QUARTERLY STATEMENT - Financial Guaranty · PDF filequarterly statement of the financial...

QUARTERLY STATEMENT

OF THE

FINANCIAL GUARANTY INSURANCECOMPANY

2016

OF

New York

IN THE STATE OF

New York

TO THE

INSURANCE DEPARTMENT

OF THE

STATE OF

AS OF

MARCH 31, 2016

PROPERTY AND CASUALTY

2016

STATEMENT AS OF MARCH 31, 2016 OF THE FINANCIAL GUARANTY INSURANCE COMPANY

ASSETSCurrent Statement Date 4

1

Assets

2

Nonadmitted Assets

3

Net Admitted Assets(Cols. 1 - 2)

December 31Prior Year Net

Admitted Assets

1. Bonds 2,117,663,683 2,117,663,683 2,146,297,367

2. Stocks:

2.1 Preferred stocks 0 0

2.2 Common stocks 116,838,864 116,838,864 90,473,223

3. Mortgage loans on real estate:

3.1 First liens 0 0

3.2 Other than first liens 0 0

4. Real estate:

4.1 Properties occupied by the company (less

$ encumbrances) 0 0

4.2 Properties held for the production of income

(less $ encumbrances) 0 0

4.3 Properties held for sale (less

$ encumbrances) 0 0

5. Cash ($ 4,205,440 ),

cash equivalents ($ 0 )

and short-term investments ($ 106,214,965 ) 110,420,405 110,420,405 76,790,016

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

7. Derivatives 0 0 0

8. Other invested assets 0 0 0

9. Receivables for securities 7,992,823 7,992,823 8,250

10. Securities lending reinvested collateral assets 0 0

11. Aggregate write-ins for invested assets 15,978,022 0 15,978,022 16,243,715

12. Subtotals, cash and invested assets (Lines 1 to 11) 2,368,893,797 0 2,368,893,797 2,329,812,571

13. Title plants less $ charged off (for Title insurers

only) 0 0

14. Investment income due and accrued 24,205,207 24,205,207 21,031,627

15. Premiums and considerations:

15.1 Uncollected premiums and agents’ balances in the course of

collection 0 0

15.2 Deferred premiums, agents’ balances and installments booked but

deferred and not yet due (including $ earned

but unbilled premiums) 0 0

15.3 Accrued retrospective premiums ($ ) and

contracts subject to redetermination ($ ) 0 0

16. Reinsurance:

16.1 Amounts recoverable from reinsurers 4,705 4,705 17,310

16.2 Funds held by or deposited with reinsured companies 0 0

16.3 Other amounts receivable under reinsurance contracts 0 0

17. Amounts receivable relating to uninsured plans 0 0

18.1 Current federal and foreign income tax recoverable and interest thereon 1,700,331 1,700,331 1,777,236

18.2 Net deferred tax asset 0 0

19. Guaranty funds receivable or on deposit 0 0

20. Electronic data processing equipment and software 0 0

21. Furniture and equipment, including health care delivery assets

($ ) 1,366,082 1,366,082 0 0

22. Net adjustment in assets and liabilities due to foreign exchange rates 0 0

23. Receivables from parent, subsidiaries and affiliates 1,239,654 1,239,654 598,625

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

25. Aggregate write-ins for other-than-invested assets 1,415,407 0 1,415,407 1,334,407

26. Total assets excluding Separate Accounts, Segregated Accounts and

Protected Cell Accounts (Lines 12 to 25) 2,398,825,183 1,366,082 2,397,459,101 2,354,571,776

27. From Separate Accounts, Segregated Accounts and Protected

Cell Accounts 0 0

28. Total (Lines 26 and 27) 2,398,825,183 1,366,082 2,397,459,101 2,354,571,776

DETAILS OF WRITE-INS

1101. Other Invested Assets 15,978,022 15,978,022 16,243,715

1102.

1103.

1198. Summary of remaining write-ins for Line 11 from overflow page 0 0 0 0

1199. Totals (Lines 1101 through 1103 plus 1198) (Line 11 above) 15,978,022 0 15,978,022 16,243,715

2501. Cash Surrender Value of Life Insurance Policies 1,157,606 1,157,606 1,157,526

2502. Premium Taxes and State Income Tax Refunds 257,801 257,801 176,881

2503. 0 0

2598. Summary of remaining write-ins for Line 25 from overflow page 0 0 0 0

2599. Totals (Lines 2501 through 2503 plus 2598) (Line 25 above) 1,415,407 0 1,415,407 1,334,407

2


LIABILITIES, SURPLUS AND OTHER FUNDS1

CurrentStatement Date

2December 31,

Prior Year

1. Losses (current accident year $ ) 1,917,075,889 1,895,922,071

2. Reinsurance payable on paid losses and loss adjustment expenses 0

3. Loss adjustment expenses 18,842,438 13,642,700

4. Commissions payable, contingent commissions and other similar charges 0

5. Other expenses (excluding taxes, licenses and fees) 8,667,940 11,871,643

6. Taxes, licenses and fees (excluding federal and foreign income taxes) 0

7.1Current federal and foreign income taxes (including $ on realized capital gains (losses)) 221,636 163,038

7.2 Net deferred tax liability 0

8. Borrowed money $ and interest thereon $ 0

9. Unearned premiums (after deducting unearned premiums for ceded reinsurance of $ 2,044,254 and

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

including $ for medical loss ratio rebate per the Public Health Service Act) 55,428,296 58,475,156

10. Advance premium 0

11. Dividends declared and unpaid:

11.1 Stockholders 0

11.2 Policyholders 0

12. Ceded reinsurance premiums payable (net of ceding commissions) 10,189 14,348

13. Funds held by company under reinsurance treaties 0

14. Amounts withheld or retained by company for account of others 0

15. Remittances and items not allocated 0

16. Provision for reinsurance (including $ certified) 0

17. Net adjustments in assets and liabilities due to foreign exchange rates 0

18. Drafts outstanding 0

19. Payable to parent, subsidiaries and affiliates 0

20. Derivatives 0 0

21. Payable for securities 12,726,557 142,430

22. Payable for securities lending 0

23. Liability for amounts held under uninsured plans 0

24. Capital notes $ and interest thereon $ 0

25. Aggregate write-ins for liabilities 318,086,156 307,940,390

26. Total liabilities excluding protected cell liabilities (Lines 1 through 25) 2,331,059,101 2,288,171,776

27. Protected cell liabilities 0

28. Total liabilities (Lines 26 and 27) 2,331,059,101 2,288,171,776

29. Aggregate write-ins for special surplus funds 0 0

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

31. Preferred capital stock 300,000,000 300,000,000

32. Aggregate write-ins for other than special surplus funds 0 0

33. Surplus notes 0

34. Gross paid in and contributed surplus 0

35. Unassigned funds (surplus) (248,600,000) (248,600,000)

36. Less treasury stock, at cost:

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

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

37. Surplus as regards policyholders (Lines 29 to 35, less 36) 66,400,000 66,400,000

38. Totals (Page 2, Line 28, Col. 3) 2,397,459,101 2,354,571,776


2501. Contingency Reserve 317,356,094 307,402,403

2502. Other Liabilities 730,062 537,987

2503.

2598. Summary of remaining write-ins for Line 25 from overflow page 0 0

2599. Totals (Lines 2501 through 2503 plus 2598) (Line 25 above) 318,086,156 307,940,390

2901.

2902.

2903.


2999. Totals (Lines 2901 through 2903 plus 2998) (Line 29 above) 0 0

3201.

3202.

3203.


3299. Totals (Lines 3201 through 3203 plus 3298) (Line 32 above) 0 0

3


STATEMENT OF INCOME1

Current Yearto Date

2Prior Year

to Date

3Prior Year Ended

December 31

UNDERWRITING INCOME

1. Premiums earned:

1.1 Direct (written $ 2,254,333 ) 5,397,030 41,806,330 75,078,9101.2 Assumed (written $ ) 0 01.3 Ceded (written $ 48,835 ) 144,672 409,834 1,516,2751.4 Net (written $ 2,205,498 ) 5,252,358 41,396,496 73,562,635

DEDUCTIONS:

2. Losses incurred (current accident year $ ):

2.1 Direct 21,575,470 44,423,530 99,333,4972.2 Assumed 0 02.3 Ceded 616,481 (665,637) (11,949,281)2.4 Net 20,958,989 45,089,167 111,282,778

3. Loss adjustment expenses incurred 6,524,509 1,562,824 7,465,8724. Other underwriting expenses incurred 7,634,593 7,221,752 27,755,2555. Aggregate write-ins for underwriting deductions 0 0 06. Total underwriting deductions (Lines 2 through 5) 35,118,091 53,873,743 146,503,9057. Net income of protected cells 0 08. Net underwriting gain (loss) (Line 1 minus Line 6 + Line 7) (29,865,733) (12,477,247) (72,941,270)

INVESTMENT INCOME

9. Net investment income earned 22,043,609 18,251,895 78,353,78310. Net realized capital gains (losses) less capital gains tax of $ 2,778,349 11,113,396 1,290,064 (2,660,597)11. Net investment gain (loss) (Lines 9 + 10) 33,157,005 19,541,959 75,693,186

OTHER INCOME

12. Net gain or (loss) from agents' or premium balances charged off

(amount recovered $ amount charged off $ ) 0 013. Finance and service charges not included in premiums 0 014. Aggregate write-ins for miscellaneous income 2,688,319 10,667,508 18,073,67615. Total other income (Lines 12 through 14) 2,688,319 10,667,508 18,073,67616. Net income before dividends to policyholders, after capital gains tax and before all other federal

and foreign income taxes (Lines 8 + 11 + 15) 5,979,591 17,732,220 20,825,59217. Dividends to policyholders 0 018. Net income, after dividends to policyholders, after capital gains tax and before all other federal

and foreign income taxes (Line 16 minus Line 17) 5,979,591 17,732,220 20,825,59219. Federal and foreign income taxes incurred (2,573,770) 3,924,858 7,633,46720. Net income (Line 18 minus Line 19)(to Line 22) 8,553,361 13,807,362 13,192,125

CAPITAL AND SURPLUS ACCOUNT

21. Surplus as regards policyholders, December 31 prior year 66,400,000 66,400,000 66,400,00022. Net income (from Line 20) 8,553,361 13,807,362 13,192,12523. Net transfers (to) from Protected Cell accounts 0 024. Change in net unrealized capital gains or (losses) less capital gains tax of

$ 759,461 1,410,280 1,404,223 8,812,84325. Change in net unrealized foreign exchange capital gain (loss) (21,793) (4,119,470) (2,925,722)26. Change in net deferred income tax 0 027. Change in nonadmitted assets 11,843 (276,462) 333,66228. Change in provision for reinsurance 0 029. Change in surplus notes 0 030. Surplus (contributed to) withdrawn from protected cells 0 031. Cumulative effect of changes in accounting principles 0 032. Capital changes:

32.1 Paid in 0 032.2 Transferred from surplus (Stock Dividend) 0 032.3 Transferred to surplus 0 0

33. Surplus adjustments:

33.1 Paid in 0 033.2 Transferred to capital (Stock Dividend) 0 033.3 Transferred from capital 0 0

34. Net remittances from or (to) Home Office 0 035. Dividends to stockholders 0 036. Change in treasury stock 0 037. Aggregate write-ins for gains and losses in surplus (9,953,691) (10,815,653) (19,412,908)38. Change in surplus as regards policyholders (Lines 22 through 37) 0 0 039. Surplus as regards policyholders, as of statement date (Lines 21 plus 38) 66,400,000 66,400,000 66,400,000


0501.

0502.

0503.

0598. Summary of remaining write-ins for Line 5 from overflow page 0 0 00599. TOTALS (Lines 0501 through 0503 plus 0598) (Line 5 above) 0 0 0

1401. Other Income 23,946 75,955 238,6631402. Salvage and Subrogation Income 2,664,373 10,591,553 17,835,0131403.

1498. Summary of remaining write-ins for Line 14 from overflow page 0 0 01499. TOTALS (Lines 1401 through 1403 plus 1498) (Line 14 above) 2,688,319 10,667,508 18,073,676

3701. (Increase) Decrease in Contingency Reserves (9,953,691) (10,815,653) (19,412,908)3702. 0 03703.

3798. Summary of remaining write-ins for Line 37 from overflow page 0 0 03799. TOTALS (Lines 3701 through 3703 plus 3798) (Line 37 above) (9,953,691) (10,815,653) (19,412,908)

4


CASH FLOW1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

Cash from Operations

1. Premiums collected net of reinsurance 2,743,485 3,498,777 11,773,0342. Net investment income 20,383,686 20,288,412 84,681,2753. Miscellaneous income 2,688,319 10,667,508 18,073,6764. Total (Lines 1 to 3) 25,815,490 34,454,697 114,527,9855. Benefit and loss related payments 1,129,940 235,043,643 234,201,4346. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts 0 0 07. Commissions, expenses paid and aggregate write-ins for deductions 11,252,524 8,472,580 31,114,8618. Dividends paid to policyholders 0 0 09. Federal and foreign income taxes paid (recovered) net of $ tax on capital

gains (losses) 69,075 3,268,895 12,466,38410. Total (Lines 5 through 9) 12,451,539 246,785,118 277,782,67911. Net cash from operations (Line 4 minus Line 10) 13,363,951 (212,330,421) (163,254,694)

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds 217,402,149 31,901,612 552,528,24912.2 Stocks 6,695,349 0 7,112,49712.3 Mortgage loans 0 0 012.4 Real estate 0 0 012.5 Other invested assets 844,315 519,781 2,740,38212.6 Net gains or (losses) on cash, cash equivalents and short-term investments 0 0 185,19812.7 Miscellaneous proceeds 4,466,469 0 0

12.8 Total investment proceeds (Lines 12.1 to 12.7) 229,408,282 32,421,393 562,566,32613. Cost of investments acquired (long-term only):

13.1 Bonds 176,526,369 156,708 657,014,57413.2 Stocks 31,403,509 0 64,506,65513.3 Mortgage loans 0 0 013.4 Real estate 0 0 013.5 Other invested assets 578,622 0 10,398,07113.6 Miscellaneous applications 0 9,932,865 1,791,398

13.7 Total investments acquired (Lines 13.1 to 13.6) 208,508,500 10,089,573 733,710,69814. Net increase (or decrease) in contract loans and premium notes 0 0 015. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) 20,899,782 22,331,820 (171,144,372)

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes 0 0 016.2 Capital and paid in surplus, less treasury stock 0 0 016.3 Borrowed funds 0 0 016.4 Net deposits on deposit-type contracts and other insurance liabilities 0 016.5 Dividends to stockholders 0 0 016.6 Other cash provided (applied) (633,344) (478,907) (159,087)

17. Net cash from financing and miscellaneous sources (Line 16.1 through Line 16.4 minus Line 16.5plus Line 16.6) (633,344) (478,907) (159,087)

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) 33,630,389 (190,477,508) (334,558,153)19. Cash, cash equivalents and short-term investments:

19.1 Beginning of year 76,790,016 411,348,169 411,348,16919.2 End of period (Line 18 plus Line 19.1) 110,420,405 220,870,661 76,790,016

5


NOTES TO FINANCIAL STATEMENTS

Organization and Background

Financial Guaranty Insurance Company (the “Company” or “FGIC”), a New York stock insurance corporation, is a wholly owned subsidiary of FGIC Corporation (“FGIC Corp.”), a Delaware corporation which emerged from a proceeding under Chapter 11 of the United States Bankruptcy Code on April 19, 2013.

FGIC previously issued financial guaranty insurance policies insuring public finance, structured finance and other obligations. FGIC is responsible for administering its outstanding policies in accordance with the Rehabilitation Plan (defined below), any NYSDFS Guidelines (defined below) and applicable law. The Company is no longer engaged in the business of writing new insurance policies. The Company’s primary regulator is the New York State Department of Financial Services (the “NYSDFS”). FGIC UK Limited (“FGIC UK”), a wholly owned United Kingdom insurance subsidiary of FGIC, previously issued financial guaranties covering public finance, structured finance and other obligations. FGIC UK, whose primary regulator is the UK Prudential Regulation Authority, is responsible for administering its outstanding guaranties in accordance with the terms and conditions of such guaranties and applicable law. FGIC UK is no longer engaged in the business of writing new financial guaranties.

On June 28, 2012, the Supreme Court of the State of New York (the “Rehabilitation Court”) issued an order pursuant to Article 74 of the New York Insurance Law (the “NYIL”) placing FGIC in rehabilitation (the “Rehabilitation Order”). The Rehabilitation Order (i) appointed the Superintendent of Financial Services of the State of New York as rehabilitator of FGIC (the “Rehabilitator”), (ii) directed the Rehabilitator to take possession of the property and assets of FGIC and to conduct the business thereof, and (iii) directed the Rehabilitator to take steps towards the removal of the causes and conditions that made FGIC’s rehabilitation proceeding (the “Rehabilitation Proceeding”) necessary. FGIC consented to the commencement of the Rehabilitation Proceeding and, upon such commencement, the board of directors of FGIC resigned. The Rehabilitation Proceeding was styled as In the Matter of the Rehabilitation of Financial Guaranty Insurance Company, Index No. 401265/2012.

On June 11, 2013, the Rehabilitation Court approved the First Amended Plan of Rehabilitation for FGIC, dated June 4, 2013, together with all exhibits and the plan supplement thereto (as the same may be amended from time to time, collectively, the "Rehabilitation Plan") in an order issued pursuant to Article 74 of the NYIL (the “Approval Order”). The Rehabilitation Plan became effective on August 19, 2013 (the “Effective Date”), whereupon FGIC’s rehabilitation proceeding terminated and FGIC resumed possession of its property and conduct of its businesssubject to the limitations described in the Rehabilitation Plan. In the Approval Order, the Rehabilitation Court also, among other things, approved an initial cash payment percentage (“CPP”) of 17.25% subject to adjustment by the Rehabilitator in his sole discretion on or before the Effective Date. By notice dated on the Effective Date, the Rehabilitator set the initial CPP at 17%.

On the Effective Date, FGIC emerged from the Rehabilitation Proceeding as a solvent insurance company under the NYIL, with its policies restructured in a manner intended to ensure it remains solvent and the Rehabilitation Plan became the exclusive means for resolving and paying (i) all policy claims, whenever arising, (ii) all other claims arising during, or relating to, the period prior to the Effective Date and (iii) all equity interests in FGIC in existence as of the date of the Rehabilitation Order (June 28, 2012), in each case other than claims (including policy claims) paid in full by FGIC prior to the date of the Rehabilitation Order. Claims arising during or relating to the period on and after the Effective Date (other than policy claims) are not covered by the Rehabilitation Plan and will be resolved and paid by FGIC in the ordinary course of business. FGIC continues to be subject to oversight by the NYSDFS pursuant to the NYIL and the additional requirements set forth in the Rehabilitation Plan (including any guidelines the NYSDFS has or may issue to carry out the purposes and effects of the Rehabilitation Plan (“NYSDFS Guidelines”)).

As of the Effective Date, any and all policies in force as of the Effective Date (except for certain policies that were novated on that date) were automatically modified by the Rehabilitation Plan.The Rehabilitation Plan, including the restructured policy terms attached to the Rehabilitation Plan as Exhibit B (the “Restructured Policy Terms”), supersedes any and all provisions of each

6



policy that are inconsistent with the Rehabilitation Plan. FGIC is responsible for administering, reviewing, verifying, reconciling, objecting to, compromising or otherwise resolving all claims (including policy claims) not resolved prior to the Effective Date, in each case in compliance with the Rehabilitation Plan and any applicable NYSDFS Guidelines.

With respect to any policy claim permitted by FGIC, pursuant to the Rehabilitation Plan and the applicable policy (as modified by the Rehabilitation Plan), FGIC is obligated to pay in cash to the applicable policy payee only an upfront amount equal to the product of the then-existing CPP and the amount of such permitted policy claim (subject to any setoff rights FGIC may have). The portion of such permitted policy claim not paid or deemed to be paid by FGIC generally comprises a deferred payment obligation (“DPO”) with respect to the applicable policy. The DPO with respect to any policy generally represents the aggregate amount of all permitted policy claims under such policy minus the aggregate amount paid, or deemed to be paid, in cash by FGIC with respect to such policy (other than DPO Accretion, defined below) from and after the Effective Date, subject to further adjustments as provided in the Rehabilitation Plan. From and after the Effective Date, each policy with an outstanding DPO accrues an amount (“DPO Accretion”) based on such DPO (using the balance then applicable pursuant to the Rehabilitation Plan) at a rate of 3% per annum on a daily basis on the basis of a 365-day year. All DPO Accretion is calculated on a simple basis, and no DPO Accretion is added to the amount of any DPO. The DPO for any policy and any related DPO Accretion shall only be payable by FGIC when, if and to the extent provided in the Restructured Policy Terms and the Rehabilitation Plan. In the absence of an upward adjustment of the CPP, FGIC shall have no obligation to pay any portion of any DPO or DPO Accretion.

FGIC is required to re-evaluate the CPP (at least annually) pursuant to the procedures set forth in the Restructured Policy Terms to determine whether the CPP should remain the same or be adjusted upward or downward (each, a “CPP Revaluation”). All CPP Revaluations require review and approval by the board of directors of FGIC, and any change in the CPP (among other things) requires the approval of the NYSDFS. In October 2015, in connection with FGIC’s annual CPP Revaluation for 2015, the NYSDFS approved an upward adjustment to the CPP from 21% to 22%.

The percentage of permitted policy claims that FGIC ultimately pays in cash in accordance with the Rehabilitation Plan, and the timing of any such payments, are subject to various factors and the outcome of future events, including the performance of FGIC’s insured and investment portfolios and the results of FGIC’s litigation and other loss mitigation efforts, and no assurance can be given with respect to the amount of any such percentage or the timing of any such payments. Based on the magnitude of FGIC’s accrued and projected policy claims, while the CPP may further increase over time, FGIC expects to make payments in cash pursuant to the Rehabilitation Plan of only a fractional portion of its permitted policy claims and it does not expect to make any payments pursuant to the Rehabilitation Plan with respect to non-policy claims or equity interests.

References to and descriptions of provisions of the Restructured Policy Terms, the Rehabilitation Plan (and related agreements) and orders of the Rehabilitation Court included in these financial statements are merely summaries thereof, and do not contain all information necessary to fully understand such provisions and orders. Please refer to the specific terms, requirements and conditions of the Restructured Policy Terms, the Rehabilitation Plan (and related agreements) and orders of the Rehabilitation Court for a full understanding thereof, which in all cases shall govern, rather than any summary description contained in these financial statements.

Note 1 - Summary of Significant Accounting Policies

A. Accounting Practices

Pursuant to the provisions of the Rehabilitation Plan, the NYSDFS has issued NYSDFS Guidelines that define certain accounting practices for FGIC for reporting periods ending on or after the Effective Date. In accordance with such NYSDFS Guidelines, for reporting periods ending on or after the Effective Date, FGIC records loss reserves at the applicable reporting date in an amount equal to the excess of (i) the amount of FGIC’s admitted assets minus FGIC’s minimum required statutory surplus to policyholders at the reporting date (the “Minimum

6.1



Surplus Amount,” currently $66.4 million) over (ii) the sum of FGIC’s statutory reserves excluding loss reserves (e.g., unearned premiums, contingency reserves, loss adjustment expense reserves) and other liabilities. In accordance with such NYSDFS Guidelines, the loss reserve amount comprises the total amount of (i) the sum, net of reinsurance, of (x) the total amount of all policy claims submitted to FGIC in accordance with the Rehabilitation Plan that are unpaid (excluding any portions of such policy claims that are being disputed by FGIC) and (y) the net present value of the total amount of all policy claims that the Company expects to receive in the future in accordance with the Rehabilitation Plan (using the prescribed statutory discount rate which is based on the average rate of return on FGIC’s admitted assets) (such sum is referred to as the “Claims Reserve”), (ii) the DPO for all policies at such reporting date and (iii) the DPO Accretion for all policies at such reporting date, minus an adjustment (the “Policy Revision Adjustment”) in an amount that will permit FGIC to report a surplus to policyholders at such reporting date equal to the Minimum Surplus Amount (See Note 25, Changes in Incurred Losses and Loss Adjustment Expenses).

A reconciliation of the Company’s net income and capital and surplus between NAIC SAP and practices prescribed and permitted by the State of New York is shown below:

State of

Domicile March 31, 2016 December 31,2015

NET INCOME

(1) Company state basis (Page 4, Line 20, Columns 1 & 3) NY $..............8,553,361 $............13,192,125

(2) State Prescribed Practices that increase/(decrease) NAIC SAP: ..............................– ..............................– (3) State Permitted Practices that increase/(decrease) NAIC SAP: ..............................– ..............................–

(4) NAIC SAP (1-2-3=4) NY 8,553,361$............. 13,192,125$...........

SURPLUS

(5) Company state basis (Page 3, Line 37, Columns 1 & 2) NY $............66,400,000 $............66,400,000

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

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

(8) NAIC SAP (5-6-7=8) NY 66,400,000$........... 66,400,000$...........

B. Use of Estimates in the Preparation of the Financial Statements

The accompanying financial statements of FGIC have been prepared in conformity with statutory accounting practices prescribed or permitted by the NYSDFS as well as those accounting practices detailed in NYSDFS Guidelines, as described (“SAP”). The preparation of financial statements in conformity with SAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and the accompanying notes. Actual results could differ from those estimates, and those differences could be material.

C. Accounting Policies

No significant changes from the 2015 Notes to Financial Statements.

(6) All single class and multi-class mortgage-backed/asset-backed securities are valued at amortized cost using the interest method, including anticipated prepayments. Prepayment assumptions are obtained from dealer surveys or internal estimates and are based on the current interest rate and economic environment. All such securities are adjusted for the effects of changes in prepayment assumptions on the related accretion of discount or amortization of premium of such securities using the retrospective method.

Note 2 – Accounting Changes and Correction of Errors

Certain 2015 amounts in the Company’s Annual Statement have been reclassified to conform to the March 2016 quarterly statement.

There were no changes in accounting principles and or correction of errors during the three months ended March 31, 2016.

6.2



Note 3 – Business Combinations and Goodwill

A. Statutory Purchase Method – None

B. Statutory Merger – None

C. Impairment Loss - None

Note 4 – Discontinued Operations

None

Note 5 – Investments

A. Mortgage Loans, including Mezzanine Real Estate Loans – None

B. Debt Restructuring – None

C. Reverse Mortgages – None

D. Loan-Backed Securities

(1) Prepayment assumptions for mortgage-backed/loan-backed and structured securities are obtained from dealer surveys or internal estimates and are based on the current interest rate and economic environment.

(2) There were no loan-backed and structured securities held at March 31, 2016 for which OTTI was recorded during the three months ended March 31, 2016

(3) Not Applicable.

(4) None.

(5) In accordance with SSAP 43R, the Company is required to categorize its OTTI on loan-backed and structured securities based upon the reason for which the Company recognized an OTTI. For the three months ended March 31, 2016 and 2015, there was no OTTI recorded for loan-backed and structured securities.

For all investments in loan-backed and structured securities acquired prior to October 1, 2015, a decline in the fair value of any such security below its cost as of a reporting date is automatically treated as an other-than-temporary impairment (“OTTI”).

FGIC conducts an impairment review no less than quarterly for all investments in loan-backed and structured securities acquired on or after October 1, 2015, in each case which have fair values lower than their respective cost bases as of the review date. The analysis of a security’s decline in value is performed at the lot level. FGIC first determines whether it intends to sell the security. FGIC also determines whether it is more likely than not that it will be unable to hold the security for a period of time to recover its amortized cost basis. The impairment for any loan-backed or structured security that FGIC determines it intends to sell or it is more likely than not that it will be unable to hold for a period of time to recover its amortized cost basis, is considered to be an OTTI.

For loan-backed and structured securities (e.g., asset-backed and mortgage-backed securities) that the Company does not intend to sell and has not determined that it is unable to hold until recovery of their amortized cost bases, the Company estimates the cash flows expected to be collected over the term of each security as of the review date and calculates the present value of those expected cash flows using a discount rate equal to the original effective yield of the security, or in the case of floating rate securities, the then-current coupon. If that calculated present value is less than the cost basis of the security, the carrying value of such security is reduced to such present value, establishing a new cost basis, with a charge to realized loss at the reporting date. Such realized losses

6.3



are recorded through earnings and the new cost basis is not adjusted for subsequent recoveries in fair value. Amortization of premium or discount from the date the securities are written down is based on the new cost basis.

E. Repurchase Agreements and/ or Securities Lending Transactions – None

F. Real Estate – None

G. Investments in low-income housing tax credits (LIHTC) – None

H. Restricted Assets

8

6 7 9 10

1 2 3 4 5

Total General

Account (G/A)

G/A Supporting

Protected Cell

Account Activity

(a)

Total Protected

Cell Account

Restricted Assets

Protected Cell

Account Assets

Supporting G/A

Activity (b)

Total

(1 plus 3)

Total From Prior

Year

Increase/

(Decrease)

(5 minus 6)

Total Current

Year Admitted

Restricted

Gross

Restricted to

Total Assets

Admitted

Restricted to

Total Admitted

Assets

j. On deposit

with states $........3,005,008 $.....................– $.....................– $.....................– $......3,005,008 $........2,919,917 $...........85,091 $.......3,005,008 0.1% 0.1%

k. On deposit

with other

regulatory

bodies

$........2,076,661 $.....................– $.....................– $.....................– $......2,076,661 $........2,140,992 $.........(64,331) $.......2,076,661 0.1% 0.1%

o. Total

Restricted

Assets

$........5,081,669 $.....................– $.....................– $.....................– $......5,081,669 $........5,060,909 $...........20,760 $.......5,081,669 0.2% 0.2%

Restricted Asset

Category

(a) Subset of column 1

(b) Subset of column 3

Gross Restricted Percentage

Current Year

I. Working Capital Finance Investments – None

J. Offsetting and Netting of Assets and Liabilities – None

K. Structured Notes – None

6.4



The amortized cost and fair value of admitted investments in bonds, common stock, other invested assets and short-term investments are as follows:

March 31, 2016

Obligations of states and political

subdivisions 699,672,812 53,858,095 (28,716) 753,502,191

Asset-backed and mortgage-backed

securities 346,270,878 14,996,495 – 361,267,373

U.S. Treasury securities and

obligations of U.S. Government

corporations and agencies 93,949,851 11,563,225 – 105,513,076

Debt securities issued by foreign

governments 18,252,727 889,473 – 19,142,200

Corporate 959,517,415 45,424,816 (567,486) 1,004,374,745

Total bonds 2,117,663,683 126,732,104 (596,202) 2,243,799,585

Common Stock 79,604,792 4,317,359 (283,287) 83,638,864

Other invested assets 15,978,022 86,761,396 – 102,739,418

Short-term investments 106,214,965 – – 106,214,965

Total 2,319,461,462 217,810,859 (879,489) 2,536,392,832

December 31, 2015

Obligations of states and political

subdivisions 804,454,621 52,947,459 (556,889) 856,845,191

Asset-backed and mortgage-backed

securities 391,435,891 11,456,100 (278,460) 402,613,531

U.S. Treasury securities and

obligations of U.S. Government

corporations and agencies 94,246,522 8,302,299 – 102,548,821

Debt securities issued by foreign

governments 19,480,971 703,664 – 20,184,635

Corporate 836,679,362 13,197,770 (2,875,028) 847,002,104

Total bonds 2,146,297,367 86,607,292 (3,710,377) 2,229,194,282

Common stocks 55,814,318 1,862,979 (404,074) 57,273,223

Other invested assets 16,243,715 84,694,512 – 100,938,227

Short-term investments 75,278,464 – - 75,278,464

Total 2,293,633,864 173,164,783 (4,114,451) 2,462,684,196

Gross

Unrealized

Holding Losses Fair Value

Amortized Cost

Gross

Unrealized

Holding Gains

Gross

Unrealized

Holding Losses Fair Value

Amortized Cost

Gross

Unrealized

Holding Gains

The Company has recorded OTTI of $0.5 million and $0.0 million on certain bonds for the three months ended March 31, 2016 and 2015, respectively and OTTI of $0.8 million and $0.0 million on common stocks for the three months ended March 31, 2016 and 2015, respectively. OTTI is included in “Net realized capital gains or losses net of tax” in the statutory-basis statements of income represents the difference between the cost bases of these securities and their fair values at the reporting date.

The amortized cost and fair value of investments in bonds (including asset-backed and mortgage-backed securities) at March 31, 2016, by contractual maturity date, are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

6.5



Due in one year $ 14,577,869 $ 14,683,749

Due after one through five years 326,599,632 336,729,616

Due after five years through ten years 580,722,855 609,512,460

Due after ten years 849,492,449 921,606,387

Asset-backed and mortgage-backed securities 346,270,878 361,267,373

Total $ 2,117,663,683 $ 2,243,799,585

Amortized

Cost

Fair

Value

Net investment income was derived from the following sources:

2016 2015

Income from bonds $ 22,018,776 $ 18,870,280

Income from common stocks 440,914 –

Income from cash, cash equivalents and short-

term investments 62,752 62,608

Total investment income 22,522,442 18,932,888

Investment expenses (478,832) (680,993)

Net investment income $ 22,043,610 $ 18,251,895

Three Months Ended March 31,

For the three months ended March 31, 2016 and 2015, proceeds from sales of investments in bonds carried at amortized cost were $177.5 million and $0.8 million, respectively. For the three months ended March 31, 2016 and 2015, gross realized gains of $15.7 million and $0.0 million, respectively, were realized on such sales. For the three months ended March 31, 2016 and 2015, gross realized losses of $0.2 million and $0.0, respectively, were realized on such sales. For the three months ended March 31, 2016 and 2015, proceeds from sales of investments in common stock were $6.7 million and $0.0 million, respectively. Realized gains on such sales were $0.2 million and $0.0 million for the three months ended March 31, 2016 and 2015, respectively. Realized losses on such sales were $0.6 million and $0.0 million, respectively, for the three months ended March 31, 2016 and 2015, respectively. Included in realized gains for the three months ended March 31, 2016 and 2015 is $0.0 million and $1.6 million, respectively, in distributions from previously impaired securities.

Other income for the three months ended March 31, 2016 and 2015 includes $0.0 million and $8.5 million, respectively, of distributions received on the units in the ResCap Liquidating Trust held by FGIC.

Note 6 – Joint Ventures, Partnerships and Limited Liability Companies

On February 6, 2016, Gotham Motown Recovery, LLC (“GMR”), a Delaware limited liability company, was formed. FGIC is the managing member of GMR. Please see Note 25, Changes in Incurred Losses and Loss Adjustment Expenses, Schedule Y- Part 1 – Organizational Chart and Schedule Y- Part 1A – Detail of Insurance Holding Company System for further details regarding GMR.

The Company has no investments in Joint Ventures, Partnerships and Limited LiabilityCompanies that exceed 10% of its admitted assets at March 31, 2016.

There were no impairment write downs of investments in Joint Ventures, Partnerships and Limited Liability Companies due to impairments during the three months ended March 31, 2016.

Note 7 – Investment Income

All investment income due and accrued was admitted at March 31, 2016.

6.6



Note 8 – Derivative Investments

During the three months ended March 31, 2016, the Company did not enter into any derivative contracts and there were no derivative contracts outstanding as of March 31, 2016 and December 31, 2015.

Note 9 - Income Taxes

A. The following table presents the total of deferred tax assets and liabilities by tax character:

(1) (2) (3)

Ordinary Capital

(a) Gross Deferred Tax Assets $..........1,123,476,074 $.............28,849,622 $........1,152,325,696 (b) Statutory Valuation Allowance Ajustments $.............754,809,511 $.............27,464,365 $...........782,273,876

(c) $.............368,666,563 $...............1,385,257 $...........370,051,820

(d) Deferred Tax Assets Nonadmitted $...............................– $.............................– $.............................–

(e) $.............368,666,563 $...............1,385,257 $...........370,051,820

(f) Deferred Tax Liabilities $.............368,666,563 $...............1,385,257 $...........370,051,820

(g)

$...............................– $.............................– $.............................–

(4) (5) (6)

Ordinary Capital

(a) Gross Deferred Tax Assets $..........1,125,409,978 $.............28,401,539 $........1,153,811,517 (b) Statutory Valuation Allowance Ajustments $.............756,502,122 $.............27,775,743 $...........784,277,865

(c) $.............368,907,856 $..................625,796 $...........369,533,652


(e) $.............368,907,856 $..................625,796 $...........369,533,652

(f) Deferred Tax Liabilities $.............368,907,856 $..................625,796 $...........369,533,652

(g)

$...............................– $.............................– $.............................–

(7) (8) (9)

Ordinary Capital

(a) Gross Deferred Tax Assets $...............(1,933,904) $..................448,083 $.............(1,485,821)(b) Statutory Valuation Allowance Ajustments $...............(1,692,611) $................(311,378) $.............(2,003,989)

(c) $..................(241,293) $..................759,461 $..................518,168


(e) $..................(241,293) $..................759,461 $..................518,168

(f) Deferred Tax Liabilities $..................(241,293) $..................759,461 $..................518,168

(g)

$...............................– $.............................– $.............................–

12/31/2015

(Col 1+2)

Total

(Col 1+2)

Total

3/31/2016

Adjusted Gross Deferred Assets

(1a - 1b)

Subtotal Net Admitted Deferred Tax Asset

(1c - 1d)

Net Admitted Deferred Tax Asset/(Net Deferred Tax

Liability)

(1e - 1f)


Liability)

(1e - 1f)


(1c - 1d)


Liability)

(1e - 1f)

Change

(Col 1+2)

Total


(1a - 1b)


(1a - 1b)


(1c - 1d)

In accordance with SSAP 101, Income Taxes, A Replacement of SSAP No. 10R and SSAP No. 10(“SSAP 101”), the Company evaluates its deferred income tax asset to determine if valuation allowances are required. SSAP 101 requires that companies assess whether valuation allowances should be established based on the consideration of all available evidence using a “more likely than not” standard. In making such judgments, significant weight is given to evidence that can be objectively verified. Management believes it is more likely than not that the amortization of the net unearned premium reserve, collection of future installment premiums on contracts already written, and

6.7



income from the investment portfolio will not generate sufficient taxable income to realize the entire deferred tax asset that currently exists. Accordingly, a full valuation allowance was established against the Company’s domestic net deferred tax asset of $782.3 million as of March 31, 2016. The Company will continue to analyze the need for a valuation allowance on a quarterly basis.

B. None

C. Current income taxes incurred consist of the following major components:

1. Current Income Tax

(a) Federal $..........(2,701,444) $................7,356,723 (10,058,167)$....

(b) Foreign $..............127,674 $...................276,744 (149,070)$.........

(c) Subtotal $..........(2,573,770) $................7,633,467 (10,207,237)$....

(d) Federal income tax on net capital gains $...........2,778,349 $.................(665,149) 3,443,498$........

(e) Utilization of capital loss carry-forwards $........................– $..............................– –$......................

(f) Other $........................– $..............................– –$......................

(g) Federal and foreign income taxes incurred $..............204,579 $................6,968,318 (6,763,739)$......

March 31, 2016 December 31, 2015 Change

The change in net deferred income taxes is composed of the following:

March 31, December 31,

2016 2015 Change

Current:

Total adjusted gross deferred assets $ 370,051,820 $ 369,533,652 518,168$

Total adjusted gross deferred liabilities (370,051,820) (369,533,652) (518,168)

Federal and foreign income tax expense –$ –$ –$

Less: tax effect of unrealized gains (759,461)

Change in net deferred tax $ (759,461)

6.8



The tax effects of temporary differences that give rise to significant portions of the net deferred tax asset at March 31, 2016 and December 31, 2015 are presented below by tax component:

2. March 31, 2016 December 31, 2015 Change

(a) Ordinary

(1) Discounting of unpaid losses $............................– $..........................– $..........................–

(2) Unearned premium reserve $..............1,939,990 $............2,046,630 $..............(106,640)

(3) Policyholder reserves $............................– $..........................– $..........................–

(4) Investments $............................– $..........................– $..........................–

(5) Deferred acquisition costs $............................– $..........................– $..........................–

(6) Policyholder dividends accrual $............................– $..........................– $..........................–

(7) Fixed assets $............................– $..........................– $..........................–

(8) Compensation and benefits accrual $..............2,237,189 $............3,289,760 $...........(1,052,571)

(9) Pension accrual $............................– $..........................– $..........................–

(10) Receivables – nonadmitted $............................– $..........................– $..........................–

(11) Net operating loss carry-forward $.......1,077,553,863 $.....1,078,964,764 $...........(1,410,901)

(12) Tax credit carry-forward $.................745,953 $...............618,279 $...............127,674

(13) Other (including items <5% of total ordinary tax $............40,999,079 $..........40,490,545 $...............508,534

assets) $..........................–

(99) Subtotal $.......1,123,476,074 $.....1,125,409,978 $...........(1,933,904)

(b) Statutory valuation allowance adjustment $..........754,809,511 $........756,502,122 $...........(1,692,611)

(c) Nonadmitted $............................– $..........................– $..........................–

(d) Admitted ordinary deferred tax assets (2a99 - 2b - 2c) $..........368,666,563 $........368,907,856 $..............(241,293)

(e) Capital:

(1) Investments $............28,849,622 $..........28,401,539 $...............448,083

(2) Net capital loss carry-forward $............................– $..........................– $..........................–

(3) Real estate $............................– $..........................– $..........................–

(4) Other (including items <5% of total capital tax $............................– $..........................– $..........................–

assets)

(99) Subtotal $............28,849,622 $..........28,401,539 $...............448,083

(f) Statutory valuation allowance adjustment $............27,464,365 $..........27,775,743 $..............(311,378)

(g) Nonadmitted $............................– $..........................– $..........................–

(h) Admitted capital deferred tax assets (2e99 - 2f - 2g) $..............1,385,257 $...............625,796 $...............759,461

(i) Admitted deferred tax assets (2d + 2h) $..........370,051,820 $........369,533,652 $...............518,168

3. Deferred Tax Liabilities

(a) Ordinary

(1) Investments $..............2,135,963 $............2,135,963 $..........................–

(2) Fixed assets $.................881,629 $...............850,711 $.................30,918

(3) Deferred and uncollected premium $............................– $..........................– $..........................–

(4) Policyholder reserves $............................– $..........................– $..........................–

(5) Other (including items <5% of total capital tax $..........365,648,971 $........365,921,182 $..............(272,211)

assets)

(99) Subtotal $..........368,666,563 $........368,907,856 $..............(241,293)

(b) Capital

(1) Investments $..............1,385,257 $...............115,259 $............1,269,998

(2) Real Estate $............................– $..........................– $..........................–

(3) Other (including items <5% of total capital tax $............................– $...............510,537 $..............(510,537)

assets)

(99) Subtotal $..............1,385,257 $...............625,796 $...............759,461

(c) Deferred Tax Liabilities (3a99 + 3b99) $..........370,051,820 $........369,533,652 $...............518,168

4. Net deferred tax assets/liabilities (2i - 3c) $............................– $..........................– $..........................–

Deferred Tax Assets

6.9



D. The following is a reconciliation of current federal income taxes computed on income before provision for federal and foreign income taxes at the statutory rate and the provision for current federal income taxes.

March 31, December 31,

2016 2015

Income tax expense at the statutory rate, computed on income

before provision for federal and foreign income taxes3,071,241$ 6,959,737$

Tax effect of:

Tax-exempt interest (1,191,440) (7,058,237)

Provision to return adjustment (1,934,908)

NOL carryforward adjustment – (11,012)

Change in valuation allowance (2,003,990) 9,166,110

Other, net (430,693) (153,372)

Expense for federal and foreign income taxes (554,882)$ 6,968,318$

–

Federal and foreign income taxes incurred 204,579 7,478,930

Change in net deferred income taxes (759,461) (510,612)

Total statutory income taxes (554,882)$ 6,968,318$

E. As of March 31, 2016, the Company had a domestic net operating loss (“NOL”) carryforward of $3,078.7 million for federal income tax purposes, which will be available (subject to certain limitations) to offset future taxable income. If not used, the NOL will start expiring in 2029 through 2032 depending on the originating year. As of March 31, 2016, the Company had an alternative minimum tax (“AMT”) credit carryforward of $10.3 million for federal income tax purposes, which will be available to offset future regular tax. AMT credit carryforwards do not expire.

The amount of federal income taxes incurred and available for recoupment in the event of future losses is $0.

F. FGIC files a consolidated U.S. federal income tax return with FGIC Corp. The method of allocation between FGIC Corp. and FGIC is determined under an amended and restated income tax allocation agreement approved by the NYSDFS, and is based upon separate return calculations.

G. The Company’s tax returns are subject to routine audits by the Internal Revenue Service andother taxing authorities. Currently the Internal Revenue Service is conducting an audit of the 2012 and 2013 tax years.

Note 10 – Information Concerning Parent, Subsidiaries, Affiliates and Other Related Parties

On February 6, 2016, GMR, a Delaware limited liability company, was formed. FGIC is the managing member of GMR. Please see Note 25, Changes in Incurred Losses and Loss Adjustment Expenses, Schedule Y- Part 1 – Organizational Chart and Schedule Y- Part 1A –Detail of Insurance Holding Company System for further details regarding GMR.

A-N. No significant changes from the 2015 Notes to Financial Statements.

Note 11 - Debt

B. The Company did not have any borrowings from FHLB during the three months ended March 31, 2016.

6.10



Note 12 – Retirement Plans, Deferred Compensation, Postemployment Benefits and Compensated Absences and Other Postretirement Plans

A(4) – None

For the three months ended March 31, 2016, the benefits accrued under the Long-Term Incentive Plan were $1.4 million resulting from an increase in the number of Plan units issued.

Note 13 – Capital and Surplus, Dividend Restrictions and Quasi-Reorganizations


Note 14 – Liabilities, Contingencies and Assessments

A – F - No significant changes from the 2015 Notes to Financial Statements.

G. Legal Proceedings

FGIC may be involved from time to time in various legal proceedings filed against it, including the case described below. In addition, FGIC has received, and may in the future receive, various subpoenas, regulatory inquiries, requests for information and document preservation letters Defending against legal proceedings and responding to subpoenas, regulatory inquiries, requests for information and document preservation letters may involve significant expense and diversion of management’s attention and other FGIC resources.

In Modern Art Services LLC v. Financial Guaranty Insurance Company, (N.Y. Sup.Ct., Index No. 651115/2016, filed on March 3, 2016), plaintiff sued FGIC alleging breach of contract, breach of the implied covenant of good faith and fair dealing and unjust enrichment, arising out of FGIC’s purported failure to compensate plaintiff for its role in connection with the bankruptcy of the City of Detroit. On April 26, 2016, FGIC filed a motion to dismiss each of plaintiff’s causes of action.

FGIC has asserted, and from time to time may assert, claims in legal or arbitration proceedings against third parties to recover losses already incurred by FGIC or to mitigate future losses that FGIC may incur, including the lawsuits described below. The amount of losses that FGIC may recover or mitigate as a result of these proceedings is uncertain, although, in the event of favorable outcomes or settlements, such amount could be material to FGIC’s results of operations, financial position, profitability or cash flows.

In Financial Guaranty Insurance Company v. The Putnam Advisory Company, LLC (U.S. District Court for the Southern District of New York, filed October 1, 2012 and thereafter amended on November 19, 2012), FGIC sued The Putnam Advisory Company (“Putnam”), alleging fraud, negligent misrepresentation and negligence by Putnam in connection with the Pyxis ABS CDO 2006-1 transaction for which Putnam acted as collateral manager. On September 10, 2013, FGIC’s complaint was dismissed, with leave to file a further amended complaint. On September 30, 2013, FGIC filed a further amended complaint. On April 28, 2014, the District Court granted Putnam’s motion to dismiss all of FGIC’s claims. On April 15, 2015,the United States Court of Appeals for the Second Circuit vacated the District Court’s dismissal of FGIC’s complaint and remanded the case for further proceedings.

In Financial Guaranty Insurance Company v. Morgan Stanley ABS Capital I Inc. and Morgan Stanley Mortgage Capital Holdings LLC, (N.Y. Sup.Ct., Index No. 652853/2014, filed on September 19, 2014), FGIC sued Morgan Stanley ABS Capital I Inc. (“MSAC”) and Morgan Stanley Mortgage Capital Holdings LLC (“MSMC”), alleging, inter alia, that MSAC and MSMC breached various warranties and affirmative covenants in connection with the securitization transaction known as Basket of Aggregated Residential NIMS 2007-1, including their obligations to repurchase breaching net interest margin securities that collateralized the insured securities, and to

6.11



reimburse FGIC for payments made under the related FGIC policy. On November 24, 2014, MSAC and MSMC filed a motion to dismiss FGIC’s claims. FGIC has opposed this motion, and the motion to dismiss was argued on June 9, 2015.

In Financial Guaranty Insurance Company v. Morgan Stanley, et al., (N.Y. Sup.Ct., Index No. 652914/2014, filed on September 23, 2014), FGIC sued MSAC, MSMC, Morgan Stanley(“MS”) and Morgan Stanley & Co. LLC (collectively, “Morgan Stanley”), and Saxon Mortgage Services, Inc. (“Saxon”), alleging, inter alia, that (i) Morgan Stanley fraudulently induced FGIC to insure the RMBS transaction known as MSAC 2007-NC4; (ii) MSAC, MSMC and MS breached various warranties and affirmative covenants, including their obligations to repurchase breaching or fraudulent mortgage loans and to reimburse FGIC for payments made under the related FGIC policy; and (iii) Saxon and MS breached their warranties and obligations under the Pooling and Servicing Agreement for the MSAC 2007-NC4 transaction, including their obligation to provide notice of breaching mortgage loans. On November 24, 2014, Morgan Stanley filed a motion to dismiss FGIC’s claims. FGIC has opposed this motion, and the motion to dismiss was argued on June 9, 2015.

In Financial Guaranty Insurance Company v. Alejandro García Padilla, et al., (D.P.R., Case No. 3:16-cv-01095, filed on January 19, 2016), FGIC sued Governor Alejandro García Padilla and certain other officials of the Commonwealth of Puerto Rico alleging Section 8 of Article VI of the Commonwealth Constitution (“Section 8,” and defendants’ stated basis for the Clawback (which is discussed in Note 6, Loss Reserves)), the Management and Budget Office Organic Act (the “OMB Act,” and defendants’ stated law regarding procedures implementing the Clawback), and the Executive Orders (directing the Clawback) are unconstitutional on the grounds that they: (1) are preempted by federal law; (2) violate the Contracts Clause of Article I of the United States Constitution; and (3) violate the Fifth and Fourteenth Amendments of the United States Constitution. FGIC is seeking a judgment declaring Section 8, the OMB Act and the Executive Orders to be unconstitutional, and also is seeking an injunction enjoining the defendants from taking or causing to be taken any and all acts under Section 8, the OMB Act and the Executive Orders. On January 21, 2016, FGIC’s action was consolidated with an analogous action brought by Assured Guaranty Corp., Assured Guaranty Municipal Corp., and Ambac Assurance Corporation. On February 10, 2016, defendants filed a motion to dismiss FGIC’s claims. FGIC has opposed these motions.

Note 15 - Leases


Note 16 – Information About Financial Instruments With Off-Balance-Sheet Risk and Financial Instruments with Concentrations of Credit Risk


Note 17 – Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities

B.(2) ; B(4)a and B(4)b - There were no transferring and servicing of assets and liabilities during the three months ended March 31, 2016.

C. There were no wash sales involving securities with NAIC designation 3 or below, or unrated during the three months ended March 31, 2016.

Note 18 – Gain or Loss to the Reporting Entity from Uninsured Plans and the Uninsured Portion of Partially Insured Plans

Not Applicable

6.12



Note 19 – Direct Premium Written/Produced by Managing General Agents/Third Party Administrators

None

Note 20 – Fair Value Measurements

SSAP 100 specifies a fair value hierarchy based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Company’s assumptions about market participants’ assumptions based on the best information available in the circumstances. The fair value hierarchy prioritizes model inputs into three broad levels: quoted prices for identical instruments in active markets are Level 1 inputs; 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 significant value drivers are observable in active markets are Level 2 inputs; and model-driven valuations in which one or more significant inputs or significant value drivers are unobservable are Level 3 inputs.

A.

(1) Fair Value Measurements at March 31, 2016

Description for each class of asset or liability (Level 1) (Level 2) (Level 3) Total

a. Assets at fair valueObligations of states and political subdivisions $ ........................– $ ......753,502,191 $........................– $ ......753,502,191Asset and Mortgage Backed Securities $ ........................– $ ......361,267,373 $........................– $ ......361,267,373US Treasury Obligations and obligations of US Government corporations and agencies $ ........................– $ ......105,513,076 $........................– $ ......105,513,076Debt securities issued by Foreign governments $ ........................– $ ........19,142,200 $........................– $ ........19,142,200

Corporate $ ........................– $ ...1,004,374,745 $........................– $ ...1,004,374,745

Common Stock $.......... 83,638,864 $ ....................... – $........................– $.........83,638,864Other Invested Assets $ ........................– $ ....................... – $...... 102,739,418 $ ......102,739,418Short-term Investments $ ........................– $ ......106,214,965 $........................– $ ......106,214,965Total assets at fair value $..........83,638,864 $ ...2,350,014,550 $...... 102,739,418 $ ...2,536,392,832

(2) Not applicable.

(3) Transfers among Levels 1, 2 and 3 are recognized at the end of the period when the transfer occurs. The Company reviews the classification of financial instruments in Levels 1, 2 and 3 quarterly to determine whether a transfer is necessary. There have been no transfers into or out of Level 3 during the period.

(4) There have been no changes in the valuation technique for fair value measurements . within Level 2 and Level 3.

B. None

C.

Type of Financial

Instrument

Aggregate Fair

Value

Admitted

Assets(Level 1) (Level 2) (Level 3)

Not Practicable

(Carrying Value)

Bonds $........2,243,799,585 $..2,117,663,683 $.......................– $..2,243,799,585 $.......................– NA

Common Stocks $.............83,638,864 $.......79,604,792 $.......83,638,864 NA Other Invested

Assets $...........102,739,418 $.......15,978,022 $.......................– $.......................– $.....102,739,418 NA

Short-Term

Investments $...........106,214,965 $.....106,214,965 $.......................– $.....106,214,965 $.......................– NA

D. No significant changes from the 2015 Notes to Financial Statements

6.13



Note 21 – Other Items


Note 22 – Events Subsequent

Subsequent events included elsewhere in these financial statements include in Note 25, Changes in Incurred Losses and Loss Adjustment Expenses, information about developments concerning FGIC’s Puerto Rico-related insured exposures and in Note 14, Liabilities, Contingencies and Assessments information about certain legal proceedings.

Statement of Statutory Accounting Principles No. 9, Subsequent Events (“SSAP 9”), defines events subsequent to the financial statement date requiring disclosure. The date through which subsequent events have been evaluated was May 12, 2016.

Note 23 - Reinsurance


Note 24 - Retrospectively Rated Contracts & Contracts Subject to Redetermination

None

Note 25 – Changes in Incurred Losses and Loss Adjustment Expenses

In accordance with NYSDFS guidelines, loss reserves comprise the total amount of (i) the Claims Reserve, (ii) the DPO for all policies and (iii) the DPO Accretion for all policies, minusthe Policy Revision Adjustment. The Policy Revision Adjustment shown in the table below is prescribed by NYSDFS Guidelines and reflects the reduction in the loss reserve components necessary to reflect a Minimum Surplus Amount of $66.4 million. The loss reserve components as of March 31, 2016 and December 31, 2015 are summarized as follows:

March 31, December 31,2016 2015

(In Thousands)

Claims Reserve $ 1,276,353 $ 1,362,406DPO 1,704,571 1,700,456DPO Accretion 93,343 80,446Total 3,074,267 3,143,308

Policy Revision Adjustment (1,157,191) (1,247,386)Loss reserve $ 1,917,076 $ 1,895,922

Claims Reserve

The Claims Reserve is calculated on a policy-by-policy basis for insured obligations, net of reinsurance, as of the reporting date (using the prescribed statutory discount rate which is based upon the average rate of return on the Company’s admitted assets, which was 3.76% and 3.57% at March 31, 2016 and December 31, 2015, respectively). The amount of the discount as of March 31, 2016 and December 31, 2015 was $653.5 million and $661.0 million, respectively.

6.14



Activity related to the Claims Reserve for the three months ended March 31, 2016 and the year ended December 31, 2015 is summarized as follows:


(In Thousands)

Claims Reserve, beginning of period $ 1,362,406 $ 2,577,771

Incurred (releases) related to:Current year – 209,654Prior years (82,133) (315,471)

Total releases (82,133) (105,817)

(Paid) recovered related to:Current year – –Prior years 195 (210,167)

Total (paid) recovered 195 (210,167)

Transferred to DPO:Current year – –Prior years (4,115) (899,381)

Total transferred to DPO (4,115) (899,381)

Claims Reserve, end of period $ 1,276,353 $ 1,362,406

The Claims Reserve decreased $86.1 million to $1,276.4 million at March 31, 2016 from $1,362.4 million at December 31, 2015. The Claims Reserve activity for the three months ended March 31, 2016 was mainly attributable to a decrease in the total net present value of estimated losses relating to residential mortgage-backed securities (“RMBS”) insured by FGIC, which was driven by flatter forward LIBOR curves used for projecting losses for second lien RMBS and the payment of permitted policy claims in the ordinary course.

The following table shows the net par in force for FGIC’s Puerto Rico-related insured exposures

as of March 31, 2016:

Net Par In Force(In Thousands)

Puerto Rico General Obligation Bonds $ 278,769Puerto Rico Public Buildings Authority (GO Guaranteed) 7,850Puerto Rico Convention Center District Authority 97,075PRHTA Transportation Revenue Bonds – Senior Lien 359,819PRHTA Transportation Revenue Bonds – Subordinate Lien 77,115Puerto Rico Infrastructure Financing Authority 348,739Total $ 1,169,367

6.15



The following table shows the net debt service due on FGIC’s Puerto Rico-related insured exposures as of March 31, 2016, during the remainder of 2016 and each of the years of periods (as applicable) presented:

Scheduled Net Debt Service

(In Thousands)

Puerto Rico

General Obligation

Puerto Rico Public

Buildings Authority

(GO Guaranteed)

Puerto Rico Convention

Center District

Authority

Puerto Rico Highways &

Transportation Authority

Transportation (Senior)

Puerto Rico Highways &

Transportation Authority

Transportation (Subordinate)

Puerto Rico Infrastructure

Financing Authority Total

2016 $ 34,011 $ 8,066 $ 2,378 $ 14,446 $ 14,643 $ 10,642 $ 84,1862017 40,933 � 4,755 18,807 18,754 17,040 100,2892018 27,894 � 4,755 18,943 17,872 17,047 86,5112019 25,784 � 4,755 32,301 8,910 54,714 126,4642020 25,786 � 4,755 24,820 12,571 54,716 122,648Thereafter 198,470 � 114,446 554,835 17,258 608,271 1,493,280

Total $ 352,878 $ 8,066 $ 135,844 $ 664,152 $ 90,008 $ 762,430 $ 2,013,378

FGIC’s Puerto Rico-related insured exposures are subject to significant stress and credit deterioration arising from Puerto Rico’s fiscal, financial, liquidity and other challenges. There is substantial uncertainty as to Puerto Rico’s ability and willingness to pay its various debt service obligations in a timely manner, and certain Puerto Rico-related bonds have already suffered payment defaults, including certain bonds insured by FGIC. To the extent Puerto Rico fails to pay scheduled debt service on any FGIC-insured exposure as and when due, FGIC would be obligated to pay the related claims under its policies (as modified by the Rehabilitation Plan), and such claims could be material.

On April 6, 2016, the Commonwealth enacted the Puerto Rico Emergency Moratorium and Rehabilitation Act, which, among other things, grants broad powers to the Governor of Puerto Rico to declare moratoriums on payments on all Puerto Rico-related bonds and purports to impose a stay on related litigation. On April 30, 2016, Governor Alejandro García Padilla issued an executive order declaring a moratorium on certain debt payments owed by the Government Development Bank for Puerto Rico and by the Puerto Rico Infrastructure Financing Authority (PRIFA). None of the affected bonds are insured by FGIC. The Governor reportedly has stated that he has not ruled out declaring additional debt payment moratoriums on Puerto Rico-related bonds, including with respect to debt payments due in July 2016.

On November 30 and December 7, 2015, Governor Alejandro García Padilla issued executive orders (the “Executive Orders”) authorizing the Commonwealth’s Treasury Department to retain or redirect certain revenues that the Commonwealth had previously assigned to particular public corporations (the “Clawback”), including PRIFA, the Puerto Rico Highways and Transportation Authority (PRHTA) and the Puerto Rico Convention Center District Authority (PRCCDA), which revenues had been pledged to secure bonds issued by these public corporations, including bonds insured by FGIC. The Executive Orders claim that the Clawback was necessary in order to cover debt service payments on debt issued or guaranteed by the Commonwealth and purportedly essential government services. As a direct result of the Clawback, in January 2016, PRIFA defaulted on its obligation to make a $35.9 million interest payment on its bonds, of which about $6.4 million relates to bonds insured by FGIC. Debt service reserve funds and other trustee-held funds were used to make the January 2016 debt service payments on PRHTA and PRCCDA bonds, including bonds insured by FGIC. Unless and until the Clawback is rescinded, voided, enjoined or substantially modified (by executive or judicial order), FGIC believes that PRIFA and, after their reserve funds are exhausted, PRHTA and PRCCDA will not be able to make their respective debt service payments, which defaults will result in claims under the related FGIC policies. On January 19, 2016, FGIC filed a complaint against Governor García Padilla and other Commonwealth officials asserting, among other things, claims challenging the constitutionality of the Clawback under the U.S. Constitution (See Note 14, Liabilities, Contingencies and Assessments).

On September 9, 2015, the Working Group for the Fiscal and Economic Recovery of Puerto Rico established by the Governor of Puerto Rico issued its Puerto Rico Fiscal and Economic

6.16



Growth Plan (the “FEGP”), pursuant to which the Working Group outlined various recommended measures to reduce Puerto Rico’s financing gaps, including tax hikes, spending cuts and growth and efficiency initiatives that could be implemented by Puerto Rico, but which it notes are subject to significant political and execution risks. The Working Group revised the original FEGP in January 2016 to update its financial projections. In the revised FEGP, the Working Group projected that Puerto Rico’s cumulative deficit over the next five years will be $16.1 billion ($2.1 billion more than in the original FEGP) and over the next ten years will be $23.9 billion, after giving effect to the estimated benefits of growth and implementation of the measures outlined in the original FEGP. The deficits are projected to be considerably larger if these estimated benefits are not realized. In the FEGP, the Working Group concludes that PuertoRico’s public debt is not sustainable and that a broad debt restructuring will be necessary.

In April 2016, the Working Group released information (updating its prior proposal) concerning certain aspects of a comprehensive voluntary bond exchange proposal that seeks to substantially reduce the Commonwealth’s mandatorily payable tax-supported debt and near-term debt service payments, purportedly in order to provide the Commonwealth time to implement the FEGP. This proposal is subject to numerous contingencies, including a very high level of creditor participation, and is difficult to evaluate given the dearth of financial and other relevant information made available to the public by the Commonwealth.

The Puerto Rico Public Corporations Debt Enforcement and Recovery Act enacted by Puerto Rico’s legislature in June 2014 to create a legal framework for certain Puerto Rico public corporations (including certain public corporations insured by FGIC) to restructure their debts, was held to be unconstitutional by the U.S. District Court for the District of Puerto Rico in February 2015. The U.S. Court of Appeals for the First Circuit affirmed this ruling in July 2015. On December 4, 2015, the Supreme Court of the United States granted Puerto Rico’s petition to review the First Circuit’s ruling. Oral arguments were held on March 22, 2016. While the outcome of the Supreme Court’s review is uncertain, based on customary Supreme Court practice, a decision is expected to be announced by June 2016. If the Supreme Court reverses the Circuit court’s ruling and the subject Act subsequently withstands other legal challenges, FGIC’s risk of loss with respect to bonds issued by covered public corporations may increase.

There have been a number of bills, proposals and other legislative initiatives considered or offered in the U.S. Congress, by the U.S. Treasury, or by officials in Puerto Rico, including the revised version of the Puerto Rico Oversight Management and Economic Stability Act (PROMESA), which was introduced by the House Committee on Natural Resources on April 12, 2016. PROMESA (if enacted in its current form) would, among other things, establish an oversight board with broad responsibilities and authority for (i) overseeing the development of budgets and fiscal plans for the Commonwealth and its instrumentalities and (ii) initiating processes to restructure the debts of the Commonwealth and its instrumentalities, by accessing multiple sections of the U.S. Bankruptcy Code (including cramdown provisions) that are not presently available to Puerto Rico. PROMESA also provides for an automatic stay of litigation and other enforcement actions upon appointment of the oversight board and sets forth collective action provisions intended to facilitate consensual debt restructurings. The House Committee has stated that it intends to release a revised version of PROMESA in May 2016. The final language of PROMESA or any other legislation concerning Puerto Rico is uncertain, and there is considerable uncertainty as to whether PROMESA (as it may be revised) or any such other legislation will be enacted.

These various legislative, legal and judicial actions have produced increased uncertainty as to creditors’ rights with respect to the debt obligations of Puerto Rico and its related authorities and public corporations.

PRIFA bonds insured by FGIC are already in payment default as described above, and there can be no assurance that other Puerto Rico-related exposures insured by FGIC will remain current on their debt service payments. As of March 31, 2016, FGIC maintained a Claims Reserve for its Puerto Rico-related insured exposures based on various assumptions, including with respect to the FEGP. Rulings, outcomes or other developments relating to Puerto Rico, which FGIC determines are adverse to its interests, may lead to increases in the Claims Reserve for FGIC’s Puerto Rico-related insured exposures and the policy claims that FGIC may be required to pay under its related policies, and such increases could be material. It is impossible to predict with

6.17



any certainty how or when Puerto Rico will be able to resolve its debt and other challenges, and any such resolution could have a material adverse effect on FGIC.

The Company has insured LIBOR-based floating rate RMBS transactions. Accordingly, the Company is exposed to interest rate risk. For Claims Reserve purposes, each quarter the Company projects its insured exposure on these transactions using forward LIBOR curves as of the end of the second month of such quarter. For RMBS transactions where FGIC projects losses, FGIC’s Claims Reserve will increase or decrease (all other things being equal) based on increases or decreases in the interest rates comprising such curves. The Claims Reserve should be most significantly impacted on the FGIC-insured RMBS transactions where FGIC is not required to pay policy claims relating to principal losses until legal maturity of the transactions (2035-2037) because they will continue to have relatively high principal balances on whichinterest will accrue.

The Claims Reserve activity for the year ended December 31, 2015 was mainly attributable to a decrease of $1,115.8 million for the aggregate amount of permitted policy claims under FGIC’s policies covering the COPs (as defined below), which FGIC paid in cash at the then CPP on January 9, 2015, with the remainder being transferred to DPO. The remainder of the decrease in the Claims Reserve is mainly attributable to the payment of permitted policy claims in the ordinary course and a decrease in the total net present value of estimated losses relating to obligations insured by FGIC, including the impact of a settlement consummated in April 2015 with one of two counterparties to the COPs Swaps (as defined below), pursuant to which, among other things, and in consideration of a cash payment and other consideration from FGIC, the parties mutually released each other from all claims, obligations and liabilities relating to the COPs and the COPs Swaps (the “COPs Swaps Settlement”).

In October 2014, the City of Detroit (the “City”) filed an eighth amended plan of adjustment related to its Chapter 9 bankruptcy filing (the “City Plan”), which, among other things, reflected the terms of a settlement of claims that FGIC negotiated with the City (the “FGIC-Detroit Settlement”). The City Plan became effective in December 2014. The FGIC-Detroit Settlement resolved, among other things, FGIC’s objections to the City’s plan of adjustment, the validity litigation related to the certificates of participation (the “COPs”) issued by the Detroit Retirement Systems Funding Trust 2005 and the Detroit Retirement Systems Funding Trust 2006 (the “COPs Trusts”) that was commenced by the City (and counterclaims and third party claims related to such litigation), treatment by the City of the FGIC-insured COPs, and treatment by the City of FGIC’s claims related to its insurance of certain interest rate swaps related to the COPs (the “COPs Swaps”). Pursuant to the FGIC-Detroit Settlement, the City provided specified consideration (i) with respect to the FGIC-insured COPs solely for the benefit of FGIC and the holders of such COPs (the “COPs Recovery”), which consideration in February 2016 was assigned by FGIC and the COPs Trusts to a newly formed limited liability company for which FGIC is the managing member and in which the COPs Trusts are members currently holding in the aggregate a 100% economic interest on behalf of the holders of their respective FGIC-insured COPs (including FGIC to the extent it has acquired or will acquire such COPs by paying policy claims in cash or otherwise acquires such COPs) (in accordance with applicable SAP, FGIC’s interest in such consideration is not an admitted asset as of March 31, 2016, and accordingly neither the value thereof nor any benefit that FGIC may derive therefrom is reflected in the financial statements at March 31, 2016), and (ii) with respect to FGIC’s claims related to its insurance of the COPs Swaps solely for FGIC’s benefit (the “COPs Swaps Recovery”). Pursuant to the City Plan, the COPs were accelerated and interest ceased to accrue thereon as of the effective date of the City Plan. In connection therewith, FGIC exercised its option to pay the policy claims related to the entire $1,100.0 million of COPs on an accelerated basis. On January 9, 2015, FGIC paid in cash the then CPP of the permitted policy claims related to $1,100.0 million of principal of COPs (and unpaid interest thereon accrued through the effective date of the City Plan), with the remainder being considered a DPO under the related policies. No further policy claims are permitted under these policies, in accordance with the Rehabilitation Plan.

The Company believes that the Claims Reserve as of March 31, 2016 is adequate to reflect the sum, net of reinsurance, of (i) the present value of net policy claims submitted to the Company in accordance with the Rehabilitation Plan that are unpaid and not objected to by FGIC as of such date and (ii) the present value of net policy claims that are expected to be received by FGIC in the future. The total amount of policy claims FGIC expects to receive in the future is determined

6.18



for each policy using internally developed cash flow projection models or other methods for estimating losses. However, the establishment of the appropriate level of the Claims Reserve to reflect the future policy claims expected by the Company is an inherently uncertain process involving numerous assumptions, estimates and subjective judgments by management about the outcome of future events, including as to the default probability and liquidation value of assets supporting the insured obligations, future interest rate movements, the amount and timing of collateral cash flows, the priority of application of those cash flows under the transactions documents, and the behavior of the underlying borrower. For example, the Company’s liability in RMBS, asset-backed securities and other securitization transactions, as such liability may be modified by the Rehabilitation Plan, is governed by the structure of the waterfall of cash flows in the transactions documents, which may be subject to interpretation. In addition, each quarter the Company projects its insured exposure on LIBOR-based floating rate RMBS using forward LIBOR curves (1-month or 6-month as applicable), as of the end of the second month of such quarter. For RMBS where FGIC projects losses, all other things being equal, increases or decreases in the interest rates comprising such curves as compared to the prior quarter would increase or decrease FGIC’s Claims Reserve, and such changes could be material.

Small changes in the assumptions, estimates or judgments used by management, which may arise from, among other things, further deterioration in the performance of RMBS or changes in the ability or willingness of insured obligors (including Puerto Rico-related entities) to pay their debt service obligations, could result in significant changes in the Company’s loss expectations and the related Claims Reserve. These changes will not affect the Company’s loss reserve or operating results as long as a Policy Revision Adjustment is required to be made. There can be no assurance that the Company’s estimate of the Claims Reserve is accurate. Accordingly, there can be no assurance that the total amount of policy claims permitted by the Company after March 31, 2016 will not exceed or be less than its Claims Reserve at March 31, 2016, and it is possible that they could significantly exceed such reserve.

The Company evaluates the portfolio of insured financial obligations on a regular basis to determine if there has been credit deterioration. The Company evaluates such factors as rating agency downgrades, significant changes in a specific industry and specific events impacting a particular credit, such as a negative credit event, performance below expectations, breaches of representations, warranties, covenants or deal triggers, management changes, regulatory changes, material litigation and other legal issues. Based on the Company’s evaluation of these and other factors, the Company assigns credits to risk ratings categories, which assignment determines the level of on-going monitoring and surveillance efforts required and whether a Claims Reserve is recorded.

In RMBS, asset-backed securities and other securitization transactions insured by FGIC, the structure of the waterfall of cash flows in the transaction documents and applicable terms and conditions of the Rehabilitation Plan may permit FGIC to recover claims paid from subsequent cash flows. The projected recoveries in the above table reflect FGIC’s current estimate of these recoveries, but there can be no assurance that such recoveries will be received by FGIC. The Company’s insured financial obligations are structured to provide for rights and remedies in order to mitigate claim loss exposure. Loss mitigation activities may include making repurchase claims or pursuing other claims for breaches of representations and warranties by the originator or others, obtaining appraisals of collateral or reviews of loan files, enforcing collateral provisions and covenants of the servicer or others, more frequent meetings with the issuer or servicer, evaluating the financial position of the originator or servicer, renegotiating financial covenants, triggers, or terms of servicing, enforcingrights to remove and replace the servicer, evaluating restructuring plans or bankruptcy proceedings, and commencing litigation or arbitration proceedings as and where appropriate.

There can be no assurance that any loss mitigation efforts will be successful, or as to the magnitude of any benefit that might be derived from any such efforts that are successful.

In accordance with the Rehabilitation Plan, each reinsurer is obligated to pay FGIC in full in cash for such reinsurer’s reinsured portion of the entire amount of each permitted policy claim covered by the reinsurance, in each case without giving effect to the modification of FGIC’s policy obligations and regardless of the amount paid in cash by FGIC on account of such policy claim. Any reinsurance recoverable on losses is calculated in a manner consistent with the

6.19



calculation of gross Claims Reserve and reflected in the Claims Reserve as a reduction of the liability.

DPO

Activity in the DPO for the three months ended March 31, 2016 and the year ended December

31, 2015 is summarized as follows:


(In Thousands)

Balance, beginning of period $ 1,700,456 $ 823,793

Payments of DPO (22,718)

Additions:DPO relating to Permitted Policy Claims that were

initially paid (or deemed to be paid) in cash during the period 4,115 899,381

Balance, end of period $ 1,704,571 $ 1,700,456

With respect to FGIC-insured securities purchased and owned by FGIC for which there is a DPO outstanding under the related policy, if the CPP is increased in the future, FGIC, as the holder of such insured securities, would be entitled to receive a ratable portion of the related DPO and DPO Accretion payments that would be payable by FGIC under such policy.

DPO Accretion

Activity in the DPO Accretion for the three months ended March 31, 2016 and the year ended December 31, 2015 is summarized as follows:


(In Thousands)

Balance, beginning of period $ 80,446 $ 42,679

Accretion on outstanding DPO 12,897 39,083

Payment of DPO Accretion (1,316)

Balance, end of period $ 93,343 $ 80,446

6.20



PRA

Activity in the PRA for the three months ended March 31, 2016 and the year ended December 31, 2015 is summarized as follows:


(In Thousands)

Balance, beginning of period $ (1,247,386) $(1,425,403)

Change in PRA 90,195 178,017

Balance, end of period $ (1,157,191) $(1,247,386)

Loss Adjustment Expense Reserves

The Company estimates a loss adjustment expense reserve based on the ultimate future net cost, determined using internally developed estimates, of the efforts involved in managing and mitigating existing and future policy claims.

Activity in the loss adjustment expense reserve for the three months ended March 31, 2016 and the year ended December 31, 2015 is summarized as follows:


(In Thousands)

Net balance at beginning of period $ 13,643 $ 12,002

Incurred (released) related to:Current year – –Prior years 6,524 7,466

Total incurred (released) 6,524 7,466

(Paid) recovered related to:Current year – –Prior years (1,325) (5,825)

Total (paid) recovered (1,325) (5,825)

Net balance at end of period $ 18,842 $ 13,643

Note 26 - Intercompany Pooling Arrangements

The Company was not subject to any Intercompany pooling arrangements during the three months ended March 31, 2016.

Note 27 - Structured Settlements

Not Applicable

Note 28 - Health Care Receivables

Not Applicable

Note 29 - Participating Policies

None

6.21



Note 30 - Premium Deficiency Reserves

None

Note 31 - High Deductibles

None

Note 32 - Discounting of Liabilities for Unpaid Losses or Unpaid Loss Adjustment Expenses


Note 33 - Asbestos/Environmental Reserves

None

Note 34 - Subscriber Savings Accounts

None

Note 35 - Multiple Peril Crop Insurance

None

Note 36 - Financial Guaranty Insurance

B. The following table is a breakdown, as of March 31, 2016, of the Company’s portfolio of insured

financial obligations assigned to risk category 4:

Risk Category 4(Dollars in Thousands)

Number of policies 106

Remaining weighted-average contract period (in years) 19

Insured contractual payments outstanding:Principal $ 4,957,208Interest 1,343,052

Total $ 6,300,260

Gross Claims Reserve $ 2,154,689Less:

Gross projected recoveries (195,635)Discount, net (658,260)

Gross Claims Reserve, net of discount and projected recoveries $ 1,300,794

Unearned premiums $ 31,910

Reinsurance recoverable reported in the balance sheet $ 5

6.22


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 ofDomicile, as required by the Model Act?

Yes [ ] No [X]

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

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 thereporting 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 ofwhich 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 [X] No [ ]

3.3 If the response to 3.2 is yes, provide a brief description of those changes.

Please see Schedule Y - Part 1 - Organizational Chart

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 hasceased to exist as a result of the merger or consolidation.

1Name of Entity

2NAIC Company Code

3State 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 [ ] NA [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. 12/31/2007

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. 12/31/2004

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 domicileor the reporting entity. This is the release date or completion date of the examination report and not the date of the examination (balancesheet date). 05/29/2007

6.4 By what department or departments?

New York State Department of Financial Services

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

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

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

1

Affiliate Name

2Location

(City, State)

3

FRB

4

OCC

5

FDIC

6

SEC

7



9.1 Are the senior officers (principal executive officer, principal financial officer, principal accounting officer or controller, or persons performingsimilar functions) of the reporting entity subject to a code of ethics, which includes the following standards? Yes [X] No [ ]

(a) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

(b) Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the reporting entity;

(c) Compliance with applicable governmental laws, rules and regulations;

(d) The prompt internal reporting of violations to an appropriate person or persons identified in the code; and

(e) Accountability for adherence to the code.

9.11 If the response to 9.1 is No, please explain:

9.2 Has the code of ethics for senior managers been amended? Yes [ ] No [X]

9.21 If the response to 9.2 is Yes, provide information related to amendment(s).

9.3 Have any provisions of the code of ethics been waived for any of the specified officers? Yes [ ] No [X]

9.31 If the response to 9.3 is Yes, provide the nature of any waiver(s).

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: $ 19,221

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]

11.2 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:

1Prior Year-EndBook/AdjustedCarrying Value

2Current QuarterBook/AdjustedCarrying Value

14.21 Bonds $ $14.22 Preferred Stock $ $14.23 Common Stock $ 33,200,000 $ 33,200,00014.24 Short-Term Investments $ $14.25 Mortgage Loans on Real Estate $ $14.26 All Other $ $14.27 Total Investment in Parent, Subsidiaries and Affiliates

(Subtotal Lines 14.21 to 14.26) $ 33,200,000 $ 33,200,00014.28 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 [ ] No [X]

15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ ] No [ ]

If no, attach a description with this statement.

7.1



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 $ 016.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 $ 016.3 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 reportingentity’s offices, vaults or safety deposit boxes, were all stocks, bonds and other securities, owned throughout the current year heldpursuant to a custodial agreement with a qualified bank or trust company in accordance with Section 1, III – General ExaminationConsiderations, F. Outsourcing of Critical Functions, Custodial or Safekeeping Agreements of the NAIC Financial Condition ExaminersHandbook? Yes [X] No [ ]

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

1Name of Custodian(s)

2Custodian Address

State Street Global Services 801 Pennsylvania Ave., Kansas City, MO 64105

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:

1Name(s)

2Location(s)

3Complete 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:

1Old Custodian

2New Custodian

3Date of Change

4Reason

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

1Central Registration Depository

2Name(s)

3Address

106595Wellington Management Company,LLP. 280 Congress Ave.,Boston MA 02210

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

7.2


GENERAL INTERROGATORIESPART 2 - PROPERTY & CASUALTY INTERROGATORIES

1. If the reporting entity is a member of a pooling arrangement, did the agreement or the reporting entity's participation change? Yes [ ] No [ ] NA [X]


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]


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 (seeAnnual Statement Instructions pertaining to disclosure of discounting for definition of “tabular reserves,”) discounted at a rate of interestgreater than zero? Yes [X] No [ ]

4.2 If yes, complete the following schedule:

TOTAL DISCOUNT DISCOUNT TAKEN DURING PERIOD

1

Line of Business

2MaximumInterest

3Discount

Rate

4UnpaidLosses

5Unpaid

LAE

6

IBNR

7

TOTAL

8UnpaidLosses

9Unpaid

LAE

10

IBNR

11

TOTAL

Financial Guaranty 3.760 653,524,415 0 653,524,415 (7,435,256) (7,435,256)

TOTAL 653,524,415 0 0 653,524,415 (7,435,256) 0 0 (7,435,256)

5. Operating Percentages:

5.1 A&H loss percent 0.0 %

5.2 A&H cost containment percent 0.0 %

5.3 A&H expense percent excluding cost containment expenses 0.0 %

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. $

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. $

8


SCHEDULE F - CEDED REINSURANCEShowing All New Reinsurers - Current Year to Date

1

NAICCompany Code

2

ID Number

3

Name of Reinsurer

4

Domiciliary Jurisdiction

5

Type of Reinsurer

6Certified

Reinsurer Rating(1 through 6)

7Effective Date

of CertifiedReinsurer Rating

9


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

States, etc.ActiveStatus

2

Current YearTo Date

3

Prior YearTo Date

4

Current YearTo Date

5

Prior YearTo Date

6

Current YearTo Date

7

Prior YearTo Date

1. Alabama AL N 0 0 573,557 336,288

2. Alaska AK N 0 0 0

3. Arizona AZ L 0 0 0

4. Arkansas AR N 0 0 0

5. California CA N 9,665 16,457 0 0

6. Colorado CO N 0 0 0

7. Connecticut CT N 0 0 0

8. Delaware DE N 0 0 0

9. Dist. Columbia DC L 0 0 0

10. Florida FL N 0 0 3,517 1,789,535 1,103,160

11. Georgia GA N 13,289 13,289 0 0

12. Hawaii HI L 235,000 0 0

13. Idaho ID N 0 0 0

14. Illinois IL N 20,649 37,279 0 0

15. Indiana IN N 0 0 0

16. Iowa IA N 0 0 0

17. Kansas KS L 0 0 0

18. Kentucky KY N 0 0 0

19. Louisiana LA N 0 0 0

20. Maine ME N 0 0 0

21. Maryland MD N 0 0 0

22. Massachusetts MA N 20 50 0 0

23. Michigan MI N 0 (88,000) 234,310,785 1,004,175,703 591,229,273

24. Minnesota MN L 21 53 0 0

25. Mississippi MS N 0 0 0

26. Missouri MO N 0 0 0

27. Montana MT N 0 0 0

28. Nebraska NE N 0 0 0

29. Nevada NV L 0 0 0

30. New Hampshire NH N 0 0 0

31. New Jersey NJ L 135,660 136,080 0 0

32. New Mexico NM L 0 0 0

33. New York NY L 1,381,669 2,178,023 (1,513,444) (1,995,820) 553,037,919 1,080,357,593

34. No. Carolina NC N 0 0 0

35. No. Dakota ND N 0 0 0

36. Ohio OH N 0 0 0

37. Oklahoma OK N 0 0 0

38. Oregon OR N 0 0 0

39. Pennsylvania PA L 0 0 0

40. Rhode Island RI L 0 0 0

41. So. Carolina SC N 0 0 0

42. So. Dakota SD N 0 0 0

43. Tennessee TN N 0 0 0

44. Texas TX L 0 0 2,244,512 1,431,592

45. Utah UT N 0 0 0

46. Vermont VT N 0 0 0

47. Virginia VA N 0 0 0

48. Washington WA N 0 0 0

49. West Virginia WV N 0 0 0

50. Wisconsin WI L 0 0 0

51. Wyoming WY N 0 0 0

52. American Samoa AS N 0 0 0

53. Guam GU N 0 0 0

54. Puerto Rico PR L 0 1,406,607 0 361,101,837 173,692,469

55. U.S. Virgin Islands VI N 0 0 0

56. Northern Mariana Islands MP N 0 0 0

57. Canada CAN N 0 0 0

58. Aggregate Other Alien OT XXX 693,360 835,061 0 0 0 0

59. Totals (a) 14 2,254,333 3,451,292 (194,837) 232,318,482 1,922,923,063 1,848,150,375DETAILS OF WRITE-INS

58001. GBR United Kingdom XXX 552,920 600,641 0 0

58002. TUR Turkey XXX 53,371 90,542 0 0

58003. BRA Brazil XXX 24,065 72,194 0 0

58998. Summary of remaining write-ins for Line 58 from overflowpage XXX 63,004 71,684 0 0 0 0

58999. TOTALS (Lines 58001 through58003 plus 58998) (Line 58above) XXX 693,360 835,061 0 0 0 0

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

(a) Insert the number of L responses except for Canada and Other Alien.Effective with the June 30, 2015 Quarterly Statement, Line 33, New York business column 6, Current Year To Date Direct Losses Unpaid includes losses unpaidrepresenting the quarter-end Policy Revision Adjustment ("PRA") recorded per NYSDFS guidelines. Line 33, column 6 of the March 31, 2016 Quarterly Statementincludes losses unpaid of $(1,157,191,109) representing the March 31, 2016 PRA.

10


All ownership interests are 100%, except for Gotham where FGIC is the managing member.

FGIC Corporation(A Delaware corporation)

FEIN 13-3176474

Financial Guaranty Insurance Company(A New York insurance corporation)

NAIC 12815FEIN 13-2710717

FGIC UK Limited(Incorporated in England)

Fifteen 521 LLC(A Delaware limited liability company)

FEIN 81-0664058

FGIC Corporation Structure (as of 3/31/16)

Gotham Motown Recovery, LLC(A Delaware limited liability company)

FEIN 81-1275245

SCHEDULE Y: INFORMATION CONCERNING ACTIVITIES OF INSURER MEMBERS OF A HOLDING COMPANY GROUPPART 1 – ORGANIZATIONAL CHART

11


SCHEDULE YPART 1A – DETAIL OF INSURANCE HOLDING COMPANY SYSTEM

1

GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

FederalRSSD

6

CIK

7Name of

SecuritiesExchange if

PubliclyTraded (U.S. orInternational)

8

Name ofParent Subsidiaries

or Affiliates

9

DomiciliaryLocation

10

Relationship toReporting

Entity

11

Directly Controlled by(Name of Entity/Person)

12Type of Control

(Ownership,Board,

Management,Attorney-in-Fact,Influence, Other)

13

If Control isOwnership

ProvidePercentage

14

UltimateControllingEntity(ies)/Person(s)

15

*00000 FGIC Corporation 00000 13-3176474 FGIC Corporation DE UDP 0.0 0

00000 FGIC Corporation 12815 13-2710717Financial Guaranty InsuranceCompany NY RE FGIC Corporation Ownership 100.0 FGIC Corporation 0

00000 FGIC Corporation 00000 FGIC UK Limited GBR DSFinancial Guaranty InsuranceCompany Ownership 100.0 FGIC Corporation 0

00000 FGIC Corporation 00000 81-0664058 Fifteen 521 LLC DE DSFinancial Guaranty InsuranceCompany Ownership 100.0 FGIC Corporation 0

00000 FGIC Corporation 00000 81-1275245 Gotham Motown Recovery LLC DE NIAFinancial Guaranty InsuranceCompany Management 0.0 FGIC Corporation 0

Asterisk Explanation

12


PART 1 - LOSS EXPERIENCECurrent Year to Date 4

Line of Business

1Direct Premiums

Earned

2Direct Losses

Incurred

3Direct LossPercentage

Prior Year toDate Direct Loss

Percentage

1. Fire 0.0 0.02. Allied lines 0.0 0.03. Farmowners multiple peril 0.0 0.04. Homeowners multiple peril 0.0 0.05. Commercial multiple peril 0.0 0.06. Mortgage guaranty 0.0 0.08. Ocean marine 0.0 0.09. Inland marine 0.0 0.0

10. Financial guaranty 5,397,030 21,575,470 399.8 106.311.1 Medical professional liability -occurrence 0.0 0.011.2 Medical professional liability -claims made 0.0 0.012. Earthquake 0.0 0.013. Group accident and health 0.0 0.014. Credit accident and health 0.0 0.015. Other accident and health 0.0 0.016. Workers’ compensation 0.0 0.017.1 Other liability occurrence 0.0 0.017.2 Other liability-claims made 0.0 0.017.3 Excess Workers’ Compensation 0.0 0.018.1 Products liability-occurrence 0.0 0.018.2 Products liability-claims made 0.0 0.019.1,19.2 Private passenger auto liability 0.0 0.019.3,19.4 Commercial auto liability 0.0 0.021. Auto physical damage 0.0 0.022. Aircraft (all perils) 0.0 0.023. Fidelity 0.0 0.024. Surety 0.0 0.026. Burglary and theft 0.0 0.027. Boiler and machinery 0.0 0.028. Credit 0.0 0.029. International 0.0 0.030. Warranty 0.0 0.031. Reinsurance - Nonproportional Assumed Property XXX XXX XXX XXX32. Reinsurance - Nonproportional Assumed Liability XXX XXX XXX XXX33. Reinsurance - Nonproportional Assumed Financial Lines XXX XXX XXX XXX34. Aggregate write-ins for other lines of business 0 0 0.0 0.035. TOTALS 5,397,030 21,575,470 399.8 106.3

DETAILS OF WRITE-INS3401.3402.3403.3498. Sum. of remaining write-ins for Line 34 from overflow page 0 0 0.0 0.03499. Totals (Lines 3401 through 3403 plus 3498) (Line 34) 0 0 0.0 0.0

PART 2 - DIRECT PREMIUMS WRITTEN

Line of Business

1CurrentQuarter

2Current

Year to Date

3Prior Year

Year to Date

1. Fire 0 02. Allied lines 0 03. Farmowners multiple peril 0 04. Homeowners multiple peril 0 05. Commercial multiple peril 0 06. Mortgage guaranty 0 08. Ocean marine 0 09. Inland marine 0 0

10. Financial guaranty 2,254,333 2,254,333 3,451,29211.1 Medical professional liability-occurrence 0 011.2 Medical professional liability-claims made 0 012. Earthquake 0 013. Group accident and health 0 014. Credit accident and health 0 015. Other accident and health 0 016. Workers’ compensation 0 017.1 Other liability occurrence 0 017.2 Other liability-claims made 0 017.3 Excess Workers’ Compensation 0 018.1 Products liability-occurrence 0 018.2 Products liability-claims made 0 019.1,19.2 Private passenger auto liability 0 019.3,19.4 Commercial auto liability 0 021. Auto physical damage 0 022. Aircraft (all perils) 0 023. Fidelity 0 024. Surety 0 026. Burglary and theft 0 027. Boiler and machinery 0 028. Credit 0 029. International 0 030. Warranty 0 031. Reinsurance - Nonproportional Assumed Property XXX XXX XXX32. Reinsurance - Nonproportional Assumed Liability XXX XXX XXX33. Reinsurance - Nonproportional Assumed Financial Lines XXX XXX XXX34. Aggregate write-ins for other lines of business 0 0 035. TOTALS 2,254,333 2,254,333 3,451,292

DETAILS OF WRITE-INS3401.3402.3403.3498. Sum. of remaining write-ins for Line 34 from overflow page 0 0 03499. Totals (Lines 3401 through 3403 plus 3498) (Line 34) 0 0 0

13


PART 3 (000 omitted)

LOSS AND LOSS ADJUSTMENT EXPENSE RESERVES SCHEDULE

Years in WhichLosses Occurred

1

Prior Year-EndKnown Case Lossand LAE Reserves

2

Prior Year-EndIBNR

Loss and LAEReserves

3

Total PriorYear-End Loss

and LAEReserves

(Cols. 1 + 2)

4

2016 Loss andLAE Payments onClaims Reported

as of PriorYear-End

5

2016 Loss andLAE Payments on

ClaimsUnreportedas of PriorYear-End

6

Total 2016 Lossand LAE

Payments(Cols. 4 + 5)

7

Q.S. Date KnownCase Loss and

LAE Reserves onClaims Reportedand Open as ofPrior Year End

8

Q.S. Date KnownCase Loss and

LAE Reserves onClaims Reported

or ReopenedSubsequent toPrior Year End

9

Q.S. Date IBNRLoss and LAE

Reserves

10

Total Q.S. Lossand LAEReserves

(Cols.7 + 8 + 9)

11

Prior Year-EndKnown Case Lossand LAE Reserves

Developed(Savings)/Deficiency

(Cols. 4 + 7minus Col. 1)

12

Prior Year-EndIBNR Loss andLAE Reserves

Developed(Savings)/Deficiency

(Cols. 5 + 8 + 9minus Col. 2)

13

Prior Year-EndTotal Loss andLAE ReserveDeveloped(Savings)/Deficiency

(Cols. 11 + 12)

1. 2013 + Prior 2,805,886 (1,107,631) 1,698,255 (442) (442) 2,732,767 (643,976) 2,088,791 (73,561) 463,655 390,094

2. 2014 139,238 (56,443) 82,795 76 76 146,812 (377,266) (230,454) 7,650 (320,823) (313,173)

3. Subtotals 2014 +prior 2,945,124 (1,164,074) 1,781,050 (366) 0 (366) 2,879,579 0 (1,021,242) 1,858,337 (65,911) 142,832 76,921

4. 2015 211,827 (83,312) 128,515 1,496 1,496 213,530 (56,493) 157,037 3,199 26,819 30,018

5. Subtotals 2015 +prior 3,156,951 (1,247,386) 1,909,565 1,130 0 1,130 3,093,109 0 (1,077,735) 2,015,374 (62,712) 169,651 106,939

6. 2016 XXX XXX XXX XXX 0 XXX (79,456) (79,456) XXX XXX XXX

7. Totals 3,156,951 (1,247,386) 1,909,565 1,130 0 1,130 3,093,109 0 (1,157,191) 1,935,918 (62,712) 169,651 106,939

8.

Prior Year-EndSurplus AsRegards Policy-holders 66,400

Col. 11, Line 7As % of Col. 1,

Line 7


Line 7


Line 7

1. (2.0) 2. (13.6) 3. 5.6Col. 13, Line 7

Line 8

4. 161.1

14


SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIESThe 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 forwhich 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 thesupplement is required of your company but is not being filed for whatever reason enter SEE EXPLANATION and provide an explanation following the interrogatory questions.

Response

1. Will the Trusteed Surplus Statement be filed with the state of domicile and the NAIC with this statement? SEE EXPLANATION

2. Will Supplement A to Schedule T (Medical Professional Liability Supplement) be filed with this statement? NO

3. Will the Medicare Part D Coverage Supplement be filed with the state of domicile and the NAIC with this statement? NO

4. Will the Director and Officer Insurance Coverage Supplement be filed with the state of domicile and the NAIC with this statement? NO

Explanation:

1. Company is a US entity

2.

3.

4.

Bar Code:

2. *12815201645500001*

3. *12815201636500001*

4. *12815201650500001*

15


OVERFLOW PAGE FOR WRITE-INS

PQ010 Additional Aggregate Lines for Page 10 Line 58.*SCT

1

ActiveStatus

2

Current YearTo Date

3

Prior YearTo Date

4

Current YearTo Date

5

Prior YearTo Date

6

Current YearTo Date

7

Prior YearTo Date

58004. AUS Australia XXX 63,004 71,684 0 058005. XXX 0 0 0 0

58997.Summary of remaining write-ins for Line 58 from Page 10 XXX 63,004 71,684 0 0 0 0

16


SCHEDULE A – VERIFICATIONReal Estate

1

Year To Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value, December 31 of prior year 0 02. Cost of acquired:

2.1 Actual cost at time of acquisition 02.2 Additional investment made after acquisition 0

3. Current year change in encumbrances 04. Total gain (loss) on disposals 05. Deduct amounts received on disposals 06. Total foreign exchange change in book/adjusted carrying value 07. Deduct current year’s other-than-temporary impairment recognized 08. Deduct current year’s depreciation 09. Book/adjusted carrying value at the end of current period (Lines 1+2+3+4-5+6-7-8) 0 0

10. Deduct total nonadmitted amounts 0 011. Statement value at end of current period (Line 9 minus Line 10) 0 0

SCHEDULE B – VERIFICATIONMortgage Loans

1

Year To Date

2Prior Year Ended

December 31

1. Book value/recorded investment excluding accrued interest, December 31 of prior year 0 02. Cost of acquired:


3. Capitalized deferred interest and other 04. Accrual of discount 05. Unrealized valuation increase (decrease) 06. Total gain (loss) on disposals 07. Deduct amounts received on disposals 08. Deduct amortization of premium and mortgage interest points and commitment fees 09. Total foreign exchange change in book value/recorded investment excluding accrued interest 0

10. Deduct current year’s other-than-temporary impairment recognized 011. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-

8+9-10) 0 012. Total valuation allowance 013. Subtotal (Line 11 plus Line 12) 0 014. Deduct total nonadmitted amounts 0 015. Statement value at end of current period (Line 13 minus Line 14) 0 0

SCHEDULE BA – VERIFICATIONOther Long-Term Invested Assets

1

Year To Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value, December 31 of prior year 0 02. Cost of acquired:


3. Capitalized deferred interest and other 04. Accrual of discount 05. Unrealized valuation increase (decrease) 06. Total gain (loss) on disposals 07. Deduct amounts received on disposals 08. Deduct amortization of premium and depreciation 09. Total foreign exchange change in book/adjusted carrying value 0

10. Deduct current year’s other-than-temporary impairment recognized 011. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 0 012. Deduct total nonadmitted amounts 0 013. Statement value at end of current period (Line 11 minus Line 12) 0 0

SCHEDULE D – VERIFICATIONBonds and Stocks

1

Year To Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value of bonds and stocks, December 31 of prior year 2,236,770,596 2,078,193,1162. Cost of bonds and stocks acquired 207,929,873 721,521,2293. Accrual of discount 870,159 3,821,4434. Unrealized valuation increase (decrease) 2,688,708 9,323,4555. Total gain (loss) on disposals 15,171,980 14,969,9506. Deduct consideration for bonds and stocks disposed of 224,097,497 559,640,7467. Deduct amortization of premium 2,383,816 12,172,0528. Total foreign exchange change in book/adjusted carrying value (1,167,220) (764,906)9. Deduct current year’s other-than-temporary impairment recognized 1,280,236 18,480,893

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 2,234,502,547 2,236,770,59611. Deduct total nonadmitted amounts 0 012. Statement value at end of current period (Line 10 minus Line 11) 2,234,502,547 2,236,770,596

SI01


SCHEDULE D - PART 1BShowing the Acquisitions, Dispositions and Non-Trading Activity

During the Current Quarter for all Bonds and Preferred Stock by NAIC Designation

NAIC Designation

1

Book/Adjusted

Carrying Value

Beginning of

Current Quarter

2

Acquisitions

During

Current Quarter

3

Dispositions

During

Current Quarter

4

Non-Trading

Activity

During

Current Quarter

5

Book/Adjusted

Carrying Value

End of

First Quarter

6

Book/Adjusted

Carrying Value

End of

Second Quarter

7

Book/Adjusted

Carrying Value

End of

Third Quarter

8

Book/Adjusted

Carrying Value

December 31

Prior Year

BONDS

1. NAIC 1 (a) 1,895,066,479 241,445,981 318,494,423 (8,470,837) 1,809,547,200 0 0 1,895,066,479

2. NAIC 2 (a) 237,050,778 59,796,865 3,373,832 667,619 294,141,430 0 0 237,050,778

3. NAIC 3 (a) 45,912,367 17,806,985 5,806,863 69,526,215 0 0 45,912,367

4. NAIC 4 (a) 23,529,333 11,464,109 3,012,664 (1,360,171) 30,620,607 0 0 23,529,333

5. NAIC 5 (a) 0 0 0 0 0

6. NAIC 6 (a) 0 10,225 10,225 0 0 0

7. Total Bonds 2,201,558,957 330,524,165 324,880,919 (3,356,526) 2,203,845,677 0 0 2,201,558,957

PREFERRED STOCK

8. NAIC 1 0 0 0 0 0

9. NAIC 2 0 0 0 0 0 0

10. NAIC 3 0 0 0 0 0

11. NAIC 4 0 0 0 0 0

12. NAIC 5 0 0 0 0 0

13. NAIC 6 0 0 0 0 0

14. Total Preferred Stock 0 0 0 0 0 0 0 0

15. Total Bonds & Preferred Stock 2,201,558,957 330,524,165 324,880,919 (3,356,526) 2,203,845,677 0 0 2,201,558,957

(a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of non-rated short-term and cash equivalent bonds by NAIC designation: NAIC 1 $ ; NAIC 2 $ ;

NAIC 3 $ ; NAIC 4 $ ; NAIC 5 $ ; NAIC 6 $

SI0

2


SCHEDULE DA - PART 1Short-Term Investments

1

Book/Adjusted

Carrying Value

2

Par Value

3

Actual Cost

4

Interest Collected

Year To Date

5

Paid for Accrued

Interest

Year To Date

9199999 106,214,965 XXX 106,214,965 62,369

SCHEDULE DA - VERIFICATIONShort-Term Investments

1

Year To Date

2

Prior YearEnded December 31

1. Book/adjusted carrying value, December 31 of prior year 75,278,464 406,344,513

2. Cost of short-term investments acquired 154,014,693 985,085,627

3. Accrual of discount 68,892

4. Unrealized valuation increase (decrease) 0 0

5. Total gain (loss) on disposals 0 (2,400)

6. Deduct consideration received on disposals 122,988,098 1,314,340,399

7. Deduct amortization of premium 63,496

8. Total foreign exchange change in book/adjusted carrying value (90,094) (1,814,273)

9. Deduct current year’s other-than-temporary impairment recognized 0

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 106,214,965 75,278,464

11. Deduct total nonadmitted amounts 0

12. Statement value at end of current period (Line 10 minus Line 11) 106,214,965 75,278,464

SI03


Schedule DB - Part A - Verification

NONE

Schedule DB - Part B - Verification

NONE

Schedule DB - Part C - Section 1

NONE

Schedule DB - Part C - Section 2

NONE

Schedule DB - Verification

NONE

SI04, SI05, SI06, SI07


SCHEDULE E - VERIFICATION(Cash Equivalents)

1

Year ToDate

2

Prior YearEnded December 31

1. Book/adjusted carrying value, December 31 of prior year 0 0

2. Cost of cash equivalents acquired 158,226,498

3. Accrual of discount 0

4. Unrealized valuation increase (decrease) 0

5. Total gain (loss) on disposals 0

6. Deduct consideration received on disposals 158,226,498

7. Deduct amortization of premium 0

8. Total foreign exchange change in book/adjusted carrying value 0

9. Deduct current year’s other than temporary impairment recognized 0

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 0 0

11. Deduct total nonadmitted amounts 0

12. Statement value at end of current period (Line 10 minus Line 11) 0 0

SI08


Schedule A - Part 2

NONE

Schedule A - Part 3

NONE

Schedule B - Part 2

NONE

Schedule B - Part 3

NONE

Schedule BA - Part 2

NONE

Schedule BA - Part 3

NONE

E01, E02, E03


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

CUSIPIdentification Description Foreign Date Acquired Name of Vendor

Number ofShares of Stock

ActualCost Par Value

Paid for AccruedInterest and Dividends

NAICDesignation or

MarketIndicator (a)

Bonds - U.S. Special Revenue010869-CE-3 ALAMEDA CORRIDOR TRANSN AUTH 0.000% 10 01/11/2016 Morgan Stanley 6,118,431 14,130,000 1FE072024-NU-2 BAY AREA TOLL AUTH CALIF TOLL SERIES S1 01/29/2016 Royal Bank of Canada 1,849,555 1,370,000 32,119 1FE167725-AF-7 CHICAGO TRANSIT AUTHORITY 6.899% 12/01 02/24/2016 Various 1,745,891 1,470,000 23,152 1FE249218-AJ-7 DENVER CITY & COUNTY SCHOOL DI SERIES B 01/06/2016 ROBERT W. BAIRD CO. INC. 584,145 500,000 2,246 1FE249218-AK-4 DENVER CO PUBLIC SCHS COPS SERIES B 7. 02/10/2016 Raymond James 1,449,572 1,045,000 12,425 1FE452252-FH-7 ILLINOIS STATE TOLL HIGHWAY SERIES A 6 02/22/2016 Raymond James 7,813,980 6,000,000 55,656 1FE485429-Z6-4 KANSAS ST DEV FIN AUTH REVENUE SERIES H 03/30/2016 Citigroup Global Markets, Inc. 4,448,974 4,260,000 94,532 1FE59259Y-BY-4 MET TRANSPRTN AUTH NY REVENUE 6.668% 1 02/29/2016 Various 2,021,263 1,490,000 27,563 1FE60636A-MR-1 MISSOURI ST HLTH EDUCTNL FACS SERIES A 02/19/2016 First Union 4,915,000 4,915,000 1FE649907-YA-4 NEW YORK ST DORM AUTH REVENUES 4.802% 01/28/2016 Royal Bank of Canada 1,943,978 1,720,000 13,995 1FE73358W-CX-0 PORT AUTH OF NEW YORK & NEW JE 5.647% 01/29/2016 Cantor Fitzgerald 2,440,120 2,000,000 28,862 1FE745190-KZ-0 PUERTO RICO COMWLTH HWY SERIES H 4.500 03/31/2016 Pershing LLC 10,225 25,000 294 6FE786005-PN-2 SACRAMENTO CA MUNI UTILITY DIS 6.156% 02/09/2016 Raymond James 2,884,635 2,250,000 33,473 1FE

3199999 - Bonds - U.S. Special Revenue and Special Assessment and all Non-Guaranteed Obligations of Agencies and Authorities of Governments and Their Political Subdivisions 38,225,768 41,175,000 324,317 XXX

Bonds - Industrial and Miscellaneous (Unaffiliated)00206R-CU-4 AT&T INC 5.650% 02/15/47 01/29/2016 Barclays Capital Inc 5,387,364 5,400,000 2FE010392-FP-8 ALABAMA POWER CO 4.300% 01/02/46 01/08/2016 Barclays Capital Inc 5,364,036 5,400,000 1FE02005N-AD-2 ALLY FINANCIAL INC 6.250% 12/01/17 02/16/2016 Morgan Stanley 182,806 178,000 2,410 3FE031162-BE-9 AMGEN INC 4.950% 10/01/41 01/06/2016 Barclays Capital Inc 5,365,296 5,300,000 72,875 2FE032511-BN-6 ANADARKO PETROLEUM CORP 5.550% 03/15/2 03/15/2016 Bank of America 389,934 390,000 49 3FE032511-BP-1 ANADARKO PETROLEUM CORP 6.600% 03/15/4 03/15/2016 Various 180,135 180,000 23 3FE038522-AH-1 ARAMARK SERVICES INC SERIES 144A 5.125 02/16/2016 HBSC Securities 406,166 393,000 3,469 4FE038522-AK-4 ARAMARK SERVICES INC SERIES WI 5.125% 03/25/2016 Tax Free Exchange 475,979 463,000 6,459 3FE053773-AY-3 AVIS BUDGET CAR FINANCE SERIES 144A 5. 01/06/2016 Goldman Sachs 881,550 900,000 5,125 4FE10112R-AX-2 BOSTON PROPERTIES LP 3.650% 02/01/26 01/08/2016 Chase 5,359,305 5,375,000 2FE12189L-AE-1 BURLINGTN NORTH SANTA FE 5.400% 06/01/ 01/07/2016 Morgan Stanley 3,583,548 3,250,000 19,988 1FE1248EP-AY-9 CCO HOLDINGS LLC / CAP CORP 5.250% 09/ 01/13/2016 Royal Bank of Canada 323,343 325,000 5,166 3FE12513G-BB-4 CDW LLC /CDW FINANCE 5.000% 09/01/23 02/11/2016 Goldman Sachs 434,592 437,000 10,075 4FE12592B-AF-1 CNH INDUSTRIAL CAPITAL L 4.875% 04/01/ 03/15/2016 Various 994,046 1,000,000 29 3FE12621E-AK-9 CNO FINANCIAL GROUP INC 5.250% 05/30/2 01/06/2016 MARKETAXESS CORP 458,820 450,000 2,691 3FE126650-CM-0 CVS CORP 4.875% 07/20/35 01/06/2016 Chase 5,275,735 5,050,000 116,939 2FE128195-AH-7 CALATLANTIC GROUP INC 6.250% 12/15/21 01/13/2016 Barclays Capital Inc 450,764 425,000 2,509 3FE14161H-AJ-7 CARDTRONICS INC SERIES WI 5.125% 08/01 03/24/2016 Wells Fargo Bank 498,750 500,000 4,200 3FE20605P-AB-7 CONCHO RESOURCES INC 7.000% 01/15/21 03/02/2016 Wells Fargo Bank 203,000 200,000 2,022 3FE212015-AQ-4 CONTINENTAL RESOURCES INC/OK SERIES WI 02/04/2016 MARKETAXESS CORP 206,468 375,000 3,471 3FE224044-BY-2 COX COMMUNICATIONS INC SERIES 144A 4.7 01/20/2016 Morgan Stanley 5,587,940 7,150,000 37,339 2FE228255-AH-8 CROWN CORK & SEAL CO INC 7.375% 12/15/ 01/13/2016 Various 634,449 590,000 3,519 4FE25278X-AB-5 DIAMONDBACK ENERGY INC SERIES WI 7.625 03/29/2016 Goldman Sachs 300,875 290,000 4FE254010-AE-1 DIGNITY HEALTH 5.267% 11/01/64 01/13/2016 Various 4,497,297 4,290,000 48,957 1FE25470X-AB-1 DISH DBS CORP 7.875% 09/01/19 02/04/2016 Various 865,282 800,000 26,119 3FE26875P-AQ-4 EOG RESOURCES INC 5.100% 01/15/36 01/11/2016 Citigroup Global Markets, Inc. 5,284,206 5,300,000 2FE29273R-AX-7 ENERGY TRANSFER PARTNERS 4.150% 10/01/ 02/22/2016 Goldman Sachs 475,849 550,000 9,130 2FE31430Q-BE-6 FELCOR LODGING LP 5.625% 03/01/23 02/17/2016 Various 1,095,780 1,077,000 25,413 4FE37045V-AE-0 GENERAL MOTORS CO SERIES WI 4.875% 10/ 03/29/2016 Bank of America 1,044,360 1,000,000 24,240 2FE404119-BQ-1 HCA INC 5.250% 04/15/25 02/11/2016 Barclays Capital Inc 373,085 371,000 6,601 3FE404119-BT-5 HCA INC 5.250% 06/15/26 03/01/2016 Bank of America 165,000 165,000 3FE40412C-AC-5 HCA HOLDINGS INC 6.250% 02/15/21 01/06/2016 Morgan Stanley 239,625 225,000 5,703 4FE40415R-AQ-8 HD SUPPLY INC SERIES 144A 5.250% 12/15 01/07/2016 Morgan Stanley 920,250 900,000 3,544 3FE416515-BB-9 HARTFORD FIN SRV 4.300% 04/15/43 01/20/2016 Wells Fargo Bank 5,215,545 5,525,000 65,993 2FE428040-CP-2 HERTZ CORP 5.875% 10/15/20 01/06/2016 MARKETAXESS CORP 129,310 125,000 1,754 4FE432891-AD-1 HILTON WORLDWIDE FINANCE LLC / SERIES WI 01/13/2016 SUMRIDGE PARTNERS LLC 438,813 425,000 6,242 4FE478160-BV-5 JOHNSON & JOHNSON 3.700% 03/01/46 02/25/2016 Chase 4,321,116 4,350,000 1FE482539-AA-1 KLX INC SERIES 144A 5.875% 12/01/22 03/03/2016 Various 1,078,489 1,100,000 17,250 4FE48305Q-AB-9 KAISER FOUNDATION HOSPIT 4.875% 04/01/ 03/08/2016 Various 4,569,410 4,070,000 76,150 1FE513075-BJ-9 LAMAR MEDIA CORP SERIES 144A 5.750% 02 03/30/2016 Various 576,875 550,000 5,271 3FE527298-BF-9 LEVEL 3 FINANCING INC SERIES WI 5.125% 01/11/2016 Tax Free Exchange 998,524 1,025,000 18,970 4FE527298-BL-6 LEVEL 3 FINANCING INC SERIES 144A 5.25 03/09/2016 Various 1,380,000 1,380,000 4FE530715-AJ-0 LIBERTY INTERACTIVE LLC 8.250% 02/01/3 03/18/2016 Various 1,001,565 1,000,000 3,906 3FE53079E-AZ-7 LIBERTY MUTUAL GROUP INC SERIES 144A 6 01/20/2016 Wells Fargo Bank 5,299,314 4,575,000 69,388 2FE

E0

4



1 2 3 4 5 6 7 8 9 10





NAICDesignation or

MarketIndicator (a)

539830-BK-4 LOCKHEED MARTIN CORP 4.500% 05/15/36 01/06/2016 Barclays Capital Inc 2,879,692 2,825,000 16,950 2FE546347-AH-8 LOUISIANA-PACIFIC CORP 7.500% 06/01/20 02/11/2016 Various 515,798 500,000 7,126 3FE55336V-AH-3 MPLX LP SERIES 144A 4.875% 06/01/25 03/02/2016 Various 1,024,542 1,260,000 14,105 2FE586054-AA-6 MEMORIAL SLOAN KETTERING 5.000% 07/01/ 01/07/2016 Raymond James 5,817,128 5,189,000 7,928 1FE655044-AD-7 NOBLE ENERGY INC 8.250% 03/01/19 03/30/2016 Various 226,904 210,000 913 2FE655044-AG-0 NOBLE ENERGY INC 5.250% 11/15/43 03/09/2016 Wells Fargo Bank 328,664 400,000 6,942 2FE674599-CJ-2 OCCIDENTAL PETROLEUM COR 4.400% 04/15/ 03/28/2016 Chase 2,004,325 2,020,000 1FE68233J-AF-1 ONCOR ELECTRIC DELIVERY 7.500% 09/01/3 01/12/2016 Various 8,806,027 6,575,000 179,871 2FE69327R-AC-5 PDC ENERGY INC 7.750% 10/15/22 03/03/2016 Credit Suisse First Boston 533,500 550,000 16,932 4FE707569-AR-0 PENN NATIONAL GAMING INC SERIES WI 5.8 02/11/2016 Jefferies + Co.- Bond Division 665,573 691,000 9,750 4FE74153Q-AG-7 PRIDE INTERNATIONAL INC 8.500% 06/15/1 03/03/2016 Chase 573,683 750,000 14,698 3FE745867-AV-3 PULTE GROUP INC 4.250% 03/01/21 02/25/2016 Citigroup Global Markets, Inc. 230,000 230,000 3FE750236-AT-8 RADIAN GROUP INC 7.000% 03/15/21 03/15/2016 Various 507,225 505,000 3FE761735-AD-1 REYNOLDS GROUP ISSUER INC 6.875% 02/15 01/06/2016 Credit Suisse First Boston 436,688 425,000 11,850 4FE779382-AN-0 ROWAN COMPANIES INC 5.000% 09/01/17 03/03/2016 Chase 588,650 610,000 593 3FE829259-AQ-3 SINCLAIR TELEVISION GROUP INC 6.375% 1 02/04/2016 SUMRIDGE PARTNERS LLC 208,000 200,000 3,471 4FE82967N-AS-7 SIRIUS XM RADIO INC SERIES 144A 6.000% 02/04/2016 Chase 1,455,748 1,400,000 5,600 3FE842400-FZ-1 SOUTHERN CAL EDISON 4.650% 10/01/43 01/06/2016 MITSUBISHI UFJ SECURITIES 8,954,123 8,300,000 107,208 1FE852061-AQ-3 SPRINT COMMUNICATIONS INC SERIES 144A 02/18/2016 Chase 878,625 900,000 30,100 3FE853496-AA-5 STANDARD INDUSTRIES INC SERIES 144A 5. 02/18/2016 Bank of America 165,000 165,000 3FE864486-AG-0 SUBURBAN PROPANE PARTNRS 7.375% 08/01/ 02/18/2016 Deutsche Bank 147,000 150,000 676 3FE878091-BD-8 TEACHERS INSUR & ANNUITY SERIES 144A 4 01/20/2016 Wells Fargo Bank 8,883,476 8,525,000 150,845 1FE88023U-AB-7 TEMPUR SEALY INTL INC 6.875% 12/15/20 01/13/2016 Jefferies + Co.- Bond Division 448,375 425,000 2,760 4FE88033G-BY-5 TENET HEALTHCARE CORP 4.500% 04/01/21 01/06/2016 MARKETAXESS CORP 397,000 400,000 5,000 3FE89469A-AB-0 TREEHOUSE FOODS INC 4.875% 03/15/22 02/05/2016 Jefferies + Co.- Bond Division 925,625 950,000 16,663 3FE90131H-BW-4 21ST CENTURY FOX AMERICA SERIES WI 3.7 01/11/2016 Tax Free Exchange 1,237,088 1,240,000 10,196 2FE914906-AR-3 UNIVISION COMMUNICATIONS SERIES 144A 5 02/05/2016 Jefferies + Co.- Bond Division 483,750 500,000 6,050 4FE983130-AT-2 WYNN LAS VEGAS LLC CORP 5.375% 03/15/ 02/04/2016 BNP PARIBAS SECURITIES 476,250 500,000 10,750 3FE15135U-AD-1 CENOVUS ENERGY INC 5.700% 10/15/19 A 03/01/2016 Various 489,863 555,000 12,128 2FE15135U-AG-4 CENOVUS ENERGY INC 3.000% 08/15/22 A 02/29/2016 Jefferies + Co.- Bond Division 69,588 95,000 143 2FE000000-00-0 KFW SERIES EMTN 1.625% 06/05/20 D 01/29/2016 Royal Bank of Canada 1,096,243 1,071,000 8,892 1FE00772B-AP-6 AERCAP IRELAND CAP LTD/A 4.625% 07/01/ F 01/06/2016 Chase 278,779 275,000 353 3FE03938L-AF-1 ARCELORMITTAL 6.125% 06/01/18 R 03/29/2016 SUMRIDGE PARTNERS LLC 1,010,000 1,000,000 20,417 3FE210383-AE-5 CONSTELLIUM NV SERIES 144A 7.875% 04/0 F 03/23/2016 Goldman Sachs 405,000 405,000 4FE225313-AF-2 CREDIT AGRICOLE LONDON SERIES 144A 4.3 F 01/13/2016 Jefferies + Co.- Bond Division 439,583 450,000 6,672 2FE398435-AC-1 GRIFOLS WORLDWIDE OP LTD SERIES WI 5.2 F 02/11/2016 Jefferies + Co.- Bond Division 406,990 403,000 7,993 4FE46115H-AW-7 INTESA SANPAOLA SPA SERIES 144A 5.710% F 01/08/2016 Chase 1,000,000 1,000,000 3FE97314X-AM-6 WIND ACQUISITION FIN SA SERIES 144A 4. F 01/14/2016 Bank of America 391,500 400,000 264 3FE

3899999 - Bonds - Industrial and Miscellaneous (Unaffiliated) 138,300,601 134,873,000 1,406,828 XXX

8399997 - Subtotals - Bonds - Part 3 176,526,369 176,048,000 1,731,145 XXX

8399999 - Subtotals - Bonds 176,526,369 176,048,000 1,731,145 XXX

Common Stocks - Industrial and Miscellaneous001055-10-2 AFLAC INC 02/01/2016 Morgan Stanley 1,242.000 70,999 L00206R-10-2 AT&T INC 03/31/2016 Various 8,089.000 289,681 L00507V-10-9 ACTIVISION BLIZZARD INC 03/02/2016 Various 7,754.000 248,416 L00508Y-10-2 ACUITY BRANDS INC 01/29/2016 Various 346.000 78,039 L00751Y-10-6 ADVANCE AUTO PARTS INC 01/22/2016 Credit Suisse First Boston 77.000 11,125 L00817Y-10-8 AETNA INC 01/22/2016 Credit Suisse First Boston 225.000 24,013 L02079K-10-7 ALPHABET INC 03/01/2016 Various 322.000 233,187 L02209S-10-3 ALTRIA GROUP INC 03/02/2016 Various 1,606.000 97,021 L023135-10-6 AMAZON.COM INC 03/01/2016 Various 395.000 234,879 L023608-10-2 AMEREN CORP 03/01/2016 Various 701.000 31,096 L02503X-10-5 AMERICAN CAPITAL AGENCY CORP 01/22/2016 Credit Suisse First Boston 905.000 14,818 L025537-10-1 AMERICAN ELECTRIC POWER 01/29/2016 Various 645.000 37,964 L026874-78-4 AMERICAN INTL GROUP 03/01/2016 Various 2,008.000 105,906 L03073E-10-5 AMERISOURCEBERGEN CORP 03/01/2016 Various 1,115.000 102,891 L031162-10-0 AMGEN INC 03/31/2016 Various 1,416.000 217,032 L035710-40-9 ANNALY CAPITAL MANAGEMENT IN 03/02/2016 Various 3,478.000 32,682 L036752-10-3 ANTHEM INC 03/01/2016 Various 904.000 123,915 L037411-10-5 APACHE CORP 03/31/2016 Various 935.000 42,003 L037833-10-0 APPLE INC 03/31/2016 Various 4,267.000 433,286 L

E0

4.1



1 2 3 4 5 6 7 8 9 10





NAICDesignation or

MarketIndicator (a)

039483-10-2 ARCHER-DANIELS- MIDLAND C 03/31/2016 Various 3,124.000 106,811 L053332-10-2 AUTOZONE INC 03/01/2016 Various 444.000 328,705 L060505-10-4 BANK OF AMERICA 03/31/2016 Various 24,796.000 324,563 L071813-10-9 BAXTER INTERNATIONAL INC 03/31/2016 Various 5,077.000 200,215 L075896-10-0 BED BATH AND BEYOND INC 03/31/2016 Various 4,302.000 211,881 L084670-70-2 BERKSHIRE HATHAWAY INC 03/02/2016 Various 1,028.000 135,253 L086516-10-1 BEST BUY CO INC 03/01/2016 Various 1,574.000 47,120 L090572-20-7 BIO RAD LABORATORIES 01/22/2016 Credit Suisse First Boston 109.000 13,882 L09062X-10-3 BIOGEN IDEC INC 03/01/2016 Various 291.000 79,015 L093671-10-5 H&R BLOCK INC 03/01/2016 Various 4,450.000 145,989 L097023-10-5 BOEING CO 03/31/2016 Various 1,755.000 215,501 L110122-10-8 BRISTOL-MYERS SQUIBB 03/02/2016 Various 2,987.000 188,641 L11120U-10-5 BRIXMOR PROPERTY GROUP INC 03/01/2016 Various 1,393.000 34,812 L115637-20-9 BROWN-FORMAN CORP 02/01/2016 Morgan Stanley 561.000 53,943 L12504L-10-9 CBRE GROUP INC -A 01/29/2016 Various 1,136.000 35,363 L12650T-10-4 CSRA INC 01/22/2016 Various 939.000 26,183 L12662P-10-8 CVR ENERGY INC 03/02/2016 Various 4,568.000 138,462 L126650-10-0 CVS CORP 01/22/2016 Various 516.000 49,315 L14040H-10-5 CAPITAL ONE FINANCIAL CO 03/01/2016 Various 731.000 47,260 L14149Y-10-8 CARDINAL HEALTH INC 01/29/2016 Various 1,226.000 101,487 L15189T-10-7 CENTERPOINT ENERGY 03/31/2016 Morgan Stanley 3,000.000 62,801 L156700-10-6 CENTURYLINK INC 03/31/2016 Various 2,020.000 59,420 L166764-10-0 CHEVRON CORP 03/31/2016 Morgan Stanley 2,099.000 184,715 L16934Q-20-8 CHIMERA INVESTIMENT CORP 03/31/2016 Various 2,494.000 32,440 L169656-10-5 CHIPOTLE MEXICAN GRILL INC 03/01/2016 Various 165.000 76,475 L17275R-10-2 CISCO SYSTEMS INC 03/31/2016 Various 7,712.000 185,109 L172967-42-4 CITIGROUP INC 03/31/2016 Various 5,492.000 233,852 L177376-10-0 CITRIX SYSTEMS INC 03/31/2016 Various 1,997.000 148,601 L189054-10-9 CLOROX COMPANY 03/31/2016 Morgan Stanley 400.000 50,434 L191216-10-0 COCA COLA CO THE 01/29/2016 Morgan Stanley 292.000 12,594 L20030N-10-1 COMCAST CORP 03/31/2016 Various 1,471.000 81,758 L209115-10-4 CONSOLIDATED EDISON INC 01/22/2016 Credit Suisse First Boston 336.000 22,718 L222070-20-3 COTY INC 01/22/2016 Credit Suisse First Boston 581.000 13,251 L231021-10-6 CUMMINS INC 03/01/2016 Various 971.000 86,836 L23317H-10-2 DDR CORP 03/31/2016 Morgan Stanley 5,000.000 88,970 L237194-10-5 DARDEN RESTAURANTS INC 03/31/2016 Various 1,403.000 88,173 L247361-70-2 DELTA AIR LINES 03/31/2016 Various 2,737.000 130,245 L25179M-10-3 DEVON ENERGY CORPORATION 01/29/2016 Various 2,425.000 75,401 L25271C-10-2 DIAMOND OFFSHORE DRILLING 03/31/2016 Morgan Stanley 2,400.000 52,170 L254687-10-6 WALT DISNEY CO THE 03/01/2016 Various 3,545.000 338,176 L25754A-20-1 DOMINO'S PIZZA INC 01/22/2016 Credit Suisse First Boston 285.000 31,661 L260543-10-3 DOW CHEMICAL COMPANY/THE 03/02/2016 Various 3,634.000 178,036 L278642-10-3 EBAY INC 03/31/2016 Various 5,790.000 149,201 L28176E-10-8 EDWARDS LIFESCIENCES CORP 03/31/2016 Morgan Stanley 1,500.000 132,384 L285512-10-9 ELECTRONIC ARTS INC 03/01/2016 Various 1,408.000 93,671 L29364G-10-3 ENTERGY CORP 03/01/2016 Various 767.000 53,509 L30161N-10-1 EXELON CORP 03/31/2016 Various 3,019.000 89,039 L30219G-10-8 EXPRESS SCRIPTS HOLDING 03/31/2016 Morgan Stanley 1,600.000 109,943 L30231G-10-2 EXXON MOBIL CORP 03/31/2016 Various 1,599.000 123,616 L30249U-10-1 FMC TECHNOLOGIES INC 03/31/2016 Various 6,493.000 161,563 L30303M-10-2 FACEBOOK INC 03/31/2016 Various 4,796.000 532,084 L315616-10-2 F5 NETWORKS INC 03/31/2016 Various 1,350.000 137,002 L337932-10-7 FIRSTENERGY CORP 03/31/2016 Morgan Stanley 1,400.000 50,369 L343412-10-2 FLUOR CORP 03/31/2016 Various 3,437.000 163,104 L345370-86-0 FORD MOTOR COMPANY 03/31/2016 Various 19,314.000 231,025 L364760-10-8 GAP INC 01/22/2016 Credit Suisse First Boston 682.000 15,891 L369550-10-8 GENERAL DYNAMICS CORP 01/29/2016 Various 822.000 106,395 L369604-10-3 GENERAL ELECTRIC CO 03/02/2016 Various 7,543.000 220,425 L37045V-10-0 GENERAL MOTORS CO 02/01/2016 Various 2,350.000 70,986 L375558-10-3 GILEAD SCIENCES INC 03/31/2016 Various 1,583.000 142,868 L382550-10-1 GOODYEAR TIRE & RUBBER CO 03/31/2016 Various 3,541.000 111,022 L40434L-10-5 HEWLETT-PACKARD CO 01/22/2016 Credit Suisse First Boston 2,315.000 22,898 L

E0

4.2



1 2 3 4 5 6 7 8 9 10





NAICDesignation or

MarketIndicator (a)

406216-10-1 HALLIBURTON CO 01/29/2016 Various 1,500.000 46,434 L416515-10-4 HARTFORD FIN SRV 03/01/2016 Various 2,373.000 101,912 L42824C-10-9 HEWLETT PACKARD ENTERPRIS 03/02/2016 Various 4,082.000 59,647 L437076-10-2 HOME DEPOT INC 01/22/2016 Credit Suisse First Boston 89.000 10,952 L438516-10-6 HONEYWELL INTERNATIONAL 02/01/2016 Morgan Stanley 883.000 89,966 L44106M-10-2 HOSPITALITY PROPERTIES TRUST 03/31/2016 Various 1,142.000 28,280 L457187-10-2 INGREDION INC 03/01/2016 Various 515.000 48,030 L458140-10-0 INTEL CORP 03/31/2016 Various 11,596.000 361,443 L45866F-10-4 INTERCONTINENTAL EXCHANGE IN 01/29/2016 Various 206.000 51,991 L459200-10-1 IBM CORP 03/31/2016 Various 941.000 121,110 L461202-10-3 INTUIT INC 01/22/2016 Various 342.000 32,063 L46625H-10-0 JP MORGAN CHASE AND COMPANY 03/31/2016 Various 4,707.000 274,986 L478160-10-4 JOHNSON & JOHNSON 03/31/2016 Various 3,000.000 302,377 L48203R-10-4 JUNIPER NETWORKS INC 01/29/2016 Various 2,041.000 52,508 L494368-10-3 KIMBERLY-CLARK CORP 01/29/2016 Various 242.000 30,742 L49446R-10-9 KIMCO REALTY CORP 03/31/2016 Various 12,040.000 322,581 L501044-10-1 KROGER CO THE 03/31/2016 Various 2,440.000 93,397 L518439-10-4 ESTEE LAUDER COMPANIES 01/29/2016 Morgan Stanley 166.000 14,150 L526107-10-7 LENNOX INTERNATIONAL INC 02/01/2016 Morgan Stanley 455.000 54,155 L532457-10-8 LILLY ELI & CO 01/22/2016 Credit Suisse First Boston 286.000 23,547 L534187-10-9 LINCOLN NATIONAL CORP 03/01/2016 Various 995.000 38,623 L55272X-10-2 MFA FINANCIAL INC 03/02/2016 Various 7,247.000 45,428 L56585A-10-2 MARATHON PETROLEUM CORP 03/01/2016 Various 3,725.000 158,165 L571903-20-2 MARRIOTT INTERNATIONAL 03/01/2016 Various 188.000 12,908 L574599-10-6 MASCO CORP 03/31/2016 Various 5,018.000 138,091 L57636Q-10-4 MASTERCARD INC 03/01/2016 Various 563.000 50,766 L58155Q-10-3 MCKESSON CORP 03/01/2016 Various 78.000 12,171 L582839-10-6 MEAD JOHNSON NUTRITION 03/31/2016 Various 1,098.000 84,891 L58933Y-10-5 MERCK & CO INC 03/31/2016 Various 4,359.000 223,830 L59156R-10-8 MET LIFE INC 03/31/2016 Various 4,041.000 177,446 L594918-10-4 MICROSOFT CORP 03/31/2016 Various 7,669.000 407,257 L61174X-10-9 MONSTER BEVERAGE CORP 03/02/2016 Various 663.000 84,910 L626717-10-2 MURPHY OIL CORPORATION 01/05/2016 Various 880.000 19,982 L629377-50-8 NRG ENERGY INC 01/22/2016 Credit Suisse First Boston 1,185.000 11,657 L63938C-10-8 NAVIENT CORP 02/01/2016 Morgan Stanley 1,325.000 12,397 L64110L-10-6 NETFLIX INC 03/01/2016 Various 528.000 52,642 L651290-10-8 NEWFIELD EXPLORATION CO 03/01/2016 Various 2,186.000 60,152 L65249B-10-9 NEWS CORP 03/31/2016 Various 7,246.000 89,274 L65473P-10-5 NISOURCE INC 03/01/2016 Various 2,707.000 58,535 L655664-10-0 NORDSTROM INC 03/31/2016 Various 1,921.000 95,974 L67020Y-10-0 NUANCE COMMUNICATIONS 03/31/2016 Morgan Stanley 2,700.000 50,443 L670346-10-5 NUCOR CORP 01/29/2016 Various 899.000 32,480 L67066G-10-4 NVIDIA CORP 03/31/2016 Various 3,144.000 95,627 L693475-10-5 PNC FINANCIAL SERVICES 01/29/2016 Various 266.000 23,526 L693718-10-8 PACCAR INC 03/31/2016 Various 1,183.000 56,023 L697435-10-5 PALO ALTO NETWORKS INC 01/22/2016 Credit Suisse First Boston 68.000 10,026 L713448-10-8 PEPSICO INC 03/31/2016 Various 3,741.000 366,743 L717081-10-3 PFIZER INC 03/31/2016 Various 8,322.000 254,910 L718546-10-4 PHILLIPS 66 03/31/2016 Various 3,626.000 289,105 L72147K-10-8 PILGRIMS PRIDE CORP 03/31/2016 Various 1,110.000 25,035 L723484-10-1 PINNACLE WEST CAPITAL CORP 03/31/2016 Various 1,219.000 82,356 L724479-10-0 PITNEY BOWES INC 01/29/2016 Various 4,864.000 96,594 L74144T-10-8 T ROWE PRICE GROUP INC 01/29/2016 Various 662.000 45,229 L741503-40-3 PRICELINE GROUP INC 01/22/2016 Various 74.000 88,981 L742718-10-9 PROCTER & GAMBLE CO/THE 01/29/2016 Various 969.000 77,238 L744320-10-2 PRUDENTIAL FINANCIAL INC 03/31/2016 Various 1,467.000 105,867 L744573-10-6 PUBLIC SERVICE ENTERPRISE GROU 03/31/2016 Various 3,660.000 157,432 L747525-10-3 QUALCOMM INC 01/29/2016 Morgan Stanley 279.000 12,544 L74762E-10-2 QUANTA SERVICES INC 02/01/2016 Various 1,729.000 33,629 L74876Y-10-1 QUINTILES TRANSNATIONAL HOLDIN 03/01/2016 Various 1,174.000 74,719 L756577-10-2 RED HAT INC 03/31/2016 Various 2,119.000 155,621 L75886F-10-7 REGENERON PHARMACEUTICALS INC 01/22/2016 Credit Suisse First Boston 29.000 13,848 L

E0

4.3



1 2 3 4 5 6 7 8 9 10





NAICDesignation or

MarketIndicator (a)

770323-10-3 ROBERT HALG INTL INC 03/02/2016 Various 1,758.000 71,088 L773903-10-9 ROCKWELL AUTOMATION INC 03/01/2016 Various 880.000 84,430 L778296-10-3 ROSS STORES INC 03/01/2016 Various 753.000 41,135 L78462F-10-3 SPDR S&P 500 ETF TRUST 03/11/2016 Various 1,299.000 253,163 L81211K-10-0 SEALED AIR CORP 02/01/2016 Various 2,151.000 87,880 L824348-10-6 SHERWIN WILLIAMS CO 03/01/2016 Various 298.000 76,806 L83088M-10-2 SKYWORKS SOLUTIONS INC 01/22/2016 Credit Suisse First Boston 355.000 23,576 L844741-10-8 SOUTHWEST AIRLINES CO 03/31/2016 Various 3,134.000 130,066 L848574-10-9 SPIRIT AEROSYSTEMS HOLDINGS IN 03/01/2016 Various 1,273.000 58,690 L85571B-10-5 STARWOOD PROPERTY TRUST INC 01/22/2016 Credit Suisse First Boston 1,470.000 26,636 L867914-10-3 SUNTRUST BANKS INC 03/31/2016 Various 3,084.000 112,126 L871829-10-7 SYSCO CORPORATION 03/31/2016 Various 3,333.000 152,477 L872540-10-9 TJX COS INC 03/01/2016 Various 173.000 13,010 L87612E-10-6 TARGET CORP 03/01/2016 Various 2,477.000 188,388 L87901J-10-5 TEGNA INC 03/31/2016 Morgan Stanley 4,800.000 112,759 L88076W-10-3 TERADATA CORP 02/01/2016 Morgan Stanley 2,254.000 54,326 L881609-10-1 TESORO CORP 03/31/2016 Various 1,013.000 91,058 L883203-10-1 TEXTRON INC 01/22/2016 Credit Suisse First Boston 374.000 13,804 L883556-10-2 THERMO FISHER SCIENTIFIC INC 03/31/2016 Morgan Stanley 1,800.000 254,956 L887317-30-3 TIME WARNER INC 01/22/2016 Credit Suisse First Boston 193.000 13,608 L90187B-10-1 TWO HARBORS INVESTMENT CORP 03/31/2016 Various 3,932.000 29,881 L902494-10-3 TYSON FOODS INC 03/31/2016 Various 1,907.000 101,918 L911684-10-8 US CELLULAR CORP 01/22/2016 Credit Suisse First Boston 406.000 14,348 L91529Y-10-6 UNUM GROUP 03/31/2016 Various 3,033.000 89,067 L91913Y-10-0 VALERO ENERGY CORP 03/31/2016 Various 1,917.000 127,338 L92220P-10-5 VARIAN MEDICAL SYSTEMS INC 03/01/2016 Various 634.000 49,107 L92343V-10-4 VERIZON GLOBAL FDG CORP 03/31/2016 Various 2,773.000 134,918 L92553P-20-1 VIACOM INC 01/22/2016 Credit Suisse First Boston 260.000 11,259 L929089-10-0 VOYA FINANCIAL INC 03/01/2016 Various 400.000 11,856 L931142-10-3 WAL-MART STORES 03/31/2016 Various 2,350.000 150,558 L931427-10-8 WALGREENS BOOTS ALLIANCE 02/01/2016 Morgan Stanley 867.000 68,421 L941848-10-3 WATERS CORP 01/22/2016 Credit Suisse First Boston 116.000 14,740 L949746-10-1 WELLS FARGO & CO. 03/31/2016 Various 1,021.000 50,695 L959802-10-9 WESTERN UNION CO 01/22/2016 Credit Suisse First Boston 1,751.000 30,331 L966837-10-6 WHOLE FOODS MARKET INC 02/01/2016 Morgan Stanley 3,615.000 106,764 L981475-10-6 WORLD FUEL SERVICES CORP 03/31/2016 Morgan Stanley 1,000.000 48,656 L98389B-10-0 XCEL ENERGY INC 03/01/2016 Various 2,903.000 106,946 L984121-10-3 XEROX CORPORATION 03/31/2016 Various 29,544.000 304,939 L98978V-10-3 ZOETIS INC 01/22/2016 Credit Suisse First Boston 241.000 10,472 LG16962-10-5 BUNGE LTD F 01/22/2016 Credit Suisse First Boston 322.000 19,356 LG3157S-10-6 ENSCO PLC-CL A F 03/31/2016 Morgan Stanley 5,500.000 57,245 LG4412G-10-1 HERBALIFE LTD F 01/22/2016 Credit Suisse First Boston 271.000 12,609 LG60754-10-1 MICHAEL KORS HOLDINGS LTD F 03/01/2016 Various 1,000.000 44,975 LG7945M-10-7 SEAGATE TECHNOLOGY PLC F 01/29/2016 Various 991.000 32,475 LH1467J-10-4 CHUBB LTD F 02/01/2016 Morgan Stanley 526.000 59,185 LN53745-10-0 LYONDELLBASELL INDUSTRIES-CL A F 03/31/2016 Various 1,256.000 100,836 LY0486S-10-4 AVAGO TECHNOLOGIES LTD F 01/22/2016 Various 918.000 127,184 LY09827-10-9 BROADCOM LTD F 03/01/2016 Various 110.000 15,033 LY09827-10-9 BROADCOM LTD F 02/01/2016 Tax Free Exchange 918.000 127,184 L

9099999 - Common Stocks - Industrial and Miscellaneous (Unaffiliated) 19,885,810 XXX 0 XXX

Common Stocks - Mutual Funds922040-10-0 VANGUARD INST INDEX 03/31/2016 Direct 65,572.210 11,517,699 L

9299999 - Common Stocks - Mutual Funds 11,517,699 XXX 0 XXX

9799997 - Subtotals - Common Stocks - Part 3 31,403,509 XXX 0 XXX

9799999 - Subtotals - Common Stocks 31,403,509 XXX 0 XXX

9899999 - Subtotals- Preferred and Common Stocks 31,403,509 XXX 0 XXX

9999999 Totals 207,929,878 XXX 1,731,145 XXX

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues .

E0

4.4


SCHEDULE D - PART 4Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter

1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22

CUSIPIdenti-fication Description

Foreign

DisposalDate Name of Purchaser

Number ofShares of

Stock Consideration Par Value Actual Cost

Prior YearBook/Adjusted

CarryingValue

11

UnrealizedValuationIncrease/

(Decrease)

12

Current Year’s(Amortization)/

Accretion

13

Current Year’sOther ThanTemporaryImpairmentRecognized

14

Total Change inB./A.C.V.

(11+12-13)

15

Total ForeignExchangeChange inB./A.C.V.

Book/Adjusted

Carrying Valueat

Disposal Date

ForeignExchange Gain

(Loss) onDisposal

Realized Gain(Loss) onDisposal

Total Gain(Loss) onDisposal

BondInterest/Stock

DividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesig-nation

orMarket

Indicator(a)

Bonds - U.S. Governments

36178N-G6-0GNMA II POOL AB29214.000% 09/20/42 03/01/2016 Paydown 58,057 58,057 60,696 60,611 (2,554) (2,554) 58,057 0 536 09/20/2042 1

36178W-HJ-1GNMA II POOL AB92334.000% 11/20/42 03/01/2016 Paydown 88,764 88,764 92,811 92,717 (3,953) (3,953) 88,764 0 594 11/20/2042 1

36202F-Q8-2GNMA POOL 004979 5.000%03/20/41 03/01/2016 Paydown 80,713 80,713 88,160 88,068 (7,355) (7,355) 80,713 0 698 03/20/2041 1

36297G-VR-8GNMA POOL 711724 3.500%02/20/43 03/01/2016 Paydown 15,508 15,508 15,709 15,697 (189) (189) 15,508 0 108 02/20/2043 1

0599999 - Bonds - U.S. Governments 243,043 243,043 257,377 257,093 0 (14,050) 0 (14,050) 0 243,043 0 0 0 1,937 XXX XXX

Bonds - U.S. States, Territories and Possessions

641461-AL-2NEVADA STATE 5.000%03/01/19 03/01/2016 Call 100.0000 5,050,000 5,050,000 5,526,720 5,068,036 (18,036) (18,036) 5,050,000 0 126,250 03/01/2019 1FE

93974B-MU-3WASHINGTON STATE 5.000%01/01/18 01/01/2016 Call 100.0000 200,000 200,000 225,208 200,000 0 200,000 0 5,000 01/01/2018 1FE

1799999 - Bonds - U.S. States, Territories and Possessions 5,250,000 5,250,000 5,751,928 5,268,036 0 (18,036) 0 (18,036) 0 5,250,000 0 0 0 131,250 XXX XXX

Bonds - U.S. Political Subdivisions of States, Territories and Possessions

081077-YU-7BELTON TX INDEP SCH DIST5.000% 02/15/ 01/15/2016

Jefferies + Co.- BondDivision 3,457,980 3,000,000 3,148,740 3,140,668 (175) (175) 3,140,493 317,487 317,487 65,000 02/15/2039 1FE

213039-GD-6COOK AND DUPAGE CTY DIST210 5.000% 01 01/01/2016 Call 100.0000 1,890,000 1,890,000 1,947,950 1,890,000 0 1,890,000 0 47,250 01/01/2021 1FE

213039-GL-8COOK AND DUPAGE CTY DIST210 5.000% 01 01/01/2016 Call 100.0000 2,125,000 2,125,000 2,174,016 2,125,000 0 2,125,000 0 53,125 01/01/2021 1FE

303820-8P-2FAIRFAX COUNTY VA5.000% 10/01/30 02/24/2016 First Union 12,226,332 10,270,000 11,223,775 10,982,675 (17,967) (17,967) 10,964,708 1,261,624 1,261,624 211,106 10/01/2030 1FE

303820-8Q-0FAIRFAX COUNTY VA SERIESA 5.000% 10/0 02/24/2016 First Union 5,936,050 5,000,000 5,435,450 5,325,637 (7,767) (7,767) 5,317,870 618,180 618,180 100,694 10/01/2031 1FE

442331-WA-8HOUSTON TX SERIES A5.000% 03/01/30 01/14/2016

Jefferies + Co.- BondDivision 8,039,908 6,795,000 7,301,160 7,181,842 (2,873) (2,873) 7,178,969 860,939 860,939 130,903 03/01/2030 1FE

442331-WC-4HOUSTON TX SERIES A5.000% 03/01/32 02/04/2016 Various 1,763,130 1,500,000 1,584,225 1,566,207 (992) (992) 1,565,215 197,915 197,915 32,917 03/01/2032 1FE

490278-3U-0KENT CNTY MI 5.000%01/01/28 01/19/2016 Raymond James 1,156,730 1,000,000 1,041,840 1,031,965 (304) (304) 1,031,661 125,069 125,069 27,917 01/01/2028 1FE

64966J-VJ-2NEW YORK NY SERIES F5.000% 08/01/31 01/19/2016 Morgan Stanley 3,989,540 3,415,000 3,600,400 3,560,236 (1,216) (1,216) 3,559,020 430,519 430,519 81,106 08/01/2031 1FE

681712-PF-6OMAHA CONVENTION CENTER5.250% 04/01/1 01/12/2016 Nomura Securities Inc 1,899,918 1,800,000 2,071,116 1,891,640 (2,427) (2,427) 1,889,212 10,706 10,706 26,775 04/01/2017 1FE

2499999 - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 42,484,588 36,795,000 39,528,671 38,695,870 0 (33,721) 0 (33,721) 0 38,662,149 0 3,822,439 3,822,439 776,793 XXX XXX

Bonds - U.S. Special Revenue and Special Assessment and all Non-Guaranteed Obligations of Agencies and Authorities of Governments and Their Political Subdivisions

047870-EZ-9ATLANTA GA WTR & WASTEWTRREV 5.750% 1 01/12/2016 First Union 6,754,750 5,000,000 5,334,150 5,249,607 (557) (557) 5,249,050 1,505,700 1,505,700 58,299 11/01/2027 1FE

120525-CS-7BUNCOMBE CNTY NC LTDOBLIG 5.000% 06/0 01/05/2016

Depfa First AlbanySecurities 2,854,030 2,450,000 2,582,153 2,554,891 (279) (279) 2,554,612 299,417 299,417 12,590 06/01/2032 1FE

3128K8-NN-2FHLMC POOL A475975.000% 11/01/35 03/01/2016 Paydown 28,019 28,019 26,916 26,974 1,045 1,045 28,019 0 240 11/01/2035 1

3128KY-6C-8FHLMC POOL A680676.500% 10/01/37 03/01/2016 Paydown 379 379 388 388 (9) (9) 379 0 4 10/01/2037 1

3128M8-U8-5FHLMC POOL G006074.500% 06/01/41 03/01/2016 Paydown 660,171 660,171 706,660 705,616 (45,445) (45,445) 660,171 0 4,780 06/01/2041 1

3128MA-BS-7FHLMC GOLD POOL G078493.500% 05/01/44 03/01/2016 Paydown 31,005 31,005 32,035 32,035 (1,029) (1,029) 31,005 0 172 05/01/2044 1

3128MJ-S6-8FHLMC POOL G085403.000% 08/01/43 03/01/2016 Paydown 97,427 97,427 94,060 94,152 3,275 3,275 97,427 0 464 08/01/2043 1

3128MJ-SY-7FHLMC POOL G085343.000% 06/01/43 03/01/2016 Paydown 101,324 101,324 97,822 97,911 3,412 3,412 101,324 0 502 06/01/2043 1

3128MJ-T2-6FHLMC POOL G085684.500% 01/01/44 03/01/2016 Paydown 61,128 61,128 65,266 65,236 (4,107) (4,107) 61,128 0 461 01/01/2044 1

3128MJ-TQ-3FHLMC POOL G085584.000% 11/01/43 03/01/2016 Paydown 86,218 86,218 88,633 88,613 (2,396) (2,396) 86,218 0 550 11/01/2043 1

3128P7-RA-3FHLMC POOL C913814.000% 07/01/31 03/01/2016 Paydown 212,062 212,062 218,369 217,750 (5,687) (5,687) 212,062 0 1,493 07/01/2031 1

31292J-BG-4FHLMC POOL C018395.000% 05/01/34 03/01/2016 Paydown 37,731 37,731 36,746 36,827 903 903 37,731 0 308 05/01/2034 1

31292S-AD-2FHLMC POOL C090043.500% 07/01/42 03/01/2016 Paydown 96,058 96,058 96,613 96,601 (543) (543) 96,058 0 523 07/01/2042 1

E0

5





Foreign


Number ofShares of



CarryingValue

11


(Decrease)

12


Accretion

13


14


(11+12-13)

15


Book/Adjusted

Carrying Valueat

Disposal Date


(Loss) onDisposal



BondInterest/Stock

DividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesig-nation

orMarket

Indicator(a)

312938-YF-4FHLMC POOL A907104.500% 01/01/40 03/01/2016 Paydown 21,806 21,806 23,208 23,178 (1,373) (1,373) 21,806 0 111 01/01/2040 1

312945-ZG-6FHLMC POOL A970434.500% 02/01/41 03/01/2016 Paydown 98,553 98,553 102,480 102,297 (3,744) (3,744) 98,553 0 692 02/01/2041 1

312968-JE-1FHLMC POOL B156614.500% 07/01/19 03/01/2016 Paydown 51,850 51,850 51,202 51,538 313 313 51,850 0 413 07/01/2019 1

31297U-AZ-3FHLMC POOL A381245.500% 09/01/35 03/01/2016 Paydown 31,345 31,345 31,213 31,219 126 126 31,345 0 414 09/01/2035 1

3132GK-ZQ-2FHLMC POOL Q046514.000% 11/01/41 03/01/2016 Paydown 18,948 18,948 19,563 19,547 (599) (599) 18,948 0 120 11/01/2041 1

3132GM-AT-9FHLMC POOL Q057183.500% 01/01/42 03/01/2016 Paydown 85,499 85,499 86,023 86,009 (510) (510) 85,499 0 415 01/01/2042 1

3132GM-DJ-8FHLMC POOL Q058054.000% 01/01/42 03/01/2016 Paydown 139,997 139,997 144,546 144,429 (4,432) (4,432) 139,997 0 918 01/01/2042 1

3132H3-6U-2FHLMC POOL U908833.500% 02/01/43 03/01/2016 Paydown 34,874 34,874 34,262 34,274 600 600 34,874 0 203 02/01/2043 1

3132H3-S7-9FHLMC POOL U905424.000% 12/01/42 02/22/2016 Citigroup Global Markets 8,848,827 8,230,271 8,389,008 8,382,147 (379) (379) 8,381,767 467,060 467,060 76,816 12/01/2042 1

3132H3-S7-9FHLMC POOL U905424.000% 12/01/42 02/01/2016 Paydown 289,236 289,236 294,814 294,573 (5,337) (5,337) 289,236 0 1,021 12/01/2042 1

3132H3-U3-5FHLMC POOL U906023.500% 12/01/42 03/01/2016 Paydown 36,694 36,694 36,050 36,077 617 617 36,694 0 213 12/01/2042 1

3132HL-NE-9FHLMC GOLD POOL Q103893.500% 08/01/42 03/01/2016 Paydown 66,391 66,391 68,182 68,151 (1,759) (1,759) 66,391 0 361 08/01/2042 1

3132HN-UT-4FHLMC POOL Q123943.000% 11/01/42 03/01/2016 Paydown 64,488 64,488 61,189 61,338 3,150 3,150 64,488 0 322 11/01/2042 1

3132HR-JN-1FHLMC POOL Q147693.500% 01/01/43 03/01/2016 Paydown 12,708 12,708 12,648 12,650 58 58 12,708 0 76 01/01/2043 1

3132M5-UQ-3FHLMC POOL Q253914.000% 03/01/44 03/01/2016 Paydown 274,680 274,680 289,101 288,718 (14,038) (14,038) 274,680 0 1,995 03/01/2044 1

31359M-H8-9FANNIE MAE 5.000%03/15/16 03/15/2016 Maturity 250,000 250,000 264,688 250,465 (465) (465) 250,000 0 6,250 03/15/2016 1

31371L-MZ-9FNMA CONVENTIONAL LOANPOOL 255176 4.5 03/01/2016 Paydown 32,941 32,941 32,812 32,829 111 111 32,941 0 240 04/01/2019 1

31371L-QV-4FNMA CONVENTIONAL LOANPOOL 255268 5.0 03/01/2016 Paydown 25,340 25,340 24,785 24,827 512 512 25,340 0 194 07/01/2034 1

3138A4-Y5-8FNMA POOL AH3431 3.500%01/01/26 03/01/2016 Paydown 28,641 28,641 29,388 29,247 (606) (606) 28,641 0 160 01/01/2026 1

3138A6-D8-0FNMA POOL AH4626 3.500%02/01/26 03/01/2016 Paydown 34,657 34,657 35,507 35,323 (666) (666) 34,657 0 208 02/01/2026 1

3138A6-ZA-1FNMA POOL AH5236 3.500%01/01/26 03/01/2016 Paydown 176,435 176,435 180,736 179,933 (3,498) (3,498) 176,435 0 943 01/01/2026 1

3138A7-QB-7FNMA POOL AH5849 4.500%02/01/41 03/01/2016 Paydown 98,087 98,087 104,156 103,851 (5,764) (5,764) 98,087 0 669 02/01/2041 1

3138A8-LC-8FNMA POOL AH6622 4.000%03/01/41 03/01/2016 Paydown 111,196 111,196 114,988 114,854 (3,658) (3,658) 111,196 0 752 03/01/2041 1

3138AA-AM-3FNMA POOL AH8111 3.000%03/01/26 02/23/2016 Credit Suisse First Boston 1,331,444 1,275,015 1,302,177 1,299,310 (220) (220) 1,299,090 32,354 32,354 9,350 03/01/2026 1

3138AA-AM-3FNMA POOL AH8111 3.000%03/01/26 02/01/2016 Paydown 23,434 23,434 23,933 23,880 (447) (447) 23,434 0 86 03/01/2026 1

3138AF-XA-3FNMA POOL AI2472 4.500%05/01/41 03/01/2016 Paydown 317,904 317,904 340,257 339,890 (21,986) (21,986) 317,904 0 2,628 05/01/2041 1

3138AV-P6-6FNMA POOL AJ4044 4.000%10/01/41 03/01/2016 Paydown 475,239 475,239 498,592 498,037 (22,799) (22,799) 475,239 0 2,937 10/01/2041 1

3138E4-Z7-9FNMA POOL AK0765 4.000%03/01/42 03/01/2016 Paydown 83,895 83,895 85,846 85,786 (1,892) (1,892) 83,895 0 462 03/01/2042 1

3138E7-XW-9FNMA POOL AK3392 4.000%02/01/42 03/01/2016 Paydown 12,524 12,524 12,904 12,893 (369) (369) 12,524 0 83 02/01/2042 1

3138ED-FB-2FNMA POOL AK8261 4.000%04/01/42 03/01/2016 Paydown 75,558 75,558 79,949 79,872 (4,313) (4,313) 75,558 0 531 04/01/2042 1

3138EG-ZZ-0FANNIE MAE POOL AL07594.500% 09/01/41 03/01/2016 Paydown 85,519 85,519 93,563 93,398 (7,879) (7,879) 85,519 0 606 09/01/2041 1

3138EH-3V-2FNMA POOL AL1711 4.500%08/01/41 03/01/2016 Paydown 204,945 204,945 217,890 217,651 (12,706) (12,706) 204,945 0 1,494 08/01/2041 1

3138EJ-EW-4FNMA POOL AL1948 4.000%01/01/42 03/01/2016 Paydown 151,471 151,471 161,279 161,279 (9,808) (9,808) 151,471 0 1,080 01/01/2042 1

E0

5.1





Foreign


Number ofShares of



CarryingValue

11


(Decrease)

12


Accretion

13


14


(11+12-13)

15


Book/Adjusted

Carrying Valueat

Disposal Date


(Loss) onDisposal



BondInterest/Stock

DividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesig-nation

orMarket

Indicator(a)

3138EL-VR-1FNMA POOL AL4223 4.000%05/01/43 03/22/2016 Credit Suisse First Boston 3,651,336 3,374,033 3,520,090 3,516,920 (136) (136) 3,516,783 134,553 134,553 43,862 05/01/2043 1

3138EL-VR-1FNMA POOL AL4223 4.000%05/01/43 03/01/2016 Paydown 105,676 105,676 110,251 110,152 (4,475) (4,475) 105,676 0 680 05/01/2043 1

3138LS-2M-1FNMA POOL AO25793.500% 05/01/42 03/01/2016 Paydown 314,945 314,945 318,230 318,144 (3,199) (3,199) 314,945 0 1,586 05/01/2042 1

3138LY-FM-4FNMA POOL AO7371 3.500%09/01/42 03/01/2016 Paydown 15,624 15,624 15,546 15,548 76 76 15,624 0 91 09/01/2042 1

3138M5-W9-6FNMA POOL AP2471 3.500%08/01/42 03/01/2016 Paydown 148,351 148,351 145,588 145,657 2,693 2,693 148,351 0 807 08/01/2042 1

3138MN-4M-9FNMA POOL AQ7127 3.500%12/01/42 03/01/2016 Paydown 157,298 157,298 159,168 159,118 (1,820) (1,820) 157,298 0 794 12/01/2042 1

3138MN-PW-4FNMA POOL AQ6736 3.500%12/01/42 03/01/2016 Paydown 53,841 53,841 53,623 53,627 214 214 53,841 0 436 12/01/2042 1

3138NY-DD-4FNMA POOL AR1899 3.500%01/01/43 03/01/2016 Paydown 78,979 78,979 78,660 78,663 316 316 78,979 0 295 01/01/2043 1

3138W4-MJ-7FNMA POOL AR6660 3.500%02/01/43 03/01/2016 Paydown 181,404 181,404 180,501 180,520 885 885 181,404 0 717 02/01/2043 1

3138W4-SW-2FNMA POOL AR6832 3.500%02/01/43 03/01/2016 Paydown 503,290 503,290 493,916 494,370 8,920 8,920 503,290 0 3,244 02/01/2043 1

3138W7-CT-9FNMA POOL AR9081 3.500%03/01/43 03/01/2016 Paydown 106,618 106,618 106,087 106,098 520 520 106,618 0 838 03/01/2043 1

3138W9-ME-7FNMA POOL AS0356 4.000%09/01/43 03/01/2016 Paydown 71,975 71,975 76,264 76,197 (4,222) (4,222) 71,975 0 442 09/01/2043 1

3138WA-6D-4FNMA POOL AS1767 4.000%02/01/44 03/01/2016 Paydown 152,093 152,093 160,428 160,186 (8,093) (8,093) 152,093 0 929 02/01/2044 1

3138WA-6G-7FNMA POOL AS1770 4.000%02/01/44 03/01/2016 Paydown 96,673 96,673 101,130 101,024 (4,351) (4,351) 96,673 0 579 02/01/2044 1

3138WA-EQ-6FNMA POOL AS1042 4.000%11/01/43 03/22/2016 Bank of America 8,161,121 7,602,791 7,990,058 7,981,089 (417) (417) 7,980,672 180,449 180,449 98,836 11/01/2043 1

3138WA-EQ-6FNMA POOL AS1042 4.000%11/01/43 03/01/2016 Paydown 154,971 154,971 162,865 162,682 (7,711) (7,711) 154,971 0 927 11/01/2043 1

3138WP-GY-4FNMA POOL AT2014 3.000%04/01/43 03/01/2016 Paydown 28,680 28,680 28,232 28,241 439 439 28,680 0 132 04/01/2043 1

3138WS-XE-3FNMA POOL AT5176 3.500%05/01/43 03/01/2016 Paydown 7,701 7,701 7,668 7,668 33 33 7,701 0 45 05/01/2043 1

3138X3-X5-6FNMA POOL AU4299 4.500%09/01/43 03/01/2016 Paydown 120,793 120,793 128,956 128,654 (7,861) (7,861) 120,793 0 812 09/01/2043 1

31391C-5F-8FNMA CONVENTIONAL LOANPOOL 663346 5.5 03/01/2016 Paydown 3,509 3,509 3,502 3,499 10 10 3,509 0 32 09/01/2017 1

31391D-PG-2FNMA CONVENTIONAL LOANPOOL 663823 5.5 03/01/2016 Paydown 69 69 69 69 0 69 0 1 12/01/2017 1

31400F-XS-1FNMA CONVENTIONAL LOANPOOL 686589 5.5 03/01/2016 Paydown 117 117 116 116 0 117 0 1 02/01/2018 1

31402C-4H-2FNMA CONVENTIONAL LOANPOOL 725424 5.5 03/01/2016 Paydown 16,706 16,706 16,798 16,784 (78) (78) 16,706 0 153 04/01/2034 1

31402C-WR-9FNMA CONVENTIONAL LOANPOOL 725256 5.5 03/01/2016 Paydown 31,417 31,417 31,368 31,361 56 56 31,417 0 297 02/01/2034 1

31402D-KH-2FNMA CONVENTIONAL LOANPOOL 725796 5.5 03/01/2016 Paydown 4,151 4,151 4,137 4,136 15 15 4,151 0 38 09/01/2019 1

31402D-P7-9FNMA CONVENTIONAL LOANPOOL 725946 5.5 03/01/2016 Paydown 24,623 24,623 24,461 24,466 156 156 24,623 0 232 11/01/2034 1

31402Q-SZ-5FNMA CONVENTIONAL LOANPOOL 735036 5.5 03/01/2016 Paydown 22,978 22,978 22,807 22,814 164 164 22,978 0 214 12/01/2034 1

31402Q-WA-5FNMA CONVENTIONAL LOANPOOL 735141 5.5 03/01/2016 Paydown 20,729 20,729 20,053 20,099 630 630 20,729 0 182 01/01/2035 1

31402R-D2-2FNMA CONVENTIONAL LOANPOOL 735521 5.5 03/01/2016 Paydown 9,928 9,928 9,903 9,898 30 30 9,928 0 90 03/01/2020 1

31403C-2Z-3FNMA CONVENTIONAL LOANPOOL 745192 5.5 03/01/2016 Paydown 6,228 6,228 6,207 6,206 22 22 6,228 0 56 06/01/2020 1

31403J-YU-4FNMA CONVENTIONAL LOANPOOL 750523 5.0 03/01/2016 Paydown 2,801 2,801 2,880 2,829 (29) (29) 2,801 0 23 01/01/2019 1

31403K-SM-6FNMA CONVENTIONAL LOANPOOL 751224 5.5 03/01/2016 Paydown 1,574 1,574 1,611 1,604 (30) (30) 1,574 0 14 02/01/2034 1

31403R-KJ-6FNMA CONVENTIONAL LOANPOOL 755497 5.5 03/01/2016 Paydown 1,954 1,954 1,949 1,948 6 6 1,954 0 18 11/01/2018 1

E0

5.2





Foreign


Number ofShares of



CarryingValue

11


(Decrease)

12


Accretion

13


14


(11+12-13)

15


Book/Adjusted

Carrying Valueat

Disposal Date


(Loss) onDisposal



BondInterest/Stock

DividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesig-nation

orMarket

Indicator(a)

31403V-ED-7FNMA CONVENTIONAL LOANPOOL 758932 5.0 03/01/2016 Paydown 4,655 4,655 4,787 4,678 (23) (23) 4,655 0 39 01/01/2019 1

31403W-BU-0FNMA CONVENTIONAL LOANPOOL 759751 5.5 03/01/2016 Paydown 1,363 1,363 1,379 1,378 (14) (14) 1,363 0 13 01/01/2034 1

31403X-YW-9FNMA CONVENTIONAL LOANPOOL 761325 5.5 03/01/2016 Paydown 5,823 5,823 5,805 5,803 20 20 5,823 0 53 04/01/2019 1

31404A-G5-7FNMA CONVENTIONAL LOANPOOL 762620 5.5 03/01/2016 Paydown 5,553 5,553 5,689 5,678 (125) (125) 5,553 0 39 12/01/2033 1

31404B-3G-5FNMA CONVENTIONAL LOANPOOL 764099 5.0 03/01/2016 Paydown 2,207 2,207 2,218 2,216 (9) (9) 2,207 0 19 03/01/2034 1

31404B-QD-7FNMA CONVENTIONAL LOANPOOL 763752 5.5 03/01/2016 Paydown 3,366 3,366 3,364 3,363 3 3 3,366 0 19 01/01/2034 1

31404K-FX-5FNMA CONVENTIONAL LOANPOOL 770682 5.0 03/01/2016 Paydown 12,728 12,728 12,790 12,776 (48) (48) 12,728 0 125 04/01/2034 1

31404V-VP-0FNMA CONVENTIONAL LOANPOOL 780122 5.0 03/01/2016 Paydown 14,882 14,882 14,556 14,595 286 286 14,882 0 89 05/01/2034 1

31405A-TF-0FNMA CONVENTIONAL LOANPOOL 783650 5.0 03/01/2016 Paydown 9,371 9,371 8,991 9,010 361 361 9,371 0 97 06/01/2034 1

31405F-4E-9FNMA CONVENTIONAL LOANPOOL 788421 5.5 03/01/2016 Paydown 1,346 1,346 1,342 1,341 5 5 1,346 0 14 09/01/2019 1

31405F-4M-1FNMA CONVENTIONAL LOANPOOL 788428 5.5 03/01/2016 Paydown 715 715 713 713 3 3 715 0 7 09/01/2019 1

31406G-YR-4FNMA CONVENTIONAL LOANPOOL 809920 5.5 03/01/2016 Paydown 3,320 3,320 3,349 3,345 (25) (25) 3,320 0 30 03/01/2035 1

31410C-QT-2FNMA CONVENTIONAL LOANPOOL 885266 6.0 03/01/2016 Paydown 598 598 604 602 (4) (4) 598 0 6 05/01/2036 1

31410G-AF-0FNMA CONVENTIONAL LOANPOOL 888406 5.0 03/01/2016 Paydown 36,423 36,423 34,483 34,614 1,810 1,810 36,423 0 315 08/01/2036 1

31410K-XB-5FNMA POOL 889974 5.000%09/01/35 03/01/2016 Paydown 43,889 43,889 47,442 47,253 (3,364) (3,364) 43,889 0 348 09/01/2035 1

31412N-6G-6FNMA POOL 930671 4.500%03/01/39 03/01/2016 Paydown 103,662 103,662 108,148 107,909 (4,247) (4,247) 103,662 0 714 03/01/2039 1

31412Q-E4-7FNMA POOL 931755 4.500%08/01/39 03/01/2016 Paydown 67,867 67,867 73,381 73,244 (5,377) (5,377) 67,867 0 523 08/01/2039 1

31416C-EZ-5FNMA POOL 995752 4.500%05/01/39 03/01/2016 Paydown 283,488 283,488 298,298 297,700 (14,211) (14,211) 283,488 0 2,048 05/01/2039 1

31416R-QU-0FNMA POOL AA7666 4.500%06/01/39 01/20/2016 Citigroup Global Markets 9,640,650 8,833,237 9,613,478 9,606,960 3,881 3,881 9,610,841 29,808 29,808 59,624 06/01/2039 1

31416R-QU-0FNMA POOL AA7666 4.500%06/01/39 01/01/2016 Paydown 275,608 275,608 299,952 299,749 (24,141) (24,141) 275,608 0 1,034 06/01/2039 1

31416W-U5-9FNMA POOL AB1503 3.000%09/01/25 03/01/2016 Paydown 57,335 57,335 58,555 58,373 (1,038) (1,038) 57,335 0 237 09/01/2025 1

31416X-KD-1FNMA POOL AB2091 4.000%01/01/41 03/01/2016 Paydown 76,209 76,209 80,838 80,838 (4,629) (4,629) 76,209 0 347 01/01/2041 1

31417C-5E-1FNMA POOL AB6244 4.000%09/01/42 03/01/2016 Paydown 416,594 416,594 440,852 440,278 (23,684) (23,684) 416,594 0 2,332 09/01/2042 1

31417F-4R-6FNMA POOL AB8931 3.000%04/01/43 03/01/2016 Paydown 37,195 37,195 36,614 36,626 569 569 37,195 0 158 04/01/2043 1

31417Y-4C-8FNMA POOL MA0818 4.000%08/01/31 03/01/2016 Paydown 209,480 209,480 215,568 215,016 (5,535) (5,535) 209,480 0 1,339 08/01/2031 1

31417Y-TV-9FNMA POOL MA0563 4.000%11/01/30 03/01/2016 Paydown 43,502 43,502 45,368 45,273 (1,771) (1,771) 43,502 0 289 11/01/2030 1

31418D-KG-6FNMA POOL MA3894 4.000%09/01/31 03/01/2016 Paydown 202,032 202,032 210,951 210,502 (8,470) (8,470) 202,032 0 1,292 09/01/2031 1

31419A-4V-6FNMA POOL AE0835 4.000%01/01/41 03/01/2016 Paydown 115,653 115,653 119,405 119,316 (3,663) (3,663) 115,653 0 657 01/01/2041 1

31419A-X7-7FNMA POOL AE0701 4.500%12/01/40 03/01/2016 Paydown 54,054 54,054 58,922 58,902 (4,848) (4,848) 54,054 0 409 12/01/2040 1

31419B-BT-1FNMA POOL AE0949 4.000%02/01/41 03/01/2016 Paydown 554,918 554,918 578,155 577,553 (22,635) (22,635) 554,918 0 3,574 02/01/2041 1

438701-TC-8HONOLULU HAWAII CITY &CNTY 5.000% 07/ 01/25/2016 Southwest Securities Inc. 2,326,220 2,000,000 2,091,420 2,086,228 (277) (277) 2,085,951 240,269 240,269 57,500 07/01/2037 1FE

442435-H7-1HOUSTON TEX UTIL SYS REVSERIES D 5.00 03/29/2016 Various 7,636,472 6,600,000 6,887,100 6,871,226 (2,025) (2,025) 6,869,201 767,271 767,271 122,028 11/15/2036 1FE

455167-6P-6INDIANA UNIV REVENUESSERIES A 5.000% 01/19/2016 Piper Jaffy 3,412,324 2,950,000 3,094,226 3,064,553 (912) (912) 3,063,640 348,684 348,684 20,896 06/01/2037 1FE

E0

5.3





Foreign


Number ofShares of



CarryingValue

11


(Decrease)

12


Accretion

13


14


(11+12-13)

15


Book/Adjusted

Carrying Valueat

Disposal Date


(Loss) onDisposal



BondInterest/Stock

DividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesig-nation

orMarket

Indicator(a)

576000-NG-4MASSACHUSETTS ST SCH BLDGAUTH SERIES B 01/05/2016 Barclays Capital Inc 11,949,200 10,000,000 10,935,100 10,744,143 (1,920) (1,920) 10,742,223 1,206,977 1,206,977 198,611 08/15/2029 1FE

598022-EN-7MIDPENINSULA CA REGL OPENSPAC 5.000% 01/15/2016 Morgan Stanley 4,989,608 4,120,000 4,409,306 4,351,284 (1,677) (1,677) 4,349,607 640,001 640,001 80,111 09/01/2028 1FE

604146-AS-9MINNESOTA ST GEN FUNDREVENUE SERIES B 01/12/2016 UBS AG 2,797,486 2,385,000 2,583,933 2,540,790 (746) (746) 2,540,044 257,442 257,442 43,725 03/01/2029 1FE

649519-CD-5NEW YORK ST LIBERTY DEVCORP L 5.000% 01/13/2016 Morgan Stanley 9,909,509 8,310,000 8,969,482 8,827,570 (2,664) (2,664) 8,824,905 1,084,604 1,084,604 137,346 09/15/2028 1FE

649519-CH-6NEW YORK ST LIBERTY DEVCORP L 5.000% 01/13/2016 Morgan Stanley 1,482,655 1,260,000 1,321,904 1,307,553 (334) (334) 1,307,219 175,436 175,436 21,700 09/15/2032 1FE

64971Q-TP-8NEW YORK CITY TRANS FINAUTH 5.000% 02 01/20/2016 Piper Jaffy 6,736,422 5,775,000 6,116,649 6,042,455 (2,564) (2,564) 6,039,890 696,532 696,532 139,563 02/01/2032 1FE

650028-JW-4NEW YORK ST TWY AUTH5.000% 03/15/23 03/15/2016 Call 100.0000 7,210,000 7,210,000 8,037,059 7,250,749 (40,749) (40,749) 7,210,000 0 180,250 03/15/2023 1FE

656009-KF-3NORFOLK VA WTR REV5.000% 11/01/34 02/26/2016 Morgan Stanley 2,653,089 2,295,000 2,424,346 2,392,877 (2,795) (2,795) 2,390,082 263,007 263,007 38,569 11/01/2034 1FE

656009-KG-1NORFOLK VA WTR REV5.000% 11/01/35 02/26/2016 Morgan Stanley 2,785,364 2,415,000 2,543,285 2,512,124 (2,770) (2,770) 2,509,354 276,010 276,010 40,585 11/01/2035 1FE

656009-KH-9NORFOLK VA WTR REV5.000% 11/01/36 03/01/2016 Pershing LLC 2,928,762 2,535,000 2,661,497 2,630,821 (2,819) (2,819) 2,628,002 300,760 300,760 43,306 11/01/2036 1FE

656009-KJ-5NORFOLK VA WTR REV5.000% 11/01/37 02/29/2016 UBS AG 762,030 665,000 696,056 688,537 (681) (681) 687,857 74,174 74,174 11,268 11/01/2037 1FE

656009-KK-2NORFOLK VA WTR REV5.000% 11/01/38 02/25/2016 Scott & Stringfellow 3,213,071 2,805,000 2,928,813 2,898,879 (2,624) (2,624) 2,896,255 316,816 316,816 46,750 11/01/2038 1FE

682001-AR-3OMAHA NE PUBLIC PWR DISTELEC SERIES B 01/20/2016 Barclays Capital Inc 6,070,953 5,210,000 5,511,294 5,440,074 (2,203) (2,203) 5,437,871 633,082 633,082 125,908 02/01/2034 1FE

79574C-AC-7SALT RIVER AZ PROJ AGRICIMPT SERIES A 01/04/2016 First Union 11,514,604 9,720,000 10,443,362 10,292,606 (1,317) (1,317) 10,291,288 1,223,315 1,223,315 48,600 12/01/2031 1FE

79575D-UJ-7SALT RIVER PROJ ARIZAGRIC IMP SERIES A 01/01/2016 Call 100.0000 5,000,000 5,000,000 4,742,400 4,781,404 218,596 218,596 5,000,000 0 125,000 01/01/2035 1FE

91417K-YA-3UNIV OF COLORADO COENTERPRISE SERIES B 01/08/2016 Citigroup Global Markets 4,619,920 4,000,000 4,174,000 4,163,496 (195) (195) 4,163,302 456,618 456,618 22,778 06/01/2037 1FE

91523N-JF-4UNIV OF WASHINGTON WAUNIV REV SERIES A 01/19/2016 Morgan Stanley 1,739,356 1,570,000 1,579,546 1,577,276 (72) (72) 1,577,204 162,151 162,151 21,784 04/01/2035 1FE

3199999 - Bonds - U.S. Special Revenue and Special Assessment and all Non-GuaranteedObligations of Agencies and Authorities of Governments and Their PoliticalSubdivisions 150,895,112 133,506,257 141,146,644 139,296,703 0 (174,081) 0 (174,081) 0 139,122,621 0 11,772,491 11,772,491 1,952,621 XXX XXX

Bonds - Industrial and Miscellaneous (Unaffiliated)

001546-AR-1AK STEEL CORP 8.750%12/01/18 01/28/2016 Chase 469,700 550,000 495,000 495,000 1,372 1,372 496,372 (26,672) (26,672) 8,074 12/01/2018 4FE

00440E-AV-9ACE INA HOLDINGS 3.350%05/03/26 01/15/2016 Wells Fargo Bank 1,021,733 1,005,000 1,001,915 1,001,954 14 14 1,001,968 19,765 19,765 7,295 05/03/2026 1FE

038522-AH-1ARAMARK SERVICES INCSERIES 144A 5.125 03/25/2016 Tax Free Exchange 475,979 463,000 476,166 70,000 (186) (186) 475,979 0 6,459 01/15/2024 4FE

05070G-AE-8AUDATEX NORTH AMERICA INCSERIES 144A 02/24/2016 Corp Action 455,625 450,000 450,896 450,885 (40) (40) 450,845 4,780 4,780 5,850 06/15/2021 4FE

05070G-AG-3AUDATEX NORTH AMERICA INCSERIES 144A 02/24/2016 Corp Action 227,813 225,000 227,531 226,406 1,110 (55) 1,055 227,461 351 351 4,670 11/01/2023 4FE

05070G-AE-8AUDATEX NORTH AMERICA INCSERIES 144A 01/01/2016 MARKETAXESS CORP 141,939 140,000 141,939 141,939 0 0 141,939 0 0 0 06/15/2021 4FE

07388Y-AE-2BEAR STEARNS SERIES 2007-PW16 CLASS A4 03/01/2016 Paydown 17,116 17,116 18,255 17,272 (155) (155) 17,116 0 171 06/11/2040 1FM

12527E-AB-4CFCRE COMMERICAL MORTGAGETRUS SERIES 20 03/01/2016 Paydown 438,310 438,310 444,947 437,980 330 330 438,310 0 1,392 04/15/2044 1FM

22545L-AD-1CREDIT SUISSE MORTGAGECAPITAL SERIES 20 03/01/2016 Paydown 348,630 348,630 238,943 336,183 12,447 12,447 348,630 0 3,247 12/15/2039 1FM

23305X-AB-7DBUBS MORTGAGE TRUSTSERIES 2011-LC2A CL 03/01/2016 Paydown 1,377,901 1,377,901 1,381,562 1,377,830 71 71 1,377,901 0 6,975 07/10/2044 1FM

247367-BH-7DELTA AIR LINES SERIES071A 6.821% 02/ 02/10/2016 Redemption 100.0000 80,036 80,036 91,842 91,097 (11,061) (11,061) 80,036 0 2,730 02/10/2022 1FE

268787-AD-0EP ENER/EVEREST ACQ FINSERIES WI 6.37 01/28/2016 Various 171,313 490,000 360,150 245,000 117,525 958 118,482 363,482 (192,170) (192,170) 4,078 06/15/2023 4FE

46629Y-AC-3JP MORGAN CHASE COMMSERIES 2007-CB18 CL 03/01/2016 Paydown 34,705 34,705 26,133 33,396 1,309 1,309 34,705 0 425 06/12/2047 1FM

50180J-AD-7LB-UBS COMMERCIALMORTGAGE SERIES 2007-C 03/11/2016 Paydown 1,973 1,973 1,426 1,863 109 109 1,973 0 21 02/15/2040 1FM

E0

5.4





Foreign


Number ofShares of



CarryingValue

11


(Decrease)

12


Accretion

13


14


(11+12-13)

15


Book/Adjusted

Carrying Valueat

Disposal Date


(Loss) onDisposal



BondInterest/Stock

DividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesig-nation

orMarket

Indicator(a)

527298-BE-2LEVEL 3 FINANCING INCSERIES 144A 5.12 01/11/2016 Tax Free Exchange 998,524 1,025,000 997,656 993,650 4,793 80 4,874 998,524 0 18,970 05/01/2023 4FE

655044-AM-7NOBLE ENERGY INC 5.875%06/01/24 01/20/2016 Corp Action 500,000 500,000 501,250 501,240 (7) (7) 501,233 (1,233) (1,233) 4,080 06/01/2024 2FE

68402L-AC-8ORACLE CORP 5.250%01/15/16 01/15/2016 Maturity 1,000,000 1,000,000 990,190 999,948 52 52 1,000,000 0 26,250 01/15/2016 1FE

90131H-BU-821ST CENTURY FOX AMERICASERIES 144A 3 01/11/2016 Tax Free Exchange 1,237,088 1,240,000 1,237,036 1,237,082 7 7 1,237,088 0 10,196 10/15/2025 2FE

90783V-AA-3UNION PACIFIC RAILROADSERIES 2005-1 ET 01/02/2016 Redemption 100.0000 18,241 18,241 17,445 17,616 625 625 18,241 0 464 01/02/2029 1

92936C-AC-3WF-RBS COMM MTGE TRUSTSERIES 2011-C4 CL 03/01/2016 Paydown 895,295 895,295 900,478 894,560 735 735 895,295 0 5,140 06/15/2044 1FM

92977Q-AD-0WACHOVIA BANK COMMERCIALMORTG SERIES 20 03/01/2016 Paydown 1,151,805 1,151,805 920,748 1,128,589 23,215 23,215 1,151,805 0 8,067 07/15/2045 1FM

92978P-AE-9WACHOVIA BANK COMEMRCIALMORTG SERIES 20 03/01/2016 Paydown 8,750 8,750 6,683 8,434 315 315 8,750 0 80 11/15/2048 1FM

292505-AK-0ENCANA CORP 5.150%11/15/41 A 03/29/2016 Corp Action 245,250 327,000 257,967 258,144 243 243 258,387 (13,137) (13,137) 6,315 11/15/2041 2FE

24713G-AA-0DELPHI AUTOMOTIVE PLC3.150% 11/19/20 F 01/22/2016 Bank of America 1,384,420 1,380,000 1,377,019 1,377,084 40 40 1,377,124 7,296 7,296 8,211 11/19/2020 2FE

44841D-AB-8HUTCHINSON WHAMPOA INT 14LTD SERIES 144 F 02/15/2016 Chase Securities, Inc. 5,827,260 5,800,000 5,705,825 5,710,725 1,119 1,119 5,711,844 115,416 115,416 63,075 10/31/2024 1FE

3899999 - Bonds - Industrial and Miscellaneous (Unaffiliated) 18,529,406 18,967,762 18,269,002 18,053,877 123,428 31,537 0 154,965 0 18,615,008 0 (85,604) (85,604) 202,235 XXX XXX

8399997 - Subtotals - Bonds - Part 4 217,402,149 194,762,062 204,953,622 201,571,579 123,428 (208,351) 0 (84,923) 0 201,892,821 0 15,509,326 15,509,326 3,064,836 XXX XXX

8399999 - Subtotals - Bonds 217,402,149 194,762,062 204,953,622 201,571,579 123,428 (208,351) 0 (84,923) 0 201,892,821 0 15,509,326 15,509,326 3,064,836 XXX XXX

Common Stocks - Industrial and Miscellaneous (Unaffiliated)001055-10-2 AFLAC INC 01/05/2016 Various 2,250.000 132,601 XXX 141,717 134,775 6,942 6,942 141,717 (9,116) (9,116) XXX L00507V-10-9 ACTIVISION BLIZZARD INC 03/31/2016 Morgan Stanley 4,200.000 142,266 XXX 134,587 0 134,587 7,679 7,679 XXX L00751Y-10-6 ADVANCE AUTO PARTS INC 03/02/2016 Various 286.000 43,316 XXX 42,581 31,457 10,110 10,110 0 42,581 734 734 13 XXX L00817Y-10-8 AETNA INC 02/01/2016 Various 1,035.000 107,402 XXX 114,074 111,904 2,170 2,170 114,074 (6,672) (6,672) 206 XXX L03073E-10-5 AMERISOURCEBERGEN CORP 03/31/2016 Morgan Stanley 1,000.000 86,583 XXX 102,213 103,710 2,453 3,950 (1,497) 102,213 (15,631) (15,631) 340 XXX L037411-10-5 APACHE CORP 01/05/2016 Various 2,130.000 92,798 XXX 112,010 94,721 17,289 17,289 112,010 (19,211) (19,211) XXX L037833-10-0 APPLE INC 02/01/2016 Morgan Stanley 725.000 69,785 XXX 89,617 76,314 13,304 13,304 89,617 (19,832) (19,832) XXX L075896-10-0 BED BATH AND BEYOND INC 02/01/2016 Morgan Stanley 1,125.000 48,143 XXX 65,902 39,710 12,963 12,963 65,902 (17,759) (17,759) XXX L090572-20-7 BIO RAD LABORATORIES 02/01/2016 Morgan Stanley 403.000 50,994 XXX 55,142 40,766 495 495 55,142 (4,148) (4,148) XXX L093671-10-5 H&R BLOCK INC 03/31/2016 Morgan Stanley 700.000 18,514 XXX 23,317 23,317 2,029 2,029 0 23,317 (4,803) (4,803) 140 XXX L

097023-10-5 BOEING CO 02/01/2016Merrill Lynch PierceFenner 273.000 32,731 XXX 40,246 39,473 773 773 40,246 (7,514) (7,514) XXX L

115637-20-9 BROWN-FORMAN CORP 03/31/2016 Morgan Stanley 300.000 29,511 XXX 28,800 0 28,800 712 712 XXX L12504L-10-9 CBRE GROUP INC -A 03/31/2016 Morgan Stanley 1,300.000 37,501 XXX 43,396 43,294 737 2,250 (1,513) 43,396 (5,895) (5,895) XXX L12650T-10-4 CSRA INC 01/29/2016 Morgan Stanley 535.000 14,266 XXX 15,325 16,050 (725) (725) 15,325 (1,060) (1,060) 54 XXX L126650-10-0 CVS CORP 03/31/2016 Morgan Stanley 2,289.000 222,014 XXX 229,866 191,043 6,777 6,777 229,866 (7,852) (7,852) 894 XXX L14149Y-10-8 CARDINAL HEALTH INC 03/02/2016 Various 2,672.000 220,439 XXX 223,137 238,529 (15,393) (15,393) 223,137 (2,698) (2,698) 1,034 XXX L151020-10-4 CELGENE CORP 01/05/2016 Various 319.000 37,515 XXX 36,779 38,203 (1,425) (1,425) 36,779 736 736 XXX L156700-10-6 CENTURYLINK INC 02/01/2016 Morgan Stanley 1,391.000 35,377 XXX 45,104 34,998 10,106 10,106 45,104 (9,726) (9,726) XXX L166764-10-0 CHEVRON CORP 01/05/2016 Various 2,720.000 241,046 XXX 223,604 244,691 (21,087) (21,087) 223,604 17,442 17,442 XXX L20030N-10-1 COMCAST CORP 03/02/2016 Various 585.000 34,435 XXX 32,985 33,012 1,166 1,192 (26) 32,985 1,450 1,450 146 XXX L205363-10-4 COMPUTER SCIENCES CORP 01/05/2016 Various 2,554.000 80,354 XXX 93,994 83,465 10,530 10,530 93,994 (13,640) (13,640) 358 XXX L209115-10-4 CONSOLIDATED EDISON INC 03/01/2016 Various 1,672.000 116,799 XXX 105,938 85,865 (2,233) 411 (2,644) 105,938 10,860 10,860 726 XXX L222070-20-3 COTY INC 03/02/2016 Various 2,161.000 61,946 XXX 53,747 40,495 4,731 4,731 0 53,747 8,199 8,199 XXX L254687-10-6 WALT DISNEY CO THE 03/31/2016 Morgan Stanley 2,000.000 198,737 XXX 192,712 22,172 543 800 (257) 192,712 6,025 6,025 150 XXX L25754A-20-1 DOMINO'S PIZZA INC 01/29/2016 Morgan Stanley 119.000 13,520 XXX 11,852 13,239 (1,387) (1,387) 11,852 1,668 1,668 XXX L278642-10-3 EBAY INC 03/02/2016 Various 960.000 22,894 XXX 24,162 26,381 (2,185) 33 (2,218) 24,162 (1,268) (1,268) XXX L285512-10-9 ELECTRONIC ARTS INC 03/31/2016 Morgan Stanley 1,900.000 125,607 XXX 123,244 130,568 (5,981) 1,343 (7,324) 123,244 2,363 2,363 XXX L291011-10-4 EMERSON ELECTRIC CO 01/05/2016 Various 592.000 27,863 XXX 27,163 28,315 (1,153) (1,153) 27,163 700 700 XXX L

302130-10-9EXPEDITORS INTERNATIONALOF WA 01/05/2016 Various 1,430.000 63,016 XXX 70,040 64,493 5,547 5,547 70,040 (7,024) (7,024) XXX L

36467W-10-9 GAMESTOP COPR-CLASS A 01/05/2016 Various 845.000 23,803 XXX 34,829 23,694 11,135 11,135 34,829 (11,026) (11,026) XXX L364760-10-8 GAP INC 03/01/2016 Various 4,962.000 133,130 XXX 149,933 122,561 46,049 18,677 27,371 149,933 (16,803) (16,803) 1,141 XXX L369550-10-8 GENERAL DYNAMICS CORP 03/02/2016 Various 3,208.000 440,241 XXX 434,021 327,741 9,481 9,596 (115) 434,021 6,220 6,220 1,771 XXX L369604-10-3 GENERAL ELECTRIC CO 03/31/2016 Morgan Stanley 1,100.000 35,046 XXX 26,418 34,265 (7,847) (7,847) 26,418 8,628 8,628 253 XXX L37045V-10-0 GENERAL MOTORS CO 03/02/2016 Various 2,143.000 63,912 XXX 72,040 72,883 3,040 3,883 (843) 72,040 (8,128) (8,128) XXX L40434L-10-5 HEWLETT-PACKARD CO 02/01/2016 Various 7,179.000 69,624 XXX 90,203 84,999 5,203 5,203 90,203 (20,579) (20,579) 890 XXX L406216-10-1 HALLIBURTON CO 03/02/2016 Various 5,853.000 191,125 XXX 196,438 148,176 19,155 17,326 1,828 196,438 (5,313) (5,313) 1,054 XXX L438516-10-6 HONEYWELL INTERNATIONAL 03/31/2016 Morgan Stanley 200.000 22,453 XXX 20,401 0 20,401 2,051 2,051 119 XXX L

E0

5.5





Foreign


Number ofShares of



CarryingValue

11


(Decrease)

12


Accretion

13


14


(11+12-13)

15


Book/Adjusted

Carrying Valueat

Disposal Date


(Loss) onDisposal



BondInterest/Stock

DividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesig-nation

orMarket

Indicator(a)

45866F-10-4INTERCONTINENTAL EXCHANGEIN 03/02/2016 Various 806.000 187,430 XXX 205,747 153,756 2,026 2,026 0 205,747 (18,317) (18,317) XXX L

459200-10-1 IBM CORP 03/01/2016 Various 439.000 55,942 XXX 62,348 60,415 9,259 7,326 1,933 62,348 (6,406) (6,406) 166 XXX L460146-10-3 INTERNATIONAL PAPER CO 02/01/2016 Various 1,649.000 57,495 XXX 68,857 62,167 6,690 6,690 68,857 (11,362) (11,362) XXX L461202-10-3 INTUIT INC 03/31/2016 Morgan Stanley 1,260.000 123,732 XXX 121,590 121,590 5,098 5,098 0 121,590 2,142 2,142 378 XXX L48203R-10-4 JUNIPER NETWORKS INC 03/02/2016 Various 1,783.000 44,303 XXX 49,262 49,211 1,482 1,431 51 49,262 (4,958) (4,958) 178 XXX L501044-10-1 KROGER CO THE 01/05/2016 Various 1,120.000 46,351 XXX 41,876 46,850 (4,973) (4,973) 41,876 4,474 4,474 XXX L518439-10-4 ESTEE LAUDER COMPANIES 03/02/2016 Various 657.000 59,050 XXX 53,973 57,855 (3,882) (3,882) 53,973 5,077 5,077 107 XXX L532457-10-8 LILLY ELI & CO 02/01/2016 Morgan Stanley 908.000 71,317 XXX 72,003 76,508 (4,505) (4,505) 72,003 (686) (686) XXX L56585A-10-2 MARATHON PETROLEUM CORP 03/31/2016 Morgan Stanley 4,200.000 155,734 XXX 208,133 207,256 (6,407) 3,059 (9,466) 208,133 (52,399) (52,399) 1,344 XXX L571903-20-2 MARRIOTT INTERNATIONAL 03/31/2016 Morgan Stanley 200.000 14,276 XXX 13,408 13,408 680 680 0 13,408 868 868 50 XXX L61174X-10-9 MONSTER BEVERAGE CORP 03/31/2016 Morgan Stanley 300.000 40,009 XXX 38,340 0 38,340 1,668 1,668 XXX L626717-10-2 MURPHY OIL CORPORATION 02/01/2016 Morgan Stanley 3,178.000 60,260 XXX 77,189 51,590 5,617 5,617 77,189 (16,929) (16,929) XXX L629377-50-8 NRG ENERGY INC 03/02/2016 Various 4,410.000 49,544 XXX 49,616 37,958 3,727 3,727 0 49,616 (71) (71) 639 XXX L63938C-10-8 NAVIENT CORP 03/02/2016 Various 5,172.000 55,972 XXX 56,445 44,048 1,801 1,801 0 56,445 (473) (473) 205 XXX L64110L-10-6 NETFLIX INC 03/31/2016 Morgan Stanley 100.000 10,215 XXX 11,438 11,438 66 66 0 11,438 (1,223) (1,223) XXX L65249B-10-9 NEWS CORP 01/05/2016 Various 1,610.000 20,821 XXX 25,725 21,510 4,216 4,216 25,725 (4,905) (4,905) XXX L670346-10-5 NUCOR CORP 03/31/2016 Morgan Stanley 600.000 28,421 XXX 24,180 24,180 1,800 1,800 0 24,180 4,241 4,241 225 XXX L693718-10-8 PACCAR INC 02/01/2016 Morgan Stanley 1,058.000 51,267 XXX 67,304 50,149 17,155 17,155 67,304 (16,037) (16,037) 1,481 XXX L697435-10-5 PALO ALTO NETWORKS INC 03/01/2016 Various 326.000 47,564 XXX 53,983 45,444 (339) 1,149 (1,487) 53,983 (6,419) (6,419) XXX L724479-10-0 PITNEY BOWES INC 03/31/2016 Morgan Stanley 900.000 19,403 XXX 18,174 18,585 252 663 (411) 18,174 1,229 1,229 169 XXX L731068-10-2 POLARIS INDUSTRIES INC 01/05/2016 Various 288.000 24,861 XXX 34,527 24,754 9,773 9,773 34,527 (9,665) (9,665) XXX L74144T-10-8 T ROWE PRICE GROUP INC 03/31/2016 Various 2,321.000 164,391 XXX 165,343 137,261 5,556 4,693 863 165,343 (951) (951) 162 XXX L742718-10-9 PROCTER & GAMBLE CO/THE 03/31/2016 Morgan Stanley 100.000 8,239 XXX 7,941 7,941 247 247 0 7,941 298 298 66 XXX L747525-10-3 QUALCOMM INC 01/05/2016 Various 1,720.000 85,125 XXX 94,128 85,974 8,154 8,154 94,128 (9,003) (9,003) XXX L74967R-10-6 RMR GROUP INC 01/04/2016 Direct 0.040 1 XXX 1 1 0 1 0 XXX L78462F-10-3 SPDR S&P 500 ETF TRUST 03/31/2016 Various 1,684.000 334,259 XXX 333,264 121,926 1,245 1,245 333,264 995 995 725 XXX L81211K-10-0 SEALED AIR CORP 03/31/2016 Various 3,360.000 158,275 XXX 150,781 149,856 23,883 22,958 925 150,781 7,494 7,494 279 XXX L83088M-10-2 SKYWORKS SOLUTIONS INC 02/01/2016 Morgan Stanley 1,702.000 116,865 XXX 148,061 103,490 20,994 20,994 148,061 (31,196) (31,196) XXX L833034-10-1 SNAP-ON INC 01/05/2016 Various 80.000 13,483 XXX 12,076 13,714 (1,639) (1,639) 12,076 1,407 1,407 XXX L

85571B-10-5STARWOOD PROPERTY TRUSTINC 03/31/2016 Various 3,442.000 62,618 XXX 69,970 70,768 (798) (798) 69,970 (7,352) (7,352) 1,652 XXX L

872540-10-9 TJX COS INC 03/31/2016 Morgan Stanley 300.000 23,517 XXX 21,229 21,273 136 180 (44) 21,229 2,288 2,288 63 XXX L87612E-10-6 TARGET CORP 02/01/2016 Morgan Stanley 3,027.000 218,276 XXX 240,836 219,790 21,046 21,046 240,836 (22,560) (22,560) XXX L88076W-10-3 TERADATA CORP 03/02/2016 Various 686.000 17,380 XXX 16,471 0 16,471 909 909 XXX L883203-10-1 TEXTRON INC 02/01/2016 Morgan Stanley 1,791.000 60,834 XXX 70,121 59,528 (3,210) (3,210) 70,121 (9,288) (9,288) 28 XXX L887317-30-3 TIME WARNER INC 02/01/2016 Morgan Stanley 466.000 33,325 XXX 34,677 17,655 3,414 3,414 34,677 (1,352) (1,352) XXX L902494-10-3 TYSON FOODS INC 03/02/2016 Various 722.000 47,083 XXX 36,105 38,504 (2,399) (2,399) 36,105 10,977 10,977 108 XXX L911684-10-8 US CELLULAR CORP 03/31/2016 Morgan Stanley 800.000 36,395 XXX 29,828 32,648 (2,820) (2,820) 29,828 6,567 6,567 XXX L92553P-20-1 VIACOM INC 02/01/2016 Morgan Stanley 796.000 36,158 XXX 33,112 22,062 (210) (210) 33,112 3,046 3,046 214 XXX L928563-40-2 VMWARE INC 01/05/2016 Various 749.000 42,287 XXX 58,173 42,371 15,802 15,802 58,173 (15,886) (15,886) XXX L931142-10-3 WAL-MART STORES 01/29/2016 Morgan Stanley 172.000 11,296 XXX 13,927 10,544 3,384 3,384 13,927 (2,631) (2,631) 84 XXX L941848-10-3 WATERS CORP 03/02/2016 Various 614.000 76,587 XXX 77,805 82,632 (4,827) (4,827) 77,805 (1,218) (1,218) XXX L949746-10-1 WELLS FARGO & CO. 01/29/2016 Morgan Stanley 514.000 25,506 XXX 27,807 27,941 (134) (134) 27,807 (2,301) (2,301) XXX L959802-10-9 WESTERN UNION CO 03/02/2016 Various 6,264.000 115,580 XXX 113,788 112,188 5,000 3,400 1,600 113,788 1,792 1,792 XXX L966837-10-6 WHOLE FOODS MARKET INC 03/02/2016 Various 1,107.000 35,514 XXX 32,494 0 32,494 3,019 3,019 XXX L98389B-10-0 XCEL ENERGY INC 03/31/2016 Morgan Stanley 2,500.000 104,467 XXX 85,216 89,775 (4,559) (4,559) 85,216 19,251 19,251 800 XXX L98978V-10-3 ZOETIS INC 02/01/2016 Morgan Stanley 1,154.000 49,445 XXX 53,240 43,751 (983) (983) 53,240 (3,795) (3,795) 87 XXX LG16962-10-5 BUNGE LTD F 03/31/2016 Various 1,166.000 63,566 XXX 79,614 79,614 5,171 5,171 0 79,614 (16,048) (16,048) 360 XXX LG7945M-10-7 SEAGATE TECHNOLOGY PLC F 03/02/2016 Various 497.000 16,420 XXX 17,846 18,220 (374) (374) 17,846 (1,426) (1,426) 313 XXX LY0486S-10-4 AVAGO TECHNOLOGIES LTD F 02/01/2016 Tax Free Exchange 918.000 127,184 XXX 127,184 0 127,184 0 XXX L

9099999 - Common Stocks - Industrial and Miscellaneous (Unaffiliated) 6,695,349 XXX 7,032,695 5,633,379 284,927 0 141,807 143,119 0 7,032,695 0 (337,346) (337,346) 19,172 XXX XXX

9799997 - Subtotals - Common Stocks - Part 4 6,695,349 XXX 7,032,695 5,633,379 284,927 0 141,807 143,119 0 7,032,695 0 (337,346) (337,346) 19,172 XXX XXX

9799999 - Subtotals - Common Stocks 6,695,349 XXX 7,032,695 5,633,379 284,927 0 141,807 143,119 0 7,032,695 0 (337,346) (337,346) 19,172 XXX XXX

9899999 - Subtotals - Preferred and Common Stocks 6,695,349 XXX 7,032,695 5,633,379 284,927 0 141,807 143,119 0 7,032,695 0 (337,346) (337,346) 19,172 XXX XXX

9999999 Totals 224,097,498 XXX 211,986,317 207,204,958 408,355 (208,351) 141,807 58,197 0 208,925,516 0 15,171,980 15,171,980 3,084,008 XXX XXX

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues .

E0

5.6


Schedule DB - Part A - Section 1

NONE

Schedule DB - Part B - Section 1

NONE

Schedule DB - Part D - Section 1

NONE

Schedule DB - Part D - Section 2

NONE

Schedule DL - Part 1

NONE

Schedule DL - Part 2

NONE

E06, E07, E08, E09, E10, E11


SCHEDULE E - PART 1 - CASHMonth End Depository Balances

1 2 3 4 5 Book Balance at End of Each 9Month During Current Quarter

Depository Code

Rateof

Interest

Amount ofInterest

ReceivedDuringCurrentQuarter

Amount ofInterest

Accrued atCurrent

StatementDate

6

First Month

7

Second Month

8

Third Month *Open DepositoriesCitibank, NA New York, NY 1,340,964 1,126,152 3,835,748 XXXCitibank, NA London, UK 252,896 262,750 279,986 XXXCaisse Des Depots Et Consignations Paris, France 87,806 90,788 89,706 XXXState Street Bank New York, NY 142,244 143,719 0 XXX

0199998 Deposits in depositories that donot exceed the allowable limit in any one depository(See Instructions) - Open Depositories XXX XXX XXX

0199999 Total Open Depositories XXX XXX 0 0 1,823,910 1,623,409 4,205,440 XXX

0399999 Total Cash on Deposit XXX XXX 0 0 1,823,910 1,623,409 4,205,440 XXX0499999 Cash in Company’s Office XXX XXX XXX XXX XXX0599999 Total XXX XXX 0 0 1,823,910 1,623,409 4,205,440 XXX

E12


SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned End of Current Quarter

1

Description

2

Code

3Date

Acquired

4Rate ofInterest

5Maturity

Date

6Book/AdjustedCarrying Value

7Amount of Interest

Due & Accrued

8Amount Received

During Year

8699999 Total Cash Equivalents 0 0 0

E1

3

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