Document:

Exhibit

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

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

ii

		
	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

iii

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.

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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.

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(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.

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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

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

42

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

 

	
								
	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

 

SCHEDULE VI
EXISTING OTHER HEDGES 
None.

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

EXHIBIT A
WEEKLY ACCOUNTING REPORT
See attached.

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                -        -           -                  -            -        -           -                  

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

EXHIBIT B
MONTHLY ACCOUNTING REPORT
See attached.

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                -        -           -                  -            -        -           -                  

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

EXHIBIT C
QUARTERLY ACCOUNTING REPORT
See attached.

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                    -           -                  -            -        -           -                  -
    

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                                                -

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.

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.

 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

	
	
	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

	
		
	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

	
		
	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)

	
		
	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

	
		
	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

	
		
	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

	
		
	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 VOYAExhibit

Exhibit 10.2
EXECUTION COPY

    

MODIFIED COINSURANCE AGREEMENT (SEPARATE ACCOUNT FA BUSINESS)
between
ATHENE ANNUITY & LIFE ASSURANCE COMPANY
and
VOYA INSURANCE AND ANNUITY COMPANY
effective as of June 1, 2018
Treaty Number DEVFAMCO - 060118

1

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

		
	Section 1.02 Other Definitional Provisions
	7

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

		
	Section 2.02 Policy Changes
	8

		
	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
	9

		
	Section 2.07 Conservation Program
	9

		
	Section 2.08 Retrocession
	9

		
	Section 2.09 Interest Maintenance Reserve
	9

		
	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    11
		
	Section 5.01 Policy Expenses
	11

ARTICLE VI REINSURED LIABILITIES    11
		
	Section 6.01 Reinsured Liabilities
	11

		
	Section 6.02 Claims Settlement
	11

		
	Section 6.03 Recoveries
	11

ARTICLE VII REPORTING AND SETTLEMENTS    12
		
	Section 7.01 Ceding Company Reporting
	12

		
	Section 7.02 Reinsurer Reporting
	13

		
	Section 7.03 Settlements
	14

ARTICLE VIII MODCO ACCOUNT    16
		
	Section 8.01 Modco Account
	16

		
	Section 8.02 Credit for Reinsurance
	18

		
	Section 8.03 Investment Management
	18

ARTICLE IX HEDGING    19
		
	Section 9.01 Existing Hedges
	19

		
	Section 9.02 Other Hedging
	19

ARTICLE X ADMINISTRATION    19
		
	Section 10.01 Policy Administration
	19

		
	Section 10.02 Record-Keeping
	20

ARTICLE XI TERM AND TERMINATION    20
		
	Section 11.01 Duration of Agreement
	20

		
	Section 11.02 Recapture
	20

		
	Section 11.03 Recapture Payment
	21

		
	Section 11.04 Survival
	21

ARTICLE XII ERRORS AND OMISSIONS    21
		
	Section 12.01 Errors and Omissions
	21

ARTICLE XIII DISPUTE RESOLUTION    22
		
	Section 13.01 Negotiation
	22

		
	Section 13.02 Arbitration; Waiver of Trial by Jury
	22

ARTICLE XIV INSOLVENCY    23
		
	Section 14.01 Insolvency
	23

ARTICLE XV TAXES    24
		
	Section 15.01 Taxes
	24

		
	Section 15.02 DAC Tax Election
	25

		
	Section 15.03 Tax Treatment
	25

ARTICLE XVI REPRESENTATIONS, WARRANTIES AND COVENANTS    26
		
	Section 16.01 Representations and Warranties of the Ceding Company
	26

		
	Section 16.02 Covenants of the Ceding Company
	27

		
	Section 16.03 Representations and Warranties of the Reinsurer
	28

		
	Section 16.04 Covenants of the Reinsurer
	29

ARTICLE XVII MISCELLANEOUS    30

ii

		
	Section 17.01 Currency
	30

		
	Section 17.02 Interest
	30

		
	Section 17.03 Right of Setoff and Recoupment
	30

		
	Section 17.04 No Third-Party Beneficiaries
	31

		
	Section 17.05 Amendment
	31

		
	Section 17.06 Notices
	31

		
	Section 17.07 Consent to Jurisdiction
	32

		
	Section 17.08 Service of Process
	32

		
	Section 17.09 Inspection of Records
	32

		
	Section 17.10 Confidentiality
	33

		
	Section 17.11 Successors
	34

		
	Section 17.12 Entire Agreement
	34

		
	Section 17.13 Severability
	34

		
	Section 17.14 Construction
	34

		
	Section 17.15 Non-Waiver
	34

		
	Section 17.16 Further Assurances
	34

		
	Section 17.17 Governing Law
	35

		
	Section 17.18 Counterparts
	35

Schedules

I.    Policy Forms and Riders
II.    Policy Expenses
III.    Initial Modco Assets
IV.    Existing Index Hedges
V.    Existing Other Hedges
VI.    Reinsurer Reports

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

iii

MODIFIED COINSURANCE AGREEMENT (SEPARATE ACCOUNT FA BUSINESS)
This MODIFIED COINSURANCE 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 modified coinsurance transaction with respect to certain separate account 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 modified 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.
“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.
“Ceding Company” shall have the meaning specified in the Preamble hereto.
“Code” shall mean the Internal Revenue Code of 1986, as amended.
“Company Required SA Business Initial Premium” shall have the meaning specified in Section 3.02(b).
“Custodian” shall have the meaning specified in Section 8.01.
“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 SA Business Initial Premium” shall have the meaning specified in Section 3.02(d).

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“Estimated Company SA Business Ceding Commission” shall mean the portion of the Estimated Company Ceding Commission allocated to this Agreement by the Reinsurer and the Ceding Company.
 “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 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 9.01.
“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 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 

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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).
“Final Company SA Business Ceding Commission” shall mean the portion of the Final Company Ceding Commission allocated to this Agreement by the Reinsurer and the Ceding Company.
“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. 
“Hedge Counterparty” shall mean, with respect to each Existing Hedge, the counterparty of the Ceding Company with respect to such Existing Hedge.
“IMR” shall mean the interest maintenance reserve relating to the Reinsured Liabilities, determined in accordance with Iowa SAP, consisting of the after-tax unamortized deferred gains and losses in respect of the assets maintained in the Modco Account.
“Initial Modco Assets” shall have the meaning specified in Section 3.02(c).
“Initial Premium” shall have the meaning specified in Section 3.02(a).
“Investment Management Agreement” shall have the meaning specified in Section 8.03.
“Investment Manager” shall have the meaning specified in Section 8.03.
“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 the avoidance of doubt, 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 to the extent applicable.
“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.
“Modco Account” shall have the meaning specified in Section 8.01(a).
“Modco Adjustment” shall mean, as of any date of determination, an amount equal to (a) the Modco Reserves as of such date, plus (b) the IMR as of such date, minus (c) the Statutory Carrying 

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Value of the assets maintained in the Modco Account as of such date, minus (d) any amounts due and unpaid by the Ceding Company under Section 7.03(a) or (b).
“Modco Excess Withdrawals” shall have the meaning specified in Section 8.01(c).
“Modco Reserves” shall mean an amount equal to the Quota Share of the Net Statutory Reserves.
“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.
“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 Assets” shall mean (a) with respect to any assets maintained in the Separate Account, any assets into which the investment portfolio of the Separate Account may be invested pursuant to applicable Law, (b) the Existing Hedges and (c) with respect to any assets other than the assets maintained in the Separate Account or the Existing Hedges, cash and any securities or other assets qualifying as admitted assets of the Ceding Company under the applicable Laws of the State of domicile of the Ceding Company.
“Person” shall mean an individual, corporation, partnership, joint venture, limited liability company, association, trust, unincorporated organization, Governmental Entity or other entity.
“Policy Expenses” shall have the meaning specified in Section 5.01.
“Proprietary Information” shall have the meaning specified in Section 17.10(a).

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“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.
“Receiver” shall have the meaning specified in Section 11.03(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 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 separate account 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 separate account 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.

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“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.
“Separate Account” shall mean the separate account in which assets are maintained by the Ceding Company to support the Ceding Company’s payment obligations with respect to the separate account fixed annuity contracts comprising the Reinsured Policies.
“Statutory Carrying Value” shall mean, with respect to any asset, as of the relevant date of determination, the amount permitted to be carried by the Ceding Company as an admitted asset consistent with Iowa 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 Final Company SA Business Ceding Commission, multiplied by (b)(i) the Modco Reserves as of the Recapture Effective Date, divided by (ii) the Modco 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).
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.

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(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, on a modified coinsurance basis, the 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, 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.

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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.
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 IMR shall be ceded to the Reinsurer and maintained in the Modco Account.  The IMR shall be calculated by the Ceding Company.

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Section 2.10    Valuation of Liabilities.  The Reinsurer shall calculate the statutory 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 SA Business Initial Premium is a condition precedent to the liability of the Reinsurer under this Agreement.  All Reinsurance Premiums other than the Company Required SA Business 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 Modco Reserves as of the Effective Date, plus (ii) the Existing IMR (the “Initial Premium”);
(b)    The payment of the Initial Premium shall be satisfied on the Effective Date by the allocation by the Ceding Company of Permitted Assets to the Modco Account, including the Existing Hedges, with an aggregate Statutory Carrying Value as of the Effective Date equal to the following (the “Company Required SA Business Initial Premium”):
(i)    the Modco Reserves as of the Effective Date, plus
(ii)    the Existing IMR, minus
(iii)    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.
(c)    A list of the assets to be so deposited (the “Initial Modco Assets”), including the Statutory Carrying Value of each such asset as of the Effective Date, is set forth on Schedule III attached hereto.
(d)    The amount of the Company Required SA Business Initial Premium actually deposited into the Modco Account on the Effective Date (such estimated amount, the “Estimated Company Required SA Business Initial Premium”) shall be determined on an estimated basis in accordance with the Master Agreement.  
(e)    The Estimated Company Required SA Business Initial Premium shall be subject to adjustment following the Effective Date in accordance with the Master Agreement.  Any such adjustment payable by the Ceding Company shall be promptly deposited into the Modco Account.

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ARTICLE IV 
CEDING COMMISSION 
Section 4.01    Ceding Commission.  The Reinsurer shall pay to the Ceding Company the Estimated Company SA Business Ceding Commission on the Effective Date.  The Estimated Company SA Business Ceding Commission shall be subject to a post-Effective Date adjustment in accordance with the Master Agreement.
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.
(b)    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 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, as of the end of such Monthly Accounting Period or the Recapture Effective Date, as applicable, 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, 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, as of the end of such Monthly Accounting Period or the Recapture Effective Date, as applicable, 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

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(f)    The Ceding Company shall deliver to the Reinsurer, as of the end of such Monthly Accounting Period or the Recapture Effective Date, as applicable, (i) within seven (7) Business Days following the end of each Monthly Accounting Period, a report of the assets held in the Modco Account and an investment accounting report which shall include holdings, book value roll forward (based on, with respect to structured credit assets, cash flows provided by the Investment Manager or book value calculations provided by the Reinsurer) and income reports, in each case, on a CUSIP level and (ii) within five (5) Business Days following the end of each Monthly Accounting period, a report of the Existing Hedges and the effectiveness thereof in a form mutually agreed upon by the Ceding Company and the Reinsurer.
(g)    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.
(h)    Upon request, the Ceding Company will, within a reasonable timeframe, promptly 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.
(i)    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 the Modco Reserves, determined on a seriatim basis, as of the end of such calendar quarter or such Recapture Effective Date, as applicable.  The Reinsurer will work with the Ceding Company in good faith to provide reasonable supporting data in connection with the delivery of each Reserves Report.
(a)    Within five (5) Business Days following the end of each calendar quarter, the Reinsurer shall deliver to the Ceding Company (and any applicable investment accounting service provider) a report setting forth, with respect to structured credit assets held in the Modco 

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Account, projected cash flows provided by the Investment Manager or book value calculations prepared by the Reinsurer, which shall be used by the Ceding Company in connection with the preparation of the Quarterly Accounting Report for such calendar quarter.
(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 March 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 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 VI at the times set forth on Schedule VI.
(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 deposit into the Modco Account 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 Ceding Company shall be permitted to withdraw from the Modco Account 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; provided, that if the absolute value of such Weekly Settlement Amount is greater than the fair market value of the assets maintained in the Modco Account, then the Reinsurer shall pay the amount of such difference to the Ceding Company.  

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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 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 deposit into the Modco Account, 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 Ceding Company shall be permitted to withdraw from the Modco Account, on the date that is five (5) Business Days following the delivery of the Monthly Accounting Report to the Reinsurer, an amount equal to the absolute value of such Monthly Settlement Amount; provided, that if the absolute value of such negative Monthly Settlement Amount is greater than the fair market value of the assets in the Modco Account as of the last day of the relevant Monthly Accounting Period, then the Reinsurer shall pay the amount of such difference to the Ceding Company no later than five (5) Business Days after the receipt by the Reinsurer of the applicable Monthly Accounting Report. 
(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 deposit into the Modco Account, 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 Ceding Company shall be permitted to withdraw from the Modco Account, on the date that is five (5) Business Days following the delivery of the Quarterly Accounting Report to the Reinsurer, an amount equal to the absolute value of such Quarterly Settlement Amount; provided, that if the absolute value of such negative Quarterly Settlement Amount is greater than the fair market value of the assets in the Modco 

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Account as of the last day of the relevant Quarterly Accounting Period, then the Reinsurer shall pay the amount of such difference to the Ceding Company no later than five (5) Business Days after the receipt by the Reinsurer of the applicable Quarterly Accounting Report.
(d)    The Modco Adjustment payable under this Agreement for each Quarterly Accounting Period (as set forth in the applicable Quarterly Accounting Report) shall be payable as follows:
(i)    if the Modco Adjustment is positive, then the Reinsurer shall pay to the Ceding Company for immediate deposit into the Modco Account such positive amount no later than five (5) Business Days after the receipt by the Reinsurer of the applicable Quarterly Accounting Report; and
(ii)    if the Modco Adjustment is negative, then, on the date of delivery of the Quarterly Accounting Report to the Reinsurer, the Ceding Company shall withdraw assets with a Statutory Carrying Value equal to the absolute value of such negative amount from the Modco Account and pay the absolute value of such negative amount to the Reinsurer.
(e)    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
MODCO ACCOUNT
Section 8.01    Modco Account.
(a)    As of the Effective Date, the Ceding Company shall establish a modified coinsurance account (the “Modco Account”) on the books and records of the Ceding Company, which shall consist of, collectively, a custody account established by the Ceding Company with The Bank of New York Mellon (as custodian of such custody account, the “Custodian”), a Quota Share allocation of the assets maintained by the Ceding Company in the portfolio of the Separate Account supporting the Ceding Company’s payment obligations with respect to the separate account fixed annuity contracts comprising the Reinsured Policies, a Quota Share allocation of the Existing Hedges and certain additional Permitted Assets allocated by the Ceding Company to the Modco Account.  The Modco Account and the assets maintained therein will be owned and maintained by the Ceding Company and will be used exclusively for the purposes set forth in this Agreement.  The assets maintained in the Modco Account shall be invested in and consist only of Permitted Assets, and the Permitted Assets shall be valued, for the purposes of this Agreement, according to their Statutory Carrying Value.  In accordance with Iowa SAP, the Ceding Company elects to cede all capital gains and losses in respect of the assets maintained in the Modco Account to the Reinsurer on a gross basis.
(b)    Notwithstanding any other provision hereof, assets held in the Modco Account may be withdrawn by the Ceding Company at any time and shall be utilized and applied 

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by the Ceding Company or any of its successors in interest by operation of law, including any liquidator, rehabilitator, receiver or conservator of the Ceding Company, without diminution because of insolvency on the part of the Ceding Company or the Reinsurer, only for the following purposes:
(i)    to reimburse the Ceding Company for the Quota Share of premiums which are returned to the owners of the Reinsured Policies because of cancellations of such Reinsured Policies;
(ii)    to reimburse the Ceding Company for the Reinsured Liabilities paid pursuant to the provisions of the Reinsured Policies;
(iii)    to pay any Weekly Settlement Amount, Monthly Settlement Amount, Quarterly Settlement Amount and other undisputed amounts due to the Ceding Company under this Agreement; and
(iv)    to pay any Modco Adjustment due from the Ceding Company to the Reinsurer;
provided, however, that, other than withdrawals made by the Ceding Company for the purpose of effectuating the payment of the Weekly Settlement Amounts, Monthly Settlement Amounts, Quarterly Settlement Amounts and Modco Adjustments, the Ceding Company shall not withdraw funds from the Modco Account until the expiration of any payment period afforded the Reinsurer hereunder, and then only upon providing the Reinsurer with written notice at least five (5) Business Days prior to such withdrawal.
(c)    The Ceding Company shall promptly return to the Modco Account any assets withdrawn in excess of the actual amounts required in paragraphs (i) through (iv) immediately above or any amounts that are subsequently determined not to be due under such paragraphs (“Modco Excess Withdrawals”).  The Ceding Company shall also pay interest on any Modco Excess Withdrawals at a rate determined in accordance with Section 17.02 from and including the date of withdrawal to but excluding the date on which the Modco Excess Withdrawal is returned to the Modco Account.  Any Modco Excess Withdrawals shall be held by the Ceding Company or any successor in interest of the Ceding Company in trust for the benefit of the Reinsurer and shall at all times be maintained separate and apart from any assets of the Ceding Company, for the sole purposes described in paragraphs (i) through (iv) immediately above.
(d)    Determinations of statutory impairments of assets maintained in the Modco Account shall be made by the Ceding Company and shall be (i) based upon the statutory rules and guidelines and the impairment policy used by the Ceding Company and its auditors for purposes of calculating statutory impairments reflected in the Ceding Company’s statutory financial statements and (ii) subject to consultation between the Reinsurer and the Ceding Company.  The Ceding Company shall promptly notify the Reinsurer in writing if the Ceding Company determines that any assets maintained in the Modco Account have become impaired for purposes of determining Statutory Carrying Value.  Such notice shall describe any such assets, the reason for the impairment and the effect on Statutory Carrying Value of such assets.  

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(e)    The Reinsurer shall bear the administrative costs and expenses related to the establishment and maintenance of the Modco Account, including the fees of the Custodian to the extent relating to the Modco Account and the fees of any investment manager appointed pursuant to Section 8.03 (including any sub-investment manager appointed in accordance with the Investment Management Agreement).  The Ceding Company shall promptly forward to the Reinsurer any invoice it receives relating to such costs and expenses.  On the fifth (5th) Business Day following the date on which it delivers such invoice to the Reinsurer, the Ceding Company shall authorize the withdrawal of the amount of such costs and expenses from the Modco Account; provided, that if such amount is greater than the Statutory Carrying Value of the assets in the Modco Account, then the Reinsurer shall pay the amount of such difference to the Ceding Company no later than eight (8) Business Days following the delivery of such invoice to the Reinsurer.
(f)    The performance of the assets maintained in the Modco Account, including of all investment income paid or accrued, investment gains or losses, defaults and/or statutory impairments, will inure to the sole benefit or cost of the Reinsurer.
Section 8.02    Credit for Reinsurance.  The Ceding Company shall own the Modco Account and the assets maintained therein, and the Reinsurer will not be required to provide reserve credit in respect of the Reinsured Liabilities ceded hereunder on a modified coinsurance basis.  If a change in applicable law or Iowa SAP or interpretation thereof (a) requires reserve credit in respect of the Reinsured Liabilities ceded on a modified coinsurance basis hereunder to be obtained or (b) results in the Ceding Company not being able to treat the business ceded hereunder as qualifying for reinsurance accounting under Iowa SAP, then the parties shall take all actions as may be reasonably necessary to ensure that the Ceding Company receives credit on its statutory financial statements in its domiciliary State for the reinsurance provided hereunder or that the reinsurance hereunder qualifies for reinsurance accounting under Iowa SAP, as applicable.  The Reinsurer shall take actions as reasonably necessary and, in its reasonable discretion, may elect among the methods available to it in ensuring that such reserve credit is obtained.
Section 8.03    Investment Management.  Pursuant to an investment management agreement (the “Investment Management Agreement”), the Ceding Company shall appoint Athene Asset Management LLC as investment manager to provide investment management services with respect to the assets maintained in the Modco Account (the “Investment Manager”).  The Ceding Company shall not amend, modify or change the terms of the Investment Management Agreement, including the investment guidelines attached as an exhibit thereto, or remove or replace the Investment Manager without the prior written consent of the Reinsurer.  If the Ceding Company and the Reinsurer agree to any amendments, modifications or changes to the investment guidelines relating to the assets maintained in the Modco Account, then the Ceding Company shall propose such changes in writing to the Investment Manager in accordance with the terms of the Investment Management Agreement.  The Ceding Company shall not propose any additional limitations (including with respect to asset allocations) on the assets maintained in the Modco Account without the prior written consent of the Reinsurer.   In the event that the Investment Manager is removed or resigns, the Ceding Company shall appoint a replacement investment manager as directed by the Reinsurer.  The replacement investment manager shall accept its appointment by entering into an 

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investment management agreement in a form acceptable to the Ceding Company and the Reinsurer, and substantially similar to the Investment Management Agreement.
ARTICLE IX 
HEDGING 
Section 9.01    Existing Hedges.  The Ceding Company hereby assigns to the Reinsurer a fractional interest in the gross proceeds in respect of the 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 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 Modco 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.  The Existing Hedge Proceeds shall be attributed to the Modco Account and reflected in the applicable Weekly Accounting Report.  The Ceding Company shall pay the Existing Hedge Proceeds to the Reinsurer in accordance with Section 7.03.
Section 9.02    Other Hedging.  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. 
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, the Separate Account and the Existing Hedges.  The Ceding Company shall conduct its administration and claims practices with respect to the Reinsured Policies (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 and the Reinsured Polices 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.

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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 and the Separate Account, 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.
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 

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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 thirteen (13) Business Days following the Recapture Effective Date, the Ceding Company shall deliver to the Reinsurer a final Quarterly Accounting Report, each as of the Recapture Effective Date (collectively, the “Terminal Accounting Report”), and the final Quarterly Settlement Amount and final Modco Adjustment set forth in such Terminal Accounting Report shall be paid in accordance with Section 7.03.  In addition, within five (5) Business Days following the Recapture Effective Date, the Ceding Company shall pay to the Reinsurer an amount equal to the Unamortized Ceding Commission in cash by wire transfer of immediately available funds.
(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 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

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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.  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.

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(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.  

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;

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(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.
 
 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 

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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.
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

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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 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 

26

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.
(g)    Separate Account.  The Separate Account has been maintained in accordance with applicable Law.  No plan of operations with respect to the Separate Account was required to be filed and approved by any Governmental Entity.
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 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.

27

(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.
(f)    Restrictions on Liens.  The Ceding Company shall not create, incur, assume or suffer to exist any liens on the assets in the Modco Account, including the Existing Hedges (whether owned on the date of this Agreement or hereafter acquired), or on any interest therein or the proceeds thereof.
(g)    Plan of Operations.  The Ceding Company shall not establish, amend or otherwise modify any plan of operations with respect to the Separate Account without the prior written approval of the Reinsurer.
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 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 

28

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.
(b)    Statutory Accounting Principles.  The Reinsurer shall prepare its financial statements as required by, and in accordance with, Delaware SAP.

29

(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 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 

30

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.
(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 

31

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 Separate Account, the assets maintained in the Modco 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.
(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:

32

(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 to the extent (i) 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.
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.

33

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 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 

34

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]

35

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 Modco Agreement (Separate Account FA Business)

SCHEDULE I
POLICY FORMS AND RIDERS1 
	
		
	Product Name*
	Policy Form

	GoldenSelect Guarantee
	GA-IA-1070

	SD Fixed Guar
	GA-IA-1094-individual; GA-CA-1094-group

	Smart Design MRI
	GA-IA-1100-individual;GA-CA-1100-group

	Potential Plus
	IU-IA-4040

	Classic Choice MVA
	1825-2/95

	GoldenSelect Guarantee
	GA-GIA-1070

	Journey
	VI-IA-3165

	Quest 5
	VI-IA-3147

	Quest 5 ROP
	VI-IA-3147

	Quest 7
	VI-IA-3147

	Quest Plus
	VI-IA-3148

	SD Fixed Flex
	GA-IA-1093-individual; GA-CA-1093-group

	SimpleFlex
	IU-IA-3019

	Single Premium Immediate Annuity
	1823

	Any separate account liabilities 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

1 Includes all variations and attachments to the policy forms, including, but not limited to, state variations, contract schedules, riders, and endorsements.

SCHEDULE II
POLICY EXPENSES
The Policy Expenses with respect to each Quarterly Accounting Period shall be an amount equal to (A) plus (B) plus (C), 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 Modco Reserves with respect to the Payout Annuities at the beginning of the applicable Quarterly Accounting Period plus the Modco 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 Modco Reserves with respect to the Non-Payout Annuities at the beginning of the applicable Quarterly Accounting Period plus the Modco Reserves with respect to the Non-Payout Annuities at the end of the applicable Quarterly Accounting Period, divided by (II) two (2); and
(C) with respect to all Reinsured Policies, an amount with respect to investment accounting services equal to (i) 0.6 basis points divided by four (4) multiplied by (ii) (a) the sum of the Modco Reserves at the beginning of the applicable Quarterly Accounting Period plus the Modco Reserves at the end of the applicable Quarterly Accounting Period, divided by (b) two (2).

SCHEDULE III
INITIAL MODCO ASSETS
See attached.

VIAC SA AADE 20% Modco
Note that values are stale (4/30/18) and will be updated with 5/31/2018 data when available
	
												
	ASSET CUSIP
	HOLDING ID
	ASSET DESCRIPTION
	PAR VALUE
	STAT STATEMENT VALUE
	INTEREST ACCRUED
	STAT STATEMENT VALUE ACCRUED

	17275RAF9
	5,645,515
	

	CISCO SYSTEMS  INC
	100,000
	

	113,341
	

	1,619
	

	114,961
	

	00003#AC7
	6,194,162
	

	A&E TELEVISION NETWORKS  LLC
	2,500,000
	

	2,469,602
	

	18,113
	

	2,487,714
	

	11,428,878
	6,194,164
	

	RUSSIAN (FEDERATION OF)     REGS
	250,215
	

	215,064
	

	1,616
	

	216,680
	

	037833AK6
	6,194,166
	

	APPLE INC
	10,000,000
	

	9,992,944
	

	118,667
	

	10,111,611
	

	185508A#5
	6,194,168
	

	CLECO POWER LLC
	1,000,000
	

	1,000,000
	

	16,969
	

	1,016,969
	

	224044CA3
	6,194,170
	

	COX COMMUNICATIONS  INC
	10,000,000
	

	9,976,246
	

	99,153
	

	10,075,399
	

	40637CA*1
	6,194,172
	

	HALMA PLC
	1,250,000
	

	1,250,000
	

	10,102
	

	1,260,102
	

	42824CAG4
	6,194,174
	

	HEWLETT-PACKARD CO
	5,000,000
	

	4,999,297
	

	8,000
	

	5,007,297
	

	459200AM3
	6,194,176
	

	IBM CORP
	10,000,000
	

	12,620,239
	

	1,944
	

	12,622,184
	

	459200AM3
	6,194,178
	

	IBM CORP
	10,000,000
	

	12,540,231
	

	1,944
	

	12,542,176
	

	460690BK5
	6,194,180
	

	INTERPUBLIC GROUP OF COMPANIES  INC
	1,000,000
	

	957,915
	

	7,917
	

	965,832
	

	461127E*9
	6,194,182
	

	INTERTEK FINANCE  PLC
	1,000,000
	

	1,000,000
	

	3,150
	

	1,003,150
	

	48121@AD3
	6,194,184
	

	JRD HOLDINGS LLC
	1,114,286
	

	1,143,643
	

	4,346
	

	1,147,989
	

	694308HB6
	6,194,186
	

	PACIFIC GAS AND ELECTRIC  CO
	9,029,000
	

	8,924,097
	

	46,700
	

	8,970,797
	

	698299AK0
	6,194,188
	

	PANAMA (REPUBLIC  OF)
	1,170,000
	

	1,449,751
	

	9,141
	

	1,458,892
	

	781172AB7
	6,194,190
	

	RUBY PIPELINE LLC
	4,534,955
	

	4,739,452
	

	22,675
	

	4,762,127
	

	88031RAA6
	6,194,192
	

	TENASKA ALABAMA II PARTNERS LP  144A
	2,117,024
	

	2,111,793
	

	11,166
	

	2,122,959
	

	594918AX2
	5,301,500
	

	MICROSOFT CORP
	300,000
	

	299,042
	

	5,525
	

	304,567
	

	594918BK9
	5,716,646
	

	MICROSOFT CORP
	5,000,000
	

	5,041,868
	

	103,833
	

	5,145,701
	

	26862
	26,863
	

	THORNEBERRY LTD
	638,799
	

	640,080
	

	2,027
	

	642,107
	

	27000
	27,001
	

	THE MANUFACTURERS LIFE INS  COMPANY.
	1,786,966
	

	1,800,540
	

	10,293
	

	1,810,833
	

	27289
	27,290
	

	2101 ECH, LLC
	94,516
	

	117,895
	

	501
	

	118,396
	

	27319
	27,320
	

	North Star Trust Company, Trustee
	2,133,955
	

	2,146,602
	

	9,463
	

	2,156,065
	

	27320
	27,321
	

	North Star Trust Company, Trustee
	462,682
	

	465,424
	

	2,052
	

	467,476
	

	27329
	27,330
	

	McAllen-83-McColl, Inc.
	2,162,471
	

	2,185,548
	

	9,890
	

	2,195,437
	

	27356
	27,357
	

	BFW / Howell Associates, LLC
	647,860
	

	727,133
	

	3,448
	

	730,580
	

	2735602
	2,735,603
	

	BFW / Howell Associates, LLC
	160,520
	

	180,147
	

	884
	

	181,031
	

	27786
	27,787
	

	GULF VIEW, LTD.
	1,061,402
	

	1,093,189
	

	5,029
	

	1,098,218
	

	28813
	28,814
	

	Agellan Commercial REIT U.S. L.P.
	500,201
	

	501,340
	

	1,625
	

	502,965
	

	28860
	28,861
	

	HH Golden Gate LLC
	492,537
	

	493,883
	

	1,646
	

	495,529
	

 

SCHEDULE IV
EXISTING INDEX HEDGES 
See attached.2 

2 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

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00024C
	2017-4423-L
	HSBDV
	HSBC Bank USA, National Association
	31,572
	6/27/2017
	6/22/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00024P
	2017-4425-L
	HSBDV
	HSBC Bank USA, National Association
	(31,428)
	6/27/2017
	6/22/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00025C
	2017-4853-L
	HSBDV
	HSBC Bank USA, National Association
	39,764
	7/26/2017
	7/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00025P
	2017-4856-L
	HSBDV
	HSBC Bank USA, National Association
	(38,333)
	7/26/2017
	7/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00017C
	2017-4855-L
	HSBDV
	HSBC Bank USA, National Association
	40,509
	7/26/2017
	7/12/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00017P
	2017-4858-L
	HSBDV
	HSBC Bank USA, National Association
	(31,489)
	7/26/2017
	7/12/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00012C
	2017-4861-L
	HSBDV
	HSBC Bank USA, National Association
	20,236
	7/26/2017
	7/13/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00012P
	2017-4863-L
	HSBDV
	HSBC Bank USA, National Association
	(16,938)
	7/26/2017
	7/13/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00026C
	2017-5220-L
	HSBDV
	HSBC Bank USA, National Association
	36,749
	8/28/2017
	8/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00026P
	2017-5223-L
	HSBDV
	HSBC Bank USA, National Association
	(36,564)
	8/28/2017
	8/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00018C
	2017-5218-L
	HSBDV
	HSBC Bank USA, National Association
	31,985
	8/28/2017
	8/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00018P
	2017-5221-L
	HSBDV
	HSBC Bank USA, National Association
	(29,887)
	8/28/2017
	8/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr MSCI EAFE
	11CM
	11CM00011C
	2017-5215-L
	HSBDV
	HSBC Bank USA, National Association
	20,566
	8/28/2017
	7/27/2018
	SA

 

	
											
	Option Name
	Strategy Name
	Option Code
	Option Number
	Deal Number
	Counterparty ID
	Counterparty
	Cost
	Trade Date
	Maturity Date
	GA/SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr MSCI EAFE
	11CM
	11CM00011P
	2017-5217-L
	HSBDV
	HSBC Bank USA, National Association
	(20,025)
	8/28/2017
	7/27/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00027C
	2017-5519-L
	GSIDV
	Goldman Sachs International
	39,363.30
	9/26/2017
	9/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00027P
	2017-5522-L
	GSIDV
	Goldman Sachs International
	(41,968)
	9/26/2017
	9/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00019C
	2017-5525-L
	GSIDV
	Goldman Sachs International
	23,116
	9/26/2017
	9/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00019P
	2017-5531-L
	GSIDV
	Goldman Sachs International
	(23,451)
	9/26/2017
	9/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00013C
	2017-5521-L
	GSIDV
	Goldman Sachs International
	24,845
	9/26/2017
	9/12/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00013P
	2017-5527-L
	GSIDV
	Goldman Sachs International
	(27,251)
	9/26/2017
	9/12/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00028C
	2017-5995-L
	RBCDV
	Royal Bank of Canada
	41,156
	10/26/2017
	10/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00028P
	2017-5999-L
	RBCDV
	Royal Bank of Canada
	(46,763)
	10/26/2017
	10/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr MSCI EAFE
	11CM
	11CM00012C
	2017-6010-L
	RBCDV
	Royal Bank of Canada
	18,944
	10/26/2017
	10/5/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr MSCI EAFE
	11CM
	11CM00012P
	2017-6014-L
	RBCDV
	Royal Bank of Canada
	(14,729)
	10/26/2017
	10/5/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00020C
	2017-5997-L
	RBCDV
	Royal Bank of Canada
	26,935
	10/26/2017
	10/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00020P
	2017-6006-L
	RBCDV
	Royal Bank of Canada
	(28,458)
	10/26/2017
	10/24/2018
	SA

 

	
											
	Option Name
	Strategy Name
	Option Code
	Option Number
	Deal Number
	Counterparty ID
	Counterparty
	Cost
	Trade Date
	Maturity Date
	GA/SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00014C
	2017-5998-L
	RBCDV
	Royal Bank of Canada
	18,189.60
	10/26/2017
	10/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00014P
	2017-6003-L
	RBCDV
	Royal Bank of Canada
	(20,765)
	10/26/2017
	10/24/201
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00029C
	2017-6344-L
	HSBDV
	HSBC Bank USA, National Association
	55,454
	11/28/2017
	11/23/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00029P
	2017-6346-L
	HSBDV
	HSBC Bank USA, National Association
	(51,299)
	11/28/2017
	11/23/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00021C
	2017-6337-L
	HSBDV
	HSBC Bank USA, National Association
	19,573
	11/28/2017
	11/23/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00021P
	2017-6339-L
	HSBDV
	HSBC Bank USA, National Association
	(18,658)
	11/28/2017
	11/23/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00030C
	2017-6654-L
	BARDV
	Barclays Bank, PLC
	23,232
	12/27/2017
	12/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00030P
	2017-6656-L
	BARDV
	Barclays Bank, PLC
	(25,291)
	12/27/2017
	12/24/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr MSCI EAFE
	11CM
	11CM00013C
	2017-6651-L
	BARDV
	Barclays Bank, PLC
	33,798.30
	12/27/2017
	12/18/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr MSCI EAFE
	11CM
	11CM00013P
	2017-6653-L
	BARDV
	Barclays Bank, PLC
	(28,386)
	12/27/2017
	12/18/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00022C
	2018-1437446-L
	GSIDV
	Goldman Sachs International
	22,391
	1/26/2018
	12/28/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00022P
	2018-1437448-L
	GSIDV
	Goldman Sachs International
	(16,422)
	1/26/2018
	12/28/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00031C
	2018-1509240-L
	WCHDV
	Wells Fargo Bank, N. A.
	17,788
	2/27/2018
	2/20/2019
	SA

 

	
											
	Option Name
	Strategy Name
	Option Code
	Option Number
	Deal Number
	Counterparty ID
	Counterparty
	Cost
	Trade Date
	Maturity Date
	GA/SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00031P
	2018-1509242-L
	WCHDV
	Wells Fargo Bank, N. A.
	(17,189)
	2/27/2018
	2/20/2019
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00015C
	2018-1509243-L
	WCHDV
	Wells Fargo Bank, N. A.
	22,144.10
	2/27/2018
	12/18/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00015P
	2018-1509245-L
	WCHDV
	Wells Fargo Bank, N. A.
	(11,517)
	2/27/2018
	12/18/2018
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00032C
	2018-1640724-L
	GSIDV
	Goldman Sachs International
	56,713.60
	4/26/2018
	4/19/2019
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr S&P 500
	11CS
	11CS00032P
	2018-1640729-L
	GSIDV
	Goldman Sachs International
	(58,260)
	4/26/2018
	4/19/2019
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00023C
	2018-1640726-L
	GSIDV
	Goldman Sachs International
	30,519
	4/26/2018
	3/27/2019
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Russell 2000
	11CR
	11CR00023P
	2018-1640728-L
	GSIDV
	Goldman Sachs International
	(26,530)
	4/26/2018
	3/27/2019
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00016C
	2018-1665741-L
	CITDV
	Citibank, N.A.
	27,094
	5/8/2018
	4/17/2019
	SA

	Put + Call Spread
	Collared 10% Buffer 1 Yr Nasdaq 100
	11CN
	11CN00016P
	2018-1665743-L
	CITDV
	Citibank, N.A.
	(17,111)
	5/8/2018
	4/17/2019
	SA

 

SCHEDULE V
EXISTING OTHER HEDGES 
None.

SCHEDULE VI
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

EXHIBIT A
WEEKLY ACCOUNTING REPORT
See attached.

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

                                	
	
	VIAC to AADE FA Modco (DE) - SA 20% Quota Share

	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                                -           

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

EXHIBIT B
MONTHLY ACCOUNTING REPORT
See attached.

Monthly Accounting Report
VIAC to AADE 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 Modco (DE) - SA 20% Quota Share

	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                                -           

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 (P)                                $    -

G    Investment Fees (L)                                -

H    Other                                    -

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

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

Section 6: Investment  Fees

AAM Management fees                                -
Subavisory fees                                -
Incentive  Subadvisory fees                            -
CML Servicing Fees                                -
Custody Fees                                -

L    TOTAL Investment Fees                            $    -

Section 7: Expense  Reimbursements    
                                        
M    Premium Taxes Payable by Reinsurer                            -
N    Guaranty Fund Assessments due from Reinsurer                            -

O    Other Expenses                                         -
P    TOTAL Expenses and Taxes
 owed from Reinsurer (M+N+O)                                      -

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

EXHIBIT C
QUARTERLY ACCOUNTING REPORT
See attached.

Quartely Accounting Report
VIAC to AADE 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 Modco (DE) - SA 20% Quota Share

	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                                -           

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 (P + Q)3                            $    -

G    Investment Fees (L)                                -

H    Other                                    -

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

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

Section 6: Investment  Fees

AAM Management fees                                -
Subavisory fees                                -
Incentive  Subadvisory fees                            -
CML Servicing Fees                                -
Custody Fees                                -

L    TOTAL Investment Fees                            $    -

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

Section 8: 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    -
Ceding commission            -
Investment accounting services fee        -

Other Expenses                -
       
       TOTAL Other Policy Expenses            -
       Q       TOTAL Policy Expenses            -

Section 9: Modco Invested Assets 

        R         Statutory Carrying Value of Assets at Beginning of Accounting Period                    -
Total Interest Income - Non-Alternative                            -
Other fees - reimbursements                                -
Alternatives                                    -
Amortization                                    -
Realized Gains / (Losses) - Alternative                            -
Realized Gains / (Losses) - Non-Alternative                            -
Unrealized Gains / (Losses) - Alternative                            -
Unrealized Gains / (Losses) - Non-Alternative                            -
Statutory Impairments and Default Losses Realized - Non-Alternative                                    -

Statutory Impairments and Default Losses Realized                         - Alternative                                    -
ModCo Option Gains on Expiry                                -    
ModCo Option Amortization                                -

          S    TOTAL Net Investment Income                                -

             T    Cash or statutory carrying value of other assets transferred (to Reinsurer
from Modco Account) / from Reinsurer into Modco Account                        -
QQ 20YY Settlement            -
MM/DD/YYYY            -
MM/DD/YYYY            -
Transferred Asset Basis Differences         - 
    
            U   Cash or statutory carrying value of other assets transferred (to Ceding Company
from Modco Account) / from Ceding Company to Modco Account                                    -
Interim Payments            -
QQ 20YY Settlement            -
           MM/DD/YYYY

           V     Statutory Carrying Value of Assets at End of Accounting Period (S +/- T +/- U +/- V)                -

            W        Book Value of Policy Loans at the Beginning of the Month                        -
New loans                                -
Loan payments made                                -
Loan interest                                - 

             X        Total increase/(decrease) from Policy Loan                            -

             Y          Book Value of Policy Loan at End of the Month (X +Y)                        -

Section 10: Interest Maintenance Reserve (IMR) 
                   Beginning Reserve                                    -
    
                    Add: current realized gains/losses                            -
                    Less: current period amortization                                -
                    Add: Other adjustment                                -
        Z     Ending                                    -

Section 11: Modified Coinsurance Reserves

Beginning ICOS                                    -
Modco Reserves - Beginning of Period, Gross                            -

     AA      Modified Coinsurance Reserves as of
                       Beginning of Accounting Period                                -

Ending ICOS                                        -
Modco Reserves - End of Period, Gross                            -

       AB      Modified Coinsurance Reserves as 
of End of Accounting Period                                -

AC      Change in Modified Coinsurance Reserves (AC - AB)                        -        

       
Section 12: Calculation of Modco Adjustment

       AD      TOTAL Modified Coinsurance Reserves (AC)                        $    -
AE      IMR at End of Accounting Period (X)                        $    -

AF     Statutory Carrying Value of Assets in the Modco Account at End of Accounting Period (including policy loans) (W + Z)    $    -
AG      Modco Adjustment due from/(to) Reinsurer (AE + AF -AG)                    $    -
AH       Settlement Adjustment / Other                        $    -
AI      Net Amount to Transfer from /(to) Reinsurer (AH - AI)                    $    -

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.

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.

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

	
	
	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

	
		
	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

	
		
	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)

	
		
	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

	
		
	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

	
		
	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

	
		
	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

Source: [{"source": "alea-institute/alea-institute/kl3m-data-edgar-agreements/train-00286-of-00352.parquet"}, [{"source": "alea-institute/alea-institute/kl3m-data-edgar-agreements/train-00286-of-00352.parquet"}]]