AS OF MARCH 31, 2016 OF THE CONDITION AND AFFAIRS OF …

20311201620100101 2016 Document Code: 201

PROPERTY AND CASUALTY COMPANIES - ASSOCIATION EDITION

QUARTERLY STATEMENTAS OF MARCH 31, 2016

OF THE CONDITION AND AFFAIRS OF THE

SYNCORA GUARANTEE INC.NAIC Group Code 4676 , 4676 NAIC Company Code 20311 Employer's ID Number 13-3635895

(Current Period) (Prior Period)

Organized under the Laws of New York , State of Domicile or Port of Entry New York

Country of Domicile United States of America

Incorporated/Organized 07/25/1991 Commenced Business 01/01/1992

Statutory Home Office 135 West 50th Street , New York, NY, US 10020(Street and Number) (City or Town, State, Country and Zip Code)

Main Administrative Office 135 West 50th Street(Street and Number)

New York, NY, US 10020 (212)478-3400(City or Town, State, Country and Zip Code) (Area Code) (Telephone Number)

Mail Address 135 West 50th Street , New York, NY, US 10020(Street and Number or P.O. Box) (City or Town, State, Country and Zip Code)

Primary Location of Books and Records 135 West 50th Street(Street and Number)

New York, NY, US 10020 (212)478-3400(City or Town, State, Country and Zip Code) (Area Code) (Telephone Number)

Internet Web Site Address www.syncora.com

Statutory Statement Contact Anthony Corrado (212)478-3400(Name) (Area Code)(Telephone Number)(Extension)

[email protected] (212)478-3587(E-Mail Address) (Fax Number)

OFFICERSName Title

Susan Comparato PresidentClaude LeBlanc Chief Financial OfficerDavid Michael Grande Controller

OTHERSDrew Douglas Hoffman, SVP&Grp Head-Surveillance,Exposure Mgmt&Analytics

DIRECTORS OR TRUSTEESSusan Comparato Michael Patrick Esposito Jr. William Martin Fitzgerald Sr. Edmund Graham GibbonsDuncan Pratt Hennes Robert Martin Lichten Thomas Stanley Norsworthy Coleman DeVane RossRobert Wright Shippee Robert Joel White

State of New York

County of New York ss

The officers of this reporting entity, being duly sworn, each depose and say that they are the described officers of said reporting entity, and that on the reporting period stated above, all of the herein described assets were the absolute property of the said reporting entity, free and clear from any liens or claims thereon, except as herein stated, and that this statement, together with related exhibits, schedules and explanations therein contained, annexed or referred to, is a full and true statement of all the assets and liabilities and of the condition and affairs of the said reporting entity as of the reporting period stated above, and of its income and deductions therefrom for the period ended, and have been completed in accordance with the NAIC Annual Statement Instructions and Accounting Practices and Procedures manual except to the extent that: (1) state law may differ; or, (2) that state rules or regulations require differences in reporting not related to accounting practices and procedures, according to the best of their information, knowledge and belief, respectively. Furthermore, the scope of this attestation by the described officers also includes the related corresponding electronic filing with the NAIC, when required, that is an exact copy (except for formatting differences due to electronic filing) of the enclosed statement. The electronic filing may be requested by various regulators in lieu of or in addition to the enclosed statement.

(Signature) (Signature) (Signature)

Susan Comparato Claude LeBlanc David Michael Grande(Printed Name) (Printed Name) (Printed Name)

1. 2. 3.

President Chief Financial Officer Controller(Title) (Title) (Title)

Subscribed and sworn to before me this a. Is this an original filing? Yes[X] No[ ]

day of , 2016 b. If no, 1. State the amendment number

2. Date filed

3. Number of pages attached

(Notary Public Signature)

Q2

STATEMENT AS OF OF THE March 31, 2016 SYNCORA GUARANTEE INC.

ASSETSCurrent Statement Date 4

1 2 3

Net Admitted December 31

Nonadmitted Assets Prior Year Net

Assets Assets (Cols. 1 - 2) Admitted Assets

1. Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 939,570,006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 939,570,006 . . . . . . . 872,250,461

2. Stocks:

2.1 Preferred stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.2 Common stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Mortgage loans on real estate:

3.1 First liens . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3.2 Other than first liens . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Real estate:

4.1 Properties occupied by the company (less $...............0

encumbrances) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4.2 Properties held for the production of income (less $...............0

encumbrances) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4.3 Properties held for sale (less $...............0 encumbrances) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Cash ($.......7,775,168), cash equivalents ($......47,981,259) and

short-term investments ($......22,883,546) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,639,974 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,639,974 . . . . . . . 138,546,981

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

7. Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . 521,274

8. Other invested assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225,048,199 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225,048,199 . . . . . . . 229,093,626

9. Receivables for securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. Securities lending reinvested collateral assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

12. Subtotals, cash and invested assets (Lines 1 to 11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,243,354,675 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,243,354,675 . . . . . 1,240,412,342

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

14. Investment income due and accrued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,151,140 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,151,140 . . . . . . . . . . 2,929,833

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of

collection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,067,945 . . . . . . . . . . 1,584,625 . . . . . . . . . . . . . 483,320 . . . . . . . . . . . . . 945,019

15.2 Deferred premiums, agents' balances and installments booked

but deferred and not yet due (including $...............0 earned but

unbilled premiums) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15.3 Accrued retrospective premiums ($...............0) and contracts

subject to redetermination ($...............0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16. Reinsurance:

16.1 Amounts recoverable from reinsurers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 360,973 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 360,973 . . . . . . . . . . . . . 516,049

16.2 Funds held by or deposited with reinsured companies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16.3 Other amounts receivable under reinsurance contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

18.1 Current federal and foreign income tax recoverable and interest thereon . . . . . . . . . . . . . . . . 725,923 . . . . . . . . . . . . . 725,923 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18.2 Net deferred tax asset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19. Guaranty funds receivable or on deposit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

20. Electronic data processing equipment and software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

21. Furniture and equipment, including health care delivery assets

($...............0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

23. Receivables from parent, subsidiaries and affiliates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,195,045 . . . . . . . . . 25,779,609 . . . . . . . . . . . . . 415,436 . . . . . . . . . . . . . 108,751

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

25. Aggregate write-ins for other-than-invested assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,875,006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,875,006 . . . . . . . . . . 4,534,049

26. TOTAL assets excluding Separate Accounts, Segregated Accounts and

Protected Cell Accounts (Lines 12 to 25) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,279,730,707 . . . . . . . . . 28,090,157 . . . . . 1,251,640,550 . . . . . 1,249,446,043

27. From Separate Accounts, Segregated Accounts and Protected Cell

Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28. TOTAL (Lines 26 and 27) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,279,730,707 . . . . . . . . . 28,090,157 . . . . . 1,251,640,550 . . . . . 1,249,446,043

DETAILS OF WRITE-INS

1101. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1102. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1103. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

2501. Bank of NY/Mellon-Indemnification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,783,088 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,783,088 . . . . . . . . . . 3,782,994

2502. Account receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 757 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 757 . . . . . . . . . . . . . 751,055

2503. Premium tax refund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91,161 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91,161 . . . . . . . . . . . . . . . . . . . . . . .

2598. Summary of remaining write-ins for Line 25 from overflow page . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2599. TOTALS (Lines 2501 through 2503 plus 2598) (Line 25 above) . . . . . . . . . . . . . . . . . . . . . . . . 3,875,006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,875,006 . . . . . . . . . . 4,534,049

Q3


LIABILITIES, SURPLUS AND OTHER FUNDS1 2

Current December 31,

Statement Date Prior Year

1. Losses (current accident year $...............0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (65,622,185) . . . . . . . (63,429,795)

2. Reinsurance payable on paid losses and loss adjustment expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Loss adjustment expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,181,237 . . . . . . . . . 18,023,488

4. Commissions payable, contingent commissions and other similar charges . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Other expenses (excluding taxes, licenses and fees) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,525,567 . . . . . . . . . . 3,694,787

6. Taxes, licenses and fees (excluding federal and foreign income taxes) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192,793 . . . . . . . . . . . . . 195,984

7.1 Current federal and foreign income taxes (including $...............0 on realized capital gains (losses)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,882 . . . . . . . . . . . . . . 27,882

7.2 Net deferred tax liability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

9. Unearned premiums (after deducting unearned premiums for ceded reinsurance of $.....159,618,622 and including

warranty reserves of $...............0 and accrued accident and health experience rating refunds including $...............0

for medical loss ratio rebate per the Public Health Service Act) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110,341,546 . . . . . . . 111,060,921

10. Advance premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11. Dividends declared and unpaid:

11.1 Stockholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11.2 Policyholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Ceded reinsurance premiums payable (net of ceding commissions) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335,562 . . . . . . . . . . . . . 150,634

13. Funds held by company under reinsurance treaties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14. Amounts withheld or retained by company for account of others . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Remittances and items not allocated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16. Provision for reinsurance (including $...............0 certified) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133,400 . . . . . . . . . . . . . 133,400

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

18. Drafts outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19. Payable to parent, subsidiaries and affiliates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,560,948 . . . . . . . . . . 7,485,298

20. Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

21. Payable for securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,644,015 . . . . . . . . . . . . . . . . . . . . . . .

22. Payable for securities lending . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23. Liability for amounts held under uninsured plans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

25. Aggregate write-ins for liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86,776,215 . . . . . . . . . 85,146,701

26. TOTAL liabilities excluding protected cell liabilities (Lines 1 through 25) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,096,980 . . . . . . . 162,489,300

27. Protected cell liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28. TOTAL liabilities (Lines 26 and 27) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,096,980 . . . . . . . 162,489,300

29. Aggregate write-ins for special surplus funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30. Common capital stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000,000 . . . . . . . . . 15,000,000

31. Preferred capital stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200,000,000 . . . . . . . 200,000,000

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

33. Surplus notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 584,334,000 . . . . . . . 584,334,000

34. Gross paid in and contributed surplus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,046,972,151 . . . . . 2,046,972,151

35. Unassigned funds (surplus) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,757,762,581) . . . (1,759,349,408)

36. Less treasury stock, at cost:

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

36.2 .............655 shares preferred (value included in Line 31 $...............0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

37. Surplus as regards policyholders (Lines 29 to 35, less 36) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,088,543,570 . . . . . 1,086,956,743

38. TOTALS (Page 2, Line 28, Col. 3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,251,640,550 . . . . . 1,249,446,043


2501. Mandatory contingency reserve for adverse losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86,776,215 . . . . . . . . . 85,146,701

2502. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2503. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2598. Summary of remaining write-ins for Line 25 from overflow page . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2599. TOTALS (Lines 2501 through 2503 plus 2598) (Line 25 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86,776,215 . . . . . . . . . 85,146,701

2901. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2902. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2903. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .


2999. TOTALS (Lines 2901 through 2903 plus 2998) (Line 29 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3201. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3202. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3203. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .


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

Q4


STATEMENT OF INCOME1 2 3

Current Year Prior Year Prior Year Ended

to Date to Date December 31

UNDERWRITING INCOME1. Premiums earned

1.1 Direct (written $.......3,983,952) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,154,614 . . . . . . . . . 10,969,960 . . . . . . . . . 72,960,7741.2 Assumed (written $.......1,486,075) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,463,827 . . . . . . . . . . 4,800,121 . . . . . . . . . 29,954,8671.3 Ceded (written $.......2,943,622) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,372,661 . . . . . . . . . . 7,692,688 . . . . . . . . . 59,569,182

1.4 Net (written $.......2,526,405) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,245,780 . . . . . . . . . . 8,077,393 . . . . . . . . . 43,346,459DEDUCTIONS:2. Losses incurred (current accident year $...............0)

2.1 Direct . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,551,854) . . . . . . . . . . 3,195,314 . . . . . . . (46,610,362)2.2 Assumed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,526,637 . . . . . . . . . . 5,315,505 . . . . . . . (80,160,196)2.3 Ceded . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,770,816 . . . . . . . . . . . (230,675) . . . . . . . . . 19,862,138

2.4 Net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,796,033) . . . . . . . . . . 8,741,494 . . . . . (146,632,696)3. Loss adjustment expenses incurred . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,044,260 . . . . . . . . . . 5,495,851 . . . . . . . . . . 5,674,5494. Other underwriting expenses incurred . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,233,410 . . . . . . . . . . 8,511,636 . . . . . . . . . 36,262,3035. Aggregate write-ins for underwriting deductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. TOTAL underwriting deductions (Lines 2 through 5) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,481,637 . . . . . . . . . 22,748,981 . . . . . (104,695,844)7. Net income of protected cells . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8. Net underwriting gain or (loss) (Line 1 minus Line 6 + Line 7) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,235,857) . . . . . . . (14,671,588) . . . . . . . 148,042,303INVESTMENT INCOME

9. Net investment income earned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,031,553 . . . . . . . . . . 6,560,595 . . . . . . . . . 39,432,96710. Net realized capital gains (losses) less capital gains tax of $...............0 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 732,209 . . . . . . . . . . . . . 815,722 . . . . . . . . . 14,381,697

11. Net investment gain (loss) (Lines 9 + 10) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,763,762 . . . . . . . . . . 7,376,317 . . . . . . . . . 53,814,664OTHER INCOME

12. Net gain or (loss) from agents' or premium balances charged off (amount recovered $...............0 amount charged off $...............0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. Finance and service charges not included in premiums . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14. Aggregate write-ins for miscellaneous income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,683 . . . . . . . . . . . . . . 75,000 . . . . . . . . . . . . . 667,512

15. TOTAL other income (Lines 12 through 14) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,683 . . . . . . . . . . . . . . 75,000 . . . . . . . . . . . . . 667,512

16. Net income before dividends to policyholders, after capital gains tax and before all other federal and foreign income taxes (Lines 8 + 11 + 15) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,538,588 . . . . . . . . (7,220,271) . . . . . . . 202,524,479

17. Dividends to policyholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18. Net income, after dividends to policyholders, after capital gains tax and before all other federal and foreign income taxes (Line 16 minus Line 17) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,538,588 . . . . . . . . (7,220,271) . . . . . . . 202,524,479

19. Federal and foreign income taxes incurred . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,887,275) . . . . . . . . (1,027,258) . . . . . . . . (6,444,083)

20. Net income (Line 18 minus Line 19) (to Line 22) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,425,863 . . . . . . . . (6,193,013) . . . . . . . 208,968,562

CAPITAL AND SURPLUS ACCOUNT21. Surplus as regards policyholders, December 31 prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,086,956,743 . . . . . . . 855,996,076 . . . . . . . 855,996,07622. Net income (from Line 20) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,425,863 . . . . . . . . (6,193,013) . . . . . . . 208,968,56223. Net transfers (to) from Protected Cell accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

24. Change in net unrealized capital gains or (losses) less capital gains tax of $...............0 . . . . . . . . . . . . . . . . . . . . . . . . . . (4,045,429) . . . . . . . . . . 8,334,299 . . . . . . . . . 23,690,89225. Change in net unrealized foreign exchange capital gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,286,152 . . . . . . . . (6,369,538) . . . . . . . . (5,848,942)26. Change in net deferred income tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

27. Change in nonadmitted assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,025,467) . . . . . . . . (1,338,238) . . . . . . . . (6,562,550)28. Change in provision for reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66,00029. Change in surplus notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30. Surplus (contributed to) withdrawn from Protected cells . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

32. Capital changes:32.1 Paid in . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

32.2 Transferred from surplus (Stock Dividend) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

32.3 Transferred to surplus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

33. Surplus adjustments:33.1 Paid in . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

33.2 Transferred to capital (Stock Dividend) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

33.3 Transferred from capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

35. Dividends to stockholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

36. Change in treasury stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

37. Aggregate write-ins for gains and losses in surplus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,054,292) . . . . . . . . . . . . . 566,888 . . . . . . . . . 10,646,705

38. Change in surplus as regards policyholders (Lines 22 through 37) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,586,827 . . . . . . . . (4,999,602) . . . . . . . 230,960,667

39. Surplus as regards policyholders, as of statement date (Lines 21 plus 38) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,088,543,570 . . . . . . . 850,996,474 . . . . . 1,086,956,743


0501. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

0502. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

0503. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

0599. TOTALS (Lines 0501 through 0503 plus 0598) (Line 5 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1401. Default interest forbearance fees and other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,683 . . . . . . . . . . . . . . 75,000 . . . . . . . . . . . . . 667,5121402. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1403. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1498. Summary of remaining write-ins for Line 14 from overflow page . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1499. TOTALS (Lines 1401 through 1403 plus 1498) (Line 14 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,683 . . . . . . . . . . . . . . 75,000 . . . . . . . . . . . . . 667,512

3701. Mandatory contingency reserves for adverse losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,629,514) . . . . . . . . . . 2,041,450 . . . . . . . . . 13,306,9873702. Unrealized gain/(loss) derivative asset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (424,778) . . . . . . . . (1,474,562) . . . . . . . . (2,660,282)3703. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

3799. TOTALS (Lines 3701 through 3703 plus 3798) (Line 37 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,054,292) . . . . . . . . . . . . . 566,888 . . . . . . . . . 10,646,705

Q5


CASH FLOW1 2 3

Current Prior Prior

Year Year Year Ended

To Date To Date December 31

Cash from Operations

1. Premiums collected net of reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,034,840 . . . . . . . . . . . . 4,015,135 . . . . . . . . . . . 14,721,735

2. Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,000,112 . . . . . . . . . . . . 5,485,548 . . . . . . . . . . . 32,810,157

3. Miscellaneous income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,683 . . . . . . . . . . . . . . . . 75,000 . . . . . . . . . . . . . . . 667,512

4. TOTAL (Lines 1 to 3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,045,635 . . . . . . . . . . . . 9,575,683 . . . . . . . . . . . 48,199,404

5. Benefit and loss related payments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (758,719) . . . . . . . . . . . 25,257,169 . . . . . . . . . . . 11,157,955

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

7. Commissions, expenses paid and aggregate write-ins for deductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,293,609 . . . . . . . . . . . . 5,974,555 . . . . . . . . . . . 38,729,479

8. Dividends paid to policyholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. Federal and foreign income taxes paid (recovered) net of $...............0 tax on capital gains

(losses) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (641,536)

10. TOTAL (Lines 5 through 9) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,534,890 . . . . . . . . . . . 31,231,724 . . . . . . . . . . . 49,245,898

11. Net cash from operations (Line 4 minus Line 10) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,489,255) . . . . . . . . . (21,656,041) . . . . . . . . . . . (1,046,494)

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,561,711 . . . . . . . . . 115,274,189 . . . . . . . . . 412,979,310

12.2 Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,706,589

12.3 Mortgage loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12.4 Real estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12.5 Other invested assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12.6 Net gains or (losses) on cash, cash equivalents and short-term investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,866

12.7 Miscellaneous proceeds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12.8 TOTAL investment proceeds (Lines 12.1 to 12.7) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,561,711 . . . . . . . . . 115,274,189 . . . . . . . . . 417,687,765

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

13.1 Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120,376,908 . . . . . . . . . . . 96,243,187 . . . . . . . . . 335,405,966

13.2 Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 627,307

13.3 Mortgage loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13.4 Real estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13.5 Other invested assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,943,786 . . . . . . . . . . . 34,943,786

13.6 Miscellaneous applications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,773,628 . . . . . . . . . . . . 3,773,628

13.7 TOTAL investments acquired (Lines 13.1 to 13.6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120,376,908 . . . . . . . . . 127,960,601 . . . . . . . . . 374,750,687

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

15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (54,815,197) . . . . . . . . . (12,686,412) . . . . . . . . . . . 42,937,078

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

16.3 Borrowed funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

16.5 Dividends to stockholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16.6 Other cash provided (applied) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,602,555) . . . . . . . . . . . . 3,957,647 . . . . . . . . . . . . 4,508,898

17. Net cash from financing and miscellaneous sources (Line 16.1 through 16.4 minus Line 16.5

plus Line 16.6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,602,555) . . . . . . . . . . . . 3,957,647 . . . . . . . . . . . . 4,508,898

RECONCILIATION OF CASH, CASH EQUIVALENTS AND SHORT-TERM INVESTMENTS

18. Net change in cash, cash equivalents and short-term investments (Line 11, plus Lines 15 and

17) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (59,907,007) . . . . . . . . . (30,384,806) . . . . . . . . . . . 46,399,482

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

19.1 Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138,546,981 . . . . . . . . . . . 92,147,499 . . . . . . . . . . . 92,147,499

19.2 End of period (Line 18 plus Line 19.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,639,974 . . . . . . . . . . . 61,762,693 . . . . . . . . . 138,546,981

Note: Supplemental Disclosures of Cash Flow Information for Non-Cash Transactions:

20.0001 Bonds transferred to SGI from SGI-UK as a result of dissolution (Part VII transfer) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68,275,31420.0002 Net payable for securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,644,015 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

STATEMENT AS OF March 31, 2016 OF THE SYNCORA GUARANTEE INC.

Notes to Financial Statement

Q6

1. Summary of Significant Accounting Policies:

A. Accounting Practices

Syncora Guarantee Inc. (the “Company” or “Syncora Guarantee”), a New York domiciled financial guarantee insurance company, prepares its statutory basis financial statements in accordance with accounting practices prescribed or permitted by the New York State Department of Financial Services (as successor to the Insurance Department of the State of New York) (the “NYDFS”). The NYDFS recognizes only statutory accounting practices prescribed or permitted by the State of New York for determining and reporting the financial condition and results of operations of an insurance company and for determining its solvency under insurance law. The National Association of Insurance Commissioners (“NAIC”) Accounting Practices and Procedures manual (“NAIC SAP”), has been adopted as a component of prescribed or permitted practices by the State of New York. The State of New York has adopted certain prescribed accounting practices that differ with those found in NAIC SAP. The NYDFS has the right to permit other specific practices which deviate from prescribed practices.

Reconciliations of net income (loss) and policyholders’ surplus (deficit) between the amounts reported in the financial statements (NY Basis) and NAIC SAP follow:

Permitted or Prescribed Practices

(a) Pursuant to certain prescribed accounting practices under Articles 14 and 69 of the New York Insurance Law (“NYIL”) that differ with those found in NAIC SAP, the admissible carrying value of a share of an insurer is limited to a stipulated percentage of policyholders’ surplus, and investments in certain securities (including the Uninsured Cash Flow Certificates (see Note 21.H.)) are also subject to limitations. In connection with the 2009 Master Transaction Agreement (2009 MTA) discussed in Note 21.H, the NYDFS permitted the Company to admit these assets notwithstanding the otherwise applicable limitations, which resulted in no difference between NAIC SAP and NY basis.

(b) Pursuant to approval granted by the NYDFS in accordance with section 6903 of the NYIL, as of March 31, 2016 and December 31, 2015, the Company has de-recognized $398.6 million and $398.6 million, respectively, in the aggregate, of contingency reserves on terminated policies, and policies on which the Company has established case reserves, whereas under NAIC SAP the Company would still be required to carry such reserves. The Company applies the permitted practice described above to release contingency reserves on an obligation by obligation basis under policies insuring multiple obligations rather than on a policy by policy basis.

(c) The NYDFS granted the Company a permitted practice to de-recognize reserves for unpaid losses, unearned premium reserve and contingency reserves relating to, and expense payments (which are reflected in “Losses incurred” on the Statement of Income) made to effect, certain transactions executed in connection with its continued remediation efforts described in Note 21.H. which effectively defeased or, in-substance, commuted, in whole or in part, the policies relating thereto, whereas under NAIC SAP such reserves would continue to be carried until such time the underlying contracts were legally extinguished and the payments made to effect the transactions would have resulted in the recording of an asset, as such payments were made in exchange for the assignment to the Company or an affiliate of the Company of all rights under the aforementioned policies. As of March 31, 2016, such de-recognized reserves for unpaid losses, unearned premium reserve and contingency reserves (as of the date of the effective defeasance or, in-substance commutations) aggregated $6.1 billion, $4.2 million and $3.1 million, respectively. As of December 31, 2015, such de-recognized reserves for unpaid losses, unearned premium reserve and contingency reserves (as of the date of the effective defeasance or, in-substance commutations) aggregated $6.1 billion, $4.2million and $3.1 million, respectively. As of December 31, 2015, the Company no longer sought approval for the de-recognition of unpaid losses, unearned premium reserves and contingency reserves relating to, and expense payments made which effectively defeased or, in-substance, commuted certain CDS contracts executed in connection with the consummation of the 2009 MTA and that were previously disclosed on an aggregate basis. As such CDS contracts were legally extinguished as of December 31, 2015, the associated reserves were released under NAIC SAP resulting in no difference between NAIC SAP and NY basis, and therefore the permitted practice is no longer required.

(d) The NYDFS granted the Company a permitted practice to value the surplus notes issued by the Company in settlement of certain policy obligations in connection with the 2009 MTA (see Note 21.H.) at original face value of $625.0 million in the aggregate, as compared to the estimated fair value thereof, that the Company would otherwise have been required to reflect such surplus notes in accordance with NAIC SAP. Any adjustment to the carrying value of surplus notes would result in an equal and offsetting adjustment to unassigned funds. As both surplus notes and unassigned funds are elements of policyholders’ surplus, a change in the value of the surplus notes would not affect policyholders’ surplus.

State of Three Months Year Ended

Domicile 2016 2015

NET INCOME (LOSS)

(1) Syncora Guarantee Inc. state basis (Page 4, Line 20, Columns 1 & 3) NY 8,425,863$ 208,968,562$

(2) State Prescribed Practices that increase/(decrease) NAIC SAP: - -

(3) State Permitted Practices that increase/(decrease) NAIC SAP: NY

(c) 27,166,036 1,761,627,429

(e) (2,724,679) (40,575,316)

(4) NAIC SAP NY 32,867,220$ 1,930,020,675$

March 31, December 31,

2016 2015

SURPLUS (DEFICIT)

(5) Syncora Guarantee Inc. state basis (Page 3, Line 37, Columns 1 & 2) NY 1,088,543,570 1,086,956,743$

(6) State Prescribed Practices that increase/(decrease) NAIC SAP:

(a) - -

(7) State Permitted Practices that increase/(decrease) NAIC SAP:

(b) NY (398,638,253) (398,638,253)

(c) NY (348,094,653) (375,260,689)

(d) - -

(e) (76,315,011) (75,561,902)

(8) NAIC SAP NY 265,495,653$ 237,495,899$



1Q6.

(e) The NYDFS granted the Company a permitted practice to account for its ownership of the common stock of American Roads entities (see Note 10 for further discussion) as salvage recoverable using discounted cash flow model, which is deducted from the liability for unpaid claims or losses, whereas under NAIC SAP, the Company would be required to record its 100% equity ownership of the American Roads entities using GAAP equity value.

B. Use of Estimates

The preparation of financial statements in conformity with NAIC SAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities. It also requires disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the period. Actual results may differ from estimates and those differences may be material. These interim notes to financial statements do not include all disclosures required in connection with annual financial statements included in our Annual Statement. In addition, the results of operations for the interim period ended March 31, 2016 are not necessarily indicative of the results that may be expected for the year ended December 31, 2016. These interim financial statements of the Company should be read in conjunction with the Company’s Annual Statement for the year ended December 31, 2015.

C. Accounting Policies

There has been no change in the Company’s significant accounting policies from that disclosed in the Company’s 2015 Annual Statement.

Bonds and loan-backed securities with an NAIC designation of 1 or 2 (highest-quality and high-quality) are valued at cost, adjusted for amortization of premium and accretion of discount which is calculated using the constant yield method. Bonds and loan-backed securities with an NAIC designation of 3 through 6(medium quality, low quality, lowest quality and in or near default) are valued at the lower of amortized cost, adjusted for amortization of premium and accretion of discount which is calculated using the constant yield method, or market value. The prospective method is used to value loan-backed securities. The Company employs Bank of New York Mellon Asset Servicing as its third party investment accounting service provider. Prepayment assumptions for loan-backed and structured securities are obtained from Bloomberg or determined using the Company's internal estimates.

2. Accounting Changes and Corrections of Errors:

The Company has had no changes in accounting principles or corrections of errors as of and for the periods presented herein.

3. Business Combinations and Goodwill:

A. Statutory Purchase Method

There were no business combinations accounted for under the statutory purchase method as of and for the periods presented herein.

B. Statutory Merger

There were no business combinations accounted for as a statutory merger as of and for the periods presented herein.

C. Impairment Loss

There was no impairment loss as a result of business combinations for the periods presented herein.

4. Discontinued Operations:

The Company had no discontinued operations as of or for the periods presented herein.

5. Investments:

Except as discussed below, there has been no change from that disclosed in the Company’s 2015 Annual Statement.

D. Loan-Backed and Structured Securities



2Q6.

The following table summarizes for the three months ended March 31, 2016 other-than-temporary impairments for loan-backed and structured securities because the Company had either the intent to sell the securities or the inability, or lack of intent to retain the securities for a period of time sufficient to recover the amortized cost basis.

The following table summarizes other-than-temporary impairments for loan-backed and structured securities as of March 31, 2016:

(1) (2) (3)

AmortizedCost before

Other-Than Temporary

Impairment

Other-Than

Temporary

Impairment

Fair Value

(1)-(2)

OTTI recognized1st quarter:

a. Intent to sell -$ -$ -$

b. Inability or lack of intent to retain

investment in the security for a

period of time sufficient to recover

the amortized cost basis

48,734,054 146,576 48,587,478

c. Total 1st quarter 48,734,054$ 146,576$ 48,587,478$

CUSIP

Amortized

Cost Before

Other-Than-

Temporary

Impairment

Present Value

of Projected

Cash Flows

Other-Than-

Temporary

Impairment

Amortized

Cost After

Other-Than-

Temporary

Impairment

Fair Value at

Time of Other-

Than-

Temporary

Impairment

Date of

Financial

Statement

Where

Reported

03064LAC4 1,381,315$ 1,380,385$ 930$ 1,380,385$ 1,380,385$ 3/31/2016

03065EAD7 1,645,349 1,644,884 465 1,644,884 1,644,884 3/31/2016

05947UR91 45,927 45,390 537 45,390 45,390 3/31/2016

059513AE1 199,406 199,299 107 199,299 199,299 3/31/2016

07384M4C3 368,076 367,707 369 367,707 367,707 3/31/2016

07388LAE0 1,955,485 1,954,042 1,443 1,954,042 1,954,042 3/31/2016

07388PAE1 328,213 327,493 720 327,493 327,493 3/31/2016

07388RAE7 4,240,429 4,217,926 22,503 4,217,926 4,217,926 3/31/2016

12615SAQ3 1,538,701 1,538,013 688 1,538,013 1,538,013 3/31/2016

12624VAA0 19,585 19,532 53 19,532 19,532 3/31/2016

12631BAA5 356,750 356,084 666 356,084 356,084 3/31/2016

126802CU9 1,017,973 1,017,950 23 1,017,950 1,017,950 3/31/2016

14313NAC6 761,350 761,263 87 761,263 761,263 3/31/2016

17119RAC6 148,484 148,457 27 148,457 148,457 3/31/2016

17119XAC3 729,459 729,004 455 729,004 729,004 3/31/2016

20047QAE5 867,392 866,200 1,192 866,200 866,200 3/31/2016

22545MAD9 216,742 216,424 318 216,424 216,424 3/31/2016

29372EBB3 1,395,353 1,395,202 151 1,395,202 1,395,202 3/31/2016

3137A7JV3 7,871 7,004 867 7,004 7,004 3/31/2016

31679GAC3 380,818 380,812 6 380,812 380,812 3/31/2016

36163LAC4 2,217,399 2,216,532 867 2,216,532 2,216,532 3/31/2016

362332AE8 2,141,489 2,139,406 2,083 2,139,406 2,139,406 3/31/2016

362334GR9 7,680 7,018 662 7,018 7,018 3/31/2016

39154TAB4 3,544,942 3,540,392 4,550 3,540,392 3,540,392 3/31/2016

46628FAF8 1,019,769 1,018,847 922 1,018,847 1,018,847 3/31/2016

46629GAE8 160,629 159,307 1,322 159,307 159,307 3/31/2016

46634NAA4 16,187 16,173 14 16,173 16,173 3/31/2016

50116PAC4 1,888,568 1,888,002 566 1,888,002 1,888,002 3/31/2016

50179MAE1 1,723,035 1,712,847 10,188 1,712,847 1,712,847 3/31/2016

50180CAD2 3,256,444 3,239,212 17,232 3,239,212 3,239,212 3/31/2016

50180JAD7 4,159,803 4,141,518 18,285 4,141,518 4,141,518 3/31/2016

52108RAE2 1,664,196 1,653,318 10,878 1,653,318 1,653,318 3/31/2016

576339AK1 2,654,779 2,651,655 3,124 2,651,655 2,651,655 3/31/2016

61750WAX1 4,369,321 4,347,287 22,034 4,347,287 4,347,287 3/31/2016

61751XAE0 1,468,624 1,461,691 6,933 1,461,691 1,461,691 3/31/2016

61759LAA6 207,963 206,823 1,140 206,823 206,823 3/31/2016

74928HAA4 119,515 118,411 1,104 118,411 118,411 3/31/2016

80283DAD3 150,803 150,798 5 150,798 150,798 3/31/2016

86359BLS8 14,052 8,266 5,786 8,266 8,266 3/31/2016

92887DAC0 196,288 196,282 6 196,282 196,282 3/31/2016

92935JAE5 36,211 29,671 6,540 29,671 29,671 3/31/2016

92936YAK7 111,679 110,951 728 110,951 110,951 3/31/2016

Total 146,576$



3Q6.

H. Restricted assets

As of March 31, 2016, the Company had, in the aggregate, approximately $61.5 million on deposit to collateralize its contractual obligations under certain agreements, including reinsurance. Of such deposits, $41.2 million, $3.8 million, and $16.5 million are recorded on the Statement of Assets, Liabilities, Surplus and Other Funds in “Bonds”, “Aggregate write-ins for other than invested assets”, and “Cash, cash equivalents and short-term investments”, respectively.

As of December 31, 2015, the Company had, in the aggregate, approximately $61.5 million on deposit to collateralize its contractual obligations under certain agreements, including reinsurance. Of such deposits, $41.3 million, $3.8 million, and $16.4 million are recorded on the Statement of Assets, Liabilities, Surplus and Other Funds in “Bonds”, “Aggregate write-ins for other than invested assets”, and “Cash, cash equivalents and short-term investments”, respectively.

In addition, refer to Note 14.A. for information regarding certain other deposits made by the Company and the amounts of such deposits at March 31, 2016 and December 31, 2015.

(1) Restricted assets (including pledged) summarized by restricted asset category

There has been no significant change from that disclosed in the Company’s 2015 Annual Statement.

(2) Detail of assets pledged as collateral not captured in other categories


(3) Detail of other restricted assets (reported on line l above)

Not applicable

I. Working Capital Finance Investments

(2) Aggregate Maturity Distribution on the Underlying Working Capital Finance Programs

Not applicable

(3) Events of Default of Working Capital Finance Investments during the Reporting Period

Not applicable

J. Offsetting and netting of assets and liabilities

Not applicable

6. Joint Ventures, Partnerships and Limited Liability Companies:

The Company held investments in limited liability companies at March 31, 2016 and December 31, 2015, which represented less than 3.5% and 3.0% of admitted assets, respectively.

7. Investment Income:

The Company has not excluded from policyholders’ surplus any investment income due and accrued as of March 31, 2016 and December 31, 2015.

8. Derivative Instruments:

During 2013, the Company entered into a derivative transaction at a fixed cost of $5.6 million to economically hedge certain interest rate risk associated with certain of its insured exposures. Such derivative transaction serves to limit the Company's exposures should three-month LIBOR rates increase above certain set cap rates between March 2013 and June 2018. In accordance with SSAP No. 86 - "Accounting for Derivative Instruments and Hedging Activities", derivative instruments are recorded at fair value with changes in fair value recorded as unrealized gains and losses, which are included in unassigned funds (surplus). For the three months ended March 31, 2016 and 2015, the Company recorded an unrealized loss on derivatives of $(0.4) million and $(1.5) million, respectively. As of March 31, 2016 and December 31, 2015, the Company recorded a derivative asset of $0.1 million and $0.5 million, respectively, which is included in "Derivatives" on the accompanying Statement of Assets, Liabilities, Surplus and Other Funds.

9. Income Taxes: .

The Company recorded a $2.9 million tax benefit for current federal and foreign income taxes during the three months ended March 31, 2016 compared to a $1.0 million tax benefit during the three months ended March 31, 2015.

Tax planning strategies did not have an effect on the Company’s net admitted deferred tax assets.



4Q6.

Management has concluded that future income forecasted to be generated is insufficient to support realization of Syncora Guarantee’s net deferred tax assets, thus a full valuation allowance has been established against the deferred tax assets of Syncora Guarantee at March 31, 2016 and December 31, 2015 for $1.0 billion and $1.0 billion, respectively. Current income taxes (benefit) incurred consist of the following major components:

Operating loss carryforward:

(1) At March 31, 2016, the Company had a Federal net operating loss carryforward of $2.6 billion available for Federal income tax purposes that will begin to expire from 2027 through 2031.

(2) At March 31, 2016, the Company had capital loss carryforwards of $69.0 million expiring from 2017through 2021.

(3) There are no Federal ordinary or capital income taxes incurred that are available for recoupment in the event of future net losses.

At March 31, 2016, the Company’s cumulative NOLs, which may be carried forward to offset future taxable income, are $2.6 billion. The Company’s ability to utilize its NOLs at March 31, 2016 expires from 2027 through 2031. Approximately $161.3 million of the Company’s NOLs as of March 31, 2016 are subject to limitation under Section 382 of the Internal Revenue Code (“Section 382”) as a result of an ownership change, as defined under that code section, that occurred on August 5, 2008. An ownership change, as defined under Section 382 generally occurs if the percentage stock ownership of shareholders owning (or deemed under Section 382 to own) 5% or more of Syncora Holdings’ common shares increases by more than 50 percentage points over the lowest percentage of Syncora Holdings’ common shares owned by such shareholders during a defined period of time. To avoid an ownership change in the future and further limitation on the use of the Company’s NOLs, on October 21, 2008, Syncora Holdings’ Board of Directors approved changes to Syncora Holdings’ Bye-laws which were subsequently approved by the shareholders on February 9, 2009 to limit the transfer of shares prior to the expiration of certain time periods specified in such bye-laws.

The Company’s significant NOLs are expected to reduce future tax liability that otherwise would be payable by the Company. The ability to utilize these NOLs would be limited in certain events, including if an “ownership change” under Section 382 were to occur. Section 382 limits the ability of a corporation that experiences an ownership change to utilize its NOLs and certain built-in losses after the ownership change. An ownership change is generally any change in ownership of more than 50 percentage points of a corporation’s stock over a rolling 3-year period. These rules generally operate by focusing on ownership changes among shareholders owning directly or indirectly 5% or more of the stock of a corporation (including for this purpose certain groupings of shareholders each of whom owns less than the 5% threshold) or any change in ownership arising from a new issuance or a redemption of stock by the corporation. Generally under Section 382, in the event of an ownership change, the amount of taxable income that a corporation can offset by its “pre-change losses” (which include its NOLs) is restricted to an annual amount equal to the equity value of the corporation immediately prior to the ownership change multiplied by the long-term tax-exempt rate. These limitations generally prohibit transactions that result in the creation of a new 5% shareholder or increases the ownership interest of an existing 5% shareholder. A 5% shareholder for this purpose is defined in Syncora Holdings bye-laws by reference to Section 382 and the Treasury Regulations issued thereunder, and includes “public groups”. A prohibited transaction under Syncora Holdings bye-laws is void at inception.

Consolidated Federal income tax return:

Syncora Holdings US Inc. maintains a tax sharing agreement and an escrow agreement with its subsidiaries, whereby the consolidated tax liability is allocated among affiliates in the ratio that each affiliate's separate return liability bears to the sum of the separate return liabilities of all affiliates that are members of the consolidated group. In addition, a complementary method is used which results in reimbursement by profitable affiliates to loss affiliates for tax benefits generated by loss affiliates. As of March 31, 2016 and December 31, 2015, the Company has a receivable from Syncora Holdings US Inc. of $19.8 million and $16.9 million, respectively, relating to the utilization of its net operating losses to offset taxable income reported by Syncora Capital Assurance (both the Company and Syncora Capital Assurance are members of the parent's consolidated group).

2016 2015

Current federal income tax (benefit) (2,887,275)$ (1,878,875)$

Current foreign income tax (benefit) - 219,334

Prior year adjustments - 632,283

Total current income tax(benefit) (2,887,275) (1,027,258)

Taxbasis capital gains (benefit) -$ -$

Prior year adjustments - -

Total taxbasis capital gains (benefit) - -

Total current income tax(benefit) (2,887,275)$ (1,027,258)$

March 31,

Three Months Ended



5Q6.

10. Information Concerning Parent, Subsidiaries and Affiliates:

Ownership of the Company

All outstanding shares of the Company are owned by Syncora Holdings US Inc., a Delaware corporation and all of the outstanding shares of Syncora Holdings US Inc. are owned by Syncora Holdings Ltd. (“Syncora Holdings”), (formerly known as Security Capital Assurance Ltd), a Bermuda-based holding company.

The Company’s Ownership of its Subsidiaries

The Company is 100% owner of Syncora Capital Assurance, a New York licensed financial guarantee insurer. On July 10, 2015, Syncora Guarantee-UK, a formerly wholly owned subsidiary, was dissolved following the completion of the Part VII Transfer noted below.

The Company is also 100% owner of non-insurance holding companies: (i) Pike Pointe Holdings, LLC ("Pike Pointe"), which wholly owns a number of subsidiaries that ultimately own and operate certain toll road facilities located in the United States and Canada and (ii) Syncora Investment Holdings LLC. The Company is also a 99% owner of a non-insurance company, Syncora Securities Holdings LLC.

Syncora Capital Assurance

Syncora Capital Assurance is a wholly owned subsidiary of the Company domiciled and licensed as a financial guarantee insurance company in the State of New York. During July 2009 in connection with the 2009 MTA, the Company capitalized Syncora Capital Assurance with $541.5 million, consisting of cash and invested assets, in exchange for 100% of Syncora Capital Assurance’s common stock and two surplus notes issued by Syncora Capital Assurance. On November 13, 2014, the Company made a $30.0 million capital contribution to Syncora Capital Assurance. On August 24, 2015, the Company and Syncora Capital Assurance entered into an intercompany capital support agreement whereby, if Syncora Capital Assurance’s surplus at the end of the prior quarter is below $100 million, or is projected to be below $100 million at the end of the coming quarter, the Company has agreed to purchase up to $100 million of additional Syncora Capital Assurance surplus notes; provided, that the Company’s surplus as of the prior quarter shall not be less than $100 million. These notes can be transferred to a third party. As of March 31, 2016, Syncora Capital Assurance’s policyholders surplus was $184.5 million.

The Company recorded its initial investment in the surplus notes of Syncora Capital Assurance at the aggregate principal or face amount of $350.0 million. The remaining amount of capitalization of $191.5 million ($541.5 million less $350.0 million) was initially attributed to the carrying value of the Company’s investment in the common shares of Syncora Capital Assurance.

Each payment of interest on (other than that paid-in-kind) or principal of the surplus note is subject to restrictionsunder the 2009 MTA and may be made only with the prior approval of the NYDFS and then only to the extent Syncora Capital Assurance has sufficient free and divisible surplus to make such payment.

In the event Syncora Capital Assurance is subject to liquidation or other such proceeding, policyholder claims would be afforded greater priority than that of the surplus noteholder, and the surplus noteholder’s claims would be afforded greater priority than claims of Syncora Capital Assurance’s stockholder.

The Company carries its investment in the common shares of Syncora Capital Assurance at an amount equal to its proportionate share of Syncora Capital Assurance’s policyholders’ surplus excluding the statutory carrying value of its surplus notes as required pursuant to SSAP 97. To the extent that Syncora Capital Assurance reports a policyholders’ deficit excluding the statutory carrying value of its surplus notes, the Company will reduce the carrying value of its investment in Syncora Capital Assurance’s common shares to zero. Any excess deficit will then serve to reduce the carrying value of Syncora Capital Assurance’s surplus notes owned by the Company, but in no event by more than the par value or face amount of such surplus notes. Any such remaining deficit will be attributed to, and recorded as the carrying value of, the common shares of Syncora Capital Assurance owned by the Company to the extent of any capital support commitments the Company has to Syncora Capital Assurance (none as of March 31, 2016 and December 31, 2015). Syncora Capital Assurance prepares its statutory financial statements in accordance with accounting permitted practices granted by the NYDFS. Without such accounting permitted practices, Syncora Capital Assurance’s policyholders’ surplus (deficit) would have been $(333.0) million and $(316.0) million at March 31, 2016 and December 31, 2015, respectively and net income (loss) would have been $(12.7) million and $(27.1) thousand for the three months ended March 31, 2016 and for the year ended December 31, 2015, respectively. At March 31, 2016 and December 31, 2015, Syncora Guarantee recorded $184.5 million and $192.1 million, respectively, of surplus notes.

The Company has entered into a reinsurance agreement with Syncora Capital Assurance as described below under Reinsurance and Other Agreements.

Pike Pointe

Pike Pointe is a wholly owned subsidiary of the Company, a Delaware limited liability company, which holds 100% of the equity ownership of a number of subsidiaries that ultimately own and operate certain toll road facilities located in the United States and Canada (collectively, "American Roads").

On July 25, 2013, American Roads LLC and certain of its affiliates filed "pre-packaged" bankruptcy cases under Chapter 11 of the United Bankruptcy Code in the United States Bankruptcy Court for the Southern District of New York. The Company insured approximately $830 million of bonds and interest rate swap liabilities issued by American Roads LLC. On September 3, 2013, the approved bankruptcy plan went effective and the Company as an indirect owner of the American Roads LLC interest rate swaps and issuer of related insurance policies received



6Q6.

100% equity ownership of the reorganized American Roads. The policyholders of the bonds originally issued by American Roads LLC, which have been discharged in bankruptcy, continue to benefit from the Company’s insurance policy, as Syncora Guarantee is obligated to pay 100% of all future principal and interest payments.

Syncora Investment Holdings LLC

Syncora Investment Holdings LLC, a Delaware limited liability company and wholly owned subsidiary of the Company, was established to enhance asset and liability management for longer dated liabilities and create long-term value for the Company. The Company commenced investing in 2015, and plans to invest an aggregate amountup to $43 million in debt and equity investments in positions in small-to mid-market private companies within the financial services and related sectors.

Syncora Securities Holdings LLC

Syncora Securities Holdings LLC, ("Syncora Securities") a Delaware limited liability company and a newly formed, jointly held, non-insurance subsidiary of the Company, was established in 2015 to hold the transferred securities received by the Company in connection with its previously reported 2012 settlement with Countrywide, Bank of America Corp. and affiliates. Such securities consist of 84,584 perpetual non-cumulative preferred shares and 3,044,588 common shares of Syncora Holdings Ltd.. Syncora Capital Assurance holds a minority interest in Syncora Securities.

Reinsurance and Other Agreements with Affiliates

Agreements with or in respect of Syncora Capital Assurance

• On July 15, 2009, the Company and Syncora Capital Assurance entered into a quota share reinsurance agreement pursuant to which the Company ceded and Syncora Capital Assurance assumed certain of the Company’s public finance business and certain of its global infrastructure business (the “Public Finance Reinsurance Agreement”).

• On July 15, 2009, the Company and Syncora Capital Assurance entered into an assumption reinsurance and novation agreement (the “CDS Novation Agreement”) pursuant to which the Company ceded and Syncora Capital Assurance assumed, through novation, certain of the Company’s non-public finance and non-commuted policies on CDS contracts (the “Novated CDS Policies”).

• On July 15, 2009, the Company issued back-up guarantees on the Novated CDS Policies (the “Back-Up Guarantees”) which would cover claims on such policies to the extent not satisfied by Syncora Capital Assurance, subject to certain limitations. No premium is required to be paid to the Company with respect to its back-up guarantees of the Novated CDS Policies.

• For the three months ended March 31, 2016 and 2015, ceded premiums aggregated $2.6 million and $2.8million, respectively, which resulted in the recognition by the Company of ceding commission revenue of $0.5million and $0.5 million for the same periods.

Agreements with or in respect of Syncora Guarantee-UK

Syncora Guarantee-UK was formerly a wholly owned subsidiary of the Company and was domiciled and licensed as a financial guarantee insurance company in England. On July 1, 2015, the High Court of England and Wales approved the transfer of all Syncora Guarantee-UK’s assets and liabilities, including its policies and the right to receive premiums therefrom, to the Company pursuant to Part VII of the UK Financial Services and Markets Act (the “Part VII Transfer”). The Part VII Transfer became effective on July 2, 2015 and Syncora Guarantee-UK was dissolved on July 10, 2015.

As of the Part VII Transfer on July 2, 2015 (the “Part VII Effective Date”), all property of Syncora Guarantee-UK, including all rights and powers under or by virtue of the transferred financial guarantee policies issued by Syncora Guarantee-UK (including rights to premium, consent rights and rights of enforcement), were transferred to the Company.

Following the completion of the Part VII Effective Date, all of the below agreements were terminated.

• The Company had a quota share reinsurance agreement with Syncora Guarantee-UK pursuant to which the Company reinsured 97% of the financial guarantee policies issued by Syncora Guarantee-UK. Syncora Guarantee-UK retained up to a 30% ceding commission (or such other percentage determined on an arm's length basis) on ceded premiums written under the reinsurance agreement.

• The Company had, under a surplus maintenance agreement, agreed to provide Syncora Guarantee-UK with funds sufficient to maintain a minimum solvency margin equal to the greater of (i) $12.5 million or (ii) 200% of the required minimum margin of solvency mandated by Syncora Guarantee-UK’s regulator in the United Kingdom, the PRA.

• The Company also, under an excess of loss reinsurance agreement, reinsured from Syncora Guarantee-UK, 100% of net incurred losses arising during the term of the agreement in excess of 10% of Syncora Guarantee-UK’s capital and surplus. The Company’s maximum liability under the excess of loss agreement was $50.0 million.



7Q6.

Agreements with or in respect of various New York trusts

• The Company is a party to insurance and indemnity agreements with various New York trusts formed by Syncora CDS LLC and Syncora Admin LLC, both affiliates of the Company. The Company guarantees timely payment of each trust’s obligations under structured CDS contracts issued by the related trust.

Agreements with or in respect of Syncora Guarantee Services

• The Company and its affiliates are parties to a Second Amended and Restated General Services Agreement, whereby Syncora Guarantee Services Inc. (“Syncora Guarantee Services”) provides the Company and its affiliates with general services, including substantially all personnel support, certain office overhead and expenses, rent, information technology services and other items. Under the terms of such agreement, the costs of the aforementioned services are charged to the Company and its affiliates in accordance with the requirements of Regulation 30 of the NYDFS.

• For the three months ended March 31, 2016 and 2015, the Company incurred costs under this agreement in the amount of $4.1 million and $5.3 million, respectively. As of March 31, 2016 and December 31, 2015, the Company had a receivable of approximately $5.9 million and $5.9 million, respectively from Syncora Guarantee Services that was recorded in “Receivables from parent, subsidiaries, and affiliates” on the Statement of Assets, Liabilities, Surplus and Other Funds; and was non-admitted as of March 31, 2016 and December 31, 2015.

Tax Sharing Agreement

See Note 9 for information regarding a tax sharing agreement and related escrow agreement which the Company is a party to along with certain of its affiliates.

Amounts due to or from related parties

Amounts due from / (to) related parties as of March 31, 2016 and December 31, 2015 were:

11. Debt:

There has been no change from that discussed in the Company’s 2015 Annual Statement.

12. Retirement Plans, Deferred Compensation, Postemployment Benefits andCompensated Absences and Other Postretirement Benefit Plans:


13. Capital and Surplus, Dividend Restrictions and Quasi-Reorganizations:

There has been no change from that disclosed in the Company’s 2015 Annual Statement with regard to disclosures 13.A. B. D. E. F. G. H. I. and L. in such Annual Statement. However, in regard to disclosures required by 13.C,13.J. and 13.K. see the updates below.

C. The ability of the Company to declare and pay a dividend to shareholders is governed by applicable New York law, including the NYIL. Under Section 4105 of the NYIL, the Company is permitted to pay dividends to shareholders in any 12-month period, without the prior approval of the NYDFS in an amount equal to the lesser of 10% of its policyholders’ surplus as of the last financial statement filed with the NYDFS (annual or quarterly) or their adjusted net investment income for the 12-month period, as determined in accordance with Statutory Accounting Practices prescribed or permitted by the NYDFS. The NYIL also provides that the Company may distribute dividends to shareholders in excess of the aforementioned amount only upon approval thereof by the NYDFS. Notwithstanding the foregoing, the Company may not declare or distribute any dividends to shareholders except out of “earned surplus” (an amount equal to “unassigned funds” as shown on its statutory balance sheet, which as of December 31, 2015 was ($1.8) billion, less “unrealized appreciation of assets”). The NYDFS may disapprove such dividends to shareholders if it finds that the Company will retain insufficient surplus to support its obligations and writings.

March 31, December 31,

Related Party 2016 2015

Syncora Guarantee Services 5,886,487$ 5,886,487$

Syncora Guarantee Services (4,071,922) (7,302,278)

Syncora Capital Assurance 415,436 108,751

Syncora Holdings (489,026) (183,020)

Syncora Holdings US Inc. 19,893,122 17,005,847

Total Related Party Receivable 26,195,045 23,001,085

Less: Non Admitted Receivable 25,779,609 22,892,334

Total Admitted Related Party Receivable 415,436 108,751

Total Related Party Payable (4,560,948) (7,485,298)

Net Receivable/(Payable) (4,145,512)$ (7,376,547)$



8Q6.

Pursuant to the terms of the 2009 MTA (see Note 21), the Company is not permitted to pay dividends or repurchase, redeem, exchange or convert any equity securities until such time as all surplus notes issued by the Company are paid in full. In addition, Syncora Capital Assurance is also subject to certain restrictions on its ability to pay dividends to the Company. Reference should be made to Note 13.C. of Syncora Capital Assurance’s Statement as of March 31, 2016 for further information.

J. As of March 31, 2016, the portion of unassigned funds (surplus) represented by or reduced by each item below is as follows:

a. unrealized (gains) and losses: $ 238,039,591b. non-admitted asset values: $ 28,090,157c. provision for reinsurance: $ 133,400

K. Pursuant to the effective defeasance, or in-substance, commutation of certain of the Company’s guarantees of CDS contracts issued by affiliates in connection with the 2009 MTA discussed in Note 21, the Company issued certain short-term and long-term surplus notes to the counterparties of such CDS contracts as summarized in the table below.

Payment of $150.0 million original principal balance of the short-term surplus notes issued by the Company, together with paid-in-kind interest and accrued and unpaid interest, totaling approximately $169.6 million, that was scheduled to be paid on December 28, 2011, was subject to the satisfaction of certain conditions precedent, including without limitation, prior regulatory approval by the NYDFS which was not granted in December 2011. In December 2015, Syncora Guarantee again sought approval for payment on its short-term surplus notes, and on December 21, 2015 the NYDFS did not approve such payment.

In addition, Syncora Guarantee was obligated by the terms of its long-term surplus notes to pay interest of approximately $97.5 million on the outstanding principal balance of $475 million together with paid-in-kind interest, that was scheduled to be paid on December 28, 2015, in which the NYDFS did not approve such payment. In December 2015, Syncora Guarantee sought approval for payment of interest on its long-term surplus notes, and on December 21, 2015, the NYDFS did not approve such payment. Notwithstanding the Company’s litigation settlements, Syncora Guarantee remains exposed to significant risks and uncertainties that may materially and adversely affect its financial condition, liquidity position and ability to make payments on its surplus notes. Consequently, there is significant uncertainty and there can be no assurance as to whether and when the NYDFS will approve any future payments on the short-term or long-term surplus notes.

Each payment of interest on (other than that paid-in-kind) or principal of the surplus notes is subject to restrictions under the terms of the surplus notes themselves and New York Insurance Law, including that such payments may only be made with the prior approval of the NYDFS, and then only to the extent the Company has sufficient free and divisible surplus to make such payment. Absent the satisfaction of these conditions, the Company may not make any payments on its surplus notes.

Although the terms of the short-term surplus notes do not require the Company to seek NYDFS approval for payments according to any schedule, the Company intends to seek approval for such payments on at least an annual basis.

The table below sets forth certain information and balances of the Company’s surplus notes.

(a) Interest on the short-term surplus notes was payable semi-annually, on June 27th and December 28th of each year (commencing December 28, 2009). Such interest was payable in cash or in-kind at the election of the Company through June 27, 2011. Interest

Surplus Notes held by third parties: Principal and

Interest

Carrying Paid for the

Value Three Months Total

Par Value of Notes at Ended Interest and Unapproved

Date Interest (Face Amount March 31, March 31, Principal Principal Date of

Issued Rate of Notes) (c)

2016 2016 Paid and Interest Maturity

7/15/2009 5.00% (a) 144,197,488$ 130,760,000$ -$ -$ 180,704,978$ 12/28/2011

7/15/2009 6.00% (b) 574,944,298 453,574,000 - - 93,084,907 6/27/2024

719,141,786$ 584,334,000$ -$ -$ 273,789,885$

Surplus Notes held by the Company:

7/15/2009 5.00% 21,217,189$ 19,240,000$ -$ -$ 26,588,894$ 12/28/2011

7/15/2009 6.00% 27,159,309 21,426,000 - - 4,397,159 6/27/2024

48,376,498$ 40,666,000$ -$ -$ 30,986,053$

Total Surplus Notes:

7/15/2009 5.00% 165,414,677$ 150,000,000$ -$ -$ 207,293,872$ 12/28/2011

7/15/2009 6.00% 602,103,607 475,000,000 - - 97,482,066 6/27/2024

767,518,284$ 625,000,000$ -$ -$ 304,775,938$



9Q6.

subsequent to June 27, 2011 was required to be paid in cash, subject in each case to the prior approval of the NYDFS. Absent the satisfaction of the conditions to payment, including the approval of the NYDFS, the Company is not entitled to make payments on its surplus notes. Failure to make any payment as a result of the failure of any such condition (as in the present case) would not constitute a default thereunder. Accordingly, any interest not approved for payment by the NYDFS on or after December 28, 2011 will not be capitalized on the outstanding principal balance reflected above, but will accrue interest at the existing rate. The outstanding principal balance of the short-term surplus notes as of June 27, 2011 also will separately accrue interest at such rate.

(b) Interest on the long-term surplus notes was payable semi-annually on June 27th and December 28th of each year (commencing December 28, 2009). Such interest was payable in cash or in-kind at the election of the Company through June 27, 2013. Interest subsequent to June 27, 2013 was required to be paid in cash, subject in each case to the prior approval of the NYDFS. Absent the satisfaction of the conditions to payment, including the approval of the NYDFS, the Company is not entitled to make payments on its surplus notes. Failure to make any payment as a result of the failure of any such condition (as in the present case) would not constitute a default thereunder. Accordingly, any interest not approved for payment by the NYDFS on or after December 28, 2013 will not be capitalized on the outstanding principal balance reflected above, but will accrue interest at the existing rate. The outstanding principal balance of the long-term surplus notes as of June 27, 2013 also will separately accrue interest at such rate. Commencing on December 28, 2018, principal amortizes in twelve equal installments payable semi-annually on June 27th and December 28th through the maturity of the notes.

(c) Includes interest paid-in-kind as of March 31, 2016 of $142.5 million.

Each of the surplus notes noted in the table above ranks pari passu. In the event the Company is subject to liquidation or other such proceeding, policyholder claims would be afforded greater priority than that of surplus noteholders, and the surplus noteholders’ claims would be afforded greater priority than claims of the Company’s stockholders.

14. Contingencies:

A. Contingent Commitments

As of both March 31, 2016 and December 31, 2015, the Company had $3.8 million on deposit with a bank that acts as the trustee of trusts established in connection with the effective commutation or, in-substance, defeasance of certain of the Company’s insured residential mortgage-backed securities (“RMBS”) (see Note 21.H.). This deposit serves to secure the Company’s commitment to indemnify such bank in connection with any damages, as defined in the indemnification agreement, that the bank may suffer in conjunction with administering the aforementioned trusts. The deposit is recorded in “Aggregate write-ins for other than invested assets” on the Statement of Assets, Liabilities, Surplus and Other Funds.

B. Assessments


C. Gain Contingencies

Except for claims for fraud in the inducement, non-contractual and other claims in each case against one or more sponsors or other persons in connection with the Company’s insured transactions, the Company has no material gain contingencies.

D. Claims Related Extra-Contractual Obligations and Bad Faith Losses Stemming from Lawsuits


E. Product Warranties


F. All Other Contingencies

On August 24, 2015, the Company and Syncora Capital Assurance entered into an intercompany capital support agreement whereby, if Syncora Capital Assurance’s surplus at the end of the prior quarter is below $100 million, or is projected to be below $100 million at the end of the coming quarter, the Company has agreed to purchase up to $100 million of additional Syncora Capital Assurance surplus notes; provided, that the Company’s surplus as of the prior quarter shall not be less than $100 million. These notes can be transferred to a third party. As of March 31, 2016, Syncora Capital Assurance’s policyholders surplus was $184.5 million.

The carrying value of the Company’s investment in its subsidiaries is subject to certain risks and uncertainties. Any reduction (or increase) in the carrying value of the Company’s investment in its subsidiaries may materially affect the Company’s policyholders’ surplus. Reference should be made to Syncora Capital Assurance’s March 31, 2016 Quarterly Statement and 2015 Annual Statement for information regarding Syncora Capital Assurance’s risks and uncertainties.

The Company is not aware of any loss contingencies, except for: (i) provisions related to mark-to-market termination payments in certain of the Company’s guarantees, which have been substantially eliminated as of July 15, 2009 in connection with the 2009 MTA discussed in Note 21.H. and (ii) certain litigation discussed in Note 21.I.

In the ordinary course of business, Syncora Guarantee is subject to litigation or other legal proceedings.See also Note 21.G. and I. for certain other contingencies.



10Q6.

Uncollectible Premiums Receivable

At March 31, 2016 and December 31, 2015, the Company had uncollected premium balances of $2.1million and $2.4 million, respectively. Uncollected premiums more than 90 days past due as of March 31, 2016 and December 31, 2015 were $1.6 million and $1.4 million, respectively. All amounts more than 90 days past due were non-admitted as of March 31, 2016 and December 31, 2015. The Company routinely assesses the collectibility of these receivables and any uncollectible premiums receivable as of the end of the current period are not expected to exceed the non-admitted amounts.

15. Leases:

There has been no significant change from that discussed in the Company’s 2015 Annual Statement.

16. Information About Financial Instruments with Off-Balance Sheet Risk And Financial Instruments With Concentrations of Credit Risk:

While the Company establishes reserves for losses and loss adjustment expenses on obligations it has guaranteed or reinsured to the extent it determines that losses are probable and reasonably estimable, the risk of loss under the Company’s guarantees extends to the full amount of unpaid principal and interest on all debt obligations it has guaranteed (see description of financial guarantee insurance and reinsurance in Note 21.I.). The tables below reflect certain information regarding the Company’s in-force principal and interest exposure at March 31, 2016. References in the tables below to “Gross” mean that the amounts are before the effect of ceded reinsurance and references to “Net” mean that the amounts are after the effect of ceded reinsurance. The tables below exclude the Company’s gross principal and interest exposure of $5.4 billion and $4.0 billion at March 31, 2016, respectively, (net principal and interest exposure of $5.4 billion and $4.0 billion at March 31, 2016, respectively) under the Back-Up Guarantees, which relate to policies novated by the Company to Syncora Capital Assurance (see Note 10).

The following table sets forth the Company’s in-force guaranteed principal and interest exposure by bond sector as of March 31, 2016:



11Q6.

The following table sets forth the number of years to maturity of the Company’s in-force guaranteed principal and interest exposure as of March 31, 2016:

Years to Maturity - Debt Service Amortization

(U.S. dollars in millions)

Scheduled Net Debt Service NPIO(1)

2016 Q1 $ - $ 10,353

2016 Q2 333 10,020

2016 Q3 87 9,933

2016 Q4 140 9,793

Total 2016 $ 560

2017 $ 405 $ 9,388

2018 607 8,781

2019 384 8,397

2020 406 7,991

Total 2017-2020 $ 1,802

2021-2025 $ 1,867 $ 6,124

2026-2030 644 5,480

2031-2035 1,152 4,328

2036 and thereafter 4,328 -

Total 2021-thereafter $ 7,991

Total $ 10,353

(1) NPIO represents Net Principal and Interest Outstanding.



12Q6.

The following table sets forth the Company’s in-force guaranteed principal exposure by geographic concentration as of March 31, 2016:

Exposure to Residential Mortgage Market

The Company is exposed to residential mortgages directly through its insurance guarantees of RMBS.

As of March 31, 2016, the Company’s total net direct exposure to RMBS aggregated approximately $0.5 billion, representing approximately 8.0% of its total in-force guaranteed net principal outstanding at such date. The RMBS exposure consisted of various collateral types as set forth in the table below. The tables below also set forth the Company’s internal ratings, as well as the ratings of certain rating agencies, of the insured transactions as of March 31, 2016.



13Q6.

Exposure to RMBS

The following table presents the net principal outstanding for the Company’s insured RMBS portfolio by type(1) of collateral as of March 31, 2016:

(1) Collateral type is defined as follows: Prime (1st lien) mortgage loans are secured by first liens on one-to-four family residential properties. The underwriting standards used to underwrite prime mortgage loans are the standards applied to the most creditworthy borrowers and are generally acceptable to Fannie Mae and Freddie Mac. Prime (2nd lien) mortgage loans are secured by 2nd liens on one-to-four family residential properties. The underwriting standards used to underwrite prime mortgage loans are the standards applied to the most creditworthy borrowers and are generally acceptable to Fannie Mae and Freddie Mac. This category also includes Alt-A (2nd lien) loans. HELOC is an adjustable rate line of credit secured by a second lien on residential properties. An Alt-A loan means a mortgage loan secured by first liens on residential properties, which is ineligible for purchase by Fannie Mae or Freddie Mac. Subprime (1st lien) mortgage loans are secured by first liens on residential properties to non-prime borrowers. The underwriting standards used to underwrite subprime mortgage loans are less stringent than the standards applied to the most creditworthy borrowers and less stringent than the standards generally acceptable to Fannie Mae and Freddie Mac with regard to the borrower’s credit standing and repayment ability. Subprime (2nd lien) mortgage loans are secured by second liens on residential properties to non-prime borrowers. See Subprime (1st lien) for a description of the underwriting standards. Subprime (1st lien) – International mortgage loans are secured by first liens on residential properties to non-prime borrowers located outside the United States.

The following table presents the net principal outstanding and net case basis reserves for unpaid losses for the Company’s insured RMBS portfolio by year of origination (year the guarantee was underwritten and issued) as of March 31, 2016:

RMBS Exposure


NPO % NPO

Prime (1st lien) $ 29 5.5 %

Prime (2nd lien) 18 3.4

Prime (HELOC) 131 24.9

Alt-A (1st lien) 29 5.4

Alt-A (2nd lien) 5 0.9

Subprime (1st lien) 267 50.9

Subprime (2nd lien) 21 4.0

Subprime (1st lien) - International 26 5.0

Total RMBS Outstanding $ 526 100.0 %

RMBS Exposure(U.S. dollars in millions)

2004 2005 2006 2007 Total

Prime/Alt-A $ 96 $ 43 $ 65 $ 8 $ 212

Subprime 34 (1) 93 - 187 314

Total RMBS Outstanding $ 130 $ 136 $ 65 $ 195 $ 526

(1) Includes $0.5 million relat ing to business underwritten and issued in 1999.


Net case reserves for unpaid losses $ 25 $ 57 $ (27) $ 51 $ 106



14Q6.

The following tables show the Company’s current internal and rating agency ratings on all of the Company’s direct RMBS exposure by deal, grouped by collateral type as of March 31, 2016. The Company’s internal ratings are based on its internal credit assessment of each transaction taking into account the overall credit strengths and weaknesses, transaction structure and the trends in the asset sector. The Company bases its analysis on information received from the trustees or from the issuers, as well as on-site visits to issuers, servicers, collateral managers and project sites. Modeling results are also considered. The Company also takes into consideration the rating agencies’ rationale for their ratings; however, variations may exist between the Company’s internal ratings and the ratings of the rating agencies. While the Company endeavors to provide the most recently published rating agencies’ ratings, the Company can provide no assurance that such ratings represent the most current ratings published by such agencies.

RMBS Ratings


VintageInternalRating

S&PRating(1)

Moody's Rating(1) NPO

Prime (1st lien)

1. .................................................. 2004 bbb+ NR Ba2 $ 17

2. .................................................. 2004 aa AA+ NR 8

3. .................................................. 2004 aa AA+ Ba1 4

Total $ 29

Prime (2nd lien)

1. .................................................. 2006 d NR C $ 18

Total $ 18

Prime (HELOC)

1. .................................................. 2004 d CCC Ca $ 39

2. .................................................. 2004 d CCC Ca 28

3. .................................................. 2005 d NR Ca 14

4. .................................................. 2006 d NR C 31

5. .................................................. 2006 d NR Ca 14

6. .................................................. 2006 d NR Ca 2

7. .................................................. 2006 d NR Ca -

8. .................................................. 2007 d NR Ca 3

Total $ 131

Alt-A (1st lien)

1. .................................................. 2005 b AA+ Baa3 $ 22

2. .................................................. 2005 d NR Caa2 7

3. .................................................. 2007 d NR C -

Total $ 29

Alt-A (2nd lien)

1. .................................................. 2007 d NR Caa1 $ 5

2. .................................................. 2007 d D B1 -

Total $ 5

Subprime (1st lien)

1. .................................................. 1999 b NR Caa1 $ -

2. .................................................. 2004 b- A Ba2 15

3. .................................................. 2004 a+ AAA Aa2 12

4. .................................................. 2004 aa AA+ A1 7

5. .................................................. 2005 d CCC - 93

6. .................................................. 2005 aa AA- Aa3 -

7. .................................................. 2007 c CCC C 140

Total $ 267



15Q6.

Exposure to Collateralized Debt Obligations

The following table presents the net notional exposure of the Company’s guaranteed collateralized debt obligations(“CDOs”) by type(1) of referenced asset as of March 31, 2016:

(1) Asset type is defined as follows. A Cash flow CDO is a securitized bond that is collateralized by a pool of debt obligations such as corporate loans, bonds and ABS. A Trups CDO is a CDO with underlying collateral primarily consisting of trust preferred securities issued by bank holding companies. An ABS CDO is a CDO with underlying collateral primarily consisting of RMBS bonds (greater than 50%) and other ABS securities.

The following table presents the net notional exposure of the Company’s guaranteed CDOs by rating as of March 31, 2016:

17. Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities:

A. There has been no change from that discussed in the Company’s 2015 Annual Statement.

B. There has been no change from that discussed in the Company’s 2015 Annual Statement.

C. There has been no change from that discussed in the Company’s 2015 Annual Statement.

Subprime (2nd lien)

1. .................................................. 2007 bb CCC Ba2 $ 15

2. .................................................. 2007 c CC C 3

3. .................................................. 2007 c CC Ca 3

Total $ 21

Subprime (1st lien) - International

1. .................................................. 2007 bbb BBB Baa2 $ 26

Total $ 26

Total RMBS Outstanding $ 526

(1) A '-' rating indicates the deal is not rated by the rating agency.

CDO Exposure


NPO % NPO # of Credits

Cashflow CDO

TRUPS CDO $ 39 94.7 % 2

ABS CDO 2 5.3 1

Total Cashflow CDO $ 41 100.0 % 3

Total Collateralized Debt Obligations Outstanding $ 41 100.0 % 3



16Q6.

18. Gain or Loss to the Reporting Entity from Uninsured A&H Plans and the Uninsured Portion of Partially Insured Plans:



C. There has been no change from that discussed in the Company’s 2015 Annual Statement.

19. Direct Premium Written/Produced by Managing General Agents/Third Party Administrators:


20. Fair Value Measurement:

A. Inputs Used for Assets and Liabilities Measured at Fair Value

(1) Assets measured at fair value

The Company has categorized its assets that are measured at fair value into the three-level fair value hierarchy as reflected in the table below. The three-level fair value hierarchy is based on the degree of subjectivity inherent in the valuation method by which fair value was determined. The three levels are defined as follows.

Level 1- Quoted prices for identical instruments in active markets.

Level 2- Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which all significant inputs and valuation drivers are observable in active markets.

Level 3- Model-derived valuations in which one or more significant inputs or significant value drivers are unobservable.

The following fair value hierarchy table presents the Company’s assets measured at fair value at March 31, 2016. There were no liabilities measured at fair value at March 31, 2016.

(2) There are no assets measured at fair value using significant unobservable inputs (Level 3) as of March 31, 2016.

(3) The Company had no transfers into or out of Level 3 or any transfers between Level 1 and Level 2 of the fair value hierarchy for the three months ended March 31, 2016.

B. Other Fair Value Disclosures

Not applicable

Level 1 Level 2 Level 3 Total

Fixed Maturity Investments:

Industrial & Miscellaneous -$ 456,477$ -$ 456,477$

Derivatives - 96,496 - 96,496

Total Assets at Fair Value -$ 552,973$ -$ 552,973$

March 31, 2016

Assets at Fair Value



17Q6.

C. Fair Values for All Financial Instruments by Levels 1, 2 and 3

The table below reflects the fair values and admitted values of all admitted assets that are financial instruments excluding those accounted for under the equity method. The fair values are also categorized into the three-level fair value hierarchy as described above.

D. Financial Instruments for which Not Practicable to Estimate Fair Values

It is not practicable to estimate the fair value of a certain limited liability company included in Other Invested Assets for purposes of the above disclosure in Note 20.C. due to the fact that the investment is not publicly traded and therefore quoted market prices are not available.

21. Other Items:

For a Description of Significant Risks and Uncertainties, Assessment of the Company’s Ability to Continue as a Going Concern, and Description of the Company’s On-Going Strategic Plan, see item G. below.



C. Other disclosures

For a Description of the Transactions Comprising the 2009 MTA and amendments thereto, see item H.below and for Regulatory and Legal Matters, see item I. below.

D. There has been no change from that discussed in the Company’s 2015 Annual Statement.

E. There has been no change from that discussed in the Company’s 2015 Annual Statement.

F. Subprime Mortgage Related Risk Exposure

(1) Subprime Mortgage Exposures

The Company has exposure to the U.S. subprime mortgage market through its financial guarantee insurance policies and investments in RMBS. See below and refer to Notes 16 and 25 for additional information regarding the Company's insured portfolio.

(2) Direct Exposure - Mortgage Loans


(3) Direct Exposure - Other Investment Classes

The following table summarizes the Company’s investments in U.S. subprime securities as of March 31, 2016:

(1) $16.2 million investment in subprime residential mortgage-backed securities is substantially all due to remediation activity.

Type of Financial Instrument

Aggregate Fair

Value Admitted Assets Level 1 Level 2 Level 3

Not Practicable

(Carrying

Value)

Financial Instruments - Assets

Bonds 950,267,014$ 939,570,006$ 142,050,107$ 808,216,907$ -$ -$

Cash, Cash Equivalents and

Short-term Investments 78,654,568 78,639,974 77,875,832 778,736 - -

Derivatives 96,496 96,496 - 96,496 - -

Other Invested Assets - 1,177,500 - - - 1,177,500

Total Assets 1,029,018,078$ 1,019,483,976$ 219,925,939$ 809,092,139$ -$ 1,177,500$

March 31, 2016

Actual Cost

Book/Adjusted

Carrying Value (1) Fair Value

Impairments

Recognized

Residential Mortgage -

Backed Securities 22,972,350$ 16,229,235$ 16,714,628$ (662)$

Total 22,972,350$ 16,229,235$ 16,714,628$ (662)$



18Q6.

(4) Underwriting Exposure to subprime mortgage risk through Financial Guaranty insurance coverage

G. Description of Significant Risks and Uncertainties, Assessment of the Company’s Ability to Continue as a Going Concern, and Description of the Company’s On-Going Strategic Plan:

Despite the Company's ongoing remediation transactions, the Company remains exposed to significant risks and uncertainties that may materially affect its financial and liquidity position. These relate to, among other things, (i) a potential liquidity mismatch resulting from the timing of anticipated future claims payments and subsequent cash recoveries related to these claims payments, (ii) the potential for future adverse loss and claims development on its insured obligations, (iii) the resolution of various litigation matters, including recoveries from the Company's insurance policy litigation claims, and (iv) the failure to receive interest or principal payments on or to otherwise monetize or recognize value from Syncora Capital Assurance’s surplus note(s). These risks and uncertainties are discussed more fully below and could materially and adversely affect the Company’s results of operations, financial condition and liquidity.

Description of Significant Risks and Uncertainties and Other Matters

• The Company continues to face a potential “liquidity mismatch” between expected future medium to long-term claim payments and recoveries relating to such claims. This potential liquidity mismatch results primarily from substantial projected gross claims payments. The Company anticipates it will be requested to make substantial gross claim payments in the period 2017 to 2029 (of approximately $185.7 million, excluding remediated RMBS claims), followed in later years (in some cases significantly later years) by substantial anticipated recoveries of these claims payments. Certain of these claims are subject to variability and uncertainty. In addition, the potential “liquidity mismatch” also results from the Company’s exposure to other transactions withrefinancing risk through to 2019, including one credit with a heightened risk of material claims payments with an aggregate par outstanding of $850.5 million and a number of other credits with exposure to refinancing risk and the risk of material principal repayments with an aggregate par outstanding of $2.5 billion, in each case as of March 31, 2016. Pursuant to the Company’s accounting policy and guidance under SSAP, the net present value of estimated claims and recoveries (including salvage and subrogation) are reflected in the Company’s loss reserves (see the Company’s accounting policy on reserves in Note 1.C. of the Company’s 2015 Annual Statement). As a result, the reserves for losses recorded in the Company’s balance sheet are significantly less as compared to the currently estimated future claims payments noted above. The amount and timing of the recoveries related to the anticipated future claims payments are subject to greater uncertainty and timing than the amount and timing of such future claims payments themselves. If realized, this liquidity mismatch may have a material adverse effect on the Company and its ability to satisfy its future obligations. Because of the inherent uncertainty in estimating future claim payments and recoveries (including, whether, when and to what extent investment grade and non-investment grade credits may be able to refinance), no assurance can be given that the actual severity or timing of claims payments, related recoveries, or ultimate losses will not be different than the Company’s estimates, and such differences could materially and adversely affect the Company's results of operations, financial condition and liquidity. Further, no assurance can be given that the Company will be successful in further enhancing liquidity or mitigating adverse developments associated with its future claim payments, recoveries, reserves for losses or the aforementioned potential liquidity mismatch. See Note 36.B. “Schedule of Insured Financial Obligations with Credit Deterioration” caption for further discussion.

• The Company’s estimate of reserves for losses on its exposures is based on certain assumptions. Changes in such assumptions could materially adversely affect such reserve estimates, including the amount and timing of any claims. Under certain conditions, many of which are event-driven and outside the control of the Company, these exposures may result in significant increases in claims beyond those assumed in the Company’s reserve estimate (that may or may not result in an increase in such loss reserves) in the near to medium term.

• The Company is exposed to significant refinancing risks in its insured and reinsured portfolio. The Company had assumed at origination that certain of the debt issuances insured could be refinanced in the market. The Company is exposed to this risk and, accordingly, may be required to make claims payments and then seek to recover its payments from revenues produced by the transaction. The Company believes it has reserved appropriately to reflect this risk but a more difficult refinancing market at the time of refinancing could lead to the Company facing additional, material claims and losses.

• Syncora Guarantee continues to be materially exposed (directly and indirectly) to risks associated with deterioration in the residential mortgage market through its guarantees of RMBS, as well as other bond sectors to which Syncora Guarantee has material exposure, including the structured single risk, public finance (including Puerto Rico), commercial mortgage, and corporate loan bond sectors. The extent and duration of any deterioration of the credit markets is unknown, as is the effect, if any, on: (i) potential claim payments and the ultimate amount of losses Syncora Guarantee may incur on obligations it has guaranteed and (ii) potential losses Syncora Guarantee may incur on its invested assets.

Description

Losses Paid in

the Current

Year

Losses

Incurredin

the Current

Year

Case Reserves

at the End of

Current

Period

IBNR

Reserves at

End of Current

Period

Financial Guaranty Coverage (644,486)$ (9,980,215)$ 106,462,791$ -$



19Q6.

• As of March 31, 2016, the Company has $167.3 million of gross par exposure (excluding interest outstanding of $50.1 million) to bonds issued by the Puerto Rico Electric Power Authority (“PREPA”) of which $153.1 million (excluding interest outstanding of $43.8 million) is ceded to Syncora Capital Assurance.

PREPA’s access to liquidity was adversely affected when the Government Development Bank for Puerto Rico announced in 2014 that it would no longer extend loans to certain public corporations such as PREPA, for which there is no demonstrated ability to repay. Compounding PREPA’s liquidity problem, there is currently no statutory framework under which PREPA may restructure its debt obligations. In 2014, the Commonwealth enacted the Puerto Rico Public Corporation Debt Enforcement and Recovery Act (the “Act”), which created a legal framework for public corporations such as PREPA to restructure their debts, but the Act was ruled unconstitutional by the District Court for the District of Puerto Rico in a 2015 decision that was later upheld by the First Circuit Court of Appeals. The Commonwealth appealed the case to the U.S. Supreme Court and oral argument was heard in March 2016. In addition, several other legislative initiatives have been proposed in Puerto Rico and in the U.S. Congress to address Puerto Rico's fiscal issues, including proposals that would allow the Commonwealth's municipalities and public corporations to file for bankruptcy protection either through a U.S. chapter 9 bankruptcy or under an alternative insolvency regime.

Since June 2015, the Governor of Puerto Rico has publicly stated that the Commonwealth’s public debt is not payable and that a comprehensive debt restructuring may be necessary. On April 6, 2016, the Puerto Rico legislature passed the Puerto Rico Emergency Moratorium and Financial Rehabilitation Act, which empowers the Governor to declare a moratorium on the payment of certain Puerto Rico credits, including PREPA’s power revenue bonds.

On August 14, 2014, PREPA and certain of its bank lenders, bondholders and financial guarantors, including the Company, entered into a forbearance agreement pursuant to which the forbearing creditors agreed not to exercise available rights and remedies until March 31, 2015, a termination date subsequently extended several times. The most recent amendment executed by the Company, on September 1, 2015, extended the forbearance termination date with respect to the Company to September 18, 2015. The other forbearing creditors have since implemented a further forbearance period with PREPA under the restructuring support agreement, described below.

On November 5, 2015, PREPA announced that it had entered into a Restructuring Support Agreement (the "RSA") with its bank lenders and an ad hoc group of uninsured bondholders to restructure the debt held by those creditor groups. On December 24, 2015, PREPA amended and restated the RSA to add the terms of a restructuring of the bonds insured by National Public Finance Guarantee Corporation ("National") and Assured Guaranty Municipal Corp. ("Assured"). The RSA has been amended multiple times to extend milestone deadlines and implement other modifications. Legislation required to implement the RSA was enacted on February 16, 2016. Under the RSA, Syncora Guarantee and PREPA have agreed to negotiate a restructuring of the bonds insured by Syncora Guarantee by May 13, 2016, subject to the approval of the ad hoc bondholder group, the bank lenders, National and Assured. The closing of the restructuring plan is subject to certain conditions precedent, including approval by the Puerto Rico Energy Commission and the assignment of an investment grade rating to the restructuring bonds.

There is significant risk and uncertainty related to PREPA’s ability to implement the recovery plan and the terms of the restructuring of the bonds insured by the Company, as well as risk related to the effect on PREPA of Puerto Rico’s weak economy, high debt load and limited liquidity. In the event that Syncora Capital Assurance is unable to meet its obligations under its reinsurance agreement, the Company may experience losses on its exposure to PREPA which could have a material adverse effect on the Company’s liquidity and financial position.

• The Company also has $109.0 million of net par exposure (excluding interest outstanding of $32.5million) through primarily reinsurance of General Obligation bonds and other obligations of Puerto Rico’s instrumentalities. If Puerto Rico or any of its instrumentalities were to default on their debt obligations, the Company may experience losses on these insured obligations which could have a material adverse effect on the Company’s surplus, liquidity and financial position.

• The Company has direct insurance and reinsurance exposure to certain credits within European countries. Global economic conditions have been negatively affected with concerns about the continued sovereign debt crisis within the European region and the possibility that certain European Union member states will default on their debt obligations or leave the European Union. The continueduncertainty over the outcome of the European Union governments’ efforts to provide financial support for sovereigns and sub-sovereigns and the possibility of further deteriorating conditions in Europe could have a material adverse effect on the Company’s financial and liquidity position. As of March 31, 2016, the Company’s in-force guaranteed principal exposure to the European Union was approximately $3.6 billion of which $231.2 million was specifically related to certain credits in higher risk countries, such as Portugal and Italy. See Note 16.

• The Company and its financial position will continue to be subject to risk of global financial and economic conditions that could materially and adversely affect the amount of losses (including the timing and amount of claims and subsequent recoveries) incurred on transactions it guarantees, the value of its investment portfolio, and otherwise materially and adversely affect the Company. With respect to the Company’s investment portfolio, a prolonged period of low interest rates, along with declining investment balances, may adversely affect the Company’s ability to generate sufficient



20Q6.

investment income to fund its future obligations. Issuers or borrowers whose securities or loans the Company insures or holds as well as the Company's counterparties under swaps and other derivative contracts may default on their obligations to the Company due to bankruptcy, insolvency, lack of liquidity, adverse economic conditions, operational failure, fraud or other reasons. Additionally, the underlying assets supporting securities that the Company has guaranteed may deteriorate further, causing these securities to incur losses.

• The Company is materially exposed to foreign exchange risk as the Company's insured debt obligations are denominated in a number of foreign currencies and the U.S. dollar. The principal currencies creating foreign exchange risk are the British pound sterling, Australian dollar and the European Union euro. At March 31, 2016, approximately 74% of the Company's in-force guaranteed net par outstanding exposure of $6.6 billion was denominated in such currencies. The Company translates foreign currencies into U.S. dollars at the current market exchange rates. Changes in the exchange rates between foreign currencies and U.S. dollars may have an adverse effect on the settlement of potential claims or the value of salvage/recoveries and therefore could have a material adverse effect on the Company's liquidity and surplus position. In addition, the Company is materially exposed to risks associated with its financial guarantees covering foreign denominated inflation indexed-linked bonds in connection with the bonds issued by UK and European utility and project finance issuers.

• The Company also continues to have significant exposure to a number of large structured single risk transactions (9 transactions with an aggregate insured net principal outstanding of $1.8 billion) with material risk of adverse development, including event driven risks, such as political, operational, bankruptcy, legal and regulatory actions. Such adverse events could have a material adverse effect on the Company's surplus, liquidity and financial position.

• Syncora Guarantee also holds 100% of the common shares issued by Syncora Capital Assurance. Syncora Capital Assurance’s ability to pay dividends on such common shares is subject to risks and uncertainties, including, without limitation, prior regulatory approval by the NYDFS and compliance with certain contractual restrictions. See Note 13.C. for further discussion. No assurance can be given as to whether or when Syncora Guarantee or Syncora Capital Assurance may be able to pay any dividends on its preferred and/or common shares. As discussed in Note 13.C., Syncora Guarantee’s ability to pay dividends is subject to regulatory constraints. Accordingly, any investment in Syncora Guarantee’s preferred shares should be considered speculative.

• The Company’s subsidiary, Syncora Capital Assurance has significant exposure to public finance transactions (including Puerto Rico), structured single risk and collateralized debt obligations. These exposures continue to pose a risk of material adverse development. Reductions in the carrying value of the Company’s investment in Syncora Capital Assurance could, directly or indirectly, have a material adverse effect on the Company’s surplus and liquidity position. See Note 14.F. and other risks and uncertainties noted above.

• Any payment of principal or interest on the long-term surplus note issued by Syncora Capital Assurance, which is held by Syncora Guarantee, is subject to the satisfaction of conditions precedent, including, without limitation, prior regulatory approval by the NYDFS and compliance with contractual restrictions in the 2009 MTA. To date, the NYDFS has permitted Syncora Capital Assurance to make payments to Syncora Guarantee on its long-term surplus note. On December 28, 2015, the NYDFS approved the semi-annual payment of $6.1 million of interest on its long-term note from Syncora Capital Assurance to Syncora Guarantee. No assurance can be given as to whether and when the NYDFS will approve future payments of interest or principal on Syncora Capital Assurance’s $200 million long-term surplus note (the “Existing Surplus Note”). The failure of Syncora Guarantee to (i) receive all future principal and interest payments of $270.0 million due from Syncora Capital Assurance under the Existing Surplus Note or any surplus notes to be issued by Syncora Capital Assurance to the Company (pursuant to the capital support agreement or otherwise) (“Future SCAI Surplus Notes”) or (ii) monetize or realize value from the Existing Surplus Note or any Future SCAI Surplus Notes could have a material adverse effect on Syncora Guarantee’s anticipated liquidity position.

• The Company and Syncora Capital Assurance entered into an intercompany capital support agreement whereby the Company has agreed to purchase up to $100 million of additional Syncora Capital Assurance surplus notes if Syncora Capital Assurance’s surplus at the end of the prior quarter is below $100 million, or is projected to be below $100 million at the end of the coming quarter, so long as the Company’s surplus as of the prior quarter is not less than $100 million. Such a purchase (without any subsequent sale to a third party) could place further demands on the Company’s liquidity, exacerbate the Company’s potential “liquidity mismatch” and otherwise have a material adverse effect on the Company’s liquidity position. There can be no assurance that the Company will have sufficient surplus to purchase the surplus notes if needed by Syncora Capital Assurance.

• Any payment of principal or interest on the short-term and long-term surplus notes issued by Syncora Guarantee is subject to the satisfaction of conditions precedent, including, without limitation, prior regulatory approval by the NYDFS. Syncora Guarantee was obligated by the terms of its short-term surplus notes to pay the outstanding principal balance of $150 million, together with paid-in-kind interest and accrued and unpaid interest, totaling approximately $169.6 million that matured on December 28, 2011, however, the NYDFS did not approve the payment, and accordingly, the payment was not made. In December 2015 (for both the short-term and long-term surplus notes), Syncora Guarantee sought approval for payment of interest. The NYDFS did not approve any such payments.



21Q6.

Notwithstanding the Company’s ongoing remediation transactions, Syncora Guarantee remains exposed to significant risks and uncertainties that may materially and adversely affect its financial condition, liquidity position and ability to make payments on its surplus notes. Consequently, there is significant uncertainty and there can be no assurance as to whether and when the NYDFS will approve any future payments on the short-term or long-term surplus notes, which should be considered speculative investments. Any payment by Syncora Guarantee of principal or interest on its short-term or long-term surplus notes could have a potential material adverse effect on Syncora Guarantee’s prospective policyholders’ surplus and liquidity position.

• As discussed in more detail in Note 25.(c), the Company has exercised rights available to it in connection with certain RMBS it insures and has issued put-back notices to sponsors of such securities to require the repurchase of mortgage loans which back the securities and has recorded a reduction in its reserves for losses at March 31, 2016, which reflects its estimate of its ultimate recovery from such repurchases. Sponsors have disputed the Company’s right to require them to repurchase the aforementioned mortgages and the Company is involved to enforce these rights. If the Company is unsuccessful in enforcing its rights and does not realize the benefit it recorded through the aforementioned reduction in its reserves as and when expected, it may have a material effect on the Company’s anticipated liquidity position and policyholders’ surplus. Likewise, if the Company is successful in enforcing its rights in an amount greater than the benefit it recorded through the aforementioned reduction in reserves, it may have a materially positive effect on the Company’s liquidity position and policyholders’ surplus. The Company periodically engages in discussions attempting to resolve these claims. While a negotiated resolution could result in an amount below that recorded in the aforementioned reserve reductions, it could also result in an amount greater than such reductions.

• As a result of the RMBS Offer (as defined in Note 21.H.), alternative transactions effectively replicating the RMBS Offer and direct purchases of insured securities the Company has effectively defeased or, in substance, commuted its exposure to certain insured transactions. The effectiveness of these structures is dependent upon the ability of the Company to receive payments on its Insurance Cash Flow Certificates. Failure of the Company to receive these payments would have a material adverse effect on the Company.

• Establishment of case basis reserves for unpaid losses and loss adjustment expenses on the Company’s in-force business requires the use and exercise of significant judgment by management, including estimates regarding the likelihood of occurrence, timing and amount of a loss on a guaranteed obligation. A material portion of the Company’s case basis reserves reflect certain assumptions with respect to recoveries on rights available to the Company in connection with certain RMBS it insures that require the sponsors of such securities to repurchase mortgage loans that breached certain representations and warranties (see Note 25.(c)). Similarly, a material portion of the Company’s case basis reserves reflects certain assumptions that affect reimbursements in the remainder of its insured and reinsured portfolio. Actual experience may, and likely will, differ from those estimates and such difference may be material due to the fact that the ultimate dispositions of claims are subject to the outcome of events that have not yet occurred and, in certain cases, will occur over many years in the future. Examples of these events include changes in the level of interest rates, credit deterioration of guaranteed obligations, recoveries in bankruptcy proceedings, changes in the value of specific assets supporting guaranteed obligations, changes in the level of investment yield and changes in the timing, level of success and collectability of the aforementioned mortgage loan repurchases. Both qualitative and quantitative factors are used in making such estimates. From time to time the Company reevaluates all such estimates. Changes in these estimates may be material and may result in material changes in the Company’s policyholders’ surplus. Any estimate of future costs is subject to the inherent limitation on management’s ability to predict the aggregate course of future events. It should, therefore, be expected that the actual emergence of losses and claims will vary, perhaps materially, from any estimate. The risk of loss under the Company’s guarantees extends to the full amount of unpaid principal and interest on all debt obligations it has guaranteed.

• Failure to make claim payments by Syncora Guarantee in the future (see discussion of regulatory and legal matters below) could have a number of material adverse consequences, including, but not limited to litigation, potential loss of control rights, the potential assertion of mark-to-market termination payments by counterparties to swap contracts guaranteed by Syncora Guarantee on which Syncora Guarantee fails to pay a claim, and policyholders potentially withholding premium payments. There can be no assurance that there would not be other material adverse consequences of Syncora Guarantee’s failure to make claim payments.

• The Company is involved in a number of legal proceedings, both as plaintiff and defendant. Management cannot predict the outcomes of these legal proceedings and other contingencies with certainty. The outcome of some of these legal proceedings and other contingencies could require the Company to take or refrain from taking actions which could adversely affect its business or could require the Company to pay (or fail to receive) substantial amounts of money. Similarly, a favorable outcome of the suits where the Company is the plaintiff, could entitle the Company to receive (directly or indirectly) substantial recoveries. A favorable or unfavorable outcome could have a material effect on the Company’s policyholders’ surplus and liquidity position. Prosecuting and defending these lawsuits and proceedings involves significant expense and diversion of management’s attention and resources from other matters.

• Syncora Guarantee continues to be materially exposed (directly and indirectly) to risks associated with the financial condition of other financial guarantors, including the placement of a financial guarantor



22Q6.

into rehabilitation or liquidation. Such exposure may arise as a result of (i) direct contractual dealings with a financial guarantor such as reinsurance (whether as ceding company or reinsurer), or (ii) indirectly by means of (a) “wrapping over” another financial guarantor (which exposes Syncora Guarantee to the credit risks of the insured transaction directly) or (b) participating in an insured transaction with such other financial guarantor (where such rehabilitation or liquidation could have an effect on the insured transaction or the rights and remedies available to the Company). The ultimate effects of the financial condition of other financial guarantors or any such rehabilitation or liquidation are unknown, as is the effect, if any, on potential claim payments and the ultimate amount of losses Syncora Guarantee may incur on obligations it has guaranteed and such effects may be materially adverse to Syncora Guarantee’s financial position.

• In addition to exposure to general economic factors including stress in the energy sector, Syncora Guarantee is exposed to the specific risks faced by the particular businesses, municipalities or pools of assets covered by its financial guarantee products. In light of the continuing economic and financial stresses in the United States and Europe, various businesses and municipalities are facing financial difficulties. In addition, catastrophic events or terrorist acts could adversely affect the ability of public sector issuers to meet their obligations with respect to securities insured by Syncora Guarantee and Syncora Guarantee may incur material losses due to these exposures if the economic stress caused by these or other events is more severe than Syncora Guarantee currently foresees. Other events, such as interest rate changes or volatility, could, in certain instances, also materially affect Syncora Guaranteeor its insured obligations.

• Changes in laws and regulations affecting insurance companies, the municipal and structured securities markets, the financial guarantee insurance and reinsurance markets and the credit derivatives markets, as well as other governmental regulations, or acts may subject Syncora Guarantee, its affiliates and subsidiaries to additional legal liability and regulatory requirements, affect the credit performance of the securities that Syncora Guarantee insures and otherwise affect the Company’s financial condition.

• The Company has sought, and may in the future seek, the NYDFS's approval of permitted accounting practices and other regulatory relief which have, and if granted may have, a material effect on the Company's policyholders' surplus. Once granted, these permitted accounting practices have been subject to an annual approval or confirmation. No assurance can be given that the NYDFS will continue to grant approval of the Company's past or any future permitted accounting practices or requested regulatory relief. Failure to obtain continuing approval of the past or future permitted accounting practices or requested regulatory relief could have a material adverse effect on the Company's policyholders' surplus. See Note 1.A. for discussion of permitted accounting practices.

• Should the Company experience an “ownership change” for purposes of Section 382 of the Internal Revenue Code, the Company’s ability to utilize its net operating loss carryforwards could be subject to an annual limitation in the future, which would be expected to result in a material increase in the Company’s U.S. federal income tax liability, reduce reimbursements from profitable affiliates under its tax sharing agreement and therefore materially adversely affect the Company’s surplus and liquidity position. While the Syncora Holdings Ltd. bye-laws contain restrictions intended to reduce the likelihood of such an “ownership change,” it remains possible that an “ownership change” could nonetheless occur. These limitations may prevent Syncora Holdings Ltd. from taking certain strategic actions or may make it more difficult for Syncora Holdings Ltd. to attract additional capital. See Note 9 for more information.

• Notwithstanding the amendment to the 2009 MTA obtained by the Company on August 24, 2015, asdiscussed in Note 21.H., the Company remains subject to certain contractual and regulatory restrictions that limit its financial and operating flexibility and may materially and adversely impair its ability to execute on its strategic plan. See below Description of the Company’s On-Going Strategic Plan and associated risks.

• Syncora Guarantee’s business could be negatively affected as a result of actions of activist stockholders of its parent, and responding to any such actions could be costly and time-consuming, disrupting operations and diverting the attention of management and employees. Such activities could interfere with Syncora Guarantee’s ability to execute on its Strategic Actions.

• The Company relies upon information technology and systems, including those of third parties, to support a variety of its business processes and activities. In addition, the Company has collected and stored confidential information. The Company’s data systems and those of third parties on which it relies may be vulnerable to security breaches from external and internal factors. Problems in, or security breaches of, these systems could result in, among other things, reputational harm, the disclosure or misuse of confidential or proprietary information, inaccurate loss projections, legal costs and regulatory penalties. As the Company’s business operations rely on the continuous availability of its computer systems, as well as those of certain third parties, a failure to maintain business continuity in the wake of disruptive events could prevent the timely completion of critical processes across its operations, including, for example, claims processing and investment operations. These failures could result in additional costs, fines and litigation.

Assessment of the Company’s Ability to Continue as a Going Concern

As a result of multiple substantial remediation transactions and litigation recoveries, management has concluded that, through March 31, 2017, there is not substantial doubt about the ability of the Company to continue as a going concern. Notwithstanding management's conclusion that there is not substantial doubt



23Q6.

about the ability of the Company to continue as a going concern through March 31, 2017, the Company remains exposed to significant risks and uncertainties, including the potential "liquidity mismatch", described in Note 21.G. The Company will continue to assess its going concern status on an ongoing basis.

Description of the Company’s On-Going Strategic Plan

Management continues to pursue opportunities to mitigate the aforementioned significant risks and uncertainties described above. In particular, management continues to actively seek to (i) remediate insured exposures (through their purchase on the open market or otherwise, commutation, defeasance or other restructuring) to minimize potential claim payments, maximize recoveries and mitigate potential losses, (ii) increase the Company’s capital, financial position, liquidity, claims paying resources and reduce its liabilities (including through additional third-party capital), (iii) realize maximum value, monetize and/or finance its assets, including but not limited to its net operating losses, investments in subsidiaries and various legal proceedings described in Note 21.I. and from any other rights and remedies the Company may have, whether through litigation, settlement, sale or other monetization, (iv) enhance returns from its investments to match its long-term liabilities, (v) take other actions to enhance its current and future financial, liquidity, capital and surplus position, (vi) rationalize and optimize its capital structure, which could potentially involve the issuance, exchange and/or retirement of securities issued by the Company and its affiliates and/or modification of the corporate structure of the Company and its affiliates, (vii) continue to discuss and explore ways of further increasing its financial and operating flexibility with existing security holders and other interested parties, including additional amendments, removal, modification and/or waiver of financial, operating and other contractual constraints (see Note 21.H. for a description of key remaining constraints), and (viii) together with its affiliates, to explore new business opportunities to enhance stakeholder value (hereafter collectively referred to as “Strategic Actions”).

In regard to the Strategic Actions, the Company, working with its external advisors and counsel, is actively pursuing or exploring (including through input from and discussions with various holders of securities of the Company and its affiliates) a number of options available to it which, individually, or in the aggregate, may materially affect (favorably or adversely) the Company’s policyholders’ surplus, liquidity position or address other challenges that the Company faces. No assurances can be given that the Company will be successful in completing any of the aforementioned actions. Moreover, transactions contemplated by the Strategic Actions may not be feasible or economically viable or ultimately be successful in creating value. Furthermore, certain of the Strategic Actions contemplated by the Company may be outside the ordinary course of the Company’s operations or its control and may require consents, approvals or cooperation of parties outside of the Company, including the NYDFS, and there can be no assurance that any such consents, approvals or cooperation will be obtained on a timely basis or at all.

H. Description of the Transactions Comprising the 2009 MTA:

Description of the Transactions Comprising the 2009 MTA

To remediate its previously reported policyholders’ deficit and reestablish compliance with its regulatory minimum policyholders’ surplus, on July 15, 2009, the Company consummated a master transaction agreement with certain of its financial counterparties (the “Counterparties”) to CDS contracts insured by its financial guaranty insurance policies and certain related transactions (referred to collectively as the “2009 MTA”).

The 2009 MTA consisted of the following primary components:

(1) the restructure, effective defeasance or, in-substance, commutation (in whole or in part) of substantially all of the Company’s exposure to such CDS contracts, in exchange for which the Company paid the Counterparties consideration comprised of approximately $1.2 billion in cash, issuance of $625.0 million surplus notes of the Company and the transfer of common shares of Syncora Holdings;

(2) the reinsurance or novation of certain business to a newly formed, wholly-owned insurance subsidiary of the Company, Syncora Capital Assurance, in which the Company also issued back-up guarantees on such novated guarantees, which are also more fully described in Note 10;

(3) the effective defeasance or, in-substance, commutation, of certain of the Company’s exposure to insured RMBS securities. See below for further discussion; and

(4) certain other transactions to remediate loss exposure, which primarily consisted of certain commutations of its other guarantees and assumed reinsurance, and terminated its office lease agreement.

The 2009 MTA also contains a number of significant restrictive covenants applicable to the Company, Syncora Capital Assurance and Syncora Holdings Ltd. (collectively, the “Syncora MTA Parties”), which remain in effect until the Company’s surplus notes have been paid in full and, with respect to certain covenants, until certain policies issued by and CDS contracts insured by Syncora Capital Assurance are no longer in effect. These include prohibitions on:

i. the Syncora MTA Parties entering into a new or amending the existing tax sharing agreement or entering into specified related party transactions (subject to specified exceptions);

ii. the Company and Syncora Capital Assurance writing new business; incurring indebtedness and other material voluntary obligations (subject in each case to specified exceptions and limitations); merging,



24Q6.

consolidating or selling, assigning or transferring or disposing of (including by way of reinsurance, recapture or otherwise) all or any material portion of their respective assets (subject to specified exceptions); and

iii. the Company making any payments with respect to its short-term or long-term surplus notes except with respect to all such notes on a pro rata basis and on the same terms; failing to own all of the equity interests of Syncora Capital Assurance; paying dividends on or repurchasing, redeeming, exchanging or converting its equity securities (or of any of its direct or indirect parent’s equity securities) or making investments (subject to specified exceptions).

On August 24, 2015, the Company and Syncora Capital Assurance executed certain amendments to the 2009 MTA to, among other things, eliminate or modify certain contractual constraints, including, among other things, restrictions on the Company’s ability to issue equity securities and restrictions on selling Existing Surplus Notes, reduce the requisite consenting percentages for future amendments to 50% by value from 75% by vote and value; and bifurcate voting between Company-only matters and Syncora Capital Assurance-only matters all of which provide the Company with increased financial and operating flexibility. After giving effect to this amendment, the Company remains subject to certain prohibitions, future changes to which would require, in most cases, Company-only vote at a 50% voting threshold by value.

Reference should be made to the Company’s Quarterly Statement for the quarter ended September 30, 2009 for a more detailed discussion of the 2009 MTA.

Effective Commutation or Defeasance of the Company’s Exposure to Insured RMBS Securities

In connection with the 2009 MTA, the Company invested in a fund (the “RMBS Fund”) that executed certain transactions designed to effectively defease or, in-substance, commute the Company’s exposure on certain of its financial guarantee insurance policies written on RMBS. The RMBS Fund purchased certain of such RMBS in return for a trust certificate of an owner trust representing the uninsured cash flows of such RMBS (“Uninsured Cash Flow Certificate”) plus a cash payment. In general, the RMBS Fund contributed any such purchased RMBS (and certain of the Company’s reimbursement rights) to separate owner trusts in return for certificates representing the cash flows consisting of insurance payments made on the policies insuring such RMBS (“Insurance Cash Flow Certificates”). In return for such investments, the Insurance Cash Flow Certificates were distributed to the Company. The Company will, should the cash flows from the underlying RMBS transaction be sufficient, receive certain reimbursement payments in respect of insurance payments previously made by the Company on such RMBS. The Company also entered into several alternative transactions effectively replicating the economics of the RMBS Offer.

In addition to the RMBS Offer, as part of its on-going strategic plan, the Company directly purchased certain RMBS that it had insured. Such directly purchased RMBS were exchanged by the Company for Insurance Cash Flow Certificates and Uninsured Cash Flow Certificates using the mechanics described above. The Uninsured Cash Flow Certificate may either be held or resold by the Company. The Company continues to purchase certain of its insured RMBS and other credits.

For the three months ended March 31, 2016 and 2015, the Company paid gross RMBS claims aggregating $6.6 million and $3.5 million of which $5.7 million and $3.0 million, respectively, were returned to the Company as a result of receipts from Insured Cash Flow Certificates.

See “(c)” to the table in Note 1.A. above for a description of the accounting for such effective defeasances or, in-substance, commutations.

I. Legal Matters:

In the ordinary course of business, Syncora Guarantee is subject to litigation or other legal proceedings. Syncora Guarantee intends to vigorously defend against all actions in which it is a defendant and against other potential actions, and Syncora Guarantee does not expect the outcome of these matters to have a material adverse effect on Syncora Guarantee’s financial position, results of operations or liquidity. Syncora Guarantee can provide no assurance that the ultimate outcome of these actions will not cause a loss nor have a material adverse effect on Syncora Guarantee’s financial position, results of operations or liquidity.

As of March 31, 2016, 28 states or jurisdictions have suspended the Company’s license to conduct insurance business in such states or jurisdictions, revoked, placed an order of impairment against it, or the Company voluntarily surrendered its license, agreed to cease writing business in such states or jurisdictions, its license expired or the Company opted not to renew its license. Management anticipates that Syncora Guarantee will be able to continue to collect premiums on existing business in such states orjurisdictions. Additional states or jurisdictions may suspend Syncora Guarantee’s license, place an order of impairment against it or, in lieu of a suspension or order, Syncora Guarantee may voluntarily agree to cease writing business and let such licenses expire or opt not to renew its licenses in additional states or jurisdictions.



25Q6.

Set forth below is a description of certain legal proceedings to which Syncora Guarantee is a party.

RMBS Litigation

US Bank v. GreenPoint Mortgage

On February 5, 2009, Syncora Guarantee, together with co-plaintiffs U.S. Bank National Association as Indenture Trustee (“US Bank”) and CIFG Assurance North America, Inc. (“CIFG”), filed suit in the Supreme Court of the State of New York, New York County, against GreenPoint (the “GreenPoint State Action”), alleging that GreenPoint breached representations and warranties that would require repurchase of the breaching mortgage loans and/or the entire loan pool and/or pay damages in connection with a securitization of primarily home-equity mortgage loans originated by GreenPoint (the “2006-HE1 Securitization”), which was sponsored by Lehman Brothers Holdings Inc. (“Lehman”). In 2010, Syncora was dismissed from the case after the Court found that it (as well as CIFG) lacked standing to pursue direct claims against GreenPoint.

On December 16, 2013, GreenPoint moved to dismiss the remaining claims of US Bank on the grounds that it too lacked standing because Lehman used the wrong form of assignment when transferring the loans from Lehman Brothers Bank, FSB (“Lehman Bank”) to Structured Asset Securities Corporation (another Lehman affiliate) in furtherance of the securitization. US Bank crossed moved for partial summary judgment striking GreenPoint’s defense that US Bank lacked standing to directly pursue GreenPoint.

On January 28, 2016, the Court rejected GreenPoint’s motion for summary judgment and granted US Bank’s cross-motion for partial summary judgment, finding that as a matter of law US Bank has standing to directly assert claims against GreenPoint.

Lehman Brothers Proofs of Claim

On September 16, 2009, Syncora Guarantee filed a proof of claim against Lehman Brothers Holdings Inc. (“LBHI”) in the United States Bankruptcy Court for the Southern District of New York in connection with the same securitization as that at issue in the case described immediately above, which proof of claim was amended on January 13, 2010 (the “Syncora Claim”). On September 21, 2009, U.S. Bank as Indenture Trustee filed a proof of claim on behalf of this and other trusts against LBHI in the same court (the “Trustee’s Claim”). Neither the Syncora Claim nor the Trustee’s Claim has been resolved and the hearing on LBHI’s objection to the Syncora Claim has been adjourned without rescheduling another date for a hearing.

On May 2, 2013, in connection with the Syncora Claim, LBHI commenced an adversary proceeding against Syncora Guarantee also in the United States Bankruptcy Court for the Southern District of New York seeking to disallow that part of the Syncora Claim which LBHI alleges is contingent and/or subordinating any allowed claim. On September 26, 2013, LBHI filed a motion for summary judgment, which Syncora Guarantee opposed. Oral argument on the summary judgment motions was held on February 19, 2014 and, in light of the Court’s response at argument to LBHI’s motion, LBHI and Syncora Guarantee each withdrew, without prejudice, its motion for summary judgment.

On May 20, 2015, LBHI, together with Structured Asset Securities Corporation (“SASCO”), commenced a new adversary proceeding against Syncora Guarantee, U.S. Bank, and GreenPoint, also in the Lehman case pending in the United States Bankruptcy Court for the Southern District of New York, seeking (i) to disallow the Trustee’s Claim; (ii) to disallow the Syncora Claim; (iii) to subordinate the Syncora Claim to the Trustee’s Claim; (iv) to estimate the Trustee’s Claim at zero for reserve purposes; (v) to estimate the Syncora Claim at zero for reserve purposes; (vi) an order requiring that the Trustee’s Claim be pursued through the “RMBS Protocol” established for certain other RMBS trusts with claims against LBHI and SASCO; (vii) an order that LBHI is entitled to be indemnified by GreenPoint for any losses on the Syncora Claim or the Trustee’s Claim; (viii) to enjoin the GreenPoint State Action; and (ix) a declaration that the assignment of repurchase rights from Lehman Brothers Bank, FSB to LBHI was valid, relief that, if granted, would resolve in favor of U.S. Bank the “standing” issue that remains pending before the court in the GreenPoint State Action. Contemporaneously with filing their complaint, LBHI and SASCO moved for an order staying the GreenPoint State Action, which was opposed by Syncora Guarantee, U.S. Bank and GreenPoint. On July 1, 2015, the Bankruptcy Court held a hearing on LBHI’s and SASCO’s motion to stay the GreenPoint State Action and took the motion under advisement.

On August 4, 2015, GreenPoint filed a motion to dismiss the new adversary proceeding as against GreenPoint, as well as a motion to withdraw the reference to the United States District Court for the Southern District of New York. Lehman has opposed both of those motions and filed a motion for summary judgment against GreenPoint, seeking summary judgment on the issue of U.S. Bank’s “standing.” GreenPoint has opposed Lehman’s motion for summary judgment.

On October 2, 2015, LBHI also filed a motion to reduce the reserve held in the LBHI bankruptcy estate on account of the Syncora Claim. Syncora Guarantee filed a brief in opposition to that motion on October 21, 2015. The parties resolved the motion to reduce the reserve by stipulation in January 2016, and a scheduling order has been entered pursuant to which fact discovery and expert discovery will be concluded by September 2016, and a trial will be scheduled in October 2016.

On February 10, 2016, in light of the ruling in New York State Supreme Court that U.S. Bank has standing to pursue GreenPoint, GreenPoint withdrew its motion to withdraw the reference to District Court. The Court directed the parties to prepare a schedule to articulate to the Court the extent to which the U.S. Bank claim and the Syncora Claim have been narrowed by the state court decision.



26Q6.

ARPA Litigation

The Arkansas River Power Authority (“ARPA”) is a joint action agency in Colorado formed in 1979 to provide electricity to its constituent municipalities. ARPA currently has six member municipalities. ARPA’s members are contractually obligated to purchase their electricity requirements from ARPA. In 2004, ARPA announced plans to convert an existing natural gas-fired generator in Lamar, Colorado to a coal-fired facility (the “Repowering Project”). To raise funds for the Repowering Project, ARPA issued several series of bonds guaranteed by Syncora Guarantee. The costs of the Repowering Project went over budget necessitating ARPA to issue additional debt. The Lamar plant is not currently operating and will not be operated through 2022 pursuant to a consent decree entered into by ARPA and the WildEarth Guardians – an environmental advocacy group that sued ARPA.

On July 14, 2014, Lamar, Colorado – one of six ARPA member municipalities – along with several Lamar businesses and one Lamar citizen (the “Ratepayers”), filed a complaint against ARPA and Syncora Guarantee in Colorado state court (the “Ratepayer Litigation”). The Lamar complaint alleged substantially similar claims to those raised by another member municipality (Trinidad, Colorado) against ARPA in 2011 – namely, that ARPA had mismanaged the Repowering Project and seeking, among other things, to terminate its membership in ARPA. Trinidad, and Syncora Guarantee settled that earlier litigation and, in conjunction with the settlement, four of the other five ARPA member municipalities approved resolutions releasing claims and reaffirming their obligations to ARPA. The settlement agreement also contained a settlement offer to Lamar in exchange for the release of claims and reaffirmation of its obligations to ARPA, including dismissal of the July 14, 2014 lawsuit. That offer to Lamar expired on October 31, 2014.

On August 5, 2014 Syncora Guarantee filed a motion to dismiss Lamar’s July 14 lawsuit. ARPA also filed a motion to dismiss.

On October 6, 2014, Lamar and the Lamar Utilities Board filed a second complaint against ARPA and Syncora Guarantee (the “Lamar Utilities Board Litigation”). In their complaint, plaintiffs seek injunctive relief to prevent ARPA from dismantling the Repowering Project. In addition, plaintiffs seek injunctive relief to prevent Syncora Guarantee’s settlement offer from expiring on October 31, 2014. On October 11, 2014, plaintiffs filed a motion for temporary restraining order. A hearing was held on plaintiffs’ motion for temporary restraining order on October 22, 2014. At the conclusion of the hearing, the Court denied plaintiffs’ motion in full and dismissed the motion for injunctive relief against Syncora Guarantee.

Syncora Guarantee and ARPA both filed motions to dismiss the October 6, 2014 complaint. On January 14, 2015, the two pieces of litigation were consolidated. On April 10, 2015, Lamar and the Lamar Utilities Board filed a notice of voluntary dismissal which dismissed all claims in the second complaint against Syncora Guarantee.

On May 21, 2015, the court granted Syncora Guarantee’s motion to dismiss Lamar’s and the Ratepayers’ July 14 complaint. More specifically, all claims against Syncora Guarantee were dismissed for failure to state a claim upon which relief can be granted. The court granted, in part, and denied, in part ARPA’s motion to dismiss. The Ratepayers were dismissed as plaintiffs based on lack of standing. Certain claims as against ARPA were dismissed as time-barred. However, the court allowed Lamar’s claims against ARPA for rescission of contract and reformation of contract to proceed. On November 12, 2015, Lamar filed a motion to reconsider the Court’s May 21, 2015 order granting Syncora Guarantee’s motion to dismiss. On December 11, 2015, Syncora Guarantee filed an opposition to Lamar’s motion to reconsider and on February 17, 2016, the court issued an order denying Lamar’s motion.

ARPA recently settled the Lamar Utilities Board Litigation with the plaintiffs. The Ratepayer Litigation is still in the discovery phase with no dates set for summary judgment or trial. The court recently issued an order transferring venue of the case to Pueblo County. This means the jury pool will no longer be composed of ARPA ratepayers.

Syncora Guarantee will continue to monitor the Lamar Ratepayer Litigation against ARPA and assist ARPA with its defense of that case.

In August 2015, Syncora Guarantee filed a complaint in federal court in Colorado against Lamar and the Lamar Ratepayers who sued Syncora Guarantee in the summer of 2014. Syncora Guarantee filed an amended complaint against the Lamar Ratepayers on November 20, 2015. In the amended complaint, Syncora Guarantee alleged claims for intentional interference with contract, malicious prosecution, and abuse of process. On December 4, 2015, the Lamar Ratepayers filed a motion to dismiss the amended complaint. On January 8, 2016, Syncora Guarantee filed its opposition to the motion to dismiss. That motion is fully briefed and has not yet been decided.

Other Litigation

On April 18, 2012, Syncora Guarantee initiated an action in the Supreme Court of the State of New York against Macquarie Capital (USA) Inc. (“Macquarie”), among others. The case remains pending only against Macquarie, with Syncora Guarantee having entered into a stipulation dismissing the other defendants from the lawsuit. Syncora Guarantee alleges that Macquarie made misrepresentations and omissions in obtaining insurance from it on bonds issued by American Roads LLC. Macquarie’s motion to dismiss the claims was denied in its entirety and decided in Syncora Guarantee’s favor. On September 28, 2015, Syncora Guarantee filed a motion to amend its complaint to include additional allegations against Macquarie. The court granted the motion to amend but denied Syncora Guarantee’s motion to have the



27Q6.

entire amended complaint filed publicly; as a result, certain parts of it remain under seal. Macquarie intends to file another motion to dismiss in response to the amended complaint. Presently, fact and expert discovery is continuing and is anticipated to conclude in the third quarter of 2016.

Description of Financial Guarantee Insurance

Financial guarantee insurance provides an unconditional and irrevocable guarantee to the holder of a debtobligation of full and timely payment of the guaranteed principal and interest thereon when due. Financial guarantee insurance adds another potential source of repayment of principal and interest for an investor, namely the credit quality of the financial guarantor.

Generally, in the event of any default on an insured debt obligation, payments made pursuant to the applicable insurance policy may not be accelerated by the holder of the insured debt obligation without the approval of the insurer. While the holder of such an insured debt obligation continues to receive guaranteed payments of principal and interest on schedule, as if no default had occurred, and each subsequent purchaser of the obligation generally receives the benefit of such guarantee, the insurer normally retains the option to pay the debt obligation in full at any time. Also, the insurer generally has recourse against the issuer of the defaulted obligation and/or any related collateral for amounts paid under the terms of the insurance policy as well as pursuant to general rights of subrogation.

The issuer of an insured debt obligation generally pays the premium for financial guarantee insurance, either in full at the inception of the policy, as is the case in most public finance transactions, or in periodic installments funded by the cash flow generated by related pledged collateral, as is the case in most structured finance and international transactions. Typically, premium rates paid by an issuer are stated as a percentage of the total principal (in the case of structured finance and international transactions) or principal and interest (in the case of public finance transactions) of the insured obligation. Premiums are almost always non-refundable and are invested upon receipt. See Note 1.C.(1) of the Company’s 2015 Annual Statement for a description of NAIC SAP for premium revenue recognition.

Description of Financial Guarantee Reinsurance

Reinsurance indemnifies a primary insurance company against part or all of the loss that it may sustain under a policy that it has issued. All of the reinsurance protection purchased or provided by the Company is quota share reinsurance. Quota share reinsurance involves one or more reinsurers taking a stated percent share of each policy that an insurer produces (“writes”). This means that the reinsurer will receive that stated percentage of each dollar of premiums and will pay that percentage of each dollar of losses. In addition, the reinsurer will allow a “ceding commission” to the insurer to compensate the insurer for the costs of writing and administering the business. Under a traditional reinsurance arrangement, the ceding company collects premiums from, and pays claims to, its policyholders, and then periodically (usually quarterly) settles with its reinsurer based on the reinsurer’s share of the premium collected and claims paid.

Reinsurance does not relieve a primary insurance company of its obligations under an insurance policy. Generally, a policyholder of a reinsured policy has no rights to pursue a reinsurer for payment of its claims or obligation to pay it premiums. However, certain reinsurance agreements contain cut-through provisions that allow a policyholder to have rights directly against or obligations directly to, the reinsurer under the reinsurance agreement. The Company’s reinsurance agreement with Syncora Capital Assurance (see Note 10) represents a 100% quota share reinsurance agreement and contains cut-through provisions, that require policyholders to remit premiums due under such reinsured policies directly to Syncora Capital Assurance and provides policyholders the ability to submit claims under such policies directly to Syncora Capital Assurance for payment.

J. Joint and Several Liabilities

Not Applicable

K. Risk sharing provisions of Affordable Care Act

Not Applicable

22. Events Subsequent:

The Company has evaluated all subsequent events through May 12, 2016, the date the financial statements were available to be issued. There were no material events occurring subsequent to March 31, 2016 that requiredrecognition or disclosure.

23. Reinsurance:

A. Unsecured Reinsurance Recoverables


B. Reinsurance Recoverable in Dispute

There has been no change from that disclosed in the Company’s 2015 Annual Statement.



28Q6.

C. Reinsurance Assumed and Ceded


D. Uncollectible Reinsurance


E. Commutation of Ceded Reinsurance


F. Retroactive Reinsurance


G. Reinsurance Accounted for as a Deposit


H. Run-off Agreements


I. Certified Reinsurer Rating Downgraded or Status Subject to Revocation


24. Retrospectively Rated Contracts & Contracts Subject to Redetermination:


25. Changes in Incurred Losses and Loss Adjustment Expenses:

Set forth below is a discussion of case basis reserves carried by the Company at March 31, 2016 and December 31,2015. The Company’s reserves for unpaid losses and loss adjustment expenses represent its best estimate of: (i) the net present value of claims to be paid subsequent to the balance sheet date, less (ii) the net present value of recoveries subsequent to the balance sheet date and the net present value of installment premiums due from the counterparties to such guarantees subsequent to the balance sheet date. The Company’s best estimate of claims and recoveries was based on assumptions and estimates extending over many years into the future. Such assumptions and estimates are subject to the inherent limitation on the Company’s ability to predict the aggregate course of future events and, as a result, differences between estimated and actual results may be material. Reference should be made to Note 21.H. for information regarding the effect on the Company’s reserves for unpaid losses resulting from transactions which effectively defeased or, in-substance, commuted (in whole or in part) substantially all its guarantees on which it previously carried case reserves, as well as the Company’s 2015 Annual Statement. Amounts disclosed below relating to the provision for losses for the three months ended March 31, 2016 reflect the effect, as previously disclosed, of certain elements of the 2009 MTA.

The Company recorded a (benefit) provision for losses and loss adjustment expenses of $(0.8) million and $14.2million for the three months ended March 31, 2016 and 2015, respectively. The benefit primarily reflects positive development in the Company’s guarantees of certain RMBS and structured single risk transactions, partially offset by adverse development in the Company’s guarantees of certain public finance transactions. Reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $(48.4) million as of March 31, 2016 ($4.1 million before giving effect to reinsurance). The change from the December 31, 2015balances is attributable to positive development in the Company’s guarantees of certain RMBS and structured single risk transactions, partially offset by adverse development in the Company’s guarantees of certain public finance transactions.

(a) Public Finance

During the three months ended March 31, 2016 and 2015, the Company recorded a provision for losses and loss adjustment expenses, after giving effect to reinsurance, of $12.6 million and $6.2 million, respectively, relating to its guarantees of public finance transactions. As of March 31, 2016 and December 31, 2015, the Company’s reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $35.3 million and $22.8 million ($87.4 million and $62.5 million before giving effect to reinsurance).

(b) Structured Single Risk

During the three months ended March 31, 2016 and 2015, the Company recorded a (benefit) provision for losses and loss adjustment expenses, after giving effect to reinsurance, of $(5.5) million and $9.6 million, respectively, relating to its guarantees of structured single risk transactions. As of March 31, 2016 and December 31, 2015, the Company’s reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $(198.8) million and $(190.9) million ($(198.4) million and $(190.1) million before giving effect to reinsurance).



29Q6.

(c) Asset-Backed Securities

For the three months ended March 31, 2016 and 2015, the Company recorded a benefit for losses and loss adjustment expenses, after giving effect to reinsurance, of $(7.9) million and $(1.6) million, respectively, relating to its guarantees of insured obligations related to RMBS, supported by HELOC, CES, and Alt-A (first lien mortgages ineligible for purchase by Fannie Mae or Freddie Mac) mortgage loan collateral. Reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $114.3 million and $121.9 million as of March 31, 2016 and December 31, 2015, respectively ($114.3 million and $121.9 million, respectively, before giving effect to reinsurance).

The Company’s estimates of reserves are determined based on an analysis of results of cash flow models. The models project expected cash flows from the underlying mortgage notes. The model output is dependent on, and sensitive to, key assumptions regarding default rates, draw rates, draw periods, recoveries and prepayment rates, among others. The cash flow from the mortgages is then run through thepayment “waterfall” as set forth in the indenture for each transaction. Claims in respect of principal generally result when the outstanding principal balance of the mortgages is less than the outstanding principal balance of the insured notes, except when the principal balance is due for payment on the scheduled maturity date. Recoveries result when cash flow from the mortgages is available for repayment, typically after the insured notes are paid off in full.

The Company bases its default assumptions for the second lien transactions (HELOCs and CESs) in large part on recent observed default rates and the current pipeline of delinquent loans. The losses for the second lien transactions (HELOCs and CESs) are estimated based on a model using a constant default rate curve.

The Company generally observed peak defaults for the second lien transactions in 2009 and 2010. Default rates at March 31, 2016 are mostly forecasted with steady state default rates. Exceptions to this may include transactions for which there is an excessive build-up of severely delinquent loans for which defaults are anticipated or transactions whose collateral includes loans whose interest-only periods will end, at which point temporary increases to default rates are expected.

The Company assumes a steady state constant default rate at a rate well above historical norms. Net losses will be greater if the time it takes the mortgage performance to stabilize is longer than currently anticipated or if ramp down periods are extended beyond the Company’s current assumption. The constant default rate is a function of several factors, one of which is the state of the economy and unemployment.

The Company’s default assumptions for the first lien transactions at March 31, 2016 were based on current delinquent loans and analysis of historical defaults for loans with similar characteristics. A loss severity was applied to the first lien defaults ranging from 41.8% to 66.8% based upon actual loss severity observances and collateral characteristics to determine the expected loss on the collateral in those transactions.

The Company has exercised rights available to it in connection with its insurance of certain RMBS to require the sponsor of such securities and/or the originator of mortgage loans backing such securities to repurchase mortgage loans backing such securities that breached certain representations and warranties and/or to pay damages, and in the case of claims against GreenPoint Mortgage Funding, Inc. (“GreenPoint”), these claims are now being pursued by U.S. Bank as indenture trustee. While a sponsor and GreenPoint have disputed, and may in the future dispute, their obligations to repurchase all or a portion of these mortgages and/or to pay damages, if the Company or the indenture trustee is successful in enforcing its rights, whether through litigation or otherwise, it will reduce the ultimate losses the Company expects to incur through its insurance of the aforementioned securities (see Note 21). As of March 31, 2016, the Company recorded a net benefit for a portion of Syncora’s interest in noticed putbacks, which include approximately $527 million in original principal balance of mortgage loans putbacks that have been noticed to date by U.S. Bank which, despite the strength of the Company’s or indenture trustee’s claims, are subject to material discounts for the inherent uncertainty of litigation, timing and collectability. The amount of noticed putbacks may increase through future repurchase demands. The Company’s discounted interest in this benefit is recorded in the Company’s financial statements through a reduction in reserves for losses that it would otherwise have had to carry. Given the inherent uncertainty of litigation, no assurance can be given that the Company or indenture trustee will be successful in enforcing its rights to require a sponsor or GreenPoint to repurchase the mortgage loans and/or pay damages discussed above or, if successful, in collecting. If the Company or indenture trustee were successful in enforcing these rights, the ability of the Company to realize a financial benefit from the repurchase of mortgages loans and/or damages paid by a sponsor or GreenPoint is limited to the losses incurred by the Company through its insurance of the RMBS backed by such mortgages and by the financial ability of the sponsor or GreenPoint to honor their obligations. As a result, and due to the risks involved in any litigation, the actual recoveries and therefore the benefit to the Company may vary materially (favorably or unfavorably) from the Company’s estimates.

(d) Collateralized Debt Obligations

During the three months ended March 31, 2016 and 2015, the Company recorded a benefit for losses and loss adjustment expenses, after giving effect to reinsurance, of $0 million, relating to its guarantees of CDOs. Reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $0.8 million as of March 31, 2016 ($0.8 million before giving effect to reinsurance). Such reserves relate to one transaction with total gross principal exposure of $2.2 million at March 31, 2016.



30Q6.

Reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $0.8 million as of December 31, 2015 ($0.8 million before giving effect to reinsurance). Such reserves relate to one transaction with total gross principal exposure of $2.2 million at December 31, 2015.

26. Intercompany Pooling Arrangements:


27. Structured Settlements:


28. Health Care Receivables:


29. Participating Policies:


30. Premium Deficiency Reserves:


31. High Deductibles:


32. Discounting of Liabilities for Unpaid Losses or Unpaid Loss Adjustment Expenses:

The Company's case basis reserves for unpaid losses are discounted on a non-tabular basis. The discount rate used at March 31, 2016 and December 31, 2015 was 4.70%. The discount rate is based on a duration-weighted average return on the Company’s average invested assets. At March 31, 2016 and December 31, 2015, the Company's liability for unpaid losses and loss adjustment expenses was $(48.4) million and $(45.4) million, respectively. The amount of non-tabular discount at such dates was $134.0 million and $136.5 million, respectively.

A. Tabular Discount

Not applicable.

B. Non-tabular Discount

33. Asbestos/Environmental Reserves:


34. Subscriber Savings Accounts:

There has been no change from that disclosed in the Company’s 2015 Annual Statement

35. Multiple Peril Crop Insurance:


36. Financial Guaranty Insurance:

Premiums charged in connection with the issuance of the Company’s guarantees are received either upfront at the inception of an insurance contract or in installments (usually monthly or quarterly) over the life of the underlying insured obligation. Such premiums are only recognized as written when due. In accordance with prescribed statutory accounting practices, future installment premiums on in-force policies not yet due are not recorded on the Company’s Statement of Assets, Liabilities, Surplus and Other Funds as premiums receivable.

A. (1) Installment Contracts

a. As of March 31, 2016, the aggregate amount of installment premium to be collected in the future on the Company’s in-force policies, determined based on the contractual maturity of the underlying insured obligations, was $138.6 million ($49.6 million net of ceded reinsurance). The aforementioned amount of installment premium to be collected in the future may differ from the ultimate actual amount of installment premiums collected in the future on such in-force obligations for the reasons discussed above, and such difference may be material.

Schedule P Line of Business Case IBNR

Defense &

Cost

Containment

Expense

Adjusting

& Other

Expense

21. Financial Guaranty 134,025,506$ - - -



31Q6.

b. The following table presents, as of March 31, 2016, the Company’s installment premiums on direct in-force business (on an undiscounted basis) expected to be collected in the future and the periods in which such collections are expected to occur. In addition to that presented in the table below, the Company had installment premiums of $34.9 million relating to assumed reinsurance business at March 31, 2016:

c. At the following table presents a roll forward of the aggregate amount of gross installment premium to be collected in the future on the Company’s in-force policies for the period from December 31, 2015 to March 31, 2016:

(2) Upfront Contracts

a. The gross earned premium on upfront policies that was recognized on an accelerated basis was $6.1million for the three months ended March 31, 2016. Such accelerations are recognized when an insured issue is retired early, is called by the issuer or is, in substance, paid in advance through a refunding accomplished by placing U.S. Government securities in escrow and/or as a result of the Company’s remediation transactions.

b. The following table presents the expected future premium earnings of the Company’s direct in-force business (on an undiscounted basis) as of and for the periods presented. In addition to the premium earnings presented in the table below, the Company had unearned premium revenue of $27.2 million primarily relating to assumed reinsurance business at March 31, 2016:

1. (a) 2nd Quarter 2016 2,404,090$

(b) 3rd Quarter 2016 3,768,490

(c) 4th Quarter 2016 1,919,655

(d) 1st Quarter 2017 3,867,610

(e) 2nd Quarter 2017 2,230,156

(f) 3rd Quarter 2017 3,580,217

(g) 4th Quarter 2017 1,766,236

(h) Year 2018 10,875,803

(i) Year 2019 10,443,970

(j) Year 2020 10,056,386

(k) Year 2021 9,053,107

2. (a) 2022 through 2026 36,446,565$

(b) 2027 through 2031 23,516,267

(c) 2032 through 2036 15,011,064

(d) 2037 through 2041 3,156,229

(e) 2042 through 2046 398,812

(f) 2047 through 2051 106,190

1. Expected future premiums- Beginning of Year 143,970,369$

2. Less- Premiumpayments received for existing installment contracts (5,360,719)

3. Add- Expected premium payments for new installment contracts -

4. Adjustments to the expected future premium payments (8,803)

5. Expected future premiums- End of Period 138,600,847$

1. (a) 2nd Quarter 2016 2,979,080$

(b) 3rd Quarter 2016 2,932,512

(c) 4th Quarter 2016 2,609,760

(d) 1st Quarter 2017 2,706,445

(e) 2nd Quarter 2017 3,122,739

(f) 3rd Quarter 2017 2,983,422

(g) 4th Quarter 2017 2,874,367

(h) Year 2018 11,242,285

(i) Year 2019 10,603,839

(j) Year 2020 10,888,982

(k) Year 2021 11,537,614

2. (a) 2022 through 2026 52,836,635$

(b) 2027 through 2031 38,314,446

(c) 2032 through 2036 29,615,917

(d) 2037 through 2041 29,306,960

(e) 2042 through 2046 7,146,812

(f) 2047 through 2051 1,432,948

(g) 2052 through 2056 15,190,515

(h) 2057 through 2061 522,255



32Q6.

(3) Claim Liability

a. The Company used a rate of 4.70% to discount the claim liability. This rate is based on the weighted average rate of return on the Company’s invested assets.

b. Significant components of the change in the claim liability for the period:

(1) Represents development in prior year reserves

(4) Risk Management Activities

The Company’s surveillance department is responsible for monitoring the performance of its in-force portfolio. The surveillance department maintains a list of credits that it has determined need to be closely monitored and, for certain of those credits, the department undertakes remediation activities it determines to be appropriate in order to mitigate the likelihood and/or amount of any loss that could be incurred by the company with respect to such credits.

The surveillance department focuses its review on monitoring lower rated bond sectors and potentially troubled sectors, which have included certain subsectors within the ABS, CDO, Public Finance and Structured Single Risk portfolios. For the ABS and CDO portfolios, it tracks performance monthly to determine whether or not covenants have been breached. If a covenant is breached, the Company may have the right to put the transaction into rapid amortization so that all cash flow generated from that transaction is used to pay down principal and stay current with interest or take other remedial action. Typically, the surveillance department reviews periodic servicing and trustee reports to track coverage levels, enhancement levels, delinquency levels, loss frequency, loss severity and total losses and compares such performance metrics with the metrics that were made available at the time the transaction was closed. If losses are above projections, the surveillance department will analyze the reasons for the deviation. In some cases, it may be an indication of servicing problems, where loans are delinquent and are not put into foreclosure in time to maximize recovery. Typically once per year, the surveillance department will audit servicers of loans and other assets supporting the Company’s insured obligations to better understand their servicing practices and to identify potential servicing problems, if any. For the Public Finance portfolio, the surveillance department uses a Frequency of Review Schedule to prioritize reviews to ensure lower rated and larger exposure credits are being looked at more frequently. In addition, the surveillance department uses screening tools to review the entire Public Finance portfolio based upon news feeds, trade data, material event notices and other third party information. For the Structured Single Risk portfolio, the surveillance department will retain technical consultants as needed to track construction and operational risk and reviews this portfolio based upon reports it receives on a monthly, quarterly or annual basis.

The Company estimates claims based on its surveillance department’s best estimate of net cash outflows under a contract, on a present value basis. In some cases, the surveillance department will engage an outside consultant with appropriate expertise in the underlying collateral assets and respective industries to assist management in examining the underlying collateral and determining the projected loss frequency and loss severity. In such cases, the surveillance department will use that information to run a cash flow model that includes enhancement levels and debt service to determine whether a claim is probable, possible or not likely.

The activities of the Company’s surveillance department are integral to the identification of specific credits that have experienced deterioration in credit quality and the assessment of whether losses on such credits are probable, as well as any estimation of the amount of loss expected to be incurred with respect to such credits. Closely monitored credits are divided into four categories: (i) Special Monitoring List—low investment grade credits where a material covenant or trigger may be breached and closer monitoring is warranted; (ii) Yellow Flag List—credits that the Company determines to be non-investment grade but a loss is unlikely, including credits where claims may have been paid or may be paid but reimbursement is likely; (iii) Red Flag List—credits where a loss is possible but not probable or reasonably estimable, including credits where claims may have been paid or may be paid but full recovery is in doubt; and (iv) Loss List—credits where a loss is probable and reasonably estimable. Credits that are not closely monitored credits are considered to be fundamentally sound, normal risk.

Components Amount

(1) Accretion of the discount 354,187$

(2) Changes in timing (100,533)

(3) New reserves for defaults of insured contracts -

(4) Change in deficiency reserves(1)

(3,288,295)

(5) Change in incurred but not reported claims -

(6) Total (3,034,641)$



33Q6.

B. Schedule of Insured Financial Obligations with Credit Deterioration

The following table sets forth certain information in regard to the Company’s closely monitored credits as of March 31, 2016. The number of policies, remaining weighted-average contract period, and insured contractual payments outstanding in the table below excludes exposures that were effectively defeased or, in-substance, commuted through the acquisition of Insurance Cash Flow Certificates and related alternative structures.

Special Yellow Red

Monitoring Flag Flag Loss

List List List List Total

1. 3 4 8 184 199

2.

13.7 6.1 6.3 10.5 7.9

3a. Principal 255,526,815 628,172,429 1,003,681,519 528,790,318 2,416,171,081

3b. Interest 132,108,113 32,905,682 245,975,848 164,156,447 575,146,090

3c. Total 387,634,928 661,078,111 1,249,657,367 692,946,765 2,991,317,171

4. Gross loss and LAE liability (nominal) 244,349$ 2,544,568$ 8,900,661$ 660,257,056$ 671,946,634$

Less:

5a. Gross potential recoveries - - - 586,362,076 586,362,076

5b. Discount, net - - - 134,025,506 134,025,506 6. Loss and LAEliabilities reported in the balance sheet 244,349$ 2,544,568$ 8,900,661$ (60,130,526)$ (48,440,948)$

7. Unearned premium revenue, net 1,574,693$ 1,230,344$ 9,086,968$ 1,373,028$ 13,265,033$

8. Reinsurance recoverables on paid losses and LAE -$ 100,832$ -$ 260,141$ 360,973$

Number of policies

period (in years)

Remaining weighted-average contract

Insured contractual payments outstanding:

Q7


GENERAL INTERROGATORIES

PART 1 - COMMON INTERROGATORIESGENERAL

1.1 Did the reporting entity experience any material transactions requiring the filing of Disclosure of Material Transactions with the State of Domicile, as required by the Model Act? Yes[ ] No[X]

1.2 If yes, has the report been filed with the domiciliary state? Yes[ ] No[ ] N/A[X]

2.1 Has any change been made during the year of this statement in the charter, by-laws, articles of incorporation, or deed of settlement of the reporting entity? Yes[ ] No[X]

2.2 If yes, date of change: . . . . . . . . . . . . . . . . . . . . . . . . .

3.1 Is the reporting entity a member of an Insurance Holding Company System consisting of two or more affiliated persons, one or more of which is an insurer? Yes[X] No[ ]

If yes, complete Schedule Y, Parts 1 and 1A.3.2 Have there been any substantial changes in the organizational chart since the prior quarter end? Yes[ ] No[X]3.3 If the response to 3.2 is yes, provide a brief description of those changes:

4.1 Has the reporting entity been a party to a merger or consolidation during the period covered by this statement? Yes[ ] No[X]4.2 If yes, provide the name of entity, NAIC Company Code, and state of domicile (use two letter state abbreviation) for any entity that has ceased

to exist as a result of the merger or consolidation.

1 2 3

Name of Entity NAIC Company Code State of Domicile

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. If the reporting entity is subject to a management agreement, including third-party administrator(s), managing general agent(s), attorney-in-fact, or similar agreement, have there been any significant changes regarding the terms of the agreement or principals involved? Yes[ ] No[ ] N/A[X]If yes, attach an explanation.

6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2011. . . . . . . . . . . . . . . . . . . . . . . . .

6.2 State the as of date that the latest financial examination report became available from either the state of domicile or the reporting entity. This date should be the date of the examined balance sheet and not the date the report was completed or released. 12/31/2011. . . . . . . . . . . . . . . . . . . . . . . . .

6.3 State as of what date the latest financial examination report became available to other states or the public from either the state of domicile or the reporting entity. This is the release date or completion date of the examination report and not the date of the examination (balance sheet date). 05/21/2013. . . . . . . . . . . . . . . . . . . . . . . . .

6.4 By what department or departments?New York Department of Financial Services

6.5 Have all financial statement adjustments within the latest financial examination report been accounted for in a subsequent financial statement filed with Departments? Yes[X] No[ ] N/A[ ]

6.6 Have all of the recommendations within the latest financial examination report been complied with? Yes[X] No[ ] N/A[ ]

7.1 Has this reporting entity had any Certificates of Authority, licenses or registrations (including corporate registration, if applicable) suspended or revoked by any governmental entity during the reporting period? Yes[ ] No[X]

7.2 If yes, give full information

8.1 Is the company a subsidiary of a bank holding company regulated by the Federal Reserve Board? Yes[ ] No[X]8.2 If response to 8.1 is yes, please identify the name of the bank holding company.8.3 Is the company affiliated with one or more banks, thrifts or securities firms? Yes[ ] No[X]8.4 If response to 8.3 is yes, please provide below the names and location (city and state of the main office) of any affiliates regulated by a federal

regulatory services agency [i.e. the Federal Reserve Board (FRB), the Office of the Comptroller of the Currency (OCC), the Federal Deposit Insurance Corporation (FDIC) and the Securities Exchange Commission (SEC)] and identify the affiliate's primary federal regulator.]

1 2 3 4 5 6

Affiliate Name Location (City, State) FRB OCC FDIC SEC

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes[ ] No[X]. Yes[ ] No[X]. Yes[ ] No[X]. Yes[ ] No[X].

9.1 Are the senior officers (principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions) of the reporting entity subject to a code of ethics, which includes the following standards? Yes[X] No[ ](a) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional

relationships;(b) Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the reporting entity;(c) Compliance with applicable governmental laws, rules and regulations;(d) The prompt internal reporting of violations to an appropriate person or persons identified in the code; and(e) Accountability for adherence to the code.

9.11 If the response to 9.1 is No, please explain:9.2 Has the code of ethics for senior managers been amended? Yes[ ] No[X]9.21 If the response to 9.2 is Yes, provide information related to amendment(s).9.3 Have any provisions of the code of ethics been waived for any of the specified officers? Yes[X] No[ ]9.31 If the response to 9.3 is Yes, provide the nature of any waiver(s).

The only waivers of the Code of Business Conduct that were made during 2016 were a limited number of waivers for employees to be able to send company information to their home e-mail account for the purpose of printing this information from their home computers. The Company’s policy is that confidential information is not to be e-mailed to personal or other such accounts because of relative lack of security on these e-mail accounts. Employees are required to use a third party software security package which permits direct access to the Company’s network drive from employees’ home computers. Occasionally, this third party software security package malfunctions and an exception needs to be made for urgent matters on a one-off basis.

FINANCIAL10.1 Does the reporting entity report any amounts due from parent, subsidiaries or affiliates on Page 2 of this statement? Yes[X] No[ ]10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: 0$. . . . . . . . . . . . . . . . . . . . . . .

INVESTMENT11.1 Were any of the stocks, bonds, or other assets of the reporting entity loaned, placed under option agreement, or otherwise made available for

use by another person? (Exclude securities under securities lending agreements.) Yes[X] No[ ]11.2 If yes, give full and complete information relating thereto:

Q7.1


GENERAL INTERROGATORIES (Continued)

INVESTMENTThe Company has $61,526,293 of restricted assets.

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: 0$. . . . . . . . . . . . . . . . . . . . . . .

13. Amount of real estate and mortgages held in short-term investments: 0$. . . . . . . . . . . . . . . . . . . . . . .

14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes[X] No[ ]14.2 If yes, please complete the following:

1 2

Prior Year-End Current Quarter

Book/Adjusted Book/Adjusted

Carrying Value Carrying Value

14.21 Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14.22 Preferred Stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14.23 Common Stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14.24 Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14.25 Mortgages Loans on Real Estate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14.26 All Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227,916,126 . . . . . . . 223,870,699

14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal

Lines 14.21 to 14.26) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227,916,126 . . . . . . . 223,870,699

14.28 Total Investment in Parent included in Lines 14.21 to 14.26

above . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15.1 Has the reporting entity entered into any hedging transactions reported on Schedule DB? Yes[X] No[ ]15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes[X] No[ ] N/A[ ]

If no, attach a description with this statement.

16. For the reporting entity's security lending program, state the amount of the following as of the current statement date:16.1 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 0$. . . . . . . . . . . . . . . . . . . . . . .

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

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

17. Excluding items in Schedule E - Part 3 - Special Deposits, real estate, mortgage loans and investments held physically in the reporting entity's offices, vaults or safety deposit boxes, were all stocks, bonds and other securities, owned throughout the current year held pursuant to a custodial agreement with a qualified bank or trust company in accordance with Section 1, III - General Examination Considerations, F. Outsourcing of Critical Functions, Custodial or Safekeeping Agreements of the NAIC Financial Condition Examiners Handbook? Yes[X] No[ ]

17.1 For all agreements that comply with the requirements of the NAIC Financial Condition Examiners Handbook, complete the following:

1 2

Name of Custodian(s) Custodian Address

Bank of New York Mellon Corporation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . One Mellon Bank Center, Pittsburgh, PA 15258 . . . . . . .

17.2 For all agreements that do not comply with the requirements of the NAIC Financial Condition Examiners Handbook, provide the name, location and a complete explanation:

1 2 3

Name(s) Location(s) Complete Explanation(s)

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.3 Have there been any changes, including name changes, in the custodian(s) identified in 17.1 during the current quarter? Yes[ ] No[X]17.4 If yes, give full and complete information relating thereto:

1 2 3 4

Date

Old Custodian New Custodian of Change Reason

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.5 Identify all investment advisors, brokers/dealers or individuals acting on behalf of broker/dealers that have access to the investment accounts, handle securities and have authority to make investments on behalf of the reporting entity:

1 2 3

Central Registration

Depository Name(s) Address

106595 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Wellington Management Group, LLP . . . . . . . . . . . . . . . . . . . . . 280 Congress Street, Boston, MA 02210 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

Q8


GENERAL INTERROGATORIES

PART 2 - PROPERTY & CASUALTY INTERROGATORIES1. If the reporting entity is a member of a pooling arrangement, did the agreement or the reporting entity's participation change? Yes[ ] No[ ] N/A[X]

If yes, attach an explanation.

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

3.1 Have any of the reporting entity's primary reinsurance contracts been canceled? Yes[ ] No[X]3.2 If yes, give full and complete information thereto

4.1 Are any of the liabilities for unpaid losses and loss adjustment expenses other than certain workers' compensation tabular reserves (see annual statement instructions pertaining to disclosure of discounting for definition of "tabular reserves,") discounted at a rate of interest greater than zero? Yes[X] No[ ]

4.2 If yes, complete the following schedule:

TOTAL DISCOUNT DISCOUNT TAKEN DURING PERIOD

1 2 3 4 5 6 7 8 9 10 11

Maximum Discount Unpaid Unpaid Unpaid Unpaid

Line of Business Interest Rate Losses LAE IBNR TOTAL Losses LAE IBNR TOTAL

Financial Guaranty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.700 134,025,506 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134,025,506 . (2,437,618) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,437,618)

04.2999 Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134,025,506 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134,025,506 . (2,437,618) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,437,618)

5. Operating Percentages:5.1 A&H loss percent 0.000%. . . . . . . . . . . . . . . . . .

5.2 A&H cost containment percent 0.000%. . . . . . . . . . . . . . . . . .

5.3 A&H expense percent excluding cost containment expenses 0.000%. . . . . . . . . . . . . . . . . .

6.1 Do you act as a custodian for health savings accounts? Yes[ ] No[X]6.2 If yes, please provide the amount of custodial funds held as of the reporting date. 0$. . . . . . . . . . . . . . . . . . . . . . .

6.3 Do you act as an administrator for health savings accounts? Yes[ ] No[X]6.4 If yes, please provide the balance of the funds administered as of the reporting date. 0$. . . . . . . . . . . . . . . . . . . . . . .

Q9


SCHEDULE F - CEDED REINSURANCEShowing all new reinsurers - Current Year to Date

1 2 3 4 5 6 7

NAIC Certified Effective Date

Company Name of Domiciliary Type of Reinsurer Rating of Certified

Code ID Number Reinsurer Jurisdiction Reinsurer (1 through 6) Reinsurer Rating

N O N E

Q10


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

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

2 3 4 5 6 7

Current Year Prior Year Current Year Prior Year Current Year Prior Year

States, etc. Active Status To Date To Date To Date To Date To Date To Date

1. Alabama (AL) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. Alaska (AK) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Arizona (AZ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Arkansas (AR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. California (CA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . 1,170,345 . . . . . . 1,226,908 . . . . . . (260,949) . . . . . . (554,677) . . . . 56,260,734 . . . . 60,231,555

6. Colorado (CO) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7. Connecticut (CT) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8. Delaware (DE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . 35,996 . . . . . . . . . . 42,343 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. District of Columbia (DC) . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. Florida (FL) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11. Georgia (GA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Hawaii (HI) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. Idaho (ID) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14. Illinois (IL) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Indiana (IN) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16. Iowa (IA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17. Kansas (KS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18. Kentucky (KY) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . 19,319 . . . . . . . . . . 19,213 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19. Louisiana (LA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

20. Maine (ME) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

21. Maryland (MD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 428 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

22. Massachusetts (MA) . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . 19,994 . . . . . . . . . . 24,732 . . . . . . (201,194) . . . . . . (148,924) . . (42,234,278) . . (29,265,993)

23. Michigan (MI) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,013,750 . . (43,597,347) . . (40,283,414)

24. Minnesota (MN) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

25. Mississippi (MS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

26. Missouri (MO) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

27. Montana (MT) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28. Nebraska (NE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . 55,942 . . . . . . . . . . 56,488 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29. Nevada (NV) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30. New Hampshire (NH) . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

31. New Jersey (NJ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

32. New Mexico (NM) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

33. New York (NY) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . 1,570,121 . . . . . . 1,882,673 . . . . . . (116,173) . . . . . . . . 307,669 . . (56,516,361) . . (26,785,994)

34. North Carolina (NC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35. North Dakota (ND) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

36. Ohio (OH) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

37. Oklahoma (OK) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

38. Oregon (OR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

39. Pennsylvania (PA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

40. Rhode Island (RI) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

41. South Carolina (SC) . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

42. South Dakota (SD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

43. Tennessee (TN) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

44. Texas (TX) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,139 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

45. Utah (UT) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

46. Vermont (VT) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

47. Virginia (VA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

48. Washington (WA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

49. West Virginia (WV) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

50. Wisconsin (WI) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

51. Wyoming (WY) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

52. American Samoa (AS) . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

53. Guam (GU) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

54. Puerto Rico (PR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,023,089 . . . . 28,743,687

55. U.S. Virgin Islands (VI) . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

56. Northern Mariana Islands (MP) . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

57. Canada (CAN) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

58. Aggregate other alien (OT) . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . 1,112,235 . . . . . . . . 496,441 . . . . . . . . . . . . . . . . . . . . . . 15,269,042 . . . . . . (600,547) . . (16,543,569)

59. Totals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (a) 47. . . . . . . . . . . . 3,983,952 . . . . . . 3,799,365 . . . . . . (578,316) . . . . 20,886,860 . . (56,664,710) . . (23,903,728)


58001.GBR United Kingdom . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 924,853 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

58002.AUS Australia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268,117 . . . . . . . . . . . . . . . . . . . . . . 15,269,042 . . . . . . (600,547) . . (16,543,569)

58003.CHL Chile . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 187,382 . . . . . . . . 228,324 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

58998.Summary of remaining write-ins for Line

58 from overflow page . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

58999.TOTALS (Lines 58001 through 58003

plus 58998) (Line 58 above) . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . 1,112,235 . . . . . . . . 496,441 . . . . . . . . . . . . . . . . . . . . . . 15,269,042 . . . . . . (600,547) . . (16,543,569)

(L) Licensed or Chartered - Licensed Insurance Carrier or Domiciled RRG; (R) Registered - Non-domiciled RRGs; (Q) Qualified - Qualified or Accredited Reinsurer; (E) Eligible - Reporting Entities eligible or approved to write Surplus Lines in the state; (N) None of the above - Not allowed to write business in the state.

(a) Insert the number of L responses except for Canada and Other Alien.


SCHEDULE Y - INFORMATION CONCERNING ACTIVITIES OF INSURERMEMBERS OF A HOLDING COMPANY GROUP

PART 1 - ORGANIZATIONAL CHART

99%1%80%

96Q11


SCHEDULE Y - INFORMATION CONCERNING ACTIVITIES OF INSURERMEMBERS OF A HOLDING COMPANY GROUP

PART 1 - ORGANIZATIONAL CHART

50%50%

** There are no voting rights preferences between the two members who share ownership of Detroit Windsor Tunnel LLC

96.1Q

11.1

Q12


SCHEDULE YPART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

Name of Directly Type of Control

Securities Names of Relation- Controlled (Ownership, If Control

NAIC Exchange Parent, Domic- ship to by Board, is Ultimate

Comp- if Publicly Subsidiaries iliary Report- (Name of Management, Ownership Controlling

Group any ID FEDERAL Traded (U.S. Or Loca- ing Entity / Attorney-in-Fact, Provide Entity(ies)

Code Group Name Code Number RSSD CIK or International) Affiliates tion Entity Person) Influence, Other) Percentage / Person(s) *

4676 . . SYNCORA HOLDINGS GRP . 00000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA HOLDINGS LTD . . . . . . . . . . . . . . BMU UIP. . . . . SHAREHOLDERS . . . . . . . . . . . . . . . . . . . . . . . . . . . Board of Directors . . . . . . . . . . . . . . . . SHAREHOLDERS . . . . . . . . . . . . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA BERMUDA ADMINSTRATIVE LTD . . . . . . . . . . . . . . . . . . . . BMU NIA. . . . . SYNCORA HOLDINGS LTD . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 13-4332801 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA HOLDINGS US INC . . . . . . . . . . DE. . . UDP. . . SYNCORA HOLDINGS LTD . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 13-4196626 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA GUARANTEE SERVICES INC DE. . . NIA. . . . . SYNCORA HOLDINGS US INC . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 20311 13-3635895 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA GUARANTEE INC . . . . . . . . . . . . NY. . . RE. . . . . SYNCORA HOLDINGS US INC . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 13-4332797 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA ADMIN HOLDINGS US INC . DE. . . NIA. . . . . SYNCORA HOLDINGS US INC . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 13666 26-4761276 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA CAPITAL ASSURANCE INC . NY. . . DS. . . . . SYNCORA GUARANTEE INC . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 13-4195920 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA CDS LLC . . . . . . . . . . . . . . . . . . . . . . NY. . . NIA. . . . . SYNCORA ADMIN HOLDINGS US INC . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 13-4195918 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYNCORA ADMIN LLC . . . . . . . . . . . . . . . . . . . NY. . . NIA. . . . . SYNCORA ADMIN HOLDINGS US INC . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 61-1712013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PASSAGE POINT LLC . . . . . . . . . . . . . . . . . . . . DE. . . NIA. . . . . SYNCORA HOLDINGS US INC . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 46-2922848 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAMBERLINK HOLDING COMPANY LLC DE. . . NIA. . . . . PASSAGE POINT LLC . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 30-0787051 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAMBERLINK LLC . . . . . . . . . . . . . . . . . . . . . . . . DE. . . NIA. . . . . CAMBERLINK HOLDING COMPANY LLC . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 80-0932394 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAMBERLINK CAPITAL LLC . . . . . . . . . . . . . DE. . . NIA. . . . . CAMBERLINK HOLDING COMPANY LLC . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 36-4771199 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Pike Pointe Holdings, LLC . . . . . . . . . . . . . . . . DE. . . DS. . . . . Syncora Guarantee Inc. . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 37-1769855 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Development LLC . . . . . . DE. . . DS. . . . . Pike Pointe Holdings, LLC . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 61-1772420 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . DE. . . DS. . . . . Pike Pointe Holdings, LLC . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 47-5442512 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Tolls Roads, LLC . . . . . . . DE. . . DS. . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 47-5438602 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Parking, LLC . . . . . . . . . . . . DE. . . DS. . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 47-5419098 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Managment, LLC . . . . . . . DE. . . DS. . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 27-4342016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Technologies, Inc. . . . . . . DE. . . DS. . . . . American Roads Managment, LLC . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 42-1702483 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Alabama Toll Operations, LLC . . . . . . . . . . . . DE. . . DS. . . . . American Roads Managment, LLC . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 63-1178933 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Baldwin County Bridge Company, LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AL. . . DS. . . . . American Roads Alabama Holdings, LLC . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 42-1702480 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Alabama Emerald Mountain Expressway Bridge, LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DE. . . DS. . . . . American Roads Alabama Holdings, LLC . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 42-1702478 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Central Alabama River Parkway, LLC . . . . DE. . . DS. . . . . American Roads Alabama Holdings, LLC . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 42-1702479 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Alabama Black Warrior Parkway, LLC . . . . DE. . . DS. . . . . American Roads Alabama Holdings, LLC . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 51-0563194 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Alabama Holdings, LLC DE. . . DS. . . . . American Roads Tolls Roads, LLC . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 80-0955462 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads DWT Holdings I, LLC . . . DE. . . DS. . . . . American Roads Tolls Roads, LLC . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 38-3916905 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads DWT Holdings II, LLC . . DE. . . DS. . . . . American Roads Tolls Roads, LLC . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 20-4811794 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Detroit Windsor Tunnel, LLC . . . . . . . . . . . . . . MI. . . DS. . . . . American Roads DWT Holdings I, LLC . . . . . Ownership . . . . . . . . . . . . . . . . . . . 50.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 20-4811794 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Detroit Windsor Tunnel, LLC . . . . . . . . . . . . . . MI. . . DS. . . . . American Roads DWT Holdings II, LLC . . . . . Ownership . . . . . . . . . . . . . . . . . . . 50.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Detroit Windsor Subway Company . . CAN. DS. . . . . Detroit Windsor Tunnel, LLC . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 32-0453752 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Investment Holdings LLC . . . . . . . . DE. . . DS. . . . . Syncora Guarantee Inc. . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 47-2472075 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Alternative Investments LLC . . . . DE. . . DS. . . . . Syncora Investment Holdings LLC . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . 100.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 22-3560888 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Swap Financial LLC . . . . . . . . . . . . . . . . . . . . . . . NJ. . . DS. . . . . Syncora Investment Holdings LLC . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . 80.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 47-3048378 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Securities Holdings LLC . . . . . . . . . DE. . . DS. . . . . Syncora Guarantee Inc . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . 99.0 SYNCORA HOLDINGS LTD . . . . . . . .

4676 . . SYNCORA HOLDINGS GRP . 00000 47-3048378 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Securities Holdings LLC . . . . . . . . . DE. . . NIA. . . . . Syncora Capital Assurance Inc . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . 1.0 SYNCORA HOLDINGS LTD . . . . . . . .

Asterisk Explanation

0000001 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Q13

STATEMENT AS OF OF THE March 31, 2016 SYNCORA GUARANTEE INC.PART 1 - LOSS EXPERIENCE

Current Year to Date 4

1 2 3 Prior Year to Date

Direct Premiums Direct Losses Direct Direct Loss

Line of Business Earned Incurred Loss Percentage Percentage

1. Fire . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. Allied lines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Farmowners multiple peril . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Homeowners multiple peril . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Commercial multiple peril . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. Mortgage guaranty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8. Ocean marine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. Inland marine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. Financial guaranty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,154,614 . . . . . . . . . . (2,551,854) . . . . . . . . . . . . . (20.995) . . . . . . . . . . . . . . . 29.12811.1 Medical professional liability - occurrence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11.2 Medical professional liability - claims made . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Earthquake . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. Group accident and health . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14. Credit accident and health . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Other accident and health . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16. Workers' compensation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.1 Other liability - occurrence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.2 Other liability - claims made . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.3 Excess Workers' Compensation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18.1 Products liability - occurrence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18.2 Products liability - claims made . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19.1 19.2 Private passenger auto liability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19.3 19.4 Commercial auto liability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

21. Auto physical damage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

22. Aircraft (all perils) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23. Fidelity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

24. Surety . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

26. Burglary and theft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

27. Boiler and machinery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28. Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29. International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30. Warranty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

31. Reinsurance-Nonproportional Assumed Property . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . .

32. Reinsurance-Nonproportional Assumed Liability . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . .

33. Reinsurance-Nonproportional Assumed Financial Lines . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . .

34. Aggregate write-ins for other lines of business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35. TOTALS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,154,614 . . . . . . . . . . (2,551,854) . . . . . . . . . . . . . (20.995) . . . . . . . . . . . . . . . 29.128


3401. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3402. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3403. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3498. Summary of remaining write-ins for Line 34 from overflow page . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3499. TOTALS (Lines 3401 through 3403 plus 3498) (Line 34 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

PART 2 - DIRECT PREMIUMS WRITTEN1 2 3

Current Current Prior Year

Line of Business Quarter Year to Date Year to Date

1. Fire . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. Allied lines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Farmowners multiple peril . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Homeowners multiple peril . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Commercial multiple peril . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. Mortgage guaranty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8. Ocean marine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. Inland marine . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. Financial guaranty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,983,952 . . . . . . . . . . . 3,983,952 . . . . . . . . . . . 3,799,36511.1 Medical professional liability - occurrence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11.2 Medical professional liability - claims made . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Earthquake . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. Group accident and health . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14. Credit accident and health . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Other accident and health . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16. Workers' compensation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.1 Other liability - occurrence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.2 Other liability - claims made . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17.3 Excess Workers' Compensation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18.1 Products liability - occurrence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18.2 Products liability - claims made . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19.1 19.2 Private passenger auto liability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

19.3 19.4 Commercial auto liability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

21. Auto physical damage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

22. Aircraft (all perils) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23. Fidelity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

24. Surety . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

26. Burglary and theft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

27. Boiler and machinery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28. Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29. International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

30. Warranty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

31. Reinsurance-Nonproportional Assumed Property . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . .

32. Reinsurance-Nonproportional Assumed Liability . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . .

33. Reinsurance-Nonproportional Assumed Financial Lines . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . . . .

34. Aggregate write-ins for other lines of business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35. TOTALS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,983,952 . . . . . . . . . . . 3,983,952 . . . . . . . . . . . 3,799,365


3401. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3402. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3403. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3498. Summary of remaining write-ins for Line 34 from overflow page . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3499. TOTALS (Lines 3401 through 3403 plus 3498) (Line 34 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Q14


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

1 2 3 4 5 6 7 8 9 10 11 12 13

Q.S. Date Q.S. Date Prior Year-End Prior Year-End Prior Year-End

2016 2016 Loss Known Case Known Case Known Case Loss IBNR Loss Total Loss

Prior Prior Total Prior Loss and LAE and LAE Loss and LAE Loss and LAE and LAE Reserves and LAE Reserves and LAE

Year-End Year-End Year-End Payments Payments Total Reserves Reserves on Claims Total Developed Developed Reserves

Known IBNR Loss and on Claims on Claims 2016 Loss on Claims Reported or Q.S. Date Q.S. Loss (Savings)/ (Savings)/ Developed

Years in Which Case Loss Loss and LAE Reported Unreported and LAE Reported and Reopened IBNR Loss and LAE Deficiency Deficiency (Savings)/

Losses and LAE LAE Reserves as of Prior as of Prior Payments Open as of Prior Subsequent and LAE Reserves (Cols. 4 + 7 (Cols. 5 + 8 + 9 Deficiency

Occurred Reserves Reserves (Cols. 1 + 2) Year-End Year-End (Cols. 4 + 5) Year-End to Prior Year-End Reserves (Cols. 7 + 8 + 9) minus Col. 1) minus Col. 2) (Cols. 11 + 12)

1. 2013 + Prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . 2,264 . . . . . . . . . . . . . . . 18 . . . . . . . . . . . 2,282 . . . . . . . . . . . . (48,741) . . . . . . . . . . . . . . . . . 300 . . . . . . . . . . . . . . . . . . . . . . . . . . (48,441) . . . . . . . . . . . . . (1,070) . . . . . . . . . . . . . . . . . 318 . . . . . . . . . . . . (752)

2. 2014 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Subtotals 2014 + Prior . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . 2,264 . . . . . . . . . . . . . . . 18 . . . . . . . . . . . 2,282 . . . . . . . . . . . . (48,741) . . . . . . . . . . . . . . . . . 300 . . . . . . . . . . . . . . . . . . . . . . . . . . (48,441) . . . . . . . . . . . . . (1,070) . . . . . . . . . . . . . . . . . 318 . . . . . . . . . . . . (752)

4. 2015 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Subtotals 2015 + Prior . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . 2,264 . . . . . . . . . . . . . . . 18 . . . . . . . . . . . 2,282 . . . . . . . . . . . . (48,741) . . . . . . . . . . . . . . . . . 300 . . . . . . . . . . . . . . . . . . . . . . . . . . (48,441) . . . . . . . . . . . . . (1,070) . . . . . . . . . . . . . . . . . 318 . . . . . . . . . . . . (752)

6. 2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . X X X. . . . . . . . . X X X. . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . X X X. . . . . . . . . . . . . X X X. . . . . . . . .

7. Totals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . . . . . . . . . . . . . . . . (45,407) . . . . . . . . . . . 2,264 . . . . . . . . . . . . . . . 18 . . . . . . . . . . . 2,282 . . . . . . . . . . . . (48,741) . . . . . . . . . . . . . . . . . 300 . . . . . . . . . . . . . . . . . . . . . . . . . . (48,441) . . . . . . . . . . . . . (1,070) . . . . . . . . . . . . . . . . . 318 . . . . . . . . . . . . (752)

Col. 11, Line 7

As % of Col. 1

Line 7

Col. 12, Line 7

As % of Col. 2

Line 7

Col. 13, Line 7

As % of Col. 3

Line 78. Prior Year-End Surplus As

Regards Policyholders . . . . . . . . . . . . . . . . . 1,086,957 1.. . . . . . . . . . . . . 2.357 2.. . . . . . . . . . . . . . . . . . . . 3.. . . . . . . . . 1.656

Col. 13, Line 7

Line 8

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.. . . . . . . (0.069)

Q15


SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIES

The following supplemental reports are required to be filed as part of your statement filing. However, in the event that your company does not transact the type of

business for which the special report must be filed, your response of NO to the specific interrogatory will be accepted in lieu of filing a "NONE" report and a bar code

will be printed below. If the supplement is required of your company but is not being filed for whatever reason enter SEE EXPLANATION and provide an

explanation following the interrogatory questions.

RESPONSES

1. Will the Trusteed Surplus Statement be filed with the state of domicile and the NAIC with this statement? No2. Will Supplement A to Schedule T (Medical Professional Liability Supplement) be filed with this statement? No3. Will the Medicare Part D Coverage Supplement be filed with the state of domicile and the NAIC with this statement? No4. Will the Director and Officer Insurance Coverage Supplement be filed with the state of domicile and the NAIC with this statement? No

Explanations:

Bar Codes:

Trusteed Surplus Statement

20311201649000001 2016 Document Code: 490

Supplement A to Schedule T

20311201645500001 2016 Document Code: 455

Medicare Part D Coverage Supplement

20311201636500001 2016 Document Code: 365

Director and Officer Supplement

20311201650500001 2016 Document Code: 505

Q16


OVERFLOW PAGE FOR WRITE-INS

N O N E

QSI01

STATEMENT AS OF OF THE March 31, 2016 SYNCORA GUARANTEE INC.SCHEDULE A - VERIFICATION

Real Estate

1 2

Prior Year Ended

Year To Date December 31

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

2. Cost of acquired:2.1 Actual cost at time of acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.2 Additional investment made after acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Current year change in encumbrances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Deduct amounts received on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

7. Deduct current year's other-than-temporary impairment recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8. Deduct current year's depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

10. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

N O N E

SCHEDULE B - VERIFICATIONMortgage Loans

1 2

Prior Year Ended


1. Book value/recorded investment excluding accrued interest, December 31 of prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. Cost of acquired:2.1 Actual cost at time of acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.2 Additional investment made after acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Capitalized deferred interest and other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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


8. Deduct amortization of premium and mortgage interest points and commitment fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

10. Deduct current year's other than temporary impairment recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

12. Total valuation allowance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. Subtotal (Line 11 plus Line 12) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Statement value at end of current period (Line 13 minus Line 14) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

N O N E

SCHEDULE BA - VERIFICATIONOther Long-Term Invested Assets

1 2

Prior Year Ended


1. Book/adjusted carrying value, December 31 of prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229,093,626 . . . . . . . 165,669,7352. Cost of acquired:

2.1 Actual cost at time of acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,971,7862.2 Additional investment made after acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,972,000

3. Capitalized deferred interest and other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,045,427) . . . . . . . . . 28,480,1056. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .


8. Deduct amortization of premium and depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

10. Deduct current year's other than temporary impairment recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3 + 4 + 5 + 6 - 7 - 8 + 9 - 10) . . . . . . . . . . . . . . . . . . . . . . . . . 225,048,199 . . . . . . . 229,093,62612. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. Statement value at end of current period (Line 11 minus Line 12) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225,048,199 . . . . . . . 229,093,626

SCHEDULE D - VERIFICATIONBonds and Stocks

1 2

Prior Year Ended


1. Book/adjusted carrying value of bonds and stocks, December 31 of prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 872,250,461 . . . . . . . 943,615,8652. Cost of bonds and stocks acquired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127,020,923 . . . . . . . 404,308,5873. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,484,098 . . . . . . . . . 12,433,0374. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,789,213)5. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 983,841 . . . . . . . . . 21,228,5206. Deduct consideration for bonds and stocks disposed of . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,561,711 . . . . . . . 485,961,2147. Deduct amortization of premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 666,096 . . . . . . . . . . 5,933,0458. Total foreign exchange change in book/adjusted carrying value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,310,122 . . . . . . . . (5,664,580)9. Deduct current year's other than temporary impairment recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 251,632 . . . . . . . . . . 6,987,496

10. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3 + 4 + 5 - 6 - 7 + 8 - 9) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 939,570,006 . . . . . . . 872,250,461

11. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Statement value at end of current period (Line 10 minus Line 11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 939,570,006 . . . . . . . 872,250,461

QS

I02


SCHEDULE D - PART 1BShowing the Acquisitions, Dispositions and Non-Trading Activity

During the Current Quarter for all Bonds and Preferred Stock by NAIC Designation1 2 3 4 5 6 7 8

Book/Adjusted Book/Adjusted Book/Adjusted Book/Adjusted Book/Adjusted

Carrying Value Acquisitions Dispositions Non-Trading Carrying Value Carrying Value Carrying Value Carrying Value

Beginning of During Current During Current Activity During End of End of End of December 31

NAIC Designation Current Quarter Quarter Quarter Current Quarter First Quarter Second Quarter Third Quarter Prior Year

BONDS

1. NAIC 1 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 901,624,340 . . . . . 275,250,371 . . . . . 274,830,805 . . . . . . . . 1,790,387 . . . . . 903,834,293 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 901,624,340

2. NAIC 2 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,066,002 . . . . . . . . 1,703,022 . . . . . . . . . . . 775,385 . . . . . . . (2,315,121) . . . . . . . 37,678,518 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,066,002

3. NAIC 3 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,196,049 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,048 . . . . . . . . . . . . (9,444) . . . . . . . . 1,159,557 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,196,049

4. NAIC 4 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135,176 . . . . . . . . . . . 135,176 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. NAIC 5 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,385,944 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302,659 . . . . . . . . . . . 729,671 . . . . . . . 10,812,956 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,385,944

6. NAIC 6 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,242,627 . . . . . . . . 2,423,172 . . . . . . . . 3,408,539 . . . . . . . . 5,557,052 . . . . . . . 56,814,312 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,242,627

7. Total Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,004,514,962 . . . . . 279,376,565 . . . . . 279,344,436 . . . . . . . . 5,887,721 . . . 1,010,434,812 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,004,514,962

PREFERRED STOCK

8. NAIC 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. NAIC 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. NAIC 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11. NAIC 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. NAIC 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. NAIC 6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14. Total Preferred Stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Total Bonds & Preferred Stock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,004,514,962 . . . . . 279,376,565 . . . . . 279,344,436 . . . . . . . . 5,887,721 . . . 1,010,434,812 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,004,514,962

(a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of non-rated short-term and cash equivalent bonds by NAIC designation: NAIC 1 $...............0; NAIC 2 $...............0; NAIC 3 $...............0; NAIC 4 $...............0; NAIC 5 $...............0; NAIC 6 $...............0

QSI03


SCHEDULE DA - PART 1Short - Term Investments

1 2 3 4 5

Book/Adjusted Paid for Accrued

Carrying Actual Interest Collected Interest

Value Par Value Cost Year To Date Year To Date

9199999. Totals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,883,546 X X X. . . . . . . . . . . . . . . . . . . . . 22,871,486 . . . . . . . . . . . . . . . 6,893 . . . . . . . . . . . . . . . . . . . . . .

SCHEDULE DA - VerificationShort-Term Investments

1 2

Prior Year Ended


1. Book/adjusted carrying value, December 31 of prior year . . . . . . . . . . . . . . . . . . . . . . . . . . 95,279,116 . . . . . . . . . 26,778,139

2. Cost of short-term investments acquired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92,386,163 . . . . . . . 645,630,156

3. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,879 . . . . . . . . . . . . . 104,826

4. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. Deduct consideration received on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164,789,506 . . . . . . . 575,806,680

7. Deduct amortization of premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,106 . . . . . . . . . . . . . . 17,564

8. Total foreign exchange change in book/adjusted carrying value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,409,761)

9. Deduct current year's other than temporary impairment recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. Book/adjusted carrying value at end of current period (Lines 1 + 2 +

3 + 4 + 5 - 6 - 7 + 8 - 9) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,883,546 . . . . . . . . . 95,279,116

11. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Statement value at end of current period (Line 10 minus Line 11) . . . . . . . . . . . . . . . . 22,883,546 . . . . . . . . . 95,279,116

QSI04


SCHEDULE DB - PART A - VERIFICATIONOptions, Caps, Floors, Collars, Swaps and Forwards

1. Book Adjusted Carrying Value, December 31, prior year (Line 9, prior year) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 521,274

2. Cost Paid/(Consideration Received) on additions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Unrealized Valuation increase/(decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (424,778)

4. Total gain (loss) on termination recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Considerations received/(paid) on terminations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. Amortization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

9. Book/Adjusted Carrying Value at End of Current Period (Lines 1 + 2 + 3 + 4 - 5 + 6 + 7 + 8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

10. Deduct nonadmitted assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11. Statement value at end of current period (Line 9 minus Line 10) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

SCHEDULE DB - PART B - VERIFICATIONFutures Contracts

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

(Line 6, prior year) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. Cumulative cash change (Section 1, Broker Name/Net Cash

Deposits Footnote - Cumulative Cash Change column) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3.1 Add:

Change in variation margin on open contracts - Highly

Effective Hedges

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

3.12 Section 1, Column 15, prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Change in variation margin on open contracts - All Other


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

3.2 Add:

Change in adjustment to basis of hedged item


3.22 Section 1, Column 17, prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Change in amount recognized


3.24 Section 1, Column 19, prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3.3 Subtotal (Line 3.1 minus Line 3.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4.1 Cumulative variation margin on terminated contracts during

the year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4.2 Less:

4.21 Amount used to adjust basis of hedged item . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4.22 Amount recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4.3 Subtotal (Line 4.1 minus Line 4.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

year:

5.1 Total gain (loss) recognized for terminations in prior

year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5.2 Total gain (loss) adjusted into the hedged item(s) for

terminations in prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. Book/Adjusted Carrying Value at end of current period (Lines

1 + 2 + 3.3 - 4.3 - 5.1 - 5.2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

N O N E

SI05 Schedule DB Part C Section 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

SI06 Schedule DB Part C Section 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

QSI05 - QSI06


QSI07


SCHEDULE DB - VERIFICATIONVerification of Book/Adjusted Carrying Value, Fair Value and Potential Exposure of all Open Derivative Contracts

Book/Adjusted

Carrying Value

Check

1. Part A, Section 1, Column 14 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Total (Line 1 plus Line 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

4. Part D, Section 1, Column 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

5. Part D, Section 1, Column 6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. Total (Line 3 minus Line 4 minus Line 5) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Fair Value

Check

7. Part A, Section 1, Column 16 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

8. Part B, Section 1, Column 13 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. Total (Line 7 plus Line 8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

10. Part D, Section 1, Column 8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496

11. Part D, Section 1, Column 9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Total (Line 9 minus Line 10 minus Line 11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Potential Exposure

Check

13. Part A, Section 1, Column 21 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500

14. Part B, Section 1, Column 20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Part D, Section 1, Column 11 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500

16. Total (Line 13 plus Line 14 minus Line 15) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

QSI08


SCHEDULE E - Verification(Cash Equivalents)

1 2

Prior Year Ended


1. Book/adjusted carrying value, December 31 of prior year . . . . . . . . . . . . . . . . . . . . . . . . . . 36,985,385 . . . . . . . . . 45,299,335

2. Cost of cash equivalents acquired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59,969,479 . . . . . . . 185,969,588

3. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,395 . . . . . . . . . . . . . . 11,764

4. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,866

6. Deduct consideration received on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,000,000 . . . . . . . 194,292,683

7. Deduct amortization of premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,485

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

9. Deduct current year's other than temporary impairment recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. Book/adjusted carrying value at end of current period (Lines 1 + 2 +

3 + 4 + 5 - 6 - 7 + 8 - 9) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . 36,985,385

11. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Statement value at end of current period (Line 10 minus Line 11) . . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . 36,985,385

E01 Schedule A Part 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

E01 Schedule A Part 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

E02 Schedule B Part 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

E02 Schedule B Part 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

E03 Schedule BA Part 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

E03 Schedule BA Part 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NONE

QE01 - QE03


QE

04


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

1 2 3 4 5 6 7 8 9 10

Paid for NAIC

Accrued Designation

CUSIP Name of Number of Interest and or Market

Identification Description Foreign Date Acquired Vendor Shares of Stock Actual Cost Par Value Dividends Indicator (a)

912828B33 . . UNITED STATES TREASURY NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/02/2016. . . . BARCLAYS CAP/FIXED I . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 15,542,648 . . . . . . . . . 15,300,000 . . . . . . . . . . . . . 1,891 1 . . . . . . . . . . . . . . . . . .

912828H94 . . UNITED STATES TREASURY NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/20/2016. . . . CITIGROUP GBL MKTS/S . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,002,617 . . . . . . . . . . . 1,000,000 . . . . . . . . . . . . . 4,293 1 . . . . . . . . . . . . . . . . . .

912828RH5 . . UNITED STATES TREASURY NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/20/2016. . . . BARCLAYS CAP/FIXED I . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 4,545,527 . . . . . . . . . . . 4,500,000 . . . . . . . . . . . . 19,103 1 . . . . . . . . . . . . . . . . . .

912828TN0 . . UNITED STATES TREASURY NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/20/2016. . . . GOLDMAN SACHS & CO, . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 4,966,602 . . . . . . . . . . . 5,000,000 . . . . . . . . . . . . 19,643 1 . . . . . . . . . . . . . . . . . .

912828WS5 . UNITED STATES TREASURY NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/20/2016. . . . CITIGROUP GBL MKTS/S . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,048,047 . . . . . . . . . . . 3,000,000 . . . . . . . . . . . . . 2,813 1 . . . . . . . . . . . . . . . . . .

0599999 Subtotal - Bonds - U.S. Governments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 29,105,441 . . . . . . . . . 28,800,000 . . . . . . . . . . . . 47,743 X X X. . . . . . . . . . .

24917DAD5 . . CITY & COUNTY OF DENVER CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/24/2016. . . . CITIGROUP GBL MKTS I . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,880,000 . . . . . . . . . . . 1,880,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

3138EG2V5 . . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016. . . . BONY/VINING-SPARKS I . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,784,134 . . . . . . . . . . . 2,639,771 . . . . . . . . . . . . . 4,106 1 . . . . . . . . . . . . . . . . . .

3138M7PV1 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/16/2016. . . . CREDIT SUISSE, NEW Y . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,395,536 . . . . . . . . . . . 3,262,243 . . . . . . . . . . . . . 5,437 1 . . . . . . . . . . . . . . . . . .

3138WAQP5 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/18/2016. . . . JPMORGAN SECURITIES . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,119,546 . . . . . . . . . . . 1,059,925 . . . . . . . . . . . . . 2,885 1 . . . . . . . . . . . . . . . . . .

3138WEAN9 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016. . . . CITIGROUP GBL MKTS/S . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 4,568,680 . . . . . . . . . . . 4,386,701 . . . . . . . . . . . . . 5,849 1 . . . . . . . . . . . . . . . . . .

3138WGVP6 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016. . . . JPMORGAN SECURITIES . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 4,541,223 . . . . . . . . . . . 4,358,049 . . . . . . . . . . . . . 5,811 1 . . . . . . . . . . . . . . . . . .

3140EUYX1 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016. . . . PNC SECS CORP, PITTS . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,331,484 . . . . . . . . . . . 2,238,113 . . . . . . . . . . . . . 2,984 1 . . . . . . . . . . . . . . . . . .

31410LFR8 . . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016. . . . BONY/VINING-SPARKS I . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 173,172 . . . . . . . . . . . . . 164,193 . . . . . . . . . . . . . . . 255 1 . . . . . . . . . . . . . . . . . .

341271AA2 . . STATE BOARD OF ADMINISTRATION FINANCE CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/23/2016. . . . JPMORGAN SECURITIES . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,500,000 . . . . . . . . . . . 3,500,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

3199999 Subtotal - Bonds - U.S. Special Revenue, Special Assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 24,293,775 . . . . . . . . . 23,488,995 . . . . . . . . . . . . 27,327 X X X. . . . . . . . . . .

02005ACW6 . ALLY MASTER OWNER TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/04/2016. . . . J.P. MORGAN SECURITI . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,359,508 . . . . . . . . . . . 1,365,000 . . . . . . . . . . . . . 1,285 1FE . . . . . . . . . . . . . . .

03065VAD9 . . AMERICREDIT AUTOMOBILE RECEIVABLES 2016- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/12/2016. . . . DEUTSCHE BANC ALEX B . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,004,851 . . . . . . . . . . . 1,005,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

035242AG1 . . ANHEUSER-BUSCH INBEV FINANCE INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/13/2016. . . . DEUTSCHE BK SECS INC . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,186,342 . . . . . . . . . . . 3,195,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

07388PAE1 . . BEAR STEARNS COMMERCIAL MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/19/2016. . . . DEUTSCHE BANC ALEX B . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 331,626 . . . . . . . . . . . . . 326,223 . . . . . . . . . . . . . 1,084 1FM . . . . . . . . . . . . . .

07388RAE7 . . BEAR STEARNS COMMERCIAL MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/06/2016. . . . DEUTSCHE BANC ALEX B . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 4,282,628 . . . . . . . . . . . 4,172,132 . . . . . . . . . . . . . 6,178 1FE . . . . . . . . . . . . . . .

084670BQ0 . . BERKSHIRE HATHAWAY INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/08/2016. . . . GOLDMAN SACHS & CO, . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,871,025 . . . . . . . . . . . 1,875,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

17275RBB7 . . CISCO SYSTEMS INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/22/2016. . . . MERRILL LYNCH PIERCE . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,249,058 . . . . . . . . . . . 3,250,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

22545MAD9 . CREDIT SUISSE MORTGAGE CAPITAL CERTIFICA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/19/2016. . . . WELLS FARGO SECURITI . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 604,836 . . . . . . . . . . . . . 601,640 . . . . . . . . . . . . . 2,101 1FM . . . . . . . . . . . . . .

25468PDH6 . . WALT DISNEY CO/THE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/05/2016. . . . CITIGROUP GBL MKTS/S . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 4,743,635 . . . . . . . . . . . 4,750,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

31677QBF5 . . FIFTH THIRD BANK/CINCINNATI OH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/10/2016. . . . DEUTSCHE BK SECS INC . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,699,609 . . . . . . . . . . . 1,700,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

32057LAA6 . . FIRST INVESTORS AUTO OWNER TRUST 2016-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/10/2016. . . . CREDIT SUISSE, NEW Y . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,499,923 . . . . . . . . . . . 3,500,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

34528QDL5 . . FORD CREDIT FLOORPLAN MASTER OWNER TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/04/2016. . . . DEUTSCHE BANC ALEX B . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,143,441 . . . . . . . . . . . 1,150,000 . . . . . . . . . . . . . . . 984 1FE . . . . . . . . . . . . . . .

39154TAB4 . . GREATAMERICA LEASING RECEIVABLES FUNDING . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/09/2016. . . . WELLS FARGO SECURITI . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,544,962 . . . . . . . . . . . 3,545,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

41283LAG0 . . HARLEY-DAVIDSON FINANCIAL SERVICES INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/05/2016. . . . J.P. MORGAN SECURITI . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,999,640 . . . . . . . . . . . 3,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

437076BL5 . . HOME DEPOT INC/THE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/03/2016. . . . J.P. MORGAN SECURITI . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,491,100 . . . . . . . . . . . 2,500,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

46625HQJ2 . . JPMORGAN CHASE & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/25/2016. . . . J.P. MORGAN SECURITI . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,498,125 . . . . . . . . . . . 2,500,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

49327M2N3 . . KEYBANK NA/CLEVELAND OH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/03/2016. . . . KEYBANC CAPITAL MARK . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,248,898 . . . . . . . . . . . 2,250,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

501044DA6 . . KROGER CO/THE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/08/2016. . . . MERRILL LYNCH PIERCE . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,703,022 . . . . . . . . . . . 1,705,000 . . . . . . . . . . . . . . . . . . . 2FE . . . . . . . . . . . . . . .

50180CAD2 . . LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/21/2016. . . . VARIOUS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 717,319 . . . . . . . . . . . . . 710,000 . . . . . . . . . . . . . 1,311 1FM . . . . . . . . . . . . . .

50180JAD7 . . LB-UBS COMMERCIAL MORTGAGE TRUST 2007-C2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/06/2016. . . . VARIOUS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 4,166,508 . . . . . . . . . . . 4,060,365 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

50180LAC4 . . LB-UBS COMMERCIAL MORTGAGE TRUST 2008-C1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/14/2016. . . . MERRILL LYNCH PIERCE . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 274,851 . . . . . . . . . . . . . 260,108 . . . . . . . . . . . . . . . 264 1FM . . . . . . . . . . . . . .

61751XAE0 . . MORGAN STANLEY CAPITAL I TRUST 2007-TOP2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/11/2016. . . . VARIOUS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,227,762 . . . . . . . . . . . 1,205,181 . . . . . . . . . . . . . 2,156 1FM . . . . . . . . . . . . . .

637432NH4 . . NATIONAL RURAL UTILITIES COOPERATIVE FIN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/03/2016. . . . MITSUBISHI UFJ SECUR . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,796,668 . . . . . . . . . . . 2,800,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

674599CK9 . . OCCIDENTAL PETROLEUM CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/28/2016. . . . WELLS FARGO SECURITI . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,769,115 . . . . . . . . . . . 1,770,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

87165LAX9 . . SYNCHRONY CREDIT CARD MASTER NOTE TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/14/2016. . . . WELLS FARGO SECURITI . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,084,352 . . . . . . . . . . . 3,085,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

91324PCT7 . . UNITEDHEALTH GROUP INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/22/2016. . . . WELLS FARGO SECURITI . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,009,626 . . . . . . . . . . . 1,010,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

949746RS2 . . WELLS FARGO & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/26/2016. . . . WELLS FARGO SECURITI . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,999,310 . . . . . . . . . . . 3,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

064159HC3 . . BANK OF NOVA SCOTIA/THE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A. . . . . . 01/12/2016. . . . SCOTIA CAPITAL (USA) . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,997,620 . . . . . . . . . . . 2,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

89114QBG2 . TORONTO-DOMINION BANK/THE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A. . . . . . 03/31/2016. . . . TORONTO DOMINION SEC . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,994,900 . . . . . . . . . . . 3,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

865622CA0 . . SUMITOMO MITSUI BANKING CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F. . . . . . 01/13/2016. . . . GOLDMAN SACHS & CO, . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,498,275 . . . . . . . . . . . 2,500,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

86960BAL6 . . SVENSKA HANDELSBANKEN AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F. . . . . . 03/23/2016. . . . DEUTSCHE BK SECS INC . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,200,000 . . . . . . . . . . . 3,200,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

999999AA3 . . UNINSURED CASH FLOWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/05/2016. . . . PERSHING . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,385,117 . . . . . . . . . . . 4,190,995 . . . . . . . . . . . . . . . . . . . 6FE . . . . . . . . . . . . . . .

Bonds - U.S. Governments

Bonds - U.S. Special Revenue, Special Assessment

Bonds - Industrial and Miscellaneous (Unaffiliated)

QE

04.1


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

1 2 3 4 5 6 7 8 9 10

Paid for NAIC

Accrued Designation

CUSIP Name of Number of Interest and or Market

Identification Description Foreign Date Acquired Vendor Shares of Stock Actual Cost Par Value Dividends Indicator (a)

999999AA3 . . UNINSURED CASH FLOWS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016. . . . J.P. MORGAN SECURITI . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . 38,055 . . . . . . . . . . . . . . 71,996 . . . . . . . . . . . . . . . . . . . 6FE . . . . . . . . . . . . . . .

3899999 Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 73,621,707 . . . . . . . . . 75,253,640 . . . . . . . . . . . . 15,363 X X X. . . . . . . . . . .

8399997 Subtotal - Bonds - Part 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . 127,020,923 . . . . . . . . 127,542,635 . . . . . . . . . . . . 90,433 X X X. . . . . . . . . . .

8399998 Summary Item from Part 5 for Bonds (N/A to Quarterly) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . .

8399999 Subtotal - Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . 127,020,923 . . . . . . . . 127,542,635 . . . . . . . . . . . . 90,433 X X X. . . . . . . . . . .

8999998 Summary Item from Part 5 for Preferred Stocks (N/A to Quarterly) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . .

9799998 Summary Item from Part 5 for Common Stocks (N/A to Quarterly) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . . . . . X X X. . . . . . . . . . . X X X. . . . . . . . . . .

9899999 Subtotal - Preferred and Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . .

9999999 Total - Bonds, Preferred and Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . 127,020,923 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . 90,433 X X X. . . . . . . . . . .

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues ...............0.

QE

05


SCHEDULE D - PART 4Show All Long-Term Bonds and Stocks Sold, Redeemed or Otherwise Disposed of

During the Current Quarter1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22

F 11 12 13 14 15

o

r Prior Year Current Year's Total Book/ Bond Interest/

e Book/ Unrealized Other Than Total Foreign Adjusted Foreign Stock Stated NAIC

i Number Adjusted Valuation Current Year's Temporary Change in Exchange Carrying Value Exchange Realized Total Dividends Contractual Designation

CUSIP g Disposal Name of of Shares Par Actual Carrying Increase/ (Amortization)/ Impairment B./A.C.V. Change in at Disposal Gain (Loss) Gain (Loss) Gain (Loss) Received Maturity or Market

Identification Description n Date Purchaser of Stock Consideration Value Cost Value (Decrease) Accretion Recognized (11 + 12 - 13) B./A.C.V. Date on Disposal on Disposal on Disposal During Year Date Indicator (a)

36202FMB9 . GINNIE MAE II POOL . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 40,052 . . . . . . . . 40,052 . . . . . . . . 42,587 . . . . . . . . 42,254 . . . . . . . . . . . . . . . . . . . . (2,202) . . . . . . . . . . . . . . . . . . . . (2,202) . . . . . . . . . . . . . . . . . . . 40,052 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302 11/01/2040 1 . . . . . . . . 3620A8NH2 . GINNIE MAE I POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 20,012 . . . . . . . . 20,012 . . . . . . . . 20,848 . . . . . . . . 20,160 . . . . . . . . . . . . . . . . . . . . . (148) . . . . . . . . . . . . . . . . . . . . . (148) . . . . . . . . . . . . . . . . . . . 20,012 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137 09/01/2039 1 . . . . . . . . 36241KCE6 . GINNIE MAE I POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 99,481 . . . . . . . . 99,481 . . . . . . . 103,013 . . . . . . . 100,075 . . . . . . . . . . . . . . . . . . . . . (594) . . . . . . . . . . . . . . . . . . . . . (594) . . . . . . . . . . . . . . . . . . . 99,481 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,151 10/01/2034 1 . . . . . . . . 912828EW6 . UNITED STATES TREASURY

NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . 02/15/2016 MATURITY . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 525,000 . . . . . . . 525,000 . . . . . . . 501,375 . . . . . . . 524,601 . . . . . . . . . . . . . . . . . . . . . . 399 . . . . . . . . . . . . . . . . . . . . . . 399 . . . . . . . . . . . . . . . . . . 525,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,813 02/15/2016 1 . . . . . . . . 912828PS3 . UNITED STATES TREASURY

NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . 01/31/2016 MATURITY . . . . . . . . . . . . . . . X X X. . . . . . . . . . 3,250,000 . . . . . . 3,250,000 . . . . . . 3,433,990 . . . . . . 3,252,155 . . . . . . . . . . . . . . . . . . . . (2,155) . . . . . . . . . . . . . . . . . . . . (2,155) . . . . . . . . . . . . . . . . . 3,250,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,000 01/31/2016 1 . . . . . . . .

0599999 Subtotal - Bonds - U.S. Governments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . 3,934,545 . . . . . . 3,934,545 . . . . . . 4,101,813 . . . . . . 3,939,245 . . . . . . . . . . . . . . . . . . . . (4,700) . . . . . . . . . . . . . . . . . . . . (4,700) . . . . . . . . . . . . . . . . . 3,934,545 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88,403 X X X. . . X X X. . .

74526QB35 . PUERTO RICO POWER AUTH . . . . . . . . . . . 01/01/2016 DIRECT . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 302,659 . . . . . . . 294,092 . . . . . . . 294,092 . . . . . . . 594,092 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294,092 . . . . . . . . . . . . . . . . . . . . . 8,567 . . . . . . . . . 8,567 . . . . . . . . . . . . . 01/01/2016 5Z . . . . . . . .

1799999 Subtotal - Bonds - U.S. States, Territories and Possessions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 302,659 . . . . . . . 294,092 . . . . . . . 294,092 . . . . . . . 594,092 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294,092 . . . . . . . . . . . . . . . . . . . . . 8,567 . . . . . . . . . 8,567 . . . . . . . . . . . . . X X X. . . X X X. . .

3128M9WU2 FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 2,946 . . . . . . . . . 2,946 . . . . . . . . . 3,055 . . . . . . . . . 3,044 . . . . . . . . . . . . . . . . . . . . . . (99) . . . . . . . . . . . . . . . . . . . . . . (99) . . . . . . . . . . . . . . . . . . . . 2,946 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 11/01/2043 1 . . . . . . . . 3128MJS35 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 9,335 . . . . . . . . . 9,335 . . . . . . . . . 8,932 . . . . . . . . . 8,957 . . . . . . . . . . . . . . . . . . . . . . 378 . . . . . . . . . . . . . . . . . . . . . . 378 . . . . . . . . . . . . . . . . . . . . 9,335 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 07/01/2043 1 . . . . . . . . 3128MJS68 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 9,429 . . . . . . . . . 9,429 . . . . . . . . . 9,023 . . . . . . . . . 9,048 . . . . . . . . . . . . . . . . . . . . . . 382 . . . . . . . . . . . . . . . . . . . . . . 382 . . . . . . . . . . . . . . . . . . . . 9,429 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 08/01/2043 1 . . . . . . . . 3128MJT67 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 10,577 . . . . . . . . 10,577 . . . . . . . . 10,700 . . . . . . . . 10,683 . . . . . . . . . . . . . . . . . . . . . (106) . . . . . . . . . . . . . . . . . . . . . (106) . . . . . . . . . . . . . . . . . . . 10,577 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 02/01/2044 1 . . . . . . . . 31292MDY6 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 19,985 . . . . . . . . 19,985 . . . . . . . . 20,031 . . . . . . . . 20,104 . . . . . . . . . . . . . . . . . . . . . . (38) . . . . . . . . . . 81 . . . . . . . . (119) . . . . . . . . . . . . . . . . . . . 19,985 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110 03/01/2043 1 . . . . . . . . 31292SA42 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 18,097 . . . . . . . . 18,097 . . . . . . . . 18,234 . . . . . . . . 18,345 . . . . . . . . . . . . . . . . . . . . . (107) . . . . . . . . . 141 . . . . . . . . (248) . . . . . . . . . . . . . . . . . . . 18,097 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83 02/01/2043 1 . . . . . . . . 31292SAN0 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 23,925 . . . . . . . . 23,925 . . . . . . . . 24,084 . . . . . . . . 24,254 . . . . . . . . . . . . . . . . . . . . . (127) . . . . . . . . . 202 . . . . . . . . (329) . . . . . . . . . . . . . . . . . . . 23,925 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118 09/01/2042 1 . . . . . . . . 3129453S5 . . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 72,093 . . . . . . . . 72,093 . . . . . . . . 70,826 . . . . . . . . 70,933 . . . . . . . . . . . . . . . . . . . . . 1,161 . . . . . . . . . . . . . . . . . . . . . 1,161 . . . . . . . . . . . . . . . . . . . 72,093 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 564 03/01/2041 1 . . . . . . . . 3132HRMN7 FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 12,517 . . . . . . . . 12,517 . . . . . . . . 12,667 . . . . . . . . 12,658 . . . . . . . . . . . . . . . . . . . . . (141) . . . . . . . . . . . . . . . . . . . . . (141) . . . . . . . . . . . . . . . . . . . 12,517 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58 01/01/2043 1 . . . . . . . . 3132J65C4 . . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 14,479 . . . . . . . . 14,479 . . . . . . . . 13,593 . . . . . . . . 13,650 . . . . . . . . . . . . . . . . . . . . . . 829 . . . . . . . . . . . . . . . . . . . . . . 829 . . . . . . . . . . . . . . . . . . . 14,479 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66 02/01/2043 1 . . . . . . . . 3132J86E5 . . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 23,701 . . . . . . . . 23,701 . . . . . . . . 23,985 . . . . . . . . 23,963 . . . . . . . . . . . . . . . . . . . . . (262) . . . . . . . . . . . . . . . . . . . . . (262) . . . . . . . . . . . . . . . . . . . 23,701 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119 04/01/2043 1 . . . . . . . . 3132JA6M2 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 28,469 . . . . . . . . 28,469 . . . . . . . . 28,800 . . . . . . . . 28,771 . . . . . . . . . . . . . . . . . . . . . (302) . . . . . . . . . . . . . . . . . . . . . (302) . . . . . . . . . . . . . . . . . . . 28,469 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163 06/01/2043 1 . . . . . . . . 3132M7XP8 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 7,134 . . . . . . . . . 7,134 . . . . . . . . . 7,257 . . . . . . . . . 7,239 . . . . . . . . . . . . . . . . . . . . . (104) . . . . . . . . . . . . . . . . . . . . . (104) . . . . . . . . . . . . . . . . . . . . 7,134 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 07/01/2044 1 . . . . . . . . 3132M9A61 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 5,148 . . . . . . . . . 5,148 . . . . . . . . . 5,263 . . . . . . . . . 5,248 . . . . . . . . . . . . . . . . . . . . . (100) . . . . . . . . . . . . . . . . . . . . . (100) . . . . . . . . . . . . . . . . . . . . 5,148 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 09/01/2044 1 . . . . . . . . 3137A7JV3 . . FHLMC MULTIFAMILY STRUCTURED

PASS THROUG . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 . . . . . . . . . . . . 56 . . . . . . . . . . . . . . . . . . . . . . . 72 . . . . . . . . . . . . 9 . . . . . . . . . . 63 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 11/01/2017 1 . . . . . . . . 31381QWY8 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 1,064 . . . . . . . . . 1,064 . . . . . . . . . 1,070 . . . . . . . . . 1,067 . . . . . . . . . . . . . . . . . . . . . . . (4) . . . . . . . . . . . . . . . . . . . . . . . (4) . . . . . . . . . . . . . . . . . . . . 1,064 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 04/01/2018 1 . . . . . . . . 3138A5GY2 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 14,648 . . . . . . . . 14,648 . . . . . . . . 14,568 . . . . . . . . 14,571 . . . . . . . . . . . . . . . . . . . . . . . 77 . . . . . . . . . . . . . . . . . . . . . . . 77 . . . . . . . . . . . . . . . . . . . 14,648 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 02/01/2041 1 . . . . . . . . 3138AVQX6 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 12,262 . . . . . . . . 12,262 . . . . . . . . 12,813 . . . . . . . . 12,734 . . . . . . . . . . . . . . . . . . . . . (472) . . . . . . . . . . . . . . . . . . . . . (472) . . . . . . . . . . . . . . . . . . . 12,262 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 10/01/2041 1 . . . . . . . . 3138WERL5 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 19,929 . . . . . . . . 19,929 . . . . . . . . 20,755 . . . . . . . . 20,688 . . . . . . . . . . . . . . . . . . . . . (676) . . . . . . . . . . 83 . . . . . . . . (759) . . . . . . . . . . . . . . . . . . . 19,929 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128 05/01/2045 1 . . . . . . . . 3138X5S40 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 20,209 . . . . . . . . 20,209 . . . . . . . . 20,850 . . . . . . . . 20,778 . . . . . . . . . . . . . . . . . . . . . (569) . . . . . . . . . . . . . . . . . . . . . (569) . . . . . . . . . . . . . . . . . . . 20,209 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130 09/01/2028 1 . . . . . . . . 3138X6WW1 FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 17,692 . . . . . . . . 17,692 . . . . . . . . 18,217 . . . . . . . . 18,157 . . . . . . . . . . . . . . . . . . . . . (464) . . . . . . . . . . . . . . . . . . . . . (464) . . . . . . . . . . . . . . . . . . . 17,692 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90 10/01/2028 1 . . . . . . . . 31410F5H4 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 10,910 . . . . . . . . 10,910 . . . . . . . . 10,761 . . . . . . . . 10,790 . . . . . . . . . . . . . . . . . . . . . . 120 . . . . . . . . . . . . . . . . . . . . . . 120 . . . . . . . . . . . . . . . . . . . 10,910 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93 05/01/2022 1 . . . . . . . . 31410LCN0 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 6,111 . . . . . . . . . 6,111 . . . . . . . . . 6,431 . . . . . . . . . 6,392 . . . . . . . . . . . . . . . . . . . . . (281) . . . . . . . . . . . . . . . . . . . . . (281) . . . . . . . . . . . . . . . . . . . . 6,111 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61 09/01/2039 1 . . . . . . . . 31416XGK0 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 12,699 . . . . . . . . 12,699 . . . . . . . . 12,886 . . . . . . . . 12,873 . . . . . . . . . . . . . . . . . . . . . (174) . . . . . . . . . . . . . . . . . . . . . (174) . . . . . . . . . . . . . . . . . . . 12,699 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94 01/01/2041 1 . . . . . . . . 31419BBM6 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 46,263 . . . . . . . . 46,263 . . . . . . . . 47,574 . . . . . . . . 47,429 . . . . . . . . . . . . . . . . . . . . (1,166) . . . . . . . . . . . . . . . . . . . . (1,166) . . . . . . . . . . . . . . . . . . . 46,263 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421 11/01/2040 1 . . . . . . . . 645918T37 . . NEW JERSEY ECONOMIC

DEVELOPMENT AUTHORIT . . . . . . . . . . . . . 03/01/2016 MATURITY . . . . . . . . . . . . . . . X X X. . . . . . . . . . 2,875,000 . . . . . . 2,875,000 . . . . . . 2,849,990 . . . . . . 2,870,752 . . . . . . . . . . . . . . . . . . . . . 4,248 . . . . . . . . . . . . . . . . . . . . . 4,248 . . . . . . . . . . . . . . . . . 2,875,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,223 03/01/2016 1FE . . . . . .

3199999 Subtotal - Bonds - U.S. Special Revenue, Special Assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . 3,294,622 . . . . . . 3,294,621 . . . . . . 3,272,412 . . . . . . 3,293,184 . . . . . . . . . . . . . . . . . . . . . 2,075 . . . . . . . . . 516 . . . . . . . . 1,559 . . . . . . . . . . . . . . . . . 3,294,622 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,942 X X X. . . X X X. . .

00191HAC5 . ARI FLEET LEASE TRUST 2013-A . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 320,579 . . . . . . . 320,579 . . . . . . . 316,938 . . . . . . . 319,470 . . . . . . . . . . . . . . . . . . . . . 1,109 . . . . . . . . . . . . . . . . . . . . . 1,109 . . . . . . . . . . . . . . . . . . 320,579 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467 07/15/2021 1FE . . . . . . 00205BAA6 . ARI FLEET LEASE TRUST 2012-B . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 144,479 . . . . . . . 144,479 . . . . . . . 144,034 . . . . . . . 144,183 . . . . . . . . . . . . . . . . . . . . . . 295 . . . . . . . . . . . . . . . . . . . . . . 295 . . . . . . . . . . . . . . . . . . 144,479 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197 01/15/2021 1FE . . . . . . 00214JAC4 . ARI FLEET LEASE TRUST 2014-A . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 141,163 . . . . . . . 141,163 . . . . . . . 140,796 . . . . . . . 141,146 . . . . . . . . . . . . . . . . . . . . . . 367 . . . . . . . . . 350 . . . . . . . . . . 17 . . . . . . . . . . . . . . . . . . 141,163 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191 11/15/2022 1FE . . . . . . 02005ADF2 . ALLY MASTER OWNER TRUST . . . . . . . . . . 02/15/2016 CALL 100 . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,275,000 . . . . . . 1,275,000 . . . . . . 1,263,453 . . . . . . 1,275,000 . . . . . . . . . . . . . . . . . . . . . . . 64 . . . . . . . . . . 64 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,275,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,125 02/15/2018 1FE . . . . . . 03063XAE5 . AMERICREDIT AUTOMOBILE

RECEIVABLES TRUST . . . . . . . . . . . . . . . . . . 03/08/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 17,690 . . . . . . . . 17,690 . . . . . . . . 17,689 . . . . . . . . 17,689 . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . . 17,690 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 11/08/2017 1FE . . . . . . 03064LAC4 . AMERICREDIT AUTOMOBILE

RECEIVABLES TRUST . . . . . . . . . . . . . . . . . . 03/08/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 449,736 . . . . . . . 449,736 . . . . . . . 448,005 . . . . . . . 449,033 . . . . . . . . . . . . . . . . . . . . . . 702 . . . . . . . . . . . . . . . . . . . . . . 702 . . . . . . . . . . . . . . . . . . 449,736 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 695 02/08/2019 1FE . . . . . . 03064XAE4 . AMERICREDIT AUTOMOBILE

RECEIVABLES TRUST . . . . . . . . . . . . . . . . . . 03/08/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 6,194 . . . . . . . . . 6,194 . . . . . . . . . 6,194 . . . . . . . . . 6,194 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,194 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 11/08/2018 1FE . . . . . . 03065EAD7 . AMERICREDIT AUTOMOBILE

RECEIVABLES TRUST . . . . . . . . . . . . . . . . . . 03/08/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 794,274 . . . . . . . 794,274 . . . . . . . 793,154 . . . . . . . 794,023 . . . . . . . . . . . . . . . . . . . . . . 619 . . . . . . . . . 368 . . . . . . . . . 251 . . . . . . . . . . . . . . . . . . 794,274 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,204 09/10/2018 1FE . . . . . . 03523TBN7 . ANHEUSER-BUSCH INBEV

WORLDWIDE INC . . . . . . . . . . . . . . . . . . . . . . 01/13/2016 BARCLAYS CAP/FIXED I . . . . X X X. . . . . . . . . . 3,788,144 . . . . . . 3,800,000 . . . . . . 3,774,407 . . . . . . 3,798,542 . . . . . . . . . . . . . . . . . . . . 25,878 . . . . . . . 24,420 . . . . . . . . 1,458 . . . . . . . . . . . . . . . . . 3,800,000 . . . . . . . . . . . . . . . . . . . (11,856) . . . . . . . (11,856) . . . . . . . 26,706 07/15/2017 1FE . . . . . . 05579UAC7 . BMW VEHICLE LEASE TRUST 2014-1 . . . . . 03/20/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,250,773 . . . . . . 1,250,773 . . . . . . 1,248,072 . . . . . . 1,250,358 . . . . . . . . . . . . . . . . . . . . . 1,313 . . . . . . . . . 897 . . . . . . . . . 416 . . . . . . . . . . . . . . . . . 1,250,773 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,527 02/21/2017 1FE . . . . . .

Bonds - U.S. Governments

Bonds - U.S. States, Territories and Possessions

Bonds - U.S. Special Revenue, Special Assessment

Bonds - Industrial and Miscellaneous (Unaffiliated)

QE

05.1




F 11 12 13 14 15

o






05947UR91 . BANC OF AMERICA MERRILL LYNCH

COMMERCIAL . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 1,358 . . . . . . . . . 1,358 . . . . . . . . . 1,369 . . . . . . . . . 1,368 . . . . . . . . . . . . . . . . . . . . . . (10) . . . . . . . . . . . . . . . . . . . . . . (10) . . . . . . . . . . . . . . . . . . . . 1,358 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 07/01/2043 1FM . . . . . . 059513AE1 . BANC OF AMERICA COMMERCIAL

MORTGAGE TRUS . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 3,531 . . . . . . . . . 3,531 . . . . . . . . . 3,698 . . . . . . . . . 3,696 . . . . . . . . . . . . . . . . . . . . . (160) . . . . . . . . . . . . 4 . . . . . . . . (164) . . . . . . . . . . . . . . . . . . . . 3,531 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 02/01/2051 1FM . . . . . . 07384M4C3 . BEAR STEARNS ARM TRUST 2004-10 . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 13,303 . . . . . . . . 13,303 . . . . . . . . . 6,887 . . . . . . . . 12,032 . . . . . . . . . . . . . . . . . . . . . 1,272 . . . . . . . . . . . . . . . . . . . . . 1,272 . . . . . . . . . . . . . . . . . . . 13,303 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 01/01/2035 1FM . . . . . . 07387BFS7 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 02/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 579,127 . . . . . . . 579,127 . . . . . . . 597,746 . . . . . . . 579,920 . . . . . . . . . . . . . . . . . . . . . (793) . . . . . . . . . . . . . . . . . . . . . (793) . . . . . . . . . . . . . . . . . . 579,127 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,210 04/01/2038 1FM . . . . . . 07388LAE0 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 374,401 . . . . . . . 374,401 . . . . . . . 402,906 . . . . . . . 379,416 . . . . . . . . . . . . . . . . . . . . (3,560) . . . . . . . . 1,455 . . . . . . . (5,015) . . . . . . . . . . . . . . . . . . 374,401 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,319 09/01/2041 1FM . . . . . . 07388NAE6 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,519,294 . . . . . . 1,519,294 . . . . . . 1,629,581 . . . . . . 1,546,114 . . . . . . . . . . . . . . . . . . . (17,309) . . . . . . . . 9,511 . . . . . . (26,820) . . . . . . . . . . . . . . . . . 1,519,294 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,058 10/01/2041 1FM . . . . . . 07388PAE1 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 47,752 . . . . . . . . 47,752 . . . . . . . . 51,069 . . . . . . . . 46,244 . . . . . . . . . . . . . . . . . . . . . (642) . . . . . . . . . 344 . . . . . . . . (986) . . . . . . . . . . . . . . . . . . . 47,752 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 487 12/01/2038 1FM . . . . . . 07388QAE9 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 39,558 . . . . . . . . 39,558 . . . . . . . . 42,962 . . . . . . . . 41,418 . . . . . . . . . . . . . . . . . . . . (1,690) . . . . . . . . . 170 . . . . . . . (1,860) . . . . . . . . . . . . . . . . . . . 39,558 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 380 06/01/2050 1FM . . . . . . 07388RAE7 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 38,977 . . . . . . . . 38,977 . . . . . . . . 40,009 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,032) . . . . . . . . . . . . . . . . . . . . (1,032) . . . . . . . . . . . . . . . . . . . 38,977 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316 02/01/2044 1FE . . . . . . 07388YAE2 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 13,903 . . . . . . . . 13,903 . . . . . . . . 14,795 . . . . . . . . 14,557 . . . . . . . . . . . . . . . . . . . . . (389) . . . . . . . . . 265 . . . . . . . . (654) . . . . . . . . . . . . . . . . . . . 13,903 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139 06/01/2040 1FM . . . . . . 12513YAF7 . CD 2007-CD4 COMMERCIAL

MORTGAGE TRUST . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 521,765 . . . . . . . 521,765 . . . . . . . 558,861 . . . . . . . 533,047 . . . . . . . . . . . . . . . . . . . (11,090) . . . . . . . . . 191 . . . . . . (11,281) . . . . . . . . . . . . . . . . . . 521,765 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,439 12/01/2049 1FM . . . . . . 12514AAE1 . CD 2007-CD5 MORTGAGE TRUST . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 79,667 . . . . . . . . 79,667 . . . . . . . . 83,792 . . . . . . . . 84,742 . . . . . . . . . . . . . . . . . . . . (3,289) . . . . . . . . 1,786 . . . . . . . (5,075) . . . . . . . . . . . . . . . . . . . 79,667 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,480 11/01/2044 1FM . . . . . . 12623MAD5 . CNH EQUIPMENT TRUST 2012-A . . . . . . . . 02/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 2,548,776 . . . . . . 2,548,776 . . . . . . 2,571,571 . . . . . . 2,553,977 . . . . . . . . . . . . . . . . . . . . (1,912) . . . . . . . . 3,289 . . . . . . . (5,201) . . . . . . . . . . . . . . . . . 2,548,776 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,805 02/15/2018 1FE . . . . . . 12624FAC1 . CNH EQUIPMENT TRUST 2012-C . . . . . . . . 02/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 61,713 . . . . . . . . 61,713 . . . . . . . . 61,527 . . . . . . . . 61,706 . . . . . . . . . . . . . . . . . . . . . . . . . 9 . . . . . . . . . . . . 2 . . . . . . . . . . . . 7 . . . . . . . . . . . . . . . . . . . 61,713 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 12/15/2017 1FE . . . . . . 12624KAA4 . COMM 2012-CCRE2 MORTGAGE TRUST . . . 01/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 293,477 . . . . . . . 293,477 . . . . . . . 292,531 . . . . . . . 292,725 . . . . . . . . . . . . . . . . . . . . . . 752 . . . . . . . . . . . . . . . . . . . . . . 752 . . . . . . . . . . . . . . . . . . 293,477 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202 08/01/2045 1FM . . . . . . 12624PAA3 . COMMERCIAL MORTGAGE PASS

THROUGH CERTIFI . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 74,036 . . . . . . . . 74,036 . . . . . . . . 73,681 . . . . . . . . 73,749 . . . . . . . . . . . . . . . . . . . . . . 286 . . . . . . . . . . . . . . . . . . . . . . 286 . . . . . . . . . . . . . . . . . . . 74,036 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85 10/01/2045 1FM . . . . . . 12624VAA0 . CPS AUTO TRUST . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 3,157 . . . . . . . . . 3,157 . . . . . . . . . 3,147 . . . . . . . . . 3,155 . . . . . . . . . . . . . . . . . . . . . . . . . 9 . . . . . . . . . . . . 7 . . . . . . . . . . . . 2 . . . . . . . . . . . . . . . . . . . . 3,157 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 03/16/2020 1FE . . . . . . 12626BAA2 . COMM 2013-CCRE10 MORTGAGE

TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 58,690 . . . . . . . . 58,690 . . . . . . . . 58,391 . . . . . . . . 58,576 . . . . . . . . . . . . . . . . . . . . . . 298 . . . . . . . . . 184 . . . . . . . . . 114 . . . . . . . . . . . . . . . . . . . 58,690 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129 08/01/2046 1FM . . . . . . 12631BAA5 . CPS AUTO RECEIVABLES TRUST

2014-A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 117,290 . . . . . . . 117,290 . . . . . . . 116,959 . . . . . . . 117,124 . . . . . . . . . . . . . . . . . . . . . . 232 . . . . . . . . . . 66 . . . . . . . . . 166 . . . . . . . . . . . . . . . . . . 117,290 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238 08/15/2018 1FE . . . . . . 126650BP4 . CVS PASS-THROUGH TRUST . . . . . . . . . . . 03/10/2016 SINKING PAYMENT . . . . . . . . X X X. . . . . . . . . . . . . . 2,578 . . . . . . . . . 2,578 . . . . . . . . . 2,665 . . . . . . . . . 2,663 . . . . . . . . . . . . . . . . . . . . . . (85) . . . . . . . . . . . . . . . . . . . . . . (85) . . . . . . . . . . . . . . . . . . . . 2,578 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 12/10/2028 2FE . . . . . . 12667FB46 . . ALTERNATIVE LOAN TRUST 2004-33 . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 2,405 . . . . . . . . 14,093 . . . . . . . . 11,583 . . . . . . . . . 7,737 . . . . . . . . . . . . . . . . . . . . . 6,355 . . . . . . . . . . . . . . . . . . . . . 6,355 . . . . . . . . . . . . . . . . . . . 14,093 . . . . . . . . . . . . . . . . . . . (11,687) . . . . . . . (11,687) . . . . . . . . . . 48 12/01/2034 1FM . . . . . . 13975EAD5 . CAPITAL AUTO RECEIVABLES ASSET

TRUST 201 . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/20/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,629,927 . . . . . . 1,629,927 . . . . . . 1,626,616 . . . . . . 1,628,991 . . . . . . . . . . . . . . . . . . . . . . 978 . . . . . . . . . . 42 . . . . . . . . . 936 . . . . . . . . . . . . . . . . . 1,629,927 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,094 01/22/2018 1FE . . . . . . 14313NAC6 . CARMAX AUTO OWNER TRUST 2013-3 . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 295,120 . . . . . . . 295,120 . . . . . . . 295,049 . . . . . . . 295,108 . . . . . . . . . . . . . . . . . . . . . . . 33 . . . . . . . . . . 20 . . . . . . . . . . 13 . . . . . . . . . . . . . . . . . . 295,120 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 475 04/16/2018 1FE . . . . . . 17119RAC6 . CHRYSLER CAPITAL AUTO

RECEIVABLES TRUST . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 152,254 . . . . . . . 152,254 . . . . . . . 152,225 . . . . . . . 152,252 . . . . . . . . . . . . . . . . . . . . . . . 14 . . . . . . . . . . 11 . . . . . . . . . . . . 3 . . . . . . . . . . . . . . . . . . 152,254 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231 04/16/2018 1FE . . . . . . 17119XAC3 . CHRYSLER CAPITAL AUTO

RECEIVABLES TRUST . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 377,274 . . . . . . . 377,274 . . . . . . . 376,788 . . . . . . . 377,107 . . . . . . . . . . . . . . . . . . . . . . 261 . . . . . . . . . . 94 . . . . . . . . . 167 . . . . . . . . . . . . . . . . . . 377,274 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 513 09/17/2018 1FE . . . . . . 17309RAA0 . CITIGROUP MORTGAGE LOAN TRUST

2006-AR6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 10,961 . . . . . . . . 13,176 . . . . . . . . . 6,415 . . . . . . . . 12,080 . . . . . . . . . . . . . . . . . . . . . 1,218 . . . . . . . . . 122 . . . . . . . . 1,096 . . . . . . . . . . . . . . . . . . . 13,176 . . . . . . . . . . . . . . . . . . . . (2,215) . . . . . . . . (2,215) . . . . . . . . . 101 08/01/2036 1FM . . . . . . 17318UAA2 . CITIGROUP COMMERCIAL MORTGAGE

TRUST 2012 . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 111,554 . . . . . . . 111,554 . . . . . . . 110,474 . . . . . . . 110,660 . . . . . . . . . . . . . . . . . . . . . . 895 . . . . . . . . . . . . . . . . . . . . . . 895 . . . . . . . . . . . . . . . . . . 111,554 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132 09/01/2045 1FM . . . . . . 20047QAE5 . COMM 2006-C7 MORTGAGE TRUST . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,854,282 . . . . . . 1,854,282 . . . . . . 1,978,093 . . . . . . 1,867,314 . . . . . . . . . . . . . . . . . . . . (7,325) . . . . . . . . 5,708 . . . . . . (13,033) . . . . . . . . . . . . . . . . . 1,854,282 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,364 06/01/2046 1FM . . . . . . 20173QAE1 . COMMERCIAL MORTGAGE TRUST

2007-GG9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 6,573 . . . . . . . . . 6,573 . . . . . . . . . 6,973 . . . . . . . . . 6,741 . . . . . . . . . . . . . . . . . . . . . (142) . . . . . . . . . . 26 . . . . . . . . (168) . . . . . . . . . . . . . . . . . . . . 6,573 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 03/10/2039 1FM . . . . . . 20173VAE0 . COMMERCIAL MORTGAGE TRUST

2007-GG11 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 23,181 . . . . . . . . 23,181 . . . . . . . . 35,200 . . . . . . . . 24,199 . . . . . . . . . . . . . . . . . . . . (1,435) . . . . . . . (9,868) . . . . . . . . 8,433 . . . . . . . . . . . . . . . . . . . 23,181 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (448) 12/01/2049 1FM . . . . . . 22545MAD9 . CREDIT SUISSE MORTGAGE CAPITAL

CERTIFICA . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 142,054 . . . . . . . 142,054 . . . . . . . 144,016 . . . . . . . . 58,441 . . . . . . . . . . . . . . . . . . . . (1,221) . . . . . . . . . 455 . . . . . . . (1,676) . . . . . . . . . . . . . . . . . . 142,054 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 978 09/01/2039 1FM . . . . . . 22818VAB3 . CROWN AMERICAS LLC / CROWN

AMERICAS CAPI . . . . . . . . . . . . . . . . . . . . . . . 02/29/2016 CALL 103.125 . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 26,813 . . . . . . . . 26,000 . . . . . . . . 27,591 . . . . . . . . 26,875 . . . . . . . . . . . . . . . . . . . . . . (62) . . . . . . . . . . . . . . . . . . . . . . (62) . . . . . . . . . . . . . . . . . . . 26,813 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 934 02/01/2021 3FE . . . . . . 29372EAW8 . ENTERPRISE FLEET FINANCING LLC . . . . . 03/20/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,507,193 . . . . . . 1,507,193 . . . . . . 1,501,310 . . . . . . 1,506,848 . . . . . . . . . . . . . . . . . . . . . 5,019 . . . . . . . . 4,674 . . . . . . . . . 345 . . . . . . . . . . . . . . . . . 1,507,193 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,245 09/20/2018 1FE . . . . . . 29372EAY4 . ENTERPRISE FLEET FINANCING LLC . . . . . 03/20/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 386,601 . . . . . . . 386,601 . . . . . . . 386,744 . . . . . . . 386,717 . . . . . . . . . . . . . . . . . . . . . . 220 . . . . . . . . . 336 . . . . . . . . (116) . . . . . . . . . . . . . . . . . . 386,601 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 694 03/20/2019 1FE . . . . . . 29372EBB3 . ENTERPRISE FLEET FINANCING LLC . . . . . 03/20/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 412,980 . . . . . . . 412,980 . . . . . . . 412,069 . . . . . . . 412,926 . . . . . . . . . . . . . . . . . . . . . . 954 . . . . . . . . . 900 . . . . . . . . . . 54 . . . . . . . . . . . . . . . . . . 412,980 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 603 09/20/2019 1FE . . . . . . 31679GAC3 . FIFTH THIRD AUTO 2013-1 . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 311,265 . . . . . . . 311,265 . . . . . . . 311,203 . . . . . . . 311,259 . . . . . . . . . . . . . . . . . . . . . . . 62 . . . . . . . . . . 56 . . . . . . . . . . . . 6 . . . . . . . . . . . . . . . . . . 311,265 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 448 10/16/2017 1FE . . . . . . 32057LAA6 . FIRST INVESTORS AUTO OWNER

TRUST 2016-1 . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 109,723 . . . . . . . 109,723 . . . . . . . 109,721 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 . . . . . . . . . . . . . . . . . . . . . . . . . 2 . . . . . . . . . . . . . . . . . . 109,723 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158 05/15/2020 1FE . . . . . . 32058EAC7 . FIRST INVESTORS AUTO OWNER

TRUST 2013-1 . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 65,517 . . . . . . . . 65,517 . . . . . . . . 65,262 . . . . . . . . 65,495 . . . . . . . . . . . . . . . . . . . . . . 255 . . . . . . . . . 233 . . . . . . . . . . 22 . . . . . . . . . . . . . . . . . . . 65,517 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99 10/15/2018 1FE . . . . . .

QE

05.2




F 11 12 13 14 15

o






32058FAC4 . FIRST INVESTORS AUTO OWNER

TRUST 2014-1 . . . . . . . . . . . . . . . . . . . . . . . . . 01/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 22,328 . . . . . . . . 22,328 . . . . . . . . 22,324 . . . . . . . . 22,325 . . . . . . . . . . . . . . . . . . . . . . . . . 4 . . . . . . . . . . . . 1 . . . . . . . . . . . . 3 . . . . . . . . . . . . . . . . . . . 22,328 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 02/15/2018 1FE . . . . . . 34528QCD4 . FORD CREDIT FLOORPLAN MASTER

OWNER TRUST . . . . . . . . . . . . . . . . . . . . . . . 01/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 5,360,000 . . . . . . 5,360,000 . . . . . . 5,337,844 . . . . . . 5,359,962 . . . . . . . . . . . . . . . . . . . . . . 161 . . . . . . . . . 123 . . . . . . . . . . 38 . . . . . . . . . . . . . . . . . 5,360,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,797 01/15/2018 1FE . . . . . . 34530DAC3 . FORD CREDIT AUTO OWNER TRUST

2013-C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 249,039 . . . . . . . 249,039 . . . . . . . 248,920 . . . . . . . 249,035 . . . . . . . . . . . . . . . . . . . . . . 119 . . . . . . . . . 115 . . . . . . . . . . . . 4 . . . . . . . . . . . . . . . . . . 249,039 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335 12/15/2017 1FE . . . . . . 35562TAG7 . FREMF 2011-K701 MORTGAGE TRUST . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282 . . . . . . . . . . . 366 . . . . . . . . . . . . . . . . . . . . . . 318 . . . . . . . . . . 99 . . . . . . . . . 219 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 07/01/2048 1FE . . . . . . 36163LAC4 . GE EQUIPMENT SMALL TICKET LLC

SERIES 201 . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/24/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 861,126 . . . . . . . 861,126 . . . . . . . 857,698 . . . . . . . 860,563 . . . . . . . . . . . . . . . . . . . . . . 563 . . . . . . . . . . . . . . . . . . . . . . 563 . . . . . . . . . . . . . . . . . . 861,126 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,382 09/25/2017 1FE . . . . . . 36198FAA0 . GS MORTGAGE SECURITIES TRUST

2013-GCJ14 . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 90,741 . . . . . . . . 90,741 . . . . . . . . 90,251 . . . . . . . . 90,477 . . . . . . . . . . . . . . . . . . . . . . 486 . . . . . . . . . 222 . . . . . . . . . 264 . . . . . . . . . . . . . . . . . . . 90,741 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190 08/01/2046 1FM . . . . . . 362332AE8 . GS MORTGAGE SECURITIES TRUST

2006-GG8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 390,030 . . . . . . . 390,030 . . . . . . . 419,051 . . . . . . . 395,995 . . . . . . . . . . . . . . . . . . . . (5,015) . . . . . . . . . 950 . . . . . . . (5,965) . . . . . . . . . . . . . . . . . . 390,030 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,373 11/01/2039 1FM . . . . . . 362334GR9 . GSAA TRUST . . . . . . . . . . . . . . . . . . . . . . . . . 03/25/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . 371 . . . . . . . . . . . 371 . . . . . . . . . . . 157 . . . . . . . . . . . 221 . . . . . . . . . . . . . . . . . . . . . . 150 . . . . . . . . . . . . . . . . . . . . . . 150 . . . . . . . . . . . . . . . . . . . . . . 371 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/25/2036 1FM . . . . . . 36248EAA3 . GS MORTGAGE SECURITIES TRUST

2010-C2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 17,459 . . . . . . . . 17,459 . . . . . . . . 18,414 . . . . . . . . 17,459 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,459 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116 12/01/2043 1FM . . . . . . 44890TAC1 . HYUNDAI AUTO LEASE

SECURITIZATION TRUST . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 581,482 . . . . . . . 581,482 . . . . . . . 579,873 . . . . . . . 581,201 . . . . . . . . . . . . . . . . . . . . . . 488 . . . . . . . . . 207 . . . . . . . . . 281 . . . . . . . . . . . . . . . . . . 581,482 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 722 04/17/2017 1FE . . . . . . 45660NRL1 . RESIDENTIAL ASSET SECURITIZATION

TRUST 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . 604 . . . . . . . . . . . 604 . . . . . . . . . . . 577 . . . . . . . . . . . 586 . . . . . . . . . . . . . . . . . . . . . . . 18 . . . . . . . . . . . . . . . . . . . . . . . 18 . . . . . . . . . . . . . . . . . . . . . . 604 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 10/01/2018 1FM . . . . . . 46628FAF8 . JP MORGAN CHASE COMMERCIAL

MORTGAGE SECU . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 622,080 . . . . . . . 622,080 . . . . . . . 663,820 . . . . . . . 627,019 . . . . . . . . . . . . . . . . . . . . (2,366) . . . . . . . . 2,573 . . . . . . . (4,939) . . . . . . . . . . . . . . . . . . 622,080 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,989 04/01/2045 1FM . . . . . . 46629GAE8 . JP MORGAN CHASE COMMERCIAL

MORTGAGE SECU . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 3,623 . . . . . . . . . 3,623 . . . . . . . . . 3,674 . . . . . . . . . 3,696 . . . . . . . . . . . . . . . . . . . . . . (43) . . . . . . . . . . 30 . . . . . . . . . (73) . . . . . . . . . . . . . . . . . . . . 3,623 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 05/01/2045 1FM . . . . . . 46634NAA4 . JP MORGAN CHASE COMMERCIAL

MORTGAGE SECU . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 2,876 . . . . . . . . . 2,876 . . . . . . . . . 2,969 . . . . . . . . . 2,876 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,876 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 06/01/2043 1FM . . . . . . 46639EAA9 . JP MORGAN CHASE COMMERCIAL

MORTGAGE SECU . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 120,433 . . . . . . . 120,433 . . . . . . . 119,077 . . . . . . . 119,318 . . . . . . . . . . . . . . . . . . . . . 1,116 . . . . . . . . . . . . . . . . . . . . . 1,116 . . . . . . . . . . . . . . . . . . 120,433 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170 12/01/2047 1FM . . . . . . 47787VAC5 . JOHN DEERE OWNER TRUST 2014-A . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 806,448 . . . . . . . 806,448 . . . . . . . 802,844 . . . . . . . 805,873 . . . . . . . . . . . . . . . . . . . . . 2,621 . . . . . . . . 2,046 . . . . . . . . . 575 . . . . . . . . . . . . . . . . . . 806,448 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,172 04/16/2018 1FE . . . . . . 48126EAA5 . JPMORGAN CHASE & CO . . . . . . . . . . . . . . . 02/25/2016 CITIGROUP GBL MKTS/S . . . X X X. . . . . . . . . . 2,011,980 . . . . . . 2,000,000 . . . . . . 1,986,222 . . . . . . 1,994,415 . . . . . . . . . . . . . . . . . . . . . . 574 . . . . . . . . . . . . . . . . . . . . . . 574 . . . . . . . . . . . . . . . . . 1,994,989 . . . . . . . . . . . . . . . . . . . . 16,991 . . . . . . . . 16,991 . . . . . . . 21,778 08/15/2017 1FE . . . . . . 50116PAB6 . KUBOTA CREDIT OWNER TRUST 2014-1 . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 161,203 . . . . . . . 161,203 . . . . . . . 161,160 . . . . . . . 161,189 . . . . . . . . . . . . . . . . . . . . . . . 38 . . . . . . . . . . 23 . . . . . . . . . . 15 . . . . . . . . . . . . . . . . . . 161,203 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146 02/15/2017 1FE . . . . . . 50116PAC4 . KUBOTA CREDIT OWNER TRUST 2014-1 . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 39,729 . . . . . . . . 39,729 . . . . . . . . 39,590 . . . . . . . . 39,683 . . . . . . . . . . . . . . . . . . . . . . . 47 . . . . . . . . . . . . . . . . . . . . . . . 47 . . . . . . . . . . . . . . . . . . . 39,729 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115 05/15/2018 1FE . . . . . . 50179MAE1 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2006-C6 . . . . . . . . . . . . . . . . . . . . . . . 03/11/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 48,024 . . . . . . . . 48,024 . . . . . . . . 46,432 . . . . . . . . 46,862 . . . . . . . . . . . . . . . . . . . . . 1,510 . . . . . . . . . 347 . . . . . . . . 1,163 . . . . . . . . . . . . . . . . . . . 48,024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 473 09/11/2039 1FM . . . . . . 50180JAD7 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2007-C2 . . . . . . . . . . . . . . . . . . . . . . . 03/11/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 4,229 . . . . . . . . . 4,229 . . . . . . . . . 4,340 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (111) . . . . . . . . . . . . . . . . . . . . . (111) . . . . . . . . . . . . . . . . . . . . 4,229 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 02/11/2040 1FE . . . . . . 50180LAC4 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2008-C1 . . . . . . . . . . . . . . . . . . . . . . . 03/11/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 47,927 . . . . . . . . 47,927 . . . . . . . . 50,421 . . . . . . . . 51,374 . . . . . . . . . . . . . . . . . . . . (2,432) . . . . . . . . 1,015 . . . . . . . (3,447) . . . . . . . . . . . . . . . . . . . 47,927 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 380 04/11/2041 1FM . . . . . . 52108RAE2 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2006-C4 . . . . . . . . . . . . . . . . . . . . . . . 03/11/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 3,337,388 . . . . . . 3,337,388 . . . . . . 3,378,779 . . . . . . 3,391,737 . . . . . . . . . . . . . . . . . . . (22,026) . . . . . . . 32,323 . . . . . . (54,349) . . . . . . . . . . . . . . . . . 3,337,388 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,813 06/15/2038 1FM . . . . . . 52109PAE5 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2007-C6 . . . . . . . . . . . . . . . . . . . . . . . 03/11/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 11,165 . . . . . . . . 11,165 . . . . . . . . 11,414 . . . . . . . . 11,679 . . . . . . . . . . . . . . . . . . . . . (204) . . . . . . . . . 309 . . . . . . . . (513) . . . . . . . . . . . . . . . . . . . 11,165 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114 07/11/2040 1FM . . . . . . 55292LAC8 . M&T BANK AUTO RECEIVABLES TRUST

2013-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 521,199 . . . . . . . 521,199 . . . . . . . 521,940 . . . . . . . 521,395 . . . . . . . . . . . . . . . . . . . . . . (48) . . . . . . . . . 148 . . . . . . . . (196) . . . . . . . . . . . . . . . . . . 521,199 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 909 11/15/2017 1FE . . . . . . 55312YAE2 . ML-CFC COMMERCIAL MORTGAGE

TRUST 2007-5 . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 90,717 . . . . . . . . 90,717 . . . . . . . . 95,142 . . . . . . . . 92,727 . . . . . . . . . . . . . . . . . . . . (1,768) . . . . . . . . . 242 . . . . . . . (2,010) . . . . . . . . . . . . . . . . . . . 90,717 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 745 08/01/2048 1FM . . . . . . 58768WAC3 . MERCEDES-BENZ AUTO RECEIVABLES

TRUST 201 . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 143,916 . . . . . . . 143,916 . . . . . . . 143,849 . . . . . . . 143,916 . . . . . . . . . . . . . . . . . . . . . . . 68 . . . . . . . . . . 67 . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . 143,916 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183 08/15/2017 1FE . . . . . . 59025WAE6 . MERRILL LYNCH MORTGAGE TRUST

2008-C1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 6,658 . . . . . . . . . 6,658 . . . . . . . . . 7,259 . . . . . . . . . 7,029 . . . . . . . . . . . . . . . . . . . . . (334) . . . . . . . . . . 37 . . . . . . . . (371) . . . . . . . . . . . . . . . . . . . . 6,658 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66 02/01/2051 1FM . . . . . . 61750WAX1 . MORGAN STANLEY CAPITAL I TRUST

2006-IQ12 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 51,417 . . . . . . . . 51,417 . . . . . . . . 52,588 . . . . . . . . 52,804 . . . . . . . . . . . . . . . . . . . . (1,146) . . . . . . . . . 242 . . . . . . . (1,388) . . . . . . . . . . . . . . . . . . . 51,417 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 344 12/01/2043 1FM . . . . . . 61751XAE0 . MORGAN STANLEY CAPITAL I TRUST

2007-TOP2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 2,824 . . . . . . . . . 2,824 . . . . . . . . . 2,898 . . . . . . . . . 1,679 . . . . . . . . . . . . . . . . . . . . . . (71) . . . . . . . . . . . . 9 . . . . . . . . . (80) . . . . . . . . . . . . . . . . . . . . 2,824 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 11/01/2049 1FM . . . . . . 61759LAA6 . MORGAN STANLEY RE-REMIC TRUST

2010-GG10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 5,629 . . . . . . . . . 5,629 . . . . . . . . . 5,908 . . . . . . . . . 5,897 . . . . . . . . . . . . . . . . . . . . . (261) . . . . . . . . . . . . 7 . . . . . . . . (268) . . . . . . . . . . . . . . . . . . . . 5,629 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 08/04/2045 1FE . . . . . . 61761DAA0 . MORGAN STANLEY BANK OF AMERICA

MERRILL L . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 45,725 . . . . . . . . 45,725 . . . . . . . . 45,250 . . . . . . . . 45,341 . . . . . . . . . . . . . . . . . . . . . . 383 . . . . . . . . . . . . . . . . . . . . . . 383 . . . . . . . . . . . . . . . . . . . 45,725 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52 11/01/2045 1FM . . . . . . 65477MAC2 . NISSAN AUTO RECEIVABLES 2013-C

OWNER TRU . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 318,843 . . . . . . . 318,843 . . . . . . . 316,942 . . . . . . . 318,427 . . . . . . . . . . . . . . . . . . . . . . 670 . . . . . . . . . 254 . . . . . . . . . 416 . . . . . . . . . . . . . . . . . . 318,843 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 351 08/15/2018 1FE . . . . . . 67741YAA6 . OHIO PHASE-IN-RECOVERY FUNDING

LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 206,910 . . . . . . . 206,910 . . . . . . . 206,906 . . . . . . . 206,829 . . . . . . . . . . . . . . . . . . . . . . . 81 . . . . . . . . . . . . . . . . . . . . . . . 81 . . . . . . . . . . . . . . . . . . 206,910 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 991 07/01/2018 1FE . . . . . .

QE

05.3




F 11 12 13 14 15

o






73329AAC2 . PORSCHE INNOVATIVE LEASE OWNER

TRUST 201 . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/20/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 553,640 . . . . . . . 553,640 . . . . . . . 552,993 . . . . . . . 553,874 . . . . . . . . . . . . . . . . . . . . . . 736 . . . . . . . . . 971 . . . . . . . . (235) . . . . . . . . . . . . . . . . . . 553,640 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,277 11/20/2017 1FE . . . . . . 74113AAC0 . PRESTIGE AUTO RECEIVABLES TRUST

2014-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 147,217 . . . . . . . 147,217 . . . . . . . 147,044 . . . . . . . 147,202 . . . . . . . . . . . . . . . . . . . . . . 174 . . . . . . . . . 158 . . . . . . . . . . 16 . . . . . . . . . . . . . . . . . . 147,217 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237 03/15/2018 1FE . . . . . . 74928HAA4 . RBSCF TRUST 2010-RR3 . . . . . . . . . . . . . . . 03/01/2016 CALL 100 . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 57,791 . . . . . . . . 57,791 . . . . . . . . 59,216 . . . . . . . . 58,869 . . . . . . . . . . . . . . . . . . . . . (875) . . . . . . . . . 204 . . . . . . . (1,079) . . . . . . . . . . . . . . . . . . . 57,791 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 597 09/16/2039 1FE . . . . . . 78459WAA9 . SNAAC AUTO RECEIVABLES TRUST

2014-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 166,826 . . . . . . . 166,826 . . . . . . . 166,746 . . . . . . . 166,824 . . . . . . . . . . . . . . . . . . . . . . . 80 . . . . . . . . . . 78 . . . . . . . . . . . . 2 . . . . . . . . . . . . . . . . . . 166,826 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276 09/17/2018 1FE . . . . . . 80283DAD3 . SANTANDER DRIVE AUTO

RECEIVABLES TRUST 2 . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 461,067 . . . . . . . 461,067 . . . . . . . 460,761 . . . . . . . 460,977 . . . . . . . . . . . . . . . . . . . . . . . 91 . . . . . . . . . . . . . . . . . . . . . . . 91 . . . . . . . . . . . . . . . . . . 461,067 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,014 03/15/2018 1FE . . . . . . 80283FAD8 . SANTANDER DRIVE AUTO

RECEIVABLES TRUST 2 . . . . . . . . . . . . . . . . 02/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 22,488 . . . . . . . . 22,488 . . . . . . . . 22,486 . . . . . . . . 22,488 . . . . . . . . . . . . . . . . . . . . . . . . . 2 . . . . . . . . . . . . 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,488 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 01/15/2019 1FE . . . . . . 863579XK9 . STRUCTURED ADJUSTABLE RATE

MORTGAGE LOAN . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 53,858 . . . . . . . . 53,858 . . . . . . . . 24,805 . . . . . . . . 45,299 . . . . . . . . . . . . . . . . . . . . . 8,558 . . . . . . . . . . . . . . . . . . . . . 8,558 . . . . . . . . . . . . . . . . . . . 53,858 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228 09/01/2035 1FM . . . . . . 86358RR66 . STRUCTURED ASSET SEC CORP

MORT PASS-THR . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 4 . . . . . . . . . . . . . 4 . . . . . . . . . . . . . 2 . . . . . . . . . . . . . 3 . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . . . . . . . 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 07/01/2032 1FM . . . . . . 86359BLS8 . STRUCTURED ADJUSTABLE RATE

MORTGAGE LOAN . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . 72 . . . . . . . . . 4,385 . . . . . . . . . 3,430 . . . . . . . . . . . . 95 . . . . . . . . . . . . . . . . . . . . . 2,140 . . . . . . . . . . 85 . . . . . . . . 2,055 . . . . . . . . . . . . . . . . . . . . 2,150 . . . . . . . . . . . . . . . . . . . . (2,078) . . . . . . . . (2,078) . . . . . . . . . . . . . 03/01/2034 6FM . . . . . . 89231MAC9 . TOYOTA AUTO RECEIVABLES 2014-A

OWNER TRU . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 644,411 . . . . . . . 644,411 . . . . . . . 642,549 . . . . . . . 643,791 . . . . . . . . . . . . . . . . . . . . . 1,353 . . . . . . . . . 734 . . . . . . . . . 619 . . . . . . . . . . . . . . . . . . 644,411 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 711 12/15/2017 1FE . . . . . . 90349DAA0 . UBS-BARCLAYS COMMERCIAL

MORTGAGE TRUST 2 . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 147,600 . . . . . . . 147,600 . . . . . . . 146,068 . . . . . . . 146,343 . . . . . . . . . . . . . . . . . . . . . 1,257 . . . . . . . . . . . . . . . . . . . . . 1,257 . . . . . . . . . . . . . . . . . . 147,600 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184 08/01/2049 1FM . . . . . . 91324PBY7 . UNITEDHEALTH GROUP INC . . . . . . . . . . . . 02/22/2016 GOLDMAN SACHS & CO, . . . X X X. . . . . . . . . . 2,002,900 . . . . . . 2,000,000 . . . . . . 1,983,505 . . . . . . 1,992,067 . . . . . . . . . . . . . . . . . . . . . . 658 . . . . . . . . . . . . . . . . . . . . . . 658 . . . . . . . . . . . . . . . . . 1,992,725 . . . . . . . . . . . . . . . . . . . . 10,175 . . . . . . . . 10,175 . . . . . . . 10,111 10/15/2017 1FE . . . . . . 92887DAC0 . VOLVO FINANCIAL EQUIPMENT LLC

SERIES 201 . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 717,752 . . . . . . . 717,752 . . . . . . . 717,073 . . . . . . . 717,752 . . . . . . . . . . . . . . . . . . . . . . 143 . . . . . . . . . 143 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 717,752 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 851 03/15/2017 1FE . . . . . . 92922FNW4 . WAMU MORTGAGE PASS-THROUGH

CERTIFICATES . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . 236 . . . . . . . . . . . 236 . . . . . . . . . . . 162 . . . . . . . . . . . 169 . . . . . . . . . . . . . . . . . . . . . . . 67 . . . . . . . . . . . . . . . . . . . . . . . 67 . . . . . . . . . . . . . . . . . . . . . . 236 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 04/01/2044 3FE . . . . . . 92930RAA0 . WFRBS COMMERCIAL MORTGAGE

TRUST 2012-C9 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 274,138 . . . . . . . 274,138 . . . . . . . 272,235 . . . . . . . 272,839 . . . . . . . . . . . . . . . . . . . . . 1,897 . . . . . . . . . 599 . . . . . . . . 1,298 . . . . . . . . . . . . . . . . . . 274,138 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 372 11/01/2045 1FM . . . . . . 92935JAE5 . . WF-RBS COMMERCIAL MORTGAGE

TRUST 2011-C2 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,677 . . . . . . . . . 7,616 . . . . . . . . . . . . . . . . . . . . . 7,323 . . . . . . . . . . 19 . . . . . . . . 7,304 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240 02/01/2044 1FE . . . . . . 92936TAA0 . WFRBS COMMERCIAL MORTGAGE

TRUST 2012-C7 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 4,558 . . . . . . . . . 4,558 . . . . . . . . . 4,467 . . . . . . . . . 4,469 . . . . . . . . . . . . . . . . . . . . . . . 89 . . . . . . . . . . . . . . . . . . . . . . . 89 . . . . . . . . . . . . . . . . . . . . 4,558 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 06/01/2045 1FM . . . . . . 92936YAK7 . WFRBS COMMERCIAL MORTGAGE

TRUST 2012-C8 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 613 . . . . . . . . . . . 625 . . . . . . . . . . . . . . . . . . . . . . 246 . . . . . . . . . . 11 . . . . . . . . . 235 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 08/01/2045 1FE . . . . . . 92938CAA5 . WFRBS COMMERCIAL MORTGAGE

TRUST 2013-C15 . . . . . . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 91,801 . . . . . . . . 91,801 . . . . . . . . 91,567 . . . . . . . . 91,690 . . . . . . . . . . . . . . . . . . . . . . 229 . . . . . . . . . 118 . . . . . . . . . 111 . . . . . . . . . . . . . . . . . . . 91,801 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199 08/01/2046 1FM . . . . . . 94988HAA9 . WELLS FARGO COMMERCIAL

MORTGAGE TRUST 20 . . . . . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 181,911 . . . . . . . 181,911 . . . . . . . 179,974 . . . . . . . 180,346 . . . . . . . . . . . . . . . . . . . . . 1,566 . . . . . . . . . . . . . . . . . . . . . 1,566 . . . . . . . . . . . . . . . . . . 181,911 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214 10/01/2045 1FM . . . . . . 98152EAG4 . WORLD OMNI MASTER OWNER TRUST . . . 02/16/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 5,000,000 . . . . . . 5,000,000 . . . . . . 5,000,607 . . . . . . 4,999,469 . . . . . . . . . . . . . . . . . . . . . 1,150 . . . . . . . . . 619 . . . . . . . . . 531 . . . . . . . . . . . . . . . . . 5,000,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,377 02/15/2018 1FE . . . . . . 87425EAM5 . REPSOL OIL & GAS CANADA INC . . . . . A 03/31/2016 NON-BROKER TRADE, BO . . X X X. . . . . . . . . . . . 204,600 . . . . . . . 220,000 . . . . . . . 202,077 . . . . . . . 208,962 . . . . . . . . . . . . . . . . . . . . . . 752 . . . . . . . . 6,907 . . . . . . . (6,155) . . . . . . . . . . . . . . . . . . 202,807 . . . . . . . . . . . . . . . . . . . . . 1,793 . . . . . . . . . 1,793 . . . . . . . . 5,500 02/01/2021 2FE . . . . . . 865622BF0 . . SUMITOMO MITSUI BANKING CORP . . . F 01/13/2016 PERSHING LLC, JERSEY . . . X X X. . . . . . . . . . 2,498,825 . . . . . . 2,500,000 . . . . . . 2,490,304 . . . . . . 2,495,041 . . . . . . . . . . . . . . . . . . . . . . 260 . . . . . . . . . 516 . . . . . . . . (256) . . . . . . . . . . . . . . . . . 2,494,784 . . . . . . . . . . . . . . . . . . . . . 4,041 . . . . . . . . . 4,041 . . . . . . . 17,063 01/10/2017 1FE . . . . . . 86960BAF9 . SVENSKA HANDELSBANKEN AB . . . . . . F 03/23/2016 RBC CAPITAL MARKETS . . . X X X. . . . . . . . . . 3,203,853 . . . . . . 3,200,000 . . . . . . 3,200,000 . . . . . . 3,200,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,200,000 . . . . . . . . . . . . . . . . . . . . . 3,853 . . . . . . . . . 3,853 . . . . . . . . 9,183 09/23/2016 1FE . . . . . . 999999AA3 . UNINSURED CASH FLOWS . . . . . . . . . . . . . 03/01/2016 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 3,404,154 . . . . . . 3,075,777 . . . . . . . 986,411 . . . . . . . 749,916 . . . . . . . . . . . . . . . . . 1,687,980 . . . . . . . . . . . . . . . . . 1,687,980 . . . . . . . . . . . . . . . . . 2,437,896 . . . . . . . . . . . . . . . . . . . 966,258 . . . . . . . 966,258 . . . . . . . . . . . . . 02/25/2038 6FE . . . . . .

3899999 Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . 58,029,887 . . . . . 57,728,610 . . . . . 55,930,808 . . . . . 55,249,298 . . . . . . . . . . . . . . . . . 1,686,793 . . . . . . . 98,735 . . . . 1,588,058 . . . . . . . . . . . . . . . . 57,054,613 . . . . . . . . . . . . . . . . . . . 975,275 . . . . . . . 975,275 . . . . . . 241,949 X X X. . . X X X. . .

8399997 Subtotal - Bonds - Part 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . 65,561,713 . . . . . 65,251,868 . . . . . 63,599,125 . . . . . 63,075,819 . . . . . . . . . . . . . . . . . 1,684,168 . . . . . . . 99,251 . . . . 1,584,917 . . . . . . . . . . . . . . . . 64,577,872 . . . . . . . . . . . . . . . . . . . 983,842 . . . . . . . 983,842 . . . . . . 348,294 X X X. . . X X X. . .

8399998 Summary Item from Part 5 for Bonds (N/A to Quarterly) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . . X X X. . . . . . . X X X. . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . X X X. . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . . X X X. . . . . . X X X. . . X X X. . .

8399999 Subtotal - Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . 65,561,713 . . . . . 65,251,868 . . . . . 63,599,125 . . . . . 63,075,819 . . . . . . . . . . . . . . . . . 1,684,168 . . . . . . . 99,251 . . . . 1,584,917 . . . . . . . . . . . . . . . . 64,577,872 . . . . . . . . . . . . . . . . . . . 983,842 . . . . . . . 983,842 . . . . . . 348,294 X X X. . . X X X. . .

8999998 Summary Item from Part 5 for Preferred Stocks (N/A to Quarterly) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . . X X X. . . . . . . X X X. . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . X X X. . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . . X X X. . . . . . X X X. . . X X X. . .

9799998 Summary Item from Part 5 for Common Stocks (N/A to Quarterly) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . . X X X. . . . . . . X X X. . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . X X X. . . . . . . X X X. . . . . . X X X. . . . . . X X X. . . . . . . X X X. . . . . . X X X. . . X X X. . .

9899999 Subtotal - Preferred and Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . X X X. . .

9999999 Total - Bonds, Preferred and Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . 65,561,713 X X X. . . . . . . . . . . . 63,599,125 . . . . . 63,075,819 . . . . . . . . . . . . . . . . . 1,684,168 . . . . . . . 99,251 . . . . 1,584,917 . . . . . . . . . . . . . . . . 64,577,872 . . . . . . . . . . . . . . . . . . . 983,842 . . . . . . . 983,842 . . . . . . 348,294 X X X. . . X X X. . .

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues ...............0.

QE

06


SCHEDULE DB - PART A - SECTION 1Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Strike Cumulative Current Year Hedge

Price, Prior Year(s) Initial Total Effectiveness

Description of Item(s) Exchange, Rate or Initial Cost Cost of Book/ Unrealized Foreign Adjustment Credit at Inception

Hedged, Used for Schedule/ Counterparty Date of Number Indexed of Premium Premium Adjusted Valuation Exchange Current Year's to Carrying Quality of and at

Income Generation Exhibit Type(s) or Central Trade Maturity or of Notional Received (Received) (Received) Current Year Carrying Fair Increase/ Change in (Amortization) Value of Potential Reference Quarter end

Description or Replicated Identifier of Risk(s) (a) Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Value Code Value (Decrease) B./A.C.V. Accretion Hedged Item Exposure Entity (b)

Three-Month LIBOR Caps Interest Rate Exposure . . . . . . . . . . . . Interest . . . . . . Barclays Bank PLC . . . G5GSEF7VJP517OUK5573 02/25/2013 06/30/2018 . . . . . . . . . . . . 300,600,000 0.75% - 2.50% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . 96,496 . . (424,778) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500 . . . . . . . . . . . . . . . . . . . . . . . . . . . .

0109999 Subtotal - Purchased Options - Hedging Other - Caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 X X X . . . . . . 96,496 . . (424,778) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500 X X X. . . . . . . X X X. . . . . . .

0149999 Subtotal - Purchased Options - Hedging Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 X X X . . . . . . 96,496 . . (424,778) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500 X X X. . . . . . . X X X. . . . . . .

0369999 Total - Purchased Options - Call Options and Warrants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . X X X. . . . . . .

0379999 Total - Purchased Options - Put Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . X X X. . . . . . .

0389999 Total - Purchased Options - Caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 X X X . . . . . . 96,496 . . (424,778) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500 X X X. . . . . . . X X X. . . . . . .

0399999 Total - Purchased Options - Floors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . X X X. . . . . . .

0409999 Total - Purchased Options - Collars . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . X X X. . . . . . .

0419999 Total - Purchased Options - Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . X X X. . . . . . .

0429999 Total - Purchased Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 X X X . . . . . . 96,496 . . (424,778) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500 X X X. . . . . . . X X X. . . . . . .

0809999 Total - Written Options - Caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . X X X. . . . . . .

1409999 Subtotal - Hedging Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 X X X . . . . . . 96,496 . . (424,778) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500 X X X. . . . . . . X X X. . . . . . .

1449999 Totals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 X X X . . . . . . 96,496 . . (424,778) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,254,500 X X X. . . . . . . X X X. . . . . . .

Purchased Options - Hedging Other - Caps

(a)

1 2

Code Description of Hedged Risk(s)

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(b)

1 2

Financial or Economic Impact of the Hedge

Code at the End of the Reporting Period

0000. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

QE

07


SCHEDULE DB - PART B - SECTION 1Future Contracts Open as of the Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 22

15 16 17

Description of Change in Change in

Item(s) Hedged, Variation Margin Cumulative Variation Hedge

Used for Book/ Gain (Loss) Variation Margin Effectiveness

Number Income Schedule/ Date of Adjusted Cumulative Deferred Used to Margin for Gain (Loss) at Inception Value of

Ticker of Notional Generation Exhibit Type(s) of Maturity or Trade Transaction Reporting Fair Carrying Variation Variation Adjust Basis All Other Recognized Potential and at One (1)

Symbol Contracts Amount Description or Replicated Identifier Risk(s) (a) Expiration Exchange Date Price Date Price Value Value Margin Margin of Hedged Item Hedges in Current Year Exposure Quarter-end (b) Point

1449999 Totals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . X X X. . . . .

1 2 3 4

Broker Name Beginning Cash Balance Cumulative Cash Change Ending Cash Balance

9999999 Total - Net Cash Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(a)

1 2

Code Description of Hedged Risk(s)

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(b)

1 2

Code Financial or Economic Impact of the Hedge at the End of the Reporting Period

0000. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

N O N E

QE

08


SCHEDULE DB - PART D - SECTION 1Counterparty Exposure for Derivative Instruments Open as of Current Statement Date

1 2 3 4 Book/Adjusted Carrying Value Fair Value 11 12

5 6 7 8 9 10

Credit Contracts With Contracts With

Description of Exchange, Master Support Fair Value Book/Adjusted Book/Adjusted Contracts With Contracts With Off-Balance

Counterparty or Agreement Annex of Acceptable Carrying Carrying Exposure net Fair Fair Exposure Net Potential Sheet

Central Clearinghouse (Y or N) (Y or N) Collateral Value > 0 Value < 0 of Collateral Value > 0 Value < 0 of Collateral Exposure Exposure0199999 Aggregate Sum of Exchange Traded Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G5GSEF7VJP517OUK5573 N. . . . . . . . . . . . N. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . 2,254,500 . . . . . . . . 2,254,500

0299999 Subtotal - NAIC 1 Designation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . 2,254,500 . . . . . . . . 2,254,500

0399999 Subtotal - NAIC 2 Designation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .





0899999 Aggregate Sum of Central Clearinghouses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

0999999 Gross Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . 2,254,500 . . . . . . . . 2,254,500

NAIC 1 Designation

1. Offset per SSAP No. 64 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. Net after right of offset per SSAP No. 64 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,496 . . . . . . . . . . . . . . . . . . .

E09 Schedule DB Part D Section 2 - Collateral Pledged By Reporting Entity . . . . . . NONE

E09 Schedule DB Part D Section 2 - Collateral Pledged To Reporting Entity . . . . . . NONE

E10 Schedule DL - Part 1 - Securities Lending Collateral Assets . . . . . . . . . . . . . . . . NONE

E11 Schedule DL - Part 2 - Securities Lending Collateral Assets . . . . . . . . . . . . . . . . NONE

QE09 - QE11


QE12


SCHEDULE E - PART 1 - CASHMonth End Depository Balances

1 2 3 4 5 Book Balance at End of Each Month 9

Amount Amount of During Current Quarter

of Interest Interest 6 7 8

Received Accrued

During at Current

Rate of Current Statement First Second Third

Depository Code Interest Quarter Date Month Month Month *

HSBC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . New York, NY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,964,944 . . . . 3,952,552 . . . . 2,967,710 X X XBarclays Bank PLC . . . . . . . . . . . . . London, United Kingdom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,663,579 . . . . 3,665,981 . . . . 4,807,458 X X XBank of NY Mellon Corp . . . . . . . Pittsburg, PA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,421,881 . . . . . . . 171,882 . . . . . . . . . . . . . . . . . X X X

0199998 Deposits in ...............0 depositories that do not exceed the

allowable limit in any one depository (see Instructions) - open depositories . X X X X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X

0199999 Totals - Open Depositories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,050,404 . . . . 7,790,415 . . . . 7,775,168 X X X

0299998 Deposits in ...............0 depositories that do not exceed the

allowable limit in any one depository (see Instructions) - suspended

depositories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X

0299999 Totals - Suspended Depositories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X

0399999 Total Cash On Deposit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,050,404 . . . . 7,790,415 . . . . 7,775,168 X X X

0499999 Cash in Company's Office . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X X X X. . . . . X X X. . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X

0599999 Total Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,050,404 . . . . 7,790,415 . . . . 7,775,168 X X X

open depositories

QE

13


SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned End of Current Quarter

1 2 3 4 5 6 7 8

Amount of

Date Rate of Maturity Book/Adjusted Interest Amount Received

Description Code Acquired Interest Date Carrying Value Due & Accrued During Year

UNITED STATES TREASURY BILL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/03/2016. . . . . . . . . . . . . . . . . . . . . . . 0.000 05/26/2016. . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,535

0199999 Subtotals - Bonds - U.S. Governments - Issuer Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,535

0599999 Subtotals - Bonds - U.S. Governments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,535

5599999 Subtotals - Bonds - Parent, Subsidiaries and Affiliates Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7799999 Subtotals - Bonds - Total Bonds - Issuer Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,535

7899999 Subtotals - Bonds - Total Bonds - Residential Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7999999 Subtotals - Bonds - Total Bonds - Commercial Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8099999 Subtotals - Bonds - Total Bonds - Other Loan-Backed and Structured Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8399999 Subtotals - Bonds - Total Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,535

8499999 Sweep Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8599999 Other Cash Equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8699999 Total - Cash Equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,981,259 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,535

Bonds - U.S. Governments - Issuer Obligations

INDEX


INDEX TO PROPERTY & CASUALTYQUARTERLY STATEMENT

Accident and Health Insurance; Q3; Q13

Accounting Changes and Corrections of Errors; Q6, Note 2

Accounting Practices and Policies; Q6, Note 1

Admitted Assets; Q2; QSI01

Affiliated Transactions; Q2; Q3; Q7; Q7.1

Asbestos Losses and Loss Adjustment Expenses; Q6, Note 33

Bonds; Q2; Q5; Q7.1; Q7.2; QSI01; QSI02; QE04; QE05; QSupp2

Business Combinations and Goodwill; Q6, Note 3

Capital Gains (Losses); Q3; Q4; Q5

Capital Stock; Q3; Q4; Q6, Note 13

Capital Notes; Q3; Q5; Q6, Note 11

Caps; QE06; QSI04

Cash; Q2; Q5; QE12; QSupp2

Cash Equivalents; Q2; Q5; QE13

Collars; QE06; QSI04

Commissions; Q3; Q5

Common Stock; Q2; Q7.1; Q7.2; QSI01; QE04; QE05; QSupp2

Counterparty Exposure; Q6, Note 8; QE06; QE08

Contingencies; Q6, Note 14

Debt; Q6, Note 11

Deferred Compensation; Q6, Note 12

Derivative Instruments; Q6, Note 8; QSI04; QSI05; QSI06; QSI07; QE06; QE07; QE08

Director and Officer; QSupp7

Discontinued Operations; Q6, Note 4

Discounting of Liabilities; Q6, Note 32; Q8

Electronic Data Processing Equipment; Q2

Environmental Losses and Loss Adjustment Expenses; Q6, Note 33

Exchange or Counterparty; QE06; QE08

Expenses; Q3; Q4; Q5; Q8; QE01; QSupp3

Extinguishment of Liabilities; Q6, Note 17

Extraordinary Items; Q6, Note 21

Fair Value; Q7, Note 20

Federal ID Number; Q9

Federal Reserve Board; Q7

Finance and Service Charge; Q4

Floors; QE06; QSI04

Foreign Exchange; Q2; Q3; Q4; QSI01; QSI02; QSI03; QE04; QE05

Forwards; QE06; QSI04

Futures Contracts; QE07; QSI04

Guaranty Fund; Q2

Health Care Receivables; Q6, Note 28

Hedging Transactions; Q7.1; QE06; QE07

High Deductible Policies; Q6, Note 31

Holding Company; Q7; Q11; Q12

Income Generation Transactions; QE06;QE07

Income Taxes; Q2; Q3; Q4; Q5; Q6, Note 9

Intercompany Pooling; Q6, Note 26

Investment Income; Q2; Q4; Q5; Q6, Note 7; QSupp2

Investments; Q2; Q4; Q6, Note 5; Q7.1; Q7.2; QSI01; QSI03; QE03; QE04; QE05; QE08; QE13; QSupp2

Joint Venture; Q6, Note 6

Leases; Q6, Note 15

Licensing; Q3; Q7; Q10

Limited Liability Company (LLC); Q6, Note 6

Limited Partnership; Q6, Note 6

Lines of Business; Q8; Q13

Long-Term Invested Assets; QSI01; QE03

Loss Development; Q6

Losses; Q3; Q4; Q5; Q6, Note 25; Q8; Q10; Q13; Q14; QSupp1; QSupp3

Loss Adjustment Expenses; Q3; Q6, Note 26; Q8; Q14; QSupp3

Managing General Agents; Q6, Note 19; Q7

Medical Malpractice Insurance; Q13; Q15; QSupp5

Medicare Part D Coverage; QSupp6

Mortgage Loans; Q2; Q5; Q7.1; QSI01; QE02; QSupp2

Multiple Peril Crop Insurance; Q6, Note 35

Nonadmitted Assets; Q2; Q4; QSI01; QSI03

Non-Tabular Discount; Q6, Note 32

Off-Balance Sheet Risk; Q6, Note 16

INDEX.1


INDEX TO PROPERTY & CASUALTYQUARTERLY STATEMENT

Options; Q7.1; QE06; QSI04

Organizational Chart; Q7; Q11

Other Derivative Transactions; QE06; QE07

Parent, Subsidiaries and Affiliates; Q2; Q3; Q6, Note 10; Q7.1

Participating Policies; Q6, Note 29

Pharmaceutical Rebates; Q6, Note 28

Policyholder Dividends; Q3; Q4; Q5

Postemployment Benefits; Q6, Note 12

Postretirement Benefits; Q6, Note 12

Preferred Stock; Q2; Q7.1; Q7.2; QSI01; QSI02; QE04; QSupp2

Premium Deficiency Reserves; Q6, Note 30

Premium Notes; Q2; Q5

Premiums; Q3; Q5; Qsupp3

Accrued Retrospective; Q2

Advance; Q3

Direct; Q10; Q13

Earned; Q4; Q10; Q13; QSupp5

Earned but Unbilled; Q2

Unearned; Q3

Written; Q4; Q10; Q13; QSupp5

Quasi Reorganizations; Q6, Note 13

Real Estate; Q2; Q5; Q7.1; QSI01; QE01; QSupp2

Redetermination, Contract Subject to; Q6, Note 24

Reinsurance; Q6, Note 23

Assumed; Q13

Ceded; Q3; Q9; QSupp3

Commutation; Q6, Note 23

Funds Held; Q2; Q3

Losses; Q3; Q4; Q8; QSupp3

Payable; Q3; QSupp3

Premiums; Q3; QSupp3

Receivable; Q2; QSupp3

Unsecured; Q6, Note 23

Uncollectible; Q6, Note 23

Reserves

Incurred but Not Reported (IBNR); Q8; Q14

Unpaid Loss Adjustment Expense (LAE); Q14

Retirement Plans; Q6, Note 12

Retrospectively Rated Contracts; Q6, Note 24

Salvage and Subrogation; Q10

Securities Lending; Q2; Q3; QE9; QE11

Servicing of Financial Assets; Q6, Note 17

Short-Term Investments; Q2; Q5; Q7.1; QSI03; QSupp2

Special Deposits; QSupp2

Stockholder Dividends; Q3; Q4; Q5

Structured Settlements; Q6, Note 27

Subscriber Savings Accounts; Q6, Note 34

Subsequent Events; Q6, Note 22

Surplus; Q3; Q4; Q5; Q6, Note 13; Q14; Q15; QSupp1; QSupp2; QSupp3

Surplus Notes; Q3; Q4; Q5

Swaps; QE07; QSI04

Synthetic Assets; QSI04; QSI05

Tabular Discount; Q6, Note 32

Third Party Administrator; Q6, Note 19; Q7

Treasury Stock; Q3; Q4; Q5

Underwriting Expenses; Q4

Uninsured Accident and Health; Q3; Q6, Note 18

Valuation Allowance; QSI01

Wash Sales; Q6, Note 17

AS OF MARCH 31, 2016 OF THE CONDITION AND AFFAIRS OF …

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