Exhibit 10.1
EXECUTION COPY

REINSURANCE AGREEMENT (FA BUSINESS)
between
ATHENE ANNUITY & LIFE ASSURANCE COMPANY
and
VOYA INSURANCE AND ANNUITY COMPANY
effective as of June 1, 2018
Treaty Number DEVFACO - 060118

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TABLE OF CONTENTS
Page
ARTICLE I GENERAL PROVISIONS    1
Section 1.01
Defined Terms    1

Section 1.02
Other Definitional Provisions    8

ARTICLE II COVERAGE    8
Section 2.01
Scope and Basis of Reinsurance    8

Section 2.02
Policy Changes    9

Section 2.03
Reinstatement of Surrendered Policies    9

Section 2.04
Misstatement of Fact    9

Section 2.05
Credited Rates and Non-Guaranteed Elements    9

Section 2.06
Programs of Internal Replacement    10

Section 2.07
Conservation Program    10

Section 2.08
Retrocession    10

Section 2.09
Interest Maintenance Reserve    10

Section 2.10
Valuation of Liabilities    10

ARTICLE III REINSURANCE PREMIUMS    10
Section 3.01
Reinsurance Premiums    10

Section 3.02
Initial Premium; True-Up    10

ARTICLE IV CEDING COMMISSION    11
Section 4.01
Ceding Commission    11

ARTICLE V ADMINISTRATION FEE    12
Section 5.01
Policy Expenses    12

ARTICLE VI REINSURED LIABILITIES    12
Section 6.01
Reinsured Liabilities    12

Section 6.02
Claims Settlement    12

Section 6.03
Recoveries    12

ARTICLE VII REPORTING AND SETTLEMENTS    13
Section 7.01
Ceding Company Reporting    13

Section 7.02
Reinsurer Reporting    14

Section 7.03
Settlements    15

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ARTICLE VIII HEDGING; FUNDS WITHHELD ACCOUNT    16
Section 8.01
Existing Hedges    16

Section 8.02
Funds Withheld Account    17

ARTICLE IX CREDIT FOR REINSURANCE; CUSTODY ACCOUNT    17
Section 9.01
Credit for Reinsurance    17

Section 9.02
Custody Account    18

Section 9.03
Ceding Company Withdrawals    18

Section 9.04
Custody Account Settlements    18

Section 9.05
Additional Reinsurer Withdrawals    19

Section 9.06
Substitutions    19

Section 9.07
Termination of Ceding Company’s Withdrawal Rights    20

ARTICLE X ADMINISTRATION    20
Section 10.01
Policy Administration    20

Section 10.02
Record-Keeping    20

ARTICLE XI TERM AND TERMINATION    21
Section 11.01
Duration of Agreement    21

Section 11.02
Recapture    21

Section 11.03
Recapture Payment    21

Section 11.04
Survival    22

ARTICLE XII ERRORS AND OMISSIONS    22
Section 12.01
Errors and Omissions    22

ARTICLE XIII DISPUTE RESOLUTION    23
Section 13.01
Negotiation    23

Section 13.02
Arbitration; Waiver of Trial by Jury    23

ARTICLE XIV INSOLVENCY    25
Section 14.01
Insolvency    25

ARTICLE XV TAXES    26
Section 15.01
Taxes    26

Section 15.02
DAC Tax Election    26

Section 15.03
Tax Treatment    27

ARTICLE XVI REPRESENTATIONS, WARRANTIES AND COVENANTS    27
Section 16.01
Representations and Warranties of the Ceding Company    27

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Section 16.02
Covenants of the Ceding Company    28

Section 16.03
Representations and Warranties of the Reinsurer    29

Section 16.04
Covenants of the Reinsurer    30

ARTICLE XVII MISCELLANEOUS    31
Section 17.01
Currency    31

Section 17.02
Interest    31

Section 17.03
Right of Setoff and Recoupment    31

Section 17.04
No Third-Party Beneficiaries    31

Section 17.05
Amendment    32

Section 17.06
Notices    32

Section 17.07
Consent to Jurisdiction    33

Section 17.08
Service of Process    33

Section 17.09
Inspection of Records    33

Section 17.10
Confidentiality    34

Section 17.11
Successors    34

Section 17.12
Entire Agreement    35

Section 17.13
Severability    35

Section 17.14
Construction    35

Section 17.15
Non-Waiver    35

Section 17.16
Further Assurances    35

Section 17.17
Governing Law    35

Section 17.18
Counterparts    36

Schedules

I.    Policy Forms and Riders
II.    Policy Expenses
III.    Initial Premium Assets
IV.    Asset Valuation Methodology
V.    Existing Index Hedges
VI.    Existing Other Hedges
VII.    Reinsurer Reports

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Exhibits

A.
Form of Weekly Accounting Report

B.
Form of Monthly Accounting Report

C.
Form of Quarterly Accounting Report

D.
Account Value Roll-Forward Information Fields

E.
Seriatim Information Fields

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REINSURANCE AGREEMENT
This REINSURANCE AGREEMENT (this “Agreement”), effective as of June 1, 2018 (the
“Effective Date”), is made by and between Voya Insurance and Annuity Company, an
insurance company organized under the Laws of the State of Iowa (the “Ceding
Company”), and Athene Annuity & Life Assurance Company, a reinsurance company
organized under the Laws of the State of Delaware (the “Reinsurer”).
WITNESSETH:
WHEREAS, Athene Holding Ltd (“AHL”), VA Capital Company LLC (the “Buyer
Parent”), and Voya Financial, Inc. (the “Seller”) have entered into a Master
Transaction Agreement, dated as of December 20, 2017 (the “Master Agreement”),
pursuant to which, among other things, the Seller will sell, and Venerable
Holdings, Inc., a wholly owned subsidiary of the Buyer Parent (the “Buyer”),
will purchase, all of the issued and outstanding shares of common stock of the
Ceding Company;
WHEREAS, in connection with the closing of the sale of the Ceding Company to the
Buyer, the Ceding Company and Athene Life Re Ltd., a wholly owned subsidiary of
AHL (“ALRe”), have entered into a reinsurance transaction pursuant to which the
Ceding Company cedes, and ALRe accepts, on a modified coinsurance basis, an
eighty percent (80%) quota share of certain liabilities with respect to certain
fixed annuity business of the Ceding Company; and
WHEREAS, in connection with the closing of the sale of the Ceding Company to the
Buyer, the Ceding Company and the Reinsurer, an indirect wholly owned subsidiary
of AHL, wish to enter into a coinsurance transaction with respect to certain
fixed annuity business of the Ceding Company; and
WHEREAS, subject to the terms, conditions and limitations contained herein, the
Ceding Company desires to cede, on a coinsurance basis, and the Reinsurer
desires to accept, the Reinsured Liabilities (as defined below).
NOW, THEREFORE, in consideration of the mutual promises and agreements contained
herein, the Ceding Company and the Reinsurer hereby agree as follows:

ARTICLE I
GENERAL PROVISIONS
Section 1.01    Defined Terms. As used in this Agreement, the following terms
shall have the following meanings:
“Action” shall mean (a) any civil, criminal or administrative action, suit,
claim, litigation, arbitration or similar proceeding, in each case, before a
Governmental Entity, or (b) any investigation or written inquiry by a
Governmental Entity other than any examination by a taxing authority, including
a tax audit.

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“Affiliate” shall mean, with respect to any Person, another Person that directly
or indirectly, through one or more intermediaries, controls, is controlled by or
is under common control with, such first Person, and the term “Affiliated” shall
have a correlative meaning. For the purposes of this definition, “control”, when
used with respect to any Person, means the power to direct the management and
policies of such Person, directly or indirectly through the ownership of voting
securities, by contract, or otherwise, and the terms “controlling” and
“controlled” have the meanings correlative to the foregoing. For the avoidance
of doubt, the Ceding Company and the Reinsurer shall not be deemed “Affiliates”
for purposes of this Agreement.
“Agreement” shall have the meaning specified in the Preamble hereto.
“AHL” shall have the meaning specified in the Recitals hereto.
“ALRe” shall have the meaning specified in the Recitals hereto.
“Applicable Tax Gross-Up Percentage” shall mean, (a) with respect to the Pre-Tax
Reform Existing IMR, 65%, (b) with respect to the Post-Tax Reform Existing IMR,
one minus the highest federal tax rate applicable to United States corporations
at the time such interest maintenance reserves were established, and (c) with
respect to the New Effective Date IMR, one minus the highest federal tax rate
applicable to United States corporations as of the Effective Date.
“Authorized Representative” shall have the meaning specified in
Section 14.01(a)(i).
“Business Day” shall mean any day other than a Saturday, Sunday or any other day
on which banking institutions are authorized or required by Law to close in New
York, New York or Des Moines, Iowa.
“Buyer” shall have the meaning specified in the Recitals hereto.
“Buyer Parent” shall have the meaning specified in the Recitals hereto.
“Ceded IMR” shall mean, collectively, as of any date of determination, the
amount of the Existing IMR that remains unamortized as of such date and the
amount of the New Effective Date IMR that remains unamortized as of such date,
in each case, determined in accordance with Delaware SAP.
“Ceded Reserves” shall mean an amount equal to the Quota Share of the Net
Statutory Reserves.
“Ceding Company” shall have the meaning specified in the Preamble hereto.
“Code” shall mean the Internal Revenue Code of 1986, as amended.
“Company Required Initial Premium” shall have the meaning specified in Section
3.02(b).
“Custodian” shall have the meaning specified in Section 9.02(a).

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“Custody Account” shall have the meaning specified in Section 9.02(a).
“Custody Account Required Balance” shall have the meaning specified in Section
9.02(a).
“Custody Account Valuation Report” shall have the meaning specified in Section
9.04(a).
“Custody Agreement” shall have the meaning specified in Section 9.02(a).
“Delaware SAP” shall mean the statutory accounting principles and practices
prescribed or permitted for Delaware life insurance companies by the Delaware
Department of Insurance, consistently applied by the Reinsurer.
“Effective Date” shall have the meaning specified in the Preamble hereto.
“Estimated Company Ceding Commission” shall have the meaning specified in the
Master Agreement.
“Estimated Company Required Initial Premium” shall have the meaning specified in
Section 3.02(c).
“Excluded Liabilities” shall mean without duplication (a) all Extra-Contractual
Obligations other than Reinsurer Extra-Contractual Obligations, (b) any
liabilities resulting from any change to the terms of any Reinsured Policy after
the Effective Date, unless such change is required by applicable Law or by the
express terms of the Reinsured Policies, or has been approved in writing in
advance by the Reinsurer, (c) any liabilities other than Reinsured Liabilities
and (d) any ex gratia payments made by the Ceding Company (i.e., payments the
Ceding Company is not required to make under the terms of the Reinsured
Policies) unless such payment has been approved in writing in advance by the
Reinsurer.
“Existing Hedge Proceeds” shall have the meaning specified in Section 8.01(a).
“Existing Hedges” shall mean all Existing Index Hedges and Existing Other
Hedges.
“Existing IMR” shall mean the Quota Share of the Ceding Company’s interest
maintenance reserves relating to the Reinsured Policies as of the Effective
Date, determined in accordance with Iowa SAP.
“Existing Index Hedges” shall mean all derivatives and other hedges purchased by
the Ceding Company prior to the Effective Date to hedge the index risk
associated with the Reinsured Policies that remain in full force and effect as
of the Effective Date and are listed on Schedule V. For the avoidance of doubt,
following the expiration or exercise of any Existing Index Hedge, such expired
or exercised hedge shall no longer be considered an Existing Index Hedge.
“Existing Other Hedges” shall mean all derivatives and other hedges purchased by
the Ceding Company prior to the Effective Date to hedge risk other than the
index risk associated with the Reinsured Policies that remain in full force and
effect as of the Effective Date and are listed on

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Schedule VI. For the avoidance of doubt, following the expiration or exercise of
any Existing Other Hedge, such expired or exercised hedge shall no longer be
considered an Existing Other Hedge.
“Extra-Contractual Obligations” shall mean any liabilities or obligations not
arising under the express terms and conditions of, or in excess of the
applicable policy limits of, the Reinsured Policies, including liabilities or
obligations for fines, penalties, taxes, fees, forfeitures, compensatory
damages, and punitive, special, treble, bad faith, tort, exemplary or other
forms of extra-contractual damages awarded against or paid by the Ceding
Company, which liabilities or obligations arise from any act, error or omission
committed by the Ceding Company or any of its Affiliates or any of the
directors, officers, employees, agents, representatives, annuity producers,
administrators, service providers, successors or assigns of the Ceding Company
or any of its Affiliates, whether or not intentional, negligent, in bad faith or
otherwise relating to (a) the form, marketing, sale, underwriting, production,
issuance, cancellation or administration of the Reinsured Policies, (b) the
investigation, defense, trial, settlement or handling of claims, benefits or
payments under the Reinsured Policies, (c) the failure to pay, the delay in
payment, or errors in calculating or administering the payment of benefits,
claims or any other amounts due or alleged to be due under or in connection with
the Reinsured Policies, (d) fines or other penalties associated with escheat or
unclaimed property liabilities arising under or relating to the Reinsured
Policies, (e) the failure of the Reinsured Policies or the payments thereunder
to qualify for their intended or expected tax status, or (f) any tax, penalty or
interest imposed in respect of any withholding or reporting obligation of the
Ceding Company in respect of taxes.
“Factual Information” shall have the meaning specified in Section 16.01(d).
“Fair Market Value” shall mean, as of any date of determination, (a) with
respect to any Existing Hedge, the market value of such Existing Hedge on such
date of determination as determined in accordance with the Iowa SAP, and (b)
with respect to any other asset, the market value of such asset on such date of
determination as determined in accordance with Schedule IV attached hereto.
“Final Company Ceding Commission” shall have the meaning specified in the Master
Agreement.
“Funds Withheld Account” shall have the meaning specified in Section 8.02.
“Funds Withheld Amount” shall mean, as of any date of determination, the
aggregate Fair Market Value of the Existing Hedges as of such date.
“Governmental Entity” shall mean any foreign, federal, state, local or other
governmental, legislative, judicial, administrative or regulatory authority,
agency, commission, board, body, court or entity or any instrumentality thereof
or any self-regulatory body or arbitral body or arbitrator.
“Initial Premium” shall have the meaning specified in Section 3.02(a).
“Initial Premium Assets” shall have the meaning specified in Section 3.02(d).

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“Iowa SAP” shall mean the statutory accounting principles and practices
prescribed or permitted for Iowa life insurance companies by the Iowa Insurance
Division, consistently applied by the Ceding Company; provided, that, for
purposes of calculating the Net Statutory Reserves as of the Effective Date,
Iowa SAP as applied by the Ceding Company shall include the methodology for
calculating indexed annuity product reserves set forth in Iowa Administrative
Code Chapter 191-97.
“Law” shall mean any law, statute, ordinance, written rule or regulation, order,
injunction, judgment, decree, principle of common law, constitution or treaty
enacted, promulgated, issued, enforced or entered by any Governmental Entity.
“Master Agreement” shall have the meaning specified in the Recitals hereto.
“Monthly Accounting Period” shall have the meaning specified in Section 7.01(b).
“Monthly Accounting Report” shall have the meaning specified in Section 7.01(b).
“Monthly Settlement Amount” shall have the meaning specified in Section 7.03(b).
“Net Statutory Reserves” shall mean the net statutory reserves of the Ceding
Company in respect of the Reinsured Policies, which shall be calculated in good
faith on a seriatim basis in accordance with Iowa SAP and using valuation
interest rates determined in a manner consistent with the Ceding Company’s
historical practices; provided, however, that Net Statutory Reserves shall not
include (a) additional actuarial reserves (as used in connection with Iowa SAP),
if any, established by the Ceding Company as a result of its annual cash flow
testing, (b) any asset valuation reserves (as used in connection with Iowa SAP)
established by the Ceding Company, (c) any interest maintenance reserves (as
used in connection with Iowa SAP) established by the Ceding Company or (d) any
other reserve not directly attributable to specific Reinsured Policies.
“New Effective Date IMR” shall mean any new interest maintenance reserve that is
created on the Effective Date as a result of the transactions contemplated by
this Agreement, determined in accordance with Iowa SAP.
“Non-Payout Annuities” shall have the meaning specified in Section 7.01.
“Non-Public Personal Information” shall have the meaning specified in
Section 17.10(b).
“Payout Annuities” shall have the meaning specified in Section 7.01.
“Permits” shall mean any licenses, certificates of authority or other similar
certificates, registrations, franchises, permits, approvals or other similar
authorizations issued to a Person by a Governmental Entity.
“Permitted Investments” shall have the meaning specified in Section 9.02(b).
“Person” shall mean an individual, corporation, partnership, joint venture,
limited liability company, association, trust, unincorporated organization,
Governmental Entity or other entity.

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“Policy Expenses” shall have the meaning specified in Section 5.01.
“Post-Effective Date IMR” shall mean the interest maintenance reserve relating
to the Reinsured Liabilities generated after the Effective Date, determined in
accordance with Delaware SAP.
“Post-Tax Reform Existing IMR” shall mean the portion of the Existing IMR
established after any change after the date of the Master Agreement to the
highest federal tax rate applicable to United States corporations.
“Pre-Tax Reform Existing IMR” shall mean the portion of the Existing IMR
established prior to any change after the date of the Master Agreement to the
highest federal tax rate applicable to United States corporations.
“Proprietary Information” shall have the meaning specified in Section 17.10(a).
“Quarterly Accounting Period” shall have the meaning specified in Section
7.01(c).
“Quarterly Accounting Report” shall have the meaning specified in Section
7.01(c).
“Quarterly Settlement Amount” shall have the meaning specified in Section
7.03(c).
“Quota Share” shall mean twenty percent (20%).
“Recapture Effective Date” shall mean the date on which the liability of the
Reinsurer with respect to all of the Reinsured Policies is terminated pursuant
to Section 11.02 or the effective date of the rejection of this Agreement by any
Receiver or of a recapture in full.
“Recapture Payment” shall have the meaning specified in Section 11.03(a).
“Receiver” shall have the meaning specified in Section 11.03(a).
“Reinsurance Credit Event” shall have the meaning specified in Section 9.01(a).
“Reinsurance Premiums” shall mean the Quota Share of the premiums, policy loan
principal and interest payments, and other fees, amounts, payments, collections
and recoveries received by the Ceding Company with respect to the Reinsured
Policies.
“Reinsured Liabilities” shall mean the Quota Share of (a) liabilities of the
Ceding Company with respect to claims, net of applicable surrender charges and
market value adjustments, if any, for benefits related to partial surrenders,
full surrenders, death claims, annuitizations, policy loans and other
contractual benefits under the Reinsured Policies, (b) the Reinsurer
Extra-Contractual Obligations, (c) liabilities with respect to premium taxes
payable by the Ceding Company to the extent relating to premiums with respect to
the Reinsured Policies that are issued after the Effective Date, (d) premium
taxes and guaranty fund assessments payable by the Ceding Company to the extent
relating to premiums received by the Ceding Company with respect to the
Reinsured Policies and (e) trail commissions payable to producers with respect
to the Reinsured Policies and other

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commissions payable with respect to premiums received by the Ceding Company
after the Effective Date and paid to the Reinsurer; provided, that in no event
shall “Reinsured Liabilities” include any Excluded Liabilities.
“Reinsured Policies” shall mean (a) all fixed annuity contracts issued by the
Ceding Company on the policy forms that are listed on Schedule I and in force on
the Effective Date, including any riders that are listed on Schedule I and any
amendments or endorsements attached thereto as of the Effective Date, (b) all
fixed annuity contracts assumed by the Ceding Company pursuant to the
reinsurance agreements listed on Schedule I, (c) all supplementary contracts,
whether with or without life contingencies, issued by the Ceding Company on or
following the Effective Date upon the annuitization of any annuity contract
referenced in (a) or (b) above or (d) below, and (d) all fixed annuity contracts
of the type referenced in clause (a) above that are issued by the Ceding Company
during the sixty (60) days following the Effective Date, including any
amendments or endorsements attached thereto.
“Reinsurer” shall have the meaning specified in the Preamble hereto.
“Reinsurer Extra-Contractual Obligations” shall mean Extra-Contractual
Obligations relating to the Reinsured Policies to the extent caused by, arising
from or related to any act of, or failure to act by, the Reinsurer or any of its
Affiliates following the Effective Date.
“Reserves Report” shall have the meaning specified in Section 7.02(a).
“Seller” shall have the meaning specified in the Recitals hereto.
“Statutory Carrying Value” shall mean, as of the relevant date of determination,
(a) with respect to the Existing Hedges, the amount permitted to be carried by
the Ceding Company as an admitted asset consistent with Iowa SAP, and (b) with
respect to assets held in the Custody Account, the amount permitted to be
carried by the Reinsurer as an admitted asset consistent with Delaware SAP.
“Terminal Accounting Report” shall have the meaning specified in
Section 11.03(a).
“Treasury Regulations” shall mean all proposed, temporary and final regulations
promulgated under the Code, as such regulations may be amended from time to
time.
“Unamortized Ceding Commission” shall mean an amount equal to: (a) the portion
of the Final Company Ceding Commission allocated by the Reinsurer and the Ceding
Company to this Agreement, multiplied by (b)(i) the Ceded Reserves as of the
Recapture Effective Date, divided by (ii) the Ceded Reserves as of the Effective
Date; provided, however, that as of any date of determination on or following
the tenth anniversary of the Effective Date, the Unamortized Ceding Commission
will be zero.
“Weekly Accounting Report” shall have the meaning specified in Section 7.01(a).
“Weekly Settlement Amount” shall have the meaning specified in Section 7.03(a).

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Section 1.02    Other Definitional Provisions.
(a)    For purposes of this Agreement, the words “hereof,” “herein,” “hereby”
and other words of similar import refer to this Agreement as a whole, including
all Schedules and Exhibits to this Agreement, unless otherwise indicated.
(b)    Whenever the singular is used herein, the same shall include the plural,
and whenever the plural is used herein, the same shall include the singular,
where appropriate.
(c)    The term “including” means “including but not limited to.”
(d)    Whenever used in this Agreement, the masculine gender shall include the
feminine and neutral genders and vice versa.
(e)    The Schedules and Exhibits hereto are hereby incorporated by reference
into the body of this Agreement.
(f)    All references herein to Articles, Sections, Subsections, Paragraphs,
Exhibits and Schedules shall be deemed references to Articles and Sections and
Subsections and Paragraphs of, and Exhibits and Schedules to, this Agreement
unless the context shall otherwise require.
(g)    All terms defined in this Agreement shall have the defined meaning when
used in any Schedule, Exhibit, certificate, report or other documents attached
hereto or made or delivered pursuant hereto unless otherwise defined therein.
ARTICLE II
COVERAGE
Section 2.01    Scope and Basis of Reinsurance.
(a)    This Agreement shall be effective as of 12:00:01 a.m. Eastern Time on the
Effective Date.
(b)    This Agreement is an agreement for indemnity reinsurance made solely
between the Ceding Company and the Reinsurer.
(c)    Subject to the terms, conditions and limits of this Agreement (including
the exclusion from coverage of Excluded Liabilities), the Ceding Company shall
automatically cede and the Reinsurer shall automatically reinsure (i) on a funds
withheld basis, a portion of the Reinsured Liabilities equal to the Funds
Withheld Amount, and (ii) on a coinsurance basis, all other Reinsured
Liabilities.
(d)    Subject to the terms, conditions and limits of this Agreement (including
the exclusion from coverage of Excluded Liabilities), the Reinsurer shall follow
the fortunes of the Ceding Company, and to that end the Reinsurer’s liability
for the Reinsured Policies shall be identical to that of the Ceding Company and
shall be subject to the same risks, terms, conditions,

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interpretations, waivers, modifications, alterations and cancellations to which
the Ceding Company is subject with respect to the Reinsured Policies, subject in
each case to the Ceding Company’s duty to adhere to its obligations pursuant to
Article X.
(e)    Notwithstanding anything to the contrary herein, the Reinsurer shall not
be liable for any Excluded Liabilities.
Section 2.02    Policy Changes.
(a)    The Ceding Company shall not, without the prior written consent of the
Reinsurer, terminate, amend, modify or waive any provision or provisions of the
Reinsured Policies, except to the extent required by applicable Law or the
express terms of the Reinsured Policies.
(b)    Any such terminations, amendments, modifications or waivers made without
the prior written consent of the Reinsurer shall be disregarded for purposes of
this Agreement, and the reinsurance with respect to the affected Reinsured
Policy will continue as if such termination, amendment, modification or waiver
had not been made.
Section 2.03    Reinstatement of Surrendered Policies. If a Reinsured Policy
that has been surrendered is reinstated according to its terms and the Ceding
Company’s reinstatement policies, the Reinsurer will, upon notification,
automatically reinstate the reinsurance with respect to such Reinsured Policy;
provided, that, to the extent that the reinstatement of such Reinsured Policy
requires payment of premiums in arrears or reimbursement of claims paid, the
Ceding Company shall pay to the Reinsurer all Reinsurance Premiums in arrears
and all reimbursements of Reinsured Liabilities paid on such Reinsured Policy.
Section 2.04    Misstatement of Fact. In the event of a change in the amount
payable under a Reinsured Policy due to a misstatement of fact, the Reinsurer’s
liability with respect to such Reinsured Policy will change proportionately.
Such Reinsured Policy will be rewritten from commencement on the basis of the
adjusted amounts using premiums and such other terms based on the correct facts,
and the proper adjustment for the difference in Reinsurance Premiums, without
interest, will be made.
Section 2.05    Credited Rates and Non-Guaranteed Elements. The Ceding Company
will be responsible for establishing contractual guarantees, credited interest
rates and other non-guaranteed elements of the Reinsured Policies; provided,
that the Reinsurer shall be permitted to provide recommendations regarding the
contractual guarantees, credited interest rates and other non-guaranteed
elements and index strategies of the Reinsured Policies and, to the extent such
recommendations comply with applicable Law, generally accepted actuarial
standards of practice, the terms of the Reinsured Policies and any
recommendations provided by ALRe, the Ceding Company shall not unreasonably take
any actions that contravene such recommendations and shall promptly incorporate
such recommendations. If the Ceding Company fails to adhere to such
recommendations, then the Ceding Company shall promptly notify the Reinsurer in
writing of such failure.

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Section 2.06    Programs of Internal Replacement. The Ceding Company shall not
solicit, or allow any of its Affiliates to solicit, directly or indirectly,
policy holders of the Reinsured Policies in connection with any program of
internal replacement. The term “program of internal replacement” means any
program sponsored or supported by the Ceding Company or any of its Affiliates
that is offered to a class of policy owners and in which a Reinsured Policy or a
portion of a Reinsured Policy is exchanged for another policy that is written by
the Ceding Company or any Affiliate of the Ceding Company or any successor or
assignee of any of them.
Section 2.07    Conservation Program. Upon the request of the Reinsurer, the
Ceding Company shall reasonably cooperate and work with the Reinsurer in good
faith to develop and implement a conservation program with respect to the
Reinsured Policies.
Section 2.08    Retrocession. The Reinsurer may retrocede all or any portion of
the risks ceded to it pursuant to this Agreement without the consent of the
Ceding Company.
Section 2.09    Interest Maintenance Reserve. The Ceding Company and the
Reinsurer agree that the Ceded IMR shall be ceded to and maintained by the
Reinsurer.
Section 2.10    Valuation of Liabilities. The Reinsurer shall calculate the
statutory reserves and tax reserves with respect to the Reinsured Policies;
provided, that, the Ceding Company shall provide reasonable support and
assistance to the Reinsurer in connection with such calculations with respect to
the calendar quarters ending June 30, 2018, September 30, 2018 and December 31,
2018.
ARTICLE III
REINSURANCE PREMIUMS
Section 3.01    Reinsurance Premiums. The payment of Reinsurance Premiums and
the Company Required Initial Premium is a condition precedent to the liability
of the Reinsurer under this Agreement. All Reinsurance Premiums other than the
Company Required Initial Premium shall be payable in accordance with
Section 7.03.
Section 3.02    Initial Premium; True-Up.
(a)    The initial premium payable by the Ceding Company to the Reinsurer shall
be an amount equal to (i) the Ceded Reserves as of the Effective Date, plus (ii)
the Pre-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up
Percentage, plus (iii) the Post-Tax Reform Existing IMR, divided by the
Applicable Tax Gross-Up Percentage, plus (iv) the New Effective Date IMR,
divided by the Applicable Tax Gross-Up Percentage, plus (v) the Quota Share of
$67.5 million (the “Initial Premium”);

(b)    The payment of the Initial Premium shall be satisfied on the Effective
Date by the payment by the Ceding Company to the Reinsurer in accordance with
this Section 3.02 of an initial premium equal to the following (the “Company
Required Initial Premium”):

(i)    the Ceded Reserves as of the Effective Date, plus

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(ii)    the Pre-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up
Percentage, plus

(iii)    the Post-Tax Reform Existing IMR, divided by the Applicable Tax
Gross-Up Percentage, plus

(iv)    the New Effective Date IMR, divided by the Applicable Tax Gross-Up
Percentage, minus

(v)    the Quota Share of the amount of outstanding policy loans on the
Reinsured Policies as of the Effective Date, if any, net of any unearned policy
loan interest on such loans but including amounts of interest due and accrued
with respect thereto, minus

(vi)    the Quota Share of the aggregate Statutory Carrying Value of the
Existing Hedges as of the Effective Date (for the avoidance of doubt, determined
immediately prior to giving effect to the cession of the Reinsured Liabilities
to the Reinsurer hereunder), plus

(vii)    the Quota Share of $67.5 million.
(c)    The amount of the Company Required Initial Premium actually paid on the
Effective Date (such estimated amount, the “Estimated Company Required Initial
Premium”) shall be determined on an estimated basis in accordance with the
Master Agreement.
(d)    To effectuate the payment of the Estimated Company Required Initial
Premium, the Ceding Company shall transfer to the Reinsurer assets with an
aggregate Fair Market Value equal to such Estimated Company Required Initial
Premium. A list of the assets so transferred to the Reinsurer (the “Initial
Premium Assets”), including an estimate of the Fair Market Value of each such
asset as of the Effective Date, is set forth on Schedule III attached hereto.
The Initial Premium Assets shall be assigned or endorsed in blank by the Ceding
Company to the Reinsurer in order to transfer to the Reinsurer absolutely and
unequivocally all right, title and interest in such assets.
(e)    The Estimated Company Required Initial Premium shall be subject to
adjustment following the Effective Date in accordance with the Master Agreement.
ARTICLE IV
CEDING COMMISSION
Section 4.01    Ceding Commission. The Reinsurer shall pay to the Ceding Company
on the Effective Date the portion of the Estimated Company Ceding Commission
allocated by the Reinsurer and the Ceding Company to this Agreement. The
Estimated Company Ceding Commission shall be subject to a post-Effective Date
adjustment in accordance with the Master Agreement.

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ARTICLE V
ADMINISTRATION FEE
Section 5.01    Policy Expenses. On a quarterly basis, the Reinsurer shall pay
the Ceding Company an administrative expense fee (“Policy Expenses”) to cover
the cost of providing all administrative and other services necessary or
appropriate in connection with the administration of the Reinsured Policies and
the Reinsured Liabilities in an amount calculated in accordance with Schedule II
attached hereto. The Policy Expenses shall be payable by the Reinsurer to the
Ceding Company in accordance with Section 7.03.
ARTICLE VI
REINSURED LIABILITIES
Section 6.01    Reinsured Liabilities. Subject to Sections 6.02 and 6.03, the
Reinsurer shall pay to the Ceding Company the Reinsured Liabilities in
accordance with Section 7.03.
Section 6.02    Claims Settlement.
(a)    Subject to Section 6.02(b) and 6.03, the Ceding Company shall be
responsible for the settlement of claims with respect to the Reinsured
Liabilities in accordance with Article X, applicable Law and the terms and
conditions of the Reinsured Policies.
(a)    The Ceding Company shall notify the Reinsurer in writing if the Ceding
Company determines that a claim for payment under a Reinsured Policy either
requires investigation or should be contested or denied. The Reinsurer and the
Ceding Company shall consult in good faith regarding the disposition of any such
claim. The Reinsurer may, but shall not be required to, recommend to the Ceding
Company how to handle such claim. In the event of any disagreement between the
Ceding Company and the Reinsurer as to the validity or amount of such a claim,
the Reinsurer shall have final authority over the disposition of such claim;
provided, however, that if ALRe provides a recommendation regarding the handling
of such claim, then the Ceding Company shall be permitted to follow such
recommendation.
Section 6.03    Recoveries. Subject to Section 6.02(b), if the Ceding Company
obtains any recoveries in respect of a claim with respect to the Reinsured
Liabilities paid by it in accordance with the terms of any Reinsured Policy, the
Ceding Company shall promptly pay to the Reinsurer the Quota Share of such
recoveries.

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ARTICLE VII
REPORTING AND SETTLEMENTS
Section 7.01    Ceding Company Reporting.
(a)    Within three (3) Business Days following the end of each calendar week,
the Ceding Company shall deliver to the Reinsurer a weekly accounting report (a
“Weekly Accounting Report”) substantially in the form set forth in Exhibit A for
such calendar week. The parties shall from time to time amend Exhibit A as
necessary to appropriately effectuate the terms and conditions of this Agreement
and to ensure the accounting and settlements made hereunder are correctly
computed.
(b)    Within five (5) Business Days following the end of each calendar month,
the Ceding Company shall deliver to the Reinsurer a monthly accounting report (a
“Monthly Accounting Report”) substantially in the form set forth in Exhibit B
for such calendar month (a “Monthly Accounting Period”). The parties shall from
time to time amend Exhibit B as necessary to appropriately effectuate the terms
and conditions of this Agreement and to ensure the accounting and settlements
made hereunder are correctly computed.
(c)    Within five (5) Business Days following the receipt of the Reserves
Report by the Ceding Company, the Ceding Company shall deliver to the Reinsurer
a quarterly accounting report (a “Quarterly Accounting Report”) substantially in
the form set forth in Exhibit C for such calendar quarter (a “Quarterly
Accounting Period”). The parties shall from time to time amend Exhibit C as
necessary to appropriately effectuate the terms and conditions of this Agreement
and to ensure the accounting and settlements made hereunder are correctly
computed.
(d)    Within ten (10) Business Days following the end of each calendar quarter
and any Recapture Effective Date, the Ceding Company shall deliver to the
Reinsurer a report setting forth the Ceded IMR, as of the end of such calendar
quarter or such Recapture Effective Date, as applicable.
(e)     (i) Within four (4) Business Days following the end of each Monthly
Accounting Period, the Ceding Company shall deliver to the Reinsurer a report of
the Reinsured Policies in the form specified by the Reinsurer, which shall
include, among other things, data feeds underlying roll-forward of policy count
and account values with respect to the Reinsured Policies as identified in
Exhibit D as of the end of such Monthly Accounting Period, the final form of
which the parties will negotiate in good faith and (ii) within three (3)
Business Days following the end of each Monthly Accounting Period solely with
respect to the payout annuities comprising the Reinsured Policies (the “Payout
Annuities”) and within one (1) Business Day following the end of each Monthly
Accounting Period with respect to all Reinsured Policies other than the Payout
Annuities (the “Non-Payout Annuities”), the Ceding Company shall deliver to the
Reinsurer a report of the Reinsured Policies in the form specified by the
Reinsurer, which shall include, among other things, a report setting
forth seriatim information with respect to each of the Reinsured Policies,
including the information identified in Exhibit E, the final form of which the
parties will negotiate in good faith and which shall be redacted such that it
does not include Non-Public Personal Information, as of the end of such Monthly
Accounting Period.

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(f)    Within five (5) Business Days following the end of each Monthly
Accounting Period, the Ceding Company shall deliver to the Reinsurer a report of
the Existing Hedges and the effectiveness thereof in a form mutually agreed upon
by the Ceding Company and the Reinsurer.
(h)    The Ceding Company shall deliver to the Reinsurer: (i) within five (5)
Business Days following the filing of the Ceding Company’s unaudited annual
statement with the Iowa Insurance Division but no later than March 20 of each
year, a copy of such unaudited annual statement; (ii) within five (5) Business
Days of the filing of the Ceding Company’s audited annual statutory financial
statements with the Iowa Insurance Division but no later than June 20 of each
year, a copy of such annual statutory financial statements; and (iii) within
five (5) Business Days following the filing of the Ceding Company’s unaudited
quarterly statutory financial statements with the Iowa Insurance Division but no
later than sixty (60) calendar days following the end of each calendar quarter,
a copy of such unaudited quarterly statutory financial statements.
(i)    Upon request, the Ceding Company will, within a reasonable timeframe,
provide the Reinsurer with any additional information related to the Reinsured
Policies available to the Ceding Company and not reasonably available to the
Reinsurer which the Reinsurer requires in order to complete its financial
statements or is otherwise required to comply with regulatory requirements. The
Reinsurer will identify and communicate any such requests to the Ceding Company
sufficiently in advance of any required deadlines such that the applicable
information and timing for the provision thereof can be mutually agreed by the
parties.
(j)    The Ceding Company acknowledges that timely and correct compliance with
the reporting requirements of this Agreement are a material element of the
Ceding Company’s responsibilities hereunder and an important basis of the
Reinsurer’s ability to reinsure the risks hereunder. Consistent and material
non-compliance with reporting requirements, including extended delays, will
constitute a material breach of the terms of this Agreement.
Section 7.02    Reinsurer Reporting.
(a)    Within ten (10) Business Days following the end of each calendar quarter
and any Recapture Effective Date, the Reinsurer shall deliver to the Ceding
Company a report (the “Reserves Report”) setting forth (i) the Ceded Reserves,
determined on a seriatim basis, and (ii) the Post-Effective Date IMR, as of the
end of such calendar quarter or such Recapture Effective Date, as applicable.
(b)    The Reinsurer shall deliver, or cause to be delivered, to the Ceding
Company, the Custody Account Valuation Report as set forth in Section 9.04(a).
(c)    The Reinsurer shall deliver to the Ceding Company: (i) within five (5)
Business Days following the filing of the Reinsurer’s unaudited annual statement
with the Delaware Department of Insurance but no later than May 20 of each year,
a copy of such unaudited annual statement; (ii) within five (5) Business Days of
the filing of the Reinsurer’s audited annual statutory financial statements with
the Delaware Department of Insurance but no later than June 20 of each year, a
copy of such annual statutory financial statements; and (iii) within five (5)
Business Days

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following the filing of the Reinsurer’s unaudited quarterly statutory financial
statements with the Delaware Department of Insurance but no later than sixty
(60) calendar days following the end of each calendar quarter, a copy of such
unaudited quarterly statutory financial statements.
(d)    The Reinsurer shall provide to the Ceding Company the additional reports
set forth on Schedule VII at the times set forth on Schedule VII.
(e)    Upon request, the Reinsurer will, within a reasonable timeframe, provide
the Ceding Company with any additional information related to the Reinsured
Policies available to the Reinsurer and not reasonably available to the Ceding
Company which the Ceding Company reasonably requires in order to complete its
financial statements or is otherwise required to comply with regulatory
requirements. The Ceding Company will identify and communicate any such requests
to the Reinsurer sufficiently in advance of any required deadlines such that the
applicable information and timing for the provision thereof can be mutually
agreed by the parties.
Section 7.03    Settlements.
(a)    An interim net balance payable under this Agreement for each calendar
week (as set forth in the applicable Weekly Accounting Report, the “Weekly
Settlement Amount”) shall be calculated by the Ceding Company and reported to
the Reinsurer in the Weekly Accounting Report delivered with respect to such
period. Each Weekly Settlement Amount shall be payable as follows:
(i)    If the Weekly Settlement Amount with respect to any period is positive,
then the Ceding Company shall pay to the Reinsurer an amount equal to such
Weekly Settlement Amount on the date on which such Weekly Settlement Amount is
reported by the Ceding Company to the Reinsurer; or
(ii)    If the Weekly Settlement Amount with respect to any period is negative,
then the Reinsurer shall pay to the Ceding Company an amount equal to the
absolute value of such Weekly Settlement Amount within two (2) Business Days
following the date on which such Weekly Settlement Amount is reported by the
Ceding Company to the Reinsurer.
All Weekly Settlement Amounts paid during any Monthly Accounting Period shall be
reflected in the Monthly Accounting Report with respect to such Monthly
Accounting Period and taken into account in determining the Monthly Settlement
Amount with respect to such Monthly Accounting Period. All Weekly Settlement
Amounts paid during any Quarterly Accounting Period shall be reflected in the
Quarterly Accounting Report with respect to such Quarterly Accounting Period and
taken into account in determining the Quarterly Settlement Amount with respect
to such Quarterly Accounting Period.
(b)    The net balance payable under this Agreement for each Monthly Accounting
Period (as set forth in the applicable Monthly Accounting Report, the “Monthly
Settlement Amount”) shall be calculated by the Ceding Company and reported to
the Reinsurer in

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the Monthly Accounting Report delivered with respect to such Monthly Accounting
Period. Each Monthly Settlement Amount shall be payable as follows:
(i)    if the Monthly Settlement Amount indicated in the Monthly Accounting
Report is positive, then the Ceding Company shall pay to the Reinsurer, by wire
transfer of immediately available funds on the date of delivery of such Monthly
Accounting Report to the Reinsurer, an amount equal to such Monthly Settlement
Amount; or
(ii)    if the Monthly Settlement Amount indicated in a Monthly Accounting
Report is negative, then the Reinsurer shall pay to the Ceding Company, by wire
transfer of immediately available funds within five (5) Business Days following
the delivery of such Monthly Accounting Report to the Reinsurer, an amount equal
to the absolute value of such Monthly Settlement Amount.
(c)    The net balance payable under this Agreement for each Quarterly
Accounting Period (as set forth in the applicable Quarterly Accounting Report,
the “Quarterly Settlement Amount”) shall be calculated by the Ceding Company and
reported to the Reinsurer in the Quarterly Accounting Report delivered with
respect to such Quarterly Accounting Period. Each Quarterly Settlement Amount
shall be payable as follows:
(i)    if the Quarterly Settlement Amount indicated in the Quarterly Accounting
Report is positive, then the Ceding Company shall pay to the Reinsurer, by wire
transfer of immediately available funds on the date of delivery of such
Quarterly Accounting Report to the Reinsurer, an amount equal to such Quarterly
Settlement Amount; or
(ii)    if the Quarterly Settlement Amount indicated in a Quarterly Accounting
Report is negative, then the Reinsurer shall pay to the Ceding Company, by wire
transfer of immediately available funds within five (5) Business Days following
the delivery of such Quarterly Accounting Report to the Reinsurer, an amount
equal to the absolute value of such Quarterly Settlement Amount.
(d)    Except as otherwise set forth herein, any amount due under this Agreement
shall be paid by wire transfer of immediately available funds to the account or
accounts designated by the recipient thereof.

ARTICLE VIII
HEDGING; FUNDS WITHHELD ACCOUNT
Section 8.01    Existing Hedges.
(a)    The Ceding Company hereby assigns to the Reinsurer, as of the Effective
Date, a fractional interest in the gross proceeds in respect of all Existing
Hedges equivalent to the Quota Share of all amounts actually received (or deemed
received) by the Ceding Company pursuant to the Existing Hedges from the
relevant hedge counterparty, including upon an early exercise of an Existing
Hedge by the Ceding Company, which amounts shall be determined without regard to

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any netting of amounts between the Ceding Company and the relevant hedge
counterparty with respect to any derivatives that are not Existing Hedges (the
“Existing Hedge Proceeds”), and such assignment shall be effected through
deposit or attribution to the Funds Withheld Account. Such assignment shall
occur automatically, without further action on the part of either party, on the
Effective Date. Upon any termination of this Agreement, all of the Reinsurer’s
right, title and interest (legal, equitable and otherwise) in and to the
Existing Hedge Proceeds will be immediately assigned to the Ceding Company
without any further action by the parties hereto.
(b)    Any Existing Hedge Proceeds shall be attributed to the Funds Withheld
Account and reflected in the Monthly Accounting Report for the applicable
Monthly Accounting Period. The Ceding Company shall pay to the Reinsurer any
Existing Hedge Proceeds in accordance with Section 7.03.
(c)    Other than with respect to the Existing Hedges, the Reinsurer shall be
responsible for hedging its share of the index risk and other risk associated
with the Reinsured Policies.
Section 8.02    Funds Withheld Account. On the Effective Date, (a) the Ceding
Company shall (i) establish on its books a funds withheld account (the “Funds
Withheld Account”), (ii) allocate to such Funds Withheld Account the Quota Share
of the Existing Hedges, and (iii) establish and maintain on its books an account
payable to the Reinsurer in the amount of the Funds Withheld Amount, and (b) the
Reinsurer shall establish on its books an account receivable from the Ceding
Company in the amount of the Funds Withheld Amount as of such date.
ARTICLE IX
CREDIT FOR REINSURANCE; CUSTODY ACCOUNT
Section 9.01    Credit for Reinsurance. The Reinsurer shall maintain in full
force and effect at all times during the term of this Agreement all Permits that
are necessary to ensure that the Ceding Company will receive credit on its
statutory financial statements in its domiciliary State for the reinsurance
provided pursuant to this Agreement. If the Reinsurer fails to maintain all such
Permits or the Ceding Company otherwise does not receive credit on its statutory
financial statements in its domiciliary State for the reinsurance provided
pursuant to this Agreement (a “Reinsurance Credit Event”), then the Reinsurer
shall promptly take such steps as are necessary to: (a) restore such Permits;
(b) become accredited as a reinsurer in the domiciliary State of the Ceding
Company; or (c) establish a qualified reinsurance trust or provide a letter of
credit or other form of collateral permitted under applicable Law, in each case,
such that the Ceding Company shall be able to obtain credit on its statutory
financial statements in its domiciliary State for the reinsurance provided by
this Agreement, it being understood that the Reinsurer shall have the sole
discretion to elect among the methods available to it. All such steps shall be
completed no later than the end of the calendar quarter in which such
Reinsurance Credit Event occurs.
Section 9.02    Custody Account.
(a)    In order to secure the obligations of the Reinsurer hereunder, on the
Effective Date, the Reinsurer, the Ceding Company and Citibank, N.A. (the
“Custodian”) shall

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enter into a collateral account control agreement (the “Custody Agreement”),
pursuant to which the Reinsurer shall establish a custody account (the “Custody
Account”) in which it will maintain assets supporting the Reinsured Liabilities.
On the Effective Date, the Reinsurer shall deposit, or cause to be deposited,
into the Custody Account Permitted Investments with an aggregate Statutory
Carrying Value equal to the Custody Account Required Balance as of the Effective
Date. The “Custody Account Required Balance” as of any date of determination
shall be an amount equal to the sum of (i) the Ceded Reserves. (ii) the Ceded
IMR and (iii) the Post-Effective Date IMR, each as of such date.
(b)    The Custody Account assets shall be subject to withdrawal from the
Custody Account in accordance with the Custody Agreement. The Reinsurer shall
bear the administrative costs and expenses related to the establishment and
maintenance of the Custody Account, including the applicable fees of the
Custodian. The Reinsurer shall be permitted to manage and make investment
decisions with respect to the assets in the Custody Account, including through
one or more investment managers; provided, however, that the assets in the
Custody Account shall be comprised solely of investments of the type that
qualify under applicable insurance laws of the State of Delaware as admitted
assets for a life insurance company domiciled in the State of Delaware (the
“Permitted Investments”). At the Reinsurer’s discretion, any derivatives
purchased by the Reinsurer to hedge its share of risks associated with the
Reinsured Policies may be held in the Custody Account, to the extent that such
hedges qualify as Permitted Investments.
Section 9.03    Ceding Company Withdrawals. The Ceding Company shall have the
right, subject to five (5) Business Days’ prior written notice to the Reinsurer,
to withdraw assets from the Custody Account to the extent the Reinsurer fails to
pay any amount due to the Ceding Company under this Agreement (after taking into
account all applicable cure periods, if any). If the Reinsurer objects to any
such prior written notice of withdrawal, the dispute will be resolved in
accordance with Section 13.02. The Ceding Company shall promptly return (or
instruct the Custodian to return) to the Custody Account any assets withdrawn
from the Custody Account in excess of the actual amounts permitted by this
Section 9.03. Pending such return of assets, the Ceding Company shall hold all
such assets separate and apart from any assets of the Ceding Company for the
sole benefit of the Reinsurer. In connection with any such return of assets to
the Custody Account, the Ceding Company shall also transfer to the Custody
Account an amount of interest at a rate of six percent (6%) per annum,
calculated on a 30/360 basis, for the period that such assets were held by the
Ceding Company.
Section 9.04    Custody Account Settlements.
(a)    Within ten (10) Business Days following the end of each Quarterly
Accounting Period, the Reinsurer shall deliver, or cause to be delivered, to the
Ceding Company a report setting forth a list of the assets maintained in the
Custody Account and the Statutory Carrying Value of each such asset, in each
case, as of the end of such Quarterly Accounting Period (each, a “Custody
Account Valuation Report”).
(b)    Within five (5) Business Days following the delivery by the Reinsurer of
the Custody Account Valuation Report:

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(i)    If the aggregate Statutory Carrying Value of the Permitted Investments
maintained in the Custody Account as of the end of the applicable Quarterly
Accounting Period is greater than the Custody Account Required Balance as of the
end of such Quarterly Accounting Period, then the Reinsurer shall be permitted
to withdraw assets from the Custody Account having an aggregate Statutory
Carrying Value equal to such excess; and
(ii)    If the aggregate Statutory Carrying Value of the Permitted Investments
maintained in the Custody Account as of the end of the applicable Quarterly
Accounting Period is less than the Custody Account Required Balance as of the
end of such Quarterly Accounting Period, then the Reinsurer shall deposit, or
cause to be deposited, in the Custody Account Permitted Investments having an
aggregate Statutory Carrying Value equal to such deficiency.
Section 9.05    Additional Reinsurer Withdrawals.
(a)    In addition to the withdrawal rights set forth in Section 9.04(b) and the
substitution rights set forth in Section 9.06, the Reinsurer shall be permitted
to withdraw assets from the Custody Account for any of the following purposes:
(i)    to pay to the Ceding Company any Weekly Settlement Amount, Monthly
Settlement Amount, Quarterly Settlement Amount or any other amounts payable by
the Reinsurer hereunder; or
(ii)    to reimburse the Reinsurer for any Weekly Settlement Amount, Monthly
Settlement Amount, Quarterly Settlement Amount or other amount paid by the
Reinsurer to the Ceding Company with assets held outside of the Custody Account.
(b)    The Reinsurer shall promptly return to the Custody Account any assets
withdrawn from the Custody Account in excess of the actual amounts permitted by
Section 9.04(b) or this Section 9.05. Pending such return of assets, the
Reinsurer shall hold all such assets separate and apart from any other assets of
the Reinsurer for the sole benefit of the Ceding Company.
Section 9.06    Substitutions. In addition to the withdrawal rights set forth
above, the Reinsurer will be permitted at any time to substitute all or any part
of the assets in the Custody Account with other Permitted Investments having an
aggregate Statutory Carrying Value equal to or exceeding the aggregate Statutory
Carrying Value of the substituted assets; provided, however, that the fair
market value of any Permitted Investment being deposited into the Custody
Account in connection with any substitution shall be equal to or greater than
the fair market value of the substituted asset, unless the fair market value of
such substituted asset is greater than the Statutory Carrying Value of such
substituted asset, in which case, the Permitted Investment being deposited into
the Custody Account in connection with such substitution must have a fair market
value equal to or greater than the Statutory Carrying Value of such substituted
asset. For purposes of this Section 9.06, the fair market value of any such
asset shall be determined by the Reinsurer in good faith in the same manner in
which it determines the fair market value of other investment assets of the
Reinsurer that are held outside of the Custody Account.

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Section 9.07    Termination of Ceding Company’s Withdrawal Rights. The Reinsurer
and the Ceding Company shall take all actions necessary to terminate the Custody
Agreement upon the termination of this Agreement and the settlement of all
amounts due by the Reinsurer to the Ceding Company under this Agreement.
ARTICLE X
ADMINISTRATION
Section 10.01    Policy Administration. The Ceding Company shall provide all
required, necessary and appropriate claims, administrative and other services,
including reporting under Article VII, with respect to the Reinsured Policies
and the Existing Hedges. The Ceding Company shall conduct its administration and
claims practices with respect to the Reinsured Policies and the Existing Hedges
(a) with a level of skill, diligence and expertise that would reasonably be
expected from experienced and qualified personnel performing such duties in
similar circumstances, (b) in accordance with applicable Law and the terms of
the Reinsured Policies, and (c) in a manner no less favorable to the Reinsurer,
the Reinsured Polices and the Existing Hedges than those used by the Ceding
Company with respect to other policies of the Ceding Company not reinsured by
the Reinsurer hereunder or other hedges of the Ceding Company. The Ceding
Company shall not outsource any administrative functions or claims
administration with respect to the Reinsured Policies or this Agreement without
the prior written consent of the Reinsurer. If the Reinsurer consents to any
outsourcing of any administrative functions or claims administration with
respect to the Reinsured Policies or this Agreement, the Ceding Company shall
secure the Reinsurer’s right to audit and inspect the party performing such
outsourced services.
Section 10.02    Record-Keeping.
(a)    Each of the Ceding Company and Reinsurer shall maintain all records and
correspondence for services performed by such party hereunder relating to the
Reinsured Policies in accordance with industry standards of insurance
record-keeping. In addition, such records shall be made available for
examination, audit, and inspection by the other party, or the department of
insurance of any State within whose jurisdiction the Ceding Company or the
Reinsurer operates. The Ceding Company and the Reinsurer further agree that in
the event of the termination of this Agreement, any such records in the
possession of the Reinsurer shall promptly be duplicated and forwarded to the
Ceding Company unless otherwise instructed.
(b)    The Ceding Company shall establish and maintain an adequate system of
internal controls and procedures for financial reporting relating to the
Reinsured Policies, including associated documentation, and shall make such
documentation available for examination and inspection by the Reinsurer. All
reports provided by the Ceding Company pursuant to Article VII shall be prepared
in accordance with such system and procedures and shall be consistent with the
Ceding Company’s books and records.

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ARTICLE XI
TERM AND TERMINATION
Section 11.01    Duration of Agreement. This Agreement shall continue in force
until such time as the Ceding Company has no further liabilities or obligations
with respect to the Reinsured Liabilities. In the event this Agreement is
terminated, the Ceding Company shall promptly notify the Iowa Insurance Division
of such termination.
Section 11.02    Recapture.
(a)    Neither party shall be permitted to cause a recapture of the Reinsured
Policies except in accordance with this Section 11.02. For the avoidance of
doubt, neither party shall be permitted to cause a partial recapture of the
Reinsured Policies pursuant to this Section 11.02.
(b)    Recapture for Non-Payment. Either party may cause the Reinsured Policies
to be recaptured in full and this Agreement to be terminated as to all Reinsured
Policies if the other party fails to pay any amounts due under this Agreement
within thirty (30) calendar days following written notice of non-payment from
the non-defaulting party.
(c)    Recapture by Ceding Company for Other Material Breach. The Ceding Company
may terminate this Agreement and recapture all of the Reinsured Policies in the
event the Reinsurer materially breaches this Agreement and fails to cure such
material breach within thirty (30) calendar days following written notice
thereof from the Ceding Company.
(d)    Recapture for Insolvency of Reinsurer. The Ceding Company may terminate
this Agreement and recapture all of the Reinsured Policies in the event that the
Reinsurer becomes insolvent (as set forth in Article XIV) by promptly providing
the Reinsurer or its Authorized Representative with written notice of recapture,
to be effective as of the date on which the Reinsurer’s insolvency is
established by the authority responsible for such determination. Any requirement
for a notification period prior to the termination of this Agreement shall not
apply under such circumstances.
Section 11.03    Recapture Payment.
(a)    In the event the Reinsured Policies are recaptured in full (including if
this Agreement is rejected by any liquidator, receiver, rehabilitator, trustee
or similar Person acting on behalf of the Ceding Company (a “Receiver”)), a net
accounting and settlement as to any balance due under this Agreement shall be
undertaken by the Ceding Company in accordance with Article VII, which
calculations shall be as of the Recapture Effective Date. Within five
(5) Business Days following the Recapture Effective Date, the Ceding Company
shall deliver to the Reinsurer a final Quarterly Accounting Report as of the
Recapture Effective Date (the “Terminal Accounting Report”), and the final
Quarterly Settlement Amount set forth in such Terminal Accounting Report shall
be paid in accordance with Section 7.03. In addition, within ten (10) Business
Days after Recapture Effective Date, the Reinsurer shall deliver to the Ceding
Company a report setting forth the amount of the Recapture Payment. Within
fifteen (15) Business Days after the Recapture

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Effective Date, the Reinsurer shall pay to the Ceding Company an amount (the
“Recapture Payment”) equal to:
(i)    the Ceded Reserves, plus
(ii)    the amount of the Pre-Tax Reform Existing IMR that remains unamortized
as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up
Percentage, plus
(iii)    the amount of the Post-Tax Reform Existing IMR that remains unamortized
as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up
Percentage, plus
(iv)    the amount of the New Effective Date IMR that remains unamortized as of
the Recapture Effective Date, divided by the Applicable Tax Gross-Up Percentage,
plus
(v)    the amount of the Post-Effective Date IMR as of the Recapture Effective
Date plus the amount of any new interest maintenance reserve that is created on
the Recapture Effective Date as a result of the recapture, minus
(vi)    the Unamortized Ceding Commission;
in each case, as of the Recapture Effective Date. The Reinsurer may, at its
option, pay the Recapture Payment in cash by wire transfer of immediately
available funds or, with the consent of the Ceding Company (which consent shall
not be unreasonably withheld, conditioned or delayed), in kind with assets with
an aggregate fair market value (determined in accordance with a methodology
agreed to by the Ceding Company and the Reinsurer that is substantially similar
to the methodology set forth on Schedule IV) equal to such amount; provided,
that no such consent shall be required with respect to any such assets set forth
on Schedule III.
(b)    Either party’s right to terminate the reinsurance provided hereunder will
not prejudice its right to collect amounts owed to it hereunder, including
applicable interest as specified in Section 17.02, for the period during which
such reinsurance was in force, through and including any notice period.
Section 11.04    Survival. All provisions of this Agreement will survive any
termination of this Agreement and recapture of the Reinsured Policies to the
extent necessary to carry out the purpose of this Agreement.

ARTICLE XII
ERRORS AND OMISSIONS
Section 12.01    Errors and Omissions. Any unintentional or accidental failure
to comply with the terms of this Agreement which can be shown to be the result
of an oversight or clerical error relating to the administration of reinsurance
by either party will not constitute a breach

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of this Agreement; provided, that, upon discovery, the error shall be promptly
corrected so that both parties are restored to the position they would have
occupied had the oversight or clerical error not occurred. In the event a
payment is corrected, the party receiving the payment shall be entitled to
interest in accordance with Section 17.02. Should it not be possible to restore
both parties to this position, the party responsible for the oversight or
clerical error will be responsible for any resulting liabilities and expenses.
ARTICLE XIII
DISPUTE RESOLUTION
Section 13.01    Negotiation.
(a)    Within fifteen (15) calendar days after the Reinsurer or the Ceding
Company has given the other party written notification of a specific dispute
arising out of or relating to this Agreement, each party will appoint a
designated officer of its company to attempt to resolve such dispute. The
officers will meet at a mutually agreeable time and location as soon as
reasonably possible and as often as reasonably necessary in order to gather and
furnish the other with all appropriate and relevant information concerning the
dispute. Any such meetings may be held by telephone or video conference. The
officers will discuss the matter in dispute and will negotiate in good faith
without the necessity of formal arbitration proceedings. During the negotiation
process, all reasonable requests made by one officer to the other for
information will be honored. The specific format for such discussions will be
decided by the designated officers.
(b)    If the officers cannot resolve the dispute within thirty (30) calendar
days of their first meeting, the dispute will be submitted to formal arbitration
pursuant to Section 13.02, unless the parties agree in writing to extend the
negotiation period for an additional thirty (30) calendar days.
Section 13.02    Arbitration; Waiver of Trial by Jury.
(a)    It is the intention of the Reinsurer and the Ceding Company that the
customs and practices of the insurance and reinsurance industry will be given
full effect in the operation and interpretation of this Agreement. If the
Reinsurer and the Ceding Company cannot mutually resolve a dispute that arises
out of or relates to this Agreement, including the validity of this Agreement,
and the dispute cannot be resolved through the negotiation process, then the
dispute will be finally settled by arbitration in accordance with the provisions
of this Section 13.02.
(b)    To initiate arbitration, either the Ceding Company or the Reinsurer will
notify the other party by certified mail of its desire to arbitrate, stating the
nature of the dispute and the remedy sought.
(c)    Any arbitration pursuant to this Section 13.02 will be conducted before a
panel of three (3) arbitrators who will be current or former officers of life
insurance or reinsurance companies other than the parties to this Agreement,
their Affiliates or subsidiaries, or other professionals with experience in life
insurance or reinsurance; provided, that such professionals shall not have
performed services for either party or its Affiliates within the previous five
(5) years.

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Each of the arbitrators will be familiar with the prevailing customs and
practices for reinsurance in the life insurance and reinsurance industry in the
United States. Each of the parties will appoint one arbitrator and the two (2)
so appointed will select the third arbitrator who shall be independent and
impartial. If either party refuses or fails to appoint an arbitrator within
sixty (60) calendar days after the other party has given written notice to such
party of its arbitrator appointment, the party that has given notice may appoint
the second arbitrator. If the two (2) arbitrators do not agree on a third
arbitrator within thirty (30) calendar days of the appointment of the second
arbitrator, then the third arbitrator shall be selected by the ARIAS-U.S. Umpire
Selection Procedure (available at www.ARIAS-US.org), subject to the arbitrator
qualification requirements of this paragraph.
(d)    Each arbitration hearing under this Agreement will be held on the date
set by the arbitrators at a mutually agreed upon location. In no event will this
date be later than six (6) months after the appointment of the third arbitrator.
As soon as possible, the arbitrators will establish arbitration procedures as
warranted by the facts and issues of the particular case. Notwithstanding
Section 17.17, the arbitration and this Section 13.02 shall be governed by
Title 9 (Arbitration) of the United States Code.
(e)    The arbitrators will base their decision on the terms and conditions of
this Agreement and the customs and practices of the insurance and reinsurance
industries rather than on strict interpretation of the law. The decision of the
arbitrators will be made by majority rule and will be final and binding on both
parties, unless (i) the decision was procured by corruption, fraud or other
undue means; (ii) there was evident partiality by an arbitrator or corruption in
any of the arbitrators or misconduct prejudicing the rights of any party; or
(iii) the arbitrators exceeded their powers. Subject to the preceding sentence,
neither party may seek judicial review of the decision of the arbitrators. The
arbitrators shall enter an award which shall do justice between the parties and
the award shall be supported by written opinion. The parties agree that the
federal courts in the State of Iowa, or the State courts of such State, have
jurisdiction to hear any matter relating to compelling arbitration or enforcing
the judgment of an arbitral panel, and the parties hereby consent to such
jurisdiction. Each party hereby waives, to the fullest extent permitted by Law,
any objection it may now or hereafter have to the laying of such venue, or any
claim that a proceeding has been brought in an inconvenient forum. In addition,
the Ceding Company and the Reinsurer hereby consent to service of process out of
such courts at the addresses set forth in Section 17.06.
(f)    Unless the arbitrators decide otherwise, each party will bear the expense
of its own arbitration activities, including its appointed arbitrator and any
outside attorney and witness fees. The parties will jointly bear the expense of
the third arbitrator.
(g)    Waiver of Trial by Jury. THE REINSURER AND THE CEDING COMPANY HEREBY
WAIVE ANY AND ALL RIGHTS TO TRIAL BY JURY IN ANY MATTER ARISING OUT OF OR
RELATING TO THIS AGREEMENT.

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ARTICLE XIV
INSOLVENCY
Section 14.01    Insolvency.
(a)    A party to this Agreement will be deemed “insolvent” when it:
(i)    applies for or consents to the appointment of a receiver, rehabilitator,
conservator, liquidator or statutory successor (the “Authorized Representative”)
of its properties or assets;
(ii)    is adjudicated as bankrupt or insolvent;
(iii)    files or consents to the filing of a petition in bankruptcy, seeks
reorganization or an arrangement with creditors or takes advantage of any
bankruptcy, dissolution, liquidation, rehabilitation, conservation or similar
Law; or
(iv)    becomes the subject of an order to rehabilitate or an order to liquidate
as defined by the insurance code of the jurisdiction of the party’s domicile.
(b)    In the event of the insolvency of either party, the rights or remedies of
this Agreement will remain in full force and effect.
(c)    Insolvency of the Ceding Company. In the event of the insolvency,
liquidation or rehabilitation of the Ceding Company or the appointment of a
liquidator, receiver or statutory successor of the Ceding Company, the
reinsurance coverage provided hereunder shall be payable by the Reinsurer
directly to the Ceding Company or to its liquidator, receiver or statutory
successor, on the basis of the liability of the Ceding Company for the Reinsured
Liabilities without diminution because of such insolvency, liquidation,
rehabilitation or appointment or because such liquidator, receiver or statutory
successor has failed to pay any claims or any portion thereof. In any such
event, the reinsurance being provided hereunder shall be payable immediately
upon demand, with reasonable provision for verification, on the basis of claims
allowed against the Ceding Company by any court of competent jurisdiction or by
any liquidator, receiver or statutory successor. In any such event, the
liquidator, receiver or statutory successor of the Ceding Company shall give
written notice to the Reinsurer of the pendency of each claim against the Ceding
Company with respect to such Reinsured Liabilities within a reasonable time
after each such claim is filed in the insolvency, liquidation or rehabilitation
proceeding. During the pendency of any such claims, the Reinsurer may, at its
own expense, investigate such claim and interpose in the proceeding in which
such claim is to be adjudicated any defense or defenses that the Reinsurer may
reasonably deem available to the Ceding Company or its liquidator, receiver or
statutory successor. For the avoidance of doubt, the Reinsurer will be liable
only for benefits reinsured as benefits become due under the terms of the
Reinsured Policies and will not be or become liable for any amounts or reserves
to be held by the Ceding Company as to the Reinsured Policies or for any damages
or payments resulting from the termination or restructuring of the Reinsured
Policies, in each case, that are not otherwise expressly covered by this
Agreement.

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ARTICLE XV
TAXES
Section 15.01    Taxes. No taxes, allowances, or other expenses will be paid by
the Reinsurer to the Ceding Company for any Reinsured Policy, except as
specifically referred to in this Agreement.
Section 15.02    DAC Tax Election. The Ceding Company and the Reinsurer hereby
elect and agree under Treasury Regulations Section 1.848-2(g)(8) as follows:
(a)    The Ceding Company and the Reinsurer will each attach a schedule to its
federal income tax return for the first taxable year ending after the Effective
Date that identifies this Agreement as a reinsurance agreement for which a joint
election under Treasury Regulation Section 1.848-2(g)(8) has been made, and will
otherwise file its respective federal income tax returns in a manner consistent
with the provisions of Treasury Regulation Section 1.848-2 as in effect on the
date this Agreement is executed;
(b)    For each taxable year under this Agreement, the party hereto with the net
positive consideration, as defined in the regulations promulgated under Section
848 of the Code, will capitalize specified policy acquisition expenses with
respect to this Agreement without regard to the general deductions limitation of
Section 848(c)(1) of the Code;
(c)    The Ceding Company and the Reinsurer agree to exchange information
pertaining to the amount of net consideration under this Agreement each year to
ensure consistency or as otherwise required by the Code and applicable Treasury
Regulations;
(d)    The first tax year for which this election is effective is 2018;
(e)    The Reinsurer will submit to the Ceding Company by May 15 each year its
calculation of the amount of the net consideration for the preceding calendar
year. This schedule of calculations will be accompanied by a statement that the
Reinsurer will report such amount of net consideration in its tax return for the
preceding calendar year;
(f)    The Ceding Company may contest such calculation by providing an
alternative calculation to the Reinsurer in writing within thirty (30) calendar
days of the Ceding Company’s receipt of the Reinsurer’s calculation. If the
Ceding Company does not so notify the Reinsurer, the Ceding Company will report
the amount of net consideration as determined by the Reinsurer in the Ceding
Company’s tax return for the previous calendar year;
(g)    If the Ceding Company contests the Reinsurer’s calculation of the amount
of net consideration, the parties will act in good faith to reach an agreement
as to the correct amount within thirty (30) calendar days of the date on which
the Ceding Company submits its alternative calculation.
Both the Ceding Company and the Reinsurer are subject to U.S. taxation under
Subchapter L of Chapter 1 of the Code.

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Section 15.03    Tax Treatment. The parties hereto acknowledge and agree that
the transaction contemplated by this Agreement constitutes an “applicable asset
acquisition” as defined in Section 1060 of the Code and the regulations
thereunder. Within thirty (30) calendar days following the Effective Date, the
Reinsurer shall deliver a schedule setting forth an allocation of the
consideration paid by the Reinsurer for federal income tax purposes among the
assets acquired by the Reinsurer pursuant to this transaction. The parties shall
negotiate in good faith to resolve any disagreements with respect to such
schedule. Each party shall file all tax returns and Form 8594 in a manner
consistent with the schedule as ultimately agreed.

ARTICLE XVI
REPRESENTATIONS, WARRANTIES AND COVENANTS
Section 16.01    Representations and Warranties of the Ceding Company. The
Ceding Company hereby represents and warrants to the Reinsurer, as of the
Effective Date, as follows:
(a)    Organization and Qualification. The Ceding Company is a corporation duly
incorporated, validly existing and in good standing under the Laws of the State
of Iowa and has all requisite corporate power and authority to operate its
business as now conducted, and is duly qualified as a foreign corporation to do
business, and, to the extent legally applicable, is in good standing, in each
jurisdiction where the character of its owned, operated or leased properties or
the nature of its activities makes such qualification necessary, except for
failures to be so qualified or be in good standing that, individually or in the
aggregate, do not have, and would not reasonably be expected to have, a material
adverse effect on the Ceding Company’s ability to perform its obligations under
this Agreement.
(b)    Authorization. The Ceding Company has all requisite corporate power to
enter into, consummate the transactions contemplated by and carry out its
obligations under, this Agreement. The execution and delivery by the Ceding
Company of this Agreement, and the consummation by the Ceding Company of the
transactions contemplated by, and the performance by the Ceding Company of its
obligations under, this Agreement have been duly authorized by all requisite
corporate action on the part of the Ceding Company. This Agreement has been duly
executed and delivered by the Ceding Company, and (assuming due authorization,
execution and delivery by the Reinsurer) this Agreement constitutes the legal,
valid and binding obligation of the Ceding Company, enforceable against it in
accordance with its terms, subject to the effect of any applicable bankruptcy,
reorganization, insolvency, moratorium, or similar Laws relating to or affecting
creditors’ rights generally.
(c)    No Conflict. The execution, delivery and performance by the Ceding
Company of, and the consummation by the Ceding Company of the transactions
contemplated by, this Agreement do not and will not (i) violate or conflict with
the organizational documents of the Ceding Company, (ii) conflict with or
violate any Law or Permit of any Governmental Entity applicable to the Ceding
Company or by which it or its properties or assets is bound or subject, or
(iii) result in any breach of, or constitute a default (or event which, with the
giving of notice or lapse of time, or both, would become a default) under, or
give to any Person any rights of termination, acceleration or cancellation of,
any agreement, lease, note, bond, loan or credit

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agreement, mortgage, indenture or other instrument, obligation or contract of
any kind to which the Ceding Company or any of its subsidiaries is a party or by
which the Ceding Company or any of its subsidiaries or any of their respective
properties or assets is bound or affected, except, in the case of clause (iii),
any such conflicts, violations, breaches, loss of contractual benefits, defaults
or rights that, individually or in the aggregate, do not have, and would not
reasonably be expected to have, a material adverse effect on the Ceding
Company’s ability to perform its obligations under this Agreement.
(d)    Factual Information Relating to the Reinsured Policies. The information
relating to the business reinsured under this Agreement and the Reinsured
Policies that was supplied by or on behalf of the Ceding Company to the
Reinsurer or any of the Reinsurer’s representatives in connection with this
Agreement (such information, the “Factual Information”), as of the date supplied
(or if later corrected or supplemented prior to the date hereof, as of the date
corrected or supplemented), did not contain any untrue statement of a material
fact or omit to state any material fact necessary to make such Factual
Information, taken as a whole, not misleading in light of the circumstances
under which the statements contained therein were made, and was otherwise
complete and accurate in all material respects. The Factual Information was
compiled in a commercially reasonable manner given its intended purpose.
(e)    Solvency. The Ceding Company is and will be Solvent on a statutory basis
immediately after giving effect to this Agreement. For the purposes of this
Section 16.01(e), “Solvent” means that: (i) the aggregate assets of the Ceding
Company are greater than the aggregate liabilities of the Ceding Company, in
each case determined in accordance with Iowa SAP; (ii) the Ceding Company does
not intend to, and does not believe that it will, incur debts or other
liabilities beyond its ability to pay such debts and other liabilities as they
come due; and (iii) the Ceding Company is not engaged in a business or
transaction, and does not contemplate engaging in a business or transaction, for
which the Ceding Company’s assets would constitute unreasonably insufficient
capital.
(f)    Governmental Licenses. The Ceding Company has all Permits necessary to
conduct its business as currently conducted and execute and deliver, and perform
its obligations under, this Agreement, except in such cases where the failure to
have a Permit has not had and would not reasonably be expected to have a
material adverse effect on the Ceding Company’s ability to perform its
obligations under this Agreement. All Permits that are material to the conduct
of the Ceding Company’s business are valid and in full force and effect. The
Ceding Company is not subject to any pending Action or, to the knowledge of the
Ceding Company, any threatened Action that seeks the revocation, suspension,
termination, modification or impairment of any Permit that, if successful, would
reasonably be expected to have, or with the passage of time become, a material
adverse effect on the Ceding Company’s ability to perform its obligations under
this Agreement.
Section 16.02    Covenants of the Ceding Company.
(a)    Investigations. To the extent permitted by applicable Law, the Ceding
Company shall promptly notify the Reinsurer, in writing, of any and all
investigations of the Ceding Company conducted by any Governmental Entity
commencing after the date hereof, other

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than routine State insurance department examinations that do not relate to the
business reinsured pursuant to this Agreement or would not otherwise reasonably
be expected to adversely affect the performance by the Ceding Company of its
obligations under this Agreement; provided, however, that the Ceding Company may
withhold any notice otherwise required to be delivered pursuant to this
Section 16.02(a) to the extent that the delivery thereof to the Reinsurer would
result in a waiver of the attorney-client privilege, the work-product doctrine
or any other applicable legal privilege or similar doctrine.
(b)    Statutory Accounting Principles. The Ceding Company shall prepare its
financial statements as required by, and in accordance with, Iowa SAP.
(c)    Existence; Conduct of Business. The Ceding Company shall do or cause to
be done all things reasonably necessary to preserve, renew and keep in full
force and effect its legal existence and the rights, Permits and privileges
material to the conduct of its business.
(d)    Compliance with Law. The Ceding Company shall comply with all Laws
applicable to, and all Permits issued by any Governmental Entity to, the Ceding
Company or by which it or its properties or assets is bound or subject, except
where the failure to do so, individually or in the aggregate, would not
reasonably be expected to have a material adverse effect on the Ceding Company’s
ability to perform its obligations, or on the Reinsurer’s rights or obligations,
under this Agreement.
(e)    Governmental Notices. The Ceding Company shall provide the Reinsurer,
within five (5) Business Days after receipt thereof, copies of any written
notice or report from any Governmental Entity with respect to the business
reinsured under this Agreement and a written summary of any material oral
communication with any Governmental Entity with respect to the business
reinsured under this Agreement.
Section 16.03    Representations and Warranties of the Reinsurer. The Reinsurer
hereby represents and warrants to the Ceding Company, as of the Effective Date,
as follows:
(a)    Organization and Qualification. The Reinsurer is a corporation duly
incorporated, validly existing and in good standing under the Laws of the State
of Delaware and has all requisite corporate power and authority to operate its
business as now conducted, and is duly qualified as a foreign corporation to do
business, and, to the extent legally applicable, is in good standing, in each
jurisdiction where the character of its owned, operated or leased properties or
the nature of its activities makes such qualification necessary, except for
failures to be so qualified or be in good standing that, individually or in the
aggregate, do not have, and would not reasonably be expected to have, a material
adverse effect on the Reinsurer’s ability to perform its obligations under this
Agreement.
(b)    Authorization. The Reinsurer has all requisite corporate power to enter
into, consummate the transactions contemplated by and carry out its obligations
under, this Agreement. The execution and delivery by the Reinsurer of this
Agreement, and the consummation by the Reinsurer of the transactions
contemplated by, and the performance by the Reinsurer of its obligations under,
this Agreement have been duly authorized by all requisite corporate action on

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the part of the Reinsurer. This Agreement has been duly executed and delivered
by the Reinsurer, and (assuming due authorization, execution and delivery by the
Ceding Company) this Agreement constitutes the legal, valid and binding
obligation of the Reinsurer, enforceable against it in accordance with its
terms, subject to the effect of any applicable bankruptcy, reorganization,
insolvency, moratorium, or similar Laws relating to or affecting creditors’
rights generally.
(c)    No Conflict. The execution, delivery and performance by the Reinsurer of,
and the consummation by the Reinsurer of the transactions contemplated by, this
Agreement do not and will not (i) violate or conflict with the organizational
documents of the Reinsurer, (ii) conflict with or violate any Law or Permit of
any Governmental Entity applicable to the Reinsurer or by which it or its
properties or assets is bound or subject, or (iii) result in any breach of, or
constitute a default (or event which, with the giving of notice or lapse of
time, or both, would become a default) under, or give to any Person any rights
of termination, acceleration or cancellation of, any agreement, lease, note,
bond, loan or credit agreement, mortgage, indenture or other instrument,
obligation or contract of any kind to which the Reinsurer or any of its
subsidiaries is a party or by which the Reinsurer or any of its subsidiaries or
any of their respective properties or assets is bound or affected, except, in
the case of clause (iii), any such conflicts, violations, breaches, loss of
contractual benefits, defaults or rights that, individually or in the aggregate,
do not have, and would not reasonably be expected to have, a material adverse
effect on the Reinsurer’s ability to perform its obligations under this
Agreement.
(d)    Governmental Licenses. The Reinsurer has all Permits necessary to conduct
its business as currently conducted and execute and deliver, and perform its
obligations under, this Agreement, except in such cases where the failure to
have a Permit has not had and would not reasonably be expected to have a
material adverse effect on the Reinsurer’s ability to perform its obligations
under this Agreement. All Permits that are material to the conduct of the
Reinsurer’s business are valid and in full force and effect. The Reinsurer is
not subject to any pending Action or, to the knowledge of the Reinsurer, any
threatened Action that seeks the revocation, suspension, termination,
modification or impairment of any Permit that, if successful, would reasonably
be expected to have, or with the passage of time become, a material adverse
effect on the Reinsurer’s ability to perform its obligations under this
Agreement. The Reinsurer is duly licensed as an authorized insurer in the Ceding
Company’s state of domicile.
Section 16.04    Covenants of the Reinsurer.
(a)    Investigations. To the extent permitted by applicable Law, the Reinsurer
shall promptly notify the Ceding Company, in writing, of any and all
investigations of the Reinsurer conducted by any Governmental Entity commencing
after the date hereof, other than routine State insurance department
examinations that do not relate to the business reinsured pursuant to this
Agreement or would not otherwise reasonably be expected to adversely affect the
performance by the Reinsurer of its obligations under this Agreement; provided,
however, that the Reinsurer may withhold any notice otherwise required to be
delivered pursuant to this Section 16.04(a) to the extent that the delivery
thereof to the Ceding Company would result in a waiver of the attorney-client
privilege, the work-product doctrine or any other applicable legal privilege or
similar doctrine.

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(b)    Statutory Accounting Principles. The Reinsurer shall prepare its
financial statements as required by, and in accordance with, Delaware SAP.
(c)    Existence; Conduct of Business. The Reinsurer shall do or cause to be
done all things reasonably necessary to preserve, renew and keep in full force
and effect its legal existence and the rights, Permits and privileges material
to the conduct of its business.
(d)    Compliance with Law. The Reinsurer shall comply with all Laws applicable
to, and all Permits issued by any Governmental Entity to, the Reinsurer or by
which it or its properties or assets is bound or subject, except where the
failure to do so, individually or in the aggregate, would not reasonably be
expected to have a material adverse effect on the Reinsurer’s ability to perform
its obligations, or on the Ceding Company’s rights or obligations, under this
Agreement.
(e)    Governmental Notices. The Reinsurer shall provide the Ceding Company,
within five (5) Business Days after receipt thereof, copies of any written
notice or report from any Governmental Entity with respect to the business
reinsured under this Agreement and a written summary of any material oral
communication with any Governmental Entity with respect to the business
reinsured under this Agreement.

ARTICLE XVII
MISCELLANEOUS
Section 17.01    Currency. All payments due under this Agreement shall be made
in U.S. Dollars.
Section 17.02    Interest. All amounts due and payable by the Ceding Company or
the Reinsurer under this Agreement that remain unpaid for more than fifteen
(15) calendar days from the date due hereunder will incur interest from the date
due hereunder. Except as otherwise set forth in this Agreement, such interest
shall accrue at a rate equal to six percent (6%) per annum, calculated on a
30/360 basis.
Section 17.03    Right of Setoff and Recoupment.
(a)    Each of the Ceding Company and the Reinsurer shall have, and may exercise
at any time and from time to time, the right to setoff or recoup any undisputed
balance or balances, whether on account of Reinsurance Premiums, allowances,
credits, Reinsured Liabilities or otherwise, due from one party to the other
under this Agreement and may setoff or recoup such balance or balances against
any balance or balances due to the former from the latter under this Agreement.
(b)    The parties’ setoff rights may be enforced notwithstanding any other
provision of this Agreement including the provisions of Article XIV.
Section 17.04    No Third-Party Beneficiaries. This Agreement is an indemnity
reinsurance agreement solely between the Ceding Company and the Reinsurer. The
acceptance of

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risks under this Agreement by the Reinsurer will create no right or legal
relation between the Reinsurer and the insured, owner, beneficiary, or assignee
of any insurance policy of the Ceding Company. In addition, nothing expressed or
implied in this Agreement is intended to or shall confer remedies, obligations
or liabilities upon any Person other than the parties hereto and their
respective administrators, successors, legal representatives and permitted
assigns or relieve or discharge the obligation or liability of any third party
to any party to this Agreement.
Section 17.05    Amendment. This Agreement may not be changed or modified or in
any way amended except by a written instrument duly executed by the proper
officers of both parties to this Agreement, and any change or modification to
this Agreement will be null and void unless made by amendment to this Agreement
and duly executed by the proper officers of both parties to this Agreement.
Prior written approval of the Iowa Insurance Division is required for any
amendment to this Agreement.
Section 17.06    Notices.
(a)    All demands, notices, reports and other communications provided for
herein shall be delivered by the following means: (i) hand-delivery;
(ii) overnight courier service (e.g., FedEx, Airborne Express, or DHL);
(iii) registered or certified U.S. mail, postage prepaid and return receipt
requested; or (iv) facsimile transmission or e-mail; provided, that the fax or
e-mail is confirmed by delivery using one of the three (3) methods identified in
clauses (i) through (iii). All such demands, notices, reports and other
communications shall be delivered to the parties as follows:
if to the Ceding Company:
Voya Insurance and Annuity Company
699 Walnut Street, Suite 1350
Des Moines, Iowa 50309
Attention: General Counsel
Email: legal@venerableannuity.com

if to the Reinsurer:
Athene Annuity & Life Assurance Company
7770 Mills Civic Parkway
West Des Moines, Iowa 50266
Attention: Diana Palmer
Telephone: (515) 342-4942
Email: legal@athene.com
(b)    Either party hereto may change the names or addresses where notice is to
be given by providing notice to the other party of such change in accordance
with this Section 17.06.

32

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(c)    If either party hereto becomes aware of any change in applicable Law
restricting the transmission of notices or other information in accordance with
the foregoing, such party shall notify the other party hereto of such change in
Law and such resulting restriction.
Section 17.07    Consent to Jurisdiction. Subject to the terms and conditions of
Article XIII, each party hereto hereby irrevocably and unconditionally submits
to the non-exclusive jurisdiction of the United States District Court for the
Southern District of New York and of any New York State court sitting in New
York County for purposes of all legal proceedings arising out of or relating to
this Agreement or for recognition and enforcement of any judgment in respect
thereof. In any action, suit or other proceeding, each party hereby irrevocably
waives, to the fullest extent permitted by applicable Law, any objection that it
may now or hereafter have to the laying of the venue of any such proceedings
brought in such court and any claim that any such proceeding brought in such a
court has been brought in an inconvenient forum. Each party hereto also agrees
that any final and nonappealable judgment against a party in connection with any
action, suit or other proceeding shall be conclusive and binding on such party
and that such award or judgment may be enforced in any court of competent
jurisdiction, either within or outside of the United States. A certified or
exemplified copy of such award or judgment shall be conclusive evidence of the
fact and amount of such award or judgment. Each party hereto agrees that any
process or other paper to be served in connection with any action or proceeding
under this Agreement shall, if delivered, sent or mailed in accordance with
Section 17.06, constitute good, proper and sufficient service thereof. This
Section 17.07 is not intended to conflict with or override Article XIII.

Section 17.08    Service of Process. The Reinsurer hereby designates the Iowa
Insurance Commissioner as its true and lawful attorney upon whom may be served
any lawful process in any action, suit or proceeding instituted by or on behalf
of the Ceding Company. A copy of any such process shall be delivered to the
Reinsurer in accordance with Section 17.06. This Section 17.08 is not intended
to conflict with or override Article XIII.
Section 17.09    Inspection of Records.
(a)    Upon giving at least five (5) Business Days’ prior written notice, the
Reinsurer, or its duly authorized representatives, will have the right to audit,
examine and copy, electronically or during regular business hours, at the home
office of the Ceding Company, any and all books, records, statements,
correspondence, reports, and other documents that relate to the Reinsured
Policies, the Existing Hedges, the Allianz Trust Account or this Agreement,
subject to the confidentiality provisions contained in this Agreement. In the
event the Reinsurer exercises its inspection rights, the Ceding Company must
provide a reasonable work space for such audit, examination or copying,
cooperate fully and faithfully, and produce any and all materials reasonably
requested to be produced, subject to confidentiality provisions contained in
this Agreement. The expenses related to any two (2) such inspections in any
calendar year shall be borne by the Ceding Company; provided, that if any breach
of this Agreement by the Ceding Company has occurred, the expenses relating to
all such inspections shall be borne by the Ceding Company.

33

--------------------------------------------------------------------------------

(b)    The Reinsurer’s right of access as specified above will survive until all
of the Reinsurer’s obligations under this Agreement have terminated or been
fully discharged.
Section 17.10    Confidentiality.
(a)    The parties will keep confidential and not disclose or make competitive
use of any shared Proprietary Information, as defined below, unless:
(i)    The information becomes publicly available or is obtained other than
through unauthorized disclosure by the party seeking to disclose or use such
information;
(ii)    The information is independently developed by the recipient; or
(iii)    The disclosure is required by Law; provided, that, if applicable, the
party required to make such disclosure will allow the other party to seek an
appropriate protective order.
“Proprietary Information” includes, but is not limited to, underwriting manuals
and guidelines, applications, contract forms, agent lists and premium rates and
allowances of the Reinsurer and the Ceding Company, but shall not include the
existence of this Agreement and the identity of the parties. Additionally,
Proprietary Information may be shared by either party on a need-to-know basis
with its officers, directors, employees, Affiliates, third-party service
providers, auditors, consultants or retrocessionaires, or in connection with the
dispute process specified in this Agreement.
(b)    The Ceding Company shall not provide to the Reinsurer, and the Reinsurer
shall have no right to access, any Non-Public Personal Information except (i) to
the extent necessary for purposes of administration of this Agreement and (ii)
requested in writing by a duly authorized representative of the Reinsurer. The
Reinsurer and its representatives and service providers will protect the
confidentiality and security of Non-Public Personal Information (as defined
below) provided to it hereunder by:
(i)    holding all Non-Public Personal Information in strict confidence;
(ii)    maintaining appropriate measures that are designed to protect the
security, integrity and confidentiality of Non-Public Personal Information; and
(iii)    disclosing and using Non-Public Personal Information received under
this Agreement for purposes of carrying out the Reinsurer’s obligations under
this Agreement, for purposes of retrocession, or as may be required or permitted
by Law.
“Non-Public Personal Information” is personally identifiable medical, financial,
and other personal information about proposed, current and former applicants,
policy owners, contract holders, insureds, annuitants, claimants, and
beneficiaries of Reinsured Policies or contracts issued by the Ceding Company,
and their representatives, that is not publicly available. Non-Public Personal
Information does not include de-identified personal data, i.e., information that
does not identify, or could not reasonably be associated with, an individual.

34

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Section 17.11    Successors. This Agreement will be binding upon the parties
hereto and their respective successors and assigns including any Authorized
Representative of either party. Neither party may effect any novation or
assignment of this Agreement without the prior written consent of the other
party and the Iowa Insurance Division.
Section 17.12    Entire Agreement. This Agreement and the Exhibits hereto
constitute the entire agreement between the parties with respect to the business
reinsured hereunder and supersede any and all prior representations, warranties,
prior agreements or understandings between the parties pertaining to the subject
matter of this Agreement. There are no understandings between the parties other
than as expressed in this Agreement and the Exhibits hereto. In the event of any
express conflict between this Agreement and the Exhibits hereto, the Exhibits
hereto will control.
Section 17.13    Severability. The provisions of this Agreement shall be deemed
severable and the invalidity or unenforceability of any provision shall not
affect the validity or enforceability of the other provisions hereof. If any
provision of this Agreement, or the application thereof to any Person or entity
or any circumstance, is found by a court or other Governmental Entity of
competent jurisdiction to be invalid or unenforceable, (a) a suitable and
equitable provision shall be substituted therefor in order to carry out, so far
as may be valid and enforceable, the intent and purpose of such invalid or
unenforceable provision and (b) the remainder of this Agreement and the
application of such provision to other Persons or circumstances shall not be
affected by such invalidity or unenforceability, nor shall such invalidity or
unenforceability affect the validity or enforceability of such provision, or the
application thereof, in any other jurisdiction.
Section 17.14    Construction. This Agreement will be construed and administered
without regard to authorship and without any presumption or rule of construction
in favor of either party. This Agreement is between sophisticated parties, each
of which has reviewed this Agreement and is fully knowledgeable about its terms
and conditions.
Section 17.15    Non-Waiver. Neither the failure nor any delay on the part of
the Ceding Company or the Reinsurer to exercise any right, remedy, power, or
privilege under this Agreement shall operate as a waiver thereof. No single or
partial exercise of any right, remedy, power or privilege shall preclude the
further exercise of that right, remedy, power or privilege or the exercise of
any other right, remedy, power or privilege. No waiver of any right, remedy,
power or privilege with respect to any occurrence shall be construed as a waiver
of that right, remedy, power or privilege with respect to any other occurrence.
No prior transaction or dealing between the parties will establish any custom,
usage or precedent waiving or modifying any provision of this Agreement. No
waiver shall be effective unless it is in writing and signed by the party
granting the waiver.
Section 17.16    Further Assurances. From time to time, as and when requested by
a party hereto, the other party hereto shall execute and deliver all such
documents and instruments and shall take all actions as may be reasonably
necessary to consummate the transactions contemplated by this Agreement.
Section 17.17    Governing Law. This Agreement will be governed by and construed
in accordance with the Laws of the State of Iowa without giving effect to any
principles of conflicts

35

--------------------------------------------------------------------------------

of law thereof that are not mandatorily applicable by Law and would permit or
require the application of the Laws of another jurisdiction.
Section 17.18    Counterparts. This Agreement may be executed in counterparts,
all of which shall be considered one and the same agreement and shall become
effective when counterparts have been signed by each party hereto and delivered
to the other party. Each party hereto may deliver its signed counterpart of this
Agreement to the other party by means of electronic mail or any other electronic
medium utilizing image scan technology, and such delivery will have the same
legal effect as hand delivery of an originally executed counterpart. When this
Agreement has been fully executed by the Ceding Company and the Reinsurer, it
will become effective as of the Effective Date.
[Remainder of Page Intentionally Blank]

36

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IN WITNESS WHEREOF, the parties hereto have caused this Agreement to be executed
effective as of the Effective Date.

VOYA INSURANCE AND ANNUITY COMPANY

By:    /s/ David Pendergrass

Name:    David Pendergrass

Title:    Senior Vice President and Treasurer

ATHENE ANNUITY & LIFE ASSURANCE COMPANY
By:    /s/ Grant Kvalheim

Name:    Grant Kvalheim

Title:    President

Signature Page to VIAC Reinsurance Agreement (FA Business)

--------------------------------------------------------------------------------

SCHEDULE I
POLICY FORMS AND RIDERS1 
Product Name
Policy Form
Advantage
UCLIC-AN1009
Advantage
UCLIC-PI-1249
Advantage Index
1837-11/97
Advantage Platinum
1827-11/95
Advantage Silver
1801-7/94
AmeriGain
17003
AmeriGrand
17026
Amerilink
17002
Ameriset
17000
Asset Builder
UCLIC-AN-1022
Bonus 10
FB10-11/92
Capital Builder
UCLIC-PI-1224
Choice Index
1819-9/96
Choice Index
1819-9/96 or 1819-C-1/97
Choice Index
1819-C-1/97
Classic 5
1868
Classic 7
1869
Classic Choice MVA
1825-2/95
Cornerstone
1350-1/93
Envoy Nine
IU-IA-3064
Envoy Nine v2
IU-IA-3064
Envoy Six
IU-IA-3067
Envoy Six v2
IU-IA-3067
Envoy Three
IU-IA-3065
Flex 100
1000-B-4/92
Flex 15
1500-1/93
Flex 15
1500-4/92
Flex 2
FLEXII-1/93
Flex 200
1100-B-6/92
Flex 3
FLEXIII-1/93
Flex 4
FLXIV-8/92
Flex 7
FLEXVII 1/93
Flex 7
FLEXVII 7/91
Flex Builder
1853
Flex Guarantee
1853
FPA 9
FLEXIX-1/93
FPA 9 (conversion)
FLEXIX-5/91

--------------------------------------------------------------------------------

FPDA
89A4
FPDA
8FPDA
FPDA
94FPDA
FPDA
ALSFLX-3
FPDA
ALSFLX-4.5
FPDA
ALZFLX-4.5
FPDA
AN-1002
FPDA
AN-1011
GAA
GFPDA
Generation Flex
1859
GoldenSelect Guarantee
GA-GIA-1070
Guarantee Choice
IU-IA-3036
Heritage
1858
Heritage Vested
1862
Income Outcome Annuity
FA-2017
Independence
UCSPDA
Interest Builder
1200-1/93
Journey
VI-IA-3165
Lifetime Income
IU-IA-3119
Mark II
UCLIC-AN-1020
MarketSmart
IU-FA-3006
Max
PI-1550
Max Guarantee
1885
MaxSaver
AN-1004
MaxSaver
AN-1008
MaxSaver
PI-2034
Multibuilder
1853
MVA 15
1251-1/93
MVA 200
1300-1/93
MVA 200
93A10
MVA 3
1400-1/93
MVA 3
1811-3/96
MVA 9
MVAIX-1/93
MVA Cornerstone
1250-1/93
MVA Cornerstone
1812-4/96
MYGA/Multiset
1818-4/96
MYGA/Multiset
1825-2/95
MYGA/Multiset (no MVA)
1826-5/95
PotentialPLUS (General Account liabilities only)
IU-IA-4040
Protective Life
1840-2/96
Protective Life
1845-2/96
Provider
UCLIC-AN-1007
Quest 5
VI-IA-3147

39

--------------------------------------------------------------------------------

QUEST 5 ROP
VI-IA-3147
Quest 7
VI-IA-3147
Quest Plus
VI-IA-3148
Regency
1860
Retirement Asset Builder
1807-5/95
Retirement Choice
1805-4/95
SD Fixed Flex
GA-IA-1093 - individual; GA-CA-1093 - group
Secure
1890
Secure Extra
FA-2014
Secure Five
IU-IA-3022
Secure Five v2
IU-IA-3033
Secure Five v3
IU-IA-3033
Secure II
FA-2013
Secure Opp Plus
IU-IA-3021
Secure Opp Plus v2
IU-IA-3032
Secure Opp Plus v3
IU-IA-3050
Secure Opp Plus v4
IU-IA-3050
Secure Outlook
IU-IA-3038
Secure Outlook v2
IU-IA-3038
Secure Seven
IU-IA-3025
Secure Seven v2
IU-IA-3034
Secure Seven v3
IU-IA-3034
Security
PI-1233
Select Guarantee
1829-3/97
Select Guarantee
1829C-3/97
Selectra
1865
Selectra
1865 or 1870
Selectra
1870
Selectra v2
IU-IA-3026
Senior Provider
UCLIC-AN-1014
SimpleChoice
IU-IA-3054
SimpleFlex
IU-IA-3019
Single Premium Immediate Annuity
1823
SPA 15
1351-1/93
SPA 3
SPIII-1/93
SPA 5
SPV-6/88
SPA 6
SPVI-1/93
SPA 7
SPVII-1/93
SPA 7
SPVII-10/90
SPA 9
FLEXIX-1/93 or SPIX-1/93
SPA 9
SPIX-1/93
SPA 9
SPIX-10/90
SPDA
88SPDA

40

--------------------------------------------------------------------------------

SPDA
89A1-A
SPDA
89A3
SPDA
89SPDA
SPDA
94SPDA
SPDA
ALS-3
SPDA
ALS-4.5
SPDA
ALZSP-4.5
SPDA
UCLIC-PI-1218
SPDA
UCLIC-PI-1801
SPIA
1823
Sterling Plus
1800-2/94
Supp Con
1825-2/95
Supp Con
GA-GIA-1070 or GA-IA-1070
Supp Con
GA-IA-1093 - individual; GA-CA-1093 - group
Supp Con
GA-IA-1094 - individual; GA-CA-1094 - group
Supp Con
GA-IA-1100 - individual; GA-CA-1100 - group
Supp Con
IU-IA-3019
Taxsaver
FLEXIX-1/93
TaxSaver
UCLIC-AN1255
TaxSaver
UCLIC-PI-1253
TaxSaver
UCLIC-PI-1255
TSA Pro
1600-1/93
TSA Pro
1600-4/92
TSA Rollover
1832G-6/97
Ultimate
1225-4/93
Ultra SPA
1325-4/93
Unidex
EIAN-4000
United
AN-1021
Wealth Builder 6
IU-IA-3128
Wealth Builder 8
IU-IA-3128
Wealth Builder PLUS
IU-IA-3128
All general account liabililities related to immediate annuities and
annuitizations issued by Voya Insurance and Annuity Company and its predecessors
and administered on Des Moines RPS, excluding annuitizations arising from
contracts with a Guaranteed Minimum Income Benefit (GMIB).
Home Office Pension Plan Voluntary and Mandatory Contributions Administered by
Aon Hewitt on behalf of VIAC.
All contracts assumed under the League Services Life Insurance Company (Magna
Insurance Company) reinsurance agreement dated 2/24/1987, as amended.
All contracts assumed under the Protective Life Insurance Company reinsurance
agreement dated 6/15/1996.
All contracts assumed under the Allianz Life Insurance Company of North America
reinsurance agreement dated 8/1/1988.

41

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42

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SCHEDULE II
POLICY EXPENSES
The Policy Expenses with respect to each Quarterly Accounting Period shall be an
amount equal to (A) plus (B), each as defined below:
(A) solely with respect to the Payout Annuities, an amount equal to (i) eighteen
(18) basis points divided by four (4) multiplied by (ii) (a) the sum of the
Ceded Reserves with respect to the Payout Annuities at the beginning of the
applicable Quarterly Accounting Period plus the Ceded Reserves with respect to
the Payout Annuities at the end of the applicable Quarterly Accounting Period,
divided by (b) two (2); and
(B) with respect to the Non-Payout Annuities, an amount equal to the sum of:
(i) (a) the Quota Share of $50 (provided, that a two percent (2.00%) per annum
inflation factor will be added to such amount each year commencing on January 1,
2019) divided by four (4), multiplied by (b) (I) the sum of the total number of
Non-Payout Annuities in force at the beginning of the applicable Quarterly
Accounting Period plus the total number of Non-Payout Annuities in force at the
end of the applicable Quarterly Accounting Period, divided by (II) two (2), plus
(ii) (a) three (3) basis points divided by four (4) multiplied by (b) (I) the
sum of the Ceded Reserves with respect to the Non-Payout Annuities at the
beginning of the applicable Quarterly Accounting Period plus the Ceded Reserves
with respect to the Non-Payout Annuities at the end of the applicable Quarterly
Accounting Period, divided by (II) two (2).

--------------------------------------------------------------------------------

SCHEDULE III
INITIAL PREMIUM ASSETS
See attached.

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
002824BL3
6,194,594.0001
ABBOTT LABORATORIES
1,600,000
1,573,520
2,311
 
1,575,831
002824BL3
6,194,596.0001
ABBOTT LABORATORIES
4,000,000
3,933,800
5,778
 
3,939,578
023135AM8
6,194,598.0001
AMAZON.COM INC
5,000,000
5,037,201
66,917
 
5,104,117
46590KAD6
6,194,600.0001
JPMCC_15-JP1
1,210,000
1,220,018
3,680
 
1,223,699
80281LAH8
6,194,602.0001
SANTANDER UK GROUP HOLDINGS PLC
1,000,000
970,570
10,869
 
981,439
883556BH4
6,194,604.0001
THERMO FISHER SCIENTIFIC INC
6,500,000
6,451,055
45,283
 
6,496,338
110122AX6
6,194,854.0001
BRISTOL-MYERS SQUIBB CO
1,000,000
1,071,800
7,500
 
1,079,300
500255AS3
6,194,918.0001
KOHL S CORP
2,000,000
1,956,540
16,250
 
1,972,790
337738AM0
6,195,092.0001
FISERV INC
3,699,000
3,695,190
10,789
 
3,705,979
66989HAH1
6,195,094.0001
NOVARTIS CAPITAL CORP
3,000,000
3,217,320
64,167
 
3,281,487
717081DE0
6,195,096.0001
PFIZER INC
3,000,000
3,060,720
48,733
 
3,109,453
880591EH1
6,195,210.0001
TENN VALLEY AUTHORITY
246,000
309,161
1,650
 
310,811
50540RAP7
6,195,258.0001
LABORATORY CORP OF AMERICA
2,000,000
1,972,620
16,000
 
1,988,620
74333JAG6
6,195,260.0001
PROG_17-SFR1
1,000,000
971,482
2,763
 
974,245
844741BA5
6,195,262.0001
SOUTHWEST AIRLINES CO
1,500,000
1,495,080
20,052
 
1,515,132
883556BH4
6,195,264.0001
THERMO FISHER SCIENTIFIC INC
3,000,000
2,977,410
20,900
 
2,998,310
456873AB4
6,195,328.0001
INGERSOLL-RAND LUXEMBOURG FINANC
2,000,000
1,973,760
35,500
 
2,009,260
002824BL3
6,195,342.0001
ABBOTT LABORATORIES
1,600,000
1,573,520
2,311
 
1,575,831
053332AP7
6,195,344.0001
AUTOZONE INC
2,000,000
1,948,560
18,403
 
1,966,963
345397XA6
6,195,346.0001
FORD MOTOR CREDIT COMPANY LLC
1,000,000
977,760
10,015
 
987,775
456873AB4
6,195,348.0001
INGERSOLL-RAND LUXEMBOURG FINANC
2,000,000
1,973,760
35,500
 
2,009,260
65339KAA8
6,195,350.0001
NEXTERA ENERGY INC
2,000,000
2,059,320
37,500
 
2,096,820
743263AS4
6,195,352.0001
PROGRESS ENERGY INC
2,000,000
1,967,480
5,250
 
1,972,730
3136AJF84
6,195,366.0001
FNMA_14-26
1,263,423
1,303,968
4,229
 
1,308,197
459200HF1
6,195,402.0001
INTERNATIONAL BUSINESS MACHINES C
1,000,000
984,710
14,556
 
999,266
546676AV9
6,195,404.0001
LOUISVILLE GAS & ELECTRIC CO
1,000,000
1,069,680
21,442
 
1,091,122
822582AT9
6,195,406.0001
SHELL INTERNATIONAL FINANCE BV
1,200,000
1,111,536
8,458
 
1,119,994
594918BZ6
6,195,462.0001
MICROSOFT CORPORATION
2,000,000
2,068,720
19,361
 
2,088,081
775109BE0
6,195,464.0001
ROGERS COMMUNICATIONS INC
6,000,000
5,859,600
82,167
 
5,941,767
3136AJF84
6,195,478.0001
FNMA_14-26
1,351,863
1,395,246
4,525
 
1,399,771
13063BJC7
5,431,390.0001
CALIFORNIA ST
1,400,000
2,134,594
53,200
 
2,187,794
13063BJC7
5,431,391.0001
CALIFORNIA ST
815,000
1,242,639
30,970
 
1,273,609
452151LF8
5,431,392.0001
IL ST PENSION OB
1,400,000
1,306,816
29,750
 
1,336,566
646139X83
5,431,393.0001
NEW JERSEY ST TPK AUTH TPK REV
1,400,000
1,994,944
33,143
 
2,028,087
54438CPA4
5,432,314.0001
LOS ANGELES CALIF CMNTY COLLEGE DI
1,095,000
1,618,892
18,478
 
1,637,370
544495VY7
5,432,315.0001
LOS ANGELES CALIF WTR PWR REV
1,420,000
2,018,246
31,117
 
2,049,363
44266RAC1
5,459,618.0001
HOWARD HUGHES MEDICAL INSTITUTE
5,000,000
5,053,650
29,167
 
5,082,817
44266RAC1
5,459,620.0001
HOWARD HUGHES MEDICAL INSTITUTE
1,333,000
1,347,303
7,776
 
1,355,079
44266RAC1
5,459,622.0001
HOWARD HUGHES MEDICAL INSTITUTE
1,333,000
1,347,303
7,776
 
1,355,079
44266RAC1
5,459,624.0001
HOWARD HUGHES MEDICAL INSTITUTE
2,800,000
2,830,044
16,333
 
2,846,377
452151LF8
5,459,632.0001
IL ST PENSION OB
10,000,000
9,334,400
212,500
 
9,546,900
372546AT8
5,459,830.0001
GEORGE WASHINGTON UNIVERSITY
840,000
852,130
4,615
 
856,745

 

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ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
07284RAA0
5,471,455.0001
BAYLOR COLLEGE OF MEDICINE
1,400,000
1,580,222
33,950
 
1,614,172
586054AA6
5,471,456.0001
MEMORIAL SLOAN-KETTERING CANCER C
1,950,000
2,212,568
32,500
 
2,245,068
740816AH6
5,472,270.0001
PRESIDENT & FELLOWS OF HARVARD
2,075,000
2,401,626
4,496
 
2,406,122
73358WCX0
5,483,053.0001
PORT AUTH N Y & N J
1,400,000
1,731,366
39,529
 
1,770,895
54438CNZ1
5,484,991.0001
LOS ANGELES CALIF CMNTY COLLEGE DI
1,315,000
1,847,825
21,698
 
1,869,522
544495VY7
5,484,992.0001
LOS ANGELES CALIF WTR PWR REV
1,085,000
1,542,111
23,776
 
1,565,886
072024PY2
5,487,336.0001
BAY AREA TOLL AUTH CALIF TOLL BRDG
1,400,000
2,074,492
8,058
 
2,082,550
254010AB7
5,487,599.0001
DIGNITY HEALTH
2,295,000
2,187,296
51,638
 
2,238,933
04351LAA8
5,488,976.0001
ASCENSION HEALTH ALLIANCE
1,400,000
1,567,622
31,290
 
1,598,912
64972FH25
5,506,041.0001
NEW YORK N Y CITY MUN FIN AUTH WTR
1,820,000
2,300,771
39,534
 
2,340,306
575718AE1
5,506,102.0001
MASSACHUSETTS INSTITUTE OF TECHNO
700,000
719,355
9,238
 
728,593
79765RTL3
5,506,742.0001
SAN FRANCISCO CALIF CITY & CNTY PU
1,400,000
2,008,720
48,650
 
2,057,370
677632MV0
5,507,149.0001
OHIO ST UNIV GEN RCPTS
1,505,000
1,709,936
30,790
 
1,740,726
072024PY2
5,507,291.0001
BAY AREA TOLL AUTH CALIF TOLL BRDG
1,400,000
2,074,492
8,058
 
2,082,550
271014TU6
5,510,103.0001
EAST BAY CALIF MUN UTIL DIST WTR S
2,420,000
3,085,790
59,230
 
3,145,020
79741TAR5
5,510,106.0001
SAN DIEGO CNTY CALIF WATER AUTH
1,960,000
2,598,509
60,152
 
2,658,662
89837LAB1
5,510,107.0001
PRINCETON UNIVERSITY
1,680,000
2,145,091
15,960
 
2,161,051
18085PMT8
5,511,231.0001
CLARK CNTY NEV ARPT REV
590,000
853,335
13,413
 
866,747
235241LW4
5,511,232.0001
DALLAS TX AREA RAPID TRAN
700,000
815,024
14,648
 
829,672
4636324P1
5,511,233.0001
IRVINE RANCH CALIF WTR DIST
1,960,000
2,617,129
64,896
 
2,682,025
66285WFB7
5,511,303.0001
NORTH TEX TWY AUTH REV
1,925,000
2,746,667
43,107
 
2,789,774
796253Y30
5,514,988.0001
SAN ANTONIO TEX ELEC & GAS REV
1,820,000
2,282,316
26,426
 
2,308,743
796253Y30
5,514,989.0001
SAN ANTONIO TEX ELEC & GAS REV
365,000
457,717
5,300
 
463,017
16876AAA2
5,515,734.0001
CINCINNATI CHILDREN S HOSPITAL MED
1,865,000
1,910,002
36,704
 
1,946,706
18085PMT8
5,523,810.0001
CLARK CNTY NEV ARPT REV
1,485,000
2,147,800
33,759
 
2,181,559
235241LW4
5,523,811.0001
DALLAS TX AREA RAPID TRAN
560,000
652,019
11,718
 
663,737
797400FN3
5,525,334.0001
SAN DIEGO CNTY CALIF REGL TRANSN C
1,400,000
1,834,504
6,896
 
1,841,400
167593AN2
5,525,596.0001
CHICAGO ILL O HARE INTL ARPT REV
2,800,000
3,731,728
59,687
 
3,791,415
759136QP2
5,527,894.0001
REGIONAL TRANSN DIST COLO SALES TA
2,800,000
3,607,520
81,816
 
3,689,336
62952EAC1
5,540,333.0001
NYU HOSPITALS CENTER
2,380,000
2,617,667
37,953
 
2,655,620
913366EP1
5,544,441.0001
UNIV CALIF REGTS MED CTR POOLED RE
1,400,000
1,868,286
42,271
 
1,910,557
913366EP1
5,544,442.0001
UNIV CALIF REGTS MED CTR POOLED RE
590,000
787,349
17,814
 
805,163
684273HC2
5,564,619.0001
ORANGE CNTY CALIF LOC TRANSN AUTH
2,050,000
2,756,758
29,896
 
2,786,654
70213HAC2
5,564,766.0001
PARTNERS HEALTHCARE SYSTEM INC
1,350,000
1,337,499
18,527
 
1,356,026
4424355B5
5,580,652.0001
HOUSTON TEX UTIL SYS REV
2,970,000
3,041,102
52,424
 
3,093,526
68607VJ97
5,580,654.0001
OREGON ST DEPT ADMINISTRATIVE
600,000
592,200
1,220
 
593,420
68607VK20
5,580,655.0001
OREGON ST DEPT ADMINISTRATIVE
550,000
541,470
1,210
 
542,680

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
73474TAC4
5,581,299.0001
PORT MORROW ORE TRANSMISSION F
2,405,000
2,392,037
13,512
 
2,405,549
2463807R4
5,611,335.0001
DELAWARE ST
1,485,000
1,616,111
22,523
 
1,638,633
64966JAN6
5,614,413.0001
NEW YORK N Y
2,970,000
3,235,221
67,902
 
3,303,123
798136TU1
5,650,554.0001
SAN JOSE CALIF ARPT REV
1,470,000
1,587,291
15,803
 
1,603,094
658203Z23
5,658,365.0001
NORTH CAROLINA MUN PWR AGY NO
1,080,000
1,079,903
12,024
 
1,091,927
76222RHN5
5,662,031.0001
RHODE ISLAND ST & PROVIDENCE PLANT
540,000
555,876
2,098
 
557,974
76222RHP0
5,662,032.0001
RHODE ISLAND ST & PROVIDENCE PLANT
570,000
589,454
2,310
 
591,764
76222RHQ8
5,662,033.0001
RHODE ISLAND ST & PROVIDENCE PLANT
780,000
809,406
3,258
 
812,664
76886PED1
5,677,575.0001
RIVERSIDE CALIF CMNTY COLLEGE DIST
1,835,000
2,011,564
32,209
 
2,043,773
235308RA3
5,678,975.0001
DALLAS TEX INDPT SCH DIST
2,160,000
2,348,568
29,412
 
2,377,980
73474TAH3
5,682,004.0001
PORT MORROW ORE TRANSMISSION F
1,350,000
1,337,472
6,608
 
1,344,080
033177XU5
5,682,704.0001
ANCHORAGE ALASKA ELEC UTIL REV
540,000
568,593
14,306
 
582,899
040484DX2
5,682,705.0001
ARIZONA BRD REGENTS UNIV ARIZ SYS
1,350,000
1,446,660
21,678
 
1,468,338
11502RAB6
5,682,706.0001
BROWARD CNTY FLA HALF-CENT SALES T
1,715,000
1,836,782
8,869
 
1,845,652
040484DX2
5,691,663.0001
ARIZONA BRD REGENTS UNIV ARIZ SYS
1,660,000
1,778,856
26,655
 
1,805,511
088281BG4
5,691,845.0001
BEXAR CNTY TEX
2,835,000
2,948,485
70,986
 
3,019,471
79642BLT8
5,692,913.0001
SAN ANTONIO TEX WTR REV
2,700,000
2,866,698
77,439
 
2,944,137
914026LZ0
5,692,914.0001
UNIVERSITY ALA GEN REV
2,925,000
3,106,964
59,475
 
3,166,439
341507ZP9
5,693,476.0001
FLORIDA ST BRD ED LOTTERY REV
1,075,000
1,118,903
23,593
 
1,142,496
235241LT1
5,693,803.0001
DALLAS TX AREA RAPID TRAN
2,700,000
2,787,156
70,301
 
2,857,457
889184AA5
5,709,456.0001
TOLEDO HOSPITAL
605,000
663,467
13,898
 
677,366
358885AA9
5,711,730.0001
FROEDTERT HEALTH INC
1,710,000
1,710,496
6,678
 
1,717,173
605068AB1
5,711,732.0001
MISSION HEALTH SYSTEM
1,245,000
1,262,754
22,950
 
1,285,703
001306AB5
5,712,875.0001
AHS HOSP CORP
1,240,000
1,396,761
20,766
 
1,417,527
842329AA2
5,712,876.0001
SOUTHERN BAPTIST HOSPITA
1,350,000
1,499,540
19,307
 
1,518,846
896516AA9
5,715,822.0001
TRINITY HEALTH CORP
2,545,000
2,506,214
43,742
 
2,549,956
917563JE9
5,722,311.0001
UTAH ST UNIV REV
1,510,000
1,618,599
29,885
 
1,648,485
534366AX7
5,726,872.0001
LINCOLN NEB WEST HAYMARKET JT PUB
465,000
598,362
10,540
 
608,902
59067ABJ1
5,726,873.0001
MESA ST COLLEGE COLO AUXILIARY FAC
465,000
551,165
12,436
 
563,601
649322AA2
5,736,038.0001
THE NEW YORK PRESBYTERIAN HOSPITAL
2,430,000
2,391,023
24,446
 
2,415,469
662352AB9
5,736,039.0001
NORTH SHORE LONG ISLAND JEWISH HE
1,350,000
1,667,331
41,513
 
1,708,844
768874SG5
5,736,041.0001
RIVERSIDE CALIF ELEC REV
540,000
781,002
3,422
 
784,424
702274AW1
5,740,471.0001
PASADENA CALIF PUB FING AUTH LEASE
1,880,000
2,671,198
22,397
 
2,693,595
899042AC9
5,755,319.0001
TUFTS MEDICAL CENTER INC
650,000
780,436
15,167
 
795,602
649757AA9
5,765,692.0001
NEW YORK PUBLIC LIBRARY
840,000
850,046
12,054
 
862,100
438670WN7
5,801,234.0001
HONOLULU HAWAII CITY & CNTY
2,665,000
3,118,690
61,273
 
3,179,962
89837RAD4
5,801,360.0001
TRUSTEES OF DARTMOUTH COLLEGE
560,000
527,022
8,106
 
535,128
79765RTL3
5,812,777.0001
SAN FRANCISCO CALIF CITY & CNTY PU
660,000
946,968
22,935
 
969,903
896516AA9
5,813,598.0001
TRINITY HEALTH CORP
1,700,000
1,674,092
29,219
 
1,703,311

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
01959LAA0
5,813,752.0001
ALLINA HEALTH SYSTEM
560,000
611,206
12,408
 
623,614
66988AAE4
5,816,880.0001
NOVANT HEALTH
3,400,000
3,455,216
74,307
 
3,529,523
646139X83
5,818,027.0001
NEW JERSEY ST TPK AUTH TPK REV
420,000
598,483
9,943
 
608,426
64971M5L2
5,827,839.0001
NEW YORK N Y CITY TRANSITIONAL FIN
1,330,000
1,602,371
37,054
 
1,639,425
15504RET2
5,828,998.0001
CENTRAL PUGET SOUND REGL AUTH
880,000
1,068,769
24,160
 
1,092,929
57584XPQ8
5,828,999.0001
MASSACHUSETTS ST DEV FIN AGY R
1,570,000
1,481,044
5,202
 
1,486,246
677632G88
5,833,000.0001
OHIO ST UNIV GEN RCPTS
700,000
688,800
11,078
 
699,878
57582RJN7
5,836,869.0001
MASSACHUSETTS ST
630,000
587,872
8,602
 
596,474
914440LJ9
5,843,779.0001
UNIVERSITY MASS BLDG AUTH PROJ REV
2,210,000
2,617,237
60,223
 
2,677,459
59333PW20
5,875,326.0001
MIAMI-DADE CNTY FLA AVIATION R
540,000
516,829
1,735
 
518,564
686515AA5
5,882,946.0001
ORLANDO HEALTH INC
700,000
723,254
2,576
 
725,830
20369EAB8
5,883,697.0001
COMMUNITY HEALTH NETWORK
510,000
542,620
13,854
 
556,474
18085PMT8
5,886,758.0001
CLARK CNTY NEV ARPT REV
530,000
766,555
12,049
 
778,604
743756AB4
5,890,551.0001
PROVIDENCE ST JOSEPH HEALTH
530,000
490,923
1,213
 
492,136
130179KK9
6,055,055.0001
CALIFORNIA EDL FACS AUTH REV
650,000
624,605
2,078
 
626,682
57582RJN7
6,061,089.0001
MASSACHUSETTS ST
960,000
895,805
13,108
 
908,913
59333P2S6
6,074,080.0001
MIAMI-DADE CNTY FLA AVIATION R
750,000
734,063
2,489
 
736,551
78349AAB9
6,080,362.0001
RWJ BARNABAS HEALTH INC
1,000,000
954,220
13,163
 
967,383
93978HSU0
6,094,632.0001
WASHINGTON ST HEALTH CARE FACS
600,000
596,526
5,320
 
601,846
42824CAG4
5,706,737.0001
HEWLETT-PACKARD CO
7,000,000
7,049,280
11,200
 
7,060,480
668138AA8
6,172,421.0001
NORTHWESTERN MUTUAL LIFE INSURAN
4,500,000
4,182,570
14,919
 
4,197,489
677050AC0
6,163,675.0001
OGLETHORPE POWER CORP
600,000
727,824
12,382
 
740,206
38380JCD8
6,163,713.0001
GNMA_17-152
1,000,000
878,497
2,500
 
880,997
3136AQ5J5
6,163,719.0001
FNA_16-M2
1,749,998
1,772,648
5,075
 
1,777,723
3133TTTN1
6,163,771.0001
FHLMC_2330 PS
103,073
143,852
754
 
144,606
3137ABAT8
6,163,773.0001
FHLMC_3852 SL
2,034,478
2,019,069
4,140
 
2,023,209
31392B6S0
6,163,775.0001
FNMA_02-10 QT
166,371
214,812
387
 
215,199
31393RRP7
6,163,777.0001
FHLMC_2630 SL
4,346
19,204
61
 
19,265
31393UWH2
6,163,779.0001
FNMA_03-130 SJ
234,002
345,285
818
 
346,103
31393YDC6
6,163,781.0001
FNMA_04-38 SU
16,611
19,081
42
 
19,123
31394BQX5
6,163,783.0001
FNMA_04-92 SD
741,884
865,382
1,340
 
866,722
31394EKG2
6,163,785.0001
FNMA_05-66 SQ
208,157
252,417
431
 
252,848
31394EKG2
6,163,787.0001
FNMA_05-66 SQ
208,157
252,417
431
 
252,848
31394FBL8
6,163,789.0001
FNMA_05-75 SU
270,760
446,160
1,038
 
447,197
31394FCG8
6,163,791.0001
FNMA_05-76 SA
775,035
928,073
2,351
 
930,424
31394UHT2
6,163,793.0001
FNMA_05-102 DS
116,622
158,015
285
 
158,300
31394UHT2
6,163,795.0001
FNMA_05-102 DS
116,622
158,015
285
 
158,300
31394UL26
6,163,797.0001
FNMA_05-106 PK
69,736
85,036
171
 
85,208
31394UY55
6,163,799.0001
FNMA_05-110 TN
64,522
78,476
184
 
78,660
31394WBA5
6,163,801.0001
FHLMC_2786 S
2,674
2,750
9
 
2,758
31394YVC5
6,163,803.0001
FHLMC_2795 SY
1,168,353
1,359,700
5,178
 
1,364,878
31395DPQ6
6,163,805.0001
FNMA_06-36 SA
34,880
55,389
141
 
55,531
31395LA92
6,163,807.0001
FHLMC_2923 SG
1,352,669
1,733,842
7,625
 
1,741,467
31395TCB8
6,163,811.0001
FHLMC_2967 SE
176,861
204,643
875
 
205,518

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
31395V2W8
6,163,813.0001
FHLMC_2990 JD
71,551
76,021
393
 
76,414
31395VHT9
6,163,815.0001
FHLMC_2994 SG
974,169
1,271,367
5,579
 
1,276,945
31395W6S1
6,163,817.0001
FHLMC_3001 CP
170,271
197,403
944
 
198,347
31395WTB3
6,163,819.0001
FHLMC_3006 YS
223,389
290,333
1,451
 
291,784
31396CVV9
6,163,821.0001
FHLMC_3055 SA
1,094,770
1,237,495
6,027
 
1,243,523
31396JTF2
6,163,823.0001
FHLMC_3148 AS
242,168
409,075
2,374
 
411,448
31396KMJ8
6,163,825.0001
FNMA_06-74 MS
65,941
105,769
327
 
106,096
31396KMJ8
6,163,827.0001
FNMA_06-74 MS
68,163
109,334
338
 
109,672
31396VLW6
6,163,835.0001
FNMA_07-28
2,072,142
2,066,712
1,032
 
2,067,744
31396VLW6
6,163,837.0001
FNMA_07-28
2,388,173
2,381,915
1,189
 
2,383,105
31396VMC9
6,163,839.0001
FNMA_07-35 SP
545,024
764,172
1,475
 
765,647
31396VQJ0
6,163,841.0001
FNMA_07-29 SG
395,339
555,030
1,089
 
556,118
31396WQC3
6,163,843.0001
FNMA_07-67 BS
206,057
280,453
552
 
281,005
31396WZA7
6,163,845.0001
FNMA_07-66 SD
121,611
207,466
574
 
208,040
31397ESS5
6,163,847.0001
FHLMC_3264 SA
56,482
86,724
464
 
87,188
31397PTY6
6,163,849.0001
FHLMC_3404 SH
932,926
1,050,343
3,895
 
1,054,239
31397T3Q3
6,163,851.0001
FHLMC_3442 MT
748,259
754,304
640
 
754,945
31397UKP3
6,163,853.0001
FNMA_11-51C
3,618,889
3,654,021
2,818
 
3,656,839
38374BSE4
6,163,855.0001
GNMA_03-74 PS
238,688
282,370
1,097
 
283,467
38374GXG2
6,163,857.0001
GNMA_04-39 QD
107,875
147,682
743
 
148,424
38374KMS9
6,163,859.0001
GNMA_05-6 SD
116,856
142,251
754
 
143,005
38374LRX1
6,163,861.0001
GNMA_05-56 S
409,228
554,987
2,992
 
557,979
38374M6J3
6,163,863.0001
GNMA_06-21 CS
437,985
756,465
3,389
 
759,854
38375J6U4
6,163,865.0001
GNMA_07-28 SA
1,109,040
1,716,151
7,529
 
1,723,680
38375JRW7
6,163,867.0001
GNMA_07-8 SK
2,409,381
3,437,257
11,892
 
3,449,149
38375KG30
6,163,869.0001
GNMA_07-47 SD
409,199
530,436
3,675
 
534,111
38375KMS8
6,163,871.0001
GNMA_07-37 DS
1,324,046
1,850,968
9,377
 
1,860,345
38375KZ88
6,163,873.0001
GNMA_07-43 ST
486,146
565,969
1,651
 
567,620
38375PRT0
6,163,875.0001
GNMA_08-13 LC
1,276,094
1,616,661
6,181
 
1,622,842
002824BL3
6,163,931.0001
ABBOTT LABORATORIES
2,000,000
1,966,900
2,889
 
1,969,789
00846UAJ0
6,163,933.0001
AGILENT TECHNOLOGIES INC
2,000,000
2,012,320
22,819
 
2,035,139
189054AU3
6,163,949.0001
CLOROX COMPANY
3,000,000
2,981,220
39,667
 
3,020,887
224044CJ4
6,163,951.0001
COX COMMUNICATIONS INC
7,000,000
6,597,500
51,722
 
6,649,222
585055BR6
6,163,969.0001
MEDTRONIC INC
5,350,000
5,338,551
21,534
 
5,360,085
665859AS3
6,163,975.0001
NORTHERN TRUST CORPORATION
1,500,000
1,409,625
24,328
 
1,433,953
91159HHC7
6,163,995.0001
US BANCORP
1,600,000
1,584,816
6,133
 
1,590,949
312912WG9
6,164,069.0001
FHLMC_1382 KB
83,135
104,519
786
 
105,305
3133T2NT3
6,164,071.0001
FHLMC_1632 SB
265,981
294,332
1,420
 
295,751
31358Q5R2
6,164,073.0001
FNMA_92-180 S
118,398
148,288
425
 
148,712
31392B6S0
6,164,075.0001
FNMA_02-10 QT
357,697
461,845
833
 
462,677
31393DCH2
6,164,077.0001
FNMA_03-70 SH
121,650
140,506
207
 
140,713
31393JC89
6,164,079.0001
FHLMC_2551 NS
279,324
351,576
1,390
 
352,966
31393JC89
6,164,081.0001
FHLMC_2551 NS
558,648
703,152
2,781
 
705,932
31393T5J1
6,164,083.0001
FNMA_03-116 SA
184,845
212,049
313
 
212,362
31393TVC7
6,164,085.0001
FNMA_03-102 TS
127,040
260,310
850
 
261,160
31393TVC7
6,164,087.0001
FNMA_03-102 TS
145,189
297,497
971
 
298,468
31393UCD3
6,164,089.0001
FNMA_03-126 SA
943,812
1,302,145
2,387
 
1,304,532
31393UCD3
6,164,091.0001
FNMA_03-126 SA
943,812
1,302,145
2,387
 
1,304,532
31393UZG1
6,164,093.0001
FNMA_03-131 SK
464,235
555,206
977
 
556,183
31393XBH9
6,164,095.0001
FNMA_04-12 ES
487,296
545,887
870
 
546,758

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
31393YEC5
6,164,097.0001
FNMA_04-28 SA
436,996
511,002
775
 
511,776
31394BZK3
6,164,099.0001
FNMA_04-91 SJ
110,249
123,182
165
 
123,347
31394KKV5
6,164,101.0001
FHLMC_2682 SB
257,167
315,159
1,163
 
316,322
31394UHT2
6,164,103.0001
FNMA_05-102 DS
236,215
320,054
577
 
320,632
31394XDP8
6,164,105.0001
FHLMC_2781 SA
609,817
739,722
2,880
 
742,602
31395DUU1
6,164,107.0001
FNMA_06-50 KS
192,137
271,393
558
 
271,951
31395F2V5
6,164,109.0001
FHLMC_2835 QP
528,026
646,955
2,657
 
649,611
31395JZY5
6,164,111.0001
FHLMC_2891 SA
499,870
589,850
2,688
 
592,539
31395UZY0
6,164,113.0001
FHLMC_2990 DP
165,976
186,625
1,300
 
187,926
31396VMC9
6,164,115.0001
FNMA_07-35 SP
771,521
1,081,739
2,088
 
1,083,827
38373Q2S9
6,164,117.0001
GNMA_03-46 SA
362,771
664,611
4,878
 
669,490
38373S3R6
6,164,119.0001
GNMA_03-26 SX
256,986
284,913
1,021
 
285,933
38374CDT5
6,164,121.0001
GNMA_03-75 SA
948,781
1,230,615
4,973
 
1,235,589
38374E6P7
6,164,123.0001
GNMA_04-7 SB
411,165
468,934
1,649
 
470,583
38374FK45
6,164,125.0001
GNMA_04-17 QS
704,790
836,284
2,852
 
839,136
38374GXG2
6,164,127.0001
GNMA_04-39 QD
35,958
49,227
248
 
49,475
38374L4E8
6,164,129.0001
GNMA_05-68 SH
396,765
474,738
1,844
 
476,583
05348EAS8
6,164,155.0001
AVALONBAY COMMUNITIES INC
5,000,000
5,042,150
15,104
 
5,057,254
05566SAA1
6,164,157.0001
BURLINGTON NORTHERN AND SANTA FE
1,809,429
1,862,735
25,733
 
1,888,468
25272KAA1
6,164,173.0001
DIAMOND 1 FINANCE CORPORATION/DI
1,000,000
1,002,221
14,500
 
1,016,721
341099CM9
6,164,185.0001
DUKE ENERGY FLORIDA LLC
2,000,000
2,060,580
7,583
 
2,068,163
501044CS8
6,164,201.0001
KROGER CO
3,000,000
3,023,970
28,875
 
3,052,845
620076BC2
6,164,209.0001
MOTOROLA SOLUTIONS INC
1,000,000
975,080
5,833
 
980,913
893526DK6
6,164,215.0001
TRANS - CANADA PIPELINES
3,000,000
3,046,290
9,500
 
3,055,790
931142CU5
6,164,219.0001
WALMART INC
1,000,000
1,019,920
11,378
 
1,031,298
059497BA4
6,164,509.0001
BACM_07-1 AMFX
1,339,595
1,359,232
6,131
 
1,365,362
059497BA4
6,164,511.0001
BACM_07-1 AMFX
1,339,595
1,359,232
6,131
 
1,365,362
010392FM5
6,166,043.0001
ALABAMA POWER COMPANY
1,600,000
1,513,568
10,000
 
1,523,568
02361DAQ3
6,166,055.0001
AMEREN ILLINOIS CO
500,000
507,995
2,651
 
510,646
03076CAF3
6,166,063.0001
AMERIPRISE FINANCIAL INC
750,000
768,180
1,333
 
769,513
064255AR3
6,166,083.0001
BANK OF TOKYO-MITSUBISHI UFJ LTD
1,000,000
1,020,600
5,922
 
1,026,522
09062XAD5
6,166,087.0001
BIOGEN INC
800,000
839,240
5,316
 
844,556
09062XAF0
6,166,089.0001
BIOGEN INC
1,000,000
1,003,250
5,175
 
1,008,425
09247XAL5
6,166,091.0001
BLACKROCK INC
4,000,000
3,990,560
16,722
 
4,007,282
110122AW8
6,166,101.0001
BRISTOL-MYERS SQUIBB CO
2,500,000
2,491,950
40,625
 
2,532,575
110122AW8
6,166,103.0001
BRISTOL-MYERS SQUIBB CO
3,500,000
3,488,730
56,875
 
3,545,605
11120VAB9
6,166,105.0001
BRIXMOR OPERATING PARTNERSHIP LP
4,000,000
3,985,560
32,722
 
4,018,282
13645RAU8
6,166,127.0001
CANADIAN PACIFIC RAILWAY CO
1,000,000
1,094,340
12,000
 
1,106,340
151020AU8
6,166,131.0001
CELGENE CORP
1,500,000
1,508,085
15,833
 
1,523,918
15189XAM0
6,166,137.0001
CENTERPOINT ENERGY HOUSTON ELECT
5,000,000
4,663,900
44,375
 
4,708,275
172967FF3
6,166,155.0001
CITIGROUP INC
5,000,000
5,238,300
61,215
 
5,299,515
191216BE9
6,166,165.0001
COCA-COLA CO
5,600,000
5,588,464
89,600
 
5,678,064
231021AR7
6,166,197.0001
CUMMINS INC
900,000
916,128
2,738
 
918,866
231021AR7
6,166,199.0001
CUMMINS INC
2,750,000
2,799,280
8,365
 
2,807,645
24422ERH4
6,166,211.0001
JOHN DEERE CAPITAL CORP
10,000,000
9,993,700
14,000
 
10,007,700
26442UAB0
6,166,229.0001
DUKE ENERGY PROGRESS INC
1,000,000
1,023,480
8,867
 
1,032,347
31428XBE5
6,166,261.0001
FEDEX CORP
500,000
508,545
10,951
 
519,496

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
375558BD4
6,166,313.0001
GILEAD SCIENCES INC
1,000,000
1,034,320
7,917
 
1,042,237
41283DAB9
6,166,343.0001
HARLEY-DAVIDSON FUNDING CORP 144A
5,000,000
5,026,150
128,444
 
5,154,594
42809HAD9
6,166,349.0001
HESS CORP
1,300,000
1,315,301
15,369
 
1,330,670
42824CAG4
6,166,351.0001
HEWLETT-PACKARD CO
2,000,000
2,014,080
3,200
 
2,017,280
42824CAW9
6,166,355.0001
HEWLETT-PACKARD CO
1,000,000
1,027,910
2,178
 
1,030,088
459200HU8
6,166,379.0001
INTERNATIONAL BUSINESS MACHINES C
2,000,000
2,011,640
15,910
 
2,027,550
494368BF9
6,166,407.0001
KIMBERLY-CLARK CORP
5,000,000
5,102,000
32,292
 
5,134,292
50540RAS1
6,166,417.0001
LABORATORY CORP OF AMERICA
1,000,000
971,180
11,750
 
982,930
55616XAC1
6,166,449.0001
MACYS RETAIL HOLDINGS INC
5,083,000
5,480,135
75,115
 
5,555,250
55907RAA6
6,166,453.0001
MAGELLAN MIDSTREAM PARTNERS LP
2,625,000
2,680,650
27,891
 
2,708,541
582839AF3
6,166,461.0001
MEAD JOHNSON NUTRITION CO
600,000
715,974
17,700
 
733,674
61747YCG8
6,166,483.0001
MORGAN STANLEY
2,000,000
2,091,060
68,133
 
2,159,193
61747YCG8
6,166,485.0001
MORGAN STANLEY
1,000,000
1,045,530
34,067
 
1,079,597
66989HAD0
6,166,515.0001
NOVARTIS CAPITAL CORP
1,960,000
2,017,722
1,677
 
2,019,399
66989HAG3
6,166,517.0001
NOVARTIS CAPITAL CORP
2,600,000
2,588,534
42,972
 
2,631,506
67077MAS7
6,166,531.0001
NUTRIEN LTD
850,000
901,570
13,140
 
914,709
674599BY0
6,166,533.0001
OCCIDENTAL PETROLEUM CORPORATION
10,000,000
10,258,500
102,500
 
10,361,000
68389XAK1
6,166,543.0001
ORACLE CORP
6,000,000
6,152,220
68,458
 
6,220,678
69349LAQ1
6,166,557.0001
PNC BANK NATIONAL ASSOCIATION
3,000,000
3,050,460
63,000
 
3,113,460
713291AH5
6,166,563.0001
PEPCO HOLDINGS INC.
3,565,000
4,401,206
56,070
 
4,457,276
718546AL8
6,166,565.0001
PHILLIPS 66
850,000
887,451
19,107
 
906,558
744542AC5
6,166,573.0001
PUBLIC SERVICE OF NEW MEXICO CO
500,000
501,050
4,813
 
505,863
78409VAK0
6,166,605.0001
S&P GLOBAL INC
1,000,000
1,035,920
9,289
 
1,045,209
842587CY1
6,166,629.0001
SOUTHERN COMPANY (THE)
900,000
935,577
6,325
 
941,902
855244AD1
6,166,643.0001
STARBUCKS CORP
1,000,000
1,024,750
3,208
 
1,027,958
85771PAK8
6,166,647.0001
STATOIL ASA
3,000,000
2,876,580
23,408
 
2,899,988
87612EAV8
6,166,679.0001
TARGET CORP MTN
2,000,000
2,042,800
22,819
 
2,065,619
883556AZ5
6,166,705.0001
THERMO FISHER SCIENTIFIC INC
10,000,000
10,063,600
76,000
 
10,139,600
887317AG0
6,166,709.0001
TIME WARNER INC
5,000,000
5,177,850
69,194
 
5,247,044
91324PBW1
6,166,731.0001
UNITEDHEALTH GROUP INC
5,000,000
5,086,300
27,951
 
5,114,251
92553PAT9
6,166,737.0001
VIACOM INC
3,000,000
3,017,520
21,250
 
3,038,770
927804FP4
6,166,743.0001
VIRGINIA ELECTRIC AND POWER CO
2,000,000
2,155,260
19,633
 
2,174,893
941063AQ2
6,166,751.0001
WASTE MANAGEMENT INC
6,000,000
6,209,340
46,000
 
6,255,340
94973VAW7
6,166,757.0001
WELLPOINT INC
3,000,000
3,020,910
23,433
 
3,044,343
74733LAD4
6,166,831.0001
QTEL INTERNATIONAL FINANCE LTD
1,610,000
1,648,238
15,932
 
1,664,170
48266XAB1
6,166,879.0001
KSA SUKUK LTD
1,750,000
1,656,375
1,940
 
1,658,315
031100G#1
6,167,019.0001
AMETEK INC
663,525
668,166
7,828
 
675,995
372460D*3
6,167,183.0001
GENUINE PARTS COMPANY
578,200
613,476
23
 
613,499
92927KB#8
6,167,461.0001
WABCO HOLDINGS INC
231,280
230,771
1,095
 
231,866
92927KB*2
6,167,463.0001
WABCO HOLDINGS INC
346,920
364,272
1,015
 
365,287
92927KB@0
6,167,465.0001
WABCO HOLDINGS INC
115,640
119,171
483
 
119,654
980745F*9
6,167,481.0001
WOODWARD INC
115,640
117,725
143
 
117,867
G1591#AU6
6,167,529.0001
BRITVIC PLC
1,658,813
1,703,386
7,844
 
1,711,230
G1591#AV4
6,167,531.0001
BRITVIC PLC
1,327,050
1,355,615
6,845
 
1,362,461
G1745*AR2
6,167,535.0001
BROOKFIELD UTILITIES ISSUER UK PLC
265,410
274,456
3,428
 
277,884

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
G3663#AA9
6,167,569.0001
FORTH PORTS LTD
132,705
137,052
1,363
 
138,415
G5560@AB8
6,167,581.0001
LONDON LUTON AIRPORT HOLDINGS I LI
398,115
419,424
2,743
 
422,167
G6093#AB0
6,167,587.0001
APTARGROUP UK HOLDINGS LTD
578,200
596,772
2,003
 
598,775
G7304*AA9
6,167,597.0001
QUADGAS FINANCE PLC
398,115
419,250
6,149
 
425,400
G7304*AB7
6,167,599.0001
QUADGAS FINANCE PLC
398,115
409,903
6,378
 
416,281
G8472#AE1
6,167,625.0001
STERIS CORPORATION
265,410
277,332
1,489
 
278,821
N5276#AA5
6,167,653.0001
LITTELFUSE NETHERLAND CV
231,280
244,919
1,094
 
246,013
N5276#AB3
6,167,655.0001
LITTELFUSE NETHERLAND CV
115,640
119,342
878
 
120,221
N9651*AA6
6,167,663.0001
WOODWARD INTERNATIONAL BV
115,640
116,000
167
 
116,168
Q2762#AA0
6,167,687.0001
CONNECTEAST FINANCE PTY LTD
300,680
301,212
3,430
 
304,642
912828V23
6,167,783.0001
TREASURY NOTE
10,000,000
9,691,800
75,207
 
9,767,007
617451CT4
6,167,907.0001
MSC_06-T21 AJ
1,507,602
1,534,400
6,700
 
1,541,100
002824AW0
6,168,163.0001
ABBOTT LABORATORIES
2,375,000
2,425,255
41,909
 
2,467,164
002824AW0
6,168,165.0001
ABBOTT LABORATORIES
5,000,000
5,105,800
88,229
 
5,194,029
002824BL3
6,168,169.0001
ABBOTT LABORATORIES
3,600,000
3,540,420
5,200
 
3,545,620
002824BL3
6,168,171.0001
ABBOTT LABORATORIES
2,000,000
1,966,900
2,889
 
1,969,789
008117AN3
6,168,185.0001
AETNA INC
2,000,000
2,036,080
34,375
 
2,070,455
00846UAJ0
6,168,187.0001
AGILENT TECHNOLOGIES INC
2,000,000
2,012,320
22,819
 
2,035,139
00912XAM6
6,168,189.0001
AIR LEASE CORPORATION
4,000,000
4,039,720
12,917
 
4,052,637
00912XAM6
6,168,191.0001
AIR LEASE CORPORATION
1,000,000
1,009,930
3,229
 
1,013,159
009158AR7
6,168,193.0001
AIR PRODUCTS AND CHEMICALS INC
3,000,000
2,980,620
44,500
 
3,025,120
031162AZ3
6,168,203.0001
AMGEN INC
2,535,000
2,591,100
36,124
 
2,627,223
125896BE9
6,168,243.0001
CMS ENERGY CORPORATION
460,000
483,474
7,188
 
490,661
19416QEC0
6,168,271.0001
COLGATE-PALMOLIVE CO
5,000,000
4,755,500
52,500
 
4,808,000
277432AN0
6,168,311.0001
EASTMAN CHEMICAL CO
500,000
499,845
3,800
 
503,645
277432AN0
6,168,313.0001
EASTMAN CHEMICAL CO
2,500,000
2,499,225
19,000
 
2,518,225
277432AN0
6,168,315.0001
EASTMAN CHEMICAL CO
2,000,000
1,999,380
15,200
 
2,014,580
29365PAQ5
6,168,321.0001
ENTERGY GULF STATES LOUISIANA LLC
3,000,000
3,046,260
9,875
 
3,056,135
345397VM2
6,168,337.0001
FORD MOTOR CREDIT CO LLC
530,000
571,875
12,680
 
584,555
345397XQ1
6,168,343.0001
FORD MOTOR CREDIT COMPANY LLC
3,000,000
2,973,420
28,267
 
3,001,687
42217KBC9
6,168,363.0001
HEALTH CARE REIT INC
1,600,000
1,634,528
21,200
 
1,655,728
42824CAG4
6,168,365.0001
HEWLETT-PACKARD CO
5,000,000
5,035,200
8,000
 
5,043,200
437076BC5
6,168,367.0001
HOME DEPOT INC
2,000,000
2,034,960
15,833
 
2,050,793
446438RQ8
6,168,369.0001
HUNTINGTON NATIONAL BANK
1,500,000
1,490,355
8,505
 
1,498,860
446438RQ8
6,168,371.0001
HUNTINGTON NATIONAL BANK
1,250,000
1,241,963
7,088
 
1,249,050
500255AT1
6,168,383.0001
KOHLS CORP
818,000
842,172
14,679
 
856,850
539439AQ2
6,168,405.0001
LLOYDS BANKING GROUP PLC
4,500,000
4,188,555
77,735
 
4,266,290
55616XAK3
6,168,417.0001
MACYS RETAIL HOLDINGS INC
2,500,000
2,490,075
18,229
 
2,508,304
594918AT1
6,168,423.0001
MICROSOFT CORP
2,000,000
1,926,980
23,750
 
1,950,730
637417AE6
6,168,429.0001
NATIONAL RETAIL PROPERTIES INC
2,000,000
1,998,400
3,378
 
2,001,778
65339KAA8
6,168,433.0001
NEXTERA ENERGY INC
2,000,000
2,059,320
37,500
 
2,096,820
67103HAD9
6,168,441.0001
O REILLY AUTOMOTIVE INC
1,000,000
1,012,520
14,544
 
1,027,064
67103HAD9
6,168,443.0001
O REILLY AUTOMOTIVE INC
1,000,000
1,012,520
14,544
 
1,027,064
695156AQ2
6,168,451.0001
PACKAGING CORP OF AMERICA
750,000
773,573
16,875
 
790,448
713448BR8
6,168,453.0001
PEPSICO INC
3,000,000
3,020,490
46,875
 
3,067,365
78409VAJ3
6,168,473.0001
S&P GLOBAL INC
2,000,000
2,003,220
14,117
 
2,017,337
84756NAC3
6,168,493.0001
SPECTRA ENERGY PARTNERS LP
2,400,000
2,402,088
7,080
 
2,409,168

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
855244AD1
6,168,499.0001
STARBUCKS CORP
4,000,000
4,099,000
12,833
 
4,111,833
89233P4S2
6,168,529.0001
TOYOTA MOTOR CREDIT CORP.
3,000,000
3,092,640
38,958
 
3,131,598
90265EAH3
6,168,531.0001
UDR INC
2,000,000
2,018,980
6,167
 
2,025,147
91159HHC7
6,168,537.0001
US BANCORP
2,000,000
1,981,020
7,667
 
1,988,687
931142DH3
6,168,543.0001
WALMART INC
7,000,000
6,796,370
9,917
 
6,806,287
44841PAA3
6,168,611.0001
HUTCHISON WHAMPOA LTD 144A
545,000
567,379
2,540
 
569,919
46128MAC5
6,168,615.0001
INVERSIONES CMPC SA 144A
850,000
882,938
25,453
 
908,390
EI4567625
6,168,713.0001
CHINA OVERSEAS FINANCE (CAYMAN I L
500,000
521,250
13,063
 
534,313
195325BL8
6,168,719.0001
COLOMBIA (REPUBLIC OF)
528,000
546,744
4,651
 
551,395
195325BL8
6,168,721.0001
COLOMBIA (REPUBLIC OF)
899,000
930,915
7,919
 
938,834
05949A4S6
6,169,339.0001
BOAMS_05-D 3A1
1,930,013
1,998,833
6,732
 
2,005,565
59560UAA9
6,169,477.0001
MDST_04-1 A
974,693
1,064,514
4,944
 
1,069,458
00203QAB3
6,169,551.0001
AP MOLLER-MAERSK A/S
10,000,000
9,657,600
40,625
 
9,698,225
002824BM1
6,169,559.0001
ABBOTT LABORATORIES
1,000,000
998,990
4,951
 
1,003,941
00724FAB7
6,169,569.0001
ADOBE SYSTEMS INCORPORATED
3,000,000
3,098,340
35,625
 
3,133,965
02209SAD5
6,169,587.0001
ALTRIA GROUP INC.
2,000,000
2,072,700
92,150
 
2,164,850
02361DAQ3
6,169,591.0001
AMEREN ILLINOIS CO
2,400,000
2,438,376
12,727
 
2,451,103
02361DAQ3
6,169,593.0001
AMEREN ILLINOIS CO
1,000,000
1,015,990
5,303
 
1,021,293
031162BB5
6,169,605.0001
AMGEN INC
497,000
510,230
2,858
 
513,088
038222AJ4
6,169,625.0001
APPLIED MATERIALS INC
1,300,000
1,320,891
4,225
 
1,325,116
055451AR9
6,169,635.0001
BHP BILLITON FINANCE (USA) LTD
5,000,000
5,029,250
38,385
 
5,067,635
06406HCQ0
6,169,645.0001
BANK OF NEW YORK MELLON CORP
1,660,000
1,681,414
29,689
 
1,711,103
064255AW2
6,169,651.0001
BANK OF TOKYO MITSUBISHI UFJ LTD
3,000,000
3,014,850
15,938
 
3,030,788
09062XAD5
6,169,655.0001
BIOGEN INC
500,000
524,525
3,322
 
527,847
09062XAF0
6,169,657.0001
BIOGEN INC
500,000
501,625
2,588
 
504,213
092113AH2
6,169,659.0001
BLACK HILLS CORP
3,000,000
3,041,310
53,479
 
3,094,789
12527GAH6
6,169,683.0001
CF INDUSTRIES INC
500,000
500,605
9,375
 
509,980
144141CZ9
6,169,711.0001
PROGRESS ENERGY CAROLINAS INC
2,000,000
2,035,980
31,211
 
2,067,191
14912L4E8
6,169,713.0001
CATERPILLAR FINANC MTN
3,750,000
3,881,363
56,604
 
3,937,967
191216BE9
6,169,741.0001
COCA-COLA CO
2,925,000
2,918,975
46,800
 
2,965,775
19416QEG1
6,169,749.0001
COLGATE-PALMOLIVE CO
4,500,000
4,486,365
18,688
 
4,505,053
199575AT8
6,169,753.0001
OHIO POWER COMPANY
745,000
957,354
8,195
 
965,549
199575AV3
6,169,755.0001
OHIO POWER CO
741,000
880,886
3,612
 
884,498
199575AV3
6,169,757.0001
OHIO POWER CO
960,000
1,141,229
4,680
 
1,145,909
20030NBA8
6,169,759.0001
COMCAST CORP
5,000,000
5,196,400
42,917
 
5,239,317
202795HV5
6,169,763.0001
COMMONWEALTH EDISON CO
2,000,000
2,036,960
20,000
 
2,056,960
225433AH4
6,169,791.0001
CREDIT SUISSE GROUP FUNDING (GUERN
500,000
500,290
2,428
 
502,718
231021AR7
6,169,803.0001
CUMMINS INC
1,835,000
1,867,883
5,581
 
1,873,465
25468PDB9
6,169,831.0001
WALT DISNEY CO
1,000,000
1,009,240
17,188
 
1,026,428
26442UAB0
6,169,847.0001
DUKE ENERGY PROGRESS INC
1,000,000
1,023,480
8,867
 
1,032,347
370334BH6
6,169,923.0001
GENERAL MILLS INC
2,000,000
2,043,720
23,856
 
2,067,576
448055AK9
6,169,997.0001
HUSKY ENERGY INC.
3,800,000
3,823,294
6,756
 
3,830,050
458140AS9
6,170,003.0001
INTEL CORP
500,000
503,845
4,728
 
508,573
45866FAD6
6,170,005.0001
INTERCONTINENTALEXCHANGE INC
5,000,000
5,009,200
78,125
 
5,087,325
459200HU8
6,170,007.0001
INTERNATIONAL BUSINESS MACHINES C
5,000,000
5,029,100
39,774
 
5,068,874

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
476556DA0
6,170,025.0001
JERSEY CENTRAL POWER & LIGHT COMP
2,000,000
2,061,040
36,750
 
2,097,790
55608PAQ7
6,170,085.0001
MACQUARIE BANK LTD
1,000,000
1,001,080
10,222
 
1,011,302
585055BC9
6,170,095.0001
MEDTRONIC INC
3,000,000
3,014,670
13,896
 
3,028,566
641423BY3
6,170,137.0001
NEVADA POWER CO
4,000,000
4,146,640
36,417
 
4,183,057
651229AK2
6,170,139.0001
NEWELL RUBBERMAID INC.
5,000,000
5,130,600
49,611
 
5,180,211
655664AP5
6,170,147.0001
NORDSTROM INC
2,000,000
2,024,960
3,556
 
2,028,516
66989HAD0
6,170,161.0001
NOVARTIS CAPITAL CORP
852,000
877,091
729
 
877,820
66989HAJ7
6,170,163.0001
NOVARTIS CAPITAL CORP
14,000,000
13,482,560
187,833
 
13,670,393
68389XAG0
6,170,189.0001
ORACLE CORPORATION
3,000,000
3,084,630
47,083
 
3,131,713
69349LAQ1
6,170,205.0001
PNC BANK NATIONAL ASSOCIATION
5,000,000
5,084,100
105,000
 
5,189,100
72650RAW2
6,170,227.0001
PLAINS ALL AMERICAN PIPELINE LP
2,000,000
2,070,060
33,861
 
2,103,921
806851AG6
6,170,279.0001
SCHLUMBERGER HOLDINGS CORP
7,325,000
7,336,208
105,806
 
7,442,014
806854AH8
6,170,281.0001
SCHLUMBERGER INVESTMENT SA
5,700,000
5,738,019
86,688
 
5,824,707
90131HAN5
6,170,409.0001
21ST CENTURY FOX AMERICA INC
4,000,000
4,138,240
46,000
 
4,184,240
91324PCP5
6,170,433.0001
UNITEDHEALTH GROUP INCORPORATED
1,000,000
1,000,930
11,042
 
1,011,972
92826CAF9
6,170,447.0001
VISA INC
3,000,000
3,119,010
49,092
 
3,168,102
931142CP6
6,170,449.0001
WALMART INC
3,000,000
3,038,820
30,938
 
3,069,758
963320AR7
6,170,461.0001
WHIRLPOOL CORP
2,000,000
2,028,720
13,333
 
2,042,053
98389BAM2
6,170,469.0001
XCEL ENERGY INC
1,000,000
1,025,340
21,672
 
1,047,012
74733LAD4
6,170,645.0001
QTEL INTERNATIONAL FINANCE LTD
1,065,000
1,090,294
10,539
 
1,100,833
195325BL8
6,170,763.0001
COLOMBIA (REPUBLIC OF)
596,000
617,158
5,250
 
622,408
48266XAB1
6,170,821.0001
KSA SUKUK LTD
1,750,000
1,656,375
1,940
 
1,658,315
031100G#1
6,171,049.0001
AMETEK INC
2,521,395
2,539,032
29,748
 
2,568,779
372460D*3
6,171,179.0001
GENUINE PARTS COMPANY
693,840
736,171
28
 
736,199
879360C#0
6,171,373.0001
TELEDYNE TECHNOLOGIES INC
578,200
610,087
201
 
610,287
879360C@2
6,171,375.0001
TELEDYNE TECHNOLOGIES INC
867,300
915,583
229
 
915,812
92927KB#8
6,171,391.0001
WABCO HOLDINGS INC
693,840
692,313
3,286
 
695,599
92927KB*2
6,171,393.0001
WABCO HOLDINGS INC
1,040,760
1,092,817
3,045
 
1,095,862
92927KB@0
6,171,395.0001
WABCO HOLDINGS INC
462,560
476,683
1,933
 
478,616
980745F*9
6,171,405.0001
WOODWARD INC
578,200
588,623
714
 
589,337
G1591#AU6
6,171,443.0001
BRITVIC PLC
331,763
340,677
1,569
 
342,246
G1591#AV4
6,171,445.0001
BRITVIC PLC
331,763
338,904
1,711
 
340,615
G1745*AR2
6,171,451.0001
BROOKFIELD UTILITIES ISSUER UK PLC
1,194,345
1,235,053
15,427
 
1,250,480
G2616#AM3
6,171,455.0001
DCC TREASURY 2014 LTD
2,197,160
2,261,560
5,999
 
2,267,559
G3663#AA9
6,171,471.0001
FORTH PORTS LTD
530,820
548,207
5,453
 
553,660
G5560@AB8
6,171,479.0001
LONDON LUTON AIRPORT HOLDINGS I LI
2,255,985
2,376,735
15,546
 
2,392,281
G6093#AB0
6,171,487.0001
APTARGROUP UK HOLDINGS LTD
2,428,440
2,506,444
8,411
 
2,514,854
G7059#AA2
6,171,495.0001
PHOENIX NATURAL GAS LTD
3,450,330
3,498,637
24,463
 
3,523,100
G7304*AA9
6,171,497.0001
QUADGAS FINANCE PLC
1,857,870
1,956,501
28,697
 
1,985,198
G7304*AB7
6,171,499.0001
QUADGAS FINANCE PLC
1,725,165
1,776,248
27,638
 
1,803,886
G8472#AE1
6,171,521.0001
STERIS CORPORATION
796,230
831,997
4,466
 
836,463
G9605#AJ8
6,171,531.0001
WHITBREAD GROUP PLC
1,194,345
1,211,501
6,792
 
1,218,293
N5276#AA5
6,171,551.0001
LITTELFUSE NETHERLAND CV
693,840
734,757
3,283
 
738,040
N5276#AB3
6,171,553.0001
LITTELFUSE NETHERLAND CV
462,560
477,369
3,513
 
480,883
N8502#AA5
6,171,559.0001
TELEDYNE NETHERLANDS BV
867,300
915,184
301
 
915,485

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
N8502#AB3
6,171,561.0001
TELEDYNE NETHERLANDS BV
578,200
610,123
238
 
610,361
N9651*AA6
6,171,567.0001
WOODWARD INTERNATIONAL BV
346,920
348,001
501
 
348,503
Q2762#AA0
6,171,585.0001
CONNECTEAST FINANCE PTY LTD
1,503,400
1,506,062
17,151
 
1,523,212
617451CT4
6,171,785.0001
MSC_06-T21 AJ
1,507,602
1,534,400
6,700
 
1,541,100
576434D84
6,171,885.0001
MALT_05-1 2A1
619,502
660,021
3,108
 
663,129
0738794H8
6,171,943.0001
BSABS_05-AC9 A4
823,999
813,534
1,977
 
815,511
30711XAT1
6,171,967.0001
CAS_2015_C01
493,782
552,913
519
 
553,431
30711XJX3
6,171,969.0001
CAS_17-C03
1,187,000
1,262,356
969
 
1,263,325
30711XNX8
6,171,977.0001
CAS_17-C05
606,000
616,212
414
 
616,626
30711XNX8
6,171,981.0001
CAS_17-C05
550,000
559,268
376
 
559,644
312905WH1
6,171,991.0001
FHLMC_1079 S
4,793
5,868
61
 
5,929
31339MYX0
6,171,993.0001
FHLMC_2398 SA
59,265
85,399
515
 
85,914
3133T3CR7
6,171,995.0001
FHLMC_1644 X
10,055
11,341
87
 
11,428
3133T42T2
6,171,997.0001
FHLMC_1705 FA
174,917
—
303
 
303
3133T42T2
6,171,999.0001
FHLMC_1705 FA
132,013
—
229
 
229
3133T42T2
6,172,001.0001
FHLMC_1705 FA
165,017
—
286
 
286
3133T4EQ5
6,172,003.0001
FHLMC_1686 SB
34,637
42,101
509
 
42,610
3133T7VJ5
6,172,005.0001
FHLMC_1869 V
32,060
60,771
674
 
61,444
3133TCX86
6,172,007.0001
FHLMC_2033 SO
22,581
28,079
317
 
28,396
31359X6K0
6,172,009.0001
FNMA_00-18 SH
65,864
77,979
161
 
78,140
3137B1HX3
6,172,011.0000
FHLMC_4193
1,261,221
1,267,056
3,966
 
1,271,022
3137G0GJ2
6,172,017.0001
STACR_15-HQA1
1,098,000
1,267,707
1,207
 
1,268,914
3137G0HJ1
6,172,019.0001
STACR_15-HQA2
956,000
1,122,653
1,067
 
1,123,720
31393D2S9
6,172,021.0001
FNMA_03-75 SR
42,643
71,694
90
 
71,784
31393TVC7
6,172,023.0001
FNMA_03-102 TS
79,401
162,695
531
 
163,227
31398RLT0
6,172,035.0001
FNMA_10-65
1,248,905
1,306,478
1,644
 
1,308,122
38374JB62
6,172,037.0001
GNMA_04-95
550,221
770,524
4,041
 
774,565
31282YCW7
6,172,105.0001
FHSTR_207 IO
97,320
23,777
582
 
24,359
31282YCW7
6,172,107.0001
FHSTR_207 IO
97,320
23,777
582
 
24,359
312911ZS2
6,172,109.0001
FHLMC_1368 S
27,632
1,375
100
 
1,474
3133T1QD7
6,172,111.0001
FHLMC_20 S
419,858
53,486
499
 
53,986
3133TENT7
6,172,113.0001
FHLMC_2074 S
127,903
14,853
347
 
15,200
3133TNWW0
6,172,115.0001
FHLMC_2232 SA
150,899
13,299
403
 
13,703
3133TPEH8
6,172,117.0001
FHLMC_2242 SG
94,590
5,499
289
 
5,788
3133TSPK3
6,172,121.0001
FHLMC_2301 SP
39,859
5,717
133
 
5,850
31358NBU5
6,172,123.0001
FNMA_92-80 IO
5,227
592
38
 
630
31358PVS3
6,172,125.0001
FNMA_92-131 IO
14,420
1,985
106
 
2,091
31358SDV0
6,172,127.0001
FNMA_00-17 SB
508,134
74,945
628
 
75,573
31358SWD9
6,172,129.0001
FNMA_00-38 SJ
58,972
3,307
166
 
3,473
31358SWF4
6,172,131.0001
FNMA_00-38 SK
224,854
10,668
680
 
11,348
31359NV40
6,172,133.0001
FNMA_97-18 SG
236,165
32,774
576
 
33,350
31359RUC4
6,172,135.0001
FNMA_97-91 FC
197,252
112
—
 
112
31359SAP5
6,172,137.0001
FNMA_01-8 SK
151,474
22,374
381
 
22,754
31359SAW0
6,172,139.0001
FNMA_01-8 SO
31,206
1,238
85
 
1,323
31359SPQ7
6,172,141.0001
FNMA_01-15 S
310,647
8,906
742
 
9,648
31359XHF9
6,172,143.0001
FNMA_99-57 SC
102,438
6,833
335
 
7,168
31364HHX8
6,172,145.0001
FNSTR_83 2
7,666
592
64
 
655
31364HKR7
6,172,147.0001
FNSTR_104 2
38,820
4,783
319
 
5,102
31364HNB9
6,172,149.0001
FNSTR_133 2
1,601
157
13
 
170
3136ACQS3
6,172,155.0001
FNMA_13-21
12,252,013
1,161,502
31,081
 
1,192,583

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
31392KWY8
6,172,167.0001
FHLMC_2444 TI
326,160
72,321
1,785
 
74,106
31392KWY8
6,172,169.0001
FHLMC_2444 TI
326,160
72,321
1,785
 
74,106
31392KWY8
6,172,171.0001
FHLMC_2444 TI
110,894
24,589
607
 
25,196
31393C2C6
6,172,173.0001
FNMA_03-49 SW
978,827
160,559
845
 
161,404
31393YQ40
6,172,175.0001
FNMA_04-46 ST
6,996,327
262,235
1,379
 
263,614
31394ETQ1
6,172,177.0001
FNMA_05-59 NS
1,047,790
122,625
852
 
123,477
31395BLX9
6,172,179.0001
FNMA_06-10 HI
3,933,492
630,998
3,196
 
634,195
31395N2N6
6,172,185.0001
FNMA_06-59 XS
4,231,527
722,272
3,811
 
726,083
31395NYE1
6,172,187.0001
FNMA_06-56 PS
5,171,316
786,225
4,176
 
790,402
31395NYT8
6,172,189.0001
FNMA_06-56 SM
941,702
139,771
778
 
140,549
31395NYT8
6,172,191.0001
FNMA_06-56 SM
3,139,006
465,902
2,593
 
468,496
31395VGG8
6,172,193.0001
FHLMC_2989 UV
1,103,171
161,324
2,549
 
163,874
31396LXH8
6,172,199.0001
FNMA_06-110 CX
4,508,321
783,967
3,614
 
787,581
31396WDQ6
6,172,201.0001
FNMA_07-53
2,282,276
333,710
1,644
 
335,353
31396WDQ6
6,172,203.0001
FNMA_07-53
2,282,276
333,710
1,644
 
335,353
31396YUW0
6,172,207.0001
FNMA_08-11 SA
2,074,373
295,823
1,540
 
297,363
31397AZJ5
6,172,209.0001
FHLMC_3213 JS
4,278,312
825,391
10,261
 
835,652
31398NL28
6,172,217.0001
FNMA_10-110
3,892,919
578,767
2,694
 
581,461
38373RPK9
6,172,219.0001
GNMA_01-28 S
1,320,951
200,167
3,462
 
203,629
38374LBJ9
6,172,221.0001
GNMA_05-37 SI
2,792,495
441,503
3,677
 
445,180
38376JV35
6,172,225.0001
GNMA_09-100B SX
3,454,690
491,814
6,574
 
498,388
38377DJD9
6,172,231.0001
GNMA_10-99 IT
2,900,153
514,119
12,314
 
526,433
3837H4UF0
6,172,243.0001
GNMA_00-22 SD
102,524
3,377
384
 
3,760
3129033Y1
6,172,253.0001
FHLMC_172 I
2
6
2
 
8
312903NH6
6,172,255.0001
FHLMC_121 I
83
387
25
 
411
312904A70
6,172,257.0001
FHLMC_1023 C
140
768
66
 
835
312904CG8
6,172,259.0001
FHLMC_182 S
20
156
10
 
166
312904F83
6,172,261.0001
FHLMC_1022 K
423
1,437
180
 
1,617
312904NA9
6,172,263.0001
FHLMC_1006 I
51
348
38
 
387
312905WU2
6,172,265.0001
FHLMC_1074 J
181
474
54
 
528
312906BS8
6,172,267.0001
FHLMC_1094 L
146
2,014
147
 
2,161
312907PA0
6,172,269.0001
FHLMC_1159 D
120
1,154
50
 
1,204
312907RG5
6,172,271.0001
FHLMC_1155 L
54
707
56
 
762
312910FH0
6,172,273.0001
FHLMC_1278 L
46
551
46
 
597
31358EH70
6,172,277.0001
FNMA_90-97 H
66
565
66
 
631
31358ELH3
6,172,279.0001
FNMA_90-59 K
48
500
49
 
549
31358GKM8
6,172,283.0001
FNMA_G-9 G
94
513
41
 
555
31358HRF4
6,172,287.0001
FNMA_91-82 PQ
78
1,046
79
 
1,125
31358M2B9
6,172,291.0001
FNMA_92-73 SQ
76
8,539
105
 
8,644
31358RYU1
6,172,293.0001
FNMA_G92-65 LD
124
1,435
79
 
1,514
313602VG6
6,172,295.0001
FNMA_89-34 J
10
43
10
 
53
3133TBHB9
6,172,299.0001
FHLMC_1998 CE
16,557
15,395
78
 
15,472
31359GME3
6,172,303.0001
FNMA_94-8 H
103,318
98,749
611
 
99,361
31359GME3
6,172,305.0001
FNMA_94-8 H
55,633
53,173
329
 
53,502
31394ABQ8
6,172,311.0001
FNMA_04-53 ED
861,766
737,273
—
 
737,273
001192AJ2
6,175,739.0001
SOUTHERN COMPANY GAS CAPITAL COR
12,225,000
12,193,949
54,673
 
12,248,621
00182EBF5
6,175,759.0001
ANZ NEW ZEALAND INTL LTD (LONDON B
13,250,000
12,726,095
132,058
 
12,858,153
002824BM1
6,175,785.0001
ABBOTT LABORATORIES
2,000,000
1,997,980
9,903
 
2,007,883
00440EAW7
6,175,805.0001
ACE INA HOLDINGS INC
1,700,000
1,761,574
36,564
 
1,798,138

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
00724FAB7
6,175,823.0001
ADOBE SYSTEMS INCORPORATED
5,000,000
5,163,900
59,375
 
5,223,275
00912XAQ7
6,175,859.0001
AIR LEASE CORPORATION
5,409,000
5,417,979
50,709
 
5,468,688
009279AC4
6,175,861.0001
AIRBUS GROUP SE
1,200,000
1,180,368
2,765
 
1,183,133
012725AC1
6,175,873.0001
ALBEMARLE CORPORATION
2,000,000
2,027,960
34,583
 
2,062,543
01626PAH9
6,175,891.0001
ALIMENTATION COUCHE-TARD INC
11,000,000
10,408,420
103,049
 
10,511,469
02209SAD5
6,175,905.0001
ALTRIA GROUP INC.
6,000,000
6,218,100
276,450
 
6,494,550
02209SAM5
6,175,907.0001
ALTRIA GROUP INC.
8,000,000
7,540,800
77,444
 
7,618,244
023135BD7
6,175,911.0001
AMAZON.COM INC
18,000,000
17,772,840
133,688
 
17,906,528
023135BG0
6,175,913.0001
AMAZON.COM INC
10,000,000
9,885,500
77,625
 
9,963,125
02361DAQ3
6,175,925.0001
AMEREN ILLINOIS CO
4,000,000
4,063,960
21,211
 
4,085,171
02361DAQ3
6,175,927.0001
AMEREN ILLINOIS CO
2,000,000
2,031,980
10,606
 
2,042,586
02364WAJ4
6,175,929.0001
AMXLMM 6 3/8 03/01/35
722,000
859,332
7,671
 
867,003
02364WAV7
6,175,931.0001
AMERICA MOVIL SAB DE CV
563,000
579,665
2,424
 
582,089
03076CAG1
6,175,981.0001
AMERIPRISE FINANCIAL INC
10,000,000
10,002,500
16,444
 
10,018,944
031100G#1
6,175,985.0001
AMETEK INC
28,000,755
28,196,616
330,355
 
28,526,971
031162BB5
6,175,993.0001
AMGEN INC
1,143,000
1,173,427
6,572
 
1,179,999
035240AM2
6,176,021.0001
ANHEUSER-BUSCH INBEV WORLDWIDE I
2,000,000
1,976,640
6,563
 
1,983,203
035242AN6
6,176,025.0001
ANHEUSER-BUSCH INBEV FINANCE INC
1,000,000
1,036,060
12,250
 
1,048,310
037833AS9
6,176,049.0001
APPLE INC
10,000,000
9,999,300
167,708
 
10,167,008
038222AM7
6,176,063.0001
APPLIED MATERIALS INC
750,000
773,903
2,719
 
776,621
05526DBA2
6,176,129.0001
BAT CAPITAL CORP
7,000,000
6,575,520
52,565
 
6,628,085
05541VAF3
6,176,137.0001
BG ENERGY CAPITAL PLC
5,000,000
5,530,750
11,389
 
5,542,139
055451AQ1
6,176,139.0001
BHP BILLITON FINANCE (USA) LTD
3,389,000
3,350,535
18,134
 
3,368,668
05565ADW0
6,176,147.0001
BNP PARIBAS SA
7,500,000
7,021,800
177,240
 
7,199,040
05565QCB2
6,176,155.0001
BP CAPITAL MARKETS PLC
1,000,000
963,430
12,153
 
975,583
05565QCP1
6,176,159.0001
BP CAPITAL MARKETS PLC
1,000,000
1,012,680
8,582
 
1,021,262
05566SAA1
6,176,171.0001
BURLINGTON NORTHERN AND SANTA FE
4,316,838
4,444,012
61,393
 
4,505,405
05566SAA1
6,176,173.0001
BURLINGTON NORTHERN AND SANTA FE
2,698,024
2,777,508
38,370
 
2,815,878
05723KAE0
6,176,189.0001
BAKER HUGHES A GE CO LLC / BAKER H
5,000,000
4,693,300
64,886
 
4,758,186
05890MAA1
6,176,193.0001
BANCO DE CREDITO E INVERSIONES-SD
1,500,000
1,387,500
2,771
 
1,390,271
06406HBY4
6,176,211.0001
BANK OF NEW YORK MELLON CORP
8,000,000
8,089,440
29,978
 
8,119,418
06406HCQ0
6,176,213.0001
BANK OF NEW YORK MELLON CORP
3,240,000
3,281,796
57,947
 
3,339,743
06406HCX5
6,176,215.0001
BANK OF NEW YORK MELLON CORP
15,000,000
14,667,300
67,708
 
14,735,008
06406RAD9
6,176,217.0001
BANK OF NEW YORK MELLON CORP/THE
8,500,000
8,125,235
126,615
 
8,251,850
06406YAA0
6,176,219.0001
BANK OF NEW YORK MELLON CORP
5,000,000
4,625,700
31,167
 
4,656,867
07274EAF0
6,176,241.0001
BAYER US FINANCE LLC
5,000,000
4,920,150
9,583
 
4,929,733
07274EAF0
6,176,243.0001
BAYER US FINANCE LLC
5,000,000
4,920,150
9,583
 
4,929,733
09062XAF0
6,176,263.0001
BIOGEN INC
3,000,000
3,009,750
15,525
 
3,025,275
09247XAL5
6,176,267.0001
BLACKROCK INC
1,000,000
997,640
4,181
 
1,001,821
100743AK9
6,176,291.0001
BOSTON GAS CO
9,500,000
9,006,095
74,813
 
9,080,908
105756BB5
6,176,297.0001
BRAZIL (FEDERATIVE REPUBLIC OF)
625,000
774,375
14,466
 
788,841

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
105756BR0
6,176,299.0001
BRAZIL (FEDERATIVE REPUBLIC OF)
765,000
728,663
13,627
 
742,289
105756BR0
6,176,301.0001
BRAZIL (FEDERATIVE REPUBLIC OF)
1,077,000
1,025,843
19,184
 
1,045,027
105756BW9
6,176,303.0001
BRAZIL FEDERATIVE REPUBLIC OF (GO
2,578,000
2,226,748
33,657
 
2,260,405
111013AL2
6,176,309.0001
BRITISH SKY BROADCASTING GROUP PLC
5,000,000
5,008,600
23,438
 
5,032,038
111021AE1
6,176,311.0001
BRITISH TELECOMMUNICATIONS PLC
12,000,000
17,271,000
413,667
 
17,684,667
11120VAB9
6,176,315.0001
BRIXMOR OPERATING PARTNERSHIP LP
1,000,000
996,390
8,181
 
1,004,571
114259AP9
6,176,333.0001
BROOKLYN UNION GAS CO
850,000
888,811
5,424
 
894,235
124857AV5
6,176,347.0001
CBS CORP
14,150,000
13,304,255
239,960
 
13,544,215
125094AC6
6,176,353.0001
CDP FINANCIAL INC 144A
700,000
881,237
16,987
 
898,224
125094AC6
6,176,355.0001
CDP FINANCIAL INC 144A
700,000
881,237
16,987
 
898,224
125094AC6
6,176,357.0001
CDP FINANCIAL INC 144A
450,000
566,510
10,920
 
577,430
12527GAH6
6,176,369.0001
CF INDUSTRIES INC
4,000,000
4,004,840
75,000
 
4,079,840
125896BE9
6,176,387.0001
CMS ENERGY CORPORATION
565,000
593,832
8,828
 
602,660
126650CS7
6,176,413.0001
CVS HEALTH CORP
1,000,000
1,049,340
20,833
 
1,070,173
12673PAF2
6,176,417.0001
CA INC
2,000,000
2,011,600
18,000
 
2,029,600
12673PAJ4
6,176,419.0001
CA INC
4,000,000
4,024,160
24,022
 
4,048,182
136385AX9
6,176,427.0001
CANADIAN NATURAL RESOURCES LTD
13,000,000
12,569,310
208,542
 
12,777,852
14149YBJ6
6,176,435.0001
CARDINAL HEALTH INC
8,500,000
7,892,420
109,499
 
8,001,919
14912L4E8
6,176,477.0001
CATERPILLAR FINANC MTN
5,000,000
5,175,150
75,472
 
5,250,622
151191BA0
6,176,489.0001
CELULOSA ARAUCO Y CONSTITUCION SA
2,850,000
2,707,500
54,912
 
2,762,412
15132HAH4
6,176,491.0001
CENCOSUD SA
2,250,000
2,112,188
28,438
 
2,140,625
15135UAH2
6,176,495.0001
CENOVUS ENERGY INC
10,000,000
8,718,600
56,861
 
8,775,461
15189WAG5
6,176,503.0001
CENTERPOINT ENERGY INC
8,000,000
8,204,480
106,000
 
8,310,480
166764BL3
6,176,531.0001
CHEVRON CORP
10,625,000
10,153,356
143,854
 
10,297,210
168863CE6
6,176,539.0001
CHILE (REPUBLIC OF)
1,275,000
1,198,500
17,772
 
1,216,272
171340AL6
6,176,551.0001
CHURCH & DWIGHT CO INC
3,900,000
3,524,118
38,513
 
3,562,631
171340AN2
6,176,553.0001
CHURCH & DWIGHT CO INC
6,000,000
5,570,100
47,250
 
5,617,350
17275RAV4
6,176,555.0001
CISCO SYSTEMS INC
3,000,000
2,984,520
34,000
 
3,018,520
172967LP4
6,176,559.0001
CITIGROUP INC
15,000,000
14,313,900
148,248
 
14,462,148
191216AR1
6,176,599.0001
COCA-COLA COMPANY (THE)
4,050,000
4,091,351
58,826
 
4,150,177
191216BE9
6,176,601.0001
COCA-COLA CO
5,800,000
5,788,052
92,800
 
5,880,852
19416QEK2
6,176,615.0001
COLGATE-PALMOLIVE CO
4,400,000
4,132,348
40,700
 
4,173,048
195325AU9
6,176,617.0001
COLOMBIA 11.75% 2/20
1,080,000
1,240,650
23,265
 
1,263,915
195325AU9
6,176,619.0001
COLOMBIA 11.75% 2/20
2,183,000
2,507,721
47,025
 
2,554,747
195325BL8
6,176,625.0001
COLOMBIA (REPUBLIC OF)
1,111,000
1,150,441
9,787
 
1,160,227
195325BM6
6,176,653.0001
COLOMBIA (REPUBLIC OF)
4,345,000
4,898,988
76,143
 
4,975,131
195869AM4
6,176,663.0001
COLONIAL PIPELINE CO
3,000,000
3,024,150
4,667
 
3,028,817
199575AV3
6,176,673.0001
OHIO POWER CO
1,125,000
1,337,378
5,484
 
1,342,862
199575AV3
6,176,677.0001
OHIO POWER CO
1,020,000
1,212,556
4,973
 
1,217,528
2027A0JN0
6,176,697.0001
COMMONWEALTH BANK OF AUSTRALIA
3,500,000
3,328,290
41,329
 
3,369,619
20605PAJ0
6,176,711.0001
CONCHO RESOURCES INC
1,500,000
1,530,510
6,094
 
1,536,604
207597EG6
6,176,715.0001
CONNECTICUT LIGHT AND POWER CO
2,750,000
2,879,113
5,256
 
2,884,368
209111EV1
6,176,721.0001
CONSOLIDATED EDISON CO OF NEW YOR
5,000,000
5,124,150
148,438
 
5,272,588
224044CJ4
6,176,769.0001
COX COMMUNICATIONS INC
6,900,000
6,503,250
50,983
 
6,554,233

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
225433AH4
6,176,781.0001
CREDIT SUISSE GROUP FUNDING (GUERN
2,000,000
2,001,160
9,711
 
2,010,871
22822VAH4
6,176,819.0001
CROWN CASTLE INTERNATIONAL CORP
6,500,000
6,105,970
39,542
 
6,145,512
231021AR7
6,176,821.0001
CUMMINS INC
1,500,000
1,526,880
4,563
 
1,531,443
23338VAF3
6,176,851.0001
DTE ELECTRIC CO
1,500,000
1,423,125
23,125
 
1,446,250
23338VAG1
6,176,853.0001
DTE ELECTRIC CO
6,500,000
6,211,010
51,458
 
6,262,468
235851AR3
6,176,859.0001
DANAHER CORP
1,000,000
1,046,130
5,590
 
1,051,720
25468PDB9
6,176,899.0001
WALT DISNEY CO
5,000,000
5,046,200
85,938
 
5,132,138
25470DAC3
6,176,911.0001
DISCOVERY COMMUNICATIONS LLC
3,000,000
3,106,740
63,125
 
3,169,865
25470DBB4
6,176,921.0001
DISCOVERY COMMUNICATIONS LLC
5,000,000
4,926,050
89,917
 
5,015,967
25746UBE8
6,176,941.0001
DOMINION RESOURCES INC
1,000,000
1,004,860
24,178
 
1,029,038
260543CK7
6,176,951.0001
DOW CHEMICAL CO
10,000,000
9,804,600
35,417
 
9,840,017
26441CAF2
6,176,959.0001
DUKE ENERGY CORP
1,000,000
1,005,300
4,536
 
1,009,836
26442UAB0
6,176,963.0001
DUKE ENERGY PROGRESS INC
1,000,000
1,023,480
8,867
 
1,032,347
26875PAE1
6,176,981.0001
EOG RESOURCES INC.
1,000,000
1,024,590
18,333
 
1,042,923
277432AR1
6,177,001.0001
EASTMAN CHEMICAL COMPANY
10,000,000
9,996,700
48,556
 
10,045,256
29245JAJ1
6,177,057.0001
EMPRESA NACIONAL DEL PETROLEO ENA
4,580,000
4,345,275
41,029
 
4,386,304
29266MAE9
6,177,069.0001
IBERDROLA INTERNATIONAL BV
500,000
589,765
4,313
 
594,078
29273RAP4
6,177,075.0001
ENERGY TRANSFER PARTNERS LP
4,000,000
4,057,280
100,833
 
4,158,113
29273RBG3
6,177,081.0001
ENERGY TRANSFER PARTNERS LP
3,000,000
2,992,320
41,958
 
3,034,278
29364WAZ1
6,177,115.0001
ENTERGY LOUISIANA LLC
7,000,000
6,641,110
36,400
 
6,677,510
293791AT6
6,177,123.0001
ENTERPRISE PRODUCTS OPERATING LP
4,000,000
4,414,000
38,333
 
4,452,333
29736RAF7
6,177,141.0001
ESTEE LAUDER CO INC
1,200,000
1,123,519
9,373
 
1,132,893
30212PAM7
6,177,147.0001
EXPEDIA INC
1,600,000
1,623,984
16,889
 
1,640,873
30231GAF9
6,177,151.0001
EXXON MOBIL CORP
8,650,000
8,262,567
35,800
 
8,298,367
337358BA2
6,177,201.0001
WELLS FARGO & COMPANY
6,500,000
8,477,365
21,667
 
8,499,032
33938EAQ0
6,177,207.0001
FLEXTRONICS INTERNATIONAL LTD.
500,000
510,000
4,882
 
514,882
341099CB3
6,177,221.0001
DUKE ENERGY FLORIDA LLC
6,900,000
8,239,290
67,850
 
8,307,140
345397VM2
6,177,245.0001
FORD MOTOR CREDIT CO LLC
580,000
625,826
13,876
 
639,701
345397VR1
6,177,247.0001
FORD MOTOR CREDIT CO LLC
460,000
485,323
6,613
 
491,936
345397YG2
6,177,251.0001
FORD MOTOR CREDIT COMPANY LLC
20,000,000
19,466,400
237,067
 
19,703,467
345838AA4
6,177,253.0001
FOREST LABORATORIES INC
472,000
489,615
8,916
 
498,531
370334BH6
6,177,317.0001
GENERAL MILLS INC
4,000,000
4,087,440
47,711
 
4,135,151
37045VAD2
6,177,319.0001
GENERAL MOTORS CO
460,000
461,523
1,297
 
462,819
37045VAE0
6,177,321.0001
GENERAL MOTORS CO
460,000
474,058
1,806
 
475,864
372460D*3
6,177,359.0001
GENUINE PARTS COMPANY
10,060,680
10,674,476
409
 
10,674,885
373334JP7
6,177,381.0001
GEORGIA POWER COMPANY
3,000,000
3,057,150
53,125
 
3,110,275
375558AW3
6,177,383.0001
GILEAD SCIENCES INC
1,000,000
1,007,720
3,083
 
1,010,803
38141GWB6
6,177,401.0001
GOLDMAN SACHS GROUP INC
15,000,000
14,495,550
152,396
 
14,647,946
40049JAZ0
6,177,449.0001
GRUPO TELEVISA SA
4,842,000
5,386,531
94,453
 
5,480,984
40052VAE4
6,177,455.0001
GRUPO BIMBO SAB DE CV
3,300,000
3,051,510
73,673
 
3,125,183
404280AV1
6,177,473.0001
HSBC HOLDINGS PLC
2,000,000
2,005,200
10,011
 
2,015,211
404280AW9
6,177,475.0001
HSBC HOLDINGS PLC
2,000,000
2,027,220
12,661
 
2,039,881
406216BD2
6,177,487.0001
HALLIBURTON CO
3,000,000
2,991,120
26,250
 
3,017,370
416515AW4
6,177,507.0001
HARTFORD FINANCIAL SERVICES GROUP
1,000,000
1,004,700
30,694
 
1,035,395

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
44107TAT3
6,177,559.0001
HOST HOTELS & RESORTS LP
525,000
538,251
4,156
 
542,407
448055AK9
6,177,591.0001
HUSKY ENERGY INC.
3,875,000
3,898,754
6,889
 
3,905,643
448055AK9
6,177,593.0001
HUSKY ENERGY INC.
4,000,000
4,024,520
7,111
 
4,031,631
44841PAA3
6,177,599.0001
HUTCHISON WHAMPOA LTD 144A
600,000
624,637
2,796
 
627,433
454889AQ9
6,177,621.0001
INDIANA MICHIGAN POWER COMPANY
1,000,000
1,053,640
5,814
 
1,059,454
455434BT6
6,177,623.0001
INDIANAPOLIS POWER & LIGHT CO
8,300,000
8,017,468
168,075
 
8,185,543
455780CD6
6,177,643.0001
INDONESIA (REPUBLIC OF)
2,250,000
2,103,750
30,625
 
2,134,375
458140AS9
6,177,669.0001
INTEL CORP
5,000,000
5,038,450
47,278
 
5,085,728
46115HBB2
6,177,695.0001
INTESA SANPAOLO SPA
16,500,000
15,477,165
190,036
 
15,667,201
46647PAJ5
6,177,745.0001
JPMORGAN CHASE & CO
6,320,000
5,900,542
66,106
 
5,966,648
476556DA0
6,177,769.0001
JERSEY CENTRAL POWER & LIGHT COMP
2,000,000
2,061,040
36,750
 
2,097,790
478160AW4
6,177,771.0001
JOHNSON & JOHNSON
1,000,000
1,004,050
4,917
 
1,008,967
478160BU7
6,177,777.0001
JOHNSON & JOHNSON
1,000,000
971,030
5,917
 
976,947
478160BU7
6,177,779.0001
JOHNSON & JOHNSON
7,500,000
7,282,725
44,375
 
7,327,100
478160BU7
6,177,781.0001
JOHNSON & JOHNSON
1,700,000
1,650,751
10,058
 
1,660,809
478160BV5
6,177,783.0001
JOHNSON & JOHNSON
1,000,000
963,130
6,167
 
969,297
478165AH6
6,177,785.0001
SC JOHNSON & SON INC
500,000
553,240
1,056
 
554,296
478165AH6
6,177,787.0001
SC JOHNSON & SON INC
800,000
885,184
1,689
 
886,873
48266XAB1
6,177,805.0001
KSA SUKUK LTD
5,250,000
4,969,125
5,820
 
4,974,945
491674BL0
6,177,869.0001
KENTUCKY UTILITIES CO
500,000
517,495
1,823
 
519,318
49427RAL6
6,177,873.0001
KILROY REALTY LP
2,000,000
1,997,860
7,292
 
2,005,152
50066AAM5
6,177,905.0001
KOREA GAS CORPORATION
3,750,000
3,604,688
28,932
 
3,633,620
501044DJ7
6,177,917.0001
KROGER CO
10,000,000
9,514,300
92,500
 
9,606,800
532457BP2
6,177,965.0001
ELI LILLY AND COMPANY
15,000,000
14,423,100
214,417
 
14,637,517
532457BR8
6,177,967.0001
ELI LILLY AND COMPANY
1,100,000
1,097,129
20,035
 
1,117,164
536878AF8
6,177,995.0001
REPUBLIC OF LITHUANIA
900,000
966,375
7,963
 
974,338
536878AF8
6,177,997.0001
REPUBLIC OF LITHUANIA
905,000
971,744
8,007
 
979,750
548661DN4
6,178,025.0001
LOWES COMPANIES INC
2,500,000
2,268,125
4,111
 
2,272,236
55608JAK4
6,178,065.0001
MACQUARIE GROUP LTD
6,500,000
6,067,165
103,953
 
6,171,118
55608PAQ7
6,178,067.0001
MACQUARIE BANK LTD
10,000,000
10,010,800
102,222
 
10,113,022
55616XAK3
6,178,069.0001
MACYS RETAIL HOLDINGS INC
4,500,000
4,482,135
32,813
 
4,514,948
55616XAL1
6,178,071.0001
MACYS RETAIL HOLDINGS INC
11,500,000
10,998,370
173,698
 
11,172,068
559080AD8
6,178,073.0001
MAGELLAN MIDSTREAM PARTNERS LP
1,000,000
1,007,630
18,844
 
1,026,474
559222AR5
6,178,077.0001
MAGNA INTERNATIONAL INC.
1,250,000
1,270,950
4,323
 
1,275,273
575634AS9
6,178,119.0001
MASSACHUSETTS ELECTRIC COMPANY 14
500,000
619,095
13,603
 
632,698
57636QAB0
6,178,121.0001
MASTERCARD INC
9,000,000
9,011,341
25,313
 
9,036,653
57636QAB0
6,178,123.0001
MASTERCARD INC
3,000,000
3,003,780
8,438
 
3,012,218
579780AN7
6,178,129.0001
MCCORMICK & CO INC
7,000,000
6,631,590
50,244
 
6,681,834
58013MEJ9
6,178,133.0001
MCDONALDS CORPORATION
2,500,000
2,528,550
25,764
 
2,554,314
58013MEN0
6,178,137.0001
MCDONALDS CORP
10,000,000
9,024,100
78,111
 
9,102,211
58405UAG7
6,178,141.0001
MEDCO HEALTH SOLUTIONS INC
5,000,000
5,079,650
26,354
 
5,106,004
585055BC9
6,178,149.0001
MEDTRONIC INC
1,000,000
1,004,890
4,632
 
1,009,522
585055BR6
6,178,151.0001
MEDTRONIC INC
1,100,000
1,097,646
4,428
 
1,102,074
59284MAC8
6,178,189.0001
MEXICO CITY AIRPORT TRUST
1,200,000
1,077,120
129
 
1,077,249
59284MAD6
6,178,191.0001
MEXICO CITY AIRPORT TRUST
1,050,000
933,188
14,598
 
947,785
594918AT1
6,178,195.0001
MICROSOFT CORP
2,000,000
1,926,980
23,750
 
1,950,730
594918AW4
6,178,197.0001
MICROSOFT CORP
2,200,000
2,240,920
30,128
 
2,271,048

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
605417BZ6
6,178,221.0001
MISSISSIPPI POWER COMPANY
9,000,000
8,645,130
48,875
 
8,694,005
60687YAM1
6,178,237.0001
MIZUHO FINANCIAL GROUP INC
9,000,000
8,431,830
39,625
 
8,471,455
60688XAG5
6,178,239.0001
MIZUHO BANK LTD
9,000,000
9,012,959
14,063
 
9,027,022
60688XAG5
6,178,241.0001
MIZUHO BANK LTD
5,000,000
5,007,200
7,813
 
5,015,012
60688XAG5
6,178,243.0001
MIZUHO BANK LTD
1,000,000
1,001,440
1,563
 
1,003,002
61744YAK4
6,178,261.0001
MORGAN STANLEY
15,000,000
14,240,550
148,129
 
14,388,679
61744YAL2
6,178,263.0001
MORGAN STANLEY
9,500,000
8,883,260
103,742
 
8,987,002
61945CAA1
6,178,273.0001
MOSAIC CO
7,000,000
6,982,640
121,042
 
7,103,682
61945CAG8
6,178,275.0001
MOSAIC CO
10,000,000
9,463,000
189,000
 
9,652,000
637417AE6
6,178,317.0001
NATIONAL RETAIL PROPERTIES INC
2,000,000
1,998,400
3,378
 
2,001,778
637432NK7
6,178,327.0001
NATIONAL RURAL UTILITIES COOP FINA
4,500,000
4,704,165
7,219
 
4,711,384
637432NN1
6,178,329.0001
NATIONAL RURAL UTILITIES COOP FINA
6,100,000
5,769,258
3,101
 
5,772,359
649840CQ6
6,178,343.0001
NEW YORK STATE ELECTRIC & GAS CORP
20,000,000
19,214,600
270,833
 
19,485,433
65339KAA8
6,178,367.0001
NEXTERA ENERGY INC
3,000,000
3,088,980
56,250
 
3,145,230
65339KAV2
6,178,369.0001
NEXTERA ENERGY CAPITAL HOLDINGS IN
7,000,000
6,676,670
167,067
 
6,843,737
654106AE3
6,178,373.0001
NIKE INC
4,900,000
4,776,569
94,938
 
4,871,507
65473QAR4
6,178,375.0001
NISOURCE FINANCE CORP
2,500,000
2,620,150
17,410
 
2,637,560
665772CP2
6,178,381.0001
NORTHERN STATES POWER CO
4,700,000
4,405,733
78,020
 
4,483,753
665859AS3
6,178,383.0001
NORTHERN TRUST CORPORATION
5,700,000
5,356,575
92,447
 
5,449,022
665859AS3
6,178,385.0001
NORTHERN TRUST CORPORATION
5,500,000
5,168,625
89,203
 
5,257,828
66989HAE8
6,178,405.0001
NOVARTIS CAPITAL CORP
3,000,000
2,898,690
8,000
 
2,906,690
66989HAF5
6,178,407.0001
NOVARTIS CAPITAL CORP
700,000
677,488
2,878
 
680,366
66989HAF5
6,178,409.0001
NOVARTIS CAPITAL CORP
600,000
580,704
2,467
 
583,171
66989HAF5
6,178,411.0001
NOVARTIS CAPITAL CORP
700,000
677,488
2,878
 
680,366
66989HAG3
6,178,413.0001
NOVARTIS CAPITAL CORP
10,000,000
9,955,900
165,278
 
10,121,178
66989HAK4
6,178,417.0001
NOVARTIS CAPITAL CORP
500,000
503,715
8,944
 
512,659
67073YAA4
6,178,431.0001
NV ENERGY INC
690,000
740,798
19,885
 
760,683
67077MAH1
6,178,435.0001
NUTRIEN LTD
2,000,000
2,055,220
39,750
 
2,094,970
678858BR1
6,178,493.0001
OKLAHOMA GAS AND ELECTRIC COMPAN
750,000
761,078
2,594
 
763,671
693476BJ1
6,178,537.0001
PNC FUNDING CORP
7,300,000
7,569,954
86,257
 
7,656,211
69351UAT0
6,178,543.0001
PPL ELECTRIC UTILITIES CORP
600,000
607,782
2,075
 
609,857
69351UAU7
6,178,545.0001
PPL ELECTRIC UTILITIES CORPORATION
900,000
890,226
14,813
 
905,039
69352PAK9
6,178,549.0001
PPL CAPITAL FUNDING INC
2,500,000
2,513,425
12,618
 
2,526,043
693627AY7
6,178,551.0001
DUKE ENERGY INDIANA INC
750,000
924,008
2,040
 
926,048
694308HK6
6,178,557.0001
PACIFIC GAS AND ELECTRIC CO
10,000,000
9,668,000
71,778
 
9,739,778
706451BG5
6,178,589.0001
PEMEX PROJECT FUNDING MASTER TRUS
1,575,000
1,556,888
39,419
 
1,596,306
708696BY4
6,178,591.0001
PENNSYLVANIA ELECTRIC COMPANY
6,000,000
5,586,420
24,917
 
5,611,337
713291AH5
6,178,595.0001
PEPCO HOLDINGS INC.
7,000,000
8,641,920
110,094
 
8,752,014
713448DD7
6,178,601.0001
PEPSICO INC
1,500,000
1,572,285
3,152
 
1,575,437
713448DD7
6,178,603.0001
PEPSICO INC
1,000,000
1,048,190
2,101
 
1,050,291
71654QAZ5
6,178,665.0001
PETROLEOS MEXICANOS
1,445,000
1,383,588
38,875
 
1,422,462
71654QBE1
6,178,669.0001
PETROLEOS MEXICANOS
1,255,000
1,058,203
23,775
 
1,081,979
716564AA7
6,178,683.0001
PETROLEOS DEL PERU SA
2,625,000
2,486,400
45,719
 
2,532,119
718286CB1
6,178,733.0001
PHILIPPINES (REPUBLIC OF)
1,050,000
979,125
9,605
 
988,730

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
72650RAW2
6,178,743.0001
PLAINS ALL AMERICAN PIPELINE LP
2,325,000
2,406,445
39,364
 
2,445,808
72650RAW2
6,178,745.0001
PLAINS ALL AMERICAN PIPELINE LP
675,000
698,645
11,428
 
710,073
72650RBA9
6,178,749.0001
PLAINS ALL AMERICAN PIPELINE LP
7,000,000
6,564,740
150,208
 
6,714,948
74005PAZ7
6,178,787.0001
PRAXAIR INC
10,000,000
9,952,400
50,000
 
10,002,400
742718EB1
6,178,791.0001
PROCTER & GAMBLE CO
5,000,000
4,992,250
32,722
 
5,024,972
743263AR6
6,178,795.0001
PROGRESS ENERGY INC
7,000,000
7,173,950
90,689
 
7,264,639
74340XBE0
6,178,799.0001
PROLOGIS LP
550,000
548,262
10,313
 
558,575
744448CM1
6,178,801.0001
PUBLIC SERVICE CO OF COLORADO
2,100,000
1,916,061
28,163
 
1,944,224
74456QAU0
6,178,811.0001
PUBLIC SERVICE ELECTRIC AND GAS CO
8,000,000
9,313,108
215,000
 
9,528,108
74456QBT2
6,178,821.0001
PUBLIC SERVICE ELECTRIC AND GAS CO
3,000,000
2,803,650
43,500
 
2,847,150
745332BX3
6,178,827.0001
PUGET SOUND ENERGY INC
518,000
660,927
4,153
 
665,079
74733LAD4
6,178,835.0001
QTEL INTERNATIONAL FINANCE LTD
1,885,000
1,929,769
18,654
 
1,948,422
74733LAD4
6,178,837.0001
QTEL INTERNATIONAL FINANCE LTD
820,000
839,475
8,115
 
847,590
747525AU7
6,178,849.0001
QUALCOMM INCORPORATED
15,000,000
13,808,550
218,021
 
14,026,571
749685AW3
6,178,857.0001
RPM INTERNATIONAL INC
3,750,000
3,434,588
57,995
 
3,492,582
75625QAE9
6,178,865.0001
RECKITT BENCKISER TSY
7,600,000
7,029,544
79,167
 
7,108,711
75886AAJ7
6,178,871.0001
REGENCY ENERGY PARTNERS LP
800,000
803,592
18,000
 
821,592
759468AA9
6,178,873.0001
RELIANCE HOLDINGS USA INC
5,000,000
5,100,881
7,500
 
5,108,381
759470AX5
6,178,881.0001
RELIANCE INDUSTRIES LTD
2,475,000
2,314,373
38,068
 
2,352,441
771367CD9
6,178,909.0001
ROCHESTER GAS AND ELECTRIC CORPOR
7,000,000
6,654,970
90,417
 
6,745,387
774341AK7
6,178,917.0001
ROCKWELL COLLINS INC.
9,000,000
8,535,510
40,250
 
8,575,760
78307ADB6
6,178,953.0001
RUSSIAN FEDERATION (GOVERNMENT)
900,000
919,125
250
 
919,375
78403DAH3
6,178,959.0001
SBA TOWER TRUST
4,000,000
4,028,731
—
 
4,028,731
78486QAD3
6,178,965.0001
SVB FINANCIAL GROUP
600,000
582,408
5,367
 
587,775
80282KAE6
6,178,981.0001
SANTANDER HOLDINGS USA INC
5,500,000
5,540,316
71,500
 
5,611,816
80413TAB5
6,178,989.0001
SAUDI INTERNATIONAL BOND
1,950,000
1,800,825
880
 
1,801,705
82620KAT0
6,179,047.0001
SIEMENS FINANCIERINGSMAATSCHAPPIJ
4,000,000
4,099,720
21,000
 
4,120,720
828807CS4
6,179,055.0001
SIMON PROPERTY GROUP INC
15,000,000
14,597,250
42,188
 
14,639,438
831588AB4
6,179,067.0001
SLOVAK REPUBLIC (GOVERNMENT)
1,255,000
1,313,044
24,403
 
1,337,447
842400GG2
6,179,095.0001
SOUTHERN CALIFORNIA EDISON CO
2,634,000
2,575,499
8,780
 
2,584,279
842434CQ3
6,179,099.0001
SOUTHERN CALIFORNIA GAS CO
5,000,000
4,644,350
49,111
 
4,693,461
855244AD1
6,179,171.0001
STARBUCKS CORP
4,000,000
4,099,000
12,833
 
4,111,833
871829AY3
6,179,233.0001
SYSCO CORPORATION
1,000,000
1,027,790
4,042
 
1,031,832
875127AW2
6,179,271.0001
TAMPA ELECTRIC COMPANY
750,000
921,549
21,269
 
942,818
879360C#0
6,179,299.0001
TELEDYNE TECHNOLOGIES INC
1,156,400
1,220,173
401
 
1,220,575
879360C@2
6,179,301.0001
TELEDYNE TECHNOLOGIES INC
1,734,600
1,831,166
458
 
1,831,624
87938WAU7
6,179,315.0001
TELEFONICA EMISIONES SAU
500,000
520,680
3,837
 
524,517
88160QAL7
6,179,333.0001
TESORO LOGISTICS LP/TESORO LOGISTI
636,000
663,825
1,767
 
665,592
88166JAA1
6,179,335.0001
TEVA PHARMACEUTICAL FINANCE COMP
2,800,000
2,618,000
48,545
 
2,666,545
887317AX3
6,179,367.0001
TIME WARNER INC
1,500,000
1,473,570
21,421
 
1,494,991
89233P5T9
6,179,391.0001
TOYOTA MOTOR CREDIT CORP
7,500,000
7,521,900
74,938
 
7,596,838
89236TDR3
6,179,393.0001
TOYOTA MOTOR CREDIT CORP
10,000,000
9,662,200
99,556
 
9,761,756

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
89352HAF6
6,179,401.0001
TRANSCANADA PIPELINES LTD
3,500,000
3,539,270
48,028
 
3,587,298
900123AW0
6,179,435.0001
TURKEY (REPUBLIC OF)
2,510,000
2,754,725
44,221
 
2,798,946
900123AY6
6,179,437.0001
TURKEY (REPUBLIC OF)
1,256,000
1,290,540
10,554
 
1,301,094
900123CK4
6,179,439.0001
TURKEY (REPUBLIC OF)
3,000,000
2,805,000
8,938
 
2,813,938
90131HAN5
6,179,443.0001
21ST CENTURY FOX AMERICA INC
5,000,000
5,172,800
57,500
 
5,230,300
902494AX1
6,179,465.0001
TYSON FOODS INC
4,000,000
3,994,080
33,356
 
4,027,436
902494BC6
6,179,469.0001
TYSON FOODS INC
8,000,000
7,587,920
117,544
 
7,705,464
90331HMS9
6,179,487.0001
US BANK NA/CINCINNATI OH
9,000,000
8,529,930
65,800
 
8,595,730
90351DAA5
6,179,489.0001
UBS GROUP FUNDING SWITZERLAND AG
2,500,000
2,477,975
7,580
 
2,485,555
906548CK6
6,179,509.0001
UNION ELECTRIC CO
3,000,000
3,002,820
4,667
 
3,007,486
906548CK6
6,179,511.0001
UNION ELECTRIC CO
4,000,000
4,003,760
6,222
 
4,009,982
907818DK1
6,179,515.0001
UNION PACIFIC CORPORATION
614,000
633,838
7,526
 
641,365
907818EF1
6,179,523.0001
UNION PACIFIC CORP
2,450,000
2,406,047
45,754
 
2,451,801
91086QBB3
6,179,551.0001
MEXICO (UNITED MEXICAN STATES)
776,000
726,336
5,427
 
731,763
91086QBB3
6,179,553.0001
MEXICO (UNITED MEXICAN STATES)
1,076,000
1,007,136
7,525
 
1,014,661
911312AQ9
6,179,561.0001
UNITED PARCEL SERVICE INC
5,000,000
4,847,900
10,208
 
4,858,108
91159HHC7
6,179,563.0001
US BANCORP
7,000,000
6,933,570
26,833
 
6,960,403
912828A42
6,179,567.0001
TREASURY NOTE
45,000,000
44,341,200
375,824
 
44,717,024
912828M98
6,179,569.0001
WI TREASURY NOTE
2,000,000
1,952,100
13,571
 
1,965,671
912828U65
6,179,571.0001
TREASURY NOTE
21,000,000
20,321,490
153,462
 
20,474,952
912828V72
6,179,573.0001
TREASURY NOTE
17,000,000
16,493,230
79,247
 
16,572,477
912828W55
6,179,575.0001
TREASURY NOTE
28,000,000
27,145,440
88,451
 
27,233,891
91324PCP5
6,179,591.0001
UNITEDHEALTH GROUP INCORPORATED
4,000,000
4,003,720
44,167
 
4,047,887
927804FJ8
6,179,645.0001
VIRGINIA ELECTRIC AND POWER CO
10,000,000
10,016,500
57,500
 
10,074,000
928563AC9
6,179,655.0001
VMWARE INC
7,000,000
6,606,740
53,083
 
6,659,823
92927KB#8
6,179,667.0001
WABCO HOLDINGS INC
8,673,000
8,653,914
41,079
 
8,694,993
92927KB*2
6,179,669.0001
WABCO HOLDINGS INC
12,142,200
12,749,531
35,521
 
12,785,052
92927KB@0
6,179,671.0001
WABCO HOLDINGS INC
5,203,800
5,362,686
21,748
 
5,384,434
931142CB7
6,179,681.0001
WALMART INC
945,000
1,118,105
8,269
 
1,126,374
93884PDW7
6,179,691.0001
WASHINGTON GAS LIGHT COMPANY
4,000,000
3,806,040
19,402
 
3,825,442
949746RW3
6,179,705.0001
WELLS FARGO & COMPANY
6,700,000
6,186,378
5,025
 
6,191,403
94974BGA2
6,179,709.0001
WELLS FARGO & COMPANY
15,500,000
14,941,845
73,883
 
15,015,728
94978SAA7
6,179,715.0001
WELLS FARGO CAPITAL X
6,500,000
6,949,865
146,106
 
7,095,971
95000U2A0
6,179,717.0001
WELLS FARGO & COMPANY
15,000,000
14,296,800
237,440
 
14,534,240
95709TAM2
6,179,723.0001
WESTAR ENERGY INC
1,300,000
1,337,284
23,021
 
1,360,305
958254AA2
6,179,725.0001
WESTERN GAS PARTNERS LP
780,000
809,133
17,469
 
826,602
963320AR7
6,179,741.0001
WHIRLPOOL CORP
3,000,000
3,043,080
20,000
 
3,063,080
96950FAM6
6,179,753.0001
WILLIAMS PARTNERS LP
6,000,000
6,024,540
40,850
 
6,065,390
976656CJ5
6,179,755.0001
WISCONSIN ELECTRIC POWER CO
1,000,000
1,016,460
16,244
 
1,032,704
980745F*9
6,179,773.0001
WOODWARD INC
6,244,560
6,357,128
7,713
 
6,364,841
981811AF9
6,179,779.0001
WORTHINGTON INDUSTRIES INC
6,080,000
5,759,219
65,360
 
5,824,579
AO0617081
6,179,801.0001
RUSSIAN FEDERATION (GOVERNMENT)
4,000,000
3,900,000
60,444
 
3,960,444
EH9327303
6,179,887.0001
PETRONAS CAPITAL LTD.
500,000
513,125
5,760
 
518,885
EH9327303
6,179,889.0001
PETRONAS CAPITAL LTD.
999,000
1,025,224
11,509
 
1,036,733
EH9327303
6,179,891.0001
PETRONAS CAPITAL LTD.
1,253,000
1,285,891
14,436
 
1,300,327

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
EH9327303
6,179,893.0001
PETRONAS CAPITAL LTD.
813,000
834,341
9,366
 
843,708
EI0320727
6,179,903.0001
EMPRESAS CMPC SA
565,000
586,894
16,919
 
603,812
EI0937215
6,179,905.0001
BNP PARIBAS
700,000
714,442
3,757
 
718,200
EI1085899
6,179,907.0001
INDONESIA (REPUBLIC OF)
910,000
954,363
7,128
 
961,491
EI2462360
6,179,915.0001
LI & FUNG LTD
550,000
563,425
13,475
 
576,900
EI2462360
6,179,925.0001
LI & FUNG LTD
1,100,000
1,126,850
26,950
 
1,153,800
EI3062946
6,179,931.0001
GRUPO BIMBO SAB DE CV
1,400,000
1,441,846
22,940
 
1,464,786
EI4385726
6,179,937.0001
RELIANCE HOLDING USA INC
1,240,000
1,265,018
1,860
 
1,266,878
EI4567625
6,179,947.0001
CHINA OVERSEAS FINANCE (CAYMAN I L
730,000
761,025
19,071
 
780,096
EI4567625
6,179,949.0001
CHINA OVERSEAS FINANCE (CAYMAN I L
500,000
521,250
13,063
 
534,313
EI4606006
6,179,961.0001
SINOCHEM OVERSEAS CAPITAL CO LTD
908,000
923,890
19,182
 
943,072
EI4606006
6,179,963.0001
SINOCHEM OVERSEAS CAPITAL CO LTD
1,024,000
1,041,920
21,632
 
1,063,552
EI4606006
6,179,965.0001
SINOCHEM OVERSEAS CAPITAL CO LTD
861,000
876,068
18,189
 
894,256
EI5490665
6,179,967.0001
CNOOC FINANCE 2011 LTD
530,000
539,938
5,944
 
545,882
G1591#AU6
6,180,065.0001
BRITVIC PLC
4,976,438
5,110,158
23,531
 
5,133,689
G1591#AV4
6,180,067.0001
BRITVIC PLC
3,981,150
4,066,846
20,536
 
4,087,383
G1745*AR2
6,180,077.0001
BROOKFIELD UTILITIES ISSUER UK PLC
13,535,910
13,997,270
174,839
 
14,172,109
G2616#AM3
6,180,093.0001
DCC TREASURY 2014 LTD
4,394,320
4,523,119
11,998
 
4,535,117
G3663#AA9
6,180,119.0001
FORTH PORTS LTD
6,369,840
6,578,488
65,437
 
6,643,925
G5560@AB8
6,180,137.0001
LONDON LUTON AIRPORT HOLDINGS I LI
9,952,875
10,485,593
68,586
 
10,554,180
G6093#AB0
6,180,147.0001
APTARGROUP UK HOLDINGS LTD
10,985,800
11,338,673
38,049
 
11,376,722
G7059#AA2
6,180,157.0001
PHOENIX NATURAL GAS LTD
6,900,660
6,997,274
48,926
 
7,046,200
G7304*AA9
6,180,163.0001
QUADGAS FINANCE PLC
9,023,940
9,503,004
139,387
 
9,642,391
G7304*AB7
6,180,165.0001
QUADGAS FINANCE PLC
9,156,645
9,427,780
146,692
 
9,574,473
G8472#AE1
6,180,203.0001
STERIS CORPORATION
5,042,790
5,269,311
28,286
 
5,297,598
G9605#AJ8
6,180,217.0001
WHITBREAD GROUP PLC
2,388,690
2,423,001
13,584
 
2,436,585
N5276#AA5
6,180,249.0001
LITTELFUSE NETHERLAND CV
8,673,000
9,184,465
41,033
 
9,225,498
N5276#AB3
6,180,251.0001
LITTELFUSE NETHERLAND CV
5,203,800
5,370,407
39,522
 
5,409,928
N8502#AA5
6,180,263.0001
TELEDYNE NETHERLANDS BV
1,734,600
1,830,369
602
 
1,830,971
N8502#AB3
6,180,265.0001
TELEDYNE NETHERLANDS BV
867,300
915,184
357
 
915,541
N9651*AA6
6,180,277.0001
WOODWARD INTERNATIONAL BV
3,816,120
3,828,016
5,513
 
3,833,529
Q2762#AA0
6,180,305.0001
CONNECTEAST FINANCE PTY LTD
6,690,130
6,701,974
76,321
 
6,778,295
05525MAA4
6,180,429.0001
BAMLL_14-520M
10,161,000
10,360,879
24,417
 
10,385,296
3138LGPB6
6,180,471.0001
FNMA 30YR MULTI
7,308,876
7,060,107
22,015
 
7,082,122
38378XK34
6,180,509.0001
GNMA_14-179
9,691,085
9,668,549
28,879
 
9,697,429
38379KV47
6,180,525.0001
GNMA_15-150
13,368,220
11,638,149
33,421
 
11,671,570
38379R3T8
6,180,533.0001
GNMA_17-142
10,000,000
8,840,992
25,000
 
8,865,992
38379R3T8
6,180,535.0001
GNMA_17-142
1,690,000
1,494,128
4,225
 
1,498,353
38379RD26
6,180,541.0001
GNMA_17-94
6,000,000
4,747,538
12,500
 
4,760,038
38379RN74
6,180,547.0001
GNMA_17-105
7,350,000
6,267,000
18,375
 
6,285,375
38379RRS4
6,180,555.0001
GNMA_17-53
7,728,411
6,547,011
19,321
 
6,566,332
38379RTJ2
6,180,559.0001
GNMA_17-62
5,396,109
4,564,018
12,959
 
4,576,978
38379RYR8
6,180,565.0001
GNMA_2017-70
15,976,768
14,115,034
39,942
 
14,154,975
38379RZG1
6,180,567.0001
GNMA_17-89
5,666,000
5,003,891
14,165
 
5,018,056
38379UEG7
6,180,569.0001
GNMA_16-26
6,000,000
4,907,903
15,000
 
4,922,903
38379UNE2
6,180,573.0001
GNMA_16-45
7,000,000
6,093,689
17,500
 
6,111,189

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
38379UQX7
6,180,577.0001
GNMA_16-65
5,722,341
4,778,685
14,306
 
4,792,991
38380JCD8
6,180,581.0001
GNMA_17-152
10,000,000
8,784,972
25,000
 
8,809,972
52108MAN3
6,180,597.0001
LBUBS_05-C7 E
816,076
921,813
2,708
 
924,521
617451CT4
6,180,599.0001
MSC_06-T21 AJ
4,522,805
4,603,199
20,101
 
4,623,300
92939VAA2
6,180,613.0001
JPMDB_15-WPG
12,000,000
11,492,626
36,332
 
11,528,958
3136A5UU8
6,180,647.0001
FNMA_12-30
6,525,000
6,562,762
21,750
 
6,584,512
3137AQUP1
6,180,655.0001
FHLMC_4048
7,680,000
7,734,980
25,600
 
7,760,580
55265K3T4
6,180,683.0001
MAST_03-12
537,020
560,576
2,359
 
562,935
81743PAA4
6,180,687.0001
SEMT_03-1 1A
631,981
634,998
525
 
635,523
949758AD8
6,180,699.0001
WFMBS_04-O A1
494,445
520,205
1,501
 
521,707
94980DAA6
6,180,707.0001
WFMBS_03-M A1
531,216
559,561
1,701
 
561,262
07378RAB5
6,180,735.0001
BSABS_07-AC4 A2
761,198
897,935
2,445
 
900,380
30711XAT1
6,180,799.0001
CAS_2015_C01
952,295
1,066,331
1,000
 
1,067,331
30711XAT1
6,180,805.0001
CAS_2015_C01
2,468,912
2,764,563
2,593
 
2,767,156
30711XAT1
6,180,807.0001
CAS_2015_C01
2,116,211
2,369,625
2,223
 
2,371,848
30711XAX2
6,180,809.0001
CAS_2015-C02
2,197,900
2,451,378
2,197
 
2,453,575
30711XAX2
6,180,811.0001
CAS_2015-C02
842,528
939,695
842
 
940,537
30711XAX2
6,180,815.0001
CAS_2015-C02
5,128,432
5,719,882
5,126
 
5,725,008
30711XBF0
6,180,817.0001
CAS_15-C04
2,191,527
2,585,350
2,816
 
2,588,166
30711XBF0
6,180,819.0001
CAS_15-C04
1,876,391
2,213,583
2,411
 
2,215,994
30711XBF0
6,180,821.0001
CAS_15-C04
4,383,055
5,170,699
5,632
 
5,176,331
30711XBF0
6,180,823.0001
CAS_15-C04
3,506,444
4,136,560
4,506
 
4,141,065
30711XBF0
6,180,825.0001
CAS_15-C04
4,120,071
4,860,457
5,294
 
4,865,752
30711XDS0
6,180,829.0001
CAS_16-C06
2,500,000
2,838,324
2,561
 
2,840,885
30711XJX3
6,180,831.0001
CAS_17-C03
2,304,000
2,450,268
1,880
 
2,452,148
30711XJX3
6,180,833.0001
CAS_17-C03
1,907,000
2,028,064
1,556
 
2,029,621
30711XNX8
6,180,837.0001
CAS_17-C05
864,000
878,560
590
 
879,150
30711XNX8
6,180,839.0001
CAS_17-C05
1,176,000
1,195,818
803
 
1,196,621
30711XNX8
6,180,841.0001
CAS_17-C05
557,000
566,386
380
 
566,767
30711XNX8
6,180,843.0001
CAS_17-C05
1,100,000
1,118,537
751
 
1,119,288
30711XNX8
6,180,847.0001
CAS_17-C05
1,589,000
1,615,777
1,085
 
1,616,862
30711XNX8
6,180,849.0001
CAS_17-C05
1,271,000
1,292,419
868
 
1,293,286
3136ACAF8
6,180,857.0001
FNMA_13-10
3,189,862
2,457,566
1,661
 
2,459,226
3136ACAF8
6,180,859.0001
FNMA_13-10
158,974
122,478
83
 
122,561
3136ACY62
6,180,861.0001
FNMA_13-22
225,228
183,212
624
 
183,835
3137A2X48
6,180,863.0001
FHLMC_3752
8,262,760
8,063,456
42,872
 
8,106,328
3137G0GJ2
6,180,891.0001
STACR_15-HQA1
7,841,000
9,052,903
8,621
 
9,061,524
3137G0HJ1
6,180,895.0001
STACR_15-HQA2
6,831,000
8,021,798
7,625
 
8,029,423
3137G0JU4
6,180,897.0001
STACR_16-DNA2
3,000,000
3,437,171
3,274
 
3,440,445
3137G0MD8
6,180,899.0001
STACR_17-DNA1
2,328,000
2,519,750
1,997
 
2,521,747
31394FDT9
6,180,907.0001
FNMA_05-74
463,447
621,253
1,375
 
622,628
31395DPQ6
6,180,917.0001
FNMA_06-36 SA
9,966
15,826
40
 
15,866
31395NYR2
6,180,919.0001
FNMA_06-56
1,277,310
1,498,153
1,810
 
1,499,963
31396VLW6
6,180,929.0001
FNMA_07-28
286,581
285,830
143
 
285,973
31396VQJ0
6,180,931.0001
FNMA_07-29 SG
63,254
88,805
174
 
88,979
31396XQR8
6,180,937.0001
FNMA_07-85B
855,325
1,054,333
1,653
 
1,055,986
31398RLT0
6,180,945.0001
FNMA_10-65
3,434,487
3,592,814
4,521
 
3,597,335
38374KKK8
6,180,951.0001
GNMA_04-106
2,264,148
3,191,438
11,048
 
3,202,486
38375PPS4
6,180,955.0001
GNMA_08-13
429,916
574,392
1,833
 
576,225
38378VW50
6,180,959.0001
GNMA_13-117
5,296,695
5,900,477
19,473
 
5,919,949

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
3136A3FN6
6,181,157.0001
FNMA_11-149
6,997,873
993,214
4,924
 
998,138
3136A5NH5
6,181,169.0001
FNMA_12-35
3,320,512
600,635
2,569
 
603,205
3136A5QN9
6,181,171.0001
FNMA_12-33
5,718,082
902,146
3,955
 
906,101
3136A5UN4
6,181,173.0001
FNMA_12-30
4,859,670
849,261
3,728
 
852,989
3136A6TY0
6,181,177.0001
FNMA_12-63
6,340,387
1,118,963
4,915
 
1,123,878
3136A7AK8
6,181,179.0001
FNMA_12-68
7,331,579
932,405
5,900
 
938,305
3136A7YL0
6,181,181.0001
FNMA_12-83
5,687,190
850,029
3,963
 
853,992
3136A9FX1
6,181,185.0001
FNMA_12-111
8,433,646
1,277,925
5,924
 
1,283,849
3136A9QK7
6,181,187.0001
FNMA_12-128
7,838,438
922,674
5,813
 
928,486
3136AB4J9
6,181,191.0001
FNMA_13-2
8,019,371
1,407,775
5,719
 
1,413,493
3136ADE70
6,181,195.0001
FNMA_13-40
13,666,240
2,376,433
9,821
 
2,386,255
3136ADJL4
6,181,197.0001
FNMA_13-32E
11,544,443
1,311,139
24,271
 
1,335,410
3136AE2P1
6,181,203.0001
FNMA_13-70
14,527,618
1,997,052
36,812
 
2,033,864
3136AGDD1
6,181,209.0001
FNMA_13-97
8,306,566
1,109,196
5,984
 
1,115,180
3136AJTE6
6,181,211.0001
FNMA_14-20
15,328,160
1,511,648
52,069
 
1,563,716
3136AJZF6
6,181,213.0001
FNMA_14-15
16,071,957
2,953,241
12,907
 
2,966,148
3136AQGF1
6,181,229.0001
FNMA_15-76
5,758,500
1,269,031
29,450
 
1,298,481
3137AFQU9
6,181,279.0001
FHLMC_3919
16,020,546
2,643,714
32,898
 
2,676,611
3137ARKN5
6,181,283.0001
FHLMC_4057D
12,481,065
2,122,207
26,778
 
2,148,985
3137AT4L3
6,181,285.0001
FHLMC_4090D
4,106,073
688,414
8,881
 
697,295
3137AUB32
6,181,291.0001
FHLMC_4103
11,632,368
1,914,282
22,078
 
1,936,359
3137B7DQ9
6,181,303.0001
FHLMC_4290
5,792,124
1,293,713
24,508
 
1,318,221
313920ZJ2
6,181,349.0001
FNMA_01-46 S
1,655,441
235,993
3,761
 
239,754
31392BGD2
6,181,351.0001
FNMA_01-72 SC
443,402
17,289
76
 
17,365
31393YCM5
6,181,353.0001
FNMA_04-38 SI
229,092
3,214
200
 
3,414
31393YCM5
6,181,355.0001
FNMA_04-38 SI
229,092
3,214
200
 
3,414
31394ABR6
6,181,357.0001
FNMA_04-53 UC
2,585,299
530,046
2,497
 
532,543
31394AGX8
6,181,359.0001
FNMA_04-54 SN
7,677,164
1,227,454
6,671
 
1,234,125
31394BPT5
6,181,361.0001
FNMA_04-88 JH
1,348,556
64,278
1,098
 
65,376
31394EKV9
6,181,363.0001
FNMA_05-66 SY
2,503,132
423,786
2,032
 
425,818
31394EKV9
6,181,365.0001
FNMA_05-66 SY
2,503,132
423,786
2,032
 
425,818
31394ETQ1
6,181,367.0001
FNMA_05-59 NS
2,258,937
264,369
1,836
 
266,205
31394EWY0
6,181,369.0001
FNMA_05-72 AS
1,910,979
341,209
1,573
 
342,782
31394FAC9
6,181,371.0001
FNMA_05-75 SP
2,148,747
309,050
1,748
 
310,798
31394UQF2
6,181,373.0001
FNMA_05-100 S
3,202,474
507,415
2,599
 
510,014
31394UQF2
6,181,375.0001
FNMA_05-100 S
3,179,102
503,712
2,580
 
506,292
31394XDQ6
6,181,381.0001
FHLMC_2781 SB
2,800,939
505,517
6,614
 
512,130
31395BLX9
6,181,383.0001
FNMA_06-10 HI
1,143,080
183,369
929
 
184,298
31395BVJ9
6,181,385.0001
FNMA_06-15 IW
164,353
7,775
138
 
7,913
31395DMF3
6,181,387.0001
FNMA_06-37 SW
906,492
135,619
730
 
136,350
31395DU31
6,181,389.0001
FNMA_06-51
2,568,588
392,241
2,027
 
394,268
31395DU31
6,181,391.0001
FNMA_06-51
2,568,588
392,241
2,027
 
394,268
31395DU31
6,181,393.0001
FNMA_06-51
2,568,588
392,241
2,027
 
394,268
31395DU31
6,181,395.0001
FNMA_06-51
1,905,870
291,039
1,504
 
292,543
31395DUE7
6,181,397.0001
FNMA_06-50 IJ
3,573,704
544,339
2,825
 
547,164
31395NTZ0
6,181,411.0001
FNMA_06-60 JI
149,240
2,577
146
 
2,723
31395NUH8
6,181,413.0001
FANNIE MAE
4,702,435
890,416
4,172
 
894,588
31395NWD5
6,181,415.0001
FNMA_06-56 S
1,602,583
261,991
1,442
 
263,433
31395PMA7
6,181,417.0001
FHLMC_2953 LS
893,392
68,360
1,949
 
70,309
31395PMA7
6,181,419.0001
FHLMC_2953 LS
44,670
3,418
97
 
3,515

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
31395PMA7
6,181,421.0001
FHLMC_2953 LS
1,116,741
85,450
2,436
 
87,886
31395PMA7
6,181,423.0001
FHLMC_2953 LS
1,116,741
85,450
2,436
 
87,886
31395V6W4
6,181,425.0001
FHLMC_2993 GS
3,165,610
263,018
6,127
 
269,144
31395WSJ7
6,181,427.0001
FHLMC_3006 SI
649,075
104,015
1,439
 
105,454
31395WSJ7
6,181,429.0001
FHLMC_3006 SI
649,075
104,015
1,439
 
105,454
31395WTA5
6,181,431.0001
FHLMC_3006 YI
670,166
111,321
1,451
 
112,772
31395WTA5
6,181,433.0001
FHLMC_3006 YI
670,166
111,321
1,451
 
112,772
31396AK52
6,181,435.0001
FHLMC_3034 SE
91,639
3,235
210
 
3,444
31396HH51
6,181,437.0001
FHLMC_3114 IP
986,568
157,745
2,113
 
159,858
31396KJY9
6,181,439.0001
FNMA_06-72 TN
3,451,131
622,669
3,107
 
625,776
31396KM41
6,181,441.0001
FNMA_06-81 SQ
1,720,367
318,525
1,528
 
320,053
31396KM41
6,181,443.0001
FNMA_06-81 SQ
2,007,095
371,613
1,782
 
373,395
31396KN24
6,181,445.0001
FNMA_06-81 QS
4,808,058
911,751
4,265
 
916,016
31396LH86
6,181,447.0001
FNMA_06-120 QD
3,189,935
250,204
1,507
 
251,711
31396LH86
6,181,449.0001
FNMA_06-120 QD
6,379,869
500,408
3,014
 
503,422
31396LQX1
6,181,451.0001
FNMA_06-109
2,750,039
460,568
2,181
 
462,749
31396LXH8
6,181,453.0001
FNMA_06-110 CX
1,326,350
230,644
1,063
 
231,707
31396NE51
6,181,455.0001
FHLMC_3140 SG
2,322,788
368,417
4,936
 
373,353
31396NHC3
6,181,457.0001
FHLMC_3136 PS
2,419,624
380,192
5,189
 
385,381
31396P2Z3
6,181,459.0001
FNMA_07-21 SB
1,938,203
192,292
1,492
 
193,784
31396VJN9
6,181,463.0001
FNMA_07-30 IE
7,380,796
1,508,074
6,233
 
1,514,307
31396WAW6
6,181,465.0001
FNMA_07-52 NS
1,990,604
286,275
1,576
 
287,851
31396XQV9
6,181,467.0001
FNMA_07-85 SM
2,141,797
297,532
1,639
 
299,171
31396XQV9
6,181,469.0001
FNMA_07-85 SM
453,072
62,940
347
 
63,286
31397AZJ5
6,181,471.0001
FHLMC_3213 JS
4,278,312
825,391
10,261
 
835,652
31397HDT2
6,181,473.0001
FHLMC_3318 HS
836,900
92,452
1,885
 
94,337
31397KXH9
6,181,475.0001
FHLMC_3375 QI
1,811,806
34,190
488
 
34,678
31397PMB3
6,181,483.0001
FHLMC_3397
5,089,504
679,876
9,277
 
689,153
31397PU73
6,181,485.0001
FHLMC_3408 BI
1,134,723
143,940
2,206
 
146,146
31397UDW6
6,181,489.0001
FNMA_11-47
5,673,405
713,330
3,869
 
717,200
31397UDW6
6,181,491.0001
FNMA_11-47
5,673,405
713,330
3,869
 
717,200
31397UDW6
6,181,493.0001
FNMA_11-47
2,836,703
356,665
1,935
 
358,600
31397UDW6
6,181,495.0001
FNMA_11-47
2,836,703
356,665
1,935
 
358,600
31397UM71
6,181,497.0001
FNMA_11-57 SE
4,178,952
650,446
2,976
 
653,422
31398NE26
6,181,509.0001
FNMA_2010-112
405,508
9,131
343
 
9,474
31398NEY6
6,181,511.0001
FNMA_10-95F
3,536,620
403,361
2,842
 
406,203
31398NL28
6,181,513.0001
FNMA_10-110
8,014,833
1,191,580
5,546
 
1,197,126
31398PJS9
6,181,517.0001
FNMA_10-35 CS
1,037,664
125,878
789
 
126,666
31398PJS9
6,181,519.0001
FNMA_10-35 CS
1,037,664
125,878
789
 
126,666
31398PJS9
6,181,521.0001
FNMA_10-35 CS
118,894
14,423
90
 
14,513
31398SNM1
6,181,529.0001
FNMA_10-134
1,671,450
44,593
1,272
 
45,865
38373TPE9
6,181,535.0001
GNMA_01-65 SV
461,725
86,628
888
 
87,516
38373TPE9
6,181,537.0001
GNMA_01-65 SV
1,033,271
193,861
1,986
 
195,848
383742Y31
6,181,539.0001
GNMA_08-35 SN
1,328,348
170,495
1,861
 
172,357
38374CH61
6,181,541.0001
GNMA_03-86 SH
2,864,571
349,265
5,638
 
354,903
38374KKX0
6,181,543.0001
GNMA_05-8 SB
1,483,576
233,201
2,241
 
235,442
38374MV30
6,181,545.0001
GNMA_06-17 WI
486,689
6,565
968
 
7,533
38374NH34
6,181,547.0001
GNMA_06-58 SL
6,247,571
1,104,695
13,077
 
1,117,772
38374NU70
6,181,549.0001
GNMA_06-61 SD
824,996
153,481
1,393
 
154,874
38375JAV7
6,181,557.0001
GNMA_06-69 SC
623,654
93,585
884
 
94,470

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
38375JJL0
6,181,559.0001
GNMA_07-7 EI
2,100,965
274,046
2,775
 
276,821
38375JVH5
6,181,561.0001
GNMA_07-23-ST
1,713,674
239,508
2,295
 
241,803
38375JVH5
6,181,563.0001
GNMA_07-23-ST
1,012,785
141,550
1,356
 
142,906
38375KAQ5
6,181,571.0001
GNMA_07-26 SA
3,306,440
561,248
5,015
 
566,263
38375KB27
6,181,573.0001
GNMA_07-40 SE
2,191,077
359,902
3,318
 
363,220
38375KB27
6,181,575.0001
GNMA_07-40 SE
941,977
154,727
1,426
 
156,154
38375KRD6
6,181,577.0001
GNMA_07-35A KY
3,349,723
494,549
6,425
 
500,974
38375KRD6
6,181,579.0001
GNMA_07-35A KY
3,349,723
494,549
6,425
 
500,974
38375KRD6
6,181,581.0001
GNMA_07-35A KY
3,349,723
494,549
6,425
 
500,974
38375KRD6
6,181,583.0001
GNMA_07-35A KY
3,349,723
494,549
6,425
 
500,974
38375KRD6
6,181,585.0001
GNMA_07-35A KY
2,657,251
392,313
5,097
 
397,410
38375LQC7
6,181,587.0001
GNMA_07-59 SC
2,227,398
359,980
3,199
 
363,179
38375LQC7
6,181,589.0001
GNMA_07-59 SC
2,227,398
359,980
3,199
 
363,179
38375LQC7
6,181,591.0001
GNMA_07-59 SC
2,227,398
359,980
3,199
 
363,179
38375LQC7
6,181,593.0001
GNMA_07-59 SC
1,684,200
272,191
2,419
 
274,610
38375LY79
6,181,595.0001
GNMA_07-66 SG
2,208,496
346,871
3,186
 
350,057
38375Q3R8
6,181,597.0001
GNMA_08-53 TS
2,328,075
270,542
3,300
 
273,842
38375X8K3
6,181,601.0001
GNMA_08-65 SG
1,914,847
333,828
2,892
 
336,719
38376CQ69
6,181,603.0001
GNMA_09-92B
3,297,147
338,640
6,125
 
344,765
38376EBG9
6,181,605.0001
GNMA_09-88C
4,128,993
616,952
7,564
 
624,516
38376ETW5
6,181,607.0001
GNMA_09-110
2,942,542
289,513
5,580
 
295,093
38376F4F6
6,181,609.0001
GNMA_09-81B
1,187,727
190,567
1,792
 
192,359
38376FSV5
6,181,613.0001
GNMA_09-66 QS
1,459,715
154,517
1,921
 
156,438
38376TAB8
6,181,621.0001
GNMA_10-12 SA
3,781,250
480,135
4,591
 
484,726
38376TZD7
6,181,623.0001
GNMA_10-11
5,281,293
779,854
10,046
 
789,899
38376TZD7
6,181,625.0001
GNMA_10-11
2,112,517
311,941
4,018
 
315,960
38376VRR0
6,181,629.0001
GNMA_10-26F WS
3,369,827
577,863
4,566
 
582,429
38376WBR5
6,181,631.0001
GNMA_10-14C
3,201,495
580,049
4,866
 
584,915
38376WDC6
6,181,633.0001
GNMA_10-14
2,911,860
448,716
5,592
 
454,309
38376YT76
6,181,635.0001
GNMA_10-47 UX
4,525,607
686,878
8,730
 
695,608
38376YT84
6,181,637.0001
GNMA_10-47L SH
3,600,977
529,198
4,762
 
533,960
38377GZP7
6,181,645.0001
GNMA_10-68
6,867,325
856,721
13,583
 
870,304
38377J4Y6
6,181,647.0001
GNMA_10-113K
1,707,817
237,437
3,428
 
240,864
38377JM83
6,181,649.0001
GNMA_10-111
2,509,308
438,222
3,691
 
441,913
38377LL48
6,181,651.0001
GNMA_10-130C
2,535,921
367,753
4,731
 
372,484
38377MF50
6,181,653.0001
GNMA_10-147
5,853,578
1,037,575
8,619
 
1,046,194
38377RG41
6,181,655.0001
GNMA_10-166
5,760,904
712,845
7,309
 
720,154
38377RG41
6,181,657.0001
GNMA_10-166
17,328,692
2,144,224
21,986
 
2,166,209
38377TZQ7
6,181,659.0001
GNMA_11-19 JS
2,730,156
465,794
4,035
 
469,829
38377VGW0
6,181,661.0001
GNMA_11-52 MY
8,460,554
1,306,369
12,429
 
1,318,799
38377WH23
6,181,669.0001
GNMA_11-108B
3,621,820
515,231
4,744
 
519,975
38378EK93
6,181,679.0001
GNMA_12-61C
5,706,639
1,225,840
11,242
 
1,237,082
38378H4N3
6,181,681.0001
GNMA_12-124
5,358,990
1,066,248
7,083
 
1,073,331
38380AR33
6,181,739.0001
GNMA_16-146
24,742,677
4,988,739
83,305
 
5,072,044
3128HWPJ0
6,181,755.0001
FHSTR_246
1,090,379
991,451
—
 
991,451
3132HTM94
6,181,759.0001
FHSTR_308
7,707,659
6,078,055
—
 
6,078,055
3136AFZP2
6,181,763.0001
FNMA_13-80
1,166,642
832,727
(832,727)
 
 
3136AGYK2
6,181,769.0001
FNMA_13-101
9,868,983
7,617,176
(7,617,176)
 
 
3136ARZY7
6,181,775.0001
FNMA_16-19
4,682,686
3,773,433
(3,773,433)
 
 
31393PXQ2
6,181,799.0001
FHLMC_2594 DO
1,074,343
924,262
(924,262)
 
 

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
31393Y2H7
6,181,801.0001
FNMA_04-58
243,109
205,937
(205,937)
 
 
31394YXB5
6,181,803.0001
FHLMC_2817 PO
272,412
236,045
(236,045)
 
 
31395NML8
6,181,807.0001
FNMA_06-48
389,606
349,748
—
 
349,748
31396P3X7
6,181,811.0001
FNMA_07-21
250,203
219,994
—
 
219,994
31396PFL0
6,181,813.0001
FNMA_06-124 PO
517,241
437,633
—
 
437,633
31397GXK1
6,181,819.0001
FHLMC_33-14
154,352
153,083
—
 
153,083
31397NMG7
6,181,821.0001
FNMA_09-11 PO
281,325
244,454
—
 
244,454
31397RVR4
6,181,825.0001
FHLMC_3423
1,337,870
1,146,904
—
 
1,146,904
31397SFN9
6,181,827.0001
FNMA_11-27
782,747
676,580
—
 
676,580
31398JW74
6,181,829.0001
FHLMC_3578 GO
2,308,264
1,985,228
—
 
1,985,228
38375JD69
6,181,831.0001
GNMA_07-18
1,238,774
977,643
—
 
977,643
38375JD69
6,181,833.0001
GNMA_07-18
36,219
28,584
—
 
28,584
38375LMZ0
6,181,835.0001
GNMA_07-64 AO
447,269
401,581
—
 
401,581
38376LPM5
6,181,837.0001
GNMA_11-79
130,284
106,359
—
 
106,359
38377EGU2
6,181,839.0001
GNMA_10-42
2,495,715
2,283,127
—
 
2,283,127
38377VUD6
6,181,841.0001
GNMA_11-56
9,033,084
7,334,077
—
 
7,334,077
38377WKB9
6,181,845.0001
GNMA_11-70
4,793,344
3,894,236
—
 
3,894,236
38377WKB9
6,181,847.0001
GNMA_11-70
12,970,224
10,537,344
—
 
10,537,344
38377WKB9
6,181,849.0001
GNMA_11-70
1,691,768
1,374,436
—
 
1,374,436
46630LAY0
6,181,875.0001
JPMAC_07-CH1 MV2
670,000
663,662
243
 
663,905
3137BB2P4
6,181,889.0001
FHLMC_4338
11,754,974
12,024,060
41,485
 
12,065,545
G7216B194
6,181,957.0001
PREMIER OIL PLC
518,756
342,434
—
 
342,434
002824BM1
6,181,999.0001
ABBOTT LABORATORIES
2,000,000
1,997,980
9,903
 
2,007,883
03076CAG1
6,182,005.0001
AMERIPRISE FINANCIAL INC
3,000,000
3,000,750
4,933
 
3,005,683
032654AK1
6,182,007.0001
ANALOG DEVICES INC
3,364,000
3,682,638
67,355
 
3,749,993
05565QCS5
6,182,017.0001
BP CAPITAL MARKETS PLC
6,500,000
6,465,290
112,973
 
6,578,263
111013AL2
6,182,047.0001
BRITISH SKY BROADCASTING GROUP PLC
6,500,000
6,511,180
30,469
 
6,541,649
17275RAW2
6,182,057.0001
CISCO SYSTEMS INC
3,000,000
3,003,150
39,667
 
3,042,817
172967HD6
6,182,059.0001
CITIGROUP INC
2,000,000
2,009,960
1,292
 
2,011,251
247126AJ4
6,182,065.0001
DELPHI CORP (NEW)
2,000,000
2,029,020
10,606
 
2,039,626
25470DBB4
6,182,067.0001
DISCOVERY COMMUNICATIONS LLC
10,000,000
9,852,100
179,833
 
10,031,933
277432AR1
6,182,075.0001
EASTMAN CHEMICAL COMPANY
9,000,000
8,997,030
43,700
 
9,040,730
375558AW3
6,182,079.0001
GILEAD SCIENCES INC
1,000,000
1,007,720
3,083
 
1,010,803
44266RAC1
6,182,089.0001
HOWARD HUGHES MEDICAL INSTITUTE
4,100,000
4,143,993
23,917
 
4,167,910
48203RAG9
6,182,103.0001
JUNIPER NETWORKS INC
1,000,000
1,015,830
5,750
 
1,021,580
857477AM5
6,182,125.0001
STATE STREET CORP
2,000,000
2,032,260
33,094
 
2,065,354
89153VAG4
6,182,145.0001
TOTAL CAPITAL INTERNATIONAL SA
2,500,000
2,526,450
27,236
 
2,553,686
91324PCP5
6,182,151.0001
UNITEDHEALTH GROUP INCORPORATED
1,500,000
1,501,395
16,563
 
1,517,958
96950FAM6
6,182,153.0001
WILLIAMS PARTNERS LP
2,000,000
2,008,180
13,617
 
2,021,797
649757AA9
5,765,698.0001
NEW YORK PUBLIC LIBRARY
840,000
850,046
12,054
 
862,100
89837RAD4
5,801,374.0001
TRUSTEES OF DARTMOUTH COLLEGE
560,000
527,022
8,106
 
535,128
01959LAA0
5,813,756.0001
ALLINA HEALTH SYSTEM
560,000
611,206
12,408
 
623,614
646139X83
5,818,035.0001
NEW JERSEY ST TPK AUTH TPK REV
420,000
598,483
9,943
 
608,426
677632G88
5,833,008.0001
OHIO ST UNIV GEN RCPTS
700,000
688,800
11,078
 
699,878
57582RJN7
5,836,875.0001
MASSACHUSETTS ST
630,000
587,872
8,602
 
596,474
59333PW20
5,875,328.0001
MIAMI-DADE CNTY FLA AVIATION R
540,000
516,829
1,735
 
518,564

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
686515AA5
5,882,952.0001
ORLANDO HEALTH INC
700,000
723,254
2,576
 
725,830
20369EAB8
5,883,705.0001
COMMUNITY HEALTH NETWORK
510,000
542,620
13,854
 
556,474
18085PMT8
5,886,760.0001
CLARK CNTY NEV ARPT REV
530,000
766,555
12,049
 
778,604
743756AB4
5,890,571.0001
PROVIDENCE ST JOSEPH HEALTH
530,000
490,923
1,213
 
492,136
57582RJN7
6,061,096.0001
MASSACHUSETTS ST
670,000
625,197
9,148
 
634,345
59333P2S6
6,074,090.0001
MIAMI-DADE CNTY FLA AVIATION R
530,000
518,738
1,759
 
520,496
78349AAB9
6,080,376.0001
RWJ BARNABAS HEALTH INC
700,000
667,954
9,214
 
677,168
90265EAH3
5,223,080.0001
UDR INC
5,000,000
5,047,451
15,417
 
5,062,867
36192KAX5
6,060,175.0001
GSMS_12-GCJ7
1,045,000
1,074,407
4,128
 
1,078,535
36192KAX5
6,060,176.0001
GSMS_12-GCJ7
1,000,000
1,028,141
3,950
 
1,032,091
977100AC0
5,863,379.0001
WISCONSIN ST GEN FD ANNUAL APPROP
30,000
33,243
855
 
34,098
088281BG4
5,691,840.0001
BEXAR CNTY TEX
1,050,000
1,092,032
26,291
 
1,118,323
31419AL62
4,243,184.0001
FNMA 15YR
1,093,197
1,147,930
3,736
 
1,151,666
3138APBH0
4,569,891.0001
FANNIE MAE
1,628,555
1,677,737
5,443
 
1,683,180
65339KAA8
4,724,345.0001
NEXTERA ENERGY INC
7,862,000
8,095,187
147,413
 
8,242,599
337738AM0
4,889,625.0001
FISERV INC
5,000,000
4,994,850
14,583
 
5,009,433
032654AH8
5,177,439.0001
ANALOG DEVICES INC
4,000,000
3,848,640
47,917
 
3,896,557
37045VAD2
5,224,426.0001
GENERAL MOTORS CO
1,200,000
1,203,972
3,383
 
1,207,355
806851AE1
5,737,732.0001
SCHLUMBERGER HOLDINGS CORP
20,000,000
20,067,600
261,806
 
20,329,406
3136ARP36
5,805,890.0001
FNA_16-M4
11,648,894
11,278,465
31,842
 
11,310,308
478165AH6
5,709,301.0001
SC JOHNSON & SON INC
2,960,000
3,275,181
6,249
 
3,281,430
459200JH5
5,786,761.0001
INTERNATIONAL BUSINESS MACHINES C
5,000,000
5,478,400
47,000
 
5,525,400
25272KAA1
5,816,862.0001
DIAMOND 1 FINANCE CORPORATION/DI
2,000,000
2,004,441
29,000
 
2,033,441
74333JAG6
6,058,821.0001
PROG_17-SFR1
1,000,000
971,482
2,763
 
974,245
718814ZZ2
5,738,283.0001
PHOENIX AZ SERIES A
2,200,000
2,501,180
38,639
 
2,539,819
28,997
28,997.9400
Carlyle Overlook LLC, a Delaware limited
999,848
996,399
2,450
 
998,849
28,997
28,997.8400
Carlyle Overlook LLC, a Delaware limited
499,924
498,200
1,225
 
499,424
28,997
28,997.8900
Carlyle Overlook LLC, a Delaware limited
999,848
996,399
2,450
 
998,849
29,048
29,048.8900
TLF Logistics II ElDorado Bus Ctr LLC
486,786
486,518
1,342
 
487,860
28,997
28,997.9000
Carlyle Overlook LLC, a Delaware limited
5,999,091
5,978,394
14,698
 
5,993,092
29,048
29,048.9000
TLF Logistics II ElDorado Bus Ctr LLC
1,849,787
1,848,768
5,101
 
1,853,869
29,270
29,270.9000
SRPF A/CENTERRA, L.L.C.
2,500,000
2,491,400
6,771
 
2,498,171
29,270
29,270.9800
SRPF A/CENTERRA, L.L.C.
2,500,000
2,491,400
6,771
 
2,498,171
28,997
28,997.5000
Carlyle Overlook LLC, a Delaware limited
499,924
498,200
1,225
 
499,424
29,270
29,270.5000
SRPF A/CENTERRA, L.L.C.
1,250,000
1,245,700
3,385
 
1,249,085
26,578
26,578.5001
CHURCHILL PLACE APARTMENTS, L.L.C.
4,352,218
4,893,764
23,353
 
4,917,117
26,584
26,584.5001
ST MICHAEL INVESTMENTS
5,848,185
6,254,827
27,412
 
6,282,239
26,792
26,792.5001
GUSTINE WASHINGTON ASSOCIATES, LT
1,112,091
1,208,888
6,971
 
1,215,859
26,913
26,913.5001
S & S WAPLES MILL,LLC
785,760
854,516
5,288
 
859,804
26,987
26,987.5001
NORCO CORONA ASSOCIATES
4,996,133
5,342,876
20,700
 
5,363,576
27,138
27,138.5001
TRIANGLE REAL ESTATE OF GASTONIA, IN
2,616,769
2,696,513
9,145
 
2,705,658

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
27,148
27,148.5001
Ambassador Apartments LLC
5,179,541
5,306,467
19,043
 
5,325,510
27,212
27,212.5001
Amberton Apartments Joint Venture
9,637,577
9,936,821
36,209
 
9,973,031
27,310
27,310.5001
Abington Crossing Associates, LP
959,361
1,011,153
4,209
 
1,015,362
27,318
27,318.5001
North Star Trust Company, Trustee
7,929,725
8,427,164
35,164
 
8,462,328
27,319
27,319.5001
North Star Trust Company, Trustee
2,941,048
3,125,542
13,042
 
3,138,584
27,329
27,329.5001
McAllen-83-McColl, Inc.
436,863
464,550
1,998
 
466,548
2,732,902
2,732,902.5001
McAllen-83-McColl, Inc.
572,651
606,553
2,461
 
609,014
27,381
27,381.5001
Tealwood Associates, LLP
4,158,699
4,506,494
18,229
 
4,524,723
27,435
27,435.5001
Moonlite Associates, LLC
6,985,861
7,011,419
26,293
 
7,037,711
27,797
27,797.5001
MANASSAS AIRPORT LOT 2, LLC
1,720,185
1,758,236
—
 
1,758,236
27,864
27,864.5001
HB II, Inc.
824,457
864,378
4,103
 
868,482
2,791,802
2,791,802.5001
1415 LOUISIANA, INC.
4,742,416
4,979,035
21,793
 
5,000,828
27,919
27,919.5001
RIO - PAS INVESTMENTS, INC
2,375,520
2,546,991
11,981
 
2,558,972
27,994
27,994.5001
HY CITE / WELTON, LLC
1,073,047
1,147,524
5,767
 
1,153,291
28,003
28,003.5001
EISENHOWER MILL PROPERTIES, LLC
5,595,936
5,818,163
29,276
 
5,847,439
28,018
28,018.5001
PAMA IV PROPERTIES, LP
12,709,332
13,532,221
63,049
 
13,595,270
2,801,802
2,801,802.5001
PAMA IV PROPERTIES, LP
11,996,615
12,443,923
47,950
 
12,491,873
28,024
28,024.5001
Town & Country Square, Ltd.
3,435,308
3,763,953
—
 
3,763,953
28,149
28,149.5001
THF Grand Junction Development, L.L.C.
2,359,418
2,459,832
12,108
 
2,471,940
28,246
28,246.5001
SELIG ENTERPRISES, INC.
3,142,735
3,183,056
—
 
3,183,056
28,344
28,344.5001
Triangle Real Estate of Gastonia, Inc.
1,117,740
1,175,122
4,789
 
1,179,910
28,473
28,473.5001
101 Kappa Drive Associates # 1, LP
1,230,468
1,275,108
4,493
 
1,279,602
28,474
28,474.5001
35th Strouss Associates
2,945,666
3,052,532
10,757
 
3,063,288
28,499
28,499.5001
Wicklow Funding LLC
4,422,229
4,575,314
17,723
 
4,593,037
28,518
28,518.5001
Upside Oxnard LLC
3,577,800
3,753,319
15,233
 
3,768,553
28,775
28,775.5001
Somerset Tower Apartments, LLC
8,280,703
8,547,982
30,420
 
8,578,402
28,780
28,780.5001
Metro Storage East LLC
8,153,824
8,865,048
35,285
 
8,900,333
28,781
28,781.5001
Metro Storage South LLC
8,179,958
8,893,461
35,399
 
8,928,860
28,792
28,792.5001
Texas SFI Partnership22 Ltd
2,692,817
2,852,609
12,046
 
2,864,654
28,793
28,793.5001
Texas SFI Partnership 21 Ltd
2,203,214
2,333,953
9,855
 
2,343,809
28,928
28,928.5001
High Properties, LP
1,177,522
1,182,615
4,304
 
1,186,919
28,997
28,997.5001
Carlyle Overlook LLC, a Delaware limited
11,698,227
12,188,236
29,885
 
12,218,122
29,022
29,022.5001
3100 Van Buren Boulevard Apartments I
5,475,600
5,481,754
13,718
 
5,495,472
29,048
29,048.5001
TLF Logistics II ElDorado Bus Ctr LLC
1,947,144
1,952,437
5,369
 
1,957,806
29,127
29,127.5001
Burr Deed LLC
2,216,133
2,215,867
9,419
 
2,225,285
29,197
29,197.5001
Cole WM Perry GA, LLC
4,138,750
4,147,483
13,451
 
4,160,934
29,198
29,198.5001
Cole DK Oklahoma City OK, LLC
3,417,167
3,424,377
11,106
 
3,435,483
29,199
29,199.5001
Cole LO Col (7441 Two Notch) SC, LLC
3,479,000
3,486,341
11,307
 
3,497,647
29,200
29,200.5001
ARCP LO Covington LA, LLC
3,294,667
3,301,618
10,708
 
3,312,326
29,201
29,201.5001
Cole KG Whitehall OH, LLC
2,371,833
2,376,838
7,708
 
2,384,546
29,268
29,268.5001
THF Hazleton Development, L.P.
8,000,000
7,976,640
23,667
 
8,000,307
29,270
29,270.5001
SRPF A/CENTERRA, L.L.C.
9,107,143
10,357,143
28,051
 
10,385,193
29,271
29,271.5001
SRPF A/CENTERRA, L.L.C.
1,000,000
1,045,640
7,083
 
1,052,723

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
29,316
29,316.5001
WOODS FAMILY PROPERTIES DJW, LLC
5,062,289
5,121,181
18,620
 
5,139,801
29,322
29,322.5001
JaGee Real Properties, LP
3,234,296
3,305,654
12,166
 
3,317,820
29,369
29,369.5001
BCO Turnpike, Ltd
7,719,394
7,717,913
22,569
 
7,740,482
29,389
29,389.5001
G&I VIII WF Plaza LLC
11,333,333
11,311,573
32,489
 
11,344,062
29,390
29,390.5001
G&I VIII WF Plaza LLC
1,200,000
1,257,240
10,500
 
1,267,740
29,399
29,399.5001
Laurenz Place LLC
4,495,382
4,495,382
20,724
 
4,516,106
29,465
29,465.5001
Winbran, Inc.
2,656,963
2,732,877
13,189
 
2,746,066
29,466
29,466.5001
Kos Corp.
2,831,190
2,912,082
14,054
 
2,926,136
29,581
29,581.5001
Presson Equity Partners L.L.P.
5,111,969
5,051,221
16,945
 
5,068,166
29,584
29,584.5001
BW Avery Place LLC
8,059,958
8,059,958
38,765
 
8,098,723
29,593
29,593.5001
Rose Garden Trust Partners, L.L.C.
3,253,575
3,267,938
10,784
 
3,278,722
29,633
29,633.5001
Windgate, LLC
4,400,000
4,400,000
24,335
 
4,424,335
28,997
28,997.8410
Carlyle Overlook LLC, a Delaware limited
1,999,697
1,992,798
4,899
 
1,997,697
28,997
28,997.8150
Carlyle Overlook LLC, a Delaware limited
2,199,667
2,192,078
5,389
 
2,197,467
28,997
28,997.8190
Carlyle Overlook LLC, a Delaware limited
499,924
498,200
1,225
 
499,424
29,048
29,048.8190
TLF Logistics II ElDorado Bus Ctr LLC
584,143
583,822
1,611
 
585,432
980745F*9
2016-2395-SA
CSWAP: EUR/USD 9/23/2026
562,000
 
 
(71,716)
(71,716)
980745F*9
2016-2395-SB
CSWAP: EUR/USD 9/23/2026
6,069,600
 
 
(774,535)
(774,535)
980745F*9
2016-2395-SD
CSWAP: EUR/USD 9/23/2026
112,400
 
 
(14,343)
(14,343)
N9651*AA6
2016-2399-SB
CSWAP: EUR/USD 9/23/2028
337,200
 
 
(44,358)
(44,358)
N9651*AA6
2016-2399-SC
CSWAP: EUR/USD 9/23/2028
3,709,200
 
 
(487,942)
(487,942)
N9651*AA6
2016-2399-SD
CSWAP: EUR/USD 9/23/2028
112,400
 
 
(14,786)
(14,786)
92927KB*2
2016-2453-SB
CSWAP: EUR/USD 11/15/2023
335,850
 
 
(40,781)
(40,781)
92927KB*2
2016-2453-SC
CSWAP: EUR/USD 11/15/2023
11,754,750
 
 
(1,427,329)
(1,427,329)
92927KB*2
2016-2453-SD
CSWAP: EUR/USD 11/15/2023
1,007,550
 
 
(122,342)
(122,342)
92927KB#8
2016-2458-SA
CSWAP: EUR/USD 11/15/2028
223,900
 
 
(29,825)
(29,825)
92927KB#8
2016-2458-SC
CSWAP: EUR/USD 11/15/2028
671,700
 
 
(89,476)
(89,476)
92927KB#8
2016-2458-SD
CSWAP: EUR/USD 11/15/2028
8,396,250
 
 
(1,118,445)
(1,118,445)
92927KB@0
2016-2461-SA
CSWAP: EUR/USD 11/15/2026
111,950
 
 
(14,481)
(14,481)
92927KB@0
2016-2461-SD
CSWAP: EUR/USD 11/15/2026
447,800
 
 
(57,922)
(57,922)
92927KB@0
2016-2462-SA
CSWAP: EUR/USD 11/15/2026
5,037,750
 
 
(651,623)
(651,623)
G3663#AA9
2016-2524-SA
CSWAP: GBP/USD 12/15/2026
496,800
 
 
(85,720)
(85,720)
G3663#AA9
2016-2524-SB
CSWAP: GBP/USD 12/15/2026
5,961,600
 
 
(1,028,641)
(1,028,641)
G3663#AA9
2016-2524-SE
CSWAP: GBP/USD 12/15/2026
124,200
 
 
(21,430)
(21,430)
031100G#1
2016-2551-SC
CSWAP: GBP/USD 11/23/2028
2,320,850
 
 
(505,417)
(505,417)
031100G#1
2016-2551-SE
CSWAP: GBP/USD 11/23/2028
25,773,650
 
 
(5,612,787)
(5,612,787)
031100G#1
2016-2551-SF
CSWAP: GBP/USD 11/23/2028
610,750
 
 
(133,004)
(133,004)
G1745*AR2
2016-2593-SB
CSWAP: GBP/USD 11/10/2026
246,240
 
 
(47,669)
(47,669)
G1745*AR2
2016-2593-SC
CSWAP: GBP/USD 11/10/2026
12,558,240
 
 
(2,431,125)
(2,431,125)
G1745*AR2
2016-2593-SD
CSWAP: GBP/USD 11/10/2026
1,108,080
 
 
(214,511)
(214,511)
G1591#AV4
2016-2653-SA
CSWAP: GBP/USD 2/20/2027
3,669,000
 
 
(767,400)
(767,400)
G1591#AV4
2016-2653-SC
CSWAP: GBP/USD 2/20/2027
305,750
 
 
(63,950)
(63,950)
G1591#AU6
2016-2656-SA
CSWAP: GBP/USD 2/20/2025
4,586,250
 
 
(885,257)
(885,257)
G1591#AU6
2016-2656-SC
CSWAP: GBP/USD 2/20/2025
305,750
 
 
(59,017)
(59,017)
G1591#AV4
2016-2692-SA
CSWAP: GBP/USD 2/20/2027
1,223,000
 
 
(255,800)
(255,800)
G1591#AU6
2016-2693-SA
CSWAP: GBP/USD 2/20/2025
1,528,750
 
 
(295,086)
(295,086)
N5276#AA5
2016-2737-SA
CSWAP: EUR/USD 12/8/2023
211,600
 
 
(37,004)
(37,004)

 

--------------------------------------------------------------------------------

ASSET CUSIP
HOLDING ID
ASSET DESCRIPTION
PAR VALUE
MARKET VALUE
INTEREST ACCRUED
DERIVATIVE MV ACCRUED
MARKET VALUE ACCRUED
N5276#AA5
2016-2737-SD
CSWAP: EUR/USD 12/8/2023
634,800
 
 
(111,013)
(111,013)
N5276#AA5
2016-2737-SE
CSWAP: EUR/USD 12/8/2023
7,935,000
 
 
(1,387,669)
(1,387,669)
N5276#AB3
2016-2740-SC
CSWAP: EUR/USD 12/8/2028
423,200
 
 
(81,027)
(81,027)
N5276#AB3
2016-2740-SD
CSWAP: EUR/USD 12/8/2028
4,761,000
 
 
(911,557)
(911,557)
N5276#AB3
2016-2741-SC
CSWAP: EUR/USD 12/8/2028
105,800
 
 
(20,257)
(20,257)
G8472#AE1
2016-2863-SA
CSWAP: GBP/USD 2/27/2029
254,360
 
 
(34,967)
(34,967)
G8472#AE1
2016-2863-SB
CSWAP: GBP/USD 2/27/2029
4,832,840
 
 
(664,373)
(664,373)
G8472#AE1
2016-2863-SD
CSWAP: GBP/USD 2/27/2029
763,080
 
 
(104,901)
(104,901)
G9605#AJ8
2017-3127-SA
CSWAP: GBP/USD 8/16/2027
1,124,280
 
 
(145,624)
(145,624)
G9605#AJ8
2017-3128-SC
CSWAP: GBP/USD 8/16/2027
2,248,560
 
 
(291,248)
(291,248)
G7059#AA2
2017-3188-SC
CSWAP: GBP/USD 8/5/2024
3,200,080
 
 
(404,876)
(404,876)
G7059#AA2
2017-3188-SE
CSWAP: GBP/USD 8/5/2024
6,400,160
 
 
(809,751)
(809,751)
879360C@2
2017-3295-SB
CSWAP: EUR/USD 4/18/2022
807,000
 
 
(124,486)
(124,486)
879360C@2
2017-3297-SC
CSWAP: EUR/USD 4/18/2022
1,614,000
 
 
(248,971)
(248,971)
879360C#0
2017-3299-SA
CSWAP: EUR/USD 4/18/2023
538,000
 
 
(84,939)
(84,939)
879360C#0
2017-3301-SC
CSWAP: EUR/USD 4/18/2023
1,076,000
 
 
(169,879)
(169,879)
N8502#AB3
2017-3304-SA
CSWAP: EUR/USD 4/18/2024
807,000
 
 
(129,829)
(129,829)
N8502#AB3
2017-3304-SC
CSWAP: EUR/USD 4/18/2024
538,000
 
 
(86,552)
(86,552)
N8502#AA5
2017-3322-SB
CSWAP: EUR/USD 4/18/2023
807,000
 
 
(127,409)
(127,409)
N8502#AA5
2017-3323-SB
CSWAP: EUR/USD 4/18/2023
1,614,000
 
 
(254,818)
(254,818)
G2616#AM3
2017-3539-SA
CSWAP: EUR/USD 9/13/2027
4,264,360
 
 
(571,702)
(571,702)
G2616#AM3
2017-3539-SB
CSWAP: EUR/USD 9/13/2027
2,132,180
 
 
(285,851)
(285,851)
Q2762#AA0
2017-3579-SA
CSWAP: AUD/USD 7/26/2027
1,510,400
 
 
(86,364)
(86,364)
Q2762#AA0
2017-3579-SC
CSWAP: AUD/USD 7/26/2027
302,080
 
 
(17,273)
(17,273)
Q2762#AA0
2017-3579-SF
CSWAP: AUD/USD 7/26/2027
6,721,280
 
 
(384,321)
(384,321)
G6093#AB0
2017-3610-SC
CSWAP: EUR/USD 7/19/2024
2,400,300
 
 
(236,083)
(236,083)
G6093#AB0
2017-3610-SD
CSWAP: EUR/USD 7/19/2024
571,500
 
 
(56,210)
(56,210)
G6093#AB0
2017-3610-SF
CSWAP: EUR/USD 7/19/2024
10,858,500
 
 
(1,067,994)
(1,067,994)
G5560@AB8
2017-3698-SA
CSWAP: GBP/USD 8/17/2027
393,750
 
 
(33,557)
(33,557)
G5560@AB8
2017-3698-SB
CSWAP: GBP/USD 8/17/2027
2,231,250
 
 
(190,158)
(190,158)
G5560@AB8
2017-3698-SF
CSWAP: GBP/USD 8/17/2027
9,843,750
 
 
(838,932)
(838,932)
G7304*AA9
2017-3925-SC
CSWAP: GBP/USD 10/31/2027
1,859,200
 
 
(149,546)
(149,546)
G7304*AA9
2017-3925-SE
CSWAP: GBP/USD 10/31/2027
398,400
 
 
(32,046)
(32,046)
G7304*AA9
2017-3925-SF
CSWAP: GBP/USD 10/31/2027
9,030,400
 
 
(726,367)
(726,367)
G7304*AB7
2017-3929-SB
CSWAP: GBP/USD 10/31/2029
9,163,200
 
 
(783,582)
(783,582)
G7304*AB7
2017-3929-SC
CSWAP: GBP/USD 10/31/2029
398,400
 
 
(34,069)
(34,069)
G7304*AB7
2017-3929-SE
CSWAP: GBP/USD 10/31/2029
1,726,400
 
 
(147,631)
(147,631)
372460D*3
2017-3989-SD
CSWAP: EUR/USD 10/30/2024
588,850
 
 
(35,999)
(35,999)
372460D*3
2017-3989-SE
CSWAP: EUR/USD 10/30/2024
706,620
 
 
(43,199)
(43,199)
372460D*3
2017-3989-SF
CSWAP: EUR/USD 10/30/2024
10,245,990
 
 
(626,388)
(626,388)
 
 
CASH
127,977,678
127,977,678
 
 
127,977,678
 
 
 
4,152,858,629
3,424,483,601
28,860,839
(29,945,143)
3,423,399,297

 

--------------------------------------------------------------------------------

SCHEDULE IV
ASSET VALUATION METHODOLOGY
The Fair Market Value of any asset shall be the end-of-day price on the day
prior to the closing date of the reinsurance transaction determined in
accordance with the following pricing matrix, whereby Security Type is
determined by the Ceding Company’s “ASSET_CLASS_CATEGORY” classification and
“FLAG_AGENCY” field.2  
ASSET_CLASS_CATEGORY
FLAG_AGENCY
Primary Source
Secondary Source
Tertiary Source
Quaternary Source
ABS
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
ABS-FLOATER
 
JPM Pricing Direct
IDC
Broker Quotes
Analyst/Trader
CLO
 
JPM Pricing Direct
IDC
Broker Quotes
Analyst/Trader
CMBS
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
CMO-A
Y
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
CMO-A
N
JPM Pricing Direct
IDC
Broker Quotes
Analyst/Trader
CMO-B
Y
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
CMO-B
N
JPM Pricing Direct
IDC
Broker Quotes
Analyst/Trader
COMMERCIAL MORTGAGES
 
DebtX
Analyst/Trader
 
 
EMD-CORPORATE
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
EMD-SOVERIGN
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
EQUITY SECURITIES
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
LIMITED PARTNERSHIPS
 
NAV Statement
Analyst/Trader
 
 
MUNICIPAL
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
PRIVATE-BIG
 
See Private Placement Process
Analyst/Trader
 
 
PRIVATE-IG
 
See Private Placement Process
Analyst/Trader
 
 
PUBLIC-BIG
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
PUBLIC-IG
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
SHORT-TERM
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader
US TREASURY
 
IDC
JPM Pricing Direct
Broker Quotes
Analyst/Trader

Commercial Mortgages shall be priced by DebtX. The Reinsurer will be responsible
for requesting Debt X pricing, and the Ceding Company agrees that it shall
provide all relevant information and inputs necessary to permit Debt X to price
the Commercial Mortgages (DebtX Fields are listed in Schedule A hereto).

2 These are fields from seriatim holdings file. Data room file 2.5.1 - Single
Source by USGAAP Entity RLI SLD VIAC_06302017.

 

--------------------------------------------------------------------------------

Limited Partnerships and similar alternative investments will be valued based on
most recent NAV, adjusted for any inflows/outflows since the last reported NAV
Statement from the fund. The Ceding Company agrees to provide the most recent
NAV Statement and any other Fund correspondence since the date of the most
recent NAV Statement to the Reinsurer, where such NAV Statement shall value the
investment as of a date no older than 150 calendar days prior to delivery of
asset to the Reinsurer.

Private Placements shall be valued consistent with the Ceding Company’s internal
policies for such assets, provided that the Reinsurer reserves the right to
challenge any Private Placement price using Brokers quotes from any of SeaPort
Global Securities LLC, StoneCastle Securities LLC or J.P. Morgan Securities
Inc., and where any such Broker quote is lower than the Ceding Company’s price
by 3.5 points or more, the parties agree that such Broker quote shall be used as
the value for such asset in lieu of the Ceding Company’s price for such asset.
In cases where a Broker may provide a spread in lieu of a price with respect to
a Private Placement, such spread shall be converted to a price by applying such
spread to the interpolated U.S. Treasury curve3 as of close of business on the
Business Day before the Effective Date.
   
Any position which is valued via the Analyst/Trader protocol shall be valued by
the Ceding Company, consistent with the Ceding Company’s valuation policy. The
Ceding Company agrees to provide the Reinsurer documentation supporting such
valuation, including valuation methodology, inputs and assumptions and any other
information necessary for the Reinsurer to re-perform the measurement, and to
the extent that there are differences, the parties agree in good faith to come
to an agreed-upon valuation.
Additionally, the Ceding Company shall also agree to provide any valuation
source with all information reasonably required by such valuation source to
price any of the assets.
For any asset for which the Ceding Company would normally use a pricing service
(the “Ceding Company Pricing Service”) that is different from the pricing
service to be used hereunder (the “Reinsurer Pricing Service”), the Ceding
Company reserves the right to challenge the price provided by the Reinsurer
Pricing Service by directly presenting such challenge to the Reinsurer Pricing
Service. In the event that (i) the Reinsurer Pricing Service accepts the Ceding
Company’s challenge, and (ii) the accepted challenge results in a change to the
challenged price of 3.5 points or more, the price determined pursuant to such
challenge process shall be used to value the asset.

3 Daily treasury rate published online by the U.S. Treasury Department
(treasury.gov).

 

--------------------------------------------------------------------------------

SCHEDULE A – DEBTX FIELDS

As Of Date
Loan Number
Original Loan Date
Current Loan Amount
Maturity Date
Modified Loan
Modified Loan Date
Modified Loan Amount
Unpaid Principal Balance
Rate Type
Payment Amount
Next Payment Due Date
Paid Through Date
Balloon Date
Balloon Payment
Percent Owned
Lien Position
Borrower Name
Property Name
Property Address
Property City
Property State
Property Zip Code
Remaining Future Funding
Total Maturity Balance
Type of Jr Lien Allowed
Jr Lien Balance

 

--------------------------------------------------------------------------------

Margin
Initial Rate Cap
Lifetime Rate Floor
Rate Adjustment Frequency
First Interest Rate Adjustment Date
Prepayment Penalty Type
Prepayment Penalty Term
Prepayment Penalty Structure
Call Feature
Call Frequency
Next Call Date
Origination Amortization Term- Months
Original Stated Term- Balloon Term
Interest Period
I/OConverts P&I- Amort Schedule
Current Property Value As of Date
Current LTV
Current Property Value
Current Property Value Source
Current LTV Combined
Property Type
Single Tenant
Tenant Name
Ground Lease
Recourse To Borrower
Guaranty Type
Credit Tenant/Tenant Lease
Current Net Cash Flow Reserve
Current Net Cash Flow

 

--------------------------------------------------------------------------------

Occupancy Percentage
As of Date for Occupancy
Current NOI
Current NOI Date
Current DSCR Source
Debt Reserve Services
Current DSCR
Current DSCR- As of Date
Cross Default
Crossed Loan Number
Current Interest Rate
Payment Structure
Original Appraised Value
Original Appraised Value Source
Orig LTV
Orig LTVCombined
Prior Liens
Interest Accrual Basis
ARM Index
ARM Next Rate Change Date
Initial Maturity Date
Lockout Provision
Lockout End Date

 

--------------------------------------------------------------------------------

SCHEDULE V
EXISTING INDEX HEDGES
See attached.4 

4 This list is current as of 5/28/2018 and will be updated to be current as of
5/31/2018 following the Effective Date.

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian Call Spread
Advantage 9
900A
900A00073
2011-1892-L
SGDV
Societe Generale
119,500
9/19/2011
10/19/2019
GA
Asian
Spread 9
900S
900S00284
2011-2525-L
CSBDV
Credit Suisse International
523,560.00
11/21/2011
6/20/2019
GA
Asian
Spread 9
900S
900S00285
2011-2768-L
JPMDV
JPMORGAN CHASE BANK, N.A.
43,287.20
12/20/2011
9/21/2020
GA
Asian
Spread 9
900S
900S00286
2012-0164-L
CSBDV
Credit Suisse International
14,187
1/18/2012
10/14/2020
GA
Asian Call Spread
Advantage 9
900A
900A00074
2012-0219-L
MLIDV
Merrill Lynch International
128,573
1/25/2012
10/29/2020
GA
Asian
Spread 9
900S
900S00287
2012-0496-L
CSBDV
Credit Suisse International
12,622.80
2/28/2012
2/6/2021
GA
Asian
Spread 9
900S
900S00288
2012-0738-L
BARDV
Barclays Bank, PLC
1,583.40
3/29/2012
3/16/2021
GA
Asian
Spread 9
900S
900S00289
2012-0961-L
SGDV
Societe Generale
4,907
4/24/2012
4/11/2021
GA
Asian
Spread 9
900S
900S00290
2012-1178-L
GSIDV
Goldman Sachs International
5,294
5/17/2012
5/5/2021
GA
Asian
Market Smart 7
700K
700K00008
2012-1058-L
HSBDV
HSBC Bank USA, National Association
11,564
5/7/2012
1/10/2019
GA
Asian
Spread 9
900S
900S00291
2012-1440-L
SGDV
Societe Generale
11,413
6/19/2012
6/4/2021
GA
Asian
Spread 9
900S
900S00292
2012-1577-L
BARDV
Barclays Bank, PLC
3,763
7/10/2012
6/28/2021
GA
Asian
Spread 9
900S
900S00293
2012-1811-L
BARDV
Barclays Bank, PLC
5,343
8/7/2012
7/23/2021
GA
Asian
Spread 9
900S
900S00294
2012-2139-L
UBSDV
UBS AG
715
9/6/2012
8/22/2021
GA
Asian
Spread 9
900S
900S00295
2012-2381-L
GSIDV
Goldman Sachs International
8,985.90
10/2/2012
9/19/2021
GA
Asian
Spread 9
900S
900S00296
2012-2626-L
BNPDV
BNP Paribas
4,220
11/1/2012
10/17/2021
GA
Asian
Spread 9
900S
900S00297
2012-2901-L
CSBDV
Credit Suisse International
1,080
12/5/2012
11/18/2021
GA
Asian
Spread 9
900S
900S00298
2013-3142-L
HSBDV
HSBC Bank USA, National Association
11,583
1/2/2013
2/16/2021
GA
Asian
Market Smart 7
700K
700K00009
2013-3180-L
HSBDV
HSBC Bank USA, National Association
9,364
1/7/2013
8/25/2019
GA
Asian
Spread 9
900S
900S00299
2013-3592-L
HSBDV
HSBC Bank USA, National Association
3,919
2/20/2013
1/25/2022
GA
Asian
Spread 9
900S
900S00300
2013-3763-L
BNPDV
BNP Paribas
10,463.20
4/2/2013
3/18/2022
GA
Asian
Spread 9
900S
900S00301
2013-3915-L
BNPDV
BNP Paribas
5,607
5/7/2013
4/20/2022
GA
Asian
Spread 9
900S
900S00302
2013-4101-L
CITDV
Citibank, N.A.
3,586.20
6/17/2013
5/25/2022
GA
Asian
Spread 9
900S
900S00303
2013-4239-L
DBDV
Deutsche Bank AG
12,099
7/16/2013
6/28/2022
GA
Asian
Spread 9
900S
900S00304
2013-4319-L
SGDV
Societe Generale
16,486
8/6/2013
7/27/2022
GA
Asian
Spread 9
900S
900S00305
2013-4502-L
MSIDV
Morgan Stanley & Co International, PLC
1,911.80
9/11/2013
8/22/2022
GA
Asian
Spread 9
900S
900S00306
2013-4742-L
WCHDV
Wells Fargo Bank, N. A.
16,691.40
10/28/2013
10/2/2022
GA
Asian
Spread 9
900S
900S00307
2013-4912-L
CSBDV
Credit Suisse International
8,048
12/11/2013
11/18/2022
GA
Asian
Market Smart 10
100K
100K00055
2015-6645-L
HSBDV
HSBC Bank USA, National Association
72,942
1/27/2015
6/5/2022
GA
Asian
Market Smart 10
100K
100K00056
2015-6790-L
CITDV
Citibank, N.A.
97,687.20
3/3/2015
2/13/2025
GA
Asian
Market Smart 10
100K
100K00057
2015-6975-L
RBCDV
Royal Bank of Canada
136,511.20
4/7/2015
3/24/2025
GA
Asian
Market Smart 10
100K
100K00058
2015-7160-L
NATDV
NATIXIS SA
107,297
5/14/2015
5/1/2025
GA
Asian
Market Smart 10
100K
100K00059
2015-7331-L
BARDV
Barclays Bank, PLC
103,196.70
6/23/2015
6/7/2025
GA
Asian
Market Smart 10
100K
100K00060
2015-7550-L
RBCDV
Royal Bank of Canada
69,850
8/11/2015
3/30/2025
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian
Market Smart 10
100K
100K00061
2015-7621-L
WCHDV
Wells Fargo Bank, N. A.
52,537
8/26/2015
8/15/2025
GA
Asian
Market Smart 10
100K
100K00062
2015-7997-L
BARDV
Barclays Bank, PLC
86,022
10/29/2015
10/3/2025
GA
Asian
Market Smart 10
100K
100K00063
2016-9061-L
GSIDV
Goldman Sachs International
54,641
3/1/2016
1/6/2026
GA
Asian Call Spread
Advantage 5
510A
510A00068
2016-9550-L
GSIDV
Goldman Sachs International
60,490.40
5/17/2016
12/23/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00001-2
2017-2991-L
JPMDV
JPMORGAN CHASE BANK, N.A.
1,458
2/15/2017
2/14/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00001-3
2017-2998-L
JPMDV
JPMORGAN CHASE BANK, N.A.
1,316
2/15/2017
2/14/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00001-4
2017-2997-L
JPMDV
JPMORGAN CHASE BANK, N.A.
1,199
2/15/2017
2/14/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00001-5
2017-2995-L
JPMDV
JPMORGAN CHASE BANK, N.A.
1,097
2/15/2017
2/14/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00001-6
2017-2993-L
JPMDV
JPMORGAN CHASE BANK, N.A.
1,011
2/15/2017
2/14/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00001-7
2017-3000-L
JPMDV
JPMORGAN CHASE BANK, N.A.
6,063
2/15/2017
2/14/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00002-2
2017-3106-L
JPMDV
JPMORGAN CHASE BANK, N.A.
106
3/2/2017
3/1/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00002-3
2017-3107-L
JPMDV
JPMORGAN CHASE BANK, N.A.
96
3/2/2017
3/1/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00002-4
2017-3108-L
JPMDV
JPMORGAN CHASE BANK, N.A.
87
3/2/2017
3/1/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00002-5
2017-3109-L
JPMDV
JPMORGAN CHASE BANK, N.A.
79
3/2/2017
3/1/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00002-6
2017-3110-L
JPMDV
JPMORGAN CHASE BANK, N.A.
73
3/2/2017
3/1/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00002-7
2017-3111-L
JPMDV
JPMORGAN CHASE BANK, N.A.
442
3/2/2017
3/1/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00003-2
2017-3169-L
JPMDV
JPMORGAN CHASE BANK, N.A.
187
3/10/2017
3/9/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00003-3
2017-3170-L
JPMDV
JPMORGAN CHASE BANK, N.A.
168
3/10/2017
3/9/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00003-4
2017-3172-L
JPMDV
JPMORGAN CHASE BANK, N.A.
153
3/10/2017
3/9/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00003-5
2017-3171-L
JPMDV
JPMORGAN CHASE BANK, N.A.
140
3/10/2017
3/9/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00003-6
2017-3168-L
JPMDV
JPMORGAN CHASE BANK, N.A.
128
3/10/2017
3/9/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00003-7
2017-3166-L
JPMDV
JPMORGAN CHASE BANK, N.A.
779
3/10/2017
3/9/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00004-2
2017-3210-L
JPMDV
JPMORGAN CHASE BANK, N.A.
268
3/13/2017
3/8/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00004-3
2017-3211-L
JPMDV
JPMORGAN CHASE BANK, N.A.
242
3/13/2017
3/10/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00004-4
2017-3214-L
JPMDV
JPMORGAN CHASE BANK, N.A.
221
3/13/2017
3/10/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00004-5
2017-3213-L
JPMDV
JPMORGAN CHASE BANK, N.A.
202
3/13/2017
3/10/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00004-6
2017-3212-L
JPMDV
JPMORGAN CHASE BANK, N.A.
186
3/13/2017
3/10/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00004-7
2017-3208-L
JPMDV
JPMORGAN CHASE BANK, N.A.
1,128

3/13/2017
3/8/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00005-2
2017-3226-L
JPMDV
JPMORGAN CHASE BANK, N.A.
1,004

3/15/2017
3/2/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00005-3
2017-3227-L
JPMDV
JPMORGAN CHASE BANK, N.A.
905
3/15/2017
3/2/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00005-4
2017-3228-L
JPMDV
JPMORGAN CHASE BANK, N.A.
823
3/15/2017
3/2/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00005-5
2017-3229-L
JPMDV
JPMORGAN CHASE BANK, N.A.
754
3/15/2017
3/2/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00005-6
2017-3230-L
JPMDV
JPMORGAN CHASE BANK, N.A.
693
3/15/2017
3/2/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00005-7
2017-3231-L
JPMDV
JPMORGAN CHASE BANK, N.A.
4,209

3/15/2017
3/2/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00006-3
2017-3266-L
JPMDV
JPMORGAN CHASE BANK, N.A.
114
3/20/2017
3/16/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00006-4
2017-3267-L
JPMDV
JPMORGAN CHASE BANK, N.A.
104
3/20/2017
3/16/2021
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00006-5
2017-3268-L
JPMDV
JPMORGAN CHASE BANK, N.A.
95
3/20/2017
3/16/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00006-6
2017-3269-L
JPMDV
JPMORGAN CHASE BANK, N.A.
88
3/20/2017
3/16/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00006-7
2017-3270-L
JPMDV
JPMORGAN CHASE BANK, N.A.
533
3/20/2017
3/16/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00006-2
2017-3265-L
JPMDV
JPMORGAN CHASE BANK, N.A.
126
3/20/2017
3/16/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00001-2
2017-3366-L
CITDV
Citibank, N.A.
3,250

3/29/2017
3/18/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00001-3
2017-3369-L
CITDV
Citibank, N.A.
2,936

3/29/2017
3/18/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00001-4
2017-3371-L
CITDV
Citibank, N.A.
2,681

3/29/2017
3/18/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00001-5
2017-3365-L
CITDV
Citibank, N.A.
2,461

3/29/2017
3/18/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00001-6
2017-3368-L
CITDV
Citibank, N.A.
2,267

3/29/2017
3/18/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00001-7
2017-3363-L
CITDV
Citibank, N.A.
12,677

3/29/2017
3/18/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00002-2
2017-3483-L
CITDV
Citibank, N.A.
3,509

4/10/2017
4/3/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00002-3
2017-3484-L
CITDV
Citibank, N.A.
3,163

4/10/2017
4/3/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00002-6
2017-3487-L
CITDV
Citibank, N.A.
2,436

4/10/2017
4/3/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00002-7
2017-3489-L
CITDV
Citibank, N.A.
13,660

4/10/2017
4/3/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00002-5
2017-3486-L
CITDV
Citibank, N.A.
2,647

4/10/2017
4/1/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00002-4
2017-3485-L
CITDV
Citibank, N.A.
2,886

4/10/2017
4/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00003-2
2017-3683-L
CITDV
Citibank, N.A.
3,460

4/17/2017
4/9/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00003-3
2017-3685-L
CITDV
Citibank, N.A.
3,111

4/17/2017
4/9/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00003-4
2017-3688-L
CITDV
Citibank, N.A.
2,835

4/17/2017
4/9/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00003-7
2017-3694-L
CITDV
Citibank, N.A.
13,417

4/17/2017
4/9/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00003-5
2017-3692-L
CITDV
Citibank, N.A.
2,599

4/17/2017
4/8/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00003-6
2017-3693-L
CITDV
Citibank, N.A.
2,394

4/17/2017
4/6/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00007-2
2017-3705-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,704

4/18/2017
4/3/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00007-3
2017-3706-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,790

4/18/2017
4/3/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00007-4
2017-3708-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,970

4/18/2017
4/3/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00007-5
2017-3710-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,250

4/18/2017
4/3/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00007-6
2017-3711-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,594

4/18/2017
4/3/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00007-7
2017-3712-L
JPMDV
JPMORGAN CHASE BANK, N.A.
51,256

4/18/2017
4/3/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00004-3
2017-3784-L
CITDV
Citibank, N.A.
5,550

4/27/2017
4/20/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00004-4
2017-3785-L
CITDV
Citibank, N.A.
5,053

4/27/2017
4/20/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00004-5
2017-3783-L
CITDV
Citibank, N.A.
4,630

4/27/2017
4/20/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00004-6
2017-3781-L
CITDV
Citibank, N.A.
4,259

4/27/2017
4/20/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00004-2
2017-3782-L
CITDV
Citibank, N.A.
6,177

4/27/2017
4/18/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00004-7
2017-3780-L
CITDV
Citibank, N.A.
23,932

4/27/2017
4/19/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00005-2
2017-3829-L
CITDV
Citibank, N.A.
3,441

5/2/2017
4/18/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00005-3
2017-3831-L
CITDV
Citibank, N.A.
3,094

5/2/2017
4/21/2020
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00005-4
2017-3832-L
CITDV
Citibank, N.A.
2,819

5/2/2017
4/21/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00005-5
2017-3833-L
CITDV
Citibank, N.A.
2,584

5/2/2017
4/21/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00005-6
2017-3834-L
CITDV
Citibank, N.A.
2,378

5/2/2017
4/21/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00005-7
2017-3835-L
CITDV
Citibank, N.A.
13,305

5/2/2017
4/19/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00008-2
2017-3892-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,024

5/10/2017
4/27/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00008-3
2017-3894-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,428

5/10/2017
4/27/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00008-4
2017-3890-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,158

5/10/2017
4/27/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00008-5
2017-3893-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,076

5/10/2017
4/27/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00008-6
2017-3895-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,093

5/10/2017
4/27/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00008-7
2017-3896-L
JPMDV
JPMORGAN CHASE BANK, N.A.
69,120

5/10/2017
4/26/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00006-2
2017-3957-L
CITDV
Citibank, N.A.
3,548

5/15/2017
5/7/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00006-3
2017-3961-L
CITDV
Citibank, N.A.
3,193

5/15/2017
5/7/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00006-4
2017-3962-L
CITDV
Citibank, N.A.
2,910
5/15/2017
5/7/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00006-7
2017-3966-L
CITDV
Citibank, N.A.
13,771
5/15/2017
5/7/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00006-5
2017-3959-L
CITDV
Citibank, N.A.
2,669
5/15/2017
5/6/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00006-6
2017-3964-L
CITDV
Citibank, N.A.
2,456
5/15/2017
5/5/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00007-3
2017-4002-L
CITDV
Citibank, N.A.
4,317
5/18/2017
5/12/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00007-4
2017-4001-L
CITDV
Citibank, N.A.
3,959
5/18/2017
5/12/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00007-5
2017-4003-L
CITDV
Citibank, N.A.
3,647
5/18/2017
5/12/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00007-6
2017-3998-L
CITDV
Citibank, N.A.
3,369
5/18/2017
5/12/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00007-2
2017-3999-L
CITDV
Citibank, N.A.
4,753
5/18/2017
5/10/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00007-7
2017-4006-L
CITDV
Citibank, N.A.
18,880
5/18/2017
5/10/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00008-2
2017-4011-L
CITDV
Citibank, N.A.
8,445
5/19/2017
5/15/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00008-3
2017-4013-L
CITDV
Citibank, N.A.
7,615
5/19/2017
5/15/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00008-6
2017-4018-L
CITDV
Citibank, N.A.
5,880
5/19/2017
5/15/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00008-7
2017-4019-L
CITDV
Citibank, N.A.
32,971
5/19/2017
5/15/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00008-4
2017-4014-L
CITDV
Citibank, N.A.
6,953
5/19/2017
5/14/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00008-5
2017-4016-L
CITDV
Citibank, N.A.
6,384
5/19/2017
5/13/2022
GA
Cliquet
MCI
100M
100M02218
2017-4106-L
UBSDV
UBS AG
54,063
5/26/2017
5/31/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00009-2
2017-4053-L
CITDV
Citibank, N.A.
12,348
5/24/2017
5/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00009-3
2017-4055-L
CITDV
Citibank, N.A.
11,061
5/24/2017
5/20/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00009-4
2017-4056-L
CITDV
Citibank, N.A.
10,054
5/24/2017
5/20/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00009-5
2017-4057-L
CITDV
Citibank, N.A.
9,206
5/24/2017
5/20/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00009-7
2017-4054-L
CITDV
Citibank, N.A.
47,442
5/24/2017
5/20/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00010-2
2017-4071-L
CITDV
Citibank, N.A.
3,891
5/25/2017
5/21/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00010-3
2017-4073-L
CITDV
Citibank, N.A.
3,473
5/25/2017
5/21/2020
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00010-4
2017-4077-L
CITDV
Citibank, N.A.
3,150
5/25/2017
5/21/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00009-2
2017-4062-L
JPMDV
JPMORGAN CHASE BANK, N.A.
20,166
5/24/2017
5/13/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00009-3
2017-4066-L
JPMDV
JPMORGAN CHASE BANK, N.A.
18,248
5/24/2017
5/13/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00009-4
2017-4061-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,738
5/24/2017
5/13/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00009-5
2017-4065-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,411
5/24/2017
5/13/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00009-6
2017-4058-L
CITDV
Citibank, N.A.
8,460
5/24/2017
5/19/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00010-5
2017-4078-L
CITDV
Citibank, N.A.
2,878
5/25/2017
5/20/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00010-6
2017-4079-L
CITDV
Citibank, N.A.
2,642
5/25/2017
5/19/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00009-6
2017-4064-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,240
5/24/2017
5/12/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00010-7
2017-4080-L
CITDV
Citibank, N.A.
14,786
5/25/2017
5/21/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00009-7
2017-4060-L
JPMDV
JPMORGAN CHASE BANK, N.A.
88,662
5/24/2017
5/13/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00011-2
2017-4130-L
CITDV
Citibank, N.A.
3,647
5/31/2017
5/28/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00011-3
2017-4131-L
CITDV
Citibank, N.A.
3,292
5/31/2017
5/28/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00011-4
2017-4132-L
CITDV
Citibank, N.A.
3,006
5/31/2017
5/28/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00011-7
2017-4135-L
CITDV
Citibank, N.A.
14,274
5/31/2017
5/28/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00011-5
2017-4133-L
CITDV
Citibank, N.A.
2,762
5/31/2017
5/27/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00011-6
2017-4134-L
CITDV
Citibank, N.A.
2,546
5/31/2017
5/26/2023
GA
Cliquet
MCI
100M
100M02221
2017-4148-L
BOADV
Bank of America, N.A.
78,843
6/1/2017
5/30/2018
GA
Asian
Spread 1
100S
100S03425
2017-4144-L
GSIDV
Goldman Sachs International
41,561
6/1/2017
5/29/2018
GA
Digital
Trigger
10PT
10PT00775
2017-4146-L
GSIDV
Goldman Sachs International
22,642
6/1/2017
5/30/2018
GA
Call Spread
Secure
100C
100C03538
2017-4142-L
GSIDV
Goldman Sachs International
357,019
6/1/2017
5/31/2018
GA
Call Spread
Secure
100C
100C03539
2017-4151-L
NATDV
NATIXIS SA
500,505
6/2/2017
6/1/2018
GA
Cliquet
MCI
100M
100M02222
2017-4156-L
GSIDV
Goldman Sachs International
98,108
6/2/2017
5/31/2018
GA
Asian
Spread 1
100S
100S03426
2017-4153-L
NATDV
NATIXIS SA
85,340
6/2/2017
6/2/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00216
2017-4147-L
DBDV
Deutsche Bank AG
25,421
6/1/2017
5/29/2018
GA
Asian
Spread 9
900S
900S00308
2017-4155-L
NATDV
NATIXIS SA
5,519
6/2/2017
1/28/2023
GA
Asian
Spread 1
100S
100S03427
2017-4167-L
GSIDV
Goldman Sachs International
39,208
6/5/2017
6/1/2018
GA
Basket
Envoy Cap
10EC
10EC02177
2017-4165-L
BARDV
Barclays Bank, PLC
29,668
6/5/2017
6/1/2018
GA
Digital
Trigger
10PT
10PT00776
2017-4164-L
NATDV
NATIXIS SA
51,461
6/5/2017
6/2/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01052
2017-3512-S
GSIDV
Goldman Sachs International
28,000
6/2/2017
6/1/2018
GA
Call Spread
Secure
100C
100C03541
2017-4170-L
GSIDV
Goldman Sachs International
863,400
6/6/2017
6/4/2018
GA
Call Spread
Secure
100C
100C03540
2017-4168-L
GSIDV
Goldman Sachs International
354,189
6/5/2017
6/1/2018
GA
Cliquet
MCI
100M
100M02223
2017-4163-L
GSIDV
Goldman Sachs International
74,366
6/5/2017
6/1/2018
GA
Cliquet
MCI
100M
100M02224
2017-4181-L
GSIDV
Goldman Sachs International
171,765
6/6/2017
6/4/2018
GA
Call
Secure Par
100P
100P00767
2017-4172-L
GSIDV
Goldman Sachs International
56,477
6/6/2017
6/1/2018
GA
Asian
Spread 1
100S
100S03428
2017-4173-L
GSIDV
Goldman Sachs International
103,651
6/6/2017
6/4/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Basket
Envoy Cap
10EC
10EC02178
2017-4186-L
GSIDV
Goldman Sachs International
59,303
6/6/2017
6/4/2018
GA
Digital
Trigger
10PT
10PT00777
2017-4176-L
GSIDV
Goldman Sachs International
53,993
6/6/2017
6/2/2018
GA
Asian Call Spread
Regency
110R
110R01086
2017-4174-L
GSIDV
Goldman Sachs International
37,452
6/6/2017
5/31/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00217
2017-4162-L
DBDV
Deutsche Bank AG
16,818
6/5/2017
5/29/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00012-1
2017-4178-L
CITDV
Citibank, N.A.
6,397
6/6/2017
6/1/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00012-3
2017-4180-L
CITDV
Citibank, N.A.
4,990
6/6/2017
6/1/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00012-4
2017-4194-L
CITDV
Citibank, N.A.
4,550
6/6/2017
6/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00012-5
2017-4183-L
CITDV
Citibank, N.A.
4,175
6/6/2017
6/1/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00012-6
2017-4184-L
CITDV
Citibank, N.A.
3,845
6/6/2017
6/1/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00010-1
2017-4187-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,852
6/6/2017
5/29/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00010-2
2017-4195-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,096
6/6/2017
5/29/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00010-3
2017-4193-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,932
6/6/2017
5/29/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00012-2
2017-4179-L
CITDV
Citibank, N.A.
5,550
6/6/2017
5/31/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00010-4
2017-4189-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,935
6/6/2017
5/28/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00010-5
2017-4190-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,115
6/6/2017
5/27/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00010-6
2017-4191-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,372
6/6/2017
5/26/2023
GA
Swaption
Interest Rate Benchmark
10RC
10RC01053
2017-3530-S
GSIDV
Goldman Sachs International
19,000
6/5/2017
6/1/2018
GA
Call Spread
Secure
100C
100C03542
2017-4197-L
GSIDV
Goldman Sachs International
359,228
6/7/2017
6/7/2018
GA
Cliquet
MCI
100M
100M02225
2017-4200-L
MSIDV
Morgan Stanley & Co International, PLC
76,334
6/7/2017
6/1/2018
GA
Asian
Spread 1
100S
100S03429
2017-4199-L
GSIDV
Goldman Sachs International
37,789
6/7/2017
6/5/2018
GA
Digital
Trigger
10PT
10PT00778
2017-4196-L
GSIDV
Goldman Sachs International
45,959
6/7/2017
6/2/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00218
2017-4177-L
DBDV
Deutsche Bank AG
17,301
6/6/2017
6/4/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00012-7
2017-4185-L
CITDV
Citibank, N.A.
21,547
6/6/2017
5/31/2024
GA
Swaption
Interest Rate Benchmark
10RC
10RC01054
2017-3531-S
NATDV
NATIXIS SA
37,650
6/6/2017
6/1/2018
GA
Cliquet
MCI
100M
100M02226
2017-4204-L
GSIDV
Goldman Sachs International
51,460
6/8/2017
6/6/2018
GA
Asian
Spread 1
100S
100S03430
2017-4203-L
GSIDV
Goldman Sachs International
19,392
6/8/2017
6/4/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00010-7
2017-4192-L
JPMDV
JPMORGAN CHASE BANK, N.A.
57,803
6/6/2017
5/29/2024
GA
Swaption
Interest Rate Benchmark
10RC
10RC01055
2017-3534-S
NATDV
NATIXIS SA
25,950
6/7/2017
6/7/2018
GA
Call Spread
Secure
100C
100C03543
2017-4201-L
GSIDV
Goldman Sachs International
251,873
6/8/2017
6/8/2018
GA
Call Spread
Secure
100C
100C03544
2017-4212-L
GSIDV
Goldman Sachs International
417,891
6/9/2017
6/8/2018
GA
Cliquet
MCI
100M
100M02227
2017-4218-L
GSIDV
Goldman Sachs International
54,225
6/9/2017
6/8/2018
GA
Asian
Spread 1
100S
100S03431
2017-4214-L
GSIDV
Goldman Sachs International
42,047
6/9/2017
6/8/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01056
2017-3540-S
GSIDV
Goldman Sachs International
19,000
6/8/2017
6/7/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call Spread
Secure
100C
100C03545
2017-4244-L
HSBDV
HSBC Bank USA, National Association
310,748
6/12/2017
6/8/2018
GA
Cliquet
MCI
100M
100M02228
2017-4253-L
UBSDV
UBS AG
79,419
6/12/2017
6/8/2018
GA
Asian
Spread 1
100S
100S03432
2017-4247-L
HSBDV
HSBC Bank USA, National Association
32,674
6/12/2017
6/8/2018
GA
Digital
Trigger
10PT
10PT00779
2017-4245-L
GSIDV
Goldman Sachs International
32,460
6/12/2017
6/8/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00013-1
2017-4249-L
CITDV
Citibank, N.A.
3,931
6/12/2017
6/1/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00013-2
2017-4251-L
CITDV
Citibank, N.A.
3,441
6/12/2017
5/31/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00013-3
2017-4252-L
CITDV
Citibank, N.A.
3,106
6/12/2017
6/2/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00013-5
2017-4256-L
CITDV
Citibank, N.A.
2,609
6/12/2017
6/2/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00013-6
2017-4257-L
CITDV
Citibank, N.A.
2,406
6/12/2017
6/2/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00013-7
2017-4255-L
CITDV
Citibank, N.A.
13,475
6/12/2017
5/31/2024
GA
Basket
Envoy Cap
10EC
10EC02180
2017-4248-L
NATDV
NATIXIS SA
21,231
6/12/2017
6/8/2018
GA
Basket
Envoy Cap
10EC
10EC02181
2017-4263-L
CITDV
Citibank, N.A.
26,681
6/13/2017
6/11/2018
GA
Call Spread
Secure
100C
100C03546
2017-4259-L
BARDV
Barclays Bank, PLC
916,858
6/13/2017
6/12/2018
GA
Cliquet
MCI
100M
100M02229
2017-4265-L
MSIDV
Morgan Stanley & Co International, PLC
201,997
6/13/2017
6/11/2018
GA
Asian
Spread 1
100S
100S03433
2017-4261-L
BARDV
Barclays Bank, PLC
68,173
6/13/2017
6/10/2018
GA
Digital
Trigger
10PT
10PT00780
2017-4262-L
HSBDV
HSBC Bank USA, National Association
36,585
6/13/2017
6/11/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00219
2017-4215-L
DBDV
Deutsche Bank AG
17,993
6/9/2017
6/8/2018
GA
Call Spread
Secure
100C
100C03547
2017-4266-L
HSBDV
HSBC Bank USA, National Association
317,406
6/14/2017
6/11/2018
GA
Cliquet
MCI
100M
100M02230
2017-4280-L
GSIDV
Goldman Sachs International
86,329
6/14/2017
6/12/2018
GA
Call
Secure Par
100P
100P00768
2017-4268-L
HSBDV
HSBC Bank USA, National Association
55,568
6/14/2017
6/8/2018
GA
Asian
Spread 1
100S
100S03434
2017-4269-L
HSBDV
HSBC Bank USA, National Association
28,759
6/14/2017
6/12/2018
GA
Digital
Trigger
10PT
10PT00781
2017-4270-L
CSBDV
Credit Suisse International
20,850
6/14/2017
6/13/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00220
2017-4258-L
DBDV
Deutsche Bank AG
28,574
6/13/2017
6/7/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00013-4
2017-4254-L
CITDV
Citibank, N.A.
2,838
6/12/2017
6/2/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00014-2
2017-4272-L
CITDV
Citibank, N.A.
3,463
6/14/2017
6/10/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00014-3
2017-4273-L
CITDV
Citibank, N.A.
3,128
6/14/2017
6/10/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00014-4
2017-4274-L
CITDV
Citibank, N.A.
2,860
6/14/2017
6/10/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00014-5
2017-4276-L
CITDV
Citibank, N.A.
2,630
6/14/2017
6/10/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00014-7
2017-4278-L
CITDV
Citibank, N.A.
13,603
6/14/2017
6/10/2024
GA
Swaption
Interest Rate Benchmark
10RC
10RC01057
2017-3554-S
BNPDV
BNP Paribas
71,000
6/13/2017
6/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00014-1
2017-4271-L
CITDV
Citibank, N.A.
3,957
6/14/2017
6/8/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00014-6
2017-4277-L
CITDV
Citibank, N.A.
2,426
6/14/2017
6/9/2023
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call Spread
Secure
100C
100C03548
2017-4281-L
HSBDV
HSBC Bank USA, National Association
272,907
6/15/2017
6/13/2018
GA
Cliquet
MCI
100M
100M02231
2017-4285-L
GSIDV
Goldman Sachs International
80,830
6/15/2017
6/13/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01058
2017-3555-S
BNPDV
BNP Paribas
18,000
6/14/2017
6/12/2018
GA
Call Spread
Secure
100C
100C03549
2017-4289-L
HSBDV
HSBC Bank USA, National Association
355,046
6/16/2017
6/15/2018
GA
Cliquet
MCI
100M
100M02232
2017-4299-L
GSIDV
Goldman Sachs International
66,987
6/16/2017
6/15/2018
GA
Asian
Spread 1
100S
100S03436
2017-4288-L
HSBDV
HSBC Bank USA, National Association
68,969
6/16/2017
6/14/2018
GA
Digital
Trigger
10PT
10PT00782
2017-4291-L
GSIDV
Goldman Sachs International
25,611
6/16/2017
6/15/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00221
2017-4284-L
DBDV
Deutsche Bank AG
14,984
6/15/2017
6/11/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00015-1
2017-4302-L
CITDV
Citibank, N.A.
7,351
6/16/2017
6/14/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00015-2
2017-4303-L
CITDV
Citibank, N.A.
6,493
6/16/2017
6/14/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00015-4
2017-4305-L
CITDV
Citibank, N.A.
5,396
6/16/2017
6/14/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00015-5
2017-4306-L
CITDV
Citibank, N.A.
4,970
6/16/2017
6/14/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00015-6
2017-4308-L
CITDV
Citibank, N.A.
4,592
6/16/2017
6/14/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00015-7
2017-4309-L
CITDV
Citibank, N.A.
25,757
6/16/2017
6/14/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00011-1
2017-4292-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,046
6/16/2017
6/5/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00011-3
2017-4294-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,339
6/16/2017
6/5/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00011-6
2017-4297-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,831
6/16/2017
6/5/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00011-7
2017-4298-L
JPMDV
JPMORGAN CHASE BANK, N.A.
55,327
6/16/2017
6/5/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00011-4
2017-4295-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,426
6/16/2017
6/4/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00011-5
2017-4296-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,656
6/16/2017
6/3/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00015-3
2017-4304-L
CITDV
Citibank, N.A.
5,891
6/16/2017
6/12/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00011-2
2017-4293-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,458
6/16/2017
6/5/2019
GA
Call Spread
Secure
100C
100C03550
2017-4316-L
HSBDV
HSBC Bank USA, National Association
358,218
6/19/2017
6/15/2018
GA
Cliquet
MCI
100M
100M02233
2017-4322-L
UBSDV
UBS AG
84,743
6/19/2017
6/15/2018
GA
Asian
Spread 1
100S
100S03435
2017-4283-L
HSBDV
HSBC Bank USA, National Association
14,992
6/15/2017
6/12/2018
GA
Asian
Spread 1
100S
100S03437
2017-4318-L
HSBDV
HSBC Bank USA, National Association
56,563
6/19/2017
6/12/2018
GA
Digital
Trigger
10PT
10PT00783
2017-4319-L
GSIDV
Goldman Sachs International
17,421
6/19/2017
6/13/2018
GA
Basket
Envoy Cap
10EC
10EC02179
2017-4205-L
BARDV
Barclays Bank, PLC
40,856
6/8/2017
6/7/2018
GA
Basket
Envoy Cap
10EC
10EC02182
2017-4300-L
BARDV
Barclays Bank, PLC
67,333
6/16/2017
6/15/2018
GA
Call Spread
Secure
100C
100C03551
2017-4334-L
GSIDV
Goldman Sachs International
933,319
6/20/2017
6/18/2018
GA
Cliquet
MCI
100M
100M02234
2017-4355-L
BOADV
Bank of America, N.A.
171,873
6/20/2017
6/19/2018
GA
Asian
Spread 1
100S
100S03438
2017-4336-L
GSIDV
Goldman Sachs International
126,957
6/20/2017
6/18/2018
GA
Basket
Envoy Cap
10EC
10EC02183
2017-4354-L
NATDV
NATIXIS SA
39,251
6/20/2017
6/18/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00784
2017-4332-L
HSBDV
HSBC Bank USA, National Association
48,916
6/20/2017
6/18/2018
GA
Asian Call Spread
Regency
110R
110R01087
2017-4337-L
GSIDV
Goldman Sachs International
31,434
6/20/2017
6/13/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00016-1
2017-4340-L
CITDV
Citibank, N.A.
3,819
6/20/2017
6/19/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00016-2
2017-4341-L
CITDV
Citibank, N.A.
3,337
6/20/2017
6/19/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00016-3
2017-4339-L
CITDV
Citibank, N.A.
3,011
6/20/2017
6/19/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00016-6
2017-4344-L
CITDV
Citibank, N.A.
2,332
6/20/2017
6/19/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00016-7
2017-4345-L
CITDV
Citibank, N.A.
13,091
6/20/2017
6/19/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00016-4
2017-4342-L
CITDV
Citibank, N.A.
2,751
6/20/2017
6/18/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00016-5
2017-4343-L
CITDV
Citibank, N.A.
2,529
6/20/2017
6/17/2022
GA
Swaption
Interest Rate Benchmark
10RC
10RC01059
2017-3556-S
GSIDV
Goldman Sachs International
18,000
6/16/2017
6/14/2018
GA
Call Spread
Secure
100C
100C03552
2017-4358-L
WCHDV
Wells Fargo Bank, N. A.
381,380
6/21/2017
6/22/2018
GA
Cliquet
MCI
100M
100M02235
2017-4365-L
BOADV
Bank of America, N.A.
73,424
6/21/2017
6/20/2018
GA
Call
Secure Par
100P
100P00769
2017-4361-L
WCHDV
Wells Fargo Bank, N. A.
58,454
6/21/2017
6/15/2018
GA
Asian
Spread 1
100S
100S03439
2017-4360-L
WCHDV
Wells Fargo Bank, N. A.
23,733
6/21/2017
6/19/2018
GA
Digital
Trigger
10PT
10PT00785
2017-4362-L
GSIDV
Goldman Sachs International
22,092
6/21/2017
6/20/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00222
2017-4323-L
DBDV
Deutsche Bank AG
25,068
6/20/2017
6/13/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01060
2017-3574-S
BNPDV
BNP Paribas
67,900
6/20/2017
6/20/2018
GA
Call Spread
Secure
100C
100C03553
2017-4366-L
NATDV
NATIXIS SA
289,134
6/22/2017
6/20/2018
GA
Cliquet
MCI
100M
100M02236
2017-4376-L
UBSDV
UBS AG
55,905
6/22/2017
6/19/2018
GA
Asian
Spread 1
100S
100S03440
2017-4371-L
NATDV
NATIXIS SA
24,982
6/22/2017
6/20/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00223
2017-4357-L
DBDV
Deutsche Bank AG
14,567
6/21/2017
6/20/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00017-1
2017-4381-L
CITDV
Citibank, N.A.
8,993
6/22/2017
6/15/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00017-3
2017-4384-L
CITDV
Citibank, N.A.
7,139
6/22/2017
6/15/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00017-4
2017-4385-L
CITDV
Citibank, N.A.
6,532
6/22/2017
6/15/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00017-5
2017-4386-L
CITDV
Citibank, N.A.
6,010
6/22/2017
6/15/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00017-6
2017-4387-L
CITDV
Citibank, N.A.
5,547
6/22/2017
6/15/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00012-1
2017-4372-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,468
6/22/2017
6/14/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00012-2
2017-4373-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,004
6/22/2017
6/14/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00012-4
2017-4377-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,085
6/22/2017
6/14/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00012-5
2017-4378-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,349
6/22/2017
6/14/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00012-6
2017-4379-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,657
6/22/2017
6/14/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00012-7
2017-4382-L
JPMDV
JPMORGAN CHASE BANK, N.A.
53,544
6/22/2017
6/14/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00017-2
2017-4383-L
CITDV
Citibank, N.A.
7,893
6/22/2017
6/14/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00017-7
2017-4388-L
CITDV
Citibank, N.A.
31,074
6/22/2017
6/14/2024
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00012-3
2017-4374-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,957
6/22/2017
6/12/2020
GA
Swaption
Interest Rate Benchmark
10RC
10RC01061
2017-3580-S
GSIDV
Goldman Sachs International
15,600
6/21/2017
6/19/2018
GA
Call Spread
Secure
100C
100C03554
2017-4390-L
WCHDV
Wells Fargo Bank, N. A.
383,381
6/23/2017
6/22/2018
GA
Cliquet
MCI
100M
100M02237
2017-4394-L
UBSDV
UBS AG
62,498
6/23/2017
6/22/2018
GA
Asian
Spread 1
100S
100S03441
2017-4392-L
WCHDV
Wells Fargo Bank, N. A.
80,421
6/23/2017
6/21/2018
GA
Basket
Envoy Cap
10EC
10EC02184
2017-4395-L
NATDV
NATIXIS SA
32,712
6/23/2017
6/27/2018
GA
Digital
Trigger
10PT
10PT00786
2017-4393-L
GSIDV
Goldman Sachs International
33,259
6/23/2017
6/19/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01062
2017-3581-S
BNPDV
BNP Paribas
18,800
6/22/2017
6/21/2018
GA
Cliquet
MCI
100M
100M02238
2017-4410-L
UBSDV
UBS AG
76,826
6/26/2017
6/23/2018
GA
Asian
Spread 1
100S
100S03442
2017-4397-L
HSBDV
HSBC Bank USA, National Association
26,975
6/26/2017
6/22/2018
GA
Basket
Envoy Cap
10EC
10EC02185
2017-4404-L
CITDV
Citibank, N.A.
28,268
6/26/2017
6/13/2018
GA
Digital
Trigger
10PT
10PT00787
2017-4398-L
CSBDV
Credit Suisse International
22,300
6/26/2017
6/25/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00224
2017-4389-L
DBDV
Deutsche Bank AG
21,907
6/23/2017
6/20/2018
GA
Call Spread
Secure
100C
100C03555
2017-4400-L
HSBDV
HSBC Bank USA, National Association
415,027
6/26/2017
6/22/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00018-1
2017-4402-L
CITDV
Citibank, N.A.
7,406
6/26/2017
6/22/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00018-3
2017-4405-L
CITDV
Citibank, N.A.
5,834
6/26/2017
6/22/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00018-4
2017-4406-L
CITDV
Citibank, N.A.
5,328
6/26/2017
6/22/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00018-5
2017-4407-L
CITDV
Citibank, N.A.
4,895
6/26/2017
6/22/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00018-6
2017-4408-L
CITDV
Citibank, N.A.
4,514
6/26/2017
6/22/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00018-2
2017-4403-L
CITDV
Citibank, N.A.
6,469
6/26/2017
6/21/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00018-7
2017-4409-L
CITDV
Citibank, N.A.
25,327
6/26/2017
6/21/2024
GA
Call Spread
Secure
100C
100C03556
2017-4418-L
HSBDV
HSBC Bank USA, National Association
944,416
6/27/2017
6/22/2018
GA
Asian
Spread 1
100S
100S03443
2017-4421-L
HSBDV
HSBC Bank USA, National Association
68,064
6/27/2017
6/25/2018
GA
Call
Secure Par
100P
100P00770
2017-4420-L
HSBDV
HSBC Bank USA, National Association
57,753
6/27/2017
6/22/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01064
2017-3604-S
NATDV
NATIXIS SA
79,750
6/27/2017
6/25/2018
GA
Digital
Trigger
10PT
10PT00788
2017-4426-L
HSBDV
HSBC Bank USA, National Association
53,113
6/27/2017
6/24/2018
GA
Cliquet
MCI
100M
100M02239
2017-4439-L
GSIDV
Goldman Sachs International
201,109
6/27/2017
6/24/2018
GA
Basket
Envoy Cap
10EC
10EC02186
2017-4432-L
BARDV
Barclays Bank, PLC
63,201
6/27/2017
6/22/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00019-1
2017-4427-L
CITDV
Citibank, N.A.
8,813
6/27/2017
6/22/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00019-2
2017-4428-L
CITDV
Citibank, N.A.
7,758
6/27/2017
6/24/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00019-3
2017-4429-L
CITDV
Citibank, N.A.
7,026
6/27/2017
6/24/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00019-4
2017-4430-L
CITDV
Citibank, N.A.
6,430
6/27/2017
6/24/2021
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00019-5
2017-4431-L
CITDV
Citibank, N.A.
5,915
6/27/2017
6/24/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00019-7
2017-4437-L
CITDV
Citibank, N.A.
30,613
6/27/2017
6/24/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00019-6
2017-4433-L
CITDV
Citibank, N.A.
5,459
6/27/2017
6/23/2023
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00225
2017-4422-L
DBDV
Deutsche Bank AG
37,580
6/27/2017
6/23/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01063
2017-3599-S
GSIDV
Goldman Sachs International
14,000
6/26/2017
6/22/2018
GA
Call Spread
Secure
100C
100C03557
2017-4444-L
WCHDV
Wells Fargo Bank, N. A.
353,746
6/28/2017
6/27/2018
GA
Asian
Spread 1
100S
100S03444
2017-4442-L
WCHDV
Wells Fargo Bank, N. A.
25,276
6/28/2017
6/27/2018
GA
Digital
Trigger
10PT
10PT00789
2017-4443-L
HSBDV
HSBC Bank USA, National Association
37,795
6/28/2017
6/25/2018
GA
Cliquet
MCI
100M
100M02240
2017-4446-L
GSIDV
Goldman Sachs International
64,934
6/28/2017
6/27/2018
GA
Call Spread
Secure
100C
100C03558
2017-4459-L
HSBDV
HSBC Bank USA, National Association
238,841
6/29/2017
7/3/2018
GA
Asian
Spread 1
100S
100S03445
2017-4468-L
HSBDV
HSBC Bank USA, National Association
31,622
6/29/2017
6/29/2018
GA
Cliquet
MCI
100M
100M02241
2017-4469-L
BOADV
Bank of America, N.A.
47,397
6/29/2017
6/24/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00226
2017-4441-L
DBDV
Deutsche Bank AG
13,172
6/28/2017
6/27/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01065
2017-3605-S
GSIDV
Goldman Sachs International
21,000
6/28/2017
6/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00020-3
2017-4453-L
CITDV
Citibank, N.A.
4,176
6/29/2017
6/23/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00020-4
2017-4454-L
CITDV
Citibank, N.A.
3,847
6/29/2017
6/23/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00020-5
2017-4455-L
CITDV
Citibank, N.A.
3,555
6/29/2017
6/23/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00020-6
2017-4456-L
CITDV
Citibank, N.A.
3,290
6/29/2017
6/23/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00020-1
2017-4451-L
CITDV
Citibank, N.A.
5,052
6/29/2017
6/22/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00020-2
2017-4452-L
CITDV
Citibank, N.A.
4,561
6/29/2017
6/21/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00013-3
2017-4463-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,709
6/29/2017
6/23/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00013-4
2017-4464-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,882
6/29/2017
6/23/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00013-5
2017-4465-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,171
6/29/2017
6/23/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00013-6
2017-4466-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,501
6/29/2017
6/23/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00013-1
2017-4460-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,946
6/29/2017
6/22/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00013-2
2017-4462-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,684
6/29/2017
6/21/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00013-7
2017-4467-L
JPMDV
JPMORGAN CHASE BANK, N.A.
52,018
6/29/2017
6/21/2024
GA
Call Spread
Secure
100C
100C03559
2017-4472-L
CITDV
Citibank, N.A.
325,815
6/30/2017
6/29/2018
GA
Asian
Spread 1
100S
100S03446
2017-4474-L
CITDV
Citibank, N.A.
53,767
6/30/2017
6/29/2018
GA
Digital
Trigger
10PT
10PT00790
2017-4482-L
CSBDV
Credit Suisse International
27,314
6/30/2017
6/28/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01066
2017-3611-S
BNPDV
BNP Paribas
34,800
6/29/2017
6/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00020-7
2017-4457-L
CITDV
Citibank, N.A.
18,450
6/29/2017
6/21/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00227
2017-4458-L
DBDV
Deutsche Bank AG
11,346
6/29/2017
6/30/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Cliquet
MCI
100M
100M02242
2017-4477-L
MSIDV
Morgan Stanley & Co International, PLC
60,040
6/30/2017
6/28/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01067
2017-3612-S
GSIDV
Goldman Sachs International
17,000
6/30/2017
6/27/2018
GA
Basket
Envoy Cap
10EC
10EC02187
2017-4478-L
BARDV
Barclays Bank, PLC
34,726
6/30/2017
6/28/2018
GA
Call Spread
Secure
100C
100C03560
2017-4486-L
HSBDV
HSBC Bank USA, National Association
1,164,122
7/5/2017
6/29/2018
GA
Asian
Spread 1
100S
100S03447
2017-4488-L
HSBDV
HSBC Bank USA, National Association
144,470
7/5/2017
6/30/2018
GA
Asian Call Spread
Regency
110R
110R01088
2017-4489-L
HSBDV
HSBC Bank USA, National Association
32,175
7/5/2017
6/27/2018
GA
Cliquet
MCI
100M
100M02243
2017-4502-L
MSIDV
Morgan Stanley & Co International, PLC
241,300
7/5/2017
7/1/2018
GA
Basket
Envoy Cap
10EC
10EC02188
2017-4499-L
GSIDV
Goldman Sachs International
55,293
7/5/2017
7/2/2018
GA
Digital
Trigger
10PT
10PT00791
2017-4491-L
NATDV
NATIXIS SA
121,549
7/5/2017
7/1/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00021-1
2017-4492-L
CITDV
Citibank, N.A.
4,818
7/5/2017
6/29/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00021-3
2017-4494-L
CITDV
Citibank, N.A.
3,828
7/5/2017
6/29/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00021-4
2017-4495-L
CITDV
Citibank, N.A.
3,497
7/5/2017
6/29/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00021-5
2017-4496-L
CITDV
Citibank, N.A.
3,212
7/5/2017
6/29/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00021-6
2017-4497-L
CITDV
Citibank, N.A.
2,959
7/5/2017
6/29/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00021-2
2017-4493-L
CITDV
Citibank, N.A.
4,235
7/5/2017
6/28/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00021-7
2017-4498-L
CITDV
Citibank, N.A.
16,602
7/5/2017
6/28/2024
GA
Call Spread
Secure
100C
100C03561
2017-4523-L
HSBDV
HSBC Bank USA, National Association
340,951
7/6/2017
7/6/2018
GA
Asian
Spread 1
100S
100S03448
2017-4526-L
HSBDV
HSBC Bank USA, National Association
23,555
7/6/2017
7/5/2018
GA
Call
Secure Par
100P
100P00771
2017-4525-L
HSBDV
HSBC Bank USA, National Association
56,465
7/6/2017
7/5/2018
GA
Digital
Trigger
10PT
10PT00792
2017-4528-L
CSBDV
Credit Suisse International
35,423
7/6/2017
7/6/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00228
2017-4485-L
DBDV
Deutsche Bank AG
38,311
7/5/2017
6/28/2018
GA
Cliquet
MCI
100M
100M02244
2017-4527-L
UBSDV
UBS AG
82,293
7/6/2017
7/3/2018
GA
Call Spread
Secure
100C
100C03562
2017-4544-L
RBCDV
Royal Bank of Canada
403,416
7/7/2017
7/5/2018
GA
Asian
Spread 1
100S
100S03449
2017-4548-L
RBCDV
Royal Bank of Canada
39,376
7/7/2017
7/5/2018
GA
Basket
Envoy Cap
10EC
10EC02189
2017-4551-L
BARDV
Barclays Bank, PLC
21,532
7/7/2017
7/5/2018
GA
Cliquet
MCI
100M
100M02245
2017-4550-L
GSIDV
Goldman Sachs International
60,673
7/7/2017
7/5/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01069
2017-3632-S
BNPDV
BNP Paribas
35,000
7/6/2017
7/3/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00022-1
2017-4539-L
CITDV
Citibank, N.A.
6,186
7/7/2017
7/5/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00022-2
2017-4540-L
CITDV
Citibank, N.A.
5,495
7/7/2017
7/5/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00022-5
2017-4543-L
CITDV
Citibank, N.A.
4,205
7/7/2017
7/5/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00022-6
2017-4545-L
CITDV
Citibank, N.A.
3,879
7/7/2017
7/5/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00022-7
2017-4546-L
CITDV
Citibank, N.A.
21,776
7/7/2017
7/5/2024
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00022-3
2017-4541-L
CITDV
Citibank, N.A.
4,993
7/7/2017
7/2/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00022-4
2017-4542-L
CITDV
Citibank, N.A.
4,573
7/7/2017
7/2/2021
GA
Call Spread
Secure
100C
100C03563
2017-4557-L
RBCDV
Royal Bank of Canada
325,057
7/10/2017
7/6/2018
GA
Asian
Spread 1
100S
100S03450
2017-4559-L
RBCDV
Royal Bank of Canada
63,623
7/10/2017
7/5/2018
GA
Cliquet
MCI
100M
100M02246
2017-4560-L
GSIDV
Goldman Sachs International
65,671
7/10/2017
7/7/2018
GA
Digital
Trigger
10PT
10PT00793
2017-4555-L
HSBDV
HSBC Bank USA, National Association
28,331
7/10/2017
7/3/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00229
2017-4549-L
DBDV
Deutsche Bank AG
23,066
7/7/2017
7/3/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01068
2017-3631-S
BNPDV
BNP Paribas
92,500
7/5/2017
6/29/2018
GA
Asian
Spread 1
100S
100S03451
2017-4569-L
CITDV
Citibank, N.A.
97,095
7/11/2017
7/9/2018
GA
Cliquet
MCI
100M
100M02247
2017-4566-L
UBSDV
UBS AG
185,548
7/11/2017
7/9/2018
GA
Basket
Envoy Cap
10EC
10EC02190
2017-4585-L
GSIDV
Goldman Sachs International
60,778
7/11/2017
7/9/2018
GA
Digital
Trigger
10PT
10PT00794
2017-4565-L
NATDV
NATIXIS SA
63,583
7/11/2017
7/9/2018
GA
Call Spread
Secure
100C
100C03564
2017-4567-L
CITDV
Citibank, N.A.
680,023
7/11/2017
7/9/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00230
2017-4572-L
DBDV
Deutsche Bank AG
36,630
7/11/2017
7/5/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00023-2
2017-4578-L
CITDV
Citibank, N.A.
5,476
7/11/2017
7/8/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00023-3
2017-4580-L
CITDV
Citibank, N.A.
4,937
7/11/2017
7/8/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00023-4
2017-4581-L
CITDV
Citibank, N.A.
4,503
7/11/2017
7/8/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00023-5
2017-4582-L
CITDV
Citibank, N.A.
4,130
7/11/2017
7/8/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00023-1
2017-4575-L
CITDV
Citibank, N.A.
6,271
7/11/2017
7/6/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00023-6
2017-4583-L
CITDV
Citibank, N.A.
3,802
7/11/2017
7/7/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00014-1
2017-4568-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,026
7/11/2017
7/3/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00014-2
2017-4571-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,795
7/11/2017
7/3/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00014-3
2017-4573-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,824
7/11/2017
7/2/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00014-4
2017-4574-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,963
7/11/2017
7/2/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00014-5
2017-4576-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,214
7/11/2017
7/1/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00014-6
2017-4577-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,531
7/11/2017
7/3/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00014-7
2017-4579-L
JPMDV
JPMORGAN CHASE BANK, N.A.
51,093
7/11/2017
7/3/2024
GA
Asian
Spread 1
100S
100S03452
2017-4591-L
WCHDV
Wells Fargo Bank, N. A.
21,035
7/12/2017
7/11/2018
GA
Call
Secure Par
100P
100P00772
2017-4589-L
WCHDV
Wells Fargo Bank, N. A.
67,327
7/12/2017
7/6/2018
GA
Cliquet
MCI
100M
100M02248
2017-4592-L
GSIDV
Goldman Sachs International
79,968
7/12/2017
7/11/2018
GA
Digital
Trigger
10PT
10PT00795
2017-4590-L
HSBDV
HSBC Bank USA, National Association
29,145
7/12/2017
7/9/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01072
2017-3649-S
GSIDV
Goldman Sachs International
23,000
7/12/2017
7/10/2018
GA
Call Spread
Secure
100C
100C03566
2017-4596-L
WCHDV
Wells Fargo Bank, N. A.
354,204
7/13/2017
7/12/2018
GA
Asian
Spread 1
100S
100S03453
2017-4598-L
WCHDV
Wells Fargo Bank, N. A.
19,176
7/13/2017
7/8/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00796
2017-4595-L
HSBDV
HSBC Bank USA, National Association
23,151
7/13/2017
7/13/2018
GA
Cliquet
MCI
100M
100M02249
2017-4600-L
GSIDV
Goldman Sachs International
59,397
7/13/2017
7/12/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00231
2017-4599-L
DBDV
Deutsche Bank AG
18,090
7/13/2017
7/11/2018
GA
Call Spread
Secure
100C
100C03567
2017-4704-L
HSBDV
HSBC Bank USA, National Association
326,767
7/14/2017
7/12/2018
GA
Asian
Spread 1
100S
100S03454
2017-4717-L
HSBDV
HSBC Bank USA, National Association
89,479
7/14/2017
7/12/2018
GA
Digital
Trigger
10PT
10PT00797
2017-4727-L
NATDV
NATIXIS SA
41,705
7/14/2017
7/11/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01073
2017-3650-S
GSIDV
Goldman Sachs International
18,700
7/14/2017
7/11/2018
GA
Cliquet
MCI
100M
100M02250
2017-4729-L
DBDV
Deutsche Bank AG
65,684
7/14/2017
7/12/2018
GA
Call Spread
Secure
100C
100C03568
2017-4730-L
HSBDV
HSBC Bank USA, National Association
406,414
7/17/2017
7/13/2018
GA
Asian
Spread 1
100S
100S03455
2017-4733-L
HSBDV
HSBC Bank USA, National Association
56,431
7/17/2017
7/12/2018
GA
Digital
Trigger
10PT
10PT00798
2017-4732-L
CSBDV
Credit Suisse International
38,477
7/17/2017
7/14/2018
GA
Basket
Envoy Cap
10EC
10EC02191
2017-4736-L
BARDV
Barclays Bank, PLC
39,265
7/17/2017
7/18/2018
GA
Cliquet
MCI
100M
100M02251
2017-4738-L
GSIDV
Goldman Sachs International
48,878
7/17/2017
7/18/2018
GA
Call Spread
Secure
100C
100C03565
2017-4587-L
WCHDV
Wells Fargo Bank, N. A.
322,514
7/12/2017
7/11/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01070
2017-3646-S
BNPDV
BNP Paribas
17,600
7/10/2017
7/6/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01071
2017-3648-S
GSIDV
Goldman Sachs International
72,000
7/11/2017
7/6/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00023-7
2017-4584-L
CITDV
Citibank, N.A.
21,348
7/11/2017
7/8/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00232
2017-4734-L
DBDV
Deutsche Bank AG
16,000
7/17/2017
7/10/2018
GA
Call Spread
Secure
100C
100C03569
2017-4758-L
WCHDV
Wells Fargo Bank, N. A.
1,010,702
7/18/2017
7/16/2018
GA
Asian
Spread 1
100S
100S03456
2017-4765-L
WCHDV
Wells Fargo Bank, N. A.
68,143
7/18/2017
7/18/2018
GA
Cliquet
MCI
100M
100M02252
2017-4788-L
BOADV
Bank of America, N.A.
165,239
7/18/2017
7/15/2018
GA
Basket
Envoy Cap
10EC
10EC02192
2017-4779-L
CITDV
Citibank, N.A.
31,160
7/18/2017
7/16/2018
GA
Digital
Trigger
10PT
10PT00799
2017-4754-L
CSBDV
Credit Suisse International
101,762
7/18/2017
7/16/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00024-1
2017-4740-L
CITDV
Citibank, N.A.
7,253
7/18/2017
7/13/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00024-3
2017-4742-L
CITDV
Citibank, N.A.
5,639
7/18/2017
7/13/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00024-4
2017-4743-L
CITDV
Citibank, N.A.
5,134
7/18/2017
7/13/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00024-5
2017-4745-L
CITDV
Citibank, N.A.
4,705
7/18/2017
7/13/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00024-6
2017-4746-L
CITDV
Citibank, N.A.
4,329
7/18/2017
7/13/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00024-2
2017-4741-L
CITDV
Citibank, N.A.
6,281
7/18/2017
7/12/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00024-7
2017-4749-L
CITDV
Citibank, N.A.
24,282
7/18/2017
7/12/2024
GA
Call Spread
Secure
100C
100C03570
2017-4793-L
NATDV
NATIXIS SA
352,739
7/19/2017
7/13/2018
GA
Asian
Spread 1
100S
100S03457
2017-4798-L
NATDV
NATIXIS SA
27,406
7/19/2017
7/18/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian Call Spread
Regency
110R
110R01089
2017-4797-L
NATDV
NATIXIS SA
35,106
7/19/2017
7/12/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01074
2017-3667-S
GSIDV
Goldman Sachs International
74,000
7/18/2017
7/13/2018
GA
Cliquet
MCI
100M
100M02253
2017-4800-L
GSIDV
Goldman Sachs International
60,255
7/19/2017
7/18/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00233
2017-4778-L
DBDV
Deutsche Bank AG
22,426
7/18/2017
7/18/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00234
2017-4795-L
DBDV
Deutsche Bank AG
16,630
7/19/2017
7/5/2018
GA
Call Spread
Secure
100C
100C03571
2017-4803-L
CITDV
Citibank, N.A.
281,642
7/20/2017
7/18/2018
GA
Asian
Spread 1
100S
100S03458
2017-4801-L
CITDV
Citibank, N.A.
27,028
7/20/2017
7/15/2018
GA
Call
Secure Par
100P
100P00773
2017-4804-L
CITDV
Citibank, N.A.
61,171
7/20/2017
7/9/2018
GA
Cliquet
MCI
100M
100M02254
2017-4808-L
DBDV
Deutsche Bank AG
43,097
7/20/2017
7/18/2018
GA
Basket
Envoy Cap
10EC
10EC02193
2017-4806-L
CITDV
Citibank, N.A.
19,936
7/20/2017
7/19/2018
GA
Digital
Trigger
10PT
10PT00800
2017-4802-L
GSIDV
Goldman Sachs International
46,722
7/20/2017
7/19/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01075
2017-3676-S
GSIDV
Goldman Sachs International
23,000
7/19/2017
7/17/2018
GA
Call Spread
Secure
100C
100C03572
2017-4810-L
CITDV
Citibank, N.A.
394,678
7/21/2017
7/20/2018
GA
Asian
Spread 1
100S
100S03459
2017-4812-L
CITDV
Citibank, N.A.
70,430
7/21/2017
7/19/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01076
2017-3677-S
BNPDV
BNP Paribas
14,500
7/20/2017
7/19/2018
GA
Cliquet
MCI
100M
100M02255
2017-4815-L
MSIDV
Morgan Stanley & Co International, PLC
96,211
7/21/2017
7/14/2018
GA
Call Spread
Secure
100C
100C03573
2017-4818-L
CITDV
Citibank, N.A.
290,564
7/24/2017
7/18/2018
GA
Asian
Spread 1
100S
100S03460
2017-4820-L
CITDV
Citibank, N.A.
29,232
7/24/2017
7/19/2018
GA
Cliquet
MCI
100M
100M02256
2017-4833-L
CITDV
Citibank, N.A.
53,332
7/24/2017
7/21/2018
GA
Basket
Envoy Cap
10EC
10EC02194
2017-4825-L
CITDV
Citibank, N.A.
30,894
7/24/2017
7/21/2018
GA
Digital
Trigger
10PT
10PT00801
2017-4814-L
NATDV
NATIXIS SA
38,726
7/21/2017
7/14/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01077
2017-3678-S
BNPDV
BNP Paribas
16,600
7/21/2017
7/20/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00235
2017-4813-L
DBDV
Deutsche Bank AG
24,895
7/21/2017
7/17/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00025-1
2017-4823-L
CITDV
Citibank, N.A.
5,512
7/24/2017
7/19/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00025-2
2017-4828-L
CITDV
Citibank, N.A.
4,848
7/24/2017
7/19/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00025-4
2017-4830-L
CITDV
Citibank, N.A.
4,014
7/24/2017
7/19/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00025-5
2017-4831-L
CITDV
Citibank, N.A.
3,691
7/24/2017
7/19/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00025-6
2017-4834-L
CITDV
Citibank, N.A.
3,404
7/24/2017
7/19/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00025-7
2017-4835-L
CITDV
Citibank, N.A.
19,084
7/24/2017
7/19/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00025-3
2017-4829-L
CITDV
Citibank, N.A.
4,389
7/24/2017
7/17/2020
GA
Call Spread
Secure
100C
100C03574
2017-4843-L
HSBDV
HSBC Bank USA, National Association
766,326
7/25/2017
7/20/2018
GA
Asian
Spread 1
100S
100S03461
2017-4845-L
HSBDV
HSBC Bank USA, National Association
64,323
7/25/2017
7/23/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00802
2017-4840-L
CSBDV
Credit Suisse International
102,970
7/25/2017
7/22/2018
GA
Cliquet
MCI
100M
100M02257
2017-4846-L
UBSDV
UBS AG
183,993
7/25/2017
7/23/2018
GA
Basket
Envoy Cap
10EC
10EC02195
2017-4841-L
NATDV
NATIXIS SA
49,113
7/25/2017
7/23/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01078
2017-3692-S
GSIDV
Goldman Sachs International
94,000
7/25/2017
7/20/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00236
2017-4839-L
DBDV
Deutsche Bank AG
28,667
7/25/2017
7/19/2018
GA
Call Spread
Secure
100C
100C03575
2017-4850-L
HSBDV
HSBC Bank USA, National Association
391,992
7/26/2017
7/25/2018
GA
Asian
Spread 1
100S
100S03462
2017-4852-L
HSBDV
HSBC Bank USA, National Association
21,262
7/26/2017
7/18/2018
GA
Digital
Trigger
10PT
10PT00803
2017-4869-L
GSIDV
Goldman Sachs International
24,014
7/26/2017
7/25/2018
GA
Cliquet
MCI
100M
100M02258
2017-4872-L
DBDV
Deutsche Bank AG
74,329
7/26/2017
7/25/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00015-2
2017-4866-L
JPMDV
JPMORGAN CHASE BANK, N.A.
17,707
7/26/2017
7/19/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00015-5
2017-4870-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,528
7/26/2017
7/19/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00015-6
2017-4871-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,536
7/26/2017
7/19/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00015-7
2017-4873-L
JPMDV
JPMORGAN CHASE BANK, N.A.
76,964
7/26/2017
7/19/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00015-3
2017-4867-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,072
7/26/2017
7/17/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00026-2
2017-4875-L
CITDV
Citibank, N.A.
9,988
7/26/2017
7/23/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00026-3
2017-4876-L
CITDV
Citibank, N.A.
9,023
7/26/2017
7/23/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00026-7
2017-4880-L
CITDV
Citibank, N.A.
39,127
7/26/2017
7/23/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00026-5
2017-4878-L
CITDV
Citibank, N.A.
7,571
7/26/2017
7/22/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00026-6
2017-4879-L
CITDV
Citibank, N.A.
6,974
7/26/2017
7/21/2023
GA
Asian
Spread 1
100S
100S03463
2017-4882-L
HSBDV
HSBC Bank USA, National Association
11,071
7/27/2017
7/25/2018
GA
Digital
Trigger
10PT
10PT00804
2017-4881-L
CSBDV
Credit Suisse International
23,731
7/27/2017
7/26/2018
GA
Cliquet
MCI
100M
100M02259
2017-4888-L
UBSDV
UBS AG
55,095
7/27/2017
7/26/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00237
2017-4847-L
DBDV
Deutsche Bank AG
19,557
7/26/2017
7/25/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01079
2017-3693-S
BNPDV
BNP Paribas
21,600
7/26/2017
7/24/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00026-4
2017-4877-L
CITDV
Citibank, N.A.
8,242
7/26/2017
7/23/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00015-4
2017-4868-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,727
7/26/2017
7/19/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00015-1
2017-4865-L
JPMDV
JPMORGAN CHASE BANK, N.A.
20,069
7/26/2017
7/19/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00026-1
2017-4874-L
CITDV
Citibank, N.A.
11,390
7/26/2017
7/23/2018
GA
Digital
Trigger
10PT
10PT00805
2017-4890-L
HSBDV
HSBC Bank USA, National Association
49,648
7/28/2017
7/22/2018
GA
Asian
Spread 1
100S
100S03464
2017-4895-L
HSBDV
HSBC Bank USA, National Association
55,412
7/28/2017
7/28/2018
GA
Cliquet
MCI
100M
100M02260
2017-4896-L
UBSDV
UBS AG
77,081
7/28/2017
7/27/2018
GA
Call Spread
Secure
100C
100C03576
2017-4883-L
HSBDV
HSBC Bank USA, National Association
216,214
7/27/2017
7/26/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call Spread
Secure
100C
100C03577
2017-4893-L
HSBDV
HSBC Bank USA, National Association
397,520
7/28/2017
7/28/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00238
2017-4889-L
DBDV
Deutsche Bank AG
14,216
7/28/2017
7/26/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01080
2017-3699-S
BNPDV
BNP Paribas
32,800
7/28/2017
7/25/2018
GA
Call Spread
Secure
100C
100C03578
2017-4901-L
HSBDV
HSBC Bank USA, National Association
375,352
7/31/2017
7/27/2018
GA
Asian
Spread 1
100S
100S03465
2017-4903-L
HSBDV
HSBC Bank USA, National Association
45,783
7/31/2017
7/27/2018
GA
Call
Secure Par
100P
100P00774
2017-4904-L
HSBDV
HSBC Bank USA, National Association
50,984
7/31/2017
7/26/2018
GA
Basket
Envoy Cap
10EC
10EC02196
2017-4905-L
NATDV
NATIXIS SA
36,907
7/31/2017
7/27/2018
GA
Cliquet
MCI
100M
100M02261
2017-4914-L
GSIDV
Goldman Sachs International
97,360
7/31/2017
7/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00027-1
2017-4909-L
CITDV
Citibank, N.A.
4,144
7/31/2017
7/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00027-3
2017-4911-L
CITDV
Citibank, N.A.
3,315
7/31/2017
7/27/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00027-4
2017-4912-L
CITDV
Citibank, N.A.
3,035
7/31/2017
7/27/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00027-5
2017-4913-L
CITDV
Citibank, N.A.
2,792
7/31/2017
7/27/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00027-6
2017-4915-L
CITDV
Citibank, N.A.
2,575
7/31/2017
7/27/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00027-2
2017-4910-L
CITDV
Citibank, N.A.
3,658
7/31/2017
7/26/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00027-7
2017-4916-L
CITDV
Citibank, N.A.
14,437
7/31/2017
7/26/2024
GA
Call Spread
Secure
100C
100C03579
2017-4921-L
HSBDV
HSBC Bank USA, National Association
1,013,827
8/1/2017
7/30/2018
GA
Asian
Spread 1
100S
100S03466
2017-4925-L
HSBDV
HSBC Bank USA, National Association
74,314
8/1/2017
7/30/2018
GA
Asian Call Spread
Regency
110R
110R01090
2017-4929-L
HSBDV
HSBC Bank USA, National Association
26,466
8/1/2017
7/24/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00239
2017-4908-L
DBDV
Deutsche Bank AG
15,893
7/31/2017
7/23/2018
GA
Cliquet
MCI
100M
100M02262
2017-4924-L
GSIDV
Goldman Sachs International
142,622
8/1/2017
7/29/2018
GA
Basket
Envoy Cap
10EC
10EC02197
2017-4926-L
BARDV
Barclays Bank, PLC
48,683
8/1/2017
7/28/2018
GA
Digital
Trigger
10PT
10PT00806
2017-4927-L
NATDV
NATIXIS SA
115,899
8/1/2017
7/30/2018
GA
Call Spread
Secure
100C
100C03580
2017-4932-L
WCHDV
Wells Fargo Bank, N. A.
299,372
8/2/2017
8/1/2018
GA
Asian
Spread 1
100S
100S03467
2017-4935-L
WCHDV
Wells Fargo Bank, N. A.
35,803
8/2/2017
8/1/2018
GA
Digital
Trigger
10PT
10PT00807
2017-4934-L
HSBDV
HSBC Bank USA, National Association
41,098
8/2/2017
8/2/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00240
2017-4920-L
DBDV
Deutsche Bank AG
19,918
8/1/2017
7/29/2018
GA
Cliquet
MCI
100M
100M02263
2017-4938-L
DBDV
Deutsche Bank AG
68,631
8/2/2017
8/1/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01081
2017-3714-S
GSIDV
Goldman Sachs International
93,000
8/1/2017
7/27/2018
GA
Call Spread
Secure
100C
100C03581
2017-4952-L
HSBDV
HSBC Bank USA, National Association
298,177
8/3/2017
8/2/2018
GA
Asian
Spread 1
100S
100S03468
2017-4950-L
HSBDV
HSBC Bank USA, National Association
9,828
8/3/2017
7/31/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00241
2017-4931-L
DBDV
Deutsche Bank AG
13,309
8/2/2017
7/22/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01083
2017-3717-S
WCHDV
Wells Fargo Bank, N. A.
14,900
8/3/2017
8/1/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01082
2017-3715-S
GSIDV
Goldman Sachs International
19,000
8/2/2017
7/30/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00242
2017-4946-L
DBDV
Deutsche Bank AG
17,877
8/3/2017
8/2/2018
GA
Cliquet
MCI
100M
100M02264
2017-4966-L
UBSDV
UBS AG
43,612
8/3/2017
8/2/2018
GA
Digital
Trigger
10PT
10PT00808
2017-4949-L
HSBDV
HSBC Bank USA, National Association
20,710
8/3/2017
8/1/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00016-1
2017-4948-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,241
8/3/2017
7/27/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00016-3
2017-4953-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,423
8/3/2017
7/27/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00016-4
2017-4955-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,482
8/3/2017
7/27/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00016-6
2017-4957-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,944
8/3/2017
7/27/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00016-2
2017-4951-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,579
8/3/2017
7/26/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00016-5
2017-4956-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,642
8/3/2017
7/27/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00016-7
2017-4958-L
JPMDV
JPMORGAN CHASE BANK, N.A.
54,934
8/3/2017
7/26/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00028-1
2017-4959-L
CITDV
Citibank, N.A.
5,827
8/3/2017
7/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00028-3
2017-4961-L
CITDV
Citibank, N.A.
4,606
8/3/2017
7/27/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00028-4
2017-4962-L
CITDV
Citibank, N.A.
4,209
8/3/2017
7/27/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00028-5
2017-4963-L
CITDV
Citibank, N.A.
3,867
8/3/2017
7/27/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00028-6
2017-4964-L
CITDV
Citibank, N.A.
3,564
8/3/2017
7/27/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00028-2
2017-4960-L
CITDV
Citibank, N.A.
5,101
8/3/2017
7/26/2019
GA
Call Spread
Secure
100C
100C03582
2017-4967-L
HSBDV
HSBC Bank USA, National Association
442,903
8/4/2017
8/3/2018
GA
Asian
Spread 1
100S
100S03469
2017-4968-L
HSBDV
HSBC Bank USA, National Association
71,527
8/4/2017
8/3/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00029-1
2017-4972-L
CITDV
Citibank, N.A.
4,503
8/4/2017
7/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00029-3
2017-4975-L
CITDV
Citibank, N.A.
3,546
8/4/2017
7/27/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00029-4
2017-4976-L
CITDV
Citibank, N.A.
3,237
8/4/2017
7/27/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00029-5
2017-4977-L
CITDV
Citibank, N.A.
2,973
8/4/2017
7/27/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00029-6
2017-4978-L
CITDV
Citibank, N.A.
2,739
8/4/2017
7/27/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00029-7
2017-4979-L
CITDV
Citibank, N.A.
15,328
8/4/2017
7/26/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00029-2
2017-4974-L
CITDV
Citibank, N.A.
3,931
8/4/2017
7/26/2019
GA
Cliquet
MCI
100M
100M02265
2017-4970-L
MSIDV
Morgan Stanley & Co International, PLC
57,182
8/4/2017
8/3/2018
GA
Basket
Envoy Cap
10EC
10EC02198
2017-4971-L
NATDV
NATIXIS SA
33,510
8/4/2017
8/2/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00028-7
2017-4965-L
CITDV
Citibank, N.A.
19,975
8/3/2017
7/26/2024
GA
Call Spread
Secure
100C
100C03583
2017-4984-L
GSIDV
Goldman Sachs International
359,023
8/7/2017
8/3/2018
GA
Call
Secure Par
100P
100P00775
2017-4987-L
GSIDV
Goldman Sachs International
51,672
8/7/2017
8/1/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian
Spread 1
100S
100S03470
2017-4983-L
GSIDV
Goldman Sachs International
19,110
8/7/2017
8/4/2018
GA
Digital
Trigger
10PT
10PT00809
2017-4989-L
GSIDV
Goldman Sachs International
32,177
8/7/2017
8/7/2018
GA
Cliquet
MCI
100M
100M02266
2017-4990-L
UBSDV
UBS AG
80,634
8/7/2017
8/4/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01084
2017-3719-S
SGDV
Societe Generale
25,900
8/4/2017
8/3/2018
GA
Call Spread
Secure
100C
100C03584
2017-4992-L
GSIDV
Goldman Sachs International
861,008
8/8/2017
8/3/2018
GA
Asian
Spread 1
100S
100S03471
2017-4994-L
GSIDV
Goldman Sachs International
79,572
8/8/2017
8/6/2018
GA
Digital
Trigger
10PT
10PT00810
2017-4995-L
CSBDV
Credit Suisse International
73,292
8/8/2017
8/6/2018
GA
Cliquet
MCI
100M
100M02267
2017-4997-L
CSBDV
Credit Suisse International
158,278
8/8/2017
8/6/2018
GA
Basket
Envoy Cap
10EC
10EC02199
2017-4996-L
GSIDV
Goldman Sachs International
45,296
8/8/2017
8/5/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00243
2017-4980-L
DBDV
Deutsche Bank AG
17,000
8/7/2017
8/8/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00030-1
2017-4999-L
CITDV
Citibank, N.A.
6,446
8/8/2017
8/2/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00030-2
2017-5000-L
CITDV
Citibank, N.A.
5,624
8/8/2017
8/2/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00030-4
2017-5002-L
CITDV
Citibank, N.A.
4,629
8/8/2017
8/2/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00030-5
2017-5003-L
CITDV
Citibank, N.A.
4,250
8/8/2017
8/2/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00030-6
2017-5004-L
CITDV
Citibank, N.A.
3,915
8/8/2017
8/2/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00030-7
2017-5005-L
CITDV
Citibank, N.A.
21,964
8/8/2017
8/2/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00030-3
2017-5001-L
CITDV
Citibank, N.A.
5,073
8/8/2017
7/31/2020
GA
Call Spread
Secure
100C
100C03585
2017-5009-L
GSIDV
Goldman Sachs International
307,262
8/9/2017
8/7/2018
GA
Asian
Spread 1
100S
100S03472
2017-5008-L
GSIDV
Goldman Sachs International
15,376
8/9/2017
8/7/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00244
2017-4991-L
DBDV
Deutsche Bank AG
17,813
8/8/2017
8/5/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01086
2017-3739-S
SGDV
Societe Generale
30,300
8/9/2017
8/7/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01085
2017-3737-S
GSIDV
Goldman Sachs International
68,000
8/8/2017
8/3/2018
GA
Digital
Trigger
10PT
10PT00811
2017-5011-L
GSIDV
Goldman Sachs International
46,224
8/9/2017
8/6/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00031-1
2017-5012-L
CITDV
Citibank, N.A.
9,450
8/9/2017
8/6/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00031-2
2017-5013-L
CITDV
Citibank, N.A.
8,314
8/9/2017
8/6/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00031-3
2017-5014-L
CITDV
Citibank, N.A.
7,528
8/9/2017
8/6/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00031-4
2017-5015-L
CITDV
Citibank, N.A.
6,890
8/9/2017
8/6/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00031-7
2017-5019-L
CITDV
Citibank, N.A.
32,832
8/9/2017
8/6/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00031-5
2017-5016-L
CITDV
Citibank, N.A.
6,340
8/9/2017
8/5/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00031-6
2017-5018-L
CITDV
Citibank, N.A.
5,849
8/9/2017
8/4/2023
GA
Cliquet
MCI
100M
100M02268
2017-5020-L
CITDV
Citibank, N.A.
59,593
8/9/2017
8/8/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00245
2017-5017-L
DBDV
Deutsche Bank AG
22,894
8/9/2017
8/3/2018
GA
Call Spread
Secure
100C
100C03586
2017-5026-L
HSBDV
HSBC Bank USA, National Association
251,154
8/10/2017
8/9/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian
Spread 1
100S
100S03473
2017-5027-L
HSBDV
HSBC Bank USA, National Association
15,576
8/10/2017
8/9/2018
GA
Cliquet
MCI
100M
100M02269
2017-5028-L
CSBDV
Credit Suisse International
52,240
8/10/2017
8/9/2018
GA
Digital
Trigger
10PT
10PT00812
2017-5036-L
CSBDV
Credit Suisse International
31,453
8/11/2017
8/10/2018
GA
Call Spread
Secure
100C
100C03587
2017-5044-L
GSIDV
Goldman Sachs International
326,298
8/11/2017
8/10/2018
GA
Asian
Spread 1
100S
100S03474
2017-5041-L
GSIDV
Goldman Sachs International
39,182
8/11/2017
8/9/2018
GA
Cliquet
MCI
100M
100M02270
2017-5047-L
MSIDV
Morgan Stanley & Co International, PLC
59,289
8/11/2017
8/9/2018
GA
Basket
Envoy Cap
10EC
10EC02200
2017-5042-L
GSIDV
Goldman Sachs International
25,965
8/11/2017
8/11/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00032-1
2017-5030-L
CITDV
Citibank, N.A.
5,396
8/11/2017
8/8/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00032-5
2017-5035-L
CITDV
Citibank, N.A.
3,723
8/11/2017
8/8/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00032-6
2017-5037-L
CITDV
Citibank, N.A.
3,444
8/11/2017
8/8/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00032-7
2017-5038-L
CITDV
Citibank, N.A.
19,323
8/11/2017
8/8/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00032-3
2017-5032-L
CITDV
Citibank, N.A.
4,389
8/11/2017
8/7/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00032-4
2017-5033-L
CITDV
Citibank, N.A.
4,035
8/11/2017
8/6/2021
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00246
2017-5034-L
DBDV
Deutsche Bank AG
17,813
8/11/2017
8/10/2018
GA
Call Spread
Secure
100C
100C03588
2017-5055-L
CITDV
Citibank, N.A.
389,268
8/14/2017
8/10/2018
GA
Asian
Spread 1
100S
100S03475
2017-5050-L
CITDV
Citibank, N.A.
78,198
8/14/2017
8/11/2018
GA
Asian Call Spread
Regency
110R
110R01091
2017-5048-L
CITDV
Citibank, N.A.
26,560
8/14/2017
8/6/2018
GA
Cliquet
MCI
100M
100M02271
2017-5060-L
CSBDV
Credit Suisse International
62,715
8/14/2017
8/11/2018
GA
Basket
Envoy Cap
10EC
10EC02201
2017-5062-L
NATDV
NATIXIS SA
20,569
8/14/2017
8/11/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00033-3
2017-5054-L
CITDV
Citibank, N.A.
5,315
8/14/2017
8/11/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00033-4
2017-5056-L
CITDV
Citibank, N.A.
4,840
8/14/2017
8/11/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00033-5
2017-5057-L
CITDV
Citibank, N.A.
4,436
8/14/2017
8/11/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00033-6
2017-5059-L
CITDV
Citibank, N.A.
4,082
8/14/2017
8/11/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00033-1
2017-5051-L
CITDV
Citibank, N.A.
6,849
8/14/2017
8/10/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00033-2
2017-5053-L
CITDV
Citibank, N.A.
5,923
8/14/2017
8/9/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00033-7
2017-5061-L
CITDV
Citibank, N.A.
22,901
8/14/2017
8/9/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00032-2
2017-5031-L
CITDV
Citibank, N.A.
4,814
8/11/2017
8/8/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01087
2017-3741-S
SGDV
Societe Generale
32,600
8/10/2017
8/9/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01088
2017-3758-S
SGDV
Societe Generale
31,100
8/14/2017
8/10/2018
GA
Call Spread
Secure
100C
100C03589
2017-5067-L
HSBDV
HSBC Bank USA, National Association
986,444
8/15/2017
8/13/2018
GA
Asian
Spread 1
100S
100S03476
2017-5070-L
HSBDV
HSBC Bank USA, National Association
140,466
8/15/2017
8/13/2018
GA
Call
Secure Par
100P
100P00776
2017-5069-L
HSBDV
HSBC Bank USA, National Association
63,605
8/15/2017
8/8/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01089
2017-3759-S
GSIDV
Goldman Sachs International
69,500
8/15/2017
8/10/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00813
2017-5085-L
HSBDV
HSBC Bank USA, National Association
156,932
8/15/2017
8/13/2018
GA
Basket
Envoy Cap
10EC
10EC02202
2017-5087-L
BARDV
Barclays Bank, PLC
40,575
8/15/2017
8/13/2018
GA
Cliquet
MCI
100M
100M02272
2017-5086-L
UBSDV
UBS AG
214,376
8/15/2017
8/13/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00017-1
2017-5077-L
JPMDV
JPMORGAN CHASE BANK, N.A.
18,975
8/15/2017
8/6/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00017-2
2017-5079-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,833
8/15/2017
8/6/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00017-3
2017-5080-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,328
8/15/2017
8/6/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00017-4
2017-5081-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,089
8/15/2017
8/6/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00017-7
2017-5084-L
JPMDV
JPMORGAN CHASE BANK, N.A.
73,683
8/15/2017
8/6/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00017-5
2017-5082-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,009
8/15/2017
8/5/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00017-6
2017-5083-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,055
8/15/2017
8/4/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00034-2
2017-5072-L
CITDV
Citibank, N.A.
3,992
8/15/2017
8/12/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00034-3
2017-5073-L
CITDV
Citibank, N.A.
3,607
8/15/2017
8/12/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00034-4
2017-5074-L
CITDV
Citibank, N.A.
3,297
8/15/2017
8/12/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00034-5
2017-5075-L
CITDV
Citibank, N.A.
3,031
8/15/2017
8/12/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00034-7
2017-5078-L
CITDV
Citibank, N.A.
15,672
8/15/2017
8/12/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00034-1
2017-5071-L
CITDV
Citibank, N.A.
4,560
8/15/2017
8/10/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00034-6
2017-5076-L
CITDV
Citibank, N.A.
2,794
8/15/2017
8/11/2023
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00247
2017-5064-L
DBDV
Deutsche Bank AG
25,561
8/15/2017
8/12/2018
GA
Call Spread
Secure
100C
100C03590
2017-5093-L
NATDV
NATIXIS SA
349,221
8/16/2017
8/15/2018
GA
Asian
Spread 1
100S
100S03477
2017-5092-L
NATDV
NATIXIS SA
29,489
8/16/2017
8/14/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01090
2017-3760-S
BNPDV
BNP Paribas
23,900
8/16/2017
8/14/2018
GA
Cliquet
MCI
100M
100M02273
2017-5095-L
GSIDV
Goldman Sachs International
69,809
8/16/2017
8/16/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00248
2017-5091-L
DBDV
Deutsche Bank AG
21,694
8/16/2017
8/14/2018
GA
Digital
Trigger
10PT
10PT00814
2017-5096-L
HSBDV
HSBC Bank USA, National Association
44,087
8/17/2017
8/15/2018
GA
Call Spread
Secure
100C
100C03591
2017-5098-L
HSBDV
HSBC Bank USA, National Association
267,526
8/17/2017
8/17/2018
GA
Asian
Spread 1
100S
100S03478
2017-5097-L
HSBDV
HSBC Bank USA, National Association
10,314
8/17/2017
8/15/2018
GA
Cliquet
MCI
100M
100M02274
2017-5100-L
CSBDV
Credit Suisse International
56,092
8/17/2017
8/14/2018
GA
Call Spread
Secure
100C
100C03592
2017-5110-L
CSBDV
Credit Suisse International
342,157
8/18/2017
8/17/2018
GA
Asian
Spread 1
100S
100S03479
2017-5109-L
CSBDV
Credit Suisse International
23,870
8/18/2017
8/16/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01091
2017-3761-S
BNPDV
BNP Paribas
15,500
8/17/2017
8/15/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00035-1
2017-5101-L
CITDV
Citibank, N.A.
4,807
8/18/2017
8/14/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00035-2
2017-5103-L
CITDV
Citibank, N.A.
4,327
8/18/2017
8/14/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00035-3
2017-5104-L
CITDV
Citibank, N.A.
3,960
8/18/2017
8/14/2020
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00035-6
2017-5107-L
CITDV
Citibank, N.A.
3,126
8/18/2017
8/14/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00035-7
2017-5108-L
CITDV
Citibank, N.A.
17,539
8/18/2017
8/14/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00035-4
2017-5105-L
CITDV
Citibank, N.A.
3,651
8/18/2017
8/13/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00035-5
2017-5106-L
CITDV
Citibank, N.A.
3,376
8/18/2017
8/12/2022
GA
Cliquet
MCI
100M
100M02275
2017-5112-L
GSIDV
Goldman Sachs International
62,510
8/18/2017
8/17/2018
GA
Call Spread
Secure
100C
100C03593
2017-5150-L
CITDV
Citibank, N.A.
341,796
8/21/2017
8/17/2018
GA
Asian
Spread 1
100S
100S03480
2017-5149-L
CITDV
Citibank, N.A.
33,826
8/21/2017
8/16/2018
GA
Digital
Trigger
10PT
10PT00815
2017-5145-L
GSIDV
Goldman Sachs International
39,127
8/21/2017
8/16/2018
GA
Basket
Envoy Cap
10EC
10EC02203
2017-5151-L
NATDV
NATIXIS SA
42,810
8/21/2017
8/17/2018
GA
Cliquet
MCI
100M
100M02276
2017-5148-L
CSBDV
Credit Suisse International
90,032
8/21/2017
8/18/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00249
2017-5102-L
DBDV
Deutsche Bank AG
14,468
8/18/2017
8/21/2018
GA
Call Spread
Secure
100C
100C03594
2017-5158-L
HSBDV
HSBC Bank USA, National Association
926,162
8/22/2017
8/20/2018
GA
Asian
Spread 1
100S
100S03481
2017-5160-L
HSBDV
HSBC Bank USA, National Association
109,116
8/22/2017
8/24/2018
GA
Digital
Trigger
10PT
10PT00816
2017-5161-L
CSBDV
Credit Suisse International
111,685
8/22/2017
8/20/2018
GA
Cliquet
MCI
100M
100M02277
2017-5165-L
DBDV
Deutsche Bank AG
160,759
8/22/2017
8/20/2018
GA
Basket
Envoy Cap
10EC
10EC02204
2017-5162-L
GSIDV
Goldman Sachs International
34,939
8/22/2017
8/20/2018
GA
Call Spread
Secure
100C
100C03595
2017-5176-L
CITDV
Citibank, N.A.
405,649
8/23/2017
8/23/2018
GA
Asian
Spread 1
100S
100S03482
2017-5175-L
CITDV
Citibank, N.A.
36,397
8/23/2017
8/22/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01093
2017-3779-S
BNPDV
BNP Paribas
27,600
8/23/2017
8/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00036-1
2017-5167-L
CITDV
Citibank, N.A.
6,008
8/23/2017
8/20/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00036-2
2017-5168-L
CITDV
Citibank, N.A.
5,265
8/23/2017
8/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00036-3
2017-5169-L
CITDV
Citibank, N.A.
4,760
8/23/2017
8/20/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00036-4
2017-5170-L
CITDV
Citibank, N.A.
4,354
8/23/2017
8/20/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00036-7
2017-5173-L
CITDV
Citibank, N.A.
20,743
8/23/2017
8/20/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00036-5
2017-5171-L
CITDV
Citibank, N.A.
4,007
8/23/2017
8/19/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00036-6
2017-5172-L
CITDV
Citibank, N.A.
3,697
8/23/2017
8/18/2023
GA
Digital
Trigger
10PT
10PT00817
2017-5174-L
HSBDV
HSBC Bank USA, National Association
54,103
8/23/2017
8/21/2018
GA
Cliquet
MCI
100M
100M02278
2017-5178-L
DBDV
Deutsche Bank AG
68,507
8/23/2017
8/22/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01092
2017-3778-S
NATDV
NATIXIS SA
97,000
8/22/2017
8/17/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00251
2017-5166-L
DBDV
Deutsche Bank AG
40,148
8/23/2017
8/21/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00250
2017-5157-L
DBDV
Deutsche Bank AG
38,165
8/22/2017
8/24/2018
GA
Call Spread
Secure
100C
100C03596
2017-5181-L
NATDV
NATIXIS SA
174,583
8/24/2017
8/29/2018
GA
Asian
Spread 1
100S
100S03483
2017-5184-L
NATDV
NATIXIS SA
15,768
8/24/2017
8/20/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call
Secure Par
100P
100P00777
2017-5183-L
NATDV
NATIXIS SA
49,372
8/24/2017
8/17/2018
GA
Basket
Envoy Cap
10EC
10EC02205
2017-5185-L
NATDV
NATIXIS SA
19,700
8/24/2017
8/23/2018
GA
Cliquet
MCI
100M
100M02279
2017-5186-L
CSBDV
Credit Suisse International
61,262
8/24/2017
8/23/2018
GA
Digital
Trigger
10PT
10PT00818
2017-5204-L
NATDV
NATIXIS SA
44,509
8/25/2017
8/30/2018
GA
Call Spread
Secure
100C
100C03597
2017-5197-L
CITDV
Citibank, N.A.
410,005
8/25/2017
8/21/2018
GA
Asian
Spread 1
100S
100S03484
2017-5199-L
CITDV
Citibank, N.A.
70,107
8/25/2017
8/23/2018
GA
Cliquet
MCI
100M
100M02280
2017-5210-L
MSIDV
Morgan Stanley & Co International, PLC
56,253
8/25/2017
8/21/2018
GA
Basket
Envoy Cap
10EC
10EC02206
2017-5208-L
BARDV
Barclays Bank, PLC
32,421
8/25/2017
8/24/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00018-1
2017-5200-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,399
8/25/2017
8/17/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00018-3
2017-5202-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,283
8/25/2017
8/17/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00018-4
2017-5203-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,266
8/25/2017
8/17/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00018-5
2017-5205-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,391
8/25/2017
8/17/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00018-6
2017-5206-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,616
8/25/2017
8/17/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00018-2
2017-5201-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,547
8/25/2017
8/16/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00018-7
2017-5207-L
JPMDV
JPMORGAN CHASE BANK, N.A.
59,360
8/25/2017
8/16/2024
GA
Digital
Trigger
10PT
10PT00819
2017-5234-L
CSBDV
Credit Suisse International
43,097
8/28/2017
8/24/2018
GA
Call Spread
Secure
100C
100C03598
2017-5224-L
HSBDV
HSBC Bank USA, National Association
408,393
8/28/2017
8/16/2018
GA
Asian
Spread 1
100S
100S03485
2017-5226-L
HSBDV
HSBC Bank USA, National Association
34,147
8/28/2017
8/25/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00037-1
2017-5227-L
CITDV
Citibank, N.A.
4,191
8/28/2017
8/20/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00037-2
2017-5228-L
CITDV
Citibank, N.A.
3,695
8/28/2017
8/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00037-3
2017-5229-L
CITDV
Citibank, N.A.
3,351
8/28/2017
8/20/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00037-4
2017-5230-L
CITDV
Citibank, N.A.
3,071
8/28/2017
8/20/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00037-7
2017-5233-L
CITDV
Citibank, N.A.
14,651
8/28/2017
8/20/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00037-5
2017-5231-L
CITDV
Citibank, N.A.
2,830
8/28/2017
8/19/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00037-6
2017-5232-L
CITDV
Citibank, N.A.
2,614
8/28/2017
8/18/2023
GA
Cliquet
MCI
100M
100M02281
2017-5235-L
UBSDV
UBS AG
55,119
8/28/2017
8/24/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01095
2017-3781-S
SGDV
Societe Generale
16,000
8/25/2017
8/24/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01094
2017-3780-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
25,000
8/24/2017
8/22/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00252
2017-5189-L
DBDV
Deutsche Bank AG
21,728
8/25/2017
8/22/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00253
2017-5214-L
DBDV
Deutsche Bank AG
31,442
8/28/2017
8/23/2018
GA
Call Spread
Secure
100C
100C03599
2017-5249-L
HSBDV
HSBC Bank USA, National Association
950,490
8/29/2017
8/27/2018
GA
Cliquet
MCI
100M
100M02282
2017-5253-L
DBDV
Deutsche Bank AG
169,831
8/29/2017
8/27/2018
GA
Asian
Spread 1
100S
100S03486
2017-5248-L
HSBDV
HSBC Bank USA, National Association
224,790
8/29/2017
8/27/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian Call Spread
Regency
110R
110R01092
2017-5244-L
HSBDV
HSBC Bank USA, National Association
32,431
8/29/2017
8/20/2018
GA
Basket
Envoy Cap
10EC
10EC02207
2017-5251-L
BARDV
Barclays Bank, PLC
54,863
8/29/2017
8/26/2018
GA
Digital
Trigger
10PT
10PT00820
2017-5247-L
CSBDV
Credit Suisse International
187,495
8/29/2017
8/27/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00254
2017-5241-L
DBDV
Deutsche Bank AG
24,583
8/29/2017
8/26/2018
GA
Call Spread
Secure
100C
100C03600
2017-5256-L
HSBDV
HSBC Bank USA, National Association
366,344
8/30/2017
8/28/2018
GA
Asian
Spread 1
100S
100S03487
2017-5258-L
HSBDV
HSBC Bank USA, National Association
33,663
8/30/2017
8/28/2018
GA
Digital
Trigger
10PT
10PT00821
2017-5259-L
HSBDV
HSBC Bank USA, National Association
69,945
8/30/2017
8/28/2018
GA
Cliquet
MCI
100M
100M02283
2017-5260-L
UBSDV
UBS AG
97,331
8/30/2017
8/29/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01096
2017-3797-S
SGDV
Societe Generale
64,700
8/29/2017
8/24/2018
GA
Call Spread
Secure
100C
100C03601
2017-5261-L
NATDV
NATIXIS SA
252,584
8/31/2017
8/31/2018
GA
Asian
Spread 1
100S
100S03488
2017-5263-L
NATDV
NATIXIS SA
52,816
8/31/2017
8/31/2018
GA
Digital
Trigger
10PT
10PT00822
2017-5271-L
NATDV
NATIXIS SA
24,041
8/31/2017
8/28/2018
GA
Cliquet
MCI
100M
100M02284
2017-5272-L
GSIDV
Goldman Sachs International
45,076
8/31/2017
8/30/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00255
2017-5254-L
DBDV
Deutsche Bank AG
39,687
8/30/2017
8/29/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01097
2017-3798-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
30,000
8/30/2017
8/28/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01098
2017-3800-S
GSIDV
Goldman Sachs International
17,000
8/31/2017
8/29/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00019-1
2017-5273-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,560
8/31/2017
8/22/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00019-5
2017-5277-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,817
8/31/2017
8/22/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00019-6
2017-5278-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,113
8/31/2017
8/22/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00019-7
2017-5279-L
JPMDV
JPMORGAN CHASE BANK, N.A.
56,666
8/31/2017
8/22/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00019-3
2017-5275-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,612
8/31/2017
8/21/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00019-4
2017-5276-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,664
8/31/2017
8/20/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00038-3
2017-5266-L
CITDV
Citibank, N.A.
5,193
8/31/2017
9/1/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00038-4
2017-5267-L
CITDV
Citibank, N.A.
4,733
8/31/2017
9/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00038-5
2017-5268-L
CITDV
Citibank, N.A.
4,342
8/31/2017
9/1/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00038-6
2017-5269-L
CITDV
Citibank, N.A.
3,999
8/31/2017
9/1/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00038-7
2017-5270-L
CITDV
Citibank, N.A.
22,448
8/31/2017
8/30/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00038-1
2017-5264-L
CITDV
Citibank, N.A.
6,682
8/31/2017
8/31/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00038-2
2017-5265-L
CITDV
Citibank, N.A.
5,783
8/31/2017
8/30/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00019-2
2017-5274-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,793
8/31/2017
8/22/2019
GA
Call Spread
Secure
100C
100C03602
2017-5282-L
CITDV
Citibank, N.A.
442,161
9/1/2017
8/31/2018
GA
Call
Secure Par
100P
100P00778
2017-5283-L
CITDV
Citibank, N.A.
57,100
9/1/2017
8/23/2018
GA
Asian
Spread 1
100S
100S03489
2017-5285-L
CITDV
Citibank, N.A.
101,325
9/1/2017
8/31/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00823
2017-5287-L
GSIDV
Goldman Sachs International
39,301
9/1/2017
8/29/2018
GA
Basket
Envoy Cap
10EC
10EC02208
2017-5291-L
BARDV
Barclays Bank, PLC
52,150
9/1/2017
8/31/2018
GA
Cliquet
MCI
100M
100M02285
2017-5288-L
GSIDV
Goldman Sachs International
60,798
9/1/2017
9/1/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00256
2017-5286-L
DBDV
Deutsche Bank AG
25,594
9/1/2017
8/31/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01099
2017-3818-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
11,700
9/5/2017
8/31/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00039-3
2017-5299-L
CITDV
Citibank, N.A.
3,167
9/5/2017
9/2/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00039-4
2017-5300-L
CITDV
Citibank, N.A.
2,892
9/5/2017
9/2/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00039-5
2017-5301-L
CITDV
Citibank, N.A.
2,657
9/5/2017
9/2/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00039-1
2017-5297-L
CITDV
Citibank, N.A.
4,055
9/5/2017
8/31/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00039-2
2017-5298-L
CITDV
Citibank, N.A.
3,520
9/5/2017
8/30/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00039-6
2017-5303-L
CITDV
Citibank, N.A.
2,450
9/5/2017
9/1/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00039-7
2017-5304-L
CITDV
Citibank, N.A.
13,749
9/5/2017
8/30/2024
GA
Call Spread
Secure
100C
100C03603
2017-5295-L
CITDV
Citibank, N.A.
210,945
9/5/2017
8/29/2018
GA
Asian
Spread 1
100S
100S03490
2017-5294-L
CITDV
Citibank, N.A.
33,892
9/5/2017
8/30/2018
GA
Cliquet
MCI
100M
100M02286
2017-5302-L
MSIDV
Morgan Stanley & Co International, PLC
27,954
9/5/2017
8/29/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00257
2017-5293-L
DBDV
Deutsche Bank AG
18,621
9/5/2017
9/2/2018
GA
Digital
Trigger
10PT
10PT00824
2017-5308-L
HSBDV
HSBC Bank USA, National Association
127,064
9/6/2017
9/3/2018
GA
Call Spread
Secure
100C
100C03604
2017-5306-L
CITDV
Citibank, N.A.
1,029,122
9/6/2017
9/3/2018
GA
Asian
Spread 1
100S
100S03491
2017-5309-L
CITDV
Citibank, N.A.
90,463
9/6/2017
9/3/2018
GA
Cliquet
MCI
100M
100M02287
2017-5319-L
GSIDV
Goldman Sachs International
247,444
9/6/2017
9/3/2018
GA
Basket
Envoy Cap
10EC
10EC02209
2017-5312-L
GSIDV
Goldman Sachs International
54,992
9/6/2017
9/3/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00040-1
2017-5314-L
CITDV
Citibank, N.A.
5,879
9/6/2017
9/4/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00040-2
2017-5315-L
CITDV
Citibank, N.A.
5,130
9/6/2017
9/4/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00040-3
2017-5316-L
CITDV
Citibank, N.A.
4,631
9/6/2017
9/4/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00040-7
2017-5321-L
CITDV
Citibank, N.A.
20,170
9/6/2017
9/4/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00040-4
2017-5317-L
CITDV
Citibank, N.A.
4,235
9/6/2017
9/3/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00040-5
2017-5318-L
CITDV
Citibank, N.A.
3,896
9/6/2017
9/2/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00040-6
2017-5320-L
CITDV
Citibank, N.A.
3,596
9/6/2017
9/1/2023
GA
Call Spread
Secure
100C
100C03605
2017-5325-L
CITDV
Citibank, N.A. 314,469.95
9/7/2017
9/7/2018
GA
Asian
Spread 1
100S
100S03492
2017-5326-L
CITDV
Citibank, N.A. 21,632.01
9/7/2017
9/7/2018
GA
Digital
Trigger
10PT
10PT00825
2017-5324-L
HSBDV
HSBC Bank USA, National Association 27,101.65
9/7/2017
9/6/2018
GA
Cliquet
MCI
100M
100M02288
2017-5328-L
DBDV
Deutsche Bank AG 43,020.95
9/7/2017
9/7/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01100
2017-3819-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES 40,500.00
9/6/2017
8/31/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Swaption
Interest Rate Benchmark
10RC
10RC01101
2017-3820-S
GSCDV
GOLDMAN SACHS BANK USA/SALT LAKE 24,000.00
9/7/2017
9/4/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00259
2017-5323-L
DBDV
Deutsche Bank AG 25,092.36
9/7/2017
9/6/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00258
2017-5305-L
DBDV
Deutsche Bank AG 25,870.74
9/6/2017
9/2/2018
GA
Call Spread
Secure
100C
100C03606
2017-5329-L
CITDV
Citibank, N.A. 187,005.12
9/8/2017
8/31/2018
GA
Asian
Spread 1
100S
100S03493
2017-5331-L
CITDV
Citibank, N.A. 16,864.56
9/8/2017
9/3/2018
GA
Asian Call Spread
Advantage 1
110A
110A00332
2017-5332-L
CITDV
Citibank, N.A. 15,951.64
9/8/2017
8/11/2018
GA
Cliquet
MCI
100M
100M02289
2017-5341-L
DBDV
Deutsche Bank AG 36,809.62
9/8/2017
9/4/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00041-1
2017-5334-L
CITDV
Citibank, N.A. 4,921.39
9/8/2017
8/29/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00041-2
2017-5335-L
CITDV
Citibank, N.A. 4,282.11
9/8/2017
8/29/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00041-5
2017-5338-L
CITDV
Citibank, N.A. 3,243.88
9/8/2017
8/29/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00041-6
2017-5339-L
CITDV
Citibank, N.A. 2,992.49
9/8/2017
8/29/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00041-7
2017-5340-L
CITDV
Citibank, N.A. 16,745.23
9/8/2017
8/29/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00041-3
2017-5336-L
CITDV
Citibank, N.A. 3,861.18
9/8/2017
8/28/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00041-4
2017-5337-L
CITDV
Citibank, N.A. 3,528.71
9/8/2017
8/27/2021
GA
Call Spread
Secure
100C
100C03607
2017-5342-L
WCHDV
Wells Fargo Bank, N. A. 382,491.20
9/11/2017
9/7/2018
GA
Digital
Trigger
10PT
10PT00826
2017-5362-L
CSBDV
Credit Suisse International 38,210.85
9/11/2017
9/8/2018
GA
Cliquet
MCI
100M
100M02290
2017-5361-L
GSIDV
Goldman Sachs International 70,976.69
9/11/2017
9/8/2018
GA
Asian
Spread 1
100S
100S03494
2017-5346-L
WCHDV
Wells Fargo Bank, N. A. 177,531.20
9/11/2017
9/8/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00042-1
2017-5344-L
CITDV
Citibank, N.A. 4,960.22
9/11/2017
9/7/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00042-4
2017-5348-L
CITDV
Citibank, N.A. 3,599.44
9/11/2017
9/7/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00042-5
2017-5349-L
CITDV
Citibank, N.A. 3,312.18
9/11/2017
9/7/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00042-6
2017-5350-L
CITDV
Citibank, N.A. 3,058.17
9/11/2017
9/7/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00042-2
2017-5345-L
CITDV
Citibank, N.A. 4,349.81
9/11/2017
9/6/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00042-3
2017-5347-L
CITDV
Citibank, N.A. 3,934.94
9/11/2017
9/4/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00020-2
2017-5354-L
JPMDV
JPMORGAN CHASE BANK, N.A. 15,969.18
9/11/2017
9/3/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00020-3
2017-5355-L
JPMDV
JPMORGAN CHASE BANK, N.A. 14,491.46
9/11/2017
9/3/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00020-4
2017-5356-L
JPMDV
JPMORGAN CHASE BANK, N.A. 13,307.62
9/11/2017
9/3/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00020-7
2017-5359-L
JPMDV
JPMORGAN CHASE BANK, N.A. 70,988.97
9/11/2017
9/3/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00020-1
2017-5352-L
JPMDV
JPMORGAN CHASE BANK, N.A. 18,171.56
9/11/2017
8/31/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00020-5
2017-5357-L
JPMDV
JPMORGAN CHASE BANK, N.A. 12,290.34
9/11/2017
9/2/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00020-6
2017-5358-L
JPMDV
JPMORGAN CHASE BANK, N.A. 11,382.77
9/11/2017
9/1/2023
GA
Call Spread
Secure
100C
100C03608
2017-5367-L
HSBDV
HSBC Bank USA, National Association 1,033,872.21
9/12/2017
9/9/2018
GA
Asian
Spread 1
100S
100S03495
2017-5369-L
HSBDV
HSBC Bank USA, National Association 178,618.55
9/12/2017
9/10/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01102
2017-3843-S
WCHDV
Wells Fargo Bank, N. A. 14,900.00
9/11/2017
9/7/2018
GA
Digital
Trigger
10PT
10PT00827
2017-5370-L
CSBDV
Credit Suisse International 121,807.82
9/12/2017
9/9/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Cliquet
MCI
100M
100M02291
2017-5372-L
GSIDV
Goldman Sachs International 160,116.74
9/12/2017
9/10/2018
GA
Basket
Envoy Cap
10EC
10EC02210
2017-5365-L
CITDV
Citibank, N.A. 33,372.44
9/11/2017
9/6/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00042-7
2017-5351-L
CITDV
Citibank, N.A. 17,173.73
9/11/2017
9/6/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00260
2017-5363-L
DBDV
Deutsche Bank AG 17,144.22
9/11/2017
9/8/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00261
2017-5371-L
DBDV
Deutsche Bank AG 17,321.70
9/12/2017
9/9/2018
GA
Digital
Trigger
10PT
10PT00828
2017-5391-L
GSIDV
Goldman Sachs International 29,902.47
9/13/2017
9/12/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00043-3
2017-5380-L
CITDV
Citibank, N.A. 5,208.88
9/13/2017
9/8/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00043-4
2017-5381-L
CITDV
Citibank, N.A. 4,759.73
9/13/2017
9/8/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00043-5
2017-5382-L
CITDV
Citibank, N.A. 4,375.49
9/13/2017
9/8/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00043-6
2017-5383-L
CITDV
Citibank, N.A. 4,034.62
9/13/2017
9/8/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00043-1
2017-5377-L
CITDV
Citibank, N.A. 6,607.50
9/13/2017
9/7/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00043-2
2017-5378-L
CITDV
Citibank, N.A. 5,773.66
9/13/2017
9/6/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00043-7
2017-5385-L
CITDV
Citibank, N.A. 22,627.24
9/13/2017
9/6/2024
GA
Call Spread
Secure
100C
100C03609
2017-5374-L
WCHDV
Wells Fargo Bank, N. A. 334,962.60
9/13/2017
9/13/2018
GA
Asian
Spread 1
100S
100S03496
2017-5379-L
WCHDV
Wells Fargo Bank, N. A. 23,085.00
9/13/2017
9/11/2018
GA
Cliquet
MCI
100M
100M02292
2017-5390-L
DBDV
Deutsche Bank AG 81,868.80
9/13/2017
9/12/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01103
2017-3844-S
BARDV
Barclays Bank, PLC 75,382.00
9/12/2017
9/7/2018
GA
Call Spread
Secure
100C
100C03611
2017-5412-L
WCHDV
Wells Fargo Bank, N. A. 379,627.65
9/15/2017
9/14/2018
GA
Asian
Spread 1
100S
100S03498
2017-5414-L
WCHDV
Wells Fargo Bank, N. A. 107,243.20
9/15/2017
9/14/2018
GA
Asian Call Spread
Regency
110R
110R01093
2017-5410-L
WCHDV
Wells Fargo Bank, N. A.
35,038
9/15/2017
9/6/2018
GA
Digital
Trigger
10PT
10PT00829
2017-5423-L
GSIDV
Goldman Sachs International
38,777
9/15/2017
9/12/2018
GA
Cliquet
MCI
100M
100M02294
2017-5422-L
DBDV
Deutsche Bank AG
91,675
9/15/2017
9/15/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00262
2017-5373-L
DBDV
Deutsche Bank AG
17,357
9/13/2017
9/13/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01105
2017-3848-S
GSIDV
Goldman Sachs International
15,000
9/14/2017
9/19/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01104
2017-3846-S
SGDV
Societe Generale
21,100
9/13/2017
9/10/2018
GA
Call Spread
Secure
100C
100C03610
2017-5394-L
BARDV
Barclays Bank, PLC
248,598
9/14/2017
9/14/2018
GA
Call
Secure Par
100P
100P00779
2017-5397-L
BARDV
Barclays Bank, PLC
51,782
9/14/2017
9/11/2018
GA
Asian
Spread 1
100S
100S03497
2017-5396-L
BARDV
Barclays Bank, PLC
7,817
9/14/2017
9/12/2018
GA
Cliquet
MCI
100M
100M02293
2017-5400-L
DBDV
Deutsche Bank AG
67,806
9/14/2017
9/17/2018
GA
Basket
Envoy Cap
10EC
10EC02211
2017-5398-L
BARDV
Barclays Bank, PLC
30,687
9/14/2017
9/11/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00021-3
2017-5417-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,826
9/15/2017
9/11/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00021-6
2017-5420-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,958
9/15/2017
9/11/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00021-7
2017-5421-L
JPMDV
JPMORGAN CHASE BANK, N.A.
68,206
9/15/2017
9/11/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00021-1
2017-5415-L
JPMDV
JPMORGAN CHASE BANK, N.A.
17,032
9/15/2017
9/11/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00021-2
2017-5416-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,153
9/15/2017
9/11/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00021-4
2017-5418-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,746
9/15/2017
9/10/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00021-5
2017-5419-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,803
9/15/2017
9/9/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00044-1
2017-5402-L
CITDV
Citibank, N.A.
4,266
9/15/2017
8/31/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00044-3
2017-5404-L
CITDV
Citibank, N.A.
3,367
9/15/2017
8/31/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00044-4
2017-5405-L
CITDV
Citibank, N.A.
3,077
9/15/2017
8/31/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00044-5
2017-5406-L
CITDV
Citibank, N.A.
2,828
9/15/2017
8/31/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00044-6
2017-5407-L
CITDV
Citibank, N.A.
2,608
9/15/2017
8/31/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00044-2
2017-5403-L
CITDV
Citibank, N.A.
3,731
9/15/2017
8/30/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00044-7
2017-5408-L
CITDV
Citibank, N.A.
14,601
9/15/2017
8/30/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00263
2017-5401-L
DBDV
Deutsche Bank AG
19,880
9/15/2017
9/14/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01106
2017-3864-S
SGDV
Societe Generale
34,900
9/18/2017
9/14/2018
GA
Call Spread
Secure
100C
100C03612
2017-5427-L
NATDV
NATIXIS SA
403,155
9/18/2017
9/17/2018
GA
Asian
Spread 1
100S
100S03499
2017-5430-L
NATDV
NATIXIS SA
68,736
9/18/2017
9/13/2018
GA
Digital
Trigger
10PT
10PT00830
2017-5436-L
HSBDV
HSBC Bank USA, National Association
34,568
9/18/2017
9/13/2018
GA
Cliquet
MCI
100M
100M02295
2017-5432-L
UBSDV
UBS AG
63,124
9/18/2017
9/16/2018
GA
Basket
Envoy Cap
10EC
10EC02212
2017-5433-L
CITDV
Citibank, N.A.
40,241
9/18/2017
9/15/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00264
2017-5428-L
DBDV
Deutsche Bank AG
20,168
9/18/2017
9/15/2018
GA
Call Spread
Secure
100C
100C03613
2017-5441-L
SGDV
Societe Generale
1,037,787
9/19/2017
9/17/2018
GA
Asian
Spread 1
100S
100S03500
2017-5443-L
SGDV
Societe Generale
143,020
9/19/2017
9/17/2018
GA
Digital
Trigger
10PT
10PT00831
2017-5446-L
CSBDV
Credit Suisse International
105,092
9/19/2017
9/17/2018
GA
Basket
Envoy Cap
10EC
10EC02213
2017-5444-L
CITDV
Citibank, N.A.
33,411
9/19/2017
9/17/2018
GA
Cliquet
MCI
100M
100M02296
2017-5447-L
DBDV
Deutsche Bank AG
191,481
9/19/2017
9/17/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00045-3
2017-5450-L
CITDV
Citibank, N.A.
3,777
9/19/2017
9/17/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00045-4
2017-5451-L
CITDV
Citibank, N.A.
3,451
9/19/2017
9/17/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00045-7
2017-5454-L
CITDV
Citibank, N.A.
16,417
9/19/2017
9/17/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00045-2
2017-5449-L
CITDV
Citibank, N.A.
4,185
9/19/2017
9/17/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00045-5
2017-5452-L
CITDV
Citibank, N.A.
3,171
9/19/2017
9/16/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00045-6
2017-5453-L
CITDV
Citibank, N.A.
2,924
9/19/2017
9/15/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00045-1
2017-5448-L
CITDV
Citibank, N.A.
4,784
9/19/2017
9/17/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01107
2017-3865-S
SGDV
Societe Generale
88,200
9/19/2017
9/14/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01108
2017-3866-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
28,200
9/20/2017
9/19/2018
GA
Call Spread
Secure
100C
100C03614
2017-5456-L
CITDV
Citibank, N.A.
394,845
9/20/2017
9/20/2018
GA
Asian
Spread 1
100S
100S03501
2017-5458-L
CITDV
Citibank, N.A.
26,165
9/20/2017
9/17/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00832
2017-5461-L
GSIDV
Goldman Sachs International
35,146
9/20/2017
9/17/2018
GA
Cliquet
MCI
100M
100M02297
2017-5462-L
GSIDV
Goldman Sachs International
79,050
9/20/2017
9/17/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00265
2017-5455-L
DBDV
Deutsche Bank AG
42,034
9/20/2017
9/17/2018
GA
Digital
Trigger
10PT
10PT00833
2017-5467-L
HSBDV
HSBC Bank USA, National Association
22,562
9/21/2017
9/18/2018
GA
Call Spread
Secure
100C
100C03615
2017-5464-L
HSBDV
HSBC Bank USA, National Association
245,562
9/21/2017
9/18/2018
GA
Asian
Spread 1
100S
100S03502
2017-5466-L
HSBDV
HSBC Bank USA, National Association
8,222
9/21/2017
9/19/2018
GA
Cliquet
MCI
100M
100M02298
2017-5469-L
DBDV
Deutsche Bank AG
68,348
9/21/2017
9/16/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00046-1
2017-5468-L
CITDV
Citibank, N.A.
5,668
9/21/2017
9/13/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00046-2
2017-5470-L
CITDV
Citibank, N.A.
4,967
9/21/2017
9/13/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00046-4
2017-5472-L
CITDV
Citibank, N.A.
4,100
9/21/2017
9/13/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00046-5
2017-5473-L
CITDV
Citibank, N.A.
3,769
9/21/2017
9/13/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00046-6
2017-5474-L
CITDV
Citibank, N.A.
3,476
9/21/2017
9/13/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00046-7
2017-5475-L
CITDV
Citibank, N.A.
19,507
9/21/2017
9/13/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00046-3
2017-5471-L
CITDV
Citibank, N.A.
4,489
9/21/2017
9/11/2020
GA
Call Spread
Secure
100C
100C03616
2017-5479-L
HSBDV
HSBC Bank USA, National Association
421,900
9/22/2017
9/21/2018
GA
Asian
Spread 1
100S
100S03503
2017-5478-L
HSBDV
HSBC Bank USA, National Association
86,768
9/22/2017
9/20/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01109
2017-3878-S
GSIDV
Goldman Sachs International
48,000
9/22/2017
9/6/2018
GA
Digital
Trigger
10PT
10PT00834
2017-5490-L
CSBDV
Credit Suisse International
30,621
9/22/2017
9/21/2018
GA
Basket
Envoy Cap
10EC
10EC02214
2017-5488-L
BARDV
Barclays Bank, PLC
23,058
9/22/2017
9/12/2018
GA
Cliquet
MCI
100M
100M02299
2017-5491-L
MSIDV
Morgan Stanley & Co International, PLC
66,400
9/22/2017
9/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00047-1
2017-5482-L
CITDV
Citibank, N.A.
4,768
9/22/2017
9/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00047-3
2017-5484-L
CITDV
Citibank, N.A.
3,815
9/22/2017
9/21/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00047-4
2017-5485-L
CITDV
Citibank, N.A.
3,494
9/22/2017
9/21/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00047-5
2017-5481-L
CITDV
Citibank, N.A.
3,216
9/22/2017
9/21/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00047-6
2017-5486-L
CITDV
Citibank, N.A.
2,969
9/22/2017
9/21/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00047-2
2017-5483-L
CITDV
Citibank, N.A.
4,210
9/22/2017
9/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00047-7
2017-5487-L
CITDV
Citibank, N.A.
16,684
9/22/2017
9/20/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00266
2017-5477-L
DBDV
Deutsche Bank AG
25,664
9/22/2017
9/21/2018
GA
Digital
Trigger
10PT
10PT00835
2017-5505-L
HSBDV
HSBC Bank USA, National Association
25,363
9/25/2017
9/24/2018
GA
Call Spread
Secure
100C
100C03617
2017-5500-L
GSIDV
Goldman Sachs International
352,685
9/25/2017
9/21/2018
GA
Asian
Spread 1
100S
100S03504
2017-5504-L
GSIDV
Goldman Sachs International
42,555
9/25/2017
9/19/2018
GA
Cliquet
MCI
100M
100M02300
2017-5506-L
UBSDV
UBS AG
59,367
9/25/2017
9/16/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00048-1
2017-5495-L
CITDV
Citibank, N.A.
4,421
9/25/2017
9/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00048-3
2017-5497-L
CITDV
Citibank, N.A.
3,549
9/25/2017
9/21/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00048-4
2017-5498-L
CITDV
Citibank, N.A.
3,254
9/25/2017
9/21/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00048-5
2017-5499-L
CITDV
Citibank, N.A.
2,999
9/25/2017
9/21/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00048-6
2017-5501-L
CITDV
Citibank, N.A.
2,771
9/25/2017
9/21/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00048-2
2017-5496-L
CITDV
Citibank, N.A.
3,912
9/25/2017
9/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00048-7
2017-5502-L
CITDV
Citibank, N.A.
15,562
9/25/2017
9/20/2024
GA
Call Spread
Secure
100C
100C03618
2017-5517-L
GSIDV
Goldman Sachs International
930,100
9/26/2017
9/21/2018
GA
Call
Secure Par
100P
100P00780
2017-5516-L
GSIDV
Goldman Sachs International
47,232
9/26/2017
9/17/2018
GA
Asian
Spread 1
100S
100S03505
2017-5513-L
GSIDV
Goldman Sachs International
169,174
9/26/2017
9/24/2018
GA
Basket
Envoy Cap
10EC
10EC02215
2017-5534-L
NATDV
NATIXIS SA
58,587
9/26/2017
9/24/2018
GA
Digital
Trigger
10PT
10PT00836
2017-5535-L
NATDV
NATIXIS SA
92,199
9/26/2017
9/24/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00022-1
2017-5508-L
JPMDV
JPMORGAN CHASE BANK, N.A.
17,050
9/26/2017
9/18/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00022-2
2017-5509-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,143
9/26/2017
9/18/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00022-3
2017-5510-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,797
9/26/2017
9/18/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00022-6
2017-5514-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,919
9/26/2017
9/18/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00022-7
2017-5515-L
JPMDV
JPMORGAN CHASE BANK, N.A.
67,291
9/26/2017
9/18/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00022-4
2017-5511-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,697
9/26/2017
9/17/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00022-5
2017-5512-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,741
9/26/2017
9/16/2022
GA
Swaption
Interest Rate Benchmark
10RC
10RC01111
2017-3901-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
31,900
9/27/2017
9/28/2018
GA
Digital
Trigger
10PT
10PT00837
2017-5543-L
HSBDV
HSBC Bank USA, National Association
68,434
9/27/2017
9/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00049-1
2017-5544-L
CITDV
Citibank, N.A.
9,090
9/27/2017
9/25/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00049-2
2017-5545-L
CITDV
Citibank, N.A.
8,013
9/27/2017
9/25/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00049-3
2017-5546-L
CITDV
Citibank, N.A.
7,259
9/27/2017
9/25/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00049-6
2017-5550-L
CITDV
Citibank, N.A.
5,643
9/27/2017
9/25/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00049-4
2017-5548-L
CITDV
Citibank, N.A.
6,646
9/27/2017
9/24/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00049-5
2017-5549-L
CITDV
Citibank, N.A.
6,117
9/27/2017
9/23/2022
GA
Call Spread
Secure
100C
100C03619
2017-5539-L
HSBDV
HSBC Bank USA, National Association
301,741
9/27/2017
9/28/2018
GA
Asian
Spread 1
100S
100S03506
2017-5541-L
HSBDV
HSBC Bank USA, National Association
20,932
9/27/2017
9/25/2018
GA
Basket
Envoy Cap
10EC
10EC02216
2017-5554-L
BARDV
Barclays Bank, PLC
29,410
9/27/2017
9/26/2018
GA
Cliquet
MCI
100M
100M02302
2017-5542-L
DBDV
Deutsche Bank AG
68,070
9/27/2017
9/28/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00268
2017-5538-L
DBDV
Deutsche Bank AG
45,838
9/27/2017
9/25/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00267
2017-5492-L
DBDV
Deutsche Bank AG
18,058
9/25/2017
9/17/2018
GA
Call Spread
Secure
100C
100C03620
2017-5556-L
WCHDV
Wells Fargo Bank, N. A.
272,488
9/28/2017
9/27/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Cliquet
MCI
100M
100M02303
2017-5564-L
DBDV
Deutsche Bank AG
75,236
9/28/2017
9/27/2018
GA
Call Spread
Secure
100C
100C03621
2017-5567-L
CITDV
Citibank, N.A.
529,365
9/29/2017
9/26/2018
GA
Asian
Spread 1
100S
100S03508
2017-5569-L
CITDV
Citibank, N.A.
127,320
9/29/2017
9/27/2018
GA
Asian
Spread 1
100S
100S03507
2017-5559-L
WCHDV
Wells Fargo Bank, N. A.
34,008
9/28/2017
9/27/2018
GA
Cliquet
MCI
100M
100M02301
2017-5537-L
UBSDV
UBS AG
154,129
9/26/2017
9/24/2018
GA
Cliquet
MCI
100M
100M02304
2017-5580-L
GSIDV
Goldman Sachs International
62,426
9/29/2017
9/28/2018
GA
Basket
Envoy Cap
10EC
10EC02217
2017-5577-L
NATDV
NATIXIS SA
40,950
9/29/2017
9/28/2018
GA
Digital
Trigger
10PT
10PT00838
2017-5578-L
SGDV
Societe Generale
64,328
9/29/2017
9/28/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01110
2017-3899-S
SGDV
Societe Generale
103,100
9/26/2017
9/28/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01112
2017-3902-S
BNPDV
BNP Paribas
20,200
9/28/2017
9/28/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01113
2017-3905-S
WCHDV
Wells Fargo Bank, N. A.
34,000
9/29/2017
9/28/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00269
2017-5557-L
DBDV
Deutsche Bank AG
21,459
9/28/2017
9/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00049-7
2017-5551-L
CITDV
Citibank, N.A.
31,694
9/27/2017
9/25/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00050-2
2017-5571-L
CITDV
Citibank, N.A.
4,577
9/29/2017
9/23/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00050-3
2017-5572-L
CITDV
Citibank, N.A.
4,118
9/29/2017
9/23/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00050-4
2017-5573-L
CITDV
Citibank, N.A.
3,753
9/29/2017
9/23/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00050-5
2017-5574-L
CITDV
Citibank, N.A.
3,442
9/29/2017
9/23/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00050-7
2017-5576-L
CITDV
Citibank, N.A.
17,794
9/29/2017
9/23/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00050-1
2017-5570-L
CITDV
Citibank, N.A.
5,267
9/29/2017
9/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00050-6
2017-5575-L
CITDV
Citibank, N.A.
3,170
9/29/2017
9/22/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00023-1
2017-5581-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,447
9/29/2017
9/25/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00023-2
2017-5582-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,910
9/29/2017
9/25/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00023-3
2017-5583-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,790
9/29/2017
9/25/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00023-6
2017-5586-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,346
9/29/2017
9/25/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00023-7
2017-5587-L
JPMDV
JPMORGAN CHASE BANK, N.A.
57,312
9/29/2017
9/25/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00023-4
2017-5584-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,860
9/29/2017
9/24/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00023-5
2017-5585-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,045
9/29/2017
9/23/2022
GA
Digital
Trigger
10PT
10PT00839
2017-5588-L
SGDV
Societe Generale
24,764
10/2/2017
9/28/2018
GA
Call Spread
Secure
100C
100C03622
2017-5597-L
CITDV
Citibank, N.A.
346,661
10/2/2017
9/28/2018
GA
Asian
Spread 1
100S
100S03509
2017-5591-L
CITDV
Citibank, N.A.
88,204
10/2/2017
9/27/2018
GA
Asian
Market Smart 5
500K
500K00013
2017-5596-L
CITDV
Citibank, N.A.
2,253
10/2/2017
6/1/2020
GA
Asian
Choice 7
7200
720000061
2017-5590-L
CITDV
Citibank, N.A.
145,712
10/2/2017
3/9/2019
GA
Asian Call Spread
Regency
110R
110R01094
2017-5592-L
CITDV
Citibank, N.A.
33,596
10/2/2017
9/22/2018
GA
Cliquet
MCI
100M
100M02305
2017-5589-L
DBDV
Deutsche Bank AG
37,107
10/2/2017
10/1/2018
GA
Call Spread
Secure
100C
100C03623
2017-5611-L
WCHDV
Wells Fargo Bank, N. A.
1,005,869
10/3/2017
10/1/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian
Spread 1
100S
100S03510
2017-5613-L
WCHDV
Wells Fargo Bank, N. A.
109,665
10/3/2017
10/1/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01114
2017-3921-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
113,800
10/3/2017
9/28/2018
GA
Cliquet
MCI
100M
100M02306
2017-5609-L
GSIDV
Goldman Sachs International
166,628
10/3/2017
9/26/2018
GA
Basket
Envoy Cap
10EC
10EC02218
2017-5614-L
CITDV
Citibank, N.A.
32,326
10/3/2017
10/1/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00051-1
2017-5600-L
CITDV
Citibank, N.A.
9,051
10/3/2017
9/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00051-2
2017-5601-L
CITDV
Citibank, N.A.
7,715
10/3/2017
9/26/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00051-5
2017-5604-L
CITDV
Citibank, N.A.
5,548
10/3/2017
9/26/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00051-6
2017-5605-L
CITDV
Citibank, N.A.
5,037
10/3/2017
9/26/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00051-7
2017-5606-L
CITDV
Citibank, N.A.
27,893
10/3/2017
9/26/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00051-3
2017-5602-L
CITDV
Citibank, N.A.
6,833
10/3/2017
9/25/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00051-4
2017-5603-L
CITDV
Citibank, N.A.
6,137
10/3/2017
9/24/2021
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00270
2017-5599-L
DBDV
Deutsche Bank AG
51,725
10/3/2017
9/12/2018
GA
Call Spread
Secure
100C
100C03624
2017-5618-L
CITDV
Citibank, N.A.
269,299
10/4/2017
10/5/2018
GA
Asian
Spread 1
100S
100S03511
2017-5621-L
CITDV
Citibank, N.A.
33,485
10/4/2017
10/2/2018
GA
Cliquet
MCI
100M
100M02307
2017-5620-L
UBSDV
UBS AG
81,123
10/4/2017
9/28/2018
GA
Call Spread
Secure
100C
100C03625
2017-5622-L
WCHDV
Wells Fargo Bank, N. A.
201,739
10/5/2017
10/4/2018
GA
Asian
Spread 1
100S
100S03512
2017-5624-L
WCHDV
Wells Fargo Bank, N. A.
18,339
10/5/2017
10/1/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00271
2017-5617-L
DBDV
Deutsche Bank AG
45,605
10/4/2017
10/3/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01115
2017-3931-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
29,400
10/4/2017
9/28/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00052-1
2017-5626-L
CITDV
Citibank, N.A.
6,007
10/5/2017
10/2/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00052-2
2017-5627-L
CITDV
Citibank, N.A.
5,126
10/5/2017
10/2/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00052-3
2017-5628-L
CITDV
Citibank, N.A.
4,538
10/5/2017
10/2/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00052-6
2017-5633-L
CITDV
Citibank, N.A.
3,346
10/5/2017
10/2/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00052-7
2017-5634-L
CITDV
Citibank, N.A.
18,550
10/5/2017
10/2/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00052-4
2017-5630-L
CITDV
Citibank, N.A.
4,076
10/5/2017
10/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00052-5
2017-5632-L
CITDV
Citibank, N.A.
3,686
10/5/2017
9/30/2022
GA
Digital
Trigger
10PT
10PT00840
2017-5610-L
SGDV
Societe Generale
94,360
10/3/2017
10/1/2018
GA
Digital
Trigger
10PT
10PT00841
2017-5625-L
NATDV
NATIXIS SA
48,892
10/5/2017
10/4/2018
GA
Cliquet
MCI
100M
100M02308
2017-5629-L
GSIDV
Goldman Sachs International
39,284
10/5/2017
10/2/2018
GA
Call Spread
Secure
100C
100C03626
2017-5636-L
WCHDV
Wells Fargo Bank, N. A.
390,374
10/6/2017
10/5/2018
GA
Asian
Spread 1
100S
100S03513
2017-5638-L
WCHDV
Wells Fargo Bank, N. A.
95,589
10/6/2017
10/3/2018
GA
Digital
Trigger
10PT
10PT00842
2017-5640-L
GSIDV
Goldman Sachs International
31,214
10/6/2017
10/2/2018
GA
Cliquet
MCI
100M
100M02309
2017-5639-L
DBDV
Deutsche Bank AG
79,229
10/6/2017
10/7/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01116
2017-3938-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
22,400
10/5/2017
10/3/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00272
2017-5635-L
DBDV
Deutsche Bank AG
19,830
10/6/2017
10/2/2018
GA
Call Spread
Secure
100C
100C03627
2017-5646-L
WCHDV
Wells Fargo Bank, N. A.
336,023
10/9/2017
10/5/2018
GA
Asian
Spread 1
100S
100S03514
2017-5652-L
WCHDV
Wells Fargo Bank, N. A.
26,480
10/9/2017
10/7/2018
GA
Call
Secure Par
100P
100P00781
2017-5651-L
WCHDV
Wells Fargo Bank, N. A.
55,382
10/9/2017
9/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00053-1
2017-5642-L
CITDV
Citibank, N.A.
5,980
10/9/2017
10/4/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00053-2
2017-5643-L
CITDV
Citibank, N.A.
5,144
10/9/2017
10/4/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00053-4
2017-5645-L
CITDV
Citibank, N.A.
4,116
10/9/2017
10/4/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00053-5
2017-5647-L
CITDV
Citibank, N.A.
3,727
10/9/2017
10/4/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00053-6
2017-5648-L
CITDV
Citibank, N.A.
3,390
10/9/2017
10/4/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00053-7
2017-5650-L
CITDV
Citibank, N.A.
18,795
10/9/2017
10/4/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00053-3
2017-5644-L
CITDV
Citibank, N.A.
4,575
10/9/2017
10/2/2020
GA
Digital
Trigger
10PT
10PT00843
2017-5653-L
SGDV
Societe Generale
21,877
10/9/2017
10/5/2018
GA
Cliquet
MCI
100M
100M02310
2017-5654-L
UBSDV
UBS AG
92,583
10/9/2017
10/6/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00273
2017-5641-L
DBDV
Deutsche Bank AG
17,857
10/9/2017
10/5/2018
GA
Call Spread
Secure
100C
100C03628
2017-5688-L
WCHDV
Wells Fargo Bank, N. A.
886,181
10/10/2017
10/8/2018
GA
Asian
Spread 1
100S
100S03515
2017-5690-L
WCHDV
Wells Fargo Bank, N. A.
73,429
10/10/2017
10/10/2018
GA
Digital
Trigger
10PT
10PT00844
2017-5696-L
NATDV
NATIXIS SA
127,384
10/10/2017
10/8/2018
GA
Cliquet
MCI
100M
100M02311
2017-5695-L
DBDV
Deutsche Bank AG
176,976
10/10/2017
10/8/2018
GA
Basket
Envoy Cap
10EC
10EC02220
2017-5697-L
GSIDV
Goldman Sachs International
42,180
10/10/2017
10/8/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00024-1
2017-5699-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,753
10/10/2017
10/2/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00024-2
2017-5700-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,630
10/10/2017
10/2/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00024-3
2017-5701-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,135
10/10/2017
10/2/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00024-6
2017-5704-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,910
10/10/2017
10/2/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00024-7
2017-5705-L
JPMDV
JPMORGAN CHASE BANK, N.A.
60,445
10/10/2017
10/2/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00024-4
2017-5702-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,892
10/10/2017
10/1/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00024-5
2017-5703-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,841
10/10/2017
9/30/2022
GA
Call Spread
Secure
100C
100C03629
2017-5708-L
SGDV
Societe Generale
387,035
10/11/2017
10/9/2018
GA
Asian
Spread 1
100S
100S03516
2017-5712-L
SGDV
Societe Generale
43,371
10/11/2017
10/9/2018
GA
Asian Call Spread
Regency
110R
110R01095
2017-5714-L
SGDV
Societe Generale
32,336
10/11/2017
10/6/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01117
2017-3959-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
129,500
10/10/2017
10/5/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01118
2017-3961-S
WCHDV
Wells Fargo Bank, N. A.
52,000
10/11/2017
10/10/2018
GA
Digital
Trigger
10PT
10PT00845
2017-5719-L
GSIDV
Goldman Sachs International
30,305
10/11/2017
10/10/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00054-1
2017-5707-L
CITDV
Citibank, N.A.
7,727
10/11/2017
10/9/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00054-2
2017-5709-L
CITDV
Citibank, N.A.
6,657
10/11/2017
10/9/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00054-3
2017-5711-L
CITDV
Citibank, N.A.
5,924
10/11/2017
10/9/2020
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00054-6
2017-5717-L
CITDV
Citibank, N.A.
4,402
10/11/2017
10/9/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00054-7
2017-5718-L
CITDV
Citibank, N.A.
24,436
10/11/2017
10/9/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00054-4
2017-5713-L
CITDV
Citibank, N.A.
5,338
10/11/2017
10/8/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00054-5
2017-5715-L
CITDV
Citibank, N.A.
4,841
10/11/2017
10/7/2022
GA
Cliquet
MCI
100M
100M02312
2017-5720-L
CSBDV
Credit Suisse International
77,410
10/11/2017
10/7/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00275
2017-5706-L
DBDV
Deutsche Bank AG
29,277
10/11/2017
10/10/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00274
2017-5657-L
DBDV
Deutsche Bank AG
19,573
10/10/2017
10/8/2018
GA
Call Spread
Secure
100C
100C03630
2017-5721-L
NATDV
NATIXIS SA
234,675
10/12/2017
10/11/2018
GA
Asian
Spread 1
100S
100S03517
2017-5723-L
NATDV
NATIXIS SA
21,861
10/12/2017
10/11/2018
GA
Digital
Trigger
10PT
10PT00846
2017-5724-L
GSIDV
Goldman Sachs International
22,334
10/12/2017
10/9/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00055-1
2017-5725-L
CITDV
Citibank, N.A.
6,175
10/12/2017
10/8/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00055-2
2017-5726-L
CITDV
Citibank, N.A.
5,305
10/12/2017
10/8/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00055-3
2017-5727-L
CITDV
Citibank, N.A.
4,714
10/12/2017
10/8/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00055-4
2017-5728-L
CITDV
Citibank, N.A.
4,244
10/12/2017
10/8/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00055-7
2017-5731-L
CITDV
Citibank, N.A.
19,411
10/12/2017
10/8/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00055-5
2017-5729-L
CITDV
Citibank, N.A.
3,846
10/12/2017
10/7/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00055-6
2017-5730-L
CITDV
Citibank, N.A.
3,498
10/12/2017
10/6/2023
GA
Option Name
Strategy Name
Option Code
OptionNumber
DealNumber
CounterPartyID
Counterparty
Cost
TradeDate
GA/
SA
Cliquet
MCI
100M
100M02313
2017-5732-L
UBSDV
UBS AG
52,823
10/12/2017
10/10/2018
GA
Call Spread
Secure
100C
100C03631
2017-5741-L
GSIDV
Goldman Sachs International
295,894
10/13/2017
10/12/2018
GA
Asian
Spread 1
100S
100S03518
2017-5744-L
GSIDV
Goldman Sachs International
23,652
10/13/2017
10/12/2018
GA
Basket
Envoy Cap
10EC
10EC02219
2017-5655-L
CITDV
Citibank, N.A.
24,360
10/9/2017
10/5/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00025-1
2017-5735-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,986
10/13/2017
10/9/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00025-2
2017-5736-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,881
10/13/2017
10/9/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00025-3
2017-5737-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,430
10/13/2017
10/9/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00025-6
2017-5740-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,359
10/13/2017
10/9/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00025-7
2017-5742-L
JPMDV
JPMORGAN CHASE BANK, N.A.
57,452
10/13/2017
10/9/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00025-4
2017-5738-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,241
10/13/2017
10/8/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00025-5
2017-5739-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,242
10/13/2017
10/7/2022
GA
Digital
Trigger
10PT
10PT00847
2017-5745-L
SGDV
Societe Generale
20,213
10/13/2017
10/12/2018
GA
Cliquet
MCI
100M
100M02314
2017-5755-L
DBDV
Deutsche Bank AG
64,490
10/13/2017
10/11/2018
GA
Basket
Envoy Cap
10EC
10EC02221
2017-5747-L
BARDV
Barclays Bank, PLC
19,859
10/13/2017
10/11/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00056-3
2017-5749-L
CITDV
Citibank, N.A.
3,892
10/13/2017
10/6/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00056-4
2017-5751-L
CITDV
Citibank, N.A.
3,495
10/13/2017
10/6/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00056-5
2017-5752-L
CITDV
Citibank, N.A.
3,162
10/13/2017
10/6/2022
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00056-6
2017-5753-L
CITDV
Citibank, N.A.
2,872
10/13/2017
10/6/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00056-1
2017-5746-L
CITDV
Citibank, N.A.
5,171
10/13/2017
10/5/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00056-2
2017-5748-L
CITDV
Citibank, N.A.
4,401
10/13/2017
10/4/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00056-7
2017-5754-L
CITDV
Citibank, N.A.
15,923
10/13/2017
10/4/2024
GA
Swaption
Interest Rate Benchmark
10RC
10RC01119
2017-3968-S
GSIDV
Goldman Sachs International
42,000
10/13/2017
10/11/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00276
2017-5734-L
DBDV
Deutsche Bank AG
19,498
10/13/2017
10/10/2018
GA
Call Spread
Secure
100C
100C03632
2017-5756-L
GSIDV
Goldman Sachs International
313,624
10/16/2017
10/12/2018
GA
Asian
Spread 1
100S
100S03519
2017-5758-L
GSIDV
Goldman Sachs International
50,277
10/16/2017
10/12/2018
GA
Cliquet
MCI
100M
100M02315
2017-5759-L
UBSDV
UBS AG
57,104
10/16/2017
10/10/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00057-1
2017-5760-L
CITDV
Citibank, N.A.
6,482
10/16/2017
10/9/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00057-2
2017-5761-L
CITDV
Citibank, N.A.
5,554
10/16/2017
10/9/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00057-3
2017-5762-L
CITDV
Citibank, N.A.
4,929
10/16/2017
10/9/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00057-6
2017-5765-L
CITDV
Citibank, N.A.
3,653
10/16/2017
10/9/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00057-7
2017-5766-L
CITDV
Citibank, N.A.
20,262
10/16/2017
10/9/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00057-4
2017-5763-L
CITDV
Citibank, N.A.
4,436
10/16/2017
10/8/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00057-5
2017-5764-L
CITDV
Citibank, N.A.
4,019
10/16/2017
10/7/2022
GA
Call Spread
Secure
100C
100C03633
2017-5789-L
HSBDV
HSBC Bank USA, National Association
908,272
10/17/2017
10/15/2018
GA
Asian
Spread 1
100S
100S03520
2017-5792-L
HSBDV
HSBC Bank USA, National Association
90,814
10/17/2017
10/15/2018
GA
Digital
Trigger
10PT
10PT00848
2017-5849-L
SGDV
Societe Generale
133,098
10/17/2017
10/15/2018
GA
Basket
Envoy Cap
10EC
10EC02222
2017-5876-L
BARDV
Barclays Bank, PLC
49,117
10/17/2017
10/14/2018
GA
Cliquet
MCI
100M
100M02316
2017-5879-L
DBDV
Deutsche Bank AG
164,870
10/17/2017
10/16/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00277
2017-5781-L
DBDV
Deutsche Bank AG
70,085
10/17/2017
10/14/2018
GA
Call Spread
Secure
100C
100C03634
2017-5893-L
HSBDV
HSBC Bank USA, National Association
329,190
10/18/2017
10/17/2018
GA
Asian
Spread 1
100S
100S03521
2017-5895-L
HSBDV
HSBC Bank USA, National Association
27,348
10/18/2017
10/16/2018
GA
Digital
Trigger
10PT
10PT00849
2017-5897-L
SGDV
Societe Generale
25,731
10/18/2017
10/17/2018
GA
Cliquet
MCI
100M
100M02317
2017-5905-L
DBDV
Deutsche Bank AG
79,138
10/18/2017
10/15/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00058-3
2017-5900-L
CITDV
Citibank, N.A.
4,615
10/18/2017
10/13/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00058-4
2017-5901-L
CITDV
Citibank, N.A.
4,158
10/18/2017
10/13/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00058-6
2017-5903-L
CITDV
Citibank, N.A.
3,429
10/18/2017
10/13/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00058-1
2017-5898-L
CITDV
Citibank, N.A.
6,017
10/18/2017
10/12/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00058-2
2017-5899-L
CITDV
Citibank, N.A.
5,189
10/18/2017
10/11/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00058-7
2017-5904-L
CITDV
Citibank, N.A.
19,008
10/18/2017
10/11/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00058-5
2017-5902-L
CITDV
Citibank, N.A.
3,770
10/18/2017
10/13/2022
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Swaption
Interest Rate Benchmark
10RC
10RC01120
2017-3990-S
NATDV
NATIXIS SA
133,650
10/17/2017
10/12/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01121
2017-3991-S
WCHDV
Wells Fargo Bank, N. A.
38,900
10/18/2017
10/15/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00278
2017-5896-L
DBDV
Deutsche Bank AG
26,120
10/18/2017
10/17/2018
GA
Call Spread
Secure
100C
100C03635
2017-5906-L
WCHDV
Wells Fargo Bank, N. A.
294,744
10/19/2017
10/17/2018
GA
Call
Secure Par
100P
100P00782
2017-5908-L
WCHDV
Wells Fargo Bank, N. A.
56,728
10/19/2017
10/12/2018
GA
Asian
Spread 1
100S
100S03522
2017-5909-L
WCHDV
Wells Fargo Bank, N. A.
4,848
10/19/2017
10/18/2018
GA
Digital
Trigger
10PT
10PT00850
2017-5917-L
SGDV
Societe Generale
42,786
10/19/2017
10/18/2018
GA
Cliquet
MCI
100M
100M02318
2017-5918-L
MSIDV
Morgan Stanley & Co International, PLC
73,675
10/19/2017
10/17/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00059-2
2017-5911-L
CITDV
Citibank, N.A.
6,770
10/19/2017
10/14/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00059-3
2017-5912-L
CITDV
Citibank, N.A.
6,026
10/19/2017
10/14/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00059-5
2017-5914-L
CITDV
Citibank, N.A.
4,923
10/19/2017
10/14/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00059-7
2017-5916-L
CITDV
Citibank, N.A.
24,863
10/19/2017
10/14/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00059-1
2017-5910-L
CITDV
Citibank, N.A.
7,855
10/19/2017
10/12/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00059-6
2017-5915-L
CITDV
Citibank, N.A.
4,479
10/19/2017
10/13/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00059-4
2017-5913-L
CITDV
Citibank, N.A.
5,429
10/19/2017
10/14/2021
GA
Call Spread
Secure
100C
100C03636
2017-5920-L
BOADV
Bank of America, N.A.
471,577
10/20/2017
10/19/2018
GA
Asian
Spread 1
100S
100S03523
2017-5922-L
BOADV
Bank of America, N.A.
59,694
10/20/2017
10/20/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01123
2017-3993-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
23,000
10/20/2017
10/19/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01122
2017-3992-S
GSIDV
Goldman Sachs International
26,500
10/19/2017
10/18/2018
GA
Cliquet
MCI
100M
100M02319
2017-5923-L
DBDV
Deutsche Bank AG
76,832
10/20/2017
10/19/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00279
2017-5919-L
DBDV
Deutsche Bank AG
29,150
10/20/2017
10/15/2018
GA
Digital
Trigger
10PT
10PT00851
2017-5944-L
NATDV
NATIXIS SA
43,802
10/23/2017
10/19/2018
GA
Call Spread
Secure
100C
100C03637
2017-5927-L
BARDV
Barclays Bank, PLC
449,575
10/23/2017
10/19/2018
GA
Asian
Spread 1
100S
100S03524
2017-5929-L
BARDV
Barclays Bank, PLC
73,775
10/23/2017
10/19/2018
GA
Cliquet
MCI
100M
100M02320
2017-5945-L
DBDV
Deutsche Bank AG
83,866
10/23/2017
10/20/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00026-1
2017-5930-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,579
10/23/2017
10/12/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00026-3
2017-5934-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,131
10/23/2017
10/12/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00026-4
2017-5937-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,990
10/23/2017
10/12/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00026-5
2017-5938-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,009
10/23/2017
10/12/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00026-6
2017-5940-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,131
10/23/2017
10/12/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00026-2
2017-5931-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,564
10/23/2017
10/11/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00026-7
2017-5942-L
JPMDV
JPMORGAN CHASE BANK, N.A.
56,261
10/23/2017
10/11/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00060-1
2017-5932-L
CITDV
Citibank, N.A.
4,938
10/23/2017
10/17/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00060-2
2017-5933-L
CITDV
Citibank, N.A.
4,231
10/23/2017
10/17/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00060-5
2017-5939-L
CITDV
Citibank, N.A.
3,053
10/23/2017
10/17/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00060-6
2017-5941-L
CITDV
Citibank, N.A.
2,773
10/23/2017
10/17/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00060-7
2017-5943-L
CITDV
Citibank, N.A.
15,374
10/23/2017
10/17/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00060-3
2017-5935-L
CITDV
Citibank, N.A.
3,754
10/23/2017
10/16/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00060-4
2017-5936-L
CITDV
Citibank, N.A.
3,375
10/23/2017
10/15/2021
GA
Basket
Envoy Cap
10EC
10EC02223
2017-5924-L
NATDV
NATIXIS SA
20,047
10/20/2017
10/18/2018
GA
Call Spread
Secure
100C
100C03638
2017-5948-L
HSBDV
HSBC Bank USA, National Association
1,078,712
10/24/2017
10/22/2018
GA
Asian
Spread 1
100S
100S03525
2017-5952-L
HSBDV
HSBC Bank USA, National Association
57,221
10/24/2017
10/21/2018
GA
Digital
Trigger
10PT
10PT00852
2017-5953-L
GSIDV
Goldman Sachs International
73,721
10/24/2017
10/22/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01124
2017-4012-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
101,600
10/24/2017
10/19/2018
GA
Cliquet
MCI
100M
100M02321
2017-5971-L
GSIDV
Goldman Sachs International
214,112
10/24/2017
10/21/2018
GA
Basket
Envoy Cap
10EC
10EC02224
2017-5960-L
NATDV
NATIXIS SA
58,785
10/24/2017
10/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00061-1
2017-5961-L
CITDV
Citibank, N.A.
9,539
10/24/2017
10/17/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00061-2
2017-5962-L
CITDV
Citibank, N.A.
8,215
10/24/2017
10/17/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00061-5
2017-5966-L
CITDV
Citibank, N.A.
5,954
10/24/2017
10/17/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00061-6
2017-5967-L
CITDV
Citibank, N.A.
5,410
10/24/2017
10/17/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00061-7
2017-5968-L
CITDV
Citibank, N.A.
30,008
10/24/2017
10/17/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00061-3
2017-5964-L
CITDV
Citibank, N.A.
7,306
10/24/2017
10/16/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00061-4
2017-5965-L
CITDV
Citibank, N.A.
6,576
10/24/2017
10/15/2021
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00281
2017-5947-L
DBDV
Deutsche Bank AG
42,395
10/24/2017
10/21/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00280
2017-5926-L
DBDV
Deutsche Bank AG
45,072
10/23/2017
10/20/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01125
2017-4013-S
SGDV
Societe Generale
55,300
10/25/2017
10/24/2018
GA
Call Spread
Secure
100C
100C03639
2017-5973-L
SGDV
Societe Generale
272,636
10/25/2017
10/25/2018
GA
Asian
Spread 1
100S
100S03526
2017-5976-L
SGDV
Societe Generale
29,291
10/25/2017
10/23/2018
GA
Asian Call Spread
Regency
110R
110R01096
2017-5977-L
SGDV
Societe Generale
25,265
10/25/2017
10/17/2018
GA
Cliquet
MCI
100M
100M02322
2017-5986-L
UBSDV
UBS AG
78,305
10/25/2017
10/24/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00062-1
2017-5978-L
CITDV
Citibank, N.A.
4,825
10/25/2017
10/23/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00062-2
2017-5980-L
CITDV
Citibank, N.A.
4,245
10/25/2017
10/23/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00062-3
2017-5981-L
CITDV
Citibank, N.A.
3,812
10/25/2017
10/23/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00062-6
2017-5984-L
CITDV
Citibank, N.A.
2,860
10/25/2017
10/23/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00062-4
2017-5982-L
CITDV
Citibank, N.A.
3,452
10/25/2017
10/22/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00062-5
2017-5983-L
CITDV
Citibank, N.A.
3,140
10/25/2017
10/21/2022
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00282
2017-5972-L
DBDV
Deutsche Bank AG
16,932
10/25/2017
10/24/2018
GA
Digital
Trigger
10PT
10PT00854
2017-5987-L
NATDV
NATIXIS SA
31,985
10/26/2017
10/26/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00027-1
2017-6007-L
JPMDV
JPMORGAN CHASE BANK, N.A.
17,146
10/26/2017
10/24/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00027-2
2017-6009-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,165
10/26/2017
10/24/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00027-5
2017-6015-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,321
10/26/2017
10/24/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00027-6
2017-6016-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,355
10/26/2017
10/24/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00027-7
2017-6017-L
JPMDV
JPMORGAN CHASE BANK, N.A.
62,782
10/26/2017
10/24/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00027-3
2017-6011-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,667
10/26/2017
10/23/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00027-4
2017-6013-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,434
10/26/2017
10/22/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00063-1
2017-5988-L
CITDV
Citibank, N.A.
4,739
10/26/2017
10/24/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00063-2
2017-5989-L
CITDV
Citibank, N.A.
4,127
10/26/2017
10/24/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00063-5
2017-5992-L
CITDV
Citibank, N.A.
3,020
10/26/2017
10/24/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00063-6
2017-5993-L
CITDV
Citibank, N.A.
2,748
10/26/2017
10/24/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00063-7
2017-5994-L
CITDV
Citibank, N.A.
15,267
10/26/2017
10/24/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00063-3
2017-5990-L
CITDV
Citibank, N.A.
3,689
10/26/2017
10/23/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00063-4
2017-5991-L
CITDV
Citibank, N.A.
3,331
10/26/2017
10/22/2021
GA
Cliquet
MCI
100M
100M02323
2017-6018-L
DBDV
Deutsche Bank AG
72,566
10/26/2017
10/24/2018
GA
Call Spread
Secure
100C
100C03640
2017-6000-L
RBCDV
Royal Bank of Canada
264,168
10/26/2017
10/26/2018
GA
Asian
Spread 1
100S
100S03527
2017-6008-L
RBCDV
Royal Bank of Canada
6,052
10/26/2017
10/22/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01126
2017-4014-S
BNPDV
BNP Paribas
39,500
10/26/2017
10/25/2018
GA
Call Spread
Secure
100C
100C03641
2017-6024-L
BARDV
Barclays Bank, PLC
541,615
10/27/2017
10/26/2018
GA
Asian
Spread 1
100S
100S03528
2017-6030-L
BARDV
Barclays Bank, PLC
107,986
10/27/2017
10/25/2018
GA
Call
Secure Par
100P
100P00783
2017-6027-L
BARDV
Barclays Bank, PLC
61,084
10/27/2017
10/22/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01127
2017-4015-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
28,700
10/27/2017
10/26/2018
GA
Digital
Trigger
10PT
10PT00855
2017-6023-L
GSIDV
Goldman Sachs International
32,389
10/27/2017
10/25/2018
GA
Digital
Trigger
10PT
10PT00853
2017-5974-L
GSIDV
Goldman Sachs International
37,102
10/25/2017
10/24/2018
GA
Basket
Envoy Cap
10EC
10EC02225
2017-6028-L
GSIDV
Goldman Sachs International
29,258
10/27/2017
10/23/2018
GA
Cliquet
MCI
100M
100M02324
2017-6026-L
CSBDV
Credit Suisse International
84,013
10/27/2017
10/26/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00283
2017-6019-L
DBDV
Deutsche Bank AG
31,786
10/27/2017
10/26/2018
GA
Call Spread
Secure
100C
100C03642
2017-6038-L
WCHDV
Wells Fargo Bank, N. A.
401,545
10/30/2017
10/26/2018
GA
Asian
Spread 1
100S
100S03529
2017-6041-L
WCHDV
Wells Fargo Bank, N. A.
18,763
10/30/2017
10/25/2018
GA
Cliquet
MCI
100M
100M02325
2017-6044-L
MSIDV
Morgan Stanley & Co International, PLC
75,881
10/30/2017
10/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00064-1
2017-6031-L
CITDV
Citibank, N.A.
15,832
10/30/2017
10/25/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00064-2
2017-6032-L
CITDV
Citibank, N.A.
13,609
10/30/2017
10/25/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00064-4
2017-6034-L
CITDV
Citibank, N.A.
10,880
10/30/2017
10/25/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00064-5
2017-6035-L
CITDV
Citibank, N.A.
9,853
10/30/2017
10/25/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00064-6
2017-6036-L
CITDV
Citibank, N.A.
8,953
10/30/2017
10/25/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00064-7
2017-6037-L
CITDV
Citibank, N.A.
49,627
10/30/2017
10/25/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00064-3
2017-6033-L
CITDV
Citibank, N.A.
12,094
10/30/2017
10/23/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00062-7
2017-5985-L
CITDV
Citibank, N.A.
15,893
10/25/2017
10/23/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00284
2017-6039-L
DBDV
Deutsche Bank AG
14,699
10/30/2017
10/27/2018
GA
Call Spread
Secure
100C
100C03643
2017-6061-L
HSBDV
HSBC Bank USA, National Association
975,458
10/31/2017
10/29/2018
GA
Asian
Spread 1
100S
100S03530
2017-6068-L
HSBDV
HSBC Bank USA, National Association
84,790
10/31/2017
10/28/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01128
2017-4036-S
GSIDV
Goldman Sachs International
110,500
10/31/2017
10/26/2018
GA
Digital
Trigger
10PT
10PT00856
2017-6060-L
NATDV
NATIXIS SA
140,740
10/31/2017
10/26/2018
GA
Cliquet
MCI
100M
100M02326
2017-6065-L
CSBDV
Credit Suisse International
217,981
10/31/2017
10/29/2018
GA
Basket
Envoy Cap
10EC
10EC02226
2017-6066-L
NATDV
NATIXIS SA
28,111
10/31/2017
10/28/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00065-1
2017-6053-L
CITDV
Citibank, N.A.
5,078
10/31/2017
10/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00065-3
2017-6055-L
CITDV
Citibank, N.A.
3,887
10/31/2017
10/26/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00065-4
2017-6056-L
CITDV
Citibank, N.A.
3,499
10/31/2017
10/26/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00065-5
2017-6057-L
CITDV
Citibank, N.A.
3,170
10/31/2017
10/26/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00065-6
2017-6058-L
CITDV
Citibank, N.A.
2,881
10/31/2017
10/26/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00065-2
2017-6054-L
CITDV
Citibank, N.A.
4,373
10/31/2017
10/25/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00065-7
2017-6059-L
CITDV
Citibank, N.A.
15,974
10/31/2017
10/25/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00285
2017-6052-L
DBDV
Deutsche Bank AG
36,968
10/31/2017
10/29/2018
GA
Call Spread
Secure
100C
100C03644
2017-6085-L
WCHDV
Wells Fargo Bank, N. A.
372,954
11/1/2017
10/31/2018
GA
Asian
Spread 1
100S
100S03531
2017-6080-L
WCHDV
Wells Fargo Bank, N. A.
37,853
11/1/2017
10/31/2018
GA
Digital
Trigger
10PT
10PT00857
2017-6076-L
GSIDV
Goldman Sachs International
40,395
11/1/2017
10/31/2018
GA
Cliquet
MCI
100M
100M02327
2017-6088-L
MSIDV
Morgan Stanley & Co International, PLC
96,301
11/1/2017
10/31/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00066-1
2017-6070-L
CITDV
Citibank, N.A.
5,208
11/1/2017
10/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00066-3
2017-6074-L
CITDV
Citibank, N.A.
3,964
11/1/2017
10/26/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00066-4
2017-6077-L
CITDV
Citibank, N.A.
3,564
11/1/2017
10/26/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00066-5
2017-6079-L
CITDV
Citibank, N.A.
3,227
11/1/2017
10/26/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00066-6
2017-6081-L
CITDV
Citibank, N.A.
2,931
11/1/2017
10/26/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00066-2
2017-6072-L
CITDV
Citibank, N.A.
4,467
11/1/2017
10/25/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00066-7
2017-6083-L
CITDV
Citibank, N.A.
16,249
11/1/2017
10/25/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00028-1
2017-6069-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,955
11/1/2017
10/25/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00028-2
2017-6071-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,773
11/1/2017
10/25/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00028-4
2017-6078-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,094
11/1/2017
10/25/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00028-5
2017-6082-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,065
11/1/2017
10/25/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00028-6
2017-6084-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,176
11/1/2017
10/25/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00028-7
2017-6087-L
JPMDV
JPMORGAN CHASE BANK, N.A.
56,671
11/1/2017
10/25/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00028-3
2017-6075-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,280
11/1/2017
10/23/2020
GA
Cliquet
MCI
100M
100M02328
2017-6093-L
MSIDV
Morgan Stanley & Co International, PLC
47,419
11/2/2017
11/1/2018
GA
Asian
Spread 1
100S
100S03532
2017-6091-L
SGDV
Societe Generale
27,506
11/2/2017
10/30/2018
GA
Digital
Trigger
10PT
10PT00858
2017-6094-L
GSIDV
Goldman Sachs International
26,861
11/2/2017
11/1/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01129
2017-4038-S
WCHDV
Wells Fargo Bank, N. A.
34,000
11/1/2017
10/31/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00286
2017-6073-L
DBDV
Deutsche Bank AG
33,524
11/1/2017
10/31/2018
GA
Call Spread
Secure
100C
100C03645
2017-6090-L
SGDV
Societe Generale
245,279
11/2/2017
11/1/2018
GA
Call Spread
Secure
100C
100C03646
2017-6096-L
HSBDV
HSBC Bank USA, National Association
428,951
11/3/2017
11/2/2018
GA
Cliquet
MCI
100M
100M02329
2017-6100-L
DBDV
Deutsche Bank AG
59,339
11/3/2017
11/1/2018
GA
Asian
Spread 1
100S
100S03533
2017-6097-L
HSBDV
HSBC Bank USA, National Association
47,021
11/3/2017
11/5/2018
GA
Basket
Envoy Cap
10EC
10EC02227
2017-6101-L
CITDV
Citibank, N.A.
20,973
11/3/2017
11/1/2018
GA
Digital
Trigger
10PT
10PT00859
2017-6099-L
GSIDV
Goldman Sachs International
23,919
11/3/2017
11/2/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01130
2017-4039-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
33,500
11/2/2017
11/1/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00287
2017-6089-L
DBDV
Deutsche Bank AG
34,961
11/2/2017
11/1/2018
GA
Cliquet
MCI
100M
100M02330
2017-6117-L
GSIDV
Goldman Sachs International
95,886
11/6/2017
11/3/2018
GA
Call Spread
Secure
100C
100C03647
2017-6114-L
HSBDV
HSBC Bank USA, National Association
463,284
11/6/2017
11/2/2018
GA
Asian
Spread 1
100S
100S03534
2017-6116-L
HSBDV
HSBC Bank USA, National Association
69,961
11/6/2017
11/3/2018
GA
Digital
Trigger
10PT
10PT00860
2017-6113-L
GSIDV
Goldman Sachs International
13,546
11/6/2017
11/10/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01131
2017-4040-S
CITDV
Citibank, N.A.
27,600
11/3/2017
11/1/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00288
2017-6095-L
DBDV
Deutsche Bank AG
22,763
11/3/2017
11/2/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00067-1
2017-6103-L
CITDV
Citibank, N.A.
10,487
11/6/2017
11/2/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00067-2
2017-6104-L
CITDV
Citibank, N.A.
8,991
11/6/2017
11/1/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00067-3
2017-6105-L
CITDV
Citibank, N.A.
7,973
11/6/2017
11/3/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00067-4
2017-6106-L
CITDV
Citibank, N.A.
7,170
11/6/2017
11/3/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00067-5
2017-6107-L
CITDV
Citibank, N.A.
6,492
11/6/2017
11/3/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00067-6
2017-6108-L
CITDV
Citibank, N.A.
5,900
11/6/2017
11/3/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00067-7
2017-6109-L
CITDV
Citibank, N.A.
32,741
11/6/2017
11/1/2024
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call Spread
Secure
100C
100C03648
2017-6120-L
HSBDV
HSBC Bank USA, National Association
908,075
11/7/2017
11/5/2018
GA
Asian
Spread 1
100S
100S03535
2017-6124-L
HSBDV
HSBC Bank USA, National Association
82,520
11/7/2017
11/4/2018
GA
Cliquet
MCI
100M
100M02331
2017-6123-L
CSBDV
Credit Suisse International
172,982
11/7/2017
11/5/2018
GA
Basket
Envoy Cap
10EC
10EC02228
2017-6125-L
NATDV
NATIXIS SA
51,826
11/7/2017
11/4/2018
GA
Digital
Trigger
10PT
10PT00861
2017-6121-L
SGDV
Societe Generale
105,042
11/7/2017
11/5/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01132
2017-4059-S
GSIDV
Goldman Sachs International
39,900
11/6/2017
10/31/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00289
2017-6110-L
DBDV
Deutsche Bank AG
19,632
11/6/2017
11/3/2018
GA
Call Spread
Secure
100C
100C03649
2017-6136-L
WCHDV
Wells Fargo Bank, N. A.
361,016
11/8/2017
11/7/2018
GA
Cliquet
MCI
100M
100M02332
2017-6142-L
GSIDV
Goldman Sachs International
90,622
11/8/2017
11/5/2018
GA
Asian
Spread 1
100S
100S03536
2017-6135-L
WCHDV
Wells Fargo Bank, N. A.
27,941
11/8/2017
11/7/2018
GA
Digital
Trigger
10PT
10PT00862
2017-6141-L
NATDV
NATIXIS SA
41,766
11/8/2017
11/2/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01133
2017-4060-S
GSIDV
Goldman Sachs International
99,000
11/7/2017
11/2/2018
GA
Call
Secure Par
100P
100P00784
2017-6139-L
WCHDV
Wells Fargo Bank, N. A.
64,262
11/8/2017
10/31/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00290
2017-6119-L
DBDV
Deutsche Bank AG
39,090
11/7/2017
11/5/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00068-1
2017-6128-L
CITDV
Citibank, N.A.
5,449
11/8/2017
11/2/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00068-2
2017-6129-L
CITDV
Citibank, N.A.
4,674
11/8/2017
11/1/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00068-3
2017-6130-L
CITDV
Citibank, N.A.
4,147
11/8/2017
11/3/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00068-4
2017-6131-L
CITDV
Citibank, N.A.
3,731
11/8/2017
11/3/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00068-5
2017-6132-L
CITDV
Citibank, N.A.
3,380
11/8/2017
11/3/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00068-6
2017-6133-L
CITDV
Citibank, N.A.
3,072
11/8/2017
11/3/2023
GA
Call Spread
Secure
100C
100C03650
2017-6144-L
CSBDV
Credit Suisse International
191,574
11/9/2017
11/9/2018
GA
Asian
Spread 1
100S
100S03537
2017-6146-L
CSBDV
Credit Suisse International
12,181
11/9/2017
11/6/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00029-1
2017-6151-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,917
11/9/2017
11/2/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00029-2
2017-6152-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,557
11/9/2017
11/1/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00029-3
2017-6155-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,440
11/9/2017
11/2/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00029-4
2017-6156-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,451
11/9/2017
11/2/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00029-5
2017-6157-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,564
11/9/2017
11/2/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00029-6
2017-6158-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,807
11/9/2017
11/2/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00029-7
2017-6159-L
JPMDV
JPMORGAN CHASE BANK, N.A.
52,903
11/9/2017
11/1/2024
GA
Basket
Envoy Cap
10EC
10EC02229
2017-6153-L
BARDV
Barclays Bank, PLC
19,935
11/9/2017
11/7/2018
GA
Digital
Trigger
10PT
10PT00863
2017-6148-L
HSBDV
HSBC Bank USA, National Association
29,982
11/9/2017
11/8/2018
GA
Cliquet
MCI
100M
100M02333
2017-6147-L
CSBDV
Credit Suisse International
60,929
11/9/2017
11/7/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01134
2017-4061-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
35,400
11/8/2017
11/7/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00291
2017-6127-L
DBDV
Deutsche Bank AG
30,996
11/8/2017
11/6/2018
GA
Call Spread
Secure
100C
100C03651
2017-6165-L
WCHDV
Wells Fargo Bank, N. A.
512,755
11/10/2017
11/8/2018
GA
Digital
Trigger
10PT
10PT00864
2017-6173-L
HSBDV
HSBC Bank USA, National Association
28,774
11/10/2017
11/9/2018
GA
Cliquet
MCI
100M
100M02334
2017-6174-L
MSIDV
Morgan Stanley & Co International, PLC
98,928
11/10/2017
11/9/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00069-1
2017-6161-L
CITDV
Citibank, N.A.
14,383
11/10/2017
11/1/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00069-2
2017-6162-L
CITDV
Citibank, N.A.
12,494
11/10/2017
11/1/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00069-4
2017-6164-L
CITDV
Citibank, N.A.
10,068
11/10/2017
11/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00069-5
2017-6166-L
CITDV
Citibank, N.A.
9,138
11/10/2017
11/1/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00069-6
2017-6168-L
CITDV
Citibank, N.A.
8,316
11/10/2017
11/1/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00069-7
2017-6169-L
CITDV
Citibank, N.A.
46,059
11/10/2017
11/1/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00069-3
2017-6163-L
CITDV
Citibank, N.A.
11,160
11/10/2017
10/30/2020
GA
Asian
Spread 1
100S
100S03538
2017-6170-L
WCHDV
Wells Fargo Bank, N. A.
71,607
11/10/2017
11/9/2018
GA
Asian Call Spread
Regency
110R
110R01097
2017-6171-L
WCHDV
Wells Fargo Bank, N. A.
29,404
11/10/2017
11/2/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00292
2017-6143-L
DBDV
Deutsche Bank AG
15,167
11/9/2017
11/4/2018
GA
Call Spread
Secure
100C
100C03652
2017-6199-L
SGDV
Societe Generale
346,105
11/13/2017
11/9/2018
GA
Cliquet
MCI
100M
100M02335
2017-6212-L
MSIDV
Morgan Stanley & Co International, PLC
74,906
11/13/2017
11/8/2018
GA
Asian
Spread 1
100S
100S03539
2017-6201-L
SGDV
Societe Generale
31,780
11/13/2017
11/9/2018
GA
Basket
Envoy Cap
10EC
10EC02230
2017-6208-L
NATDV
NATIXIS SA
27,875
11/13/2017
11/9/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00293
2017-6160-L
DBDV
Deutsche Bank AG
12,928
11/10/2017
11/8/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01135
2017-4062-S
CITDV
Citibank, N.A.
42,900
11/10/2017
11/9/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00070-1
2017-6202-L
CITDV
Citibank, N.A.
7,640
11/13/2017
11/9/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00070-2
2017-6204-L
CITDV
Citibank, N.A.
6,643
11/13/2017
11/8/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00070-3
2017-6205-L
CITDV
Citibank, N.A.
5,931
11/13/2017
11/9/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00070-4
2017-6206-L
CITDV
Citibank, N.A.
5,354
11/13/2017
11/9/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00070-5
2017-6207-L
CITDV
Citibank, N.A.
4,859
11/13/2017
11/9/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00070-6
2017-6209-L
CITDV
Citibank, N.A.
4,424
11/13/2017
11/9/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00070-7
2017-6210-L
CITDV
Citibank, N.A.
24,557
11/13/2017
11/8/2024
GA
Call Spread
Secure
100C
100C03653
2017-6215-L
BOADV
Bank of America, N.A.
848,941
11/14/2017
11/12/2018
GA
Asian
Spread 1
100S
100S03540
2017-6217-L
BOADV
Bank of America, N.A.
100,909
11/14/2017
11/11/2018
GA
Digital
Trigger
10PT
10PT00865
2017-6228-L
SGDV
Societe Generale
118,482
11/14/2017
11/12/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01136
2017-4076-S
GSIDV
Goldman Sachs International
28,700
11/13/2017
11/9/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00294
2017-6175-L
DBDV
Deutsche Bank AG
22,642
11/13/2017
11/10/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00071-1
2017-6218-L
CITDV
Citibank, N.A.
6,569
11/14/2017
11/9/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00071-2
2017-6219-L
CITDV
Citibank, N.A.
5,756
11/14/2017
11/8/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00071-3
2017-6220-L
CITDV
Citibank, N.A.
5,158
11/14/2017
11/10/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00071-4
2017-6221-L
CITDV
Citibank, N.A.
4,667
11/14/2017
11/10/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00071-5
2017-6222-L
CITDV
Citibank, N.A.
4,244
11/14/2017
11/10/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00071-6
2017-6223-L
CITDV
Citibank, N.A.
3,868
11/14/2017
11/10/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00071-7
2017-6224-L
CITDV
Citibank, N.A.
21,463
11/14/2017
11/8/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00030-1
2017-6229-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,842
11/14/2017
11/9/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00030-2
2017-6230-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,492
11/14/2017
11/8/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00030-3
2017-6231-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,376
11/14/2017
11/9/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00030-4
2017-6232-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,388
11/14/2017
11/9/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00030-5
2017-6233-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,501
11/14/2017
11/9/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00030-6
2017-6234-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,744
11/14/2017
11/9/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00030-7
2017-6235-L
JPMDV
JPMORGAN CHASE BANK, N.A.
52,490
11/14/2017
11/8/2024
GA
Cliquet
MCI
100M
100M02336
2017-6225-L
GSIDV
Goldman Sachs International
176,562
11/14/2017
11/12/2018
GA
Basket
Envoy Cap
10EC
10EC02231
2017-6226-L
NATDV
NATIXIS SA
29,799
11/14/2017
11/12/2018
GA
Cliquet
MCI
100M
100M02337
2017-6241-L
DBDV
Deutsche Bank AG
83,601
11/15/2017
11/13/2018
GA
Call Spread
Secure
100C
100C03654
2017-6236-L
GSIDV
Goldman Sachs International
304,056
11/15/2017
11/13/2018
GA
Asian
Spread 1
100S
100S03541
2017-6238-L
GSIDV
Goldman Sachs International
49,143
11/15/2017
11/12/2018
GA
Digital
Trigger
10PT
10PT00866
2017-6239-L
HSBDV
HSBC Bank USA, National Association
21,200
11/15/2017
11/15/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01138
2017-4079-S
GSIDV
Goldman Sachs International
34,500
11/15/2017
11/13/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01137
2017-4077-S
GSIDV
Goldman Sachs International
93,200
11/14/2017
11/9/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00296
2017-6240-L
DBDV
Deutsche Bank AG
29,065
11/15/2017
11/14/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00072-1
2017-6251-L
CITDV
Citibank, N.A.
4,845
11/16/2017
11/14/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00072-2
2017-6252-L
CITDV
Citibank, N.A.
4,172
11/16/2017
11/14/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00072-3
2017-6253-L
CITDV
Citibank, N.A.
3,710
11/16/2017
11/13/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00072-4
2017-6254-L
CITDV
Citibank, N.A.
3,341
11/16/2017
11/12/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00072-5
2017-6255-L
CITDV
Citibank, N.A.
3,026
11/16/2017
11/14/2022
GA
Cliquet
MCI
100M
100M02338
2017-6258-L
GSIDV
Goldman Sachs International
69,360
11/16/2017
11/14/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00295
2017-6214-L
DBDV
Deutsche Bank AG
27,757
11/14/2017
11/10/2018
GA
Call Spread
Secure
100C
100C03655
2017-6245-L
SGDV
Societe Generale
243,674
11/16/2017
11/14/2018
GA
Asian
Spread 1
100S
100S03542
2017-6247-L
SGDV
Societe Generale
17,295
11/16/2017
11/14/2018
GA
Digital
Trigger
10PT
10PT00867
2017-6250-L
SGDV
Societe Generale
31,602
11/16/2017
11/14/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00072-6
2017-6256-L
CITDV
Citibank, N.A.
2,751
11/16/2017
11/14/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00072-7
2017-6257-L
CITDV
Citibank, N.A.
15,277
11/16/2017
11/14/2024
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call Spread
Secure
100C
100C03656
2017-6259-L
SGDV
Societe Generale
431,624
11/17/2017
11/16/2018
GA
Cliquet
MCI
100M
100M02339
2017-6262-L
GSIDV
Goldman Sachs International
84,258
11/17/2017
11/15/2018
GA
Asian
Spread 1
100S
100S03543
2017-6261-L
SGDV
Societe Generale
74,797
11/17/2017
11/16/2018
GA
Digital
Trigger
10PT
10PT00868
2017-6267-L
GSIDV
Goldman Sachs International
51,761
11/17/2017
11/16/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01139
2017-4080-S
GSIDV
Goldman Sachs International
52,300
11/16/2017
11/15/2018
GA
Call Spread
Secure
100C
100C03657
2017-6269-L
HSBDV
HSBC Bank USA, National Association
461,202
11/20/2017
11/16/2018
GA
Call Spread
Secure
100C
100C03658
2017-6282-L
HSBDV
HSBC Bank USA, National Association
1,246,954
11/21/2017
11/19/2018
GA
Cliquet
MCI
100M
100M02340
2017-6268-L
UBSDV
UBS AG
60,932
11/20/2017
11/17/2018
GA
Asian
Spread 1
100S
100S03544
2017-6271-L
HSBDV
HSBC Bank USA, National Association
60,700
11/20/2017
11/16/2018
GA
Asian
Spread 1
100S
100S03545
2017-6285-L
HSBDV
HSBC Bank USA, National Association
147,123
11/21/2017
11/19/2018
GA
Basket
Envoy Cap
10EC
10EC02232
2017-6272-L
GSIDV
Goldman Sachs International
41,416
11/20/2017
11/16/2018
GA
Basket
Envoy Cap
10EC
10EC02233
2017-6289-L
NATDV
NATIXIS SA
25,235
11/21/2017
11/19/2018
GA
Cliquet
MCI
100M
100M02341
2017-6287-L
GSIDV
Goldman Sachs International
222,986
11/21/2017
11/18/2018
GA
Digital
Trigger
10PT
10PT00869
2017-6288-L
NATDV
NATIXIS SA
146,412
11/21/2017
11/18/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00297
2017-6266-L
DBDV
Deutsche Bank AG
44,629
11/17/2017
11/16/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01140
2017-4081-S
GSIDV
Goldman Sachs International
40,200
11/17/2017
11/16/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00298
2017-6281-L
DBDV
Deutsche Bank AG
10,175
11/20/2017
11/16/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00073-1
2017-6273-L
CITDV
Citibank, N.A.
8,274
11/20/2017
11/15/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00073-2
2017-6274-L
CITDV
Citibank, N.A.
7,114
11/20/2017
11/15/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00073-3
2017-6276-L
CITDV
Citibank, N.A.
6,322
11/20/2017
11/13/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00073-4
2017-6277-L
CITDV
Citibank, N.A.
5,687
11/20/2017
11/15/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00073-5
2017-6278-L
CITDV
Citibank, N.A.
5,151
11/20/2017
11/15/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00073-6
2017-6279-L
CITDV
Citibank, N.A.
4,683
11/20/2017
11/15/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00073-7
2017-6280-L
CITDV
Citibank, N.A.
26,000
11/20/2017
11/15/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00074-1
2017-6290-L
CITDV
Citibank, N.A.
8,774
11/21/2017
11/13/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00074-2
2017-6291-L
CITDV
Citibank, N.A.
7,525
11/21/2017
11/13/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00074-3
2017-6293-L
CITDV
Citibank, N.A.
6,677
11/21/2017
11/13/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00074-4
2017-6294-L
CITDV
Citibank, N.A.
6,005
11/21/2017
11/12/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00074-5
2017-6295-L
CITDV
Citibank, N.A.
5,438
11/21/2017
11/11/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00074-6
2017-6296-L
CITDV
Citibank, N.A.
4,941
11/21/2017
11/13/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00074-7
2017-6297-L
CITDV
Citibank, N.A.
28,053
11/21/2017
11/13/2024
GA
Call
Secure Par
100P
100P00785
2017-6286-L
HSBDV
HSBC Bank USA, National Association
58,580
11/21/2017
11/14/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00299
2017-6284-L
DBDV
Deutsche Bank AG
19,649
11/21/2017
11/20/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01141
2017-4100-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
129,800
11/21/2017
11/16/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01142
2017-4101-S
GSIDV
Goldman Sachs International
50,800
11/22/2017
11/23/2018
GA
Digital
Trigger
10PT
10PT00870
2017-6299-L
SGDV
Societe Generale
28,141
11/22/2017
11/20/2018
GA
Call Spread
Secure
100C
100C03659
2017-6300-L
CITDV
Citibank, N.A.
454,205
11/22/2017
11/21/2018
GA
Asian
Spread 1
100S
100S03546
2017-6301-L
CITDV
Citibank, N.A.
77,219
11/22/2017
11/17/2018
GA
Cliquet
MCI
100M
100M02342
2017-6304-L
UBSDV
UBS AG
98,803
11/22/2017
11/21/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00300
2017-6298-L
DBDV
Deutsche Bank AG
24,358
11/22/2017
11/21/2018
GA
Call Spread
Secure
100C
100C03660
2017-6306-L
CITDV
Citibank, N.A.
1,134,747
11/27/2017
11/23/2018
GA
Asian
Spread 1
100S
100S03547
2017-6308-L
CITDV
Citibank, N.A.
160,483
11/27/2017
11/22/2018
GA
Asian Call Spread
Advantage 1
110A
110A00333
2017-6311-L
CITDV
Citibank, N.A.
19,242
11/27/2017
10/20/2018
GA
Digital
Trigger
10PT
10PT00871
2017-6320-L
SGDV
Societe Generale
67,582
11/27/2017
11/26/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00031-1
2017-6321-L
JPMDV
JPMORGAN CHASE BANK, N.A.
17,219
11/27/2017
11/21/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00031-2
2017-6322-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,905
11/27/2017
11/21/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00031-5
2017-6325-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,911
11/27/2017
11/21/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00031-6
2017-6326-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,960
11/27/2017
11/21/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00031-7
2017-6328-L
JPMDV
JPMORGAN CHASE BANK, N.A.
61,492
11/27/2017
11/21/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00031-3
2017-6323-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,295
11/27/2017
11/20/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00031-4
2017-6324-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,022
11/27/2017
11/19/2021
GA
Cliquet
MCI
100M
100M02343
2017-6332-L
GSIDV
Goldman Sachs International
221,680
11/27/2017
11/23/2018
GA
Basket
Envoy Cap
10EC
10EC02234
2017-6334-L
CITDV
Citibank, N.A.
58,217
11/27/2017
11/23/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00075-1
2017-6313-L
CITDV
Citibank, N.A.
4,708
11/27/2017
12/5/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00075-2
2017-6314-L
CITDV
Citibank, N.A.
4,063
11/27/2017
12/5/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00075-5
2017-6317-L
CITDV
Citibank, N.A.
2,952
11/27/2017
12/5/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00075-6
2017-6318-L
CITDV
Citibank, N.A.
2,686
11/27/2017
12/5/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00075-7
2017-6319-L
CITDV
Citibank, N.A.
15,673
11/27/2017
12/5/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00075-3
2017-6315-L
CITDV
Citibank, N.A.
3,615
11/27/2017
12/4/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00075-4
2017-6316-L
CITDV
Citibank, N.A.
3,257
11/27/2017
12/3/2021
GA
Swaption
Interest Rate Benchmark
10RC
10RC01143
2017-4117-S
GSIDV
Goldman Sachs International
57,900
11/27/2017
11/23/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00301
2017-6336-L
DBDV
Deutsche Bank AG
37,322
11/27/2017
11/22/2018
GA
Call Spread
Secure
100C
100C03661
2017-6341-L
HSBDV
HSBC Bank USA, National Association
992,030
11/28/2017
11/26/2018
GA
Asian
Spread 1
100S
100S03548
2017-6343-L
HSBDV
HSBC Bank USA, National Association
150,073
11/28/2017
11/25/2018
GA
Digital
Trigger
10PT
10PT00872
2017-6347-L
NATDV
NATIXIS SA
148,678
11/28/2017
11/24/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Cliquet
MCI
100M
100M02344
2017-6350-L
GSIDV
Goldman Sachs International
193,239
11/28/2017
11/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00076-1
2017-6349-L
CITDV
Citibank, N.A.
9,985
11/28/2017
11/15/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00076-2
2017-6355-L
CITDV
Citibank, N.A.
8,410
11/28/2017
11/15/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00076-4
2017-6357-L
CITDV
Citibank, N.A.
6,617
11/28/2017
11/15/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00076-5
2017-6358-L
CITDV
Citibank, N.A.
5,970
11/28/2017
11/15/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00076-6
2017-6359-L
CITDV
Citibank, N.A.
5,412
11/28/2017
11/15/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00076-7
2017-6360-L
CITDV
Citibank, N.A.
30,820
11/28/2017
11/15/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00076-3
2017-6356-L
CITDV
Citibank, N.A.
7,400
11/28/2017
11/13/2020
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00302
2017-6340-L
DBDV
Deutsche Bank AG
47,682
11/28/2017
11/25/2018
GA
Call Spread
Secure
100C
100C03662
2017-6362-L
WCHDV
Wells Fargo Bank, N. A.
320,504
11/29/2017
11/28/2018
GA
Asian
Spread 1
100S
100S03549
2017-6366-L
WCHDV
Wells Fargo Bank, N. A.
111,413
11/29/2017
11/24/2018
GA
Asian Call Spread
Regency
110R
110R01098
2017-6364-L
WCHDV
Wells Fargo Bank, N. A.
36,134
11/29/2017
11/19/2018
GA
Cliquet
MCI
100M
100M02345
2017-6367-L
UBSDV
UBS AG
70,869
11/29/2017
11/26/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01144
2017-4119-S
GSIDV
Goldman Sachs International
89,600
11/28/2017
11/23/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00303
2017-6361-L
DBDV
Deutsche Bank AG
16,146
11/29/2017
12/10/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01145
2017-4121-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
25,600
11/29/2017
11/23/2018
GA
Call Spread
Secure
100C
100C03663
2017-6370-L
SGDV
Societe Generale
268,148
11/30/2017
11/16/2018
GA
Asian
Spread 1
100S
100S03550
2017-6369-L
SGDV
Societe Generale
20,090
11/30/2017
11/22/2018
GA
Digital
Trigger
10PT
10PT00873
2017-6368-L
GSIDV
Goldman Sachs International
44,359
11/30/2017
12/2/2018
GA
Cliquet
MCI
100M
100M02346
2017-6372-L
DBDV
Deutsche Bank AG
66,678
11/30/2017
11/27/2018
GA
Call Spread
Secure
100C
100C03664
2017-6375-L
WCHDV
Wells Fargo Bank, N. A.
354,330
12/1/2017
11/30/2018
GA
Asian
Spread 1
100S
100S03551
2017-6379-L
WCHDV
Wells Fargo Bank, N. A.
118,831
12/1/2017
11/29/2018
GA
Digital
Trigger
10PT
10PT00874
2017-6378-L
HSBDV
HSBC Bank USA, National Association
20,417
12/1/2017
11/27/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00032-1
2017-6380-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,281
12/1/2017
11/19/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00032-2
2017-6382-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,252
12/1/2017
11/19/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00032-3
2017-6383-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,796
12/1/2017
11/19/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00032-4
2017-6384-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,601
12/1/2017
11/19/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00032-7
2017-6389-L
JPMDV
JPMORGAN CHASE BANK, N.A.
60,712
12/1/2017
11/19/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00032-5
2017-6386-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,568
12/1/2017
11/18/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00032-6
2017-6388-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,653
12/1/2017
11/17/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00077-1
2017-6385-L
CITDV
Citibank, N.A.
10,988
12/1/2017
11/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00077-2
2017-6387-L
CITDV
Citibank, N.A.
9,340
12/1/2017
11/27/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00077-3
2017-6390-L
CITDV
Citibank, N.A.
8,247
12/1/2017
11/27/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00077-6
2017-6393-L
CITDV
Citibank, N.A.
6,062
12/1/2017
11/27/2023
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00077-4
2017-6391-L
CITDV
Citibank, N.A.
7,396
12/1/2017
11/26/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00077-5
2017-6392-L
CITDV
Citibank, N.A.
6,682
12/1/2017
11/25/2022
GA
Swaption
Interest Rate Benchmark
10RC
10RC01146
2017-4122-S
CITDV
Citibank, N.A.
24,600
11/30/2017
11/29/2018
GA
Cliquet
MCI
100M
100M02347
2017-6381-L
UBSDV
UBS AG
59,703
12/1/2017
11/29/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00304
2017-6377-L
DBDV
Deutsche Bank AG
11,835
12/1/2017
12/7/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01147
2017-4141-S
GSIDV
Goldman Sachs International
45,600
12/4/2017
11/30/2018
GA
Call Spread
Secure
100C
100C03665
2017-6401-L
CITDV
Citibank, N.A.
446,657
12/4/2017
11/30/2018
GA
Call
Secure Par
100P
100P00786
2017-6405-L
CITDV
Citibank, N.A.
73,394
12/4/2017
11/26/2018
GA
Asian
Spread 1
100S
100S03552
2017-6406-L
CITDV
Citibank, N.A.
44,278
12/4/2017
12/5/2018
GA
Cliquet
MCI
100M
100M02348
2017-6408-L
GSIDV
Goldman Sachs International
69,433
12/4/2017
11/30/2018
GA
Basket
Envoy Cap
10EC
10EC02235
2017-6407-L
BARDV
Barclays Bank, PLC
24,497
12/4/2017
11/29/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00078-1
2017-6395-L
CITDV
Citibank, N.A.
6,171
12/4/2017
11/30/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00078-2
2017-6396-L
CITDV
Citibank, N.A.
5,238
12/4/2017
11/29/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00078-3
2017-6397-L
CITDV
Citibank, N.A.
4,619
12/4/2017
12/1/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00078-4
2017-6398-L
CITDV
Citibank, N.A.
4,138
12/4/2017
12/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00078-5
2017-6399-L
CITDV
Citibank, N.A.
3,736
12/4/2017
12/1/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00078-6
2017-6400-L
CITDV
Citibank, N.A.
3,389
12/4/2017
12/1/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00078-7
2017-6402-L
CITDV
Citibank, N.A.
19,260
12/4/2017
11/29/2024
GA
Call Spread
Secure
100C
100C03666
2017-6411-L
CITDV
Citibank, N.A.
1,034,379
12/5/2017
12/3/2018
GA
Asian
Spread 1
100S
100S03553
2017-6413-L
CITDV
Citibank, N.A.
163,664
12/5/2017
12/1/2018
GA
Digital
Trigger
10PT
10PT00875
2017-6416-L
SGDV
Societe Generale
86,702
12/5/2017
12/4/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00079-2
2017-6418-L
CITDV
Citibank, N.A.
8,765
12/5/2017
12/2/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00079-3
2017-6419-L
CITDV
Citibank, N.A.
7,798
12/5/2017
12/2/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00079-4
2017-6420-L
CITDV
Citibank, N.A.
7,023
12/5/2017
12/2/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00079-5
2017-6421-L
CITDV
Citibank, N.A.
6,365
12/5/2017
12/2/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00079-7
2017-6423-L
CITDV
Citibank, N.A.
34,479
12/5/2017
12/2/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00079-1
2017-6417-L
CITDV
Citibank, N.A.
10,167
12/5/2017
11/30/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00079-6
2017-6422-L
CITDV
Citibank, N.A.
5,792
12/5/2017
12/1/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00077-7
2017-6394-L
CITDV
Citibank, N.A.
36,418
12/1/2017
11/27/2024
GA
Cliquet
MCI
100M
100M02349
2017-6424-L
UBSDV
UBS AG
151,036
12/5/2017
12/3/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00305
2017-6410-L
DBDV
Deutsche Bank AG
45,768
12/5/2017
12/2/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01148
2017-4142-S
GSIDV
Goldman Sachs International
65,800
12/5/2017
12/3/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01149
2017-4143-S
CITDV
Citibank, N.A.
31,100
12/6/2017
12/5/2018
GA
Asian
Spread 1
100S
100S03554
2017-6429-L
GSIDV
Goldman Sachs International
61,575
12/6/2017
12/4/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00876
2017-6431-L
GSIDV
Goldman Sachs International
34,882
12/6/2017
12/5/2018
GA
Cliquet
MCI
100M
100M02350
2017-6430-L
GSIDV
Goldman Sachs International
95,085
12/6/2017
12/5/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00306
2017-6425-L
DBDV
Deutsche Bank AG
19,824
12/6/2017
12/5/2018
GA
Call Spread
Secure
100C
100C03668
2017-6433-L
GSIDV
Goldman Sachs International
279,675
12/7/2017
12/7/2018
GA
Asian
Spread 1
100S
100S03555
2017-6435-L
GSIDV
Goldman Sachs International
58,579
12/7/2017
12/4/2018
GA
Digital
Trigger
10PT
10PT00877
2017-6447-L
HSBDV
HSBC Bank USA, National Association
25,033
12/7/2017
12/5/2018
GA
Cliquet
MCI
100M
100M02351
2017-6448-L
UBSDV
UBS AG
88,077
12/7/2017
12/5/2018
GA
Cliquet
MCI
100M
100M02352
2017-6468-L
MSIDV
Morgan Stanley & Co International, PLC
80,557
12/8/2017
12/7/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00080-1
2017-6440-L
CITDV
Citibank, N.A.
7,219
12/7/2017
12/7/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00080-3
2017-6442-L
CITDV
Citibank, N.A.
5,728
12/7/2017
12/7/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00080-4
2017-6443-L
CITDV
Citibank, N.A.
5,192
12/7/2017
12/7/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00080-5
2017-6444-L
CITDV
Citibank, N.A.
4,728
12/7/2017
12/7/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00080-6
2017-6445-L
CITDV
Citibank, N.A.
4,316
12/7/2017
12/7/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00080-2
2017-6441-L
CITDV
Citibank, N.A.
6,371
12/7/2017
12/6/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00080-7
2017-6446-L
CITDV
Citibank, N.A.
25,990
12/7/2017
12/6/2024
GA
Basket
Envoy Cap
10EC
10EC02236
2017-6456-L
CITDV
Citibank, N.A.
24,036
12/7/2017
12/2/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00033-1
2017-6449-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,199
12/7/2017
12/3/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00033-2
2017-6450-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,419
12/7/2017
12/3/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00033-3
2017-6451-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,131
12/7/2017
12/3/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00033-4
2017-6452-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,087
12/7/2017
12/3/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00033-7
2017-6455-L
JPMDV
JPMORGAN CHASE BANK, N.A.
53,963
12/7/2017
12/3/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00033-5
2017-6453-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,185
12/7/2017
12/2/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00033-6
2017-6454-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,386
12/7/2017
12/1/2023
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00307
2017-6439-L
DBDV
Deutsche Bank AG
29,841
12/7/2017
12/2/2018
GA
Call Spread
Secure
100C
100C03669
2017-6462-L
BARDV
Barclays Bank, PLC
428,966
12/8/2017
12/7/2018
GA
Asian
Spread 1
100S
100S03556
2017-6464-L
BARDV
Barclays Bank, PLC
100,585
12/8/2017
12/6/2018
GA
Digital
Trigger
10PT
10PT00878
2017-6465-L
GSIDV
Goldman Sachs International
32,217
12/8/2017
12/5/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00081-2
2017-6472-L
CITDV
Citibank, N.A.
3,535
12/8/2017
12/2/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00081-3
2017-6473-L
CITDV
Citibank, N.A.
3,122
12/8/2017
12/2/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00081-4
2017-6474-L
CITDV
Citibank, N.A.
2,799
12/8/2017
12/2/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00081-5
2017-6475-L
CITDV
Citibank, N.A.
2,528
12/8/2017
12/2/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00081-7
2017-6477-L
CITDV
Citibank, N.A.
13,904
12/8/2017
12/2/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00081-6
2017-6476-L
CITDV
Citibank, N.A.
2,294
12/8/2017
12/1/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00081-1
2017-6471-L
CITDV
Citibank, N.A.
4,162
12/8/2017
11/30/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Swaption
Interest Rate Benchmark
10RC
10RC01150
2017-4144-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
31,000
12/7/2017
12/5/2018
GA
Basket
Envoy Cap
10EC
10EC02237
2017-6469-L
NATDV
NATIXIS SA
23,019
12/8/2017
12/7/2018
GA
Call Spread
Secure
100C
100C03667
2017-6426-L
GSIDV
Goldman Sachs International
317,947
12/6/2017
12/6/2018
GA
Call Spread
Secure
100C
100C03670
2017-6480-L
BARDV
Barclays Bank, PLC
378,572
12/11/2017
12/7/2018
GA
Cliquet
MCI
100M
100M02353
2017-6490-L
MSIDV
Morgan Stanley & Co International, PLC
68,995
12/11/2017
12/8/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00082-1
2017-6483-L
CITDV
Citibank, N.A.
5,803
12/11/2017
12/7/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00082-3
2017-6485-L
CITDV
Citibank, N.A.
4,366
12/11/2017
12/7/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00082-4
2017-6486-L
CITDV
Citibank, N.A.
3,916
12/11/2017
12/7/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00082-5
2017-6487-L
CITDV
Citibank, N.A.
3,539
12/11/2017
12/7/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00082-6
2017-6488-L
CITDV
Citibank, N.A.
3,212
12/11/2017
12/7/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00082-2
2017-6484-L
CITDV
Citibank, N.A.
4,942
12/11/2017
12/6/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00082-7
2017-6489-L
CITDV
Citibank, N.A.
20,097
12/11/2017
12/6/2024
GA
Asian
Spread 1
100S
100S03557
2017-6482-L
BARDV
Barclays Bank, PLC
78,131
12/11/2017
12/7/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00308
2017-6479-L
DBDV
Deutsche Bank AG
33,377
12/11/2017
12/8/2018
GA
Call Spread
Secure
100C
100C03671
2017-6491-L
GSIDV
Goldman Sachs International
1,380,205
12/12/2017
12/10/2018
GA
Cliquet
MCI
100M
100M02354
2017-6518-L
MSIDV
Morgan Stanley & Co International, PLC
219,547
12/12/2017
12/10/2018
GA
Basket
Envoy Cap
10EC
10EC02238
2017-6515-L
BARDV
Barclays Bank, PLC
31,898
12/12/2017
12/10/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01151
2017-4162-S
GSIDV
Goldman Sachs International
43,600
12/11/2017
12/7/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00309
2017-6495-L
DBDV
Deutsche Bank AG
23,852
12/12/2017
12/11/2018
GA
Call Spread
Secure
100C
100C03672
2017-6536-L
CITDV
Citibank, N.A.
369,084
12/13/2017
12/12/2018
GA
Asian
Spread 1
100S
100S03559
2017-6535-L
CITDV
Citibank, N.A.
78,359
12/13/2017
12/11/2018
GA
Asian
Spread 1
100S
100S03558
2017-6493-L
GSIDV
Goldman Sachs International
175,245
12/12/2017
12/10/2018
GA
Digital
Trigger
10PT
10PT00879
2017-6494-L
NATDV
NATIXIS SA
149,645
12/12/2017
12/10/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01152
2017-4163-S
GSIDV
Goldman Sachs International
79,900
12/12/2017
12/10/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00034-1
2017-6519-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,797
12/12/2017
12/6/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00034-2
2017-6520-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,977
12/12/2017
12/6/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00034-4
2017-6528-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,665
12/12/2017
12/6/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00034-5
2017-6530-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,781
12/12/2017
12/6/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00034-6
2017-6531-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,698
12/12/2017
12/6/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00034-7
2017-6532-L
JPMDV
JPMORGAN CHASE BANK, N.A.
54,774
12/12/2017
12/6/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00034-3
2017-6521-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,698
12/12/2017
12/4/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00083-1
2017-6522-L
CITDV
Citibank, N.A.
9,208
12/12/2017
12/10/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00083-2
2017-6523-L
CITDV
Citibank, N.A.
7,842
12/12/2017
12/10/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00083-3
2017-6524-L
CITDV
Citibank, N.A.
6,932
12/12/2017
12/10/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00083-4
2017-6525-L
CITDV
Citibank, N.A.
6,217
12/12/2017
12/10/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00083-7
2017-6529-L
CITDV
Citibank, N.A.
31,441
12/12/2017
12/10/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00083-5
2017-6526-L
CITDV
Citibank, N.A.
5,618
12/12/2017
12/9/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00083-6
2017-6527-L
CITDV
Citibank, N.A.
5,100
12/12/2017
12/8/2023
GA
Swaption
Interest Rate Benchmark
10RC
10RC01153
2017-4164-S
CITDV
Citibank, N.A.
36,900
12/13/2017
12/11/2018
GA
Digital
Trigger
10PT
10PT00880
2017-6538-L
GSIDV
Goldman Sachs International
39,749
12/13/2017
12/11/2018
GA
Cliquet
MCI
100M
100M02355
2017-6539-L
UBSDV
UBS AG
54,968
12/13/2017
12/9/2018
GA
Call Spread
Secure
100C
100C03673
2017-6541-L
CITDV
Citibank, N.A.
259,722
12/14/2017
12/13/2018
GA
Asian
Spread 1
100S
100S03560
2017-6544-L
CITDV
Citibank, N.A.
25,900
12/14/2017
12/10/2018
GA
Call
Secure Par
100P
100P00787
2017-6546-L
CITDV
Citibank, N.A.
68,821
12/14/2017
12/7/2018
GA
Cliquet
MCI
100M
100M02356
2017-6545-L
DBDV
Deutsche Bank AG
67,608
12/14/2017
12/13/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00084-2
2017-6548-L
CITDV
Citibank, N.A.
3,295
12/14/2017
12/9/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00084-3
2017-6549-L
CITDV
Citibank, N.A.
2,920
12/14/2017
12/9/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00084-4
2017-6550-L
CITDV
Citibank, N.A.
2,624
12/14/2017
12/9/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00084-5
2017-6551-L
CITDV
Citibank, N.A.
2,376
12/14/2017
12/9/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00084-7
2017-6553-L
CITDV
Citibank, N.A.
13,493
12/14/2017
12/9/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00084-1
2017-6547-L
CITDV
Citibank, N.A.
3,856
12/14/2017
12/7/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00084-6
2017-6552-L
CITDV
Citibank, N.A.
2,160
12/14/2017
12/8/2023
GA
Digital
Trigger
10PT
10PT00881
2017-6555-L
SGDV
Societe Generale
56,391
12/15/2017
12/13/2018
GA
Call Spread
Secure
100C
100C03674
2017-6556-L
CITDV
Citibank, N.A.
462,194
12/15/2017
12/13/2018
GA
Asian
Spread 1
100S
100S03561
2017-6558-L
CITDV
Citibank, N.A.
106,342
12/15/2017
12/14/2018
GA
Cliquet
MCI
100M
100M02357
2017-6559-L
DBDV
Deutsche Bank AG
64,847
12/15/2017
12/14/2018
GA
Basket
Envoy Cap
10EC
10EC02239
2017-6560-L
CITDV
Citibank, N.A.
28,829
12/15/2017
12/15/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01154
2017-4165-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
27,100
12/14/2017
12/13/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00310
2017-6534-L
DBDV
Deutsche Bank AG
23,607
12/13/2017
12/13/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00311
2017-6540-L
DBDV
Deutsche Bank AG
17,005
12/14/2017
12/12/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00312
2017-6554-L
DBDV
Deutsche Bank AG
20,778
12/15/2017
12/13/2018
GA
Call Spread
Secure
100C
100C03675
2017-6565-L
CITDV
Citibank, N.A.
485,031
12/18/2017
12/14/2018
GA
Asian
Spread 1
100S
100S03562
2017-6567-L
CITDV
Citibank, N.A.
154,580
12/18/2017
12/15/2018
GA
Digital
Trigger
10PT
10PT00882
2017-6564-L
GSIDV
Goldman Sachs International
33,028
12/18/2017
12/14/2018
GA
Cliquet
MCI
100M
100M02358
2017-6576-L
CSBDV
Credit Suisse International
57,562
12/18/2017
12/15/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00085-1
2017-6569-L
CITDV
Citibank, N.A.
5,886
12/18/2017
12/14/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00085-3
2017-6571-L
CITDV
Citibank, N.A.
4,350
12/18/2017
12/14/2020
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00085-4
2017-6572-L
CITDV
Citibank, N.A.
3,888
12/18/2017
12/14/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00085-5
2017-6574-L
CITDV
Citibank, N.A.
3,505
12/18/2017
12/14/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00085-6
2017-6573-L
CITDV
Citibank, N.A.
3,176
12/18/2017
12/14/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00085-2
2017-6570-L
CITDV
Citibank, N.A.
4,954
12/18/2017
12/13/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00085-7
2017-6575-L
CITDV
Citibank, N.A.
19,577
12/18/2017
12/13/2024
GA
Call Spread
Secure
100C
100C03676
2017-6589-L
CITDV
Citibank, N.A.
1,146,675
12/19/2017
12/17/2018
GA
Asian
Spread 1
100S
100S03563
2017-6591-L
CITDV
Citibank, N.A.
234,872
12/19/2017
12/17/2018
GA
Digital
Trigger
10PT
10PT00883
2017-6582-L
SGDV
Societe Generale
128,717
12/19/2017
12/17/2018
GA
Cliquet
MCI
100M
100M02359
2017-6594-L
DBDV
Deutsche Bank AG
238,219
12/19/2017
12/17/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01155
2017-4184-S
GSIDV
Goldman Sachs International
27,700
12/18/2017
12/13/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00086-1
2017-6577-L
CITDV
Citibank, N.A.
6,222
12/19/2017
12/13/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00086-2
2017-6578-L
CITDV
Citibank, N.A.
5,309
12/19/2017
12/13/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00086-4
2017-6581-L
CITDV
Citibank, N.A.
4,215
12/19/2017
12/13/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00086-5
2017-6583-L
CITDV
Citibank, N.A.
3,810
12/19/2017
12/13/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00086-6
2017-6579-L
CITDV
Citibank, N.A.
3,460
12/19/2017
12/13/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00086-7
2017-6584-L
CITDV
Citibank, N.A.
21,613
12/19/2017
12/13/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00086-3
2017-6580-L
CITDV
Citibank, N.A.
4,698
12/19/2017
12/11/2020
GA
Swaption
Interest Rate Benchmark
10RC
10RC01156
2017-4185-S
GSIDV
Goldman Sachs International
91,200
12/19/2017
12/17/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01157
2017-4190-S
GSIDV
Goldman Sachs International
71,500
12/20/2017
12/18/2018
GA
Call Spread
Secure
100C
100C03677
2017-6596-L
CITDV
Citibank, N.A.
437,628
12/20/2017
12/19/2018
GA
Asian
Spread 1
100S
100S03564
2017-6598-L
CITDV
Citibank, N.A.
42,064
12/20/2017
12/18/2018
GA
Digital
Trigger
10PT
10PT00884
2017-6601-L
SGDV
Societe Generale
68,880
12/20/2017
12/19/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00035-1
2017-6603-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,992
12/20/2017
12/13/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00035-2
2017-6607-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,132
12/20/2017
12/13/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00035-4
2017-6614-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,565
12/20/2017
12/13/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00035-5
2017-6615-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,541
12/20/2017
12/13/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00035-6
2017-6616-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,635
12/20/2017
12/13/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00035-7
2017-6617-L
JPMDV
JPMORGAN CHASE BANK, N.A.
65,517
12/20/2017
12/13/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00035-3
2017-6611-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,739
12/20/2017
12/11/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00087-1
2017-6605-L
CITDV
Citibank, N.A.
5,946
12/20/2017
12/17/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00087-2
2017-6606-L
CITDV
Citibank, N.A.
5,158
12/20/2017
12/17/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00087-3
2017-6608-L
CITDV
Citibank, N.A.
4,599
12/20/2017
12/17/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00087-4
2017-6609-L
CITDV
Citibank, N.A.
4,147
12/20/2017
12/17/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00087-7
2017-6613-L
CITDV
Citibank, N.A.
21,416
12/20/2017
12/17/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00087-5
2017-6610-L
CITDV
Citibank, N.A.
3,763
12/20/2017
12/16/2022
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00087-6
2017-6612-L
CITDV
Citibank, N.A.
3,425
12/20/2017
12/15/2023
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00314
2017-6599-L
DBDV
Deutsche Bank AG
42,162
12/20/2017
12/19/2018
GA
Digital
Trigger
10PT
10PT00885
2017-6620-L
GSIDV
Goldman Sachs International
24,789
12/21/2017
12/25/2018
GA
Basket
Envoy Cap
10EC
10EC02241
2017-6623-L
BARDV
Barclays Bank, PLC
19,946
12/21/2017
12/20/2018
GA
Cliquet
MCI
100M
100M02361
2017-6621-L
DBDV
Deutsche Bank AG
68,985
12/21/2017
12/18/2018
GA
Call Spread
Secure
100C
100C03678
2017-6622-L
WCHDV
Wells Fargo Bank, N. A.
237,843
12/21/2017
12/20/2018
GA
Asian
Spread 1
100S
100S03565
2017-6626-L
WCHDV
Wells Fargo Bank, N. A.
54,449
12/21/2017
12/19/2018
GA
Basket
Envoy Cap
10EC
10EC02240
2017-6586-L
CITDV
Citibank, N.A.
46,333
12/19/2017
12/16/2018
GA
Asian Call Spread
Regency
110R
110R01099
2017-6592-L
CITDV
Citibank, N.A.
37,747
12/19/2017
12/8/2018
GA
Call Spread
Secure
100C
100C03679
2017-6629-L
WCHDV
Wells Fargo Bank, N. A.
387,712
12/22/2017
12/21/2018
GA
Digital
Trigger
10PT
10PT00886
2017-6631-L
GSIDV
Goldman Sachs International
28,550
12/22/2017
12/22/2018
GA
Cliquet
MCI
100M
100M02362
2017-6633-L
GSIDV
Goldman Sachs International
94,855
12/22/2017
12/21/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00315
2017-6619-L
DBDV
Deutsche Bank AG
22,009
12/21/2017
12/20/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01158
2017-4191-S
GSIDV
Goldman Sachs International
26,000
12/21/2017
12/17/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01159
2017-4193-S
GSIDV
Goldman Sachs International
30,500
12/22/2017
12/21/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00316
2017-6628-L
DBDV
Deutsche Bank AG
20,193
12/22/2017
12/21/2018
GA
Digital
Trigger
10PT
10PT00887
2017-6638-L
CSBDV
Credit Suisse International
44,490
12/26/2017
12/20/2018
GA
Cliquet
MCI
100M
100M02363
2017-6635-L
MSIDV
Morgan Stanley & Co International, PLC
81,746
12/26/2017
12/22/2018
GA
Call Spread
Secure
100C
100C03680
2017-6636-L
CITDV
Citibank, N.A.
477,824
12/26/2017
12/21/2018
GA
Asian
Spread 1
100S
100S03567
2017-6641-L
CITDV
Citibank, N.A.
150,252
12/26/2017
12/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00088-1
2017-6639-L
CITDV
Citibank, N.A.
7,657
12/26/2017
12/6/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00088-2
2017-6640-L
CITDV
Citibank, N.A.
6,468
12/26/2017
12/6/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00088-4
2017-6643-L
CITDV
Citibank, N.A.
5,098
12/26/2017
12/6/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00088-5
2017-6644-L
CITDV
Citibank, N.A.
4,602
12/26/2017
12/6/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00088-6
2017-6645-L
CITDV
Citibank, N.A.
4,173
12/26/2017
12/6/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00088-7
2017-6646-L
CITDV
Citibank, N.A.
24,534
12/26/2017
12/6/2024
GA
Cliquet
MCI
100M
100M02360
2017-6602-L
GSIDV
Goldman Sachs International
69,351
12/20/2017
12/19/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00088-3
2017-6642-L
CITDV
Citibank, N.A.
5,698
12/26/2017
12/4/2020
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00317
2017-6634-L
DBDV
Deutsche Bank AG
14,912
12/26/2017
12/27/2018
GA
Call Spread
Secure
100C
100C03681
2017-6648-L
BARDV
Barclays Bank, PLC
946,270
12/27/2017
12/24/2018
GA
Asian
Spread 1
100S
100S03568
2017-6650-L
BARDV
Barclays Bank, PLC
132,962
12/27/2017
12/24/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01160
2017-4211-S
GSIDV
Goldman Sachs International
116,800
12/27/2017
12/21/2018
GA
Digital
Trigger
10PT
10PT00888
2017-6659-L
SGDV
Societe Generale
77,653
12/27/2017
12/24/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Basket
Envoy Cap
10EC
10EC02242
2017-6661-L
CITDV
Citibank, N.A.
35,447
12/27/2017
12/22/2018
GA
Cliquet
MCI
100M
100M02364
2017-6657-L
MSIDV
Morgan Stanley & Co International, PLC
192,721
12/27/2017
12/23/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00089-3
2017-6662-L
CITDV
Citibank, N.A.
2,849
12/27/2017
12/22/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00089-4
2017-6664-L
CITDV
Citibank, N.A.
2,567
12/27/2017
12/22/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00089-5
2017-6665-L
CITDV
Citibank, N.A.
2,328
12/27/2017
12/22/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00089-6
2017-6666-L
CITDV
Citibank, N.A.
2,119
12/27/2017
12/22/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00089-1
2017-6658-L
CITDV
Citibank, N.A.
3,707
12/27/2017
12/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00089-2
2017-6660-L
CITDV
Citibank, N.A.
3,202
12/27/2017
12/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00089-7
2017-6668-L
CITDV
Citibank, N.A.
13,256
12/27/2017
12/20/2024
GA
Swaption
Interest Rate Benchmark
10RC
10RC01161
2017-4212-S
GSIDV
Goldman Sachs International
27,500
12/28/2017
12/24/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00318
2017-6647-L
DBDV
Deutsche Bank AG
25,894
12/27/2017
12/24/2018
GA
Digital
Trigger
10PT
10PT00889
2017-6678-L
CSBDV
Credit Suisse International
32,381
12/28/2017
12/28/2018
GA
Call Spread
Secure
100C
100C03682
2017-6671-L
SGDV
Societe Generale
428,910
12/28/2017
12/27/2018
GA
Asian
Spread 1
100S
100S03569
2017-6675-L
SGDV
Societe Generale
54,960
12/28/2017
12/26/2018
GA
Cliquet
MCI
100M
100M02365
2017-6686-L
DBDV
Deutsche Bank AG
147,489
12/28/2017
12/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00090-1
2017-6679-L
CITDV
Citibank, N.A.
5,259
12/28/2017
12/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00090-2
2017-6680-L
CITDV
Citibank, N.A.
4,539
12/28/2017
12/26/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00090-6
2017-6684-L
CITDV
Citibank, N.A.
2,999
12/28/2017
12/26/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00090-3
2017-6681-L
CITDV
Citibank, N.A.
4,038
12/28/2017
12/24/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00090-4
2017-6682-L
CITDV
Citibank, N.A.
3,638
12/28/2017
12/23/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00090-5
2017-6683-L
CITDV
Citibank, N.A.
3,298
12/28/2017
12/23/2022
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00319
2017-6676-L
DBDV
Deutsche Bank AG
36,271
12/28/2017
12/27/2018
GA
Digital
Trigger
10PT
10PT00890
2017-6700-L
GSIDV
Goldman Sachs International
28,496
12/29/2017
12/26/2018
GA
Call Spread
Secure
100C
100C03683
2017-6694-L
RBCDV
Royal Bank of Canada
510,833
12/29/2017
12/28/2018
GA
Call
Secure Par
100P
100P00788
2017-6697-L
RBCDV
Royal Bank of Canada
60,487
12/29/2017
12/20/2018
GA
Asian
Spread 1
100S
100S03570
2017-6696-L
RBCDV
Royal Bank of Canada
104,791
12/29/2017
12/27/2018
GA
Basket
Envoy Cap
10EC
10EC02243
2017-6692-L
SGDV
Societe Generale
26,488
12/29/2017
12/27/2018
GA
Cliquet
MCI
100M
100M02366
2017-6705-L
GSIDV
Goldman Sachs International
74,705
12/29/2017
12/26/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00091-1
2017-6698-L
CITDV
Citibank, N.A.
3,910
12/29/2017
12/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00091-2
2017-6699-L
CITDV
Citibank, N.A.
3,374
12/29/2017
12/27/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00091-4
2017-6702-L
CITDV
Citibank, N.A.
2,703
12/29/2017
12/27/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00091-5
2017-6703-L
CITDV
Citibank, N.A.
2,451
12/29/2017
12/27/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00091-6
2017-6704-L
CITDV
Citibank, N.A.
2,230
12/29/2017
12/27/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00091-7
2017-6706-L
CITDV
Citibank, N.A.
13,825
12/29/2017
12/27/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00091-3
2017-6701-L
CITDV
Citibank, N.A.
3,003
12/29/2017
12/24/2020
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00068-7
2017-6134-L
CITDV
Citibank, N.A.
17,026
11/8/2017
11/1/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00313
2017-6595-L
DBDV
Deutsche Bank AG
31,667
12/19/2017
12/14/2018
GA
Asian
Spread 1
100S
100S03566
2017-6632-L
WCHDV
Wells Fargo Bank, N. A.
121,135
12/22/2017
12/22/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00320
2017-6691-L
DBDV
Deutsche Bank AG
23,445
12/29/2017
12/28/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00090-7
2017-6685-L
CITDV
Citibank, N.A.
18,756
12/28/2017
12/26/2024
GA
Call Spread
Secure
100C
100C03684
2018-6708-L
BNPDV
BNP Paribas
352,563
1/2/2018
2/30/2018
GA
Asian
Spread 1
100S
100S03571
2018-6707-L
BNPDV
BNP Paribas
73,526
1/2/2018
2/28/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00321
2018-6710-L
DBDV
Deutsche Bank AG
35,724
1/2/2018
2/28/2018
GA
Call Spread
Secure
100C
100C03685
2018-6733-L
CITDV
Citibank, N.A.
1,105,891
1/3/2018
2/31/2018
GA
Asian
Spread 1
100S
100S03572
2018-6735-L
CITDV
Citibank, N.A.
203,218
1/3/2018
2/31/2018
GA
Digital
Trigger
10PT
10PT00891
2018-6736-L
HSBDV
HSBC Bank USA, National Association
141,161
1/3/2018
2/31/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00322
2018-6730-L
DBDV
Deutsche Bank AG
36,587
1/3/2018
2/31/2018
GA
Digital
Trigger
10PT
10PT00892
2018-6748-L
CSBDV
Credit Suisse International
29,510
1/4/2018
1/2/2019
GA
Call Spread
Secure
100C
100C03686
2018-6749-L
RBCDV
Royal Bank of Canada
288,326
1/4/2018
1/2/2019
GA
Asian
Spread 1
100S
100S03573
2018-6751-L
RBCDV
Royal Bank of Canada
98,304
1/4/2018
1/3/2019
GA
Cliquet
MCI
100M
100M02369
2018-6752-L
GSIDV
Goldman Sachs International
69,717
1/4/2018
1/1/2019
GA
Cliquet
MCI
100M
100M02368
2018-6743-L
GSIDV
Goldman Sachs International
251,182
1/3/2018
2/31/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00323
2018-6753-L
DBDV
Deutsche Bank AG
36,151
1/4/2018
1/1/2019
GA
Call Spread
Secure
100C
100C03687
2018-6757-L
BARDV
Barclays Bank, PLC
335,290
1/5/2018
1/4/2019
GA
Asian
Spread 1
100S
100S03574
2018-6759-L
BARDV
Barclays Bank, PLC
106,027
1/5/2018
1/3/2019
GA
Cliquet
MCI
100M
100M02370
2018-6760-L
CSBDV
Credit Suisse International
57,044
1/5/2018
1/2/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00324
2018-6754-L
DBDV
Deutsche Bank AG
36,882
1/5/2018
1/4/2019
GA
Call Spread
Secure
100C
100C03688
2018-6773-L
NATDV
NATIXIS SA
319,930
1/8/2018
1/6/2019
GA
Asian
Spread 1
100S
100S03575
2018-6779-L
NATDV
NATIXIS SA
75,430
1/8/2018
1/1/2019
GA
Digital
Trigger
10PT
10PT00893
2018-6781-L
NATDV
NATIXIS SA
29,726
1/8/2018
1/5/2019
GA
Call Spread
Secure
100C
100C03689
2018-1383879-L
UBSDV
UBS AG
819,373
1/9/2018
1/7/2019
GA
Asian
Spread 1
100S
100S03576
2018-1383881-L
UBSDV
UBS AG
112,789
1/9/2018
1/6/2019
GA
Digital
Trigger
10PT
10PT00894
2018-1383864-L
CSBDV
Credit Suisse International
85,187
1/9/2018
1/7/2019
GA
Cliquet
MCI
100M
100M02372
2018-1383906-L
MSIDV
Morgan Stanley & Co International, PLC
162,763
1/9/2018
1/6/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00325
2018-1383905-L
DBDV
Deutsche Bank AG
33,617
1/9/2018
1/9/2019
GA
Call Spread
Secure
100C
100C03690
2018-1399615-L
NATDV
NATIXIS SA
376,951
1/10/2018
1/9/2019
GA
Call
Secure Par
100P
100P00789
2018-1399617-L
NATDV
NATIXIS SA
62,975
1/10/2018
1/3/2019
GA
Asian
Spread 1
100S
100S03577
2018-1399618-L
NATDV
NATIXIS SA
54,041
1/10/2018
1/7/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Cliquet
MCI
100M
100M02373
2018-1399647-L
DBDV
Deutsche Bank AG
77,409
1/10/2018
1/8/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00326
2018-1399610-L
DBDV
Deutsche Bank AG
36,379
1/10/2018
1/9/2019
GA
Digital
Trigger
10PT
10PT00895
2018-1402876-L
GSIDV
Goldman Sachs International
23,647
1/11/2018
1/9/2019
GA
Call Spread
Secure
100C
100C03691
2018-1402851-L
BOADV
Bank of America, N.A.
199,866
1/11/2018
1/10/2019
GA
Asian
Spread 1
100S
100S03578
2018-1402853-L
BOADV
Bank of America, N.A.
25,240
1/11/2018
1/9/2019
GA
Asian Call Spread
Regency
110R
110R01100
2018-1402854-L
BOADV
Bank of America, N.A.
40,996
1/11/2018
12/25/2018
GA
Cliquet
MCI
100M
100M02374
2018-1402881-L
CSBDV
Credit Suisse International
58,537
1/11/2018
1/9/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00327
2018-1402826-L
DBDV
Deutsche Bank AG
23,436
1/11/2018
1/10/2019
GA
Call Spread
Secure
100C
100C03692
2018-1406070-L
BARDV
Barclays Bank, PLC
333,640
1/12/2018
1/11/2019
GA
Asian
Spread 1
100S
100S03579
2018-1406072-L
BARDV
Barclays Bank, PLC
65,901
1/12/2018
1/10/2019
GA
Digital
Trigger
10PT
10PT00896
2018-1406077-L
NATDV
NATIXIS SA
39,386
1/12/2018
1/11/2019
GA
Cliquet
MCI
100M
100M02375
2018-1406079-L
MSIDV
Morgan Stanley & Co International, PLC
93,960
1/12/2018
1/9/2019
GA
Call Spread
Secure
100C
100C03693
2018-1409370-L
BARDV
Barclays Bank, PLC
303,353
1/16/2018
1/11/2019
GA
Asian
Spread 1
100S
100S03580
2018-1409372-L
BARDV
Barclays Bank, PLC
127,672
1/16/2018
1/10/2019
GA
Cliquet
MCI
100M
100M02376
2018-1409377-L
BOADV
Bank of America, N.A.
76,865
1/16/2018
1/11/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00328
2018-1409369-L
DBDV
Deutsche Bank AG
51,550
1/16/2018
1/12/2019
GA
Digital
Trigger
10PT
10PT00897
2018-1412689-L
GSIDV
Goldman Sachs International
136,432
1/17/2018
1/14/2019
GA
Call Spread
Secure
100C
100C03694
2018-1412685-L
NATDV
NATIXIS SA
1,061,967
1/17/2018
1/14/2019
GA
Asian
Spread 1
100S
100S03581
2018-1412688-L
NATDV
NATIXIS SA
227,497
1/17/2018
1/13/2019
GA
Cliquet
MCI
100M
100M02377
2018-1412692-L
DBDV
Deutsche Bank AG
240,597
1/17/2018
1/13/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00329
2018-1412683-L
DBDV
Deutsche Bank AG
75,105
1/17/2018
1/14/2019
GA
Call Spread
Secure
100C
100C03695
2018-1415938-L
HSBDV
HSBC Bank USA, National Association
235,738
1/18/2018
1/18/2019
GA
Asian
Spread 1
100S
100S03582
2018-1415940-L
HSBDV
HSBC Bank USA, National Association
85,846
1/18/2018
1/14/2019
GA
Cliquet
MCI
100M
100M02378
2018-1415941-L
UBSDV
UBS AG
79,347
1/18/2018
1/16/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00330
2018-1415942-L
DBDV
Deutsche Bank AG
35,815
1/18/2018
1/17/2019
GA
Call Spread
Secure
100C
100C03696
2018-1419196-L
SGDV
Societe Generale
197,283
1/19/2018
1/18/2019
GA
Asian
Spread 1
100S
100S03583
2018-1419197-L
SGDV
Societe Generale
45,717
1/19/2018
1/14/2019
GA
Digital
Trigger
10PT
10PT00898
2018-1419170-L
HSBDV
HSBC Bank USA, National Association
31,684
1/19/2018
1/15/2019
GA
Cliquet
MCI
100M
100M02379
2018-1419169-L
UBSDV
UBS AG
62,006
1/19/2018
1/18/2019
GA
Cliquet
MCI
100M
100M02371
2018-6785-L
MSIDV
Morgan Stanley & Co International, PLC
53,995
1/8/2018
1/4/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01162
2018-4231-S
CITDV
Citibank, N.A.
34,500
1/2/2018
2/27/2018
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Swaption
Interest Rate Benchmark
10RC
10RC01163
2018-4232-S
GSIDV
Goldman Sachs International
59,600
1/3/2018
2/31/2018
GA
Swaption
Interest Rate Benchmark
10RC
10RC01164
2018-4233-S
GSIDV
Goldman Sachs International
26,900
1/4/2018
1/2/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01165
2018-4280-S
GSIDV
Goldman Sachs International
23,900
1/8/2018
1/4/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01166
2018-4282-S
GSIDV
Goldman Sachs International
69,500
1/9/2018
1/4/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01167
2018-4283-S
GSIDV
Goldman Sachs International
27,400
1/10/2018
1/9/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01168
2018-4287-S
GSIDV
Goldman Sachs International
36,400
1/11/2018
1/10/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01169
2018-4414-S
GSIDV
Goldman Sachs International
25,400
1/16/2018
1/9/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01170
2018-4415-S
GSIDV
Goldman Sachs International
91,100
1/17/2018
1/11/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01171
2018-4416-S
GSIDV
Goldman Sachs International
33,200
1/18/2018
1/11/2019
GA
Call Spread
Secure
100C
100C03697
2018-1422443-L
SGDV
Societe Generale
379,012
1/22/2018
1/18/2019
GA
Asian
Spread 1
100S
100S03584
2018-1422445-L
SGDV
Societe Generale
125,684
1/22/2018
1/18/2019
GA
Cliquet
MCI
100M
100M02380
2018-1422438-L
CSBDV
Credit Suisse International
65,722
1/22/2018
1/19/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01172
2018-4437-S
GSIDV
Goldman Sachs International
75,500
1/23/2018
1/18/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00331
2018-1422452-L
DBDV
Deutsche Bank AG
45,365
1/22/2018
1/20/2019
GA
Call Spread
Secure
100C
100C03698
2018-1425711-L
WCHDV
Wells Fargo Bank, N. A.
901,496
1/23/2018
1/21/2019
GA
Asian
Spread 1
100S
100S03585
2018-1425714-L
WCHDV
Wells Fargo Bank, N. A.
205,105
1/23/2018
1/20/2019
GA
Call
Secure Par
100P
100P00790
2018-1425713-L
WCHDV
Wells Fargo Bank, N. A.
78,332
1/23/2018
1/15/2019
GA
Digital
Trigger
10PT
10PT00899
2018-1425723-L
GSIDV
Goldman Sachs International
96,607
1/23/2018
1/20/2019
GA
Cliquet
MCI
100M
100M02381
2018-1425724-L
CSBDV
Credit Suisse International
204,141
1/23/2018
1/20/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00332
2018-1425697-L
DBDV
Deutsche Bank AG
23,656
1/23/2018
1/19/2019
GA
Call Spread
Secure
100C
100C03699
2018-1428997-L
SGDV
Societe Generale
267,550
1/24/2018
1/24/2019
GA
Asian
Spread 1
100S
100S03586
2018-1428999-L
SGDV
Societe Generale
56,028
1/24/2018
1/23/2019
GA
Digital
Trigger
10PT
10PT00900
2018-1428996-L
SGDV
Societe Generale
34,280
1/24/2018
1/20/2019
GA
Cliquet
MCI
100M
100M02382
2018-1429021-L
MSIDV
Morgan Stanley & Co International, PLC
94,064
1/24/2018
1/23/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00333
2018-1429000-L
DBDV
Deutsche Bank AG
34,616
1/24/2018
1/19/2019
GA
Call Spread
Secure
100C
100C03700
2018-1432298-L
WCHDV
Wells Fargo Bank, N. A.
247,211
1/25/2018
1/25/2019
GA
Asian
Spread 1
100S
100S03587
2018-1432300-L
WCHDV
Wells Fargo Bank, N. A.
134,081
1/25/2018
1/18/2019
GA
Asian Call Spread
Regency
110R
110R01101
2018-1432301-L
WCHDV
Wells Fargo Bank, N. A.
41,189
1/25/2018
1/21/2019
GA
Digital
Trigger
10PT
10PT00901
2018-1432309-L
GSIDV
Goldman Sachs International
28,706
1/25/2018
1/24/2019
GA
Cliquet
MCI
100M
100M02383
2018-1434188-L
CSBDV
Credit Suisse International
115,051
1/25/2018
1/23/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Swaption
Interest Rate Benchmark
10RC
10RC01173
2018-4446-S
GSIDV
Goldman Sachs International
32,500
1/24/2018
1/18/2019
GA
Call Spread
Secure
100C
100C03701
2018-1437443-L
GSIDV
Goldman Sachs International
383,966
1/26/2018
1/25/2019
GA
Asian
Spread 1
100S
100S03588
2018-1437445-L
GSIDV
Goldman Sachs International
147,164
1/26/2018
1/24/2019
GA
Digital
Trigger
10PT
10PT00902
2018-1437458-L
CSBDV
Credit Suisse International
33,871
1/26/2018
1/24/2019
GA
Cliquet
MCI
100M
100M02384
2018-1437460-L
UBSDV
UBS AG
66,143
1/26/2018
1/26/2019
GA
Basket
Envoy Cap
10EC
10EC02244
2018-6737-L
CITDV
Citibank, N.A.
21,417
1/3/2018
2/31/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00093-1
2018-6738-L
CITDV
Citibank, N.A.
5,387
1/3/2018
2/21/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00093-3
2018-6741-L
CITDV
Citibank, N.A.
3,919
1/3/2018
2/21/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00093-4
2018-6744-L
CITDV
Citibank, N.A.
3,489
1/3/2018
2/21/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00093-5
2018-6745-L
CITDV
Citibank, N.A.
3,138
1/3/2018
2/21/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00093-6
2018-6746-L
CITDV
Citibank, N.A.
2,837
1/3/2018
2/21/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00093-2
2018-6739-L
CITDV
Citibank, N.A.
4,487
1/3/2018
2/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00093-7
2018-6747-L
CITDV
Citibank, N.A.
17,721
1/3/2018
2/20/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00092-1
2018-6711-L
CITDV
Citibank, N.A.
8,525
1/2/2018
2/27/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00092-2
2018-6719-L
CITDV
Citibank, N.A.
7,331
1/2/2018
2/27/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00092-4
2018-6725-L
CITDV
Citibank, N.A.
5,857
1/2/2018
2/27/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00092-6
2018-6728-L
CITDV
Citibank, N.A.
4,824
1/2/2018
2/27/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00092-7
2018-6729-L
CITDV
Citibank, N.A.
30,168
1/2/2018
2/27/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00092-3
2018-6724-L
CITDV
Citibank, N.A.
6,514
1/2/2018
2/24/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00092-5
2018-6727-L
CITDV
Citibank, N.A.
5,306
1/2/2018
2/27/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00036-2
2018-6714-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,772
1/2/2018
2/24/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00036-3
2018-6715-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,003

1/2/2018
2/24/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00036-7
2018-6721-L
JPMDV
JPMORGAN CHASE BANK, N.A.
76,205

1/2/2018
2/24/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00036-1
2018-6713-L
JPMDV
JPMORGAN CHASE BANK, N.A.
19,252

1/2/2018
2/24/2018
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00036-4
2018-6716-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,592

1/2/2018
2/23/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00036-5
2018-6717-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,352

1/2/2018
2/23/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00036-6
2018-6718-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,259

1/2/2018
2/22/2023
GA
Basket
Envoy Cap
10EC
10EC02245
2018-6775-L
CITDV
Citibank, N.A.
33,338

1/8/2018
1/3/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00094-1
2018-6771-L
CITDV
Citibank, N.A.
5,124

1/8/2018
2/24/2018
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00094-2
2018-6774-L
CITDV
Citibank, N.A.
4,294

1/8/2018
2/24/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00094-3
2018-6778-L
CITDV
Citibank, N.A.
3,763

1/8/2018
2/24/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00094-4
2018-6782-L
CITDV
Citibank, N.A.
3,358

1/8/2018
2/23/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00094-5
2018-6783-L
CITDV
Citibank, N.A.
3,023

1/8/2018
2/23/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00094-6
2018-6784-L
CITDV
Citibank, N.A.
2,737

1/8/2018
2/22/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00094-7
2018-6786-L
CITDV
Citibank, N.A.
17,068

1/8/2018
2/24/2024
GA
Basket
Envoy Cap
10EC
10EC02246
2018-1409405-L
GSIDV
Goldman Sachs International
21,467

1/16/2018
1/9/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00095-2
2018-1383909-L
CITDV
Citibank, N.A.
3,889

1/9/2018
1/8/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00095-3
2018-1383910-L
CITDV
Citibank, N.A.
3,442

1/9/2018
1/8/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00095-6
2018-1383913-L
CITDV
Citibank, N.A.
2,534

1/9/2018
1/8/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00095-7
2018-1383914-L
CITDV
Citibank, N.A.
15,861

1/9/2018
1/8/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00095-1
2018-1383908-L
CITDV
Citibank, N.A.
4,548

1/9/2018
1/8/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00095-4
2018-1383911-L
CITDV
Citibank, N.A.
3,089

1/9/2018
1/7/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00095-5
2018-1383912-L
CITDV
Citibank, N.A.
2,793

1/9/2018
1/6/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00096-2
2018-1399641-L
CITDV
Citibank, N.A.
3,935

1/10/2018
1/6/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00096-3
2018-1399642-L
CITDV
Citibank, N.A.
3,486

1/10/2018
1/6/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00096-4
2018-1399643-L
CITDV
Citibank, N.A.
3,129

1/10/2018
1/6/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00096-5
2018-1399644-L
CITDV
Citibank, N.A.
2,829

1/10/2018
1/6/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00096-1
2018-1399640-L
CITDV
Citibank, N.A.
4,597

1/10/2018
1/4/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00096-6
2018-1399645-L
CITDV
Citibank, N.A.
2,568

1/10/2018
1/5/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00097-1
2018-1406103-L
CITDV
Citibank, N.A.
4,552

1/12/2018
1/2/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00097-2
2018-1406104-L
CITDV
Citibank, N.A.
3,785

1/12/2018
1/2/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00097-6
2018-1406108-L
CITDV
Citibank, N.A.
2,378

1/12/2018
1/2/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00097-3
2018-1406105-L
CITDV
Citibank, N.A.
3,302

1/12/2018
12/31/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00097-4
2018-1406106-L
CITDV
Citibank, N.A.
2,935

1/12/2018
12/31/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00097-5
2018-1406107-L
CITDV
Citibank, N.A.
2,635

1/12/2018
12/30/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00037-1
2018-1406089-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,634

1/12/2018
1/2/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00037-2
2018-1406090-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,254

1/12/2018
1/2/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00037-6
2018-1406094-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,348

1/12/2018
1/2/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00037-3
2018-1406091-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,647

1/12/2018
12/31/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00037-4
2018-1406092-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,389

1/12/2018
12/31/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00037-5
2018-1406093-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,308

1/12/2018
12/30/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00098-1
2018-1409386-L
CITDV
Citibank, N.A.
5,224

1/16/2018
1/4/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00098-3
2018-1409388-L
CITDV
Citibank, N.A.
3,785

1/16/2018
1/4/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00098-4
2018-1409389-L
CITDV
Citibank, N.A.
3,364

1/16/2018
1/4/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00098-6
2018-1409391-L
CITDV
Citibank, N.A.
2,727

1/16/2018
1/4/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00098-5
2018-1409390-L
CITDV
Citibank, N.A.
3,020

1/16/2018
1/4/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00098-2
2018-1409387-L
CITDV
Citibank, N.A.
4,342

1/16/2018
1/3/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00098-7
2018-1409392-L
CITDV
Citibank, N.A.
17,083

1/16/2018
1/3/2025
GA
Basket
Envoy Cap
10EC
10EC02247
2018-1422450-L
CITDV
Citibank, N.A.
41,561

1/22/2018
1/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00099-3
2018-1412695-L
CITDV
Citibank, N.A.
5,474

1/17/2018
1/12/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00099-4
2018-1412696-L
CITDV
Citibank, N.A.
4,886

1/17/2018
1/12/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00099-5
2018-1412697-L
CITDV
Citibank, N.A.
4,401

1/17/2018
1/12/2023
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00099-1
2018-1412693-L
CITDV
Citibank, N.A.
7,407

1/17/2018
1/11/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00099-2
2018-1412694-L
CITDV
Citibank, N.A.
6,238

1/17/2018
1/10/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00099-6
2018-1412698-L
CITDV
Citibank, N.A.
3,983

1/17/2018
1/12/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00099-7
2018-1412699-L
CITDV
Citibank, N.A.
24,911

1/17/2018
1/10/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00100-1
2018-1419178-L
CITDV
Citibank, N.A.
5,229

1/19/2018
1/17/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00100-2
2018-1419179-L
CITDV
Citibank, N.A.
4,474

1/19/2018
1/17/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00100-5
2018-1419182-L
CITDV
Citibank, N.A.
3,204

1/19/2018
1/17/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00100-6
2018-1419183-L
CITDV
Citibank, N.A.
2,905

1/19/2018
1/17/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00100-7
2018-1419184-L
CITDV
Citibank, N.A.
18,201
1/19/2018
1/17/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00100-3
2018-1419180-L
CITDV
Citibank, N.A.
3,959
1/19/2018
1/15/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00100-4
2018-1419181-L
CITDV
Citibank, N.A.
3,550
1/19/2018
1/14/2022
GA
Basket
Envoy Cap
10EC
10EC02248
2018-1425754-L
NATDV
NATIXIS SA
35,152
1/23/2018
1/21/2019
GA
Basket
Envoy Cap
10EC
10EC02249
2018-1437491-L
CITDV
Citibank, N.A.
28,808
1/26/2018
1/25/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00101-3
2018-1425727-L
CITDV
Citibank, N.A.
7,526
1/23/2018
1/19/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00101-4
2018-1425728-L
CITDV
Citibank, N.A.
6,704
1/23/2018
1/19/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00101-6
2018-1425730-L
CITDV
Citibank, N.A.
5,444
1/23/2018
1/19/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00334
2018-1437449-L
DBDV
Deutsche Bank AG
29,965
1/26/2018
1/29/2019
GA
Call Spread
Secure
100C
100C03702
2018-1440802-L
BOADV
Bank of America, N.A.
379,075
1/29/2018
1/28/2019
GA
Asian
Spread 1
100S
100S03589
2018-1440801-L
BOADV
Bank of America, N.A.
126,465
1/29/2018
1/24/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00103-3
2018-1440788-L
CITDV
Citibank, N.A.
5,021
1/29/2018
1/20/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00103-4
2018-1440789-L
CITDV
Citibank, N.A.
4,470
1/29/2018
1/20/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00103-5
2018-1440790-L
CITDV
Citibank, N.A.
4,015
1/29/2018
1/20/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00103-1
2018-1440786-L
CITDV
Citibank, N.A.
6,845
1/29/2018
1/18/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00103-2
2018-1440787-L
CITDV
Citibank, N.A.
5,741
1/29/2018
1/17/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00103-6
2018-1440791-L
CITDV
Citibank, N.A.
3,627
1/29/2018
1/19/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00103-7
2018-1440792-L
CITDV
Citibank, N.A.
22,668
1/29/2018
1/17/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00101-1
2018-1425725-L
CITDV
Citibank, N.A.
10,259
1/23/2018
1/18/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00101-2
2018-1425726-L
CITDV
Citibank, N.A.
8,603
1/23/2018
1/17/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00101-5
2018-1425729-L
CITDV
Citibank, N.A.
6,025
1/23/2018
1/19/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00102-1
2018-1429007-L
CITDV
Citibank, N.A.
5,475
1/24/2018
1/16/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00102-2
2018-1429008-L
CITDV
Citibank, N.A.
4,582
1/24/2018
1/16/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00102-6
2018-1429012-L
CITDV
Citibank, N.A.
2,894
1/24/2018
1/16/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00102-7
2018-1429013-L
CITDV
Citibank, N.A.
18,119
1/24/2018
1/16/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00102-3
2018-1429009-L
CITDV
Citibank, N.A.
4,008
1/24/2018
1/15/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00102-4
2018-1429010-L
CITDV
Citibank, N.A.
3,568
1/24/2018
1/14/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00102-5
2018-1429011-L
CITDV
Citibank, N.A.
3,206
1/24/2018
1/13/2023
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00038-1
2018-1425715-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,788
1/23/2018
1/15/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00038-2
2018-1425716-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,536
1/23/2018
1/15/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00038-3
2018-1425717-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,966
1/23/2018
1/15/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00038-7
2018-1425721-L
JPMDV
JPMORGAN CHASE BANK, N.A.
67,348
1/23/2018
1/15/2025
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00038-4
2018-1425718-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,686
1/23/2018
1/14/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00038-5
2018-1425719-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,608
1/23/2018
1/13/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00038-6
2018-1425720-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,650
1/23/2018
1/12/2024
GA
Swaption
Interest Rate Benchmark
10RC
10RC01174
2018-4455-S
GSIDV
Goldman Sachs International
31,800
1/26/2018
1/24/2019
GA
Call Spread
Secure
100C
100C03703
2018-1444116-L
RBCDV
Royal Bank of Canada
783,406
1/30/2018
1/29/2019
GA
Asian
Spread 1
100S
100S03590
2018-1444118-L
RBCDV
Royal Bank of Canada
144,925
1/30/2018
1/27/2019
GA
Digital
Trigger
10PT
10PT00903
2018-1444115-L
CSBDV
Credit Suisse International
91,449
1/30/2018
1/28/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00096-7
2018-1399646-L
CITDV
Citibank, N.A.
16,072
1/10/2018
1/6/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00097-7
2018-1406109-L
CITDV
Citibank, N.A.
14,907
1/12/2018
1/2/2025
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00037-7
2018-1406095-L
JPMDV
JPMORGAN CHASE BANK, N.A.
65,054
1/12/2018
1/2/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00101-7
2018-1425731-L
CITDV
Citibank, N.A.
34,124
1/23/2018
1/17/2025
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00335
2018-1440777-L
DBDV
Deutsche Bank AG
55,798
1/29/2018
1/25/2019
GA
Cliquet
MCI
100M
100M02385
2018-1444169-L
CSBDV
Credit Suisse International
51,176
1/29/2018
1/28/2019
GA
Call Spread
Secure
100C
100C03704
2018-1447454-L
CITDV
Citibank, N.A.
265,098
1/31/2018
1/31/2019
GA
Asian
Spread 1
100S
100S03591
2018-1447456-L
CITDV
Citibank, N.A.
33,765
1/31/2018
1/29/2019
GA
Digital
Trigger
10PT
10PT00904
2018-1447453-L
CSBDV
Credit Suisse International
24,708
1/31/2018
1/28/2019
GA
Cliquet
MCI
100M
100M02386
2018-1444119-L
MSIDV
Morgan Stanley & Co International, PLC
178,693
1/30/2018
1/25/2019
GA
Basket
Envoy Cap
10EC
10EC02250
2018-1447487-L
NATDV
NATIXIS SA
47,293
1/31/2018
1/28/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01175
2018-4480-S
GSIDV
Goldman Sachs International
94,400
1/30/2018
1/25/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00336
2018-1444108-L
DBDV
Deutsche Bank AG
29,457
1/30/2018
1/29/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00104-1
2018-1444135-L
CITDV
Citibank, N.A.
6,790
1/30/2018
1/28/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00104-3
2018-1444137-L
CITDV
Citibank, N.A.
5,515
1/30/2018
1/28/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00104-4
2018-1444138-L
CITDV
Citibank, N.A.
5,010
1/30/2018
1/28/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00104-7
2018-1444141-L
CITDV
Citibank, N.A.
26,171
1/30/2018
1/28/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00104-2
2018-1444136-L
CITDV
Citibank, N.A.
6,098
1/30/2018
1/28/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00104-5
2018-1444139-L
CITDV
Citibank, N.A.
4,565
1/30/2018
1/27/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00104-6
2018-1444140-L
CITDV
Citibank, N.A.
4,167
1/30/2018
1/26/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00105-1
2018-1447469-L
CITDV
Citibank, N.A.
4,666
1/31/2018
1/30/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00105-2
2018-1447470-L
CITDV
Citibank, N.A.
4,106
1/31/2018
1/30/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00105-5
2018-1447473-L
CITDV
Citibank, N.A.
3,015
1/31/2018
1/30/2023
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00105-6
2018-1447474-L
CITDV
Citibank, N.A.
2,744
1/31/2018
1/30/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00105-7
2018-1447475-L
CITDV
Citibank, N.A.
17,225
1/31/2018
1/30/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00105-3
2018-1447471-L
CITDV
Citibank, N.A.
3,679
1/31/2018
1/29/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00105-4
2018-1447472-L
CITDV
Citibank, N.A.
3,324
1/31/2018
1/28/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00039-1
2018-1444124-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,527
1/30/2018
1/23/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00039-2
2018-1444125-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,201
1/30/2018
1/23/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00039-5
2018-1444128-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,403
1/30/2018
1/23/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00039-6
2018-1444129-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,710
1/30/2018
1/23/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00039-7
2018-1444130-L
JPMDV
JPMORGAN CHASE BANK, N.A.
52,402
1/30/2018
1/23/2025
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00039-3
2018-1444126-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,140
1/30/2018
1/22/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00039-4
2018-1444127-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,213
1/30/2018
1/21/2022
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00337
2018-1447452-L
DBDV
Deutsche Bank AG
18,770
1/31/2018
1/28/2019
GA
Call Spread
Secure
100C
100C03705
2018-1454138-L
CITDV
Citibank, N.A.
274,749
2/1/2018
1/31/2019
GA
Asian
Spread 1
100S
100S03592
2018-1454142-L
CITDV
Citibank, N.A.
33,512
2/1/2018
1/30/2019
GA
Digital
Trigger
10PT
10PT00905
2018-1454157-L
SGDV
Societe Generale
27,322
2/1/2018
1/31/2019
GA
Call Spread
Secure
100C
100C03706
2018-1454153-L
CITDV
Citibank, N.A.
368,505
2/2/2018
2/1/2019
GA
Asian
Spread 1
100S
100S03593
2018-1454156-L
CITDV
Citibank, N.A.
73,952
2/2/2018
1/31/2019
GA
Call
Secure Par
100P
100P00791
2018-1454155-L
CITDV
Citibank, N.A.
56,209
2/2/2018
1/25/2019
GA
Digital
Trigger
10PT
10PT00906
2018-1454167-L
NATDV
NATIXIS SA
37,401
2/2/2018
2/1/2019
GA
Cliquet
MCI
100M
100M02387
2018-1447460-L
MSIDV
Morgan Stanley & Co International, PLC
64,278
1/31/2018
1/31/2019
GA
Cliquet
MCI
100M
100M02388
2018-1454136-L
UBSDV
UBS AG
55,788
2/1/2018
1/31/2019
GA
Cliquet
MCI
100M
100M02389
2018-1454164-L
MSIDV
Morgan Stanley & Co International, PLC
76,202
2/2/2018
1/31/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01176
2018-4488-S
CITDV
Citibank, N.A.
38,600
2/1/2018
2/1/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00338
2018-1454143-L
DBDV
Deutsche Bank AG
21,661
2/2/2018
1/31/2019
GA
Cliquet
MCI
100M
100M02390
2018-1457547-L
DBDV
Deutsche Bank AG
48,775
2/5/2018
2/1/2019
GA
Basket
Envoy Cap
10EC
10EC02251
2018-1457548-L
CITDV
Citibank, N.A.
28,872
2/5/2018
2/1/2019
GA
Call Spread
Secure
100C
100C03707
2018-1457552-L
WCHDV
Wells Fargo Bank, N. A.
214,276
2/5/2018
2/1/2019
GA
Asian
Spread 1
100S
100S03594
2018-1457554-L
WCHDV
Wells Fargo Bank, N. A.
37,596
2/5/2018
1/30/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00106-1
2018-1457557-L
CITDV
Citibank, N.A.
3,615
2/5/2018
1/30/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00106-2
2018-1457558-L
CITDV
Citibank, N.A.
3,632
2/5/2018
1/30/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00106-5
2018-1457561-L
CITDV
Citibank, N.A.
2,983
2/5/2018
1/30/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00106-6
2018-1457562-L
CITDV
Citibank, N.A.
2,759
2/5/2018
1/30/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00106-7
2018-1457563-L
CITDV
Citibank, N.A.
17,578
2/5/2018
1/30/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00106-3
2018-1457559-L
CITDV
Citibank, N.A.
3,444
2/5/2018
1/29/2021
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00106-4
2018-1457560-L
CITDV
Citibank, N.A.
3,215
2/5/2018
1/28/2022
GA
Call Spread
Secure
100C
100C03708
2018-1460911-L
WCHDV
Wells Fargo Bank, N. A.
924,944
2/6/2018
2/4/2019
GA
Asian
Spread 1
100S
100S03595
2018-1460913-L
WCHDV
Wells Fargo Bank, N. A.
113,800
2/6/2018
2/3/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01177
2018-4516-S
CITDV
Citibank, N.A.
26,100
2/5/2018
1/30/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01178
2018-4538-S
CITDV
Citibank, N.A.
66,700
2/6/2018
2/1/2019
GA
Cliquet
MCI
100M
100M02391
2018-1460906-L
GSIDV
Goldman Sachs International
148,027
2/6/2018
2/3/2019
GA
Digital
Trigger
10PT
10PT00907
2018-1460907-L
GSIDV
Goldman Sachs International
80,642
2/6/2018
2/4/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00040-1
2018-1460914-L
JPMDV
JPMORGAN CHASE BANK, N.A.
19,196
2/6/2018
2/1/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00040-3
2018-1460916-L
JPMDV
JPMORGAN CHASE BANK, N.A.
16,487
2/6/2018
2/1/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00040-4
2018-1460917-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,170
2/6/2018
2/1/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00040-5
2018-1460918-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,936
2/6/2018
2/1/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00040-6
2018-1460919-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,849
2/6/2018
2/1/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00040-2
2018-1460915-L
JPMDV
JPMORGAN CHASE BANK, N.A.
17,856
2/6/2018
1/31/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00040-7
2018-1460920-L
JPMDV
JPMORGAN CHASE BANK, N.A.
84,793
2/6/2018
1/31/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00107-1
2018-1460928-L
CITDV
Citibank, N.A.
10,119
2/6/2018
2/5/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00107-2
2018-1460929-L
CITDV
Citibank, N.A.
9,471
2/6/2018
2/5/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00107-3
2018-1460930-L
CITDV
Citibank, N.A.
8,722
2/6/2018
2/5/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00107-6
2018-1460933-L
CITDV
Citibank, N.A.
6,740
2/6/2018
2/5/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00107-7
2018-1460934-L
CITDV
Citibank, N.A.
42,508
2/6/2018
2/5/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00107-4
2018-1460931-L
CITDV
Citibank, N.A.
8,009
2/6/2018
2/4/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00107-5
2018-1460932-L
CITDV
Citibank, N.A.
7,350
2/6/2018
2/3/2023
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00339
2018-1460905-L
DBDV
Deutsche Bank AG
28,036
2/6/2018
2/3/2019
GA
Digital
Trigger
10PT
10PT00908
2018-1464312-L
CSBDV
Credit Suisse International
30,014
2/7/2018
2/4/2019
GA
Call Spread
Secure
100C
100C03709
2018-1464308-L
NATDV
NATIXIS SA
227,716
2/7/2018
2/6/2019
GA
Asian
Spread 1
100S
100S03596
2018-1464310-L
NATDV
NATIXIS SA
100,465
2/7/2018
2/5/2019
GA
Cliquet
MCI
100M
100M02392
2018-1464313-L
MSIDV
Morgan Stanley & Co International, PLC
54,807
2/7/2018
2/6/2019
GA
Basket
Envoy Cap
10EC
10EC02252
2018-1464322-L
CITDV
Citibank, N.A.
20,338
2/7/2018
2/4/2019
GA
Cliquet
MCI
100M
100M02367
2018-6726-L
GSIDV
Goldman Sachs International
72,007
1/2/2018
2/26/2018
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00340
2018-1464299-L
DBDV
Deutsche Bank AG
35,686
2/7/2018
2/6/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01179
2018-4539-S
CITDV
Citibank, N.A.
44,500
2/8/2018
2/7/2019
GA
Cliquet
MCI
100M
100M02393
2018-1467713-L
CSBDV
Credit Suisse International
53,891
2/8/2018
2/6/2019
GA
Call Spread
Secure
100C
100C03710
2018-1467692-L
BOADV
Bank of America, N.A.
318,762
2/8/2018
2/7/2019
GA
Asian
Spread 1
100S
100S03597
2018-1467694-L
BOADV
Bank of America, N.A.
34,549
2/8/2018
2/7/2019
GA
Digital
Trigger
10PT
10PT00909
2018-1467714-L
NATDV
NATIXIS SA
20,777
2/8/2018
2/8/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00108-1
2018-1467715-L
CITDV
Citibank, N.A.
4,178
2/8/2018
2/5/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00108-2
2018-1467716-L
CITDV
Citibank, N.A.
3,720
2/8/2018
2/5/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00108-3
2018-1467717-L
CITDV
Citibank, N.A.
3,351
2/8/2018
2/5/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00108-6
2018-1467720-L
CITDV
Citibank, N.A.
2,514
2/8/2018
2/5/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00108-7
2018-1467721-L
CITDV
Citibank, N.A.
15,768
2/8/2018
2/5/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00108-4
2018-1467718-L
CITDV
Citibank, N.A.
3,037
2/8/2018
2/4/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00108-5
2018-1467719-L
CITDV
Citibank, N.A.
2,761
2/8/2018
2/3/2023
GA
Call Spread
Secure
100C
100C03711
2018-1471088-L
RBCDV
Royal Bank of Canada
272,226
2/9/2018
2/8/2019
GA
Asian
Spread 1
100S
100S03598
2018-1471090-L
RBCDV
Royal Bank of Canada
167,863
2/9/2018
2/6/2019
GA
Digital
Trigger
10PT
10PT00910
2018-1471092-L
GSIDV
Goldman Sachs International
18,330
2/9/2018
2/8/2019
GA
Cliquet
MCI
100M
100M02394
2018-1471091-L
DBDV
Deutsche Bank AG
86,974
2/9/2018
2/8/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00341
2018-1471072-L
DBDV
Deutsche Bank AG
25,915
2/9/2018
2/8/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01180
2018-4559-S
CITDV
Citibank, N.A.
27,800
2/12/2018
2/7/2019
GA
Cliquet
MCI
100M
100M02395
2018-1474451-L
GSIDV
Goldman Sachs International
61,060
2/12/2018
2/8/2019
GA
Asian
Spread 1
100S
100S03599
2018-1474456-L
BARDV
Barclays Bank, PLC
331,260
2/12/2018
2/8/2019
GA
Call Spread
Secure
100C
100C03712
2018-1474454-L
BARDV
Barclays Bank, PLC
355,269
2/12/2018
2/8/2019
GA
Call Spread
Secure
100C
100C03713
2018-1477836-L
CITDV
Citibank, N.A.
1,134,933
2/13/2018
2/11/2019
GA
Asian
Spread 1
100S
100S03600
2018-1477839-L
CITDV
Citibank, N.A.
368,123
2/13/2018
2/11/2019
GA
Call
Secure Par
100P
100P00792
2018-1477838-L
CITDV
Citibank, N.A.
60,545
2/13/2018
2/6/2019
GA
Digital
Trigger
10PT
10PT00911
2018-1477863-L
NATDV
NATIXIS SA
95,183
2/13/2018
2/12/2019
GA
Cliquet
MCI
100M
100M02396
2018-1477866-L
MSIDV
Morgan Stanley & Co International, PLC
163,581
2/13/2018
2/10/2019
GA
Basket
Envoy Cap
10EC
10EC02253
2018-1477870-L
GSIDV
Goldman Sachs International
55,555
2/13/2018
2/14/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00342
2018-1477840-L
DBDV
Deutsche Bank AG
48,294
2/13/2018
2/10/2019
GA
Call Spread
Secure
100C
100C03714
2018-1481258-L
CITDV
Citibank, N.A.
284,725
2/14/2018
2/12/2019
GA
Asian
Spread 1
100S
100S03601
2018-1481260-L
CITDV
Citibank, N.A.
112,588
2/14/2018
2/12/2019
GA
Digital
Trigger
10PT
10PT00912
2018-1481266-L
CSBDV
Credit Suisse International
26,173
2/14/2018
2/13/2019
GA
Cliquet
MCI
100M
100M02397
2018-1481267-L
GSIDV
Goldman Sachs International
82,193
2/14/2018
2/10/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00343
2018-1481257-L
DBDV
Deutsche Bank AG
27,824
2/14/2018
2/7/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00109-2
2018-1484700-L
CITDV
Citibank, N.A.
2,437
2/15/2018
2/3/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00109-3
2018-1484701-L
CITDV
Citibank, N.A.
2,282
2/15/2018
2/3/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00109-4
2018-1484702-L
CITDV
Citibank, N.A.
2,115
2/15/2018
2/3/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00109-5
2018-1484703-L
CITDV
Citibank, N.A.
1,952
2/15/2018
2/3/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00109-7
2018-1484705-L
CITDV
Citibank, N.A.
11,397
2/15/2018
2/3/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00109-1
2018-1484699-L
CITDV
Citibank, N.A.
2,492
2/15/2018
2/1/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00109-6
2018-1484704-L
CITDV
Citibank, N.A.
1,799
2/15/2018
2/2/2024
GA
Call Spread
Secure
100C
100C03715
2018-1484905-L
NATDV
NATIXIS SA
271,653
2/15/2018
2/15/2019
GA
Asian
Spread 1
100S
100S03602
2018-1484907-L
NATDV
NATIXIS SA
66,902
2/15/2018
2/12/2019
GA
Digital
Trigger
10PT
10PT00913
2018-1484914-L
CSBDV
Credit Suisse International
29,347
2/15/2018
2/14/2019
GA
Cliquet
MCI
100M
100M02398
2018-1484908-L
MSIDV
Morgan Stanley & Co International, PLC
57,701
2/15/2018
2/14/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01181
2018-4561-S
GSIDV
Goldman Sachs International
43,500
2/13/2018
2/11/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01182
2018-4573-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
28,500
2/14/2018
2/15/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00041-1
2018-1488513-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,498
2/16/2018
2/6/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00041-2
2018-1488514-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,219
2/16/2018
2/6/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00041-5
2018-1488517-L
JPMDV
JPMORGAN CHASE BANK, N.A.
6,715
2/16/2018
2/6/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00041-7
2018-1488519-L
JPMDV
JPMORGAN CHASE BANK, N.A.
41,221
2/16/2018
2/6/2025
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00041-3
2018-1488515-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,247
2/16/2018
2/5/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00041-4
2018-1488516-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,431
2/16/2018
2/4/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00041-6
2018-1488518-L
JPMDV
JPMORGAN CHASE BANK, N.A.
6,104
2/16/2018
2/6/2024
GA
Call Spread
Secure
100C
100C03716
2018-1488520-L
SGDV
Societe Generale
162,534
2/16/2018
2/18/2019
GA
Asian
Spread 1
100S
100S03603
2018-1488522-L
SGDV
Societe Generale
77,003
2/16/2018
2/12/2019
GA
Cliquet
MCI
100M
100M02399
2018-1488523-L
UBSDV
UBS AG
35,119
2/16/2018
2/15/2019
GA
Call Spread
Secure
100C
100C03717
2018-1491606-L
BARDV
Barclays Bank, PLC
391,983
2/20/2018
2/15/2019
GA
Asian
Spread 1
100S
100S03604
2018-1491610-L
BARDV
Barclays Bank, PLC
159,527
2/20/2018
2/13/2019
GA
Digital
Trigger
10PT
10PT00914
2018-1491604-L
CSBDV
Credit Suisse International
50,232
2/20/2018
2/14/2019
GA
Cliquet
MCI
100M
100M02400
2018-1491603-L
DBDV
Deutsche Bank AG
78,325
2/20/2018
2/16/2019
GA
Basket
Envoy Cap
10EC
10EC02254
2018-1491616-L
NATDV
NATIXIS SA
37,160
2/20/2018
2/8/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01183
2018-4598-S
CITDV
Citibank, N.A.
55,400
2/20/2018
2/8/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00344
2018-1491589-L
DBDV
Deutsche Bank AG
44,117
2/20/2018
2/16/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00110-1
2018-1491625-L
CITDV
Citibank, N.A.
4,470
2/20/2018
2/13/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00110-2
2018-1491626-L
CITDV
Citibank, N.A.
3,909
2/20/2018
2/13/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00110-5
2018-1491629-L
CITDV
Citibank, N.A.
2,849
2/20/2018
2/13/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00110-6
2018-1491630-L
CITDV
Citibank, N.A.
2,588
2/20/2018
2/13/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00110-7
2018-1491631-L
CITDV
Citibank, N.A.
16,207
2/20/2018
2/13/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00110-3
2018-1491627-L
CITDV
Citibank, N.A.
3,491
2/20/2018
2/12/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00110-4
2018-1491628-L
CITDV
Citibank, N.A.
3,146
2/20/2018
2/11/2022
GA
Swaption
Interest Rate Benchmark
10RC
10RC01184
2018-4600-S
CITDV
Citibank, N.A.
71,000
2/21/2018
2/15/2019
GA
Call Spread
Secure
100C
100C03718
2018-1496451-L
SGDV
Societe Generale
1,152,272
2/21/2018
2/18/2019
GA
Asian
Spread 1
100S
100S03605
2018-1496453-L
SGDV
Societe Generale
355,193
2/21/2018
2/17/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian Call Spread
Regency
110R
110R01102
2018-1496454-L
SGDV
Societe Generale
34,190
2/21/2018
2/7/2019
GA
Digital
Trigger
10PT
10PT00915
2018-1496470-L
NATDV
NATIXIS SA
98,380
2/21/2018
2/15/2019
GA
Cliquet
MCI
100M
100M02401
2018-1496469-L
DBDV
Deutsche Bank AG
231,334
2/21/2018
2/18/2019
GA
Basket
Envoy Cap
10EC
10EC02255
2018-1496472-L
GSIDV
Goldman Sachs International
45,221
2/21/2018
2/15/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00345
2018-1496457-L
DBDV
Deutsche Bank AG
32,905
2/21/2018
2/17/2019
GA
Call Spread
Secure
100C
100C03719
2018-1499631-L
GSIDV
Goldman Sachs International
396,017
2/22/2018
2/21/2019
GA
Asian
Spread 1
100S
100S03606
2018-1499633-L
GSIDV
Goldman Sachs International
66,001
2/22/2018
2/22/2019
GA
Cliquet
MCI
100M
100M02402
2018-1499625-L
CSBDV
Credit Suisse International
66,052
2/22/2018
2/24/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00346
2018-1499626-L
DBDV
Deutsche Bank AG
19,673
2/22/2018
2/21/2019
GA
Call Spread
Secure
100C
100C03720
2018-1502939-L
GSIDV
Goldman Sachs International
494,038
2/23/2018
2/20/2019
GA
Asian
Spread 1
100S
100S03607
2018-1502945-L
GSIDV
Goldman Sachs International
102,887
2/23/2018
2/22/2019
GA
Call
Secure Par
100P
100P00793
2018-1502944-L
GSIDV
Goldman Sachs International
68,580
2/23/2018
2/20/2019
GA
Digital
Trigger
10PT
10PT00916
2018-1502949-L
CSBDV
Credit Suisse International
54,747
2/23/2018
2/22/2019
GA
Cliquet
MCI
100M
100M02403
2018-1502948-L
MSIDV
Morgan Stanley & Co International, PLC
87,623
2/23/2018
2/21/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00111-3
2018-1502952-L
CITDV
Citibank, N.A.
3,539
2/23/2018
2/17/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00111-5
2018-1502954-L
CITDV
Citibank, N.A.
2,854
2/23/2018
2/17/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00111-1
2018-1502950-L
CITDV
Citibank, N.A.
4,704
2/23/2018
2/15/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00111-2
2018-1502951-L
CITDV
Citibank, N.A.
4,013
2/23/2018
2/14/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00111-6
2018-1502955-L
CITDV
Citibank, N.A.
2,584
2/23/2018
2/16/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00111-7
2018-1502956-L
CITDV
Citibank, N.A.
16,145
2/23/2018
2/14/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00111-4
2018-1502953-L
CITDV
Citibank, N.A.
3,166
2/23/2018
2/17/2022
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00347
2018-1502934-L
DBDV
Deutsche Bank AG
28,910
2/23/2018
2/22/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01185
2018-4601-S
GSIDV
Goldman Sachs International
30,600
2/23/2018
3/7/2019
GA
Digital
Trigger
10PT
10PT00917
2018-1506054-L
CSBDV
Credit Suisse International
23,433
2/26/2018
2/21/2019
GA
Call Spread
Secure
100C
100C03721
2018-1506085-L
WCHDV
Wells Fargo Bank, N. A.
369,786
2/26/2018
2/22/2019
GA
Asian
Spread 1
100S
100S03608
2018-1506068-L
WCHDV
Wells Fargo Bank, N. A.
130,227
2/26/2018
2/19/2019
GA
Cliquet
MCI
100M
100M02404
2018-1506053-L
GSIDV
Goldman Sachs International
71,876
2/26/2018
2/21/2019
GA
Basket
Envoy Cap
10EC
10EC02256
2018-1506087-L
BARDV
Barclays Bank, PLC
20,584
2/26/2018
2/22/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00348
2018-1506040-L
DBDV
Deutsche Bank AG
22,624
2/26/2018
2/19/2019
GA
Call Spread
Secure
100C
100C03722
2018-1509237-L
WCHDV
Wells Fargo Bank, N. A.
1,074,763
2/27/2018
2/25/2019
GA
Asian
Spread 1
100S
100S03609
2018-1509239-L
WCHDV
Wells Fargo Bank, N. A.
315,579
2/27/2018
2/24/2019
GA
Digital
Trigger
10PT
10PT00918
2018-1509255-L
CSBDV
Credit Suisse International
68,696
2/27/2018
2/25/2019
GA
Cliquet
MCI
100M
100M02405
2018-1509256-L
MSIDV
Morgan Stanley & Co International, PLC
173,860
2/27/2018
2/25/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Basket
Envoy Cap
10EC
10EC02257
2018-1509281-L
NATDV
NATIXIS SA
32,084
2/27/2018
2/25/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00112-3
2018-1509268-L
CITDV
Citibank, N.A.
4,324
2/27/2018
2/23/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00112-4
2018-1509269-L
CITDV
Citibank, N.A.
3,891
2/27/2018
2/23/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00112-5
2018-1509270-L
CITDV
Citibank, N.A.
3,520
2/27/2018
2/23/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00112-6
2018-1509271-L
CITDV
Citibank, N.A.
3,196
2/27/2018
2/23/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00112-1
2018-1509266-L
CITDV
Citibank, N.A.
5,583
2/27/2018
2/22/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00112-2
2018-1509267-L
CITDV
Citibank, N.A.
4,857
2/27/2018
2/21/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00112-7
2018-1509272-L
CITDV
Citibank, N.A.
20,042
2/27/2018
2/21/2025
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00042-3
2018-1509276-L
JPMDV
JPMORGAN CHASE BANK, N.A.
19,013
2/27/2018
2/23/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00042-4
2018-1509277-L
JPMDV
JPMORGAN CHASE BANK, N.A.
17,096
2/27/2018
2/23/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00042-5
2018-1509278-L
JPMDV
JPMORGAN CHASE BANK, N.A.
15,436
2/27/2018
2/23/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00042-6
2018-1509279-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,012
2/27/2018
2/23/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00042-1
2018-1509274-L
JPMDV
JPMORGAN CHASE BANK, N.A.
24,572
2/27/2018
2/22/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00042-2
2018-1509275-L
JPMDV
JPMORGAN CHASE BANK, N.A.
21,396
2/27/2018
2/21/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00042-7
2018-1509280-L
JPMDV
JPMORGAN CHASE BANK, N.A.
95,166
2/27/2018
2/21/2025
GA
Swaption
Interest Rate Benchmark
10RC
10RC01186
2018-4616-S
CITDV
Citibank, N.A.
99,750
2/27/2018
2/22/2019
GA
Call Spread
Secure
100C
100C03723
2018-1512405-L
BARDV
Barclays Bank, PLC
326,732
2/28/2018
2/27/2019
GA
Asian
Spread 1
100S
100S03610
2018-1512407-L
BARDV
Barclays Bank, PLC
56,943
2/28/2018
2/26/2019
GA
Digital
Trigger
10PT
10PT00919
2018-1512413-L
GSIDV
Goldman Sachs International
25,162
2/28/2018
2/28/2019
GA
Cliquet
MCI
100M
100M02406
2018-1512414-L
GSIDV
Goldman Sachs International
69,233
2/28/2018
2/27/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00349
2018-1509254-L
DBDV
Deutsche Bank AG
49,183
2/27/2018
2/25/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00350
2018-1512408-L
DBDV
Deutsche Bank AG
30,656
2/28/2018
2/25/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01187
2018-4617-S
WCHDV
Wells Fargo Bank, N. A.
26,960
2/28/2018
2/26/2019
GA
Call Spread
Secure
100C
100C03724
2018-1518832-L
GSIDV
Goldman Sachs International
250,015
3/1/2018
2/28/2019
GA
Asian
Spread 1
100S
100S03611
2018-1518835-L
GSIDV
Goldman Sachs International
39,114
3/1/2018
2/26/2019
GA
Cliquet
MCI
100M
100M02407
2018-1518831-L
GSIDV
Goldman Sachs International
40,167
3/1/2018
2/28/2019
GA
Digital
Trigger
10PT
10PT00920
2018-1518842-L
CSBDV
Credit Suisse International
25,723
3/1/2018
2/27/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00113-1
2018-1518844-L
CITDV
Citibank, N.A.
4,829
3/1/2018
2/22/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00113-3
2018-1518846-L
CITDV
Citibank, N.A.
3,838
3/1/2018
2/22/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00113-4
2018-1518847-L
CITDV
Citibank, N.A.
3,470
3/1/2018
2/22/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00113-5
2018-1518848-L
CITDV
Citibank, N.A.
3,152
3/1/2018
2/22/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00113-6
2018-1518849-L
CITDV
Citibank, N.A.
2,870
3/1/2018
2/22/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00113-2
2018-1518845-L
CITDV
Citibank, N.A.
4,275
3/1/2018
2/21/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00113-7
2018-1518850-L
CITDV
Citibank, N.A.
18,006
3/1/2018
2/21/2025
GA
Call Spread
Secure
100C
100C03725
2018-1518852-L
WCHDV
Wells Fargo Bank, N. A.
521,230
3/2/2018
3/1/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian
Spread 1
100S
100S03612
2018-1518854-L
WCHDV
Wells Fargo Bank, N. A.
109,199
3/2/2018
2/28/2019
GA
Digital
Trigger
10PT
10PT00921
2018-1518884-L
CSBDV
Credit Suisse International
31,152
3/2/2018
3/1/2019
GA
Cliquet
MCI
100M
100M02408
2018-1518885-L
MSIDV
Morgan Stanley & Co International, PLC
81,271
3/2/2018
3/1/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00351
2018-1518870-L
DBDV
Deutsche Bank AG
45,244
3/2/2018
3/1/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01188
2018-4638-S
GSIDV
Goldman Sachs International
40,760
3/2/2018
2/28/2019
GA
Call Spread
Secure
100C
100C03726
2018-1522023-L
CITDV
Citibank, N.A.
376,312
3/5/2018
3/1/2019
GA
Asian
Spread 1
100S
100S03613
2018-1522026-L
CITDV
Citibank, N.A.
152,425
3/5/2018
2/27/2019
GA
Call
Secure Par
100P
100P00794
2018-1522025-L
CITDV
Citibank, N.A.
67,708
3/5/2018
2/21/2019
GA
Cliquet
MCI
100M
100M02409
2018-1522021-L
MSIDV
Morgan Stanley & Co International, PLC
49,855
3/5/2018
3/3/2019
GA
Basket
Envoy Cap
10EC
10EC02258
2018-1522031-L
BARDV
Barclays Bank, PLC
23,354
3/5/2018
3/1/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01189
2018-4656-S
GSIDV
Goldman Sachs International
61,800
3/6/2018
3/1/2019
GA
Call Spread
Secure
100C
100C03727
2018-1525156-L
BOADV
Bank of America, N.A.
1,162,241
3/6/2018
3/4/2019
GA
Asian
Spread 1
100S
100S03614
2018-1525158-L
BOADV
Bank of America, N.A.
170,236
3/6/2018
3/3/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00114-1
2018-1525161-L
CITDV
Citibank, N.A.
6,443
3/6/2018
3/1/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00114-3
2018-1525163-L
CITDV
Citibank, N.A.
4,896
3/6/2018
3/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00114-4
2018-1525164-L
CITDV
Citibank, N.A.
4,389
3/6/2018
3/1/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00114-5
2018-1525165-L
CITDV
Citibank, N.A.
3,961
3/6/2018
3/1/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00114-2
2018-1525162-L
CITDV
Citibank, N.A.
5,533
3/6/2018
2/28/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00114-7
2018-1525167-L
CITDV
Citibank, N.A.
22,488
3/6/2018
2/28/2025
GA
Digital
Trigger
10PT
10PT00922
2018-1525168-L
SGDV
Societe Generale
123,283
3/6/2018
3/4/2019
GA
Cliquet
MCI
100M
100M02410
2018-1525169-L
UBSDV
UBS AG
188,074
3/6/2018
3/4/2019
GA
Basket
Envoy Cap
10EC
10EC02259
2018-1525184-L
CITDV
Citibank, N.A.
28,415
3/6/2018
3/4/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00352
2018-1525155-L
DBDV
Deutsche Bank AG
42,017
3/6/2018
2/27/2019
GA
Cliquet
MCI
100M
100M02411
2018-1528307-L
GSIDV
Goldman Sachs International
54,308
3/7/2018
3/5/2019
GA
Call Spread
Secure
100C
100C03728
2018-1528308-L
BOADV
Bank of America, N.A.
294,537
3/7/2018
3/8/2019
GA
Asian
Spread 1
100S
100S03615
2018-1528310-L
BOADV
Bank of America, N.A.
33,177
3/7/2018
3/5/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00353
2018-1528306-L
DBDV
Deutsche Bank AG
31,139
3/7/2018
3/6/2019
GA
Call Spread
Secure
100C
100C03729
2018-1531447-L
SGDV
Societe Generale
540,493
3/8/2018
3/7/2019
GA
Asian
Spread 1
100S
100S03616
2018-1531449-L
SGDV
Societe Generale
82,212
3/8/2018
3/5/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01190
2018-4658-S
GSIDV
Goldman Sachs International
35,000
3/8/2018
3/7/2019
GA
Cliquet
MCI
100M
100M02412
2018-1531463-L
MSIDV
Morgan Stanley & Co International, PLC
57,651
3/8/2018
3/6/2019
GA
Digital
Trigger
10PT
10PT00923
2018-1531464-L
CSBDV
Credit Suisse International
72,325
3/8/2018
3/7/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00043-1
2018-1531467-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,205
3/8/2018
3/1/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00043-3
2018-1531469-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,348
3/8/2018
3/1/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00043-4
2018-1531470-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,333
3/8/2018
3/1/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00043-5
2018-1531471-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,446
3/8/2018
3/1/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00043-2
2018-1531468-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,563
3/8/2018
2/28/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00043-7
2018-1531473-L
JPMDV
JPMORGAN CHASE BANK, N.A.
52,344
3/8/2018
2/28/2025
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00354
2018-1531455-L
DBDV
Deutsche Bank AG
31,952
3/8/2018
3/4/2019
GA
Call Spread
Secure
100C
100C03730
2018-1534626-L
SGDV
Societe Generale
423,621
3/9/2018
3/7/2019
GA
Asian
Spread 1
100S
100S03617
2018-1534628-L
SGDV
Societe Generale
76,251
3/9/2018
3/8/2019
GA
Cliquet
MCI
100M
100M02413
2018-1534629-L
GSIDV
Goldman Sachs International
47,579
3/9/2018
3/8/2019
GA
Basket
Envoy Cap
10EC
10EC02260
2018-1534635-L
CITDV
Citibank, N.A.
22,477
3/9/2018
3/7/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00355
2018-1534630-L
DBDV
Deutsche Bank AG
16,742
3/9/2018
3/6/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01191
2018-4675-S
GSIDV
Goldman Sachs International
23,700
3/12/2018
3/7/2019
GA
Cliquet
MCI
100M
100M02414
2018-1537844-L
BOADV
Bank of America, N.A.
63,844
3/12/2018
3/8/2019
GA
Digital
Trigger
10PT
10PT00924
2018-1537847-L
CSBDV
Credit Suisse International
33,080
3/12/2018
3/3/2019
GA
Call Spread
Secure
100C
100C03731
2018-1537848-L
SGDV
Societe Generale
308,554
3/12/2018
3/8/2019
GA
Asian
Spread 1
100S
100S03618
2018-1537850-L
SGDV
Societe Generale
48,979
3/12/2018
3/9/2019
GA
Asian Call Spread
Advantage 3
310A
310A00069
2018-1537853-L
SGDV
Societe Generale
63,234
3/12/2018
4/9/2020
GA
Swaption
Interest Rate Benchmark
10RC
10RC01192
2018-4676-S
GSIDV
Goldman Sachs International
69,800
3/13/2018
3/8/2019
GA
Digital
Trigger
10PT
10PT00925
2018-1541035-L
SGDV
Societe Generale
101,457
3/13/2018
3/10/2019
GA
Call Spread
Secure
100C
100C03732
2018-1541026-L
WCHDV
Wells Fargo Bank, N. A.
1,031,940
3/13/2018
3/11/2019
GA
Asian
Spread 1
100S
100S03619
2018-1541029-L
WCHDV
Wells Fargo Bank, N. A.
92,877
3/13/2018
3/11/2019
GA
Call
Secure Par
100P
100P00795
2018-1541028-L
WCHDV
Wells Fargo Bank, N. A.
86,256
3/13/2018
3/7/2019
GA
Cliquet
MCI
100M
100M02415
2018-1541055-L
GSIDV
Goldman Sachs International
228,789
3/13/2018
3/12/2019
GA
Basket
Envoy Cap
10EC
10EC02261
2018-1541056-L
BARDV
Barclays Bank, PLC
59,707
3/13/2018
3/10/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00115-1
2018-1541060-L
CITDV
Citibank, N.A.
6,255
3/13/2018
3/5/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00115-2
2018-1541061-L
CITDV
Citibank, N.A.
5,315
3/13/2018
3/4/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00115-3
2018-1541062-L
CITDV
Citibank, N.A.
4,681
3/13/2018
3/5/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00115-6
2018-1541065-L
CITDV
Citibank, N.A.
3,413
3/13/2018
3/4/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00115-7
2018-1541066-L
CITDV
Citibank, N.A.
21,363
3/13/2018
3/5/2025
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00356
2018-1541011-L
DBDV
Deutsche Bank AG
43,721
3/13/2018
3/9/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00115-4
2018-1541063-L
CITDV
Citibank, N.A.
4,186
3/13/2018
3/4/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00115-5
2018-1541064-L
CITDV
Citibank, N.A.
3,772
3/13/2018
3/3/2023
GA
Cliquet
MCI
100M
100M02416
2018-1544156-L
MSIDV
Morgan Stanley & Co International, PLC
57,605
3/14/2018
3/10/2019
GA
Digital
Trigger
10PT
10PT00926
2018-1544158-L
GSIDV
Goldman Sachs International
20,220
3/14/2018
3/13/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call Spread
Secure
100C
100C03733
2018-1544160-L
CITDV
Citibank, N.A.
281,959
3/14/2018
3/12/2019
GA
Asian
Spread 1
100S
100S03620
2018-1544162-L
CITDV
Citibank, N.A.
30,246
3/14/2018
3/13/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00357
2018-1544143-L
DBDV
Deutsche Bank AG
22,279
3/14/2018
3/13/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01193
2018-4677-S
GSIDV
Goldman Sachs International
36,100
3/15/2018
3/13/2019
GA
Digital
Trigger
10PT
10PT00927
2018-1547253-L
CSBDV
Credit Suisse International
36,470
3/15/2018
3/13/2019
GA
Call Spread
Secure
100C
100C03734
2018-1547250-L
CITDV
Citibank, N.A.
470,367
3/15/2018
3/14/2019
GA
Asian
Spread 1
100S
100S03621
2018-1547252-L
CITDV
Citibank, N.A.
78,688
3/15/2018
3/13/2019
GA
Cliquet
MCI
100M
100M02417
2018-1547257-L
MSIDV
Morgan Stanley & Co International, PLC
66,793
3/15/2018
3/14/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00358
2018-1547243-L
DBDV
Deutsche Bank AG
20,560
3/15/2018
3/11/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00116-1
2018-1547260-L
CITDV
Citibank, N.A.
3,759
3/15/2018
3/11/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00116-2
2018-1547261-L
CITDV
Citibank, N.A.
3,245
3/15/2018
3/11/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00116-3
2018-1547262-L
CITDV
Citibank, N.A.
2,882
3/15/2018
3/11/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00116-4
2018-1547263-L
CITDV
Citibank, N.A.
2,589
3/15/2018
3/11/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00116-6
2018-1547265-L
CITDV
Citibank, N.A.
2,124
3/15/2018
3/11/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00116-7
2018-1547266-L
CITDV
Citibank, N.A.
13,327
3/15/2018
3/11/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00116-5
2018-1547264-L
CITDV
Citibank, N.A.
2,342
3/15/2018
3/10/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00114-6
2018-1525166-L
CITDV
Citibank, N.A.
3,589
3/6/2018
3/1/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00043-6
2018-1531472-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,684
3/8/2018
3/1/2024
GA
Call Spread
Secure
100C
100C03735
2018-1550337-L
WCHDV
Wells Fargo Bank, N. A.
295,870
3/16/2018
3/15/2019
GA
Asian
Spread 1
100S
100S03622
2018-1550339-L
WCHDV
Wells Fargo Bank, N. A.
47,016
3/16/2018
3/15/2019
GA
Cliquet
MCI
100M
100M02418
2018-1550343-L
MSIDV
Morgan Stanley & Co International, PLC
49,878
3/16/2018
3/14/2019
GA
Basket
Envoy Cap
10EC
10EC02262
2018-1550367-L
CITDV
Citibank, N.A.
25,363
3/16/2018
3/15/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00044-3
2018-1550348-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,089
3/16/2018
3/9/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00044-4
2018-1550349-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,998
3/16/2018
3/9/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00044-5
2018-1550350-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,055
3/16/2018
3/9/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00044-6
2018-1550351-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,254
3/16/2018
3/8/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00044-1
2018-1550346-L
JPMDV
JPMORGAN CHASE BANK, N.A.
14,183
3/16/2018
3/8/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00044-2
2018-1550347-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,399
3/16/2018
3/6/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00044-7
2018-1550352-L
JPMDV
JPMORGAN CHASE BANK, N.A.
56,017
3/16/2018
3/7/2025
GA
Digital
Trigger
10PT
10PT00928
2018-1553438-L
CSBDV
Credit Suisse International
30,181
3/19/2018
3/15/2019
GA
Call Spread
Secure
100C
100C03736
2018-1553439-L
WCHDV
Wells Fargo Bank, N. A.
398,675
3/19/2018
3/15/2019
GA
Asian
Spread 1
100S
100S03623
2018-1553443-L
WCHDV
Wells Fargo Bank, N. A.
31,374
3/19/2018
3/15/2019
GA
Asian Call Spread
Regency
110R
110R01103
2018-1553444-L
WCHDV
Wells Fargo Bank, N. A.
31,460
3/19/2018
3/4/2019
GA
Cliquet
MCI
100M
100M02419
2018-1553437-L
MSIDV
Morgan Stanley & Co International, PLC
70,985
3/19/2018
3/16/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00359
2018-1553436-L
DBDV
Deutsche Bank AG
17,811
3/19/2018
3/14/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01194
2018-4691-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
28,600
3/19/2018
3/15/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00117-2
2018-1553450-L
CITDV
Citibank, N.A.
3,292
3/19/2018
3/10/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00117-3
2018-1553451-L
CITDV
Citibank, N.A.
2,934
3/19/2018
3/10/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00117-4
2018-1553452-L
CITDV
Citibank, N.A.
2,643
3/19/2018
3/10/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00117-7
2018-1553455-L
CITDV
Citibank, N.A.
13,624
3/19/2018
3/10/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00117-1
2018-1553449-L
CITDV
Citibank, N.A.
3,786
3/19/2018
3/8/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00117-5
2018-1553453-L
CITDV
Citibank, N.A.
2,393
3/19/2018
3/10/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00117-6
2018-1553454-L
CITDV
Citibank, N.A.
2,175
3/19/2018
3/8/2024
GA
Digital
Trigger
10PT
10PT00929
2018-1556546-L
SGDV
Societe Generale
81,079
3/20/2018
3/18/2019
GA
Call Spread
Secure
100C
100C03737
2018-1556548-L
RBCDV
Royal Bank of Canada
1,030,147
3/20/2018
3/18/2019
GA
Asian
Spread 1
100S
100S03624
2018-1556550-L
RBCDV
Royal Bank of Canada
35,295
3/20/2018
3/18/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01195
2018-4692-S
GSIDV
Goldman Sachs International
44,200
3/20/2018
3/18/2019
GA
Cliquet
MCI
100M
100M02420
2018-1556547-L
MSIDV
Morgan Stanley & Co International, PLC
146,286
3/20/2018
3/18/2019
GA
Basket
Envoy Cap
10EC
10EC02263
2018-1556557-L
NATDV
NATIXIS SA
66,290
3/20/2018
3/15/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00360
2018-1556545-L
DBDV
Deutsche Bank AG
29,010
3/20/2018
3/16/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00118-1
2018-1559642-L
CITDV
Citibank, N.A.
3,994
3/21/2018
3/19/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00118-2
2018-1559643-L
CITDV
Citibank, N.A.
3,489
3/21/2018
3/19/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00118-3
2018-1559644-L
CITDV
Citibank, N.A.
3,114
3/21/2018
3/19/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00118-6
2018-1559647-L
CITDV
Citibank, N.A.
2,307
3/21/2018
3/19/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00118-7
2018-1559648-L
CITDV
Citibank, N.A.
14,485
3/21/2018
3/19/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00118-4
2018-1559645-L
CITDV
Citibank, N.A.
2,805
3/21/2018
3/18/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00118-5
2018-1559646-L
CITDV
Citibank, N.A.
2,540
3/21/2018
3/17/2023
GA
Digital
Trigger
10PT
10PT00930
2018-1559663-L
NATDV
NATIXIS SA
25,943
3/21/2018
3/20/2019
GA
Call Spread
Secure
100C
100C03738
2018-1559657-L
HSBDV
HSBC Bank USA, National Association
247,230
3/21/2018
3/19/2019
GA
Asian
Spread 1
100S
100S03625
2018-1559659-L
HSBDV
HSBC Bank USA, National Association
67,063
3/21/2018
3/18/2019
GA
Cliquet
MCI
100M
100M02421
2018-1559662-L
BOADV
Bank of America, N.A.
60,138
3/21/2018
3/19/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00361
2018-1559636-L
DBDV
Deutsche Bank AG
34,819
3/21/2018
3/24/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01196
2018-4696-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
26,200
3/22/2018
3/20/2019
GA
Call Spread
Secure
100C
100C03739
2018-1562781-L
GSIDV
Goldman Sachs International
377,369
3/22/2018
3/22/2019
GA
Asian
Spread 1
100S
100S03626
2018-1562783-L
GSIDV
Goldman Sachs International
11,691
3/22/2018
3/21/2019
GA
Digital
Trigger
10PT
10PT00931
2018-1562787-L
GSIDV
Goldman Sachs International
34,187
3/22/2018
3/20/2019
GA
Cliquet
MCI
100M
100M02422
2018-1562789-L
GSIDV
Goldman Sachs International
46,904
3/22/2018
3/21/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Basket
Envoy Cap
10EC
10EC02264
2018-1562793-L
CSBDV
Credit Suisse International
21,654
3/22/2018
3/20/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00362
2018-1562780-L
DBDV
Deutsche Bank AG
21,691
3/22/2018
3/20/2019
GA
Asian
Spread 1
100S
100S03627
2018-1565878-L
MSIDV
Morgan Stanley & Co International, PLC
9,756
3/23/2018
3/24/2019
GA
Digital
Trigger
10PT
10PT00932
2018-1565891-L
CSBDV
Credit Suisse International
23,415
3/23/2018
3/20/2019
GA
Cliquet
MCI
100M
100M02423
2018-1565888-L
MSIDV
Morgan Stanley & Co International, PLC
42,406
3/23/2018
3/21/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01197
2018-4714-S
GSIDV
Goldman Sachs International
17,200
3/26/2018
3/22/2019
GA
Call Spread
Secure
100C
100C03741
2018-1568976-L
RBCDV
Royal Bank of Canada
383,455
3/26/2018
3/22/2019
GA
Asian
Spread 1
100S
100S03628
2018-1568978-L
RBCDV
Royal Bank of Canada
26,672
3/26/2018
3/22/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00119-2
2018-1568986-L
CITDV
Citibank, N.A.
3,898
3/26/2018
3/23/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00119-3
2018-1568987-L
CITDV
Citibank, N.A.
3,472
3/26/2018
3/23/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00119-4
2018-1568988-L
CITDV
Citibank, N.A.
3,124
3/26/2018
3/23/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00119-5
2018-1568989-L
CITDV
Citibank, N.A.
2,828
3/26/2018
3/23/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00119-1
2018-1568985-L
CITDV
Citibank, N.A.
4,488
3/26/2018
3/22/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00119-6
2018-1568990-L
CITDV
Citibank, N.A.
2,569
3/26/2018
3/22/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00119-7
2018-1568991-L
CITDV
Citibank, N.A.
16,094
3/26/2018
3/21/2025
GA
Cliquet
MCI
100M
100M02424
2018-1568972-L
MSIDV
Morgan Stanley & Co International, PLC
68,486
3/26/2018
3/23/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00363
2018-1568956-L
DBDV
Deutsche Bank AG
30,655
3/26/2018
3/21/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01198
2018-4715-S
GSIDV
Goldman Sachs International
46,200
3/27/2018
3/25/2019
GA
Call Spread
Secure
100C
100C03742
2018-1572101-L
SGDV
Societe Generale
993,590
3/27/2018
3/25/2019
GA
Asian
Spread 1
100S
100S03629
2018-1572104-L
SGDV
Societe Generale
173,206
3/27/2018
3/25/2019
GA
Call
Secure Par
100P
100P00796
2018-1572103-L
SGDV
Societe Generale
72,801
3/27/2018
3/19/2019
GA
Digital
Trigger
10PT
10PT00933
2018-1572115-L
BARDV
Barclays Bank, PLC
100,587
3/27/2018
3/24/2019
GA
Cliquet
MCI
100M
100M02425
2018-1572117-L
GSIDV
Goldman Sachs International
177,160
3/27/2018
3/25/2019
GA
Basket
Envoy Cap
10EC
10EC02265
2018-1572127-L
GSIDV
Goldman Sachs International
63,990
3/27/2018
3/22/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00364
2018-1572105-L
DBDV
Deutsche Bank AG
31,850
3/27/2018
3/25/2019
GA
Digital
Trigger
10PT
10PT00934
2018-1575227-L
GSIDV
Goldman Sachs International
30,639
3/28/2018
3/22/2019
GA
Cliquet
MCI
100M
100M02426
2018-1575230-L
GSIDV
Goldman Sachs International
38,860
3/28/2018
3/27/2019
GA
Call Spread
Secure
100C
100C03743
2018-1575231-L
WCHDV
Wells Fargo Bank, N. A.
228,823
3/28/2018
3/27/2019
GA
Asian
Spread 1
100S
100S03630
2018-1575233-L
WCHDV
Wells Fargo Bank, N. A.
41,412
3/28/2018
3/23/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01199
2018-4740-S
WCHDV
Wells Fargo Bank, N. A.
30,500
3/29/2018
3/28/2019
GA
Call Spread
Secure
100C
100C03744
2018-1578355-L
SGDV
Societe Generale
625,530
3/29/2018
3/27/2019
GA
Asian
Spread 1
100S
100S03631
2018-1578357-L
SGDV
Societe Generale
66,896
3/29/2018
3/27/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00935
2018-1578363-L
HSBDV
HSBC Bank USA, National Association
54,307
3/29/2018
3/28/2019
GA
Cliquet
MCI
100M
100M02427
2018-1578364-L
GSIDV
Goldman Sachs International
56,319
3/29/2018
3/28/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00120-1
2018-1578369-L
CITDV
Citibank, N.A.
7,283
3/29/2018
3/27/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00120-2
2018-1578370-L
CITDV
Citibank, N.A.
6,235
3/29/2018
3/27/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00120-5
2018-1578373-L
CITDV
Citibank, N.A.
4,467
3/29/2018
3/27/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00120-6
2018-1578374-L
CITDV
Citibank, N.A.
4,051
3/29/2018
3/27/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00120-7
2018-1578375-L
CITDV
Citibank, N.A.
25,387
3/29/2018
3/27/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00120-3
2018-1578371-L
CITDV
Citibank, N.A.
5,518
3/29/2018
3/26/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00120-4
2018-1578372-L
CITDV
Citibank, N.A.
4,947
3/29/2018
3/25/2022
GA
Call Spread
Secure
100C
100C03745
2018-1585879-L
WCHDV
Wells Fargo Bank, N. A.
305,649
4/2/2018
3/29/2019
GA
Asian
Spread 1
100S
100S03632
2018-1585881-L
WCHDV
Wells Fargo Bank, N. A.
15,010
4/2/2018
3/29/2019
GA
Digital
Trigger
10PT
10PT00936
2018-1585886-L
NATDV
NATIXIS SA
33,314
4/2/2018
3/28/2019
GA
Cliquet
MCI
100M
100M02428
2018-1585889-L
UBSDV
UBS AG
29,913
4/2/2018
3/28/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00365
2018-1578352-L
DBDV
Deutsche Bank AG
32,093
3/29/2018
4/1/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00366
2018-1585885-L
DBDV
Deutsche Bank AG
13,100
4/2/2018
3/22/2019
GA
Call Spread
Secure
100C
100C03740
2018-1565876-L
MSIDV
Morgan Stanley & Co International, PLC
287,287
3/23/2018
3/21/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01200
2018-4761-S
GSIDV
Goldman Sachs International
71,100
4/3/2018
3/29/2019
GA
Call Spread
Secure
100C
100C03746
2018-1585971-L
NATDV
NATIXIS SA
1,320,743
4/3/2018
3/29/2019
GA
Asian
Spread 1
100S
100S03633
2018-1585973-L
NATDV
NATIXIS SA
76,332
4/3/2018
4/2/2019
GA
Digital
Trigger
10PT
10PT00937
2018-1585980-L
SGDV
Societe Generale
111,053
4/3/2018
3/29/2019
GA
Cliquet
MCI
100M
100M02429
2018-1585981-L
UBSDV
UBS AG
223,184
4/3/2018
3/31/2019
GA
Basket
Envoy Cap
10EC
10EC02266
2018-1585984-L
BARDV
Barclays Bank, PLC
55,191
4/3/2018
3/29/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00367
2018-1585970-L
DBDV
Deutsche Bank AG
44,605
4/3/2018
3/26/2019
GA
Call Spread
Secure
100C
100C03747
2018-1589116-L
NATDV
NATIXIS SA
319,775
4/4/2018
4/3/2019
GA
Asian
Spread 1
100S
100S03634
2018-1589118-L
NATDV
NATIXIS SA
83,194
4/4/2018
3/31/2019
GA
Digital
Trigger
10PT
10PT00938
2018-1589119-L
HSBDV
HSBC Bank USA, National Association
24,997
4/4/2018
4/1/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00121-1
2018-1589124-L
CITDV
Citibank, N.A.
3,423
4/4/2018
4/1/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00121-2
2018-1589125-L
CITDV
Citibank, N.A.
2,967
4/4/2018
4/1/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00121-3
2018-1589126-L
CITDV
Citibank, N.A.
2,640
4/4/2018
4/1/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00121-4
2018-1589127-L
CITDV
Citibank, N.A.
2,375
4/4/2018
4/1/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00121-6
2018-1589129-L
CITDV
Citibank, N.A.
1,953
4/4/2018
4/1/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00121-7
2018-1589130-L
CITDV
Citibank, N.A.
12,253
4/4/2018
4/1/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00121-5
2018-1589128-L
CITDV
Citibank, N.A.
2,150
4/4/2018
3/31/2023
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Cliquet
MCI
100M
100M02430
2018-1589123-L
GSIDV
Goldman Sachs International
45,273
4/4/2018
3/30/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00368
2018-1589114-L
DBDV
Deutsche Bank AG
22,621
4/4/2018
4/1/2019
GA
Digital
Trigger
10PT
10PT00939
2018-1592295-L
GSIDV
Goldman Sachs International
45,007
4/5/2018
4/4/2019
GA
Call Spread
Secure
100C
100C03748
2018-1592289-L
GSIDV
Goldman Sachs International
506,748
4/5/2018
4/4/2019
GA
Call
Secure Par
100P
100P00797
2018-1592291-L
GSIDV
Goldman Sachs International
94,164
4/5/2018
4/1/2019
GA
Asian
Spread 1
100S
100S03635
2018-1592292-L
GSIDV
Goldman Sachs International
61,952
4/5/2018
4/4/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01201
2018-4765-S
WCHDV
Wells Fargo Bank, N. A.
29,300
4/5/2018
4/2/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00045-7
2018-1592303-L
JPMDV
JPMORGAN CHASE BANK, N.A.
53,473
4/5/2018
3/24/2025
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00045-5
2018-1592301-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,644
4/5/2018
3/24/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00045-4
2018-1592300-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,545
4/5/2018
3/24/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00045-3
2018-1592299-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,585
4/5/2018
3/24/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00045-2
2018-1592298-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,862
4/5/2018
3/24/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00045-1
2018-1592297-L
JPMDV
JPMORGAN CHASE BANK, N.A.
13,693
4/5/2018
3/22/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00045-6
2018-1592302-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,887
4/5/2018
3/22/2024
GA
Cliquet
MCI
100M
100M02431
2018-1592296-L
BOADV
Bank of America, N.A.
78,351
4/5/2018
4/4/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00369
2018-1592287-L
DBDV
Deutsche Bank AG
30,286
4/5/2018
4/3/2019
GA
Call Spread
Secure
100C
100C03749
2018-1598676-L
BOADV
Bank of America, N.A.
298,897
4/6/2018
4/5/2019
GA
Asian
Spread 1
100S
100S03636
2018-1598678-L
BOADV
Bank of America, N.A.
34,076
4/6/2018
4/6/2019
GA
Cliquet
MCI
100M
100M02432
2018-1595548-L
BOADV
Bank of America, N.A.
70,728
4/6/2018
4/4/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01202
2018-4782-S
GSIDV
Goldman Sachs International
16,700
4/9/2018
4/5/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00370
2018-1595547-L
DBDV
Deutsche Bank AG
19,264
4/6/2018
4/4/2019
GA
Digital
Trigger
10PT
10PT00940
2018-1598701-L
HSBDV
HSBC Bank USA, National Association
30,501
4/9/2018
4/5/2019
GA
Call Spread
Secure
100C
100C03750
2018-1598697-L
BOADV
Bank of America, N.A.
320,767
4/9/2018
4/5/2019
GA
Asian
Spread 1
100S
100S03637
2018-1598699-L
BOADV
Bank of America, N.A.
32,115
4/9/2018
4/8/2019
GA
Cliquet
MCI
100M
100M02433
2018-1598700-L
UBSDV
UBS AG
36,445
4/9/2018
4/5/2019
GA
Basket
Envoy Cap
10EC
10EC02267
2018-1598707-L
BARDV
Barclays Bank, PLC
30,727
4/9/2018
4/5/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01203
2018-4783-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
30,000
4/10/2018
4/8/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00122-2
2018-1601874-L
CITDV
Citibank, N.A.
4,673
4/10/2018
4/6/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00122-3
2018-1601875-L
CITDV
Citibank, N.A.
4,151
4/10/2018
4/6/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00122-4
2018-1601876-L
CITDV
Citibank, N.A.
3,730
4/10/2018
4/6/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00122-5
2018-1601877-L
CITDV
Citibank, N.A.
3,373
4/10/2018
4/6/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00122-1
2018-1601873-L
CITDV
Citibank, N.A.
5,418
4/10/2018
4/5/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00122-6
2018-1601878-L
CITDV
Citibank, N.A.
3,063
4/10/2018
4/5/2024
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00122-7
2018-1601879-L
CITDV
Citibank, N.A.
19,188
4/10/2018
4/4/2025
GA
Call Spread
Secure
100C
100C03751
2018-1601870-L
BOADV
Bank of America, N.A.
1,207,769
4/10/2018
4/8/2019
GA
Asian
Spread 1
100S
100S03638
2018-1601872-L
BOADV
Bank of America, N.A.
151,062
4/10/2018
4/8/2019
GA
Digital
Trigger
10PT
10PT00941
2018-1601891-L
HSBDV
HSBC Bank USA, National Association
70,586
4/10/2018
4/8/2019
GA
Cliquet
MCI
100M
100M02434
2018-1601890-L
MSIDV
Morgan Stanley & Co International, PLC
183,344
4/10/2018
4/8/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00371
2018-1601864-L
DBDV
Deutsche Bank AG
55,893
4/10/2018
4/6/2019
GA
Digital
Trigger
10PT
10PT00942
2018-1605062-L
GSIDV
Goldman Sachs International
21,616
4/11/2018
4/9/2019
GA
Call Spread
Secure
100C
100C03752
2018-1605057-L
CSBDV
Credit Suisse International
387,485
4/11/2018
4/9/2019
GA
Asian
Spread 1
100S
100S03639
2018-1605059-L
CSBDV
Credit Suisse International
110,858
4/11/2018
4/1/2019
GA
Asian Call Spread
Regency
110R
110R01104
2018-1605060-L
CSBDV
Credit Suisse International
38,223
4/11/2018
3/30/2019
GA
Cliquet
MCI
100M
100M02435
2018-1605066-L
BOADV
Bank of America, N.A.
70,509
4/11/2018
4/10/2019
GA
Basket
Envoy Cap
10EC
10EC02268
2018-1605070-L
NATDV
NATIXIS SA
23,304
4/11/2018
4/8/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00372
2018-1605056-L
DBDV
Deutsche Bank AG
26,835
4/11/2018
4/7/2019
GA
Digital
Trigger
10PT
10PT00943
2018-1608260-L
CSBDV
Credit Suisse International
57,864
4/12/2018
4/10/2019
GA
Asian
Spread 1
100S
100S03640
2018-1608259-L
BOADV
Bank of America, N.A.
50,045
4/12/2018
4/13/2019
GA
Cliquet
MCI
100M
100M02436
2018-1608261-L
DBDV
Deutsche Bank AG
62,095
4/12/2018
4/10/2019
GA
Basket
Envoy Cap
10EC
10EC02269
2018-1608266-L
NATDV
NATIXIS SA
29,286
4/12/2018
4/11/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01204
2018-4876-S
WCHDV
Wells Fargo Bank, N. A.
23,500
4/12/2018
4/10/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00373
2018-1608252-L
DBDV
Deutsche Bank AG
46,882
4/12/2018
4/7/2019
GA
Call Spread
Secure
100C
100C03754
2018-1611547-L
HSBDV
HSBC Bank USA, National Association
341,691
4/13/2018
4/11/2019
GA
Asian
Spread 1
100S
100S03641
2018-1611549-L
HSBDV
HSBC Bank USA, National Association
36,031
4/13/2018
4/9/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00123-2
2018-1611565-L
CITDV
Citibank, N.A.
3,598
4/13/2018
4/6/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00123-3
2018-1611566-L
CITDV
Citibank, N.A.
3,206
4/13/2018
4/6/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00123-4
2018-1611567-L
CITDV
Citibank, N.A.
2,887
4/13/2018
4/6/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00123-5
2018-1611568-L
CITDV
Citibank, N.A.
2,616
4/13/2018
4/6/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00123-1
2018-1611564-L
CITDV
Citibank, N.A.
4,141
4/13/2018
4/5/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00123-6
2018-1611569-L
CITDV
Citibank, N.A.
2,378
4/13/2018
4/5/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00123-7
2018-1611570-L
CITDV
Citibank, N.A.
14,907
4/13/2018
4/4/2025
GA
Digital
Trigger
10PT
10PT00944
2018-1611571-L
CSBDV
Credit Suisse International
24,387
4/13/2018
4/10/2019
GA
Cliquet
MCI
100M
100M02437
2018-1611572-L
GSIDV
Goldman Sachs International
67,610
4/13/2018
4/10/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00374
2018-1611541-L
DBDV
Deutsche Bank AG
16,451
4/13/2018
4/12/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01205
2018-4900-S
WCHDV
Wells Fargo Bank, N. A.
19,150
4/16/2018
4/12/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Call Spread
Secure
100C
100C03755
2018-1614787-L
HSBDV
HSBC Bank USA, National Association
465,517
4/16/2018
4/12/2019
GA
Asian
Spread 1
100S
100S03642
2018-1614790-L
HSBDV
HSBC Bank USA, National Association
46,232
4/16/2018
4/13/2019
GA
Cliquet
MCI
100M
100M02438
2018-1614796-L
MSIDV
Morgan Stanley & Co International, PLC
90,954
4/16/2018
4/12/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00375
2018-1614780-L
DBDV
Deutsche Bank AG
25,108
4/16/2018
4/12/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00124-1
2018-1614797-L
CITDV
Citibank, N.A.
3,818
4/16/2018
4/11/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00124-4
2018-1614800-L
CITDV
Citibank, N.A.
2,643
4/16/2018
4/11/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00124-5
2018-1614801-L
CITDV
Citibank, N.A.
2,392
4/16/2018
4/11/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00124-6
2018-1614802-L
CITDV
Citibank, N.A.
2,173
4/16/2018
4/11/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00124-7
2018-1614803-L
CITDV
Citibank, N.A.
13,629
4/16/2018
4/11/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00124-2
2018-1614798-L
CITDV
Citibank, N.A.
3,307
4/16/2018
4/9/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00124-3
2018-1614799-L
CITDV
Citibank, N.A.
2,940
4/16/2018
4/9/2021
GA
Swaption
Interest Rate Benchmark
10RC
10RC01206
2018-4924-S
GSIDV
Goldman Sachs International
39,000
4/17/2018
4/15/2019
GA
Call Spread
Secure
100C
100C03756
2018-1618003-L
WCHDV
Wells Fargo Bank, N. A.
1,214,298
4/17/2018
4/15/2019
GA
Call
Secure Par
100P
100P00798
2018-1618005-L
WCHDV
Wells Fargo Bank, N. A.
87,736
4/17/2018
4/12/2019
GA
Asian
Spread 1
100S
100S03643
2018-1618006-L
WCHDV
Wells Fargo Bank, N. A.
114,822
4/17/2018
4/14/2019
GA
Digital
Trigger
10PT
10PT00945
2018-1618016-L
HSBDV
HSBC Bank USA, National Association
134,125
4/17/2018
4/12/2019
GA
Cliquet
MCI
100M
100M02439
2018-1618015-L
MSIDV
Morgan Stanley & Co International, PLC
187,596
4/17/2018
4/15/2019
GA
Basket
Envoy Cap
10EC
10EC02270
2018-1618020-L
GSIDV
Goldman Sachs International
56,963
4/17/2018
4/12/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00125-1
2018-1618022-L
CITDV
Citibank, N.A.
3,830
4/17/2018
4/16/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00125-2
2018-1618023-L
CITDV
Citibank, N.A.
3,289
4/17/2018
4/16/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00125-3
2018-1618024-L
CITDV
Citibank, N.A.
2,913
4/17/2018
4/16/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00125-6
2018-1618027-L
CITDV
Citibank, N.A.
2,143
4/17/2018
4/16/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00125-7
2018-1618028-L
CITDV
Citibank, N.A.
13,454
4/17/2018
4/16/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00125-4
2018-1618025-L
CITDV
Citibank, N.A.
2,615
4/17/2018
4/14/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00125-5
2018-1618026-L
CITDV
Citibank, N.A.
2,363
4/17/2018
4/14/2023
GA
Swaption
Interest Rate Benchmark
10RC
10RC01207
2018-4925-S
GSIDV
Goldman Sachs International
18,500
4/18/2018
4/12/2019
GA
Digital
Trigger
10PT
10PT00946
2018-1621240-L
HSBDV
HSBC Bank USA, National Association
28,981
4/18/2018
4/12/2019
GA
Call Spread
Secure
100C
100C03757
2018-1621237-L
NATDV
NATIXIS SA
376,300
4/18/2018
4/15/2019
GA
Asian
Spread 1
100S
100S03644
2018-1621239-L
NATDV
NATIXIS SA
91,958
4/18/2018
4/21/2019
GA
Cliquet
MCI
100M
100M02440
2018-1621247-L
DBDV
Deutsche Bank AG
61,378
4/18/2018
4/16/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00377
2018-1621248-L
DBDV
Deutsche Bank AG
64,779
4/18/2018
4/9/2019
GA
Call Spread
Secure
100C
100C03758
2018-1624436-L
WCHDV
Wells Fargo Bank, N. A.
404,778
4/19/2018
4/18/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian
Spread 1
100S
100S03645
2018-1624438-L
WCHDV
Wells Fargo Bank, N. A.
17,467
4/19/2018
4/23/2019
GA
Digital
Trigger
10PT
10PT00947
2018-1624439-L
HSBDV
HSBC Bank USA, National Association
45,174
4/19/2018
4/21/2019
GA
Cliquet
MCI
100M
100M02441
2018-1624445-L
BOADV
Bank of America, N.A.
63,735
4/19/2018
4/17/2019
GA
Basket
Envoy Cap
10EC
10EC02271
2018-1624450-L
CITDV
Citibank, N.A.
32,454
4/19/2018
4/17/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00378
2018-1624435-L
DBDV
Deutsche Bank AG
36,820
4/19/2018
4/4/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00046-1
2018-1627661-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,966
4/20/2018
4/9/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00046-2
2018-1627662-L
JPMDV
JPMORGAN CHASE BANK, N.A.
11,180
4/20/2018
4/9/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00046-3
2018-1627663-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,934
4/20/2018
4/9/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00046-6
2018-1627666-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,346
4/20/2018
4/9/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00046-7
2018-1627667-L
JPMDV
JPMORGAN CHASE BANK, N.A.
49,379
4/20/2018
4/9/2025
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00046-4
2018-1627664-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,886
4/20/2018
4/8/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00046-5
2018-1627665-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,056
4/20/2018
4/6/2023
GA
Call Spread
Secure
100C
100C03759
2018-1627669-L
CITDV
Citibank, N.A.
317,468
4/20/2018
4/18/2019
GA
Asian
Spread 1
100S
100S03646
2018-1627671-L
CITDV
Citibank, N.A.
21,125
4/20/2018
4/18/2019
GA
Cliquet
MCI
100M
100M02442
2018-1627668-L
BOADV
Bank of America, N.A.
61,438
4/20/2018
4/18/2019
GA
Call Spread
Secure
100C
100C03753
2018-1608257-L
BOADV
Bank of America, N.A.
531,801
4/12/2018
4/11/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00376
2018-1618002-L
DBDV
Deutsche Bank AG
21,224
4/17/2018
4/13/2019
GA
Call Spread
Secure
100C
100C03760
2018-1630877-L
CITDV
Citibank, N.A.
366,331
4/23/2018
4/8/2019
GA
Asian
Spread 1
100S
100S03647
2018-1630879-L
CITDV
Citibank, N.A.
75,760
4/23/2018
4/20/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01208
2018-4945-S
SGDV
Societe Generale
26,258
4/23/2018
4/18/2019
GA
Cliquet
MCI
100M
100M02443
2018-1630874-L
MSIDV
Morgan Stanley & Co International, PLC
51,867
4/23/2018
4/19/2019
GA
Digital
Trigger
10PT
10PT00948
2018-1630876-L
HSBDV
HSBC Bank USA, National Association
35,015
4/23/2018
4/26/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00379
2018-1630872-L
DBDV
Deutsche Bank AG
97,639
4/23/2018
4/10/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00126-1
2018-1630880-L
CITDV
Citibank, N.A.
6,948
4/23/2018
4/18/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00126-4
2018-1630883-L
CITDV
Citibank, N.A.
4,908
4/23/2018
4/18/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00126-5
2018-1630884-L
CITDV
Citibank, N.A.
4,445
4/23/2018
4/18/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00126-6
2018-1630885-L
CITDV
Citibank, N.A.
4,040
4/23/2018
4/18/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00126-2
2018-1630881-L
CITDV
Citibank, N.A.
6,093
4/23/2018
4/17/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00126-3
2018-1630882-L
CITDV
Citibank, N.A.
5,447
4/23/2018
4/16/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00126-7
2018-1630886-L
CITDV
Citibank, N.A.
25,340
4/23/2018
4/17/2025
GA
Call Spread
Secure
100C
100C03761
2018-1634104-L
CITDV
Citibank, N.A.
1,144,049
4/24/2018
4/19/2019
GA
Asian
Spread 1
100S
100S03648
2018-1634106-L
CITDV
Citibank, N.A.
86,407
4/24/2018
4/21/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01209
2018-4952-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
54,200
4/24/2018
4/18/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Digital
Trigger
10PT
10PT00949
2018-1634119-L
SGDV
Societe Generale
98,919
4/24/2018
4/18/2019
GA
Cliquet
MCI
100M
100M02444
2018-1634122-L
GSIDV
Goldman Sachs International
125,119
4/24/2018
4/21/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00380
2018-1634103-L
DBDV
Deutsche Bank AG
40,166
4/24/2018
4/18/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00127-1
2018-1634111-L
CITDV
Citibank, N.A.
4,478
4/24/2018
4/22/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00127-2
2018-1634112-L
CITDV
Citibank, N.A.
3,941
4/24/2018
4/22/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00127-3
2018-1634113-L
CITDV
Citibank, N.A.
3,528
4/24/2018
4/22/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00127-4
2018-1634114-L
CITDV
Citibank, N.A.
3,184
4/24/2018
4/22/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00127-6
2018-1634116-L
CITDV
Citibank, N.A.
2,624
4/24/2018
4/22/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00127-7
2018-1634117-L
CITDV
Citibank, N.A.
16,477
4/24/2018
4/22/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00127-5
2018-1634115-L
CITDV
Citibank, N.A.
2,887
4/24/2018
4/21/2023
GA
Call Spread
Secure
100C
100C03762
2018-1637421-L
SGDV
Societe Generale
293,266
4/25/2018
4/23/2019
GA
Asian
Spread 1
100S
100S03649
2018-1637423-L
SGDV
Societe Generale
70,039
4/25/2018
4/23/2019
GA
Cliquet
MCI
100M
100M02445
2018-1637420-L
GSIDV
Goldman Sachs International
58,567
4/25/2018
4/26/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01210
2018-4957-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
33,900
4/26/2018
4/18/2019
GA
Call Spread
Secure
100C
100C03763
2018-1640720-L
GSIDV
Goldman Sachs International
429,527
4/26/2018
4/24/2019
GA
Call
Secure Par
100P
100P00799
2018-1640722-L
GSIDV
Goldman Sachs International
61,354
4/26/2018
4/19/2019
GA
Asian
Spread 1
100S
100S03650
2018-1640723-L
GSIDV
Goldman Sachs International
51,435
4/26/2018
4/26/2019
GA
Digital
Trigger
10PT
10PT00950
2018-1640746-L
CSBDV
Credit Suisse International
58,662
4/26/2018
4/23/2019
GA
Cliquet
MCI
100M
100M02446
2018-1640747-L
DBDV
Deutsche Bank AG
57,723
4/26/2018
4/23/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00381
2018-1640719-L
DBDV
Deutsche Bank AG
84,138
4/26/2018
4/24/2019
GA
Cliquet
MCI
100M
100M02447
2018-1643878-L
MSIDV
Morgan Stanley & Co International, PLC
54,993
4/27/2018
4/26/2019
GA
Call Spread
Secure
100C
100C03764
2018-1643885-L
WCHDV
Wells Fargo Bank, N. A.
263,028
4/27/2018
4/26/2019
GA
Asian
Spread 1
100S
100S03651
2018-1643887-L
WCHDV
Wells Fargo Bank, N. A.
68,644
4/27/2018
4/24/2019
GA
Asian Call Spread
Regency
110R
110R01105
2018-1643888-L
WCHDV
Wells Fargo Bank, N. A.
36,594
4/27/2018
4/18/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00382
2018-1643864-L
DBDV
Deutsche Bank AG
49,515
4/27/2018
4/22/2019
GA
Call Spread
Secure
100C
100C03765
2018-1646994-L
GSIDV
Goldman Sachs International
385,559
4/30/2018
4/26/2019
GA
Asian
Spread 1
100S
100S03652
2018-1646996-L
GSIDV
Goldman Sachs International
80,600
4/30/2018
4/24/2019
GA
Cliquet
MCI
100M
100M02448
2018-1646986-L
MSIDV
Morgan Stanley & Co International, PLC
79,232
4/30/2018
4/26/2019
GA
Digital
Trigger
10PT
10PT00951
2018-1646993-L
CSBDV
Credit Suisse International
28,289
4/30/2018
4/26/2019
GA
Basket
Envoy Cap
10EC
10EC02272
2018-1634125-L
NATDV
NATIXIS SA
70,625
4/24/2018
4/18/2019
GA
Call Spread
Secure
100C
100C03769
2018-1659481-L
NATDV
NATIXIS SA
262,950
5/4/2018
5/3/2019
GA
Call Spread
Secure
100C
100C03766
2018-1653192-L
NATDV
NATIXIS SA
976,778
5/1/2018
4/29/2019
GA
Asian
Spread 1
100S
100S03653
2018-1653194-L
NATDV
NATIXIS SA
68,579
5/1/2018
4/30/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Swaption
Interest Rate Benchmark
10RC
10RC01211
2018-4978-S
CAYDV
CREDIT AGRICOLE CORPORATE & INVES
66,700
5/1/2018
4/26/2019
GA
Cliquet
MCI
100M
100M02449
2018-1653196-L
GSIDV
Goldman Sachs International
172,108
5/1/2018
4/29/2019
GA
Digital
Trigger
10PT
10PT00952
2018-1653197-L
CSBDV
Credit Suisse International
94,415
5/1/2018
4/30/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00383
2018-1653195-L
DBDV
Deutsche Bank AG
84,516
5/1/2018
4/28/2019
GA
Call Spread
Secure
100C
100C03767
2018-1653235-L
BOADV
Bank of America, N.A.
346,191
5/2/2018
5/1/2019
GA
Asian
Spread 1
100S
100S03654
2018-1653237-L
BOADV
Bank of America, N.A.
54,225
5/2/2018
5/2/2019
GA
Digital
Trigger
10PT
10PT00953
2018-1653245-L
CSBDV
Credit Suisse International
28,882
5/2/2018
5/3/2019
GA
Basket
Envoy Cap
10EC
10EC02273
2018-1653247-L
CITDV
Citibank, N.A.
58,174
5/2/2018
4/26/2019
GA
Cliquet
MCI
100M
100M02450
2018-1653244-L
DBDV
Deutsche Bank AG
74,691
5/2/2018
5/1/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00384
2018-1653243-L
DBDV
Deutsche Bank AG
28,367
5/2/2018
4/27/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00128-1
2018-1653198-L
CITDV
Citibank, N.A.
4,617
5/1/2018
4/25/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00128-4
2018-1653201-L
CITDV
Citibank, N.A.
3,204
5/1/2018
4/25/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00128-5
2018-1653202-L
CITDV
Citibank, N.A.
2,897
5/1/2018
4/25/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00128-6
2018-1653203-L
CITDV
Citibank, N.A.
2,629
5/1/2018
4/25/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00128-7
2018-1653204-L
CITDV
Citibank, N.A.
16,480
5/1/2018
4/25/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00128-2
2018-1653199-L
CITDV
Citibank, N.A.
4,007
5/1/2018
4/24/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00128-3
2018-1653200-L
CITDV
Citibank, N.A.
3,566
5/1/2018
4/23/2021
GA
Swaption
Interest Rate Benchmark
10RC
10RC01212
2018-4980-S
SGDV
Societe Generale
30,300
5/3/2018
5/1/2019
GA
Call Spread
Secure
100C
100C03768
2018-1656349-L
CITDV
Citibank, N.A.
374,110
5/3/2018
5/1/2019
GA
Asian
Spread 1
100S
100S03655
2018-1656351-L
CITDV
Citibank, N.A.
24,125
5/3/2018
5/2/2019
GA
Cliquet
MCI
100M
100M02451
2018-1656355-L
GSIDV
Goldman Sachs International
54,453
5/3/2018
5/1/2019
GA
Digital
Trigger
10PT
10PT00954
2018-1656352-L
HSBDV
HSBC Bank USA, National Association
38,555
5/3/2018
5/2/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00385
2018-1656348-L
DBDV
Deutsche Bank AG
20,261
5/3/2018
5/1/2019
GA
Cliquet
MCI
100M
100M02452
2018-1659484-L
GSIDV
Goldman Sachs International
87,286
5/4/2018
5/3/2019
GA
Asian
Spread 1
100S
100S03656
2018-1659483-L
NATDV
NATIXIS SA
19,929
5/4/2018
5/7/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01213
2018-4982-S
SGDV
Societe Generale
20,500
5/4/2018
5/2/2019
GA
Digital
Trigger
10PT
10PT00955
2018-1662595-L
HSBDV
HSBC Bank USA, National Association
30,286
5/7/2018
5/3/2019
GA
Call Spread
Secure
100C
100C03770
2018-1662596-L
SGDV
Societe Generale
435,863
5/7/2018
5/3/2019
GA
Asian
Spread 1
100S
100S03657
2018-1662598-L
SGDV
Societe Generale
89,028
5/7/2018
5/5/2019
GA
Basket
Envoy Cap
10EC
10EC02274
2018-1662602-L
NATDV
NATIXIS SA
27,222
5/7/2018
5/3/2019
GA
Cliquet
MCI
100M
100M02453
2018-1662593-L
GSIDV
Goldman Sachs International
81,749
5/7/2018
5/3/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00386
2018-1662585-L
DBDV
Deutsche Bank AG
21,105
5/7/2018
4/28/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Swaption
Interest Rate Benchmark
10RC
10RC01214
2018-4999-S
SGDV
Societe Generale
71,300
5/8/2018
5/3/2019
GA
Digital
Trigger
10PT
10PT00956
2018-1665744-L
GSIDV
Goldman Sachs International
83,803
5/8/2018
5/6/2019
GA
Call Spread
Secure
100C
100C03771
2018-1665737-L
CITDV
Citibank, N.A.
1,090,436
5/8/2018
5/6/2019
GA
Asian
Spread 1
100S
100S03658
2018-1665740-L
CITDV
Citibank, N.A.
100,912
5/8/2018
5/6/2019
GA
Call
Secure Par
100P
100P00800
2018-1665739-L
CITDV
Citibank, N.A.
69,896
5/8/2018
4/30/2019
GA
Basket
Envoy Cap
10EC
10EC02275
2018-1665753-L
CITDV
Citibank, N.A.
31,907
5/8/2018
5/3/2019
GA
Cliquet
MCI
100M
100M02454
2018-1665747-L
MSIDV
Morgan Stanley & Co International, PLC
192,702
5/8/2018
5/5/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00387
2018-1665735-L
DBDV
Deutsche Bank AG
26,074
5/8/2018
5/6/2019
GA
Call Spread
Secure
100C
100C03772
2018-1668881-L
CITDV
Citibank, N.A.
315,013
5/9/2018
5/8/2019
GA
Asian
Spread 1
100S
100S03659
2018-1668883-L
CITDV
Citibank, N.A.
67,514
5/9/2018
5/3/2019
GA
Cliquet
MCI
100M
100M02455
2018-1668880-L
MSIDV
Morgan Stanley & Co International, PLC
61,595
5/9/2018
5/7/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01215
2018-5000-S
GSIDV
Goldman Sachs International
27,300
5/9/2018
5/7/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00388
2018-1668878-L
DBDV
Deutsche Bank AG
22,739
5/9/2018
5/6/2019
GA
Call Spread
Secure
100C
100C03773
2018-1672021-L
NATDV
NATIXIS SA
442,189
5/10/2018
5/9/2019
GA
Asian
Spread 1
100S
100S03660
2018-1672023-L
NATDV
NATIXIS SA
82,993
5/10/2018
5/8/2019
GA
Cliquet
MCI
100M
100M02456
2018-1672024-L
MSIDV
Morgan Stanley & Co International, PLC
68,969
5/10/2018
5/11/2019
GA
Digital
Trigger
10PT
10PT00957
2018-1672020-L
CSBDV
Credit Suisse International
44,236
5/10/2018
5/8/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00389
2018-1672014-L
DBDV
Deutsche Bank AG
25,259
5/10/2018
5/1/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01216
2018-5008-S
SGDV
Societe Generale
28,700
5/11/2018
5/9/2019
GA
Call Spread
Secure
100C
100C03774
2018-1675328-L
SGDV
Societe Generale
273,900
5/11/2018
5/10/2019
GA
Asian
Spread 1
100S
100S03661
2018-1675330-L
SGDV
Societe Generale
37,250
5/11/2018
5/8/2019
GA
Cliquet
MCI
100M
100M02457
2018-1675327-L
MSIDV
Morgan Stanley & Co International, PLC
60,932
5/11/2018
5/9/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00390
2018-1675325-L
DBDV
Deutsche Bank AG
22,108
5/11/2018
5/8/2019
GA
Digital
Trigger
10PT
10PT00958
2018-1678653-L
NATDV
NATIXIS SA
29,338
5/14/2018
5/7/2019
GA
Call Spread
Secure
100C
100C03775
2018-1678658-L
NATDV
NATIXIS SA
385,875
5/14/2018
5/10/2019
GA
Asian
Spread 1
100S
100S03662
2018-1678660-L
NATDV
NATIXIS SA
43,349
5/14/2018
5/11/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00129-1
2018-1678663-L
CITDV
Citibank, N.A.
6,495
5/14/2018
5/10/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00129-3
2018-1678665-L
CITDV
Citibank, N.A.
4,843
5/14/2018
5/10/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00129-5
2018-1678667-L
CITDV
Citibank, N.A.
3,886
5/14/2018
5/10/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00129-6
2018-1678668-L
CITDV
Citibank, N.A.
3,512
5/14/2018
5/10/2024
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00129-2
2018-1678664-L
CITDV
Citibank, N.A.
5,509
5/14/2018
5/8/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00129-4
2018-1678666-L
CITDV
Citibank, N.A.
4,322
5/14/2018
5/10/2022
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
JRNY-CITI
Citi Vol Control
CITI
CITI00129-7
2018-1678669-L
CITDV
Citibank, N.A.
22,039
5/14/2018
5/9/2025
GA
Basket
Envoy Cap
10EC
10EC02276
2018-1678685-L
CITDV
Citibank, N.A.
20,172
5/14/2018
5/10/2019
GA
Cliquet
MCI
100M
100M02458
2018-1678652-L
MSIDV
Morgan Stanley & Co International, PLC
61,647
5/14/2018
5/11/2019
GA
Call Spread
Secure
100C
100C03776
2018-1681605-L
HSBDV
HSBC Bank USA, National Association
821,457
5/15/2018
5/13/2019
GA
Asian
Spread 1
100S
100S03663
2018-1681607-L
HSBDV
HSBC Bank USA, National Association
58,616
5/15/2018
5/13/2019
GA
Digital
Trigger
10PT
10PT00959
2018-1681601-L
CSBDV
Credit Suisse International
61,560
5/15/2018
5/14/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01217
2018-5055-S
SGDV
Societe Generale
90,700
5/15/2018
5/10/2019
GA
Basket
Envoy Cap
10EC
10EC02277
2018-1681635-L
NATDV
NATIXIS SA
49,483
5/15/2018
5/13/2019
GA
Cliquet
MCI
100M
100M02459
2018-1681634-L
MSIDV
Morgan Stanley & Co International, PLC
205,913
5/15/2018
5/12/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00391
2018-1681612-L
DBDV
Deutsche Bank AG
27,862
5/15/2018
5/11/2019
GA
Call Spread
Secure
100C
100C03777
2018-1684559-L
NATDV
NATIXIS SA
294,623
5/16/2018
5/13/2019
GA
Asian
Spread 1
100S
100S03664
2018-1684561-L
NATDV
NATIXIS SA
34,851
5/16/2018
5/14/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00047-2
2018-1684582-L
JPMDV
JPMORGAN CHASE BANK, N.A.
10,811
5/16/2018
4/27/2020
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00047-3
2018-1684583-L
JPMDV
JPMORGAN CHASE BANK, N.A.
9,628
5/16/2018
4/27/2021
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00047-4
2018-1684584-L
JPMDV
JPMORGAN CHASE BANK, N.A.
8,656
5/16/2018
4/27/2022
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00047-5
2018-1684585-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,830
5/16/2018
4/27/2023
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00047-1
2018-1684581-L
JPMDV
JPMORGAN CHASE BANK, N.A.
12,466
5/16/2018
4/26/2019
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00047-6
2018-1684586-L
JPMDV
JPMORGAN CHASE BANK, N.A.
7,109
5/16/2018
4/26/2024
GA
JRNY-JPM
JPM Vol Control
JPMM
JPMM00047-7
2018-1684587-L
JPMDV
JPMORGAN CHASE BANK, N.A.
47,300
5/16/2018
4/25/2025
GA
Cliquet
MCI
100M
100M02460
2018-1684580-L
UBSDV
UBS AG
74,259
5/16/2018
5/14/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00392
2018-1684578-L
DBDV
Deutsche Bank AG
18,427
5/16/2018
5/14/2019
GA
Call Spread
Secure
100C
100C03778
2018-1690197-L
BOADV
Bank of America, N.A.
392,702
5/17/2018
5/16/2019
GA
Call
Secure Par
100P
100P00801
2018-1690199-L
BOADV
Bank of America, N.A.
69,202
5/17/2018
5/10/2019
GA
Asian
Spread 1
100S
100S03665
2018-1690200-L
BOADV
Bank of America, N.A.
27,395
5/17/2018
5/15/2019
GA
Basket
Envoy Cap
10EC
10EC02278
2018-1687398-L
CITDV
Citibank, N.A.
32,467
5/17/2018
5/16/2019
GA
Cliquet
MCI
100M
100M02461
2018-1687397-L
MSIDV
Morgan Stanley & Co International, PLC
61,298
5/17/2018
5/15/2019
GA
Digital
Trigger
10PT
10PT00960
2018-1687396-L
CSBDV
Credit Suisse International
44,217
5/17/2018
5/14/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01218
2018-5076-S
GSIDV
Goldman Sachs International
41,100
5/17/2018
5/15/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00393
2018-1687395-L
DBDV
Deutsche Bank AG
27,684
5/17/2018
5/11/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01219
2018-5083-S
WCHDV
Wells Fargo Bank, N. A.
44,300
5/18/2018
5/15/2019
GA
Call Spread
Secure
100C
100C03779
2018-1690201-L
CITDV
Citibank, N.A.
230,225
5/18/2018
5/16/2019
GA
Asian
Spread 1
100S
100S03666
2018-1690203-L
CITDV
Citibank, N.A.
9,177
5/18/2018
5/17/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Cliquet
MCI
100M
100M02462
2018-1690212-L
MSIDV
Morgan Stanley & Co International, PLC
73,894
5/18/2018
5/17/2019
GA
Call Spread
Secure
100C
100C03780
2018-1693022-L
SGDV
Societe Generale
432,604
5/21/2018
5/17/2019
GA
Asian
Spread 1
100S
100S03667
2018-1695863-L
SGDV
Societe Generale
40,415
5/21/2018
5/19/2019
GA
Cliquet
MCI
100M
100M02463
2018-1693036-L
DBDV
Deutsche Bank AG
91,324
5/21/2018
5/18/2019
GA
Basket
Envoy Cap
10EC
10EC02279
2018-1693033-L
NATDV
NATIXIS SA
27,995
5/21/2018
5/17/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00394
2018-1693025-L
DBDV
Deutsche Bank AG
35,018
5/21/2018
5/14/2019
GA
Digital
Trigger
10PT
10PT00961
2018-1693024-L
CSBDV
Credit Suisse International
67,848
5/21/2018
5/17/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01220
2018-5099-S
SGDV
Societe Generale
116,700
5/22/2018
5/17/2019
GA
Call Spread
Secure
100C
100C03781
2018-1695848-L
CITDV
Citibank, N.A.
1,029,307
5/22/2018
5/20/2019
GA
Asian
Spread 1
100S
100S03668
2018-1695850-L
CITDV
Citibank, N.A.
67,308
5/22/2018
5/19/2019
GA
Basket
Envoy Cap
10EC
10EC02280
2018-1695872-L
GSIDV
Goldman Sachs International
37,074
5/22/2018
5/20/2019
GA
Cliquet
MCI
100M
100M02464
2018-1695869-L
DBDV
Deutsche Bank AG
207,028
5/22/2018
5/20/2019
GA
Digital
Trigger
10PT
10PT00962
2018-1695871-L
HSBDV
HSBC Bank USA, National Association
63,750
5/22/2018
5/20/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00130-2
2018-1695877-L
CITDV
Citibank, N.A.
3,488
5/22/2018
5/5/2020
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00130-3
2018-1695878-L
CITDV
Citibank, N.A.
3,089
5/22/2018
5/5/2021
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00130-4
2018-1695879-L
CITDV
Citibank, N.A.
2,769
5/22/2018
5/5/2022
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00130-5
2018-1695880-L
CITDV
Citibank, N.A.
2,497
5/22/2018
5/5/2023
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00130-7
2018-1695882-L
CITDV
Citibank, N.A.
14,131
5/22/2018
5/5/2025
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00130-1
2018-1695876-L
CITDV
Citibank, N.A.
4,056
5/22/2018
5/3/2019
GA
JRNY-CITI
Citi Vol Control
CITI
CITI00130-6
2018-1695881-L
CITDV
Citibank, N.A.
2,261
5/22/2018
5/3/2024
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00395
2018-1695852-L
DBDV
Deutsche Bank AG
20,507
5/22/2018
5/20/2019
GA
Call Spread
Secure
100C
100C03782
2018-1698712-L
GSIDV
Goldman Sachs International
325,844
5/23/2018
5/21/2019
GA
Call
Secure Par
100P
100P00802
2018-1698714-L
GSIDV
Goldman Sachs International
62,630
5/23/2018
5/17/2019
GA
Asian
Spread 1
100S
100S03669
2018-1698715-L
GSIDV
Goldman Sachs International
20,328
5/23/2018
5/22/2019
GA
Digital
Trigger
10PT
10PT00963
2018-1698717-L
CSBDV
Credit Suisse International
22,979
5/23/2018
5/22/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01221
2018-5101-S
GSIDV
Goldman Sachs International
37,400
5/24/2018
5/22/2019
GA
Digital
Trigger
10PT
10PT00964
2018-1701531-L
CSBDV
Credit Suisse International
39,790
5/24/2018
5/22/2019
GA
Call Spread
Secure
100C
100C03783
2018-1701543-L
WCHDV
Wells Fargo Bank, N. A.
395,393
5/24/2018
5/24/2019
GA
Asian
Spread 1
100S
100S03670
2018-1701545-L
WCHDV
Wells Fargo Bank, N. A.
25,108
5/24/2018
5/22/2019
GA
Cliquet
MCI
100M
100M02466
2018-1701532-L
BOADV
Bank of America, N.A.
54,617
5/24/2018
5/24/2019
GA
DB CROCI Call
Vol Control 1 Yr - VIAC
1VCV
1VCV00396
2018-1701529-L
DBDV
Deutsche Bank AG
27,200
5/24/2018
5/22/2019
GA
Swaption
Interest Rate Benchmark
10RC
10RC01222
2018-5102-S
GSIDV
Goldman Sachs International
20,900
5/25/2018
5/24/2019
GA
Call Spread
Secure
100C
100C03784
2018-1704355-L
HSBDV
HSBC Bank USA, National Association
235,963
5/25/2018
5/24/2019
GA

 

--------------------------------------------------------------------------------

Option Name
Strategy Name
Option Code
Option Number
Deal Number
Counterparty ID
Counterparty
Cost
Trade Date
Maturity Date
GA/SA
Asian
Spread 1
100S
100S03671
2018-1704357-L
HSBDV
HSBC Bank USA, National Association
13,151
5/25/2018
5/23/2019
GA
Cliquet
MCI
100M
100M02467
2018-1704358-L
MSIDV
Morgan Stanley & Co International, PLC
57,955
5/25/2018
5/23/2019
GA
Basket
Envoy Cap
10EC
10EC02281
2018-1704382-L
BARDV
Barclays Bank, PLC
24,383
5/25/2018
5/23/2019
GA
Cliquet
MCI
100M
100M02465
2018-1698718-L
MSIDV
Morgan Stanley & Co International, PLC
89,475
5/23/2018
5/21/2019
GA
Asian Call Spread
Regency
110R
110R01106
2018-1684562-L
NATDV
NATIXIS SA
42,619
5/16/2018
5/6/2019
GA

 

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SCHEDULE VI
EXISTING OTHER HEDGES
None.

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SCHEDULE VII
REINSURER REPORTS
Ceding Company Receipt of Information
Information to be Provided
8 Business Days after end of quarter
Draft reserve report
10 Business Days after end of quarter
Final reserve report, including statutory, GAAP and tax reserves, with an
inventory of reserve topsides or adjustments
10 Business Days after the end of the quarter
Best estimate cash flows
17 Business Days after end of quarter
Reliance statements for reserves and for fixed income annuities including AG35
AA certificate and reliance for the economic assumptions used to calculate the
market value of the options
10 Business Days prior to effective date of proposed changes
Recommendation for Interest Crediting
5 Business Days prior to effective date of proposed changes
Upload file for Interest Crediting
17 Business Days after end of year
Valuation Certificate/Affidavit
37 calendar days after end of year
Annual Opinion Statements
Annually by September 30th
Assumptions to support calculation of Actuarial Present Values
Annually
Support for Blue Book exhibits, including Exhibits 5 and 7; Exhibit of Policies;
Analysis of Increase in Reserves (AIR), and all applicable state pages for
filing of Blue Book. Additional information if needed for notes to VIAC’s
financial statements, supplements, and general interrogatories
Annually
Support for Green Book exhibits, including Exhibits 3 and 6; Analysis of
Increase in Reserves (AIR). Additional information if needed for notes to VIAC’s
financial statements, supplements, and general interrogatories
Annually
Reliance for Asset Adequacy

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EXHIBIT A
WEEKLY ACCOUNTING REPORT
See attached.

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Weekly Accounting Report
VIAC to AADE FA Business Coinsurance Settlement
For the Week-to-date Accounting Period beginning: MM/DD/YY and ending on:
MM/DD/YY

                    
VIAC to AADE FA Coins (DE) - General Account 20% Quota Share
Other Deferred
FIA
SPIA/Life Contingent
SPIA/Non-Life Contingent
Supplemental Contracts/Life Contingent
Supplemental Contracts/Non-Life Contingent
Total

Section 1: Policy cash flows to/(from) Reinsurer

First Year Premium                -        -     -     -     -        -    
-    
Single Premium                -        -     -     -     -        -     -    
Renewal Premium                -        -     -     -     -        -     -    
Premium on Supplemental Contracts        -        -     -     -    
-        -     -    
Other Premium                -        -     -     -     -        -     -    
Less: Returned Premium            -        -     -     -     -        -    
-    

A     TOTAL Premiums

Full Surrenders                -        -     -     -     -        -     -    
Partial Surrenders                -        -     -     -     -        -    
-    
Death Claims                -        -     -     -     -        -     -    
Interest on Death Claims            -        -     -     -     -        -    
-    
Annuity Payments under Payout Annuities        -        -     -     -    
-        -     -    
Excess Benefits1                -        -     -     -     -        -     -    
Surrender Charges                -        -     -     -     -        -     -    
Market Value Adjustments            -        -     -     -     -        -    
-    
Other                    -        -     -     -     -        -     -    

B    TOTAL Claims                -        -     -     -     -        -     -    
First Year Commissions            -        -     -     -     -        -    
-    
Renewal Commissions            -        -     -     -     -        -     -    
Trail Commissions                -        -     -     -     -        -     -    
Other Commission                -        -     -     -     -        -     -    

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C    TOTAL Commissions                -        -     -     -     -        -    
-    

Section 2: Existing Hedge Proceeds

D    Total existing hedge proceeds due to
Reinsurer                                         -

Section 3: Policy cash flows due to/(owed from) Reinsurer

E    Reinsurer Share of Net Policy Cash Flows and Hedge Proceeds (A - B - C +
D)2                                 -

Notes:

1
Excess benefits refer to income rider payments in excess of account value.

2
Reinsurer share of net policy cash flows and hedge proceeds are settled on a
weekly basis

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EXHIBIT B
MONTHLY ACCOUNTING REPORT
See attached.

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Monthly Accounting Report
VIAC to ALRE FA (GA & SA) Business Modco Settlement
For the Year-to-date Accounting Period beginning: MM/DD/YY and ending on:
MM/DD/YY

    
VIAC to AADE FA Coins (DE) - General Account 20% Quota Share
Other Deferred
FIA
SPIA/Life Contingent
SPIA/Non-Life Contingent
Supplemental Contracts/Life Contingent
Supplemental Contracts/Non-Life Contingent
Total

Section 1: Policy cash flows to/(from) Reinsurer

First Year Premium                -        -     -     -     -        -    
-    
Single Premium                -        -     -     -     -        -     -    
Renewal Premium                -        -     -     -     -        -     -    
Premium on Supplemental Contracts        -        -     -     -    
-        -     -    
Other Premium                -        -     -     -     -        -     -    
Less: Returned Premium            -        -     -     -     -        -    
-    

A     TOTAL Premiums

Full Surrenders                -        -     -     -     -        -     -    
Partial Surrenders                -        -     -     -     -        -    
-    
Death Claims                -        -     -     -     -        -     -    
Interest on Death Claims            -        -     -     -     -        -    
-    
Annuity Payments under Payout Annuities        -        -     -     -    
-        -     -    
Excess Benefits1                -        -     -     -     -        -     -    
Surrender Charges                -        -     -     -     -        -     -    
Market Value Adjustments            -        -     -     -     -        -    
-    
Other                    -        -     -     -     -        -     -    

B    TOTAL Claims                -        -     -     -     -        -     -    
First Year Commissions            -        -     -     -     -        -    
-    
Renewal Commissions            -        -     -     -     -        -     -    
Trail Commissions                -        -     -     -     -        -     -    
Other Commission                -        -     -     -     -        -     -    

C    TOTAL Commissions                -        -     -     -     -        -    
-    

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Section 2: Existing Hedge Proceeds

D    Total existing hedge proceeds due to
Reinsurer                                             -

Section 3: Policy cash flows due to/(owed from) Reinsurer

E    Reinsurer Share of Net Policy Cash Flows and Hedge Proceeds (A - B - C +
D)2                                     -
Section 4: Other fee accruals owed from Reinsurer

F    Expenses (Q )                                                    $    -
G    Other                                                            -

Section 5: Monthly/Quarterly Net Settlement Amount owed to / (from) Reinsurer

H    Reinsurer Share of Settlement Amounts (E - F - G -
H)                                            -
I    Interim settlements transferred to / (from) Modco Account during
Period                                        -
J    Net Settlement Amount owed to / (from) Reinsurer (I -
J)                                        $    -

Section 7: Expense Reimbursements    
                                        
K    Premium Taxes Payable by Reinsurer                -     -     -    
-        -     -     -
L    Guaranty Fund Assessments due from Reinsurer             -     -     -    
-        -     -     -
M    Other Expenses                    -     -     -     -        -     -     -
N    TOTAL Expenses and Taxes
owed from Reinsurer (K+L+M)                -     -     -     -        -    
-     -

Notes:

1
Excess benefits refer to income rider payments in excess of account value.

2
Reinsurer share of net policy cash flows and hedge proceeds are settled on a
weekly basis

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EXHIBIT C
QUARTERLY ACCOUNTING REPORT
See attached.

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Quarterly Accounting Report
VIAC to AADE FA GA Business Coinsurance Settlement
For the Year-to-date Accounting Period beginning: MM/DD/YY and ending on
MM/DD/YY

        
VIAC to AADE FA Coins (DE) - General Account 20% Quota Share
Other Deferred
FIA
SPIA/Life Contingent
SPIA/Non-Life Contingent
Supplemental Contracts/Life Contingent
Supplemental Contracts/Non-Life Contingent
Total

Section 1: Policy cash flows to/(from) Reinsurer
First Year Premium                    -     -     -     -        -     -     -
Single Premium                        -     -     -     -        -     -     -
Renewal Premium                    -     -     -     -        -     -     -
Premium on Supplemental Contracts                -     -     -    
-        -     -     -
Other Premium                        -     -     -     -        -     -     -
Less: Returned Premium                    -     -     -     -        -     -    
-

ATOTAL Premiums

Full Surrenders                        -     -     -     -        -     -     -
Partial Surrenders                    -     -     -     -        -     -     -
Death Claims                        -     -     -     -        -     -     -
Interest on Death Claims                    -     -     -     -        -    
-     -
Annuity Payments under Payout Annuities                -     -     -    
-        -     -     -
Excess Benefits1                        -     -     -     -        -     -     -
Surrender Charges                    -     -     -     -        -     -     -
Market Value Adjustments                    -     -     -     -        -    
-     -
Other                        -     -     -     -        -     -     -

B
TOTAL Claims                        -     -     -     -        -     -     -

First Year Commissions                    -     -     -     -        -     -    
-
Renewal Commissions                    -     -     -     -        -     -     -
Trail Commissions                    -     -     -     -        -     -     -
Other Commission                    -     -     -     -        -     -     -

CTOTAL Commissions                    -     -     -     -        -     -     -
    

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Section 2: Existing Hedge Proceeds

D
Total existing hedge proceeds due to
Reinsurer                                                    -

Section 3: Policy cash flows due to/(owed from) Reinsurer

E
Reinsurer Share of Net Policy Cash Flows and Hedge Proceeds (A - B - C +
D)2                                            -    

Section 4: Other fee accruals owed from Reinsurer

F
Expenses (Q + R)3                                                            -

G
Other                                                            -

Section 5: Monthly/Quarterly Net Settlement Amount owed to / (from) Reinsurer

H
Reinsurer Share of Settlement Amounts (E - F - G +/-
Q)                                                -

I
Interim settlements transferred to / (from) Modco Account during
Period                                            -

J
Net Settlement Amount owed to / (from) Reinsurer
(H-I)                                                -

Section 6: Expense Reimbursements

K
Premium Taxes Payable by Reinsurer                -     -     -    
-        -     -     -

L
Guaranty Fund Assessments due from Reinsurer            -     -     -    
-        -     -     -

M
Other Expenses                        -     -     -     -        -     -     -

N
TOTAL Expenses & Taxes owed from Reinsurer (K+L+M)             -     -     -    
-        -     -     -

Section 7: Policy expenses owed from Reinsurer

Non-payout annuities - fee applied to reserves                -     -     -    
-        -     -     -
Non-payout annuities - fee applied to policy count            -     -     -    
-        -     -     -
       
TOTAL Policy Expenses specific to Non-Payout Annuities            -     -    
-     -        -     -     -
Payout annuities - fee applied to reserves                -     -     -    
-        -     -     -
       
TOTAL Policy Expenses specific to Payout Annuities            -     -     -    
-        -     -     -
Other Expenses                        -     -     -     -        -     -     -
       
TOTAL Other Policy Expenses                    -     -     -     -        -    
-     -
O TOTAL Policy Expenses                    -     -     -     -        -    
-     -

Section 8: Policy Loans

P Book Value of Policy Loans at the Beginning of the
Month                                                -

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New loans                                                        -
Loan payments made                                                    -
Loan interest                                                        -
Q Total increase/(decrease) from Policy
Loan                                                    -
R Book Value of Policy Loan at End of the Month
(P+Q)                                                -

Notes:
1
Excess benefits refer to income rider payments in excess of account value.

2
Reinsurer share of net policy cash flows and hedge proceeds are settled on a
weekly basis

3
Monthly settlements will only include expenses detailed in section 7. Quarterly
settlements will include expenses detailed in section 7 and section 8.

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EXHIBIT D
ACCOUNT VALUE ROLL-FORWARD INFORMATION FIELDS
Field
Definition
POLICY NUM
Associated policy number for the contract
PLAN CODE
Admin Plan code for the associated policy
ISSUE DATE
Date of Issuance
Month End Date
Date of the month end value
Bucket CODE
Identification of Fixed or Fund
FIA FLAG
Y / N to indicate if FIA.
Prior Month End Value
Value from the prior AVRF file at the bucket level.
Deposits
AV deposited into Bucket or Free look removed from bucket.
Annuitizations
Account Value annuitized.
AWS
Systematic Withdrawals. Would expect GMWB payments / Claims to be reported here.
DEATH CLAIMS
Death Claim
DEATH CLAIMS Excess
Death Claim paid in excess of AV
Shifts
Money moved between buckets.
SURRENDER - FULL
Full surrenders
SURRENDER - PARTIAL
Partial Surrenders
Surr Charges
Surrender charges applied
MVA
MVA applied
Apprec
Bucket Appreciation (Interest credited)
GMWB_Credit
Credit to offset the GMWB Claim, expected this to be populated when AV
approaches zero. This will keep AV from going negative.
GMDB_Credit
Credit that represents excess death benefit paid out due to a GMDB rider.
GMWB_Charge
Charge applied for GMWB rider
GMDB_Charge
Charge applied for GMDB rider
Current Month End Value
Value after all monthly transactions have occurred. This should align with the
"VOYA_FIELDS_IF" request. This should be the rolled value from the prior month.

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EXHIBIT E
SERIATIM INFORMATION FIELDS
I.
For Payout Annuities

Request
Policy Number
Policy Status
Plan Code
Company Name
Issue State
Contract Type (Payout, Annuitization, Structured Settlement, etc..)
Owner Sex
Owner Issue Age
Owner Date of Birth
Owner Date of Death
Number of Lives
Initial Premium
Rated Age
Substandard Category
Payout Type (Cert Only, C&L, Life Only)
Recurring Benefit Payment Amount
Payment Mode
Issue Date
Benefit Start Date
Benefit Stop Date
Benefit Stop Reason
Certain Period End Date
Certain Period Months
JointSurvivor Benefit Percent or Amount -1st Life
JointSurvivor Benefit Percent or Amount -2nd Life
Contingent Annuitant's Issue Age
Contingent Annuitant's Date of Birth
Contingent Annuitant's Date of Death
Contingent Annuitant's Sex
Cost of Living Adjustment/Benefit Growth Rate Pct
Cost of Living Adjustment Frequency
Income Change Date
Income Change Amount
Lump Sum Payment Amount
Lump Sum Payment Date

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Death Benefit Amount
Stat Valuation Rate 1
Stat Valuation Rate 2
Stat Valuation Rate 3
Stat Valuation Rate 4
Tax Valuation Rate 1
Tax Valuation Rate 2
Tax Valuation Rate 3
Tax Valuation Rate 4
Death Status
Valuation Date

II.
For Non-Payout Annuities

a.
For Fixed and Fixed Indexed Annuities

Field
Definition
POLICY NUM
Associated policy number for the contract
PLAN CODE
Admin Plan code for the associated policy
Company
Issuing company
Treaty
Description of the if it is in the flow or block treaty.
Quota Share
Reinsured Quota share associated with policy. This is expected to be 1.00 for
Voya.
Annuity Type
Source of Funds
Policy Form Name
Name of the policy form
STATUS
A= Active, SR = Surrendered, P = Pending , T = Terminated, CA = Canceled, DH =
Death, AN: Annuitized, O = Terminated for other reason
REASON
Reason for Terminating Policy (Surrender, Etc.)
ISSUE STATE
two letter code for each issue state
ISSUE DATE
Date of Issuance
RATE DETERMINATION DATE
As of date of the rates, can be different from issue date.
Application Date
Date at which policy application was filed
LIFE1 ISSUE AGE
Age at Issue
LIFE1 SEX CODE
F = female, M = Male
LIFE1 Birth Date
Date of Birth
SingleJointIndicator
Is the policy single or Joint
LIFE2 ISSUE AGE
Joint Life Age at Issue
LIFE2 SEX CODE
Joint Life F = female, M = Male
LIFE2 Birth Date
Joint Life Date of Birth
QUAL CODE
Q = Qualified, NQ = non qualified. Any other values should be explained

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PremBonus
Premium Bonus (if applicable)
PremBonusType
How is the premium bonus recaptured? Via a vesting schedule or higher surrender
charges?
PremBonusVestTable
Vesting schedule for premium bonus
PremBonusAddSCTable
Additional surrender charge for premium bonus.
Accum Value
Account Value
Surr Value
Accumulation value - surrender charge - premium tax
MVA_Type
Indentifier for the Type of MVA. This would generally indicate different MVA
calculations. Could be descriptive or form types. NA if no MVA.
MVA_Adjustment
Current Calculated MVA Adjustment
MVA_Term
Number of years the MVA applies
MVA_RateType
They Type of rate that the MVA calculation is based on.
MVA_RateInitial
The rate from contract issue date that the mva is calculated against
MVA_RateTerm
Term of rate to be looked in the projection to calculate future MVAs
MVA_RateAdd
Additive factor to the calculation
Stat Reserve
Calculated statutory reserve
Prem Rcd
Total premium received
Prem 1yr
Total premium received in first year
Remaining Premium
Total premium received less ITD withdrawals
Comm
Total commissions paid to Agent
Comm_Code
Commission Code. Represents heaped, level, other
Comm_Table
Table reference for the commission.
Comm_ChgbackITD
ITD amount of commission chargebacks
Comm_Deferrable
Deferrable Comm
Comm_NonDeferrable
Non deferrable Comm
Comm_Ceding
Ceding Commission Associated with Policy
Death Claim
Total death claim distributed upon death
Withdrawals
Withdrawal Value
Surrenders
Total amount paid upon surrender
Surr Charge
Total surrender charges collected upon surrender
SURR CHG PCT
Current surrender charge percent (5% Surrender Charge should be shown as 0.05)
SC_Table
Table reference for looking up policy year based surrender charges
Fix_GuarPeriod_Current
Current guarantee period in months for fixed bucket. {May move to Strat Request}
Fix_GuarPeriod_Prior
Prior Guar Period in months for fixed buckets. {May move to Strat Request}
Fix_GuarPeriod_Next
What is the length of next available guaranteed period for Fixed Buckets? In
months. {May move to Strat Request}
Renewal Date
Date on which the policy has had its most recent renewal
Fixed Credit RT
Current guarantee period interest rate

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Fix FV
Fixed Rate Fund Value
Index FV
Indexed Rate Fund Value
SNFL Value Indexed
Minimum guaranteed contract value for Indexed buckets
SNFL Rate Indexed
Minimum guaranteed contract value interest rate for indexed buckets
SNFL Value Fixed
Minimum guaranteed contract value for fixed buckets (Including MYGA or
Traditional products)
SNFL Rate Fixed
Minimum guaranteed contract value interest rate for fixed buckets. (Including
MYGA or Traditional products)
MGCV
If there is an additional guarantee other than SNFL
MGCV Int Rate
If there is an additional guaranteed Rate other than SNFL
MGCV2
If there is an additional guarantee other than SNFL and MGCV
MGCV2 Int Rate
If there is an additional guaranteed Rate other than SNFL and MCGV
FPW_Avail
Free Partial Withdrawal Currently Available to the policy
FPW_ITD_Free
Inception to date free partial withdrawals taken
FPW_ITD_Excess
Inception to date partial withdrawals in excess of the free partial withdrawal
amount
FPW_ITD_Total
Inception to date total partial withdrawals taken (free + excess)
Spousal Cont / Beneficiary
Indicator if it is a spousal continuation or Beneficiary, S if Spousal, B if
Bene, & N if it is not
Spousal/Beneficiary Continuation Date
Date of the spousal continuation
Premium Tax
Premium tax charged to the policy
Stat Val Rate Withdrawal
Statutory Valuation rate at issue for Withdrawal Benefit Stream
Stat Val Rate Annuitization
Statutory Valuation rate at issue for Annuitization Benefit Stream
Stat Val Rate Death
Statutory Valuation rate at issue for Death Benefit Stream
Original Issue Age
For Renewed MYGAs, the issue age for first surrender period
Original Issue Month
For Renewed MYGAs, the issue month for first surrender period
Original Issue Year
For Renewed MYGAs, the issue year for first surrender period
GMWB_RiderCode
Code or form type of GMWB rider
GMWB_Value
GMWB value to multiply the payout table by calculate the benefit.
GMWB_SimpleIntBase
If rollup is simple interest, this is the basis for the interest credited to the
GMWB Value
GMWB_PayoutTable
Table reference for defining attained age or select/Ult payout factors (MAW)

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GMWB_ChargeType
Definition of charges. Includes, what the basis of the charge is (AV or GMWB
AV), as well as if the charge is proportional or dollar for the dollar.
GMWB_Charge%
Charge Rate
GMWB_ChargeTable
Table reference for defining charges, if more complex than a single number
GMWB_ChargeITD
Charges collected from issue
GMWB_RollupType
Definition of rollup of the GMWB Value. Generally thought of Simple / Compound
interest and Dollar for Dollar or Proportional. There may be other types not
listed.
GMWB_Rollup%
Rollup rate
GMWB_RollupTable
Table reference for defining rollups, if more complex than a single number
GMWB_RollupPar
Participation Rate in base contract interest credits
GMWB_AccumYrs
Years the GMWB_Value will accumulate
GMWB_ValueBonus
Bonus decimal applied to the GMWB_Value
GMWB_PaymentElectDate
Date GMWB payments are elected. Default for none elected.
GMWB_PaymentAttainedAge
Attained Age used to determine GMWB payment, if attained age driven
GMWB_PaymentIssueAge
Issue Age used to determine GMWB payment, if attained age driven
GMWB_PaymentElection
Systematic or One-time MAW;
GMWB_Payment
Current annual payment for elected GMWB. 0 if not elected.
GMWB_PaymentRemaining
Remaining annual payments for GMWB. 0 if not elected
GMWB_PaymentType
Type of GMWB payment elected. Joint/Single and Level, Inflation, Increasing,
Inflation, etc. This field should have all possible payment options that have
been elected. Default for none elected.
GMWB_PaymentMode
Frequency of the elected gwmb payment
GMWB_PaymentUtil
Is the maximum available being taken(max), excess, or less(partial)?
GMWB_PaymentIncr
decimal representing annual increase in GMWB_Payment. 0 if no increase or not
elected
GMWB_TerminationDate
Date that the income rider was terminated by the policyholder
GMWB_Restart
Y\N flag if IR Restart has been elected. Restart
GMWB_RestartDate
Date of IR Restart (if applicable)
GMWB_RestartAccumDate
If Restarted, new end date of accumulation phase
GMWB_NHBType
Determines which type of nursing home benefit can be elected under the GMWB
rider. Example are 2x payment for life, 2x payment for 5 years, 2x payment until
AV is exhausted, etc…
GMWB_NHBMult
Multiplier applied to payments when "X" ADLs can not be performed
GMWB_NHBElectDate
Date the Nursing home benefit is turned on

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GMWB_NHBEndDate
Date the nursing benefit is turned off.
GMWBDB
Yes/No flag to indicate if GMWB rider has a death benefit associated with it
GMWBDB_PayoutTermCurr
Number of years the GMWB face is paid out over as the death benefit
GMWBDB_PayoutTermGuar
Guaranteed number of years the GMWB face is paid out over as the death benefit
GMDB_RiderCode
Code or form type of GMDB rider
GMDB_Value
GMDB Base paid out as death benefit
GMDB_SimpleIntBase
If rollup is simple interest, this is the basis for the interest credited to the
GMDB Value
GMDB_ChargeType
Definition of charges. Includes, what the basis of the charge is (AV or GMDB
AV), as well as if the charge is proportional or dollar for the dollar.
GMDB_Charge%
Charge Rate
GMDB_ChargeTable
Table reference for defining charges, if more complex than a single number
GMDB_RollupType
Definition of rollup of the GMDB Value. Generally thought of Simple / Compound
interest and Dollar for Dollar or Proportional. There may be other types not
listed.
GMDB_Rollup%
Rollup rate
GMDB_RollupTable
Table reference for defining rollups, if more complex than a single number
GMDB_RollupPar
Participation Rate in base contract interest credits
GMDB_PayoutTermCurr
Number of years the GMDB face is paid out over as the death benefit
GMDB_PayoutTermGuar
Guaranteed number of years the GMDB face is paid out over as the death benefit
PolicyLoan_Amount
Amount of loaned out AV
DistChannel
Distribution Channel. Specific names of the
Annuitization_Value
Value that can be annuitized. Generally expected to be AV. Some products have
none AV values
Annuitization_Bonus
Bonus applied to the Annuitization Value.
Annuitization_MaxDate
Max Date at which the policy can annuitize
Annuitization_MinCertPeriod
Shortest certain years the policy can annuitize.
Annuitization_MinCertPeriodRate
Annuitization rate assoicated with the shortest certain period.

b.
For Fixed Indexed Annuities Only

i.
Strategy Data

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Field
Definition
POLICY NUM
Associated policy number for the contract
PLAN CODE
Admin Plan code for the associated policy
Bucket CODE
Identification of Fixed or Fund
ISSUE DATE
Date of Issuance
Index Date
Date of most recent renew
Index Value
Index Value as of Index Date
Index End Date
End Date to compare Index Values
Term
Term Length, in months or years
FundInBucket
Account value for index
Index Desc
description of index
Index Cap
Cap associated with index
Min Index Cap
minimum cap for index
Participation Rate
participation rate for index
Min Part Rate
minimum participation rate for index
MinGuar
Minimum guarantee rate
Trigger Rate
Performance Trigger rate
Min Trigger Rate
Minimum Trigger rate
Bucket MGCV
Minimum guaranteed contract value at the index bucket level (sum of buckets
should total to the aggregate MGCV)
Bucket F133 Guaranteed Value
Guaranteed Value at the indexed bucket level. Total of premium + transfers -
withdrawals from the strategy. Could be aggregated to the total of the indexed
buckets.
Buffer Rate
Rate at which policy holders beging experiencing loss
SpreadRate
Annual spread rate
Max Spread Rate
Maximum spread rate
Bailout Fields
Any fields applicable to Bailout Strategies
TIER Rates
High and Low Tiered Rates for Tiered Rate Strategies

ii.
Transaction Data

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Field
Definition
POLICY NUM
Associated policy number for the contract
PLAN CODE
Admin Plan code for the associated policy
ISSUE DATE
Date of Issuance
Bucket CODE
Identification of Fixed or Fund
Index Desc
description of index
transaction type
Detailed description of transaction
Account value post
Account Value after transaction
Transaction amount
Transaction amount
Effective Date
Effective Date of transaction (sometimes it is back dated)
Processdate
Process Date of transaction
Death Date
Date of Death
Death Notification Date
Date of Death Notification
reversal code
Code for reversing transactions
date of reversal
Used in cases of reversed transactions
surrender charges
Surrender Charges associated with transaction
MVA
MVA associated with transaction
Free withdrawal amount
$ of transaction that was free of SC and MVA
Interest Earned
Interest Credited to the policy (i.e. Fixed Interest or Indexed Interest (on
Anniversary))
Gross Premium
Gross Premium
Remaining premium
Remaining Premium as of after transaction
 
 
 
 
Additional Transaction relevant fields
Include any other transaction relevant fields commonly used by VOYA