AS OF MARCH 31, 2017 OF THE CONDITION AND AFFAIRS OF …

20311201720100101 2017 Document Code: 201

PROPERTY AND CASUALTY COMPANIES - ASSOCIATION EDITION

QUARTERLY STATEMENTAS OF MARCH 31, 2017

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 NY

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 PresidentFrederick Barton Hnat Chief Operating OfficerDavid Michael Grande Chief Financial Officer

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

DIRECTORS OR TRUSTEESSusan Comparato Michael Patrick Esposito Jr. Edmund Graham Gibbons Robert Martin LichtenThomas Stanley Norsworthy Coleman DeVane Ross 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 Frederick Barton Hnat David Michael Grande(Printed Name) (Printed Name) (Printed Name)

1. 2. 3.

President Chief Operating Officer Chief Financial Officer(Title) (Title) (Title)

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

day of , 2017 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, 2017 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 839,009,213 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 839,009,213 . . . . . . . 850,187,096

2. Stocks:

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

2.2 Common stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,300,703 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,300,703 . . . . . . . . . 46,673,110

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 ($.......6,599,562), cash equivalents ($......51,073,050) and

short-term investments ($......47,836,156) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,508,768 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,508,768 . . . . . . . . . 96,940,587

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

7. Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . 49,999

8. Other invested assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248,199,981 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248,199,981 . . . . . . . 248,203,506

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,250,024,866 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,250,024,866 . . . . . 1,242,054,298

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

14. Investment income due and accrued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,169,445 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,169,445 . . . . . . . . . . 5,274,553

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of

collection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303,416 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303,416 . . . . . . . . . . . . . 628,111

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219,637 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219,637 . . . . . . . . . . . . . . 96,187

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 . . . . . . . . . . . . . . . . 227,631 . . . . . . . . . . . . . 227,631 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,431,969 . . . . . . . . . 13,067,570 . . . . . . . . . . 8,364,399 . . . . . . . . . . 7,937,722

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

25. Aggregate write-ins for other-than-invested assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,079,348 . . . . . . . . . . . . . 212,609 . . . . . . . . . . 3,866,739 . . . . . . . . . . 3,884,754

26. TOTAL assets excluding Separate Accounts, Segregated Accounts and

Protected Cell Accounts (Lines 12 to 25) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,281,456,312 . . . . . . . . . 13,507,810 . . . . . 1,267,948,502 . . . . . 1,259,875,625

27. From Separate Accounts, Segregated Accounts and Protected Cell

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

28. TOTAL (Lines 26 and 27) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,281,456,312 . . . . . . . . . 13,507,810 . . . . . 1,267,948,502 . . . . . 1,259,875,625

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,793,464 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,793,464 . . . . . . . . . . 3,783,371

2502. Account receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 212,609 . . . . . . . . . . . . . 212,609 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2503. Premium tax refund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73,275 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73,275 . . . . . . . . . . . . . 101,383

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

2599. TOTALS (Lines 2501 through 2503 plus 2598) (Line 25 above) . . . . . . . . . . . . . . . . . . . . . . . . 4,079,348 . . . . . . . . . . . . . 212,609 . . . . . . . . . . 3,866,739 . . . . . . . . . . 3,884,754

Q3


LIABILITIES, SURPLUS AND OTHER FUNDS1 2

Current December 31,

Statement Date Prior Year

1. Losses (current accident year $...............0) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (123,864,639) . . . . . (139,189,079)

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

3. Loss adjustment expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,762,784 . . . . . . . . . 16,142,553

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

5. Other expenses (excluding taxes, licenses and fees) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 653,168 . . . . . . . . . . . . . 783,271

6. Taxes, licenses and fees (excluding federal and foreign income taxes) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252,205 . . . . . . . . . . . . . 352,129

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

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 $.....117,189,071 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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94,493,168 . . . . . . . . . 97,083,681

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

11. Dividends declared and unpaid:

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

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

12. Ceded reinsurance premiums payable (net of ceding commissions) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,244 . . . . . . . . . . . . . 191,774

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

19. Payable to parent, subsidiaries and affiliates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,442,494 . . . . . . . . . . 7,814,168

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

21. Payable for securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,991,390 . . . . . . . . . . . . . . . . . . . . . . .

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,066,208 . . . . . . . . . 88,412,855

26. TOTAL liabilities excluding protected cell liabilities (Lines 1 through 25) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,852,022 . . . . . . . . . 71,591,352

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

28. TOTAL liabilities (Lines 26 and 27) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,852,022 . . . . . . . . . 71,591,352

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 556,158,169 . . . . . . . 556,158,169

34. Gross paid in and contributed surplus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35. Unassigned funds (surplus) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 413,938,311 . . . . . . . 417,126,104

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,185,096,480 . . . . . 1,188,284,273

38. TOTALS (Page 2, Line 28, Col. 3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,267,948,502 . . . . . 1,259,875,625


2501. Mandatory contingency reserve for adverse losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,066,208 . . . . . . . . . 88,412,855

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,066,208 . . . . . . . . . 88,412,855

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 $.......3,642,330) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,031,127 . . . . . . . . . 12,154,614 . . . . . . . . . 64,285,0951.2 Assumed (written $.......1,762,396) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,657,502 . . . . . . . . . . 1,463,827 . . . . . . . . . . 6,633,4161.3 Ceded (written $.......2,859,970) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,553,361 . . . . . . . . . 10,372,661 . . . . . . . . . 48,781,570

1.4 Net (written $.......2,544,756) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,135,268 . . . . . . . . . . 3,245,780 . . . . . . . . . 22,136,941DEDUCTIONS:2. Losses incurred (current accident year $...............0)

2.1 Direct . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,463,992 . . . . . . . . (2,551,854) . . . . . . . (54,753,193)2.2 Assumed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,271,795 . . . . . . . . . 12,526,637 . . . . . . . . . 19,475,6382.3 Ceded . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,325,814 . . . . . . . . . 12,770,816 . . . . . . . . . 40,186,813

2.4 Net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,409,973 . . . . . . . . (2,796,033) . . . . . . . (75,464,368)3. Loss adjustment expenses incurred . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,194,414 . . . . . . . . . . 2,044,260 . . . . . . . . . . 9,853,0094. Other underwriting expenses incurred . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,216,592 . . . . . . . . . . 6,233,410 . . . . . . . . . 37,129,9775. Aggregate write-ins for underwriting deductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6. TOTAL underwriting deductions (Lines 2 through 5) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,820,979 . . . . . . . . . . 5,481,637 . . . . . . . (28,481,382)7. Net income of protected cells . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8. Net underwriting gain or (loss) (Line 1 minus Line 6 + Line 7) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (17,685,711) . . . . . . . . (2,235,857) . . . . . . . . . 50,618,323INVESTMENT INCOME

9. Net investment income earned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,145,558 . . . . . . . . . . 7,031,553 . . . . . . . . (3,870,302)10. Net realized capital gains (losses) less capital gains tax of $...............0 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,219,455 . . . . . . . . . . . . . 732,209 . . . . . . . . . . 1,515,406

11. Net investment gain (loss) (Lines 9 + 10) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,365,013 . . . . . . . . . . 7,763,762 . . . . . . . . (2,354,896)OTHER 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144,819 . . . . . . . . . . . . . . 10,683 . . . . . . . . . 14,460,590

15. TOTAL other income (Lines 12 through 14) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144,819 . . . . . . . . . . . . . . 10,683 . . . . . . . . . 14,460,590

16. Net income before dividends to policyholders, after capital gains tax and before all other federal and foreign income taxes (Lines 8 + 11 + 15) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,175,879) . . . . . . . . . . 5,538,588 . . . . . . . . . 62,724,017

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,175,879) . . . . . . . . . . 5,538,588 . . . . . . . . . 62,724,017

19. Federal and foreign income taxes incurred . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596,162 . . . . . . . . (2,887,275) . . . . . . . . . . 1,922,459

20. Net income (Line 18 minus Line 19) (to Line 22) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,772,041) . . . . . . . . . . 8,425,863 . . . . . . . . . 60,801,558

CAPITAL AND SURPLUS ACCOUNT21. Surplus as regards policyholders, December 31 prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,188,284,273 . . . . . 1,086,956,743 . . . . . 1,086,956,74322. Net income (from Line 20) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,772,041) . . . . . . . . . . 8,425,863 . . . . . . . . . 60,801,55823. Net transfers (to) from Protected Cell accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

24. Change in net unrealized capital gains or (losses) less capital gains tax of $...............0 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,074,271 . . . . . . . . (4,045,429) . . . . . . . . . 43,518,63125. Change in net unrealized foreign exchange capital gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 610,966 . . . . . . . . . . 2,286,152 . . . . . . . . (2,124,716)26. Change in net deferred income tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

27. Change in nonadmitted assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596,162 . . . . . . . . (3,025,467) . . . . . . . . . 10,960,71828. Change in provision for reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133,40029. Change in surplus notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (28,175,831)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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,046,972,151)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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,302,849 . . . . . . . . (2,054,292) . . . . . 2,063,185,921

38. Change in surplus as regards policyholders (Lines 22 through 37) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,187,793) . . . . . . . . . . 1,586,827 . . . . . . . 101,327,530

39. Surplus as regards policyholders, as of statement date (Lines 21 plus 38) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,185,096,480 . . . . . 1,088,543,570 . . . . . 1,188,284,273


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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144,819 . . . . . . . . . . . . . . 10,683 . . . . . . . . . 14,460,5901402. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

1499. TOTALS (Lines 1401 through 1403 plus 1498) (Line 14 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144,819 . . . . . . . . . . . . . . 10,683 . . . . . . . . . 14,460,590

3701. Mandatory contingency reserves for adverse losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,346,647 . . . . . . . . (1,629,514) . . . . . . . . (3,266,154)3702. Unrealized gain/(loss) derivative asset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (43,798) . . . . . . . . . . . (424,778) . . . . . . . . . . . (471,275)3703. Reclass to unassigned funds (See Note 1A(f)) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,066,923,3503798. Summary of remaining write-ins for Line 37 from overflow page . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3799. TOTALS (Lines 3701 through 3703 plus 3798) (Line 37 above) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,302,849 . . . . . . . . (2,054,292) . . . . . 2,063,185,921

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,732,920 . . . . . . . . . . . . 3,034,840 . . . . . . . . . . . . 9,964,182

2. Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,253,779 . . . . . . . . . . . . 4,000,112 . . . . . . . . . (14,632,584)

3. Miscellaneous income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144,819 . . . . . . . . . . . . . . . . 10,683 . . . . . . . . . . . 14,460,590

4. TOTAL (Lines 1 to 3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,131,518 . . . . . . . . . . . . 7,045,635 . . . . . . . . . . . . 9,792,188

5. Benefit and loss related payments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 208,983 . . . . . . . . . . . . . (758,719) . . . . . . . . . . . . . (124,946)

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

7. Commissions, expenses paid and aggregate write-ins for deductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,920,878 . . . . . . . . . . . 10,293,609 . . . . . . . . . . . 51,779,906

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

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

(losses) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10. TOTAL (Lines 5 through 9) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,129,861 . . . . . . . . . . . . 9,534,890 . . . . . . . . . . . 51,654,960

11. Net cash from operations (Line 4 minus Line 10) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,657 . . . . . . . . . . . (2,489,255) . . . . . . . . . (41,862,772)

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,707,841 . . . . . . . . . . . 65,561,711 . . . . . . . . . 792,156,380

12.2 Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,813

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

12.8 TOTAL investment proceeds (Lines 12.1 to 12.7) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,707,841 . . . . . . . . . . . 65,561,711 . . . . . . . . . 792,160,193

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

13.1 Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,610,461 . . . . . . . . . 120,376,908 . . . . . . . . . 761,588,492

13.2 Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,769,602 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,068,466

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

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

13.5 Other invested assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,500,000

13.6 Miscellaneous applications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13.7 TOTAL investments acquired (Lines 13.1 to 13.6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,380,063 . . . . . . . . . 120,376,908 . . . . . . . . . 784,156,958

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,327,778 . . . . . . . . . (54,815,197) . . . . . . . . . . . . 8,003,235

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,224,632)

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,761,254) . . . . . . . . . . . (2,602,555) . . . . . . . . . . . . . . . 477,775

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

plus Line 16.6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,761,254) . . . . . . . . . . . (2,602,555) . . . . . . . . . . . (7,746,857)

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,568,181 . . . . . . . . . (59,907,007) . . . . . . . . . (41,606,394)

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

19.1 Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,940,587 . . . . . . . . . 138,546,981 . . . . . . . . . 138,546,981

19.2 End of period (Line 18 plus Line 19.1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,508,768 . . . . . . . . . . . 78,639,974 . . . . . . . . . . . 96,940,587

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

20.0001 Reclass gross paid in and contributed surplus to unassigned funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,066,923,35020.0002 Change in net payable for securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,991,390) . . . . . . . . . . . (6,644,015) . . . . . . . . . . . . . . . . . . . . . . . . .

STATEMENT AS OF March 31, 2017 OF THE SYNCORA GUARANTEE INC.

Notes to Financial Statement

Q6

1. Summary of Significant Accounting Policies and Going Concern:

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 (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.I.))are also subject to limitations. In connection with the 2009 Master Transaction Agreement (“2009 MTA”) discussed in Note 21.I, 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, 2017 and December 31, 2016, the Company has de-recognized $403.5 million and $401.8 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.I. 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, 2017, 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, 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, $4.2million 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 credit default swap (“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.I.) 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.

(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

F/S F/S Three Months Year Ended

SSAP# Page Line # 2017 2016

NET INCOME(LOSS)

(1) Syncora Guarantee Inc. state basis (Page 4, Line 20, Columns 1 & 2) (8,772,041)$ 60,801,558$

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

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

(c) 60 4 1,2 7,821,538 78,241,462

(e) 97 4 2 8,711,020 2,232,698

(4) NAIC SAP 7,760,517$ 141,275,718$

March 31, December 31,

2017 2016

SURPLUS (DEFICIT)

(5) Syncora Guarantee Inc. state basis (Page 3, Line 37, Columns 1 & 2) 1,185,096,480$ 1,188,284,273$

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

(a) 00 N/A N/A - -

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

(b) 60 3 25 (403,494,289) (401,844,224)

(c) 60 3 1,9,25 (289,197,689) (297,019,227)

(d) 41 3 33 - -

(e) 97 3 1 (51,055,524) (61,783,947)

(f) 72 3 34 - -

(8) NAIC SAP 441,348,978$ 427,636,875$



1Q6.

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.

(f) In connection with the Restructuring Transactions (as defined in Note 21.H) completed on August 12, 2016, the NYDFS granted the Company permission to increase its earned surplus to the greatest extent possible given its current gross paid in and contributed surplus by allocating the entire balance of that account to earned surplus. As both earned surplus and gross paid in and contributed surplus are elements of policyholders’ surplus, this permitted practice has no effect on total policyholders’ surplus.

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 disclosuresrequired in connection with annual financial statements included in our Annual Statement. In addition, the results of operations for the interim period ended March 31, 2017 are not necessarily indicative of the results that may be expected for the year ended December 31, 2017. These interim financial statements of the Company should be read in conjunction with the Company’s Annual Statement for the year ended December 31, 2016.

C. Accounting Policies

There has been no change in the Company’s significant accounting policies from that disclosed in the Company’s 2016 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.

D. Going Concern

Not applicable.

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.



2Q6.

5. Investments:

Except as discussed below, there has been no change from that disclosed in the Company’s 2016 Annual Statement.

D. Loan-Backed and Structured Securities

The following table summarizes for the three months ended March 31, 2017 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, 2017:

H. Restricted assets

As of March 31, 2017, the Company had, in the aggregate, approximately $35.2 million on deposit to collateralize its contractual obligations under certain agreements, including reinsurance. Of such deposits, $31.3 million, $3.8 million, and $0.1 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, 2016, the Company had, in the aggregate, approximately $48.3 million on deposit to collateralize its contractual obligations under certain agreements, including reinsurance. Of such deposits, $43.1 million, $3.8 million, and $1.4 million are recorded on the Statement of Assets, Liabilities, Surplus

(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

35,016,544 205,130 34,811,414

c. Total 1st quarter 35,016,544$ 205,130$ 34,811,414$

m. Annual aggregate total 205,130$

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

059513AE1 65,939$ 65,748$ 191$ 65,748$ 65,748$ 3/31/2017

12514AAE1 1,602,635 1,588,281 14,354 1,588,281 1,588,281 3/31/2017

12622DAC8 146,142 145,455 687 145,455 145,455 3/31/2017

17309RAA0 167,712 166,733 979 166,733 166,733 3/31/2017

20173VAE0 2,203,903 2,201,977 1,926 2,201,977 2,201,977 3/31/2017

30261YAL0 258,269 257,988 281 257,988 257,988 3/31/2017

30262BAL9 313,327 312,993 334 312,993 312,993 3/31/2017

30262LAF0 1,272,179 1,267,248 4,931 1,267,248 1,267,248 3/31/2017

31292MDY6 1,139,394 1,136,514 2,880 1,136,514 1,136,514 3/31/2017

31292SA42 666,043 664,359 1,684 664,359 664,359 3/31/2017

31292SAN0 1,113,897 1,111,083 2,814 1,111,083 1,111,083 3/31/2017

3137A7JV3 3,256 1,399 1,857 1,399 1,399 3/31/2017

362334GR9 6,701 6,406 295 6,406 6,406 3/31/2017

38379RJK0 9,927,991 9,843,969 84,022 9,843,969 9,843,969 3/31/2017

50180LAC4 3,968,201 3,938,391 29,810 3,938,391 3,938,391 3/31/2017

52109PAE5 1,331,233 1,325,447 5,786 1,325,447 1,325,447 3/31/2017

67741YAA6 147,528 147,483 45 147,483 147,483 3/31/2017

78469QAK8 3,754,431 3,729,203 25,228 3,729,203 3,729,203 3/31/2017

92347XAA4 3,975,661 3,975,480 181 3,975,480 3,975,480 3/31/2017

92935JAE5 23,053 22,175 878 22,175 22,175 3/31/2017

92936QAC2 310,316 310,149 167 310,149 310,149 3/31/2017

92936YAK7 84,999 82,958 2,041 82,958 82,958 3/31/2017

999999AA3 2,533,734 2,509,975 23,759 2,509,975 2,509,975 3/31/2017

205,130$



3Q6.

and Other Funds in “Bonds”, “Aggregate write-ins for other than invested assets”, and “Cash, cash equivalents and short-term investments”, respectively.

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

There has been no significant change from that disclosed in the Company’s 2016 Annual Statement.

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


(3) Detail of other restricted assets

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

K. Structured Notes

Not applicable

L. 5* Securities

Not applicable

6. Joint Ventures, Partnerships and Limited Liability Companies:

The Company held investments in limited liability companies at March 31, 2017 and December 31, 2016, which represented less than 4.0% of net admitted assets.

7. Investment Income:

The Company has not excluded from policyholders’ surplus any investment income due and accrued as of March 31, 2017 and December 31, 2016.

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, 2017 and 2016, the Company recorded an unrealized loss on derivatives of $(43.8) thousand and $(0.4) million, respectively. As of March 31, 2017 and December 31, 2016, the Company recorded a derivative asset of $6.2 thousand and $50.0thousand, respectively, which is included in "Derivatives" on the accompanying Statement of Assets, Liabilities, Surplus and Other Funds.

9. Income Taxes: .

The Company recorded a $0.6 million tax provision for current federal and foreign income taxes during the three months ended March 31, 2017 compared to a $2.9 million tax benefit during the three months ended March 31, 2016.

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

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, 2017 and December 31, 2016 for $0.3 billion and $0.3 billion, respectively.



4Q6.

Operating loss carryforward:

(1) At March 31, 2017, the Company had a Federal net operating loss carryforward of $0.9 billion available for Federal income tax purposes that will begin to expire from 2027 through 2037.

(2) At March 31, 2017, the Company had capital loss carryforwards of $68.3 million expiring from 2017through 2022.

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

In connection with the Restructuring Transactions completed on August 12, 2016, pursuant to an amended and restated tax sharing agreement, the Company reallocated $1.75 billion of excess net operating losses to Syncora Holdings US Inc. (“SHI”) for its sole use and benefit, where these net operating losses may be used more broadly. In addition, SHI provided contractual protections relating to the preservation and utilization of the Company’sretained net operating losses. The amendments to the tax sharing agreement did not have any effect on the Company’s policyholders’ surplus. At March 31, 2017, the Company’s cumulative NOLs, which may be carried forward to offset future taxable income, are $0.9 billion. The Company’s ability to utilize its NOLs at March 31, 2017 expires from 2027 through 2037. Approximately $161.3 million of the Company’s NOLs as of March 31, 2017 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, 2017 and December 31, 2016, the Company has a receivable from SHI of $15.2 million and $15.8 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).

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. See Note 21.H. for further discussion of related party transactions.

The Company’s Ownership of its Subsidiaries

The Company is 100% owner of Syncora Capital Assurance, a New York licensed financial guarantee insurer.

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.



5Q6.

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, 2017, Syncora Capital Assurance’s policyholders surplus was $226.2 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 restrictions under 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, 2017 and December 31, 2016). 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 $(198.0) million and $(198.4) million at March 31, 2017 and December 31, 2016, respectively and net income would have been $1.9million and $128.7 million for the three months ended March 31, 2017 and for the year ended December 31, 2016, respectively. At March 31, 2017 and December 31, 2016, Syncora Guarantee recorded $200.0 million and $200.0million, respectively, of surplus notes. At March 31, 2017 and December 31, 2016, Syncora Guarantee recorded $26.2 million and $25.8 million, respectively, of common shares.

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 100% equity ownership of the reorganized American Roads.

In connection with the Restructuring Transactions, the Board of Managers of Pike Pointe approved a distribution of $50.0 million to the Company conditioned upon the successful closing of the Restructuring Transactions which took place on August 12, 2016. As Pike Pointe is a wholly-owned subsidiary of the Company, this distribution did not have an effect on policyholders’ surplus, but increased the Company’s liquidity position by such amount. This distribution was completed on August 12, 2016.

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 has invested an aggregate amount of$43 million in debt and equity investments in positions in small-to mid-market private companies within the financial services and related sectors.



6Q6.

Syncora Securities Holdings LLC

Syncora Securities Holdings LLC, ("Syncora Securities") a Delaware limited liability company and jointly held, non-insurance subsidiary of the Company, was established in 2015 to hold certain securities received by the Company in connection with its previously reported 2012 settlement with Countrywide, Bank of America Corp. and affiliates. As of March 31, 2017 Syncora Securities holds 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, 2017 and 2016, ceded premiums aggregated $2.6 million and $2.6million, 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 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, 2017 and 2016, the Company incurred costs under this agreement in the amount of $5.2 million and $4.1 million, respectively. As of March 31, 2017 and December 31, 2016, the Company had a receivable of approximately $5.8 million and $5.8 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, 2017 and December 31, 2016.

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.



7Q6.

Amounts due to or from related parties

Amounts due from / (to) related parties as of March 31, 2017 and December 31, 2016 were:

11. Debt:

There has been no change from that discussed in the Company’s 2016 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 2016 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. Even if these tests are satisfied, New York Insurance Law provides a further test in that 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, 2016 was $417.1 million, 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.

As discussed in Note 1.A., the NYDFS granted the Company permission to increase its earned surplus to the greatest extent possible given its current gross paid in and contributed surplus by allocating the entire balance of that account to earned surplus. As both earned surplus and gross paid in and contributed surplus are elements of policyholders’ surplus, this permitted practice has no effect on total policyholders’ surplus. As a result of this permitted practice, the Company reclassed its gross paid in and contributed surplus balance of $2.0 billion to earned surplus as of September 30, 2016.

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. On August 12, 2016, the NYDFS also granted Syncora Capital Assurance permission to increase its earned surplus to the greatest extent possible given its current gross paid in and contributed surplus by allocating the entire balance of that account to earned surplus. As both earned surplus and gross paid in and contributed surplus are elements of policyholders’ surplus, this permitted practice has no effect on Syncora Capital Assurance total policyholders’ surplus.Reference should be made to Note 13.C. of Syncora Capital Assurance’s Statement as of March 31, 2017for further information.

J. As of March 31, 2017, the portion of unassigned funds (surplus) represented by or reduced by each item below is as follows:

a. unrealized (gains) and losses: $ 189,491,555b. non-admitted asset values: $ 13,507,810

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

March 31, December 31,

Related Party 2017 2016

Syncora Guarantee Services 5,792,794$ 5,792,794$

Syncora Guarantee Services (5,304,251) (7,300,062)

Syncora Capital Assurance 426,677 (296,614)

Syncora Holdings (138,243) (217,492)

Syncora Holdings US Inc. 15,212,498 15,808,660

Total Related Party Receivable 21,431,969 21,601,454

Less: Non Admitted Receivable 13,067,570 13,663,732

Total Admitted Related Party Receivable 8,364,399 7,937,722

Total Related Party Payable (5,442,494) (7,814,168)

Net Receivable/(Payable) 2,921,905$ 123,554$



8Q6.

summarized in the table below.

In connection with the August 12, 2016 Restructuring Transactions, $30.0 million of long-term and short-term surplus notes were transferred from Syncora Holdings to the Company, and cancelled by the Company. $23.6 million and $6.4 million of long-term and short-term notes, respectively (including principal, paid-in-kind interest and accrued interest) of surplus notes were cancelled. In addition, upon closing of the transaction, the Company made a net cash payment of $55.0 million on its long-term and short-term externally held surplus notes after receiving approval from the NYDFS for such payment. The Company will continue to request NYDFS approval for cash payments to holders of surplus notes each calendar year (to be paid in two equal semi-annual installments during such year), beginning in June 2017. The Company can provide no assurance about whether 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.

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 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, 2017 of $137.0 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


B. Assessments


C. Gain Contingencies


Surplus Notes held by third parties:

Principal and

Interest Paid for

Carrying Value the Three

Par Value of Notes at Months Ended Total Principal Unapproved

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

Issued Rate of Notes)(c)

2017 Principal Paid-In-Kind Interest Principal Paid-In-Kind Interest 2017 Paid and Interest Maturity

7/15/2009 5.00 % (a) 130,211,653$ 118,073,364$ 4,462,004$ 453,727$ 1,440,621$ 8,224,632$ 845,472$ 2,583,076$ -$ 11,653,180$ 171,675,521$ 12/28/2011

7/15/2009 6.00 % (b) 555,344,565 438,084,805 15,489,195 4,110,539 4,043,915 - - 43,346,820 - 43,346,820 85,645,957 6/27/2024

685,556,218$ 556,158,169$ 19,951,199$ 4,564,266$ 5,484,536$ 8,224,632$ 845,472$ 45,929,896$ -$ 55,000,000$ 257,321,478$

Surplus Notes held by the Company:

7/15/2009 5.00% 19,835,514$ 17,987,118$ -$ -$ -$ 1,252,882$ 128,793$ 393,487$ -$ 1,775,162$ 26,151,824$ 12/28/2011

7/15/2009 6.00% 27,159,309 21,426,000 - - - - - 2,119,891 - 2,119,891 4,188,543 6/27/2024

46,994,823$ 39,413,118$ -$ -$ -$ 1,252,882$ 128,793$ 2,513,378$ -$ 3,895,053$ 30,340,367$

Total Surplus Notes:

7/15/2009 5.00% 150,047,167$ 136,060,482$ 4,462,004$ 453,727$ 1,440,621$ 9,477,514$ 974,265$ 2,976,563$ -$ 13,428,342$ 197,827,345$ 12/28/2011

7/15/2009 6.00% 582,503,874 459,510,805 15,489,195 4,110,539 4,043,915 - - 45,466,711 - 45,466,711 89,834,500 6/27/2024

732,551,041$ 595,571,287$ 19,951,199$ 4,564,266$ 5,484,536$ 9,477,514$ 974,265$ 48,443,274$ -$ 58,895,053$ 287,661,845$

August 12, 2016 Restructuring Transactions

Discount Payments



9Q6.

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, 2017, Syncora Capital Assurance’s policyholders surplus was $226.2 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, 2017 Quarterly Statement and 2016 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.I. and (ii) certain litigation discussed in Note 21.J.

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

Uncollectible Premiums Receivable

At March 31, 2017 and December 31, 2016, the Company had uncollected premium balances of $0.3million and $0.6 million, respectively. There were no uncollected premiums more than 90 days past due as of March 31, 2017 and December 31, 2016. Any amounts more than 90 days past due are non-admitted. The Company routinely assesses the collectibility of these receivables.

15. Leases:

There has been no significant change from that discussed in the Company’s 2016 Annual Statement.



10Q6.

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.J.). The tables below reflect certain information regarding the Company’s in-force principal and interest exposure at March 31, 2017. 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 $3.4 billion and $3.3 billion at March 31, 2017, respectively, (net principal and interest exposure of $3.3 billion and $3.3 billion at March 31, 2017, 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, 2017:

Bond Exposure

(U.S. dollars in millions)

GPO(1) GIO(1) Total NPO(1) NIO(1) Total

Public Finance

General Obligation $ 2,024 $ 737 $ 2,761 $ 106 $ 31 $ 137

Utility 1,203 402 1,605 53 5 58

Special Revenue 3,356 2,108 5,464 37 9 46

Other 4 1 5 4 1 5

Appropriation 530 325 855 - - -

Non Ad Valorem 983 628 1,611 - - -

Total Public Finance $ 8,100 $ 4,201 $ 12,301 $ 200 $ 46 $ 246

Asset-Backed Securities

RMBS $ 435 $ 133 $ 568 $ 428 $ 132 $ 560

Total Asset-Backed Securities $ 435 $ 133 $ 568 $ 428 $ 132 $ 560

Collateralized Debt Obligations

Cashflow CDO(2) $ 26 $ 14 $ 40 $ 26 $ 14 $ 40

Total Collateralized Debt Obligations $ 26 $ 14 $ 40 $ 26 $ 14 $ 40

Structured Single Risk

Power & Utilities $ 3,497 $ 2,700 $ 6,197 $ 2,152 $ 1,931 $ 4,083

Global Infrastructure 3,043 1,134 4,177 2,134 812 2,946

Specialized Risk 208 64 272 208 64 272

Total Structured Single Risk $ 6,748 $ 3,898 $ 10,646 $ 4,494 $ 2,807 $ 7,301

Total Outstanding $ 15,309 $ 8,246 $ 23,555 $ 5,148 $ 2,999 $ 8,147

(1) GPO, GIO, NPO and NIO represent Gross Principal Outstanding, Gross Interest Outstanding, Net Principal Outstanding and Net Interest Outstanding, respectively.

(2) Consists of two credits with NPO of $24 million and $2 million with a rating of AA and a Below Investment Grade rating, respectively. Rating is based on S&P bond rating as reflected in Syncora Guarantee's records, if available, and internal Syncora Guarantee's rating if no S&P bond rating is available.



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, 2017:

The following table sets forth the Company’s in-force guaranteed principal exposure by geographic concentration as of March 31, 2017:

Years to Maturity - Debt Service Amortization


Scheduled Net Debt Service NPIO(1)

2017 Q1 $ - $ 8,147

2017 Q2 51 8,096

2017 Q3 117 7,979

2017 Q4 132 7,847

Total 2017 $ 300

2018 $ 556 $ 7,291

2019 350 6,941

2020 331 6,610

2021 349 6,261

Total 2018-2021 $ 1,586

2022-2026 $ 1,372 $ 4,889

2027-2031 331 4,558

2032-2036 924 3,634

2037 and thereafter 3,634 -

Total 2022-thereafter $ 6,261

Total $ 8,147

(1) NPIO represents Net Principal and Interest Outstanding.

Geographic Distribution - Par Exposure


GPO NPO % NPO

United States

Puerto Rico $ 339 $ 101 2.0 %

Other(1) 8,662 98 1.9

Non-PF Multi(2)(3) 440 433 8.4

Total United States $ 9,441 $ 632 12.3 %

International

United Kingdom $ 3,444 $ 2,660 51.6 %

Australia 1,097 1,097 21.3

Chile 495 370 7.2

France 143 143 2.8

Italy 124 124 2.4

Portugal 93 93 1.8

Other(1) 472 29 0.6

Total International $ 5,868 $ 4,516 87.7 %

Total Par Outstanding $ 15,309 $ 5,148 100.0 %

(1) Single state/country with NPO < 1% of the total exposure plus any multi-state/country Public Finance exposures.(2) Non-Public Finance deals with underlying securities in multiple states/countries.(3) Consists of $407 million in ABS and $26 million in CDO net par.



12Q6.

Exposure to Residential Mortgage Market

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

As of March 31, 2017, the Company’s total net direct exposure to RMBS aggregated approximately $0.4 billion, representing approximately 8.3% 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, 2017.

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, 2017:

(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, 2017:

RMBS Exposure


NPO % NPO

Prime (1st lien) $ 22 5.2 %

Prime (2nd lien) 11 2.5

Prime (HELOC) 92 21.5

Alt-A (1st lien) 25 5.8

Alt-A (2nd lien) 3 0.8

Subprime (1st lien) 242 56.4

Subprime (2nd lien) 12 2.8

Subprime (1st lien) - International 21 5.0

Total RMBS Outstanding $ 428 100.0 %

RMBS Exposure


2004 2005 2006 2007 Total

Prime/Atl-A 73$ 35$ 40$ 5$ 153$

Subprime 28 (1)

93 - 154 275

Total RMBS Outstanding $ 101 $ 128 $ 40 $ 159 $ 428

Net Case Reserves For Unpaid Losses $ 17 $ 61 $ (42) $ 52 $ 88

(1) Includes $0.3 million related to business underwritten and issued in 1999



13Q6.

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, 2017. 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


Internal Rating

S&PRating(1)

Moody's Rating(1)Vintage NPO

Prime (1st lien)

1. ……………………………………………… 2004 bbb+ NR Ba1 $ 13

2. ……………………………………………… 2004 aa AA+ NR 6

3. ……………………………………………… 2004 aa AA+ Ba1 3

Total $ 22

Prime (2nd lien)

1. ……………………………………………… 2006 d NR C $ 11

Total $ 11

Prime (HELOC)

1. ……………………………………………… 2004 d CCC Ca $ 29

2. ……………………………………………… 2004 d CCC Ca 22

3. ……………………………………………… 2005 d NR Ca 10

4. ……………………………………………… 2006 d NR C 24

5. ……………………………………………… 2006 d NR Ca 4

6. ……………………………………………… 2006 d NR Ca 1

7. ……………………………………………… 2006 d NR Ca -

8. ……………………………………………… 2007 d NR Ca 2

Total $ 92

Alt-A (1st lien)

1. ……………………………………………… 2005 bb AA+ Baa3 $ 20

2. ……………………………………………… 2005 d NR Caa2 5

3. ……………………………………………… 2007 d NR WD -

Total $ 25

Alt-A (2nd lien)

1. ……………………………………………… 2007 d NR Caa1 $ 3

2. ……………………………………………… 2007 d D B1 -

Total $ 3

Subprime (1st lien)

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

2. ……………………………………………… 2004 b- B Ba2 15

3. ……………………………………………… 2004 a+ AAA Aaa 7

4.……………………………………………… 2004 aa AA+ A1 6

5.……………………………………………… 2005 d CCC - 93

6.……………………………………………… 2007 c CCC C 121

Total $ 242



14Q6.

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 2016 Annual Statement.

B. There has been no change from that discussed in the Company’s 2016 Annual Statement.

C. There has been no change from that discussed in the Company’s 2016 Annual Statement.

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 2016 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, 2017. There were no liabilities measured at fair value at March 31, 2017.

Subprime (2nd lien)

1.……………………………………………… 2007 bbb- BBB+ Baa3 $ 7

2.……………………………………………… 2007 d CC C 3

3.……………………………………………… 2007 c CC Ca 2

Total $ 12

Subprime (1st lien) - International

1. ……………………………………………… 2007 bbb BBB Baa2 $ 21

Total $ 21

Total RMBS Outstanding $ 428

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

Level 1 Level 2 Level 3 Total

Assets at Fair Value

Common Stocks:

Common Stocks 23,166,291$ -$ -$ 23,166,291$

Mutual Funds 7,971,209 - - 7,971,209

Fixed Maturity Investments:

Industrial & Miscellaneous - 5,071,083 - 5,071,083

Derivatives - 6,201 - 6,201

Other Invested Assets - - 1,565,852 1,565,852

Total Assets at Fair Value 31,137,500$ 5,077,284$ 1,565,852$ 37,780,636$

March 31, 2017



15Q6.

(2) The following table presents information about changes in assets measured at fair value usingsignificant unobservable inputs (Level 3) as of March 31, 2017.

(3) The Company had no transfers into or out of Level 3 or any transfers between Level 1 and Level 2of the fair value hierarchy for the three months ended March 31, 2017.

B. Other Fair Value Disclosures

Not applicable.

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

Not applicable.

21. Other Items:

For a Description of Significant Risks and Uncertainties and Description of the Company’s On-Going Strategic Plan, see item G. below.



C. Other disclosures

For a description of the August 12, 2016 Restructuring Transactions see item H. below. For a Description of the Transactions Comprising the 2009 MTA and amendments thereto, see item I. below. For Regulatory and Legal Matters, see item J. below.

D. There has been no change from that discussed in the Company’s 2016 Annual Statement.

E. There has been no change from that discussed in the Company’s 2016 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.

Balance at

December 31,

2016

Transfers

into Level 3

Transfers

out of Level 3

Total Gains

and(Losses)

included in

Net Income

Total Gains

and(Losses)

included in

Surplus Purchases Issuances Sales Settlements

Balance at

March 31,

2017

Assets:

Other Invested Assets 1,565,852$ -$ -$ -$ -$ -$ -$ -$ -$ 1,565,852$ Total Assets 1,565,852$ -$ -$ -$ -$ -$ -$ -$ -$ 1,565,852$

Type of Financial Instrument

Aggregate Fair

Value Admitted Assets Level 1 Level 2 Level 3

Not Practicable

(Carrying

Value)

Financial Instruments - Assets

Bonds 846,986,331$ 839,009,213$ 110,163,771$ 736,822,560$ -$ -$

Cash, Cash Equivalents and

Short-term Investments 105,508,768 105,508,768 105,508,768 - - -

Common Stocks 31,137,500 31,137,500 31,137,500 - - -

Derivatives 6,201 6,201 - 6,201 - -

Other Invested Assets 1,565,852 1,565,852 - - 1,565,852 -

Total Assets 985,204,652$ 977,227,534$ 246,810,039$ 736,828,761$ 1,565,852$ -$

March 31, 2017



16Q6.

(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, 2017:

(1) $21.5 million investment in subprime residential mortgage-backed securities is substantially all due to remediation activity.

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

G. Description of Significant Risks and Uncertainties, and Description of the Company’s On-Going Strategic Plan:

The Company is 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, and (iv) the failure to receive interest or principal payments on 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 faces a potential liquidity mismatch between expected future medium to long-term claims payments and recoveries relating to these claims. As of March 31, 2017, the Company anticipates that it may be requested to make gross claim payments in the period 2017 to 2029 of at least approximately $188.0 million, excluding remediated RMBS claims, followed in later years (in some cases significantly later years) by recoveries of these claims payments. The Company also remains exposed to transactions with refinancing risk through to 2019, including one credit with a heightened risk of material claims payments with an aggregate par outstanding of $844.9 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 $1.6 billion, in each case as of March 31, 2017. The amount and timing of the recoveries related to future claims payments are subject to greater uncertainty than the amount and timing of such future claims payments themselves. 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 2016 Annual Statement). 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 amount or timing of claims payments, related recoveries, or ultimate losses match the Company’s estimates, and such differences could materially and adversely affect the Company’s results of operations, financial condition and liquidity. The Company may also experience significant adverse development on its insured obligations that may place further demands on the Company’s liquidity and financial position. See Note 36.B “Schedule of Insured Financial Obligations with Credit Deterioration” caption for further discussion.

• The Company is exposed to significant refinancing risks as mentioned above 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.

Actual Cost

Book/Adjusted

Carrying Value (1) Fair Value

Impairments

Recognized

Residential Mortgage -

Backed Securities 27,948,942$ 21,486,803$ 21,936,416$ (24,054)$

Total 27,948,942$ 21,486,803$ 21,936,416$ (24,054)$

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 (1,355,083)$ (2,624,989)$ 88,368,649$ -$



17Q6.

• 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.

• As of March 31, 2017, the Company has $141.3 million of gross par exposure (excluding interest outstanding of $41.7 million) to bonds issued by the Puerto Rico Electric Power Authority (“PREPA”), of which $127.0 million (excluding interest outstanding of $36.1 million) is ceded to Syncora Capital Assurance.

On November 5, 2015, PREPA 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 23, 2015, PREPA amended and restated the RSA to add restructuring terms for bonds insured by National Public Finance Guarantee Corporation and Assured Guaranty Municipal Corp. 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.

On June 30, 2016, the President enacted the Puerto Rico Oversight, Management, and Economic Stability Act (“PROMESA”), which provides Puerto Rico and its instrumentalities with both an in-court (Title III) and out-of-court (Title VI) process to restructure debts and bind holdouts. PROMESA provides for the establishment of an Oversight Board, which the President appointed on August 31, 2016, with the authority to, among other things, approve adjustments of debt of Puerto Rico and its instrumentalities, including PREPA. PROMESA also imposed a temporary stay of litigation and claims against Puerto Rico and its instrumentalities for certain matters through May 1, 2017.

Pursuant to a supplement to the RSA dated as of June 29, 2016, PREPA and Syncora Guarantee reached an agreement regarding the treatment of approximately $197 million in principal amount of policies issued by Syncora Guarantee covering PREPA-issued bonds. These policies are 100% reinsured to Syncora Capital Assurance pursuant to an affiliate reinsurance treaty. As part of that agreement, Syncora Guarantee agreed to purchase $38.5 million of new PREPA bonds to fund, in part, PREPA’s July 1, 2016 payment of principal and interest due to its bondholders. These new bondswere purchased by Syncora Capital Assurance pursuant to an assignment under the Public Finance Reinsurance Agreement.

On January 27, 2017, Governor Rosselló announced that the Fiscal Agency and Financial Advisory Authority and its advisors would lead negotiations with PREPA’s creditors. On January 28, 2017, Governor Rosselló signed the Puerto Rico Financial Emergency and Fiscal Responsibility Act into law, which prioritizes the payment of essential services over debt payments, while amending and repealing certain parts of the Puerto Rico Emergency Moratorium and Financial Rehabilitation Act enacted on April 6, 2016, which empowered the Governor to declare a moratorium on the payment of certain Puerto Rico credits, including PREPA’s power revenue bonds.

Pursuant to a supplement to the RSA dated as of April 27, 2017, the transactions contemplated by the RSA will be implemented pursuant to a Title VI proceeding. In addition, Syncora Guarantee agreed to purchase bonds to fund, in part, PREPA’s debt service obligations due to its bondholders on July 1, 2018, in addition to July 1, 2017. There is significant risk and uncertainty related to both PREPA’s ability to implement the recovery plan contemplated by the RSA and the terms of the restructuring of the bonds insured by the Company, and the effect on PREPA of Puerto Rico’s weak economy and financial condition as well as the filing of a Title III proceedings for the Commonwealth and other entities.

On May 3, 2017, the Oversight Board filed a petition on behalf of the Commonwealth under Title III. The Commonwealth announced that other entities will seek to file their own Title III proceedings. The Commonwealth’s Title III filing increases the risk and uncertainty relating to the ultimate recovery of the Commonwealth’s general obligations bonds.

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 $87.6 million of net par exposure (excluding interest outstanding of $27.7million) 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 also continues to have significant exposure to a number of large structured single risk transactions (5 transactions with an aggregate insured net principal outstanding of $1.2 billion) with material risk of adverse development, including event driven risks, such as political, operational,



18Q6.

bankruptcy, legal and regulatory actions. Such adverse events could have a material adverse effect on the Company's surplus, liquidity and financial position.

• 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 potential losses (including the timing and amount of potential 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 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 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 continued uncertainty 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 March31, 2017, the Company’s in-force guaranteed principal exposure to the European Union was approximately $3.0 billion of which $2.7 billion of net exposure is to credits in the UK and denominated in British Pound sterling and $216.5 million was specifically related to certain credits in higher risk countries, such as Portugal and Italy. The United Kingdom held a referendum on June 23, 2016, in which a majority of voters voted to exit the European Union (“Brexit”). Negotiations have commenced to determine the future terms of the United Kingdom’s relationship with the European Union. Brexit has caused currency exchange rate fluctuations that resulted in the weakening of the British Pound, in which a portion of our insured portfolio is denominated. In addition, the Company has indirect exposure to European banks for which Brexit will have unknown consequences. Until there is greater certainty on the terms and conditions of the United Kingdom’s relationship with the European Union, we cannot provide any assurance of its effect on our business, results of operations, liquidity and surplus, which could be material and adverse.

• 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, 2017, approximately 78% of the Company's in-force guaranteed net par outstanding exposure of $5.1 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.

• 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) and structured single risk. 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 23, 2016, 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 receive all future principal and interest payments due from Syncora Capital Assurance under the Existing Surplus Note or any surplus notes to be issued by Syncora Capital Assurance to the Company



19Q6.

(pursuant to the capital support agreement or otherwise) 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 CapitalAssurance 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 and liquidity 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 remains exposed to significant risks and uncertainties that may materially and adversely affect its financial condition, liquidity position and ability to make future payments on its surplus notes. Consequently, 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, 2017, 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 and other claims. While a negotiated resolution could result in an amount below that recorded in the aforementioned reserve reductions, it could also result in a material amount greater than such reductions.

• 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 and is based on certain assumptions by management, including estimates regarding the likelihood of occurrence, timing and amount of a loss on a guaranteed obligation. 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. 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.

• The Company is directly and indirectly involved in legal proceedings. 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 these legal proceedingswhere the Company (or another entity on its behalf) 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



20Q6.

defending these legal proceedings involves significant expense and diversion of management’s attention and resources from other matters.

• 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 Guarantee or its insured obligations.

• Changes in laws and regulations or the adoption of new laws 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 regulatoryrequirements, 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 amendments to the 2009 MTA obtained by the Company on August 24, 2015, as discussed in Note 21.H., and the Restructuring Transactions completed on August 12, 2016, 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.

• Due to the installment nature of a significant percentage of its premium income, the Company has an embedded future revenue stream. The amount of installment premiums actually realized by the Company could be materially reduced in the future due to factors such as early termination of insurance contracts, accelerated prepayments of underlying obligations, commutation of existing financial guarantee insurance policies or non-payment. Such reductions could result in materially lower revenues and liquidity.

• The Company's success substantially depends upon its ability to retain qualified employees and upon the ability of its senior management and other key employees to implement its strategic plan. The Company relies substantially upon the services of its executive team and other key employees. The loss of the services of any of these individuals or other key members of the Company's management



21Q6.

team or the inability to hire talented personnel could adversely affect the implementation of its strategic plan or business operations.

Description of the Company’s On-Going Strategic Plan

Syncora Guarantee, together with its affiliates, has completed a comprehensive strategic plan review and is now pursuing certain key strategic initiatives in order to continue to deliver enhanced value to stakeholders.

These initiatives include (i) exploring the execution of a reinsurance transaction with a third party, (ii) continuing to make payments on the surplus notes issued by Syncora Guarantee, (iii) continuing to focus on remediating 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, (iv) seeking to realize the maximum value of its assets, investments in subsidiaries and various legal proceedings described in Note 21.J and from any other rights and remedies the Company may have, whether through litigation, settlement, sale or other monetization and (v) further reducing operating expenses and improving operational efficiencies, including possibly through a consolidation of Syncora Guarantee and Syncora Capital Assurance, subject to receiving necessary consents. In addition, management is considering when and how to utilize NOLs that were reallocated to Syncora Holdings US Inc. as part of the restructuring transaction.

Any or all of these actions may be outside the ordinary course of the Company’s operations or its control and may require consents, approvals or cooperation of third parties, 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. Completion of Restructuring Transactions

On August 12, 2016, SHI, a wholly-owned subsidiary of Syncora Holdings (“SHL”), completed a surplus note exchange offer and proxy solicitation for the variation of rights to the SHL Preferred Shares, which are part of its restructuring transactions. Upon closing of the transactions (collectively “Restructuring Transactions”), the following interrelated events occurred:

• Holders of Syncora Guarantee’s outstanding long-term and short-term surplus notes provided a $70.0 million discount ($55.2 million and $14.8 million of long-term and short-term surplus notes, respectively), including principal, paid-in-kind interest and accrued interest, in exchange for 17.3 million newly issued common shares of SHL.

• The rights attached to all externally held SHL Preferred Shares were varied such that they were automatically converted into 13.0 million newly issued SHL common shares and $40.0 million of reallocated surplus notes ($31.5 million and $8.5 million of long-term and short-term surplus notes, respectively) provided from the discount described above. In addition, upon completion of the variation, all of the SHL Preferred Shares held by SHL, or its affiliates were cancelled and no SHL Preferred Shares remain outstanding.

• The remaining $30.0 million of discounted long-term and short-term surplus notes were transferred to and cancelled by Syncora Guarantee. The principal component of the $30.0 million discount is considered an equity transaction as it was transacted between related parties, and therefore reported through gross paid in and contributed surplus (prior to the application of the permitted practice as described below).

• Pursuant to an amended and restated tax sharing agreement, Syncora Guarantee reallocated $1.75 billion of excess net operating losses to SHI for its sole use and benefit, where these net operating losses may be used more broadly. In addition, SHI provided contractual protections relating to the preservation and utilization of Syncora Guarantee retained net operating losses. The amendments to the tax sharing agreement did not have any effect on the Company’s policyholders’ surplus.

• Syncora Guarantee made a net cash payment of $55.0 million on its long-term and short-term externally held surplus notes after receiving approval from the NYDFS. In accordance with statutory accounting principles, interest was not recorded by the Company as an expense until approval for such payment was granted by the NYDFS. This payment was recorded as an $8.2 million reduction to principal of short-term surplus notes and a $46.8 million payment of paid-in-kind and accrued interest on both the long-term and short-term surplus notes. There can be no assurance the NYDFS will grant approval for future payments on the Company’s surplus notes.

• The NYDFS granted Syncora Guarantee permission to increase its earned surplus to the greatest extent possible given its current gross paid in and contributed surplus by allocating the entire balance of that account to earned surplus. The Company has reflected this permitted practice as of September 30, 2016.



22Q6.

I. 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, 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.



23Q6.

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, 2017 and 2016, the Company paid gross RMBS claims aggregating $3.4 million and $6.6 million of which $3.0 million and $5.7 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.

J. Legal Matters:

In the ordinary course of business, Syncora Guarantee is directly or indirectly subject to litigation or other legal proceedings. Syncora Guarantee intends to vigorously defend itself and its interests, 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, 2017, in 28 states or jurisdictions Syncora Guarantee’s license to conduct insurance business in such states or jurisdictions was suspended, revoked, had an order of impairment placed against it, expired, was voluntarily surrendered by Syncora Guarantee, or Syncora Guarantee agreed to cease writing business in such states or jurisdictions, or Syncora Guarantee opted not to renew its license in such states or jurisdictions. Management anticipates that Syncora Guarantee will be able to continue to collect premiums on existing business in such states or jurisdictions. 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.

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

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., now merged with and into Assured Guaranty Corp. (“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 payment of 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.. In 2010, Syncora Guarantee 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. US Bank cross-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. Greenpoint perfected its appeal on November 28, 2016 and this appeal is now fully briefed. Oral argument before the Appellate Division was held on May 2, 2017. Discovery in the trial court is ongoing.

On October 20, 2016 US Bank served a proposed amended complaint, which is subject to court approval.

ARPA Litigation

The Arkansas River Power Authority (“ARPA”) is a six member joint action agency in Colorado formed to provide electricity to its constituent municipalities. ARPA’s members are contractually obligated to purchase their electricity requirements from ARPA. ARPA attempted to convert an existing natural gas-fired generator in Lamar, Colorado to a coal-fired facility and to raise funds for this project, ARPA issued several series of bonds guaranteed by Syncora Guarantee. The Lamar plant is not currently operating.

In 2014, Lamar, Colorado (one of the six ARPA member municipalities) and others, filed a series of suits against ARPA and Syncora Guarantee alleging that ARPA mismanaged the project and seeking, among other things, to terminate its membership in ARPA. Syncora Guarantee is no longer named as a party in these litigations. Notwithstanding that Syncora Guarantee is no longer a party to these litigations, an unfavorable outcome in these litigations could have an adverse effect on Syncora Guarantee as guarantor of certain of APRA’s bond obligations.



24Q6.

Macquarie 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 in connection with a bond offering by American Roads LLC. Macquarie’s initial 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. In May 2016, Macquarie filed a motion to dismiss Syncora Guarantee’s amended complaint and, in the alternative, to narrow Syncora Guarantee’s claims and damages. On February 15, 2017, Macquarie’s motion to dismiss was largely denied, but granted as to Syncora Guarantee’s requests for rescissory damages and punitive damages. Apart from these forms of relief, Syncora Guarantee’s claims for fraud and negligent misrepresentation were upheld and will continue. Fact discovery is largely concluded, with expert discovery anticipated to conclude in May 2017.

Fir Tree Managed Trusts v. Syncora Guarantee

On April 24, 2017, certain RMBS recovery trusts managed by Fir Tree Partners, Inc. (collectively, “Fir Tree”) sued Syncora Guarantee in New York State Court seeking a portion of Syncora Guarantee’s $400 million 2014 settlement with JPMorgan as well as certain additional amounts that Syncora Guarantee has received and may receive as reimbursements. Fir Tree claims that Syncora Guarantee’s 2014 settlement payment from JPMorgan was a “reimbursement”, and, as such, that a portion of this “reimbursement” was to have been paid to them as UCF holders. The complaint seeks relief in the form of a breach of contract claim, various derivative claims, and declaratory relief. This matter is in its incipient stages and Syncora Guarantee is still evaluating the claims, but Syncora Guarantee intends to vigorously defend against Fir Tree’s claims.

Description of Financial Guarantee Insurance

Financial guarantee insurance provides an unconditional and irrevocable guarantee to the holder of a debt obligation 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 2016 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.



25Q6.

K. Insurance-Linked Securities (ILS) Contracts

Not Applicable

22. Events Subsequent:

The Company has evaluated all subsequent events through May 5, 2017, the date the financial statements were available to be issued. There were no material events occurring subsequent to March 31, 2017 that required recognition 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 2016 Annual Statement.

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, 2017 and December 31, 2016. 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.I. 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. Amounts disclosed below relating to the provision for losses for the three months ended March 31, 2017 reflect the effect, as previously disclosed, of certain elements of the 2009 MTA.

The Company recorded a provision (benefit) for losses and loss adjustment expenses of $16.6 million and $(0.8) million for the three months ended March 31, 2017 and 2016, respectively. The provision primarily reflects adversedevelopment in the Company’s guarantees of certain public finance and structured single risk transactions, partially offset by positive development in the Company’s guarantees of certain RMBS transactions. Reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $(109.1) million as of March 31, 2017 ($(47.2) million before giving effect to reinsurance). The change from the December 31, 2016balances is primarily attributable to adverse development in the Company’s guarantees of certain public finance and structured single risk transactions, partially offset by positive development in the Company’s guarantees of certain RMBS transactions.



26Q6.

(a) Public Finance

During the three months ended March 31, 2017 and 2016, the Company recorded a provision for losses and loss adjustment expenses, after giving effect to reinsurance, of $9.3 million and $12.6 million, respectively, relating to its guarantees of public finance transactions. As of March 31, 2017 and December 31, 2016, the Company’s reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $30.3 million and $22.7 million ($92.0 million and $80.1 million before giving effect to reinsurance).

(b) Structured Single Risk

During the three months ended March 31, 2017 and 2016, the Company recorded a provision (benefit) for losses and loss adjustment expenses, after giving effect to reinsurance, of $9.8 million and $(5.5) million, respectively, relating to its guarantees of structured single risk transactions. As of March 31, 2017 and December 31, 2016, the Company’s reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $(233.6) million and $(242.8) million ($(233.4) million and $(242.7) million before giving effect to reinsurance).

(c) Asset-Backed Securities

For the three months ended March 31, 2017 and 2016, the Company recorded a benefit for losses and loss adjustment expenses, after giving effect to reinsurance, of $(2.5) million and $(7.9) 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 $93.3 million and $96.2 million as of March 31, 2017 and December 31, 2016,respectively ($93.3 million and $96.2 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 the payment “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, 2017 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 default rates exceed the Company’s current assumptions. 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, 2017 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 28.7% to 61.6% 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). The Company records a benefit for a portion of Syncora Guarantee’s interest in putbacks, when those putbacks are noticed by the trustee. As of March 31, 2017, the Company recorded a net benefit based on approximately $538million in original principal balance of mortgage loans putback that have been noticed through the filing date of the Company’s financial statements 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. US Bank as indenture trustee is continuing to investigate and review additional loans and as a result, the amount of noticed putbacks and the Company’s net benefit are anticipated to increase through future repurchase demands, and this amount may be material. The Company’s discounted interest



27Q6.

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, 2017 and 2016, the Company recorded a provision for losses and loss adjustment expenses, after giving effect to reinsurance, of zero and zero, respectively, relating to its guarantees of CDOs. Reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $0.9 million as of March 31, 2017 ($0.9 million before giving effect to reinsurance). Such reserves relate to one transaction with total gross principal exposure of $2.2 million at March 31, 2017.

Reserves for unpaid losses and loss adjustment expenses on such guarantees, after giving effect to reinsurance, were $0.9 million as of December 31, 2016 ($0.9 million before giving effect to reinsurance). Such reserves relate to one transaction with total gross principal exposure of $2.2 million at December 31, 2016.

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, 2017 and December 31, 2016 was 4.12%. The discount rate is based on a duration-weighted average return on the Company’s average invested assets. At March 31, 2017 and December 31, 2016, the Company's liability for unpaid losses and loss adjustment expenses was $(109.1) million and $(123.0) million, respectively. The amount of non-tabular discount at such dates was $49.7 million and $11.3 million, respectively.

A. Tabular Discount

Not applicable.

B. Non-tabular Discount

33. Asbestos/Environmental Reserves:


34. Subscriber Savings Accounts:


Schedule P Line of Business Case IBNR

Defense &

Cost

Containment

Expense

Adjusting

& Other

Expense

21. Financial Guaranty 49,739,898$ - - -



28Q6.

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, 2017, 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 $119.6 million ($38.7 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.

b. The following table presents, as of March 31, 2017, 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 $30.0 million relating to assumed reinsurance business at March 31, 2017:

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, 2016 to March 31, 2017:

(2) Upfront Contracts

a. The gross earned premium on upfront policies that was recognized on an accelerated basis was $5.2million for the three months ended March 31, 2017. 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.

1. (a) 2nd Quarter 2017 2,029,068$

(b) 3rd Quarter 2017 3,339,675

(c) 4th Quarter 2017 1,573,600

(d) 1st Quarter 2018 3,455,046

(e) 2nd Quarter 2018 1,918,282

(f) 3rd Quarter 2018 3,213,895

(g) 4th Quarter 2018 1,475,476

(h) Year 2019 9,688,651

(i) Year 2020 9,286,390

(j) Year 2021 8,364,326

(k) Year 2022 7,791,234

2. (a) 2023 through 2027 31,515,473$

(b) 2028 through 2032 21,098,918

(c) 2033 through 2037 12,605,504

(d) 2038 through 2042 1,840,325

(e) 2043 through 2047 345,025

(f) 2048 through 2052 59,941

1. Expected future premiums- Beginning of Year 123,595,896$

2. Less- Premiumpayments received for existing installment contracts (5,282,004)

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

4. Adjustments to the expected future premium payments 1,286,936

5. Expected future premiums- End of Period 119,600,828$



29Q6.

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 $21.6 million primarily relating to assumed reinsurance business at March 31, 2017:

(3) Claim Liability

a. The Company used a rate of 4.12% 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.

1. (a) 2nd Quarter 2017 2,626,984$

(b) 3rd Quarter 2017 2,482,592

(c) 4th Quarter 2017 2,327,393

(d) 1st Quarter 2018 2,368,734

(e) 2nd Quarter 2018 2,322,768

(f) 3rd Quarter 2018 2,409,238

(g) 4th Quarter 2018 2,095,041

(h) Year 2019 8,520,285

(i) Year 2020 8,785,195

(j) Year 2021 9,447,259

(k) Year 2022 10,053,994

2. (a) 2023 through 2027 41,259,599$

(b) 2028 through 2032 23,772,401

(c) 2033 through 2037 22,045,458

(d) 2038 through 2042 22,729,034

(e) 2043 through 2047 6,285,095

(f) 2048 through 2052 1,249,292

(g) 2053 through 2057 15,384,487

(h) 2058 through 2062 275,403

Components Amount

(1) Accretion of the discount 1,236,718$

(2) Changes in timing (4,486,455)

(3) New reserves for defaults of insured contracts -

(4) Change in deficiency reserves(1)

17,194,408

(5) Change in incurred but not reported claims -

(6) Total 13,944,671$



30Q6.

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) Loss List—credits where a loss is probable and reasonably estimable; (ii) 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; (iii) 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; and (iv) Special Monitoring List—low investment grade credits where a material covenant or trigger may be breached and closer monitoring is warranted. Credits that are not closely monitored credits are considered to be fundamentally sound, normal risk.

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, 2017. 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.

Total Loss List Red Flag List

Yellow Flag

List

Special

Monitoring

List

Insured contractual payments

outstanding:

Principal 1,692,082,767$ 437,021,726$ 860,072,135$ 271,233,906$ 123,755,000$

Interest 359,659,989 132,897,009 154,324,513 8,733,467 63,705,000 Total 2,051,742,756$ 569,918,735$ 1,014,396,648$ 279,967,373$ 187,460,000$

Number of policies 108 100 5 2 1

Remaining weighted-average

contract period (in years) 7.2 10.8 4.1 5.8 18.7

Loss and LAE liabilities reported in

the balance sheet:

Gross loss and LAE liability

(nominal) 701,730,268$ 689,759,019$ 9,451,083$ 2,520,166$ -$

Gross potential recoveries and

ceded reinsurance 761,092,225 761,092,225 - - -

Discount, net 49,739,898 49,739,898 - - -

Total (109,101,855)$ (121,073,104)$ 9,451,083$ 2,520,166$ -$

Unearned premium reserve, net 2,925,960$ 1,187,152$ 1,485,012$ 146,898$ 106,898$

Reinsurance recoverables on

paid losses and LAE 219,637$ 219,637$ -$ -$ -$

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[X] No[ ]9.21 If the response to 9.2 is Yes, provide information related to amendment(s).

Amendments to the Code were made to update compliance contacts.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 2017 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: 7,937,722$. . . . . . . . . . . .

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[ ] No[X]

Q7.1


GENERAL INTERROGATORIES (Continued)

INVESTMENT11.2 If yes, give full and complete information relating thereto:

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,758,089 . . . . . . . . . 26,163,203

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

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

14.26 All Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246,637,654 . . . . . . . 246,634,129

14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal

Lines 14.21 to 14.26) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272,395,743 . . . . . . . 272,797,332

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 Investment management - Identify all investment advisors, investment managers, broker/dealers, including individuals that have the authority to make investment decisions on behalf of the reporting entity. For assets that are managed internally by employees of the reporting entity, note as such. [" that have access to the investment accounts"; " handle securities"]

1 2

Name of Firm or Individual Affiliation

Wellington Management Company, LLP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . U. . . . . . . . . . . . . . . . . . . . .

Umberto Italiano,CIO&Chairman of SGI Internal Acct . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A. . . . . . . . . . . . . . . . . . . . .

17.5097 For those firms/individuals listed in the table for Question 17.5, do any firms/individuals unaffiliated with the reporting entity (i.e. designated with a "U") manage more than 10% of the reporting entity's assets? Yes[X] No[ ]

17.5098 For firms/individuals unaffiliated with the reporting entity (i.e. designated with a "U") listed in the table for Question 17.5, does the total assets under management aggregate to more than 50% of the reporting entity's assets? Yes[X] No[ ]

17.6 For those firms or individuals listed in the table for 17.5 with an affiliation code of "A" (affiliated) or "U" (unaffiliated), provide the information for the table below.

Q7.2


GENERAL INTERROGATORIES (Continued)1 2 3 4 5

Central Legal Investment

Registration Entity Management

Depository Identifier Registered Agreement

Number Name of Firm or Individual (LEI) With (IMA) Filed

106595 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Wellington Management

Company, LLP . . . . . . . . . . . . . . . . . . . . 549300YHP12TEZNLCX41 . . . . . S.E.C. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NO. . . . . . . . . . . . . . . . . . .

NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Umberto Italiano as CIO and Chairman of the Investment Committee for the SGI internally managed account. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Not a registered investment advisor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NO. . . . . . . . . . . . . . . . . . .

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.120 . 49,739,898 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,739,898 . 38,443,568 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,443,568

04.2999 Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,739,898 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,739,898 . 38,443,568 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,443,568

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. . . . . . . . . . . . . . . . 1,108,033 . . . . . . 1,170,345 . . . . . . . . . . . . . . . (3) . . . . . . (260,949) . . . . 60,385,877 . . . . 56,260,734

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

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

8. Delaware (DE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . 28,410 . . . . . . . . . . 35,996 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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. . . . . . . . . . . . . . . . . . . . 19,213 . . . . . . . . . . 19,319 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

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

22. Massachusetts (MA) . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . 15,479 . . . . . . . . . . 19,994 . . . . . . (270,391) . . . . . . (201,194) . . (51,160,341) . . (42,234,278)

23. Michigan (MI) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (28,244,581) . . (43,597,347)

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

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

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

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

28. Nebraska (NE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . . . . . 55,364 . . . . . . . . . . 55,942 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

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

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

33. New York (NY) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L. . . . . . . . . . . . . . . . 1,449,285 . . . . . . 1,570,121 . . . . . . 2,182,836 . . . . . . (116,173) . (113,668,278) . . (56,516,361)

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

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. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73,369 . . . . . . . . . . . . . . . . . . . . . . 38,623,139 . . . . 30,023,089

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. . . . . . . . . . . . . 966,546 . . . . . . 1,112,235 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (600,547)

59. Totals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (a) 47. . . . . . . . . . . . 3,642,330 . . . . . . 3,983,952 . . . . . . 1,985,811 . . . . . . (578,316) . . (94,064,184) . . (56,664,710)


58001.GBR United Kingdom . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 773,039 . . . . . . . . 924,853 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

58002.AUS Australia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (600,547)

58003.CHL Chile . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 193,507 . . . . . . . . 187,382 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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. . . . . . . . . . . . . 966,546 . . . . . . 1,112,235 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (600,547)

(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 (other than their state of domicile - see DSLI); (D) DSLI - Domestic Surplus Lines Insurer (DSLI) - Reporting entities authorized to write Surplus Lines in the state of domicile; (N) None of the above - Not allowed to write business in the state.

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


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

PART 1 - ORGANIZATIONAL CHART

1% 99%80%

Q11


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

Q11.1

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 16

Name of Directly Type of Control

Securities Names of Relation- Controlled (Ownership, If Control Is an

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

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

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

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

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Holdings Ltd . . . . . . . . . . . . . . . . . . . . . BMU UIP. . . . . Shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Board of Directors . . . . . . . . . . . . . . . . . . . . . Shareholders . . . . . . . . . . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 13-4332801 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Holdings US Inc . . . . . . . . . . . . . . . . . DE. . . UDP. . . Syncora Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 13-4196626 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Guarantee Services Inc . . . . . . . . . DE. . . NIA. . . . . Syncora Holdings US Inc . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 20311 13-3635895 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Guarantee Inc . . . . . . . . . . . . . . . . . . . NY. . . RE. . . . . Syncora Holdings US Inc . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 13-4332797 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Admin Holdings US Inc . . . . . . . . . . DE. . . NIA. . . . . Syncora Holdings US Inc . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 13666 26-4761276 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Capital Assurance Inc . . . . . . . . . . . NY. . . DS. . . . . Syncora Guarantee Inc . . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 13-4195920 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora CDS LLC . . . . . . . . . . . . . . . . . . . . . . . . . NY. . . NIA. . . . . Syncora Admin Holdings US Inc . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 13-4195918 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Admin LLC . . . . . . . . . . . . . . . . . . . . . . . NY. . . NIA. . . . . Syncora Admin Holdings US Inc . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 36-4771199 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Pike Pointe Holdings, LLC . . . . . . . . . . . . . . . . DE. . . DS. . . . . Syncora Guarantee Inc. . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 37-1769855 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Development LLC . . . . . . DE. . . DS. . . . . Pike Pointe Holdings, LLC . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 61-1772420 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . DE. . . DS. . . . . Pike Pointe Holdings, LLC . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 47-5442512 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Tolls Roads, LLC . . . . . . . DE. . . DS. . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 47-5438602 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Parking, LLC . . . . . . . . . . . . DE. . . DS. . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 47-5419098 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Management, LLC . . . . . DE. . . DS. . . . . American Roads, LLC . . . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 27-4342016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Roads Technologies, Inc. . . . . . . DE. . . DS. . . . . American Roads Management, LLC . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 42-1702483 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Alabama Toll Operations, LLC . . . . . . . . . . . . DE. . . DS. . . . . American Roads Management, LLC . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

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 . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Detroit Windsor Subway Company . . CAN. DS. . . . . Detroit Windsor Tunnel, LLC . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 32-0453752 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Investment Holdings LLC . . . . . . . DE. . . DS. . . . . Syncora Guarantee Inc. . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 47-2472075 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Alternative Investments LLC . . . . DE. . . DS. . . . . Syncora Investment Holdings LLC . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . 100.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 22-3560888 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Swap Financial LLC . . . . . . . . . . . . . . . . . . . . . . . NJ. . . DS. . . . . Syncora Investment Holdings LLC . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . . 80.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 47-3048378 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Securities Holdings LLC . . . . . . . . . DE. . . DS. . . . . Syncora Guarantee Inc . . . . . . . . . . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . . 99.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

4676 . . Syncora Holdings Grp . . . . . . . . . 00000 47-3048378 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Syncora Securities Holdings LLC . . . . . . . . . DE. . . NIA. . . . . Syncora Capital Assurance Inc . . . . . . . . . . . . . . . Ownership . . . . . . . . . . . . . . . . . . . . . . . . . . 1.0 Syncora Holdings Ltd . . . . . . . . N. . . . . . . . . . . . . . . .

Asterisk Explanation

0000001 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Q13

STATEMENT AS OF OF THE March 31, 2017 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,031,127 . . . . . . . . . . 14,463,992 . . . . . . . . . . . . . . 120.221 . . . . . . . . . . . . . (20.995)11.1 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,031,127 . . . . . . . . . . 14,463,992 . . . . . . . . . . . . . . 120.221 . . . . . . . . . . . . . (20.995)


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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,642,330 . . . . . . . . . . . 3,642,330 . . . . . . . . . . . 3,983,95211.1 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,642,330 . . . . . . . . . . . 3,642,330 . . . . . . . . . . . 3,983,952


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

2017 2017 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 2017 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. 2014 + Prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . 2,661 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,661 . . . . . . . . . . (109,102) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (109,102) . . . . . . . . . . . . . . 16,605 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,605

2. 2015 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Subtotals 2015 + Prior . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . 2,661 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,661 . . . . . . . . . . (109,102) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (109,102) . . . . . . . . . . . . . . 16,605 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,605

4. 2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Subtotals 2016 + Prior . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . 2,661 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,661 . . . . . . . . . . (109,102) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (109,102) . . . . . . . . . . . . . . 16,605 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,605

6. 2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . . . . . . . . . . . . . . (123,046) . . . . . . . . . . . 2,661 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,661 . . . . . . . . . . (109,102) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (109,102) . . . . . . . . . . . . . . 16,605 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,605

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 . . . . . . . . . . . . . . . . . 1,188,284 1.. . . . . . . . . (13.495) 2.. . . . . . . . . . . . . . . . . . . . 3.. . . . . (13.495)

Col. 13, Line 7

Line 8

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.. . . . . . . . . 1.397

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

20311201749000001 2017 Document Code: 490

Supplement A to Schedule T

20311201745500001 2017 Document Code: 455

Medicare Part D Coverage Supplement

20311201736500001 2017 Document Code: 365

Director and Officer Supplement

20311201750500001 2017 Document Code: 505

Q16


OVERFLOW PAGE FOR WRITE-INS

N O N E

QSI01

STATEMENT AS OF OF THE March 31, 2017 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .


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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248,203,506 . . . . . . . 229,093,6262. Cost of acquired:

2.1 Actual cost at time of acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.2 Additional investment made after acquisition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,500,0003. Capitalized deferred interest and other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

4. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,525) . . . . . . . . . 16,609,8806. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .


8. Deduct amortization of premium and depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. Total foreign exchange change in book/adjusted carrying value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .


11. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3 + 4 + 5 + 6 - 7 - 8 + 9 - 10) . . . . . . . . . . . . . . . . . . . . . . . . . 248,199,981 . . . . . . . 248,203,50612. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13. Statement value at end of current period (Line 11 minus Line 12) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248,199,981 . . . . . . . 248,203,506

SCHEDULE D - VERIFICATIONBonds and Stocks

1 2

Prior Year Ended


1. Book/adjusted carrying value of bonds and stocks, December 31 of prior year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 896,860,206 . . . . . . . 872,250,4612. Cost of bonds and stocks acquired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,371,453 . . . . . . . 781,656,9583. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,884,378 . . . . . . . . . 16,634,4444. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,077,796 . . . . . . . . . 26,908,9345. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,815,217 . . . . . . . . . . 9,272,7076. Deduct consideration for bonds and stocks disposed of . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,707,841 . . . . . . . 792,156,3807. Deduct amortization of premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 980,677 . . . . . . . . . . 8,076,9188. Total foreign exchange change in book/adjusted carrying value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 585,147 . . . . . . . . (1,868,886)9. Deduct current year's other-than-temporary impairment recognized . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 595,763 . . . . . . . . . . 7,761,114

10. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3 + 4 + 5 - 6 - 7 + 8 - 9) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 896,309,916 . . . . . . . 896,860,206

11. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Statement value at end of current period (Line 10 minus Line 11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 896,309,916 . . . . . . . 896,860,206

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 591,419,821 . . . . . 427,876,060 . . . . . 424,676,510 . . . . . . . (3,283,319) . . . . . 591,336,052 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 591,419,821

2. NAIC 2 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235,294,260 . . . . . . . . 9,404,668 . . . . . . . 15,338,717 . . . . . . . . 2,165,201 . . . . . 231,525,412 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235,294,260

3. NAIC 3 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,356,831 . . . . . . . . 3,405,488 . . . . . . . . . . . 407,729 . . . . . . . (2,144,391) . . . . . . . 41,210,199 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,356,831

4. NAIC 4 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,507,506 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,060,378 . . . . . . . . 4,567,884 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,507,506

5. NAIC 5 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,603,535 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 351,519 . . . . . . . 10,955,054 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,603,535

6. NAIC 6 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,308,501 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,881,368 . . . . . . . . 4,896,685 . . . . . . . 58,323,818 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,308,501

7. Total Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 937,490,454 . . . . . 440,686,216 . . . . . 444,304,324 . . . . . . . . 4,046,073 . . . . . 937,918,419 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 937,490,454

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 937,490,454 . . . . . 440,686,216 . . . . . 444,304,324 . . . . . . . . 4,046,073 . . . . . 937,918,419 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 937,490,454

(a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of short-term and cash equivalent bonds by NAIC designation: NAIC 1 $......98,909,206; 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,836,156 X X X. . . . . . . . . . . . . . . . . . . . . 47,835,393 . . . . . . . . . . . . . . . . . 847 . . . . . . . . . . . . . . 12,949

SCHEDULE DA - VerificationShort-Term Investments

1 2

Prior Year Ended


1. Book/adjusted carrying value, December 31 of prior year . . . . . . . . . . . . . . . . . . . . . . . . . . 38,311,613 . . . . . . . . . 95,279,116

2. Cost of short-term investments acquired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152,734,338 . . . . . . . 455,365,089

3. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,735 . . . . . . . . . . . . . . 20,856

4. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (520)

6. Deduct consideration received on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143,220,530 . . . . . . . 512,338,423

7. Deduct amortization of premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,505

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,836,156 . . . . . . . . . 38,311,613

11. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Statement value at end of current period (Line 10 minus Line 11) . . . . . . . . . . . . . . . . 47,836,156 . . . . . . . . . 38,311,613

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,999

2. Cost Paid/(Consideration Received) on additions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Unrealized Valuation increase/(decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (43,798)

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

10. Deduct nonadmitted assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11. Statement value at end of current period (Line 9 minus Line 10) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. Total (Line 1 plus Line 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

4. Part D, Section 1, Column 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

8. Part B, Section 1, Column 13 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9. Total (Line 7 plus Line 8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

10. Part D, Section 1, Column 8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957

14. Part B, Section 1, Column 20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15. Part D, Section 1, Column 11 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957

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 . . . . . . . . . . . . . . . . . . . . . . . . . . 48,991,745 . . . . . . . . . 36,985,385

2. Cost of cash equivalents acquired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258,350,025 . . . . . . . 441,273,470

3. Accrual of discount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81,280 . . . . . . . . . . . . . 112,899

4. Unrealized valuation increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5. Total gain (loss) on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,333

6. Deduct consideration received on disposals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256,350,000 . . . . . . . 429,384,342

7. Deduct amortization of premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . 48,991,745

11. Deduct total nonadmitted amounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12. Statement value at end of current period (Line 10 minus Line 11) . . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . 48,991,745

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)

30261YAL0 . . FREMF 2011-K10 MORTGAGE TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/18/2017. . . . BANC/AMERICA SECUR.L . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 258,520 . . . . . . . . . . . . . 243,000 . . . . . . . . . . . . . . . 688 1 . . . . . . . . . . . . . . . . . .

3199999 Subtotal - Bonds - U.S. Special Revenue, Special Assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 258,520 . . . . . . . . . . . . . 243,000 . . . . . . . . . . . . . . . 688 X X X. . . . . . . . . . .

05565EAP0 . . BMW US CAPITAL LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/30/2017. . . . J.P. MORGAN SECURITI . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,995,920 . . . . . . . . . . . 3,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

07330NAQ8 . BRANCH BANKING & TRUST 2.625% 01/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/23/2017. . . . MORGAN STANLEY & CO . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 999,310 . . . . . . . . . . . 1,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

11134LAA7 . . BROADCOM CORP / BROADCOM CAYMAN FINANCE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/11/2017. . . . BARCLAYS CAPITAL INC . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,492,090 . . . . . . . . . . . 3,500,000 . . . . . . . . . . . . . . . . . . . 2FE . . . . . . . . . . . . . . .

125581GL6 . . CIT GROUP INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/14/2017. . . . VARIOUS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,026,000 . . . . . . . . . . . 1,000,000 . . . . . . . . . . . . . . . 219 3FE . . . . . . . . . . . . . . .

12592BAD6 . . CNH INDUSTRIAL CAPITAL LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/10/2017. . . . SG AMERICAS SECURITI . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,012,500 . . . . . . . . . . . 1,000,000 . . . . . . . . . . . . . 6,458 3FE . . . . . . . . . . . . . . .

169905AD8 . . CHOICE HOTELS INTERNATIONAL INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/27/2017. . . . WELLS FARGO SECURITI . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,366,988 . . . . . . . . . . . 1,257,000 . . . . . . . . . . . . . . . 796 3FE . . . . . . . . . . . . . . .

299897AA6 . . EVERETT SPINCO INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2017. . . . VARIOUS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,717,108 . . . . . . . . . . . 1,720,000 . . . . . . . . . . . . . . . . . . . 2FE . . . . . . . . . . . . . . .

30262BAL9 . . FREMF 2011-K11 MORTGAGE TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/18/2017. . . . BANC/AMERICA SECUR.L . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 313,621 . . . . . . . . . . . . . 296,000 . . . . . . . . . . . . . . . 800 1FE . . . . . . . . . . . . . . .

30262LAF0 . . FREMF 2011-K12 MORTGAGE TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/24/2017. . . . MORGAN STANLEY & CO . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,272,750 . . . . . . . . . . . 1,200,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

30263BAL8 . . FREMF 2011-K14 MORTGAGE TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/18/2017. . . . BANC/AMERICA SECUR.L . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 229,310 . . . . . . . . . . . . . 210,000 . . . . . . . . . . . . . . . 663 1FM . . . . . . . . . . . . . .

34530MAA7 . FORD CREDIT AUTO OWNER TRUST/FORD CREDIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/21/2017. . . . WELLS FARGO SECS LLC . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,517,969 . . . . . . . . . . . 2,500,000 . . . . . . . . . . . . . 1,413 1FE . . . . . . . . . . . . . . .

46849LST9 . . JACKSON NATIONAL LIFE GLOBAL FUNDING . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/24/2017. . . . CREDIT SUISSE FIRST . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 998,900 . . . . . . . . . . . 1,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

571748BB7 . . MARSH & MCLENNAN COS INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/09/2017. . . . BANC/AMERICA SECUR.L . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . 719,014 . . . . . . . . . . . . . 720,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

69371RN69 . . PACCAR FINANCIAL CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/22/2017. . . . J.P. MORGAN SECURITI . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,996,400 . . . . . . . . . . . 2,000,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

92928QAC2 . WEA FINANCE LLC / WESTFIELD UK & EUROPE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/29/2017. . . . CITIGROUP GLOBAL MKT . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,995,470 . . . . . . . . . . . 3,000,000 . . . . . . . . . . . . . . . . . . . 2FE . . . . . . . . . . . . . . .

576339BF1 . . MASTER CREDIT CARD TRUST II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A. . . . . . 01/25/2017. . . . BMO CAPITAL MARKETS . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,694,546 . . . . . . . . . . . 1,695,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

225401AB4 . . CREDIT SUISSE GROUP AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D. . . . . . 01/04/2017. . . . CREDIT SUISSE FIRST . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 1,200,000 . . . . . . . . . . . 1,200,000 . . . . . . . . . . . . . . . . . . . 2FE . . . . . . . . . . . . . . .

23636AAM3 . DANSKE BANK A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D. . . . . . 02/23/2017. . . . BNP PARIBAS SEC CORP . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 2,795,437 . . . . . . . . . . . 2,800,000 . . . . . . . . . . . . . . . . . . . 1FE . . . . . . . . . . . . . . .

3899999 Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 29,343,333 . . . . . . . . . 29,098,000 . . . . . . . . . . . . 10,349 X X X. . . . . . . . . . .

8399997 Subtotal - Bonds - Part 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 29,601,853 . . . . . . . . . 29,341,000 . . . . . . . . . . . . 11,037 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. . . . . . . . . . . . . . . . . . 29,601,853 . . . . . . . . . 29,341,000 . . . . . . . . . . . . 11,037 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. . . . . . . . . . .

04010L103 . . . ARES CAPITAL CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/13/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,600.000 . . . . . . . . 1,022,015 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

345370860 . . . FORD MOTOR CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/27/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,000.000 . . . . . . . . . . 252,120 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

427096508 . . . HERCULES CAPITAL INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/27/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,100.000 . . . . . . . . . . 104,370 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

56035L104 . . . MAIN STREET CAPITAL CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/22/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,500.000 . . . . . . . . 1,016,650 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

647551100 . . . NEW MOUNTAIN FINANCE CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/21/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,300.000 . . . . . . . . . . 501,732 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

64828T201 . . . NEW RESIDENTIAL INVESTMENT CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/07/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . 125,000.000 . . . . . . . . 2,123,088 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

68571X103 . . ORCHID ISLAND CAPITAL INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/07/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,100.000 . . . . . . . . . . 190,598 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

747525103 . . . QUALCOMM INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/30/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,300.000 . . . . . . . . . . 500,340 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

87265K102 . . TPG SPECIALTY LENDING INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/28/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,112.000 . . . . . . . . . . 162,131 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

92343V104 . . VERIZON COMMUNICATIONS COM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/27/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,500.000 . . . . . . . . . . 319,475 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

780259107 . . . ROYAL DUTCH SHELL PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C. . . . . . 03/27/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,050.000 . . . . . . . . . . 500,465 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

9099999 Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 6,692,984 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . .

00162Q866 . . ALERIAN MLP ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/27/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . 118,850.000 . . . . . . . . 1,502,323 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

73935X229 . . POWERSHARES FINANCIAL PREFERRED PORTFOLI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/08/2017. . . . STIFEL NICHOLAUS & CO . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,500.000 . . . . . . . . 1,574,294 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L . . . . . . . . . . . . . . . . . .

9299999 Subtotal - Common Stocks - Mutual Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 3,076,617 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . .

9799997 Subtotal - Common Stocks - Part 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 9,769,601 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. . . . . . . . . . .

9799999 Subtotal - Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 9,769,601 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . .

Bonds - U.S. Special Revenue, Special Assessment

Bonds - Industrial and Miscellaneous (Unaffiliated)

Common Stocks - Industrial and Miscellaneous (Unaffiliated)

Common Stocks - Mutual Funds

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)

9899999 Subtotal - Preferred and Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . 9,769,601 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . .

9999999 Total - Bonds, Preferred and Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . 39,371,454 X X X. . . . . . . . . . . . . . . . . . . . . . . . . . 11,037 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 . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 34,858 . . . . . . . . 34,858 . . . . . . . . 37,065 . . . . . . . . 36,319 . . . . . . . . . . . . . . . . . . . . (1,461) . . . . . . . . . . . . . . . . . . . . (1,461) . . . . . . . . . . . . . . . . . . . 34,858 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243 11/01/2040 1 . . . . . . . . . 3620A8NH2 . GINNIE MAE I POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 2,750 . . . . . . . . . 2,750 . . . . . . . . . 2,865 . . . . . . . . . 2,764 . . . . . . . . . . . . . . . . . . . . . . (14) . . . . . . . . . . . . . . . . . . . . . . (14) . . . . . . . . . . . . . . . . . . . . 2,750 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 09/01/2039 1 . . . . . . . . . 36241KCE6 . GINNIE MAE I POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 128,239 . . . . . . . 128,239 . . . . . . . 132,792 . . . . . . . 128,890 . . . . . . . . . . . . . . . . . . . . . (651) . . . . . . . . . . . . . . . . . . . . . (651) . . . . . . . . . . . . . . . . . . 128,239 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,432 10/01/2034 1 . . . . . . . . . 912828SC5 . UNITED STATES TREASURY

NOTE/BOND . . . . . . . . . . . . . . . . . . . . . . . . . . 01/31/2017 MATURITY . . . . . . . . . . . . . . . X X X. . . . . . . . . . 2,000,000 . . . . . . 2,000,000 . . . . . . 2,004,013 . . . . . . 2,000,079 . . . . . . . . . . . . . . . . . . . . . . (79) . . . . . . . . . . . . . . . . . . . . . . (79) . . . . . . . . . . . . . . . . . 2,000,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,750 01/31/2017 1 . . . . . . . . .

0599999 Subtotal - Bonds - U.S. Governments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . 2,165,847 . . . . . . 2,165,847 . . . . . . 2,176,735 . . . . . . 2,168,052 . . . . . . . . . . . . . . . . . . . . (2,205) . . . . . . . . . . . . . . . . . . . . (2,205) . . . . . . . . . . . . . . . . . 2,165,847 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,448 X X X. . . X X X. . .

3128M9WU2 FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 5,526 . . . . . . . . . 5,526 . . . . . . . . . 5,731 . . . . . . . . . 5,681 . . . . . . . . . . . . . . . . . . . . . (156) . . . . . . . . . . . . . . . . . . . . . (156) . . . . . . . . . . . . . . . . . . . . 5,526 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 11/01/2043 1 . . . . . . . . . 3128MJS35 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 9,732 . . . . . . . . . 9,732 . . . . . . . . . 9,312 . . . . . . . . . 9,387 . . . . . . . . . . . . . . . . . . . . . . 345 . . . . . . . . . . . . . . . . . . . . . . 345 . . . . . . . . . . . . . . . . . . . . 9,732 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44 07/01/2043 1 . . . . . . . . . 3128MJS68 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 10,389 . . . . . . . . 10,389 . . . . . . . . . 9,941 . . . . . . . . 10,019 . . . . . . . . . . . . . . . . . . . . . . 370 . . . . . . . . . . . . . . . . . . . . . . 370 . . . . . . . . . . . . . . . . . . . 10,389 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 08/01/2043 1 . . . . . . . . . 3128MJT67 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 12,487 . . . . . . . . 12,487 . . . . . . . . 12,633 . . . . . . . . 12,584 . . . . . . . . . . . . . . . . . . . . . . (97) . . . . . . . . . . . . . . . . . . . . . . (97) . . . . . . . . . . . . . . . . . . . 12,487 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 02/01/2044 1 . . . . . . . . . 3128MMUW1 FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 781,060 . . . . . . . 781,060 . . . . . . . 814,563 . . . . . . . 806,925 . . . . . . . . . . . . . . . . . . . (23,164) . . . . . . . . 2,701 . . . . . . (25,865) . . . . . . . . . . . . . . . . . . 781,060 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,600 04/01/2031 1 . . . . . . . . . 31292MDY6 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 22,271 . . . . . . . . 22,271 . . . . . . . . 22,276 . . . . . . . . 22,281 . . . . . . . . . . . . . . . . . . . . . . . . . 6 . . . . . . . . . . 16 . . . . . . . . . (10) . . . . . . . . . . . . . . . . . . . 22,271 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127 03/01/2043 1 . . . . . . . . . 31292SA42 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 17,181 . . . . . . . . 17,181 . . . . . . . . 17,209 . . . . . . . . 17,188 . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . 9 . . . . . . . . . . (8) . . . . . . . . . . . . . . . . . . . 17,181 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 02/01/2043 1 . . . . . . . . . 31292SAN0 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 28,470 . . . . . . . . 28,470 . . . . . . . . 28,510 . . . . . . . . 28,483 . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . 14 . . . . . . . . . (13) . . . . . . . . . . . . . . . . . . . 28,470 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133 09/01/2042 1 . . . . . . . . . 3129453S5 . . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 69,601 . . . . . . . . 69,601 . . . . . . . . 68,378 . . . . . . . . 68,647 . . . . . . . . . . . . . . . . . . . . . . 954 . . . . . . . . . . . . . . . . . . . . . . 954 . . . . . . . . . . . . . . . . . . . 69,601 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 459 03/01/2041 1 . . . . . . . . . 3132HRMN7 FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 8,595 . . . . . . . . . 8,595 . . . . . . . . . 8,698 . . . . . . . . . 8,678 . . . . . . . . . . . . . . . . . . . . . . (83) . . . . . . . . . . . . . . . . . . . . . . (83) . . . . . . . . . . . . . . . . . . . . 8,595 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 01/01/2043 1 . . . . . . . . . 3132J65C4 . . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 14,422 . . . . . . . . 14,422 . . . . . . . . 13,540 . . . . . . . . 13,709 . . . . . . . . . . . . . . . . . . . . . . 713 . . . . . . . . . . . . . . . . . . . . . . 713 . . . . . . . . . . . . . . . . . . . 14,422 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69 02/01/2043 1 . . . . . . . . . 3132J86E5 . . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 7,372 . . . . . . . . . 7,372 . . . . . . . . . 7,460 . . . . . . . . . 7,438 . . . . . . . . . . . . . . . . . . . . . . (66) . . . . . . . . . . . . . . . . . . . . . . (66) . . . . . . . . . . . . . . . . . . . . 7,372 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 04/01/2043 1 . . . . . . . . . 3132JA6M2 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 41,025 . . . . . . . . 41,025 . . . . . . . . 41,501 . . . . . . . . 41,381 . . . . . . . . . . . . . . . . . . . . . (356) . . . . . . . . . . . . . . . . . . . . . (356) . . . . . . . . . . . . . . . . . . . 41,025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222 06/01/2043 1 . . . . . . . . . 3132M7XP8 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 10,990 . . . . . . . . 10,990 . . . . . . . . 11,179 . . . . . . . . 11,109 . . . . . . . . . . . . . . . . . . . . . (118) . . . . . . . . . . . . . . . . . . . . . (118) . . . . . . . . . . . . . . . . . . . 10,990 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61 07/01/2044 1 . . . . . . . . . 3132M9A61 . FREDDIE MAC GOLD POOL . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 8,566 . . . . . . . . . 8,566 . . . . . . . . . 8,758 . . . . . . . . . 8,708 . . . . . . . . . . . . . . . . . . . . . (142) . . . . . . . . . . . . . . . . . . . . . (142) . . . . . . . . . . . . . . . . . . . . 8,566 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53 09/01/2044 1 . . . . . . . . . 3137A7JV3 . . FREDDIE MAC MULTIFAMILY

STRUCTURED PASS . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (85) . . . . . . . . . . . . 20 . . . . . . . . . . . . . . . . . . . . . . . 96 . . . . . . . . . . . . 3 . . . . . . . . . . 93 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 11/01/2017 1 . . . . . . . . . 3137EADJ5 . FEDERAL HOME LOAN MORTGAGE

CORP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 MORGAN STANLEY & CO . . X X X. . . . . . . . . 11,710,518 . . . . . 11,700,000 . . . . . 11,705,515 . . . . . 11,692,699 . . . . . . . . . . . . . . . . . . . . . 2,102 . . . . . . . . . . . . . . . . . . . . . 2,102 . . . . . . . . . . . . . . . . 11,694,801 . . . . . . . . . . . . . . . . . . . . 15,717 . . . . . . . . 15,717 . . . . . . . 69,225 07/28/2017 1 . . . . . . . . . 3138A5GY2 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 3,019 . . . . . . . . . 3,019 . . . . . . . . . 3,003 . . . . . . . . . 3,006 . . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . . . . . . . . . . . . . . . 3,019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 02/01/2041 1 . . . . . . . . . 3138AVQX6 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 11,079 . . . . . . . . 11,079 . . . . . . . . 11,576 . . . . . . . . 11,415 . . . . . . . . . . . . . . . . . . . . . (336) . . . . . . . . . . . . . . . . . . . . . (336) . . . . . . . . . . . . . . . . . . . 11,079 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72 10/01/2041 1 . . . . . . . . . 3138EG2V5 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 134,074 . . . . . . . 134,074 . . . . . . . 141,406 . . . . . . . 139,793 . . . . . . . . . . . . . . . . . . . . (5,719) . . . . . . . . . . . . . . . . . . . . (5,719) . . . . . . . . . . . . . . . . . . 134,074 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 699 08/01/2026 1 . . . . . . . . . 3138M7PV1 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 90,161 . . . . . . . . 90,161 . . . . . . . . 93,520 . . . . . . . . 93,210 . . . . . . . . . . . . . . . . . . . . (2,724) . . . . . . . . . 325 . . . . . . . (3,049) . . . . . . . . . . . . . . . . . . . 90,161 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 436 08/01/2027 1 . . . . . . . . . 3138WAQP5 FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 44,717 . . . . . . . . 44,717 . . . . . . . . 47,185 . . . . . . . . 46,665 . . . . . . . . . . . . . . . . . . . . (1,901) . . . . . . . . . . 47 . . . . . . . (1,948) . . . . . . . . . . . . . . . . . . . 44,717 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259 12/01/2028 1 . . . . . . . . . 3138WEAN9 FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 215,827 . . . . . . . 215,827 . . . . . . . 224,515 . . . . . . . 222,165 . . . . . . . . . . . . . . . . . . . . (6,072) . . . . . . . . . 266 . . . . . . . (6,338) . . . . . . . . . . . . . . . . . . 215,827 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 976 02/01/2030 1 . . . . . . . . . 3138WERL5 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 16,109 . . . . . . . . 16,109 . . . . . . . . 16,752 . . . . . . . . 16,485 . . . . . . . . . . . . . . . . . . . . . (376) . . . . . . . . . . . . . . . . . . . . . (376) . . . . . . . . . . . . . . . . . . . 16,109 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78 05/01/2045 1 . . . . . . . . . 3138WGVP6 FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 146,542 . . . . . . . 146,542 . . . . . . . 152,701 . . . . . . . 150,009 . . . . . . . . . . . . . . . . . . . . (3,467) . . . . . . . . . . . . . . . . . . . . (3,467) . . . . . . . . . . . . . . . . . . 146,542 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 555 03/01/2031 1 . . . . . . . . . 3138X5S40 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 12,420 . . . . . . . . 12,420 . . . . . . . . 12,814 . . . . . . . . 12,702 . . . . . . . . . . . . . . . . . . . . . (283) . . . . . . . . . . . . . . . . . . . . . (283) . . . . . . . . . . . . . . . . . . . 12,420 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60 09/01/2028 1 . . . . . . . . . 3138X6WW1 FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 25,373 . . . . . . . . 25,373 . . . . . . . . 26,125 . . . . . . . . 25,902 . . . . . . . . . . . . . . . . . . . . . (529) . . . . . . . . . . . . . . . . . . . . . (529) . . . . . . . . . . . . . . . . . . . 25,373 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109 10/01/2028 1 . . . . . . . . . 3140EUYX1 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 58,268 . . . . . . . . 58,268 . . . . . . . . 60,699 . . . . . . . . 59,603 . . . . . . . . . . . . . . . . . . . . (1,335) . . . . . . . . . . . . . . . . . . . . (1,335) . . . . . . . . . . . . . . . . . . . 58,268 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218 02/01/2031 1 . . . . . . . . . 31410F5H4 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 9,009 . . . . . . . . . 9,009 . . . . . . . . . 8,886 . . . . . . . . . 8,945 . . . . . . . . . . . . . . . . . . . . . . . 64 . . . . . . . . . . . . . . . . . . . . . . . 64 . . . . . . . . . . . . . . . . . . . . 9,009 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69 05/01/2022 1 . . . . . . . . . 31410LCN0 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 4,204 . . . . . . . . . 4,204 . . . . . . . . . 4,425 . . . . . . . . . 4,341 . . . . . . . . . . . . . . . . . . . . . (137) . . . . . . . . . . . . . . . . . . . . . (137) . . . . . . . . . . . . . . . . . . . . 4,204 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 09/01/2039 1 . . . . . . . . . 31410LFR8 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 6,803 . . . . . . . . . 6,803 . . . . . . . . . 7,175 . . . . . . . . . 7,099 . . . . . . . . . . . . . . . . . . . . . (296) . . . . . . . . . . . . . . . . . . . . . (296) . . . . . . . . . . . . . . . . . . . . 6,803 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 11/01/2026 1 . . . . . . . . . 31416XGK0 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 226,836 . . . . . . . 226,836 . . . . . . . 230,184 . . . . . . . 229,270 . . . . . . . . . . . . . . . . . . . . (2,433) . . . . . . . . . . . . . . . . . . . . (2,433) . . . . . . . . . . . . . . . . . . 226,836 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,350 01/01/2041 1 . . . . . . . . . 31419BBM6 . FANNIE MAE POOL . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 30,836 . . . . . . . . 30,836 . . . . . . . . 31,710 . . . . . . . . 31,442 . . . . . . . . . . . . . . . . . . . . . (606) . . . . . . . . . . . . . . . . . . . . . (606) . . . . . . . . . . . . . . . . . . . 30,836 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210 11/01/2040 1 . . . . . . . . . 38379RJK0 . GOVERNMENT NATIONAL MORTGAGE

ASSOCIATION . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 50,196 . . . . . . . . 50,196 . . . . . . . . 50,343 . . . . . . . . 50,343 . . . . . . . . . . . . . . . . . . . . . (147) . . . . . . . . . . . . . . . . . . . . . (147) . . . . . . . . . . . . . . . . . . . 50,196 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202 09/01/2046 1 . . . . . . . . . 67756A2K7 . OHIO HIGHER EDUCATIONAL FACILITY

COMMISS . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/01/2017 MATURITY . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 120,000 . . . . . . . 120,000 . . . . . . . 120,000 . . . . . . . 120,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,639 01/01/2017 1FE . . . . . .

3199999 Subtotal - Bonds - U.S. Special Revenue, Special Assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . 13,963,678 . . . . . 13,953,158 . . . . . 14,028,138 . . . . . 13,997,332 . . . . . . . . . . . . . . . . . . . (45,878) . . . . . . . . 3,381 . . . . . . (49,259) . . . . . . . . . . . . . . . . 13,947,961 . . . . . . . . . . . . . . . . . . . . 15,717 . . . . . . . . 15,717 . . . . . . . 81,333 X X X. . . X X X. . .

00214JAC4 . ARI FLEET LEASE TRUST 2014-A . . . . . . . . 03/15/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 78,298 . . . . . . . . 78,298 . . . . . . . . 78,103 . . . . . . . . 78,167 . . . . . . . . . . . . . . . . . . . . . . 131 . . . . . . . . . . . . . . . . . . . . . . 131 . . . . . . . . . . . . . . . . . . . 78,298 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104 11/15/2022 1FE . . . . . . 00817YAH1 . AETNA INC . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/29/2017 CALL 106.488 . . . . . . . . . . . . . X X X. . . . . . . . . . 2,000,000 . . . . . . 2,000,000 . . . . . . 2,126,233 . . . . . . 2,123,767 . . . . . . . . . . . . . . . . . . . . (6,656) . . . . . . . 19,987 . . . . . . (26,643) . . . . . . . . . . . . . . . . . 2,097,123 . . . . . . . . . . . . . . . . . . . (97,123) . . . . . . . (97,123) . . . . . . 175,404 09/01/2020 2FE . . . . . . 00817YAU2 . AETNA INC . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/16/2017 CALL 101 . . . . . . . . . . . . . . . . . X X X. . . . . . . . . . 4,000,000 . . . . . . 4,000,000 . . . . . . 3,981,877 . . . . . . 3,999,628 . . . . . . . . . . . . . . . . . . . . . . 722 . . . . . . . 17,748 . . . . . . (17,026) . . . . . . . . . . . . . . . . . 3,982,602 . . . . . . . . . . . . . . . . . . . . 17,398 . . . . . . . . 17,398 . . . . . . . 64,267 06/15/2021 2FE . . . . . . 03064XAE4 . AMERICREDIT AUTOMOBILE

RECEIVABLES TRUST . . . . . . . . . . . . . . . . . . 01/08/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 5,556 . . . . . . . . . 5,556 . . . . . . . . . 5,556 . . . . . . . . . 5,556 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,556 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 11/08/2018 1FE . . . . . . 05947UR91 . BANC OF AMERICA MERRILL LYNCH

COMMERCIAL . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 14,589 . . . . . . . . 14,589 . . . . . . . . 14,532 . . . . . . . . 14,528 . . . . . . . . . . . . . . . . . . . . . . . 61 . . . . . . . . . . . . . . . . . . . . . . . 61 . . . . . . . . . . . . . . . . . . . 14,589 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60 07/01/2043 1FM . . . . . . 059513AE1 . BANC OF AMERICA COMMERCIAL

MORTGAGE TRUS . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 105,945 . . . . . . . 105,945 . . . . . . . 108,150 . . . . . . . 107,839 . . . . . . . . . . . . . . . . . . . . (1,741) . . . . . . . . . 152 . . . . . . . (1,893) . . . . . . . . . . . . . . . . . . 105,945 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 668 02/01/2051 1FM . . . . . . 07384M4C3 . BEAR STEARNS ARM TRUST 2004-10 . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 24,272 . . . . . . . . 24,272 . . . . . . . . 12,566 . . . . . . . . 22,355 . . . . . . . . . . . . . . . . . . . . . 1,917 . . . . . . . . . . . . . . . . . . . . . 1,917 . . . . . . . . . . . . . . . . . . . 24,272 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120 01/01/2035 6FM . . . . . .

Bonds - U.S. Governments

Bonds - U.S. Special Revenue, Special Assessment

Bonds - Industrial and Miscellaneous (Unaffiliated)

QE

05.1




F 11 12 13 14 15

o






07388QAE9 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 222,343 . . . . . . . 222,343 . . . . . . . 240,820 . . . . . . . 225,061 . . . . . . . . . . . . . . . . . . . . (2,719) . . . . . . . . . . . . . . . . . . . . (2,719) . . . . . . . . . . . . . . . . . . 222,343 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,529 06/01/2050 1FM . . . . . . 07388RAE7 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 02/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,110,143 . . . . . . 1,110,143 . . . . . . 1,114,721 . . . . . . 1,117,390 . . . . . . . . . . . . . . . . . . . . . (621) . . . . . . . . 6,625 . . . . . . . (7,246) . . . . . . . . . . . . . . . . . 1,110,143 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,475 02/01/2044 1FE . . . . . . 07388YAE2 . BEAR STEARNS COMMERCIAL

MORTGAGE SECURIT . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,658,818 . . . . . . 1,658,818 . . . . . . 1,746,340 . . . . . . 1,665,131 . . . . . . . . . . . . . . . . . . . . (1,692) . . . . . . . . 4,620 . . . . . . . (6,312) . . . . . . . . . . . . . . . . . 1,658,818 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,905 06/01/2040 1FM . . . . . . 12514AAE1 . CD 2007-CD5 MORTGAGE TRUST . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 1,316,174 . . . . . . 1,316,174 . . . . . . 1,356,279 . . . . . . 1,352,241 . . . . . . . . . . . . . . . . . . . (22,119) . . . . . . . 13,949 . . . . . . (36,068) . . . . . . . . . . . . . . . . . 1,316,174 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,824 11/01/2044 1FM . . . . . . 12543DAR1 . CHS/COMMUNITY HEALTH SYSTEMS

INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/13/2017 CA_CASH_CLOSE . . . . . . . . . X X X. . . . . . . . . . . . 407,729 . . . . . . . 402,000 . . . . . . . 399,591 . . . . . . . 393,960 . . . . . . . 11,249 . . . . . . . 13,768 . . . . . . . 11,249 . . . . . . . 13,768 . . . . . . . . . . . . . . . . . . 407,729 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,075 08/15/2018 3FE . . . . . . 12624VAA0 . CPS AUTO TRUST . . . . . . . . . . . . . . . . . . . . . 03/15/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 2,035 . . . . . . . . . 2,035 . . . . . . . . . 2,023 . . . . . . . . . 2,030 . . . . . . . . . . . . . . . . . . . . . . . . . 6 . . . . . . . . . . . . . . . . . . . . . . . . . 6 . . . . . . . . . . . . . . . . . . . . 2,035 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 03/16/2020 1FE . . . . . . 12626BAA2 . COMM 2013-CCRE10 MORTGAGE

TRUST . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 45,741 . . . . . . . . 45,741 . . . . . . . . 45,444 . . . . . . . . 45,470 . . . . . . . . . . . . . . . . . . . . . . 271 . . . . . . . . . . . . . . . . . . . . . . 271 . . . . . . . . . . . . . . . . . . . 45,741 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121 08/01/2046 1FM . . . . . . 12631BAA5 . CPS AUTO RECEIVABLES TRUST

2014-A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/15/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 42,408 . . . . . . . . 42,408 . . . . . . . . 42,263 . . . . . . . . 42,349 . . . . . . . . . . . . . . . . . . . . . . . 59 . . . . . . . . . . . . . . . . . . . . . . . 59 . . . . . . . . . . . . . . . . . . . 42,408 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 08/15/2018 1FE . . . . . . 126650BP4 . CVS PASS-THROUGH TRUST . . . . . . . . . . . 03/10/2017 SINKING PAYMENT . . . . . . . . X X X. . . . . . . . . . . . . . 2,738 . . . . . . . . . 2,738 . . . . . . . . . 2,831 . . . . . . . . . 2,823 . . . . . . . . . . . . . . . . . . . . . . (86) . . . . . . . . . . . . . . . . . . . . . . (86) . . . . . . . . . . . . . . . . . . . . 2,738 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 12/10/2028 2FE . . . . . . 12667FB46 . . ALTERNATIVE LOAN TRUST 2004-33 . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . 3,704 . . . . . . . . . 4,125 . . . . . . . . . 3,437 . . . . . . . . . 2,428 . . . . . . . . . . . . . . . . . . . . . . 912 . . . . . . . . . . 77 . . . . . . . . . 835 . . . . . . . . . . . . . . . . . . . . 3,263 . . . . . . . . . . . . . . . . . . . . . . 441 . . . . . . . . . . . 441 . . . . . . . . . . 22 12/01/2034 1FM . . . . . . 14916RAB0 . CATHOLIC HEALTH INITIATIVES . . . . . . . . . 03/13/2017 JPM SECURITIES-FIXED . . . X X X. . . . . . . . . . 1,100,671 . . . . . . 1,100,000 . . . . . . 1,090,047 . . . . . . 1,096,731 . . . . . . . . . . . . . . . . . . . . . . 811 . . . . . . . . . . . . . . . . . . . . . . 811 . . . . . . . . . . . . . . . . . 1,097,542 . . . . . . . . . . . . . . . . . . . . . 3,129 . . . . . . . . . 3,129 . . . . . . . . 6,600 11/01/2017 1FE . . . . . . 17309RAA0 . CITIGROUP MORTGAGE LOAN TRUST

2006-AR6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 10,073 . . . . . . . . 10,964 . . . . . . . . . 4,732 . . . . . . . . . 9,701 . . . . . . . . . . . . . . . . . . . . . 1,346 . . . . . . . . . . 82 . . . . . . . . 1,264 . . . . . . . . . . . . . . . . . . . 10,964 . . . . . . . . . . . . . . . . . . . . . (891) . . . . . . . . . . (891) . . . . . . . . . . 61 08/01/2036 1FM . . . . . . 17318UAA2 . CITIGROUP COMMERCIAL MORTGAGE

TRUST 2012 . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 121,136 . . . . . . . 121,136 . . . . . . . 119,963 . . . . . . . 120,255 . . . . . . . . . . . . . . . . . . . . . . 881 . . . . . . . . . . . . . . . . . . . . . . 881 . . . . . . . . . . . . . . . . . . 121,136 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145 09/01/2045 1FM . . . . . . 20173VAE0 . COMMERCIAL MORTGAGE TRUST

2007-GG11 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 450,440 . . . . . . . 450,440 . . . . . . . 484,061 . . . . . . . 455,954 . . . . . . . . . . . . . . . . . . . . (5,514) . . . . . . . . . . . . . . . . . . . . (5,514) . . . . . . . . . . . . . . . . . . 450,440 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,423 12/01/2049 1FM . . . . . . 29372EBC1 . ENTERPRISE FLEET FINANCING LLC . . . . . 03/20/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 44,541 . . . . . . . . 44,541 . . . . . . . . 44,251 . . . . . . . . 44,456 . . . . . . . . . . . . . . . . . . . . . . . 86 . . . . . . . . . . . . . . . . . . . . . . . 86 . . . . . . . . . . . . . . . . . . . 44,541 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144 09/20/2019 1FE . . . . . . 31620MAH9 . FIDELITY NATIONAL INFORMATION

SERVICES I . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2017 CALL 102.5 . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 125,000 . . . . . . . 125,000 . . . . . . . 125,000 . . . . . . . 125,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,250 03/15/2022 2FE . . . . . . 35562TAG7 . FREMF 2011-K701 MORTGAGE TRUST . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253 . . . . . . . . . . . . 71 . . . . . . . . . . . . . . . . . . . . . . 384 . . . . . . . . . . . . . . . . . . . . . . 384 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 07/01/2048 1FE . . . . . . 36198FAA0 . GS MORTGAGE SECURITIES TRUST

2013-GCJ14 . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 101,585 . . . . . . . 101,585 . . . . . . . 100,929 . . . . . . . 100,988 . . . . . . . . . . . . . . . . . . . . . . 597 . . . . . . . . . . . . . . . . . . . . . . 597 . . . . . . . . . . . . . . . . . . 101,585 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215 08/01/2046 1FM . . . . . . 362334GR9 . GSAA TRUST . . . . . . . . . . . . . . . . . . . . . . . . . 03/25/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . 303 . . . . . . . . . . . 303 . . . . . . . . . . . 128 . . . . . . . . . . . 180 . . . . . . . . . . . . . . . . . . . . . . 125 . . . . . . . . . . . . 2 . . . . . . . . . 123 . . . . . . . . . . . . . . . . . . . . . . 303 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/25/2036 1FM . . . . . . 36248EAA3 . GS MORTGAGE SECURITIES TRUST

2010-C2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 18,936 . . . . . . . . 18,936 . . . . . . . . 19,972 . . . . . . . . 18,936 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,936 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127 12/01/2043 1FM . . . . . . 45660NRL1 . RESIDENTIAL ASSET SECURITIZATION

TRUST 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . 323 . . . . . . . . . . . 323 . . . . . . . . . . . 309 . . . . . . . . . . . 320 . . . . . . . . . . . . . . . . . . . . . . . . . 4 . . . . . . . . . . . . . . . . . . . . . . . . . 4 . . . . . . . . . . . . . . . . . . . . . . 323 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 10/01/2018 6FM . . . . . . 50180JAD7 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2007-C2 . . . . . . . . . . . . . . . . . . . . . . . 02/11/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 985,241 . . . . . . . 985,241 . . . . . . 1,001,504 . . . . . . . 996,734 . . . . . . . . . . . . . . . . . . . . (2,001) . . . . . . . . 9,492 . . . . . . (11,493) . . . . . . . . . . . . . . . . . . 985,241 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,541 02/11/2040 1FE . . . . . . 50180LAC4 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2008-C1 . . . . . . . . . . . . . . . . . . . . . . . 03/11/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 217,107 . . . . . . . 217,107 . . . . . . . 226,264 . . . . . . . 225,191 . . . . . . . . . . . . . . . . . . . . (7,971) . . . . . . . . . 113 . . . . . . . (8,084) . . . . . . . . . . . . . . . . . . 217,107 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,446 04/11/2041 1FM . . . . . . 52109PAE5 . LB-UBS COMMERCIAL MORTGAGE

TRUST 2007-C6 . . . . . . . . . . . . . . . . . . . . . . . 03/11/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 145,664 . . . . . . . 145,664 . . . . . . . 147,473 . . . . . . . 147,025 . . . . . . . . . . . . . . . . . . . . (1,005) . . . . . . . . . 355 . . . . . . . (1,360) . . . . . . . . . . . . . . . . . . 145,664 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,884 07/11/2040 1FM . . . . . . 571748BB7 . MARSH & MCLENNAN COS INC . . . . . . . . . . 01/11/2017 GOLDMAN SACHS & CO, . . . X X X. . . . . . . . . . . . 720,288 . . . . . . . 720,000 . . . . . . . 719,014 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . 719,014 . . . . . . . . . . . . . . . . . . . . . 1,274 . . . . . . . . . 1,274 . . . . . . . . . 275 01/30/2022 1FE . . . . . . 59025WAE6 . MERRILL LYNCH MORTGAGE TRUST

2008-C1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 43,044 . . . . . . . . 43,044 . . . . . . . . 46,786 . . . . . . . . 43,757 . . . . . . . . . . . . . . . . . . . . . (714) . . . . . . . . . . . . . . . . . . . . . (714) . . . . . . . . . . . . . . . . . . . 43,044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377 02/01/2051 1FM . . . . . . 617446C23 . . MORGAN STANLEY . . . . . . . . . . . . . . . . . . . . 01/09/2017 MATURITY . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 300,000 . . . . . . . 300,000 . . . . . . . 305,580 . . . . . . . 300,080 . . . . . . . . . . . . . . . . . . . . . . (80) . . . . . . . . . . . . . . . . . . . . . . (80) . . . . . . . . . . . . . . . . . . 300,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,175 01/09/2017 1FE . . . . . . 61759LAA6 . MORGAN STANLEY RE-REMIC TRUST

2010-GG10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 171,108 . . . . . . . 171,108 . . . . . . . 172,522 . . . . . . . 173,116 . . . . . . . . . . . . . . . . . . . . . (609) . . . . . . . . 1,399 . . . . . . . (2,008) . . . . . . . . . . . . . . . . . . 171,108 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,487 08/04/2045 1FM . . . . . . 61760VAM5 . MORGAN STANLEY CAPITAL I TRUST

2012-C4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 02/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 398,013 . . . . . . . 398,013 . . . . . . . 397,744 . . . . . . . 397,768 . . . . . . . . . . . . . . . . . . . . . . 245 . . . . . . . . . . . . . . . . . . . . . . 245 . . . . . . . . . . . . . . . . . . 398,013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,381 03/01/2045 1FM . . . . . . 67741YAA6 . OHIO PHASE-IN-RECOVERY FUNDING

LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 01/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 204,128 . . . . . . . 204,128 . . . . . . . 203,441 . . . . . . . 203,861 . . . . . . . . . . . . . . . . . . . . . . 267 . . . . . . . . . . . . . . . . . . . . . . 267 . . . . . . . . . . . . . . . . . . 204,128 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 978 07/01/2018 1FE . . . . . . 723787AG2 . PIONEER NATURAL RESOURCES CO . . . . 03/15/2017 MATURITY . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 150,000 . . . . . . . 150,000 . . . . . . . 154,757 . . . . . . . 150,580 . . . . . . . . . . . . . . . . . . . . . (580) . . . . . . . . . . . . . . . . . . . . . (580) . . . . . . . . . . . . . . . . . . 150,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,988 03/15/2017 2FE . . . . . . 74113AAE6 . PRESTIGE AUTO RECEIVABLES TRUST

2014-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 235,338 . . . . . . . 235,338 . . . . . . . 234,529 . . . . . . . 235,017 . . . . . . . . . . . . . . . . . . . . . . 321 . . . . . . . . . . . . . . . . . . . . . . 321 . . . . . . . . . . . . . . . . . . 235,338 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596 04/15/2020 1FE . . . . . . 863579XK9 . STRUCTURED ADJUSTABLE RATE

MORTGAGE LOAN . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 11,438 . . . . . . . . 11,438 . . . . . . . . . 5,268 . . . . . . . . 10,016 . . . . . . . . . . . . . . . . . . . . . 1,421 . . . . . . . . . . . . . . . . . . . . . 1,421 . . . . . . . . . . . . . . . . . . . 11,438 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 09/01/2035 1FM . . . . . . 86358RR66 . STRUCTURED ASSET SEC CORP

MORT PASS-THR . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . 77 . . . . . . . . . . . . 77 . . . . . . . . . . . . 46 . . . . . . . . . . . . 67 . . . . . . . . . . . . . . . . . . . . . . . 10 . . . . . . . . . . . . . . . . . . . . . . . 10 . . . . . . . . . . . . . . . . . . . . . . . 77 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 07/01/2032 1FM . . . . . . 90349DAA0 . UBS-BARCLAYS COMMERCIAL

MORTGAGE TRUST 2 . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 157,666 . . . . . . . 157,666 . . . . . . . 156,030 . . . . . . . 156,442 . . . . . . . . . . . . . . . . . . . . . 1,224 . . . . . . . . . . . . . . . . . . . . . 1,224 . . . . . . . . . . . . . . . . . . 157,666 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 198 08/01/2049 1FM . . . . . . 928668AA0 . VOLKSWAGEN GROUP OF AMERICA

FINANCE LLC . . . . . . . . . . . . . . . . . . . . . . . . . 03/14/2017 VARIOUS . . . . . . . . . . . . . . . . X X X. . . . . . . . . . 3,497,450 . . . . . . 3,500,000 . . . . . . 3,382,319 . . . . . . 3,471,111 . . . . . . . . . . . . . . . . . . . . 10,143 . . . . . . . . . . . . . . . . . . . . 10,143 . . . . . . . . . . . . . . . . . 3,481,254 . . . . . . . . . . . . . . . . . . . . 16,196 . . . . . . . . 16,196 . . . . . . . 10,712 05/23/2017 2FE . . . . . . 92922FNW4 . WAMU MORTGAGE PASS-THROUGH

CERTIFICATES . . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . 208 . . . . . . . . . . . 208 . . . . . . . . . . . 143 . . . . . . . . . . . 156 . . . . . . . . . . . . . . . . . . . . . . . 52 . . . . . . . . . . . . . . . . . . . . . . . 52 . . . . . . . . . . . . . . . . . . . . . . 208 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 04/01/2044 1FM . . . . . .

QE

05.2




F 11 12 13 14 15

o






92930RAA0 . WFRBS COMMERCIAL MORTGAGE

TRUST 2012-C9 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 180,674 . . . . . . . 180,674 . . . . . . . 179,330 . . . . . . . 179,455 . . . . . . . . . . . . . . . . . . . . . 1,219 . . . . . . . . . . . . . . . . . . . . . 1,219 . . . . . . . . . . . . . . . . . . 180,674 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211 11/01/2045 1FM . . . . . . 92935JAE5 . . WF-RBS COMMERCIAL MORTGAGE

TRUST 2011-C2 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (563) . . . . . . . . . . . 160 . . . . . . . . . . . . . . . . . . . . . . 258 . . . . . . . . . . . . 5 . . . . . . . . . 253 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 02/01/2044 1FE . . . . . . 92936QAC2 . WFRBS COMMERCIAL MORTGAGE

TRUST 2012-C6 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 557,822 . . . . . . . 557,822 . . . . . . . 557,714 . . . . . . . 557,718 . . . . . . . . . . . . . . . . . . . . . . 105 . . . . . . . . . . . . . . . . . . . . . . 105 . . . . . . . . . . . . . . . . . . 557,822 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,614 04/01/2045 1FM . . . . . . 92936TAA0 . WFRBS COMMERCIAL MORTGAGE

TRUST 2012-C7 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . 14,060 . . . . . . . . 14,060 . . . . . . . . 13,779 . . . . . . . . 13,810 . . . . . . . . . . . . . . . . . . . . . . 250 . . . . . . . . . . . . . . . . . . . . . . 250 . . . . . . . . . . . . . . . . . . . 14,060 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 06/01/2045 1FM . . . . . . 92936YAK7 . WFRBS COMMERCIAL MORTGAGE

TRUST 2012-C8 . . . . . . . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 888 . . . . . . . . . 1,250 . . . . . . . . . . . . . . . . . . . . . . 744 . . . . . . . . . . 48 . . . . . . . . . 696 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69 08/01/2045 1FE . . . . . . 94974BFV7 . WELLS FARGO & CO . . . . . . . . . . . . . . . . . . . 02/27/2017 DEUTSCHE BANC/ALEX B . . X X X. . . . . . . . . . 1,504,238 . . . . . . 1,500,000 . . . . . . 1,482,532 . . . . . . 1,486,601 . . . . . . . . . . . . . . . . . . . . . . 936 . . . . . . . . . . . . . . . . . . . . . . 936 . . . . . . . . . . . . . . . . . 1,487,536 . . . . . . . . . . . . . . . . . . . . 16,701 . . . . . . . . 16,701 . . . . . . . . 7,465 04/22/2019 1FE . . . . . . 94988HAA9 . WELLS FARGO COMMERCIAL

MORTGAGE TRUST 20 . . . . . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . . . 195,955 . . . . . . . 195,955 . . . . . . . 193,868 . . . . . . . 194,425 . . . . . . . . . . . . . . . . . . . . . 1,530 . . . . . . . . . . . . . . . . . . . . . 1,530 . . . . . . . . . . . . . . . . . . 195,955 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233 10/01/2045 1FM . . . . . . 064159HC3 . BANK OF NOVA SCOTIA/THE . . . . . . . . . A 03/14/2017 TORONTO DOMINION SEC . X X X. . . . . . . . . . 2,000,580 . . . . . . 2,000,000 . . . . . . 1,997,620 . . . . . . 1,998,360 . . . . . . . . . . . . . . . . . . . . . . 151 . . . . . . . . . . . . . . . . . . . . . . 151 . . . . . . . . . . . . . . . . . 1,998,511 . . . . . . . . . . . . . . . . . . . . . 2,069 . . . . . . . . . 2,069 . . . . . . . 26,217 01/15/2019 1FE . . . . . . 999999AA3 . UNINSURED CASH FLOWS . . . . . . . . . . . . . 03/01/2017 PAYDOWN . . . . . . . . . . . . . . . X X X. . . . . . . . . . 3,874,716 . . . . . . 3,826,098 . . . . . . 1,430,317 . . . . . . 1,165,683 . . . . . . . . . . . . . . . . . . . 868,728 . . . . . . . . . . . . . . . . . . . 868,728 . . . . . . . . . . . . . . . . . 2,034,411 . . . . . . . . . . . . . . . . . 1,840,306 . . . . . . 1,840,306 . . . . . . . . . . . . . 02/25/2038 6FE . . . . . .

3899999 Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . 28,578,316 . . . . . 28,522,056 . . . . . 26,279,316 . . . . . 25,281,698 . . . . . . . 11,249 . . . . . . 855,578 . . . . . . . 85,903 . . . . . . 780,924 . . . . . . . . . . . . . . . . 26,778,816 . . . . . . . . . . . . . . . . . 1,799,500 . . . . . . 1,799,500 . . . . . . 392,617 X X X. . . X X X. . .

8399997 Subtotal - Bonds - Part 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . . . 44,707,841 . . . . . 44,641,061 . . . . . 42,484,189 . . . . . 41,447,082 . . . . . . . 11,249 . . . . . . 807,495 . . . . . . . 89,284 . . . . . . 729,460 . . . . . . . . . . . . . . . . 42,892,624 . . . . . . . . . . . . . . . . . 1,815,217 . . . . . . 1,815,217 . . . . . . 484,398 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. . . . . . . . . 44,707,841 . . . . . 44,641,061 . . . . . 42,484,189 . . . . . 41,447,082 . . . . . . . 11,249 . . . . . . 807,495 . . . . . . . 89,284 . . . . . . 729,460 . . . . . . . . . . . . . . . . 42,892,624 . . . . . . . . . . . . . . . . . 1,815,217 . . . . . . 1,815,217 . . . . . . 484,398 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. . . . . . . . . 44,707,841 X X X. . . . . . . . . . . . 42,484,189 . . . . . 41,447,082 . . . . . . . 11,249 . . . . . . 807,495 . . . . . . . 89,284 . . . . . . 729,460 . . . . . . . . . . . . . . . . 42,892,624 . . . . . . . . . . . . . . . . . 1,815,217 . . . . . . 1,815,217 . . . . . . 484,398 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 . . . . . . . . . . . . 293,901,059 0.75% - 2.50% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . 6,201 . . . (43,798) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957 . . . . . . . . . . . . . . . . . . . . . . . . . . . .

0109999 Subtotal - Purchased Options - Hedging Other - Caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 X X X . . . . . . . 6,201 . . . (43,798) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957 X X X. . . . . . . X X X. . . . . . .

0149999 Subtotal - Purchased Options - Hedging Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 X X X . . . . . . . 6,201 . . . (43,798) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 X X X . . . . . . . 6,201 . . . (43,798) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 X X X . . . . . . . 6,201 . . . (43,798) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957 X X X. . . . . . . X X X. . . . . . .

0809999 Total - Written Options - Caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X X X. . . . . . . X X X. . . . . . .

1409999 Subtotal - Hedging Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 X X X . . . . . . . 6,201 . . . (43,798) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957 X X X. . . . . . . X X X. . . . . . .

1449999 Totals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 X X X . . . . . . . 6,201 . . . (43,798) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,642,957 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. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . 1,642,957 . . . . . . . . 1,642,957

0299999 Subtotal - NAIC 1 Designation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . 1,642,957 . . . . . . . . 1,642,957

0399999 Subtotal - NAIC 2 Designation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .





0899999 Aggregate Sum of Central Clearinghouses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

0999999 Gross Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . 1,642,957 . . . . . . . . 1,642,957

NAIC 1 Designation

1. Offset per SSAP No. 64 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. Net after right of offset per SSAP No. 64 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,201 . . . . . . . . . . . . . . . . . . .

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 *

Bank of NY Mellon . . . . . . . . . . . . . . New York, NY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,952,680 . . . . 3,798,563 . . . . 4,532,167 X X XBarclays Bank PLC . . . . . . . . . . . . . London, United Kingdom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 712,248 . . . . . . . 712,248 . . . . 1,756,785 X X XBank of Oklahoma C/D 0.150% Tulsa, OK . . . . . . . . . . . . . . . . . . . . . . . . . 04/27/2017 SD. . . . . . . . 0.150 . . . . . . . . . . . . . . . . . . . . . . 14 . . . . . . . . 10,000 . . . . . . . . 10,000 . . . . . . . . 10,000 X X XU.S. Bank N.A. C/D 0.8900% . Portland, OR . . . . . . . . . . . . . . . . . . . . . 08/25/2017 SD. . . . . . . . 0.890 . . . . . . . . . . . . . . . . . . 1,619 . . . . . . . 300,457 . . . . . . . 300,457 . . . . . . . 300,457 X X XBank of NY Mellon Corp . . . . . . . Pittsburgh, PA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153 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. . . . . . . . . . . . . . . . . . . . . . . 1,633 . . . . 8,975,385 . . . . 4,821,268 . . . . 6,599,562 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. . . . . . . . . . . . . . . . . . . . . . . 1,633 . . . . 8,975,385 . . . . 4,821,268 . . . . 6,599,562 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. . . . . . . . . . . . . . . . . . . . . . . 1,633 . . . . 8,975,385 . . . . 4,821,268 . . . . 6,599,562 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 03/15/2017. . . . . . . . . . . . . . . . . . . . . . . 0.000 04/27/2017. . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,606

0199999 Subtotals - Bonds - U.S. Governments - Issuer Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,606

0599999 Subtotals - Bonds - U.S. Governments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,606

7799999 Subtotals - Bonds - Total Bonds - Issuer Obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,606

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

8199999 Subtotals - Bonds - SVO Identified Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8399999 Subtotals - Bonds - Total Bonds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,606

8499999 Sweep Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8599999 Other Cash Equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8699999 Total - Cash Equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,073,050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,606

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, 2017 OF THE CONDITION AND AFFAIRS OF …

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