||
WELLS FARGO BANK NA | 12/28/2021 | — | (103 | ) | (103 | ) | ||||
WELLS FARGO BANK NA | 1/7/2020 | (2 | ) | (1,133 | ) | (1,133 | ) | |||
WELLS FARGO BANK NA | 1/5/2021 | — | (105 | ) | (105 | ) | ||||
WELLS FARGO BANK NA | 1/4/2022 | — | (92 | ) | (92 | ) | ||||
WELLS FARGO BANK NA | 1/14/2020 | — | (33 | ) | (33 | ) | ||||
WELLS FARGO BANK NA | 1/14/2020 | (2 | ) | (1,217 | ) | (1,217 | ) | |||
WELLS FARGO BANK NA | 1/12/2021 | — | (49 | ) | (49 | ) | ||||
WELLS FARGO BANK NA | 1/11/2022 | — | (87 | ) | (87 | ) | ||||
WELLS FARGO BANK NA | 1/21/2020 | (2 | ) | (1,010 | ) | (1,010 | ) | |||
WELLS FARGO BANK NA | 1/21/2020 | — | (31 | ) | (31 | ) | ||||
WELLS FARGO BANK NA | 1/19/2021 | — | (48 | ) | (48 | ) | ||||
WELLS FARGO BANK NA | 1/18/2022 | — | (42 | ) | (42 | ) | ||||
WELLS FARGO BANK NA | 1/28/2020 | (2 | ) | (1,053 | ) | (1,053 | ) | |||
WELLS FARGO BANK NA | 1/26/2021 | — | (94 | ) | (94 | ) | ||||
WELLS FARGO BANK NA | 1/25/2022 | — | (83 | ) | (83 | ) | ||||
WELLS FARGO BANK NA | 2/11/2020 | (2 | ) | (871 | ) | (871 | ) | |||
WELLS FARGO BANK NA | 2/9/2021 | — | (155 | ) | (155 | ) | ||||
WELLS FARGO BANK NA | 2/8/2022 | — | (104 | ) | (104 | ) | ||||
WELLS FARGO BANK NA | 2/18/2020 | (2 | ) | (663 | ) | (663 | ) | |||
WELLS FARGO BANK NA | 2/16/2021 | — | (76 | ) | (76 | ) | ||||
WELLS FARGO BANK NA | 2/15/2022 | — | (70 | ) | (70 | ) | ||||
WELLS FARGO BANK NA | 2/25/2020 | (2 | ) | (640 | ) | (640 | ) | |||
WELLS FARGO BANK NA | 2/23/2021 | — | (75 | ) | (75 | ) | ||||
WELLS FARGO BANK NA | 2/22/2022 | — | (69 | ) | (69 | ) | ||||
WELLS FARGO BANK NA | 3/3/2020 | (2 | ) | (760 | ) | (760 | ) | |||
WELLS FARGO BANK NA | 3/2/2021 | — | (38 | ) | (38 | ) | ||||
WELLS FARGO BANK NA | 3/1/2022 | — | (35 | ) | (35 | ) | ||||
WELLS FARGO BANK NA | 3/10/2020 | (2 | ) | (724 | ) | (724 | ) | |||
WELLS FARGO BANK NA | 3/9/2021 | — | (38 | ) | (38 | ) | ||||
WELLS FARGO BANK NA | 3/8/2022 | — | (104 | ) | (104 | ) | ||||
WELLS FARGO BANK NA | 3/17/2020 | (2 | ) | (747 | ) | (747 | ) | |||
WELLS FARGO BANK NA | 3/16/2021 | — | (35 | ) | (35 | ) | ||||
WELLS FARGO BANK NA | 3/15/2022 | — | (32 | ) | (32 | ) | ||||
WELLS FARGO BANK NA | 3/24/2020 | (2 | ) | (647 | ) | (647 | ) | |||
WELLS FARGO BANK NA | 3/23/2021 | — | (72 | ) | (72 | ) | ||||
WELLS FARGO BANK NA | 3/22/2022 | — | (67 | ) | (67 | ) | ||||
WELLS FARGO BANK NA | 4/7/2020 | (2 | ) | (583 | ) | (583 | ) | |||
WELLS FARGO BANK NA | 4/6/2021 | — | (32 | ) | (32 | ) | ||||
WELLS FARGO BANK NA | 4/5/2022 | (1 | ) | (149 | ) | (149 | ) | |||
WELLS FARGO BANK NA | 4/28/2020 | (2 | ) | (447 | ) | (447 | ) | |||
WELLS FARGO BANK NA | 4/27/2021 | — | (29 | ) | (29 | ) |
WELLS FARGO BANK NA | 4/26/2022 | — | (28 | ) | (28 | ) | ||||
WELLS FARGO BANK NA | 5/5/2020 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 5/3/2022 | — | (64 | ) | (64 | ) | ||||
WELLS FARGO BANK NA | 5/5/2020 | (2 | ) | (579 | ) | (579 | ) | |||
WELLS FARGO BANK NA | 5/12/2020 | (2 | ) | (629 | ) | (629 | ) | |||
WELLS FARGO BANK NA | 5/11/2021 | — | (37 | ) | (37 | ) | ||||
WELLS FARGO BANK NA | 5/10/2022 | — | (70 | ) | (70 | ) | ||||
WELLS FARGO BANK NA | 5/19/2020 | (2 | ) | (779 | ) | (779 | ) | |||
WELLS FARGO BANK NA | 5/26/2020 | (2 | ) | (802 | ) | (802 | ) | |||
WELLS FARGO BANK NA | 5/24/2022 | — | (75 | ) | (75 | ) | ||||
WELLS FARGO BANK NA | 6/2/2020 | (2 | ) | (728 | ) | (728 | ) | |||
WELLS FARGO BANK NA | 6/1/2021 | — | (40 | ) | (40 | ) | ||||
WELLS FARGO BANK NA | 5/31/2022 | — | (37 | ) | (37 | ) | ||||
WELLS FARGO BANK NA | 6/9/2020 | (2 | ) | (596 | ) | (596 | ) | |||
WELLS FARGO BANK NA | 6/16/2020 | (2 | ) | (519 | ) | (519 | ) | |||
WELLS FARGO BANK NA | 6/15/2021 | — | (64 | ) | (64 | ) | ||||
WELLS FARGO BANK NA | 6/14/2022 | — | (61 | ) | (61 | ) | ||||
WELLS FARGO BANK NA | 6/23/2020 | (2 | ) | (584 | ) | (584 | ) | |||
WELLS FARGO BANK NA | 6/22/2021 | — | (64 | ) | (64 | ) | ||||
WELLS FARGO BANK NA | 6/21/2022 | — | (61 | ) | (61 | ) | ||||
WELLS FARGO BANK NA | 7/7/2020 | (2 | ) | (492 | ) | (492 | ) | |||
WELLS FARGO BANK NA | 7/21/2020 | (2 | ) | (464 | ) | (464 | ) | |||
WELLS FARGO BANK NA | 7/28/2020 | (2 | ) | (482 | ) | (482 | ) | |||
WELLS FARGO BANK NA | 7/27/2021 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 7/26/2022 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 8/4/2020 | (2 | ) | (733 | ) | (733 | ) | |||
WELLS FARGO BANK NA | 8/3/2021 | — | (76 | ) | (76 | ) | ||||
WELLS FARGO BANK NA | 8/11/2020 | (2 | ) | (628 | ) | (628 | ) | |||
WELLS FARGO BANK NA | 8/18/2020 | (2 | ) | (617 | ) | (617 | ) | |||
WELLS FARGO BANK NA | 8/16/2022 | — | (76 | ) | (76 | ) | ||||
WELLS FARGO BANK NA | 8/25/2020 | (2 | ) | (703 | ) | (703 | ) | |||
WELLS FARGO BANK NA | 9/15/2020 | (2 | ) | (502 | ) | (502 | ) | |||
WELLS FARGO BANK NA | 9/13/2022 | — | (36 | ) | (36 | ) | ||||
WELLS FARGO BANK NA | 9/27/2022 | — | (40 | ) | (40 | ) | ||||
WELLS FARGO BANK NA | 10/6/2020 | (2 | ) | (599 | ) | (599 | ) | |||
WELLS FARGO BANK NA | 10/5/2021 | — | (42 | ) | (42 | ) | ||||
WELLS FARGO BANK NA | 10/4/2022 | — | (86 | ) | (86 | ) | ||||
WELLS FARGO BANK NA | 10/20/2020 | (2 | ) | (449 | ) | (449 | ) | |||
WELLS FARGO BANK NA | 11/24/2020 | (2 | ) | (336 | ) | (336 | ) | |||
WELLS FARGO BANK NA | 12/8/2020 | (1 | ) | (285 | ) | (285 | ) | |||
WELLS FARGO BANK NA | 12/15/2020 | (2 | ) | (274 | ) | (274 | ) | |||
TOTAL WRITTEN OPTIONS | (43,598 | ) | (43,598 | ) |
FUTURES | ||||||||||||
S&P 500 MINI FUTURES | 1/1/2020 | — | 6 | 6 | ||||||||
TOTAL FUTURES | 6 | 6 | ||||||||||
TOTAL DERIVATIVES - NET | 12,446 | 12,446 | ||||||||||
TOTAL INVESTMENTS IN CASH EQUIVALENTS, FIXED MATURITIES, EQUITY SECURITIES, SYNDICATED LOANS AND DERIVATIVES | $ | 7,888,245 | $ | 7,902,092 |
(in thousands) 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 | |||||||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 1/28/2019 | — | % | $ | 21,500 | $ | 21,453 | $ | 21,453 | ||||||
BANK OF NEW YORK MELLON | 1/2/2019 | — | 36,200 | 36,198 | 36,198 | ||||||||||
CONSOLIDATED EDISON INC | 1/10/2019 | — | 25,000 | 24,982 | 24,982 | ||||||||||
CONSOLIDATED EDISON INC | 1/8/2019 | — | 25,000 | 24,985 | 24,985 | ||||||||||
DOWDUPONT INC | 1/18/2019 | — | 16,500 | 16,477 | 16,477 | ||||||||||
EASTMAN CHEMICAL COMPANY | 1/3/2019 | — | 20,500 | 20,497 | 20,497 | ||||||||||
EATON CORPORATION PLC | 1/9/2019 | — | 33,000 | 32,978 | 32,978 | ||||||||||
J M SMUCKER CO | 1/2/2019 | — | 39,000 | 38,997 | 38,997 | ||||||||||
LOCKHEED MARTIN CORPORATION | 1/9/2019 | — | 25,000 | 24,984 | 24,984 | ||||||||||
MCKESSON CORP | 1/17/2019 | — | 25,000 | 24,966 | 24,966 | ||||||||||
MONDELEZ INTERNATIONAL INC | 1/2/2019 | — | 10,000 | 9,999 | 9,999 | ||||||||||
PPL CORPORATION | 1/3/2019 | — | 31,000 | 30,995 | 30,995 | ||||||||||
TRANSCANADA CORPORATION | 1/3/2019 | — | 10,000 | 9,998 | 9,998 | ||||||||||
WALGREENS BOOTS ALLIANCE INC | 1/9/2019 | — | 25,000 | 24,985 | 24,985 | ||||||||||
XCEL ENERGY INC | 1/2/2019 | — | 8,100 | 8,099 | 8,099 | ||||||||||
XCEL ENERGY INC | 1/16/2019 | — | 10,000 | 9,987 | 9,987 | ||||||||||
TOTAL COMMERCIAL PAPER | 360,580 | 360,580 | |||||||||||||
TOTAL CASH EQUIVALENTS | 360,580 | 360,580 | |||||||||||||
FIXED MATURITIES | |||||||||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||||||||||||
UNITED STATES TREASURY BILL | 1/3/2019 | — | 50,000 | 49,994 | 50,000 | ||||||||||
UNITED STATES TREASURY BILL | 1/31/2019 | — | 75,000 | 74,865 | 74,864 | ||||||||||
UNITED STATES TREASURY BILL | 2/28/2019 | — | 75,000 | 74,734 | 74,720 | ||||||||||
UNITED STATES TREASURY BILL | 3/28/2019 | — | 75,000 | 74,583 | 74,588 | ||||||||||
UNITED STATES TREASURY BILL | 4/25/2019 | — | 50,000 | 49,616 | 49,628 | ||||||||||
UNITED STATES TREASURY BILL | 5/23/2019 | — | 50,000 | 49,516 | 49,529 | ||||||||||
UNITED STATES TREASURY BILL | 6/20/2019 | — | 75,000 | 74,120 | 74,148 | ||||||||||
UNITED STATES TREASURY BILL | 1/10/2019 | — | 75,000 | 74,961 | 74,963 | ||||||||||
UNITED STATES TREASURY BILL | 1/17/2019 | — | 75,000 | 74,929 | 74,929 | ||||||||||
UNITED STATES TREASURY BILL | 1/24/2019 | — | 75,000 | 74,898 | 74,896 | ||||||||||
UNITED STATES TREASURY BILL | 2/7/2019 | — | 75,000 | 74,832 | 74,824 | ||||||||||
UNITED STATES TREASURY BILL | 2/14/2019 | — | 75,000 | 74,799 | 74,788 | ||||||||||
UNITED STATES TREASURY BILL | 2/21/2019 | — | 75,000 | 74,768 | 74,755 | ||||||||||
UNITED STATES TREASURY BILL | 3/7/2019 | — | 75,000 | 74,698 | 74,687 | ||||||||||
UNITED STATES TREASURY BILL | 3/14/2019 | — | 75,000 | 74,660 | 74,653 | ||||||||||
UNITED STATES TREASURY BILL | 3/21/2019 | — | 75,000 | 74,624 | 74,625 | ||||||||||
UNITED STATES TREASURY BILL | 4/4/2019 | — | 50,000 | 49,699 | 49,693 | ||||||||||
UNITED STATES TREASURY BILL | 4/11/2019 | — | 50,000 | 49,670 | 49,675 | ||||||||||
UNITED STATES TREASURY BILL | 4/18/2019 | — | 50,000 | 49,644 | 49,652 | ||||||||||
UNITED STATES TREASURY BILL | 5/2/2019 | — | 50,000 | 49,591 | 49,602 | ||||||||||
UNITED STATES TREASURY BILL | 5/9/2019 | — | 50,000 | 49,564 | 49,577 |
(in thousands) 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 |
UNITED STATES TREASURY BILL | 5/16/2019 | — | 50,000 | 49,536 | 49,552 | |||||||||
UNITED STATES TREASURY BILL | 5/30/2019 | — | 50,000 | 49,487 | 49,506 | |||||||||
UNITED STATES TREASURY BILL | 6/6/2019 | — | 50,000 | 49,462 | 49,482 | |||||||||
UNITED STATES TREASURY BILL | 6/13/2019 | — | 75,000 | 74,156 | 74,183 | |||||||||
UNITED STATES TREASURY BILL | 6/27/2019 | — | 75,000 | 74,083 | 74,113 | |||||||||
UNITED STATES TREASURY BILL | 7/5/2019 | — | 75,000 | 74,059 | 74,053 | |||||||||
UNITED STATES TREASURY BOND | 11/15/2028 | 5.250 | 200 | 209 | 244 | |||||||||
TOTAL U. S. GOVERNMENT AND AGENCY OBLIGATIONS | 1,739,757 | 1,739,929 | ||||||||||||
STATE AND MUNICIPAL OBLIGATIONS | ||||||||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2019 | 3.307 | 1,550 | 1,550 | 1,550 | |||||||||
CARSON CALIFORNIA REDEVELOPMENT AGENCY | 2/1/2020 | 3.757 | 3,205 | 3,205 | 3,221 | |||||||||
FLORIDA ST MID-BAY BRIDGE AUTHORITY | 10/1/2021 | 3.784 | 2,800 | 2,800 | 2,801 | |||||||||
KENTUCKY ST PPTY & BLDGS COMMN | 5/1/2020 | 2.263 | 1,285 | 1,285 | 1,274 | |||||||||
KENTUCKY ST PPTY & BLDGS COMMN | 5/1/2021 | 2.564 | 1,100 | 1,100 | 1,087 | |||||||||
L'ANSE CREUSE MICHIGAN PUBLIC SCHOOLS | 5/1/2020 | 2.159 | 5,000 | 5,000 | 4,958 | |||||||||
LOS ANGELES CALIF MUN IMPT CORPORATION | 11/1/2019 | 2.846 | 3,000 | 3,000 | 2,998 | |||||||||
LOS ANGELES COUNTY CALIFORNIA REDEV AUTHORITY | 8/1/2019 | 2.644 | 2,425 | 2,425 | 2,424 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 10/1/2019 | 1.822 | 1,460 | 1,460 | 1,447 | |||||||||
MICHIGAN STATE HOUSING DEVELOPMENT | 4/1/2020 | 1.946 | 1,080 | 1,080 | 1,066 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2019 | 3.780 | 2,155 | 2,155 | 2,081 | |||||||||
NEW HOPE CULTURAL EDU FACS FIN CORPORATION | 7/1/2020 | 4.125 | 2,810 | 2,810 | 2,604 | |||||||||
OYSTER BAY NY | 2/1/2019 | 3.550 | 1,800 | 1,800 | 1,800 | |||||||||
PORT OF SEATTLE | 5/1/2019 | 1.894 | 2,000 | 2,000 | 1,995 | |||||||||
PORT OF SEATTLE | 5/1/2020 | 2.007 | 5,000 | 5,000 | 4,949 | |||||||||
STATE OF CONNECTICUT | 9/15/2019 | 3.625 | 5,500 | 5,532 | 5,515 | |||||||||
STATE OF CONNECTICUT | 9/15/2020 | 3.750 | 4,250 | 4,292 | 4,285 | |||||||||
STATE OF CONNECTICUT | 9/15/2021 | 4.000 | 3,000 | 3,052 | 3,078 | |||||||||
STATE OF CONNECTICUT | 9/15/2022 | 3.471 | 2,000 | 2,000 | 2,017 | |||||||||
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2019 | 2.000 | 3,835 | 3,826 | 3,810 | |||||||||
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2019 | 2.000 | 4,680 | 4,669 | 4,650 | |||||||||
SUCCESSOR AGENCY TO THE PALM DESERT REDEVELOPMENT AGENCY | 10/1/2020 | 2.250 | 2,000 | 1,991 | 1,980 | |||||||||
TOTAL STATE AND MUNICIPAL OBLIGATIONS | 62,032 | 61,590 |
RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||
AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||
FANNIE MAE 06-36 GF | 5/25/2036 | 2.806 | 4,784 | 4,803 | 4,786 | |||||
FANNIE MAE 07-46 FB | 5/25/2037 | 2.876 | 2,048 | 2,052 | 2,050 | |||||
FANNIE MAE 09-107 FL | 2/25/2038 | 3.156 | 2,192 | 2,201 | 2,208 | |||||
FANNIE MAE 13-2 KF | 1/25/2037 | 2.686 | 8,222 | 8,206 | 8,141 | |||||
FANNIE MAE AF-2015-22C | 4/25/2045 | 2.699 | 17,602 | 17,540 | 17,465 | |||||
FANNIE MAE AF-2015-42 | 6/25/2055 | 2.679 | 17,487 | 17,393 | 17,454 | |||||
FANNIE MAE AF-2015-91 | 12/25/2045 | 2.719 | 17,988 | 17,907 | 17,862 | |||||
FANNIE MAE FA-2015-4 | 2/25/2045 | 2.699 | 7,422 | 7,430 | 7,395 |
(in thousands) 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 FW-2015-84 | 11/25/2045 | 2.699 | 16,644 | 16,621 | 16,604 | |||||
FANNIE MAE 07-6 | 2/25/2037 | 2.956 | 6,998 | 7,010 | 7,029 | |||||
FANNIE MAE 09-101 | 12/25/2039 | 3.346 | 12,220 | 12,401 | 12,472 | |||||
FANNIE MAE 12-133 | 4/25/2042 | 2.756 | 10,577 | 10,545 | 10,525 | |||||
FANNIE MAE 16-2 | 2/25/2056 | 2.829 | 5,940 | 5,932 | 5,944 | |||||
FANNIE MAE 303970 | 9/1/2024 | 6.000 | 192 | 190 | 206 | |||||
FANNIE MAE 545492 | 2/1/2022 | 5.500 | 63 | 63 | 67 | |||||
FANNIE MAE 725558 | 6/1/2034 | 4.199 | 151 | 149 | 156 | |||||
FANNIE MAE 725694 | 7/1/2034 | 3.933 | 172 | 169 | 176 | |||||
FANNIE MAE 725719 | 7/1/2033 | 3.964 | 401 | 400 | 410 | |||||
FANNIE MAE 735034 | 10/1/2034 | 4.346 | 4,122 | 4,337 | 4,284 | |||||
FANNIE MAE 735702 | 7/1/2035 | 4.331 | 2,932 | 3,015 | 3,069 | |||||
FANNIE MAE 794787 | 10/1/2034 | 4.257 | 102 | 104 | 105 | |||||
FANNIE MAE 799733 | 11/1/2034 | 4.454 | 199 | 202 | 209 | |||||
FANNIE MAE 801337 | 9/1/2034 | 4.089 | 1,734 | 1,826 | 1,793 | |||||
FANNIE MAE 801917 | 10/1/2034 | 4.695 | 274 | 275 | 289 | |||||
FANNIE MAE 804561 | 9/1/2034 | 4.370 | 533 | 534 | 559 | |||||
FANNIE MAE 807219 | 1/1/2035 | 3.911 | 1,182 | 1,192 | 1,242 | |||||
FANNIE MAE 809532 | 2/1/2035 | 3.718 | 365 | 367 | 380 | |||||
FANNIE MAE 834552 | 8/1/2035 | 4.705 | 315 | 317 | 331 | |||||
FANNIE MAE 889485 | 6/1/2036 | 4.390 | 2,815 | 2,860 | 2,944 | |||||
FANNIE MAE 922674 | 4/1/2036 | 4.316 | 1,460 | 1,494 | 1,538 | |||||
FANNIE MAE 968438 | 1/1/2038 | 3.405 | 2,133 | 2,241 | 2,225 | |||||
FANNIE MAE 995123 | 8/1/2037 | 4.526 | 1,055 | 1,091 | 1,113 | |||||
FANNIE MAE 995548 | 9/1/2035 | 4.263 | 1,472 | 1,504 | 1,537 | |||||
FANNIE MAE 995604 | 11/1/2035 | 4.465 | 4,691 | 4,941 | 4,899 | |||||
FANNIE MAE 995614 | 8/1/2037 | 3.473 | 1,275 | 1,341 | 1,292 | |||||
FANNIE MAE AB1980 | 12/1/2020 | 3.000 | 1,088 | 1,095 | 1,086 | |||||
FANNIE MAE AB5230 | 5/1/2027 | 2.500 | 8,206 | 8,340 | 8,096 | |||||
FANNIE MAE AD0901 | 4/1/2040 | 3.683 | 5,358 | 5,693 | 5,598 | |||||
FANNIE MAE AE0559 | 12/1/2034 | 4.083 | 3,335 | 3,504 | 3,473 | |||||
FANNIE MAE AE0566 | 8/1/2035 | 4.331 | 2,678 | 2,815 | 2,808 | |||||
FANNIE MAE AF-2016-11 | 3/25/2046 | 2.849 | 9,902 | 9,884 | 9,923 | |||||
FANNIE MAE AF-2016-87 | 11/25/2046 | 2.749 | 13,195 | 13,188 | 13,170 | |||||
FANNIE MAE AF-2016-88 | 12/25/2046 | 2.789 | 11,016 | 11,016 | 11,033 | |||||
FANNIE MAE AF-2018-87 | 12/25/2048 | 2.649 | 38,325 | 38,146 | 37,643 | |||||
FANNIE MAE AF-204620 | 11/15/2042 | 2.789 | 11,119 | 11,096 | 11,110 | |||||
FANNIE MAE AL1037 | 1/1/2037 | 4.047 | 2,726 | 2,900 | 2,877 | |||||
FANNIE MAE AL2269 | 10/1/2040 | 4.307 | 3,536 | 3,759 | 3,698 | |||||
FANNIE MAE AL3935 | 9/1/2037 | 4.360 | 7,290 | 7,701 | 7,629 | |||||
FANNIE MAE AL3961 | 2/1/2039 | 3.735 | 5,368 | 5,662 | 5,604 | |||||
FANNIE MAE AL4100 | 9/1/2036 | 4.208 | 7,258 | 7,647 | 7,588 | |||||
FANNIE MAE AL4110 | 3/1/2037 | 4.275 | 5,511 | 5,791 | 5,747 | |||||
FANNIE MAE AL4114 | 2/1/2039 | 4.207 | 6,972 | 7,393 | 7,331 |
(in thousands) 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 AN4923 | 3/1/2027 | 2.349 | 25,000 | 25,014 | 24,966 | |||||
FANNIE MAE AO8746 | 8/1/2027 | 2.500 | 14,688 | 15,077 | 14,491 | |||||
FANNIE MAE ARM 105989 | 8/1/2020 | 3.180 | 1 | 1 | 1 | |||||
FANNIE MAE ARM 190726 | 3/1/2033 | 4.825 | 86 | 87 | 86 | |||||
FANNIE MAE ARM 249907 | 2/1/2024 | 4.250 | 100 | 101 | 103 | |||||
FANNIE MAE ARM 303259 | 3/1/2025 | 4.334 | 24 | 24 | 25 | |||||
FANNIE MAE ARM 545786 | 6/1/2032 | 4.165 | 189 | 190 | 190 | |||||
FANNIE MAE ARM 620293 | 1/1/2032 | 3.650 | 150 | 149 | 156 | |||||
FANNIE MAE ARM 651629 | 8/1/2032 | 4.435 | 192 | 192 | 199 | |||||
FANNIE MAE ARM 654158 | 10/1/2032 | 3.915 | 239 | 240 | 252 | |||||
FANNIE MAE ARM 655646 | 8/1/2032 | 4.371 | 142 | 142 | 145 | |||||
FANNIE MAE ARM 655798 | 8/1/2032 | 4.365 | 246 | 245 | 257 | |||||
FANNIE MAE ARM 661349 | 9/1/2032 | 4.520 | 88 | 88 | 92 | |||||
FANNIE MAE ARM 661744 | 10/1/2032 | 4.370 | 204 | 205 | 213 | |||||
FANNIE MAE ARM 664521 | 10/1/2032 | 4.329 | 158 | 159 | 160 | |||||
FANNIE MAE ARM 664750 | 10/1/2032 | 4.488 | 74 | 74 | 78 | |||||
FANNIE MAE ARM 670731 | 11/1/2032 | 4.040 | 395 | 396 | 410 | |||||
FANNIE MAE ARM 670779 | 11/1/2032 | 4.005 | 291 | 293 | 301 | |||||
FANNIE MAE ARM 670890 | 12/1/2032 | 3.915 | 229 | 230 | 234 | |||||
FANNIE MAE ARM 670912 | 12/1/2032 | 3.915 | 115 | 115 | 116 | |||||
FANNIE MAE ARM 670947 | 12/1/2032 | 3.915 | 178 | 178 | 185 | |||||
FANNIE MAE ARM 694852 | 4/1/2033 | 3.815 | 205 | 208 | 213 | |||||
FANNIE MAE ARM 722779 | 9/1/2033 | 3.913 | 340 | 340 | 349 | |||||
FANNIE MAE ARM 733525 | 8/1/2033 | 4.261 | 349 | 336 | 361 | |||||
FANNIE MAE ARM 739194 | 9/1/2033 | 4.432 | 449 | 450 | 467 | |||||
FANNIE MAE ARM 743256 | 10/1/2033 | 4.463 | 165 | 163 | 171 | |||||
FANNIE MAE ARM 743856 | 11/1/2033 | 4.550 | 209 | 209 | 219 | |||||
FANNIE MAE ARM 758873 | 12/1/2033 | 4.302 | 169 | 167 | 175 | |||||
FANNIE MAE ARM 88879 | 11/1/2019 | 2.875 | 7 | 7 | 7 | |||||
FANNIE MAE ARM 89125 | 8/1/2019 | 3.875 | 1 | 1 | 1 | |||||
FANNIE MAE AS4507 | 2/1/2030 | 3.000 | 8,153 | 8,438 | 8,159 | |||||
FANNIE MAE AS4878 | 4/1/2030 | 3.000 | 10,986 | 11,368 | 10,993 | |||||
FANNIE MAE BE5622 | 1/1/2032 | 2.500 | 31,904 | 32,161 | 31,170 | |||||
FANNIE MAE BK0933 | 7/1/2033 | 3.500 | 22,925 | 23,195 | 23,206 | |||||
FANNIE MAE CA1265 | 2/1/2033 | 3.000 | 30,340 | 30,181 | 30,279 | |||||
FANNIE MAE CA2283 | 8/1/2033 | 3.500 | 23,888 | 23,854 | 24,183 | |||||
FANNIE MAE DF-2015-38 | 6/25/2055 | 2.659 | 28,372 | 28,188 | 28,328 | |||||
FANNIE MAE DF-2017-16 | 3/25/2047 | 2.349 | 7,532 | 7,563 | 7,556 | |||||
FANNIE MAE FA-2013-1 | 2/25/2043 | 2.856 | 12,842 | 12,886 | 12,852 | |||||
FANNIE MAE FA-2015-55 | 8/25/2055 | 2.649 | 11,986 | 11,940 | 11,889 | |||||
FANNIE MAE FA-204624 | 12/15/2038 | 2.799 | 31,641 | 31,571 | 31,639 | |||||
FANNIE MAE FC-2017-51 | 7/25/2047 | 2.856 | 40,490 | 40,615 | 40,347 | |||||
FANNIE MAE FC-2018-73 | 10/25/2048 | 2.806 | 60,664 | 60,475 | 60,459 | |||||
FANNIE MAE FK-2010-123 | 11/25/2040 | 2.956 | 11,628 | 11,736 | 11,726 |
(in thousands) 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 |
FANNIE MAE FL-2017-4 | 2/25/2047 | 2.799 | 14,372 | 14,372 | 14,390 | |||||
FANNIE MAE FT-2016-84 | 11/25/2046 | 3.006 | 20,725 | 20,921 | 20,860 | |||||
FANNIE MAE GF-204639 | 3/15/2036 | 2.799 | 31,790 | 31,712 | 31,793 | |||||
FANNIE MAE HYBRID ARM 566074 | 5/1/2031 | 4.193 | 276 | 275 | 287 | |||||
FANNIE MAE HYBRID ARM 584507 | 6/1/2031 | 4.221 | 119 | 119 | 125 | |||||
FANNIE MAE KF-2015-27 | 5/25/2045 | 2.806 | 14,781 | 14,738 | 14,820 | |||||
FANNIE MAE MA0099 | 6/1/2019 | 4.000 | 79 | 79 | 81 | |||||
FANNIE MAE MA0598 | 12/1/2020 | 3.500 | 964 | 975 | 975 | |||||
FANNIE MAE MA1144 | 8/1/2027 | 2.500 | 7,286 | 7,489 | 7,181 | |||||
FANNIE MAE MA3391 | 6/1/2033 | 3.000 | 24,247 | 24,014 | 24,199 | |||||
FANNIE MAE WF-2016-68 | 10/25/2046 | 2.799 | 8,649 | 8,659 | 8,681 | |||||
FANNIE MAE_15-50 | 7/25/2045 | 2.699 | 28,692 | 28,661 | 28,614 | |||||
FANNIE MAE_15-93 | 8/25/2045 | 2.856 | 15,100 | 15,058 | 15,006 | |||||
FANNIE MAE_16-11 | 3/25/2046 | 2.899 | 12,591 | 12,605 | 12,651 | |||||
FREDDIE MAC 4159 FD | 1/15/2043 | 2.805 | 8,365 | 8,391 | 8,341 | |||||
FREDDIE MAC 4363 2014 FA | 9/15/2041 | 2.626 | 4,967 | 4,963 | 4,915 | |||||
FREDDIE MAC FB-204495 | 11/15/2038 | 2.699 | 14,923 | 14,856 | 14,883 | |||||
FREDDIE MAC LF-204475 | 4/15/2040 | 2.659 | 3,937 | 3,935 | 3,921 | |||||
FREDDIE MAC WF-204491 | 8/15/2039 | 2.669 | 7,472 | 7,467 | 7,445 | |||||
FREDDIE MAC 1H2520 | 6/1/2035 | 4.232 | 4,040 | 4,278 | 4,265 | |||||
FREDDIE MAC 1N1474 | 5/1/2037 | 4.531 | 629 | 653 | 659 | |||||
FREDDIE MAC 1Q1515 | 11/1/2038 | 4.101 | 15,806 | 16,697 | 16,556 | |||||
FREDDIE MAC 1Q1540 | 6/1/2040 | 3.909 | 6,425 | 6,863 | 6,715 | |||||
FREDDIE MAC 1Q1548 | 8/1/2038 | 3.981 | 7,293 | 7,675 | 7,630 | |||||
FREDDIE MAC 1Q1572 | 5/1/2038 | 3.867 | 11,667 | 12,317 | 12,188 | |||||
FREDDIE MAC 4595 | 10/15/2037 | 2.899 | 10,796 | 10,796 | 10,815 | |||||
FREDDIE MAC 781884 | 8/1/2034 | 4.500 | 625 | 632 | 658 | |||||
FREDDIE MAC 848416 | 2/1/2041 | 3.758 | 7,994 | 8,347 | 8,360 | |||||
FREDDIE MAC 848530 | 9/1/2039 | 4.227 | 3,696 | 3,904 | 3,875 | |||||
FREDDIE MAC 848922 | 4/1/2037 | 4.149 | 3,511 | 3,742 | 3,677 | |||||
FREDDIE MAC 849281 | 8/1/2037 | 4.424 | 5,713 | 6,087 | 6,013 | |||||
FREDDIE MAC AF-204559 | 3/15/2042 | 2.849 | 12,016 | 11,973 | 12,024 | |||||
FREDDIE MAC AF-204615 | 10/15/2038 | 2.699 | 6,427 | 6,406 | 6,417 | |||||
FREDDIE MAC AF-204774 | 7/15/2042 | 2.349 | 12,205 | 12,195 | 12,185 | |||||
FREDDIE MAC ARM 350190 | 5/1/2022 | 4.250 | 16 | 16 | 16 | |||||
FREDDIE MAC ARM 405243 | 7/1/2019 | 4.010 | 3 | 3 | 3 | |||||
FREDDIE MAC ARM 405437 | 10/1/2019 | 4.525 | 8 | 8 | 8 | |||||
FREDDIE MAC ARM 780514 | 5/1/2033 | 4.138 | 231 | 236 | 243 | |||||
FREDDIE MAC ARM 780845 | 9/1/2033 | 4.528 | 152 | 148 | 160 | |||||
FREDDIE MAC ARM 780903 | 9/1/2033 | 4.558 | 207 | 205 | 218 | |||||
FREDDIE MAC ARM 785363 | 2/1/2025 | 3.989 | 25 | 25 | 26 | |||||
FREDDIE MAC ARM 788941 | 12/1/2031 | 4.750 | 16 | 16 | 16 | |||||
FREDDIE MAC ARM 840072 | 6/1/2019 | 3.875 | 1 | 1 | 1 | |||||
FREDDIE MAC ARM 845154 | 7/1/2022 | 4.376 | 21 | 21 | 21 |
(in thousands) 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 |
FREDDIE MAC ARM 845654 | 2/1/2024 | 4.597 | 61 | 61 | 62 | |||||
FREDDIE MAC ARM 845730 | 11/1/2023 | 4.301 | 94 | 95 | 95 | |||||
FREDDIE MAC ARM 845733 | 4/1/2024 | 4.098 | 66 | 67 | 68 | |||||
FREDDIE MAC ARM 846702 | 10/1/2029 | 3.987 | 10 | 10 | 10 | |||||
FREDDIE MAC C90581 | 8/1/2022 | 5.500 | 85 | 85 | 90 | |||||
FREDDIE MAC C90582 | 9/1/2022 | 5.500 | 47 | 46 | 49 | |||||
FREDDIE MAC F2-20350 | 9/15/2040 | 2.699 | 38,348 | 38,320 | 38,491 | |||||
FREDDIE MAC F4-20328 | 2/15/2038 | 2.606 | 7,274 | 7,283 | 7,253 | |||||
FREDDIE MAC FA-204547 | 9/15/2040 | 2.799 | 10,719 | 10,704 | 10,732 | |||||
FREDDIE MAC FA-204822 | 5/15/2035 | 2.705 | 72,850 | 72,833 | 72,444 | |||||
FREDDIE MAC FD-203928 | 9/15/2041 | 2.875 | 31,023 | 31,252 | 31,221 | |||||
FREDDIE MAC FD-204301 | 7/15/2037 | 2.855 | 11,141 | 11,212 | 11,205 | |||||
FREDDIE MAC FL-204523 | 8/15/2038 | 2.699 | 12,586 | 12,513 | 12,540 | |||||
FREDDIE MAC G16485 | 5/1/2033 | 3.000 | 23,345 | 23,181 | 23,267 | |||||
FREDDIE MAC G30227 | 5/1/2023 | 5.500 | 268 | 272 | 283 | |||||
FREDDIE MAC GF-204367 | 3/15/2037 | 2.699 | 21,473 | 21,439 | 21,382 | |||||
FREDDIE MAC J32518 | 8/1/2030 | 3.000 | 14,642 | 15,127 | 14,614 | |||||
FREDDIE MAC KF-204560 | 7/15/2040 | 2.899 | 16,231 | 16,208 | 16,155 | |||||
FREDDIE MAC T-76 2A | 10/25/2037 | 4.732 | 7,302 | 7,441 | 7,639 | |||||
FREDDIE MAC WF-204681 | 8/15/2033 | 2.699 | 36,814 | 36,819 | 36,784 | |||||
FREDDIE MAC WF-204697 | 6/15/2038 | 2.699 | 26,711 | 26,726 | 26,679 | |||||
FREDDIE MAC_4248 | 5/15/2041 | 2.905 | 13,078 | 13,100 | 13,005 | |||||
FREDDIE MAC_4448 | 5/15/2040 | 2.669 | 11,269 | 11,210 | 11,175 | |||||
GINNIE MAE MF-2016-108 | 8/20/2046 | 2.649 | 2,308 | 2,298 | 2,303 | |||||
GINNIE MAE AF-2014-129 | 10/20/2041 | 2.649 | 7,163 | 7,154 | 7,178 | |||||
GINNIE MAE AF-2014-94 | 11/20/2041 | 2.799 | 5,123 | 5,134 | 5,069 | |||||
GINNIE MAE AF-2015-18 | 2/20/2040 | 2.679 | 12,118 | 12,135 | 12,115 | |||||
GINNIE MAE FA-2016-115 | 8/20/2046 | 2.870 | 39,261 | 39,479 | 39,427 | |||||
GINNIE MAE FB-2013-151 | 2/20/2040 | 2.820 | 23,420 | 23,528 | 23,510 | |||||
GINNIE MAE FC-2009-8 | 2/16/2039 | 3.355 | 13,538 | 13,887 | 13,858 | |||||
GINNIE MAE FC-2018-67 | 5/20/2048 | 2.770 | 18,646 | 18,664 | 18,658 | |||||
GINNIE MAE FD-2018-66 | 5/20/2048 | 2.720 | 10,141 | 10,138 | 10,130 | |||||
GINNIE MAE II 082431 | 12/20/2039 | 3.125 | 4,887 | 5,081 | 5,081 | |||||
GINNIE MAE II 082464 | 1/20/2040 | 3.375 | 2,103 | 2,256 | 2,193 | |||||
GINNIE MAE II 082497 | 3/20/2040 | 3.375 | 3,253 | 3,453 | 3,365 | |||||
GINNIE MAE II 082573 | 7/20/2040 | 3.750 | 4,228 | 4,378 | 4,395 | |||||
GINNIE MAE II 082581 | 7/20/2040 | 3.750 | 6,008 | 6,436 | 6,247 | |||||
GINNIE MAE II 082602 | 8/20/2040 | 3.750 | 11,194 | 12,006 | 11,638 | |||||
GINNIE MAE II 082710 | 1/20/2041 | 3.375 | 4,169 | 4,335 | 4,328 | |||||
GINNIE MAE II 082794 | 4/20/2041 | 3.625 | 6,111 | 6,517 | 6,310 | |||||
GINNIE MAE II ARM 8157 | 3/20/2023 | 3.375 | 37 | 38 | 38 | |||||
GINNIE MAE II ARM 8638 | 6/20/2025 | 3.625 | 57 | 57 | 58 |
(in thousands) 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 |
GINNIE MAE LF-2015-82 | 4/20/2041 | 2.649 | 7,875 | 7,881 | 7,865 | |||||
TOTAL AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,556,927 | 1,551,508 | ||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | ||||||||||
ADJUSTABLE RATE MORTGAGE TRUST 04-2 6A1 | 2/25/2035 | 4.482 | 379 | 381 | 379 | |||||
AMERICAN HOME MORTGAGE INVESTMENT TRUST 5A-2004-4 | 2/25/2045 | 4.885 | 398 | 397 | 396 | |||||
ANGEL OAK MORTGAGE TRUST A1-2017-1 | 1/25/2047 | 2.810 | 2,110 | 2,107 | 2,097 | |||||
ANGEL OAK MORTGAGE TRUST A1-2017-2 | 7/25/2047 | 2.478 | 19,810 | 19,796 | 19,510 | |||||
ANGEL OAK MORTGAGE TRUST A1-2018-2 | 7/27/2048 | 3.674 | 10,802 | 10,801 | 10,768 | |||||
ANGEL OAK MORTGAGE TRUST A1-2018-3 | 9/25/2048 | 3.649 | 23,373 | 23,371 | 23,454 | |||||
APS RESECURITIZATION TRUST 1A-2016-3 | 11/27/2066 | 4.756 | 17,060 | 16,978 | 18,304 | |||||
APS RESECURITIZATION TRUST 2A-2015-1 | 8/28/2054 | 2.457 | 3,456 | 3,412 | 3,340 | |||||
APS RESECURITIZATION TRUST 2A-2016-3 | 11/27/2046 | 4.756 | 12,718 | 12,648 | 13,736 | |||||
BANK OF AMERICA FUNDING CORPORATION 7A1-2015-R4 | 11/27/2045 | 4.099 | 7,254 | 7,226 | 7,361 | |||||
BANK OF AMERICA FUNDING CORPORATION A1-2016-R1 | 3/25/2040 | 2.500 | 20,089 | 19,994 | 19,554 | |||||
BANK OF AMERICA MORTGAGE SECURITY 2004-E 2A6 | 6/25/2034 | 4.392 | 1,990 | 1,980 | 1,977 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A1-2017-RT1 | 3/28/2057 | 3.000 | 12,498 | 12,564 | 12,228 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL1 | 4/28/2055 | 4.000 | 23,889 | 24,386 | 23,919 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2016-SPL2 | 6/28/2053 | 4.000 | 24,512 | 24,998 | 24,673 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT5 | 5/28/2069 | 3.500 | 29,467 | 30,017 | 29,395 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-RT6 | 10/28/2057 | 3.500 | 27,458 | 27,939 | 27,393 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL1 | 10/28/2064 | 4.000 | 21,434 | 21,992 | 21,630 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL2 | 6/28/2054 | 4.000 | 23,363 | 23,961 | 23,576 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL3 | 11/28/2053 | 4.000 | 17,898 | 18,389 | 18,057 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL4 | 1/28/2055 | 3.500 | 20,955 | 21,356 | 20,902 | |||||
BAYVIEW OPPORTUNITY MASTER FUND A-2017-SPL5 | 6/28/2057 | 3.500 | 23,625 | 24,176 | 23,566 | |||||
BCAP LLC TRUST 11-RR10 3A5 | 6/26/2035 | 4.501 | 1,686 | 1,682 | 1,692 | |||||
BCAP LLC TRUST 13-RR8 1A1 | 5/26/2036 | 4.002 | 728 | 727 | 723 | |||||
BCAP LLC TRUST 13-RR9 1A1 | 1/26/2036 | 4.354 | 1,779 | 1,778 | 1,783 | |||||
BCAP LLC TRUST 3A1-2014-RR2 | 9/26/2046 | 0.375 | 3,853 | 3,811 | 3,885 | |||||
BCAP LLC TRUST 4A1-2013-RR7 | 12/27/2034 | 4.511 | 4,390 | 4,414 | 4,448 | |||||
CENTEX HOME EQUITY 2003-A AF4 | 12/25/2031 | 4.250 | 985 | 978 | 982 | |||||
CHASE MORTGAGE FINANCE 07-A1 1A5 | 2/25/2037 | 4.369 | 3,519 | 3,488 | 3,541 | |||||
CITIGROUP MORTGAGE LOAN TRUST 10-7 2A1 | 2/25/2035 | 4.157 | 235 | 235 | 235 | |||||
CITIGROUP MORTGAGE LOAN TRUST 13 1A1 | 3/25/2035 | 4.284 | 1,169 | 1,167 | 1,168 | |||||
CITIGROUP MORTGAGE LOAN TRUST 13-7 2A1 | 8/25/2036 | 3.850 | 1,616 | 1,615 | 1,611 | |||||
CITIGROUP MORTGAGE LOAN TRUST 13-9 2A1 | 9/25/2034 | 4.280 | 1,899 | 1,897 | 1,886 | |||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2014-11 | 10/25/2035 | 3.998 | 5,021 | 5,065 | 4,999 | |||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-11 | 3/25/2035 | 4.144 | 11,401 | 11,448 | 11,662 | |||||
CITIGROUP MORTGAGE LOAN TRUST 1A1-2015-9 | 2/20/2036 | 4.085 | 3,118 | 3,120 | 3,073 | |||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2014-2 | 4/25/2036 | 3.250 | 1,801 | 1,799 | 1,765 | |||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2014-5 | 2/20/2036 | 3.989 | 1,775 | 1,775 | 1,776 | |||||
CITIGROUP MORTGAGE LOAN TRUST 2A1-2015-9 | 2/25/2036 | 4.236 | 6,268 | 6,282 | 6,217 | |||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2013-11 | 9/25/2034 | 4.236 | 972 | 978 | 977 |
(in thousands) 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 |
CITIGROUP MORTGAGE LOAN TRUST 3A1-2014-6 | 11/25/2035 | 3.649 | 1,872 | 1,863 | 1,875 | |||||
CITIGROUP MORTGAGE LOAN TRUST 3A1-2015-5 | 8/25/2034 | 4.156 | 4,943 | 4,988 | 4,972 | |||||
CITIGROUP MORTGAGE LOAN TRUST 4A1-2015-5 | 4/20/2035 | 4.123 | 10,996 | 11,044 | 10,958 | |||||
CITIGROUP MORTGAGE LOAN TRUST 5A1-2015-5 | 1/25/2036 | 2.565 | 4,188 | 4,115 | 3,968 | |||||
CITIGROUP MORTGAGE LOAN TRUST A1-2015-PS1 | 9/25/2042 | 3.750 | 9,838 | 9,954 | 9,904 | |||||
CITIGROUP MORTGAGE LOAN TRUST A4-2015-A | 6/25/2058 | 4.250 | 802 | 824 | 815 | |||||
COLT FUNDING LLC A1 2017-1 | 5/27/2047 | 2.614 | 13,554 | 13,542 | 13,210 | |||||
COLT FUNDING LLC A1-2016-2 | 9/25/2046 | 2.750 | 2,025 | 2,028 | 2,016 | |||||
COLT FUNDING LLC A1-2016-3 | 12/26/2046 | 2.800 | 9,066 | 9,060 | 8,992 | |||||
COLT FUNDING LLC A1-2018-4 | 12/28/2048 | 4.006 | 19,561 | 19,559 | 19,673 | |||||
COLT FUNDING LLC A1A-2017-2 | 10/25/2047 | 2.415 | 11,740 | 11,733 | 11,563 | |||||
COMMERCIAL TRUST CORPORATION A-2017-7 | 4/25/2057 | 3.000 | 14,934 | 15,031 | 14,817 | |||||
COUNTRYWIDE HOME LOANS 03-46 4A1 | 1/19/2034 | 4.275 | 2,841 | 2,910 | 2,824 | |||||
COUNTYWIDE ALTERNATIVE LOAN 04-33 2A1 | 12/25/2034 | 4.281 | 114 | 114 | 114 | |||||
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES 04-AR3 | 4/25/2034 | 4.117 | 2,066 | 2,093 | 2,097 | |||||
CREDIT SUISSE MORTGAGE CAPITAL 09-2R 1A13 | 9/26/2034 | 4.607 | 11,739 | 11,708 | 11,766 | |||||
CREDIT SUISSE MORTGAGE CAPITAL 10-17R 1A1 | 6/26/2036 | 4.281 | 902 | 902 | 902 | |||||
CREDIT SUISSE MORTGAGE CAPITAL 3A1-2015-7R | 10/27/2036 | 2.646 | 11,205 | 10,900 | 10,890 | |||||
CREDIT SUISSE MORTGAGE CAPITAL A6-2015-1R | 12/27/2035 | 4.743 | 4,670 | 4,701 | 4,733 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL 13-11R 1A1 | 6/27/2034 | 2.750 | 3,879 | 3,876 | 3,860 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL 15A1-2014-11 | 1/27/2036 | 4.151 | 6,406 | 6,416 | 6,436 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL 1A1-2015-6R | 7/27/2035 | 4.065 | 7,836 | 7,895 | 7,974 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL 5A1-2014-5R | 7/27/2037 | 2.500 | 2,243 | 2,243 | 2,194 | |||||
CREDIT SUISSE MORTGAGE CAPTIAL A1-2017-FHA1 | 4/25/2047 | 3.250 | 17,314 | 17,497 | 16,897 | |||||
CREDIT SUISSE MORTGAGE TRUST 13-2R 6A1 | 9/27/2036 | 4.075 | 860 | 861 | 862 | |||||
CREDIT SUISSE MORTGAGE TRUST 2A12-2010-2R | 10/26/2036 | 4.391 | 8,109 | 8,141 | 8,133 | |||||
CREDIT SUISSE MORTGAGE TRUST 2A14-2009-11 | 9/26/2036 | 3.715 | 176 | 176 | 176 | |||||
CREDIT SUISSE MORTGAGE TRUST 6A12-2010-2R | 7/26/2037 | 3.898 | 668 | 669 | 667 | |||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL1 | 7/25/2057 | 2.750 | 18,816 | 18,797 | 18,431 | |||||
CREDIT SUISSE MORTGAGE TRUST A1-2017-RPL3 | 8/1/2057 | 4.000 | 30,604 | 31,635 | 31,003 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-1A | 12/26/2046 | 2.725 | 10,248 | 10,239 | 10,068 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-2A | 6/25/2047 | 2.453 | 16,732 | 16,720 | 16,457 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2017-3A | 10/25/2047 | 2.577 | 7,652 | 7,645 | 7,555 | |||||
DEEPHAVEN RESIDENTIAL MORTGAGE A1-2018-4A | 10/25/2058 | 4.080 | 40,000 | 39,996 | 40,248 | |||||
ELLINGTON FINANCIAL MORTGAGE A1-2017-1 | 10/25/2047 | 2.687 | 8,272 | 8,266 | 8,203 | |||||
FIRST HORIZON ALTERNATIVE MORTGAGE 04-AA4 A1 | 10/25/2034 | 4.219 | 503 | 508 | 497 | |||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 3A | 8/19/2034 | 4.694 | 443 | 444 | 429 | |||||
GMAC MORTGAGE CORPORATION LOAN 2004-AR2 5A1 | 8/19/2034 | 4.696 | 394 | 394 | 391 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 05-AR1 2A1 | 1/25/2035 | 4.673 | 1,530 | 1,536 | 1,486 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 2A-2014-4R | 8/26/2035 | 4.548 | 3,887 | 3,917 | 3,906 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION A1A-2018-RPL | 10/25/2057 | 3.750 | 14,850 | 14,644 | 14,599 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 04-10 4A | 1/19/2035 | 4.290 | 339 | 340 | 322 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 04-7 3A1 | 11/19/2034 | 4.076 | 555 | 551 | 546 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-1 4A | 4/19/2034 | 4.402 | 271 | 272 | 273 |
(in thousands) 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 |
HARBORVIEW MORTGAGE LOAN TRUST 2004-4 3A | 6/19/2034 | 3.424 | 64 | 63 | 61 | |||||
HARBORVIEW MORTGAGE LOAN TRUST 2004-6 5A | 8/19/2034 | 4.653 | 141 | 140 | 139 | |||||
HOMEWARD OPPORTUNITIES A1-2018-2 | 11/25/2058 | 3.985 | 40,000 | 39,998 | 39,999 | |||||
HOMEWARD OPPORTUNITIES FUND I A1-2018-1 | 6/25/2048 | 3.766 | 17,661 | 17,658 | 17,711 | |||||
JEFFERIES & CO A1-2015-R1 | 12/26/2036 | 2.455 | 4,791 | 4,649 | 4,678 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 03-A5 2A6A | 8/25/2033 | 4.428 | 774 | 772 | 798 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 04-1 2A2 | 12/25/2034 | 4.151 | 298 | 299 | 292 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A1 2A | 12/25/2034 | 4.553 | 514 | 515 | 526 | |||||
MERRILL LYNCH MORTGAGE INVESTORS 05-A2 A2 | 2/25/2035 | 3.677 | 1,032 | 1,033 | 1,041 | |||||
METLIFE SECURITIZATION TRUST A-2017-1A | 4/25/2055 | 3.000 | 18,140 | 18,310 | 17,853 | |||||
METLIFE SECURITIZATION TRUST A-2018-1A | 3/25/2057 | 3.750 | 16,013 | 16,041 | 16,158 | |||||
MFA TRUST A1-2017-RPL1 | 2/25/2057 | 2.588 | 23,047 | 23,035 | 22,574 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2015-2 | 9/25/2057 | 3.000 | 8 | 8 | 8 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2016-1 | 4/25/2057 | 2.500 | 12,633 | 12,675 | 12,340 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-1 | 11/25/2058 | 2.750 | 24,958 | 24,879 | 24,482 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-2 | 7/25/2059 | 2.750 | 26,109 | 26,282 | 25,592 | |||||
MILL CITY MORTGAGE LOAN TRUST A1-2017-3 | 1/25/2061 | 2.750 | 26,693 | 26,801 | 26,135 | |||||
MILL CITY MORTGAGE LOAN TRUST A2-2015-1 | 6/25/2056 | 3.000 | 5,754 | 5,749 | 5,731 | |||||
MORGAN STANLEY MORTGAGE LOAN 04-10AR A1 | 11/25/2034 | 4.624 | 269 | 272 | 270 | |||||
MORGAN STANLEY MORTGAGE LOAN PT2A | 11/25/2034 | 4.333 | 529 | 538 | 525 | |||||
MORGAN STANLEY REREMIC TRUST 13-R1 5A | 11/26/2036 | 3.667 | 1,078 | 1,078 | 1,081 | |||||
MORGAN STANLEY REREMIC TRUST 13-R3 1A | 2/26/2036 | 4.317 | 2,155 | 2,152 | 2,149 | |||||
MORGAN STANLEY REREMIC TRUST 13-R3 4A | 12/26/2036 | 3.676 | 1,472 | 1,472 | 1,464 | |||||
MORGAN STANLEY REREMIC TRUST 13-R3 5A | 11/26/2036 | 3.667 | 857 | 854 | 851 | |||||
MORGAN STANLEY REREMIC TRUST 13-R8 1A | 9/26/2036 | 4.976 | 5,542 | 5,561 | 5,551 | |||||
MORGAN STANLEY REREMIC TRUST 2014-R6 A | 9/26/2035 | 4.406 | 8,093 | 8,140 | 8,265 | |||||
MORGAN STANLEY REREMIC TRUST 2A-2014-R4 | 8/26/2034 | 4.175 | 8,562 | 8,623 | 8,591 | |||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R1 | 11/20/2036 | 3.879 | 1,715 | 1,713 | 1,691 | |||||
MORGAN STANLEY REREMIC TRUST 2A-2015-R7 | 6/26/2035 | 4.151 | 4,778 | 4,790 | 4,940 | |||||
MORGAN STANLEY REREMIC TRUST 3A-2013-R8 | 9/26/2036 | 4.363 | 323 | 322 | 322 | |||||
MORGAN STANLEY REREMIC TRUST 3A-2014-R4 | 8/26/2034 | 4.090 | 7,398 | 7,452 | 7,385 | |||||
MORGAN STANLEY REREMIC TRUST 4A-2013-R8 | 9/26/2036 | 4.471 | 403 | 403 | 402 | |||||
MORGAN STANLEY REREMIC TRUST 4A-2015-R4 | 8/26/2047 | 4.035 | 4,290 | 4,288 | 4,248 | |||||
MORGAN STANLEY REREMIC TRUST 5A-2013-R9 | 6/26/2046 | 2.670 | 7,486 | 7,356 | 7,252 | |||||
MORGAN STANLEY REREMIC TRUST 6A-2013-R8 | 9/26/2036 | 4.054 | 464 | 463 | 462 | |||||
MORGAN STANLEY REREMIC TRUST 8A-2015-R3 | 4/26/2047 | 4.136 | 1,891 | 1,894 | 1,885 | |||||
MORGAN STANLEY REREMIC TRUST A-2014-R7 | 1/26/2051 | 3.000 | 11,846 | 11,680 | 11,593 | |||||
NATIONSTAR MORTGAGE LOAN TRUST A-2013-A | 12/25/2052 | 3.750 | 1,791 | 1,825 | 1,792 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRSUT A1-2017-6A | 8/27/2057 | 4.000 | 16,819 | 17,316 | 16,982 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-1A | 3/25/2056 | 3.750 | 12,197 | 12,499 | 12,235 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2 | 9/25/2056 | 3.750 | 22,131 | 22,858 | 22,199 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-2A | 11/26/2035 | 3.750 | 8,390 | 8,592 | 8,397 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2016-4A | 11/25/2056 | 3.750 | 22,208 | 22,782 | 22,277 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-1A | 2/25/2057 | 4.000 | 19,222 | 19,695 | 19,342 |
(in thousands) 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 |
NEW RESIDENTIAL MORTGAGE LOAN TRUST A1-2017-3A | 4/25/2057 | 4.000 | 24,826 | 25,688 | 24,976 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2014-3 | 11/25/2054 | 3.750 | 3,723 | 3,802 | 3,707 | |||||
NEW RESIDENTIAL MORTGAGE LOAN TRUST A3-2017-2A | 3/25/2057 | 4.000 | 22,770 | 23,552 | 22,980 | |||||
NOMURA RESECURITIZATION TRUST 1A1-2015-6R | 4/26/2037 | 2.573 | 4,731 | 4,606 | 4,622 | |||||
NOMURA RESECURITIZATION TRUST 3A1-2014-7R | 1/26/2036 | 4.354 | 3,092 | 3,113 | 3,117 | |||||
NOMURA RESECURITIZATION TRUST 4A1-2015-4R | 3/26/2037 | 3.786 | 6,125 | 6,129 | 6,114 | |||||
NOMURA RESECURITIZATION TRUST 5A1-2014-6R | 4/26/2037 | 3.797 | 1,054 | 1,058 | 1,050 | |||||
ONSLOW BAY FINANCIAL 2A1A-2018-EX | 4/25/2048 | 3.356 | 16,856 | 16,856 | 16,856 | |||||
RBSSP RESECURITIZATION TRUST 12-6 8A1 | 4/26/2035 | 3.006 | 1,908 | 1,877 | 1,895 | |||||
RBSSP RESECURITIZATION TRUST 19A1-2009-12 | 12/25/2035 | 4.081 | 5,827 | 5,818 | 5,838 | |||||
RBSSP RESECURITIZATION TRUST 2A1-2009-6 | 1/26/2036 | 4.052 | 1,794 | 1,798 | 1,806 | |||||
RCO MORTGAGE LLC A1-2018-VFS1 | 12/26/2053 | 4.270 | 39,929 | 39,927 | 40,133 | |||||
RESIDENTIAL ASSET SECURITIES 03-K10 AI6 | 12/25/2033 | 4.540 | 92 | 92 | 94 | |||||
RESIDENTIAL FUNDING MORTGAGE SECTION I 06-RP1 | 10/25/2045 | 2.815 | 1,158 | 1,157 | 1,159 | |||||
STAR A1-2018-IMC1 | 3/25/2048 | 3.793 | 30,559 | 30,554 | 30,747 | |||||
STARWOOD MORTGAGE RESIDENTIAL A1-2018-IMC2 | 10/25/2048 | 4.121 | 39,190 | 39,188 | 38,958 | |||||
STRUCTURED ASSET INVESTMENT LOAN TRUST M1-2003-BC5 | 6/25/2033 | 3.440 | 3,967 | 3,856 | 3,964 | |||||
STRUCTURED ASSET SECURITIES CORPORATION 03-24A 5A | 7/25/2033 | 4.493 | 329 | 333 | 327 | |||||
TOWD POINT MORTGAGE TRUST 1A12-2015-2 | 11/25/2060 | 2.750 | 2,380 | 2,369 | 2,342 | |||||
TOWD POINT MORTGAGE TRUST A1-2015-4 | 4/25/2055 | 3.500 | 774 | 785 | 769 | |||||
TOWD POINT MORTGAGE TRUST A1-2015-5 | 5/25/2055 | 3.500 | 7,044 | 7,122 | 7,004 | |||||
TOWD POINT MORTGAGE TRUST A1-2015-6 | 4/25/2055 | 3.500 | 10,048 | 10,119 | 10,019 | |||||
TOWD POINT MORTGAGE TRUST A1-2016-1 | 2/25/2055 | 3.500 | 11,208 | 11,314 | 11,142 | |||||
TOWD POINT MORTGAGE TRUST A1-2016-2 | 8/25/2055 | 3.000 | 12,577 | 12,633 | 12,371 | |||||
TOWD POINT MORTGAGE TRUST A1-2016-3 | 4/25/2056 | 2.250 | 20,038 | 20,009 | 19,578 | |||||
TOWD POINT MORTGAGE TRUST A1-2017-3 | 7/25/2057 | 2.750 | 17,715 | 17,791 | 17,349 | |||||
TOWD POINT MORTGAGE TRUST A1-2017-4 | 6/25/2057 | 2.750 | 19,718 | 19,818 | 19,253 | |||||
TOWD POINT MORTGAGE TRUST A1A-2015-3 | 3/25/2054 | 3.500 | 6,361 | 6,416 | 6,328 | |||||
TOWD POINT MORTGAGE TRUST A1B-2015-3 | 3/25/2054 | 3.000 | 3,181 | 3,190 | 3,147 | |||||
TOWD POINT MORTGAGE TRUST A4B-2015-3 | 3/25/2054 | 3.500 | 3,449 | 3,504 | 3,402 | |||||
VERUS SECURITIZATION TRUST A1-2017-1A | 1/25/2047 | 2.853 | 11,308 | 11,299 | 11,206 | |||||
VERUS SECURITIZATION TRUST A1-2017-2A | 7/25/2047 | 2.485 | 21,875 | 21,862 | 21,548 | |||||
WASHINGTON MUTUAL 03-AR6 A1 | 6/25/2033 | 4.222 | 797 | 795 | 803 | |||||
WASHINGTON MUTUAL 04-AR10 A1A | 7/25/2044 | 3.255 | 584 | 586 | 580 | |||||
WASHINGTON MUTUAL 05-AR3 A2 | 3/25/2035 | 3.672 | 1,348 | 1,353 | 1,314 | |||||
WASHINGTON MUTUAL 05-AR4 A5 | 4/25/2035 | 3.735 | 3,392 | 3,380 | 3,301 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 03-M A1 | 12/25/2033 | 4.903 | 718 | 737 | 734 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-DD 2A6 | 1/25/2035 | 4.717 | 812 | 810 | 836 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-I 1A1 | 7/25/2034 | 4.766 | 1,388 | 1,389 | 1,417 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-K 2A6 | 7/25/2034 | 4.487 | 1,100 | 1,136 | 1,129 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-Q 1A2 | 9/25/2034 | 4.720 | 1,932 | 1,959 | 1,968 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 04-W A8 | 11/25/2034 | 4.848 | 2,959 | 2,960 | 2,960 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR12 2A5 | 6/25/2035 | 4.503 | 1,328 | 1,271 | 1,362 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR2 2A2 | 3/25/2035 | 4.090 | 301 | 302 | 307 |
(in thousands) 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 | |||||||||||||||||||||
WELLS FARGO MORTGAGE BACKED SECURITY 05-AR2 3A1 | 3/25/2035 | 3.994 | 622 | 618 | 633 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 2004-0 A1 | 8/25/2034 | 4.681 | 175 | 174 | 180 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 2907 AG | 1/25/2035 | 4.869 | 346 | 346 | 353 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY 2A2-2005-AR1 | 6/25/2035 | 4.513 | 5,759 | 5,879 | 5,908 | |||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES | 1,516,730 | 1,502,195 | ||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES | 3,073,657 | 3,053,703 | ||||||||
ASSET BACKED SECURITIES | ||||||||||
APIDOS CLO APID_15-20A | 7/16/2031 | 3.536 | 20,000 | 20,000 | 19,628 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2015-2A | 12/20/2021 | 2.630 | 35,669 | 35,764 | 35,261 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-1A | 6/20/2022 | 2.990 | 36,874 | 37,274 | 36,649 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2016-2A | 11/20/2022 | 2.720 | 38,000 | 37,818 | 37,310 | |||||
AVIS BUDGET RENTAL CAR FUNDING A-2017-1A | 9/20/2023 | 3.070 | 8,020 | 8,055 | 7,953 | |||||
BALLYROCK A1-2018-1A | 4/20/2031 | 3.469 | 40,000 | 40,000 | 38,972 | |||||
BRAZOS HIGHER EDUCATION AUTHORITY A2-2010-1 | 2/25/2035 | 3.877 | 20,000 | 19,804 | 20,423 | |||||
CARLYLE GLOBAL MARKET STRATEGIES A1R-2013-1A | 8/14/2030 | 3.838 | 20,000 | 20,000 | 19,784 | |||||
CARLYLE GLOBAL MARKET STRATEGIES A1RR-2013-4A | 1/15/2031 | 3.436 | 20,000 | 20,000 | 19,549 | |||||
CARLYLE GLOBAL MARKET STRATEGIES CLASS-20-143 | 10/15/2030 | 3.536 | 12,315 | 12,332 | 12,106 | |||||
CENTRE POINT FUNDING LLC 12-2 A | 8/20/2021 | 2.610 | 456 | 456 | 450 | |||||
CHESAPEAKE FUNDING II LLC A1-2016-1A | 3/15/2028 | 2.110 | 1,699 | 1,699 | 1,695 | |||||
CLI FUNDING LLC A-2014-1A | 6/18/2029 | 3.290 | 7,950 | 7,958 | 7,815 | |||||
COLLEGE LOAN CORPORATION TRUST 02-2 A24 | 3/1/2042 | 3.818 | 10,000 | 8,762 | 9,835 | |||||
DRYDEN SENIOR LOAN FUND A1-2017-47A | 4/15/2028 | 3.676 | 21,700 | 21,768 | 21,509 | |||||
DRYDEN SENIOR LOAN FUND A1-2018-55A | 4/15/2031 | 3.456 | 12,000 | 12,000 | 11,740 | |||||
DRYDEN SENIOR LOAN FUND A4A-2008-1 | 10/15/2028 | 3.866 | 20,000 | 20,027 | 20,000 | |||||
EDUCATIONAL SERVICES OF AMERICA A-2012-2 | 4/25/2039 | 3.236 | 4,299 | 4,297 | 4,270 | |||||
EDUCATIONAL SERVICES OF AMERICA A-2014-1 | 2/25/2039 | 3.206 | 13,671 | 13,496 | 13,717 | |||||
EDUCATIONAL SERVICES OF AMERICA A-2014-3 | 2/25/2036 | 3.106 | 920 | 904 | 920 | |||||
FIRST INVESTORS AUTO OWNER TRUST A2-2016-1A | 4/15/2021 | 2.260 | 2,571 | 2,571 | 2,568 | |||||
HENDERSON RECEIVABLES LLC 10-3A A | 12/15/2048 | 3.820 | 947 | 948 | 959 | |||||
HERTZ VEHICLE FINANCING LLC A-2015-1A | 3/25/2021 | 2.730 | 35,000 | 34,962 | 34,704 | |||||
HERTZ VEHICLE FINANCING LLC A-2015-3A | 9/25/2021 | 2.670 | 20,000 | 19,932 | 19,708 | |||||
HERTZ VEHICLE FINANCING LLC A-2016-1A | 3/25/2020 | 2.320 | 17,105 | 17,105 | 17,066 | |||||
HERTZ VEHICLE FINANCING LLC A-2016-2A | 3/25/2022 | 2.950 | 33,900 | 33,850 | 33,479 | |||||
HERTZ VEHICLE FINANCING LLC A-2016-4A | 7/25/2022 | 2.650 | 8,168 | 8,079 | 7,997 | |||||
HILTON GRAND VACATIONS TRUST 13-A A | 1/25/2026 | 2.280 | 2,804 | 2,801 | 2,791 | |||||
KENTUCKY HIGHER EDUCATION STUDENT LOAN A1-2013-2 | 9/1/2028 | 2.899 | 6,074 | 5,959 | 6,112 | |||||
MISSISSIPPI HIGHER EDUCATION ASSISTANCE CORP. A1-2014-1 | 10/25/2035 | 2.995 | 5,714 | 5,602 | 5,720 | |||||
MVW OWNER TRUST 16-1A | 12/20/2033 | 2.250 | 9,479 | 9,427 | 9,271 | |||||
NAVITAS EQUIPMENT RECEIVABLES A2-2016-1 | 6/15/2021 | 2.200 | 1,271 | 1,271 | 1,269 | |||||
NORTHSTAR EDUCATION FINANCE A3-2002-1 | 4/1/2042 | 5.844 | 5,000 | 4,711 | 4,829 | |||||
OCTAGON INVESTMENT PARTNERS OCT30_17-1A | 3/17/2030 | 3.789 | 6,900 | 6,900 | 6,845 | |||||
OZLM A1-2017-21A | 1/20/2031 | 3.619 | 16,000 | 16,023 | 15,762 | |||||
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY WL 13-1A | 11/25/2036 | 2.815 | 2,984 | 2,929 | 2,967 |
(in thousands) 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 |
RACE POINT CLO LTD AR-2013-8A | 2/20/2030 | 3.671 | 14,000 | 14,000 | 13,935 | |||||
SALLIE MAE 11-2 A1 | 11/25/2027 | 3.106 | 825 | 824 | 828 | |||||
SALLIE MAE 12-3 A | 12/27/2038 | 2.965 | 7,239 | 7,280 | 7,230 | |||||
SALLIE MAE A6-2006-2 | 1/25/2041 | 2.660 | 19,417 | 18,429 | 18,839 | |||||
SBA TOWER TRUST A-2015-1 | 10/8/2020 | 3.156 | 8,108 | 8,156 | 8,053 | |||||
SBA TOWER TRUST C-2013-2 | 4/11/2023 | 3.722 | 2,815 | 2,791 | 2,817 | |||||
SBA TOWER TRUST C-2016-1A | 7/9/2021 | 2.877 | 8,055 | 8,081 | 7,907 | |||||
SBA TOWER TRUST C-2017-1 | 4/11/2022 | 3.168 | 22,000 | 22,000 | 21,740 | |||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-1A | 3/21/2033 | 3.080 | 4,413 | 4,412 | 4,401 | |||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-2A | 7/20/2033 | 2.330 | 256 | 252 | 251 | |||||
SIERRA RECEIVABLES FUNDING COMPANY A-2016-3A | 10/20/2033 | 2.430 | 5,039 | 5,038 | 4,983 | |||||
SMALL BUSINESS ADMINISTRATION 2002-20J | 10/1/2022 | 4.750 | 180 | 181 | 183 | |||||
SMB PRIVATE EDUCATION LOAN TRUST A2A-2017-B | 10/15/2035 | 2.820 | 11,000 | 10,999 | 10,736 | |||||
SPS SERVICER ADVANCE RECEIVABLE AT2-2016-T2 | 11/15/2049 | 2.750 | 26,205 | 26,201 | 26,156 | |||||
STUDENT LOAN TRUST A4A-2008-1 | 12/15/2032 | 4.388 | 4,708 | 4,767 | 4,821 | |||||
TAL ADVANTAGE LLC 13-1 A | 2/22/2038 | 2.830 | 1,573 | 1,575 | 1,548 | |||||
TRIP RAIL MASTER FUNDING LLC A1-2017-1A | 8/15/2047 | 2.709 | 9,010 | 9,010 | 8,934 | |||||
VOI MORTGAGE LLC A-2016-A | 7/20/2033 | 2.540 | 7,402 | 7,399 | 7,281 | |||||
WELLS FARGO MORTGAGE BACKED SECURITY A-2013-A | 3/15/2029 | 3.100 | 456 | 453 | 455 | |||||
TOTAL ASSET BACKED SECURITIES | 667,332 | 662,731 | ||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||
FANNIE MAE 06-M2 A2A | 10/25/2032 | 5.271 | 4,932 | 5,175 | 5,348 | |||||
FANNIE MAE DEF_31381HZL | 1/1/2019 | 6.075 | 3 | 3 | 3 | |||||
FREDDIE MAC A-20KBF2 | 10/25/2025 | 2.946 | 53,500 | 53,500 | 53,271 | |||||
FREDDIE MAC A-20KF50 | 7/25/2028 | 2.906 | 10,000 | 10,011 | 9,934 | |||||
FREDDIE MAC A-20KF52 | 9/25/2028 | 2.926 | 21,000 | 21,000 | 20,966 | |||||
FREDDIE MAC A-20KF53 | 10/25/2025 | 2.896 | 29,999 | 29,999 | 29,767 | |||||
FREDDIE MAC A-20KF54 | 11/25/2028 | 2.986 | 65,000 | 65,003 | 64,622 | |||||
FREDDIE MAC A-20KF55 | 11/25/2025 | 3.016 | 65,000 | 65,125 | 64,841 | |||||
FREDDIE MAC AFL-20KSL1 | 11/25/2023 | 2.976 | 22,000 | 22,000 | 21,990 | |||||
FREDDIE MAC AFL-20W5FL | 5/25/2025 | 2.726 | 26,186 | 26,186 | 25,984 | |||||
FREDDIE MAC AFLW-20KL3W | 8/25/2025 | 2.956 | 15,000 | 15,041 | 15,028 | |||||
GINNIE MAE 11-165 A | 10/16/2037 | 2.194 | 5,621 | 5,638 | 5,563 | |||||
GINNIE MAE 13-141 A | 6/16/2040 | 2.023 | 10,859 | 10,857 | 10,604 | |||||
GINNIE MAE 13-146 AH | 8/16/2040 | 2.000 | 4,284 | 4,286 | 4,164 | |||||
GINNIE MAE 13-159 A | 8/16/2038 | 1.794 | 664 | 664 | 662 | |||||
GINNIE MAE 17-127 | 4/16/2052 | 2.500 | 19,533 | 19,416 | 18,561 | |||||
GINNIE MAE 17-135 | 5/16/2049 | 2.200 | 29,636 | 29,406 | 28,280 | |||||
GINNIE MAE 17-146 | 8/16/2047 | 2.200 | 24,339 | 24,189 | 23,060 | |||||
GINNIE MAE 7-140 | 2/16/2059 | 2.500 | 24,454 | 24,313 | 23,574 | |||||
GINNIE MAE A-2013-57 | 6/16/2037 | 1.350 | 2,534 | 2,517 | 2,432 | |||||
GINNIE MAE A-2014-61 | 1/16/2044 | 2.205 | 5,221 | 5,225 | 5,134 |
(in thousands) 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 AB-2013-194 | 5/16/2038 | 2.250 | 7,310 | 7,325 | 7,150 | |||||
GINNIE MAE AB-2014-143 | 3/16/2040 | 2.500 | 1,496 | 1,513 | 1,478 | |||||
GINNIE MAE AB-2014-75 | 6/16/2047 | 2.000 | 3,823 | 3,828 | 3,765 | |||||
GINNIE MAE AC-2013-13 | 4/16/2046 | 1.700 | 3,351 | 3,239 | 3,082 | |||||
GINNIE MAE AC-2014-112 | 12/16/2040 | 1.900 | 2,663 | 2,679 | 2,591 | |||||
GINNIE MAE AC-2014-143 | 3/16/2040 | 2.000 | 2,993 | 3,005 | 2,927 | |||||
GINNIE MAE AC-2014-48 | 10/16/2041 | 1.900 | 7,215 | 7,257 | 7,010 | |||||
GINNIE MAE AC-2014-70 | 4/16/2042 | 1.900 | 8,011 | 8,050 | 7,838 | |||||
GINNIE MAE AC-2015-98 | 4/16/2041 | 2.150 | 11,589 | 11,698 | 11,248 | |||||
GINNIE MAE AD-2014-9 | 9/16/2041 | 2.500 | 4,287 | 4,350 | 4,223 | |||||
GINNIE MAE AD-2016-1829 | 11/16/2043 | 2.250 | 17,265 | 17,345 | 16,682 | |||||
GINNIE MAE AG-2016-39 | 1/16/2043 | 2.300 | 12,045 | 12,090 | 11,679 | |||||
GINNIE MAE AG-2017-171 | 10/16/2048 | 2.250 | 24,484 | 24,215 | 23,249 | |||||
GINNIE MAE AN-2014-17 | 6/16/2048 | 2.365 | 4,183 | 4,239 | 4,230 | |||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 550,387 | 540,940 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | ||||||||||
280 PARK AVENUE MORTGAGE TRUST 2017-A | 9/15/2034 | 3.267 | 40,000 | 40,000 | 39,937 | |||||
ASHFORD HOSPITALITY TRUST_A-2018-KEYS | 5/15/2035 | 3.455 | 40,000 | 40,000 | 39,886 | |||||
BHMS MORTGAGE TRUST BHMS_18-ATLS | 7/15/2035 | 3.705 | 40,000 | 40,000 | 39,534 | |||||
BRAEMAR HOTELS & RESORTS TRUST A-2018-PRME | 6/15/2035 | 3.275 | 15,000 | 15,000 | 14,795 | |||||
BX TRUST A-2017-APPL | 7/15/2034 | 3.335 | 13,421 | 13,421 | 13,278 | |||||
BX TRUST A-2017-SLCT | 7/15/2034 | 3.375 | 18,025 | 18,025 | 17,877 | |||||
BX TRUST A-2018-GW | 5/15/2035 | 3.255 | 12,000 | 11,747 | 11,741 | |||||
CLNS TRUST A-2017-IKPR | 6/11/2032 | 3.200 | 30,000 | 30,000 | 29,791 | |||||
COLONY STARWOOD HOMES A-2016-2A | 12/17/2033 | 3.705 | 24,856 | 24,856 | 24,891 | |||||
COSMOPOLITAN HOTEL TRUST A-2017-CSMO | 11/15/2036 | 3.385 | 25,090 | 25,033 | 24,707 | |||||
DBGS MORTGAGE TRUST A-2018-5BP | 6/15/2033 | 3.100 | 40,000 | 39,808 | 39,166 | |||||
DBGS MORTGAGE TRUST A-2018-BIOD | 5/15/2035 | 3.258 | 23,203 | 23,183 | 23,007 | |||||
DBUBS MORTGAGE TRUST 11-LC2 A1 | 7/10/2044 | 3.527 | 1,143 | 1,144 | 1,145 | |||||
DBWF MORTGAGE TRUST A-2018-GLKS | 11/19/2035 | 3.500 | 20,000 | 19,788 | 19,787 | |||||
GOLDMAN SACHS MORTGAGE SECURITIES CORPORATION 10-C2 A1 | 12/10/2043 | 3.849 | 574 | 575 | 576 | |||||
GPT_18-GPP | 6/15/2035 | 3.468 | 30,982 | 30,922 | 30,818 | |||||
HOME PARTNERS OF AMERICA TRUST | 10/17/2033 | 3.605 | 12,419 | 12,366 | 12,420 | |||||
HOME PARTNERS OF AMERICA TRUST A-2017-1 | 7/17/2034 | 3.272 | 19,601 | 19,573 | 19,501 | |||||
HOME PARTNERS OF AMERICA TRUST A-2018-1 | 7/17/2037 | 3.355 | 28,736 | 28,736 | 28,477 | |||||
INVITATION HOMES TRUST A-2017-SFR2 | 12/17/2036 | 3.305 | 14,177 | 14,127 | 14,023 | |||||
INVITATION HOMES TRUST A-2018-SFR2 | 6/17/2037 | 3.355 | 14,373 | 14,305 | 14,167 | |||||
INVITATION HOMES TRUST A-2018-SFR3 | 7/17/2037 | 3.455 | 39,849 | 39,849 | 39,668 | |||||
INVITATION HOMES TRUST A-2018-SFR4 | 1/17/2038 | 3.555 | 33,612 | 33,667 | 33,632 | |||||
JP MORGAN CHASE COMMERCIAL MORTGAGE 09-IWST A2 | 12/5/2027 | 5.633 | 1,250 | 1,289 | 1,276 | |||||
MONARCH BEACH RESORT TRUST MBR_18-MBR | 7/15/2035 | 3.375 | 31,900 | 31,900 | 31,758 | |||||
MORGAN STANLEY CAPITAL I TRUST MSC_18-BOP | 8/15/2033 | 3.305 | 20,000 | 20,000 | 19,920 | |||||
PFP 2017-3 | 1/14/2035 | 3.505 | 363 | 363 | 363 |
(in thousands) 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 | |||||||||||||||||||||
PROGRESS RESIDENTIAL TRUST A-2017-SFR1 | 8/17/2034 | 2.768 | 18,830 | 18,823 | 18,394 | |||||
STARWOOD WAYPOINT HOMES TRUST-2017-1 | 1/17/2035 | 3.257 | 29,567 | 29,567 | 29,520 | |||||
UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 11-C1 AAB | 1/10/2045 | 3.187 | 5,189 | 5,201 | 5,187 | |||||
VSD LLC 2017-PLT1 | 12/25/2043 | 3.600 | 5,585 | 5,585 | 5,580 | |||||
WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP | 12/15/2034 | 3.205 | 12,500 | 12,228 | 12,218 | |||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES | 661,081 | 657,040 | ||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 1,211,468 | 1,197,980 | ||||||||
CORPORATE DEBT SECURITIES | ||||||||||
BANKING | ||||||||||
WASHINGTON MUTUAL BANK/HENDERSON | 6/15/2011 | — | 1,500 | — | 3 | c,d | ||||
TOTAL BANKING | — | 3 | ||||||||
BASIC INDUSTRY | ||||||||||
E I DU PONT DE NEMOURS AND CO | 5/1/2020 | 2.200 | 31,964 | 32,005 | 31,740 | |||||
LYONDELLBASELL INDUSTRIES NV | 4/15/2019 | 5.000 | 16,473 | 16,588 | 16,484 | |||||
TOTAL BASIC INDUSTRY | 48,593 | 48,224 | ||||||||
CAPITAL GOODS | ||||||||||
BAE SYSTEMS PLC | 12/15/2020 | 2.850 | 21,099 | 21,031 | 20,814 | |||||
BUNZL PLC | 1/15/2020 | 2.930 | 1,300 | 1,306 | 1,284 | |||||
GENERAL DYNAMICS CORPORATION | 5/11/2020 | 2.875 | 20,000 | 19,963 | 20,014 | |||||
GENERAL DYNAMICS CORPORATION | 5/11/2021 | 3.000 | 14,905 | 14,823 | 14,920 | |||||
HONEYWELL INTERNATIONAL INC | 10/30/2019 | 1.400 | 18,980 | 18,976 | 18,767 | |||||
NORTHROP GRUMMAN CORP | 3/15/2021 | 3.500 | 5,000 | 5,105 | 5,030 | |||||
NORTHROP GRUMMAN CORP | 10/15/2022 | 2.550 | 14,207 | 13,788 | 13,759 | |||||
SIEMENS AG | 3/16/2020 | 2.200 | 28,000 | 27,852 | 27,694 | |||||
UNITED TECHNOLOGIES CORPORATION | 4/15/2020 | 4.500 | 5,228 | 5,394 | 5,306 | |||||
TOTAL CAPITAL GOODS | 128,238 | 127,588 | ||||||||
COMMUNICATIONS | ||||||||||
A&E TELEVISION NETWORKS LLC | 8/22/2019 | 3.110 | 5,000 | 5,011 | 4,974 | |||||
AMERICA MOVIL SAB DE CV | 3/30/2020 | 5.000 | 30,685 | 31,343 | 31,219 | |||||
AMERICAN TOWER CORPORATION | 6/1/2020 | 2.800 | 1,061 | 1,053 | 1,053 | |||||
AMERICAN TOWER CORPORATION | 2/15/2021 | 3.300 | 24,365 | 24,299 | 24,241 | |||||
DISCOVERY INC | 11/15/2019 | 2.750 | 36,347 | 36,398 | 36,044 | |||||
DISCOVERY INC | 6/15/2020 | 2.800 | 3,300 | 3,318 | 3,276 | |||||
SKY PLC | 11/26/2022 | 3.125 | 5,000 | 4,991 | 4,915 | |||||
SKY PLC | 9/16/2019 | 2.625 | 11,805 | 11,823 | 11,717 | |||||
TOTAL COMMUNICATIONS | 118,236 | 117,439 | ||||||||
CONSUMER CYCLICAL | ||||||||||
AUTOLIV INC | 4/23/2019 | 2.840 | 5,000 | 5,000 | 4,986 | |||||
COMPASS GROUP PLC | 9/18/2020 | 3.090 | 7,000 | 7,069 | 6,927 | |||||
FORD MOTOR COMPANY | 11/2/2020 | 2.343 | 10,000 | 9,744 | 9,620 |
(in thousands) 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 |
MCDONALDS CORPORATION | 5/29/2019 | 1.875 | 2,142 | 2,141 | 2,133 | |||||
TOTAL CONSUMER CYCLICAL | 23,954 | 23,666 | ||||||||
CONSUMER NON CYCLICAL | ||||||||||
ABBVIE INC | 5/14/2020 | 2.500 | 25,000 | 24,802 | 24,735 | |||||
ALLERGAN PLC | 3/12/2020 | 3.000 | 1,465 | 1,476 | 1,459 | |||||
ANHEUSER BUSCH INBEV NV | 7/15/2022 | 2.500 | 10,000 | 9,713 | 9,545 | |||||
BACARDI LTD | 1/15/2021 | 4.500 | 2,783 | 2,905 | 2,818 | |||||
BECTON DICKINSON AND COMPANY | 12/15/2019 | 2.675 | 24,067 | 24,130 | 23,834 | |||||
BECTON DICKINSON AND COMPANY | 6/5/2020 | 2.404 | 10,720 | 10,720 | 10,572 | |||||
CARDINAL HEALTH INC | 12/15/2020 | 4.625 | 9,490 | 9,699 | 9,720 | |||||
CARDINAL HEALTH INC | 6/14/2019 | 1.948 | 16,335 | 16,335 | 16,232 | |||||
CVS HEALTH CORPORATION | 8/12/2019 | 2.250 | 5,595 | 5,604 | 5,565 | |||||
CVS HEALTH CORPORATION | 6/1/2021 | 2.125 | 12,075 | 11,939 | 11,663 | |||||
ESSILOR INTERNATIONAL SA | 1/5/2022 | 2.050 | 6,000 | 6,000 | 5,719 | |||||
EXPRESS SCRIPTS HOLDING COMPANY | 11/15/2021 | 4.750 | 10,000 | 10,261 | 10,289 | |||||
EXPRESS SCRIPTS HOLDING COMPANY | 6/15/2019 | 2.250 | 10,000 | 10,012 | 9,956 | |||||
GENERAL MILLS INC | 10/21/2019 | 2.200 | 5,000 | 4,968 | 4,960 | |||||
GILEAD SCIENCES INC | 9/1/2020 | 2.550 | 25,000 | 24,794 | 24,794 | |||||
JM SMUCKER | 3/15/2020 | 2.500 | 9,231 | 9,239 | 9,137 | |||||
KELLOGG COMPANY | 11/15/2019 | 4.150 | 15,100 | 15,342 | 15,226 | |||||
KELLOGG COMPANY | 12/15/2020 | 4.000 | 15,000 | 15,641 | 15,146 | |||||
KROGER CO | 8/1/2022 | 2.800 | 5,845 | 5,692 | 5,666 | |||||
MOLSON COORS BREWING | 7/15/2019 | 1.450 | 26,761 | 26,757 | 26,471 | |||||
MOLSON COORS BREWING | 7/15/2021 | 2.100 | 10,000 | 9,848 | 9,634 | |||||
MONDELEZ INTERNATIONAL HOLDING | 10/28/2019 | 1.625 | 38,625 | 38,555 | 38,090 | |||||
PFIZER INC | 12/15/2019 | 1.700 | 14,425 | 14,422 | 14,274 | |||||
SHIRE ACQUISITIONS INVESTMENTS | 9/23/2019 | 1.900 | 10,000 | 9,968 | 9,861 | |||||
SODEXO | 3/4/2019 | 2.710 | 10,000 | 10,000 | 9,981 | |||||
SYSCO CORPORATION | 7/15/2021 | 2.500 | 2,000 | 2,006 | 1,953 | |||||
SYSCO CORPORATION | 4/1/2019 | 1.900 | 37,240 | 37,251 | 37,130 | |||||
TEVA PHARMACEUTICAL FINANCE NE | 7/19/2019 | 1.700 | 7,554 | 7,554 | 7,432 | |||||
TYSON 2009 FAMILY TRUST | 8/15/2019 | 2.650 | 38,879 | 38,927 | 38,678 | |||||
TOTAL CONSUMER NON CYCLICAL | 414,560 | 410,540 | ||||||||
ELECTRIC | ||||||||||
AMERICAN ELECTRIC POWER COMPANY INC | 10/1/2022 | 2.400 | 2,000 | 1,926 | 1,928 | |||||
AMERICAN ELECTRIC POWER COMPANY INC | 4/30/2019 | 2.610 | 8,000 | 8,000 | 7,969 | |||||
AMERICAN ELECTRIC POWER COMPANY INC | 11/13/2020 | 2.150 | 6,035 | 5,929 | 5,909 | |||||
AMERICAN ELECTRIC POWER COMPANY INC | 12/1/2021 | 3.650 | 10,316 | 10,315 | 10,403 | |||||
DUKE ENERGY CORP | 8/15/2022 | 3.050 | 3,053 | 2,979 | 2,993 | |||||
DUKE ENERGY CORP | 12/15/2019 | 2.100 | 10,235 | 10,235 | 10,178 | |||||
EMERA INCORPORATED | 6/15/2019 | 2.150 | 8,424 | 8,424 | 8,370 | |||||
EMERA INCORPORATED | 6/15/2021 | 2.700 | 20,495 | 19,981 | 19,967 |
(in thousands) 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 |
EVERSOURCE ENERGY | 3/15/2022 | 2.750 | 1,050 | 1,051 | 1,027 | |||||
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED | 11/15/2019 | 1.600 | 862 | 854 | 849 | |||||
TEXAS ENERGY FUTURE HOLDINGS LP | 6/1/2019 | 2.150 | 25,030 | 25,045 | 24,902 | |||||
THE SOUTHERN COMPANY | 7/1/2021 | 2.350 | 33,334 | 33,205 | 32,343 | |||||
WEC ENERGY GROUP INC | 11/1/2020 | 4.170 | 1,610 | 1,656 | 1,633 | |||||
WEC ENERGY GROUP INC | 6/15/2021 | 3.375 | 3,500 | 3,474 | 3,491 | |||||
WEC ENERGY GROUP INC | 6/15/2020 | 2.450 | 16,050 | 15,950 | 15,850 | |||||
XCEL ENERGY INC | 8/15/2020 | 2.200 | 14,835 | 14,824 | 14,631 | |||||
XCEL ENERGY INC | 3/15/2021 | 2.400 | 4,000 | 3,893 | 3,933 | |||||
TOTAL ELECTRIC | 167,741 | 166,376 | ||||||||
ENERGY | ||||||||||
CENOVUS ENERGY INC | 10/15/2019 | 5.700 | 3,292 | 3,311 | 3,339 | |||||
ENTERPRISE PRODUCTS PARTNERS LP | 10/15/2019 | 2.550 | 24,460 | 24,531 | 24,298 | |||||
WILLIAMS COMPANIES INC | 11/15/2020 | 4.125 | 10,000 | 10,111 | 10,075 | |||||
TOTAL ENERGY | 37,953 | 37,712 | ||||||||
FINANCE COMPANIES | ||||||||||
GENERAL ELECTRIC CO | 11/15/2020 | 2.342 | 15,000 | 14,733 | 14,470 | |||||
TOTAL FINANCE COMPANIES | 14,733 | 14,470 | ||||||||
INSURANCE | ||||||||||
UNITEDHEALTH GROUP INC | 11/15/2021 | 3.375 | 20,000 | 20,126 | 20,145 | |||||
UNITEDHEALTH GROUP INC | 3/15/2022 | 2.875 | 2,000 | 1,963 | 1,984 | |||||
TOTAL INSURANCE | 22,089 | 22,129 | ||||||||
NATURAL GAS | ||||||||||
SEMPRA ENERGY | 3/15/2020 | 2.400 | 8,565 | 8,558 | 8,462 | |||||
TOTAL NATURAL GAS | 8,558 | 8,462 | ||||||||
TECHNOLOGY | ||||||||||
BROADCOM LTD | 1/15/2020 | 2.375 | 20,000 | 20,044 | 19,759 | |||||
CISCO SYSTEMS INC | 9/20/2019 | 1.400 | 12,495 | 12,492 | 12,362 | |||||
TOTAL TECHNOLOGY | 32,536 | 32,121 | ||||||||
TRANSPORTATION | ||||||||||
CSX CORP | 10/30/2020 | 3.700 | 10,000 | 10,271 | 10,087 | |||||
TOTAL TRANSPORTATION | 10,271 | 10,087 | ||||||||
TOTAL CORPORATE DEBT SECURITIES | 1,027,462 | 1,018,817 | ||||||||
TOTAL FIXED MATURITIES | 7,781,708 | 7,734,750 | ||||||||
(in thousands) 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 |
EQUITY SECURITIES | ||||||||||
CONGLOMERATES/DIVERSIFIED MFG | ||||||||||
DAYCO LLC | 10 | 115 | 350 | d | ||||||
TOTAL CONGLOMERATES/DIVERSIFIED MFG | 115 | 350 | ||||||||
METALS/MINING | ||||||||||
ALERIS CORPORATION | 5 | 184 | 116 | d | ||||||
TOTAL METALS/MINING | 184 | 116 | ||||||||
TOTAL EQUITY SECURITIES | 299 | 466 | ||||||||
SYNDICATED LOANS | ||||||||||
BASIC INDUSTRY | ||||||||||
ALPHA 3 BV | 1/31/2024 | 5.386 | 171 | 170 | 170 | |||||
AXALTA COATING SYSTEMS LTD | 6/1/2024 | 4.136 | 632 | 632 | 632 | |||||
CHEMOURS COMPANY | 4/3/2025 | 4.100 | 1,905 | 1,905 | 1,905 | |||||
INEOS LTD | 3/29/2024 | 4.345 | 993 | 993 | 993 | |||||
KINOVE LUXEMBOURG HOLDINGS | 7/25/2024 | 4.386 | 823 | 824 | 824 | |||||
KRATON CORP | 3/8/2025 | 4.845 | 534 | 533 | 533 | |||||
MESSER INDUSTRIE GMBH | 10/15/2025 | 4.834 | 750 | 748 | 748 | |||||
MINERALS TECHNOLOGIES INC. | 2/13/2024 | 4.795 | 125 | 125 | 125 | |||||
PLATFORM SPECIALTY PRODUCTS CORP | 6/7/2023 | 5.345 | 682 | 679 | 679 | |||||
PLATFORM SPECIALTY PRODUCTS CORP | 6/7/2020 | 4.845 | 255 | 256 | 256 | |||||
RAVAGO HOLDINGS AMERICA INC | 7/13/2023 | 5.100 | 513 | 509 | 509 | |||||
SIGMA GROUP HOLDINGS SARL | 9/7/2021 | 5.487 | 87 | 87 | 87 | |||||
SIGMA GROUP HOLDINGS SARL | 9/7/2021 | 5.487 | 527 | 526 | 526 | |||||
TRINSEO SA | 9/6/2024 | 4.849 | 1,341 | 1,341 | 1,341 | |||||
UNIVAR INC | 7/1/2024 | 4.595 | 750 | 747 | 747 | |||||
TOTAL BASIC INDUSTRY | 10,075 | 10,075 | ||||||||
BROKERAGE | ||||||||||
ALIXPARTNERS LLP | 4/4/2024 | 5.095 | 990 | 996 | 996 | |||||
GREENHILL & CO INC | 10/12/2022 | 6.437 | 144 | 144 | 144 | |||||
TOTAL BROKERAGE | 1,140 | 1,140 | ||||||||
CAPITAL GOODS | ||||||||||
ADVANCED DISPOSAL SERVICES INC | 11/10/2023 | 4.618 | 936 | 935 | 935 | |||||
AI GLOBAL INVESTMENTS & CY SCA | 9/13/2023 | 5.955 | 222 | 221 | 221 | |||||
AI GLOBAL INVESTMENTS & CY SCA | 9/13/2023 | 5.955 | 167 | 166 | 166 | |||||
ALBEA SA | 4/22/2024 | 5.884 | 721 | 720 | 720 | |||||
ALTRA INDUSTRIAL MOTION CORP | 10/1/2025 | 4.345 | 1,250 | 1,247 | 1,247 | |||||
ANCHOR GLASS CONTAINER CORP | 12/7/2023 | 5.188 | 989 | 989 | 989 | |||||
APERGY CORP | 5/9/2025 | 4.875 | 1,618 | 1,623 | 1,623 | |||||
BERRY GLOBAL INC | 2/7/2020 | 4.137 | 418 | 418 | 418 | |||||
CROSBY US ACQUISITION CORPORATION | 11/23/2020 | 5.504 | 957 | 956 | 956 | |||||
CROWN HOLDINGS INC | 4/3/2025 | 4.479 | 771 | 771 | 771 |
(in thousands) 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 | |||||||||||||||||||||
DOOSAN INFRACORE CO LTD | 5/18/2024 | 4.382 | 290 | 289 | 289 | |||||
DOUGLAS DYNAMICS INC | 12/31/2021 | 5.350 | 155 | 154 | 154 | |||||
ENERGY CAPITAL PARTNERS II LLC | 5/12/2025 | 6.136 | 648 | 645 | 645 | |||||
EWT HOLDINGS III CORP | 12/20/2024 | 5.345 | 860 | 859 | 859 | |||||
FLEX ACQUISITION COMPANY INC | 12/29/2023 | 5.349 | 123 | 123 | 123 | |||||
GARDNER DENVER HOLDINGS INC | 7/31/2024 | 5.095 | 359 | 359 | 359 | |||||
GATES GLOBAL LLC | 4/1/2024 | 5.095 | 695 | 682 | 682 | |||||
GENERAC HOLDINGS INC | 5/31/2023 | 4.099 | 1,500 | 1,502 | 1,502 | |||||
LONE STAR FUND IX (US) LP | 10/25/2023 | 5.345 | 221 | 221 | 221 | |||||
MULTI-COLOR CORP | 10/31/2024 | 4.345 | 1,000 | 1,000 | 1,000 | |||||
PACKAGING HOLDINGS LTD | 2/5/2023 | 5.095 | 878 | 878 | 878 | |||||
PISCES MIDCO INC | 4/12/2025 | 6.175 | 200 | 199 | 199 | |||||
PLASTIPAK HOLDINGS INC. | 10/14/2024 | 4.850 | 990 | 992 | 992 | |||||
PRINTPACK HOLDINGS INC | 7/26/2023 | 5.375 | 132 | 132 | 132 | |||||
QUIKRETE HOLDINGS INC | 11/15/2023 | 5.095 | 625 | 623 | 623 | |||||
SCR-SIBELCO NV | 6/2/2025 | 6.136 | 299 | 299 | 299 | |||||
TRANSDIGM INC | 6/9/2023 | 4.845 | 856 | 854 | 854 | |||||
UNITED RENTALS INC | 10/31/2025 | 4.095 | 750 | 750 | 750 | |||||
WCA WASTE SYSTEMS INC | 8/11/2023 | 4.845 | 417 | 416 | 416 | |||||
WESCO AIRCRAFT HARDWARE CORPORATION | 2/28/2021 | 4.850 | 1,516 | 1,507 | 1,507 | |||||
WILSONART LLC | 12/19/2023 | 5.640 | 295 | 294 | 294 | |||||
TOTAL CAPITAL GOODS | 20,824 | 20,824 | ||||||||
COMMUNICATIONS | ||||||||||
ALTICE USA INC | 7/1/2025 | 4.675 | 1,000 | 968 | 968 | |||||
CENTURYLINK INC | 1/31/2025 | 5.095 | 1,072 | 1,063 | 1,063 | |||||
CHARTER COMMUNICATIONS INC | 4/1/2025 | 4.350 | 1,442 | 1,444 | 1,444 | |||||
COGECO COMMUNICATIONS (USA) II LP | 1/6/2025 | 4.720 | 1,395 | 1,393 | 1,393 | |||||
ENTRAVISION COMMUNICATIONS CORPORATION | 11/30/2024 | 5.095 | 421 | 419 | 419 | |||||
GOVERNMENT OF CANADA | 11/17/2023 | 4.890 | 995 | 992 | 992 | |||||
GRAY TELEVISION INC | 2/7/2024 | 4.599 | 278 | 278 | 278 | |||||
HUBBARD RADIO LLC | 3/28/2025 | 5.350 | 289 | 287 | 287 | |||||
ION MEDIA NETWORKS INC | 12/18/2020 | 5.100 | 303 | 302 | 302 | |||||
LEVEL 3 COMMUNICATIONS INC | 2/22/2024 | 4.754 | 500 | 499 | 499 | |||||
LIBERTY GLOBAL PLC | 1/16/2026 | 4.955 | 1,000 | 1,002 | 1,002 | |||||
LIONS GATE ENTERTAINMENT CORP | 3/24/2025 | 4.595 | 274 | 274 | 274 | |||||
LIONS GATE ENTERTAINMENT CORP | 3/22/2023 | 4.095 | 1,150 | 1,150 | 1,150 | |||||
MEDIACOM COMMUNICATIONS CORPORATION | 2/15/2024 | 4.120 | 973 | 969 | 969 | |||||
MISSION BROADCASTING INC | 1/17/2024 | 4.756 | 103 | 103 | 103 | |||||
NEXSTAR MEDIA GROUP INC | 1/17/2024 | 4.756 | 597 | 597 | 597 | |||||
NEXT LUXEMBOURG SCSP | 7/17/2025 | 4.705 | 976 | 971 | 971 | |||||
NIELSEN HOLDINGS PLC | 10/2/2023 | 4.387 | 1,050 | 1,049 | 1,049 | |||||
NUMERICABLE GROUP | 7/15/2025 | 5.052 | 985 | 983 | 983 | |||||
SBA COMMUNICATIONS CORP | 4/11/2025 | 4.350 | 1,268 | 1,261 | 1,261 |
(in thousands) 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) |
SINCLAIR BROADCAST GROUP INC | 1/3/2024 | 4.455 | 960 | 952 | 952 | |||||
SOFTBANK GROUP CORP | 2/2/2024 | 4.875 | 1,315 | 1,313 | 1,313 | |||||
SOUTHWIRE CO | 5/19/2025 | 4.455 | 1,272 | 1,269 | 1,269 | |||||
SWITCH LTD | 6/27/2024 | 4.595 | 198 | 197 | 197 | |||||
TELAPEX INC | 5/24/2024 | 4.595 | 889 | 887 | 887 | |||||
TRIBUNE MEDIA COMPANY | 12/27/2020 | 5.345 | 77 | 77 | 77 | |||||
TRIBUNE MEDIA COMPANY | 1/27/2024 | 5.345 | 959 | 957 | 957 | |||||
UNIVISION COMMUNICATIONS INC | 3/15/2024 | 4.595 | 963 | 958 | 958 | |||||
URBAN ONE INC | 4/18/2023 | 6.350 | 510 | 506 | 506 | |||||
WINDSTREAM HOLDINGS INC | 2/8/2024 | 5.640 | 960 | 955 | 955 | |||||
ZAYO GROUP HOLDINGS INC | 1/19/2024 | 4.595 | 179 | 178 | 178 | |||||
TOTAL COMMUNICATIONS | 24,253 | 24,253 | ||||||||
CONSUMER CYCLICAL | ||||||||||
ACADEMY LTD | 7/1/2022 | 6.349 | 981 | 978 | 978 | |||||
AFFINITY GAMING LLC | 7/1/2023 | 5.595 | 306 | 304 | 304 | |||||
ALLISON TRANSMISSION INC | 8/23/2019 | 4.260 | 543 | 542 | 542 | |||||
ARISTOCRAT LEISURE LTD | 10/19/2024 | 4.219 | 1,623 | 1,621 | 1,621 | |||||
CAESARS ENTERTAINMENT CORP | 12/23/2024 | 5.095 | 347 | 346 | 346 | |||||
CCM MERGER | 8/6/2021 | 4.595 | 235 | 235 | 235 | |||||
CINEWORLD FINANCE US INC | 2/28/2025 | 4.845 | 423 | 422 | 422 | |||||
CITYCENTER HOLDINGS LLC | 4/18/2024 | 4.595 | 1,592 | 1,592 | 1,592 | |||||
DALIAN HEXING INVESTMENT CO LTD | 12/15/2022 | 4.705 | 968 | 967 | 967 | |||||
DTZ INVESTMENT HOLDINGS LP | 8/21/2025 | 5.595 | 425 | 423 | 423 | |||||
ELDORADO RESORTS INC | 4/17/2024 | 4.500 | 660 | 660 | 660 | |||||
FOUR SEASONS HOLDINGS INC | 11/30/2023 | 4.345 | 1,492 | 1,488 | 1,488 | |||||
HARBOR FREIGHT TOOLS USA INC | 8/18/2023 | 4.845 | 999 | 1,001 | 1,001 | |||||
HILTON WORLDWIDE FINANCE LLC | 10/25/2023 | 4.256 | 749 | 747 | 747 | |||||
HUDSONS BAY CO | 9/30/2022 | 5.595 | 45 | 45 | 45 | |||||
LAS VEGAS SANDS CORP | 3/27/2025 | 4.095 | 1,471 | 1,465 | 1,465 | |||||
METRO-GOLDWYN-MAYER INC | 7/7/2025 | 4.850 | 650 | 647 | 647 | |||||
MICHAELS COMPANIES INC | 1/28/2023 | 4.885 | 966 | 965 | 965 | |||||
MOHEGAN TRIBAL GAMING AUTHORITY | 10/13/2023 | 6.345 | 646 | 641 | 641 | |||||
NATIONAL AMUSEMENTS INC | 5/8/2025 | 4.850 | 350 | 350 | 350 | |||||
NEIMAN MARCUS GROUP INC | 10/25/2020 | 5.630 | 967 | 962 | 962 | |||||
PENN NATIONAL GAMING INC | 10/15/2025 | 4.705 | 525 | 523 | 523 | |||||
PVH CORPORATION | 5/19/2021 | 3.955 | 834 | 832 | 832 | |||||
RESTAURANT BRANDS INTERNATIONAL INC | 2/16/2024 | 4.595 | 968 | 967 | 967 | |||||
RYMAN HOSPITALITY PROPERTIES | 5/11/2024 | 4.440 | 222 | 222 | 222 | |||||
SCIENTIFIC GAMES CORP | 8/14/2024 | 5.216 | 918 | 914 | 914 | |||||
SEMINOLE TRIBE OF FLORIDA INC | 7/8/2024 | 4.095 | 198 | 197 | 197 | |||||
SERVICEMASTER GLOBAL HOLDINGS INC | 11/8/2023 | 4.845 | 253 | 253 | 253 | |||||
SERVICEMASTER GLOBAL HOLDINGS INC | 8/18/2025 | 4.875 | 1,000 | 998 | 998 | |||||
THL PC TOPCO LP | 8/19/2022 | 4.850 | 120 | 120 | 120 |
(in thousands) 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) |
TRANSUNION | 4/9/2023 | 4.345 | 222 | 222 | 222 | |||||
TRANSUNION | 6/30/2025 | 4.345 | 998 | 995 | 995 | |||||
WILLIAM MORRIS ENDEAVOR ENTERTAINMENT LLC | 5/16/2025 | 5.280 | 924 | 920 | 920 | |||||
WYNDHAM WORLDWIDE CORP | 4/27/2025 | 4.095 | 1,000 | 999 | 999 | |||||
WYNN RESORTS LTD | 10/30/2024 | 4.600 | 750 | 748 | 748 | |||||
YONKERS RACING CORP | 5/31/2024 | 5.600 | 427 | 426 | 426 | |||||
YUM! BRANDS INC. | 4/2/2025 | 4.220 | 1,367 | 1,369 | 1,369 | |||||
TOTAL CONSUMER CYCLICAL | 27,106 | 27,106 | ||||||||
CONSUMER NON CYCLICAL | ||||||||||
ALBERTSONS INVESTOR HOLDINGS LLC | 6/22/2023 | 5.691 | 300 | 300 | 300 | |||||
ALBERTSONS INVESTOR HOLDINGS LLC | 11/17/2025 | 5.445 | 670 | 670 | 670 | |||||
ARAMARK | 3/28/2024 | 4.095 | 842 | 842 | 842 | |||||
BAUSCH HEALTH COMPANIES INC | 6/1/2025 | 5.379 | 580 | 577 | 577 | |||||
CATALENT INC | 5/20/2024 | 4.595 | 359 | 357 | 357 | |||||
CHANGE HEALTHCARE HOLDINGS LLC | 3/1/2024 | 5.095 | 965 | 963 | 963 | |||||
DAVITA INC | 6/24/2021 | 5.095 | 1,000 | 1,001 | 1,001 | |||||
ENDO INTERNATIONAL PLC | 4/29/2024 | 6.625 | 272 | 270 | 270 | |||||
GRIFOLS INC | 1/31/2025 | 4.618 | 468 | 467 | 467 | |||||
HCA HEALTHCARE INC | 3/14/2025 | 4.345 | 423 | 423 | 423 | |||||
JAGUAR HOLDING COMPANY | 8/18/2022 | 4.845 | 968 | 965 | 965 | |||||
JBS FOODS INTERNATIONAL DAC | 10/30/2022 | 5.239 | 517 | 517 | 517 | |||||
MALLINCKRODT PLC | 8/21/2023 | 5.136 | 844 | 843 | 843 | |||||
MALLINCKRODT PLC | 2/24/2025 | 5.618 | 398 | 397 | 397 | |||||
QUORUM HEALTH CORPORATION | 4/29/2022 | 9.095 | 140 | 138 | 138 | |||||
RESIDEO TECHNOLOGIES INC | 10/24/2025 | 4.490 | 750 | 748 | 748 | |||||
RPI INTERNATIONAL PARTNERS LP | 3/16/2023 | 4.386 | 961 | 960 | 960 | |||||
STERIGENICS-NORDION HOLDINGS LLC | 5/15/2022 | 4.345 | 594 | 593 | 593 | |||||
TENNESSEE PARENT INC | 2/6/2024 | 5.095 | 936 | 934 | 934 | |||||
US FOODS HOLDING CORPORATION | 6/27/2023 | 4.345 | 1,444 | 1,441 | 1,441 | |||||
TOTAL CONSUMER NON CYCLICAL | 13,406 | 13,406 | ||||||||
ELECTRIC | ||||||||||
AES CORP VA | 5/31/2022 | 4.456 | 1,217 | 1,215 | 1,215 | |||||
ASTORIA PROJECT PARTNERS | 12/24/2021 | 6.350 | 213 | 212 | 212 | |||||
CPV SHORE HOLDINGS LLC | 12/26/2025 | 6.486 | 750 | 743 | 743 | |||||
EASTERN POWER LLC | 10/2/2023 | 6.095 | 1,575 | 1,578 | 1,578 | |||||
EDGEWATER GENERATION LLC | 12/7/2025 | 6.205 | 1,000 | 998 | 998 | |||||
EFS COGEN HOLDINGS I LLC | 6/28/2023 | 5.640 | 971 | 972 | 972 | |||||
HELIX GEN FUNDING LLC | 6/3/2024 | 6.095 | 970 | 968 | 968 | |||||
INVENERGY CLEAN POWER LLC | 8/28/2025 | 5.845 | 1,000 | 997 | 997 | |||||
LMBE-MC HOLDCO II LLC | 11/26/2025 | 6.340 | 750 | 746 | 746 | |||||
NRG ENERGY INC | 6/30/2023 | 4.136 | 978 | 973 | 973 | |||||
VISTRA ENERGY CORP | 12/31/2025 | 4.426 | 1,347 | 1,345 | 1,345 |
(in thousands) 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 | 2/1/2022 | (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) |
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 |
VOLT PARENT LP | 1/15/2025 | 4.845 | 1,990 | 1,992 | 1,992 | |||||
WG PARTNERS | 11/15/2023 | 5.886 | 343 | 340 | 340 | |||||
TOTAL ELECTRIC | 13,079 | 13,079 | ||||||||
ENERGY | ||||||||||
CORPORATE CAPITAL TRUST INC | 9/27/2024 | 6.600 | 725 | 722 | 722 | |||||
ENERGY TRANSFER EQUITY LP | 2/2/2024 | 4.345 | 1,000 | 996 | 996 | |||||
EQUITRANS MIDSTREAM CORP | 12/31/2023 | 7.236 | 750 | 728 | 728 | |||||
TOTAL ENERGY | 2,446 | 2,446 | ||||||||
FINANCE COMPANY | ||||||||||
PARK AEROSPACE US LLC | 1/15/2025 | 4.470 | 1,501 | 1,497 | 1,497 | |||||
SOFTBANK GROUP CORP | 12/27/2022 | 4.885 | 1,315 | 1,316 | 1,316 | |||||
TOTAL FINANCE COMPANY | 2,813 | 2,813 | ||||||||
INSURANCE | ||||||||||
ASURION LLC | 11/29/2024 | 5.345 | 424 | 422 | 422 | |||||
LONESTAR INTERMEDIATE SUPER HOLDINGS LLC | 11/3/2023 | 5.345 | 305 | 303 | 303 | |||||
LONESTAR INTERMEDIATE SUPER HOLDINGS LLC | 8/4/2022 | 5.345 | 274 | 274 | 274 | |||||
ONEX CORPORATION | 5/16/2024 | 5.386 | 297 | 296 | 296 | |||||
TOTAL INSURANCE | 1,295 | 1,295 | ||||||||
OTHER FINANCIAL INSTITUTIONS | ||||||||||
VICI PROPERTIES INC | 12/20/2024 | 4.504 | 1,810 | 1,814 | 1,814 | |||||
TOTAL OTHER FINANCIAL INSTITUTIONS | 1,814 | 1,814 | ||||||||
OTHER INDUSTRY | ||||||||||
FILTRATION GROUP CORP | 3/31/2025 | 5.345 | 299 | 298 | 298 | |||||
HAMILTON HOLDCO LLC | 7/2/2025 | 4.400 | 998 | 997 | 997 | |||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 6.095 | 1,037 | 1,030 | 1,030 | |||||
LIGHTSTONE HOLDCO LLC | 1/30/2024 | 6.095 | 56 | 55 | 55 | |||||
TOTAL OTHER INDUSTRY | 2,380 | 2,380 | ||||||||
OTHER UTILITY | ||||||||||
LS POWER DEVELOPMENT LLC | 11/9/2020 | 6.386 | 855 | 853 | 853 | |||||
TOTAL OTHER UTILITY | 853 | 853 | ||||||||
REITS | ||||||||||
EXTENDED STAY AMERICA INC | 8/30/2023 | 4.345 | 140 | 140 | 140 | |||||
TOTAL REITS | 140 | 140 | ||||||||
TECHNOLOGY | ||||||||||
AERIAL TOPCO LP | 8/8/2024 | 5.845 | 198 | 195 | 195 | |||||
ARRIS INTERNATIONAL PLC | 4/26/2024 | 4.595 | 985 | 983 | 983 |
CDW CORP | 8/17/2023 | 4.100 | 1,492 | 1,492 | 1,492 | |||||
CELESTICA INC. | 6/27/2025 | 4.631 | 1,097 | 1,092 | 1,092 | |||||
DELL TECHNOLOGIES INC | 9/7/2021 | 4.100 | 366 | 359 | 359 | |||||
DELL TECHNOLOGIES INC | 9/7/2023 | 4.350 | 1,515 | 1,514 | 1,514 | |||||
GO DADDY INC | 2/15/2024 | 4.595 | 1,282 | 1,280 | 1,280 | |||||
HEWLETT PACKARD ENTERPRISE CO | 6/21/2024 | 4.845 | 769 | 767 | 767 | |||||
INFOR SOFTWARE PARENT LLC | 2/1/2022 | 5.136 | 415 | 415 | 415 | |||||
LEIDOS HOLDINGS INC | 8/22/2025 | 4.125 | 427 | 427 | 427 | |||||
MACDONALD DETTWILER AND ASSOCIATES LTD | 10/4/2024 | 5.148 | 990 | 986 | 986 | |||||
MICRO FOCUS INTERNATIONAL PLC | 6/21/2024 | 4.845 | 99 | 99 | 99 | |||||
MICROCHIP TECHNOLOGY INCORPORATED | 6/30/2025 | 4.350 | 678 | 678 | 678 | |||||
NEW MOUNTAIN PARTNERS III LP | 10/12/2023 | 4.479 | 123 | 122 | 122 | |||||
NEW OMAHA HOLDINGS LP | 7/8/2022 | 4.504 | 1,379 | 1,379 | 1,379 | |||||
ON SEMICONDUCTOR CORPORATION | 3/31/2023 | 4.095 | 1,413 | 1,418 | 1,418 | |||||
PERSPECTA INC | 5/31/2025 | 4.595 | 274 | 274 | 274 | |||||
PLANTRONICS INC | 7/2/2025 | 4.845 | 1,224 | 1,212 | 1,212 | |||||
SABRE HOLDINGS CORPORATION | 2/22/2024 | 4.345 | 807 | 806 | 806 | |||||
SCIENCE APPLICATIONS INTERNATIONAL CORP | 10/31/2025 | 4.095 | 1,250 | 1,244 | 1,244 | |||||
SHUTTERFLY INC | 8/17/2024 | 5.100 | 175 | 174 | 174 | |||||
THE CARLYLE GROUP LP | 4/16/2025 | 4.595 | 850 | 848 | 848 | |||||
THE CARLYLE GROUP LP | 4/16/2025 | 4.595 | 324 | 323 | 323 | |||||
TTM TECHNOLOGIES INC | 9/25/2024 | 4.345 | 374 | 372 | 372 | |||||
VERINT SYSTEMS INC | 6/28/2024 | 4.349 | 394 | 394 | 394 | |||||
WESTERN DIGITAL CORPORATION | 4/29/2023 | 4.056 | 1,187 | 1,183 | 1,183 | |||||
WORLDPAY INC | 10/14/2023 | 4.057 | 740 | 741 | 741 | |||||
XPERI CORP | 12/1/2023 | 4.845 | 956 | 916 | 916 | |||||
ZEBRA TECHNOLOGIES CORPORATION | 10/27/2021 | 4.095 | 549 | 548 | 548 | |||||
TOTAL TECHNOLOGY | 22,241 | 22,241 | ||||||||
TRANSPORTATION | ||||||||||
AMERICAN AIRLINES GROUP INC | 12/14/2023 | 4.455 | 990 | 987 | 987 | |||||
AMERICAN AIRLINES GROUP INC | 6/27/2025 | 4.256 | 970 | 968 | 968 | |||||
SEMGROUP CORP | 6/26/2025 | 5.100 | 1,122 | 1,118 | 1,118 | |||||
UNITED CONTINENTAL HOLDINGS INC | 4/1/2024 | 4.095 | 1,586 | 1,585 | 1,585 | |||||
TOTAL TRANSPORTATION | 4,658 | 4,658 | ||||||||
TOTAL SYNDICATED LOANS BEFORE ALLOWANCE FOR LOAN LOSSES | 148,523 | 148,523 | ||||||||
ALLOWANCE FOR LOAN LOSSES | (779 | ) | (779 | ) | ||||||
TOTAL SYNDICATED LOANS - NET | 147,744 | 147,744 | ||||||||
DERIVATIVES | ||||||||||
PURCHASED OPTIONS | ||||||||||
BNP PARIBAS SA | 5/7/2019 | — | 45 | 45 | ||||||
BNP PARIBAS SA | 6/18/2019 | — | 90 | 90 | ||||||
BNP PARIBAS SA | 6/25/2019 | — | 50 | 50 |
BNP PARIBAS SA | 7/2/2019 | — | 45 | 45 | ||||||
BNP PARIBAS SA | 7/23/2019 | — | 39 | 39 | ||||||
BNP PARIBAS SA | 7/30/2019 | — | 40 | 40 | ||||||
BNP PARIBAS SA | 8/20/2019 | — | 38 | 38 | ||||||
BNP PARIBAS SA | 9/10/2019 | — | 44 | 44 | ||||||
BNP PARIBAS SA | 10/1/2019 | — | 85 | 85 | ||||||
BNP PARIBAS SA | 10/22/2019 | — | 43 | 43 | ||||||
BNP PARIBAS SA | 11/5/2019 | — | 44 | 44 | ||||||
BNP PARIBAS SA | 11/19/2019 | — | 39 | 39 | ||||||
BNP PARIBAS SA | 12/10/2019 | — | 34 | 34 | ||||||
BNP PARIBAS SA | 12/24/2019 | — | 35 | 35 | ||||||
BNP PARIBAS SA | 12/31/2019 | — | 36 | 36 | ||||||
BNP PARIBAS SA | 1/15/2019 | — | 24 | 24 | ||||||
BNP PARIBAS SA | 1/14/2020 | — | 35 | 35 | ||||||
BNP PARIBAS SA | 1/22/2019 | — | 24 | 24 | ||||||
BNP PARIBAS SA | 1/21/2020 | — | 69 | 69 | ||||||
BNP PARIBAS SA | 2/12/2019 | — | 40 | 40 | ||||||
BNP PARIBAS SA | 2/11/2020 | — | 62 | 62 | ||||||
BNP PARIBAS SA | 3/19/2019 | — | 21 | 21 | ||||||
BNP PARIBAS SA | 3/17/2020 | — | 63 | 63 | ||||||
BNP PARIBAS SA | 3/26/2019 | — | 41 | 41 | ||||||
BNP PARIBAS SA | 3/24/2020 | — | 61 | 61 | ||||||
BNP PARIBAS SA | 4/2/2019 | — | 21 | 21 | ||||||
BNP PARIBAS SA | 3/31/2020 | — | 31 | 31 | ||||||
BNP PARIBAS SA | 5/21/2019 | — | 20 | 20 | ||||||
BNP PARIBAS SA | 5/19/2020 | — | 87 | 87 | ||||||
BNP PARIBAS SA | 5/28/2019 | — | 19 | 19 | ||||||
BNP PARIBAS SA | 5/26/2020 | — | 28 | 28 | ||||||
BNP PARIBAS SA | 6/4/2019 | — | 18 | 18 | ||||||
BNP PARIBAS SA | 6/2/2020 | — | 28 | 28 | ||||||
BNP PARIBAS SA | 6/18/2019 | — | 36 | 36 | ||||||
BNP PARIBAS SA | 6/16/2020 | — | 27 | 27 | ||||||
BNP PARIBAS SA | 7/2/2019 | — | 19 | 19 | ||||||
BNP PARIBAS SA | 6/30/2020 | — | 28 | 28 | ||||||
BNP PARIBAS SA | 7/7/2020 | — | 28 | 28 | ||||||
BNP PARIBAS SA | 7/16/2019 | — | 18 | 18 | ||||||
BNP PARIBAS SA | 7/14/2020 | — | 26 | 26 | ||||||
BNP PARIBAS SA | 8/6/2019 | — | 18 | 18 | ||||||
BNP PARIBAS SA | 8/4/2020 | — | 52 | 52 | ||||||
BNP PARIBAS SA | 9/17/2019 | — | 17 | 17 | ||||||
BNP PARIBAS SA | 9/15/2020 | — | 25 | 25 | ||||||
BNP PARIBAS SA | 10/1/2019 | — | 16 | 16 | ||||||
BNP PARIBAS SA | 9/29/2020 | — | 24 | 24 | ||||||
BNP PARIBAS SA | 10/22/2019 | — | 15 | 15 |
BNP PARIBAS SA | 10/20/2020 | — | 22 | 22 | ||||||
BNP PARIBAS SA | 10/29/2019 | — | 15 | 15 | ||||||
BNP PARIBAS SA | 10/27/2020 | — | 22 | 22 | ||||||
BNP PARIBAS SA | 11/17/2020 | — | 43 | 43 | ||||||
BNP PARIBAS SA | 11/19/2019 | — | 28 | 28 | ||||||
BNP PARIBAS SA | 11/24/2020 | — | 20 | 20 | ||||||
BNP PARIBAS SA | 12/3/2019 | — | 13 | 13 | ||||||
BNP PARIBAS SA | 12/1/2020 | — | 20 | 20 | ||||||
BNP PARIBAS SA | 12/17/2019 | — | 11 | 11 | ||||||
BNP PARIBAS SA | 12/15/2020 | — | 18 | 18 | ||||||
BNP PARIBAS SA | 1/22/2019 | 2 | — | — | ||||||
BNP PARIBAS SA | 1/21/2020 | — | 6 | 6 | ||||||
BNP PARIBAS SA | 1/19/2021 | 1 | 63 | 63 | ||||||
BNP PARIBAS SA | 2/5/2019 | 2 | 19 | 19 | ||||||
BNP PARIBAS SA | 2/4/2020 | — | 11 | 11 | ||||||
BNP PARIBAS SA | 2/2/2021 | — | 18 | 18 | ||||||
BNP PARIBAS SA | 2/19/2019 | 2 | 26 | 26 | ||||||
BNP PARIBAS SA | 2/18/2020 | — | 11 | 11 | ||||||
BNP PARIBAS SA | 2/16/2021 | — | 35 | 35 | ||||||
BNP PARIBAS SA | 2/26/2019 | 2 | 21 | 21 | ||||||
BNP PARIBAS SA | 2/25/2020 | — | 10 | 10 | ||||||
BNP PARIBAS SA | 2/23/2021 | — | 17 | 17 | ||||||
BNP PARIBAS SA | 3/5/2019 | 3 | 39 | 39 | ||||||
BNP PARIBAS SA | 3/3/2020 | — | 21 | 21 | ||||||
BNP PARIBAS SA | 3/2/2021 | — | 17 | 17 | ||||||
BNP PARIBAS SA | 4/2/2019 | 3 | 159 | 159 | ||||||
BNP PARIBAS SA | 3/31/2020 | — | 16 | 16 | ||||||
BNP PARIBAS SA | 3/30/2021 | — | 23 | 23 | ||||||
BNP PARIBAS SA | 4/16/2019 | 2 | 75 | 75 | ||||||
BNP PARIBAS SA | 4/14/2020 | — | 12 | 12 | ||||||
BNP PARIBAS SA | 4/13/2021 | — | 19 | 19 | ||||||
BNP PARIBAS SA | 4/30/2019 | 2 | 130 | 130 | ||||||
BNP PARIBAS SA | 4/28/2020 | — | 15 | 15 | ||||||
BNP PARIBAS SA | 4/27/2021 | — | 21 | 21 | ||||||
BNP PARIBAS SA | 8/6/2019 | 2 | 60 | 60 | ||||||
BNP PARIBAS SA | 8/4/2020 | — | 19 | 19 | ||||||
BNP PARIBAS SA | 8/3/2021 | — | 15 | 15 | ||||||
BNP PARIBAS SA | 8/13/2019 | 2 | 75 | 75 | ||||||
BNP PARIBAS SA | 8/11/2020 | — | 10 | 10 | ||||||
BNP PARIBAS SA | 8/10/2021 | — | 62 | 62 | ||||||
BNP PARIBAS SA | 10/1/2019 | 2 | 47 | 47 | ||||||
BNP PARIBAS SA | 9/29/2020 | — | 8 | 8 | ||||||
BNP PARIBAS SA | 9/28/2021 | — | 13 | 13 | ||||||
BNP PARIBAS SA | 10/29/2019 | 2 | 216 | 216 |
BNP PARIBAS SA | 10/27/2020 | — | 17 | 17 | ||||||
BNP PARIBAS SA | 10/26/2021 | — | 45 | 45 | ||||||
BNP PARIBAS SA | 11/5/2019 | 2 | 146 | 146 | ||||||
BNP PARIBAS SA | 11/3/2020 | — | 14 | 14 | ||||||
BNP PARIBAS SA | 11/2/2021 | — | 40 | 40 | ||||||
BNP PARIBAS SA | 8/20/2019 | 2 | 62 | 62 | ||||||
BNP PARIBAS SA | 8/18/2020 | — | 9 | 9 | ||||||
BNP PARIBAS SA | 8/17/2021 | — | 15 | 15 | ||||||
WELLS FARGO BANK NA | 12/17/2019 | 2 | 412 | 412 | ||||||
WELLS FARGO BANK NA | 12/14/2021 | — | 89 | 89 | ||||||
WELLS FARGO BANK NA | 1/15/2019 | — | 188 | 188 | ||||||
WELLS FARGO BANK NA | 1/29/2019 | — | 182 | 182 | ||||||
WELLS FARGO BANK NA | 3/26/2019 | — | 232 | 232 | ||||||
WELLS FARGO BANK NA | 4/9/2019 | — | 46 | 46 | ||||||
WELLS FARGO BANK NA | 4/16/2019 | — | 85 | 85 | ||||||
WELLS FARGO BANK NA | 4/23/2019 | — | 44 | 44 | ||||||
WELLS FARGO BANK NA | 4/30/2019 | — | 93 | 93 | ||||||
WELLS FARGO BANK NA | 5/14/2019 | — | 48 | 48 | ||||||
WELLS FARGO BANK NA | 5/21/2019 | — | 46 | 46 | ||||||
WELLS FARGO BANK NA | 6/4/2019 | — | 86 | 86 | ||||||
WELLS FARGO BANK NA | 6/11/2019 | — | 93 | 93 | ||||||
WELLS FARGO BANK NA | 7/9/2019 | — | 40 | 40 | ||||||
WELLS FARGO BANK NA | 8/6/2019 | — | 77 | 77 | ||||||
WELLS FARGO BANK NA | 9/3/2019 | — | 39 | 39 | ||||||
WELLS FARGO BANK NA | 10/8/2019 | — | 43 | 43 | ||||||
WELLS FARGO BANK NA | 10/15/2019 | — | 43 | 43 | ||||||
WELLS FARGO BANK NA | 10/29/2019 | — | 46 | 46 | ||||||
WELLS FARGO BANK NA | 11/12/2019 | — | 41 | 41 | ||||||
WELLS FARGO BANK NA | 12/3/2019 | — | 39 | 39 | ||||||
WELLS FARGO BANK NA | 12/17/2019 | — | 35 | 35 | ||||||
WELLS FARGO BANK NA | 1/8/2019 | — | 24 | 24 | ||||||
WELLS FARGO BANK NA | 1/7/2020 | — | 35 | 35 | ||||||
WELLS FARGO BANK NA | 1/29/2019 | — | 24 | 24 | ||||||
WELLS FARGO BANK NA | 1/28/2020 | — | 70 | 70 | ||||||
WELLS FARGO BANK NA | 2/5/2019 | — | 23 | 23 | ||||||
WELLS FARGO BANK NA | 2/4/2020 | — | 34 | 34 | ||||||
WELLS FARGO BANK NA | 2/19/2019 | — | 18 | 18 | ||||||
WELLS FARGO BANK NA | 2/18/2020 | — | 29 | 29 | ||||||
WELLS FARGO BANK NA | 2/26/2019 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 2/25/2020 | — | 89 | 89 | ||||||
WELLS FARGO BANK NA | 3/5/2019 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 3/3/2020 | — | 29 | 29 | ||||||
WELLS FARGO BANK NA | 3/10/2020 | — | 30 | 30 | ||||||
WELLS FARGO BANK NA | 3/12/2019 | — | 38 | 38 |
WELLS FARGO BANK NA | 4/9/2019 | — | 21 | 21 | ||||||
WELLS FARGO BANK NA | 4/7/2020 | — | 62 | 62 | ||||||
WELLS FARGO BANK NA | 4/14/2020 | — | 32 | 32 | ||||||
WELLS FARGO BANK NA | 4/23/2019 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 4/21/2020 | — | 29 | 29 | ||||||
WELLS FARGO BANK NA | 4/30/2019 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 4/28/2020 | — | 29 | 29 | ||||||
WELLS FARGO BANK NA | 5/7/2019 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 5/5/2020 | — | 58 | 58 | ||||||
WELLS FARGO BANK NA | 5/12/2020 | — | 29 | 29 | ||||||
WELLS FARGO BANK NA | 6/11/2019 | — | 18 | 18 | ||||||
WELLS FARGO BANK NA | 6/9/2020 | — | 27 | 27 | ||||||
WELLS FARGO BANK NA | 6/25/2019 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 6/23/2020 | — | 28 | 28 | ||||||
WELLS FARGO BANK NA | 7/23/2019 | — | 17 | 17 | ||||||
WELLS FARGO BANK NA | 7/21/2020 | — | 26 | 26 | ||||||
WELLS FARGO BANK NA | 7/30/2019 | — | 35 | 35 | ||||||
WELLS FARGO BANK NA | 7/28/2020 | — | 26 | 26 | ||||||
WELLS FARGO BANK NA | 8/13/2019 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 8/11/2020 | — | 27 | 27 | ||||||
WELLS FARGO BANK NA | 8/20/2019 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 8/18/2020 | — | 55 | 55 | ||||||
WELLS FARGO BANK NA | 8/27/2019 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 8/25/2020 | — | 28 | 28 | ||||||
WELLS FARGO BANK NA | 9/3/2019 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 9/10/2019 | — | 35 | 35 | ||||||
WELLS FARGO BANK NA | 9/8/2020 | — | 25 | 25 | ||||||
WELLS FARGO BANK NA | 9/24/2019 | — | 18 | 18 | ||||||
WELLS FARGO BANK NA | 9/22/2020 | — | 26 | 26 | ||||||
WELLS FARGO BANK NA | 10/8/2019 | — | 15 | 15 | ||||||
WELLS FARGO BANK NA | 10/6/2020 | — | 23 | 23 | ||||||
WELLS FARGO BANK NA | 10/15/2019 | — | 15 | 15 | ||||||
WELLS FARGO BANK NA | 10/13/2020 | — | 23 | 23 | ||||||
WELLS FARGO BANK NA | 11/5/2019 | — | 14 | 14 | ||||||
WELLS FARGO BANK NA | 11/12/2019 | — | 59 | 59 | ||||||
WELLS FARGO BANK NA | 11/10/2020 | — | 44 | 44 | ||||||
WELLS FARGO BANK NA | 12/10/2019 | — | 11 | 11 | ||||||
WELLS FARGO BANK NA | 12/8/2020 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 12/24/2019 | — | 11 | 11 | ||||||
WELLS FARGO BANK NA | 1/2/2019 | 2 | — | — | ||||||
WELLS FARGO BANK NA | 12/31/2019 | — | 10 | 10 | ||||||
WELLS FARGO BANK NA | 12/29/2020 | — | 18 | 18 | ||||||
WELLS FARGO BANK NA | 1/8/2019 | 2 | — | — | ||||||
WELLS FARGO BANK NA | 1/7/2020 | — | 9 | 9 |
WELLS FARGO BANK NA | 1/5/2021 | — | 16 | 16 | ||||||
WELLS FARGO BANK NA | 1/15/2019 | 2 | — | — | ||||||
WELLS FARGO BANK NA | 1/14/2020 | — | 8 | 8 | ||||||
WELLS FARGO BANK NA | 1/12/2021 | — | 15 | 15 | ||||||
WELLS FARGO BANK NA | 1/29/2019 | 2 | — | — | ||||||
WELLS FARGO BANK NA | 1/28/2020 | — | 14 | 14 | ||||||
WELLS FARGO BANK NA | 1/26/2021 | — | 13 | 13 | ||||||
WELLS FARGO BANK NA | 2/12/2019 | 2 | 38 | 38 | ||||||
WELLS FARGO BANK NA | 2/11/2020 | — | 13 | 13 | ||||||
WELLS FARGO BANK NA | 2/9/2021 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 3/12/2019 | 2 | 24 | 24 | ||||||
WELLS FARGO BANK NA | 3/10/2020 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 3/9/2021 | — | 32 | 32 | ||||||
WELLS FARGO BANK NA | 3/19/2019 | 3 | 53 | 53 | ||||||
WELLS FARGO BANK NA | 3/17/2020 | — | 11 | 11 | ||||||
WELLS FARGO BANK NA | 3/16/2021 | — | 18 | 18 | ||||||
WELLS FARGO BANK NA | 3/26/2019 | 3 | 145 | 145 | ||||||
WELLS FARGO BANK NA | 3/24/2020 | — | 16 | 16 | ||||||
WELLS FARGO BANK NA | 4/9/2019 | 3 | 116 | 116 | ||||||
WELLS FARGO BANK NA | 4/7/2020 | — | 43 | 43 | ||||||
WELLS FARGO BANK NA | 4/6/2021 | — | 21 | 21 | ||||||
WELLS FARGO BANK NA | 4/23/2019 | 3 | 152 | 152 | ||||||
WELLS FARGO BANK NA | 4/21/2020 | — | 16 | 16 | ||||||
WELLS FARGO BANK NA | 4/20/2021 | — | 22 | 22 | ||||||
WELLS FARGO BANK NA | 5/7/2019 | 3 | 133 | 133 | ||||||
WELLS FARGO BANK NA | 5/5/2020 | — | 14 | 14 | ||||||
WELLS FARGO BANK NA | 5/4/2021 | — | 21 | 21 | ||||||
WELLS FARGO BANK NA | 5/14/2019 | 2 | 103 | 103 | ||||||
WELLS FARGO BANK NA | 5/12/2020 | — | 26 | 26 | ||||||
WELLS FARGO BANK NA | 5/11/2021 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 5/21/2019 | 2 | 93 | 93 | ||||||
WELLS FARGO BANK NA | 5/19/2020 | — | 12 | 12 | ||||||
WELLS FARGO BANK NA | 5/28/2019 | 2 | 121 | 121 | ||||||
WELLS FARGO BANK NA | 5/26/2020 | — | 28 | 28 | ||||||
WELLS FARGO BANK NA | 5/25/2021 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 6/4/2019 | 2 | 91 | 91 | ||||||
WELLS FARGO BANK NA | 6/1/2021 | — | 18 | 18 | ||||||
WELLS FARGO BANK NA | 6/11/2019 | 3 | 83 | 83 | ||||||
WELLS FARGO BANK NA | 6/9/2020 | — | 21 | 21 | ||||||
WELLS FARGO BANK NA | 6/8/2021 | — | 17 | 17 | ||||||
WELLS FARGO BANK NA | 6/18/2019 | 2 | 88 | 88 | ||||||
WELLS FARGO BANK NA | 6/16/2020 | — | 11 | 11 | ||||||
WELLS FARGO BANK NA | 6/15/2021 | — | 17 | 17 | ||||||
WELLS FARGO BANK NA | 6/25/2019 | 3 | 134 | 134 |
WELLS FARGO BANK NA | 6/23/2020 | — | 13 | 13 | ||||||
WELLS FARGO BANK NA | 6/22/2021 | — | 19 | 19 | ||||||
WELLS FARGO BANK NA | 7/2/2019 | 2 | 142 | 142 | ||||||
WELLS FARGO BANK NA | 6/30/2020 | — | 14 | 14 | ||||||
WELLS FARGO BANK NA | 6/29/2021 | — | 40 | 40 | ||||||
WELLS FARGO BANK NA | 7/9/2019 | 2 | 86 | 86 | ||||||
WELLS FARGO BANK NA | 7/7/2020 | — | 11 | 11 | ||||||
WELLS FARGO BANK NA | 7/6/2021 | — | 17 | 17 | ||||||
WELLS FARGO BANK NA | 7/16/2019 | 2 | 81 | 81 | ||||||
WELLS FARGO BANK NA | 7/14/2020 | — | 10 | 10 | ||||||
WELLS FARGO BANK NA | 7/13/2021 | — | 32 | 32 | ||||||
WELLS FARGO BANK NA | 7/23/2019 | 2 | 79 | 79 | ||||||
WELLS FARGO BANK NA | 7/21/2020 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 7/20/2021 | — | 16 | 16 | ||||||
WELLS FARGO BANK NA | 7/30/2019 | 3 | 92 | 92 | ||||||
WELLS FARGO BANK NA | 7/28/2020 | — | 10 | 10 | ||||||
WELLS FARGO BANK NA | 7/27/2021 | — | 16 | 16 | ||||||
WELLS FARGO BANK NA | 8/27/2019 | 2 | 48 | 48 | ||||||
WELLS FARGO BANK NA | 8/24/2021 | — | 14 | 14 | ||||||
WELLS FARGO BANK NA | 9/3/2019 | 2 | 58 | 58 | ||||||
WELLS FARGO BANK NA | 9/1/2020 | — | 9 | 9 | ||||||
WELLS FARGO BANK NA | 8/31/2021 | — | 14 | 14 | ||||||
WELLS FARGO BANK NA | 9/10/2019 | 2 | 64 | 64 | ||||||
WELLS FARGO BANK NA | 9/8/2020 | — | 9 | 9 | ||||||
WELLS FARGO BANK NA | 9/7/2021 | — | 43 | 43 | ||||||
WELLS FARGO BANK NA | 9/17/2019 | 2 | 50 | 50 | ||||||
WELLS FARGO BANK NA | 9/15/2020 | — | 17 | 17 | ||||||
WELLS FARGO BANK NA | 9/14/2021 | — | 41 | 41 | ||||||
WELLS FARGO BANK NA | 9/24/2019 | 2 | 45 | 45 | ||||||
WELLS FARGO BANK NA | 9/22/2020 | — | 8 | 8 | ||||||
WELLS FARGO BANK NA | 9/21/2021 | — | 27 | 27 | ||||||
WELLS FARGO BANK NA | 10/8/2019 | 2 | 76 | 76 | ||||||
WELLS FARGO BANK NA | 10/6/2020 | — | 10 | 10 | ||||||
WELLS FARGO BANK NA | 10/5/2021 | — | 30 | 30 | ||||||
WELLS FARGO BANK NA | 10/15/2019 | 3 | 129 | 129 | ||||||
WELLS FARGO BANK NA | 10/13/2020 | — | 24 | 24 | ||||||
WELLS FARGO BANK NA | 10/12/2021 | — | 35 | 35 | ||||||
WELLS FARGO BANK NA | 10/22/2019 | 2 | 157 | 157 | ||||||
WELLS FARGO BANK NA | 10/20/2020 | — | 29 | 29 | ||||||
WELLS FARGO BANK NA | 10/19/2021 | — | 40 | 40 | ||||||
WELLS FARGO BANK NA | 11/12/2019 | 2 | 199 | 199 | ||||||
WELLS FARGO BANK NA | 11/10/2020 | — | 16 | 16 | ||||||
WELLS FARGO BANK NA | 11/9/2021 | — | 43 | 43 | ||||||
WELLS FARGO BANK NA | 11/19/2019 | 2 | 272 | 272 |
WELLS FARGO BANK NA | 11/17/2020 | — | 39 | 39 | ||||||
WELLS FARGO BANK NA | 11/16/2021 | — | 50 | 50 | ||||||
WELLS FARGO BANK NA | 11/26/2019 | 2 | 196 | 196 | ||||||
WELLS FARGO BANK NA | 11/23/2021 | — | 23 | 23 | ||||||
WELLS FARGO BANK NA | 12/3/2019 | 2 | 196 | 196 | ||||||
WELLS FARGO BANK NA | 12/1/2020 | — | 17 | 17 | ||||||
WELLS FARGO BANK NA | 11/30/2021 | — | 22 | 22 | ||||||
WELLS FARGO BANK NA | 12/10/2019 | 3 | 315 | 315 | ||||||
WELLS FARGO BANK NA | 12/8/2020 | — | 20 | 20 | ||||||
WELLS FARGO BANK NA | 12/7/2021 | — | 51 | 51 | ||||||
WELLS FARGO BANK NA | 12/15/2020 | — | 49 | 49 | ||||||
WELLS FARGO BANK NA | 12/24/2019 | 2 | 641 | 641 | ||||||
WELLS FARGO BANK NA | 12/22/2020 | — | 71 | 71 | ||||||
WELLS FARGO BANK NA | 12/21/2021 | — | 158 | 158 | ||||||
TOTAL PURCHASED OPTIONS | 13,173 | 13,173 | ||||||||
WRITTEN OPTIONS | ||||||||||
BNP PARIBAS SA | 5/7/2019 | — | (30 | ) | (30 | ) | ||||
BNP PARIBAS SA | 6/18/2019 | — | (67 | ) | (67 | ) | ||||
BNP PARIBAS SA | 6/25/2019 | — | (39 | ) | (39 | ) | ||||
BNP PARIBAS SA | 7/2/2019 | — | (34 | ) | (34 | ) | ||||
BNP PARIBAS SA | 7/23/2019 | — | (28 | ) | (28 | ) | ||||
BNP PARIBAS SA | 7/30/2019 | — | (29 | ) | (29 | ) | ||||
BNP PARIBAS SA | 8/20/2019 | — | (28 | ) | (28 | ) | ||||
BNP PARIBAS SA | 9/10/2019 | — | (33 | ) | (33 | ) | ||||
BNP PARIBAS SA | 10/1/2019 | — | (63 | ) | (63 | ) | ||||
BNP PARIBAS SA | 10/22/2019 | — | (33 | ) | (33 | ) | ||||
BNP PARIBAS SA | 11/5/2019 | — | (33 | ) | (33 | ) | ||||
BNP PARIBAS SA | 11/19/2019 | — | (29 | ) | (29 | ) | ||||
BNP PARIBAS SA | 12/10/2019 | — | (24 | ) | (24 | ) | ||||
BNP PARIBAS SA | 12/24/2019 | — | (25 | ) | (25 | ) | ||||
BNP PARIBAS SA | 12/31/2019 | — | (26 | ) | (26 | ) | ||||
BNP PARIBAS SA | 1/15/2019 | — | (18 | ) | (18 | ) | ||||
BNP PARIBAS SA | 1/14/2020 | — | (25 | ) | (25 | ) | ||||
BNP PARIBAS SA | 1/21/2020 | — | (45 | ) | (45 | ) | ||||
BNP PARIBAS SA | 1/22/2019 | — | (16 | ) | (16 | ) | ||||
BNP PARIBAS SA | 2/12/2019 | — | (25 | ) | (25 | ) | ||||
BNP PARIBAS SA | 2/11/2020 | — | (39 | ) | (39 | ) | ||||
BNP PARIBAS SA | 3/19/2019 | — | (14 | ) | (14 | ) | ||||
BNP PARIBAS SA | 3/17/2020 | — | (40 | ) | (40 | ) | ||||
BNP PARIBAS SA | 3/26/2019 | — | (27 | ) | (27 | ) | ||||
BNP PARIBAS SA | 3/24/2020 | — | (38 | ) | (38 | ) | ||||
BNP PARIBAS SA | 4/2/2019 | — | (14 | ) | (14 | ) | ||||
BNP PARIBAS SA | 3/31/2020 | — | (19 | ) | (19 | ) |
BNP PARIBAS SA | 5/19/2020 | — | (55 | ) | (55 | ) | ||||
BNP PARIBAS SA | 5/21/2019 | — | (14 | ) | (14 | ) | ||||
BNP PARIBAS SA | 5/28/2019 | — | (13 | ) | (13 | ) | ||||
BNP PARIBAS SA | 5/26/2020 | — | (18 | ) | (18 | ) | ||||
BNP PARIBAS SA | 6/4/2019 | — | (12 | ) | (12 | ) | ||||
BNP PARIBAS SA | 6/2/2020 | — | (17 | ) | (17 | ) | ||||
BNP PARIBAS SA | 6/18/2019 | — | (25 | ) | (25 | ) | ||||
BNP PARIBAS SA | 6/16/2020 | — | (17 | ) | (17 | ) | ||||
BNP PARIBAS SA | 7/2/2019 | — | (13 | ) | (13 | ) | ||||
BNP PARIBAS SA | 6/30/2020 | — | (17 | ) | (17 | ) | ||||
BNP PARIBAS SA | 7/7/2020 | — | (18 | ) | (18 | ) | ||||
BNP PARIBAS SA | 7/16/2019 | — | (12 | ) | (12 | ) | ||||
BNP PARIBAS SA | 7/14/2020 | — | (16 | ) | (16 | ) | ||||
BNP PARIBAS SA | 8/6/2019 | — | (12 | ) | (12 | ) | ||||
BNP PARIBAS SA | 8/4/2020 | — | (32 | ) | (32 | ) | ||||
BNP PARIBAS SA | 9/17/2019 | — | (12 | ) | (12 | ) | ||||
BNP PARIBAS SA | 9/15/2020 | — | (15 | ) | (15 | ) | ||||
BNP PARIBAS SA | 10/1/2019 | — | (11 | ) | (11 | ) | ||||
BNP PARIBAS SA | 9/29/2020 | — | (14 | ) | (14 | ) | ||||
BNP PARIBAS SA | 10/22/2019 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 10/20/2020 | — | (13 | ) | (13 | ) | ||||
BNP PARIBAS SA | 10/29/2019 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 10/27/2020 | — | (13 | ) | (13 | ) | ||||
BNP PARIBAS SA | 11/17/2020 | — | (25 | ) | (25 | ) | ||||
BNP PARIBAS SA | 11/19/2019 | — | (19 | ) | (19 | ) | ||||
BNP PARIBAS SA | 11/24/2020 | — | (12 | ) | (12 | ) | ||||
BNP PARIBAS SA | 12/3/2019 | — | (8 | ) | (8 | ) | ||||
BNP PARIBAS SA | 12/1/2020 | — | (12 | ) | (12 | ) | ||||
BNP PARIBAS SA | 12/17/2019 | — | (7 | ) | (7 | ) | ||||
BNP PARIBAS SA | 12/15/2020 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 1/22/2019 | (2 | ) | — | — | |||||
BNP PARIBAS SA | 1/21/2020 | — | (4 | ) | (4 | ) | ||||
BNP PARIBAS SA | 1/19/2021 | (1 | ) | (30 | ) | (30 | ) | |||
BNP PARIBAS SA | 2/5/2019 | (2 | ) | (8 | ) | (8 | ) | |||
BNP PARIBAS SA | 2/5/2019 | — | — | — | ||||||
BNP PARIBAS SA | 2/4/2020 | — | (7 | ) | (7 | ) | ||||
BNP PARIBAS SA | 2/2/2021 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 2/19/2019 | (2 | ) | (12 | ) | (12 | ) | |||
BNP PARIBAS SA | 2/19/2019 | — | — | — | ||||||
BNP PARIBAS SA | 2/18/2020 | — | (7 | ) | (7 | ) | ||||
BNP PARIBAS SA | 2/16/2021 | — | (19 | ) | (19 | ) | ||||
BNP PARIBAS SA | 2/26/2019 | (2 | ) | (10 | ) | (10 | ) | |||
BNP PARIBAS SA | 2/25/2020 | — | (6 | ) | (6 | ) | ||||
BNP PARIBAS SA | 2/23/2021 | — | (9 | ) | (9 | ) |
BNP PARIBAS SA | 3/5/2019 | (3 | ) | (18 | ) | (18 | ) | |||
BNP PARIBAS SA | 3/5/2019 | — | — | — | ||||||
BNP PARIBAS SA | 3/3/2020 | — | (13 | ) | (13 | ) | ||||
BNP PARIBAS SA | 3/2/2021 | — | (8 | ) | (8 | ) | ||||
BNP PARIBAS SA | 4/2/2019 | (3 | ) | (105 | ) | (105 | ) | |||
BNP PARIBAS SA | 4/2/2019 | — | (1 | ) | (1 | ) | ||||
BNP PARIBAS SA | 3/31/2020 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 3/30/2021 | — | (12 | ) | (12 | ) | ||||
BNP PARIBAS SA | 4/16/2019 | (2 | ) | (45 | ) | (45 | ) | |||
BNP PARIBAS SA | 4/16/2019 | — | — | — | ||||||
BNP PARIBAS SA | 4/14/2020 | — | (8 | ) | (8 | ) | ||||
BNP PARIBAS SA | 4/13/2021 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 4/30/2019 | (2 | ) | (73 | ) | (73 | ) | |||
BNP PARIBAS SA | 4/30/2019 | — | (1 | ) | (1 | ) | ||||
BNP PARIBAS SA | 4/28/2020 | — | (8 | ) | (8 | ) | ||||
BNP PARIBAS SA | 4/27/2021 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 8/6/2019 | (2 | ) | (30 | ) | (30 | ) | |||
BNP PARIBAS SA | 8/4/2020 | — | (9 | ) | (9 | ) | ||||
BNP PARIBAS SA | 8/3/2021 | — | (5 | ) | (5 | ) | ||||
BNP PARIBAS SA | 8/13/2019 | (2 | ) | (37 | ) | (37 | ) | |||
BNP PARIBAS SA | 8/13/2019 | — | — | — | ||||||
BNP PARIBAS SA | 8/11/2020 | — | (5 | ) | (5 | ) | ||||
BNP PARIBAS SA | 8/10/2021 | — | (23 | ) | (23 | ) | ||||
BNP PARIBAS SA | 8/20/2019 | — | — | — | ||||||
BNP PARIBAS SA | 10/1/2019 | (2 | ) | (24 | ) | (24 | ) | |||
BNP PARIBAS SA | 9/29/2020 | — | (4 | ) | (4 | ) | ||||
BNP PARIBAS SA | 9/28/2021 | — | (5 | ) | (5 | ) | ||||
BNP PARIBAS SA | 10/29/2019 | (2 | ) | (145 | ) | (145 | ) | |||
BNP PARIBAS SA | 10/29/2019 | — | (3 | ) | (3 | ) | ||||
BNP PARIBAS SA | 10/27/2020 | — | (10 | ) | (10 | ) | ||||
BNP PARIBAS SA | 10/26/2021 | — | (21 | ) | (21 | ) | ||||
BNP PARIBAS SA | 11/5/2019 | (2 | ) | (91 | ) | (91 | ) | |||
BNP PARIBAS SA | 11/5/2019 | — | (1 | ) | (1 | ) | ||||
BNP PARIBAS SA | 11/2/2021 | — | (17 | ) | (17 | ) | ||||
BNP PARIBAS SA | 11/3/2020 | — | (8 | ) | (8 | ) | ||||
BNP PARIBAS SA | 8/20/2019 | (2 | ) | (30 | ) | (30 | ) | |||
BNP PARIBAS SA | 8/18/2020 | — | (5 | ) | (5 | ) | ||||
BNP PARIBAS SA | 8/17/2021 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 12/17/2019 | (2 | ) | (296 | ) | (296 | ) | |||
WELLS FARGO BANK NA | 12/17/2019 | — | (6 | ) | (6 | ) | ||||
WELLS FARGO BANK NA | 12/15/2020 | — | (30 | ) | (30 | ) | ||||
WELLS FARGO BANK NA | 12/14/2021 | — | (43 | ) | (43 | ) | ||||
WELLS FARGO BANK NA | 1/15/2019 | — | (140 | ) | (140 | ) | ||||
WELLS FARGO BANK NA | 1/29/2019 | — | (134 | ) | (134 | ) |
WELLS FARGO BANK NA | 3/26/2019 | — | (154 | ) | (154 | ) | ||||
WELLS FARGO BANK NA | 4/9/2019 | — | (31 | ) | (31 | ) | ||||
WELLS FARGO BANK NA | 4/16/2019 | — | (55 | ) | (55 | ) | ||||
WELLS FARGO BANK NA | 4/23/2019 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 4/30/2019 | — | (63 | ) | (63 | ) | ||||
WELLS FARGO BANK NA | 5/14/2019 | — | (33 | ) | (33 | ) | ||||
WELLS FARGO BANK NA | 5/21/2019 | — | (31 | ) | (31 | ) | ||||
WELLS FARGO BANK NA | 6/4/2019 | — | (56 | ) | (56 | ) | ||||
WELLS FARGO BANK NA | 6/11/2019 | — | (63 | ) | (63 | ) | ||||
WELLS FARGO BANK NA | 7/9/2019 | — | (29 | ) | (29 | ) | ||||
WELLS FARGO BANK NA | 8/6/2019 | — | (56 | ) | (56 | ) | ||||
WELLS FARGO BANK NA | 9/3/2019 | — | (28 | ) | (28 | ) | ||||
WELLS FARGO BANK NA | 10/8/2019 | — | (33 | ) | (33 | ) | ||||
WELLS FARGO BANK NA | 10/15/2019 | — | (33 | ) | (33 | ) | ||||
WELLS FARGO BANK NA | 10/29/2019 | — | (35 | ) | (35 | ) | ||||
WELLS FARGO BANK NA | 11/12/2019 | — | (30 | ) | (30 | ) | ||||
WELLS FARGO BANK NA | 12/3/2019 | — | (28 | ) | (28 | ) | ||||
WELLS FARGO BANK NA | 12/17/2019 | — | (25 | ) | (25 | ) | ||||
WELLS FARGO BANK NA | 1/8/2019 | — | (17 | ) | (17 | ) | ||||
WELLS FARGO BANK NA | 1/7/2020 | — | (25 | ) | (25 | ) | ||||
WELLS FARGO BANK NA | 1/29/2019 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 1/28/2020 | — | (45 | ) | (45 | ) | ||||
WELLS FARGO BANK NA | 2/4/2020 | — | (22 | ) | (22 | ) | ||||
WELLS FARGO BANK NA | 2/5/2019 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 2/19/2019 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 2/18/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 2/26/2019 | — | (12 | ) | (12 | ) | ||||
WELLS FARGO BANK NA | 2/25/2020 | — | (55 | ) | (55 | ) | ||||
WELLS FARGO BANK NA | 3/5/2019 | — | (12 | ) | (12 | ) | ||||
WELLS FARGO BANK NA | 3/3/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 3/10/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 3/12/2019 | — | (25 | ) | (25 | ) | ||||
WELLS FARGO BANK NA | 4/9/2019 | — | (15 | ) | (15 | ) | ||||
WELLS FARGO BANK NA | 4/7/2020 | — | (39 | ) | (39 | ) | ||||
WELLS FARGO BANK NA | 4/14/2020 | — | (21 | ) | (21 | ) | ||||
WELLS FARGO BANK NA | 4/23/2019 | — | (13 | ) | (13 | ) | ||||
WELLS FARGO BANK NA | 4/21/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 4/30/2019 | — | (13 | ) | (13 | ) | ||||
WELLS FARGO BANK NA | 4/28/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 5/7/2019 | — | (13 | ) | (13 | ) | ||||
WELLS FARGO BANK NA | 5/5/2020 | — | (36 | ) | (36 | ) | ||||
WELLS FARGO BANK NA | 5/12/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 6/11/2019 | — | (12 | ) | (12 | ) | ||||
WELLS FARGO BANK NA | 6/9/2020 | — | (16 | ) | (16 | ) |
WELLS FARGO BANK NA | 6/25/2019 | — | (14 | ) | (14 | ) | ||||
WELLS FARGO BANK NA | 6/23/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 7/23/2019 | — | (12 | ) | (12 | ) | ||||
WELLS FARGO BANK NA | 7/21/2020 | — | (15 | ) | (15 | ) | ||||
WELLS FARGO BANK NA | 7/30/2019 | — | (24 | ) | (24 | ) | ||||
WELLS FARGO BANK NA | 7/28/2020 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 8/13/2019 | — | (13 | ) | (13 | ) | ||||
WELLS FARGO BANK NA | 8/11/2020 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 8/20/2019 | — | (14 | ) | (14 | ) | ||||
WELLS FARGO BANK NA | 8/18/2020 | — | (34 | ) | (34 | ) | ||||
WELLS FARGO BANK NA | 8/27/2019 | — | (14 | ) | (14 | ) | ||||
WELLS FARGO BANK NA | 8/25/2020 | — | (18 | ) | (18 | ) | ||||
WELLS FARGO BANK NA | 9/3/2019 | — | (14 | ) | (14 | ) | ||||
WELLS FARGO BANK NA | 9/10/2019 | — | (24 | ) | (24 | ) | ||||
WELLS FARGO BANK NA | 9/8/2020 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 9/24/2019 | — | (12 | ) | (12 | ) | ||||
WELLS FARGO BANK NA | 9/22/2020 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 10/8/2019 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 10/6/2020 | — | (14 | ) | (14 | ) | ||||
WELLS FARGO BANK NA | 10/15/2019 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 10/13/2020 | — | (13 | ) | (13 | ) | ||||
WELLS FARGO BANK NA | 11/5/2019 | — | (9 | ) | (9 | ) | ||||
WELLS FARGO BANK NA | 11/12/2019 | — | (40 | ) | (40 | ) | ||||
WELLS FARGO BANK NA | 11/10/2020 | — | (26 | ) | (26 | ) | ||||
WELLS FARGO BANK NA | 12/10/2019 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 12/8/2020 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 12/24/2019 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 1/2/2019 | (2 | ) | — | — | |||||
WELLS FARGO BANK NA | 12/31/2019 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 12/29/2020 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 1/8/2019 | (2 | ) | — | — | |||||
WELLS FARGO BANK NA | 1/8/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 1/7/2020 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 1/5/2021 | — | (8 | ) | (8 | ) | ||||
WELLS FARGO BANK NA | 1/15/2019 | (2 | ) | — | — | |||||
WELLS FARGO BANK NA | 1/15/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 1/14/2020 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 1/12/2021 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 1/29/2019 | (2 | ) | — | — | |||||
WELLS FARGO BANK NA | 1/29/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 1/28/2020 | — | (8 | ) | (8 | ) | ||||
WELLS FARGO BANK NA | 1/26/2021 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 2/12/2019 | (2 | ) | (19 | ) | (19 | ) | |||
WELLS FARGO BANK NA | 2/12/2019 | — | — | — |
WELLS FARGO BANK NA | 2/11/2020 | — | (8 | ) | (8 | ) | ||||
WELLS FARGO BANK NA | 2/9/2021 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 3/12/2019 | (2 | ) | (11 | ) | (11 | ) | |||
WELLS FARGO BANK NA | 3/12/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 3/10/2020 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 3/9/2021 | — | (15 | ) | (15 | ) | ||||
WELLS FARGO BANK NA | 3/19/2019 | (2 | ) | (28 | ) | (28 | ) | |||
WELLS FARGO BANK NA | 3/19/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 3/17/2020 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 3/16/2021 | — | (9 | ) | (9 | ) | ||||
WELLS FARGO BANK NA | 3/26/2019 | (3 | ) | (94 | ) | (94 | ) | |||
WELLS FARGO BANK NA | 3/26/2019 | — | (1 | ) | (1 | ) | ||||
WELLS FARGO BANK NA | 3/24/2020 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 4/9/2019 | (2 | ) | (73 | ) | (73 | ) | |||
WELLS FARGO BANK NA | 4/9/2019 | — | (1 | ) | (1 | ) | ||||
WELLS FARGO BANK NA | 4/7/2020 | — | (27 | ) | (27 | ) | ||||
WELLS FARGO BANK NA | 4/6/2021 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 4/23/2019 | (2 | ) | (101 | ) | (101 | ) | |||
WELLS FARGO BANK NA | 4/23/2019 | — | (1 | ) | (1 | ) | ||||
WELLS FARGO BANK NA | 4/21/2020 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 4/20/2021 | — | (12 | ) | (12 | ) | ||||
WELLS FARGO BANK NA | 5/7/2019 | (2 | ) | (75 | ) | (75 | ) | |||
WELLS FARGO BANK NA | 5/7/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 5/5/2020 | — | (8 | ) | (8 | ) | ||||
WELLS FARGO BANK NA | 5/4/2021 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 5/14/2019 | (2 | ) | (54 | ) | (54 | ) | |||
WELLS FARGO BANK NA | 5/14/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 5/12/2020 | — | (14 | ) | (14 | ) | ||||
WELLS FARGO BANK NA | 5/11/2021 | — | (9 | ) | (9 | ) | ||||
WELLS FARGO BANK NA | 5/21/2019 | (2 | ) | (50 | ) | (50 | ) | |||
WELLS FARGO BANK NA | 5/21/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 5/19/2020 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 5/28/2019 | (2 | ) | (71 | ) | (71 | ) | |||
WELLS FARGO BANK NA | 5/28/2019 | — | (1 | ) | (1 | ) | ||||
WELLS FARGO BANK NA | 5/26/2020 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 5/25/2021 | — | (9 | ) | (9 | ) | ||||
WELLS FARGO BANK NA | 6/4/2019 | (2 | ) | (49 | ) | (49 | ) | |||
WELLS FARGO BANK NA | 6/4/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 6/1/2021 | — | (8 | ) | (8 | ) | ||||
WELLS FARGO BANK NA | 6/11/2019 | (3 | ) | (40 | ) | (40 | ) | |||
WELLS FARGO BANK NA | 6/11/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 6/9/2020 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 6/8/2021 | — | (6 | ) | (6 | ) | ||||
WELLS FARGO BANK NA | 6/18/2019 | (2 | ) | (45 | ) | (45 | ) |
WELLS FARGO BANK NA | 6/18/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 6/16/2020 | — | (6 | ) | (6 | ) | ||||
WELLS FARGO BANK NA | 6/15/2021 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 6/25/2019 | (2 | ) | (75 | ) | (75 | ) | |||
WELLS FARGO BANK NA | 6/25/2019 | — | (1 | ) | (1 | ) | ||||
WELLS FARGO BANK NA | 6/23/2020 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 6/22/2021 | — | (8 | ) | (8 | ) | ||||
WELLS FARGO BANK NA | 7/2/2019 | (2 | ) | (82 | ) | (82 | ) | |||
WELLS FARGO BANK NA | 7/2/2019 | — | (1 | ) | (1 | ) | ||||
WELLS FARGO BANK NA | 6/30/2020 | — | (7 | ) | (7 | ) | ||||
WELLS FARGO BANK NA | 6/29/2021 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 7/9/2019 | (2 | ) | (44 | ) | (44 | ) | |||
WELLS FARGO BANK NA | 7/9/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 7/7/2020 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 7/6/2021 | — | (6 | ) | (6 | ) | ||||
WELLS FARGO BANK NA | 7/16/2019 | (2 | ) | (40 | ) | (40 | ) | |||
WELLS FARGO BANK NA | 7/16/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 7/14/2020 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 7/13/2021 | — | (12 | ) | (12 | ) | ||||
WELLS FARGO BANK NA | 7/23/2019 | (2 | ) | (39 | ) | (39 | ) | |||
WELLS FARGO BANK NA | 7/23/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 7/21/2020 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 7/20/2021 | — | (6 | ) | (6 | ) | ||||
WELLS FARGO BANK NA | 7/30/2019 | (2 | ) | (47 | ) | (47 | ) | |||
WELLS FARGO BANK NA | 7/30/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 7/28/2020 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 7/27/2021 | — | (6 | ) | (6 | ) | ||||
WELLS FARGO BANK NA | 8/27/2019 | (2 | ) | (22 | ) | (22 | ) | |||
WELLS FARGO BANK NA | 8/27/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 8/24/2021 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 9/3/2019 | (2 | ) | (27 | ) | (27 | ) | |||
WELLS FARGO BANK NA | 9/3/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 9/1/2020 | — | (4 | ) | (4 | ) | ||||
WELLS FARGO BANK NA | 8/31/2021 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 9/10/2019 | (2 | ) | (31 | ) | (31 | ) | |||
WELLS FARGO BANK NA | 9/10/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 9/8/2020 | — | (4 | ) | (4 | ) | ||||
WELLS FARGO BANK NA | 9/7/2021 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 9/17/2019 | (2 | ) | (24 | ) | (24 | ) | |||
WELLS FARGO BANK NA | 9/17/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 9/15/2020 | — | (8 | ) | (8 | ) | ||||
WELLS FARGO BANK NA | 9/14/2021 | — | (15 | ) | (15 | ) | ||||
WELLS FARGO BANK NA | 9/24/2019 | (2 | ) | (22 | ) | (22 | ) | |||
WELLS FARGO BANK NA | 9/24/2019 | — | — | — |
WELLS FARGO BANK NA | 9/22/2020 | — | (4 | ) | (4 | ) | ||||
WELLS FARGO BANK NA | 9/21/2021 | — | (10 | ) | (10 | ) | ||||
WELLS FARGO BANK NA | 10/8/2019 | (2 | ) | (39 | ) | (39 | ) | |||
WELLS FARGO BANK NA | 10/8/2019 | — | — | — | ||||||
WELLS FARGO BANK NA | 10/6/2020 | — | (5 | ) | (5 | ) | ||||
WELLS FARGO BANK NA | 10/5/2021 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 10/15/2019 | (2 | ) | (75 | ) | (75 | ) | |||
WELLS FARGO BANK NA | 10/15/2019 | — | (1 | ) | (1 | ) | ||||
WELLS FARGO BANK NA | 10/13/2020 | — | (13 | ) | (13 | ) | ||||
WELLS FARGO BANK NA | 10/12/2021 | — | (14 | ) | (14 | ) | ||||
WELLS FARGO BANK NA | 10/22/2019 | (2 | ) | (99 | ) | (99 | ) | |||
WELLS FARGO BANK NA | 10/22/2019 | — | (2 | ) | (2 | ) | ||||
WELLS FARGO BANK NA | 10/20/2020 | — | (16 | ) | (16 | ) | ||||
WELLS FARGO BANK NA | 10/19/2021 | — | (17 | ) | (17 | ) | ||||
WELLS FARGO BANK NA | 11/12/2019 | (2 | ) | (130 | ) | (130 | ) | |||
WELLS FARGO BANK NA | 11/12/2019 | — | (2 | ) | (2 | ) | ||||
WELLS FARGO BANK NA | 11/10/2020 | — | (9 | ) | (9 | ) | ||||
WELLS FARGO BANK NA | 11/9/2021 | — | (19 | ) | (19 | ) | ||||
WELLS FARGO BANK NA | 11/19/2019 | (2 | ) | (191 | ) | (191 | ) | |||
WELLS FARGO BANK NA | 11/19/2019 | — | (4 | ) | (4 | ) | ||||
WELLS FARGO BANK NA | 11/17/2020 | — | (24 | ) | (24 | ) | ||||
WELLS FARGO BANK NA | 11/16/2021 | — | (24 | ) | (24 | ) | ||||
WELLS FARGO BANK NA | 11/26/2019 | (2 | ) | (141 | ) | (141 | ) | |||
WELLS FARGO BANK NA | 11/23/2021 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 12/3/2019 | (2 | ) | (124 | ) | (124 | ) | |||
WELLS FARGO BANK NA | 12/3/2019 | — | (2 | ) | (2 | ) | ||||
WELLS FARGO BANK NA | 12/1/2020 | — | (9 | ) | (9 | ) | ||||
WELLS FARGO BANK NA | 11/30/2021 | — | (9 | ) | (9 | ) | ||||
WELLS FARGO BANK NA | 12/10/2019 | (2 | ) | (213 | ) | (213 | ) | |||
WELLS FARGO BANK NA | 12/10/2019 | — | (3 | ) | (3 | ) | ||||
WELLS FARGO BANK NA | 12/8/2020 | — | (11 | ) | (11 | ) | ||||
WELLS FARGO BANK NA | 12/7/2021 | — | (22 | ) | (22 | ) | ||||
WELLS FARGO BANK NA | 12/24/2019 | (2 | ) | (524 | ) | (524 | ) | |||
WELLS FARGO BANK NA | 12/22/2020 | — | (49 | ) | (49 | ) | ||||
WELLS FARGO BANK NA | 12/21/2021 | — | (67 | ) | (67 | ) | ||||
WELLS FARGO BANK NA | 12/21/2021 | — | (13 | ) | (13 | ) | ||||
TOTAL WRITTEN OPTIONS | (8,209 | ) | (8,209 | ) |
FUTURES | ||||||||||||
S&P 500 MINI FUTURES | 3/1/2019 | — | 6 | 6 | ||||||||
TOTAL FUTURES | 6 | 6 | ||||||||||
TOTAL DERIVATIVES - NET | 4,970 | 4,970 | ||||||||||
TOTAL INVESTMENTS IN CASH EQUIVALENTS, FIXED MATURITIES, EQUITY SECURITIES, SYNDICATED LOANS AND DERIVATIVES | $ | 8,295,301 | $ | 8,248,510 |
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: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
121047377 | Cookeville City | TN | 1 | $ | — | $ | 296 | $ | 296 | $ | — | $ | — | $ | 1 | 3.500 | % | ||||||||||||||||||||||||||||||||||||||||||
121087371 | Bulverde | TX | 1 | — | 213 | 213 | — | — | 1 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
Over $500: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
121047210 | West Haven City | CT | 1 | — | 3,935 | 3,935 | — | — | 12 | 3.600 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047262 | Fargo | ND | 1 | — | 2,640 | 2,640 | — | — | 12 | 5.440 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047343 | Durham City | NC | 1 | — | 1,090 | 1,090 | — | — | 3 | 3.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047347 | Lawrenceville | GA | 1 | — | 1,377 | 1,377 | — | — | 4 | 3.970 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047383 | Las Vegas | NV | 1 | — | 4,571 | 4,571 | — | — | 15 | 3.810 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047387 | Washington Terrace | UT | 1 | — | 2,131 | 2,131 | — | — | 5 | 3.020 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047392 | Philadelphia City | PA | 1 | — | 3,211 | 3,211 | — | — | 12 | 4.310 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047393 | Moore | SC | 1 | — | 1,093 | 1,093 | — | — | 4 | 4.130 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047398 | Springfield | IL | 1 | — | 854 | 854 | — | — | 3 | 4.390 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047400 | Pittsford | NY | 1 | — | 1,216 | 1,216 | — | — | 4 | 4.070 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047402 | Miami | FL | 1 | — | 1,406 | 1,406 | — | — | 4 | 3.750 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047406 | Kokomo | IN | 1 | — | 3,000 | 3,000 | — | — | 8 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047408 | Wyomissing | PA | 1 | — | 2,733 | 2,733 | — | — | 6 | 2.700 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047410 | Chicago | IL | 1 | — | 2,529 | 2,529 | — | — | 5 | 2.500 | |||||||||||||||||||||||||||||||||||||||||||||||||
121047412 | Columbus | IN | 1 | — | 1,628 | 1,628 | — | — | 5 | 3.370 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087245 | Southport | CT | 1 | — | 2,606 | 2,606 | — | — | 9 | 4.010 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087313 | Orchard Park | NY | 1 | — | 2,217 | 2,217 | — | — | 7 | 4.050 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087327 | Marietta City | GA | 1 | — | 2,084 | 2,084 | — | — | 7 | 3.820 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087349 | Carlsbad | CA | 1 | — | 2,083 | 2,083 | — | — | 5 | 3.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087358 | Philadelphia City | PA | 1 | — | 3,411 | 3,411 | — | — | 10 | 3.450 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087361 | Oswego | OR | 1 | — | 3,866 | 3,866 | — | — | 14 | 4.260 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087362 | Atlanta | GA | 1 | — | 3,226 | 3,226 | — | — | 11 | 3.960 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087375 | Florence City | KY | 1 | — | 625 | 625 | — | — | 2 | 3.040 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087376 | Sterling Heights | MI | 1 | — | 1,105 | 1,105 | — | — | 3 | 3.620 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087378 | Pittsburgh | PA | 1 | — | 1,852 | 1,852 | — | — | 6 | 3.690 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087379 | Euless | TX | 1 | — | 1,285 | 1,285 | — | — | 4 | 3.700 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087381 | San Diego | CA | 1 | — | 2,448 | 2,448 | — | — | 6 | 3.130 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087382 | San Diego | CA | 1 | — | 2,272 | 2,272 | — | — | 6 | 3.090 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087384 | Culver City | CA | 1 | — | 2,671 | 2,671 | — | — | 7 | 3.170 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087388 | Riverside | CA | 1 | — | 1,081 | 1,081 | — | — | 3 | 3.270 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087389 | Palmdale | CA | 1 | — | 1,460 | 1,460 | — | — | 4 | 3.270 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087394 | Richmond | TX | 1 | — | 2,570 | 2,570 | — | — | 9 | 4.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087395 | San Francisco | CA | 1 | — | 4,179 | 4,179 | — | — | 14 | 4.180 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087396 | Seattle | WA | 1 | — | 5,000 | 5,000 | — | — | 17 | 4.000 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087397 | Nashville | TN | 1 | — | 1,318 | 1,318 | — | — | 5 | 4.350 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087403 | Houston | TX | 1 | — | 4,223 | 4,223 | — | — | 12 | 3.470 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087404 | Blaine | MN | 1 | — | 1,575 | 1,575 | — | — | 4 | 3.320 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087405 | Monroe | WA | 1 | — | 4,062 | 4,062 | — | — | 11 | 3.390 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087407 | Victorville | CA | 1 | — | 1,811 | 1,811 | — | — | 4 | 2.960 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087409 | Pompano Beach | FL | 1 | — | 1,727 | 1,727 | — | — | 4 | 2.740 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087411 | Syracyse Utah | UT | 1 | — | 2,434 | 2,434 | — | — | 5 | 2.520 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087414 | Fountain Valley | CA | 1 | — | 5,500 | 5,500 | — | — | 23 | 5.100 |
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 | $ | — | $ | 469 | $ | 469 | $ | — | $ | — | $ | — | 3.310 | % | ||||||||||||||||
121087347 | Lawrenceville | GA | 1 | — | 263 | 263 | — | — | 1 | 4.650 | |||||||||||||||||||||||
121087351 | Gardena | CA | 1 | — | 398 | 398 | — | — | 1 | 4.450 | |||||||||||||||||||||||
121087353 | Beaverton | OR | 1 | — | 190 | 190 | — | — | 1 | 4.450 | |||||||||||||||||||||||
121087355 | Oregon City | OR | 1 | — | 325 | 325 | — | — | 1 | 3.460 | |||||||||||||||||||||||
121087359 | Apex | NC | 1 | — | 319 | 319 | — | — | 1 | 3.520 | |||||||||||||||||||||||
121087370 | La Jolla | CA | 1 | — | 432 | 432 | — | — | 1 | 3.260 | |||||||||||||||||||||||
Over $500: | |||||||||||||||||||||||||||||||||
121047210 | West Haven | CT | 1 | — | 4,343 | 4,343 | — | — | 13 | 3.600 | |||||||||||||||||||||||
121047262 | Fargo | ND | 1 | — | 4,535 | 4,535 | — | — | 21 | 5.440 | |||||||||||||||||||||||
121047343 | Durham | NC | 1 | — | 1,218 | 1,218 | — | — | 5 | 4.500 | |||||||||||||||||||||||
121047364 | Kansas City | KS | 1 | — | 990 | 990 | — | — | 3 | 3.420 | |||||||||||||||||||||||
121047377 | Cookeville | TN | 1 | — | 1,123 | 1,123 | — | — | 3 | 3.500 | |||||||||||||||||||||||
121047383 | Las Vegas | NV | 1 | — | 2,633 | 2,633 | — | — | 7 | 3.340 | |||||||||||||||||||||||
121047385 | Cicero | IL | 1 | — | 3,115 | 3,115 | — | — | 10 | 3.850 | |||||||||||||||||||||||
121047387 | Washington Terrace | UT | 1 | — | 2,214 | 2,214 | — | — | 7 | 3.730 | |||||||||||||||||||||||
121047392 | Philadelphia | PA | 1 | — | 3,406 | 3,406 | — | — | 12 | 4.310 | |||||||||||||||||||||||
121047393 | Moore | SC | 1 | — | 1,716 | 1,716 | — | — | 6 | 4.130 | |||||||||||||||||||||||
121047398 | Springfield | IL | 1 | — | 1,183 | 1,183 | — | — | 4 | 4.390 | |||||||||||||||||||||||
121047399 | Colorado Springs | CO | 1 | — | 4,448 | 4,448 | — | — | 15 | 4.010 | |||||||||||||||||||||||
121047400 | Pittsford | NY | 1 | — | 1,679 | 1,679 | — | — | 6 | 4.070 | |||||||||||||||||||||||
121047402 | Miami | FL | 1 | — | 1,493 | 1,493 | — | — | 5 | 3.750 | |||||||||||||||||||||||
121087245 | Southport | CT | 1 | — | 2,849 | 2,849 | — | — | 10 | 4.010 | |||||||||||||||||||||||
121087290 | Doraville | GA | 1 | — | 599 | 599 | — | — | 3 | 5.770 | |||||||||||||||||||||||
121087313 | Orchard Park | NY | 1 | — | 2,571 | 2,571 | — | — | 9 | 4.050 | |||||||||||||||||||||||
121087327 | Marietta | GA | 1 | — | 2,281 | 2,281 | — | — | 7 | 3.820 | |||||||||||||||||||||||
121087344 | Norcross | GA | 1 | — | 1,466 | 1,466 | — | — | 4 | 3.380 | |||||||||||||||||||||||
121087345 | Henderson | NV | 1 | — | 3,792 | 3,792 | — | — | 14 | 4.500 | |||||||||||||||||||||||
121087349 | Carlsbad | CA | 1 | — | 1,641 | 1,641 | — | — | 4 | 3.130 | |||||||||||||||||||||||
121087358 | Philadelphia | PA | 1 | — | 3,773 | 3,773 | — | — | 11 | 3.450 | |||||||||||||||||||||||
121087360 | Sun City Center | FL | 1 | — | 3,934 | 3,934 | — | — | 11 | 3.300 | |||||||||||||||||||||||
121087361 | Oswego | OR | 1 | — | 4,673 | 4,673 | — | — | 17 | 4.260 | |||||||||||||||||||||||
121087362 | Atlanta | GA | 1 | — | 2,289 | 2,289 | — | — | 7 | 3.810 | |||||||||||||||||||||||
121087365 | Fairfax | VA | 1 | — | 1,966 | 1,966 | — | — | 7 | 4.450 | |||||||||||||||||||||||
121087369 | Acworth | GA | 1 | — | 1,291 | 1,291 | — | — | 4 | 3.550 | |||||||||||||||||||||||
121087371 | Bulverde | TX | 1 | — | 708 | 708 | — | — | 2 | 3.000 | |||||||||||||||||||||||
121087372 | Brea | CA | 1 | — | 2,880 | 2,880 | — | — | 7 | 2.940 | |||||||||||||||||||||||
121087375 | Florence | KY | 1 | — | 1,292 | 1,292 | — | — | 3 | 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) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Other | 44 | — | 102,614 | 102,614 | — | — | 316 | 3.692 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Unallocated Reserve for Losses | 451 | 451 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total First Mortgage Loans on Real Estate | 44 | $ | — | $ | 102,163 | $ | 102,163 | $ | — | $ | — | $ | 316 | 3.692 | % |
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 | $ | — | $ | 23,505 | $ | 23,505 | $ | — | $ | — | |||||||||||||||||||||||||||||
Connecticut | CT | 2 | — | 6,541 | 6,541 | — | — | ||||||||||||||||||||||||||||||||||
Florida | FL | 2 | — | 3,133 | 3,133 | — | — | ||||||||||||||||||||||||||||||||||
Georgia | GA | 3 | — | 6,687 | 6,687 | — | — | ||||||||||||||||||||||||||||||||||
Illinois | IL | 2 | — | 3,383 | 3,383 | — | — | ||||||||||||||||||||||||||||||||||
Indiana | IN | 2 | 4,628 | 4,628 | |||||||||||||||||||||||||||||||||||||
Kentucky | KY | 1 | — | 625 | 625 | — | — | ||||||||||||||||||||||||||||||||||
Michigan | MI | 1 | — | 1,105 | 1,105 | — | — | ||||||||||||||||||||||||||||||||||
Minnesota | MN | 1 | — | 1,575 | 1,575 | — | — | ||||||||||||||||||||||||||||||||||
North Carolina | NC | 1 | — | 1,090 | 1,090 | — | — | ||||||||||||||||||||||||||||||||||
North Dakota | ND | 1 | — | 2,640 | 2,640 | — | — | ||||||||||||||||||||||||||||||||||
Nevada | NV | 1 | — | 4,571 | 4,571 | — | — | ||||||||||||||||||||||||||||||||||
New York | NY | 2 | — | 3,433 | 3,433 | — | — | ||||||||||||||||||||||||||||||||||
Oregon | OR | 1 | — | 3,866 | 3,866 | — | — | ||||||||||||||||||||||||||||||||||
Pennsylvania | PA | 4 | — | 11,207 | 11,207 | — | — | ||||||||||||||||||||||||||||||||||
South Carolina | SC | 1 | — | 1,093 | 1,093 | — | — | ||||||||||||||||||||||||||||||||||
Tennessee | TN | 2 | — | 1,614 | 1,614 | — | — | ||||||||||||||||||||||||||||||||||
Texas | TX | 4 | — | 8,291 | 8,291 | — | — | ||||||||||||||||||||||||||||||||||
Utah | UT | 2 | — | 4,565 | 4,565 | — | — | ||||||||||||||||||||||||||||||||||
Washington | WA | 2 | — | 9,062 | 9,062 | — | — | ||||||||||||||||||||||||||||||||||
Total | 44 | — | 102,614 | 102,614 | — | — | |||||||||||||||||||||||||||||||||||
Unallocated Reserve for Losses | 451 | 451 | |||||||||||||||||||||||||||||||||||||||
Total | 44 | $ | — | $ | 102,163 | $ | 102,163 | $ | — | $ | — |
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 | |||||||||||||||||||||||||||||||||||||||||||||||||
121087396 | Seattle | WA | 1 | — | 4,758 | 4,758 | — | — | 17 | 4.410 |
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 | — | 2,126 | 2,126 | — | — | 6 | 3.620 | |||||||||||||||||||||||
121087378 | Pittsburgh | PA | 1 | — | 2,398 | 2,398 | — | — | 7 | 3.690 | |||||||||||||||||||||||
121087379 | Euless | TX | 1 | — | 1,425 | 1,425 | — | — | 4 | 3.700 | |||||||||||||||||||||||
121087381 | San Diego | CA | 1 | — | 3,767 | 3,767 | — | — | 10 | 3.130 | |||||||||||||||||||||||
121087382 | San Diego | CA | 1 | — | 3,736 | 3,736 | — | — | 10 | 3.090 | |||||||||||||||||||||||
121087384 | Culver City | CA | 1 | — | 2,860 | 2,860 | — | — | 9 | 3.840 | |||||||||||||||||||||||
121087386 | Bellingham | WA | 1 | — | 5,095 | 5,095 | — | — | 15 | 3.570 | |||||||||||||||||||||||
121087388 | Riverside | CA | 1 | — | 1,651 | 1,651 | — | — | 4 | 3.270 | |||||||||||||||||||||||
121087389 | Palmdale | CA | 1 | — | 2,228 | 2,228 | — | — | 6 | 3.270 | |||||||||||||||||||||||
121087390 | Freehold Township | NJ | 1 | — | 1,668 | 1,668 | — | — | 5 | 3.450 | |||||||||||||||||||||||
121087394 | Richmond | TX | 1 | — | 3,772 | 3,772 | — | — | 13 | 4.000 | |||||||||||||||||||||||
121087395 | San Francisco | CA | 1 | — | 4,534 | 4,534 | — | — | 16 | 4.180 | |||||||||||||||||||||||
121087396 | Seattle | WA | 1 | — | 4,932 | 4,932 | — | — | 18 | 4.410 | |||||||||||||||||||||||
121087397 | Nashville | TN | 1 | — | 1,851 | 1,851 | — | — | 7 | 4.350 | |||||||||||||||||||||||
121087401 | Southlake | TX | 1 | — | 2,381 | 2,381 | — | — | 8 | 4.030 | |||||||||||||||||||||||
121087403 | Houston | TX | 1 | — | 4,590 | 4,590 | — | — | 13 | 3.470 | |||||||||||||||||||||||
121087404 | Blaine | MN | 1 | — | 1,870 | 1,870 | — | — | — | 3.320 | |||||||||||||||||||||||
Total Other | 54 | — | 125,381 | 125,381 | — | — | 394 | 3.832 | |||||||||||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||||||||||||
Total First Mortgage Loans on Real Estate | 54 | $ | — | $ | 123,040 | $ | 125,381 | $ | — | $ | — | $ | 394 | 3.832 | % |
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) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
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 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 | $ | — | $ | 24,127 | $ | 24,127 | $ | — | $ | — | |||||||||||
Colorado | CO | 1 | — | 4,448 | 4,448 | — | — | ||||||||||||||||
Connecticut | CT | 2 | — | 7,192 | 7,192 | — | — | ||||||||||||||||
Florida | FL | 2 | — | 5,427 | 5,427 | — | — | ||||||||||||||||
Georgia | GA | 6 | — | 8,189 | 8,189 | — | — | ||||||||||||||||
Illinois | IL | 2 | — | 4,298 | 4,298 | — | — | ||||||||||||||||
Kansas | KS | 1 | — | 990 | 990 | — | — | ||||||||||||||||
Kentucky | KY | 1 | — | 1,292 | 1,292 | — | — | ||||||||||||||||
Michigan | MI | 1 | — | 2,126 | 2,126 | — | — | ||||||||||||||||
Minnesota | MN | 1 | — | 1,870 | 1,870 | — | — | ||||||||||||||||
North Carolina | NC | 2 | — | 1,537 | 1,537 | — | — | ||||||||||||||||
North Dakota | ND | 1 | — | 4,535 | 4,535 | — | — | ||||||||||||||||
New Jersey | NJ | 1 | — | 1,668 | 1,668 | — | — | ||||||||||||||||
Nevada | NV | 2 | — | 6,425 | 6,425 | — | — | ||||||||||||||||
New York | NY | 2 | — | 4,250 | 4,250 | — | — | ||||||||||||||||
Oregon | OR | 3 | — | 5,188 | 5,188 | — | — | ||||||||||||||||
Pennsylvania | PA | 3 | — | 9,577 | 9,577 | — | — | ||||||||||||||||
South Carolina | SC | 1 | — | 1,716 | 1,716 | — | — | ||||||||||||||||
Tennessee | TN | 2 | — | 2,974 | 2,974 | — | — | ||||||||||||||||
Texas | TX | 5 | — | 12,876 | 12,876 | — | — | ||||||||||||||||
Utah | UT | 2 | — | 2,683 | 2,683 | — | — | ||||||||||||||||
Virginia | VA | 1 | — | 1,966 | 1,966 | — | — | ||||||||||||||||
Washington | WA | 2 | — | 10,027 | 10,027 | — | — | ||||||||||||||||
Total | 54 | — | 125,381 | 125,381 | — | — | |||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||
Total | 54 | $ | — | $ | 123,040 | $ | 125,381 | $ | — | $ | — | ||||||||||||
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 as of December 31, 2019 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: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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: | |||||||||||||||||||||||||||||||||
121087353 | Beaverton | OR | 1 | $ | — | $ | 302 | $ | 302 | $ | — | $ | — | $ | 1 | 4.450 | % | ||||||||||||||||
121087359 | Apex | NC | 1 | — | 448 | 448 | — | — | 1 | 3.520 | |||||||||||||||||||||||
Over $500: | |||||||||||||||||||||||||||||||||
121047210 | West Haven | CT | 1 | — | 4,470 | 4,470 | — | — | 13 | 3.600 | |||||||||||||||||||||||
121047262 | Fargo | ND | 1 | — | 5,102 | 5,102 | — | — | 23 | 5.440 | |||||||||||||||||||||||
121047343 | Durham | NC | 1 | — | 1,334 | 1,334 | — | — | 5 | 4.500 | |||||||||||||||||||||||
121047364 | Kansas City | KS | 1 | — | 1,030 | 1,030 | — | — | 3 | 3.420 | |||||||||||||||||||||||
121047366 | Murray | UT | 1 | — | 616 | 616 | — | — | — | 3.310 | |||||||||||||||||||||||
121047377 | Cookeville | TN | 1 | — | 1,380 | 1,380 | — | — | 4 | 3.500 | |||||||||||||||||||||||
121047383 | Las Vegas | NV | 1 | — | 2,712 | 2,712 | — | — | 8 | 3.340 | |||||||||||||||||||||||
121047385 | Cicero | IL | 1 | — | 3,199 | 3,199 | — | — | 10 | 3.850 | |||||||||||||||||||||||
121047387 | Washington Terrace | UT | 1 | — | 2,258 | 2,258 | — | — | 7 | 3.730 | |||||||||||||||||||||||
121047388 | Riverside | CA | 1 | — | 1,828 | 1,828 | — | — | 5 | 3.270 | |||||||||||||||||||||||
121047389 | Palmdale | CA | 1 | — | 2,468 | 2,468 | — | — | 7 | 3.270 | |||||||||||||||||||||||
121047392 | Philadelphia | PA | 1 | — | 3,466 | 3,466 | — | — | 12 | 4.310 | |||||||||||||||||||||||
121047393 | Moore | SC | 1 | — | 1,907 | 1,907 | — | — | 7 | 4.130 | |||||||||||||||||||||||
121087245 | Southport | CT | 1 | — | 2,923 | 2,923 | — | — | 10 | 4.010 | |||||||||||||||||||||||
121087290 | Doraville | GA | 1 | — | 809 | 809 | — | — | 4 | 5.770 | |||||||||||||||||||||||
121087313 | Orchard Park | NY | 1 | — | 2,680 | 2,680 | — | — | 9 | 4.050 | |||||||||||||||||||||||
121087327 | Marietta | GA | 1 | — | 2,341 | 2,341 | — | — | 7 | 3.820 | |||||||||||||||||||||||
121087344 | Norcross | GA | 1 | — | 1,539 | 1,539 | — | — | 4 | 3.380 | |||||||||||||||||||||||
121087345 | Henderson | NV | 1 | — | 4,208 | 4,208 | — | — | 16 | 4.500 | |||||||||||||||||||||||
121087347 | Lawrenceville | GA | 1 | — | 502 | 502 | — | — | 2 | 4.650 | |||||||||||||||||||||||
121087349 | Carlsbad | CA | 1 | — | 1,716 | 1,716 | — | — | 4 | 3.130 | |||||||||||||||||||||||
121087351 | Gardena | CA | 1 | — | 623 | 623 | — | — | 2 | 4.450 | |||||||||||||||||||||||
121087355 | Oregon City | OR | 1 | — | 594 | 594 | — | — | 2 | 3.460 | |||||||||||||||||||||||
121087358 | Philadelphia | PA | 1 | — | 3,886 | 3,886 | — | — | 11 | 3.450 | |||||||||||||||||||||||
121087360 | Sun City Center | FL | 1 | — | 4,023 | 4,023 | — | — | 11 | 3.300 | |||||||||||||||||||||||
121087361 | Oswego | OR | 1 | — | 4,920 | 4,920 | — | — | 17 | 4.260 | |||||||||||||||||||||||
121087362 | Atlanta | GA | 1 | — | 2,379 | 2,379 | — | — | 8 | 3.810 | |||||||||||||||||||||||
121087365 | Fairfax | VA | 1 | — | 2,017 | 2,017 | — | — | 8 | 4.450 | |||||||||||||||||||||||
121087369 | Acworth | GA | 1 | — | 1,366 | 1,366 | — | — | 4 | 3.550 | |||||||||||||||||||||||
121087370 | La Jolla | CA | 1 | — | 607 | 607 | — | — | 2 | 3.260 | |||||||||||||||||||||||
121087371 | Bulverde | TX | 1 | — | 884 | 884 | — | — | 2 | 3.000 | |||||||||||||||||||||||
121087372 | Brea | CA | 1 | — | 2,955 | 2,955 | — | — | 7 | 2.940 | |||||||||||||||||||||||
121087373 | Dekalb | GA | 1 | — | 993 | 993 | — | — | 3 | 3.220 | |||||||||||||||||||||||
121087374 | Fort Payne | AL | 1 | — | 1,372 | 1,372 | — | — | 4 | 3.210 | |||||||||||||||||||||||
121087375 | Florence | KY | 1 | — | 1,501 | 1,501 | — | — | 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) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
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 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 | — | 2,443 | 2,443 | — | — | 7 | 3.620 | |||||||||||||||||||||||
121087378 | Pittsburgh | PA | 1 | — | 2,566 | 2,566 | — | — | 8 | 3.690 | |||||||||||||||||||||||
121087379 | Euless | TX | 1 | — | 1,468 | 1,468 | — | — | 5 | 3.700 | |||||||||||||||||||||||
121087380 | Virginia Beach | VA | 1 | — | 1,821 | 1,821 | — | — | 5 | 3.400 | |||||||||||||||||||||||
121087381 | San Diego | CA | 1 | — | 4,180 | 4,180 | — | — | 11 | 3.130 | |||||||||||||||||||||||
121087382 | San Diego | CA | 1 | — | 4,195 | 4,195 | — | — | 11 | 3.090 | |||||||||||||||||||||||
121087384 | Culver City | CA | 1 | — | 2,918 | 2,918 | — | — | 9 | 3.840 | |||||||||||||||||||||||
121087386 | Bellingham | WA | 1 | — | 5,199 | 5,199 | — | — | 16 | 3.570 | |||||||||||||||||||||||
121087390 | Freehold Township | NJ | 1 | — | 1,844 | 1,844 | — | — | 5 | 3.450 | |||||||||||||||||||||||
121087394 | Richmond | TX | 1 | — | 4,141 | 4,141 | — | — | 14 | 4.000 | |||||||||||||||||||||||
121087395 | San Francisco | CA | 1 | — | 4,642 | 4,642 | — | — | 16 | 4.180 | |||||||||||||||||||||||
121087397 | Nashville | TN | 1 | — | 2,000 | 2,000 | — | — | — | 4.350 | |||||||||||||||||||||||
Total Other | 49 | — | 114,775 | 114,775 | — | — | 354 | 3.794 | |||||||||||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||||||||||||
Total First Mortgage Loans on Real Estate | 49 | $ | — | $ | 112,434 | $ | 114,775 | $ | — | $ | — | $ | 354 | 3.794 | % |
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 | $ | — | $ | 1,372 | $ | 1,372 | $ | — | $ | — | |||||||||||
California | CA | 10 | — | 26,132 | 26,132 | — | — | ||||||||||||||||
Connecticut | CT | 2 | — | 7,393 | 7,393 | — | — | ||||||||||||||||
Florida | FL | 1 | — | 4,023 | 4,023 | — | — | ||||||||||||||||
Georgia | GA | 7 | — | 9,929 | 9,929 | — | — | ||||||||||||||||
Illinois | IL | 1 | — | 3,199 | 3,199 | — | — | ||||||||||||||||
Kansas | KS | 1 | — | 1,030 | 1,030 | — | — | ||||||||||||||||
Kentucky | KY | 1 | — | 1,501 | 1,501 | — | — | ||||||||||||||||
Michigan | MI | 1 | — | 2,443 | 2,443 | — | — | ||||||||||||||||
North Carolina | NC | 2 | — | 1,782 | 1,782 | — | — | ||||||||||||||||
North Dakota | ND | 1 | — | 5,102 | 5,102 | — | — | ||||||||||||||||
New Jersey | NJ | 1 | — | 1,844 | 1,844 | — | — | ||||||||||||||||
Nevada | NV | 2 | — | 6,920 | 6,920 | — | — | ||||||||||||||||
New York | NY | 1 | — | 2,680 | 2,680 | — | — | ||||||||||||||||
Oregon | OR | 3 | — | 5,816 | 5,816 | — | — | ||||||||||||||||
Pennsylvania | PA | 3 | — | 9,919 | 9,919 | — | — | ||||||||||||||||
South Carolina | SC | 1 | — | 1,907 | 1,907 | — | — | ||||||||||||||||
Tennessee | TN | 2 | — | 3,380 | 3,380 | — | — | ||||||||||||||||
Texas | TX | 3 | — | 6,493 | 6,493 | — | — | ||||||||||||||||
Utah | UT | 2 | — | 2,874 | 2,874 | — | — | ||||||||||||||||
Virginia | VA | 2 | — | 3,837 | 3,837 | — | — | ||||||||||||||||
Washington | WA | 1 | — | 5,199 | 5,199 | — | — | ||||||||||||||||
Total | 49 | — | 114,775 | 114,775 | — | — | |||||||||||||||||
Unallocated Reserve for Losses | 2,341 | ||||||||||||||||||||||
Total | 49 | $ | — | $ | 112,434 | $ | 114,775 | $ | — | $ | — | ||||||||||||
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 as of December 31, 2018 are shown by type and class of loan. |
2022 | 2021 | 2020 | |||||||||||||||
Combined average | 3.692 | % | 3.626 | % | 3.782 | % |
2019 | 2018 | 2017 | ||||||
Combined average | 3.832 | % | 3.794 | % | 3.683 | % |
2022 | 2021 | 2020 | |||||||||||||||
Balance at beginning of period | $ | 115,947 | $ | 122,319 | $ | 123,040 | |||||||||||
Additions during period: | |||||||||||||||||
Purchases and fundings | 10,743 | 13,937 | 7,962 | ||||||||||||||
Impact of of change in accounting policies | — | — | 1,608 | ||||||||||||||
Deductions during period: | |||||||||||||||||
Collections of principal | (24,569) | (20,747) | (10,096) | ||||||||||||||
Provision for credit loss | 42 | 438 | (195) | ||||||||||||||
Net additions (deductions) | (13,784) | (6,372) | (721) | ||||||||||||||
Balance at end of period | $ | 102,163 | $ | 115,947 | $ | 122,319 |
2019 | 2018 | 2017 | |||||||||
Balance at beginning of period | $ | 112,434 | $ | 107,644 | $ | 85,150 | |||||
Additions during period: | |||||||||||
Purchases and fundings | 22,870 | 19,321 | 30,086 | ||||||||
Deductions during period: | |||||||||||
Collections of principal | (12,264 | ) | (14,531 | ) | (7,592 | ) | |||||
Net additions (deductions) | 10,606 | 4,790 | 22,494 | ||||||||
Balance at end of period | $ | 123,040 | $ | 112,434 | $ | 107,644 |
Name of Depositary | December 31, 2022 | |||||||||||||||||||||||||||||||
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 | $ | 55 | $ | — | $ | — | $ | 55 | ||||||||||||||||||||||||
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 | 307 | — | — | 307 | ||||||||||||||||||||||||||||
Total State Deposits to meet requirements of statutes and agreements | 569 | — | — | 569 | ||||||||||||||||||||||||||||
Total Central Depository - Ameriprise Trust Company | 9,681,912 | 102,163 | 102,330 | 9,886,405 | ||||||||||||||||||||||||||||
Total Deposits | $ | 9,682,481 | $ | 102,163 | $ | 102,330 | 9,886,974 | |||||||||||||||||||||||||
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 less allowance for credit losses. |
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 |
Name of Depositary | December 31, 2019 | |||||||||||||||||||
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 | 157 | — | — | — | 157 | |||||||||||||||
Texas - Treasurer of the State of Texas | 112 | — | — | — | 112 | |||||||||||||||
Total State Deposits to meet requirements of statutes and agreements | 371 | — | — | — | 371 | |||||||||||||||
Total Central Depository - Ameriprise Trust Company | 7,728,310 | 188 | 123,040 | 146,819 | 7,998,357 | |||||||||||||||
Total Deposits | $ | 7,728,681 | $ | 188 | $ | 123,040 | $ | 146,819 | $ | 7,998,728 | ||||||||||
NOTES: (a) Represents amortized cost of bonds, notes and cash equivalents. (b) Represents fair value of equity securities. (c) Represents unpaid principal balance of mortgage loans less unamortized discounts and reserve for losses. (d) Represents cost of syndicated loans. |
Name of Depositary | December 31, 2018 | |||||||||||||||||||
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 | 158 | — | — | — | 158 | |||||||||||||||
Texas - Treasurer of the State of Texas | 142 | — | — | — | 142 | |||||||||||||||
Total State Deposits to meet requirements of statutes and agreements | 402 | — | — | — | 402 | |||||||||||||||
Total Central Depository - Ameriprise Trust Company | 8,141,886 | 466 | 112,434 | 48,814 | 8,303,600 | |||||||||||||||
Total Deposits | $ | 8,142,288 | $ | 466 | $ | 112,434 | $ | 48,814 | $ | 8,304,002 | ||||||||||
NOTES: (a) Represents amortized cost of bonds, notes and cash equivalents. (b) Represents fair value of equity securities. (c) Represents unpaid principal balance of mortgage loans less unamortized discounts and reserve for losses. (d) Represents cost of syndicated loans and payables to brokers, dealers and clearing organizations. |
Description | December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 450 | $ | — | $ | 4,808 | $ | — | $ | 3,841 | $ | 85 | $ | (227) | $ | (1,768) | $ | — | 594 | $ | — | $ | 6,739 | |||||||||||||||||||||||||||||||
Inst-E | 2 | — | 82 | — | 43 | 1 | — | (85) | — | 6 | — | 41 | |||||||||||||||||||||||||||||||||||||||||
RP-Q-Installment | 1 | 6 | 5 | — | — | — | — | — | — | 1 | 6 | 5 | |||||||||||||||||||||||||||||||||||||||||
Inst-R | 139 | 18,871 | 796 | — | 567 | 15 | (143) | (105) | — | 145 | 54,593 | 1,130 | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | 1 | 2,052 | 421 | — | 57 | 7 | — | — | — | 4 | 2,451 | 485 | |||||||||||||||||||||||||||||||||||||||||
Total | 593 | 20,929 | 6,112 | — | 4,508 | 108 | (370) | (1,958) | — | 750 | 57,050 | 8,400 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 95 | — | — | — | — | (84) | — | — | 11 | |||||||||||||||||||||||||||||||||||||||||
Inst-E | — | — | — | 1 | — | — | — | — | (1) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Inst-R | — | — | — | 16 | — | — | — | — | (14) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
Inst-R-E | — | — | — | 7 | — | — | — | — | (7) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | 119 | — | — | — | — | (106) | — | — | 13 | |||||||||||||||||||||||||||||||||||||||||
Res for accrued 3rd year 213 - Installment Prod only | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total Installment Certificates | 593 | 20,929 | 6,112 | 119 | 4,508 | 108 | (370) | (1,958) | (106) | 750 | 57,050 | 8,413 | |||||||||||||||||||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Single - Payment certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 56,831 | 1,587,640 | 1,645,719 | — | 4,295,047 | 26,867 | (6,592) | (919,655) | — | 109,643 | 4,975,770 | 5,041,386 | |||||||||||||||||||||||||||||||||||||||||
IC - Stepup - 190 | 161 | 6,417 | 6,634 | — | 49 | 40 | — | (1,152) | — | 109 | 5,382 | 5,571 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variables PMT - 3mo. - 662 | 66,659 | 1,889,641 | 1,895,092 | — | 1,807,259 | 2,562 | (1,750) | (2,182,753) | — | 63,421 | 1,515,402 | 1,520,410 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock Market - 180 | 3,786 | 23,928 | 27,341 | — | 28 | 20 | (1,571) | (6,335) | — | 2,790 | 17,102 | 19,483 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC - 181 | 3,707 | 64,548 | 73,247 | — | 898 | 53 | (3,114) | (18,376) | — | 2,776 | 46,649 | 52,708 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | 6,666 | 53,566 | 55,496 | — | 7,845 | 40 | — | (19,704) | — | 5,249 | 42,309 | 43,677 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | 873 | 15,295 | 16,009 | — | 4,282 | 168 | — | (5,076) | — | 752 | 14,756 | 15,383 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | 1,881 | 28,247 | 29,349 | — | 5,099 | 1,665 | — | (10,620) | — | 1,557 | 24,091 | 25,493 | |||||||||||||||||||||||||||||||||||||||||
Total | 140,564 | 3,669,282 | 3,748,887 | — | 6,120,507 | 31,415 | (13,027) | (3,163,671) | — | 186,297 | 6,641,461 | 6,724,111 | |||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 133 | 33,801 | — | — | — | (454) | (26,870) | — | — | 6,610 | |||||||||||||||||||||||||||||||||||||||||
IC-Stepup -190 | — | — | 4 | 84 | — | — | — | (40) | (40) | — | — | 8 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 8 | 4,214 | — | — | — | (757) | (2,560) | — | — | 905 | |||||||||||||||||||||||||||||||||||||||||
IC-Stk Mkt, 2004/16/31-4000/16 | — | — | 2 | 4 | — | — | — | — | (2) | — | — | 4 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 3 | 12 | — | — | — | (1) | (5) | — | — | 9 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 5 | 4 | — | — | — | — | (6) | — | — | 3 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 50 | 12 | — | — | — | (1) | (51) | — | — | 10 | |||||||||||||||||||||||||||||||||||||||||
IC-MSC | — | — | (1) | 15 | — | — | — | — | (11) | — | — | 3 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 204 | 38,146 | — | — | — | (1,253) | (29,545) | — | — | 7,552 | |||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1) | — | — | — | — | — | — | — | — | (1) | |||||||||||||||||||||||||||||||||||||||||
IC-Stock | — | — | 76 | 9 | — | — | — | — | (18) | — | — | 67 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 104 | 76 | — | — | — | (2) | (34) | — | — | 144 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 209 | (11) | — | — | — | (1) | (162) | — | — | 35 | |||||||||||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 2,061 | (31) | — | — | — | — | (1,620) | — | — | 410 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||
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 |
Description | December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
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-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 110 | 60 | — | — | — | (1) | (42) | — | — | 127 | |||||||||||||||||||||||||||||||||||||||||
Total | — | — | 2,559 | 103 | — | — | — | (4) | (1,876) | — | — | 782 | |||||||||||||||||||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 140,564 | 3,669,282 | 3,751,650 | 38,249 | 6,120,507 | 31,415 | (13,027) | (3,164,928) | (31,421) | 186,297 | 6,641,461 | 6,732,445 | |||||||||||||||||||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 25 | — | — | 1 | — | — | — | 9 | 12 | 26 | ||||||||||||||||||||||||||||||||||||||||
R78 - 911 | 3.5 | 3 | 12 | 22 | — | — | 1 | — | — | — | 3 | 12 | 23 | ||||||||||||||||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 39 | 69 | — | — | 2 | — | — | — | 5 | 39 | 71 | ||||||||||||||||||||||||||||||||||||||||
R-80 - 913 | 3.5 | 3 | 21 | 34 | — | — | 1 | — | — | — | 3 | 21 | 35 | ||||||||||||||||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 1 | 10 | 17 | — | — | 1 | — | — | — | 1 | 10 | 18 | ||||||||||||||||||||||||||||||||||||||||
R-82A - 915 | 3.5 | 6 | 29 | 37 | — | — | 1 | — | (4) | — | 6 | 26 | 34 | ||||||||||||||||||||||||||||||||||||||||
RP-Q - 916 | 25 | 33 | 101 | — | — | — | — | (18) | — | 22 | 28 | 83 | |||||||||||||||||||||||||||||||||||||||||
R-II - 920 | 3.5 | 8 | 63 | 64 | — | — | 2 | — | (7) | — | 7 | 57 | 59 | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings - 971 | 25,455 | 660,294 | 682,886 | — | 1,459,190 | 10,606 | (1,437) | (297,942) | — | 44,721 | 1,829,220 | 1,853,303 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 29,957 | 762,247 | 764,093 | — | 704,980 | 1,109 | (74) | (824,394) | — | 29,200 | 643,893 | 645,714 | |||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 1 | 71 | 83 | — | — | — | — | — | — | 1 | 71 | 83 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock Market - 960 | 1,203 | 11,668 | 13,098 | — | 4 | 8 | (408) | (3,548) | — | 866 | 8,225 | 9,154 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | 107 | 3,119 | 3,291 | — | — | 26 | — | (1,055) | — | 78 | 2,127 | 2,262 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | 2,314 | 23,580 | 24,487 | — | 3,073 | 20 | — | (10,453) | — | 1,577 | 16,581 | 17,127 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | 569 | 9,218 | 9,560 | — | 1,710 | 116 | — | (3,835) | — | 421 | 7,292 | 7,551 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | 1,208 | 16,422 | 17,075 | — | 3,086 | 1,078 | — | (8,031) | — | 948 | 12,506 | 13,208 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert - 961 | 916 | 19,788 | 21,290 | — | 466 | 16 | (105) | (5,723) | — | 680 | 14,926 | 15,944 | |||||||||||||||||||||||||||||||||||||||||
D-1 990-993 | 2 | 761 | 847 | — | 109 | 11 | — | (73) | — | 2 | 801 | 894 | |||||||||||||||||||||||||||||||||||||||||
Total | 61,786 | 1,507,387 | 1,537,079 | — | 2,172,618 | 12,999 | (2,024) | (1,155,083) | — | 78,550 | 2,535,847 | 2,565,589 | |||||||||||||||||||||||||||||||||||||||||
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) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
R-II | 3.5 | — | — | — | 2 | — | — | — | — | (2) | — | — | — | ||||||||||||||||||||||||||||||||||||||||
RP-Flexible Savings | — | — | 51 | 13,017 | — | — | — | (82) | (10,606) | — | — | 2,380 | |||||||||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | — | — | 1 | 27 | — | — | — | — | (26) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 3 | 1,829 | — | — | — | (349) | (1,109) | — | — | 374 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 1 | 2 | — | — | — | — | (1) | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 | — | — | 2 | 7 | — | — | — | — | (4) | — | — | 5 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock2 | — | — | 2 | 1 | — | — | — | — | (2) | — | — | 1 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock3 | — | — | 21 | 5 | — | — | — | — | (22) | — | — | 4 | |||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | — | — | 2 | 7 | — | — | — | — | (5) | — | — | 4 | |||||||||||||||||||||||||||||||||||||||||
D-1 - 400 | 7 | 7 | — | 12 | — | — | — | (1) | (11) | 7 | 7 | — | |||||||||||||||||||||||||||||||||||||||||
Total | 7 | 7 | 83 | 14,916 | — | — | — | (432) | (11,795) | 7 | 7 | 2,772 | |||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 20 | 14 | — | — | — | — | (7) | — | — | 27 | |||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | — | — | 47 | 21 | — | — | — | — | (16) | — | — | 52 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
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 |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2019 | Description | December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | 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 | 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-Stock1 - 941 | — | — | 38 | 1,627 | — | — | — | (12 | ) | (699 | ) | — | — | 954 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | RP-Stock2 - 942 | — | — | 119 | 1,007 | — | — | — | — | (213 | ) | — | — | 913 | RP-Stock2 - 942 | — | — | 142 | (10) | — | — | — | — | (114) | — | — | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | RP-Stock3 - 943 | — | — | 751 | 2,229 | — | — | — | — | (493 | ) | — | — | 2,487 | RP-Stock3 - 943 | — | — | 1,326 | (15) | — | — | — | — | (1,056) | — | — | 255 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | Market Strategy Cert | — | — | 15 | 1,455 | — | — | — | (9 | ) | (713 | ) | — | — | 748 | Market Strategy Cert | — | — | 29 | 14 | — | — | — | — | (12) | — | — | 31 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | — | — | 926 | 7,467 | — | — | — | (22 | ) | (2,714 | ) | — | — | 5,657 | Total | — | — | 1,564 | 24 | — | — | — | — | (1,205) | — | — | 383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 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 | Total R-Series Single Pay - Qualified Certificates | 61,793 | 1,507,394 | 1,538,726 | 14,940 | 2,172,618 | 12,999 | (2,024) | (1,155,515) | (13,000) | 78,557 | 2,535,854 | 2,568,744 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fully Paid Up Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 | 3.5 | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Optional Settlement Certificates | Optional Settlement Certificates | Optional Settlement Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 5,981 | 177 | — | — | (489 | ) | (271 | ) | — | — | — | 5,398 | Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 4,317 | 127 | — | 1 | (460) | (224) | — | — | — | 3,761 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Series R-II & RP-2-84 - 88 -Prod 921 | Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 15 | 2 | — | — | — | — | — | — | — | 17 | Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 18 | 1 | — | — | — | — | — | — | — | 19 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Series R-Installment (Prod 980, 981, 982) | — | — | 2 | — | — | — | — | (2 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Add’l credits and accrued int. thereon | Add’l credits and accrued int. thereon | 2.5-3 | — | — | 60 | — | — | — | (16 | ) | (3 | ) | — | — | — | 41 | Add’l credits and accrued int. thereon | 2.5-3 | — | — | 20 | 1 | — | — | (2) | (1) | (1) | — | — | 17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries | Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | Accrued for additional credits to be allowed at next anniversaries | — | — | (1) | — | — | — | — | — | (1) | — | — | (2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Optional Settlement | Total Optional Settlement | — | — | 6,058 | 180 | — | — | (505 | ) | (276 | ) | (1 | ) | — | — | 5,456 | Total Optional Settlement | — | — | 4,354 | 129 | — | 1 | (462) | (225) | (2) | — | — | 3,795 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Due to unlocated cert holders | Due to unlocated cert holders | — | — | 234 | — | — | 431 | — | — | (226 | ) | — | — | 439 | Due to unlocated cert holders | — | — | 429 | — | — | 274 | — | — | (270) | — | — | 433 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Certificate Reserves (1) | Total Certificate Reserves (1) | 285,450 | $ | 7,756,341 | $ | 7,893,602 | $ | 146,615 | $ | 4,978,481 | $ | 126,059 | $ | (15,539 | ) | $ | (5,473,456 | ) | $ | (125,865 | ) | 286,509 | $ | 7,337,456 | $ | 7,529,897 | Total Certificate Reserves (1) | 202,950 | $ | 5,197,605 | $ | 5,301,271 | $ | 53,437 | $ | 8,297,633 | $ | 44,797 | $ | (15,883) | $ | (4,322,626) | $ | (44,799) | 265,604 | $ | 9,234,365 | $ | 9,313,830 |
Year Ended December 31, 2022 | |||||
Additional credits on installment certificates and accrued interest thereon: | |||||
Other additions represent: | |||||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 108 | |||
Other deductions represent: | |||||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 106 | |||
Optional settlement certificates: | |||||
Other additions represent: | |||||
Transfers from installment certificate reserves (less surrender charges), optional settlement privileges | $ | 1 | |||
$ | 1 | ||||
Other deductions represent: | |||||
Transfers to reserves for additional credits and accrued interest thereon | $ | 1 | |||
Transfers to accruals for additional credits to be allowed at next anniversaries | 1 | ||||
$ | 2 | ||||
Single-Payment certificates: | |||||
Other additions represent: | |||||
Flexible Savings | $ | 26,867 | |||
Stepup | 40 | ||||
Cash Reserve-3mo | 2,562 | ||||
Stock Market | 20 | ||||
IC-Stock1 | 40 | ||||
IC-Stock2 | 168 | ||||
IC-Stock3 | 1,665 | ||||
Market Strategy | 53 | ||||
Cash Reserve-RP-3mo | 1,109 | ||||
Flexible Savings-RP | 10,606 | ||||
Stepup-RP | 26 | ||||
Stock Market-RP | 8 | ||||
RP-Stock1 | 20 | ||||
RP-Stock2 | 116 | ||||
RP-Stock3 | 1,078 | ||||
Market Strategy-RP | 16 | ||||
Transfers from accruals at anniversaries maintained in a separate reserve account | 20 | ||||
$ | 44,414 | ||||
Part 2 - Descriptions of Additions to Reserves Charged to Other Accounts and Deductions from Reserves Credited to Other Accounts | 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 | ||
Year Ended December 31, 2022 | |||||
Other deductions represent: | |||||
Transfers to optional settlement reserves: | |||||
Single-Payment | $ | 1,943 | |||
Transfers to reserves for additional credits and accrued interest thereon | (20) | ||||
Flexible Savings | 26,870 | ||||
Stepup | 40 | ||||
Cash Reserve-3mo | 2,560 | ||||
Stock Market | 2 | ||||
Stock1 | 5 | ||||
Stock2 | 6 | ||||
Stock3 | 51 | ||||
Market Strategy Cert | 11 | ||||
Cash Reserve-RP-3mo | 1,109 | ||||
Flexible Savings-RP | 10,606 | ||||
Stepup-RP | 26 | ||||
Stock Market-RP | 8 | ||||
RP-Stock1 | 20 | ||||
RP-Stock2 | 116 | ||||
RP-Stock3 | 1,078 | ||||
Transfers to Federal tax withholding | (10) | ||||
$ | 44,421 | ||||
Due to unlocated certificate holders: | |||||
Other additions represent: | |||||
Amounts equivalent to payments due certificates holders who could not be located | $ | 274 | |||
Other deductions represent: | |||||
Payments to certificate holders credited to cash | $ | 270 |
Part 2 - Descriptions of Additions to Reserves Charged to Other Accounts and Deductions from Reserves Credited to Other Accounts | Year Ended December 31, 2019 | ||
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 | ||
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 |
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 | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2022 | 2022 | |||||||||||||||||||||||||||||||||||||||||||
1-12 | 71 | 260 | $ | 5,535 | $ | 40,887 | $ | 480 | $ | 2,219 | $ | 154 | $ | — | ||||||||||||||||||||||||||||||||||||
13-24 | 53 | 57 | 784 | 4,086 | 656 | 366 | 3 | — | ||||||||||||||||||||||||||||||||||||||||||
25-36 | 68 | 39 | 2,886 | 135 | 688 | 565 | 5 | — | ||||||||||||||||||||||||||||||||||||||||||
37-48 | 86 | 65 | 5,367 | 2,850 | 804 | 965 | 33 | — | ||||||||||||||||||||||||||||||||||||||||||
49-60 | 50 | 77 | 583 | 5,260 | 441 | 914 | 102 | — | ||||||||||||||||||||||||||||||||||||||||||
61-72 | 69 | 50 | 215 | 583 | 797 | 565 | — | — | ||||||||||||||||||||||||||||||||||||||||||
73-84 | 59 | 67 | 2,133 | 203 | 853 | 851 | 10 | — | ||||||||||||||||||||||||||||||||||||||||||
85-96 | 52 | 53 | 2,976 | 2,116 | 561 | 1,095 | 46 | — | ||||||||||||||||||||||||||||||||||||||||||
97-108 | 44 | 42 | 444 | 924 | 399 | 496 | 18 | — | ||||||||||||||||||||||||||||||||||||||||||
109-120 | 40 | 39 | — | — | 428 | 359 | — | — | ||||||||||||||||||||||||||||||||||||||||||
121-132 | — | — | — | — | — | — | 294 | — | ||||||||||||||||||||||||||||||||||||||||||
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 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
457-468 | 1 | — | 6 | — | 5 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
469-480 | — | 1 | — | 6 | — | 5 | — | — | ||||||||||||||||||||||||||||||||||||||||||
TOTAL - ALL SERIES | 593 | 750 | $ | 20,929 | $ | 57,050 | $ | 6,112 | $ | 8,400 | $ | 665 | $ | — |
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 | |||||||||||||||||||||||||
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 | $ | — |
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: |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2018 | ||||||||||||||||||||||||||||||||||||||||||||
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 | 1,060 | $ | — | $ | 10,325 | $ | (4 | ) | $ | 2,590 | $ | 89 | $ | (1,657 | ) | $ | (3,889 | ) | $ | — | 822 | $ | — | $ | 7,454 | ||||||||||||||||||||
Inst-E | 6 | — | 222 | — | 57 | 2 | — | (92 | ) | — | 5 | — | 189 | ||||||||||||||||||||||||||||||||
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 | ) | — | — | — | — | ||||||||||||||||||||||||||||||||
Inst-R | 188 | 31,076 | 1,025 | — | 277 | 9 | (118 | ) | (287 | ) | — | 178 | 34,031 | 906 | |||||||||||||||||||||||||||||||
Inst-R-E | 1 | 2,052 | 229 | — | 53 | 3 | — | (35 | ) | — | 1 | 2,052 | 250 | ||||||||||||||||||||||||||||||||
Total | 1,259 | 33,158 | 11,818 | (4 | ) | 2,977 | 103 | (1,775 | ) | (4,305 | ) | — | 1,008 | 36,101 | 8,814 | ||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||
Inst I95 | — | — | — | 89 | — | — | — | — | (89 | ) | — | — | — | ||||||||||||||||||||||||||||||||
Inst-E | — | — | — | 2 | — | — | — | — | (2 | ) | — | — | — | ||||||||||||||||||||||||||||||||
Inst-R | — | — | — | 9 | — | — | — | — | (9 | ) | — | — | — | ||||||||||||||||||||||||||||||||
Inst-R-E | — | — | — | 3 | — | — | — | — | (3 | ) | — | — | — | ||||||||||||||||||||||||||||||||
Total | — | — | — | 103 | — | — | — | — | (103 | ) | — | — | — | ||||||||||||||||||||||||||||||||
Res for accrued 3rd year 213 - Installment Prod only | — | — | 1 | (1 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Total | — | — | 1 | (1 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Total Installment Certificates | 1,259 | 33,158 | 11,819 | 98 | 2,977 | 103 | (1,775 | ) | (4,305 | ) | (103 | ) | 1,008 | 36,101 | 8,814 | ||||||||||||||||||||||||||||||
Single Pay - Non Qualified Certificates | |||||||||||||||||||||||||||||||||||||||||||||
Single - Payment certificates: | |||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings (Variable Term) - 165 | 80,112 | 2,388,722 | 2,449,179 | — | 2,173,985 | 43,796 | (1,103 | ) | (1,186,801 | ) | — | 107,778 | 3,398,323 | 3,479,056 | |||||||||||||||||||||||||||||||
IC - Stepup - 190 | 423 | 14,410 | 14,607 | — | 2,196 | 211 | — | (3,342 | ) | — | 404 | 13,367 | 13,672 | ||||||||||||||||||||||||||||||||
IC-Flexible Savings Emp (VT) - 166 | 5 | 57 | 83 | — | — | 1 | (81 | ) | — | — | 1 | 1 | 3 | ||||||||||||||||||||||||||||||||
Cash Reserve Variables PMT - 3mo. - 662 | 63,084 | 1,824,588 | 1,830,131 | — | 2,361,111 | 9,434 | (1,723 | ) | (2,345,173 | ) | — | 68,512 | 1,846,437 | 1,853,780 | |||||||||||||||||||||||||||||||
IC-Stock Market - 180 | 11,686 | 84,900 | 95,074 | — | 225 | 1,341 | (6,138 | ) | (23,642 | ) | — | 8,308 | 59,787 | 66,860 | |||||||||||||||||||||||||||||||
IC-MSC - 181 | 8,620 | 161,024 | 180,351 | — | 3,927 | 2,266 | (2,591 | ) | (39,841 | ) | — | 7,191 | 128,093 | 144,112 | |||||||||||||||||||||||||||||||
IC-Stock1 - 210 | 5,807 | 57,770 | 58,371 | — | 30,896 | 812 | — | (17,974 | ) | — | 7,570 | 71,118 | 72,105 | ||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | 1,114 | 19,767 | 19,842 | — | 8,151 | 316 | — | (5,364 | ) | — | 1,293 | 22,731 | 22,945 | ||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | 1,377 | 25,828 | 25,829 | — | 12,258 | 470 | — | (4,144 | ) | — | 1,947 | 34,196 | 34,413 | ||||||||||||||||||||||||||||||||
Total | 172,228 | 4,577,066 | 4,673,467 | — | 4,592,749 | 58,647 | (11,636 | ) | (3,626,281 | ) | — | 203,004 | 5,574,053 | 5,686,946 | |||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||
IC-Flexible Savings | — | — | 1,135 | 46,319 | — | — | — | (1,006 | ) | (43,803 | ) | — | — | 2,645 | |||||||||||||||||||||||||||||||
IC-Preferred Investors | — | — | 1 | — | — | — | — | — | — | — | — | 1 | |||||||||||||||||||||||||||||||||
IC-Stepup -190 | — | — | 6 | 216 | — | — | — | (3 | ) | (211 | ) | — | — | 8 | |||||||||||||||||||||||||||||||
IC-FS-EMP | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | ||||||||||||||||||||||||||||||||
Cash Reserve Variable Payment-3mo. | — | — | 296 | 11,763 | — | — | — | (1,958 | ) | (9,430 | ) | — | — | 671 | |||||||||||||||||||||||||||||||
IC-Stk Mkt, 2004/16/31-4000/16 | — | — | 16 | 30 | — | — | (1 | ) | (1 | ) | (24 | ) | — | — | 20 | ||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 7 | 25 | — | — | — | (1 | ) | (13 | ) | — | — | 18 | |||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 7 | 13 | — | — | — | — | (7 | ) | — | — | 13 | ||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 20 | 19 | — | — | — | — | (12 | ) | — | — | 27 |
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 | ||||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1) | — | — | — | — | — | — | — | — | (1) | |||||||||||||||||||||||||||||||||||||||||
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 |
Part 1 - Summary of Changes | ||||||||||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||
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-MSC | — | — | 13 | 63 | — | — | — | — | (53 | ) | — | — | 23 | |||||||||||||||||||||||||||||||||||
Total | — | — | 1,501 | 58,449 | — | — | (1 | ) | (2,969 | ) | (53,554 | ) | — | — | 3,426 | |||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | ||||||||||||||||||||||||||||||||||||||||||||||||
SP 75 | — | — | (1 | ) | — | — | — | — | — | — | — | — | (1 | ) | ||||||||||||||||||||||||||||||||||
IC-Stock | — | — | 1,366 | 4 | — | — | — | (10 | ) | (1,318 | ) | — | — | 42 | ||||||||||||||||||||||||||||||||||
IC-Stock1 - 210 | — | — | 821 | 26 | — | — | — | (9 | ) | (799 | ) | — | — | 39 | ||||||||||||||||||||||||||||||||||
IC-Stock2 - 220 | — | — | 702 | (161 | ) | — | — | — | (1 | ) | (308 | ) | — | — | 232 | |||||||||||||||||||||||||||||||||
IC-Stock3 - 230 | — | — | 1,829 | (360 | ) | — | — | — | (3 | ) | (458 | ) | — | — | 1,008 | |||||||||||||||||||||||||||||||||
IC-Market Strategy Certificate - Part Int 2019/2102/4061 | — | — | 2,313 | 20 | — | — | — | (65 | ) | (2,214 | ) | — | — | 54 | ||||||||||||||||||||||||||||||||||
Total | — | — | 7,030 | (471 | ) | — | — | — | (88 | ) | (5,097 | ) | — | — | 1,374 | |||||||||||||||||||||||||||||||||
Total Single Pay - Non Qualified Certificates | 172,228 | 4,577,066 | 4,681,998 | 57,978 | 4,592,749 | 58,647 | (11,637 | ) | (3,629,338 | ) | (58,651 | ) | 203,004 | 5,574,053 | 5,691,746 | |||||||||||||||||||||||||||||||||
R-Series Single Pay - Qualified Certificates | ||||||||||||||||||||||||||||||||||||||||||||||||
R-77 - 910 | 3.5 | 3 | 12 | 22 | — | — | 1 | — | — | — | 3 | 12 | 23 | |||||||||||||||||||||||||||||||||||
R78 - 911 | 3.5 | 6 | 41 | 62 | — | — | 2 | — | (20 | ) | — | 6 | 29 | 44 | ||||||||||||||||||||||||||||||||||
R-79 - 912 | 3.5 | 5 | 40 | 60 | — | — | 2 | — | (1 | ) | — | 5 | 39 | 61 | ||||||||||||||||||||||||||||||||||
R-80 - 913 | 3.5 | 4 | 26 | 34 | — | — | 1 | — | (1 | ) | — | 4 | 25 | 34 | ||||||||||||||||||||||||||||||||||
R-81 - 914 | 3.5 | 2 | 24 | 32 | — | — | 1 | — | — | — | 2 | 24 | 33 | |||||||||||||||||||||||||||||||||||
R-82A - 915 | 3.5 | 10 | 42 | 45 | — | — | 2 | — | (1 | ) | — | 10 | 42 | 46 | ||||||||||||||||||||||||||||||||||
RP-Q - 916 | 38 | 48 | 144 | — | — | 1 | — | (21 | ) | — | 33 | 41 | 124 | |||||||||||||||||||||||||||||||||||
R-II - 920 | 3.5 | 9 | 72 | 63 | — | — | 2 | — | (8 | ) | — | 8 | 63 | 57 | ||||||||||||||||||||||||||||||||||
RP-Flexible Savings - 971 | 33,277 | 877,273 | 898,631 | — | 820,270 | 16,838 | (212 | ) | (310,526 | ) | — | 46,284 | 1,395,497 | 1,425,001 | ||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. - 972 | 22,404 | 642,849 | 644,576 | — | 706,467 | 2,921 | (56 | ) | (748,816 | ) | — | 25,482 | 602,887 | 605,092 | ||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp - 973 | 12 | 143 | 195 | — | 15 | 3 | — | (4 | ) | — | 11 | 156 | 209 | |||||||||||||||||||||||||||||||||||
RP-Stock Market - 960 | 3,598 | 36,393 | 39,640 | — | 41 | 566 | (855 | ) | (9,708 | ) | — | 2,605 | 27,255 | 29,684 | ||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | 343 | 10,751 | 10,886 | — | 2,582 | 178 | — | (1,964 | ) | — | 351 | 11,447 | 11,682 | |||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | 2,259 | 27,458 | 27,726 | — | 14,787 | 381 | — | (8,712 | ) | — | 3,033 | 33,745 | 34,182 | |||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | 668 | 11,246 | 11,269 | — | 5,113 | 204 | — | (2,688 | ) | — | 772 | 13,765 | 13,898 | |||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | 947 | 16,811 | 16,811 | — | 7,274 | 263 | — | (2,271 | ) | — | 1,218 | 21,964 | 22,077 | |||||||||||||||||||||||||||||||||||
Market Strategy Cert - 961 | 1,927 | 44,776 | 48,152 | — | 1,600 | 616 | (166 | ) | (9,262 | ) | — | 1,600 | 38,068 | 40,940 | ||||||||||||||||||||||||||||||||||
D-1 990-993 | 4 | 735 | 870 | — | 403 | 19 | — | (17 | ) | — | 4 | 1,121 | 1,275 | |||||||||||||||||||||||||||||||||||
Total | 65,516 | 1,668,740 | 1,699,218 | — | 1,558,552 | 22,001 | (1,289 | ) | (1,094,020 | ) | — | 81,431 | 2,146,180 | 2,184,462 | ||||||||||||||||||||||||||||||||||
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 | — | — | 406 | 17,673 | — | — | — | (168 | ) | (16,838 | ) | — | — | 1,073 | ||||||||||||||||||||||||||||||||||
RP-Stepup - 940 | — | — | 4 | 181 | — | — | — | — | (178 | ) | — | — | 7 | |||||||||||||||||||||||||||||||||||
Cash Reserve RP-3 mo. | — | — | 104 | 3,745 | — | — | — | (720 | ) | (2,921 | ) | — | — | 208 | ||||||||||||||||||||||||||||||||||
RP-Flexible Savings Emp | — | — | — | 3 | — | — | — | — | (3 | ) | — | — | — | |||||||||||||||||||||||||||||||||||
RP-Stock Market | — | — | 8 | 12 | — | — | — | (1 | ) | (9 | ) | — | — | 10 |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2018 | Description | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | 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 | 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-Stock1 | — | — | 4 | 17 | — | — | — | (1 | ) | (8 | ) | — | — | 12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock2 | — | — | 4 | 9 | — | — | — | — | (3 | ) | — | — | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock3 | RP-Stock3 | — | — | 6 | 7 | — | — | — | — | (1 | ) | — | — | 12 | RP-Stock3 | — | — | 31 | 13 | — | — | — | — | (23) | — | — | 21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | Market Strategy Cert | — | — | 11 | 31 | — | — | — | — | (24 | ) | — | — | 18 | Market Strategy Cert | — | — | 5 | 4 | — | — | — | — | (7) | — | — | 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
D-1 - 400 | D-1 - 400 | 7 | 7 | — | 21 | — | — | — | (2 | ) | (19 | ) | 7 | 7 | — | D-1 - 400 | 7 | 7 | — | 2 | — | — | — | — | (2) | 7 | 7 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | 7 | 7 | 558 | 21,711 | — | — | — | (892 | ) | (20,016 | ) | 7 | 7 | 1,361 | Total | 7 | 7 | 283 | 2,893 | — | — | — | (42) | (3,051) | 7 | 7 | 83 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | Accrued for additional credits to be allowed at next anniversaries: | Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | RP-Stock Market | — | — | 560 | 1 | — | — | — | (1 | ) | (557 | ) | — | — | 3 | RP-Stock Market | — | — | 116 | 24 | — | — | — | — | (120) | — | — | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | RP-Stock1 - 941 | — | — | 380 | 34 | — | — | — | (3 | ) | (373 | ) | — | — | 38 | RP-Stock1 - 941 | — | — | 255 | 43 | — | — | — | (2) | (249) | — | — | 47 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | RP-Stock2 - 942 | — | — | 393 | (72 | ) | — | — | — | (1 | ) | (201 | ) | — | — | 119 | RP-Stock2 - 942 | — | — | 564 | 19 | — | — | — | — | (441) | — | — | 142 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | RP-Stock3 - 943 | — | — | 1,214 | (200 | ) | — | — | — | (1 | ) | (262 | ) | — | — | 751 | RP-Stock3 - 943 | — | — | 2,358 | 29 | — | — | — | — | (1,061) | — | — | 1,326 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | Market Strategy Cert | — | — | 610 | 5 | — | — | — | (8 | ) | (592 | ) | — | — | 15 | Market Strategy Cert | — | — | 184 | 33 | — | — | — | (2) | (186) | — | — | 29 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | — | — | 3,157 | (232 | ) | — | — | — | (14 | ) | (1,985 | ) | — | — | 926 | Total | — | — | 3,477 | 148 | — | — | — | (4) | (2,057) | — | — | 1,564 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | Total R-Series Single Pay - Qualified Certificates | 65,523 | 1,668,747 | 1,702,933 | 21,479 | 1,558,552 | 22,001 | (1,289 | ) | (1,094,926 | ) | (22,001 | ) | 81,438 | 2,146,187 | 2,186,749 | 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 | Fully Paid Up Certificates | Fully Paid Up Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Paid-up certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 - 640 | 3.5 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | Additional credits and accrued interest thereon: | Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 | I-76 | 3.5 | — | — | 1 | — | — | — | — | — | — | — | — | 1 | I-76 | 3.5 | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | — | — | 1 | — | — | — | — | — | — | — | — | 1 | Total | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | Total Fully Paid-up Certificates | — | — | 1 | — | — | — | — | — | — | — | — | 1 | Total Fully Paid-up Certificates | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Optional Settlement Certificates | Optional Settlement Certificates | Optional Settlement Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 6,934 | 200 | — | 2 | (833 | ) | (322 | ) | — | — | — | 5,981 | 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 | Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 27 | 1 | — | — | (1 | ) | (12 | ) | — | — | — | 15 | Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 17 | 1 | — | — | — | — | — | — | — | 18 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Series R-Installent (Prod 980, 981, 982) | Series R-Installent (Prod 980, 981, 982) | — | — | 2 | — | — | — | — | — | — | — | — | 2 | Series R-Installent (Prod 980, 981, 982) | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Add’l credits and accrued int. thereon | Add’l credits and accrued int. thereon | 2.5-3 | — | — | 96 | 2 | — | 1 | (33 | ) | (4 | ) | (2 | ) | — | — | 60 | 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 | Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | Accrued for additional credits to be allowed at next anniversaries | — | — | — | — | — | — | — | — | (1) | — | — | (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Optional Settlement | Total Optional Settlement | — | — | 7,059 | 204 | — | 3 | (867 | ) | (338 | ) | (3 | ) | — | — | 6,058 | Total Optional Settlement | — | — | 5,156 | 151 | — | — | (626) | (326) | (1) | — | — | 4,354 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Due to unlocated cert holders | Due to unlocated cert holders | — | — | 265 | — | — | 195 | — | (3 | ) | (223 | ) | — | — | 234 | Due to unlocated cert holders | — | — | 400 | — | — | 611 | — | — | (582) | — | — | 429 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Certificate Reserves (1) | Total Certificate Reserves (1) | 239,010 | $ | 6,278,971 | $ | 6,404,075 | $ | 79,759 | $ | 6,154,278 | $ | 80,949 | $ | (15,568 | ) | $ | (4,728,910 | ) | $ | (80,981 | ) | 285,450 | $ | 7,756,341 | $ | 7,893,602 | 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 |
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, 2018 | ||
Additional credits on installment certificates and accrued interest thereon: | |||
Other additions represent: | |||
Transfers from maturities to extended maturities, additional credits/interest and advance payments | $ | 103 | |
Other deductions represent: | |||
Transfers to reserves on a quarterly basis for Reserve Plus Flexible-Payment, IC-Q-Installment and R-Flexible-Payment | $ | 103 | |
Optional settlement certificates: | |||
Other additions represent: | |||
Transfers from installment certificate reserves (less surrender charges), optional settlement privileges | $ | 2 | |
Transfers from accruals for additional credits to be allowed at next anniversaries | 1 | ||
$ | 3 | ||
Other deductions represent: | |||
Transfers to reserves for additional credits and accrued interest thereon | $ | 1 | |
Transfers to optional settlement reserves | 2 | ||
$ | 3 | ||
Single-Payment certificates: | |||
Other additions represent: | |||
Flexible Savings | $ | 43,796 | |
Single Payment NQ Products | 1 | ||
Stepup | 211 | ||
Flexible Savings-Emp | 1 | ||
Cash Reserve-3mo | 9,434 | ||
Stock Market | 1,341 | ||
IC-Stock1 | 812 | ||
IC-Stock2 | 316 | ||
IC-Stock3 | 470 | ||
Market Strategy | 2,266 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 2,921 | ||
Flexible Savings-RP | 16,838 | ||
Stepup-RP | 178 | ||
Flexible Savings-RP-Emp | 3 | ||
Stock Market-RP | 566 | ||
RP-Stock1 | 381 | ||
RP-Stock2 | 204 | ||
RP-Stock3 | 263 | ||
Market Strategy-RP | 615 | ||
Transfers from accruals at anniversaries maintained in a separate reserve account | 30 | ||
$ | 80,648 | ||
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, 2018 | ||
Other deductions represent: | |||
Transfers to optional settlement reserves: | |||
Single-Payment | $ | 5,774 | |
Transfers to reserves for additional credits and accrued interest thereon | (30 | ) | |
Single Payment NQ Products | (1 | ) | |
Flexible Savings | 43,810 | ||
Stepup | 211 | ||
Flexible Savings-Emp | 1 | ||
Cash Reserve-3mo | 9,432 | ||
Stock Market | 24 | ||
Stock1 | 13 | ||
Stock2 | 7 | ||
Stock3 | 12 | ||
Market Strategy Cert | 54 | ||
RP-Q | 1 | ||
Cash Reserve-RP-3mo | 2,921 | ||
Flexible Savings-RP | 16,838 | ||
Stepup-RP | 178 | ||
Flexible Savings-RP-Emp | 3 | ||
Stock Market-RP | 566 | ||
RP-Stock1 | 381 | ||
RP-Stock2 | 204 | ||
RP-Stock3 | 263 | ||
Transfers to Federal tax withholding | (10 | ) | |
$ | 80,652 | ||
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 |
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 | |||||||||||||||||||||||||
2017 | 2018 | 2017 | 2018 | 2017 | 2018 | 2018 | 2018 | |||||||||||||||||||||||
1-12 | 109 | 141 | $ | 1,383 | $ | 22,621 | $ | 593 | $ | 466 | $ | 5 | $ | — | ||||||||||||||||
13-24 | 111 | 83 | 679 | 1,070 | 479 | 469 | 5 | — | ||||||||||||||||||||||
25-36 | 85 | 93 | 2,154 | 322 | 720 | 453 | 26 | — | ||||||||||||||||||||||
37-48 | 77 | 79 | 3,040 | 2,141 | 483 | 615 | 171 | — | ||||||||||||||||||||||
49-60 | 77 | 68 | 3,159 | 3,015 | 432 | 456 | 45 | — | ||||||||||||||||||||||
61-72 | 100 | 67 | 4,878 | 2,377 | 775 | 465 | 40 | — | ||||||||||||||||||||||
73-84 | 115 | 82 | 1,457 | 1,938 | 675 | 690 | 156 | — | ||||||||||||||||||||||
85-96 | 113 | 92 | 16,366 | 993 | 769 | 612 | 119 | — | ||||||||||||||||||||||
97-108 | 283 | 95 | 12 | 1,606 | 4,803 | 613 | 41 | — | ||||||||||||||||||||||
109-120 | 184 | 206 | — | — | 2,070 | 3,959 | 673 | — | ||||||||||||||||||||||
121-132 | — | — | — | — | — | — | 447 | — | ||||||||||||||||||||||
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 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
325-336 | 2 | — | 12 | — | 2 | — | — | — | ||||||||||||||||||||||
337-348 | — | — | — | — | — | — | 2 | — | ||||||||||||||||||||||
349-360 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
361-372 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
373-384 | 1 | — | 12 | — | 11 | — | — | — | ||||||||||||||||||||||
385-396 | — | 1 | — | 12 | — | 11 | — | — | ||||||||||||||||||||||
397-408 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
409-420 | 1 | — | 6 | — | 5 | — | — | — | ||||||||||||||||||||||
421-432 | — | 1 | — | 6 | — | 5 | — | — | ||||||||||||||||||||||
TOTAL - ALL SERIES | 1,259 | 1,008 | $ | 33,158 | $ | 36,101 | $ | 11,818 | $ | 8,814 | $ | 1,730 | $ | — |
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, 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 | |||||||||||||||||||||||||||||||
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 |
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, 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 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
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 |
Part 1 - Summary of Changes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Description | December 31, 2017 | Description | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Yield to maturity on an annual payment basis | Balance at beginning of period | Additions | Deductions | Balance at close of period | 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 | 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-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 | Total | 8 | 7 | 403 | 11,111 | — | — | — | (515 | ) | (10,441 | ) | 7 | 7 | 558 | Total | 7 | 7 | 1,217 | 16,301 | — | — | — | (767) | (16,468) | 7 | 7 | 283 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued for additional credits to be allowed at next anniversaries: | Accrued for additional credits to be allowed at next anniversaries: | Accrued for additional credits to be allowed at next anniversaries: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock Market | RP-Stock Market | — | — | 775 | 587 | — | — | — | (1 | ) | (801 | ) | — | — | 560 | RP-Stock Market | — | — | 555 | (30) | — | — | — | (1) | (408) | — | — | 116 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock1 - 941 | RP-Stock1 - 941 | — | — | 345 | 400 | — | — | — | (4 | ) | (361 | ) | — | — | 380 | RP-Stock1 - 941 | — | — | 954 | 56 | — | — | — | (5) | (750) | — | — | 255 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock2 - 942 | RP-Stock2 - 942 | — | — | 257 | 217 | — | — | — | — | (81 | ) | — | — | 393 | RP-Stock2 - 942 | — | — | 913 | 80 | — | — | — | (2) | (427) | — | — | 564 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RP-Stock3 - 943 | RP-Stock3 - 943 | — | — | 651 | 563 | — | — | — | — | — | — | — | 1,214 | RP-Stock3 - 943 | — | — | 2,487 | 388 | — | — | — | — | (517) | — | — | 2,358 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Strategy Cert | Market Strategy Cert | — | — | 748 | 645 | — | — | — | (14 | ) | (769 | ) | — | — | 610 | Market Strategy Cert | — | — | 748 | 26 | — | — | — | (6) | (584) | — | — | 184 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | — | — | 2,776 | 2,412 | — | — | — | (19 | ) | (2,012 | ) | — | — | 3,157 | Total | — | — | 5,657 | 520 | — | — | — | (14) | (2,686) | — | — | 3,477 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total R-Series Single Pay - Qualified Certificates | 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 | 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 | Fully Paid Up Certificates | Fully Paid Up Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Paid-up certificates: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 - 640 | 3.5 | — | — | 1 | — | — | — | (1 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | — | — | 1 | — | — | — | (1 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Additional credits and accrued interest thereon: | Additional credits and accrued interest thereon: | Additional credits and accrued interest thereon: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
I-76 | I-76 | 3.5 | 2 | 1 | 1 | — | — | — | — | — | — | — | — | 1 | I-76 | 3.5 | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | 2 | 1 | 1 | — | — | — | — | — | — | — | — | 1 | Total | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Fully Paid-up Certificates | Total Fully Paid-up Certificates | 2 | 1 | 2 | — | — | — | (1 | ) | — | — | — | — | 1 | Total Fully Paid-up Certificates | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Optional Settlement Certificates | Optional Settlement Certificates | Optional Settlement Certificates | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other series and conversions from Single Payment Certificates | Other series and conversions from Single Payment Certificates | 2.5-3 - 3-3.5 | — | — | 8,300 | 235 | — | 1 | (1,016 | ) | (586 | ) | — | — | — | 6,934 | 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 | Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 31 | 1 | — | — | (3 | ) | (2 | ) | — | — | — | 27 | Series R-II & RP-2-84 - 88 -Prod 921 | 3.5 | — | — | 17 | — | — | — | — | — | — | — | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Series R-Installent (Prod 980, 981, 982) | — | — | 2 | — | — | — | — | — | — | — | — | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Series R-Installment (Prod 980, 981, 982) | Series R-Installment (Prod 980, 981, 982) | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Add’l credits and accrued int. thereon | Add’l credits and accrued int. thereon | 2.5-3 | — | — | 170 | 4 | — | 1 | (74 | ) | (4 | ) | (1 | ) | — | — | 96 | 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 | Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1 | ) | — | — | — | Accrued for additional credits to be allowed at next anniversaries | — | — | — | 1 | — | — | — | — | (1) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Optional Settlement | Total Optional Settlement | — | — | 8,503 | 241 | — | 2 | (1,093 | ) | (592 | ) | (2 | ) | — | — | 7,059 | Total Optional Settlement | — | — | 5,456 | 168 | — | — | (371) | (96) | (1) | — | — | 5,156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Due to unlocated cert holders | Due to unlocated cert holders | — | — | 352 | — | — | 91 | — | — | (178 | ) | — | — | 265 | Due to unlocated cert holders | — | — | 439 | — | — | 1,125 | — | — | (1,164) | — | — | 400 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Certificate Reserves (1) | 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 | 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 |
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 | ||||
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, 2020 | |||||
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 |
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 | |||||||||||||||||||||||||||||||||||||||||||||
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 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
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 | $ | — |
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 | $ | — |
Reserves deducted from assets to which they apply | Year Ended December 31, 2022 | ||||||||||||||||
Balance at beginning of period | Change in allowance/ writedowns from 2021 to 2022 | Balance at end of period | |||||||||||||||
Allowance for credit losses: | |||||||||||||||||
Conventional first mortgage loans and other loans | $ | 1,518 | $ | (46) | $ | 1,472 |
Reserves deducted from assets to which they apply | Year Ended December 31, 2021 | ||||||||||||||||
Balance at beginning of period | Change in allowance/ writedowns from 2020 to 2021 | Balance at end of period | |||||||||||||||
Allowance for 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 reserves/ 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, 2018 | ||||||||||
Balance at beginning of period | Change in reserves/ writedowns from 2017 to 2018 | Balance at end of period | |||||||||
Allowance for losses: | |||||||||||
Conventional first mortgage loans and other loans | $ | 3,283 | $ | (163 | ) | $ | 3,120 |
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 |