Athene Holding Ltd (Form: 10-Q, Received: 08/03/2018 16:26:46)

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM 10-Q


x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2018

OR

¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


			001-37963
(Commission file number)

ATHENE HOLDING LTD.
(Exact name of registrant as specified in its charter)

	Bermuda				98-0630022
	(State or other jurisdiction of				(I.R.S. Employer
	incorporation or organization)				Identification Number)

96 Pitts Bay Road
Pembroke, HM08, Bermuda
(441) 279-8400
(Address, including zip code, and telephone number, including area code, of registrant’s principal executive offices)


Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports) and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company or an emerging growth company. See definitions of “large accelerated filer,” “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

	Large accelerated filer x			Accelerated filer ¨
	Non-accelerated filer ¨ (Do not check if a smaller reporting company)			Smaller reporting company ¨
				Emerging growth company ¨

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

		The number of shares of each class of our common stock outstanding is set forth in the table below, as of June 30, 2018:

		Class A common shares	164,734,282	Class M-2 common shares	851,103
		Class B common shares	25,483,107	Class M-3 common shares	1,001,110
		Class M-1 common shares	3,388,890	Class M-4 common shares	4,354,425

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PART I —FINANCIAL INFORMATION



Item 1.	Financial Statements	7
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	58
Item 3.	Quantitative and Qualitative Disclosures About Market Risks	97
Item 4.	Controls and Procedures	97

PART II —OTHER INFORMATION



Item 1.	Legal Proceedings	98
Item 1A.	Risk Factors	98
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	104
Item 3.	Defaults Upon Senior Securities	104
Item 4.	Mine Safety Disclosures	104
Item 5.	Other Information	104
Exhibit Index		105
Signatures		106

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As used in this Form 10-Q, unless the context otherwise indicates, any reference to “Athene,” “our Company,” “the Company,” “us,” “we” and “our” refer to Athene Holding Ltd. together with its consolidated subsidiaries and any reference to “AHL” refers to Athene Holding Ltd. only.

Forward-Looking Statements

Certain statements in this Quarterly Report on Form 10-Q (report), other than purely historical information, including estimates, projections, statements relating to our business plans, anticipated future tax rates, objectives and expected operating results and the assumptions upon which those statements are based, are forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended (Exchange Act).

You can identify forward-looking statements by the fact that they do not relate strictly to historical or current facts. These statements may include words such as “anticipate,” “estimate,” “expect,” “project,” “plan,” “intend,” “seek,” “assume,” “believe,” “may,” “will,” “should,” “could,” “would,” “likely” and other words and terms of similar meaning, including the negative of these or similar words and terms, in connection with any discussion of the timing or nature of future operating or financial performance or other events. However, not all forward-looking statements contain these identifying words. Forward-looking statements appear in a number of places throughout and give our current expectations and projections relating to our financial condition, results of operations, plans, strategies, objectives, future performance, business and other matters.

We caution you that forward-looking statements are not guarantees of future performance and that our actual financial condition, liquidity, results of operations and cash flows may differ materially from those made in or suggested by the forward-looking statements contained in this report. There can be no assurance that actual developments will be those anticipated by us. In addition, even if our financial condition, liquidity, results of operations and cash flows are consistent with the forward-looking statements contained in this report, those results or developments may not be indicative of results or developments in subsequent periods. A number of important factors could cause actual results or conditions to differ materially from those contained or implied by the forward-looking statements, including the risks discussed in Part II–Item 1A. Risk Factors included in this report and Part I–Item 1A. Risk Factors included in our Annual Report on Form 10-K for the year ended December 31, 2017 ( 2017 Annual Report). Factors that could cause actual results or conditions to differ from those reflected in the forward-looking statements contained in this report include:


•	the accuracy of management’s assumptions and estimates;


•	variability in the amount of statutory capital that our insurance and reinsurance subsidiaries have or are required to hold;


•	interest rate fluctuations;


•	our potential need for additional capital in the future and the potential unavailability of such capital to us on favorable terms or at all;


•	changes in relationships with important parties in our product distribution network;


•	the activities of our competitors and our ability to grow our retail business in a highly competitive environment;


•	the impact of general economic conditions on our ability to sell our products and the fair value of our investments;


•	our ability to successfully acquire new companies or businesses and/or integrate such acquisitions into our existing framework;


•	downgrades, potential downgrades or other negative actions by rating agencies;


•	our dependence on key executives and inability to attract qualified personnel, or the potential loss of Bermudian personnel as a result of Bermuda employment restrictions;


•	market and credit risks that could diminish the value of our investments;


•	foreign currency fluctuations;


•	the impact of changes to the creditworthiness of our reinsurance and derivative counterparties;


•	changes in consumer perception regarding the desirability of annuities as retirement savings products;


•	potential litigation (including class action litigation), enforcement investigations or regulatory scrutiny against us and our subsidiaries, which we may be required to defend against or respond to;


•	the impact of new accounting rules or changes to existing accounting rules on our business;


•	interruption or other operational failures in telecommunication and information technology and other operating systems, as well as our ability to maintain the security of those systems;


•	the termination by Athene Asset Management LLC (AAM) of its investment management agreements with us and limitations on our ability to terminate such arrangements;


•	AAM’s dependence on key executives and inability to attract qualified personnel;


•	increased regulation or scrutiny of alternative investment advisers and certain trading methods;


•	potential changes to regulations affecting, among other things, transactions with our affiliates, the ability of our subsidiaries to make dividend payments or distributions to us, acquisitions by or of us, minimum capitalization and statutory reserve requirements for insurance companies and fiduciary obligations on parties who distribute our products;


•	suspension or revocation of our subsidiaries’ insurance and reinsurance licenses;


•	increases in our tax liability resulting from the Base Erosion and Anti-Abuse Tax (BEAT) or unnecessary, inefficient, ineffective or counterproductive efforts undertaken to mitigate the cost of the BEAT;


•	improper interpretation or application of Public Law no. 115-97, the Act to provide for reconciliation pursuant to titles II and V of the concurrent resolution on the budget for fiscal year 2018 (Tax Act) or subsequent changes to, clarifications of or guidance under the Tax Act that is counter to our interpretation and has retroactive effect;


•	Athene Holding Ltd. (AHL) or its non-U.S. subsidiaries becoming subject to U.S. federal income taxation;


•	adverse changes in U.S. tax law;

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•	our being subject to U.S. withholding tax under the Foreign Account Tax Compliance Act (FATCA);


•	our potential inability to pay dividends or distributions; and


•	other risks and factors listed under Part II—Item 1A. Risk Factors included in this report, Part I—Item 1A. Risk Factors included

in our 2017 Annual Report and elsewhere in this report and in our 2017 Annual Report.

We caution you that the important factors referenced above may not be exhaustive. In addition, we cannot assure you that we will realize the results or developments we expect or anticipate or, even if substantially realized, that they will result in the consequences or affect us or our operations in the way we expect or anticipate. In light of these risks, you should not place undue reliance upon any forward-looking statements contained in this report. The forward-looking statements included in this report are made only as of the date hereof. We undertake no obligation, except as may be required by law, to publicly update or revise any forward-looking statement as a result of new information, future events or otherwise. Comparisons of results for current and any prior periods are not intended to express any future trends, or indications of future performance, unless expressed as such, and should only be viewed as historical data.

GLOSSARY OF SELECTED TERMS

Unless otherwise indicated in this report, the following terms have the meanings set forth below:

Entities



Term or Acronym		Definition
A-A Mortgage		A-A Mortgage Opportunities, L.P.
AAA		AP Alternative Assets, L.P.
AAA Investor		AAA Guarantor – Athene, L.P.
AADE		Athene Annuity & Life Assurance Company
AAIA		Athene Annuity and Life Company
AAM		Athene Asset Management LLC
AGER		AGER Bermuda Holding Ltd., now known as Athora Holding Ltd. and formerly a consolidated subsidiary
AHL		Athene Holding Ltd.
ALIC		Athene Life Insurance Company
ALR		ALR Aircraft Investment Ireland Limited
ALRe		Athene Life Re Ltd.
AmeriHome		AmeriHome Mortgage Company, LLC
Apollo		Apollo Global Management, LLC
Apollo Group		(1) Apollo, (2) the AAA Investor, (3) any investment fund or other collective investment vehicle whose general partner or managing member is owned, directly or indirectly, by Apollo or one or more of Apollo’s subsidiaries, (4) BRH Holdings GP, Ltd. and its shareholders and (5) any affiliate of any of the foregoing (except that AHL and its subsidiaries and employees of AHL, its subsidiaries or AAM are not members of the Apollo Group)
Athene USA		Athene USA Corporation
Athora		Athora Holding Ltd., formerly known as AGER Bermuda Holding Ltd. and formerly a consolidated subsidiary
CoInvest Other		AAA Investments (Other), L.P.
CoInvest VI		AAA Investments (Co-Invest VI), L.P.
CoInvest VII		AAA Investments (Co-Invest VII), L.P.
DOL		United States Department of Labor
MidCap		MidCap FinCo Limited
NAIC		National Association of Insurance Commissioners
NCL LLC		NCL Athene, LLC
NYSDFS		New York State Department of Financial Services
Sprint		Apollo Asia Sprint Co-Investment Fund, L.P.
Voya		Voya Financial, Inc.
VIAC		Voya Insurance and Annuity Company
Venerable		Venerable Holdings, Inc.

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Certain Terms & Acronyms



Term or Acronym		Definition
ABS		Asset-backed securities
ACL		Authorized control level risk-based capital as defined by the model created by the National Association of Insurance Commissioners
ALM		Asset liability management
ALRe RBC		The risk-based capital ratio of ALRe, when applying the National Association of Insurance Commissioners risk-based capital factors
AUM		Assets under management
Alternative investments		Alternative investments, including investment funds, collateralized loan obligation equity positions and certain other debt instruments considered to be equity-like
Base of earnings		Earnings generated from our results of operations and the underlying profitability drivers of our business
BEAT		Base Erosion and Anti-Abuse Tax
Bermuda capital		The capital of ALRe calculated under U.S. statutory accounting principles, including that for policyholder reserve liabilities which are subjected to U.S. cash flow testing requirements, but excluding certain items that do not exist under our applicable Bermuda requirements, such as interest maintenance reserves
Block reinsurance		A transaction in which the ceding company cedes all or a portion of a block of previously issued annuity contracts through a reinsurance agreement
BMA		Bermuda Monetary Authority
BSCR		Bermuda Solvency Capital Requirement
CAL		Company action level risk-based capital as defined by the model created by the National Association of Insurance Commissioners
Capital ratio		Ratios calculated (1) with respect to our U.S. insurance subsidiaries, by reference to risk-based capital, (2) with respect to ALRe, by reference to BSCR, and (3) with respect to our former German Group Companies, by reference to solvency capital requirements
CLO		Collateralized loan obligation
CMBS		Commercial mortgage-backed securities
Cost of crediting		The interest credited to the policyholders on our fixed annuities, including, with respect to our fixed indexed annuities, option costs, presented on an annualized basis for interim periods
DAC		Deferred acquisition costs
Deferred annuities		Fixed indexed annuities, annual reset annuities and multi-year guaranteed annuities
DSI		Deferred sales inducement
Excess capital		Capital in excess of the level management believes is needed to support our current operating strategy
FIA		Fixed indexed annuity, which is an insurance contract that earns interest at a crediting rate based on a specified index on a tax-deferred basis
Fixed annuities		FIAs together with fixed rate annuities
Fixed rate annuity		An insurance contract that offers tax-deferred growth and the opportunity to produce a guaranteed stream of retirement income for the lifetime of its policyholder
Flow reinsurance		A transaction in which the ceding company cedes a portion of newly issued policies to the reinsurer
GAAP		Accounting principles generally accepted in the United States of America
GLWB		Guaranteed lifetime withdrawal benefit
GMDB		Guaranteed minimum death benefit
IMA		Investment management agreement
IMO		Independent marketing organization
Invested assets		The sum of (a) total investments on the consolidated balance sheet with AFS securities at amortized cost, excluding derivatives, (b) cash and cash equivalents and restricted cash, (c) investments in related parties, (d) accrued investment income, (e) consolidated variable interest entities’ assets, liabilities and noncontrolling interest and (f) policy loans ceded (which offset the direct policy loans in total investments). Invested assets includes investments supporting assumed funds withheld and modco agreements and excludes assets associated with funds withheld liabilities related to business exited through reinsurance agreements and derivative collateral (offsetting the related cash positions)
Investment margin		Investment margin applies to deferred annuities and is the excess of our net investment earned rate over the cost of crediting to our policyholders, presented on an annualized basis for interim periods
Liability outflows		The aggregate of withdrawals on our deferred annuities, maturities of our funding agreements, payments on payout annuities and pension risk benefit payments

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Term or Acronym		Definition
LIMRA		Life Insurance and Market Research Association
MCR		Minimum capital requirements
MMS		Minimum margin of solvency
Modco		Modified coinsurance
MVA		Market value adjustment
MYGA		Multi-year guaranteed annuity
Net investment earned rate		Income from our invested assets divided by the average invested assets for the relevant period, presented on an annualized basis for interim periods
Other liability costs		Other liability costs include DAC, DSI and VOBA amortization and change in GLWB and GMDB reserves for all products, the cost of liabilities on products other than deferred annuities including offsets for premiums, product charges and other revenues
OTTI		Other-than-temporary impairment
Overall tax rate		Tax rate including corporate income taxes, the BEAT and excise taxes, in each case, to the extent applicable, on a GAAP or non-GAAP basis, as specified
Payout annuities		Annuities with a current cash payment component, which consist primarily of SPIAs, supplemental contracts and structured settlements
Policy loan		A loan to a policyholder under the terms of, and which is secured by, a policyholder’s policy
PRT		Pension risk transfer
RBC		Risk-based capital
Reserve liabilities		The sum of (a) interest sensitive contract liabilities, (b) future policy benefits, (c) dividends payable to policyholders, and (d) other policy claims and benefits, offset by reinsurance recoverable, excluding policy loans ceded. Reserve liabilities also includes the reserves related to assumed modco agreements in order to appropriately match the costs incurred in the consolidated statements of income with the liabilities. Reserve liabilities is net of the ceded liabilities to third-party reinsurers as the costs of the liabilities are passed to such reinsurers and therefore we have no net economic exposure to such liabilities, assuming our reinsurance counterparties perform under our agreements
Rider reserves		Guaranteed lifetime withdrawal benefits and guaranteed minimum death benefits reserves
RMBS		Residential mortgage-backed securities
RML		Residential mortgage loan
Sales		All money paid into an individual annuity, including money paid into new contracts with initial purchase occurring in the specified period and existing contracts with initial purchase occurring prior to the specified period (excluding internal transfers)
SPIA		Single premium immediate annuity
Surplus assets		Assets in excess of policyholder obligations, determined in accordance with the applicable domiciliary jurisdiction’s statutory accounting principles
TAC		Total adjusted capital as defined by the model created by the NAIC
U.S. RBC Ratio		The CAL RBC ratio for AADE, our parent U.S. insurance company
VIE		Variable interest entity
VOBA		Value of business acquired
Voya reinsurance transactions		Collectively, the coinsurance and modified coinsurance agreements we entered into on June 1, 2018 with Voya Insurance and Annuity Company and ReliaStar Life Insurance Company

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Item 1. Financial Statements

Index to Condensed Consolidated Financial Statements (unaudited)




Condensed Consolidated Balance Sheets (unaudited)		8

Condensed Consolidated Statements of Income (unaudited)		10

Condensed Consolidated Statements of Comprehensive Income (Loss) (unaudited)		11

Condensed Consolidated Statements of Equity (unaudited)		12

Condensed Consolidated Statements of Cash Flows (unaudited)		13

Notes to Condensed Consolidated Financial Statements (unaudited)		15

	Note 1. Business, Basis of Presentation and Significant Accounting Policies	15

	Note 2. Investments	17

	Note 3. Derivative Instruments	23

	Note 4. Variable Interest Entities	25

	Note 5. Fair Value	31

	Note 6. Deferred Acquisition Costs, Deferred Sales Inducements and Value of Business Acquired	47

	Note 7. Reinsurance	47

	Note 8. Debt	48

	Note 9. Earnings Per Share	49

	Note 10. Accumulated Other Comprehensive Income	50

	Note 11. Income Taxes	51

	Note 12. Related Parties	51

	Note 13. Commitments and Contingencies	54

	Note 14. Segment Information	56

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ATHENE HOLDING LTD.

Condensed Consolidated Balance Sheets (Unaudited)



(In millions)	June 30, 2018		December 31, 2017
Assets
Investments
Fixed maturity securities, at fair value
Available-for-sale securities (amortized cost: 2018 – $59,445 and 2017 – $58,506)	$	59,762	$	61,012
Trading securities	2,053		2,196
Equity securities, at fair value	216		790
Mortgage loans, net of allowances (portion at fair value: 2018 – $38 and 2017 – $41)	7,609		6,233
Investment funds (portion at fair value: 2018 – $126 and 2017 – $145)	633		699
Policy loans	504		530
Funds withheld at interest (portion at fair value: 2018 – $150 and 2017 – $312)	7,700		7,085
Derivative assets	1,929		2,551
Real estate (portion held for sale: 2017 – $32)	—		624
Short-term investments, at fair value (cost: 2018 – $289 and 2017 – $201)	289		201
Other investments (portion at fair value: 2018 – $50 and 2017 – $0)	123		133
Total investments	80,818		82,054
Cash and cash equivalents	3,608		4,888
Restricted cash	178		105
Investments in related parties
Fixed maturity securities, at fair value
Available-for-sale securities (amortized cost: 2018 – $958 and 2017 – $399)	956		406
Trading securities	278		307
Investment funds (portion at fair value: 2018 – $198 and 2017 – $30)	1,836		1,310
Funds withheld at interest (portion at fair value: 2018 – $162)	14,221		—
Short-term investments, at fair value (cost: 2018 – $172 and 2017 – $52)	172		52
Other investments	388		238
Accrued investment income (related party: 2018 – $24 and 2017 – $10)	662		652
Reinsurance recoverable (related party: 2018 – $4; portion at fair value: 2018 – $1,717 and 2017 – $1,824)	4,847		4,972
Deferred acquisition costs, deferred sales inducements and value of business acquired	4,715		2,930
Other assets	1,265		969
Assets of consolidated variable interest entities
Investments
Fixed maturity securities, trading, at fair value – related party	48		48
Equity securities, at fair value – related party	163		240
Investment funds (related party: 2018 – $542 and 2017 – $571; portion at fair value: 2018 – $542 and 2017 – $549)	593		571
Cash and cash equivalents	2		4
Other assets	5		1
Total assets	$	114,755	$	99,747

(Continued)

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Balance Sheets (Unaudited)



(In millions, except share and per share data)	June 30, 2018		December 31, 2017
Liabilities and Equity
Liabilities
Interest sensitive contract liabilities (related party: 2018 – $17,742; portion at fair value: 2018 – $9,008 and 2017 – $8,929)	$	87,052	$	67,708
Future policy benefits (related party: 2018 – $928; portion at fair value: 2018 – $2,249 and 2017 – $2,428)	13,970		17,507
Other policy claims and benefits (related party: 2018 – $2)	136		211
Dividends payable to policyholders	118		1,025
Short-term debt	183		—
Long-term debt	991		—
Derivative liabilities	137		134
Payables for collateral on derivatives	1,746		2,323
Funds withheld liability (portion at fair value: 2018 – $4 and 2017 – $22)	389		407
Other liabilities (related party: 2018 – $69 and 2017 – $64)	1,524		1,222
Liabilities of consolidated variable interest entities	4		2
Total liabilities	106,250		90,539
Commitments and Contingencies (Note 13)
Equity
Common stock
Class A – par value $0.001 per share; authorized: 2018 and 2017 – 425,000,000 shares; issued and outstanding: 2018 – 164,734,282 and 2017 – 142,386,704 shares	—		—
Class B – par value $0.001 per share; convertible to Class A; authorized: 2018 and 2017 – 325,000,000 shares; issued and outstanding: 2018 – 25,483,107 and 2017 – 47,422,399 shares	—		—
Class M-1 – par value $0.001 per share; contingently convertible to Class A; authorized: 2018 and 2017 – 7,109,560 shares; issued and outstanding: 2018 – 3,388,890 and 2017 – 3,388,890 shares	—		—
Class M-2 – par value $0.001 per share; contingently convertible to Class A; authorized: 2018 and 2017 – 5,000,000 shares; issued and outstanding: 2018 – 851,103 and 2017 – 851,103 shares	—		—
Class M-3 – par value $0.001 per share; contingently convertible to Class A; authorized: 2018 and 2017 – 7,500,000 shares; issued and outstanding: 2018 – 1,001,110 and 2017 – 1,092,000 shares	—		—
Class M-4 – par value $0.001 per share; contingently convertible to Class A; authorized: 2018 and 2017 – 7,500,000 shares; issued and outstanding: 2018 – 4,354,425 and 2017 – 4,711,743 shares	—		—
Additional paid-in capital	3,492		3,472
Retained earnings	4,887		4,321
Accumulated other comprehensive income (relat ed party: 2018 – $(2) and 2017 – $48)	126		1,415
Total shareholders' equity	8,505		9,208
Total liabilities and equity	$	114,755	$	99,747

(Concluded)

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Income (Unaudited)



	Three months ended June 30,						Six months ended June 30,
(In millions, except per share data)	2018			2017			2018			2017
Revenues
Premiums (related party of $582 for the three and six months ended June 30, 2018)	$	726		$	379		$	1,004		$	431
Product charges (related party of $5 for the three and six months ended June 30, 2018)	106			85			202			166
Net investment income (related party investment income of $67 and $73 for the three months ended and $143 and $129 for the six months ended June 30, 2018 and 2017, respectively, and related party investment expense of $86 and $76 for the three months ended and $169 and $154 for the six months ended June 30, 2018 and 2017, respectively)	958			821			1,813			1,607
Investment related gains (losses) (related party of $2 and $3 for the three months ended and $19 and $(8) for the six months ended June 30, 2018 and 2017, respectively)	(2		)	460			(238		)	1,142
Other-than-temporary impairment investment losses
Other-than-temporary impairment losses	—			(12		)	(3		)	(12		)
Other-than-temporary impairment losses reclassified to (from) other comprehensive income	—			1			—			—
Net other-than-temporary impairment losses	—			(11		)	(3		)	(12		)
Other revenues	6			8			12			16
Revenues of consolidated variable interest entities
Net investment income (related party of $14 and $10 for the three months ended and $24 and $20 for the six months ended June 30, 2018 and 2017, respectively)	14			10			24			20
Investment related gains (losses) (related party of $(11) and $11 for the three months ended and $(6) and $12 for the six months ended June 30, 2018 and 2017, respectively)	(11		)	11			(6		)	12
Total revenues	1,797			1,763			2,808			3,382
Benefits and expenses
Interest sensitive contract benefits (related party of $20 for the three and six months ended June 30, 2018)	332			553			351			1,245
Amortization of deferred sales inducements	23			11			43			29
Future policy and other policy benefits (related party of $580 for the three and six months ended June 30, 2018)	857			578			1,258			792
Amortization of deferred acquisition costs and value of business acquired	92			67			181			171
Dividends to policyholders	9			49			22			81
Policy and other operating expenses (related party of $3 and $2 for the three months ended and $5 and $6 for the six months ended June 30, 2018 and 2017, respectively)	153			168			295			321
Operating expenses of consolidated variable interest entities	1			—			1			—
Total benefits and expenses	1,467			1,426			2,151			2,639
Income before income taxes	330			337			657			743
Income tax expense	66			11			125			33
Net income	$	264		$	326		$	532		$	710

Earnings per share
Basic – Classes A, B, M-1, M-2, M-3 and M-4	$	1.34		$	1.66		$	2.70		$	3.66
Diluted – Class A	1.33			1.65			2.69			3.59
Diluted – Class B	1.34			1.66			2.70			3.66
Diluted – Class M-1	1.34			1.66			2.70			3.66
Diluted – Class M-2	1.33			1.64			2.67			1.80
Diluted – Class M-3	1.34			1.00			2.67			1.08
Diluted – Class M-4	1.04			0.76			1.98			0.98

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Comprehensive Income (Loss) (Unaudited)



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Net income	$	264		$	326		$	532		$	710
Other comprehensive income (loss), before tax
Unrealized investment gains (losses) on available-for-sale securities	(667		)	582			(1,577		)	1,001
Noncredit component of other-than-temporary impairment losses on available-for-sale securities	—			(1		)	—			—
Unrealized gains (losses) on hedging instruments	101			(33		)	45			(38		)
Pension adjustments	—			(1		)	3			(1		)
Foreign currency translation adjustments	(2		)	8			(10		)	10
Other comprehensive income (loss), before tax	(568		)	555			(1,539		)	972
Income tax expense (benefit) related to other comprehensive income	(109		)	168			(292		)	279
Other comprehensive income (loss)	(459		)	387			(1,247		)	693
Comprehensive income (loss)	$	(195	)	$	713		$	(715	)	$	1,403

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Equity (Unaudited)



(In millions)	Common stock		Additional paid-in capital		Retained earnings			Accumulated other comprehensive income			Total Athene Holding Ltd. shareholders' equity			Noncontrolling interest			Total equity
Balance at December 31, 2016	$	—	$	3,421	$	3,070		$	367		$	6,858		$	1		$	6,859
Net income	—		—		710			—			710			—			710
Other comprehensive income	—		—		—			693			693			—			693
Stock-based compensation	—		31		—			—			31			—			31
Retirement or repurchase of shares	—		—		(8		)	—			(8		)	—			(8		)
Other changes in equity of noncontrolling interests	—		—		—			—			—			(1		)	(1		)
Balance at June 30, 2017	$	—	$	3,452	$	3,772		$	1,060		$	8,284		$	—		$	8,284

Balance at December 31, 2017	$	—	$	3,472	$	4,321		$	1,415		$	9,208		$	—		$	9,208
Adoption of accounting standards ¹	—		—		39			(42		)	(3		)	—			(3		)
Net income	—		—		532			—			532			—			532
Other comprehensive loss	—		—		—			(1,247		)	(1,247		)	—			(1,247		)
Issuance of shares, net of expenses	—		1		—			—			1			—			1
Stock-based compensation	—		19		—			—			19			—			19
Retirement or repurchase of shares	—		—		(5		)	—			(5		)	—			(5		)
Balance at June 30, 2018	$	—	$	3,492	$	4,887		$	126		$	8,505		$	—		$	8,505

¹ See discussion of adoptions in Note 1 – Business, Basis of Presentation and Significant Accounting Policies.

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Cash Flows (Unaudited)



	Six months ended June 30,
(In millions)	2018			2017
Cash flows from operating activities
Net income	$	532		$	710
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of deferred acquisition costs and value of business acquired	181			171
Amortization of deferred sales inducements	43			29
Accretion of net investment premiums, discounts, and other	(99		)	(101		)
Payment at inception of reinsurance agreements, net (related party: 2018 – $(407))	(394		)	—
Stock-based compensation	13			29
Net investment income (related party: 2018 – $(50) and 2017 – $(43))	(32		)	(43		)
Net recognized (gains) losses on investments and derivatives (related party: 2018 – $(18) and 2017 – $3)	161			(882		)
Policy acquisition costs deferred	(311		)	(248		)
Changes in operating assets and liabilities:
Accrued investment income (related party: 2018 – $(14))	(47		)	(9		)
Interest sensitive contract liabilities (related party: 2018 – $15)	7			1,140
Future policy benefits, other policy claims and benefits, dividends payable to policyholders and reinsurance recoverable (related party: 2018 – $15)	352			387
Funds withheld assets and liabilities (related party: 2018 – $23)	(32		)	(222		)
Other assets and liabilities	139			124
Consolidated variable interest entities related:
Net recognized (gains) losses on investments and derivatives (related party: 2018 – $5 and 2017 – $(12))	5			(12		)
Other operating activities, net	1			—
Net cash provided by operating activities	519			1,073
Cash flows from investing activities
Sales, maturities and repayments of:
Fixed maturity securities
Available-for-sale securities (related party: 2018 – $97 and 2017 – $73)	6,309			5,987
Trading securities (related party: 2018 – $22 and 2017 – $26)	288			83
Equity securities (related party: 2018 – $0 and 2017 – $22)	2			455
Mortgage loans	686			632
Investment funds (related party: 2018 – $143 and 2017 – $172)	252			221
Derivative instruments and other invested assets	1,062			713
Short-term investments	220			226
Purchases of:
Fixed maturity securities
Available-for-sale securities (related party: 2018 – $(211) and 2017 – $(64))	(8,953		)	(9,111		)
Trading securities	(81		)	(66		)
Equity securities	(62		)	(492		)
Mortgage loans	(1,924		)	(1,184		)
Investment funds (related party: 2018 – $(556) and 2017 – $(179))	(654		)	(227		)
Derivative instruments and other invested assets (related party: 2018 – $(150) and 2017 – $0)	(659		)	(376		)
Real estate	—			(13		)
Short-term investments (related party: 2018 – $(121) and 2017 – $(28))	(429		)	(177		)
Consolidated variable interest entities related:
Sales, maturities and repayments of investments (related party: 2018 – $103 and 2017 – $7)	103			7
Purchases of investments (related party: 2018 – $0 and 2017 – $(22))	(52		)	(22		)
Deconsolidation of AGER Bermuda Holding Ltd. and its subsidiaries	(296		)	—
Cash settlement of derivatives	(2		)	4
Other investing activities, net	286			748
Net cash used in investing activities	(3,904		)	(2,592		)
				(Continued)
See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Cash Flows (Unaudited)



	Six months ended June 30,
(In millions)	2018			2017
Cash flows from financing activities
Capital contributions	$	1		$	—
Proceeds from short-term debt	183			—
Proceeds from long-term debt	998			—
Deposits on investment-type policies and contracts (related party: 2018 – $128)	4,375			4,727
Withdrawals on investment-type policies and contracts (related party: 2018 – $(37))	(2,839		)	(2,607		)
Payments for coinsurance agreements on investment-type contracts, net	(12		)	(15		)
Net change in cash collateral posted for derivative transactions	(577		)	477
Repurchase of common stock	(5		)	(8		)
Other financing activities, net	52			(5		)
Net cash provided by financing activities	2,176			2,569
Effect of exchange rate changes on cash and cash equivalents	—			19
Net (decrease) increase in cash and cash equivalents	(1,209		)	1,069
Cash and cash equivalents at beginning of year ¹	4,997			2,516
Cash and cash equivalents at end of period ¹	$	3,788		$	3,585

Supplementary information
Non-cash transactions
Deposits on investment-type policies and contracts through reinsurance agreements (related party: 2018 – $17,525)	$	18,247		$	385
Withdrawals on investment-type policies and contracts through reinsurance agreements (related party: 2018 – $155)	341			285
Investments received from settlements on reinsurance agreements	8			36
Investment in Athora Holding Ltd. received upon deconsolidation	108			—

¹ Includes cash and cash equivalents, restricted cash, and cash and cash equivalents of consolidated variable interest entities.

(Concluded)

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

1. Business, Basis of Presentation and Significant Accounting Policies

Athene Holding Ltd. (AHL), a Bermuda exempted company, together with its subsidiaries (collectively, Athene, we, our, us, or the Company), is a leading retirement services company that issues, reinsures and acquires retirement savings products in all U.S. states and the District of Columbia.

We conduct business primarily through the following consolidated subsidiaries:


•	Our non-U.S. reinsurance subsidiaries, to which AHL’s other insurance subsidiaries and third party ceding companies directly and indirectly reinsure a portion of their liabilities, including Athene Life Re Ltd. (ALRe), a Bermuda exempted company; and


•	Athene USA Corporation, an Iowa corporation and its subsidiaries (Athene USA).

In addition, we consolidate certain variable interest entities (VIEs), for which we determined we are the primary beneficiary, as discussed in Note 4 – Variable Interest Entities .

Basis of Presentation —We have prepared the accompanying condensed consolidated financial statements in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information and the United States Securities and Exchange Commission’s rules and regulations for Form 10-Q and Article 10 of Regulation S-X. The accompanying condensed consolidated financial statements are unaudited and reflect all adjustments, consisting only of normal recurring items, considered necessary for fair statement of the periods presented. All significant intercompany accounts and transactions have been eliminated. Interim operating results are not necessarily indicative of the results expected for the entire year.

The condensed consolidated balance sheet as of December 31, 2017 has been derived from the audited financial statements, but does not include all of the information and footnotes required by GAAP for complete financial statements. Therefore, these condensed consolidated financial statements should be read in conjunction with our audited consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2017. The preparation of financial statements requires the use of management estimates. Actual results may differ from estimates used in preparing the condensed consolidated financial statements.

Deconsolidation – AGER Bermuda Holding Ltd. and its subsidiaries, now known as Athora Holding Ltd. (Athora), was our consolidated subsidiary for the year ended December 31, 2017. In April 2017, in connection with a private offering, Athora entered into subscription agreements with AHL, certain affiliates of Apollo Global Management, LLC (AGM and, together with its subsidiaries, Apollo) and a number of other third-party investors pursuant to which Athora secured commitments from such parties to purchase new common shares in Athora (Athora Offering). In November 2017, the Athora board of directors approved resolutions authorizing the closing of the Athora Offering (Closing) to occur on January 1, 2018 and approving a capital call from all of the Athora investors, excluding us. In connection with the Closing and the issuance of shares in respect of the capital call, each of which occurred on January 1, 2018, our equity interest in Athora was exchanged for common shares of Athora. As a result, on January 1, 2018, we held 10% of the aggregate voting power of and less than 50% of the economic interest in Athora and, as such, it is thereafter held as a related party investment rather than a consolidated subsidiary. We did not recognize a material amount in the condensed consolidated statements of income upon deconsolidation in 2018.

Adopted Accounting Pronouncements

Revenue Recognition (ASU 2017-13, ASU 2016-20, ASU 2016-12, ASU 2016-11, ASU 2016-10, ASU 2016-08, ASU 2015-14 and ASU 2014-09)

These updates are based on the core principle that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. These updates replace all general and most industry-specific revenue recognition guidance, excluding insurance contracts, leases, financial instruments and guarantees, which have been scoped out of these updates. Since the guidance does not apply to revenue on contracts accounted for under the financial instruments or insurance contracts standards, only a portion of our revenues are impacted by this guidance. We adopted these updates on a modified retrospective basis effective January 1, 2018. The adoptions did not have a material effect on our consolidated financial statements.

Derivatives and Hedging – Targeted Improvements (ASU 2017-12)

The amendments in this update contain improvements to the financial reporting of hedging relationships that more closely reflect the economic results of an entity’s risk management activities in its financial statements. Additionally, the amendments in this update make certain targeted improvements to simplify the application of hedge accounting. We early adopted this update effective January 1, 2018, and the adoption did not have a material effect on our consolidated financial statements.

Gains and Losses from the Derecognition of Nonfinancial Assets (ASU 2017-05)

The amendments in this update clarify the scope of asset derecognition guidance and accounting for partial sales of nonfinancial assets. We adopted this update on a modified retrospective basis effective January 1, 2018. The adoption did not have a material effect on our consolidated financial statements.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Statement of Cash Flows – Restricted Cash (ASU 2016-18)

This update requires amounts generally described as restricted cash or restricted cash equivalents be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period amounts shown on the consolidated statements of cash flows. We adopted this update effective January 1, 2018, and have changed the presentation on the consolidated statements of cash flows as required by this update.

Income Taxes – Intra-Entity Transfers (ASU 2016-16)

This update requires the immediate recognition of current and deferred income tax effects of intra-entity transfers of assets, other than inventory. Prior to adoption, recognition of the income tax consequence was not recognized until the asset was sold to an outside party. We adopted this update effective January 1, 2018. Upon adoption, we recognized a cumulative-effect decrease to beginning retained earnings of $3 million .

Statement of Cash Flows (ASU 2016-15)

This update provides specific guidance to clarify how entities should classify certain cash receipts and cash payments on the statement of cash flows. The update also clarifies the application of the predominance principle when cash receipts and cash payments have aspects of more than one class of cash flows. We adopted this update effective January 1, 2018, and the adoption did not have a material effect on our consolidated financial statements.

Financial Instruments – Recognition and Measurement (ASU 2016-01)

This update changes the accounting for certain equity investments, the presentation of changes in the fair value of liabilities measured under the fair value option due to instrument-specific credit risk, and certain disclosures. For liabilities measured under the fair value option, changes in fair value attributable to instrument-specific credit risk will no longer affect net income, but will be recognized separately in other comprehensive income (OCI). Additionally, this update requires equity investments to be measured at fair value with subsequent changes recognized in net income, except for those accounted for under the equity method or requiring consolidation. Prior to the effective date of this update, changes in fair value related to available-for-sale (AFS) equity securities were recognized in OCI. We adopted this update effective January 1, 2018. Upon adoption, we recognized a cumulative-effect increase to beginning retained earnings of $42 million and a corresponding decrease to accumulated other comprehensive income (AOCI). Additionally, we combined the presentation of AFS and trading equity securities on the consolidated balance sheets for all periods presented.

Recently Issued Accounting Pronouncements

Stock Compensation – Nonemployee Share-Based Payments (ASU 2018-07)

The amendments in this update simplify the accounting for share-based payments to nonemployees by aligning with the accounting for share-based payments to employees, with certain exceptions. We will be required to adopt this update on a modified retrospective basis effective January 1, 2019. Early adoption is permitted. We do not expect the adoption of this update will have a material effect on our consolidated financial statements.

Leases (ASU 2018-11, ASU 2018-10, ASU 2018-01, ASU 2017-13 and ASU 2016-02)

These updates are intended to increase transparency and comparability for lease transactions. ASU 2016-02, among other things, requires a lessee to recognize an asset and a liability for all lease arrangements longer than 12 months. Lessor accounting is largely unchanged. ASU 2016-02 required the adoption of this standard on a modified retrospective basis. However, with the issuance of ASU 2018-11, we are allowed the option to recognize the cumulative effect of applying the new standard as an adjustment to the opening balance of retained earnings in the year of adoption, while continuing to present all prior periods under the previous lease guidance. The standard is effective January 1, 2019 and early adoption is permitted. We have reviewed our existing lease contracts and our implementation efforts are primarily focused on assessing the financial impact of these updates on our consolidated financial statements.

Intangibles – Simplifying the Test for Goodwill Impairment (ASU 2017-04)

The amendments in this update simplify the subsequent measurement of goodwill by eliminating the comparison of the implied fair value of a reporting unit’s goodwill with the carrying amount of that goodwill to determine the goodwill impairment loss. With the adoption of this guidance, a goodwill impairment will be the amount by which a reporting unit’s carrying value exceeds its fair value, not to exceed the carrying amount of the goodwill allocated to that reporting unit. Entities will continue to have the option to perform a qualitative assessment to determine if a quantitative impairment test is necessary. We will be required to adopt this update prospectively effective January 1, 2020. Early adoption is permitted. We do not expect the adoption of this update will have a material effect on our consolidated financial statements.

Financial Instruments – Credit Losses (ASU 2016-13)

This update is designed to reduce complexity by limiting the number of credit impairment models used for different assets. The model will result in accelerated credit loss recognition on assets held at amortized cost, which includes our commercial and residential mortgage investments. The identification of credit-deteriorated securities will include all assets that have experienced a more-than-insignificant deterioration in credit since origination. Additionally, any changes in the expected cash flows of credit-deteriorated securities will be recognized immediately in the income statement. AFS fixed maturity securities are not in scope of the new credit loss model, but will undergo targeted improvements to the current reporting model including the establishment of a valuation allowance for credit losses versus the current direct write down approach. We will be required to adopt this update effective January 1, 2020. Early adoption is permitted effective January 1, 2019. We are currently evaluating the impact of this guidance on our consolidated financial statements.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

2. Investments

Available-for-sale Securities — The following table represents the amortized cost, gross unrealized gains and losses, fair value and other-than-temporary impairments (OTTI) in AOCI of our AFS investments by asset type. Our AFS investment portfolio includes direct investments in affiliates of Apollo Global Management, LLC (AGM and, together with its subsidiaries, Apollo) where Apollo can exercise significant influence over the affiliates. These investments are presented as investments in related parties on the condensed consolidated balance sheets, and are separately disclosed below.



	June 30, 2018
(In millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		OTTI in AOCI
Available-for-sale securities
U.S. government and agencies	$	143	$	—	$	(1	)	$	142	$	—
U.S. state, municipal and political subdivisions	1,152		124		(5		)	1,271		—
Foreign governments	203		1		(5		)	199		—
Corporate	37,258		481		(885		)	36,854		1
CLO	5,355		21		(24		)	5,352		—
ABS	4,727		32		(43		)	4,716		1
CMBS	2,343		28		(47		)	2,324		1
RMBS	8,264		648		(8		)	8,904		10
Total AFS securities	59,445		1,335		(1,018		)	59,762		13
Available-for-sale securities – related party
CLO	473		2		(3		)	472		—
ABS	485		2		(3		)	484		—
Total AFS securities – related party	958		4		(6		)	956		—
Total AFS securities, including related party	$	60,403	$	1,339	$	(1,024	)	$	60,718	$	13



	December 31, 2017
(In millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		OTTI in AOCI
Fixed maturity securities
U.S. government and agencies	$	63	$	1	$	(2	)	$	62	$	—
U.S. state, municipal and political subdivisions	996		171		(2		)	1,165		—
Foreign governments	2,575		116		(8		)	2,683		—
Corporate	35,173		1,658		(171		)	36,660		—
CLO	5,039		53		(8		)	5,084		—
ABS	3,945		53		(27		)	3,971		1
CMBS	1,994		48		(21		)	2,021		1
RMBS	8,721		652		(7		)	9,366		11
Total fixed maturity securities	58,506		2,752		(246		)	61,012		13
Equity securities ¹	271		7		(1		)	277		—
Total AFS securities	58,777		2,759		(247		)	61,289		13
Available-for-sale securities – related party
CLO	353		7		—			360		—
ABS	46		—		—			46		—
Total AFS securities – related party	399		7		—			406		—
Total AFS securities, including related party	$	59,176	$	2,766	$	(247	)	$	61,695	$	13

¹ Included in equity securities on the condensed consolidated balance sheets.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The amortized cost and fair value of fixed maturity AFS securities, including related party, are shown by contractual maturity below:



	June 30, 2018
(In millions)	Amortized Cost		Fair Value
Due in one year or less	$	1,146	$	1,145
Due after one year through five years	8,521		8,517
Due after five years through ten years	11,461		11,261
Due after ten years	17,628		17,543
CLO, ABS, CMBS and RMBS	20,689		21,296
Total AFS fixed maturity securities	59,445		59,762
Fixed maturity securities – related party, CLO and ABS	958		956
Total AFS fixed maturity securities, including related party	$	60,403	$	60,718

Actual maturities can differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Unrealized Losses on AFS Securities — The following summarizes the fair value and gross unrealized losses for AFS securities, including related party, aggregated by class of security and length of time the fair value has remained below amortized cost:



	June 30, 2018
	Less than 12 months					12 months or more					Total
(In millions)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Available-for-sale securities
U.S. government and agencies	$	139	$	(1	)	$	1	$	—		$	140	$	(1	)
U.S. state, municipal and political subdivisions	125		(1		)	77		(4		)	202		(5		)
Foreign governments	103		(2		)	45		(3		)	148		(5		)
Corporate	17,178		(526		)	5,105		(359		)	22,283		(885		)
CLO	2,270		(21		)	267		(3		)	2,537		(24		)
ABS	1,689		(22		)	678		(21		)	2,367		(43		)
CMBS	880		(20		)	382		(27		)	1,262		(47		)
RMBS	380		(4		)	248		(4		)	628		(8		)
Total AFS securities	22,764		(597		)	6,803		(421		)	29,567		(1,018		)
Available-for-sale securities – related party
CLO	214		(3		)	—		—			214		(3		)
ABS	127		—			86		(3		)	213		(3		)
Total AFS securities – related party	341		(3		)	86		(3		)	427		(6		)
Total AFS securities, including related party	$	23,105	$	(600	)	$	6,889	$	(424	)	$	29,994	$	(1,024	)

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	December 31, 2017
	Less than 12 months					12 months or more					Total
(In millions)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturity securities
U.S. government and agencies	$	34	$	(1	)	$	9	$	(1	)	$	43	$	(2	)
U.S. state, municipal and political subdivisions	50		(1		)	39		(1		)	89		(2		)
Foreign governments	435		(6		)	76		(2		)	511		(8		)
Corporate	3,992		(49		)	2,457		(122		)	6,449		(171		)
CLO	414		(2		)	340		(6		)	754		(8		)
ABS	515		(5		)	549		(22		)	1,064		(27		)
CMBS	460		(8		)	179		(13		)	639		(21		)
RMBS	506		(3		)	210		(4		)	716		(7		)
Total fixed maturity securities	6,406		(75		)	3,859		(171		)	10,265		(246		)
Equity securities ¹	134		(1		)	—		—			134		(1		)
Total AFS securities	6,540		(76		)	3,859		(171		)	10,399		(247		)
Available-for-sale securities – related party
CLO	29		—			—		—			29		—
ABS	42		—			—		—			42		—
Total AFS securities – related party	71		—			—		—			71		—
Total AFS securities, including related party	$	6,611	$	(76	)	$	3,859	$	(171	)	$	10,470	$	(247	)

¹ Included in equity securities on the condensed consolidated balance sheets.

As of June 30, 2018 , we held 3,517 AFS securities that were in an unrealized loss position. Of this total, 808 were in an unrealized loss position 12 months or more. As of June 30, 2018 , we held 17 related party AFS securities that were in an unrealized loss position. Of this total, four were in an unrealized loss position 12 months or more. The unrealized losses on AFS securities can primarily be attributed to changes in market interest rates since acquisition. We did not recognize the unrealized losses in income as we intend to hold these securities and it is not more likely than not we will be required to sell a security before the recovery of its amortized cost.

Other-Than-Temporary Impairments — For the six months ended June 30, 2018 , we incurred $3 million of net OTTI, of which $2 million related to intent-to-sell impairments. These securities were impaired to fair value as of the impairment date. The remaining net OTTI of $1 million related to credit impairments where a portion was bifurcated in AOCI. Any credit loss impairments not bifurcated in AOCI are excluded from the rollforward below.

The following table represents a rollforward of the cumulative amounts recognized on the condensed consolidated statements of income for OTTI related to pre-tax credit loss impairments on AFS fixed maturity securities, for which a portion of the securities’ total OTTI was recognized in AOCI:



	Three months ended June 30,					Six months ended June 30,
(In millions)	2018		2017			2018			2017
Beginning balance	$	7	$	16		$	7		$	16
Initial impairments – credit loss OTTI recognized on securities not previously impaired	—		6			1			6
Reduction in impairments from securities sold, matured or repaid	—		(6		)	(1		)	(6		)
Ending balance	$	7	$	16		$	7		$	16

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Net Investment Income —Net investment income by asset class consists of the following:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Fixed maturity securities
AFS securities	$	719		$	635		$	1,387		$	1,255
Trading securities	54			53			98			103
Equity securities	2			2			4			5
Mortgage loans	104			90			195			175
Investment funds	58			65			123			120
Funds withheld at interest	86			34			132			70
Other	23			21			46			38
Investment revenue	1,046			900			1,985			1,766
Investment expenses	(88		)	(79		)	(172		)	(159		)
Net investment income	$	958		$	821		$	1,813		$	1,607

Investment Related Gains (Losses) —Investment related gains (losses) by asset class consists of the following:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
AFS securities
Gross realized gains on investment activity	$	51		$	35		$	72		$	63
Gross realized losses on investment activity	(37		)	(13		)	(43		)	(21		)
Net realized investment gains on AFS securities	14			22			29			42
Net realized investment gains (losses) on trading securities	(76		)	42			(165		)	28
Net realized investment gains on equity securities	3			2			4			20
Derivative gains (losses)	46			406			(138		)	1,060
Other gains (losses)	11			(12		)	32			(8		)
Investment related gains (losses)	$	(2	)	$	460		$	(238	)	$	1,142

Proceeds from sales of AFS securities were $2,365 million and $1,235 million for the three months ended June 30, 2018 and 2017 , respectively, and $4,002 million and $2,766 million for the six months ended June 30, 2018 and 2017 , respectively.

The following table summarizes the change in unrealized gains (losses) on trading and equity securities, including related party, we still held as of the respective period end:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Trading securities	$	30		$	48		$	(39	)	$	59
Trading securities – related party	(4		)	12			(6		)	—
Equity securities	4			(2		)	4			13

Purchased Credit Impaired (PCI) Investments —The following table summarizes our PCI investments:



	June 30, 2018			December 31, 2017			June 30, 2018			December 31, 2017
(In millions)	Fixed maturity securities						Mortgage loans
Contractually required payments receivable	$	8,695		$	9,690		$	1,198		$	1,140
Less: Cash flows expected to be collected ¹	(7,689		)	(8,188		)	(1,164		)	(1,090		)
Non-accretable difference	$	1,006		$	1,502		$	34		$	50

Cash flows expected to be collected ¹	$	7,689		$	8,188		$	1,164		$	1,090
Less: Amortized cost	(5,905		)	(6,168		)	(860		)	(817		)
Accretable difference	$	1,784		$	2,020		$	304		$	273

Fair value	$	6,426		$	6,703		$	909		$	844
Outstanding balance	7,250			8,026			992			946

¹ Represents the undiscounted principal and interest cash flows expected.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

During the period, we acquired PCI investments with the following amounts at the time of purchase:



	June 30, 2018
(In millions)	Fixed maturity securities		Mortgage loans
Contractually required payments receivable	$	405	$	89
Cash flows expected to be collected	381		87
Fair value	310		68

The following table summarizes the activity for the accretable yield on PCI investments:



	Three months ended June 30, 2018						Six months ended June 30, 2018
(In millions)	Fixed maturity securities			Mortgage loans			Fixed maturity securities			Mortgage loans
Beginning balance	$	1,912		$	291		$	2,020		$	273
Purchases of PCI investments, net of sales	28			16			44			14
Accretion	(105		)	(11		)	(205		)	(21		)
Net reclassification from (to) non-accretable difference	(51		)	8			(75		)	38
Ending balance	$	1,784		$	304		$	1,784		$	304

Mortgage Loans —Mortgage loans, net of allowances, consists of the following:



(In millions)	June 30, 2018		December 31, 2017
Commercial mortgage loans	$	6,197	$	5,223
Commercial mortgage loans under development	37		24
Total commercial mortgage loans	6,234		5,247
Residential mortgage loans	1,375		986
Mortgage loans, net of allowances	$	7,609	$	6,233

We primarily invest in commercial mortgage loans on income producing properties including hotels, industrial properties and retail and office buildings. We diversify the commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. We evaluate mortgage loans based on relevant current information to confirm if properties are performing at a consistent and acceptable level to secure the related debt.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The distribution of commercial mortgage loans, including those under development, net of valuation allowances, by property type and geographic region, is as follows:



	June 30, 2018				December 31, 2017
(In millions, except for percentages)	Net Carrying Value		Percentage of Total		Net Carrying Value		Percentage of Total
Property type
Office building	$	1,769	28.4	%	$	1,187	22.6	%
Retail	1,710		27.4	%	1,223		23.3	%
Hotels	895		14.4	%	928		17.7	%
Industrial	858		13.8	%	944		18.0	%
Apartment	545		8.7	%	525		10.0	%
Other commercial	457		7.3	%	440		8.4	%
Total commercial mortgage loans	$	6,234	100.0	%	$	5,247	100.0	%

U.S. Region
East North Central	$	921	14.8	%	$	643	12.3	%
East South Central	160		2.6	%	144		2.7	%
Middle Atlantic	1,025		16.4	%	909		17.3	%
Mountain	512		8.2	%	492		9.4	%
New England	144		2.3	%	162		3.1	%
Pacific	1,362		21.9	%	991		18.9	%
South Atlantic	1,362		21.8	%	873		16.6	%
West North Central	189		3.0	%	233		4.4	%
West South Central	559		9.0	%	655		12.5	%
Total U.S. Region	6,234		100.0	%	5,102		97.2	%
International Region	—		—	%	145		2.8	%
Total commercial mortgage loans	$	6,234	100.0	%	$	5,247	100.0	%

Our residential mortgage loan portfolio includes first lien residential mortgage loans collateralized by properties located in the U.S. As of June 30, 2018 , California and Florida represented 33.3% and 16.7% , respectively, of the portfolio, and the remaining 50.0% represented all other states, with each individual state comprising less than 5% of the portfolio. As of December 31, 2017 , California , Florida and New York represented 34.3% , 15.6% and 6.0% , respectively, of the portfolio, and the remaining 44.1% represented all other states, with each individual state comprising less than 5% of the portfolio.

Mortgage Loan Valuation Allowance — The assessment of mortgage loan impairments and valuation allowances is substantially the same for residential and commercial mortgage loans. The valuation allowance was $1 million as of June 30, 2018 and $2 million as of December 31, 2017 . We did not record any material activity in the valuation allowance during the six months ended June 30, 2018 or 2017 .

Residential mortgage loans – The primary credit quality indicator of residential mortgage loans is loan performance. Nonperforming residential mortgage loans are 90 days or more past due and/or are in non-accrual status. As of June 30, 2018 and December 31, 2017 , $35 million and $28 million , respectively, of our residential mortgage loans were non-performing.

Commercial mortgage loans – As of June 30, 2018 and December 31, 2017 , none of our commercial mortgage loans were 30 days or more past due.

Loan-to-value and debt service coverage ratios are measures we use to assess the risk and quality of commercial mortgage loans other than those under development. Loans under development are not evaluated using these ratios as the properties underlying these loans are generally not yet income-producing and the value of the underlying property significantly fluctuates based on the progress of construction. Therefore, the risk and quality of loans under development are evaluated based on the aging and geographical distribution of such loans as shown above.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The loan-to-value ratio is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A loan-to-value ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The following represents the loan-to-value ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:



(In millions)	June 30, 2018		December 31, 2017
Less than 50%	$	1,952	$	1,841
50% to 60%	1,607		1,390
61% to 70%	1,989		1,691
71% to 100%	649		301
Commercial mortgage loans	$	6,197	$	5,223

The debt service coverage ratio, based upon the most recent financial statements, is expressed as a percentage of a property’s net operating income to its debt service payments. A debt service ratio of less than 1.0 indicates a property’s operations do not generate enough income to cover debt payments. The following represents the debt service coverage ratio of the commercial mortgage loan portfolio, excluding those under development, net of valuation allowances:



(In millions)	June 30, 2018		December 31, 2017
Greater than 1.20x	$	5,776	$	4,742
1.00x – 1.20x	302		297
Less than 1.00x	119		184
Commercial mortgage loans	$	6,197	$	5,223

Investment Funds —Our investment fund portfolio consists of funds that employ various strategies and include investments in real estate and other real assets, credit , private equity, natural resources and hedge funds. Investment funds typically meet the definition of VIEs and are discussed further in Note 4 – Variable Interest Entities .

3. Derivative Instruments

We use a variety of derivative instruments to manage risks, primarily equity, interest rate, credit, foreign currency and market volatility. See Note 5 – Fair Value for information about the fair value hierarchy for derivatives.

The following table presents the notional amount and fair value of derivative instruments:



	June 30, 2018					December 31, 2017
	Notional Amount	Fair Value				Notional Amount	Fair Value
(In millions)	Notional Amount	Assets		Liabilities		Notional Amount	Assets		Liabilities
Derivatives designated as hedges
Foreign currency swaps	1,713	$	28	$	102	928	$	1	$	99
Interest rate swaps	—	—		—		302	—		—
Total derivatives designated as hedges		28		102			1		99
Derivatives not designated as hedges
Equity options	34,189	1,875		13		31,460	2,500		19
Futures	4	3		—		1,134	7		—
Total return swaps	61	1		—		114	5		—
Foreign currency swaps	42	3		4		41	21		3
Interest rate swaps	480	—		1		385	—		2
Credit default swaps	10	—		5		10	—		5
Foreign currency forwards	595	19		12		1,139	17		6
Embedded derivatives
Funds withheld	—	312		4		—	312		22
Interest sensitive contract liabilities	—	—		8,065		—	—		7,436
Total derivatives not designated as hedges		2,213		8,104			2,862		7,493
Total derivatives		$	2,241	$	8,206		$	2,863	$	7,592

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Derivatives Designated as Hedges

Foreign currency swaps – We use foreign currency swaps to convert foreign currency denominated cash flows of an investment to U.S. dollars to reduce cash flow fluctuations due to changes in currency exchange rates. Certain of these swaps are designated and accounted for as cash flow hedges, which will expire by December 2045 . During the three months ended June 30, 2018 and 2017 , we had foreign currency swap gains of $101 million and losses of $33 million , respectively, recorded in AOCI. During the six months ended June 30, 2018 and 2017 , we had foreign currency swap gains of $45 million and losses of $38 million , respectively, recorded in AOCI. There were no amounts reclassified to income during the six months ended June 30, 2018 and 2017 , and as of June 30, 2018 , no amounts are expected to be reclassified to income within the next 12 months.

Derivatives Not Designated as Hedges

Equity options – We use equity indexed options to economically hedge fixed indexed annuity products that guarantee the return of principal to the policyholder and credit interest based on a percentage of the gain in a specified market index, primarily the S&P 500. To hedge against adverse changes in equity indices, we enter into contracts to buy equity indexed options. The contracts are net settled in cash based on differentials in the indices at the time of exercise and the strike price.

Futures – Futures contracts are purchased to hedge the growth in interest credited to the customer as a direct result of increases in the related indices. We enter into exchange-traded futures with regulated futures commission clearing brokers who are members of a trading exchange. Under exchange-traded futures contracts, we agree to purchase a specified number of contracts with other parties and to post variation margin on a daily basis in an amount equal to the difference in the daily fair values of those contracts.

Interest rate swaps – We use interest rate swaps to reduce market risks from interest rate changes and to alter interest rate exposure arising from duration mismatches between assets and liabilities. With an interest rate swap, we agree with another party to exchange the difference between fixed-rate and floating-rate interest amounts tied to an agreed-upon notional principal amount at specified intervals. Certain of these swaps entered into during the fourth quarter of 2016 were designated as fair value hedges. These fair value hedges were dedesignated during the second quarter of 2018 and there was no material impact as a result.

Total return swaps – We purchase total rate of return swaps to gain exposure and benefit from a reference asset or index without ownership. Total rate of return swaps are contracts in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of the underlying asset or index, which includes both the income it generates and any capital gains.

Credit default swaps – Credit default swaps provide a measure of protection against the default of an issuer or allow us to gain credit exposure to an issuer or traded index. We use credit default swaps coupled with a bond to synthetically create the characteristics of a reference bond. These transactions have a lower cost and are generally more liquid relative to the cash market. We receive a periodic premium for these transactions as compensation for accepting credit risk.

Hedging credit risk involves buying protection for existing credit risk. The exposure resulting from the agreements, which is usually the notional amount, is equal to the maximum proceeds that must be paid by a counterparty for a defaulted security. If a credit event occurs on a reference entity, then a counterparty who sold protection is required to pay the buyer the trade notional amount less any recovery value of the security.

Foreign currency forwards – We use foreign currency forward contracts to hedge certain exposures to foreign currency risk. The price is agreed upon at the time of the contract and payment is made at a specified future date.

Embedded derivatives – We have embedded derivatives which are required to be separated from their host contracts and reported as derivatives. Host contracts include reinsurance agreements structured on a modified coinsurance (modco) or funds withheld basis and indexed annuity products.

The following is a summary of the gains (losses) related to derivatives not designated as hedges:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Equity options	$	89		$	259		$	(53	)	$	787
Futures	1			(4		)	(4		)	(14		)
Swaps	(9		)	9			(7		)	14
Foreign currency forwards	14			19			7			20
Embedded derivatives on funds withheld	(49		)	123			(81		)	253
Amounts recognized in investment related gains (losses)	46			406			(138		)	1,060
Embedded derivatives in indexed annuity products ¹	(54		)	(302		)	184			(733		)
Total gains (losses) on derivatives not designated as hedges	$	(8	)	$	104		$	46		$	327

¹ Included in interest sensitive contract benefits.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Credit Risk —We may be exposed to credit-related losses in the event of counterparty nonperformance on derivative financial instruments. Generally, the current credit exposure of our derivative contracts is the fair value at the reporting date less any collateral received from the counterparty.

We manage credit risk related to over-the-counter derivatives by entering into transactions with creditworthy counterparties. Where possible, we maintain collateral arrangements and use master netting agreements that provide for a single net payment from one counterparty to another at each due date and upon termination. We have also established counterparty exposure limits, where possible, in order to evaluate if there is sufficient collateral to support the net exposure.

Collateral arrangements typically require the posting of collateral in connection with its derivative instruments. Collateral agreements often contain posting thresholds, some of which may vary depending on the posting party’s financial strength ratings. Additionally, a decrease in our financial strength rating to a specified level can result in settlement of the derivative position.

The estimated fair value of our net derivative and other financial assets and liabilities after the application of master netting agreements and collateral were as follows:



					Gross amounts not offset on the condensed consolidated balance sheets
(In millions)		Gross amount recognized ¹			Financial instruments ²			Collateral received/pledged			Net amount			Off-balance sheet securities collateral ³			Net amount after securities collateral
June 30, 2018
Derivative assets		$	1,929		$	(59	)	$	(1,746	)	$	124		$	(111	)	$	13
Derivative liabilities		(137		)	59			56			(22		)	—			(22		)

December 31, 2017
Derivative assets		$	2,551		$	(59	)	$	(2,323	)	$	169		$	(221	)	$	(52	)
Derivative liabilities		(134		)	59			63			(12		)	—			(12		)

¹	T he gross amounts of recognized derivative assets and derivative liabilities are reported on the c ondensed c onsolidated balance sheets. As of June 30, 2018 and December 31, 2017, amounts not subject to master netting or similar agreements were immaterial.
²	Represents amounts offsetting derivative assets and derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets or gross derivative liabilities for presentation on the condensed consolidated balance sheets.
³	For non-cash collateral received, we do not recognize the collateral on our balance sheet unless the obligor (transferor) has defaulted under the terms of the secured contract and is no longer entitled to redeem the pledged asset. Amounts do not include any excess of collateral pledged or received.

4. Variable Interest Entities

Our investment funds typically meet the definition of a VIE, and in certain cases these investment funds are consolidated in our financial statements because we meet the criteria of the primary beneficiary.

Consolidated VIEs —We consolidate AAA Investments (Co-Invest VI), L.P. (CoInvest VI), AAA Investments (Co-Invest VII), L.P. (CoInvest VII), AAA Investments (Other), L.P. (CoInvest Other), NCL Athene, LLC (NCL LLC), Apollo Asia Sprint Co-Investment Fund, L.P. (Sprint) and ALR Aircraft Investment Ireland Limited (ALR), which are investment funds. We are the only limited partner, Class A member or holder of profit participating notes in these investment funds and receive all of the economic benefits and losses, other than management fees and carried interest, as applicable, paid to the general partner in each entity, or a related entity, which are related parties. We do not have any voting rights as limited partner and, as the limited partner, Class A member or holder of profit participating notes, do not solely satisfy the power criteria to direct the activities that significantly impact the economics of the VIE. However, the criteria for the primary beneficiary are satisfied by our related party group and, because substantially all of the activities are conducted on our behalf, we consolidate the investment funds.

No arrangement exists requiring us to provide additional funding in excess of our committed capital investment, liquidity, or the funding of losses or an increase to our loss exposure in excess of our investment in the VIEs. We elected the fair value option for certain fixed maturity and equity securities, and investment funds, which are reported in the consolidated variable interest entity sections on the condensed consolidated balance sheets.

CoInvest VI, CoInvest VII and CoInvest Other were formed to make investments, including co-investments alongside private equity funds sponsored by Apollo. We received our interests in CoInvest VI, CoInvest VII and CoInvest Other as part of a contribution agreement in 2012 with AAA Guarantor – Athene, L.P. (AAA Investor) and its subsidiary, Apollo Life Re Ltd., in order to provide a capital base to support future acquisitions.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

CoInvest VII holds a significant investment in MidCap FinCo Limited (MidCap), which is included in investment funds of consolidated VIEs on the condensed consolidated balance sheets. We have purchased pools of loans sourced by MidCap and contemporaneously sold subordinated participation interests in the loans to a subsidiary of MidCap. As of June 30, 2018 and December 31, 2017 , we had $14 million due to MidCap under the subordinated participation agreement which is reflected as a secured borrowing in other liabilities on the condensed consolidated balance sheets. In addition, we have advanced amounts under a subordinated debt facility to MidCap and, as of June 30, 2018 and December 31, 2017 , the principal balance was $245 million , and this is included in other related party investments on the condensed consolidated balance sheets.

NCL LLC was formed to hold the investment in Norwegian Cruise Line Holdings Ltd. (NCLH) shares, which were previously held by CoInvest VI. NCL LLC is subject to the same management fees, selling restrictions with respect to shares of NCLH, and carried interest calculation as CoInvest VI. NCL LLC classifies its NCLH shares as equity securities. We are the primary beneficiary and consolidate NCL LLC, as substantially all of its activities are conducted on our behalf.

We have a 100% limited partnership interest in Sprint, an entity formed to make a co-investment alongside private equity funds sponsored by Apollo. The underlying investment is a structured credit facility on a nearly complete skyscraper in Southeast Asia. We are the primary beneficiary and consolidate Sprint, as substantially all of its activities are conducted on our behalf.

During the first quarter of 2018, we invested in profit participating notes of ALR. ALR was formed to invest in a joint venture that provides airplane lease financing to a major commercial airline. We are the only investor in the profit participating notes and, as substantially all of the activities of ALR are conducted on our behalf, we are the primary beneficiary and consolidate ALR.

Trading securities – related party – Trading securities represents investments in fixed maturity securities with changes in fair value recognized in investment related gains (losses) within revenues of consolidated variable interest entities on the condensed consolidated statements of income. Trading securities held by CoInvest VI and CoInvest VII are related party investments because Apollo affiliates exercise significant influence over the operations of these investees.

Equity securities – related party – Changes in fair value of equity securities are recognized in investment related gains (losses) within revenues of consolidated variable interest entities on the condensed consolidated statements of income. Prior period unrealized changes in fair value of equity securities designated as AFS were recognized in OCI. Equity securities held by CoInvest VI, CoInvest VII, CoInvest Other and NCL LLC are related party investments because Apollo affiliates exercise significant influence over the operations of these investees.

The following table summarizes the change in unrealized gains (losses) on trading and equity securities of our consolidated variable interest entities still held as of the respective period end:



	Three months ended June 30,					Six months ended June 30,
(In millions)	2018			2017		2018			2017
Trading securities – related party	$	1		$	1	$	1		$	1
Equity securities – related party	(14		)	9		(39		)	5

Investment funds, including related party – Investment funds include non-fixed income, alternative investments in the form of limited partnerships or similar legal structures that meet the definition of VIEs; however, our consolidated VIEs are not considered the primary beneficiary of these investment funds. Changes in fair value for certain of these investment funds are included in investment related gains (losses) within revenues of consolidated variable interest entities on the condensed consolidated statements of income. Investment funds held by CoInvest VII, CoInvest Other and Sprint are related party investments as they are sponsored or managed by Apollo affiliates.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Fair Value —See Note 5 – Fair Value for a description of the levels of our fair value hierarchy and our process for determining the level we assign our assets and liabilities carried at fair value.

The following represents the hierarchy for assets and liabilities of our consolidated VIEs measured at fair value on a recurring basis:



	June 30, 2018
(In millions)	Total		NAV ¹		Level 1		Level 2		Level 3
Assets of consolidated variable interest entities
Investments
Fixed maturity securities, trading	$	48	$	—	$	—	$	—	$	48
Equity securities	163		—		137		—		26
Investment funds	542		541		—		—		1
Cash and cash equivalents	2		—		2		—		—
Total assets of consolidated VIEs measured at fair value	$	755	$	541	$	139	$	—	$	75

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.



	December 31, 2017
(In millions)	Total		NAV ¹		Level 1		Level 2		Level 3
Assets of consolidated variable interest entities
Investments
Fixed maturity securities, trading	$	48	$	—	$	—	$	—	$	48
Equity securities	240		—		212		—		28
Investment funds	549		528		—		—		21
Cash and cash equivalents	4		—		4		—		—
Total assets of consolidated VIEs measured at fair value	$	841	$	528	$	216	$	—	$	97

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.

Fair Value Valuation Methods – See Note 5 – Fair Value for the valuation methods used to determine the fair value of trading securities, equity securities, investment funds and cash and cash equivalents.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Level 3 Financial Instruments – The following is a reconciliation for all VIE Level 3 assets and liabilities measured at fair value on a recurring basis:



	Three months ended June 30, 2018
(In millions)	Beginning Balance		Total realized and unrealized gains (losses) included in income			Purchases		Sales			Transfers in (out)		Ending Balance		Total gains (losses) included in earnings ¹
Assets of consolidated variable interest entities
Fixed maturity securities
Trading securities	$	47	$	1		$	—	$	—		$	—	$	48	$	1
Equity securities	28		(2		)	—		—			—		26		(2		)
Investment funds	20		(3		)	—		(16		)	—		1		(3		)
Total Level 3 assets of consolidated VIEs	$	95	$	(4	)	$	—	$	(16	)	$	—	$	75	$	(4	)

¹ Related to instruments held at end of period.



	Three months ended June 30, 2017
(In millions)	Beginning Balance		Total realized and unrealized gains (losses) included in income			Purchases		Sales			Transfers in (out)		Ending Balance		Total gains (losses) included in earnings ¹
Assets of consolidated variable interest entities
Fixed maturity securities
Trading securities	$	50	$	1		$	—	$	—		$	—	$	51	$	—
Equity securities	32		(2		)	—		—			—		30		(2		)
Investment funds	38		—			1		(7		)	—		32		—
Total Level 3 assets of consolidated VIEs	$	120	$	(1	)	$	1	$	(7	)	$	—	$	113	$	(2	)

¹ Related to instruments held at end of period.



	Six months ended June 30, 2018
(In millions)	Beginning Balance		Total realized and unrealized gains (losses) included in income			Purchases		Sales			Transfers in (out)		Ending Balance		Total gains (losses) included in earnings ¹
Assets of consolidated variable interest entities
Fixed maturity securities
Trading securities	$	48	$	1		$	—	$	(1	)	$	—	$	48	$	1
Equity securities	28		(2		)	—		—			—		26		(2		)
Investment funds	21		(3		)	—		(17		)	—		1		(3		)
Total Level 3 assets of consolidated VIEs	$	97	$	(4	)	$	—	$	(18	)	$	—	$	75	$	(4	)

¹ Related to instruments held at end of period.



	Six months ended June 30, 2017
(In millions)	Beginning Balance		Total realized and unrealized gains (losses) included in income			Purchases		Sales			Transfers in (out)		Ending Balance		Total gains (losses) included in earnings ¹
Assets of consolidated variable interest entities
Fixed maturity securities
Trading securities	$	50	$	1		$	—	$	—		$	—	$	51	$	1
Equity securities	43		(13		)	—		—			—		30		(13		)
Investment funds	38		—			1		(7		)	—		32		—
Total Level 3 assets of consolidated VIEs	$	131	$	(12	)	$	1	$	(7	)	$	—	$	113	$	(12	)

¹ Related to instruments held at end of period.

There were no transfers between Level 1 or Level 2 during the three and six months ended June 30, 2018 and 2017 .

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Significant Unobservable Inputs – For certain Level 3 trading securities and investment funds, the valuations have significant unobservable inputs, which may include, but are not limited to, comparable multiples and weighted average cost of capital rates applied in the valuation models. These inputs in isolation can cause significant increases or decreases in fair value. For example, the comparable multiples may be multiplied by the underlying investment’s earnings before interest, tax, depreciation and amortization or by some other applicable financial metric to establish the total enterprise value of the underlying investments. A comparable multiple consistent with the implied trading multiple of public industry peers or relevant recent private transactions are used when available.

For other Level 3 trading securities, valuations are performed using a discounted cash flow model. For a discounted cash flow model, the significant input is the discount rate applied to present value the projected cash flows. An increase in the discount rate can significantly lower the fair value; a decrease in the discount rate can significantly increase the fair value. The discount rate may be determined by considering the weighted average cost of capital calculation of companies in similar industries with comparable debt to equity ratios.

Fair Value Option – The following represents the gains (losses) recorded for instruments within the consolidated VIEs for which we have elected the fair value option:



	Three months ended June 30,				Six months ended June 30,
(In millions)	2018		2017		2018		2017
Trading securities	$	1	$	1	$	1	$	1
Investment funds	3		—		9		5
Total gains (losses)	$	4	$	1	$	10	$	6

Fair Value of Financial Instruments Not Held at Fair Value – Assets of consolidated variable interest entities includes $51 million and $22 million of investment funds accounted for under the equity method and not carried at fair value as of June 30, 2018 and December 31, 2017 , respectively; however, the carrying amount approximates fair value.

Non-Consolidated Securities and Investment Funds

Fixed Maturity Securities – We invest in securitization entities as a debt holder or an investor in the residual interest of the securitization vehicle, which are included in fixed maturity securities on the condensed consolidated balance sheets. These entities are deemed VIEs due to insufficient equity within the structure and lack of control by the equity investors over the activities that significantly impact the economics of the entity. In general, we are a debt investor within these entities and, as such, hold a variable interest; however, due to the debt holders’ lack of ability to control the decisions within the trust that significantly impact the entity, and the fact the debt holders are protected from losses due to the subordination of the equity tranche, the debt holders are not deemed the primary beneficiary. Securitization vehicles in which we hold the residual tranche are not consolidated because we do not unilaterally have substantive rights to remove the general partner, or when assessing related party interests, we are not under common control, as defined by GAAP, with the related party, nor are substantially all of the activities conducted on our behalf; therefore, we are not deemed the primary beneficiary. Debt investments and investments in the residual tranche of securitization entities are considered debt instruments and are held at fair value on the balance sheet and classified as AFS or trading.

Investment funds – Investment funds include non-fixed income, alternative investments in the form of limited partnerships or similar legal structures.

Our risk of loss associated with our non-consolidated investments is limited and depends on the investment, including any unfunded commitments, as follows: (1) investment funds accounted for under the equity method are limited to our capital contributions, net of return of capital; (2) investment funds under the fair value option are limited to the fair value; (3) AFS securities and other investments are limited to amortized cost; and (4) trading securities are limited to carrying value.

The following summarizes the carrying value and maximum loss exposure of these non-consolidated investments:



	June 30, 2018				December 31, 2017
(In millions)	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment funds	$	633	$	1,242	$	699	$	1,036
Investment in related parties – investment funds	1,836		3,644		1,310		2,598
Assets of consolidated variable interest entities – investment funds	593		594		571		594
Investment in fixed maturity securities	21,879		21,272		21,022		20,278
Investment in related parties – fixed maturity securities	1,234		1,321		713		792
Total non-consolidated investments	$	26,175	$	28,073	$	24,315	$	25,298

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following summarizes our investment funds, including related party investment funds and investment funds owned by consolidated VIEs:



	June 30, 2018							December 31, 2017
(In millions, except for percentages and years)	Carrying value		Percent of total		Remaining life in years			Carrying value		Percent of total		Remaining life in years
Investment funds
Private equity	$	237	37.4	%	0	–	6	$	271	38.8	%	0	–	7
Real estate and other real assets	179		28.3	%	0	–	7	161		23.0	%	1	–	7
Natural resources	4		0.6	%	0	–	0	4		0.6	%	1	–	1
Hedge funds	53		8.4	%	0	–	2	61		8.7	%	0	–	3
Credit funds	160		25.3	%	0	–	4	202		28.9	%	0	–	5
Total investment funds	633		100.0	%				699		100.0	%
Investment funds – related parties
Private equity – A-A Mortgage ¹	432		23.5	%	4	–	4	403		30.8	%	5	–	5
Private equity – other	441		24.0	%	0	–	6	180		13.7	%	0	–	10
Real estate and other real assets	499		27.2	%	0	–	10	297		22.7	%	0	–	7
Natural resources	91		5.0	%	3	–	4	74		5.6	%	4	–	6
Hedge funds	98		5.3	%	0	–	11	93		7.1	%	9	–	9
Credit funds	275		15.0	%	0	–	3	263		20.1	%	2	–	4
Total investment funds – related parties	1,836		100.0	%				1,310		100.0	%
Investment funds owned by consolidated VIEs
Private equity – MidCap ²	541		91.2	%	N/A			528		92.5	%	N/A
Credit funds	1		0.2	%	0	–	2	21		3.7	%	0	–	3
Real estate and other real assets	51		8.6	%	0	–	4	22		3.8	%	2	–	3
Total investment funds owned by consolidated VIEs	593		100.0	%				571		100.0	%
Total investment funds including related parties and funds owned by consolidated VIEs	$	3,062						$	2,580

¹ A-A Mortgage Opportunities, L.P. (A-A Mortgage) is a platform to originate residential mortgage loans and mortgage servicing rights. Our total investment in A-A Mortgage, including amounts loaned to A-A Mortgage affiliates, was $604 million and $455 million as of June 30, 2018 and December 31, 2017, respectively.
² Our total investment in MidCap, including amounts advanced under credit facilities, was $779 million and $766 million as of June 30, 2018 and December 31, 2017, respectively.

Summarized Ownership of Investment Funds —The following table presents the carrying value by ownership percentage of equity method investment funds, including related party investment funds and investment funds owned by consolidated VIEs:



(In millions)	June 30, 2018		December 31, 2017
Ownership Percentage
100%	$	15	$	35
50% – 99%	837		520
3% – 49%	1,399		1,301
Equity method investment funds	$	2,251	$	1,856

The following table presents the carrying value by ownership percentage of investment funds where we elected the fair value option, including related party investment funds and investment funds owned by consolidated VIEs:



(In millions)	June 30, 2018		December 31, 2017
Ownership Percentage
50% – 99%	$	—	$	—
3% – 49%	678		590
Less than 3%	133		134
Fair value option investment funds	$	811	$	724

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

5. Fair Value

Fair value is the price we would receive to sell an asset or pay to transfer a liability (exit price) in an orderly transaction between market participants. We determine fair value based on the following fair value hierarchy:

Level 1 – Unadjusted quoted prices for identical assets or liabilities in an active market.

Level 2 – Quoted prices for inactive markets or valuation techniques that require observable direct or indirect inputs for substantially the full term of the asset or liability. Level 2 inputs include the following:


•	Quoted prices for similar assets or liabilities in active markets,


•	Observable inputs other than quoted market prices, and


•	Observable inputs derived principally from market data through correlation or other means.

Level 3 – Prices or valuation techniques with unobservable inputs significant to the overall fair value estimate. These valuations use critical assumptions not readily available to market participants. Level 3 valuations are based on market standard valuation methodologies, including discounted cash flows, matrix pricing or other similar techniques.

The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure fair value fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the instrument’s fair value measurement.

We use a number of valuation sources to determine fair values. Valuation sources can include quoted market prices; third-party commercial pricing services; third-party brokers; industry-standard, vendor modeling software that uses market observable inputs; and other internal modeling techniques based on projected cash flows. We periodically review the assumptions and inputs of third-party commercial pricing services through internal valuation price variance reviews, comparisons to internal pricing models, back testing to recent trades, or monitoring trading volumes.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following represents the hierarchy for our assets and liabilities measured at fair value on a recurring basis:



	June 30, 2018
(In millions)	Total		NAV ¹		Level 1		Level 2		Level 3
Assets
Fixed maturity securities
AFS securities
U.S. government and agencies	$	142	$	—	$	140	$	2	$	—
U.S. state, municipal and political subdivisions	1,271		—		—		1,271		—
Foreign governments	199		—		—		199		—
Corporate	36,854		—		—		35,892		962
CLO	5,352		—		—		5,071		281
ABS	4,716		—		—		3,265		1,451
CMBS	2,324		—		—		2,127		197
RMBS	8,904		—		—		8,897		7
Total AFS securities	59,762		—		140		56,724		2,898
Trading securities
U.S. government and agencies	5		—		3		2		—
U.S. state, municipal and political subdivisions	127		—		—		110		17
Corporate	1,338		—		—		1,334		4
CLO	26		—		—		—		26
ABS	89		—		—		—		89
CMBS	49		—		—		49		—
RMBS	419		—		—		115		304
Total trading securities	2,053		—		3		1,610		440
Equity securities	216		—		20		194		2
Mortgage loans	38		—		—		—		38
Investment funds	126		95		—		—		31
Funds withheld at interest – embedded derivative	150		—		—		—		150
Derivative assets	1,929		—		3		1,926		—
Short-term investments	289		—		58		231		—
Other investments	50		—		—		50		—
Cash and cash equivalents	3,608		—		3,608		—		—
Restricted cash	178		—		178		—		—
Investments in related parties
Fixed maturity securities
AFS securities
CLO	472		—		—		433		39
ABS	484		—		—		438		46
Total AFS securities – related party	956		—		—		871		85
Trading securities
CLO	114		—		—		—		114
ABS	164		—		—		—		164
Total trading securities – related party	278		—		—		—		278
Investment funds	198		93		—		—		105
Funds withheld at interest – embedded derivative	162		—		—		—		162
Short-term investments	172		—		—		162		10
Reinsurance recoverable	1,717		—		—		—		1,717
Total assets measured at fair value	$	71,882	$	188	$	4,010	$	61,768	$	5,916
									(Continued)

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	June 30, 2018
(In millions)	Total		NAV ¹		Level 1		Level 2		Level 3
Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	8,065	$	—	$	—	$	—	$	8,065
Universal life benefits	943		—		—		—		943
Future policy benefits
AmerUs Closed Block	1,490		—		—		—		1,490
ILICO Closed Block and life benefits	759		—		—		—		759
Derivative liabilities	137		—		—		132		5
Funds withheld liability – embedded derivative	4		—		—		4		—
Total liabilities measured at fair value	$	11,398	$	—	$	—	$	136	$	11,262

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.
									(Concluded)



	December 31, 2017
(In millions)	Total		NAV ¹		Level 1		Level 2		Level 3
Assets
Fixed maturity securities
AFS securities
U.S. government and agencies	$	62	$	—	$	26	$	36	$	—
U.S. state, municipal and political subdivisions	1,165		—		—		1,165		—
Foreign governments	2,683		—		—		2,683		—
Corporate	36,660		—		—		36,082		578
CLO	5,084		—		—		5,020		64
ABS	3,971		—		—		2,510		1,461
CMBS	2,021		—		—		1,884		137
RMBS	9,366		—		—		9,065		301
Total AFS securities	61,012		—		26		58,445		2,541
Trading securities
U.S. government and agencies	3		—		3		—		—
U.S. state, municipal and political subdivisions	138		—		—		121		17
Corporate	1,475		—		—		1,475		—
CLO	27		—		—		10		17
ABS	94		—		—		17		77
CMBS	51		—		—		51		—
RMBS	408		—		—		66		342
Total trading securities	2,196		—		3		1,740		453
									(Continued)

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	December 31, 2017
(In millions)	Total		NAV ¹		Level 1		Level 2		Level 3
Equity securities	790		—		18		764		8
Mortgage loans	41		—		—		—		41
Investment funds	145		104		—		—		41
Funds withheld at interest – embedded derivative	312		—		—		—		312
Derivative assets	2,551		—		7		2,544		—
Short-term investments	201		—		40		161		—
Cash and cash equivalents	4,888		—		4,888		—		—
Restricted cash	105		—		105		—		—
Investments in related parties
Fixed maturity securities
AFS securities
CLO	360		—		—		360		—
ABS	46		—		—		46		—
Total AFS securities – related party	406		—		—		406		—
Trading securities
CLO	132		—		—		27		105
ABS	175		—		—		175		—
Total trading securities – related party	307		—		—		202		105
Investment funds	30		30		—		—		—
Short-term investments	52		—		—		52		—
Reinsurance recoverable	1,824		—		—		—		1,824
Total assets measured at fair value	$	74,860	$	134	$	5,087	$	64,314	$	5,325
Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	7,436	$	—	$	—	$	—	$	7,436
Universal life benefits	1,005		—		—		—		1,005
Unit-linked contracts	488		—		—		488		—
Future policy benefits
AmerUs Closed Block	1,625		—		—		—		1,625
ILICO Closed Block and life benefits	803		—		—		—		803
Derivative liabilities	134		—		—		129		5
Funds withheld liability – embedded derivative	22		—		—		22		—
Total liabilities measured at fair value	$	11,513	$	—	$	—	$	639	$	10,874

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.
									(Concluded)

See Note 4 – Variable Interest Entities for fair value disclosures associated with consolidated VIEs.

Fair Value Valuation Methods —We used the following valuation methods and assumptions to estimate fair value:

Fixed maturity – AFS and trading securities – We obtain the fair value for most marketable securities without an active market from several commercial pricing services. These are classified as Level 2 assets. The pricing services incorporate a variety of market observable information in their valuation techniques, including benchmark yields, trading activity, credit quality, issuer spreads, bids, offers and other reference data. This category typically includes U.S. and non-U.S. corporate bonds, U.S. agency and government guaranteed securities, CLO, ABS, CMBS and RMBS.

We value privately placed fixed maturity securities based on the credit quality and duration of comparable marketable securities, which may be securities of another issuer with similar characteristics. In some instances, we use a matrix-based pricing model. These models consider the current level of risk-free interest rates, corporate spreads, credit quality of the issuer and cash flow characteristics of the security. We also consider additional factors such as net worth of the borrower, value of collateral, capital structure of the borrower, presence of guarantees and our evaluation of the borrower’s ability to compete in its relevant market. Privately placed fixed maturity securities are classified as Level 2 or 3.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Equity securities – Fair values of publicly traded equity securities are based on quoted market prices and classified as Level 1. Other equity securities, typically private equities or equity securities not traded on an exchange, we value based on other sources, such as commercial pricing services or brokers and are classified as Level 2 or 3.

Mortgage loans – Mortgage loans for which we have elected the fair value option or those held for sale are carried at fair value. We estimate fair value on a monthly basis using discounted cash flow analysis and rates being offered for similar loans to borrowers with similar credit ratings. Loans with similar characteristics are aggregated for purposes of the calculations. The discounted cash flow model uses unobservable inputs, including estimates of discount rates and loan prepayments. Mortgage loans are classified as Level 3.

Funds withheld (embedded derivative) – We estimate the fair value of the embedded derivative based on the change in the fair value of the assets supporting the funds withheld payable under the combined coinsurance, modco and coinsurance funds withheld reinsurance agreements. As a result, the fair value of the embedded derivative is classified as Level 2 or 3 based on the valuation methods used for the assets held in trust supporting the reinsurance agreements.

Derivatives – Derivative contracts can be exchange traded or over-the-counter. Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy depending on trading activity. Over-the-counter derivatives are valued using valuation models or an income approach using third-party broker valuations. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates and correlation of the inputs. We consider and incorporate counterparty credit risk in the valuation process through counterparty credit rating requirements and monitoring of overall exposure. We also evaluate and include our own nonperformance risk in valuing derivatives. The majority of our derivatives trade in liquid markets; therefore, we can verify model inputs and model selection does not involve significant management judgment. These are typically classified within Level 2 of the fair value hierarchy.

Cash and cash equivalents – including restricted cash – The carrying amount for cash equals fair value. We estimate the fair value for cash equivalents based on quoted market prices. These assets are classified as Level 1.

Interest sensitive contract liabilities (embedded derivative) – Embedded derivatives related to interest sensitive contract liabilities with fixed indexed annuity products are classified as Level 3. The valuations include significant unobservable inputs associated with economic assumptions and actuarial assumptions for policyholder behavior.

Unit-linked contracts – Unit-linked contracts are valued based on the fair value of the investments supporting the contract. The underlying investments are trading securities comprised primarily of mutual funds. The valuations of these are based on quoted market prices for similar assets and are classified as Level 2, resulting in a corresponding classification for the unit-linked contracts.

AmerUs Closed Block – We elected the fair value option for the future policy benefits liability in the AmerUs Closed Block. Our valuation technique is to set the fair value of policyholder liabilities equal to the fair value of assets. There is an additional component which captures the fair value of the open block’s obligations to the closed block business. This component is the present value of the projected release of required capital and future earnings before income taxes on required capital supporting the AmerUs Closed Block, discounted at a rate which represents a market participant’s required rate of return, less the initial required capital. Unobservable inputs include estimates for these items. The AmerUs Closed Block policyholder liabilities and any corresponding reinsurance recoverable are classified as Level 3.

ILICO Closed Block – We elected the fair value option for the ILICO Closed Block. Our valuation technique is to set the fair value of policyholder liabilities equal to the fair value of assets. There is an additional component which captures the fair value of the open block’s obligations to the closed block business. This component uses the present value of future cash flows which include commissions, administrative expenses, reinsurance premiums and benefits, and an explicit cost of capital. The discount rate includes a margin to reflect the business and non-performance risk. Unobservable inputs include estimates for these items. The ILICO Closed Block policyholder liabilities and corresponding reinsurance recoverable are classified as Level 3.

Universal life liabilities and other life benefits – We elected the fair value option for certain blocks of universal and other life business ceded to Global Atlantic Financial Group Limited (together with its subsidiaries, Global Atlantic). We use a present value of liability cash flows. Unobservable inputs include estimates of mortality, persistency, expenses, premium payments and a risk margin used in the discount rates that reflects the riskiness of the business. These universal life policyholder liabilities and corresponding reinsurance recoverable are classified as Level 3.

Fair Value Option — The following represents the gains (losses) recorded for instruments for which we have elected the fair value option:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Trading securities	$	(76	)	$	41		$	(165	)	$	27
Investment funds, including related party investment funds	10			7			6			14
Future policy benefits	51			(19		)	135			(15		)
Total gains (losses)	$	(15	)	$	29		$	(24	)	$	26

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Gains and losses on trading and equity securities are recorded in investment related gains (losses) on the condensed consolidated statements of income. Prior period unrealized gains and losses on equity securities designated as AFS were recorded in OCI. For fair valu e option mortgage loans, we record interest income in net investment income and subsequent changes in fair value in investment related gains (losses) on the condensed consolidated statements of income. Gains and losses related to investment funds, including related party investment funds, are recorded in net investment income on the condensed consolidated statements of income. We record the change in fair value of future policy benefits to future policy and other policy benefits on the condensed consolidated statements of income.

The following summarizes information for fair value option mortgage loans:



(In millions)	June 30, 2018		December 31, 2017
Unpaid principal balance	$	37	$	40
Mark to fair value	1		1
Fair value	$	38	$	41

There were no fair value option mortgage loans 90 days or more past due as of June 30, 2018 and December 31, 2017 .

Transfers Between Levels —Transfers into Level 3 generally represent securities that were valued using pricing sources which, due to changing market conditions, were less observable than in prior periods as indicated by the increased volatility, which was reflected in vendor prices obtained for individual securities. Additionally, changes in pricing sources also led to securities transferring into Level 3.

Transfers out of Level 3 generally represent securities that were valued using pricing sources which, due to changing market conditions, were more observable than in prior periods as indicated by decreased volatility, which was reflected in vendor prices obtained for individual securities. Additionally, changes in pricing sources also led to securities transferring into Level 2.

Transfers into or out of any level are assumed to occur at the end of the period. For the three and six months ended June 30, 2018 and 2017 , there were no transfers between Level 1 and Level 2.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Level 3 Financial Instruments — The following is a reconciliation for all Level 3 assets and liabilities measured at fair value on a recurring basis:



	Three months ended June 30, 2018
				Total realized and unrealized gains (losses)									Transfers
(In millions)	Beginning Balance			Included in income			Included in OCI			Net purchases, issuances, sales and settlements			In		(Out)			Ending Balance			Total gains (losses) included in earnings ¹
Assets
Fixed maturity securities
AFS securities
Corporate	$	681		$	(8	)	$	(5	)	$	290		$	28	$	(24	)	$	962		$	—
CLO	167			—			—			211			32		(129		)	281			—
ABS	1,294			3			(9		)	273			—		(110		)	1,451			—
CMBS	63			—			1			152			—		(19		)	197			—
RMBS	38			—			—			—			—		(31		)	7			—
Trading securities
U.S. state, municipal and political subdivisions	17			—			—			—			—		—			17			—
Corporate	—			—			—			4			—		—			4			—
CLO	1			—			—			—			26		(1		)	26			—
ABS	—			—			—			—			89		—			89			—
RMBS	321			(17		)	—			—			—		—			304			3
Equity securities	—			1			—			1			—		—			2			1
Mortgage loans	41			—			—			(3		)	—		—			38			—
Investment funds	25			6			—			—			—		—			31			6
Funds withheld at interest – embedded derivative	207			(57		)	—			—			—		—			150			—
Investments in related parties
Fixed maturity securities
AFS securities
CLO	62			—			—			38			—		(61		)	39			—
ABS	—			—			—			46			—		—			46			—
Trading securities
CLO	91			(1		)	—			—			24		—			114			1
ABS	171			(7		)	—			—			—		—			164			(7		)
Equity securities	—			—			—			—			—		—			—			—
Investment funds	111			(6		)	—			—			—		—			105			(6		)
Funds withheld at interest – embedded derivative	—			162			—			—			—		—			162			—
Short-term investments	—			—			—			10			—		—			10			—
Reinsurance recoverable	1,713			4			—			—			—		—			1,717			—
Total Level 3 assets	$	5,003		$	80		$	(13	)	$	1,022		$	199	$	(375	)	$	5,916		$	(2	)

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	(7,254	)	$	(54	)	$	—		$	(757	)	$	—	$	—		$	(8,065	)	$	—
Universal life benefits	(934		)	(9		)	—			—			—		—			(943		)	—
Future policy benefits
AmerUs Closed Block	(1,541		)	51			—			—			—		—			(1,490		)	—
ILICO Closed Block and life benefits	(764		)	5			—			—			—		—			(759		)	—
Derivative liabilities	(5		)	—			—			—			—		—			(5		)	—
Total Level 3 liabilities	$	(10,498	)	$	(7	)	$	—		$	(757	)	$	—	$	—		$	(11,262	)	$	—

¹ Related to instruments held at end of period.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	Three months ended June 30, 2017
				Total realized and unrealized gains (losses)								Transfers
(In millions)	Beginning Balance			Included in income			Included in OCI		Net purchases, issuances, sales and settlements			In		(Out)			Ending Balance			Total gains (losses) included in earnings ¹
Assets
Fixed maturity securities
AFS Securities
Foreign governments	$	13		$	1		$	—	$	—		$	—	$	—		$	14		$	—
Corporate	490			3			4		28			—		(73		)	452			—
CLO	100			—			4		17			11		(51		)	81			—
ABS	1,222			5			3		11			—		(148		)	1,093			—
CMBS	147			1			—		13			48		(87		)	122			—
RMBS	60			1			2		6			243		—			312			—
Trading Securities
U.S. state, municipal and political subdivisions	17			—			—		—			—		—			17			—
CLO	27			—			—		—			—		(5		)	22			1
RMBS	82			(4		)	—		22			—		—			100			—
Equity securities	5			—			—		1			—		—			6			—
Mortgage loans	44			—			—		(1		)	—		—			43			—
Funds withheld at interest – embedded derivative	212			67			—		—			—		—			279			—
Investments in related parties
Fixed maturity securities
Trading securities, CLO	131			5			—		(12		)	31		(32		)	123			5
Short-term investments	20			—			—		8			—		—			28			—
Reinsurance recoverable	1,738			44			—		—			—		—			1,782			—
Total Level 3 assets	$	4,308		$	123		$	13	$	93		$	333	$	(396	)	$	4,474		$	6

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	(5,793	)	$	(302	)	$	—	$	(112	)	$	—	$	—		$	(6,207	)	$	—
Universal life benefits	(910		)	(44		)	—		—			—		—			(954		)	—
Future policy benefits
AmerUs Closed Block	(1,602		)	(19		)	—		—			—		—			(1,621		)	—
ILICO Closed Block and life benefits	(813		)	1			—		—			—		—			(812		)	—
Derivative liabilities	(7		)	1			—		—			—		—			(6		)	—
Total Level 3 liabilities	$	(9,125	)	$	(363	)	$	—	$	(112	)	$	—	$	—		$	(9,600	)	$	—

¹ Related to instruments held at end of period.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	Six months ended June 30, 2018
				Total realized and unrealized gains (losses)									Transfers
(In millions)	Beginning Balance			Included in income			Included in OCI			Net purchases, issuances, sales and settlements			In		(Out)			Ending Balance			Total gains (losses) included in earnings ¹
Assets
Fixed maturity securities
AFS securities
Corporate	$	578		$	(3	)	$	(9	)	$	340		$	64	$	(8	)	$	962		$	—
CLO	64			—			2			226			17		(28		)	281			—
ABS	1,461			5			(17		)	157			—		(155		)	1,451			—
CMBS	137			1			(3		)	152			—		(90		)	197			—
RMBS	301			3			(8		)	(19		)	7		(277		)	7			—
Trading securities
U.S. state, municipal and political subdivisions	17			—			—			—			—		—			17			—
Corporate	—			—			—			4			—		—			4			—
CLO	17			(1		)	—			—			10		—			26			—
ABS	77			(4		)	—			—			16		—			89			(3		)
RMBS	342			(38		)	—			—			—		—			304			2
Equity securities	8			1			—			(7)			—		—			2			—
Mortgage loans	41			—			—			(3		)	—		—			38			—
Investment funds	41			(3		)	—			(7		)	—		—			31			(3		)
Funds withheld at interest – embedded derivative	312			(162		)	—			—			—		—			150			—
Investments in related parties
Fixed maturity securities
AFS securities
CLO	—			—			—			39			—		—			39			—
ABS	—			—			—			46			—		—			46			—
Trading securities
CLO	105			(2		)	—			(18		)	29		—			114			1
ABS	—			—			—			—			164		—			164			—
Investment funds	—			(3		)	—			108			—		—			105			(3		)
Funds withheld at interest – embedded derivative	—			162			—			—			—		—			162			—
Short-term investments	—			—			—			10			—		—			10			—
Reinsurance recoverable	1,824			(107		)	—			—			—		—			1,717			—
Total Level 3 assets	$	5,325		$	(151	)	$	(35	)	$	1,028		$	307	$	(558	)	$	5,916		$	(6	)

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	(7,436	)	$	184		$	—		$	(813	)	$	—	$	—		$	(8,065	)	$	—
Universal life benefits	(1,005		)	62			—			—			—		—			(943		)	—
Future policy benefits
AmerUs Closed Block	(1,625		)	135			—			—			—		—			(1,490		)	—
ILICO Closed Block and life benefits	(803		)	44			—			—			—		—			(759		)	—
Derivative liabilities	(5		)	—			—			—			—		—			(5		)	—
Total Level 3 liabilities	$	(10,874	)	$	425		$	—		$	(813	)	$	—	$	—		$	(11,262	)	$	—

¹ Related to instruments held at end of period.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	Six months ended June 30, 2017
				Total realized and unrealized gains (losses)									Transfers
(In millions)	Beginning balance			Included in income			Included in OCI			Net purchases, issuances, sales and settlements			In		Out			Ending balance			Total gains (losses) included in earnings ¹
Assets
Fixed maturity securities
AFS Securities
U.S. state, municipal and political subdivisions	$	5		$	16		$	(1	)	$	(20	)	$	—	$	—		$	—		$	—
Foreign governments	14			1			—			(1		)	—		—			14			—
Corporate	370			4			10			105			—		(37		)	452			—
CLO	158			—			9			7			11		(104		)	81			—
ABS	1,160			9			17			42			—		(135		)	1,093			—
CMBS	152			1			(3		)	13			17		(58		)	122			—
RMBS	17			1			—			6			296		(8		)	312			—
Trading securities
U.S. state, municipal and political subdivisions	17			—			—			—			—		—			17			—
CLO	43			(1		)	—			(15		)	—		(5		)	22			2
RMBS	96			(9		)	—			24			—		(11		)	100			(1		)
Equity Securities	5			—			—			1			—		—			6			—
Mortgage loans	44			—			—			(1		)	—		—			43			—
Funds withheld at interest – embedded derivative	140			139			—			—			—		—			279			—
Investments in related parties
Fixed maturity securities
AFS Securities
ABS	56			—			1			(4		)	—		(53		)	—			—
Trading securities
CLO	195			(3		)	—			(26		)	—		(43		)	123			(1		)
Short-term investments	—			—			—			28			—		—			28			—
Reinsurance recoverable	1,692			90			—			—			—		—			1,782			—
Total Level 3 assets	$	4,164		$	248		$	33		$	159		$	324	$	(454	)	$	4,474		$	—

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	(5,283	)	$	(733	)	$	—		$	(191	)	$	—	$	—		$	(6,207	)	$	—
Universal life benefits	(883		)	(71		)	—			—			—		—			(954		)	—
Future policy benefits
AmerUs Closed Block	(1,606		)	(15		)	—			—			—		—			(1,621		)	—
ILICO Closed Block and life benefits	(794		)	(18		)	—			—			—		—			(812		)	—
Derivative liabilities	(7		)	1			—			—			—		—			(6		)	1
Total Level 3 liabilities	$	(8,573	)	$	(836	)	$	—		$	(191	)	$	—	$	—		$	(9,600	)	$	1

¹ Related to instruments held at end of period.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following represents the gross components of purchases, issuances, sales and settlements, net, shown above:



	Three months ended June 30, 2018
(In millions)	Purchases		Issuances			Sales			Settlements			Net purchases, issuances, sales and settlements
Assets
Fixed maturity securities
AFS securities
Corporate	$	300	$	—		$	(2	)	$	(8	)	$	290
CLO	211		—			—			—			211
ABS	347		—			—			(74		)	273
CMBS	152		—			—			—			152
Trading securities
Corporate	4		—			—			—			4
Equity securities	1		—			—			—			1
Mortgage loans	—		—			—			(3		)	(3		)
Investments in related parties
Fixed maturity securities
AFS securities
CLO	38		—			—			—			38
ABS	46		—			—			—			46
Trading securities, CLO	30		—			(30		)	—			—
Short-term investments	10		—			—			—			10
Total Level 3 assets	$	1,139	$	—		$	(32	)	$	(85	)	$	1,022

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	—	$	(858	)	$	—		$	101		$	(757	)
Total Level 3 liabilities	$	—	$	(858	)	$	—		$	101		$	(757	)

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	Three months ended June 30, 2017
(In millions)	Purchases		Issuances			Sales			Settlements			Net purchases, issuances, sales and settlements
Assets
Fixed maturity securities
AFS securities
Corporate	$	30	$	—		$	(1	)	$	(1	)	$	28
CLO	24		—			(5		)	(2		)	17
ABS	99		—			—			(88		)	11
CMBS	13		—			—			—			13
RMBS	7		—			—			(1		)	6
Trading securities
RMBS	22		—			—			—			22
Equity securities	1		—			—			—			1
Mortgage loans	—		—			—			(1		)	(1		)
Investments in related parties
Fixed maturity securities
Trading securities, CLO	—		—			(12		)	—			(12		)
Short-term investments	8		—			—			—			8
Total Level 3 assets	$	204	$	—		$	(18	)	$	(93	)	$	93

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	—	$	(160	)	$	—		$	48		$	(112	)
Total Level 3 liabilities	$	—	$	(160	)	$	—		$	48		$	(112	)

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	Six months ended June 30, 2018
(In millions)	Purchases		Issuances			Sales			Settlements			Net purchases, issuances, sales and settlements
Assets
Fixed maturity securities
AFS securities
Corporate	$	358	$	—		$	(5	)	$	(13	)	$	340
CLO	231		—			(5		)	—			226
ABS	356		—			(21		)	(178		)	157
CMBS	153		—			—			(1		)	152
RMBS	—		—			—			(19		)	(19		)
Trading securities
Corporate	4		—			—			—			4
CLO	7		—			(7		)	—			—
Equity securities	1		—			(8)			—			(7		)
Mortgage loans	—		—			—			(3		)	(3		)
Investment funds	—		—			—			(7		)	(7		)
Investments in related parties
Fixed maturity securities
AFS securities
CLO	39		—			—			—			39
ABS	46		—			—			—			46
Trading securities, CLO	30		—			(48		)	—			(18		)
Investment funds	108		—			—			—			108
Short-term investments	10		—			—			—			10
Total Level 3 assets	$	1,343	$	—		$	(94	)	$	(221	)	$	1,028

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	—	$	(984	)	$	—		$	171		$	(813	)
Total Level 3 liabilities	$	—	$	(984	)	$	—		$	171		$	(813	)

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	Six months ended June 30, 2017
(In millions)	Purchases		Issuances			Sales			Settlements			Net purchases, issuances, sales and settlements
Assets
Fixed maturity securities
AFS securities
U.S. state, municipal and political subdivisions	$	—	$	—		$	—		$	(20	)	$	(20	)
Foreign governments	—		—			—			(1		)	(1		)
Corporate	110		—			(2		)	(3		)	105
CLO	24		—			(2		)	(15		)	7
ABS	182		—			—			(140		)	42
CMBS	13		—			—			—			13
RMBS	7		—			—			(1		)	6
Trading securities
CLO	—		—			(15		)	—			(15		)
RMBS	24		—			—			—			24
Equity securities	1		—			—			—			1
Mortgage loans	—		—			—			(1		)	(1		)
Investments in related parties
Fixed maturity securities
AFS securities, ABS	5		—			—			(9		)	(4		)
Trading securities, CLO	—		—			(26		)	—			(26		)
Short-term investments	28		—			—			—			28
Total Level 3 assets	$	394	$	—		$	(45	)	$	(190	)	$	159

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	—	$	(270	)	$	—		$	79		$	(191	)
Total Level 3 liabilities	$	—	$	(270	)	$	—		$	79		$	(191	)

Significant Unobservable Inputs — Significant unobservable inputs occur when we could not obtain or corroborate the quantitative detail of the inputs. This applies to fixed maturity securities, equity securities, mortgage loans and certain derivatives, as well as embedded derivatives in liabilities. Additional significant unobservable inputs are described below.

Fixed maturity securities – For certain fixed maturity securities, internal models are used to calculate the fair value. We use a discounted cash flow approach. The discount rate is the significant unobservable input due to the determined credit spread being internally developed, illiquid, or as a result of other adjustments made to the base rate. The base rate represents a market comparable rate for securities with similar characteristics. As of June 30, 2018 , discounts ranged from 6% to 9% , and as of December 31, 2017 , discounts ranged from 2% to 6% . This excludes assets for which significant unobservable inputs are not developed internally, primarily consisting of broker quotes.

Interest sensitive contract liabilities – embedded derivative – Significant unobservable inputs we use in the fixed indexed annuities embedded derivative of the interest sensitive contract liabilities valuation include:


1.	Non-performance risk – For contracts we issue, we use the credit spread, relative to the U.S. treasury curve, based on our public credit rating as of the valuation date. This represents our credit risk for use in the estimate of the fair value of embedded derivatives.


2.	Option budget – We assume future hedge costs in the derivative’s fair value estimate. The level of option budgets determines the future costs of the options and impacts future policyholder account value growth.


3.	Policyholder behavior – We regularly review the lapse and withdrawal assumptions (surrender rate). These are based on our initial pricing assumptions updated for actual experience. Actual experience may be limited for recently issued products.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following summarizes the unobservable inputs for the embedded derivatives of fixed indexed annuities:



	June 30, 2018
(In millions, except for percentages)	Fair value		Valuation technique	Unobservable inputs	Input/range of inputs				Impact of an increase in the input on fair value
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	8,065	Option budget method	Non-performance risk	0.4	%	–	1.4%	Decrease
				Option budget	0.8	%	–	3.7%	Increase
				Surrender rate	4.7	%	–	11.0%	Decrease



	December 31, 2017
(In millions, except for percentages)	Fair value		Valuation technique	Unobservable inputs	Input/range of inputs				Impact of an increase in the input on fair value
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	7,436	Option budget method	Non-performance risk	0.2	%	–	1.2%	Decrease
				Option budget	0.7	%	–	3.7%	Increase
				Surrender rate	1.5	%	–	19.4%	Decrease

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Fair Value of Financial Instruments Not Carried at Fair Value — The following represents our financial instruments not carried at fair value on the condensed consolidated balance sheets:



	June 30, 2018
(In millions)	Carrying Value		Fair Value		NAV ¹		Level 1		Level 2		Level 3
Financial Assets
Mortgage loans	$	7,571	$	7,713	$	—	$	—	$	—	$	7,713
Investment funds	507		507		507		—		—		—
Policy loans	504		504		—		—		504		—
Funds withheld at interest	7,550		7,550		—		—		—		7,550
Other investments	73		73		—		—		—		73
Investments in related parties
Investment funds	1,638		1,638		1,638		—		—		—
Funds withheld at interest	14,059		14,059		—		—		—		14,059
Other investments	388		371		—		—		—		371
Total financial assets not carried at fair value	$	32,290	$	32,415	$	2,145	$	—	$	504	$	29,766

Financial Liabilities
Interest sensitive contract liabilities	$	46,586	$	43,972	$	—	$	—	$	—	$	43,972
Short-term debt	183		183		—		—		183		—
Long-term debt	991		924		—		—		924		—
Funds withheld liability	385		385		—		—		385		—
Total financial liabilities not carried at fair value	$	48,145	$	45,464	$	—	$	—	$	1,492	$	43,972

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.



	December 31, 2017
(In millions)	Carrying Value		Fair Value		NAV ¹		Level 1		Level 2		Level 3
Financial Assets
Mortgage loans	$	6,192	$	6,342	$	—	$	—	$	—	$	6,342
Investment funds	554		554		554		—		—		—
Policy loans	530		530		—		—		530		—
Funds withheld at interest	6,773		6,773		—		—		—		6,773
Other investments	133		133		—		—		58		75
Investments in related parties
Investment funds	1,280		1,280		1,280		—		—		—
Other investments	238		259		—		—		—		259
Total financial assets not carried at fair value	$	15,700	$	15,871	$	1,834	$	—	$	588	$	13,449

Financial Liabilities
Interest sensitive contract liabilities	$	31,586	$	31,656	$	—	$	—	$	—	$	31,656
Funds withheld liability	385		385		—		—		385		—
Total financial liabilities not carried at fair value	$	31,971	$	32,041	$	—	$	—	$	385	$	31,656

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.

We estimate the fair value for financial instruments not carried at fair value using the same methods and assumptions as those we carry at fair value. The financial instruments presented above are reported at carrying value on the condensed consolidated balance sheets; however, in the case of policy loans, funds withheld at interest and liability, other investments and short-term debt, the carrying amount approximates fair value.

Investment in related parties – Other investments – The fair value of related party other investments is determined using a discounted cash flow model using discount rates for similar investments.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Interest sensitive contract liabilities – The carrying and fair value of interest sensitive contract liabilities above includes fixed indexed and traditional fixed annuities without mortality or morbidity risks, funding agreements and payout annuities without life contingencies. The embedded derivatives within fixed indexed annuities without mortality or morbidity risks are excluded, as they are carried at fair value. The valuation of these investment contracts is based on discounted cash flow methodologies using significant unobservable inputs. The estimated fair value is determined using current market risk-free interest rates, adding a spread to reflect our nonperformance risk and subtracting a risk margin to reflect uncertainty inherent in the projected cash flows.

Long-term debt – We obtain the fair value of long-term debt from commercial pricing services. These are classified as Level 2. The pricing services incorporate a variety of market observable information in their valuation techniques, including benchmark yields, trading activity, credit quality, issuer spreads, bids, offers and other reference data.

6. Deferred Acquisition Costs, Deferred Sales Inducements and Value of Business Acquired

The following represents a rollforward of deferred acquisition costs (DAC), deferred sales inducements (DSI) and value of business acquired (VOBA):



(In millions)	DAC			DSI			VOBA			Total
Balance at December 31, 2017	$	1,354		$	520		$	1,056		$	2,930
Additions	1,607			120			—			1,727
Amortization	(81		)	(43		)	(100		)	(224		)
Impact of unrealized investment (gains) losses	100			42			140			282
Balance at June 30, 2018	$	2,980		$	639		$	1,096		$	4,715



(In millions)	DAC			DSI			VOBA			Total
Balance at December 31, 2016	$	1,142		$	462		$	1,336		$	2,940
Additions	248			80			—			328
Amortization	(98		)	(29		)	(73		)	(200		)
Impact of unrealized investment (gains) losses	(65		)	(28		)	(89		)	(182		)
Balance at June 30, 2017	$	1,227		$	485		$	1,174		$	2,886

7. Reinsurance

Reinsurance transactions —On June 1, 2018, we entered into coinsurance and modco agreements with Voya Insurance and Annuity Company (VIAC) to reinsure a block of fixed and fixed indexed annuities. VIAC is a related party pursuant to GAAP due to our minority equity investment in its holding company’s parent, VA Capital Company LLC (VA Capital), as discussed further in Note 12 – Related Parties . Additionally, we entered into modco agreements with ReliaStar Life Insurance Company (RLI), a subsidiary of Voya Financial, Inc. (Voya), to reinsure a block of fixed and fixed indexed annuities. The following summarizes these reinsurance transactions (collectively, Voya reinsurance transactions):



	VIAC						RLI
(In millions)	Coinsurance			Modco			Modco			Total
Liabilities assumed	$	3,667		$	14,911		$	457		$	19,035
Less: Assets received	3,478			14,332			445			18,255
Ceding commission (paid) received	(86		)	(320		)	12			(394		)
Net cost of reinsurance	$	275		$	899		$	—		$	1,174

DAC	$	293		$	999		$	4		$	1,296
Unearned revenue reserve ¹	(8		)	(57		)	(4		)	(69		)
Deferred profit liability ²	(10		)	(43		)	—			(53		)
Net cost of reinsurance	$	275		$	899		$	—		$	1,174

¹ Included within interest sensitive contract liabilities on the condensed consolidated balance sheets.
² Included within future policy benefits on the condensed consolidated balance sheets.

DAC and unearned revenue reserve balances are amortized over the life of the reinsurance agreements on a basis consistent with our DAC amortization policy. The deferred profit liability balance is amortized over the life of the reinsurance agreement on a constant relationship to the benefit reserves.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following summarizes the effect of reinsurance on premiums and future policy and other policy benefits on the consolidated statements of income:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Premiums
Direct	$	114		$	423		$	432		$	528
Reinsurance assumed	651			7			656			12
Reinsurance ceded	(39		)	(51		)	(84		)	(109		)
Total premiums	$	726		$	379		$	1,004		$	431

Future policy and other policy benefits
Direct	$	284		$	658		$	736		$	999
Reinsurance assumed	655			15			664			23
Reinsurance ceded	(82		)	(95		)	(142		)	(230		)
Total future policy and other policy benefits	$	857		$	578		$	1,258		$	792

8. Debt

Senior Notes —In the first quarter of 2018, AHL issued $1 billion of unsecured senior notes due in January 2028. The senior notes have a 4.125% coupon rate, payable semi-annually. The senior notes are callable at any time prior to October 12, 2027 by AHL, at a price equal to the greater of (1) 100% of the principal and any accrued and unpaid interest and (2) an amount equal to the sum of the present values of remaining scheduled payments, discounted from the scheduled payment date to the redemption date at the Treasury Rate (as defined in the prospectus supplement relating to the senior notes, dated January 9, 2018) plus 25 basis points, and any accrued and unpaid interest. Interest expense on long-term debt was $11 million and $20 million for the three months ended June 30, 2018 and six months ended June 30, 2018 , respectively.

Short-term Debt —In the second quarter of 2018, we borrowed $183 million from the Federal Home Loan Bank (FHLB) of Des Moines through their variable rate short-term federal funds program. The borrowing matures on August 24, 2018 and carries an interest rate of 2.16% , with interest due at maturity. In connection with such borrowing, the FHLB requires the borrower to purchase member stock and post sufficient collateral to secure the borrowing. To satisfy these requirements, we purchased an additional $7 million of FHLB stock; however, we were not required to post additional collateral. See Note 13 – Commitments and Contingencies for further discussion regarding existing collateral posting with the FHLB.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

9. Earnings Per Share

The following represents our basic and diluted earnings per share (EPS) calculations:



	Three months ended June 30, 2018
(In millions, except share and per share data)	Class A		Class B		Class M-1		Class M-2		Class M-3		Class M-4
Net income – basic and diluted	$	220	$	34	$	5	$	1	$	1	$	3

Basic weighted average shares outstanding	164,458,153		25,483,236		3,388,890		844,449		1,003,528		2,121,647
Dilutive effect of stock compensation plans	369,955		—		—		6,307		—		594,331
Diluted weighted average shares outstanding	164,828,108		25,483,236		3,388,890		850,756		1,003,528		2,715,978

Earnings per share ¹
Basic	$	1.34	$	1.34	$	1.34	$	1.34	$	1.34	$	1.34
Diluted	$	1.33	$	1.34	$	1.34	$	1.33	$	1.34	$	1.04

¹ Calculated using whole figures.



	Three months ended June 30, 2017
(In millions, except share and per share data)	Class A		Class B		Class M-1		Class M-2		Class M-3		Class M-4
Net income – basic	$	177	$	138	$	6	$	2	$	1	$	2
Effect of stock compensation plans on allocated net income	4		—		—		—		—		—
Net income – diluted	$	181	$	138	$	6	$	2	$	1	$	2

Basic weighted average shares outstanding	106,299,230		82,927,000		3,409,515		905,105		740,883		1,438,871
Dilutive effect of stock compensation plans	2,706,762		—		—		15,000		491,292		1,718,314
Diluted weighted average shares outstanding	109,005,992		82,927,000		3,409,515		920,105		1,232,175		3,157,185

Earnings per share ¹
Basic	$	1.66	$	1.66	$	1.66	$	1.66	$	1.66	$	1.66
Diluted	$	1.65	$	1.66	$	1.66	$	1.64	$	1.00	$	0.76

¹ Calculated using whole figures.



	Six months ended June 30, 2018
(In millions, except share and per share data)	Class A		Class B		Class M-1		Class M-2		Class M-3		Class M-4
Net income – basic and diluted	$	422	$	90	$	9	$	2	$	3	$	6

Basic weighted average shares outstanding	156,619,575		33,246,955		3,388,890		842,739		1,026,216		2,093,581
Dilutive effect of stock compensation plans	381,446		—		—		7,642		10,286		761,780
Diluted weighted average shares outstanding	157,001,021		33,246,955		3,388,890		850,381		1,036,502		2,855,361

Earnings per share ¹
Basic	$	2.70	$	2.70	$	2.70	$	2.70	$	2.70	$	2.70
Diluted	$	2.69	$	2.70	$	2.70	$	2.67	$	2.67	$	1.98

¹ Calculated using whole figures.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)



	Six months ended June 30, 2017
(In millions, except share and per share data)	Class A		Class B		Class M-1		Class M-2		Class M-3		Class M-4
Net income – basic	$	337	$	354	$	13	$	2	$	1	$	3
Effect of stock compensation plans on allocated net income	6		—		—		—		—		—
Net income – diluted	$	343	$	354	$	13	$	2	$	1	$	3

Basic weighted average shares outstanding	92,350,216		96,772,641		3,430,840		476,070		372,488		723,410
Dilutive effect of stock compensation plans	3,242,336		—		—		493,213		884,760		1,971,060
Diluted weighted average shares outstanding	95,592,552		96,772,641		3,430,840		969,283		1,257,248		2,694,470

Earnings per share ¹
Basic	$	3.66	$	3.66	$	3.66	$	3.66	$	3.66	$	3.66
Diluted	$	3.59	$	3.66	$	3.66	$	1.80	$	1.08	$	0.98

¹ Calculated using whole figures.

We use the two-class method for allocating net income to each class of our common stock. Our Class M shares did not become eligible to participate in dividends until a return of investment (ROI) condition had been met for each class. Once eligible, each class of our common stock has equal dividend rights. The ROI condition was met for Class M-2 on March 28, 2017, and for Class M-3 and Class M-4 on April 20, 2017. For purposes of calculating basic weighted average shares outstanding and the allocation of basic income, shares are deemed to be participating in earnings for only the portion of the period after the condition is met. For purposes of calculating diluted weighted average shares outstanding, shares are deemed dilutive as of the beginning of the period.

Dilutive shares are calculated using the treasury stock method. For Class A shares, this method takes into account shares that can be settled into Class A shares, net of a conversion price. The diluted EPS calculations for Class A shares excluded the following shares, restricted stock units (RSUs) and options:



	Three months ended June 30,		Six months ended June 30,
	2018	2017	2018	2017
Antidilutive shares, RSUs and options excluded from diluted EPS calculation	35,078,635	74,650,807	35,078,635	73,792,976
Shares, RSUs and options excluded from diluted EPS calculation as a performance condition had not been met	280,030	1,448,998	280,030	1,448,998
Total shares, RSUs and options excluded from diluted EPS calculation	35,358,665	76,099,805	35,358,665	75,241,974

Note: Shares, RSUs and options are as of period end.

10. Accumulated Other Comprehensive Income

The following is a detail of AOCI and changes in AOCI. Prior period balances include equity securities that were classified as AFS securities prior to the adoption of ASU 2016-01.



(In millions)	June 30, 2018			December 31, 2017
AFS securities	$	328		$	2,577
DAC, DSI, VOBA, future policy benefits and dividends payable to policyholders adjustments on AFS securities	(116		)	(744		)
Noncredit component of OTTI losses on AFS securities	(13		)	(13		)
Hedging instruments	(50		)	(95		)
Pension adjustments	(2		)	(5		)
Foreign currency translation adjustments	(2		)	8
Accumulated other comprehensive income, before taxes	145			1,728
Deferred income taxes	(19		)	(313		)
Accumulated other comprehensive income	$	126		$	1,415

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Changes in AOCI are presented below:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Unrealized investment gains (losses) on AFS securities
Unrealized investment gains (losses) on AFS securities	$	(889	)	$	735		$	(2,171	)	$	1,251
Change in DAC, DSI, VOBA, future policy benefits and dividends payable to policyholders adjustment	233			(141		)	624			(223		)
Less: Reclassification adjustment for gains (losses) realized in net income ¹	11			12			30			27
Less: Income tax expense (benefit)	(138		)	179			(301		)	292
Net unrealized investment gains (losses) on AFS securities	(529		)	403			(1,276		)	709
Noncredit component of OTTI losses on AFS securities
Noncredit component of OTTI losses on AFS securities	1			1			—			2
Less: Reclassification adjustment for losses realized in net income ¹	1			2			—			2
Net noncredit component of OTTI losses on AFS securities	—			(1		)	—			—
Unrealized gains (losses) on hedging instruments
Unrealized gains (losses) on hedging instruments	101			(33		)	45			(38		)
Less: Income tax expense (benefit)	29			(11		)	9			(13		)
Net unrealized gains (losses) on hedging instruments	72			(22		)	36			(25		)
Pension adjustments	—			(1		)	3			(1		)
Foreign currency translation adjustments	(2		)	8			(10		)	10
Change in AOCI from other comprehensive income (loss)	(459		)	387			(1,247		)	693
Adoption of ASU 2016-01	—			—			(42		)	—
Change in AOCI	$	(459	)	$	387		$	(1,289	)	$	693

¹ Recognized in investment related gains (losses) on the condensed consolidated statements of income.

11. Income Taxes

Our effective tax rates were 20% and 3% for the three months ended June 30, 2018 and 2017 , respectively, and 19% and 4% for the six months ended June 30, 2018 and 2017 , respectively. Our effective tax rates may vary period to period depending upon the relationship of income and loss subject to tax compared to consolidated income and loss before income taxes. With the enactment of Public Law no. 115-97, an Act to provide for reconciliation pursuant to titles II and V of the concurrent resolution on the budget for fiscal year 2018 (Tax Act), the U.S. statutory tax rate declined to 21% from 35%; however, the Base Erosion and Anti-Abuse Tax (BEAT) was established, which may subject payments to our non-U.S. reinsurance subsidiaries to a tax of 5%, which would increase to 10% in 2019. The income tax expense for the three and six months ended June 30, 2018 assumes that we have taken steps so that the BEAT is not applicable to such payments and thereby assumes that more income is subject to U.S. income tax.

The Internal Revenue Service is currently auditing the 2013 consolidated tax return filed by Athene USA, and is also conducting a limited scope audit of the 2015 consolidated tax return filed by Athene Annuity & Life Assurance Company (AADE). No material proposed adjustments have been issued with respect to either exam. See discussion of ongoing tax examinations relating to Aviva USA Corporation (Aviva USA) in Note 13 – Commitments and Contingencies .

Under current Bermuda law, we are not required to pay any taxes in Bermuda on either income or capital gains. We have received an undertaking from the Bermuda Minister of Finance that, in the event of any such taxes being imposed, we will be exempted from taxation until the year 2035.

12. Related Parties

Athene Asset Management

Investment related expenses – Substantially all of our investments are managed by Athene Asset Management LLC (AAM), a subsidiary of AGM. AAM provides direct investment management, asset allocation, mergers and acquisition asset diligence and certain operational support services for our investment portfolio, including investment compliance, tax, legal and risk management support. As of June 30, 2018 , AAM directly managed $81,750 million of our investment portfolio assets, of which 86% are designated one or two (the two highest designations) by the National Association of Insurance Commissioners (NAIC).

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

For the services it renders, AAM earns a fee on all assets managed in accounts owned by or related to us, including sub-advised assets, subject to certain limited exceptions. Additionally, AAM recharges the sub-advisory fees it incurs with respect to our sub-advised assets to us. Historically, AAM generally earned an annual fee of 0.40% of assets under management. In the second quarter of 2017, following shareholder approval of an amendment to our bye-laws, we entered into the Fifth Amended and Restated Fee Agreement (Revised Fee Agreement), retroactive to January 1, 2017. The Revised Fee Agreement amended certain fee arrangements we previously had in place with AAM to provide for, among other things, an annual fee of 0.30% (reduced from 0.40% ) on all assets that Apollo manages in accounts owned by us in the U.S. and Bermuda or in accounts supporting reinsurance ceded to our U.S. and Bermuda subsidiaries by third-party insurers (North American Accounts) in excess of $65,846 million (the level of assets in the North American Accounts as of December 31, 2016). The fee to be paid by us to AAM on the first $65,846 million of assets in the North American Accounts remains 0.40% per year, subject to certain discounts and exceptions.

For certain assets which require specialized sourcing and underwriting capabilities, AAM has chosen to mandate sub-advisors rather than building out in-house capabilities. AAM has entered into Master Sub-Advisory Agreements (MSAAs) with certain Apollo affiliates to sub-advise AAM with respect to a portion of our assets, with the fees recharged to us, in addition to the gross fee paid to AAM as described above. The MSAAs cover services rendered by Apollo-affiliated sub-advisors relating to the following investments:



(In millions, except for percentages)	June 30, 2018			December 31, 2017
Fixed maturity securities
AFS securities
Foreign governments	$	151		$	152
Corporate	3,226			2,934
CLO	5,630			5,166
ABS	613			681
CMBS	878			872
Trading securities	115			121
Mortgage loans	2,701			2,232
Investment funds	27			26
Funds withheld at interest	1,831			1,737
Other investments	73			75
Total assets sub-advised by Apollo affiliates	$	15,245		$	13,996
Percent of assets sub-advised by Apollo affiliates to total AAM-managed assets	16		%	18		%

During the second quarter of 2017, AAM and certain other Apollo affiliates entered into addendums to the MSAAs currently in effect, pursuant to which, with limited exceptions, Apollo will earn 0.40% per year on all assets in the North American Accounts explicitly sub-advised by Apollo up to $10,000 million , 0.35% per year on all assets in such accounts explicitly sub-advised by Apollo in excess of $10,000 million up to $12,441 million (the level of fee-paying sub-advised assets in the North American Accounts at December 31, 2016), 0.40% per year on all assets in such accounts explicitly sub-advised by Apollo in excess of $12,441 million up to $16,000 million , and 0.35% per year on all assets in such accounts explicitly sub-advised by Apollo in excess of $16,000 million . The addendums were retroactive to January 1, 2017.

The following summarizes the asset management fees and sub-advisory fees we have incurred related to AAM and other Apollo affiliates:



	Three months ended June 30,				Six months ended June 30,
(In millions)	2018		2017		2018		2017
Asset management fees	$	72	$	64	$	142	$	126
Sub-advisory fees	14		12		27		28

The management and sub-advisory fees are included within net investment income on the condensed consolidated statements of income. As of June 30, 2018 and December 31, 2017 , the management fees payable was $33 million and $28 million , respectively, and the sub-advisory fees payable was $15 million and $13 million , respectively. Both the management and sub-advisory fees payables are included in other liabilities on the condensed consolidated balance sheets.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The investment management agreements with AAM have no stated term and any party can terminate upon notice. However, our bye-laws provide that we will not exercise our termination rights under the agreements until October 31, 2018 or any annual anniversary thereafter (each such date, an IMA (Investment Management Agreement) Termination Election Date) and any termination thereon requires the approval of two-thirds of our Independent Directors (as defined in the bye-laws) and prior written notice thereof to Apollo of at least 30 days. If the Independent Directors make such election and such notice is timely delivered, the termination will be effective on the second anniversary of the applicable IMA Termination Election Date (an IMA Termination Effective Date). Notwithstanding the foregoing, (1) the Independent Directors may only elect to terminate an investment management agreement or advisory agreement on an IMA Termination Election Date if two-thirds of the Independent Directors determine in their sole discretion acting in good faith that either (i) there has been unsatisfactory long-term performance materially detrimental to us by Apollo or (ii) the fees being charged by Apollo are unfair and excessive compared to a comparable asset manager (provided, that in either case such Independent Directors must deliver notice of any such determination to Apollo and Apollo shall have until the applicable IMA Termination Effective Date to address such concerns, and provided, further, that in the case of such a determination that the fees being charged by Apollo are unfair and excessive, Apollo has the right to lower its fees to match the fees of such comparable asset manager) and (2) upon the determination by two-thirds of the Independent Directors, we may also terminate an investment management agreement or advisory agreement with Apollo as a result of either (i) a material violation of law relating to Apollo’s advisory business, or (ii) Apollo’s gross negligence, willful misconduct or reckless disregard of its obligations under the relevant agreement, and in either case (i) or (ii), the delivery at least 30 days’ prior written notice to Apollo of such termination and such termination will be effective at the end of such 30-day period.

We have a management investment committee, which includes members of our senior management and reports to the risk committee of our board of directors. The committee focuses on strategic decisions involving our investment portfolio, such as approving investment limits, new asset classes and our allocation strategy, reviewing large asset transactions, as well as monitoring our credit risk, and the management of our assets and liabilities.

A significant voting interest in the Company is held by shareholders who are members of the Apollo Group, as defined in our bye-laws. Also, James Belardi, our Chief Executive Officer, is also an employee of AAM, receives substantial remuneration from acting as Chief Executive Officer of AAM, and owns a 5% profits interest in AAM. Additionally, five of the thirteen members of our board of directors are employees of or consultants to Apollo (including Mr. Belardi). In order to protect against potential conflicts of interest resulting from transactions into which we have entered and will continue to enter into with the Apollo Group, our bye-laws require us to maintain a conflicts committee comprised solely of three of our directors who are not officers or employees of any member of the Apollo Group. The conflicts committee reviews and approves material transactions between us and the Apollo Group, subject to certain exceptions.

Other related party transactions

A-A Mortgage – We have an equity method investment in A-A Mortgage, which has an investment in AmeriHome Mortgage Company, LLC (AmeriHome). We have a loan purchase agreement with AmeriHome. The agreement allows us to purchase residential mortgage loans which they have purchased from correspondent sellers and pooled for sale in the secondary market. AmeriHome retains the servicing rights to the sold loans. We purchased $167 million and $0 million of residential mortgage loans under this agreement during the three months ended June 30, 2018 and 2017 , respectively. We purchased $211 million and $1 million of residential mortgage loans under this agreement during the six months ended June 30, 2018 and 2017 , respectively. Additionally, we have made loans to A-A Mortgage affiliates in the principal amount of $172 million and $52 million as of June 30, 2018 and December 31, 2017 , respectively, and these are included in related party short-term investments on the condensed consolidated balance sheets.

Athora – On January 1, 2018, in order to align our interests with those of Athora, in connection with the Closing, we entered into a cooperation agreement with Athora, pursuant to which, among other things, (1) we will have the right to reinsure approximately 20% of the spread business written or reinsured by any insurance or reinsurance company owned or acquired by Athora, (2) Athora’s insurance subsidiaries will be required to purchase certain funding agreements and/or other spread instruments issued by our insurance subsidiaries, (3) we will provide Athora with a right of first refusal to pursue acquisition and reinsurance transactions in Europe (other than the United Kingdom) and (4) Athora will provide us and our subsidiaries with a right of first refusal to pursue acquisition and reinsurance transactions in North America and the United Kingdom. Additionally, as of June 30, 2018 , we had $170 million of funding agreements outstanding to Athora, which were issued to Athora prior to Closing .

VA Capital and Venerable Holdings, Inc. (Venerable) – In connection with the Voya reinsurance transactions, we made a $75 million minority equity investment in VA Capital, which is included in investments in related parties – investment funds on the condensed consolidated balance sheets and accounted for as an equity method investment. VA Capital is owned by a consortium of investors, led by affiliates of AGM, Crestview Partners and Reverence Capital Partners, and is the holding company of Venerable. Additionally, we provided Venerable with a $150 million , 15-year term loan, which is held at amortized cost and included in investment in related parties – other investments on the condensed consolidated balance sheets. It has a stated interest rate 6.257% , which represents a below-market interest rate and management considered it as part of its evaluation and pricing of the Voya reinsurance transactions. Venerable is the holding company of VIAC.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

13. Commitments and Contingencies

Contingent Commitments —We had commitments to make investments, primarily capital contributions to investment funds, of $3,036 million a nd $2,358 million as of June 30, 2018 and December 31, 2017 , respectively. We expect most of our current commitments will be invested over the next five years; however, these commitments could become due any time upon counterparty request.

Funding Agreements —We are a member of the FHLB and, through membership, we have issued funding agreements to the FHLB in exchange for cash advances. As of June 30, 2018 and December 31, 2017 , we had $701 million and $573 million , respectively, of funding agreements outstanding with the FHLB. We are required to provide collateral in excess of the funding agreement amounts outstanding, considering any discounts to the securities posted and prepayment penalties.

We have a funding agreement backed notes (FABN) program, which allows Athene Global Funding, a special-purpose, unaffiliated statutory trust to offer up to $10 billion of its senior secured medium-term notes. Athene Global Funding uses the net proceeds from each sale to purchase one or more funding agreements from us. Funding agreements outstanding under this program had a carrying value of $2,996 million as of June 30, 2018 and December 31, 2017 .

Pledged Assets and Funds in Trust (Restricted Assets)— The total restricted assets included on the condensed consolidated balance sheets are as follows:



(In millions)	June 30, 2018		December 31, 2017
Fixed maturity securities
AFS securities	$	4,452	$	1,572
Trading securities	52		—
Equity securities	3		36
Mortgage loans	943		914
Investment funds	29		20
Short-term investments	73		10
Other investments	45		—
Restricted cash	178		105
Total restricted assets	$	5,775	$	2,657

The restricted assets are primarily related to reinsurance trusts established in accordance with coinsurance agreements, and the FHLB funding agreements described above.

Litigation, Claims and Assessments

Griffiths Matter – On July 27, 2015, John Griffiths, on behalf of himself and others similarly situated, filed a putative class action complaint against us in the United States District Court for the District of Massachusetts. An amended complaint was filed on December 18, 2015. The complaint asserts claims against AHL, Athene Annuity and Life Company (AAIA), and Athene London Assignment Corporation (Athene London), in addition to an Aviva defendant. AHL is a named defendant due to its purchase of Aviva USA, and AAIA and Athene London are named as successors to Aviva Life Insurance Company and Aviva London Assignment Corporation, respectively. The complaint alleges a putative class of all persons who are the beneficial owners of assets which were used to purchase structured settlement annuities that Aviva Life Insurance Company, Aviva London Assignment Corporation, and Aviva International Insurance Limited (collectively, the Aviva Entities) or their predecessors, as applicable, delivered to purchasers on or after April 1, 2003 that were backed by a capital maintenance agreement issued by Aviva International Insurance Limited or its predecessor (the CMA). The complaint alleges that the Aviva Entities sold structured settlement annuities to the public on the basis that such products were backed by the CMA, which was alleged to be a source of great financial strength. The complaint further alleges that the Aviva Entities used the CMA to enhance the sales volume and raise the price of the annuities. The complaint claims that, as a result of Aviva USA’s sale to AHL, the CMA terminated. According to the complaint, no notice of this termination was provided to the owners of the structured settlement annuities. The complaint alleges that the termination of the CMA gave rise to claims for breach of contract, breach of fiduciary duty, promissory estoppel, and unjust enrichment. AHL and plaintiff recently agreed to a term sheet settlement on a class wide basis. Terms of the settlement, which have been preliminarily approved by the court, include: (1) AHL entering into a capital maintenance agreement with Athene London requiring AHL to provide capital to Athene London upon a missed structured settlement payment that is not timely cured and (2) AHL paying a monetary amount that is immaterial to us. The preliminary approval hearing is set for October 13, 2018.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Internal Revenue Service (IRS) Matters – The IRS completed its examinations of the 2006 through 2010 Aviva USA tax years with Aviva USA agreeing to all proposed adjustments with two exceptions: (1) AAIA’s treatment of call options used to hedge fixed indexed annuity (FIA) liabilities for the tax years 2008–2010 and (2) the disallowance of offsetting tax deductions taken by AAIA and taxable income reported by the non-life subgroup with respect to unpaid independent marketing organization commissions. The first adjustment to which Aviva USA did not agree would disallow deductions of $191 million , $154 million and $76 million for 2008, 2009 and 2010, respectively. The second adjustment to which Aviva USA did not agree would increase non-life net operating losses and decrease AAIA net operating losses by $16 million in each of 2009 and 2010. Taxes, penalties and interest with respect to these two issues for the years under audit are subject to indemnification by Aviva plc under the Stock Purchase Agreement (SPA) between Aviva plc and AHL, dated December 21, 2012 assuming the SPA requirements are satisfied. Athene USA was unable to negotiate a favorable settlement of this issue with the IRS, and is contesting the adjustment in federal court. If the IRS position is upheld in federal court, Athene USA expects that it would owe tax of $120 million , plus interest, for tax years ending on or before October 2, 2013, which are subject to indemnification by Aviva plc as described above.

The IRS also recently completed its examination of the 2011 through 2012 Aviva USA tax years, proposing adjustments that would increase taxable income by approximately $16 million in the aggregate for these two tax years. Athene USA agreed to all adjustments that were proposed with respect to those tax years except for adjustments relating to the same two issues that were not agreed to during the prior examination as discussed above. The first adjustment to which Athene USA did not agree would disallow deductions of $16 million in 2011 and increase deductions by $12 million in 2012. The second adjustment to which Athene USA did not agree would increase non-life net operating losses and decrease AAIA net operating losses by $15 million in 2011 and $12 million in 2012. Taxes, penalties and interest with respect to these two tax years are subject to indemnification by Aviva plc under the SPA, assuming the SPA requirements are satisfied. The treatment of FIA hedges is a recurring issue as to the timing of the related deductions and could affect the current income tax incurred in periods after October 2, 2013, which are not subject to indemnification by Aviva plc. Given that the disallowance of a deduction in one period results in an increased deduction in a future period, we do not expect that there will be any material impact to our financial condition resulting from this issue.

Corporate-owned Life Insurance (COLI) Matter – In 2000 and 2001, two insurance companies which were subsequently merged into AAIA purchased from American General Life Insurance Company (American General) broad based variable COLI policies that, as of June 30, 2018 , had an asset value of $359 million , and is included in other assets on the condensed consolidated balance sheets. In January 2012, the COLI policy administrator delivered to AAIA a supplement to the existing COLI policies and advised that American General and ZC Resource Investment Trust (ZC Trust) had unilaterally implemented changes set forth in the supplement that if effective, would: (1) potentially negatively impact the crediting rate for the policies and (2) change the exit and surrender protocols set forth in the policies. In March 2013, AAIA filed suit against American General, ZC Trust, and ZC Resource LLC in Chancery Court in Delaware, seeking, among other relief, a declaration that the changes set forth in the supplement were ineffectual and in breach of the parties’ agreement. The parties filed cross motions for judgment as a matter of law, and the court granted defendants’ motion and dismissed without prejudice on ripeness grounds. The issue that negatively impacts the crediting rate for one of the COLI policies has subsequently been triggered and on April 3, 2018, we filed suit against the same defendants in Chancery Court in Delaware seeking substantially similar relief, which the defendants have moved to dismiss. If the supplement is ultimately deemed to be effective, the purported changes to the policies could impair AAIA’s ability to access the value of guarantees associated with the policies. The value of the guarantees included within the asset value reflected above is $174 million as of June 30, 2018 .

Holzer Matter – On September 12, 2016, Jack Holzer and Mary Bruesh-Holzer filed suit in Jackson County, Missouri against several defendants, including AADE, as successor-in-interest to Business Men’s Assurance Company of America. Mr. Holzer allegedly sustained injuries due to asbestos exposure from 1966–1973 while working in an office building in Kansas City, Missouri, then owned by Business Men’s Assurance Company of America. Plaintiffs asserted strict liability and negligence claims against AADE. On February 26, 2018, an agreement was reached that resulted in the settlement of this matter. The settlement had no impact on our financial condition, results of operations or cash flows.

Regulatory Matter – Our U.S. insurance subsidiaries have experienced increased service and administration complaints related to the conversion and administration of the block of life insurance business acquired in connection with our acquisition of Aviva USA and reinsured to affiliates of Global Atlantic. The life insurance policies included in this block have been and are currently being administered by AllianceOne Inc. (AllianceOne), a subsidiary of DXC Technology Company, which was retained by such Global Atlantic affiliates to provide services on such policies. AllianceOne also administers certain annuity policies that were on Aviva USA’s legacy policy administration systems that were also converted in connection with the acquisition of Aviva USA and have experienced similar service and administration issues.

As a result of the difficulties experienced with respect to the administration of such policies, we have received notifications from several state regulators, including but not limited to the New York State Department of Financial Services (NYSDFS), the California Department of Insurance (CDI) and the Texas Department of Insurance, indicating, in each case, that the respective regulator planned to undertake a market conduct examination or enforcement proceeding of the applicable U.S. insurance subsidiary relating to the treatment of policyholders subject to our reinsurance agreements with affiliates of Global Atlantic and the conversion of such annuity policies, including the administration of such blocks by AllianceOne. On June 28, 2018 we entered into a consent order with the NYSDFS resolving that matter in a manner that, when considering the indemnification received from affiliates of Global Atlantic, did not have a material impact on our financial condition, results of operations or cash flows.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

In addition to the foregoing, we have received inquiries, and expect to continue to receive inquiries, from other regulatory authorities regarding the conversion matter. In addition to the examinations and proceedings initiated to date, it is possible that other regulators may pursue similar formal examinations, inquiries or enforcement proceedings and that any examinations, inquiries and/or enforcement proceedings may result in fines, administrative penalties and payments to policyholders. While we do not expect the amount of any such fines, penalties or payments arising from these matters to be material to our financial condition, results of operations or cash flows, it is possible that such amounts could be material.

Pursuant to the terms of the reinsurance agreements between us and the relevant affiliates of Global Atlantic, the applicable affiliates of Global Atlantic have financial responsibility for the ceded life block and are subject to significant administrative service requirements, including compliance with applicable law. The agreements also provide for indemnification to us, including for administration issues.

Caldera Matters – On May 3, 2018, AHL filed a writ commencing litigation in the Supreme Court of Bermuda against a former officer of AHL, a former director of AHL (who is also considered a former officer pursuant to Bermuda law), and Caldera Holdings, Ltd. (Caldera). AHL alleges in the writ, among other things, that the defendants breached various duties owed to AHL under Bermuda law by using AHL’s confidential information in their attempted acquisition of a company referred to in the litigation as Company A. AHL is seeking injunctive relief and damages.

On May 3, 2018, following AHL’s filing of the writ in Bermuda described above, Caldera, Caldera Life Reinsurance Company, and Caldera Shareholder, L.P., commenced an action in the Supreme Court of the State of New York, County of New York, by filing a Summons with Notice against AHL, Apollo, certain affiliates of Apollo and Leon Black, a founder of Apollo. On July 12, 2018, plaintiffs filed a complaint alleging claims for tortious interference with prospective business relations, defamation, and unfair competition related to plaintiffs’ attempt to purchase Company A and seeking alleged damages of “no less than $1.5 billion .” AHL intends to, among other things, move to dismiss the complaint against it. We believe we have meritorious defenses to the claims and intend to vigorously defend the litigation. In light of the inherent uncertainties involved in this matter, reasonably possible losses, if any, cannot be estimated at this time.

14. Segment Information

We operate our core business strategies out of one reportable segment, Retirement Services . In addition to Retirement Services , we report certain other operations in Corporate and Other.

Retirement Services — Retirement Services is comprised of our United States and Bermuda operations, which issue and reinsure retirement savings products and institutional products. Retirement Services has retail operations, which provide annuity retirement solutions to our policyholders. Retirement Services also has reinsurance operations, which reinsure multi-year guaranteed annuities, fixed indexed annuities, traditional one-year guarantee fixed deferred annuities, immediate annuities and institutional products from our reinsurance partners. In addition, our institutional operations, including funding agreements and pension risk transfer (PRT) obligations, are included in our Retirement Services segment.

Corporate and Other — Corporate and Other includes certain other operations related to our corporate activities, including corporate allocated expenses, merger and acquisition costs, debt costs, certain integration and restructuring costs, certain stock-based compensation and intersegment eliminations. In Corporate and Other, we also hold capital in excess of the level of capital we hold in Retirement Services to support our operating strategy. Prior to the deconsolidation of Athora on January 1, 2018, Corporate and Other included our German operations, which were primarily comprised of participating long-duration savings products. See Note 1 – Business, Basis of Presentation and Significant Accounting Policies for discussion on the deconsolidation of our German operations in 2018.

Financial Measures —Segment adjusted operating income is an internal measure used by the chief operating decision maker to evaluate and assess the results of our segments.

Adjusted operating revenue is a component of adjusted operating income and excludes market volatility and adjustments for other non-operating activity. Our operating revenue equals our total revenue, adjusted to eliminate the impact of the following non-operating adjustments:


•	Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets;


•	Investment gains (losses), net of offsets;


•	VIE expenses and noncontrolling interest; and


•	Other adjustments to revenues.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The table below reconciles segment adjusted operating revenues to total revenues presented on the condensed consolidated statements of income:



	Three months ended June 30,					Six months ended June 30,
(In millions)	2018			2017		2018			2017
Retirement Services	$	1,868		$	1,254	$	3,125		$	2,142
Corporate and Other	26			103		53			171
Non-operating adjustments
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets	97			266		(61		)	802
Investment gains (losses), net of offsets	(149		)	138		(255		)	263
VIE expenses and noncontrolling interest	2			—		2			—
Other adjustments to revenues	(47		)	2		(56		)	4
Total revenues	$	1,797		$	1,763	$	2,808		$	3,382

Adjusted operating income is an internal measure used to evaluate our financial performance excluding market volatility and expenses related to integration, restructuring, stock compensation and certain other expenses. Our adjusted operating income equals net income adjusted to eliminate the impact of the following non-operating adjustments:


•	Investment gains (losses), net of offsets;


•	Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets;


•	Integration, restructuring and other non-operating expenses;


•	Stock-based compensation, excluding the long-term incentive plan (LTIP); and


•	Income tax (expense) benefit – non-operating.

The table below reconciles segment adjusted operating income to net income on the condensed consolidated statements of income:



	Three months ended June 30,						Six months ended June 30,
(In millions)	2018			2017			2018			2017
Retirement Services	$	289		$	267		$	524		$	542
Corporate and Other	1			13			3			4
Non-operating adjustments
Investment gains (losses), net of offsets	(74		)	58			(107		)	115
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets	75			15			170			109
Integration, restructuring and other non-operating expenses	(8		)	(11		)	(16		)	(20		)
Stock-based compensation, excluding LTIP	(2		)	(13		)	(5		)	(23		)
Income tax (expense) benefit – non-operating	(17		)	(3		)	(37		)	(17		)
Net income	$	264		$	326		$	532		$	710

The following represents total assets by segment:



(In millions)	June 30, 2018		December 31, 2017
Total assets by segment
Retirement Services	$	111,512	$	91,335
Corporate and Other	3,243		8,412
Total assets	$	114,755	$	99,747

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Index to Management’s Discussion and Analysis of Financial Condition and Results of Operations




Overview	59

Industry Trends and Competition	60

Key Operating and Non-GAAP Measures	63

Results of Operations	67

Consolidated Investment Portfolio	73

Non-GAAP Measure Reconciliations	88

Liquidity and Capital Resources	90

Balance Sheet and Other Arrangements	94

Critical Accounting Estimates and Judgments	95

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Overview

We are a leading retirement services company that issues, reinsures and acquires retirement savings products designed for the increasing number of individuals and institutions seeking to fund retirement needs. We generate attractive financial results for our policyholders and shareholders by combining our two core competencies of (1) sourcing long-term, generally illiquid liabilities and (2) investing in a high-quality investment portfolio, which takes advantage of the illiquid nature of our liabilities. Our steady and significant base of earnings generates capital that we opportunistically invest across our business to source attractively-priced liabilities and capitalize on opportunities. Our differentiated investment strategy benefits from our strategic relationship with Apollo and its indirect subsidiary, AAM. AAM provides a full suite of services for our investment portfolio, including direct investment management, asset allocation, mergers and acquisition asset diligence and certain operational support services, including investment compliance, tax, legal and risk management support. Our relationship with Apollo and AAM also provides us with access to Apollo’s investment professionals around the world, as well as Apollo’s global asset management infrastructure that supports a broad array of asset classes. We are led by a highly skilled management team with extensive industry experience. We are based in Bermuda with our U.S. subsidiaries’ headquarters located in Iowa.

We began operating in 2009 when the burdens of the financial crisis and resulting capital demands caused many companies to exit the retirement market, creating the need for a well-capitalized company with an experienced management team to fill the void. Taking advantage of this market dislocation, we have been able to acquire substantial blocks of long-duration liabilities and reinvest the related investments to produce profitable returns. We have established a significant base of earnings and, as of June 30, 2018 , have an expected annual investment margin of 2-3% over the 8.2 year weighted-average life of our deferred annuities, which make up a substantial portion of our reserve liabilities. As of June 30, 2018 , the weighted-average life of all products, which includes deferred annuities, payout annuities, PRT obligations, funding agreements and other products, was 9.0 years.

We are diligent in setting our return targets based on market conditions and risks inherent to our products offered and acquisitions or block reinsurance transactions. Specific return targets are established with due consideration to the facts and circumstances surrounding each growth opportunity and may be higher or lower than those that we target more generally. Factors that we consider in establishing return targets for a given growth opportunity include, but are not limited to, the certainty of the return profile, the strategic nature of the opportunity, the size and scale of the opportunity, the alignment and fit of the opportunity with our existing business, the opportunity for risk diversification and the existence of increased opportunities for higher returns or growth. If market conditions or risks inherent to a product or transaction create return profiles that are not acceptable to us, we generally will not sacrifice our profitability merely to facilitate growth.

We operate our core business strategies out of one reportable segment, Retirement Services . In addition to Retirement Services , we report certain other operations in Corporate and Other. Retirement Services is comprised of our U.S. and Bermuda operations which issue and reinsure retirement savings products and institutional products. Corporate and Other includes certain other operations related to our corporate activities and previously included our former German operations, which were primarily comprised of participating long-duration savings products.

Our consolidated annualized ROE for the six months ended June 30, 2018 and the year ended December 31, 2017 was 12.4% and 18.0% , respectively, and our consolidated annualized adjusted operating ROE was 12.9% and 15.8% , respectively. As a result of our focus on issuing, reinsuring and acquiring attractively-priced liabilities, our differentiated investment strategy and our significant scale, for the six months ended June 30, 2018 and the year ended December 31, 2017 , in our Retirement Services segment, we generated an annualized investment margin on deferred annuities of 2.79% and 2.82% , respectively, and annualized adjusted operating ROE of 18.0% and 22.5% , respectively. We currently maintain what we believe to be high capital ratios for our rating and, as of June 30, 2018 , hold approximately $2.0 billion of excess capital, and view this excess as strategic capital available to reinvest into organic and inorganic growth opportunities.

Our organic channels, including retail, flow reinsurance and institutional products, provided deposits of $4.7 billion and $5.1 billion for the six months ended June 30, 2018 and 2017 , respectively. Withdrawals on our deferred annuities, maturities of our funding agreements, payments on payout annuities and pension risk benefit payments (collectively, liability outflows), in the aggregate, were $3.6 billion and $3.1 billion for the six months ended June 30, 2018 and 2017 , respectively. We believe that our improving credit profile, our current product offerings and product design capabilities and our growing reputation as both a seasoned funding agreement issuer and a reliable PRT counterparty will continue to enable us to grow our existing organic channels and allow us to source additional volumes of profitably underwritten liabilities in various market environments.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

We plan to grow organically by expanding our retail, flow reinsurance and institutional distribution channels. We believe that we have the right people, infrastructure and scale to position us for continued growth. Within our retail channel, we had fixed annuity sales of $3.4 billion and $2.7 billion for the six months ended June 30, 2018 and 2017 , respectively. The increase in our retail channel was driven by significant growth in our bank channel and the addition of new bank partners, the rising rate environment and new product introductions. We aim to grow our retail channel in the United States by deepening our relationships with our approximately 70 Independent Marketing Organizations (IMO) and more than 38,000 independent agents. Our strong financial position and capital efficient products allow us to be a dependable partner with IMOs and consistently write new business. We work with our IMOs to develop customized, and at times exclusive, products that help drive sales. We expect our retail channel to continue to benefit from our improving credit profile and recent product launches. We believe this should support growth in sales at our desired cost of crediting through increased volumes via current IMOs and access to new distribution channels, including small to mid-sized banks and regional broker-dealers. We are implementing the necessary technology platform, hiring and training a specialized sales force, and have created products to capture new potential distribution opportunities. In our flow reinsurance channel, we target reinsurance business consistent with our preferred liability characteristics and, as such, flow reinsurance provides another opportunistic channel for us to source long-term liabilities with attractive crediting rates. We generated deposits through our flow reinsurance channel of $677 million and $380 million for the six months ended June 30, 2018 and 2017 , respectively. The increase in our flow reinsurance channel was driven by new product launches by our partners and the rising rate environment. As we continue to source additional reinsurance partners, we expect to further diversify our flow reinsurance channel and expect that our improving credit profile will help us attract additional reinsurance partners. Within our institutional channel, we generated deposits of $745 million and $2.0 billion for the six months ended June 30, 2018 and 2017 , respectively. The decrease in our institutional channel is driven by the unfavorable market conditions for funding agreements. We issued funding agreements in the aggregate principal amount of $425 million and $1.7 billion for the six months ended June 30, 2018 and 2017 , respectively. During the six months ended June 30, 2018 , we closed two PRT transactions and issued group annuity contracts in the aggregate amount of $320 million , compared to $327 million in 2017 . We expect to grow our institutional channel by continuing to engage in opportunistic issuances of funding agreements and by continuing to engage in PRT transactions.

Our inorganic channels, including acquisitions and block reinsurance, provided deposits of $19.1 billion for the six months ended June 30, 2018 . On June 1, 2018, we closed on the Voya reinsurance transaction pursuant to which we entered into coinsurance and modco agreements with VIAC and RLI to reinsure a block of fixed and fixed indexed annuities providing $19.1 billion of deposits. Our inorganic channels have contributed significantly to our growth. We believe our internal acquisitions team, with support from Apollo, has an industry-leading ability to source, underwrite and expeditiously close transactions, which makes us a competitive counterparty for acquisition or block reinsurance transactions.

Deconsolidation Summary Included in Results of Operations

On January 1, 2018, in connection with the closing of the Athora Offering, our equity interest in the Athora was exchanged for common shares of Athora. See Note 1 – Business, Basis of Presentation and Significant Accounting Policies to the condensed consolidated financial statements for further details of the deconsolidation of our German operations. The deconsolidation of Athora decreased our total assets by $6.3 billion and our invested assets by $6.0 billion . The impact of this deconsolidation has an effect on the comparability of our historical results and therefore historical discussions of changes between periods are not necessarily indicative of future results. To enhance the comparability of our June 30, 2018 and 2017 results, we highlight the financial results applicable to the deconsolidation of Athora where meaningful. As of and after January 1, 2018, our investment in Athora is reflected as an alternative investment.

Industry Trends and Competition

Market Conditions

While the U.S. Federal Reserve has continued its process of policy rate normalization, longer dated interest Treasury yields have risen, but not in step with shorter term rates, and as a consequence, the yield curve has flattened notably over the past twelve months. Whether signaling low long-term inflation expectations, or a coming curve inversion, or simply due to supply dynamics in the global search for asset yield, the level of longer dated Treasury yields affects the yield we earn on invested assets. The appreciable rise in such longer dated yields to date in 2018 has benefited such yields on new purchases. While current economic fundamentals appear strong, uncertainty about future fiscal policy, changes in tax policy, the scope of potential deregulation, the imposition of tariffs or other barriers to international trade and levels of global trade, along with uncertainty about the Federal Reserve’s ability to manage its normalization process and the impact on inflation and wage growth, may trigger continued volatility across financial markets. Volatility, as seen recently in the equity markets, may adversely affect the hedging costs of our liability policy hedging program. Credit market volatility, which may widen credit spreads, benefits our investment purchases but may negatively affect the valuations of our in-force investment portfolio.

A volatile market environment may affect our ability to produce liability products that are profitable, have the desired risk profile to the company, and be desired by consumers. As a company with strong retirement, investment management and insurance capabilities, we expect that over the long term, market conditions resulting in higher Treasury yields and credit spreads will enhance the attractiveness of our portfolio of annuity products. We continue to monitor the behavior of our customers and other factors which react to market conditions, including mortality rates, morbidity rates, annuitization rates and lapse rates, in order to best serve our customers and generate strong profitability to our shareholders.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Interest Rate Environment

As a retirement services company focused on issuing and reinsuring fixed annuities, we are affected by the monetary policy of the Federal Reserve in the United States as well as other central banks around the world. In spite of the Federal Reserve increasing federal funds rates again in June of 2018, interest rates in the United States remain lower than historical levels. The lower interest rates in part are due to a number of actions taken in recent years by the Federal Reserve in an effort to stimulate economic activity. Any future increases in federal funds rates are uncertain and will depend on the economic outlook.

Our investment portfolio consists predominantly of fixed maturity investments. See – Consolidated Investment Portfolio . If prevailing interest rates were to rise, we believe the yield on our new investment purchases may also rise and our investment income from floating rate investments would increase, while the value of our existing investments may decline. If prevailing interest rates were to decline, it is likely that the yield on our new investment purchases may decline and our investment income from floating rate investments would decrease, while the value of our existing investments may increase. We address interest rate risk through managing the duration of the liabilities we source with assets we acquire and through asset liability management (ALM) modeling. We endeavor to limit reinvestment risk related to cash flows by managing our asset portfolio to ensure it provides adequate cash flows to meet our expected policyholder benefit cash flows within tolerable risk management limits. Our strategy is to achieve sustainable yields that allow us to maintain an attractive investment margin. As part of our investment strategy, we purchase floating rate investments, which we expect will perform well in a rising interest rate environment. Our investment portfolio includes $17.3 billion of floating rate investments, or 18% of our total invested assets as of June 30, 2018 . The percentage of floating rate investments decreased from December 31, 2017, due to the investment portfolio received in the Voya reinsurance transaction having a lower proportion of floating rate investments and a refinement in our definition to include only short duration securities that are directly tied or linked to an index. As part of our reinvestment strategy for the investment portfolios of companies we acquire or blocks we reinsure, we generally seek to reinvest assets at yields higher than the related assets being liquidated for reinvestment. We continuously seek to optimize our investment portfolio to achieve favorable returns over the long term.

If prevailing interest rates were to rise, we believe our products would be more attractive to consumers and our sales would likely increase. In periods of prolonged low interest rates, the investment margin earned on deferred annuities may be negatively impacted by reduced investment income to the extent that we are unable to adequately reduce policyholder crediting rates due to policyholder guarantees in the form of minimum crediting rates or otherwise due to market conditions. As of June 30, 2018 , most of our products were fixed annuities with 27% of our FIAs at the minimum guarantees and 52% of our fixed rate annuities at the minimum crediting rates. As of June 30, 2018 , minimum guarantees on all of our deferred annuities, including those with crediting rates already at their minimum guarantees, were, on average, 90 to 100 basis points below the crediting rates on such deferred annuities, allowing us room to reduce rates before reaching the minimum guarantees. Our remaining liabilities are associated with immediate annuities, pension risk transfer obligations, funding agreements or life contracts for which we have little to no discretionary ability to change the rates of interest payable to the respective policyholder. A significant majority of our products have crediting rates that we may reset annually upon renewal following the expiration of the current guaranteed period. While we have the contractual ability to lower these crediting rates to the guaranteed minimum levels, our willingness to do so may be limited by competitive pressures.

See Part I — Item 3. Quantitative and Qualitative Disclosures About Market Risks to this report and Part II — Item 7A. Quantitative and Qualitative Disclosures About Market Risks in our 2017 Annual Report, which includes a discussion regarding interest rate and other significant risks and our strategies for managing these risks.

Demographics

Over the next four decades, the retirement-age population is expected to experience unprecedented growth. Technological advances and improvements in healthcare are projected to continue to contribute to increasing average life expectancy, and aging individuals must be prepared to fund retirement periods that will last longer than ever before. Further, many working households in the United States do not have adequate retirement savings. As a tool for addressing the unmet need for retirement planning, we believe that many Americans have begun to look to tax-efficient savings products with low-risk or guaranteed return features and potential equity market upside. Our tax-efficient savings products are well positioned to meet this increasing customer demand.

We believe that our strong presence in the FIA market and strength of our relationships with IMOs position us to effectively serve consumers’ demand in the rapidly growing retirement savings market. We expect that our retail channel will continue to benefit from our improving credit profile and recent product launches. We believe this should help us to grow sales at our desired cost of crediting through increased volumes via current IMOs and access to new distribution channels, including small to mid-sized banks and regional broker-dealers. We also believe that our improving credit profile has enabled and will continue to enable us to increase penetration in our existing organic channels, such as flow reinsurance and funding agreements, while also helping us to increase our presence in the PRT market.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Competition

We operate in highly competitive markets. We face a variety of large and small industry participants, including diversified financial institutions and insurance and reinsurance companies. These companies compete in one form or another for the growing pool of retirement assets driven by a number of external factors such as the continued aging of the population and the reduction in safety nets provided by governments and private employers. In the markets in which we operate, scale and the ability to provide value-added services and build long-term relationships are important factors to compete effectively. We believe that our leading presence in the retirement market, diverse range of capabilities and broad distribution network uniquely position us to effectively serve consumers’ increasing demand for retirement solutions, particularly in the FIA market.

According to LIMRA, total fixed annuity market sales in the United States were $27.2 billion for the three months ended March 31, 2018. LIMRA made adjustments to its fixed annuity sales estimate and the updated total fixed annuity market sales in the United States were $27.1 billion for the three months ended March 31, 2017. The increase in fixed annuity market sales in 2018 compared to 2017 was driven by an increase in FIA products of $1.4 billion , or 10.7% over prior year, offset by a decrease in traditional fixed rate deferred annuities of $1.4 billion , or 13.9% over prior year. In the total fixed annuity market, for the three months ended March 31, 2018 (the most recent period for which specific market share data is available), we were the 5th largest company based on sales with a 4.7% market share and $1.3 billion in sales. For the three months ended March 31, 2017, our market share was 4.1% with sales of $1.1 billion .

FIAs have been one of the fastest growing annuity products, having grown from $27.3 billion in 2005 to $57.6 billion in sales for the year ended December 31, 2017. According to LIMRA, for the three months ended March 31, 2018 (the most recent period for which specific market share data is available), we were the 2nd largest provider of FIAs in terms of sales, and our market share for the same period was 8.3% with sales of $1.2 billion . For the three months ended March 31, 2017, our market share was 7.7% with sales of $1.0 billion .

Regulatory Developments

We continue to face material uncertainty regarding the ultimate impacts of tax reform to our business. On December 22, 2017, President Trump signed the Tax Act into law, which introduced significant changes to the Internal Revenue Code. While our expectations may be subject to change as we continue to evaluate the impact of the Tax Act on our business, we expect the following notable impacts:

•

Overall tax rate— Although the Tax Act reduces corporate income tax rates to 21% beginning in 2018, it also imposes a new minimum tax, referred to as the BEAT, which taxes modified taxable income at a rate of 5% beginning in 2018, increasing to 10% in 2019 and 12.5% in 2026. In general, modified taxable income is calculated by adding back to a taxpayer’s regular taxable income the amount of certain “base erosion tax benefits” with respect to payments to foreign affiliates, as well as the “base erosion percentage” of any net operating loss deductions. The BEAT applies only to the extent it exceeds a taxpayer’s regular corporate income tax liability (determined without regard to certain tax credits). The BEAT is expected to apply to our U.S. subsidiaries with respect to payments to our non-U.S. reinsurance subsidiaries. The BEAT does not apply to premium paid to ALRe directly by unaffiliated ceding companies or investment income earned on our non-U.S. reinsurance subsidiaries’ surplus assets, which together currently represent approximately 25–30% of our pre-tax adjusted operating income. In addition to the BEAT, the 1% excise tax that we have historically paid will continue to apply to premiums paid to our Bermuda subsidiaries that are not subject to U.S. taxation, to the extent that any such premiums are paid.

Within the context of affiliated modco arrangements, which is how much of our internal reinsurance is structured, it is our belief that the BEAT was generally intended to require the add back of the net amount paid or accrued by our U.S. subsidiaries to our non-U.S. reinsurance subsidiaries for premiums, investment income, reserve changes, other consideration and expenses (net basis). However, there is significant uncertainty regarding the computation of the BEAT in the context of affiliated modco arrangements, including whether the BEAT applies on a net basis or instead requires the add back of the gross amount paid or accrued, without reduction for claims or other expenses (gross basis). In light of this uncertainty, we have begun to take actions that would allow us to mitigate the potential effect of the BEAT on our results of operations should the BEAT apply on a gross basis. Our overall tax rate will depend on the ultimate interpretation of the Tax Act and the actions that we take. We currently expect that, absent any further mitigating efforts, our overall tax rate will be between 14–15%, on average, of each of pre-tax income and pre-tax adjusted operating income; however, we may experience significant fluctuations in the overall tax rate as a percentage of pre-tax income from period-to-period, with certain periods falling outside of our expected range. In addition, we are undertaking certain additional actions and exploring various alternatives intended to further mitigate the potential effect of the BEAT on our results of operations. If these actions are successful, we expect our overall tax rate will be more in line with our overall tax rate prior to the enactment of the Tax Act of approximately 11%, on average, of each of pre-tax income and pre-tax adjusted operating income, with significant fluctuations in the overall tax rate as a percentage of pre-tax income, as discussed above.

The estimated future overall tax rates presented above incorporate various assumptions and actual results may vary. See Item 1A. Risk Factors – Our business, financial condition, liquidity, results of operations and cash flows depend on the accuracy of our management’s assumptions and estimates, and we could face significant losses if these assumptions and estimates differ significantly from actual results – BEAT Mitigating Actions and Item 1A. Risk Factors – Risks Relating to Taxation – The BEAT may significantly increase our tax liability and our efforts to mitigate the cost of the BEAT may be unnecessary, inefficient, ineffective, or counterproductive , each included in Part II of this report.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

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Risk-based capital— In its meeting held on June 28, 2018, the NAIC Capital Adequacy Task Force approved updates to the RBC factors to reflect the change in the corporate income tax rate from 35% to 21% resulting from the Tax Act. With the change in RBC factors, our RBC ratios, along with those of other fixed annuity writers and life insurers in general, are expected to decrease. If the changes were applied to our RBC ratios as of June 30, 2018, we estimate a minimal decrease to our onshore U.S. RBC ratio and approximately 12% decrease to our offshore ALRe RBC ratio. Our capital ratios under the various rating agency models are not expected to be materially impacted by the change in tax rate, and those models are an important consideration in determining the appropriate levels of capital to run our business. Our initial assessment of the level of capital that we deem appropriate to run our business has not been impacted materially by the change in tax rate.

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Target returns— The Tax Act may cause a reduction of the returns that we realize on our in-force business, depending on the success of our mitigating actions. See Part II – Item 1A. Risk Factors – Risks Relating to Taxation – The BEAT may significantly increase our tax liability and our efforts to mitigate the cost of the BEAT may be unnecessary, inefficient, ineffective, or counterproductive for a discussion regarding the mitigating actions being undertaken.

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Controlled Foreign Corporation— As discussed more fully at Part II – Item 1A. Risk Factors – Risks Relating to Taxation – U.S. persons who own our Class A common shares may be subject to U.S. federal income taxation at ordinary income rates on our undistributed earnings and profits, adoption of the Tax Act resulted in certain changes affecting the determination as to whether an entity constitutes a Controlled Foreign Corporation (CFC) . Being treated as a CFC could have adverse tax consequences to certain of our shareholders. To reduce the likelihood of such a result, we have restructured certain of our subsidiaries so that Athene USA, our U.S. holding company subsidiary, is now a wholly owned subsidiary of ALRe.

Other provisions of the Tax Act could significantly increase the tax liability of our U.S. subsidiaries in future tax periods by accelerating items of income or deferring deductions. Although the acceleration of an item of income or deferral of a deduction in one tax period allows a taxpayer to recognize less taxable income in a future period, there can be no assurance that we will be able to utilize any resulting deferred tax assets in future tax periods.

The foregoing represents our current expectations of certain of the effects of the Tax Act and may be subject to change as additional guidance is made available and as we continue to evaluate the effect of this legislation on our business. See Part II – Item 1A. Risk Factors – Risks Relating to Taxation for further information on how the Tax Act could impact us.

Key Operating and Non-GAAP Measures

In addition to our results presented in accordance with GAAP, our results of operations include certain non-GAAP measures commonly used in our industry. Management believes the use of these non-GAAP measures, together with the relevant GAAP measures, provides information that may enhance an investor’s understanding of our results of operations and the underlying profitability drivers of our business. The majority of these non-GAAP measures are intended to remove from the results of operations the impact of market volatility (other than with respect to alternative investments) as well as integration, restructuring and certain other expenses which are not part of our underlying profitability drivers or likely to re-occur in the foreseeable future, as such items fluctuate from period to period in a manner inconsistent with these drivers. These measures should be considered supplementary to our results in accordance with GAAP and should not be viewed as a substitute for the GAAP measures. See Non-GAAP Measure Reconciliations for the appropriate reconciliations to the GAAP measures.

Adjusted Operating Income

Adjusted operating income is a non-GAAP measure used to evaluate our financial performance excluding market volatility and expenses related to integration, restructuring, stock compensation, and other expenses. Our adjusted operating income equals net income adjusted to eliminate the impact of the following (collectively, the “non-operating adjustments”):

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Investment Gains (Losses), Net of Offsets— Investment gains (losses), net of offsets, consist of the realized gains and losses on the sale of AFS securities, the change in assumed modco and funds withheld reinsurance embedded derivatives, unrealized gains and losses, impairments, and other investment gains and losses. Unrealized, impairments and other investment gains and losses are comprised of the fair value adjustments of trading securities (other than CLOs) and investments held under the fair value option, derivative gains and losses not hedging FIA index credits, and the net OTTI impacts recognized in operations net of the change in AmerUs Closed Block fair value reserve related to the corresponding change in fair value of investments and the change in unit-linked reserves related to the corresponding trading securities. Investment gains and losses are net of offsets related to D AC, DSI, and VOBA amortization and changes to guaranteed lifetime withdrawal benefit (GLWB) and guaranteed minimum death benefits (GMDB) reserves (together, GLWB and GMDB reserves represent rider reserves) as well as the MVAs associated with surrenders or terminations of contracts.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

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Change in Fair Values of Derivatives and Embedded Derivatives – FIAs, Net of Offsets— Impacts related to the fair value accounting for derivatives hedging the FIA index credits and the related embedded derivative liability fluctuate from period to period. The index reserve is measured at fair value for the current period and all periods beyond the current policyholder index term. However, the FIA hedging derivatives are purchased to hedge only the current index period. Upon policyholder renewal at the end of the period, new FIA hedging derivatives are purchased to align with the new term. The difference in duration between the FIA hedging derivatives and the index credit reserves creates a timing difference in earnings. This timing difference of the FIA hedging derivatives and index credit reserves is included as a non-operating adjustment, net of offsets related to DAC, DSI, and VOBA amortization and changes to rider reserves.

We primarily hedge with options that align with the index terms of our FIA products (typically 1–2 years). From an economic basis, we believe this is suitable because policyholder accounts are credited with index performance at the end of each index term. However, because the “value of an embedded derivative” in an FIA contract is longer-dated, there is a duration mismatch which may lead to mismatches for accounting purposes.


•	Integration, Restructuring, and Other Non-operating Expenses— Integration, restructuring, and other non-operating expenses consist of restructuring and integration expenses related to acquisitions and block reinsurance costs as well as certain other expenses which are not part of our core operations or likely to re-occur in the foreseeable future.


•	Stock Compensation Expense— Stock compensation expenses associated with our share incentive plans, excluding our long term incentive plan, are not part of our core operating expenses and fluctuate from time to time due to the structure of our plans.


•	Bargain Purchase Gain— Bargain purchase gains associated with acquisitions are adjustments to net income as they are not consistent with our core operations.


•	Income Taxes (Expense) Benefit – Non-operating— The non-operating income tax expense is comprised of the appropriate jurisdiction’s tax rate applied to the non-operating adjustments that are subject to income tax.

We consider these non-operating adjustments to be meaningful adjustments to net income for the reasons discussed in greater detail above. Accordingly, we believe using a measure which excludes the impact of these items is effective in analyzing the trends in our results of operations. Together with net income, we believe adjusted operating income, provides a meaningful financial metric that helps investors understand our underlying results and profitability. Adjusted operating income should not be used as a substitute for net income.

Adjusted ROE, Adjusted Operating ROE and Adjusted Net Income

Adjusted ROE, adjusted operating ROE and adjusted net income are non-GAAP measures used to evaluate our financial performance excluding the impacts of AOCI and funds withheld and modco reinsurance unrealized gains and losses, in each case net of DAC, DSI, rider reserve and tax offsets. Adjusted ROE is calculated as adjusted net income, divided by adjusted shareholders’ equity. Adjusted shareholders’ equity is calculated as the ending shareholders’ equity excluding AOCI and funds withheld and modco reinsurance unrealized gains and losses. Adjusted operating ROE is calculated as the adjusted operating income, divided by adjusted shareholders’ equity. Adjusted net income is calculated as net income excluding funds withheld and modco reinsurance unrealized gains and losses, net of DAC, DSI, rider reserve and tax offsets. These adjustments fluctuate period to period in a manner inconsistent with our underlying profitability drivers as the majority of such fluctuation is related to the market volatility of the unrealized gains and losses associated with our AFS securities. Once we have reinvested acquired blocks of businesses, we typically buy and hold AFS investments to maturity throughout the duration of market fluctuations, therefore, the period-over-period impacts in unrealized gains and losses are not necessarily indicative of current adjusted operating fundamentals or future performance. Accordingly, we believe using measures which exclude AOCI and funds withheld and modco reinsurance unrealized gains and losses are useful in analyzing trends in our operating results. To enhance the ability to analyze these measures across periods, interim periods are annualized. Adjusted ROE, adjusted operating ROE and adjusted net income should not be used as a substitute for ROE and net income. However, we believe the adjustments to equity are significant to gaining an understanding of our overall results of operations.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Adjusted Operating Earnings Per Share, Weighted Average Shares Outstanding – Adjusted Operating and Adjusted Book Value Per Share

Adjusted operating earnings per share, weighted average shares outstanding – adjusted operating and adjusted book value per share are non-GAAP measures used to evaluate our financial performance and financial condition. The non-GAAP measures adjust the number of shares included in the corresponding GAAP measures to reflect the conversion or settlement of all shares and other stock-based awards outstanding. We believe using these measures represents an economic view of our share counts and provides a simplified and consistent view of our outstanding shares. Adjusted operating earnings per share is calculated as the adjusted operating income, over the weighted average shares outstanding – adjusted operating. Adjusted book value per share is calculated as the adjusted shareholders’ equity divided by the adjusted operating common shares outstanding. Our Class B common shares are economically equivalent to Class A common shares and can be converted to Class A common shares on a one-for-one basis at any time. Our Class M common shares are in the legal form of shares but economically function as options as they are convertible into Class A shares after vesting and payment of the conversion price. In calculating Class A diluted earnings per share on a GAAP basis, we are required to apply sequencing rules to determine the dilutive impacts, if any, of our Class B common shares, Class M common shares and any other stock-based awards. To the extent our Class B common shares, Class M common shares and/or any other stock-based awards are not dilutive they are excluded. Weighted average shares outstanding – adjusted operating and adjusted operating common shares outstanding assume conversion or settlement of all outstanding items that are able to be converted to or settled in Class A common shares, including the impacts of Class B common shares on a one-for-one basis, the impacts of all Class M common shares net of the conversion price and any other stock-based awards, but excluding any awards for which the exercise or conversion price exceeds the market value of our Class A common shares on the applicable measurement date. For certain historical periods, Class M shares were not included due to issuance restrictions which were contingent upon our IPO. Adjusted operating earnings per share, weighted average shares outstanding – adjusted operating and adjusted book value per share should not be used as a substitute for basic earnings per share – Class A common shares, basic weighted average shares outstanding – Class A or book value per share. However, we believe the adjustments to the shares and equity are significant to gaining an understanding of our overall results of operations and financial condition.

Adjusted Debt to Capital Ratio

Adjusted debt to capital ratio is a non-GAAP measure used to evaluate our financial condition excluding the impacts of AOCI and funds withheld and modco reinsurance unrealized gains and losses, net of DAC, DSI, rider reserve and tax offsets. Adjusted debt to capital ratio is calculated as total debt excluding consolidated VIEs divided by adjusted shareholders’ equity. Adjusted debt to capital ratio should not be used as a substitute for the debt to capital ratio. However, we believe the adjustments to shareholders’ equity are significant to gaining an understanding of our overall results of operations and financial condition.

Retirement Services Net Investment Earned Rate, Cost of Crediting and Investment Margin on Deferred Annuities

Investment margin is a key measurement of the financial health of our Retirement Services core deferred annuities. Investment margin on our deferred annuities is generated from the excess of our net investment earned rate over the cost of crediting to our policyholders. Net investment earned rate is a key measure of investment returns and cost of crediting is a key measure of the policyholder benefits on our deferred annuities.

Net investment earned rate is a non-GAAP measure we use to evaluate the performance of our invested assets that does not correspond to GAAP net investment income. Net investment earned rate is computed as the income from our invested assets divided by the average invested assets for the relevant period. To enhance the ability to analyze these measures across periods, interim periods are annualized. The adjustments to arrive at our net investment earned rate add alternative investment gains and losses, gains and losses related to trading securities for CLOs, net VIE impacts (revenues, expenses and noncontrolling interest) and the change in reinsurance embedded derivatives. We include the income and assets supporting our assumed reinsurance by evaluating the underlying investments of the funds withheld at interest receivables and we include the net investment income from those underlying investments which does not correspond to the GAAP presentation of reinsurance embedded derivatives. We exclude the income and assets supporting business that we have exited through ceded reinsurance including funds withheld agreements. We believe the adjustments for reinsurance provide a net investment earned rate on the assets for which we have economic exposure.

Cost of crediting is the interest credited to the policyholders on our fixed strategies as well as the option costs on the indexed annuity strategies. With respect to FIAs, the cost of providing index credits includes the expenses incurred to fund the annual index credits, and where applicable, minimum guaranteed interest credited. The interest credited on fixed strategies and option costs on indexed annuity strategies are divided by the average account value of our deferred annuities. Our average account values are averaged over the number of quarters in the relevant period to obtain our cost of crediting for such period. To enhance the ability to analyze these measures across periods, interim periods are annualized.

Net investment earned rate, cost of crediting and investment margin on deferred annuities are non-GAAP measures we use to evaluate the profitability of our core deferred annuities business. Deferred annuities include our fixed rate annuities and FIAs, which account for approximately 85% of our Retirement Services reserve liabilities as of June 30, 2018 . W e believe measures like net investment earned rate, cost of crediting and investment margin on deferred annuities are effective in analyzing the trends of our core business operations, profitability and pricing discipline. While we believe net investment earned rate, cost of crediting and investment margin on deferred annuities are meaningful financial metrics and enhance our understanding of the underlying profitability drivers of our business, they should not be used as a substitute for net investment income and interest sensitive contract benefits presented under GAAP.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Invested Assets

I n managing our business we analyze invested assets, which do not correspond to total investments, including investments in related parties, as disclosed in our consolidated financial statements and notes thereto. Invested assets represent the investments that directly back our policyholder liabilities as well as surplus assets. Invested assets is used in the computation of net investment earned rate, which allows us to analyze the profitability of our investment portfolio. Invested assets includes (a) total investments on the consolidated balance sheets with AFS securities at cost or amortized cost, excluding derivatives, (b) cash and cash equivalents and restricted cash, (c) investments in related parties, (d) accrued investment income, (e) the consolidated VIE assets, liabilities and noncontrolling interest, (f) net investment payables and receivables and (g) policy loans ceded (which offset the direct policy loans in total investments). Invested assets also excludes assets associated with funds withheld liabilities related to business exited through reinsurance agreements and derivative collateral (offsetting the related cash positions). We include the underlying investments supporting our assumed funds withheld and modco agreements in our invested assets calculation in order to match the assets with the income received. We believe the adjustments for reinsurance provide a view of the assets for which we have economic exposure. Our invested assets are averaged over the number of quarters in the relevant period to compute our net investment earned rate for such period.

Reserve Liabilities

In managing our business we also analyze reserve liabilities, which does not correspond to total liabilities as disclosed in our consolidated financial statements and notes thereto. Reserve liabilities represents our policyholder liability obligations net of reinsurance and is used to analyze the costs of our liabilities. Reserve liabilities includes (a) the interest sensitive contract liabilities, (b) future policy benefits, (c) dividends payable to policyholders, and (d) other policy claims and benefits, offset by reinsurance recoverable, excluding policy loans ceded. Reserve liabilities is net of the ceded liabilities to third-party reinsurers as the costs of the liabilities are passed to such reinsurers and therefore we have no net economic exposure to such liabilities, assuming our reinsurance counterparties perform under our agreements. The majority of our ceded reinsurance is a result of reinsuring large blocks of life business following acquisitions. For such transactions, GAAP requires the ceded liabilities and related reinsurance recoverables to continue to be recorded in our consolidated financial statements despite the transfer of economic risk to the counterparty in connection with the reinsurance transaction.

Sales

Sales statistics do not correspond to revenues under GAAP, but are used as relevant measures to understand our business performance as it relates to deposits generated during a specific period of time. Our sales statistics include deposits for fixed rate annuities and FIAs and align with the LIMRA definition of all money paid into an individual annuity, including money paid into new contracts with initial purchase occurring in the specified period and existing contracts with initial purchase occurring prior to the specified period (excluding internal transfers).

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Consolidated Results of Operations

The following summarizes the consolidated results of operations:



	Three months ended June 30,						Six months ended June 30,
(In millions, except percentages)	2018			2017			2018			2017
Revenues	$	1,797		$	1,763		$	2,808		$	3,382
Benefits and expenses	1,467			1,426			2,151			2,639
Income before income taxes	330			337			657			743
Income tax expense (benefit)	66			11			125			33
Net income	$	264		$	326		$	532		$	710

Net income	$	264		$	326		$	532		$	710
Non-operating adjustments
Realized gains (losses) on sale of AFS securities	11			24			28			35
Unrealized, impairments and other investment gains (losses)	10			(15		)	16			(12		)
Assumed modco and funds withheld reinsurance embedded derivatives	(129		)	65			(207		)	133
Offsets to investment gains (losses)	34			(16		)	56			(41		)
Investment gains (losses), net of offsets	(74		)	58			(107		)	115
Change in fair values of derivatives and embedded derivatives – FIAs, net of offsets	75			15			170			109
Integration, restructuring and other non-operating expenses	(8		)	(11		)	(16		)	(20		)
Stock compensation expense	(2		)	(13		)	(5		)	(23		)
Income tax (expense) benefit – non-operating	(17		)	(3		)	(37		)	(17		)
Less: Total non-operating adjustments	(26		)	46			5			164
Adjusted operating income	$	290		$	280		$	527		$	546

Adjusted operating income by segment
Retirement Services	$	289		$	267		$	524		$	542
Corporate and Other	1			13			3			4
Adjusted operating income	$	290		$	280		$	527		$	546

ROE	12.3		%	16.4		%	12.4		%	18.7		%
Adjusted ROE	17.5		%	16.2		%	16.6		%	18.4		%
Adjusted operating ROE	14.2		%	16.2		%	12.9		%	16.2		%

Three Months Ended June 30, 2018 Compared to the Three Months Ended June 30, 2017

In this section, references to 2018 refer to the three months ended June 30, 2018 and references to 2017 refer to the three months ended June 30, 2017 .

Net Income

Net income decreased by $62 million , or 19% , to $264 million in 2018 from $326 million in 2017 . ROE decreased to 12.3% from 16.4% in 2017 , and adjusted ROE increased to 17.5% from 16.2% in 2017 . The decrease in net income was driven by unfavorable assumed reinsurance embedded derivative impacts and higher tax expense partially offset by a favorable net change in FIA derivatives. Assumed reinsurance embedded derivative impacts were unfavorable due to increases in U.S treasury rates, growth in the reinsurance block attributed to the Voya reinsurance transaction and credit spreads widening. The net change in FIA derivatives was driven by the favorable increase in discount rates compared to 2017, partially offset by the change in performance of the equity indices to which our FIA policies are linked compared to 2017.

The decrease in ROE was primarily driven by unfavorable assumed reinsurance embedded derivative impacts. Adjusted ROE, which excludes these impacts, increased primarily due to the favorable net change in FIA derivatives.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Adjusted Operating Income

Adjusted operating income increased by $10 million or 4% , to $290 million in 2018 from $280 million in the prior period. Adjusted operating ROE was 14.2% , down from 16.2% in 2017 . The increase in adjusted operating income was primarily driven by an increase in investment income partially offset by higher cost of crediting, other liability costs and income tax expense. The increase in investment income was driven by invested asset growth, earnings from the Voya reinsurance transaction and increased floating rate investment income which resulted from higher short-term interest rates. Cost of crediting was higher driven by block growth, including the addition of Voya liabilities. Other liability costs increased driven by higher rider reserve and DAC amortization related to less favorable equity market performance compared to 2017, actuarial out of period adjustments in 2017 and growth in the deferred annuity block of business.

Our consolidated net investment earned rate was 4.71% in 2018 , a decrease from 4.72% in 2017 , primarily attributed to 2017 benefiting from strong alternatives performance of 12.69% compared to 9.37% in 2018. Fixed and other net investment earned rate of 4.49% increased from 4.34% in 2017 driven by higher floating rate investment income in the quarter and the deconsolidation of Germany, partially offset by lower new money rates over the past year and lower returns on assets from the Voya reinsurance transaction.

Revenues

Total revenue increased by $34 million to $1.8 billion in 2018 from $1.8 billion in 2017 . The increase was driven by an increase in premiums, higher net investment income and an increase in product charges, which were largely offset by a decrease in investment related gains and losses and a decrease in VIE investment related gains and losses.

Premiums increased by $347 million to $726 million in 2018 from $379 million in the prior period, driven by the Voya reinsurance inception premiums attributed to payout annuities with life contingencies partially offset by higher PRT premiums in the prior year.

Net investment income increased by $137 million to $958 million in 2018 from $821 million in 2017 , primarily driven by earnings from growth in our investment portfolio attributed to a strong increase in deposits over the prior twelve months, $44 million of investment earnings from the Voya reinsurance transaction and higher floating rate investment income of $26 million due to higher short-term interest rates, partially offset by the deconsolidation of Germany in 2018.

Product charges increased by $21 million to $106 million in 2018 from $85 million in the prior period, primarily driven by growth in the block of business and charges related to the addition of the Voya reinsurance transaction.

Investment related gains and losses decreased by $462 million to $(2) million in 2018 from $460 million in the prior year, primarily due to the change in assumed reinsurance embedded derivatives, the change in fair value of FIA hedging derivatives and the unfavorable change in unrealized gains and losses on trading securities. The unfavorable change in assumed reinsurance embedded derivatives decreased by $190 million , driven by a change in the underlying assets related to the increase in U.S. treasury rates, an increase in the reinsurance block related to the Voya reinsurance transaction and credit spreads widening compared to the prior year benefiting from credit spreads tightening. The change in fair value of FIA hedging derivatives decreased by $167 million driven by the performance of the indices upon which our call options are based. Although the S&P performed slightly higher than the prior year (2.9% increase in 2018 compared to a 2.6% increase in 2017), we have fewer options which are directly linked to the S&P compared to prior year. The change in unrealized gains and losses on trading securities was comprised of an unfavorable decrease in AmerUs Closed Block assets of $70 million related to higher unrealized losses in the quarter due to the increase in U.S. treasury rates.

VIE investment relate d gains and losses decreased by $22 million to $(11) million in 2018 from $11 million in the prior year, primarily due to the decline in the market value of public equity positions in one of our funds.

Benefits and Expenses

Total benefits and expenses increased by $41 million to $1.5 billion in 2018 from $1.4 billion in 2017 . The increase was driven by an increase in future policy benefits and amortization of DAC and VOBA, partially offset by a decrease in interest sensitive contract benefits and a decrease in dividends to policyholders.

Future policy and other policy benefits increased by $279 million to $857 million in 2018 from $578 million in 2017 , primarily attributable to the Voya reinsurance policyholder obligations at inception related to payout annuities with life contingencies partially offset by higher PRT premiums in the prior year, a decrease in the change in AmerUs Closed Block fair value liability and $56 million related to the deconsolidation of our former German subsidiaries. The favorable change in the AmerUs Closed Block fair value liability of $71 million was primarily driven by the increase in unrealized losses on the underlying investments due to the increase in U.S. treasury rates.

DAC, DSI, and VOBA amortization increased by $37 million to $115 million in 2018 from $78 million in the prior year, primarily due to unfavorable investment related gains and losses and an increase in the DAC asset balance related to block growth and unfavorable impacts due to unfavorable changes in equity market performance compared to 2017, partially offset by an increase in the net change in FIA derivatives.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Interest sensitive contract benefits decreased by $221 million to $332 million in 2018 from $553 million in 2017 , driven by a decrease in FIA fair value embedded derivatives of $231 million . The decrease in FIA fair value embedded derivatives was due to a favorable change in discount rates used in our embedded derivative calculations as the current quarter experienced an increase in discount rates compared to 2017, which experienced a decrease in discount rates. The decrease was partially offset by an increase related to the performance of the equity indices to which our FIA policies are linked.

Dividends to policyholders decreased by $40 million to $9 million in 2018 from $49 million in the prior year, primarily attributed to the deconsolidation of our former German subsidiaries.

Taxes

Income tax expense increased by $55 million to $66 million in 2018 from $11 million in 2017 . With the enactment of the Tax Act, the U.S. statutory tax rate declined to 21% from 35%; however, the BEAT was established, which may subject payments to our non-U.S. reinsurance subsidiaries to a tax of 5%, which would increase to 10% in 2019. The income tax expense for 2018 assumes that we have taken steps so that the BEAT is not applicable to such payments and thereby assumes that more income is subject to U.S. income tax.

Our effective tax rates were 20% in 2018 and 3% in 2017 . The effective tax rate excludes the impacts of excise taxes of $0 million in 2018 and $12 million in 2017. Our effective tax rates may vary period to period depending upon the relationship of income and loss subject to tax compared to consolidated income and loss before income taxes.

Six Months Ended June 30, 2018 Compared to the Six Months Ended June 30, 2017

In this section, references to 2018 refer to the six months ended June 30, 2018 and references to 2017 refer to the six months ended June 30, 2017 .

Net Income

Net income decreased by $178 million , or 25% , to $532 million in 2018 from $710 million in 2017 . ROE decreased to 12.4% from 18.7% in 2017 and adjusted ROE decreased to 16.6% from 18.4% in 2017 . The decrease in net income was driven by a $19 million decrease in adjusted operating income and unfavorable assumed reinsurance embedded derivative impacts partially offset by a favorable net change in FIA derivatives. Assumed reinsurance embedded derivative impacts were unfavorable due to increases in U.S treasury rates, growth in the reinsurance block attributed to the Voya reinsurance transaction and credit spreads widening. The net change in FIA derivatives was driven by the favorable increase in discount rates compared to 2017, partially offset by the change in performance of the equity indices to which our FIA policies are linked compared to 2017.

Adjusted Operating Income

Adjusted operating income decreased by $19 million , or 3% , to $527 million in 2018 from $546 million in the prior period. Adjusted operating ROE was 12.9% , down from 16.2% in 2017. The decrease in adjusted operating income was primarily driven by higher other liability costs, an increase in cost of crediting and higher income tax expense, partially offset by an increase in investment income. Other liability costs increased primarily due to higher rider reserves and DAC amortization related to less favorable equity market performance compared to 2017, actuarial out of period adjustments in 2017 and growth in the deferred annuity block of business. Cost of crediting was higher driven by block growth, including the addition of Voya liabilities. The increase in investment income was primarily due to invested asset growth, earnings from the Voya reinsurance transaction and increased floating rate investment income related to higher short-term interest rates.

Our consolidated net investment earned rate was 4.66% in 2018 , an increase from 4.60% in 2017. Fixed and other net investment earned rate of 4.41% increased from 4.31% in 2017 driven by higher floating rate investment income in 2018 and the deconsolidation of Germany, partially offset by lower new money rates over the past year, lower returns on assets from the Voya reinsurance transaction and elevated levels of cash compared to 2017. Our alternative investment net investment earned rate was 9.78% , a decrease from 10.40% in 2017, primarily due to the strong performance of Amerihome experienced in 2017.

Revenues

Total revenue decreased by $574 million to $2.8 billion in 2018 from $3.4 billion in 2017. The decrease was driven by unfavorable changes in investment related gains and losses, partially offset by an increase in premiums, higher net investment income and an increase in product charges.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Investment related gains and losses decreased by $1.4 billion to $(238) million in 2018 from $1.1 billion in the prior period, primarily due to the change in fair value of FIA hedging derivatives, the change in assumed reinsurance embedded derivatives and the unfavorable change in unrealized gains and losses on trading securities. The change in fair value of FIA hedging derivatives decreased by $832 million d riven by the performance of the indices upon which our call options are based. The majority of our call options are based on the S&P 500 index which experienced a 1.7% increase in 2018 , compared to an 8.2% increase i n 2017 . The assumed reinsurance embedded derivatives decreased by $367 million driven by a change in the underlying assets related to the increase in U.S. treasury rates, an increase in the reinsurance block related to the Voya reinsurance transaction and credit spreads widening compared to the prior year benefiting from credit spreads tightening. The change in unrealized gains and losses on trading securities was comprised of an unfavorable decrease in AmerUs Closed Block assets of $134 million related to higher unrealized losses in the first quarter of 2018 due to the increase in U.S. treasury rates.

Premiums increased by $573 million to $1.0 billion in 2018 from $431 million in the prior period, driven by the Voya reinsurance inception premiums attributed to payout annuities with life contingencies.

Net investment income increased by $206 million to $1.8 billion in 2018 from $1.6 billion in 2017, primarily driven by earnings from growth in our investment portfolio attributed to a strong increase in deposits over the prior twelve months, $44 million of investment earnings from the Voya reinsurance transaction and higher floating rate investment income due to higher short-term interest rates, partially offset by the deconsolidation of our former German subsidiaries. The increase in alternative investment income was primarily due to higher income in one of our hedge funds, partially offset by lower credit fund income.

Product charges increased by $36 million to $202 million in 2018 from $166 million in the prior period, primarily driven by growth in the block of business and charges related to the addition of the Voya reinsurance transaction.

Benefits and Expenses

Total benefits and expenses decreased by $488 million to $2.2 billion in 2018 from $2.6 billion in 2017. The decrease was driven by a decrease in interest sensitive contract benefits, a decrease in dividends payable to policyholders, and a decrease to policy and other operating expenses, partially offset by an increase in future policy and other policy benefits.

Interest sensitive contract benefits decreased by $894 million to $351 million in 2018 from $1.2 billion in 2017, primarily due to the change in FIA fair value embedded derivatives. The change in FIA fair value embedded derivatives decreased by $898 million primarily driven by the performance of the equity indices to which our FIA policies are linked, primarily the S&P 500 index, which experienced a 1.7% increase in 2018 , compared to a 8.2% increase in 2017. Additionally, the FIA fair value embedded derivatives were impacted by a favorable change in discount rates used in our embedded derivative calculations as the current period experienced an increase in discount rates compared to 2017, which experienced a decrease in discount rates.

Dividends to policyholders decreased by $59 million to $22 million in 2018 from $81 million in the prior year, primarily attributed to the deconsolidation of our former German subsidiaries.

Policy and other operating expenses decreased by $26 million to $295 million in 2018 from $321 million in the prior year, primarily driven by lower stock compensation expense of $18 million and $31 million related to the deconsolidation of Germany, partially offset by debt costs related to our inaugural debt issuance in January.

Future policy and other policy benefits increased by $466 million to $1.3 billion in 2018 from $792 million in 2017, primarily attributable to the Voya reinsurance policyholder obligations at inception related to payout annuities with life contingencies and an increase in rider reserves, partially offset by a decrease in the change in AmerUs Closed Block fair value liability and $108 million related to the deconsolidation of our former German subsidiaries. The increase in rider reserves of $37 million was primarily driven by growth in the block of business and unfavorable impacts related to the change in equity market performance compared to 2017 resulting in decreased index credits to policyholder accounts which increased the amount needed to fund the rider reserve. The favorable change in the AmerUs Closed Block fair value liability of $148 million was primarily driven by the increase in unrealized losses on the underlying investments driven related to the increase in U.S. treasury rates.

Taxes

Income tax expense increased by $92 million to $125 million in 2018 from $33 million in 2017. With the enactment of the Tax Act, the U.S. statutory tax rate declined to 21% from 35%; however, the BEAT was established, which may subject payments to our non-U.S. reinsurance subsidiaries to a tax of 5%, which would increase to 10% in 2019. The income tax expense for 2018 assumes that we have taken steps so that the BEAT is not applicable to such payments and thereby assumes that more income is subject to U.S. income tax.

Our effective tax rates were 19% in 2018 and 4% in 2017. The effective tax rate excludes the impacts of excise taxes of $0 million in 2018 and $25 million in 2017. Our effective tax rates may vary period to period depending upon the relationship of income and loss subject to tax compared to consolidated income and loss before income taxes.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Results of Operations by Segment

The following summarizes our adjusted operating income by segment:



	Three months ended June 30,						Six months ended June 30,
(In millions, except percentages)	2018			2017			2018			2017
Adjusted operating income by segment
Retirement Services	$	289		$	267		$	524		$	542
Corporate and Other	1			13			3			4
Adjusted operating income	$	290		$	280		$	527		$	546

Retirement Services adjusted operating ROE	19.8		%	22.0		%	18.0		%	23.1		%

Retirement Services

Retirement Services is comprised of our United States and Bermuda operations which issue and reinsure retirement savings products and institutional products. Retirement Services has retail operations, which provide annuity retirement solutions to our policyholders. Retirement Services also has reinsurance operations, which reinsure multi-year guaranteed annuities (MYGA), FIAs, traditional one year guarantee fixed deferred annuities, immediate annuities and institutional products from our reinsurance partners. In addition, our institutional operations, including funding agreements and PRT obligations, are included in our Retirement Services segment.

Three Months Ended June 30, 2018 Compared to the Three Months Ended June 30, 2017

In this section, references to 2018 refer to the three months ended June 30, 2018 and references to 2017 refer to the three months ended June 30, 2017 .

Adjusted Operating Income

Adjusted operating income increased by $22 million , or 8% , to $289 million in 2018 , from $267 million in 2017 . Adjusted operating ROE was 19.8% , down from 22.0% in the prior period. The increase in adjusted operating income was primarily driven by an increase in net investment earnings partially offset by higher cost of crediting, other liability costs and income tax expense.

Net investment earnings increased $162 million primarily driven by earnings from growth in invested assets of $27.6 billion attributed to the Voya reinsurance transaction and a strong increase in deposits over the prior twelve months. Additionally, floating rate investment income was higher $26 million related to higher short-term interest rates.

Cost of crediting increased $54 million driven by block growth, including the addition of Voya liabilities.

Other liability costs increased $44 million driven by higher rider reserve and DAC amortization related to unfavorable impacts related to equity market performance resulting in favorable $13 million impact in 2018 compared to a $44 million benefit from equity market performance and actuarial out of period adjustments in 2017, as well as growth in the deferred annuity block of business and the addition of Voya liabilities. Although the S&P performed slightly higher than the prior year ( 2.9% increase in 2018 compared to a 2.6% increase in 2017), we have fewer options which are directly linked to the S&P compared to prior year.

Investment Margin on Deferred Annuities



	Three months ended June 30,
	2018		2017
Net investment earned rate	4.74	%	4.85	%
Cost of crediting	1.92	%	1.89	%
Investment margin on deferred annuities	2.82	%	2.96	%

Investment margin on deferred annuities decreased by 14 basis points to 2.82% in 2018 , from 2.96% in 2017 . The decrease in the investment margin on deferred annuities was driven by the decrease in net investment earned rate of 11 basis points, and an unfavorable increase in cost of crediting of 3 basis points.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Net investment earned rate decreased due to the decrease in fixed and other net investment earned rates and alternative net investment earned rates. The fixed and other net investment earned rate decreased in 2018 to 4.49% from 4.55% in 2017 primarily attributed to lower new money rates over the past year, lower returns on the assets from the Voya reinsurance transaction and lower mortgage principal paydowns, partially offset by higher floating rate investment income in the quarter. The alternative investment net investments earned rate remained strong in 2018 at 11.28% driven by strong MidCap performance for the quarter returning 14.51% . The alternative investment net investment earned rate decreased from 12.28% in 2017 as a result of the prior year benefiting from the strong performance of AmeriHome which experienced an earned rate of 23.76% in prior year, compared to 12.14% in 2018.

Cost of crediting on deferred annuities increased by 3 basis points to 1.92% in 2018 , from 1.89% in 2017 . The increase in cost of crediting was driven by a higher rate on the Voya reinsurance liabilities. We continue to focus on pricing discipline, managing interest rates credited to policyholders and managing the cost of options to fund the annual index credits on our FIA products.

Six Months Ended June 30, 2018 Compared to the Six Months Ended June 30, 2017

In this section, references to 2018 refer to the six months ended June 30, 2018 and references to 2017 refer to the six months ended June 30, 2017 .

Adjusted Operating Income

Adjusted operating income decreased by $18 million , or 3% , to $524 million in 2018 , from $542 million in 2017 . Adjusted operating ROE was 18.0% , down from 23.1% in the prior period. The decrease in adjusted operating income was primarily driven by an increase in other liability costs, cost of crediting and income tax expense, partially offset by higher net investment earnings.

Other liability costs increased $123 million driven by unfavorable impacts related to equity market performance resulting in an unfavorable $2 million impact in 2018 compared to a benefit of $77 million in 2017, as well as growth in our deferred annuity block of business, partially offset by lower excise taxes in 2018.

Cost of crediting increased $66 million driven by block growth, including the addition of Voya liabilities.

Net investment earnings increased $248 million driven primarily by earnings from growth in invested assets of $27.6 billion attributed to the Voya reinsurance transaction and a strong increase in deposits over the prior twelve months. Additionally, floating rate investment income increased by $60 million related to higher short-term interest rates, partially offset by a benefit in the prior year of $14 million from proceeds on the recovery of a bond previously written down and lower mortgage principal paydowns in 2018.

Investment Margin on Deferred Annuities



	Six months ended June 30,
	2018		2017
Net investment earned rate	4.68	%	4.80	%
Cost of crediting	1.89	%	1.90	%
Investment margin on deferred annuities	2.79	%	2.90	%

Investment margin on deferred annuities decreased by 11 basis points to 2.79% in 2018 , from 2.90% in 2017 . The decrease in the investment margin on deferred annuities was driven by the decrease in net investment earned rate of 12 basis points, partially offset by a favorable decrease in cost of crediting of 1 basis point.

Net investment earned rate decreased due to the decrease in fixed and other net investment earned rate. The fixed and other net investment earned rate decreased in 2018 , to 4.40% from 4.53% in 2017 primarily attributed to lower new money rates over the past year, lower returns on the assets from the Voya reinsurance transaction, lower mortgage principal paydowns, elevated levels of cash during 2018 and 2017 benefiting from proceeds from a bond previously written down. The decreases were partially offset by higher floating rate investment income in the quarter. The a lternative investments net investments earned rate increased in 2018 to 11.64% from 11.48% in 2017 , reflecting higher income in one of our hedge funds and strong performance from MidCap.

Cost of crediting on deferred annuities decreased by 1 basis point to 1.89% in 2018 , from 1.90% in 2017 . The decrease in cost of crediting was driven by rate actions on business that renewed in 2017, partially offset by a higher rate on the Voya reinsurance liabilities and an increase in option costs due to higher volatility and short-term interest rates.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Corporate and Other

Corporate and Other includes certain other operations related to our corporate activities, including corporate allocated expenses, merger and acquisition costs, debt costs, certain integration and restructuring costs, certain stock-based compensation and intersegment eliminations. In Corporate and Other, we also hold capital in excess of the level of capital we hold in Retirement Services to support our operating strategy. Prior to the deconsolidation of Athora on January 1, 2018, Corporate and Other included our German operations, which were primarily comprised of participating long-duration savings products.

Adjusted Operating Income

Adjusted operating income decreased by $12 million to $1 million in the three months ended June 30, 2018 , from $13 million in the three months ended June 30, 2017 . The decrease in adjusted operating income was mainly driven by lower alternative investment income due to the decline in the market value of public equity positions in one of our funds and lower credit fund income. Our former German operations, which deconsolidated on January 1, 2018, had an operating loss of $8 million in the three months ended June 30, 2017 .

Adjusted operating income decreased by $1 million to $3 million in the six months ended June 30, 2018 , from $4 million in the six months ended June 30, 2017 . The decrease in adjusted operating income, excluding Germany, was mainly driven by lower alternative investment income related to the decline in market value of public equity positions in one of our funds and debt costs from our inaugural debt issuance in January, partially offset by higher fixed and other investment income primarily related to the increase in excess capital. Our former German operations, which deconsolidated on January 1, 2018, had an operating loss of $11 million in the six months ended June 30, 2017 .

Consolidated Investment Portfolio

We had consolidated investments, including related parties, of $98.7 billion and $84.4 billion as of June 30, 2018 and December 31, 2017 , respectively. Our investment strategy seeks to achieve sustainable risk-adjusted returns through disciplined managing of investment characteristics with our long-duration liabilities and the diversification of risk. The investment strategies utilized by our investment managers focus primarily on a buy and hold asset allocation strategy that may be adjusted periodically in response to changing market conditions and the nature of our liability profile. The majority of our investment portfolio is managed by AAM, an indirect subsidiary of Apollo founded for the express purpose of managing our portfolio. AAM provides a full suite of services for our investment portfolio, including direct investment management, asset allocation, mergers and acquisition asset diligence, and certain operational support services, including investment compliance, tax, legal and risk management support. Our relationship with AAM and Apollo allows us to take advantage of our generally illiquid liability profile by identifying investment opportunities with an emphasis on earning incremental yield by taking liquidity and complexity risk rather than assuming solely credit risk. The deep experience of the AAM investment team and Apollo’s credit portfolio managers assists us in sourcing and underwriting complex asset classes. AAM has selected a diverse array of corporate bonds and more structured, but highly rated asset classes. We also maintain holdings in floating rate and less rate-sensitive instruments, including CLOs, non-agency RMBS and various types of structured products. In addition to our fixed income portfolio, we opportunistically allocate 5-10% of our portfolio to alternative investments where we primarily focus on fixed income-like, cash flow-based investments.

Our invested assets, which are those which directly back our policyholder liabilities as well as surplus assets (as previously discussed in Key Operating and Non-GAAP Measures ), were $98.6 billion and $82.3 billion as of June 30, 2018 and December 31, 2017 , respectively. AAM manages, directly and indirectly, $97.0 billion of investments, which in the aggregate constitute the vast majority of our investment portfolio as of June 30, 2018 , comprising a diversified portfolio of fixed maturity and other securities. Through our relationship with Apollo, AAM has identified unique investment opportunities for us. AAM’s knowledge of our funding structure and regulatory requirements allows it to design customized strategies and investments for our portfolio.

Our asset portfolio is managed within the limits and constraints set forth in our Investment and Credit Risk Policy. Under this policy, we set limits on investments in our portfolio by asset class, such as corporate bonds, emerging markets securities, municipal bonds, non-agency RMBS, CMBS, CLOs, commercial mortgage whole loans and mezzanine loans and investment funds. We also set credit risk limits for exposure to a single issuer that vary based on the issuer’s ratings. In addition, our investment portfolio is constrained by its scenario-based capital ratio limit and its stressed liquidity limit.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following table presents the carrying values of our total investments and investments in related parties:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total
Fixed maturity securities, at fair value
AFS securities	$	59,762	60.6	%	$	61,012	72.3	%
Trading securities	2,053		2.1	%	2,196		2.6	%
Equity securities	216		0.2	%	790		0.9	%
Mortgage loans, net of allowances	7,609		7.7	%	6,233		7.4	%
Investment funds	633		0.6	%	699		0.8	%
Policy loans	504		0.5	%	530		0.6	%
Funds withheld at interest	7,700		7.8	%	7,085		8.4	%
Derivative assets	1,929		2.0	%	2,551		3.0	%
Real estate	—		—	%	624		0.7	%
Short-term investments	289		0.3	%	201		0.2	%
Other investments	123		0.1	%	133		0.2	%
Total investments	80,818		81.9	%	82,054		97.1	%
Investment in related parties
Fixed maturity securities, at fair value
AFS securities	956		1.0	%	406		0.5	%
Trading securities	278		0.3	%	307		0.4	%
Investment funds	1,836		1.8	%	1,310		1.6	%
Funds withheld at interest	14,221		14.4	%	—		—	%
Short-term investments	172		0.2	%	52		0.1	%
Other investments	388		0.4	%	238		0.3	%
Total related party investments	17,851		18.1	%	2,313		2.9	%
Total investments, including related party	$	98,669	100.0	%	$	84,367	100.0	%

The increase in our total investments, including related party, as of June 30, 2018 of $14.3 billion compared to December 31, 2017 was mainly driven by $18.0 billion of assets from the Voya reinsurance transaction, growth from organic deposits of $4.7 billion less liability outflows of $3.6 billion and reinvestment of earnings. These were partially offset by the deconsolidation of $5.9 billion related to our former German operations, the change in unrealized gains and losses on AFS securities and a decrease in derivative assets. Unrealized gains and losses on AFS securities decreased $2.2 billion attributed to the increase in U.S. treasury rates and credit spreads widening. Derivative assets decreased by $622 million primarily attributed to higher maturities than purchases in the current period, partially offset by equity market performance as the S&P 500 index increased by 1.7% during the year.

Our investment portfolio consists largely of high quality fixed maturity securities, loans and short-term investments, as well as additional opportunistic holdings in investment funds and other instruments, including a small amount of equity holdings. Fixed maturity securities and loans include publicly issued corporate bonds, government and other sovereign bonds, privately placed corporate bonds and loans, mortgage loans, CMBS, RMBS, CLOs, and other asset-backed securities (ABS).

While the substantial majority of our investment portfolio has been allocated to corporate bonds and structured credit products, a key component of our investment strategy is the opportunistic acquisition of investment funds with attractive risk and return profiles. Our investment fund portfolio consists of funds that employ various strategies including real estate and other real asset funds, credit funds, private equity funds and hedge funds. We have a strong preference for assets that have some or all of the following characteristics, among others: (1) investments that constitute a direct investment or an investment in a fund with a high degree of co-investment; (2) investments with credit- or debt-like characteristics (for example, a stipulated maturity and par value), or alternatively, investments with reduced volatility when compared to pure equity; or (3) investments that have less downside risk. We acquired certain investment funds from AAA Investor (which are classified as private equity investments and consolidated VIEs) as a one-time capital contribution by our largest shareholder in advance of the Aviva USA acquisition. With respect to investment fund portfolios that we received in these transactions, we actively reinvest these investments in our preferred credit-oriented strategies over time as we liquidate these holdings.

We hold derivatives for economic hedging purposes to reduce our exposure to the cash flow variability of assets and liabilities, equity market risk, interest rate risk, credit risk, and to a lesser extent, foreign exchange risk. Our primary use of derivative instruments relates to providing the income needed to fund the annual indexed credits on our FIA products. We primarily use fixed indexed options to economically hedge FIA products that guarantee the return of principal to the policyholder and credit interest based on a percentage of the gain in a specific market index.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

With respect to derivative positions, we transact with highly rated counterparties, and do not expect the counterparties to fail to meet their obligations under the contracts. We generally use industry standard agreements and annexes with bilateral collateral provisions to further reduce counterparty credit exposure.

AFS Securities

We invest with the intent to hold investments to maturity. In selecting investments we attempt to source investments that match our future cash flow needs. However, we may sell any of our investments in advance of maturity in order to timely satisfy our liabilities as they become due or in order to respond to a change in the credit profile or other characteristics of the particular investment.

AFS fixed maturity securities are carried at fair value on our condensed consolidated balance sheets. Changes in fair value for our AFS portfolio, net of related DAC, DSI and VOBA amortization and the change in rider reserves, are charged or credited to other comprehensive income, net of tax. Declines in fair value that are other than temporary are recorded as realized losses in the condensed consolidated statements of income, net of any applicable non-credit component of the loss, which is recorded as an adjustment to other comprehensive income.

The distribution of our AFS securities, including related parties, by type is as follows:



	June 30, 2018
(In millions, except percentages)	Amortized Cost		Unrealized Gain		Unrealized Loss			Fair Value		Percent of Total
AFS securities
U.S. government and agencies	$	143	$	—	$	(1	)	$	142	0.2	%
U.S. state, municipal and political subdivisions	1,152		124		(5		)	1,271		2.1	%
Foreign governments	203		1		(5		)	199		0.3	%
Corporate	37,258		481		(885		)	36,854		60.7	%
CLO	5,355		21		(24		)	5,352		8.8	%
ABS	4,727		32		(43		)	4,716		7.8	%
CMBS	2,343		28		(47		)	2,324		3.8	%
RMBS	8,264		648		(8		)	8,904		14.7	%
Total AFS securities	59,445		1,335		(1,018		)	59,762		98.4	%
AFS securities – related party
CLO	473		2		(3		)	472		0.8	%
ABS	485		2		(3		)	484		0.8	%
Total AFS securities – related party	958		4		(6		)	956		1.6	%
Total AFS securities, including related party	$	60,403	$	1,339	$	(1,024	)	$	60,718	100.0	%

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations



	December 31, 2017
(In millions, except percentages)	Cost or Amortized Cost		Unrealized Gain		Unrealized Loss			Fair Value		Percent of Total
Fixed maturity securities
U.S. government and agencies	$	63	$	1	$	(2	)	$	62	0.1	%
U.S. state, municipal and political subdivisions	996		171		(2		)	1,165		1.9	%
Foreign governments	2,575		116		(8		)	2,683		4.3	%
Corporate	35,173		1,658		(171		)	36,660		59.5	%
CLO	5,039		53		(8		)	5,084		8.2	%
ABS	3,945		53		(27		)	3,971		6.4	%
CMBS	1,994		48		(21		)	2,021		3.3	%
RMBS	8,721		652		(7		)	9,366		15.2	%
Total fixed maturity securities	58,506		2,752		(246		)	61,012		98.9	%
Equity securities ¹	271		7		(1		)	277		0.4	%
Total AFS securities	58,777		2,759		(247		)	61,289		99.3	%
AFS securities – related party
CLO	353		7		—			360		0.6	%
ABS	46		—		—			46		0.1	%
Total AFS securities – related party	399		7		—			406		0.7	%
Total AFS securities, including related party	$	59,176	$	2,766	$	(247	)	$	61,695	100.0	%

¹ Included in equity securities on the condensed consolidated balance sheets.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Fixed Maturity Securities

We maintain a diversified AFS portfolio of corporate fixed maturity securities across industries and issuers, and a diversified portfolio of structured securities. The composition of our AFS fixed maturity securities, including related parties, is as follows:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
Corporate
Industrial other ¹	$	11,772	19.4	%	$	12,026	19.6	%
Financial	11,783		19.4	%	11,824		19.3	%
Utilities	8,740		14.4	%	8,296		13.5	%
Communication	2,438		4.0	%	2,607		4.2	%
Transportation	2,121		3.5	%	1,907		3.1	%
Total corporate	36,854		60.7	%	36,660		59.7	%
Other government-related securities
U.S. state, municipal and political subdivisions	1,271		2.1	%	1,165		1.9	%
Foreign governments	199		0.3	%	2,683		4.4	%
U.S. government and agencies	142		0.2	%	62		0.1	%
Total non-structured securities	38,466		63.3	%	40,570		66.1	%
Structured securities
CLO	5,824		9.6	%	5,444		8.9	%
ABS	5,200		8.6	%	4,017		6.5	%
CMBS	2,324		3.8	%	2,021		3.3	%
RMBS
Agency	115		0.2	%	87		0.1	%
Non-agency	8,789		14.5	%	9,279		15.1	%
Total structured securities	22,252		36.7	%	20,848		33.9	%
Total AFS fixed maturity securities, including related party	$	60,718	100.0	%	$	61,418	100.0	%

¹ Includes securities within various industry segments including capital goods, basic industry, consumer cyclical, consumer non-cyclical, industrial and technology.

The fair value of our total AFS fixed maturity securities, including related parties, was $60.7 billion and $61.4 billion as of June 30, 2018 and December 31, 2017 , respectively. The decrease was mainly driven by the deconsolidation of $5.9 billion related to our former German operations and the change in unrealized gains and losses on AFS securities. Unrealized gains and losses on AFS securities decreased attributed to the increase in U.S. treasury rates and credit spreads widening. These were partially offset by strong growth in deposits over liability outflows in assets from the Voya reinsurance transaction.

The Securities Valuation Office (SVO) of the NAIC is responsible for the credit quality assessment and valuation of securities owned by state regulated insurance companies. Insurance companies report ownership of securities to the SVO when such securities are eligible for filing on the relevant schedule of the NAIC Financial Statement Blank. The SVO conducts credit analysis on these securities for the purpose of assigning an NAIC designation and/or unit price. With important exceptions discussed below, if a security has been rated by a Nationally Recognized Statistical Rating Organization (NRSRO), the SVO utilizes that rating and assigns an NAIC designation based upon the following system:



NAIC designation		NRSRO equivalent rating
1		AAA/AA/A
2		BBB
3		BB
4		B
5		CCC
6		CC and lower

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The NRSRO ratings methodology is focused on the likelihood of recovery of all contractual payments, including principal at par, regardless of an investor’s carrying value. In effect, the NRSRO rating assumes that the holder is the original purchaser at par. In contrast, the SVO’s loan-backed and structured securities (LBaSS) methodology is focused on determining the risk associated with the recovery of the amortized cost of each security. Because the NAIC’s methodology explicitly considers amortized cost and the likelihood of recovery of our investment, we view the NAIC’s methodology as the most appropriate way to view our fixed maturity portfolio for purposes of evaluating credit quality since a large portion of our holdings were purchased and are carried at significant discounts to par.

Specific to LBaSS, the SVO has developed a ratings process and provides instruction on both modeled and non-modeled LBaSS. The modeled LBaSS process is specific to the non-agency RMBS and CMBS asset classes. In order to establish ratings at the individual security level, the SVO obtains loan-level analysis of each RMBS and CMBS using a selected vendor’s proprietary financial model. The SVO ensures that the vendor has extensive internal quality-control processes in place and the SVO conducts its own quality-control checks of the selected vendor’s valuation process. The SVO has retained the services of Blackrock to model non-agency RMBS and CMBS owned by U.S. insurers for all years presented herein. Blackrock provides five prices (breakpoints), based on each U.S. insurer’s statutory book value price, to utilize in determining the NAIC designation for each modeled LBaSS. For non-modeled LBaSS (including ABS and CLOs) with the initial designation of NAIC 1 or NAIC 6, the designation remains the same through the life of the security. For non-modeled LBaSS with the initial designation of NAIC 2 through NAIC 5, the selected vendors are not utilized and the NAIC designations are set using a standardized table of breakpoints provided by the SVO for application to the insurer’s statutory book value price. The NAIC designation determines the associated level of RBC that an insurer is required to hold for modeled LBaSS owned by the insurer. In general, under both the modeled and non-modeled LBaSS processes, the larger the discount to par value, the stronger the NAIC designation the LBaSS will have.

A summary of our AFS fixed maturity securities, including related parties, by NAIC designation (with our former German operations applying NRSRO ratings to map to NAIC designations) is as follows:



	June 30, 2018						December 31, 2017
(In millions, except percentages)	Amortized Cost		Fair Value		Percent of Total		Amortized Cost		Fair Value		Percent of Total
NAIC designation
1	$	30,419	$	31,056	51.2	%	$	30,906	$	32,447	52.8	%
2	26,268		26,017		42.8	%	24,147		25,082		40.9	%
Total investment grade	56,687		57,073		94.0	%	55,053		57,529		93.7	%
3	2,876		2,832		4.7	%	2,978		3,040		5.0	%
4	707		679		1.1	%	789		765		1.2	%
5	125		124		0.2	%	70		66		0.1	%
6	8		10		0.0	%	15		18		0.0	%
Total below investment grade	3,716		3,645		6.0	%	3,852		3,889		6.3	%
Total fixed maturity securities, including related party	$	60,403	$	60,718	100.0	%	$	58,905	$	61,418	100.0	%

Substantially all of our AFS fixed maturity portfolio, 94.0% and 93.7% as of June 30, 2018 and December 31, 2017 , respectively, was invested in assets considered investment grade with a NAIC designation of 1 or 2.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

A summary of our AFS fixed maturity securities, including related parties, by NRSRO ratings is set forth below:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
NRSRO rating agency designation
AAA/AA/A	$	20,704	34.1	%	$	21,448	34.9	%
BBB	23,837		39.3	%	23,572		38.4	%
Non-rated ¹	6,932		11.4	%	6,592		10.7	%
Total investment grade	51,473		84.8	%	51,612		84.0	%
BB	2,878		4.7	%	3,091		5.0	%
B	1,096		1.8	%	1,198		2.0	%
CCC	3,004		5.0	%	2,696		4.4	%
CC and lower	1,572		2.6	%	2,302		3.8	%
Non-rated ¹	695		1.1	%	519		0.8	%
Total below investment grade	9,245		15.2	%	9,806		16.0	%
Total fixed maturity securities, including related party	$	60,718	100.0	%	$	61,418	100.0	%

¹ Securities denoted as non-rated by the NRSRO were classified as investment or non-investment grade according to the security’s respective NAIC designation.

Consistent with the NAIC Process and Procedures Manual, an NRSRO rating was assigned based on the following criteria: (a) the equivalent S&P rating where the security is rated by one NRSRO; (b) the equivalent S&P rating of the lowest NRSRO when the security is rated by two NRSROs; and (c) the equivalent S&P rating of the second lowest NRSRO if the security is rated by three or more NRSROs. If the lowest two NRSRO ratings are equal, then such rating will be the assigned rating. NRSRO ratings available for the periods presented were S&P, Fitch, Moody’s Investor Service (Moody’s), DBRS, and Kroll Bond Rating Agency, Inc. (KBRA).

The portion of our AFS fixed maturity portfolio that was considered below investment grade based on NRSRO ratings was 15.2% and 16.0% as of June 30, 2018 and December 31, 2017 , respectively. The primary driver of the difference in the percentage of securities considered below investment grade by NRSROs as compared to the securities considered below investment grade by the NAIC relates to the difference in methodologies between the NRSRO and NAIC for RMBS due to investments acquired at a discount to par value, as discussed above.

As of June 30, 2018 and December 31, 2017 , the non-rated securities shown above were comprised of 45% and 44% , respectively, of corporate private placement securities for which we have not sought individual ratings from the NRSROs and 38% and 42% , respectively, of RMBS, many of which were acquired at a significant discount to par. We rely on internal analysis of credit risk and designations assigned by the NAIC. As of June 30, 2018 and December 31, 2017 , 91% and 93% , respectively, of the non-rated securities were designated NAIC 1 or 2.

Asset-backed Securities – We invest in ABS which are securitized by pools of assets such as consumer loans, automobile loans, student loans, insurance-linked securities, operating cash flows of corporations and cash flows from various types of business equipment. These holdings were $5.2 billion and $4.0 billion as of June 30, 2018 and December 31, 2017 , respectively. As of June 30, 2018 and December 31, 2017 , our ABS portfolio included $4.9 billion ( 95% of the total) and $3.8 billion ( 94% of the total), respectively, of securities that are considered investment grade based on NAIC designations, while $4.7 billion ( 90% of the total) and $3.6 billion ( 89% of the total), respectively, of securities were considered investment grade based on NRSRO ratings.

Collateralized Loan Obligations – We also invest in CLOs which pay principal and interest from cash flows received from underlying corporate loans. These holdings were $5.8 billion and $5.4 billion as of June 30, 2018 and December 31, 2017 , respectively. As of June 30, 2018 and December 31, 2017 , our CLO portfolio included $5.3 billion ( 91% of the total) and $4.6 billion ( 85% of the total), respectively, of securities that are considered investment grade based on NAIC designations, while $5.5 billion ( 95% of the total) and $4.8 billion ( 88% of the total), respectively, of securities were considered investment grade based on NRSRO ratings.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Commercial Mortgage-backed Securities – A portion of our fixed maturity AFS portfolio is invested in CMBS. CMBS are constructed from pools of commercial mortgages. These holdings were $2.3 billion and $2.0 billion as of June 30, 2018 and December 31, 2017 , respectively. As of June 30, 2018 and December 31, 2017 , our CMBS portfolio included $2.1 billion ( 89% of the total) and $1.9 billion ( 95% of the total), respectively, of securities that are considered investment grade based on NAIC designations, while $1.5 billion ( 65% of the total) and $1.4 billion ( 70% of the total), respectively, of securities were considered investment grade based on NRSRO ratings.

Residential Mortgage-backed Securities – As part of our core investment strategy, a portion of our fixed maturity AFS portfolio is invested in RMBS. RMBS are securities constructed from pools of residential mortgages and backed by payments from those pools. These holdings were $8.9 billion and $9.4 billion as of June 30, 2018 and December 31, 2017 , respectively. Excluding limitations on access to lending and other extraordinary economic conditions, prepayments of principal on the underlying loans can be expected to accelerate with decreases in market interest rates and diminish with increases in interest rates. Our investments in RMBS are primarily non-agency RMBS having a significant focus on assets with attractive entry prices, which are generally considered investment grade based on NAIC designations, given the likelihood that we ultimately receive principal and interest distributions in an amount at least equal to our amortized cost.

A summary of our AFS RMBS portfolio by NAIC designations and NRSRO quality ratings is as follows:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
NAIC designation
1	$	8,219	92.4	%	$	8,714	93.0	%
2	385		4.3	%	360		3.8	%
Total investment grade	8,604		96.7	%	9,074		96.8	%
3	189		2.1	%	213		2.3	%
4	109		1.2	%	73		0.8	%
5	1		0.0	%	6		0.1	%
6	1		0.0	%	—		—	%
Total below investment grade	300		3.3	%	292		3.2	%
Total RMBS	$	8,904	100.0	%	$	9,366	100.0	%

NRSRO rating agency designation
AAA/AA/A	$	528	5.9	%	$	335	3.6	%
BBB	268		3.0	%	347		3.7	%
Non-rated ¹	2,750		30.9	%	2,866		30.6	%
Total investment grade	3,546		39.8	%	3,548		37.9	%
BB	352		4.0	%	415		4.4	%
B	401		4.5	%	417		4.5	%
CCC	2,904		32.6	%	2,580		27.5	%
CC and lower	1,568		17.6	%	2,298		24.5	%
Non-rated ¹	133		1.5	%	108		1.2	%
Total below investment grade	5,358		60.2	%	5,818		62.1	%
Total RMBS	$	8,904	100.0	%	$	9,366	100.0	%

¹ Securities denoted as non-rated by the NRSRO were classified as investment or non-investment grade according to the security’s respective NAIC designations.

A significant majority of our RMBS portfolio, 96.7% and 96.8% as of June 30, 2018 and December 31, 2017 , respectively, was invested in assets considered to be investment grade based upon an application of the NAIC’s methodology to our holdings of RMBS. The NAIC’s methodology with respect to RMBS gives explicit effect to the amortized cost at which an insurance company carries each such investment. Because we invested in RMBS after the stresses related to U.S. housing had caused significant downward pressure on prices of RMBS, we carry most of our investments in RMBS at significant discounts to par value, which resulted in an investment grade NAIC designation. In contrast, our understanding is that in setting ratings, NRSROs focus on the likelihood of recovery of all contractual payments including principal at par value. As a result of a fundamental difference in approach, as of June 30, 2018 and December 31, 2017 , NRSROs characterized 39.8% and 37.9% , respectively, of our RMBS as investment grade.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Unrealized Losses

Our investments in fixed maturity securities, including related parties, are reported at fair value with changes in fair value recorded in other comprehensive income. Certain of our fixed maturity securities, including related parties, have experienced declines in fair value that we consider temporary in nature. As of June 30, 2018 , our fixed maturity securities, including related party, had a fair value of $60.7 billion , which was 0.5% above amortized cost of $60.4 billion . As of December 31, 2017 , our fixed maturity securities, including related party, had a fair value of $61.4 billion , which was 4.3% above amortized cost of $58.9 billion . These investments are held to support our product liabilities and we currently have the intent and ability to hold these securities until sale or maturity, and believe the securities will recover the amortized cost basis prior to sale or maturity.

The following tables reflect the unrealized losses on the AFS fixed maturity portfolio, including related parties, by NAIC designations:



	June 30, 2018
(In millions, except percentages)	Amortized Cost of Securities with Unrealized Loss		Gross Unrealized Loss			Fair Value of Securities with Unrealized Loss		Fair Value to Amortized Cost Ratio		Fair Value of Total AFS Fixed Maturity Securities		Percent of Loss to Total AFS Fair Value NAIC Designation
NAIC designation
1	$	13,387	$	(345	)	$	13,042	97.4	%	$	31,056	(1.1	)%
2	15,446		(563		)	14,883		96.4	%	26,017		(2.2	)%
Total investment grade	28,833		(908		)	27,925		96.9	%	57,073		(1.6	)%
3	1,704		(72		)	1,632		95.8	%	2,832		(2.5	)%
4	440		(43		)	397		90.2	%	679		(6.3	)%
5	39		(1		)	38		97.4	%	124		(0.8	)%
6	2		—			2		100.0	%	10		—	%
Total below investment grade	2,185		(116		)	2,069		94.7	%	3,645		(3.2	)%
Total	$	31,018	$	(1,024	)	$	29,994	96.7	%	$	60,718	(1.7	)%



	December 31, 2017
(In millions, except percentages)	Amortized Cost of Securities with Unrealized Loss		Gross Unrealized Loss			Fair Value of Securities with Unrealized Loss		Fair Value to Amortized Cost Ratio		Fair Value of Total AFS Fixed Maturity Securities		Percent of Loss to Total AFS Fair Value NAIC Designation
NAIC designation
1	$	4,901	$	(100	)	$	4,801	98.0	%	$	32,447	(0.3	)%
2	4,284		(82		)	4,202		98.1	%	25,082		(0.3	)%
Total investment grade	9,185		(182		)	9,003		98.0	%	57,529		(0.3	)%
3	881		(19		)	862		97.8	%	3,040		(0.6	)%
4	451		(40		)	411		91.1	%	765		(5.2	)%
5	60		(5		)	55		91.7	%	66		(7.6	)%
6	5		—			5		100.0	%	18		—	%
Total below investment grade	1,397		(64		)	1,333		95.4	%	3,889		(1.6	)%
Total	$	10,582	$	(246	)	$	10,336	97.7	%	$	61,418	(0.4	)%

The gross unrealized losses on AFS fixed maturity securities, including related party, were $1.0 billion and $246 million as of June 30, 2018 and December 31, 2017 , respectively. The increase in unrealized losses was driven by the increase in U.S. treasury rates and credit spreads widening for the six months ended June 30, 2018 .

As of June 30, 2018 and December 31, 2017 , we held $4.5 billion and $4.4 billion , respectively, in energy sector fixed maturity securities, or 7% of total AFS fixed maturity securities, including related party, as of each period. The gross unrealized capital losses on these securities were $127 million and $33 million , or 12% and 13% , respectively, of the total unrealized losses.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Other-Than-Temporary Impairments

For our OTTI policy and the identification of securities that could potentially have impairments, see Note 1 – Business, Basis of Presentation and Significant Accounting Policies and Note 2 – Investments to the condensed consolidated financial statements, as well as Critical Accounting Estimates and Judgments.

During the six months ended June 30, 2018 , we recorded $3 million of OTTI losses comprised of $2 million related to corporate fixed maturities and $1 million related to RMBS. Of the OTTI losses recognized for the six months ended June 30, 2018 , there were no OTTI losses related to the energy sector. During the six months ended June 30, 2017 , we recorded $12 million of OTTI losses comprised of $8 million related to corporate fixed maturities, $3 million related to mortgage loans and $1 million related to ABS. Of the OTTI losses recognized during the six months ended June 30, 2017 , there were no OTTI losses related to the energy sector. The annualized OTTI losses we have experienced for the six months ended June 30, 2018 and 2017 translate into 1 basis point and 3 basis points, respectively, of average invested assets.

International Exposure

A portion of our fixed maturity securities is invested in securities with international exposure. As of June 30, 2018 and December 31, 2017 , 30% and 33% of the carrying value of our fixed maturity securities, including related parties, was comprised of securities of issuers based outside of the United States and debt securities of foreign governments. These securities are either denominated in U.S. dollars or do not expose us to significant foreign currency risk as a result of foreign currency swap arrangements.

The following table presents our international exposure in our fixed maturity securities portfolio, including related parties, by country or region:



	June 30, 2018						December 31, 2017
(In millions, except percentages)	Amortized Cost		Fair Value		Percent of Total		Amortized Cost		Fair Value		Percent of Total
Country of risk
Ireland	$	526	$	512	2.8	%	$	498	$	511	2.6	%
Italy	36		36		0.2	%	59		64		0.3	%
Spain	56		57		0.3	%	209		225		1.1	%
Portugal	—		—		—	%	1		1		0.0	%
Total Ireland, Italy, Greece, Spain and Portugal ¹	618		605		3.3	%	767		801		4.0	%
Other Europe	6,072		5,989		33.2	%	8,087		8,395		42.0	%
Total Europe	6,690		6,594		36.5	%	8,854		9,196		46.0	%
Non-U.S. North America	8,864		8,855		49.0	%	8,048		8,220		41.2	%
Australia & New Zealand	1,647		1,620		9.0	%	1,443		1,481		7.4	%
Central & South America	409		411		2.3	%	481		508		2.6	%
Africa & Middle East	227		223		1.2	%	193		196		1.0	%
Asia/Pacific	364		355		2.0	%	321		327		1.6	%
Supranational	—		—		—	%	39		41		0.2	%
Total	$	18,201	$	18,058	100.0	%	$	19,379	$	19,969	100.0	%

¹ As of each of the respective periods, we had no holdings in Greece.

Approximately 92.3% and 90.9% of these securities are investment grade by NAIC designation as of June 30, 2018 and December 31, 2017 , respectively. As of June 30, 2018 , 9% of our fixed maturity securities, including related parties, were invested in CLOs of Cayman Islands issuers (for which underlying investments are largely loans to U.S. issuers) and 21% were invested in securities of non-U.S. issuers.

Portugal, Ireland, Italy, Greece and Spain continue to represent credit risk as economic conditions in these countries continue to be volatile, especially within the financial and banking sectors. We had $605 million and $801 million as of June 30, 2018 and December 31, 2017 , respectively, of exposure in these countries.

As of June 30, 2018 , we held United Kingdom and Channel Islands fixed maturity securities of $2.2 billion , or 3.6% of the total fixed maturities including related parties. As of June 30, 2018 , these securities were in an unrealized loss position of $51 million . Our investment managers analyze each holding for credit risk by economic and other factors of each country and industry.

Trading Securities

Trading securities, including related parties, were $2.3 billion and $2.5 billion as of June 30, 2018 and December 31, 2017 , respectively. Trading securities are primarily comprised of AmerUs Closed Block securities for which we have elected the fair value option valuation, CLO equity tranche securities, structured securities with embedded derivatives, and investments which support various reinsurance arrangements.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Mortgage Loans

The following is a summary of our mortgage loan portfolio by collateral type:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Net Carrying Value		Percent of Total		Net Carrying Value		Percent of Total
Property type
Office building	$	1,769	23.2	%	$	1,187	19.0	%
Retail	1,710		22.4	%	1,223		19.6	%
Hotels	895		11.8	%	928		14.9	%
Industrial	858		11.3	%	944		15.2	%
Apartment	545		7.2	%	525		8.4	%
Other commercial ¹	457		6.0	%	440		7.1	%
Total net commercial mortgage loans	6,234		81.9	%	5,247		84.2	%
Residential loans	1,375		18.1	%	986		15.8	%
Total mortgage loans, net of allowances	$	7,609	100.0	%	$	6,233	100.0	%

¹ Other commercial loans include investments in nursing homes, other healthcare institutions, parking garages, storage facilities and other commercial properties.

We invest a portion of our investment portfolio in mortgage loans, which are generally comprised of high quality commercial first lien and mezzanine real estate loans. Our mortgage loan holdings were $7.6 billion and $6.2 billion as of June 30, 2018 and December 31, 2017 , respectively. This included $2.0 billion and $1.8 billion of mezzanine mortgage loans as of June 30, 2018 and December 31, 2017 , respectively. We have acquired mortgage loans through acquisitions and reinsurance arrangements, as well as through an active program to invest in new mortgage loans. We invest in mortgage loans on income producing properties including hotels, apartments, retail and office buildings, and other commercial and industrial properties. Loan-to-value ratios at the time of loan approval are generally 75% or less.

Our mortgage loans are primarily stated at unpaid principal balance, adjusted for any unamortized premium or discount, and net of valuation allowances. Interest income is accrued on the principal amount of the loan based on the loan’s contractual interest rate. Amortization of premiums and discounts is recorded using the effective interest method. Interest income, amortization of premiums and discounts, and prepayment fees are reported in net investment income.

It is our policy to cease to accrue interest on loans that are over 90 days delinquent. For loans less than 90 days delinquent, interest is accrued unless it is determined that the accrued interest is not collectible. If a loan becomes over 90 days delinquent, it is our general policy to initiate foreclosure proceedings unless a workout arrangement to bring the loan current is in place. As of June 30, 2018 , we had $35 million of mortgage loans that were 90 days past due and $9 million in the process of foreclosure. As of December 31, 2017 , we had $28 million of mortgage loans that were 90 days past due and $1 million in the process of foreclosure.

See Note 2 – Investments to the condensed consolidated financial statements for information regarding valuation allowance for collection loss, impairments, loan-to-value, and debt service coverage.

As of June 30, 2018 and December 31, 2017 , we had not recorded any new specific loan valuation allowances and we recorded $0 million and $3 million , respectively, of OTTI through net income. We have established a general and specific loan valuation allowance in the aggregate amount of $1 million and $2 million as of June 30, 2018 and December 31, 2017 , respectively, attributable to loans acquired in connection with the acquisition of Aviva USA.

Investment Funds and Variable Interest Entities

Our investment funds investment strategy primarily focuses on funds with core holdings of credit assets, real assets, real estate, preferred equity and income producing assets. Our investment strategy focuses on sourcing assets with some or all of the following characteristics, among others: (1) investments that constitute a direct investment or an investment in a fund with a high degree of co-investment; (2) investments with credit- or debt-like characteristics (for example, a stipulated maturity and par value), or alternatively, investments with reduced volatility when compared to pure equity; or (3) investments that have less downside risk. A portion of our current investment funds and VIE holdings are comprised of certain investment funds contributed by the AAA Investor (AAA Contribution) as further described in Note 4 – Variable Interest Entities to the condensed consolidated financial statements. At the time of the AAA Contribution, the contributed assets largely consisted of co-investments with Apollo private equity funds. However, the attributes of the contributed assets have changed significantly since the initial transaction primarily due to the initial public offering of two underlying fund investment holdings. As of June 30, 2018 , the assets consisted of $137 million of publicly-traded equity securities, a substantial portion of which is in the process of being liquidated. These public equity securities have resulted in volatility in our statement of income in recent periods.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Our investment funds generally meet the definition of a VIE, and in certain cases these investment funds are consolidated in our financial statements because we meet the criteria of the primary beneficiary. See Note 4 – Variable Interest Entities to the condensed consolidated financial statements for further discussion on our investment funds that meet the criteria for consolidation and the accounting treatment for them.

The following table illustrates our consolidated VIE positions:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total
Assets of consolidated VIEs
Investments
Fixed maturity securities
Trading securities	$	48	5.9	%	$	48	5.5	%
Equity securities	163		20.1	%	240		27.8	%
Investment funds	593		73.2	%	571		66.1	%
Cash and cash equivalents	2		0.2	%	4		0.5	%
Other assets	5		0.6	%	1		0.1	%
Total assets of consolidated VIEs	$	811	100.0	%	$	864	100.0	%

Liabilities of consolidated VIEs
Other liabilities	$	4	100.0	%	$	2	100.0	%
Total liabilities of consolidated VIEs	$	4	100.0	%	$	2	100.0	%

The assets of consolidated VIEs were $811 million and $864 million as of June 30, 2018 and December 31, 2017 , respectively. The liabilities of consolidated VIEs were $4 million and $2 million as of June 30, 2018 and December 31, 2017 , respectively.

The following table illustrates our investment funds, including related party positions of our non-consolidated VIEs and investment funds owned by consolidated VIEs:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total
Investment funds
Private equity	$	237	7.7	%	$	271	10.5	%
Real estate and other real assets	179		5.9	%	161		6.2	%
Natural resources	4		0.1	%	4		0.2	%
Hedge funds	53		1.7	%	61		2.4	%
Credit funds	160		5.2	%	202		7.8	%
Total investment funds	633		20.6	%	699		27.1	%
Investment funds – related parties
Private equity – A-A Mortgage	432		14.1	%	403		15.6	%
Private equity	441		14.4	%	180		7.0	%
Real estate and other real assets	499		16.3	%	297		11.5	%
Natural resources	91		3.0	%	74		2.9	%
Hedge funds	98		3.2	%	93		3.6	%
Credit funds	275		9.0	%	263		10.2	%
Total investment funds – related parties	1,836		60.0	%	1,310		50.8	%
Investment funds owned by consolidated VIEs
Private equity – MidCap	541		17.7	%	528		20.4	%
Credit funds	1		—	%	21		0.8	%
Real estate and other real assets	51		1.7	%	22		0.9	%
Total investment funds owned by consolidated VIEs	593		19.4	%	571		22.1	%
Total investment funds, including related parties and VIEs	$	3,062	100.0	%	$	2,580	100.0	%

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Overall, the total investment funds, including related party and consolidated VIEs, were $3.1 billion and $2.6 billion as of June 30, 2018 and December 31, 2017 , respectively. See Note 4 – Variable Interest Entities to the condensed consolidated financial statements for further discussion regarding how we account for our investment funds. Our investment fund portfolio is subject to a number of market related risks including interest rate and equity market risk. Interest rate risk represents the potential for changes in the investment fund’s net asset values resulting from changes in the general level of interest rates. Equity market risk represents potential for changes in the investment fund’s net asset values resulting from changes in equity markets or from other external factors which influence equity markets. We actively monitor our exposure to the risks inherent in these investments which could materially and adversely affect our results of operations and financial condition. The interest rate and equity market risks expose us to potential volatility in our earnings period-over-period related to these investment funds.

Funds Withheld at Interest

Funds withheld at interest represents a receivable for amounts contractually withheld by ceding companies in accordance with modco and funds withheld reinsurance agreements in which we act as the reinsurer. Generally, assets equal to statutory reserves are withheld and legally owned by the ceding company. As of June 30, 2018 , the significant majority of the ceding companies holding the assets pursuant to such reinsurance agreements had a financial strength rating of A- or better.

The funds withheld at interest is comprised of the host contract and an embedded derivative. We are subject to the investment performance on the withheld assets with the total return directly impacting the host contract and the embedded derivative. Interest accrues at a risk-free rate on the host receivable and is recorded as net investment income in the condensed consolidated statements of income. The change in the embedded derivative in our reinsurance agreements, which is similar to a total return swap on the income generated by the underlying assets held by the ceding companies, is recorded in investment related gains (losses). Although we do not directly control the underlying investments in the funds withheld at interest, in each instance the ceding company has hired AAM to manage the withheld assets in accordance with our investment guidelines.

The following summarizes the underlying investment composition of the funds withheld at interest, including related party:



	June 30, 2018					December 31, 2017
(In millions, except percentages)	Carrying Value			Percent of Total		Carrying Value		Percent of Total
Fixed maturity securities
U.S. government and agencies	$	77		0.4	%	$	—	—	%
U.S. state, municipal and political subdivisions	507			2.3	%	117		1.6	%
Foreign governments	122			0.6	%	—		—	%
Corporate	11,615			53.0	%	2,095		29.6	%
CLO	767			3.5	%	669		9.4	%
ABS	1,269			5.8	%	886		12.5	%
CMBS	839			3.8	%	290		4.1	%
RMBS	2,054			9.4	%	1,551		21.9	%
Equity securities	51			0.2	%	28		0.4	%
Mortgage loans	3,476			15.8	%	792		11.2	%
Investment funds	486			2.2	%	376		5.3	%
Derivative assets	289			1.3	%	78		1.1	%
Short-term investments	332			1.5	%	16		0.2	%
Cash and cash equivalents	311			1.4	%	132		1.9	%
Other assets and liabilities	(274		)	(1.2	)%	55		0.8	%
Total funds withheld at interest, including related party	$	21,921		100.0	%	$	7,085	100.0	%

As of June 30, 2018 and December 31, 2017 , we held $21.9 billion and $7.1 billion , respectively, of funds withheld at interest receivables, including related party. The increase funds withheld at interest is mainly due to $14.7 billion of modco reinsurance agreements from the Voya reinsurance transaction. Approximately 95.4% and 94.2% of the fixed maturity securities within the funds withheld at interest are investment grade by NAIC designation as of June 30, 2018 and December 31, 2017 , respectively.

Derivative Instruments

We hold derivative instruments for economic hedging purposes to reduce our exposure to cash flow variability of assets and liabilities, equity market risk, interest rate risk, credit risk and foreign exchange risk. The types of derivatives we may use include interest rate swaps, foreign currency swaps and forward contracts, total return swaps, credit default swaps, variance swaps, futures and fixed indexed options.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

A presentation of our derivative instruments along with a discussion of the business strategy involved with our derivatives is included in Note 3 – Derivative Instruments to the condensed consolidated financial statements. This includes:


▪	a comprehensive description of the derivatives instruments as well as the strategies to manage risk;


▪	the notional amounts and estimated fair value by derivative instruments; and


▪	impacts on the condensed consolidated statement of net income.

As part of our risk management strategies, management continually evaluates our derivative instrument holdings and the effectiveness of such holdings in addressing risks identified in our operations.

Invested Assets

The following summarizes our invested assets:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Invested Asset Value ¹		Percent of Total		U.S. and Bermuda Invested Asset Value		Germany Invested Asset Value		Invested Asset Value ¹		Percent of Total
Corporate	$	50,217	51.0	%	$	37,059	$	1,536	$	38,595	46.9	%
CLO	6,286		6.4	%	5,914		—		5,914		7.2	%
Credit	56,503		57.4	%	42,973		1,536		44,509		54.1	%
RMBS	10,557		10.7	%	10,532		—		10,532		12.8	%
Mortgage loans	11,088		11.2	%	6,858		165		7,023		8.5	%
CMBS	3,188		3.2	%	2,322		—		2,322		2.8	%
Real estate held for investment	—		—	%	—		625		625		0.8	%
Real estate	24,833		25.1	%	19,712		790		20,502		24.9	%
ABS	6,589		6.7	%	4,824		—		4,824		5.9	%
Alternative investments	3,913		4.0	%	3,692		137		3,829		4.6	%
State, municipal, political subdivisions and foreign government	2,055		2.1	%	1,347		2,411		3,758		4.5	%
Unit-linked assets	—		—	%	—		407		407		0.5	%
Equity securities	289		0.3	%	192		128		320		0.4	%
Short-term investments	736		0.7	%	228		—		228		0.3	%
U.S. government and agencies	221		0.2	%	29		35		64		0.1	%
Other investments	13,803		14.0	%	10,312		3,118		13,430		16.3	%
Cash and equivalents	2,353		2.4	%	2,504		296		2,800		3.4	%
Policy loans and other	1,117		1.1	%	761		296		1,057		1.3	%
Total invested assets	$	98,609	100.0	%	$	76,262	$	6,036	$	82,298	100.0	%

¹ See Key Operating and Non-GAAP Measures for the definition of invested assets.

Our total invested assets were $98.6 billion and $82.3 billion as of June 30, 2018 and December 31, 2017 , respectively. As of June 30, 2018 , our total invested assets were mainly comprised of 51.0% of corporate securities, 27.0% of structured securities, 11.2% of mortgage loans and 4.0% of alternative investments. Corporate securities within our U.S. and Bermuda portfolio included $13.6 billion of private placements, which represented 14% of our total invested assets. The increase in total invested assets as of June 30, 2018 from December 31, 2017 was primarily driven by $17.7 billion of invested assets from the Voya reinsurance transaction, strong growth in deposits over liability outflows and reinvestment of earnings, partially offset by the deconsolidation of our former Germany operations.

In managing our business we utilize invested assets as presented in the above table. Invested assets do not correspond to the total investments, including related parties, on our condensed consolidated balance sheets, as discussed previously in – Key Operating and Non-GAAP Measures . Invested assets represent the investments that directly back our policyholder liabilities and surplus assets. We believe this view of our portfolio provides a view of the assets for which we have economic exposure. We adjust the presentation for funds withheld and modco transactions to include or exclude the underlying investments based upon the contractual transfer of economic exposure to such underlying investments. We also deconsolidate any VIEs in order to show the net investment in the funds, which therefore are included in the alternative investments line above.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Invested assets is utilized by management to evaluate our investment portfolio. Invested asset figures are used in the computation of net investment earned rate, which allows us to analyze the profitability of our investment portfolio. Invested assets is also used in our risk management processes for asset purchases, product design and underwriting, stress scenarios, liquidity, and ALM.

Alternative Investments

The following summarizes our alternative investments:



	June 30, 2018				December 31, 2017
(In millions, except percentages)	Invested Asset Value		Percent of Total		Invested Asset Value		Percent of Total
Credit funds	$	659	16.8	%	$	784	20.4	%
Private equity – MidCap	541		13.8	%	528		13.8	%
Private equity – A-A Mortgage (AmeriHome)	530		13.5	%	496		12.9	%
Private equity – other	764		19.6	%	554		14.5	%
Mortgage and real assets	883		22.6	%	643		16.8	%
Hedge funds	179		4.6	%	467		12.2	%
Public equities	121		3.1	%	171		4.5	%
Natural resources and other real assets	236		6.0	%	186		4.9	%
Total alternative investments	$	3,913	100.0	%	$	3,829	100.0	%

Alternative investments were $3.9 billion and $3.8 billion as of June 30, 2018 and December 31, 2017 , respectively, representing 4.0% and 4.6% of our total invested assets portfolio as of June 30, 2018 and December 31, 2017 , respectively.

Alternative investments do not correspond to total investment funds, including related parties and VIEs, on our condensed consolidated balance sheets. As discussed above in the invested assets section, we adjust the GAAP presentation for funds withheld and modco and de-consolidate VIEs. We also include CLO equity tranche securities in alternative investments due to their underlying characteristics and equity-like features.

Through our relationship with Apollo and AAM, we have indirectly invested in companies that meet the key characteristics we look for in alternative investments. Two of our largest alternative investments are in asset originators, MidCap and AmeriHome, both of which, from time to time, provide us with access to assets for our investment portfolio.

MidCap

Our equity investment in MidCap is held indirectly through an investment fund, AAA Investment (Co Invest VII), L.P. (CoInvest VII), of which MidCap constitutes substantially all the fund’s investments. MidCap is a commercial finance company that provides various financial products to middle-market businesses in multiple industries, primarily located in the U.S. MidCap primarily originates and invests in commercial and industrial loans, including senior secured corporate loans, working capital loans collateralized mainly by accounts receivable and inventory, senior secured loans collateralized by portfolios of commercial and consumer loans and related products and secured loans to highly capitalized pharmaceutical and medical device companies, and commercial real estate loans, including multifamily independent-living properties, assisted living, skilled nursing and medical office properties, warehouse, office building, hotel and other commercial use properties and multifamily properties. MidCap originates and acquires loans using borrowings under financing arrangements that it has in place with numerous financial institutions. MidCap’s earnings are primarily driven by the difference between the interest earned on its loan portfolio and the interest accrued under its outstanding borrowings. As a result, MidCap is primarily exposed to the credit risk of its loan counterparties and prepayment risk. Additionally, financial results are influenced by related levels of middle-market business investment and interest rates.

Our alternative investment in CoInvest VII is substantially comprised of its investment in MidCap, which was $541 million and $528 million as of June 30, 2018 and December 31, 2017 , respectively. Our investment in CoInvest VII largely reflects any contributions to and distributions from CoInvest VII and the fair value of MidCap. CoInvest VII returned a net investment earned rate of 14.51% and 8.13% for the three months ended June 30, 2018 and 2017 , respectively, and 13.15% and 9.93% for the six months ended June 30, 2018 and 2017 , respectively. Alternative investment income from CoInvest VII was $21 million and $12 million for the three months ended June 30, 2018 and 2017 , respectively, and $37 million and $28 million for the six months ended June 30, 2018 and 2017 , respectively. The increase in alternative investment income for both periods was driven by higher loan volumes and increased assets under management.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

AmeriHome

Our equity investment in AmeriHome is held indirectly through an investment fund, A-A Mortgage Opportunities, LP (A-A Mortgage), of which AmeriHome is currently the fund’s only investment. AmeriHome is a mortgage origination platform and an aggregator of mortgage servicing rights. AmeriHome acquires mortgage loans from retail originators and re-sells the loans to the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, the Government National Mortgage Association and other investors. AmeriHome retains the mortgage servicing rights on the loans that it sells and employs a subservicer to perform servicing operations, including payment collection. AmeriHome’s earnings are primarily driven by two sources: gains or losses on the sale of mortgage loans and the difference between the fee that it charges for mortgage servicing and the fee charged by the subservicer. As a result, AmeriHome’s financial results are influenced by interest rates and related housing demand. AmeriHome is primarily exposed to credit risk related to the accuracy of the representations and warranties in the loans that AmeriHome acquires and prepayment risk, which prematurely terminates fees related to mortgage servicing.

Our alternative investment in A-A Mortgage was $530 million and $496 million as of June 30, 2018 and December 31, 2017 , respectively. Our investment in A-A Mortgage represents our proportionate share of its net asset value, which largely reflects any contributions to and distributions from A-A Mortgage and the fair value of AmeriHome. A-A Mortgage returned a net investment earned rate of 12.14% and 23.76% for the three months ended June 30, 2018 and 2017 , respectively, and 12.93% and 17.18% for the six months ended June 30, 2018 and 2017 , respectively. Alternative investment income from A-A Mortgage was $16 million and $29 million for the three months ended June 30, 2018 and 2017 , respectively, and $34 million and $40 million for the six months ended June 30, 2018 and 2017 , respectively. The decrease in alternative investment income for the three months ended June 30, 2018 compared to 2017 was attributed to 2017 reflecting outperformance in the prior year driven by higher loan origination related to lower interest rates.

Non-GAAP Measure Reconciliations

The reconciliations to the nearest GAAP measure for adjusted operating income is included in the Consolidated Results of Operations section.

The reconciliation of shareholders’ equity to adjusted shareholders’ equity, which is included in adjusted book value per share, adjusted debt to capital ratio, adjusted ROE and adjusted operating ROE is as follows:



(In millions)	June 30, 2018		December 31, 2017
Total shareholders’ equity	$	8,505	$	9,208
Less: AOCI	126		1,415
Less: Accumulated reinsurance unrealized gains and losses	12		161
Total adjusted shareholders’ equity	$	8,367	$	7,632

Segment adjusted shareholders’ equity
Retirement Services	$	6,114	$	5,304
Corporate and Other	2,253		2,328
Total adjusted shareholders’ equity	$	8,367	$	7,632

The reconciliation of net income to adjusted net income, which is included in adjusted ROE is as follows:



	Three months ended June 30,					Six months ended June 30,
(In millions)	2018		2017			2018		2017
Net income	$	264	$	326		$	532	$	710
Reinsurance unrealized gains and losses	95		(45		)	149		(88		)
Adjusted net income	$	359	$	281		$	681	$	622

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The reconciliation of net investment income to net investment earnings and earned rate is as follows:



	Three months ended June 30,										Six months ended June 30,
	2018					2017					2018					2017
(In millions, except percentages)	Dollar			Rate		Dollar			Rate		Dollar			Rate		Dollar			Rate
GAAP net investment income	$	958		4.47	%	$	821		4.38	%	$	1,813		4.44	%	$	1,607		4.35	%
Reinsurance embedded derivative impacts	72			0.34	%	52			0.28	%	117			0.29	%	97			0.26	%
Net VIE earnings	1			0.00	%	21			0.11	%	16			0.04	%	32			0.09	%
Alternative income gain (loss)	(1		)	(0.00	)%	6			0.03	%	—			—	%	(7		)	(0.02	)%
Held for trading amortization	(21		)	(0.10	)%	(15		)	(0.08	)%	(44		)	(0.11	)%	(30		)	(0.08	)%
Total adjustments to arrive at net investment earnings/earned rate	51			0.24	%	64			0.34	%	89			0.22	%	92			0.25	%
Total net investment earnings/earned rate	$	1,009		4.71	%	$	885		4.72	%	$	1,902		4.66	%	$	1,699		4.60	%

Retirement Services	$	983		4.74	%	$	821		4.85	%	$	1,849		4.68	%	$	1,601		4.80	%
Corporate and Other	26			3.71	%	64			3.53	%	53			4.01	%	98			2.71	%
Total net investment earnings/earned rate	$	1,009		4.71	%	$	885		4.72	%	$	1,902		4.66	%	$	1,699		4.60	%

Retirement Services average invested assets	$	82,879				$	67,577				$	79,000				$	66,635
Corporate and Other average invested assets	2,848					7,345					2,646					7,258
Consolidated average invested assets	$	85,727				$	74,922				$	81,646				$	73,893

The reconciliation of interest sensitive contract benefits to Retirement Services ’ cost of crediting on deferred annuities, and the respective rates, is as follows:



	Three months ended June 30,										Six months ended June 30,
	2018					2017					2018					2017
(In millions, except percentages)	Dollar			Rate		Dollar			Rate		Dollar			Rate		Dollar			Rate
GAAP interest sensitive contract benefits	$	332		2.00	%	$	553		3.95	%	$	351		1.12	%	$	1,245		4.48	%
Interest credited other than deferred annuities	(41		)	(0.25	)%	(42		)	(0.30	)%	(81		)	(0.26	)%	(68		)	(0.24	)%
FIA option costs	206			1.25	%	149			1.07	%	380			1.21	%	294			1.05	%
Product charges (strategy fees)	(23		)	(0.14	)%	(17		)	(0.12	)%	(45		)	(0.14	)%	(34		)	(0.12	)%
Reinsurance embedded derivative impacts	3			0.02	%	9			0.06	%	6			0.02	%	18			0.06	%
Change in fair value of embedded derivatives – FIAs	(168		)	(1.01	)%	(399		)	(2.85	)%	(35		)	(0.11	)%	(933		)	(3.35	)%
Negative VOBA amortization	7			0.04	%	10			0.07	%	17			0.05	%	22			0.08	%
Unit-linked change in reserves	—			—	%	1			0.01	%	—			—	%	(17		)	(0.06	)%
Other changes in interest sensitive contract liabilities	2			0.01	%	—			—	%	—			—	%	—			—	%
Total adjustments to arrive at cost of crediting on deferred annuities	(14		)	(0.08	)%	(289		)	(2.06	)%	242			0.77	%	(718		)	(2.58	)%
Retirement Services cost of crediting on deferred annuities	$	318		1.92	%	$	264		1.89	%	$	593		1.89	%	$	527		1.90	%

Average account value	$	66,241				$	56,001				$	62,694				$	55,627

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The reconciliation of total investments, including related parties, to invested assets is as follows:



(In millions)	June 30, 2018			December 31, 2017
Total investments, including related parties	$	98,669		$	84,367
Derivative assets	(1,929		)	(2,551		)
Cash and cash equivalents (including restricted cash)	3,786			4,993
Accrued investment income	662			652
Payables for collateral on derivatives	(1,746		)	(2,323		)
Reinsurance funds withheld and modified coinsurance	(130		)	(579		)
VIE and VOE assets, liabilities and noncontrolling interest	809			862
AFS unrealized (gain) loss	(370		)	(2,794		)
Ceded policy loans	(284		)	(296		)
Net investment receivables (payables)	(858		)	(33		)
Total adjustments to arrive at invested assets	(60		)	(2,069		)
Total invested assets	$	98,609		$	82,298

The reconciliation of total investment funds, including related parties and VIEs, to alternative investments within invested assets is as follows:



(In millions)	June 30, 2018		December 31, 2017
Investment funds, including related parties and VIEs	$	3,062	$	2,580
CLO equities included in trading securities	139		182
Financial Credit Investment special-purpose vehicle included in trading securities related party	—		287
Investment funds within funds withheld at interest	463		416
Royalties, other assets included in other investments and other assets	72		76
Net assets of the VIE, excluding investment funds	177		288
Total adjustments to arrive at alternative investments	851		1,249
Alternative investments	$	3,913	$	3,829

The reconciliation of total liabilities to reserve liabilities is as follows:



(In millions)	June 30, 2018			December 31, 2017
Total liabilities	$	106,250		$	90,539
Short-term debt	(183		)	—
Long-term debt	(991		)	—
Derivative liabilities	(137		)	(134		)
Payables for collateral on derivatives	(1,746		)	(2,323		)
Funds withheld liability	(389		)	(407		)
Other liabilities	(1,524		)	(1,222		)
Liabilities of consolidated VIEs	(4		)	(2		)
Reinsurance ceded receivables	(4,847		)	(4,972		)
Policy loans ceded	(284		)	(296		)
Other	(5)			—
Total adjustments to arrive at reserve liabilities	(10,110		)	(9,356		)
Total reserve liabilities	$	96,140		$	81,183

Liquidity and Capital Resources

There are two forms of liquidity relevant to our business, funding liquidity and balance sheet liquidity. Funding liquidity relates to the ability to fund operations. Balance sheet liquidity relates to our ability to liquidate or rebalance our balance sheet without incurring significant costs from fees, bid-offer spreads, or market impact. We manage our liquidity position by matching projected cash demands with adequate sources of cash and other liquid assets. Our principal sources of liquidity, in the ordinary course of business, are operating cash flows and holdings of cash, cash equivalents and other readily marketable assets.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Our investment portfolio is structured to ensure a strong liquidity position over time in order to permit timely payment of policy and contract benefits without requiring asset sales at inopportune times or at depressed prices. In general, liquid assets include cash and cash equivalents, highly rated corporate bonds, unaffiliated preferred stock and unaffiliated public common stock, all of which generally have liquid markets with a large number of buyers. The carrying value of these assets as of June 30, 2018 was $51.7 billion . Although our investment portfolio does contain assets that are generally considered illiquid for liquidity monitoring purposes (primarily mortgage loans, policy loans, real estate, investment funds, and affiliated common stock), there is some ability to raise cash from these assets if needed. In periods of economic downturn we may maintain higher cash balances than required to manage our liquidity risk and to take advantage of market dislocations as they arise. We have access to additional liquidity through our $1.0 billion revolving credit facility, which is undrawn as of the date hereof and has a remaining term of approximately three years. On January 3, 2018, we filed a registration statement on Form S-3 ASR (Shelf Registration Statement), which, subject to market conditions and other factors, provides us with access to the capital markets and on January 12, 2018, we issued $1.0 billion of senior unsecured notes under our Shelf Registration Statement. In addition, through our membership in the FHLB, we are eligible to borrow under variable rate short-term federal funds arrangements to provide additional liquidity.

We proactively manage our liquidity position to meet cash needs while minimizing adverse impacts on investment returns. We analyze our cash-flow liquidity over the upcoming 12 months by modeling potential demands on liquidity under a variety of scenarios, taking into account the provisions of our policies and contracts in force, our cash flow position, and the volume of cash and readily marketable securities in our portfolio. By policy, we maintain sufficient liquidity not only to meet our cash-flow requirements over the succeeding 12-month period in a moderately severe scenario (for example, a recessionary environment), but also to have excess liquidity available to invest into potential investment opportunities created from market dislocations. We also monitor our liquidity profile under more severe scenarios.

We perform a number of stress tests and analyses to assess our ability to meet our cash flow requirements, as well as the ability of our reinsurance and insurance subsidiaries to meet their collateral obligations. Among these analyses, we manage to the following ALM limits:


•	our projected net cumulative cash flows, including both new business and target levels of new investments under a “plan scenario” and a “moderately severe scenario” event, are non-negative over a rolling 12-month horizon;


•	we hold enough cash, cash equivalents and other discounted liquid limit assets to cover 12 months of AHL’s and Athene USA’s projected obligations, including debt servicing costs


▪	minimum of 50% of expenses and 100% of debt servicing to be held in cash and cash equivalents at AHL operating accounts


▪	minimum of 50% of any required AHL – Athene USA inter-company loan commitments to be held in cash and cash equivalents by AHL


▪	dividends required from ALRe must be available under moderate and substantial stress

▪

for purposes of administering this test, liquid limit assets are discounted by 25% and include public corporate bonds rated A- or above, liquid ABS (defined as prime auto, auto floorplan, Tier 1 subprime auto, auto lease, prime credit cards, equipment lease or utility stranded assets) and RMBS with weighted average lives less than three years rated A- or above; or CMBS with weighted average lives less than three years rated AAA- or above


•	we seek to maintain sufficient capital and surplus at ALRe to meet the following collateral and capital maintenance calls under a substantial stress event, such as the failure of a major financial institution (Lehman event):


▪	collateral calls from modco and ALRe third-party reinsurance contracts


▪	U.S. regulated entity capital maintenance calls from nonmodco activity.

Insurance Subsidiaries’ Liquidity

The primary cash flow sources for our insurance subsidiaries include retirement services product inflows (premiums), investment income, principal repayments on our investments, and net transfers from separate accounts and financial product deposits. Uses of cash include investment purchases, payments to policyholders for surrenders and withdrawals, policy acquisition costs, and general operating costs.

Our policyholder obligations are generally long-term in nature. However, one liquidity risk is an extraordinary level of early policyholder withdrawals. We include provisions within our annuity policies, such as surrender charges and market value adjustments (MVA), which are intended to protect us from early withdrawals. As of June 30, 2018 and December 31, 2017 , approximately 81% and 86% , respectively, of our deferred annuity liabilities were subject to penalty upon surrender. In addition, as of June 30, 2018 and December 31, 2017 , approximately 67% and 72% , respectively of policies contained MVAs that also have the effect of limiting early withdrawals if interest rates increase. Our funding agreements, PRT obligations and payout annuities are generally non-surrenderable.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Cash Flows

Our cash flows were as follows:



	Six months ended June 30,
(In millions)	2018			2017
Net income	$	532		$	710
Payment at inception of reinsurance agreements, net	(394		)	—
Non-cash revenues and expenses	381			363
Net cash provided by operating activities	519			1,073

Sales, maturities and repayment of investments	8,922			8,324
Purchases and acquisitions of investments	(12,814		)	(11,668		)
Other investing activities	(12		)	752
Net cash used in investing activities	(3,904		)	(2,592		)

Deposits on investment-type policies and contracts	4,375			4,727
Withdrawals on investment-type policies and contracts	(2,839		)	(2,607		)
Net change in cash collateral posted for derivative transactions	(577		)	477
Net proceeds and repayment of debt	1,181			—
Other financing activities	36			(28		)
Net cash provided by financing activities	2,176			2,569
Effect of exchange rate changes on cash and cash equivalents	—			19
Net (decrease) increase in cash and cash equivalents ¹	$	(1,209	)	$	1,069

¹ Includes cash and cash equivalents, restricted cash, and cash and cash equivalents of consolidated variable interest entities.

Cash flows from operating activities

The primary cash inflows from operating activities include net investment income, annuity considerations and insurance premiums. The primary cash outflows from operating activities are comprised of benefit payments, interest credited to policyholders, and operating expenses. Our operating activities generated cash flows totaling $519 million and $1.1 billion for the six months ended June 30, 2018 and 2017 , respectively. The decrease in cash provided by operating activities was primarily driven by the ceding commission related to the Voya reinsurance transaction, higher tax refunds in 2017 and higher commissions due to strong retail sales, partially offset by an increase in net investment income reflecting an increase in our investment portfolio attributed to the strong growth in deposits.

Cash flows from investing activities

The primary cash inflows from investing activities are the sales, maturities and repayments of investments. The primary cash outflows from investing activities are the purchases and acquisitions of new investments. Our investing activities used cash flows totaling $3.9 billion and $2.6 billion for the six months ended June 30, 2018 and 2017 , respectively. The change in cash used in investing activities was primarily attributed to the purchase of investments related to the increase in deposits over liability outflows, the investment of proceeds from our debt issuance, the deconsolidation of AGER Bermuda Holding Ltd. and its subsidiaries and the reinvestment of earnings.

Cash flows from financing activities

The primary cash inflows from financing activities are deposits on our investment-type policies, changes of cash collateral posted for derivative transactions, capital contributions and proceeds from borrowing activities. The primary cash outflows from financing activities are withdrawals on our investment-type policies, changes of cash collateral posted for derivative transactions and repayments from borrowing activities. Our financing activities provided cash flows totaling $2.2 billion and $2.6 billion for the six months ended June 30, 2018 and 2017 , respectively. The change in cash provided from financing activities was primarily attributed to the change in cash collateral posted for derivative transactions and lower funding agreement issuances in 2018 partially offset by proceeds from the issuance of debt.

Holding Company Liquidity

AHL is a holding company whose primary liquidity needs include the cash-flow requirements relating to its corporate activities, including its day-to-day operations and strategic transactions, such as acquisitions. The primary source of AHL’s cash flow is dividends from its subsidiaries, which are expected to be adequate to fund cash flow requirements based on current estimates of future obligations.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The ability of AHL’s insurance subsidiaries to pay dividends is limited by applicable laws and regulations of the jurisdictions where the subsidiaries are domiciled, as well as agreements entered into with regulators. These laws and regulations require, among other things, the insurance subsidiaries to maintain minimum solvency requirements and limit the amount of dividends these subsidiaries can pay.

Subject to these limitations and prior notification to the appropriate regulatory agency, the U.S. insurance subsidiaries are permitted to pay ordinary dividends based on calculations specified under insurance laws of the relevant state of domicile. Any distributions above the amount permitted by statute in any twelve month period are considered to be extraordinary dividends, and the approval of the appropriate regulator is required prior to payment. In addition, dividends from U.S. insurance subsidiaries to AHL would result in a 30% withholding tax. AHL does not currently plan on having the U.S. subsidiaries pay any dividends to AHL. As a result, dividends from ALRe are projected to be the primary source of AHL’s liquidity.

Under the Bermuda Insurance Act, ALRe is prohibited from paying a dividend in an amount exceeding 25% of the prior year’s statutory capital and surplus, unless at least two members of ALRe’s board of directors and its principal representative in Bermuda sign and submit to the Bermuda Monetary Authority (BMA) an affidavit attesting that a dividend in excess of this amount would not cause ALRe to fail to meet its relevant margins. In certain instances, ALRe would also be required to provide prior notice to the BMA in advance of the payment of dividends. In the event that such an affidavit is submitted to the BMA in accordance with the Bermuda Insurance Act, and further subject to ALRe meeting its relevant margins, ALRe is permitted to distribute up to the sum of 100% of statutory surplus and an amount less than 15% of its total statutory capital. Distributions in excess of this amount require the approval of the BMA.

The maximum distribution permitted by law or contract is not necessarily indicative of our actual ability to pay such distributions, which may be further restricted by business and other considerations, such as the potential imposition of withholding tax and the impact of such distributions on surplus, which could affect our ratings or competitive position and the amount of premiums that can be written. Specifically, the level of capital needed to maintain desired financial strength ratings from rating agencies, including S&P, A.M. Best and Fitch, is of particular concern when determining the amount of capital available for distributions. AHL believes its insurance subsidiaries have sufficient statutory capital and surplus, combined with additional capital available to be provided by AHL, to meet their financial strength ratings objectives. Finally

state insurance laws and regulations require that the statutory surplus of our insurance subsidiaries following any dividend or distribution must be reasonable in relation to their outstanding liabilities and adequate for the insurance subsidiaries’ financial needs.

Other Sources of Funding

If needed, we may seek to secure additional funding at the holding company level by means other than dividends from subsidiaries, such as by drawing on our undrawn $1.0 billion credit facility or by pursuing future issuances of debt or equity securities to third-party investors. However, such additional funding may not be available on terms favorable to us or at all, depending on our financial condition or results of operations or prevailing market conditions. In addition, certain covenants in our credit facility prohibit us from incurring any debt not expressly permitted thereby, which may limit our ability to pursue future issuances of debt.

Shelf Registration

On January 3, 2018, we filed our Shelf Registration Statement with the United States Securities and Exchange Commission (SEC), which became effective upon filing. Under our Shelf Registration Statement, we have the ability to issue, in indeterminate amounts, debt securities, preferred shares, depositary shares, Class A common shares, warrants and units. On January 12, 2018, we issued $1.0 billion in aggregate principal amount of 4.125% Senior Notes due January 2028 under our Shelf Registration Statement.

Membership in Federal Home Loan Bank

We are a member of the FHLBDM and the FHLBI. Membership in a FHLB requires the member to purchase FHLB common stock based on a percentage of the dollar amount of advances outstanding, subject to the investment being greater than or equal to a minimum level. We owned a total of $50 million and $36 million of FHLB common stock as of June 30, 2018 and December 31, 2017 , respectively.

Through our membership in the FHLBDM and FHLBI, we are eligible to borrow under variable rate short-term federal funds arrangements to provide additional liquidity. The borrowings must be secured by eligible collateral such as mortgage loans, eligible CMBS or RMBS, government or agency securities and guaran teed loan s. We had outstanding borrowings under these arrangements of $183 million and $0 million as of June 30, 2018 and December 31, 2017 , respectively.

On August 11, 2016, we provided notice to the FHLBI that Athene Life Insurance Company (ALIC) is withdrawing its membership thereto. The FHLBI confirmed receipt of our request on the following day. Pursuant to the FHLBI’s capital plan, ALIC’s membership will be withdrawn as of the fifth anniversary of the FHLBI’s receipt of our notice. Until such time that ALIC’s membership is withdrawn, ALIC continues to have all of the rights and obligations of being a member of the FHLBI, except that with respect to some or all of the FHLBI stock that ALIC owns, we will be entitled to a lower dividend amount, to the extent that the FHLBI declares a dividend. ALIC may continue to borrow from the FHLBI, provided that without the consent of the FHLBI, the transaction must mature or otherwise terminate prior to ALIC’s withdrawal of membership.

We have issued funding agreements to the FHLB in exchange for cash advances. These funding agreements were issued in an investment spread strategy, consistent with other investment spread operations. As of June 30, 2018 and December 31, 2017 , we had funding agreements outstanding with the FHLB in the aggregate principal amount of $701 million and $573 million , respectively.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The maximum FHLB indebtedness by a member is determined by the amount of collateral pledged, and cannot exceed a specified percentage of the member’s total statutory assets, dependent on the internal credit rating assigned to the member by the FHLB. As of June 30, 2018 , the total maximum borrowings under the FHLBDM facility were limited to $16.5 billion . However, our ability to borrow under the facility is constrained by the availability of assets that qualify as eligible collateral under the facility and by the Iowa Code requirement that we maintain funds equivalent to our legal reserve in certain permitted investments, from which we exclude pledged assets. Considering these limitations, we estimate that, as of June 30, 2018 , we had the ability to draw up to a total of approximately $1.5 billion , inclusive of borrowings then outstanding. This estimate is based on our internal analysis and assumptions, and may not accurately measure collateral which is ultimately acceptable to the FHLB. Drawing such amounts would have an adverse impact on AAIA’s RBC ratio, which may further restrict our ability or willingness to draw up to our estimated capacity.

Capital Resources

As of December 31, 2017 and 2016, our U.S. insurance companies’ TAC, as defined by the NAIC, was $1.9 billion and $1.8 billion , respectively, and our ALRe statutory capital, as defined by the BMA, was $7.0 billion and $6.1 billion , respectively. As of December 31, 2017 and 2016, our U.S. RBC ratio was 490% and 478% , respectively, and our Bermuda Solvency Capital Requirement (BSCR) ratio was 354% and 228% , respectively, all above our internal targets. Each U.S. domestic insurance subsidiary’s state of domicile imposes minimum RBC requirements that were developed by the NAIC. The formulas for determining the amount of RBC specify various weighting factors that are applied to financial balances or various levels of activity based on the perceived degree of risk. Regulatory compliance is determined by a ratio of TAC to its authorized control level RBC (ACL). Our TAC was significantly in excess of all regulatory standards and above our internal targets as of June 30, 2018 , December 31, 2017 and 2016, respectively. ALRe adheres to BMA regulatory capital requirements to maintain statutory capital and surplus to meet the Minimum Margin of Solvency (MMS) and maintain minimum economic balance sheet (EBS) capital and surplus to meet the Enhanced Capital Requirement (ECR). Under the EBS framework, ALRe’s assets are recorded at market value and its insurance reserves are determined by reference to nine prescribed scenarios, with the scenario resulting in the highest reserve balance being ultimately required to be selected. The ALRe EBS capital and surplus was $7.7 billion and $4.4 billion resulting in a BSCR ratio of 354% and 228% as of December 31, 2017 and 2016, respectively. The MRC ratio to be considered solvent by the BMA is 100%. As of June 30, 2018 , December 31, 2017 and 2016, ALRe held the appropriate capital to adhere to these regulatory standards. In evaluating our capital position and the amount of capital needed to support our Retirement Services segment, we review our ALRe capital by applying the NAIC RBC factors. As of December 31, 2017 and 2016, our ALRe RBC ratio was 562% and 529% , respectively, both above our internal targets. We believe that we enjoy a strong capital position in light of our risks and that we are well positioned to meet policyholder and other obligations. We also believe that our strong capital position, as well as our excess capital position, provides us the opportunity to take advantage of market dislocations as they arise. Changes in U.S. tax rates under the Tax Act may impact our RBC ratios. See Part I—Item 1. Business–Regulation–United States–Tax Reform in our 2017 Annual Report for further discussion.

Balance Sheet and Other Arrangements

Contractual Obligations

The following table summarizes estimated future payments on our contractual obligations as of June 30, 2018 :



	Payments Due by Period
(In millions)	Total		2018		2019-2020		2021-2022		2023 and thereafter
Interest sensitive contract liabilities	$	87,052	$	7,270	$	16,377	$	17,314	$	46,091
Future policy benefits	13,970		187		500		510		12,773
Other policy claims and benefits	136		136		—		—		—
Dividends payable to policyholders	118		5		9		9		95
Short-term debt ¹	184		184		—		—		—
Long-term debt ¹	1,413		21		83		83		1,226
Total	$	102,873	$	7,803	$	16,969	$	17,916	$	60,185

¹ The obligations for short- and long-term debt payments include contractual maturities of principal and estimated future interest payments based on the terms of the debt agreements, as described in Note 8 – Debt to the condensed consolidated financial statements.

Other

In the normal course of business, we invest in various investment funds which are considered VIEs, and we consolidate a VIE when we are considered the primary beneficiary of the entity. For further discussion of our involvement with VIEs, see Note 4 – Variable Interest Entities to the condensed consolidated financial statements.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Off Balance Sheet Arrangements

Collateral for Derivatives

We enter into derivatives for risk management purposes. We hold non-cash collateral from counterparties for our derivatives, which has not been recorded on our consolidated balance sheets. These amounts were $111 million and $221 million as of June 30, 2018 and December 31, 2017 , respectively.

Collateral for Reinsurance

We hold collateral for and provide collateral to counterparties for our reinsurance agreements. We held $568 million and $259 million as of June 30, 2018 and December 31, 2017 , respectively, of collateral on behalf of our reinsurers.

Critical Accounting Estimates and Judgments

The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of any contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Amounts based on such estimates involve numerous assumptions subject to varying and potentially significant degrees of judgment and uncertainty, particularly related to the future performance of the underlying business, and will likely change in the future as additional information becomes available. Critical estimates and assumptions are evaluated on an ongoing basis based on historical developments, market conditions, industry trends and other information that is reasonable under the circumstances. There can be no assurance that actual results will conform to estimates and assumptions and that reported results of operations will not be materially affected by the need to make future accounting adjustments to reflect periodic changes in these estimates and assumptions. Critical accounting estimates are impacted significantly by our methods, judgments and assumptions used in the preparation of the consolidated financial statements and should be read in conjunction with our significant accounting policies described in Note 1 – Business, Basis of Presentation and Significant Accounting Policies to the consolidated financial statements of our 2017 Annual Report. The most critical accounting estimates and judgments include those used in determining:


•	fair value of investments;


•	impairment of investments and valuation allowances;


•	future policy benefit reserves;


•	derivatives valuation, including embedded derivatives;


•	deferred acquisition costs, deferred sales inducements and value of business acquired;


•	stock-based compensation;


•	consolidation of VIEs; and


•	valuation allowances on deferred tax assets.

The above critical accounting estimates and judgments are discussed in detail in Part II—Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations of our 2017 Annual Report; however, due to the significance of the Voya reinsurance transactions, the following updates and replaces those tables provided in the 2017 Annual Report:

Future Policy Benefits— Liabilities for Guaranteed Living Withdrawal Benefits and Guaranteed Minimum Death Benefits

As of June 30, 2018 , the GLWB and GMDB liability balance, including the impacts of shadow adjustments, totaled $2.9 billion . The increase (decrease) to the GLWB and GMDB liability balance, including the impacts of shadow adjustments from hypothetical changes in projected assessments, changes in the discount rate and annual equity growth is summarized as follows:



(In millions)	June 30, 2018
+10% assessments	$	(83	)
–10% assessments	92
+100 bps discount rate	82
–100 bps discount rate	(102		)
1% lower annual equity growth	58

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Derivatives— Valuation of Embedded Derivatives on FIAs

As of June 30, 2018 , we had embedded derivative liabilities classified as Level 3 in the fair value hierarchy of $8.1 billion . The increase (decrease) to the embedded derivatives on FIA products from hypothetical changes in discount rates is summarized as follows:



(In millions)	June 30, 2018
+100 bps discount rate	$	(574	)
–100 bps discount rate	647

Deferred Acquisition Costs, Deferred Sales Inducements, and Value of Business Acquired— As of June 30, 2018 , DAC, DSI and VOBA totaled $4.7 billion . The increases (decreases) to DAC, DSI and VOBA from hypothetical changes in estimated future gross profits and the embedded derivative discount rate are summarized as follows:



	June 30, 2018
(In millions)	DAC			DSI			VOBA			Total
+10% estimated future gross profits	$	37		$	15		$	48		$	100
–10% estimated future gross profits	(44		)	(19		)	(53		)	(116		)
+100 bps discount rate	(67		)	(29		)	(36		)	(132		)
–100 bps discount rate	73			36			45			154

See Note 1 – Business, Basis of Presentation and Significant Accounting Policies to the condensed consolidated financial statements for adoption of new and future accounting pronouncements.

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Item 3. Quantitative and Qualitative Disclosures About Market Risks

We regularly analyze our exposure to market risks, which reflect potential losses in value due to credit and counterparty risk, interest rate risk, currency risk, commodity price risk and equity price risk. As a result of that analysis, we have determined that we are primarily exposed to credit risk, interest rate risk and to a lesser extent, equity price risk. A description of our market risk exposures, including strategies used to manage our exposure to market risk, may be found under Part II—Item 7A. Quantitative and Qualitative Disclosures About Market Risk of the 2017 Annual Report.

There have been no material changes to our market risk exposures from those previously disclosed in the 2017 Annual Report, except as described below. The following updates and replaces the information provided in the 2017 Annual Report:

Sensitivities

Interest Rate Risk

We assess interest rate exposures for financial assets, liabilities and derivatives using hypothetical stress tests and exposure analyses. Assuming all other factors are constant, if there was an immediate, parallel increase in interest rates of 25 basis points from levels as of June 30, 2018, the estimated point-in-time impact to our pre-tax consolidated statements of income would have been a decrease of $196 million as of June 30, 2018. If there were a similar parallel increase in interest rates from levels as of December 31, 2017, the estimated point-in-time impact to our pre-tax consolidated statements of income would have been an increase of $18 million as of December 31, 2017. The decrease compared to December 31, 2017 was driven by the Voya reinsurance transaction on June 1, 2018, which substantially increased our exposure to reinsurance unrealized gains and losses that are included in our pre-tax income. An immediate, parallel decline in interest rates of 25 basis points is estimated to increase our pre-tax consolidated statements of income as of June 30, 2018 and December 31, 2017 by similar amounts to the decreases shown above.

Assuming a 25 basis points increase in interest rates persists for a 12-month period, the estimated impact to adjusted operating income is expected to be relatively unchanged from the sensitivities shown in Part II—Item 7A. Quantitative and Qualitative Disclosures About Market Risk of the 2017 Annual Report, as there were minimal floating rate assets added as a part of the Voya reinsurance transaction. The models used to estimate the impact of a 25 basis point change in market interest rates incorporate numerous assumptions, require significant estimates and assume an immediate change in interest rates without any discretionary management action to counteract such a change. Consequently, potential changes in our valuations indicated by these simulations will likely be different from the actual changes experienced under any given interest rate scenarios and these differences may be material. Because we actively manage our assets and liabilities, the net exposure to interest rates can vary over time. However, any such decreases in the fair value of fixed maturity securities, unless related to credit concerns of the issuer requiring recognition of an OTTI, would generally be realized only if we were required to sell such securities at losses to meet liquidity needs.

Public Equity Risk

Assuming all other factors are constant, we estimate that a decline in public equity market prices of 10% would be relatively unchanged from the sensitivities shown in Part II—Item 7A. Quantitative and Qualitative Disclosures About Market Risk of the 2017 Annual Report.

Item 4. Controls and Procedures

We maintain disclosure controls and procedures as such term is defined under Exchange Act Rule 13a-15(e), that are designed to ensure that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosures. In designing and evaluating the disclosure controls and procedures, our management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives and our management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures. We have carried out an evaluation, as of the end of the period covered by this report, under the supervision and with the participation of our management, including our Chief Executive Officer and Chief Financial Officer, of the effectiveness of the design and operation of our disclosure controls and procedures. Based on this evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures were effective at attaining the level of reasonable assurance noted above. In light of the overlap between disclosure controls and procedures and internal control over financial reporting, our evaluation of disclosure controls and procedures excluded an assessment of those disclosure controls and procedures related to the Voya reinsurance transactions discussed in Note 7 – Reinsurance to the condensed consolidated financial statements that are subsumed by internal control over financial reporting.

In connection with the closing of the Voya reinsurance transactions discussed in Note 7 – Reinsurance to the condensed consolidated financial statements, we designed and implemented controls over block reinsurance accounting, including data, modeling, reconciliation and review procedures. Other than the changes relating to the Voya reinsurance transactions, there were no changes to our internal control over financial reporting as defined in Exchange Act Rule 13a-15(f) during the quarter ended June 30, 2018 , that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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PART II — OTHER INFORMATION

Item 1. Legal Proceedings

We are subject to litigation arising in the ordinary course of our business, including litigation principally relating to our FIA business. We cannot assure you that our insurance coverage will be adequate to cover all liabilities arising out of such claims. The outcomes of legal proceedings and claims brought against us are subject to significant uncertainty. There is significant judgment required in assessing both the probability of an adverse outcome and the determination as to whether an exposure can be reasonably estimated. In management’s opinion, the ultimate disposition of any current legal proceedings or claims brought against us will not have a material effect on our financial condition, results of operations or cash flows. Litigation is, however, inherently uncertain and an adverse outcome from such litigation could have a material effect on the operating results of a particular reporting period.

From time to time, in the ordinary course of business and like others in the insurance and financial services industries, we receive requests for information from government agencies in connection with such agencies’ regulatory or investigatory authority. Such requests can include financial or market conduct examinations, subpoenas or demand letters for documents to assist the government in audits or investigations. We and each of our U.S. insurance subsidiaries review such requests and notices and take appropriate action. We have been subject to certain requests for information and investigations in the past and could be subject to them in the future.

For a description of certain legal proceedings affecting us, see Note 13 – Commitments and Contingencies – Litigation, Claims and Assessments to the condensed consolidated financial statements.

Item 1A. Risk Factors

The following should be read in conjunction with, and supplements and amends, the factors that may affect our business or operations described in Part I—Item 1A. Risk Factors of our 2017 Annual Report. Other than as described in this Item 1A, there have been no material changes to our risk factors from the risk factors previously disclosed in our 2017 Annual Report.

The following updates and replaces the last paragraph of the similarly named risk factor included in our 2017 Annual Report:

Our business, financial condition, liquidity, results of operations and cash flows depend on the accuracy of our management’s assumptions and estimates, and we could face significant losses if these assumptions and estimates differ significantly from actual results

BEAT Mitigating Actions

In light of the possibility of material additional tax cost to our U.S. subsidiaries and the lack of clear guidance regarding the appropriate method by which to compute the BEAT, we are undertaking certain actions and exploring various alternatives intended to mitigate the potential effect of the BEAT on our results of operations in the event it is determined that none of the amounts paid or accrued by our non-U.S. reinsurance subsidiaries to our U.S. subsidiaries are taken into account in the calculation of “base erosion payments” or “base erosion tax benefit.” We have made estimates regarding the overall tax rate we expect to experience as a result of undertaking such actions. The determination of each such figure, or range of figures, involves numerous estimates and assumptions regarding the efficacy of such actions in bringing about the desired outcomes and the magnitude of such outcomes to be experienced. Such estimates and assumptions may prove incorrect in the event that we receive conflicting guidance regarding the proper interpretation of the Tax Act. To the extent that actual experience differs from the estimates and assumptions inherent in our projections, our future overall tax rate may deviate materially from the estimates provided and our financial condition and results of operations may be materially less favorable than are implied by the projections provided.

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The following updates and replaces the third paragraph of the similarly named risk factor included in our 2017 Annual Report:

We rely significantly on third parties for investment services and certain other services related to our policies, and we may be held responsible for obligations that arise from the acts or omissions of third parties under their respective agreements with us if they are deemed to have acted on our behalf.

Our U.S. insurance subsidiaries have experienced increased service and administration complaints related to the conversion and administration of the block of life insurance business acquired in connection with our acquisition of Aviva USA and reinsured to affiliates of Global Atlantic. The life insurance policies included in this block have been and are currently being administered by AllianceOne, a subsidiary of DXC Technology Company, which was retained by such Global Atlantic affiliates to provide services on such policies. AllianceOne also administers certain annuity policies that were on Aviva USA’s legacy policy administration systems that were also converted in connection with the acquisition of Aviva USA and have experienced similar service and administration issues.

As a result of the difficulties experienced with respect to the administration of such policies, we have received notifications from several state regulators, including but not limited to the NYSDFS, CDI and the Texas Department of Insurance, indicating, in each case, that the respective regulator planned to undertake a market conduct examination or enforcement proceeding of the applicable U.S. insurance subsidiary relating to the treatment of policyholders subject to our reinsurance agreements with affiliates of Global Atlantic and the conversion of such annuity policies, including the administration of such blocks by AllianceOne. On June 28, 2018 we entered into a consent order with the NYSDFS resolving that matter in a manner that, when considering the indemnification received from affiliates of Global Atlantic, did not have a material impact on our financial condition, results of operations or cash flows.

The following updates and replaces the similarly named section of risk factors included in our 2017 Annual Report:

Risks Relating to Taxation

The BEAT may significantly increase our tax liability and our efforts to mitigate the cost of the BEAT may be unnecessary, inefficient, ineffective, or counterproductive .

The Tax Act introduced a new tax called the BEAT. The BEAT operates as a minimum tax and is generally calculated as a percentage (5% in 2018, 10% in 2019–2025, and 12.5% in 2026 and thereafter) of the “modified taxable income” of an “applicable taxpayer.” Modified taxable income is calculated by adding back to a taxpayer’s regular taxable income the amount of certain “base erosion tax benefits” with respect to certain payments made to foreign affiliates of the taxpayer, as well as the “base erosion percentage” of any net operating loss deductions. The BEAT applies for a taxable year only to the extent it exceeds a taxpayer’s regular corporate income tax liability for such year (determined without regard to certain tax credits).

Certain of our reinsurance agreements require our U.S. subsidiaries to pay or accrue substantial amounts to our non-U.S. reinsurance subsidiaries that would be characterized as “base erosion payments” with respect to which there are “base erosion tax benefits.” Accordingly, the BEAT could significantly increase the tax liability of our U.S. subsidiaries and have a material adverse effect on our results of operations.

Moreover, our non-U.S. reinsurance subsidiaries pay or accrue substantial amounts to our U.S. subsidiaries under our reinsurance agreements for increases in policy reserves and to reimburse our U.S. subsidiaries for payments of benefits to our policyholders. It is not clear whether such amounts should be netted against the amounts our U.S. subsidiaries pay or accrue to our non-U.S. reinsurance subsidiaries under our reinsurance agreements for purposes of calculating their “base erosion payments” and “base erosion tax benefits.” No assurance can be given that any such amounts will be netted. If the amounts cannot be netted and we do not take sufficient action to mitigate or eliminate the BEAT, or if the IRS successfully challenges the tax treatment of any such mitigating actions, the tax liability of our subsidiaries that are subject to U.S. taxation will increase and our results of operations will be materially adversely affected.

In light of the possibility of material additional tax cost to our U.S. subsidiaries due to the lack of clear guidance regarding the application of the BEAT, we are taking steps intended to mitigate the potential effect of the BEAT on our results of operations in the event it is determined that none of the amounts paid or accrued by a non-U.S. reinsurance subsidiary to our U.S. subsidiaries are taken into account in the calculation of “base erosion payments” or “base erosion tax benefit.” Our efforts may not succeed. Additionally, it is possible that we will be required to take further action before the uncertainty regarding the BEAT is resolved, and accordingly our actions may, in hindsight, prove to have been unnecessary and inefficient.

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The term “related” is defined broadly under the BEAT and application of the definition and the tax attribution rules to which it refers can produce results that are hard to predict. We believe that other than our wholly-owned subsidiaries, none of our reinsurance counterparties should be treated as “related” to us for purposes of the BEAT, and therefore payments under our reinsurance arrangements with such counterparties are not subject to the BEAT. However, there is considerable uncertainty regarding the scope of the term “related” for BEAT purposes, and no assurances can be made that the IRS will not assert that one or more of our reinsurance counterparties are “related” to us for purposes of the BEAT. A successful challenge would have a material adverse effect on our results of operation.

The application of the BEAT to our reinsurance arrangements could be affected by further legislative action, administrative guidance or court decisions. Any such legislative action, administrative guidance or court decisions may not be available at the time that we are required to determine the amount of federal income tax incurred by our U.S. subsidiaries for subsequent quarters, and they could have retroactive effect. Tax authorities may later disagree with our BEAT calculations, or the interpretations on which those calculations are based, and assess additional taxes, interest and penalties, and the uncertainty regarding the correct interpretation of the BEAT may make such disagreements more likely. We will determine the appropriateness of our tax provision in accordance with GAAP. However, there can be no assurance that this provision will accurately reflect the amount of federal income tax that our U.S. subsidiaries ultimately pay, as that amount could differ materially from our estimate.

In light of the uncertainties described above and the possibility of material additional tax cost to our U.S. subsidiaries, we continue to explore various alternatives intended to mitigate the potential effect of the BEAT on our results of operations. Such actions may have adverse tax consequences to our business, such as subjecting profit from our affiliate reinsurance to a layer of withholding tax up to 30%, which would not be payable under our current structure. There can be no assurances that we will be able to complete these actions as they are conditioned upon factors beyond our control, such as regulatory approval. In addition, it is possible that we will be required to take action before the uncertainty regarding the BEAT is resolved, and accordingly any action we take may, in hindsight, prove to have been unnecessary, inefficient, ineffective or counterproductive.

AHL or its non-U.S. subsidiaries may be subject to U.S. federal income taxation.

AHL and its non-U.S. subsidiaries are incorporated under the laws of non-U.S. jurisdictions, including Bermuda, and currently intend to operate in a manner that will not cause either to be treated as being engaged in a trade or business within the U.S. or subject to current U.S. federal income taxation on their net income. However, because there is considerable uncertainty as to when a foreign corporation is engaged in a trade or business within the United States, as the law is unclear and the determination is highly factual and must be made annually, there can be no assurance that the IRS will not successfully contend that AHL or one of its non-U.S. subsidiaries is engaged in a trade or business in the U.S. In addition, although AHL and its non-U.S. subsidiaries currently intend to operate in a manner that would not cause them to be treated as engaged in a trade or business within the U.S., the recent enactment of the BEAT, the reduction of the federal income tax rate applicable to corporations included in the Tax Act, and other factors may cause the companies to conduct their business differently. If AHL or one of its non-U.S. subsidiaries were considered to be engaged in a trade or business in the U.S., it could be subject to U.S. federal income taxation on a net basis on its income that is effectively connected with such U.S. trade or business (including branch profits tax on the portion of its earnings and profits that is attributable to such income). Any such U.S. federal income taxation could result in substantial tax liabilities and consequently could have a material adverse effect on our financial condition and results of future operations.

U.S. persons who own our Class A common shares may be subject to U.S. federal income taxation at ordinary income rates on our undistributed earnings and profits.

AHL’s bye-laws generally limit the voting power of our Class A common shares (and certain other of our voting securities) such that no person owns (or is treated as owning) more than 9.9% of the total voting power of our common shares (with certain exceptions). AHL’s bye-laws also currently reduce the voting power of Class B common shares held by certain holders if (A) one or more U.S. persons that own (or are treated as owning) more than 9.9% of the total voting power of our common shares own (or are treated as owning) individually or in the aggregate more than 24.9% of the voting power or the value of our common shares or (B) a U.S. person that is classified as an individual, an estate or a trust for U.S. federal income tax purposes owns (or is treated as owning) more than 9.9% of the total voting power of our common shares. Additionally, AHL’s bye-laws require the board of AHL to refer certain decisions with respect to our non-U.S. subsidiaries to our shareholders, and to vote our shares in those subsidiaries accordingly. These provisions were intended to reduce the likelihood that AHL or its non-U.S. subsidiaries will be treated as a CFC, other than for purposes of taking into account related person insurance income (RPII). However, the relevant attribution rules are complex and there is no definitive legal authority on whether the voting provisions included in AHL’s organizational documents are effective for purposes of the CFC provisions.

Moreover, the Tax Act eliminated the prohibition on “downward attribution” from non-U.S. persons to U.S. persons under Section 958(b)(4) of the Internal Revenue Code for purposes of determining constructive stock ownership under the CFC rules. As a result, our U.S. subsidiaries are deemed to own all of the stock of ALRe’s non-U.S. subsidiaries held by ALRe for CFC purposes. Accordingly, ALRe’s non-U.S. subsidiaries are currently treated as CFCs, without regard to whether the provisions of our bye-laws described above are effective for purposes of the CFC provisions. The legislative history under the Tax Act indicates that this change was not intended to cause any of AHL’s non-U.S. subsidiaries to be treated as a CFC with respect to a 10% U.S. Shareholder (as defined below) that is not related to our U.S. subsidiaries. However, it is not clear whether the IRS or a court would interpret the change made by the Tax Act in a manner consistent with such indicated intent.

For any taxable year in which AHL or one of its non-U.S. subsidiaries is treated as a CFC, each U.S. person treated as a “10% U.S. Shareholder” with respect to AHL or its non-U.S. subsidiaries that held our common shares directly or indirectly through non-U.S. entities as of the last day in

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such taxable year that the relevant company was a CFC would generally be required to include in gross income as ordinary income its pro rata share of the relevant company’s insurance and reinsurance income and certain other investment income, regardless of whether that income was actually distributed to such U.S. person (with certain adjustments). For tax years beginning on or after January 1, 2018, a “10% U.S. Shareholder” of a non-U.S. corporation includes any U.S. person that owns (or is treated as owning) stock of the non-U.S. corporation possessing 10% or more of the total voting power or total value of such non-U.S. corporation’s stock. Any U.S. person that owns (or is treated as owning) 10% or more of the value of AHL should consult with their tax advisor regarding their investment in AHL.

In general, a non-U.S. corporation is a CFC if 10% U.S. Shareholders, in the aggregate, own (or are treated as owning) stock of the non-U.S. corporation possessing more than 50% of the voting power or value of such corporation’s stock. However, this threshold is lowered to more than 25% for purposes of taking into account the insurance income of a non-U.S. corporation. Special rules apply for purposes of taking into account any RPII of a non-U.S. corporation, as described below.

In addition, if a U.S. person disposes of shares in a non-U.S. corporation and the U.S. person was a 10% U.S. Shareholder at any time when the corporation was a CFC during the five-year period ending on the date of disposition, any gain from the disposition will generally be treated as a dividend to the extent of the U.S. person’s share of the corporation’s undistributed earnings and profits that were accumulated during the period or periods that the U.S. person owned the shares while the corporation was a CFC (with certain adjustments). Also, a U.S. person may be required to comply with specified reporting requirements, regardless of the number of shares owned.

Because of the limitations in AHL’s bye-laws referred to above, among other factors, we believe it is unlikely that any U.S. person that is treated as owning less than 10% of the total value of AHL would be a 10% U.S. Shareholder of AHL or its non-U.S. subsidiaries. However, because the relevant attribution rules are complex and there is no definitive legal authority on whether the voting provisions included in AHL’s organizational documents are effective for purposes of the CFC provisions, there can be no assurance that this will be the case. Further, our ability to obtain information that would permit us to enforce the limitation described above may be limited. We will take reasonable steps to obtain such information, but there can be no assurance that such steps will be adequate or that we will be successful in this regard. Accordingly, we may not be able to fully enforce the limitation described above.

U.S. persons who own our Class A common shares may be subject to U.S. federal income taxation at ordinary income rates on a disproportionate share of our undistributed earnings and profits attributable to RPII.

If any of AHL’s non-U.S. subsidiaries is treated as recognizing RPII in a taxable year and is also treated as a CFC for such taxable year, each U.S. person that owns our Class A common shares directly or indirectly through non-U.S. entities as of the last day in such taxable year must generally include in gross income its pro rata share of the RPII, determined as if the RPII were distributed proportionately only to all such U.S. persons, regardless of whether that income is distributed (with certain adjustments). For this purpose, a non-U.S. subsidiary generally will be treated as a CFC if U.S. persons in the aggregate are treated as owning 25% or more of the total voting power or value of the relevant company’s stock at any time during the taxable year. We believe that our non-U.S. subsidiaries will be treated as a CFC for this purpose based on the current and expected ownership of our shares.

RPII generally is any income of a non-U.S. corporation attributable to insuring or reinsuring risks of a U.S. person that owns (or is treated as owning) stock of such non-U.S. corporation, or risks of a person that is “related” to such a U.S. person. For this purpose, (1) a person is “related” to another person if such person “controls,” or is “controlled” by, such other person, or if both are “controlled” by the same persons, and (2) “control” of a corporation means ownership (or deemed ownership) of stock possessing more than 50% of the total voting power or value of such corporation’s stock and “control” of a partnership, trust or estate for U.S. federal income tax purposes means ownership (or deemed ownership) of more than 50% by value of the beneficial interests in such partnership, trust or estate.

Athene and Apollo have considerable overlap in ownership. If it is determined that the same persons “control” both us and Apollo through owning (or being treated as owning) more than 50% of the vote or value of Athene and Apollo, substantially all of the income of AHL’s non-U.S. reinsurance subsidiaries might constitute RPII. This would trigger the adverse RPII consequences described above to all U.S. persons that hold our Class A common shares directly or indirectly through non-U.S. entities and would have a material adverse effect on the value of their investment in our Class A common shares.

Existing voting restrictions set forth in AHL’s bye-laws are generally intended to prevent a person who owns (or is treated as owning) shares in Apollo from owning (or being treated as owning) any of the voting power of our Class A common shares, thus preventing persons who own (or are treated as owning) both AHL and Apollo from owning (or being treated as owning) more than 50% of the voting power of our stock. However, these restrictions do not prevent members of the Apollo Group from retaining the right to vote on newly acquired Class A common shares, should they choose to do so, nor do they prevent persons who own (or are treated as owning) both AHL and Apollo from owning (or being treated as owning) more than 50% of the value of our stock. AHL’s bye-laws also generally provide that no person (nor certain direct or indirect beneficial owners or related persons to such person) who owns our common shares, other than a member of the Apollo Group, may acquire any shares of Apollo or otherwise make any investment that would cause such person, or any other person that is a U.S. person, to own (or be treated as owning) more than 50% of the vote or value of AHL’s stock. Any holder of our common shares that violates this provision may be required, at the board’s discretion, to sell its common shares or take any other reasonable action that the board deems necessary.

Because of the restrictions described above, among other factors, we believe it is likely that one or more exceptions under the RPII rules will apply such that U.S. persons will not be required to include any RPII in their gross income with respect to AHL’s non-U.S. subsidiaries. However, there can be no assurance that this will be the case. Further, our ability to obtain information that would permit us to enforce the

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restrictions described above may be limited. We will take reasonable steps to obtain such information, but there can be no assurance that such steps will be adequate or that we will be successful in this regard. Accordingly, we may not be able to fully enforce these restrictions.

U.S. persons who dispose of our Class A common shares may be required to treat any gain as ordinary income for U.S. federal income tax purposes and comply with other specified reporting requirements.

If a U.S. person disposes of shares in a non-U.S. corporation that is an insurance company that had RPII and the 25% threshold described above is met at any time when the U.S. person owned any shares in the corporation during the five-year period ending on the date of disposition, any gain from the disposition will generally be treated as a dividend to the extent of the U.S. person’s share of the corporation’s undistributed earnings and profits that were accumulated during the period that the U.S. person owned the shares (possibly whether or not those earnings and profits are attributable to RPII). In addition, the shareholder will be required to comply with specified reporting requirements, regardless of the amount of shares owned. We believe that these rules should not apply to a disposition of our Class A common shares because AHL is not itself directly engaged in the insurance business. We cannot assure you, however, that the IRS will not successfully assert that these rules apply to a disposition of our Class A common shares.

U.S. tax-exempt organizations that own our Class A common shares may recognize unrelated business taxable income.

A U.S. tax-exempt organization that directly or indirectly owns our Class A common shares generally will recognize unrelated business taxable income and be subject to additional U.S. tax filing obligations to the extent such tax-exempt organization is required to take into account any of our insurance income or RPII pursuant to the CFC and RPII rules described above. U.S. tax-exempt organizations should consult their own tax advisors regarding the risk of recognizing unrelated business taxable income as a result of the ownership of our Class A common shares.

U.S. persons who own our Class A common shares may be subject to adverse tax consequences if AHL is considered a passive foreign investment company for U.S. federal income tax purposes.

If AHL is considered a passive foreign investment company (PFIC) for U.S. federal income tax purposes, a U.S. person who directly or, in certain cases, indirectly owns our Class A common shares could be subject to adverse tax consequences, including a greater tax liability than might otherwise apply, an interest charge on certain taxes that are deemed deferred as a result of AHL’s non-U.S. status and additional U.S. tax filing obligations, regardless of the number of shares owned.

We currently do not expect that AHL will be a PFIC for U.S. federal income tax purposes in the current taxable year or the foreseeable future because AHL, through its insurance subsidiaries, intends to qualify for the “active insurance” exception to PFIC treatment. The “active insurance” exception was recently amended by the Tax Act, and we believe that AHL will qualify for the exception as amended. However, there is significant uncertainty regarding how the Tax Act will be interpreted and guidance may not be forthcoming. Therefore, we cannot assure you that AHL will not be treated as a PFIC. If AHL is treated as a PFIC, the adverse tax consequences described above generally would also apply with respect to a U.S. person’s indirect ownership interest in any PFICs in which AHL directly or, in certain cases, indirectly, owns an interest.

Changes in U.S. tax law might adversely affect us or our shareholders.

The tax treatment of non-U.S. companies and their U.S. and non-U.S. insurance subsidiaries has been significantly altered by the enactment of the Tax Act. See Part I—Item 1. Business–Regulation–United States–Tax Reform in our 2017 Annual Report. In particular, the Tax Act:


•	Imposes the BEAT (as described above);


•	Amends the calculation of tax reserves for U.S. life insurance companies and requires affected companies to include the resulting change in income over an 8-year period beginning in 2018;


•	Amends the treatment of “specified policy acquisition expenses” incurred by U.S. life insurance companies under Section 848 of the Internal Revenue Code;


•	Restricts the “active insurance” exception to PFIC treatment to “qualifying insurance corporations;”


•	Eliminates the prohibition on “downward attribution” from non-U.S. persons to U.S. persons under Section 958(b)(4) of the Internal Revenue Code for purposes of determining constructive stock ownership under the CFC rules (as described above); and


•	Amends the definition of “U.S. Shareholder” to include U.S. persons that own (or are treated as owning) 10% or more of the value of a foreign corporation.

There is significant uncertainty regarding how these and other provisions of the Tax Act will be interpreted, and guidance may not be forthcoming. In addition, it is possible that a “technical corrections” bill may be passed during 2018 that could alter or clarify the Tax Act, likely with retroactive effect. Any changes to, clarifications of, or guidance under the Tax Act could add significant expense and have a material adverse effect on our results of operations.

Finally, the tax treatment of non-U.S. companies and their U.S. and non-U.S. insurance subsidiaries may be the subject of further tax legislation. No prediction can be made as to whether any particular proposed legislation will be enacted or, if enacted, what the specific provisions or the effective date of any such legislation would be, or whether it would have any effect on us. As such, we cannot assure you that future legislative, administrative or judicial developments will not result in an increase in the amount of U.S. tax payable by us or by an investor in our Class A common shares or reduce the attractiveness of our products. If any such developments occur, our business, financial condition and results of

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operation could be materially and adversely affected and such developments could have a material and adverse effect on your investment in our common shares.

Changes in U.S. tax law might adversely affect demand for our products.

Many of the products that we sell and reinsure benefit from one or more forms of tax-favored status under current U.S. federal and state income tax regimes. For example, we sell and reinsure annuity contracts that allow the policyholders to defer the recognition of taxable income earned within the contract. The changes in U.S. federal tax law made by the Tax Act, or future changes in U.S. federal or state tax law, could reduce or eliminate the attractiveness of such products, which could affect the sale of our products or increase the expected lapse rate with respect to products that have already been sold.

There is U.S. income tax risk associated with reinsurance between U.S. insurance companies and their Bermuda affiliates.

If a reinsurance agreement is entered into among related parties, the IRS is permitted to reallocate or recharacterize income, deductions or certain other items, and to make any other adjustment, to reflect the proper amount, source or character of the taxable income of each of the parties. If the IRS were to successfully challenge our reinsurance arrangements, our financial condition and results of operations could be adversely affected and the price of our Class A common shares could be adversely affected.

We may not be able to use our deferred tax asset attributes or admit them into statutory capital as a result of the Tax Act.

Under the Tax Act, net operating losses generated in 2018 and thereafter may be carried forward indefinitely but may not be carried back to offset taxable income in prior tax periods. Historically, a portion of our admitted deferred tax asset has reflected our ability to carry net operating losses back to prior tax periods. In the future, the amount of deferred tax asset we are able to admit may be reduced due to the elimination of the carry back period. Because the ability to admit deferred tax assets into statutory capital is dependent in part on our ability to carry losses back to prior tax periods, we may not be able to admit into statutory capital a portion of deferred tax assets that are generated in future tax periods.

We may have fewer investable assets and earn less investment income as a result of the Tax Act.

Certain of the changes made by the Tax Act are expected to increase the amount of our current tax expense. Although the increase in current tax expense from these changes may be largely offset by an increase in the amount of our deferred tax assets, we may have fewer investable assets and thus may earn less investment income.

We may become subject to U.S. withholding tax under certain U.S. tax provisions commonly known as FATCA.

Certain U.S. tax provisions commonly known as the Foreign Account Tax Compliance Act (FATCA) impose a 30% withholding tax on certain payments of U.S. source income and the proceeds from the disposition after December 31, 2018, of property of a type that can produce U.S. source interest or dividends, in each case, to certain “foreign financial institutions” and “non-financial foreign entities.” The withholding tax also applies to certain “foreign passthru payments” made by foreign financial institutions after December 31, 2018. The U.S. government has signed an intergovernmental agreement to facilitate the implementation of FATCA with the government of Bermuda (Bermuda IGA). AHL and its foreign subsidiaries intend to comply with the obligations imposed on them under FATCA and the Bermuda IGA, as applicable, to avoid being subject to withholding under FATCA on payments made to them or penalties. However, no assurance can be provided in this regard. We may become subject to withholding tax or penalties if we are unable to comply with FATCA.

If AHL is treated as engaged in a U.S. trade or business in any taxable year, all or a portion of the dividends on our Class A common shares may be treated as U.S. source income and may be subject to withholding and information reporting under FATCA unless a shareholder (and any intermediaries through which the shareholder holds its shares) establishes an exemption from such withholding and information reporting. In addition, any gross proceeds from the sale or other disposition of our Class A common shares after December 31, 2018, might also be subject to withholding and information reporting under FATCA in such circumstances, absent an exemption. As discussed above, we currently intend to limit our U.S. activities so that AHL is not considered to be engaged in a U.S. trade or business, although no assurances can be provided in this regard.

We are subject to the risk that Bermuda tax laws may change and that we may become subject to new Bermuda taxes following the expiration of a current exemption after 2035.

The Bermuda Minister of Finance, under the Exempted Undertakings Tax Protection Act 1966 of Bermuda, as amended, has given us an assurance that if any legislation is enacted in Bermuda that would impose tax computed on profits or income, or computed on any capital asset, gain or appreciation, or any tax in the nature of estate duty or inheritance tax, then the imposition of any such tax will not be applicable to us or any of our operations, shares, debentures or other obligations until March 31, 2035, except insofar as such tax applies to persons ordinarily resident in Bermuda or to any taxes payable by us in respect of real property owned or leased by us in Bermuda. Given the limited duration of the Bermuda Minister of Finance’s assurance, we cannot assure you that we will not be subject to any Bermuda tax after March 31, 2035.

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The impact of the OECD’s recommendations on base erosion and profit shifting is uncertain and could impose adverse tax consequences on us.

In 2015, the OECD published final recommendations on base erosion and profit shifting (BEPS). These BEPS recommendations propose the development of rules directed at counteracting the effects of tax havens and preferential tax regimes in countries around the world. Beginning with 2017, some countries in which we do business, including Bermuda and the U.S., require certain multinational enterprises, including ours, to report detailed information regarding allocation of revenue, profit, and other information, on a country-by-country basis, which could increase scrutiny by foreign tax authorities.

The BEPS recommendations also include revisions to the definition of a “permanent establishment” and the rules for attributing profit to a permanent establishment. Other recommended actions relate to the goal of ensuring that transfer pricing outcomes are in line with value creation, noting that the current rules may facilitate the transfer of risks or capital away from countries where the economic activity takes place. We expect many countries to change their tax laws in response to this project, and several countries (including the U.S.) have already changed or proposed changes to their tax laws. Changes to tax laws could increase their complexity and the burden and costs of compliance. Additionally, such changes could also result in significant modifications to the existing transfer pricing rules and could potentially have an impact on our taxable profits in various jurisdictions.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

Issuer Purchases of Securities

Purchases of common stock made by or on behalf of us or our affiliates during the three months ended June 30, 2018 are set forth below:



Period	(a) Total number of shares purchased ¹	(b) Average price paid per share ¹		(c) Total number of shares purchased as part of publicly announced programs ²	(d) Maximum number (or approximate dollar value) of shares that may yet be purchased under the plans or programs ²
April 1 – April 30, 2018	1,475	$	47.84	—	$	—
May 1 – May 31, 2018	12	$	46.71	—	$	—
June 1 – June 30, 2018	—	$	—	—	$	—

¹ Purchases relate to shares withheld (under the terms of employee stock compensation plans) to offset tax withholding obligations that occur upon the delivery of outstanding shares underlying restricted stock awards or units or upon the exercise of stock options.
² As of June 30, 2018, our Board of Directors had not authorized any purchases of common stock in connection with a publicly announced plan or program.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

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EXHIBIT INDEX



Exhibit No.	Description
3.1	Eleventh Amended and Restated Bye-Laws of Athene Holding Ltd., effective June 6, 2018. *
10.1	Reinsurance agreement (FA Business), effective as of June 1, 2018, between Athene Annuity and Life Assurance Company and Voya Insurance and Annuity Company.
10.2	Modified coinsurance agreement (Separate Account FA Business), effective as of June 1, 2018, between Athene Annuity and Life Assurance Company and Voya Insurance and Annuity Company.
10.3	Modified coinsurance agreement (FA Business), effective as of June 1, 2018, between Athene Life Re Ltd. and Voya Insurance and Annuity Company.
10.4	Sixth Amended and Restated Fee Agreement, dated as of June 7, 2018, between Athene Asset Management LLC and Athene Holding Ltd.
12.1	Statement of Ratio of Earnings to Fixed Charges.
31.1	Principal Executive Officer Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Principal Financial Officer Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1	Principal Executive Officer Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2	Principal Financial Officer Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS	XBRL Instance Document.
101.SCH	XBRL Taxonomy Extension Schema.
101.CAL	XBRL Taxonomy Extension Calculation Linkbase.
101.LAB	XBRL Taxonomy Extension Label Linkbase.
101.PRE	XBRL Taxonomy Extension Presentation Linkbase.
101.DEF	XBRL Taxonomy Extension Definition Linkbase.

* As revised from the version filed as Exhibit 3.2 to the Form 8-K filed on June 6, 2018 to incorporate certain technical corrections.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.



	ATHENE HOLDING LTD.

Date: August 3, 2018	/s/ Martin P. Klein
	Martin P. Klein
	Executive Vice President and Chief Financial Officer
	(principal financial officer and duly authorized signatory)

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Exhibit 3.1

ELEVENTH AMENDED AND RESTATED

BYE-LAWS

ATHENE HOLDING LTD.

Adopted on June 6, 2018

Exhibit 3.1

TABLE OF CONTENTS

INTERPRETATION


1.	Definitions


2.	Power to Issue Shares


3.	Power of the Company to Purchase its Shares


4.	Rights Attaching to Shares


5.	Tax Restrictions


6.	Calls on Shares


7.	[Reserved]


8.	Share Certificates


9.	Fractional Shares

REGISTRATION OF SHARES


10.	Register of Shareholders


11.	Registered Holder Absolute Owner


12.	Transfer of Registered Shares


13.	Transfer Agent; Registrar; Rules Respecting Certificates


14.	Transmission of Registered Shares

ALTERATION OF SHARE CAPITAL


15.	Power to Alter Capital


16.	Variation of Rights Attaching to Shares

DIVIDENDS AND CAPITALISATION


17.	Dividends


18.	Power to Set Aside Profits


19.	Method of Payment


20.	Capitalisation

MEETINGS OF SHAREHOLDERS


21.	Annual General Meetings


22.	Special General Meetings; Requisitioned General Meetings


23.	Purposes of Annual General Meetings; Proposals of Other Business by Shareholders


24.	Notice


25.	Giving Notice and Access


26.	Postponement of General Meeting


27.	Electronic Participation in Meetings


28.	Quorum at General Meetings


29.	Chairman to Preside at General Meetings


30.	Voting on Resolutions


31.	[Reserved.]


32.	Power to Demand a Vote on a Poll


33.	Voting by Joint Holders of Shares


34.	Instrument of Proxy


35.	Representation of Corporate Shareholder


36.	Adjournment of General Meeting


37.	Written Resolutions of Shareholders


38.	Directors Attendance at General Meetings

Exhibit 3.1

DIRECTORS AND OFFICERS


39.	Election of Directors


40.	Nomination of Directors for Election


41.	[Reserved]


42.	Number of Directors


43.	Term of Office of Directors


44.	Removal of Directors


45.	Vacancy in the Office of Director


46.	Remuneration of Directors


47.	Defect in Appointment


48.	Directors to Manage Business


49.	Powers of the Board of Directors


50.	Register of Directors and Officers


51.	Appointment of Officers


52.	Appointment of Secretary


53.	Duties of Officers


54.	Remuneration of Officers


55.	Conflicts of Interest


56.	Indemnification and Exculpation

BUSINESS OPPORTUNITIES


57.	Business Opportunities

MEETINGS OF THE BOARD OF DIRECTORS


58.	Board Meetings


59.	Notice of Board Meetings


60.	Electronic Participation in Meetings


61.	Quorum at Board Meetings


62.	Board to Continue in the Event of Vacancy


63.	Chairman to Preside


64.	Written Consent


65.	Validity of Prior Acts of the Board

CONFLICTS


66.	Resolution of Conflicts


67.	Conflicts Committee

CORPORATE RECORDS


68.	Minutes


69.	Place Where Corporate Records Kept


70.	Form and Use of Seal

ACCOUNTS


71.	Books of Account


72.	Financial Year End

AUDITS


73.	Annual Audit


74.	Appointment of Auditor


75.	Remuneration of Auditor


76.	Duties of Auditor


77.	Access to Records


78.	Financial Statements


79.	Distribution of Auditor’s Report


80.	Vacancy in the Office of Auditor

Exhibit 3.1

VOLUNTARY WINDING-UP AND DISSOLUTION


81.	Winding-Up

CHANGES TO CONSTITUTION; EXCLUSIVE JURSIDICTION


82.	Changes to Bye-laws


83.	Changes to the Memorandum of Association


84.	Exclusive Jurisdiction


85.	Discontinuance

CERTAIN MATTERS RELATING TO SUBSIDIARIES


86.	Voting of Subsidiary Shares


87.	Bye-laws or Articles of Association of Certain Subsidiaries


88.	Termination of IMAs

Exhibit 3.1

INTERPRETATION


1.	Definitions


1.1	In these Bye-laws, the following words and expressions shall, where not inconsistent with the context, have the following meanings, respectively:


9.9% Shareholder	means a Person (other than a member of the Apollo Group) whose Controlled Shares constitute more than nine and nine-tenths percent (9.9%) of the Total Voting Power;


AAM	means Athene Asset Management L.P., a Cayman Islands limited partnership (or any successor entity thereto);


Act	means the Companies Act 1981 of Bermuda as amended from time to time;

Adjustment


Controlled Shares	means, in reference to any Person or Shareholder, all Controlled Shares of such Person or Shareholder other than Apollo Designated Voting Securities;


Adjustment Shareholder(s)	means, at any time, the Shareholder(s) (i) with the highest Relative Class B Ownership Percentage as of such time and (ii) whose Class B Common Shares have voting power as of such time;

Affected Class B


Shareholder	a Shareholder holding Adjustment Controlled Shares of any person described in clause (1) of the Class B Adjustment Condition;


Affiliate	means, as to any Person, any Person which directly or indirectly controls, is controlled by, or is under common control with such Person. For purposes of this definition, “control” of a Person shall mean the power, direct or indirect, to direct or cause the direction of the management and policies of such Person whether by ownership of voting stock, by contract or otherwise;

Exhibit 3.1

Apollo Group

means, (i) Apollo Global Management, LLC, (ii) AAA Guarantor - Athene, L.P., (iii) any investment fund or other collective investment vehicle whose general partner or managing member is owned, directly or indirectly, by Apollo Global Management, LLC or by one or more of Apollo Global Management, LLC’s Subsidiaries, (iv) BRH Holdings GP, Ltd. and its shareholders, (v) any executive officer of Apollo Global Management, LLC whom Apollo Global Management, LLC designates, in a written notice delivered to the Company, as a member of the Apollo Group for purposes of these Bye-laws (which designation shall continue in effect until such designee ceases to be an executive officer of Apollo Global Management, LLC) and (vi) any Affiliate of a Person described in clauses (i), (ii), (iii), (iv) or (v) above; provided , none of the Company or its Subsidiaries, nor any Person employed by the Company, its Subsidiaries or AAM, shall be deemed to be a member of the Apollo Group. For avoidance of doubt, any Person managed by Apollo Global Management, LLC or by one or more of Apollo Global Management, LLC’s Subsidiaries pursuant to a managed account agreement (or similar arrangement) without Apollo Global Management, LLC or by one or more of Apollo Global Management, LLC’s Subsidiaries controlling such Person as a general partner or managing member shall not be part of the Apollo Group;


Apollo Termination Event	means the time at which no member of the Apollo Group owns any Class B Common Shares;


Applicable Law	means, with respect to any Person, all provisions of laws, statutes, ordinances, rules, regulations, permits, certificates, judgments, decisions, decrees or orders of any Governmental Authority applicable to such Person;


Applicable Securities	means Relevant Securities other than Apollo Designated Voting Securities;


Applicable Shareholder	means any Shareholder or holder of New Securities (other than a member of the Apollo Group prior to an Apollo Termination Event);


Auditor	means the individual or entity for the time being performing the duties of auditor of the Company (if any);


Bermuda	means the Islands of Bermuda;


Board	means the board of directors appointed or elected pursuant to these Bye-laws and acting by resolution in accordance with the Act and these Bye-laws or the directors present at a meeting of directors at which there is a quorum;

Exhibit 3.1


Business Day	means any day that is not a Saturday, Sunday or other day on which commercial banks in Bermuda are authorised or required by law to close;


Bye-laws	means these eleventh Amended and Restated Bye-laws adopted by the Company on June 6, 2018, in their present form or as from time to time amended;


Class B 9.9% U.S. Person	means a U.S. Person whose Adjustment Controlled Shares constitute more than nine and nine-tenths percent (9.9%) of the Total Voting Power;


Class B Common Shares	means the Class B Common Shares and unless otherwise indicated, the Transferred Class B Common Shares;


Class M Common Shares	means the Class M-1 Common Shares, Class M-2 Common Shares, Class M-3 Common Shares, Class M-4 Common Shares and any other class of common shares designated as Class M Common Shares by the Board;

Code

means the United States Internal Revenue Code of 1986, as amended from time to time, or any U.S. Federal statute from time to time in effect that has replaced such statute, and any reference in these Bye-laws to a provision of the Code or a Treasury regulation promulgated thereunder means such provision or regulation as amended from time to time or any provision of a U.S. Federal law or any U.S. Treasury regulation, from time to time in effect that has replaced such provision or regulation;


Company	means Athene Holding Ltd.;


Comparable Asset Manager	means an asset manager with personnel of experience, education and qualification, and whose services are of a scale and scope, comparable to those of AAM (after giving effect to any assistance provided to AAM by its Affiliates);


Controlled Shares	means, in reference to any Person or Shareholder, all Relevant Securities and Class B Common Shares owned by such Person or Shareholder either (i) directly, indirectly or constructively under Section 958 of the Code or (ii) beneficially within the meaning of Section 13(d)(3) of the Securities Exchange Act of 1934, as amended, and the rules and regulations promulgated thereunder;


Director	means a director of the Company;

Exhibit 3.1


Disqualified Shareholder	means a Shareholder who holds Nonvoting Class A Common Shares or a Shareholder who owns Relevant Securities treated as Controlled Shares of any Applicable Shareholder holding Applicable Securities, or any Tax Attributed Affiliate of such an Applicable Shareholder, that is a Tentative 9.9% Shareholder;


Equity Securities	means all shares of capital stock of the Company, all securities exercisable or convertible into or exchangeable for shares of capital stock of the Company, and all options, warrants, and other rights to purchase or otherwise acquire from the Company shares of such capital stock, including any share appreciation or similar rights, contractual or otherwise;


Exchange Act	means the U.S. Securities Exchange Act of 1934, as amended;

Expenses

means all fees, costs and expenses incurred in connection with any Proceeding, including, without limitation, attorneys’ fees, disbursements and retainers, fees and disbursements of expert witnesses, private investigators and professional advisors (including, without limitation, accountants and investment bankers), court costs, transcript costs, fees of experts, travel expenses, duplicating, printing and binding costs, telephone and fax transmission charges, postage, delivery services, secretarial services and other disbursements and expenses;


Governmental Authority	means any Bermudan, U.S. Federal, state, county, city, local or foreign governmental, administrative or regulatory authority, commission, committee, agency or body (including any court, tribunal or arbitral body and any self-regulating authority such as FINRA);


Group	shall have the meaning ascribed to it in Rule 13d-5 promulgated under the Exchange Act;


IMA	means the investment management agreement, dated as of July 22, 2009, as amended from time to time.


Inclusion Shareholder	means a Person who (i) is treated as a “United States shareholder” with respect to the Company (within the meaning of Section 951(b) of the Code) and (ii) owns (within the meaning of Section 958(a) of the Code) any shares in the Company;


Independent Director	means any Director that meets the independence requirements under the then-prevailing rules of the New York Stock Exchange or any stock exchange or quotation system on which the Company’s common equity securities are then listed or quoted, as determined by the Board;

Exhibit 3.1

Insolvency Event

means: (i) the Company or any Subsidiary thereof shall commence a voluntary case or other Proceeding seeking liquidation, reorganization or other relief with respect to itself or its debts under any bankruptcy, insolvency or other similar Applicable Law now or hereafter in effect or seeking the appointment of a trustee, receiver, liquidator, custodian or other similar official of it or any substantial part of its property, or shall consent to any such relief or to the appointment of or taking possession by any such official in an involuntary case or other Proceeding commenced against it, or shall make a general assignment for the benefit of creditors, or shall fail generally to pay its debts as they become due, or shall take any corporate action to authorise any of the foregoing; (ii) an involuntary case or other Proceeding shall be commenced against the Company or any Subsidiary thereof seeking liquidation, reorganization or other relief with respect to it or its debts under bankruptcy, insolvency or other similar law now or hereafter in effect or seeking the appointment of a trustee, receiver, liquidator, custodian or other similar official of it or any substantial part of its property, and such involuntary case or other Proceeding shall remain undismissed and unstayed for a period of sixty days; or (iii) an order for relief shall be entered against the Company or any Subsidiary thereof under the bankruptcy laws in effect at such time;


Liabilities	means losses, claims, damages, liabilities, joint or several, judgments, fines, penalties, interest, settlements or other amounts;


Liquidation	means: (i) any Insolvency Event; (ii) any Sale of the Company or (iii) any dissolution or winding up of the Company, other than any dissolution, liquidation or winding up in connection with any reincorporation of the Company in another jurisdiction;


Management Shareholder	means a Person employed by the Company, its Subsidiaries or AAM holding Common Shares; for the avoidance of doubt, no Person holding Common Shares shall be deemed to be a Management Shareholder solely due to such Person’s service as a member of the Board or the board of directors or similar governing body of AAM or any Subsidiary of the Company;


Minimum Shareholder	means a Shareholder of record of the Company meeting the minimum requirements set forth for eligible shareholders to submit shareholder proposals under Rule 14a-8 of the Exchange Act or any applicable rules thereunder as may be amended or promulgated thereunder from time to time;

Exhibit 3.1

Nonvoting Class A


Common Shares	Disqualified Class A Common Shares, Tax Disqualified I Class A Common Shares and Tax Disqualified II Class A Common Shares;


Notice	means written notice as further provided in these Bye-laws unless otherwise specifically stated;


Officer	means any person appointed by the Board to hold an office in the Company;


Proceeding	means claims, demands, actions, suits or proceedings, whether civil, criminal, administrative or investigative, and whether formal or informal and including appeals, at law or in equity, by or before any Governmental Authority;

Realized Cash

means all amounts received in respect of any Class A Common Share held by an investor in any round of equity raising of the Company, whether such amount is in cash, securities or otherwise, including, without limitation, all dividends and other distributions, including assets, all proceeds received from the sale of such Class A Common Shares and all proceeds received from a Sale of the Company or a Liquidation of the Company (including, for the avoidance of doubt, all holdbacks, escrows, earn outs and other deferred payments upon the receipt of such amounts by such investor, and any amounts received in accordance with Bye-law 4.5), with the value of any distributed assets being the fair market value of such assets at the time of distribution as reasonably determined by the Board, and which amounts shall not include securities received as a result of share splits, including a share split in the form of a share dividend and all other pro rata distributions of shares, provided, that solely for purposes of determining the Return of Investment Amount, Realized Cash shall also include all amounts deemed to have been received by such investor based on the volume weighted average closing trading price for such Class A Common Shares during the ninety (90) preceding trading days before any date of determination;


Directors and Officers	means the register of directors and officers referred to in these Bye-laws;


Register of Shareholders	means the register of shareholders referred to in these Bye-laws;


Registered Office	means the registered office of the Company, which shall be at such place in Bermuda as the Board shall from time to time appoint;

Exhibit 3.1

Registration Rights


Agreement	means that certain Third Amended and Restated Registration Rights Agreement, by and between the Company and certain Shareholders, dated as of April 4, 2014, as amended, supplemented or modified from time to time;

Related Insured Entity

means any Person who is (directly or indirectly) insured or reinsured by any of the Company’s Subsidiaries as specified in Schedule 1 hereto or by any ceding company as specified in Schedule 1 hereto to which the Company’s Subsidiaries provide reinsurance; provided , after the date hereof, such Schedule may be amended by the Board and shall be published in each case thereafter on the Company’s website. This definition is intended to comply with the intent of Section 953(c) of the Code and will be interpreted accordingly;

Relative Class B


Ownership Percentage	means, with respect to the Smallest Class B 9.9% U.S. Person and with respect to a Shareholder, at any time the percentage of the total number of Class B Controlled Shares directly held by such Shareholder at such time that are attributed to such Smallest Class B 9.9% U.S. Person;


Relevant Securities	means (i) Class A Common Shares, (ii) Transferred Class B Common Shares and (iii) New Securities;


Resident Representative	means any person appointed to act as resident representative and includes any deputy or assistant resident representative;


Resolution	means a resolution of the Shareholders approved by Shareholders entitled to vote for the election of directors to the Board or, where required, of a separate class or separate classes of Shareholders, adopted in a general meeting, in each case in accordance with the provisions of these Bye-laws;

Return of Investment


Amount	means the aggregate, without duplication, of all (i) dividends (whether in cash or in specie), (ii) consideration in redemption and (iii) Realized Cash received or deemed to have been received by an investor with respect to each Class A Common Share;

Exhibit 3.1

Sale of the Company

means (i) the sale or transfer of all or substantially all of the Company’s assets to a Third Party; (ii) the sale or transfer of outstanding Equity Securities to a Third Party; or (iii) a business combination involving the Company and one or more additional Persons by means of merger, consolidation, scheme of arrangement, amalgamation, share exchange or similar transaction, in each case in clauses (ii) and (iii) above under circumstances in which the Third Party, immediately following such transaction, holds 51% or more of the aggregate economic value of the outstanding Equity Securities. A sale (or multiple sales) of one or more Subsidiaries of the Company (whether by way of merger, consolidation, reorganization or sale of all or substantially all of the assets or securities or otherwise) which constitutes all or substantially all of the consolidated assets or revenues of the Company shall be deemed a Sale of the Company;


SEC	means the U.S. Securities and Exchange Commission;


Securities Act	means the U.S. Securities Act of 1933, as amended;


Secretary	means the person appointed to perform any or all of the duties of secretary of the Company and includes any deputy or assistant secretary and any person appointed by the Board to perform any of the duties of the Secretary;


Shareholder	means the person registered in the Register of Shareholders as the holder of shares in the Company and, when two or more persons are so registered as joint holders of shares, means the person whose name stands first in the Register of Shareholders as one of such joint holders or all of such persons, as the context so requires;


Shareholders Agreement	means that certain Sixth Amended and Restated Shareholders Agreement of the Company, by and between the Company and certain Shareholders, dated as of April 4, 2014, as amended, supplemented or modified from time to time;

Smallest Class B 9.9%


U.S. Person	means, at any time, the Class B 9.9% U.S. Person whose Adjustment Controlled Shares constitute the smallest percentage of the Total Voting Power among all Class B 9.9% U.S. Persons as of such time; provided, that in the event of a tie the Smallest Class B 9.9% U.S. Person shall be the Class B 9.9% U.S. Person whose full legal name is first alphabetically;


Specified Number	means the quotient of (i) the percentage of the Total Voting Power represented by the Class A Common Shares, divided by (ii) 9.9%, rounded up to the nearest whole number;

Exhibit 3.1


Specified Shareholders	means Persons owning no Relevant Securities which are treated as Controlled Shares of any Applicable Shareholder holding Applicable Securities, or any Tax Attributed Affiliate of such an Applicable Shareholder, that is a Tentative 9.9% Shareholder;


Subscription Agreements	means those certain Subscription Agreements by and among the Company and certain Shareholders entered into prior to the date hereof;


Subsidiary	means, with respect to any Person, any other Person the majority of whose equity securities or voting securities able to elect the board of directors or comparable governing body are directly or indirectly owned or controlled by such Person;


Tax Attributed Affiliates	means, with respect to any Shareholder, any person (i) related (within the meaning of Section 953(c) of the Code) to such Shareholder or (ii) to whom the ownership of the Class A Common Shares held by such Shareholder is attributed pursuant to Section 958 of the Code;


Tentative 9.9% Shareholder	means a Person that, but for adjustments to the voting rights of Relevant Securities pursuant to Bye-law 4.4, would be a 9.9% Shareholder;


Third Party	means any Person, or any Group of Persons, who, immediately prior to a proposed Sale of the Company, held less than 10% of the aggregate economic value of the outstanding Equity Securities; provided , that the Company and its Subsidiaries shall not be a Third Party or a member of a Group of Persons constituting a Third Party;


Total Voting Power	means the total votes attributable to all shares of the Company issued and outstanding;


Treasury Share	means a share of the Company that was or is treated as having been acquired and held by the Company and has been held continuously by the Company since it was so acquired and has not been cancelled;


U.S. Person	means a “United States person”, as such term is defined in Section 957(c) of the Code; and


Voting Ratio	means, with respect to any share in the Company, a fraction (i) the numerator of which is the percentage of the Total Voting Power represented by such share and (ii) the denominator of which is a fraction (expressed as a percentage) (a) the numerator of which is the value of that share and (b) the denominator of which is the total value of all outstanding shares in the Company.

Exhibit 3.1

1.2 In these Bye-laws, the following terms have the meanings set forth in the sections indicated:



Term	Bye-law
AHL Cause	88.4
Apollo Designated Voting Security	4.7(b)
Apollo Employee Shareholders	4.2(d)
cause	44.1
Chairman	49(c)
Class B Adjustment Condition	4.2(b)(iii)
Class B Restructuring	4.2(b)(ii)(C)
Common Shares	4.1
Company Merger Vote	4.2(f)
Company Opportunity	57.1
Conflicts Committee	67.1
Covered Arrangement	23.4(b)
Covered Person	56.1
Disqualified Class A Common Share	4.2(a)
Escrow	4.5(d)
Group 1 Preference Amount	4.5(a)
Group 2 Preference Amount	4.5(a)
Group 3 Preference Amount	4.5(a)
Group 4 Preference Amount	4.5(a)
Group M Preference Amount	4.5(a)
IMA Termination Effective Date	88.1
IMA Termination Election Date	88.1
IMA Termination Notice	88.1
Indemnified Persons	56.12
Insurance Subsidiaries	57.1
New IMA	88.1
New Securities	4.2(b)(ii)(C)
Other Holders	40.11
public announcement	23.6
Reallocation	4.5(g)
Shareholder Affiliates	56.12
Specified Parties	57.1
Subject Holder	4.5(g)
Tax Disqualified I Class A Common Share	4.2(a)
Tax Disqualified II Class A Common Share	4.2(a)
Transferred Class B Common Shares	4.2(b)(ii)(A)
Valid IMA Termination Notice	88.1
Vice Chairman	49(c)
Voting Commitment	40.7

1.3 In these Bye-laws, where not inconsistent with the context:


(a)	words denoting the plural number include the singular number and vice versa;


(b)	words denoting the masculine gender include the feminine and neuter genders;

Exhibit 3.1

(c)

words importing “person” or “Person” shall be construed in the broadest sense and means and includes a natural person, a partnership, a corporation, an association, a joint share company, a limited liability company, a trust, a joint venture, an unincorporated organization and any other entity and any federal, state, municipal, foreign or other government, governmental department, commission, board, bureau, agency or instrumentality, or any private or public court or tribunal;


(d)	the words:


(i)	“may” shall be construed as permissive; and


(ii)	“shall” shall be construed as imperative; and


(e)	unless otherwise provided herein, words or expressions defined in the Act shall bear the same meaning in these Bye-laws.


1.4	In these Bye-laws expressions referring to writing or its cognates shall, unless the contrary intention appears, include facsimile, printing, lithography, photography, electronic mail and other modes of representing words in visible form.


1.5	Headings used in these Bye-laws are for convenience only and are not to be used or relied upon in the construction hereof.


1.6	The rights and obligations set forth in these Bye-laws may be modified or restricted by any shareholders agreement entered into by two or more Shareholders or by the Company and one or more Shareholders, provided , that any such modification or restriction shall apply only to the parties to such shareholders agreement.


2.	Power to Issue Shares

2.1

Subject to these Bye-laws and to any Resolution to the contrary and without prejudice to any special rights previously conferred on the holders of any existing shares or class of shares, the Board shall have the power and authority to the fullest extent permitted under the Act, but subject to all contractual restrictions to which the Company is bound, to issue any unissued shares on such terms and conditions as it may determine and any shares or class of shares may be issued with such preferred, deferred or other special rights or such restrictions, whether in regard to dividend, voting, return of capital, or otherwise as the Board may by resolution prescribe, and to fix or alter the number of shares comprising any such class or series.

Exhibit 3.1


2.2	The authority of the Board with respect to each such class or series shall include, without any limitation of the foregoing, the right to determine and fix the following preferences and powers, which may vary as between different classes or series of shares:


(a)	the distinctive designation of such class or series and the number of shares to constitute such class or series;


(b)	the rate at which any dividends on the shares of such class or series shall be declared and paid, or set aside for payment, whether dividends at the rate so determined shall be cumulative or accruing, and whether the shares of such class or series shall be entitled to any participating or other dividends in addition to dividends at the rate so determined, and if so, on what terms;


(c)	the right or obligation, if any, of the Company to redeem shares of the particular class or series and, if redeemable, the price, terms and manner of such redemption;


(d)	the special and relative rights and preferences, if any, and the amount or amounts per share, which the shares of such class or series shall be entitled to receive upon any voluntary or involuntary liquidation, dissolution or winding up of the Company;


(e)	the terms and conditions, if any, upon which shares of such class or series shall be convertible into, or exchangeable for, shares of capital stock of any other class or series, including the price or prices or the rate or rates of conversion or exchange and the terms of adjustment, if any;


(f)	the obligation, if any, of the Company to retire, redeem or purchase shares of such series pursuant to a sinking fund or fund of a similar nature or otherwise, and the terms and conditions of such obligation;


(g)	voting rights, if any, including special voting rights with respect to the election of directors and matters adversely affecting any such class or series; and


(h)	limitations, if any, on the issuance of additional shares of such class or series or any shares of any other class or series.


2.3	Subject to the Act, any preference shares may be issued or converted into shares that (at a determinable date or at the option of the Company or the holder) are liable to be redeemed on such terms and in such manner as may be determined by the Board (before the issue or conversion).


3.	Power of the Company to Purchase its Shares


3.1	The Company may purchase its own shares for cancellation or acquire them as Treasury Shares in accordance with the Act on such terms as the Board shall think fit.


3.2	The Board may exercise all the powers of the Company to purchase or acquire all or any part of its own shares in accordance with the Act.

Exhibit 3.1


4.	Rights Attaching to Shares

4.1

Subject to any Resolution to the contrary (and without prejudice to any special rights conferred thereby on the holders of any other shares or class of shares), the common share capital of the Company shall be divided into Class A Common Shares, Class B Common Shares and Class M Common Shares (collectively, the “ Common Shares ”). In accordance with Bye-law 2.2, the Board may authorize the creation and issuance of one or more series of preference shares.


4.2	Prior to the occurrence of an Apollo Termination Event, the voting rights of the Common Shares shall be as follows:

(a)

Subject to adjustment by Bye-law 4.2(b), Bye-law 4.2(e) and Bye-law 4.2(f), the Class A Common Shares shall collectively represent 55% of the Total Voting Power. Subject to adjustment by Bye-law 4.2(b), Bye-law 4.2(e), Bye-law 4.2(f) and Bye-law 4.4, each Class A Common Share shall be entitled to a number of votes equal to 55 multiplied by a fraction, the numerator of which is 1 and the denominator of which is, without duplication, (i) the total number of Class A Common Shares outstanding at the time such determination is made less (ii) the total number of Nonvoting Class A Common Shares (if any). Notwithstanding the foregoing, subject to Bye-law 4.2(f), (x) no Class A Common Share (other than any Apollo Designated Voting Security) held by a Shareholder who also owns (or whose Tax Attributed Affiliates own) (in each case, directly, indirectly or constructively, pursuant to Section 958 of the Code) Class B Common Shares (a “ Disqualified Class A Common Share ”), (y) no Class A Common Share held by a Shareholder (other than a Shareholder who is a member of the Apollo Group) who also owns (or whose Tax Attributed Affiliates own) (in each case, directly, indirectly or constructively, pursuant to Section 958 of the Code), any equity interests (for this purpose, including any instrument or arrangement that is treated as an equity interest for U.S. federal income tax purposes) of Apollo Global Management, LLC or AP Alternative Investments, L.P. (each a “ Tax Disqualified I Class A Common Share ”) and (z) no Class A Common Share (other than any Apollo Designated Voting Security) held by a Shareholder who is a member of the Apollo Group (but only, in the case of this clause (z), at a time in which any member of the Apollo Group holds any Class B Common Shares) (each a “ Tax Disqualified II Class A Common Share ”) shall have a right to vote, and such Nonvoting Class A Common Shares shall not be counted in determining the voting power of a Class A Common Share pursuant to the immediately preceding sentence.


(b)	(i) Subject to adjustment by the following provisions of this Bye-law 4.2(b), Bye-law 4.2(e) and Bye-law 4.2(f), the Class B Common Shares shall collectively represent 45% of the Total Voting Power. The voting power of the Class B Common Shares shall be allocated among all holders of Class B Common Shares on a pro rata basis except as provided elsewhere in this Bye-law 4.2.

(ii) Any holder of Class B Common Shares that is a member of the Apollo Group may, from time to time, with the consent of the holders of a majority of the Class B Common Shares, reduce the voting power attributable to its Class B Common Shares set forth in Bye-law 4.2(b)(i) (determined prior to application of Bye-law 4.2(b)(ii)-(vii)) by:

Exhibit 3.1

(A) transferring any of such holder’s Class B Common Shares to any other person (who may or may not be a member of the Apollo Group) and designating in a written notice delivered to the transferee and the Company (1) the aggregate voting power of such holder’s Class B Common Shares being transferred, (2) the exclusion of such transferred Class B Common Shares from Bye-law 4.2(e) and (3) the corresponding decrease in the aggregate voting power of such holder’s Class B Common Shares not so transferred (such transferred Class B Common Shares, the “ Transferred Class B Common Shares ”), provided , however , that such transfer shall not be permitted to the extent such reallocation would cause the Voting Ratio with respect to any Class B Common Share to be greater than fifteen (15),

(B) transferring, by written notice delivered to the Company, a designated percentage of voting power of its Class B Common Shares to (1) one or more other holders of Class B Common Shares, but only with the written consent of such other holders, which shall be delivered to the Company, (2) all other holders of Class B Common Shares, pro rata, or (3) the Class A Common Shares, as a class; provided , that (x) such transfer shall be permitted with respect to any Class B Common Share only to the extent that such transfer would not cause the Voting Ratio of such Class B Common Share to be greater than fifteen (15) and (y) any such transfer of voting power to the Class A Common Shares as a class shall result in a corresponding reduction in the collective voting power attributable to the Class B Common Shares as a class, or

(C) converting any of such holder’s Class B Common Shares, on a one-for-one basis or other basis as may be determined by a majority of the Class B Common Shares, into a new series or class of securities of the Company issued in accordance with these Bye-laws having such voting rights as the holders of a majority of the Class B Common Shares may determine (the “ New Securities ” and any such transfer or conversion, a “ Class B Restructuring ”); provided , that (1) any Class B Restructuring may modify the voting power of the Class B Common Shares being transferred or converted as the holders of a majority of the Class B Common Shares may determine, (2) following any Class B Restructuring the aggregate voting power of any outstanding Class B Common Shares and any such new class or series of shares shall not exceed 45% of the Total Voting Power, and (3) that no Class B Restructuring shall result in the Total Voting Power equaling a number other than 100, and provided further , that the rights of any Transferred Class B Common Shares and New Securities shall be subject to Bye-law 4.4.

Exhibit 3.1

(iii) (A) If, after adjustment by Bye-law 4.2(b)(ii), 4.2(b)(vii), Bye-law 4.2(e) and Bye-law 4.2(f), and before application of this Bye-law 4.2(b)(iii) or Bye-law 4.2(b)(iv), (1) there are one or more Class B 9.9% U.S. Persons whose aggregate Adjustment Controlled Shares constitute more than (a) twenty-four and nine-tenths percent (24.9%) of the Total Voting Power or (b) twenty-four and nine-tenths percent (24.9%) of the aggregate value of all outstanding shares of the Company, or (2) there are one or more Class B 9.9% U.S. Persons that are classified as individuals, estates or trusts for U.S. federal income tax purposes (clauses (1) and (2) together, the “ Class B Adjustment Condition ”), then the adjustments described in Bye-law 4.2(b)(iii)(B) to the allocation of the voting power of the Class B Common Shares shall be made in the order there listed (but in all cases subject to Bye-law 4.2(b)(iv) and Bye-law 4.2(b)(vii)).

(B) (1) First, the voting power of the Class B Common Shares directly held by the Adjustment Shareholder or Adjustment Shareholders that are attributable to the Smallest Class B 9.9% U.S. Person shall be reduced (but not below zero (0)) until the Class B Adjustment Condition is no longer met or such Smallest Class B 9.9% U.S. Person is no longer a Class B 9.9% U.S. Person (taking into account any reallocation of voting power pursuant to clause (2) below), whichever requires the smallest reduction in voting power.

(2) Second, the aggregate voting power reduced in clause (1) above shall be reallocated pro rata among the Class B Common Shares (other than any Transferred Class B Common Shares) directly held by all other Shareholders.

(3) Third, the adjustments described in clause (1) and the reallocation described in clause (2) above shall be reapplied serially to the next Smallest Class B 9.9% U.S. Person until the Class B Adjustment Condition is no longer met.

(4) Any excess voting power that cannot be reallocated pursuant to clauses (1), (2) and (3) above shall be transferred pursuant to Bye-law 4.2(b)(v), and thereafter clause (3) above shall not apply.

(iv) Notwithstanding Bye-law 4.2(b)(iii)(B)(2), the pro rata reallocation of the voting power of the Class B Common Shares pursuant to Bye-law 4.2(b)(iii)(B)(2) shall not be permitted to the extent such reallocation would cause (A) a U.S. Person to become a Class B 9.9% U.S. Person (determined after application of Bye-law 4.2(b)(iii)), or (B) the Voting Ratio with respect to any Class B Common Share to be greater than fifteen (15). Any voting power that cannot be reallocated on a pro rata basis among all of the Class B Common Shares (other than any Transferred Class B Common Shares) directly held by all other Shareholders due to this Bye-law 4.2(b)(iv) shall nonetheless be reallocated to such shares to the maximum extent possible without violating the limitations contained in this Bye-law 4.2(b)(iv).

Exhibit 3.1

(v) If, after adjustment by Bye-law 4.2(b)(iii), Bye-law 4.2(e) and Bye-law 4.2(f), and before application of this Bye-law 4.2(b)(v), clause (1) of the Class B Adjustment Condition continues to be met, then the holders of Class B Common Shares shall be deemed to have made an irrevocable election under Bye-law 4.2(e) to reduce the percentage of the Total Voting Power represented by the Class B Common Shares (and correspondingly increase the percentage of the Total Voting Power represented by the Class A Common Shares) to the extent necessary so that the Class B Adjustment Condition is no longer met, provided , that the Total Voting Power represented by the Class B Common Shares shall not be reduced, or shall be reduced to a lesser extent, if so determined by unanimous vote or written consent of all Affected Class B Shareholders, if all such votes or consents are received by the Company no later than 2 Business Days prior to the date of the relevant vote. If the Total Voting Power represented by the Class B Common Shares is reduced pursuant to this Bye-law 4.2(b)(v), it shall not again be increased.

(vi) Notwithstanding Bye-laws 4.2(b)(ii)-(v), any two or more holders of Class B Common Shares that are members of the Apollo Group may, at any time and from time to time, elect to allocate the voting power attributable to their Class B Common Shares set forth in Bye-law 4.2(b)(i) (determined prior to application of Bye-law 4.2(b)(ii)-(v)) among their Class B Common Shares (or allocated from their Class B Common Shares to other Class B Common Shares or to the Class A Common Shares as a class) in a manner different from that set forth in Bye-law 4.2(b)(ii)-(v), provided, that in no event shall an election under this Bye-law 4.2(b)(vi) be permitted to result in (1) any person who was not an Inclusion Shareholder immediately prior to such election becoming an Inclusion Shareholder or (ii) the Company (or any of its Subsidiaries) being treated as a “controlled foreign corporation” (within the meaning of Section 957(a) or (b) of the Code) with respect to any Inclusion Shareholder, unless it was treated as such with respect to such Inclusion Shareholder immediately prior to such election. Any election under this Bye-law 4.2(b)(vi) shall be made by delivery to the Company of a written notice, signed by each electing holder, specifying the manner in which the voting power attributable to the Class B Common Shares of the electing holders shall be allocated. The voting power allocation provisions specified in an election under this Bye-law 4.2(b)(vi) shall have the same effect as if set forth in these Bye-laws.

(vii) Notwithstanding Bye-laws 4.2(b)(ii)-(v), any holder of Class B Common Shares that is a member of the Apollo Group may elect to have the amount of voting power attributable to such holder’s Class B Common Shares be subject to such additional limitations as may be specified by such holder. Such election shall be made by delivering to the Company a written notice specifying such additional limitations. Any voting power that must be allocated away from a holder’s Class B Common Shares pursuant to an election under this Bye-law 4.2(b)(vii) shall be reallocated pro rata among the Class B Common Shares (other than any Transferred Class B Common Shares) directly held by all other Shareholders; provided, however, that such reallocation shall be permitted with respect to any Class B Common Share only to the extent that such reallocation would not cause the Voting Ratio of such Class B Common Share to be greater than fifteen (15), and any voting power not able to be reallocated to Class B Common Shares shall be instead be reallocated to the Class A Common Shares as a class.

Exhibit 3.1


(c)	The Class M Common Shares shall have no right to vote on any matters to be voted on by the Shareholders (including, without limitation, any election or removal of directors) and the Class M Common Shares shall not be included in determining the number of shares voting or entitled to vote on such matters, except as provided in Bye-law 4.2(f) and where required under Bermuda law.

(d)

Notwithstanding anything to the contrary herein, the aggregate votes conferred by the Common Shares held by all Management Shareholders and employees of the Apollo Group that are Shareholders (“ Apollo Employee Shareholders ”) shall be reduced pro rata to the extent necessary such that all such Common Shares held by all Management Shareholders and Apollo Employee Shareholders shall constitute collectively no more than 3% of the Total Voting Power. This clause shall not affect the respective aggregate voting power of the Class A Common Shares of 55% of the Total Voting Power and the Class B Common Shares of 45% of the Total Voting Power, subject to adjustment by Bye-law 4.2(b), Bye-law 4.2(e) and Bye-law 4.2(f). Any voting rights of Management Shareholders and Apollo Employee Shareholders that are limited by this Bye-law 4.2(d) (subject to Bye-law 4.2(e)) shall reduce the voting power of each Management Shareholder and Apollo Employee Shareholder pro-rata, and increase the voting power of the Specified Shareholders (other than Management Shareholders and Apollo Employee Shareholders) holding Class A Common Shares in the same manner as specified in, and subject to the operation of, Bye-law 4.4(a)(iii).

(e)

The holders of the Class B Common Shares, by a vote of the majority of the Class B Common Shares, may at any time and from time to time elect to reduce the percentage of the Total Voting Power represented by the Class B Common Shares (and correspondingly increase the percentage of the Total Voting Power represented by the Class A Common Shares, so that the Total Voting Power remains equal to 100), subject to further adjustment by Bye-law 4.2(f) (including, without limitation, by an election that results in increased voting rights attributable to the Class A Common Shares), and if so provided by the terms of such election, such election shall be irrevocable.

(f)

Notwithstanding Bye-law 4.2(a), Bye-law 4.2(b), Bye-law 4.2(c) and Bye-law 4.2(e), in connection with any vote of Shareholders to approve a merger or amalgamation with respect to the Company (a “ Company Merger Vote ”), any issued and outstanding Nonvoting Class A Common Share and each Class M Common Share, shall have the power to vote in connection with any such Company Merger Vote. Solely in connection with any such Company Merger Vote, such Nonvoting Class A Common Shares and Class M Common Shares shall collectively represent 0.1% of the Total Voting Power (such voting power allocated equally among the Nonvoting Class A Common Shares and Class M Common Shares) with the Total Voting Power attributable to each of the voting Class A Common Shares and Class B Common Shares being reduced by such percentage on a pro rated basis determined based on Total Voting Power of each such class.

Exhibit 3.1


4.3	From and after the occurrence of an Apollo Termination Event, the voting rights of the Common Shares shall be as follows:


(a)	Subject to Bye-law 4.3(c), the Class A Common Shares shall represent 100% of the Total Voting Power. Subject to Bye-law 4.4, each Class A Common Share shall be entitled to one vote per Class A Common Share. Notwithstanding the foregoing, subject to Bye-law 4.3(b), no Tax Disqualified I Class A Common Share shall have the right to vote.

(b)

Subject to Bye-law 4.3(c), the Class M Common Shares shall have no right to vote on any matters to be voted on by the Shareholders (including, without limitation, any election or removal of directors) and the Class M Common Shares shall not be included in determining the number of shares voting or entitled to vote on such matters, except where required under Bermuda law and as provided in this Bye-law 4.3(b).

(c)

In connection with any Company Merger Vote, any Tax Disqualified I Class A Common Share or Class M Common Share that is not otherwise entitled to vote in accordance with this Bye-law 4.3 shall have the power to vote in connection with any such Company Merger Vote. Solely in connection with any such Company Merger Vote, such Tax Disqualified I Class A Common Shares and Class M Common Shares shall collectively represent 0.1% of the Total Voting Power (such voting power allocated equally among the Tax Disqualified I Class A Common Shares and Class M Common Shares) with the Total Voting Power attributable to the Class A Common Shares (other than Tax Disqualified I Class A Common Shares) being reduced by such percentage on a pro rated basis.

4.4

(a)

The voting rights of the Relevant Securities shall be subject to the following provisions ( provided , that this Bye-law 4.4(a) shall not apply at any time that there are fewer than the Specified Number of holders of Relevant Securities (for this purpose, treating all such holders that are classified as disregarded entities with the same regarded owner for U.S. federal income tax purposes, together with such regarded owner as one such holder), excluding Disqualified Shareholders):

(i)

Other than with respect to any Tentative 9.9% Shareholder, except upon the consent of at least 75% of the Board and any Applicable Shareholder holding Controlled Shares of such Tentative 9.9% Shareholder, the voting power of each Applicable Security is hereby adjusted (and shall be automatically adjusted in the future) to the extent necessary so that no Applicable Shareholder holding Applicable Securities, and no Tax Attributed Affiliate of any such Applicable Shareholder, is a 9.9% Shareholder. For the avoidance of doubt, the Board may, in its discretion, grant its consent for purposes of the exception provided in the immediately preceding sentence for any individual Applicable Shareholder or group of Applicable Shareholders and need not grant its consent for all Applicable Shareholders.

Exhibit 3.1

The Board shall from time to time, including prior to any time at which a vote of Shareholders is taken, take all reasonable steps necessary to ascertain through communications with Shareholders or otherwise (including by reviewing publicly-filed ownership reports of Shareholders filed pursuant to Section 16 of the Securities Exchange Act of 1934, as amended) whether there exists, or will exist at the time any vote of Shareholders is taken, an Applicable Shareholder holding Applicable Securities, or a Tax Attributed Affiliate of such an Applicable Shareholder, that is a Tentative 9.9% Shareholder.

(ii)

In the event that an Applicable Shareholder holding Applicable Securities, or a Tax Attributed Affiliate of such an Applicable Shareholder, that is a Tentative 9.9% Shareholder exists, the aggregate votes conferred by the Applicable Securities held by an Applicable Shareholder and treated as Controlled Shares of that Tentative 9.9% Shareholder shall be reduced to the extent necessary such that the Controlled Shares of the Tentative 9.9% Shareholder will constitute no more than 9.9% of the Total Voting Power.

(iii)

The votes attributable to the Relevant Securities (other than any Transferred Class B Common Shares) of Specified Shareholders shall, in the aggregate, be increased across such Specified Shareholders pro rata based on the then current voting power attributable to Relevant Securities, as applicable, by the same number of votes subject to reduction as described above. Such increase shall apply to all such Specified Shareholders in proportion to the voting power attributable to their Relevant Securities, at that time; provided , that such increase shall be limited as to any Specified Shareholder to the extent necessary to avoid causing such Specified Shareholder, or any of its Tax Attributed Affiliates, to be a 9.9% Shareholder. The adjustments of voting power described in this Bye-law 4.4 shall apply repeatedly until there would be no 9.9% Shareholder or until successive application would not result in any change in the voting power of any Relevant Securities.

(b)

The Board may deviate from any of the principles described in this Bye-law 4.4 and determine that Relevant Securities held by a Specified Shareholder shall carry different voting rights (or no voting rights) as it determines appropriate (1) to avoid the existence of any 9.9% Shareholder or (2) (i) to avoid adverse tax, legal or regulatory consequences to the Company or any of its Affiliates or (ii) upon the request of a Specified Shareholder, to avoid adverse tax, legal or regulatory consequences for such Specified Shareholder or any of its Affiliates or direct or indirect owners.

Exhibit 3.1

(c)

(i)

The Board shall have the authority to request from any Person holding, directly or indirectly, Applicable Securities or Class B Common Shares, and such Person shall provide, as promptly as reasonably practicable, such information as the Board may require for the purpose of determining whether any Person’s voting rights are to be adjusted pursuant to these Bye-laws. If such Person fails to reasonably respond to such a request, or submits incomplete or inaccurate information in response to such a request, the Company may, in its sole and absolute discretion, determine that such Person’s Applicable Securities or Class B Common Shares shall carry no voting rights or reduced voting rights, in which case such Applicable Securities or Class B Common Shares shall not carry any voting rights or shall carry only such reduced voting rights until otherwise determined by the Company in its sole and absolute discretion.


(ii)	Any Person shall give notice to the Company within ten days following the date that such Person acquires actual knowledge that it is a Tentative 9.9% Shareholder or that its Applicable Securities are Controlled Shares of a Tentative 9.9% Shareholder.

(iii)

Notwithstanding the foregoing, no Person shall be liable to any other Person or the Company for any losses or damages resulting from a Shareholder’s failure to respond to, or submission of incomplete or inaccurate information in response to, a request under paragraph (i) above or from such Person’s failure to give notice under paragraph (ii) above. The Board may rely on the information provided by a Person under this Bye-law 4.4(c) in the satisfaction of its obligations under this Bye-law 4.4. The Company may, but shall have no obligation to, provide notice to any Person of any adjustment to its voting power that may result from the application of this Bye-law 4.4.

4.5

(a)

The Common Shares shall be entitled to such dividends, in proportion to the number of Class A Common Shares, Class B Common Shares and Class M Common Shares held by such holder, as the Board may from time to time declare, provided , that (A) the holders of Class M-1 Common Shares shall be entitled to receive dividends declared by the Board, if any, only if, on the date of declaration of such dividend, previous Return of Investment Amounts shall have been received (or deemed received where applicable) since the date of issuance of such Class M-1 Common Shares with respect to any Class A Common Shares and Class B Common Shares in an amount equal to $10 per share (the “ Group 1 Preference Amount ”), (B) the holders of Class M-2 Common Shares shall be entitled to receive dividends declared by the Board, if any, only if, on the date of declaration of such dividend, previous Return of Investment Amounts shall have been received (or deemed received where applicable) since the date of issuance of such Class M-2 Common Shares with respect to any Class A Common Shares and Class B Common Shares in an amount equal to $10.77 per share (the “ Group 2 Preference Amount ”),

Exhibit 3.1

(C) the holders of Class M-3 Common Shares shall be entitled to receive dividends declared by the Board, if any, only if, on the date of declaration of such dividend, previous Return of Investment Amounts shall have been received (or deemed received where applicable) since the date of issuance of such Class M-3 Common Shares with respect to any Class A Common Shares and Class B Common Shares in an amount equal to $13.46 per share (the “ Group 3 Preference Amount ”), (D) the holders of Class M-4 Common Shares shall be entitled to receive dividends declared by the Board, if any, only if, on the date of declaration of such dividend, previous Return of Investment Amounts shall have been received (or deemed received where applicable) since the date of issuance of such Class M-4 Common Shares with respect to any Class A Common Shares and Class B Common Shares in an amount equal to $26.00 per share (the “ Group 4 Preference Amount ”) and (E) the holders of any other class of Class M Common Shares shall be entitled to receive dividends declared by the Board, if any, only if, on the date of declaration of such dividend, previous Return of Investment Amounts shall have been received (or deemed received where applicable) since the initial issuance date of such Class M Common Shares with respect to any Class A Common Shares and Class B Common Shares in an amount equal to a price per share and with such priority of distribution and payment of such dividends with respect to such Class M Common Shares to be designated by the Board (collectively with the Group 1 Preference Amount, the Group 2 Preference Amount, the Group 3 Preference Amount and the Group 4 Preference Amount, the “ Group M Preference Amount ”); provided, that the payment of dividends on any Class M Common Shares issued as a “restricted share” shall be subject to any vesting and other rights or limitations set forth in any applicable Company incentive plan or restricted share award agreement.

(b)

In addition to the foregoing, upon a Liquidation, after payment or provision for payment of the debts and other liabilities of the Company, distributions out of the remaining assets of the Company available for distribution to its Shareholders shall be made as follows: (i) first, the holders of the Class A Common Shares and Class B Common Shares (on a pro-rata basis based upon the number of Class A Common Shares and Class B Common Shares held by each such holder in proportion to the total number of Class A Common Shares and Class B Common Shares then outstanding), shall be entitled to receive in the aggregate all distributions until such time as aggregate distributions are made in an amount equal to the Group 1 Preference Amount to the holders of Class A Common Shares and Class B Common Shares described in such definition (less any amounts paid as dividends in respect of the Group 1 Preference Amount pursuant to clause (a) above); (ii) second, the holders of Class A Common Shares, Class B Common Shares and Class M-1 Common Shares (on a pro-rata basis based upon the number of Class A Common Shares, Class B Common Shares and Class M-1 Common Shares held by each such holder in proportion to the total number of Class A Common Shares, Class B Common Shares and Class M‑1 Common Shares then outstanding), shall be entitled to receive in the aggregate all distributions until such time as aggregate distributions are made in an amount equal to the Group 2 Preference Amount to the holders of Class A Common Shares and Class B Common Shares described in such definition (less any amounts paid as dividends in respect of the Group 2 Preference Amount pursuant to clause (a) above);

Exhibit 3.1

(iii) third, the holders of Class A Common Shares, Class B Common Shares, Class M-1 Common Shares and Class M-2 Common Shares (on a pro-rata basis based upon the number of Class A Common Shares, Class B Common Shares, Class M-1 Common Shares and Class M-2 Common Shares held by each such holder in proportion to the total number of Class A Common Shares, Class B Common Shares, Class M‑1 Common Shares and Class M-2 Common Shares then outstanding), shall be entitled to receive in the aggregate all distributions until such time as aggregate distributions are made in an amount equal to the Group 3 Preference Amount to the holders of Class A Common Shares and Class B Common Shares described in such definition (less any amounts paid as dividends in respect of the Group 3 Preference Amount pursuant to clause (a) above); (iv) fourth, the holders of Class A Common Shares, Class B Common Shares, Class M-1 Common Shares, Class M-2 Common Shares and Class M-3 Common Shares (on a pro-rata basis based upon the number of Class A Common Shares, Class B Common Shares, Class M-1 Common Shares, Class M-2 Common Shares and Class M-3 Common Shares held by each such holder in proportion to the total number of Class A Common Shares, Class B Common Shares, Class M‑1 Common Shares, Class M-2 Common Shares and Class M-3 Common Shares then outstanding), shall be entitled to receive in the aggregate all distributions until such time as aggregate distributions are made in an amount equal to the Group 4 Preference Amount to the holders of Class A Common Shares and Class B Common Shares described in such definition (less any amounts paid as dividends in respect of the Group 4 Preference Amount pursuant to clause (a) above); (v) fifth, the holders of Class A Common Shares, Class B Common Shares, Class M-1 Common Shares, Class M-2 Common Shares, Class M-3 Common Shares and Class M-4 Common Shares (on a pro-rata basis based upon the number of Class A Common Shares, Class B Common Shares, Class M-1 Common Shares, Class M-2 Common Shares, Class M-3 Common Shares and Class M-4 Common Shares held by each such holder in proportion to the total number of Class A Common Shares, Class B Common Shares, Class M‑1 Common Shares, Class M-2 Common Shares, Class M-3 Common Shares and Class M-4 Common Shares then outstanding), shall be entitled to receive in the aggregate all distributions until such time as aggregate distributions are made in an amount equal to the applicable Group M Preference Amount to the holders of Class A Common Shares and Class B Common Shares described in such definition (less any amounts paid as dividends in respect of such Group M Preference Amount pursuant to clause (a) above) and (vi) thereafter, the holders of Common Shares (on a pro-rata basis based upon the number of Common Shares held by each such holder in proportion to the total number of Common Shares then outstanding) shall be entitled to receive in the aggregate all distributions, subject to any preference of any other Class M Common Shares set forth in such designation.

(c)

Unless and until the Group 1 Preference Amount is satisfied, the Class A Common Shares and Class B Common Shares, which shall rank pari passu with respect to one another, shall rank senior to the Class M Common Shares in terms of dividends and only after the Group 1 Preference Amount has been fully satisfied will dividends be paid pro rata to the Class A Common Shares, the Class B Common Shares and the Class M-1 Common Shares as a whole.

Exhibit 3.1

After the Group 1 Preference Amount has been satisfied, but unless and until the Group 2 Preference Amount is satisfied, the Class A Common Shares, Class B Common Shares and Class M-1 Common Shares, which shall rank pari passu with respect to one another, shall rank senior to the Class M-2 Common Shares in terms of dividends, and only after the Group 2 Preference Amount has been fully satisfied will dividends be paid pro rata to the Class A Common Shares, the Class B Common Shares, the Class M-1 Common Shares and the Class M-2 Common Shares as a whole. After the Group 2 Preference Amount has been satisfied, but unless and until the Group 3 Preference Amount is satisfied, the Class A Common Shares, Class B Common Shares, Class M-1 Common Shares and Class M-2 Common Shares, which shall rank pari passu with respect to one another, shall rank senior to the Class M-3 Common Shares in terms of dividends, and only after the Group 3 Preference Amount has been fully satisfied will dividends be paid pro rata to the Class A Common Shares, the Class B Common Shares, the Class M-1 Common Shares, the Class M-2 Common Shares and the Class M-3 Common Shares as a whole. After the Group 3 Preference Amount has been satisfied, but unless and until the Group 4 Preference Amount is satisfied, the Class A Common Shares, Class B Common Shares, Class M-1 Common Shares, Class M-2 Common Shares and Class M-3 Common Shares, which shall rank pari passu with respect to one another, shall rank senior to the Class M-4 Common Shares in terms of dividends, and only after the Group 4 Preference Amount has been fully satisfied will dividends be paid pro rata to the Common Shares as a whole, subject to any preference of the Class A Common Shares, the Class B Common Shares, the Class M-1 Common Shares, the Class M-2 Common Shares, the Class M-3 Common Shares and the Class M-4 Common Shares over any other series of Class M Common Shares set forth in such designation and the preference of any series of Class M Common Shares over another series of Class M Common Shares.

(d)

Notwithstanding anything to the contrary in this Bye-law 4.5, if, as a result of any applicable escrow, holdback or other similar contingency provision (collectively, “ Escrow ”) contained in any transaction document governing any Liquidation, the assets and funds to be distributed upon the occurrence of such Liquidation are insufficient to permit the payment of the full applicable Group M Preference Amount that, in each case, would be payable in the absence of the Escrow, the Company shall ensure that the transaction document relating to such Liquidation shall provide that the remainder of the assets or funds upon the release of such Escrow shall be reallocated among the Class A Common Shares, Class B Common Shares, and Class M Common Shares in a manner to reflect what each such Shareholder would have received if such assets or funds had been distributed by the Company to such Shareholders in a Liquidation for cash and the proceeds thereof had been distributed in accordance with the provisions of Bye-law 4.5.

(e)

In the event of a Liquidation resulting from circumstances set forth in either clause (ii) or clause (iii) of the definition of Sale of the Company, the “remaining assets of the Company available for distribution” (as referred to in clause (b) above) shall be deemed to be the aggregate consideration to be paid to all holders of Class A Common Shares, Class B Common Shares, and Class M Common Shares participating in such Liquidation.

Exhibit 3.1

In connection with such a Liquidation, the holders of the Class A Common Shares, Class B Common Shares and Class M Common Shares shall allocate the aggregate consideration to be paid to all such Shareholders participating in such Liquidation among such Shareholders, such that each such Shareholder shall receive the same portion of the aggregate consideration from such Liquidation that such Shareholder would have received if such aggregate consideration had been distributed by the Company in a Liquidation caused by circumstances other than those set forth in clause (ii) or clause (iii) of the definition of Sale of the Company.


(f)	If any or all of the proceeds payable to the Shareholders in connection with a Liquidation are in a form other than cash or marketable securities, the fair market value of such consideration shall be determined in good faith by the Board.

(g)

Any time a holder of Class M Common Shares (a “ Subject Holder ”) receives consideration pursuant to the sale or transfer of such Class M Common Shares and the applicable Group M Preference Amount has not been satisfied, such consideration shall be reallocated among the Class A Common Shares, Class B Common Shares and Class M Common Shares in a manner to reflect what each such Shareholder would have received if such aggregate consideration had been distributed by the Company to such Shareholders in a Liquidation for cash and the proceeds thereof had been distributed in accordance with the provisions of Bye-law 4.5 (a “ Reallocation ”). Any consideration reallocated to the Class A Common Shares and Class B Common Shares pursuant to this Bye-law 4.5(g) shall be included in determining whether, pursuant to Bye-law 4.5, dividends or distributions in an amount equal to the applicable Group M Preference Amount has been paid with respect to Class A Common Shares and Class B Common Shares. At any time after the Group 1 Preference Amount, Group 2 Preference Amount, Group 3 Preference Amount, Group 4 Preference Amount or any other Group M Preference Amount, as applicable, is satisfied following a Reallocation (on a pro forma basis without regard to any Reallocation), the Company shall pay or cause to be paid to each Subject Holder, out of amounts otherwise available for distribution to the Shareholders, an amount equal to the amount reallocated from such Subject Holder pursuant to this Bye-law 4.5(g).


4.6	The Class B Common Shares and Class M Common Shares shall be convertible into Class A Common Shares pursuant to the following terms and conditions:


(a)	The Class M Common Shares shall be convertible into Class A Common Shares in accordance with, and subject to the terms and conditions of, the award agreements governing the granting of such shares.


(b)	The Class B Common Shares shall be converted or convertible as follows:

(i)

Upon notice to the Company, a holder of Class B Common Shares may convert any or all of its Class B Common Shares into Class A Common Shares, and upon receipt of such notice by the Company such Class B Common Shares shall immediately and automatically convert into an equal number of Class A Common Shares on a one-for-one basis, by way of redemption and reissue (for the avoidance of doubt, no Class A Common Share acquired by conversion of Class B Common Shares pursuant to this provision shall be an Apollo Designated Voting Security).

Exhibit 3.1

(ii)

Concurrently with or immediately prior to a sale, transfer, exchange or other disposition (including by dividend or other distribution) of any Class B Common Shares by a holder thereof, such holder shall notify the Company in writing of such transfer and such Class B Common Shares shall immediately and automatically convert into an equal number of Class A Common Shares on a one-for-one basis, by way of redemption and reissue; provided, however, that no conversion shall occur with respect to Class B Common Shares transferred (i) to a member of the Apollo Group or (ii) pursuant to Bye-law 4.2(b)(ii)(A). Neither the Company nor any of its Subsidiaries shall issue or sell Class B Common Shares to any Person, other than a member of the Apollo Group.


(iii)	Upon an Apollo Termination Event or the election of the holders of a majority of the outstanding Class B Common Shares (as evidenced in writing to the Board), all outstanding Class B Common Shares shall immediately and automatically convert into an equal number of Class A Common Shares on a one-for-one basis, by way of redemption and reissue.


(iv)	For the avoidance of doubt, any Class A Common Share acquired by conversion of Class B Common Shares shall be subject to the voting restrictions set forth in Bye-laws 4.2 and 4.4.

4.7

(a)

At any time prior to an Apollo Termination Event, and upon notice to the Company, any member of the Apollo Group may convert any or all of its Class A Common Shares into Class B Common Shares, and upon receipt of such notice by the Company such Class A Common Shares shall immediately and automatically convert into an equal number of Class B Common Shares on a one-for-one basis, by way of redemption and reissue. If such member of the Apollo Group holds both Class A Common Shares and Apollo Designated Voting Securities that consist of Class A Common Shares, then such member of the Apollo Group shall specify whether, and how many, of the shares being converted into Class B Common Shares constitute Apollo Designated Voting Securities.

(b)

At any time prior to an Apollo Termination Event, in connection with its purchase of any Class A Common Shares or other voting securities (other than any Class B Common Shares) of the Company from the Company or any other Shareholder, a member of the Apollo Group may designate, in writing to the Board, prior to such purchase, its intention that any or all such purchased Class A Common Shares or such other voting securities constitute voting Class A Common Shares or such other class or series of voting securities and such securities, when purchased by such member shall constitute voting Class A Common Shares or such other class or series of voting securities for all purposes of these Bye-laws (such designated securities, when held by a member of the Apollo Group, “ Apollo Designated Voting Securities ”). At the election of the holders of a majority of the Class B Common Shares as evidenced in writing to the Board, the right of any member of the Apollo Group to acquire Apollo Designated Voting Securities may be terminated, provided , that such termination shall not affect the voting rights of any Apollo Designated Voting Securities outstanding at the time of such termination.

Exhibit 3.1

4.8

Any Class A Common Shares or Class B Common Shares issued upon conversion of Class A Common Shares, Class B Common Shares or Class M Common Shares pursuant to Bye-laws 4.6 and 4.7 shall be subject to the terms and restrictions of these Bye-laws applicable to Class A Common Shares and Class B Common Shares, including those contained in Bye-laws 4.2, 4.3 and 4.4 (subject to any exceptions set forth in those sections, including exceptions applicable to the Apollo Group and the Apollo Designated Voting Securities).


4.9	All the rights attaching to a Treasury Share shall be suspended and shall not be exercised by the Company while it holds such Treasury Share and, except where required by the Act, all Treasury Shares shall be excluded from the calculation of any percentage or fraction of the share capital, or shares, of the Company.


4.10	All determinations to be made in connection with the application of the provisions set forth in this Bye-law 4 shall be made by the Company in its sole discretion, and any such determination shall be binding on all Shareholders and holders of securities of the Company.

4.11

By way of example, if a holder of Class A Common Shares, who does not hold Nonvoting Class A Common Shares, and who is entitled to 50% of the economic value of the Company but is only entitled to 9.9% of the Total Voting Power pursuant to Bye-law 4.4 transfers all of such holder’s shares in equal amounts to two unaffiliated third parties (neither of whom (x) is a Disqualified Shareholder or (y) owns any Class B Common Shares), then each such third-party transferee shall be entitled to 25% of the economic value of the Company and up to 9.9% of the Total Voting Power (subject to Bye-law 4.4).


5.	Tax Restrictions

The following restrictions apply to each Shareholder or holder of Equity Securities, other than the Apollo Group:

5.1

No Shareholder or holder of Equity Securities (or, to its actual knowledge, any direct or indirect beneficial owner thereof) who is a “United States shareholder” of the Company (within the meaning of Section 953(c) of the Code), nor any “related person” (within the meaning of Section 953(c) of the Code) to such Shareholder or holder of Equity Securities (or such owner), shall at any time knowingly permit itself to be a Related Insured Entity. No Shareholder or holder of Equity Securities who is a U.S. Person, shall knowingly permit itself (or, to its actual knowledge, any direct or indirect beneficial owner thereof) to own (directly, indirectly or constructively pursuant to Section 958 of the Code) outstanding capital stock of the Company or Equity Securities possessing 50% or more of (i) the total voting power of the Common Shares or Equity Securities (excluding any Apollo Designated Voting Securities), or (ii) the total value of the Common Shares or Equity Securities. No Shareholder or holder of Equity Securities (or, to its actual knowledge, any direct or indirect beneficial owner thereof) nor any “related person” (within the meaning of Section 953(c) of the Code) to such Shareholder or holder of Equity Securities (or such owner) (in all cases, excluding any member of the Apollo Group) shall (i) acquire any interests (for this purpose, including any instrument or arrangement that is treated as an equity interest for U.S. federal income tax purposes) in AP Alternative Assets, L.P. or Apollo Global Management, LLC or (ii) make any investment, or enter into a transaction, that, to the actual knowledge of such Shareholder at the time such Shareholder, holder of Equity Securities, owner or related person becomes bound to make the investment or enter into the transaction, would cause such Shareholder, holder of Equity Securities, owner or related person, or any other U.S. Person,

Exhibit 3.1

to own (directly, indirectly or constructively pursuant to Section 958 of the Code) outstanding capital stock of the Company or Equity Securities possessing 50% or more of (a) the total voting power of the Common Shares or Equity Securities entitled to vote or (b) the total value of the Common Shares or Equity Securities.

5.2

Notwithstanding anything contained herein to the contrary, no Shareholder shall transfer any Equity Securities if, to the actual knowledge of such Shareholder at the time of such transfer, following such transfer, in the aggregate, 19.9% or more of the total voting power of either the outstanding capital stock of the Company or Equity Securities entitled to vote or 19.9% of the total value of either the outstanding capital stock of the Company or Equity Securities would be owned directly or indirectly (under the principles of Section 953(c)(3)(A) of the Code) by one or more Persons who are either (i) both “United States shareholders” of the Company (within the meaning of Section 953(c) of the Code) and Related Insured Entities or (ii) both related to “United States shareholders” of the Company (within the meaning of Section 953(c) of the Code) and Related Insured Entities.

5.3

All determinations to be made in connection with the application of the provisions set forth in Bye-laws 5.1 through 5.2 shall be made by the Board in its sole discretion, and any such determination shall be binding on all Shareholders, it being understood that a Shareholder will in no instance be liable for monetary damages with respect to a breach of this Bye-law 5. The Board may, at any time, and from time to time, request evidence and/or require representations that the restrictions set forth in this Bye-law 5 have not, or will not, be breached. Each Shareholder agrees to furnish such evidence to the Board promptly upon request therefor. The Board may waive any provision in this Bye-law 5 with respect to any Shareholder without granting similar waivers to any other Shareholder. The Board and any particular Shareholder may agree in writing to amend the application of the provisions of this Bye-law 5 with respect to such Shareholder, and the Board shall not be required to enter into similar agreements with other Shareholders.

5.4

In the event any Shareholder or holder of Equity Securities becomes aware that there is a material risk that it, any of its direct or indirect beneficial owners and/or any “related person” (within the meaning of Section 953(c) of the Code) to such Shareholder or holder of Equity Securities (or such owner) has violated any provision contained in this Bye-law 5 (without regard to any knowledge qualifier therein), such Shareholder or holder of Equity Securities will be obligated to notify the Board as promptly as possible. In the event any Shareholder or holder of Equity Securities violates Bye-law 5.1 (without regard to any knowledge qualifier therein), at the discretion of the Board, such Shareholder or holder of Equity Securities shall, and shall cause any direct or indirect beneficial owner of such Shareholder or holder of Equity Securities and any “related person” (within the meaning of Section 953(c) of the Code) to such Shareholder or holder of Equity Securities to (x) sell some or all of its Common Shares or Equity Securities at fair market value (as mutually agreed by the Company and such Shareholder in good faith) as directed by the Board and/or (y) allow the Company to repurchase some or all of its Common Shares or Equity Securities at fair market value (as determined by the Company and such Shareholder in good faith); provided , that if the Company and such Shareholder cannot mutually agree on the fair market value of the Common Shares or Equity Securities to be sold or repurchased in accordance with this Bye-law 5.4, then fair market value shall be determined by an investment banking firm of national recognition, which firm shall be reasonably acceptable to the Company and such Shareholder or holder of Equity Securities.

Exhibit 3.1

The determination of fair market value by such investment banking firm shall be final and binding upon the parties. If the Company and such Shareholder or holder of Equity Securities are unable to agree upon an acceptable investment banking firm within ten (10) days after the date either party proposed that one be selected, the investment banking firm will be selected by an arbitrator located in the City of New York, New York selected by the American Arbitration Association (or if such organization ceases to exist, the arbitrator shall be chosen by a court of competent jurisdiction). The arbitrator shall select the investment banking firm (within ten (10) days of his appointment) from a list, jointly prepared by the Company and such Shareholder or holder of Equity Securities, of not more than six investment banking firms of national standing in the United States, of which no more than three may be named by the Company and no more than three may be named by such Shareholder or holder of Equity Securities. The arbitrator may consider, within the ten-day period allotted, arguments from the parties regarding which investment banking firm to choose, but the selection by the arbitrator shall be made in its sole discretion from the list of six. The selection by the arbitrator of such investment banking firm shall be final and binding upon the parties. The Company and such Shareholder or holder of Equity Securities shall each pay one-half of the fees and expenses of the investment banking firms and arbitrator (if any) used to determine the fair market value. If required by any such investment banking firm or arbitrator, the Company shall execute a retainer and engagement letter containing reasonable terms and conditions, including, without limitation, customary provisions concerning the rights of indemnification and contribution by the Company in favor of such investment banking firm or arbitrator and its officers, directors, partners, employees, agents and Affiliates. The parties shall provide to the investment banking firm, on a confidential basis, such information it reasonably requests to perform its duties.


5.5	Notwithstanding anything to the contrary herein, upon a breach of this Bye-law 5 (without regard to any knowledge qualifier therein), the breaching Shareholder or holder of Equity Securities shall be required to take any reasonable action the Board deems appropriate.


6.	Calls on Shares

6.1

The Board may make such calls as it thinks fit upon the Shareholders in respect of any moneys (whether in respect of nominal value or premium) unpaid on the shares allotted to or held by such Shareholders and, if a call is not paid on or before the day appointed for payment thereof, the Shareholders may at the discretion of the Board be liable to pay the Company interest on the amount of such call at such rate as the Board may determine, from the date when such call was payable up to the actual date of payment. The Board may differentiate between the holders as to the amount of calls to be paid and the times of payment of such calls.


6.2	The joint holders of a share shall be jointly and severally liable to pay all calls and any interest, costs and expenses in respect thereof.


6.3	The Company may accept from any Shareholder the whole or a part of the amount remaining unpaid on any shares held by him, although no part of that amount has been called up.


7.	[Reserved]

Exhibit 3.1


8.	Share Certificates

8.1

Every Shareholder shall be entitled to a certificate under the common seal (or a facsimile thereof) of the Company or bearing the signature (or a facsimile thereof) of a Director or the Secretary or a person expressly authorised to sign specifying the number and, where appropriate, the class of shares held by such Shareholder and whether the same are fully paid up and, if not, specifying the amount paid on such shares. The Board may by resolution determine, either generally or in a particular case, that any or all signatures on certificates may be printed thereon or affixed by mechanical means.


8.2	The Company shall be under no obligation to complete and deliver a share certificate unless specifically called upon to do so by the person to whom the shares have been allotted.

8.3

The holder of any shares of the Company, promptly upon discovery, shall notify the Company of any loss, destruction or mutilation of the certificate therefor, and the Board may, in its discretion, cause to be issued to such holder a new certificate or certificates for such shares, upon the surrender of the mutilated certificates or, in the case of loss or destruction of the certificate, upon satisfactory proof of such loss or destruction, and the Board may, in its discretion, require the owner of the lost or destroyed certificate or its legal representative to give the Company a bond in such sum and with such surety or sureties as it may direct to indemnify the Company against any claim that may be made against it on account of the alleged loss or destruction of any such certificate.


9.	Fractional Shares

The Company may issue its shares in fractional denominations and deal with such fractions to the same extent as its whole shares and shares in fractional denominations shall have in proportion to the respective fractions represented thereby all of the rights of whole shares including (but without limiting the generality of the foregoing) the right to vote, to receive dividends and distributions and to participate in a winding-up.

REGISTRATION OF SHARES


10.	Register of Shareholders


10.1	The Board shall cause to be kept in one or more books a Register of Shareholders and shall enter therein the particulars required by the Act.

10.2

The Register of Shareholders shall be open to inspection without charge at the Registered Office of the Company on every Business Day, subject to such reasonable restrictions as the Board may impose, so that not less than two hours in each Business Day be allowed for inspection. The Register of Shareholders may, after notice has been given in accordance with the Act, be closed for any time or times not exceeding in the whole thirty days in each year.


11.	Registered Holder Absolute Owner

The Company shall be entitled to treat the registered holder of any share as the absolute owner thereof and accordingly shall not be bound to recognise any equitable claim or other claim to, or interest in, such share on the part of any other person.

Exhibit 3.1


12.	Transfer of Registered Shares


12.1	The following transfer restrictions are in addition to any transfer restrictions that may apply pursuant to the terms of any contract or other agreement between the Shareholders as among themselves or with any third parties or that the Company may enter into with any of its Shareholders.


12.2	An instrument of transfer shall be in writing in the form of the following, or as near thereto as circumstances admit, or in such other form as the Board may accept:

Transfer of a Share or Shares

Athene Holding Ltd. (the “Company”)

FOR VALUE RECEIVED…………………….[amount], I, [name of transferor] hereby sell, assign and transfer unto [transferee] of [address], [number] shares of the Company.

DATED this [ ] day of [ ], 20[ ]



Signed by:		In the presence of:

Transferor		Witness

Transferee		Witness

12.3

Such instrument of transfer shall be signed by or on behalf of the transferor and transferee, provided , that in the case of a fully paid share, the Board may accept the instrument signed by or on behalf of the transferor alone. The transferor shall be deemed to remain the holder of such share until the same has been registered as having been transferred to the transferee in the Register of Shareholders.


12.4	The Board may refuse to recognise any instrument of transfer unless it is accompanied by the certificate in respect of the shares to which it relates and by such other evidence as the Board may reasonably require to show the right of the transferor to make the transfer.


12.5	The joint holders of any share may transfer such share to one or more of such joint holders, and the surviving holder or holders of any share previously held by them jointly with a deceased Shareholder may transfer any such share to the executors or administrators of such deceased Shareholder.

12.6

The Board may in its absolute discretion refuse to register the transfer of a share if, and only if, all applicable consents, authorisations and permissions of any governmental body or agency in Bermuda have not been obtained. If the Board refuses to register a transfer of any share, the Secretary shall, within three months after the date on which the transfer was lodged with the Company, send to the transferor and transferee notice of the refusal.

Exhibit 3.1

12.7

If a Shareholder who is a party to the Registration Rights Agreement transfers any shares which are subject to the provisions of the Registration Rights Agreement, the transferee of such shares and any subsequent transferee of those shares shall be subject to the provisions of such Registration Rights Agreement and the Board may refuse to register any such transfer that is in violation of the restrictions on transfer contained therein; provided, that no such transfer shall be prohibited by this provision or refused, and the shares subject to such transfer shall no longer be subject to the provisions of the Registration Rights Agreement or this Bye-law 12.7, to the extent that (x) such transfer was made pursuant to (i) an effective registration statement or (ii) a waiver by the Company or (y) at the time of such transfer, the shares subject to such transfer are not then currently subject to a restriction on trading or transfer pursuant to the lock-up or holdback provisions of the Registration Rights Agreement. If the Board refuses to register such a transfer, the Secretary shall, within three months after the date on which the transfer was lodged with the Company, send to the transferor and transferee notice of the refusal.


13.	Transfer Agent; Registrar; Rules Respecting Certificates

13.1

The Company may maintain one or more transfer offices or agencies where shares of the Company shall be transferable. The Company may also maintain one or more registry offices where such shares shall be registered. The Board may make such rules and regulations as it may deem expedient concerning the issue, transfer and registration of share certificates in accordance with Applicable Laws and the rules of any stock exchange or quotation system on which shares of the Company may be then listed or quoted.


14.	Transmission of Registered Shares

14.1

Subject to the terms of any contracts or other agreements by and between the Shareholders or by and between the Company and any of its Shareholders, in the case of the death of a Shareholder, the survivor or survivors where the deceased Shareholder was a joint holder, and the legal personal representatives of the deceased Shareholder where the deceased Shareholder was a sole holder, shall be the only persons recognised by the Company as having any title to the deceased Shareholder’s interest in the shares. Nothing herein contained shall release the estate of a deceased joint holder from any liability in respect of any share which had been jointly held by such deceased Shareholder with other persons. Subject to the Act, for the purpose of this Bye-law, legal personal representative means the executor or administrator of a deceased Shareholder or such other person as the Board may, in its absolute discretion, decide as being properly authorised to deal with the shares of a deceased Shareholder.

14.2

Any person becoming entitled to a share in consequence of the death or bankruptcy of any Shareholder may be registered as a Shareholder upon such evidence as the Board may deem sufficient or may elect to nominate some person to be registered as a transferee of such share, and in such case the person becoming entitled shall execute in favour of such nominee an instrument of transfer in writing in the form, or as near thereto as circumstances admit, of the following:

Exhibit 3.1

Transfer by a Person Becoming Entitled on Death/Bankruptcy of a Shareholder

Athene Holding Ltd. (the “Company”)

I/We, having become entitled in consequence of the [death/bankruptcy] of [name and address of deceased/bankrupt Shareholder] to [number] share(s) standing in the Register of Shareholders of the Company in the name of the said [name of deceased/bankrupt Shareholder] instead of being registered myself/ourselves, elect to have [name of transferee] (the “Transferee”) registered as a transferee of such share(s) and I/we do hereby accordingly transfer the said share(s) to the Transferee to hold the same unto the Transferee, his or her executors, administrators and assigns, subject to the conditions on which the same were held at the time of the execution hereof; and the Transferee does hereby agree to take the said share(s) subject to the same conditions.

DATED this [ ] day of [ ], 20[ ]



Signed by:		In the presence of:

Transferor		Witness

Transferee		Witness

14.3

On the presentation of the foregoing materials to the Board, accompanied by such evidence as the Board may require to prove the title of the transferor, the transferee shall be registered as a Shareholder. Notwithstanding the foregoing, the Board shall, in any case, have the same right to decline or suspend registration as it would have had in the case of a transfer of the share by that Shareholder before such Shareholder’s death or bankruptcy, as the case may be.


14.2	Where two or more persons are registered as joint holders of a share or shares, then in the event of the death of any joint holder or holders the remaining joint holder or holders shall be absolutely entitled to such share or shares and the Company shall recognise no claim in respect of the estate of any joint holder except in the case of the last survivor of such joint holders.

ALTERATION OF SHARE CAPITAL


15.	Power to Alter Capital


15.1	The Company may if authorized by Resolution increase, divide, consolidate, subdivide, change the currency denomination of, diminish or otherwise alter or reduce its share capital in any manner permitted by the Act.


15.2	Where, on any alteration or reduction of share capital, fractions of shares or some other difficulty would arise, the Board may deal with or resolve the same in such manner as it thinks fit.

Exhibit 3.1


16.	Variation of Rights Attaching to Shares

Subject to any contract or agreement by and between the Shareholders or by and between the Company and any of its Shareholders, which contains provisions affecting the rights attaching to shares of the Company, if, at any time, the share capital is divided into different classes of shares, the rights attached to any class (unless otherwise provided by the terms of issue of the shares of that class, as the case may be) may, whether or not the Company is being wound-up, be varied with the consent in writing of the holders of a majority of the issued shares of that class (as the case may be) or with the sanction of a resolution passed by a majority of the votes cast at a separate general meeting of the holders of the shares of the class at which meeting the necessary quorum shall be two persons at least holding or representing by proxy one-third of the issued shares of the class, as the case may be. The rights conferred upon the holders of the shares of any class issued with preferred or other rights shall not, unless otherwise expressly provided by the terms of issue of the shares of that class, be deemed to be varied by the creation or issue of further shares ranking pari passu therewith.

DIVIDENDS AND CAPITALISATION


17.	Dividends

17.1

The Board may, subject to these Bye-laws and in accordance with the Act, declare a dividend to be paid to all holders of Common Shares, subject to Bye-law 4.5 in proportion to the number of Common Shares held by them that are entitled to share in such dividend pursuant to Bye-law 4.5, and such dividend may be paid in cash or wholly or partly in specie in which case the Board may fix the value for distribution in specie of any assets. No unpaid dividend shall bear interest as against the Company.


17.2	In the event of a distribution in specie, the value of any distributed assets shall be the fair market value of such assets at the time of distribution as reasonably determined by the Board.


17.3	The Board may declare and pay dividends on one or more class of shares of the Company to the extent one or more classes of shares of the Company ranks senior to or has priority or a preference over another class of shares of the Company.

17.4

The Board may fix, in advance, a date as the record date for the purpose of determining the Shareholders entitled to receive payment of any dividend or other distribution or the allotment of any rights, or entitled to exercise any rights in respect of any change, conversion or exchange of shares, or in order to make a determination of the Shareholders for the purpose of any other lawful action, which record date shall not precede the date upon which the resolution fixing the record date is adopted by the Board, and which record date shall not be more than sixty (60) calendar days prior to such action. If no record date is fixed by the Board, the record date for any such purpose shall be at the close of business on the day on which the Board adopts the resolution relating thereto.


17.5	The Company may pay dividends in proportion to the amount paid up on each share where a larger amount is paid up on some shares than on others.


17.6	The Board may declare and make such other distributions (in cash or in specie) to the Shareholders as may be lawfully made out of the assets of the Company. No unpaid distribution shall bear interest as against the Company.

Exhibit 3.1


18.	Power to Set Aside Profits

The Board may, before declaring a dividend, set aside out of the surplus or profits of the Company, such amount as it thinks proper as a reserve to be used to meet contingencies or for equalising dividends or for any other purpose.


19.	Method of Payment


19.1	Any dividend, interest, or other moneys payable in cash in respect of the shares may be paid by cheque or draft sent through the post directed to the Shareholder at such Shareholder’s address in the Register of Shareholders, or to such person and to such address as the holder may in writing direct.

19.2

In the case of joint holders of shares, any dividend, interest or other moneys payable in cash in respect of shares may be paid by cheque or draft sent through the post directed to the address of the holder first named in the Register of Shareholders, or to such person and to such address as the joint holders may in writing direct. If two or more persons are registered as joint holders of any shares any one can give an effectual receipt for any dividend paid in respect of such shares.


19.3	The Board may deduct from the dividends or distributions payable to any Shareholder all moneys due from such Shareholder to the Company on account of calls or otherwise.


20.	Capitalisation


20.1	The Board may capitalise any amount for the time being standing to the credit of any of the Company’s share premium or other reserve accounts or to the credit of the profit and loss account or otherwise available for distribution by applying such amount in paying up unissued shares to be allotted as fully paid bonus shares pro rata to the Shareholders.


20.2	The Board may capitalise any amount for the time being standing to the credit of a reserve account or amounts otherwise available for dividend or distribution by applying such amounts in paying up in full, partly or nil paid shares of those Shareholders who would have been entitled to such amounts if they were distributed by way of dividend or distribution.

MEETINGS OF SHAREHOLDERS


21.	Annual General Meetings

Subject to any provisions of the Act and the rules of any stock exchange or quotation system on which the Company’s common equity securities may be then listed or quoted, an annual general meeting shall be held by December 31 of each year at such place, date and time as shall be determined by the Board.

Exhibit 3.1


22.	Special General Meetings; Requisitioned General Meetings


22.1	A special general meeting may be called by the Secretary for any purpose at any time in accordance with these Bye-laws upon the request of any of (i) the Chairman, (ii) the Vice Chairman, (iii) the Chief Executive Officer of the Company or (iv) a majority of the Board.

22.2

The Board shall, on the requisition of Shareholders holding shares at the date of the deposit of the requisition not less than ten percent (10%) of the Total Voting Power, forthwith proceed to convene a special general meeting and the provisions of the Act shall apply. Subject to applicable law, Shareholders requisitioning such special general meeting shall be responsible for all costs incurred to convene such meeting.


23.	Purposes of Annual General Meetings; Proposals of Other Business by Shareholders

23.1

At each annual general meeting, the Shareholders shall elect the members of the Board then subject to election in accordance with the procedures set forth in these Bye-laws and subject to Applicable Law and the rules of any stock exchange or quotation system on which shares of the Company may be then listed or quoted. At any such annual general meeting any other business properly brought before the meeting may be transacted.

23.2

To be properly brought before an annual general meeting, business (other than nominations of directors, which must be made in compliance with, and shall be exclusively governed by, Bye-law 40) must be (a) specified in the notice of the meeting (or any supplement thereto) given to Shareholders by or at the direction of the Board in accordance with Bye-laws 24 and 25 below, (b) otherwise properly brought before the meeting by or at the direction of the Board or (c) otherwise properly brought before the meeting by a Shareholder who (1) is a Minimum Shareholder at the time of giving of the notice provided for in this Bye-law 23 and at the time of the annual general meeting, (2) is entitled to vote at such meeting and (3) complies with the notice procedures set forth in this Bye-law 23.

23.3

For any such business to be properly brought before any annual general meeting pursuant to clause (c) of Bye-law 23.2, the Shareholder must have given timely notice thereof in writing, either by personal delivery or express or registered mail (postage prepaid), to the Secretary at the Registered Office not earlier than the close of business on the 120th day and not later than the close of business on the 90th day prior to the one-year anniversary of the date of the annual general meeting for the immediately preceding year. However, in the event that the date of the annual general meeting is more than 30 days before or after such anniversary date, in order to be timely, a Shareholder’s notice must be received by the Secretary at the Registered Office not later than the later of (x) the close of business 90 days prior to the date of such annual general meeting and (y) if the first public announcement of the date of such advanced or delayed annual general meeting is less than 100 days prior to such date, 10 days following the date of the first public announcement of the annual general meeting date. In no event shall the public announcement of an adjournment or postponement of an annual general meeting, or such adjournment or postponement, commence a new time period or otherwise extend any time period for the giving of a Shareholder’s notice as described herein.

Exhibit 3.1


23.4	Any such notice of other business shall set forth as to each matter the Shareholder proposes to bring before the annual general meeting:

(a)

a brief description of the business desired to be brought before the annual general meeting, the reasons for conducting such business at the annual general meeting and the text of any proposal regarding such business (including the text of any resolutions proposed for consideration and, if such business includes a proposal to amend these Bye-laws, the text of the proposed amendment), which shall not exceed 1,000 words;

(b)

as to the Shareholder giving notice and any beneficial owner on whose behalf the proposal is made, (1) the name and address of such Shareholder (as it appears in the Register of Shareholders) and such beneficial owner on whose behalf the proposal is made, (2) the class and number of Equity Securities which are, directly or indirectly, owned beneficially or of record by any such Shareholder and by such beneficial owner, respectively, or their respective Affiliates (naming such Affiliates), as of the date of such notice, (3) a description of any agreement, arrangement or understanding (including, without limitation, any swap or other derivative or short positions, profit interests, options, hedging transactions, and securities lending or borrowing arrangement) to which such Shareholder or any such beneficial owner or their respective Affiliates is, directly or indirectly, a party as of the date of such notice (x) with respect to any Equity Securities or (y) the effect or intent of which is to mitigate loss to, manage the potential risk or benefit of share price changes (increases or decreases) for, or increase or decrease the voting power of such Shareholder or beneficial owner or any of their Affiliates with respect to Equity Securities or which may have payments based in whole or in part, directly or indirectly, on the value (or change in value) of any Equity Securities (any agreement, arrangement or understanding of a type described in this clause (3), a “ Covered Arrangement ”) and (4) a representation that the Shareholder is a holder of record of shares of the Company entitled to vote at such meeting and intends to appear in person or by proxy at the meeting to propose such business;

(c)

a description of any direct or indirect material interest by security holdings or otherwise of the Shareholder and of any beneficial owner on whose behalf the proposal is made, or their respective Affiliates, in such business (whether by holdings of securities, or by virtue of being a creditor or contractual counterparty of the Company or of a third party, or otherwise), and all agreements, arrangements and understandings between such Shareholder or any such beneficial owner or their respective Affiliates and any other person or persons (naming such person or persons) in connection with the proposal of such business by such Shareholder;


(d)	a representation whether the Shareholder or the beneficial owner intends or is part of a Group which intends (i) to deliver a proxy statement and/or form of proxy to holders of at least the percentage of the Company’s Common Shares (or other Equity Securities) required to approve or adopt the proposal and/or (ii) otherwise to solicit proxies from Shareholders in support of such proposal;

Exhibit 3.1

(e)

an undertaking by the Shareholder and any beneficial owner on whose behalf the proposal is made to (i) notify the Company in writing of the information set forth in clauses (b)(2), (b)(3) and (c) above as of the record date (set in accordance with Bye-law 24 below) for the meeting promptly (and, in any event, within five (5) Business Days) following the later of the record date or the date notice of the record date is first disclosed by public announcement and (ii) update such information thereafter within two (2) Business Days of any change in such information and, in any event, as of close of business on the day preceding the meeting date; and

(f)

any other information relating to such Shareholder, any such beneficial owner and their respective Affiliates that would be required to be disclosed in a proxy statement or other filings required to be made in connection with solicitations of proxies for, as applicable, such proposal pursuant to Section 14 of the Exchange Act, to the same extent as if the shares of the Company were registered under the Exchange Act.

23.5

Notwithstanding anything to the contrary, the notice requirements set forth herein with respect to the proposal of any business pursuant to this Bye-law 23, other than nominations for directors which must be made in compliance with, and shall be exclusively governed by, Bye-law 40, shall be deemed satisfied by a Shareholder if such Shareholder has submitted a proposal to the Company in compliance with Rule 14a-8 of the Exchange Act and such Shareholder’s proposal has been included in a proxy statement that has been prepared by the Company to solicit proxies for the annual general meeting; provided, that such Shareholder shall have provided the information required by Bye-law 23.4; provided, further, that the information required by Bye-law 23.4(b) may be satisfied by providing the information to the Company required pursuant to Rule 14a-8(b) of the Exchange Act.

23.6

Notwithstanding anything in these Bye-laws to the contrary: (a) no other business brought by a Shareholder (other than the nominations of directors, which must be made in compliance with, and shall be exclusively governed by, Bye-law 40) shall be conducted at any annual general meeting except in accordance with the procedures set forth in this Bye-law 23; and (b) unless otherwise required by Applicable Law and the rules of any stock exchange or quotation system on which shares of the Company may be then listed or quoted, if a Shareholder intending to bring business before an annual general meeting in accordance with this Bye-law 23 does not (x) timely provide the notifications contemplated by clause (e) of Bye-law 23.4 above, or (y) timely appear in person or by proxy at the meeting to present the proposed business, such business shall not be transacted, notwithstanding that proxies in respect of such business may have been received by the Company or any other person or entity.

Exhibit 3.1

Except as otherwise provided by Applicable Law or these Bye-laws, the presiding officer of any annual general meeting shall have the power and duty to determine whether any business proposed to be brought before an annual general meeting was proposed in accordance with the foregoing procedures (including whether the Shareholder solicited or did not so solicit, as the case may be, proxies in support of such Shareholder’s proposal in compliance with such Shareholder’s representation as required by clause (d) of Bye-law 23.4) and if any business is not proposed in compliance with Bye-law 23, to declare that such defective proposal shall be disregarded. The requirements of this Bye-law 23 shall apply to any business to be brought before an annual general meeting by a Shareholder other than nominations of directors (which must be made in compliance with, and shall be exclusively governed by, Bye-law 40) and other than matters properly brought under Rule 14a-8 of the Exchange Act. For purposes of these Bye-laws, “public announcement” shall mean disclosure in a press release of the Company reported by the Dow Jones News Service, Associated Press or comparable news service or in a document publicly filed or furnished by the Company with or to the SEC pursuant to Section 13, 14 or 15(b) of the Exchange Act.

23.7

Nothing in this Bye-law 23 shall be deemed to affect any rights of (a) Shareholders to request inclusion of proposals in the Company’s proxy statement pursuant to applicable rules and regulations under the Exchange Act or (b) the holders of any series of preferred shares, or any other series or class of shares authorised to be issued by the Company, to make proposals pursuant to any applicable provisions thereof.

Notwithstanding the foregoing provisions of this Bye-law 23, a Shareholder shall also comply with all applicable requirements of the Exchange Act and the rules and regulations thereunder with respect to the matters set forth in this Bye-law, if applicable.


24.	Notice


24.1	Not less than 21 days’ nor more than 60 days’ notice of an annual general meeting shall be given to each Shareholder entitled to attend and vote thereat, stating the date, place and time at which the meeting is to be held, that the election of Directors up for election at that meeting will take place thereat, and as far as practicable, the other business to be conducted at the meeting.


24.2	Not less than 21 days’ nor more than 60 days’ notice of a special general meeting shall be given to each Shareholder entitled to attend and vote thereat, stating the date, time, place and the general nature of the business to be considered at the meeting.


24.3	The Board may fix any date as the record date for determining the Shareholders entitled to receive notice of and to vote at any general meeting.

24.4

A general meeting shall, notwithstanding that it is called on shorter notice than that specified in these Bye-laws, be deemed to have been properly called if it is so agreed by (i) all the Shareholders entitled to attend and vote thereat in the case of an annual general meeting; and (ii) by a majority in number of the Shareholders having the right to attend and vote at the meeting, being a majority together holding not less than 95% in nominal value of the shares giving a right to attend and vote thereat in the case of a special general meeting.

Exhibit 3.1


24.5	The accidental omission to give notice of a general meeting to, or the non-receipt of a notice of a general meeting by, any person entitled to receive notice shall not invalidate the proceedings at that meeting.


25.	Giving Notice and Access


25.1	A notice of a general meeting may be given by the Company to a Shareholder:


(a)	by delivering it to such Shareholder in person; or


(b)	by sending it by letter mail or courier to such Shareholder’s address in the Register of Shareholders; or


(c)	by transmitting it by electronic means (including facsimile and electronic mail, but not telephone) in accordance with such directions as may be given and expressly consented to by such Shareholder to the Company for such purpose; or


(d)	in accordance with Bye-law 25.4.


25.2	Any notice required to be given to a Shareholder in connection with a general meeting shall, with respect to any shares held jointly by two or more persons, be given to whichever of such persons is named first in the Register of Shareholders and notice so given shall be sufficient notice to all the holders of such shares.

25.3

Any notice in connection with a general meeting (save for one delivered in accordance with Bye-law 25.4) shall be deemed to have been served at the time when the same would be delivered in the ordinary course of transmission and, in proving such service, it shall be sufficient to prove that the notice was properly addressed and prepaid, if posted, and the time when it was posted, delivered to the courier, or transmitted by electronic means.

25.4

Where a Shareholder indicates his consent (in a form and manner satisfactory to the Board), to receive information or documents by accessing them on a website rather than by other means, or receipt in this manner is otherwise permitted by the Act, the Company may deliver such information or documents by notifying the Shareholder of the availability of such and including therein the address of the website, the place on the website where the information or document may be found, and instructions as to how the information or document may be accessed on the website.


25.5	In the case of information or documents delivered in accordance with Bye-law 25.4, service shall be deemed to have occurred when (i) the Shareholder is notified in accordance with that Bye-law; and (ii) the information or document is published on the website.


26.	Postponement of General Meeting

The Secretary, at the request of the Board, may postpone any general meeting called in accordance with these Bye-laws (other than a meeting requisitioned under these Bye-laws) provided that notice of postponement is given to the Shareholders before the time for such meeting. Fresh notice of the date, time and place for the postponed meeting shall be given to each Shareholder in accordance with these Bye-laws.

Exhibit 3.1


27.	Electronic Participation in Meetings

Shareholders may participate in any general meeting by such telephonic, electronic or other communication facilities or means as permit all persons participating in the meeting to communicate with each other simultaneously and instantaneously, and participation in such a meeting shall constitute presence in person at such meeting.


28.	Quorum at General Meetings

28.1

Unless otherwise expressly required by Applicable Law, at any general meeting, the presence in person or by proxy of Shareholders entitled to cast a majority of the Total Voting Power shall constitute a quorum for the entire meeting, notwithstanding the withdrawal of Shareholders entitled to cast a sufficient number of votes in person or by proxy to reduce the number of votes represented at the meeting below a quorum; provided, that shares of the Company belonging to the Company or any of its Subsidiaries shall neither be counted for the purpose of determining the presence of a quorum nor entitled to vote at any general meeting.

28.2

At any general meeting at which a quorum shall be present, a majority of those present in person or by proxy may adjourn the meeting from time to time without notice other than an announcement of such at the meeting. In the absence of a quorum, the officer presiding thereat pursuant to Bye-law 29 shall have power to adjourn the meeting from time to time until a quorum shall be present. Notice of any adjourned meeting other than an announcement of such at the meeting shall not be required to be given, except as provided in Bye-law 28.4 below and except where expressly required by Applicable Law.


28.3	At any adjourned meeting at which a quorum shall be present, any business may be transacted which might have been transacted at the meeting originally called, but only those Shareholders entitled to vote at the meeting as originally noticed shall be entitled to vote at any adjournment or adjournments thereof unless a new record date is fixed by the Board.


28.4	If an adjournment is for more than thirty days, or if after the adjournment a new record date is fixed for the adjourned meeting, a notice of the adjourned meeting shall be given in the manner specified in these Bye-laws to each Shareholder of record entitled to vote at the meeting.


29.	Chairman to Preside at General Meetings

The Chairman of the Board shall preside at all general meetings for which the Chairman is present. If the Chairman is absent, the Vice Chairman shall preside. For any meeting where both the Chairman and Vice Chairman are absent, a presiding officer shall be appointed or elected by those present at the meeting and entitled to vote.


30.	Voting on Resolutions

30.1

Other than as set forth in these Bye-laws, any question proposed for the consideration of the Shareholders at any general meeting shall be decided by the affirmative votes of a majority of the Total Voting Power cast in accordance with these Bye-laws (which for the avoidance of doubt will take into account the application of Bye-laws 4.2, 4.3 and 4.4) and in the case of an equality of votes the Resolution shall fail.

Exhibit 3.1

30.2

At any general meeting a Resolution put to the vote of the meeting shall, in the first instance, be voted upon by a show of hands and, subject to any rights or restrictions for the time being lawfully attached to any class of shares and subject to these Bye-laws, every Shareholder present in person and every person holding a valid proxy at such meeting shall be entitled to such number of votes attaching to the Common Shares held by such Shareholder (which for the avoidance of doubt will take into account the application of Bye-laws 4.2, 4.3 and 4.4) and shall cast such vote by raising his hand.


30.3	In the event that a Shareholder participates in a general meeting by telephone, electronic or other communication facilities or means, the chairman of the meeting shall direct the manner in which such Shareholder may cast his vote on a show of hands.


30.4	At any general meeting, if an amendment is proposed to any Resolution under consideration and the chairman of the meeting rules on whether or not the proposed amendment is out of order, the proceedings on the substantive resolution shall not be invalidated by any error in such ruling.


30.5	At any general meeting, a declaration by the chairman of the meeting that a question proposed for consideration has, on a show of hands, been carried, or carried unanimously, or by a particular majority, or lost, and an entry to that effect in a book containing the minutes of the proceedings of the Company shall, subject to these Bye-laws, be conclusive evidence of that fact.


31.	[Reserved.]


32.	Power to Demand a Vote on a Poll


32.1	Notwithstanding the foregoing, a poll may be demanded by any of the following persons:


(a)	the chairman of such meeting; or


(b)	any Shareholder or Shareholders or Group present in person or represented by proxy and holding between them not less than 10% of the Total Voting Power; or


(c)	any Shareholder or Shareholders present in person or represented by proxy holding shares in the Company conferring the right to vote at such meeting, being shares on which an aggregate sum has been paid up equal to not less than 10% of the total amount paid up on all such shares conferring such right.

32.2

Where a poll is demanded, subject to any rights or restrictions for the time being lawfully attached to any class of shares (which for the avoidance of doubt will take into account the application of Bye-laws 4.2, 4.3 and 4.4), every person present at such meeting shall have the number of votes corresponding to each such Common Share of which such person is the holder or for which such person holds a proxy, and such vote shall be counted by ballot as described herein, or in the case of a general meeting at which one or more Shareholders are present by telephone, electronic or other communication facilities or means, in such manner as the chairman of the meeting may direct and the result of such poll shall be deemed to be the resolution of the meeting at which the poll was demanded and shall replace any previous resolution upon the same matter which has been the subject of a show of hands. A person entitled to more than one vote need not use all his votes or cast all the votes he uses in the same way.

Exhibit 3.1

32.3

A poll demanded for the purpose of electing a chairman of the meeting or on a question of adjournment shall be taken forthwith. A poll demanded on any other question shall be taken at such time and in such manner during such meeting as the chairman (or acting chairman) of the meeting may direct. Any business other than that upon which a poll has been demanded may be conducted pending the taking of the poll.

32.4

Where a vote is taken by poll, each person physically present and entitled to vote shall be furnished with a ballot paper on which such person shall record his vote in such manner as shall be determined at the meeting having regard to the nature of the question on which the vote is taken, and each ballot paper shall be signed or initialled or otherwise marked so as to identify the voter and the registered holder in the case of a proxy. Each person present by telephone, electronic or other communication facilities or means shall cast his vote in such manner as the chairman of the meeting shall direct. At the conclusion of the poll, the ballot papers and votes cast in accordance with such directions shall be examined and counted by a committee of not less than two Shareholders or proxy holders appointed by the chairman of the meeting for the purpose and the result of the poll shall be declared by the chairman of the meeting.


33.	Voting by Joint Holders of Shares

In the case of joint holders, the vote of the senior who tenders a vote (whether in person or by proxy) shall be accepted to the exclusion of the votes of the other joint holders, and for this purpose seniority shall be determined by the order in which the names stand in the Register of Shareholders.


34.	Instrument of Proxy


34.1	Any Shareholder entitled to vote at any general meeting may vote either in person or by his or her attorney-in-fact or proxy.


34.2	An instrument appointing a proxy shall be in writing in substantially the following form or such other form as the Board or the chairman of the meeting shall accept:

Proxy

Athene Holding Ltd. (the “Company”)

I/We, [insert names here], being a Shareholder of the Company with [number] shares, HEREBY APPOINT [name] of [address] or failing him, [name] of [address] to be my/our proxy to vote for me/us at the meeting of the Shareholders to be held on the [ ] day of [ ], 20[ ] and at any adjournment thereof. (Any restrictions on voting to be inserted here.)

Signed this [ ] day of [ ], 20[ ]

_________________

Shareholder(s)

34.3

The instrument appointing a proxy must be received by the Company at the Registered Office or at such other place or in such manner as is specified in the notice convening the meeting or in any instrument of proxy sent out by the Company in relation to the meeting at which the person named in the instrument appointing a proxy proposes to vote, and an instrument appointing a proxy which is not received in the manner so prescribed shall be invalid.

Exhibit 3.1


34.4	A Shareholder who is the holder of two or more shares may appoint more than one proxy to represent him and vote on his behalf in respect of different shares.


34.5	The decision of the chairman of any general meeting as to the validity of any appointment of a proxy shall be final.


35.	Representation of Corporate Shareholder

A corporation which is a Shareholder may, by written instrument, authorise such person or persons as it thinks fit to act as its representative at any meeting and any person so authorised shall be entitled to exercise the same powers on behalf of the corporation which such person represents as that corporation could exercise if it were an individual Shareholder, and that Shareholder shall be deemed to be present in person at any such meeting attended by its authorised representative or representatives.


36.	Adjournment of General Meeting

The chairman of a general meeting may, with the consent of the Shareholders at any general meeting at which a quorum is present, and shall if so directed by the meeting, adjourn the meeting. Unless the meeting is adjourned to a specific date, place and time announced at the meeting being adjourned, fresh notice of the date, place and time for the resumption of the adjourned meeting shall be given to each Shareholder entitled to attend and vote thereat in accordance with these Bye-laws.


37.	Written Resolutions of Shareholders


37.1	Subject to these Bye-laws, anything which may be done by resolution of the Company in a general meeting or by resolution of a meeting of any class of the Shareholders may, without a meeting, be done by written resolution in accordance with this Bye-law.


37.2	Notice of a written resolution shall be given, and a copy of the resolution shall be circulated to all Shareholders who would be entitled to attend a meeting and vote thereon. The accidental omission to give notice to, or the non-receipt of a notice by, any Shareholder does not invalidate the passing of a resolution.


37.3	A written resolution is passed when it is signed by, or in the case of a Shareholder that is a corporation, on behalf of, the Shareholders who at the date that the notice is given represent more than 55% of the Total Voting Power.


37.4	A resolution in writing may be signed in any number of counterparts.


37.5	A resolution in writing made in accordance with this Bye-law is as valid as if it had been passed by the Company in general meeting or by a meeting of the relevant class of Shareholders, as the case may be, and any reference in any Bye-law to a meeting at which a resolution is passed or to Shareholders voting in favour of a resolution shall be construed accordingly.


37.6	A resolution in writing made in accordance with this Bye-law shall constitute minutes for the purposes of the Act.

Exhibit 3.1


37.7	This Bye-law shall not apply to:


(a)	a resolution passed to remove an Auditor from office before the expiration of his term of office; or


(b)	a resolution passed for the purpose of removing a Director before the expiration of his term of office.

37.8

For the purposes of this Bye-law, the effective date of the resolution is the date when the resolution is signed by, or in the case of a Shareholder that is a corporation whether or not a company within the meaning of the Act, on behalf of, the last Shareholder whose signature results in the necessary Total Voting Power being achieved and any reference in any Bye-law to the date of passing of a resolution is, in relation to a resolution made in accordance with this Bye-law, a reference to such date.


38.	Directors Attendance at General Meetings

The Directors shall be entitled to receive notice of, attend and be heard at any general meeting.

DIRECTORS AND OFFICERS


39.	Election of Directors


39.1	Directors shall be elected or appointed in the first place at the statutory meeting of the Company and, except in the case of a casual vacancy or removal, shall hold office until the annual general meeting at which such Director’s term is due to expire.


39.2	Any vote of Shareholders taken in respect of Director elections shall be in compliance with Section 14 of the Exchange Act and the rules and regulations promulgated thereunder, to the same extent as if the shares of the Company were registered under the Exchange Act.


39.3	For the avoidance of doubt, any Shareholder participating in the election of Directors shall be subject to the limitations on voting rights described in Bye-laws 4.2, 4.3 and 4.4.


40.	Nomination of Directors for Election

40.1

Nominations of persons for election as Directors may be made at an annual general meeting only by (a) the Board or (b) by any Shareholder of the Company who (1) is a Minimum Shareholder at the time of giving of the notice provided for in this Bye-law 40 and at the time of the annual general meeting, (2) is entitled to vote for the election of Directors at such annual general meeting and (3) complies with the notice procedures set forth in this Bye-law 40. Notwithstanding anything to the contrary set forth in these Bye-laws, clause (b) of this Bye-law 40.1 shall be the exclusive means for a Shareholder to make nominations of persons for election to the Board at an annual general meeting.

Exhibit 3.1

40.2

Any Shareholder entitled to vote for the election of Directors may nominate a person or persons for election as Directors only if written notice of such Shareholder’s intent to make such nomination is given in accordance with the procedures set forth in this Bye-law 40, either by personal delivery or express or registered mail (postage prepaid), to the Secretary at the Registered Office not earlier than the close of business on the 120th day and not later than the close of business on the 90th day prior to the one-year anniversary of the date of the annual general meeting for the immediately preceding year. However, in the event that the date of the annual general meeting is more than 30 days before or after such anniversary date, in order to be timely, a Shareholder’s notice must be received by the Secretary at the Registered Office not later than the later of (x) the close of business 90 days prior to the date of such annual general meeting and (y) if the first public announcement of the date of such advanced or delayed annual general meeting is less than 100 days prior to such date, 10 days following the date of the first public announcement of the annual general meeting date. In no event shall the public announcement of an adjournment or postponement of an annual general meeting, or such adjournment or postponement, commence a new time period or otherwise extend any time period for the giving of a Shareholder’s notice as described herein. Shareholders may nominate a person or persons (as the case may be) for election to the Board only as provided in this Bye-law and only for such class(es) or slate(s) as are specified in the Company’s notice of meeting as being up for election at such annual general meeting.


40.3	Each such notice of a Shareholder’s intent to make a nomination of a Director shall set forth:

(a)

as to the Shareholder giving notice and any beneficial owner on whose behalf the nomination is made, (1) the name and address of such Shareholder (as it appears in the Register of Shareholders) and any such beneficial owner on whose behalf the nomination is made, (2) the class and number of Equity Securities which are, directly or indirectly, owned beneficially and of record by such Shareholder and any such beneficial owner, respectively, or their respective Affiliates (naming such Affiliates), as of the date of such notice, (3) a description of any Covered Arrangement to which such Shareholder or beneficial owner, or their respective Affiliates, directly or indirectly, is a party as of the date of such notice, (4) any other information relating to such Shareholder and any such beneficial owner that would be required to be disclosed in a proxy statement in connection with a solicitation of proxies for the election of directors in a contested election pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder and (5) a representation that the Shareholder is a holder of record of shares of the Company entitled to vote at such meeting and intends to appear in person or by proxy at the meeting to nominate the person or persons specified in such Shareholder’s notice;


(b)	a description of all arrangements or understandings between the Shareholder or any beneficial owner, or their respective Affiliates, and each nominee or any other person or persons (naming such person or persons) pursuant to which the nomination or nominations are to be made by the Shareholder;

(c)

a representation whether the Shareholder or the beneficial owner is or intends to be part of a Group which intends (i) to deliver a proxy statement and/or form of proxy to holders of at least the percentage of the Company’s Common Shares (or other Equity Securities) required to elect the Director or Directors nominated and/or (ii) otherwise to solicit proxies from Shareholders in support of such nomination or nominations;

Exhibit 3.1

(d)

as to each person whom the Shareholder proposes to nominate for election or reelection as a Director, (1) all information relating to such person as would have been required to be included in a proxy statement filed in connection with a solicitation of proxies for the election of directors in a contested election pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder, (2) a description of any Covered Arrangement to which such nominee or any of his or her Affiliates is a party as of the date of such notice, (3) the written consent of each nominee to being named in the proxy statement as a nominee and to serving as a Director if so elected and (4) whether, if elected, the nominee intends to tender any advance resignation notice(s) requested by the Board in connection with subsequent elections, such advance resignation to be contingent upon the nominee’s failure to receive a majority vote and acceptance of such resignation by the Board; and

(e)

an undertaking by the Shareholder of record and each beneficial owner, if any, to (i) notify the Company in writing of the information set forth in clauses (a)(2), (a)(3), (b) and (d) above as of the record date for the meeting promptly (and, in any event, within five (5) Business Days) following the later of the record date or the date notice of the record date is first disclosed by public announcement and (ii) update such information thereafter within two (2) Business Days of any change in such information and, in any event, as of close of business on the day preceding the meeting date.

40.4

No person shall be eligible for election as a Director unless nominated in accordance with the procedures set forth in these Bye-laws. Except as otherwise provided by Applicable Law or these Bye-laws, the presiding officer of any meeting of Shareholders to elect Directors or the Board may, if the facts warrant, determine that a nomination was not made in compliance with the foregoing procedure or if the Shareholder solicits proxies in support of such Shareholder’s nominee(s) without such Shareholder having made the representation required by clause (c) of Bye-law 40.3; and if the presiding officer or the Board should so determine, it shall be so declared to the meeting, and the defective nomination shall be disregarded. Notwithstanding anything in these Bye-laws to the contrary, unless otherwise required by Applicable Law or the rules of any stock exchange or quotation system on which shares of the Company may be then listed or quoted, if a Shareholder intending to make a nomination at a general meeting in accordance with this Bye-law 40 does not (i) timely provide the notifications contemplated by clause (e) of Bye-law 40.3, or (ii) timely appear in person or by proxy at the annual general meeting to present the nomination, such nomination shall be disregarded, notwithstanding that proxies in respect of such nomination may have been received by the Company or any other person or entity.

40.5

Notwithstanding the foregoing provisions of this Bye-law 40, any Shareholder intending to make a nomination at an annual general meeting in accordance with this Bye-law 40, and each related beneficial owner, if any, shall also comply with all requirements of the Exchange Act and the rules and regulations thereunder applicable to the same extent as if the shares of the Company were registered under the Exchange Act with respect to the matters set forth in these Bye-laws; provided, however, that any references in these Bye-laws to the Exchange Act or the rules promulgated thereunder are not intended to and shall not limit the requirements applicable to nominations made or intended to be made in accordance with clause (b) of Bye-law 40.1.

Exhibit 3.1


40.6	Nothing in this Bye-law 40 shall be deemed to affect any rights of the holders of any series of preferred shares, or any other series or class of shares authorised to be issued by the Company, to elect directors pursuant to the terms thereof.

40.7

To be eligible to be a nominee for election or reelection as a Director pursuant to Bye-law 40.1(b), a person must deliver (not later than the deadline prescribed for delivery of notice) to the Secretary at the Registered Office a written questionnaire prepared by the Company with respect to the background and qualification of such person and the background of any other person or entity on whose behalf the nomination is being made (which questionnaire shall be provided by the Secretary upon written request) and a written representation and agreement (in the form provided by the Secretary upon written request) that such person: (i) is not and will not become a party to (A) any agreement, arrangement or understanding with, and has not given any commitment or assurance to, any person or entity as to how such person, if elected as a Director, will act or vote on any issue or question (a “ Voting Commitment ”) that has not been disclosed to the Company or (B) any Voting Commitment that could limit or interfere with such person’s ability to comply, if elected as a Director, with such person’s duties under Applicable Law; (ii) is not and will not become a party to any agreement, arrangement or understanding with any person or entity other than the Company with respect to any direct or indirect compensation, reimbursement or indemnification in connection with service or action as a Director that has not been disclosed therein; (iii) in such person’s individual capacity and on behalf of any person or entity on whose behalf the nomination is being made, would be in compliance, if elected as a Director, and will comply with, Applicable Law and corporate governance, conflict of interest, corporate opportunity, confidentiality and stock ownership and trading policies and guidelines of the Company that are applicable to Directors generally and (iv) if elected as a Director, will act in the best interests of the Company and its Shareholders and not in the interest of any individual constituency. The Nominating and Governance Committee shall review all such information submitted by the Shareholder with respect to the proposed nominee and determine whether such nominee is eligible to act as a Director. The Company and the Nominating and Governance Committee may require any proposed nominee to furnish such other information as may reasonably be required by the Company to determine the eligibility of such proposed nominee to serve as an Independent Director or that could be material to a reasonable Shareholder’s understanding of the independence, or lack thereof, of such nominee.

40.8

At each annual general meeting of the Shareholders for the election of Directors at which a quorum is present, each Director or slate of Directors shall be elected by the vote of the majority of the votes cast with respect to the Director or slate, excluding abstentions. For purposes of this Bye-law 40.8, a majority of the votes cast shall mean that the number of shares voted “for” a Director or slate of Directors must exceed the number of votes “against” that Director or slate of Directors.


40.9	At the request of the Board, any person nominated for election as a director of the Company shall furnish to the Secretary the information that is required to be set forth in a Shareholders’ notice of nomination pursuant to Bye-law 40.

Exhibit 3.1

40.10

Any Shareholder proposing to nominate a person or persons for election shall be responsible for, and bear the costs associated with, soliciting votes from any other voting Shareholder and distributing materials to such Shareholders prior to the annual general meeting in accordance with these Bye-laws and applicable SEC rules. A Shareholder shall include any person or persons such Shareholder intends to nominate for election in its own proxy statement and proxy card.

40.11

Unless prohibited by Applicable Law, the Company shall promptly (but in any event within five (5) Business Days of receipt of written request from any Shareholder proposing to nominate a person or persons for election) provide to such proposing Shareholder the names and addresses of all persons and entities who are record holders of the Company’s shares, other than Class M Common Shares (the “ Other Holders ”), provided , that if any Other Holder has requested that its identity or address be kept confidential, then the Company shall (at the expense of such Shareholder) promptly (but in any event within five (5) Business Days of receipt of a written request) forward to such Other Holder any materials provided by such Shareholder in relation to the person or persons such Shareholder intends to nominate for election and a notice requesting that such Other Holder contact such Shareholder.


41.	[Reserved]


42.	Number of Directors

The number of Directors which shall constitute the entire Board shall be such as from time to time shall be determined by Resolution adopted by a majority of the entire Board, but the number shall not be less than two or more than seventeen; provided , that the tenure of a Director shall not be affected by a decrease in the number of Directors so made by the Board.


43.	Term of Office of Directors

The Directors shall be divided into three classes, designated Class I, Class II and Class III. Each class shall consist, as nearly as may be possible, of one-third of the number of Directors constituting the Board, Class I to hold office initially for a term expiring at the annual general meeting to be held in 2016, Class II to hold office initially for a term expiring at the annual general meeting to be held in 2017, and Class III to hold office initially for a term expiring at the annual general meeting to be held in 2018. At each succeeding annual general meeting beginning in 2016, successors to the class of Directors whose term expires at that annual general meeting shall be elected for a three (3) year term with each Director to hold office in such class until his or her successor shall have been duly elected and qualified, or until such Director’s earlier death, resignation or removal. If the number of Directors is changed, any increase or decrease shall be apportioned among the classes so as to maintain the number of Directors in each class as nearly equal as possible, and any additional Director of any class elected to fill a vacancy resulting from an increase in such class or from the removal from office, death, disability, resignation or disqualification of a Director or other cause shall hold office for a term that shall coincide with the remaining term of that class, but in no event will a decrease in the authorised number of Directors shorten the term of any incumbent Director.

Exhibit 3.1


44.	Removal of Directors

44.1

Subject to any provision to the contrary in these Bye-laws, a director may only be removed for cause and not otherwise. The removal of a director for cause shall be effected either (i) by the Board by affirmative vote of a majority of the Directors at any duly called meeting of the Board or (ii) by the Shareholders holding a majority of the Total Voting Power at any general meeting called and held in accordance with these Bye-laws. For purposes of this Bye-law 44.1, “cause” shall mean a conviction for a criminal offence involving dishonesty or engaging in conduct which brings the Director or the Company into disrepute or which results in a material financial detriment to the Company.


44.2	If a Director is removed from the Board under this Bye-law 44, the Board may fill the vacancy. Persons appointed by the Board to fill a vacancy shall be approved by an affirmative vote of a majority of the Board and shall be subject to election at the immediately succeeding annual general meeting.


45.	Vacancy in the Office of Director


45.1	The office of Director shall be vacated immediately if the Director:


(a)	is prohibited from being a Director by law;


(b)	is or becomes bankrupt or insolvent;


(c)	is or becomes of unsound mind or a patient for any purpose of any statute or Applicable Law relating to mental health and the Board resolves that his office is vacated, or dies;


(d)	by virtue of holding the office of Director causes the Company to be taxed in an adverse manner; or


(e)	resigns his office by notice to the Secretary.

45.2

If there is a vacancy on the Board occurring as a result of the death, disability, disqualification or resignation of any Director, or on account of an increase in the number of members of the Board or a failure to elect a Director at an annual general meeting, the Board may appoint any person as a Director on an interim basis until the next annual general meeting, provided , that such person has been approved to serve as a Director by the Nominating and Governance Committee. The Board vacancy shall be submitted to a vote at the next succeeding annual general meeting irrespective of class.


46.	Remuneration of Directors

The remuneration (if any) of the Directors shall be determined by the Board or an appropriate committee thereof delegated by the Board. The Directors shall also be paid all reasonable travel, hotel and related expenses incurred by them in attending and returning from the meetings of the Board, any committee appointed by the Board, general meetings, or in connection with the business of the Company or their duties as Directors generally. The Company shall also bear reasonable travel, hotel and related expenses incurred by any advisors to the Board related to such matters.

Exhibit 3.1


47.	Defect in Appointment

All acts done in good faith by the Board, any Director, a member of a committee appointed by the Board, any person to whom the Board may have delegated any of its powers, or any person acting as a Director shall, notwithstanding that it be afterwards discovered that there was some defect in the appointment of any Director or person acting as aforesaid, or that he was, or any of them were, disqualified, be as valid as if every such person had been duly appointed and was qualified to be a Director or act in the relevant capacity.


48.	Directors to Manage Business

The business of the Company shall be managed and conducted by the Board. In managing the business of the Company, the Board may exercise all such powers of the Company as are not, by the Act or by these Bye-laws, required to be exercised by the Company in general meeting.


49.	Powers of the Board of Directors

The Board may:


(a)	appoint, suspend, or remove any manager, secretary, clerk, agent or employee of the Company and may fix their remuneration and determine their duties;


(b)	exercise all the powers of the Company to borrow money and to mortgage or charge or otherwise grant a security interest in its undertaking, property and uncalled capital, or any part thereof, and may issue debentures, debenture stock and other securities whether outright or as security for any debt, liability or obligation of the Company or any third party;


(c)	designate a Chairman of the Board (the “ Chairman ”) and a Vice Chairman of the Board (the “ Vice Chairman ”);


(d)	appoint one or more Directors to the office of managing director or chief executive officer of the Company, who shall, subject to the control of the Board, supervise and administer all of the general business and affairs of the Company;


(e)	appoint a person to act as manager of the Company’s day-to-day business and may entrust to and confer upon such manager such powers and duties as it deems appropriate for the transaction or conduct of such business;

(f)

by power of attorney, appoint any company, firm, person or body of persons, whether nominated directly or indirectly by the Board, to be an attorney of the Company for such purposes and with such powers, authorities and discretions (not exceeding those vested in or exercisable by the Board) and for such period and subject to such conditions as it may think fit and any such power of attorney may contain such provisions for the protection and convenience of persons dealing with any such attorney as the Board may think fit and may also authorise any such attorney to sub-delegate all or any of the powers, authorities and discretions so vested in the attorney;


(g)	procure that the Company pays all expenses incurred in promoting and incorporating the Company;

Exhibit 3.1

(h)

delegate any of its powers (including the power to sub-delegate) to a committee of one or more persons appointed by the Board which may consist partly or entirely of non-Directors, provided, that every such committee shall conform to such directions as the Board shall impose on them; and provided, further, that the meetings and proceedings of any such committee shall be governed by the provisions of these Bye-laws regulating the meetings and proceedings of the Board, so far as the same are applicable and are not superseded by directions imposed by the Board;


(i)	delegate any of its powers (including the power to sub-delegate) to any person on such terms and in such manner as the Board may see fit;


(j)	present any petition and make any application in connection with the liquidation or reorganisation of the Company;


(k)	in connection with the issue of any share, pay such commission and brokerage as may be permitted by law; and


(l)	authorise any company, firm, person or body of persons to act on behalf of the Company for any specific purpose and in connection therewith to execute any deed, agreement, document or instrument on behalf of the Company.


50.	Register of Directors and Officers

The Board shall cause to be kept in one or more books at the Registered Office of the Company a Register of the Directors and Officers of the Company and shall enter therein the particulars required by the Act.


51.	Appointment of Officers

The Board may appoint such officers (who may or may not be Directors) as the Board may determine.


52.	Appointment of Secretary

The Secretary shall be appointed by the Board from time to time.


53.	Duties of Officers

The Officers shall have such powers and perform such duties in the management, business and affairs of the Company as may be delegated to them by the Board from time to time.


54.	Remuneration of Officers

The Officers shall receive such remuneration as the Board may determine.


55.	Conflicts of Interest

55.1

Any Director, or any Director’s firm, partner or any company with whom any Director is associated, may act in any capacity for, be employed by or render services to the Company and such Director or such Director’s firm, partner or company shall be entitled to remuneration as if such Director were not a Director. Nothing herein contained shall authorise a Director or Director’s firm, partner or company to act as Auditor to the Company.

Exhibit 3.1


55.2	A Director who is directly or indirectly interested in a contract or proposed contract or arrangement with the Company shall declare the nature of such interest as required by the Act.

55.3

Following a declaration being made pursuant to this Bye-law, a Director may vote in respect of any contract or proposed contract or arrangement in which such Director is interested and may be counted in the quorum for such meeting and, to the fullest extent permitted by Applicable Law, the interested Director shall not be liable to account to the Company for any profit realized thereby. To the fullest extent permitted by Applicable Law, in the event that one or more interested Directors are disqualified or elect to be recused from voting on a matter, or one or more Directors are later found to have an interest or conflict that should have been declared, the matter shall be approved or stand approved if it is or was approved by a majority of the votes cast by the Directors that do not have any interest or conflict in the matter, even if less than a quorum.

55.4

Subject to the Act and any further disclosure required thereby, a general notice to the Directors by a Director or officer declaring that he is a director or officer or has an interest in any business entity and is to be regarded as interested in any transaction or arrangement made with that business entity shall be sufficient declaration of interest in relation to any transaction or arrangement so made.


55.5	This Bye-law 55 shall be subject to any U.S. securities laws and the rules of any exchange or quotation system on which the Company’s shares are then listed.

Exhibit 3.1


56.	Indemnification and Exculpation

56.1

To the fullest extent permitted by Applicable Law, but subject to the limitations expressly provided in this Bye-law 56, (i) the past, present and future (x) Directors, Resident Representative, Secretary and other Officers (such term to include any person appointed to any committee by the Board), (y) any consultants participating in any Company equity incentive plan, and (z) liquidators or trustees (if any) for the time being acting in relation to any of the affairs of the Company or any Subsidiary thereof, (ii) any Person who is or was an employee or agent of the Company or a director, officer, employee or agent of any of the Company’s Subsidiaries and who, while an employee or agent of the Company or a director, officer, employee or agent of any of the Company’s Subsidiaries, is or was also an officer, director, employee, managing director, general or limited partner, manager, member, shareholder, agent or other Affiliate of any member of the Apollo Group or of any Affiliate of any member of the Apollo Group (other than the Company and its Subsidiaries) and (iii) any other Person who, while a Director or Officer, is or was serving at the request of the Company as a director, officer, employee or agent of another corporation or of a partnership, limited liability company, joint venture, trust, enterprise, nonprofit entity or other entity, including service with respect to employee benefit plans (each, a “ Covered Person ”) shall be indemnified and secured harmless by the Company from and against all Liabilities and Expenses arising from any and all threatened, pending or completed Proceedings, in which any Covered Person may be involved, or is threatened to be involved, as a party or otherwise, by reason of (A) in the case of any Covered Person described in the preceding clauses (i) and (iii), its status as a Covered Person or (B) in the case of any Covered Person described in the preceding clause (ii), the fact that such Covered Person is or was an employee or agent of the Company, or is or was a director, officer, employee or agent of any of the Company’s Subsidiaries, acting in relation to the affairs of the Company or any such Subsidiary, whether arising from acts or omissions to act occurring before or after the date of the adoption of these Bye-laws; provided, however , that a Covered Person shall not be indemnified and held harmless if there has been a final and non-appealable judgment entered by a court of competent jurisdiction determining that, in respect of the matter for which the Covered Person is seeking indemnification pursuant to this Bye-law 56, the Covered Person acted fraudulently and/or dishonestly in relation to the Company; provided further , subject in all respects to Bye-law 56.12, no Covered Person shall be entitled to indemnification from the Company (nor any amounts provided for under Bye-law 56.2) for any acts or omissions of such Covered Person in such Covered Person’s role as a director, officer, consultant, representative or agent of AAM. Notwithstanding the preceding sentence, except as otherwise described in Bye-law 56.10, the Company shall be required to indemnify a Person described in such sentence in connection with any Proceeding (or part thereof) commenced by such Person only if the commencement of such Proceeding (or part thereof) by such Person was authorised by the Board. To the fullest extent permitted by Applicable Law, each Shareholder agrees to waive any claim or right of action such Shareholder might have, whether individually or by or in right of the Company, against any Covered Person on account of any action taken by such Covered Person, or the failure of such Covered Person to take any action in the performance of such Covered Person’s duties with or for the Company or any subsidiary thereof; provided, that such waiver shall not extend to any matter in respect of any fraud or dishonesty in relation to the Company or its Subsidiaries which may attach to such Covered Person.

Exhibit 3.1

56.2

To the fullest extent permitted by Applicable Law, Expenses incurred by a Covered Person in appearing at, participating in or defending any indemnifiable Proceeding pursuant to this Bye-law 56 shall, from time to time, be advanced by the Company prior to a final and non-appealable disposition of the Proceeding in which it is determined that the Covered Person is not entitled to be indemnified upon receipt by the Company of an undertaking by or on behalf of the Covered Person to repay such amount if it ultimately shall be determined that the Covered Person is not entitled to be indemnified pursuant to this Bye-law 56. Notwithstanding the immediately preceding sentence, except as otherwise provided in Bye-law 56.10, the Company shall be required to indemnify a Covered Person pursuant to the immediately preceding sentence in connection with any Proceeding (or part thereof) commenced by such Person only if the commencement of such Proceeding (or part thereof) by such Person was authorised by the Board.

56.3

The indemnification and advancement of Expenses provided by this Bye-law 56 shall be in addition to any other rights to which a Covered Person may be entitled under these Bye-laws or any agreement between the Company and such Covered Person, pursuant to a vote of a majority of disinterested Directors with respect to such matter, as a matter of law, in equity or otherwise, both as to actions in the Covered Person’s capacity as a Covered Person and as to actions in any other capacity, and shall continue as to a Covered Person who has ceased to serve in such capacity.

56.4

The Company may purchase and maintain insurance on behalf of a Covered Person, and such other Persons as the Board shall determine, against any Liability that may be asserted against, or Expense that may be incurred by, such Person in connection with the Company’s activities or any such Person’s activities on behalf of the Company, regardless of whether the Company would have the power to indemnify such Person against such Liability or Expense under the provisions of these Bye-laws or Applicable Law.

56.5

For purposes of this Bye-law 56 (i) the Company shall be deemed to have requested a Covered Person to serve as fiduciary of an employee benefit plan whenever the performance by it of its duties to the Company also imposes duties on, or otherwise involves services by, such Covered Person to the plan or participants or beneficiaries of the plan and (ii) excise taxes assessed on a Covered Person with respect to an employee benefit plan pursuant to Applicable Law shall constitute “fines” within the meaning of “Liabilities”.


56.6	A Covered Person shall not be denied indemnification in whole or in part under this Bye-law 56 because the Covered Person had an interest in the transaction with respect to which the indemnification applies if the transaction was otherwise permitted by these Bye-laws.


56.7	Except with respect to any Shareholder Affiliate, which shall be a third party beneficiary of the rights set forth in Bye-law 56.12, the provisions of this Bye-law 56 are for the benefit of the Covered Persons and their heirs, successors, assigns, executors and administrators and shall not be deemed to create any rights for the benefit of any other Persons.

Exhibit 3.1

56.8

Each Covered Person shall, in the performance of his, her or its duties, be fully protected in relying in good faith upon the records of the Company and on such information, opinions, reports or statements presented to the Company by any of the Officers, Directors or employees of the Company, or any of the officers, directors or employees of the Company’s Subsidiaries, or committees of the Board, or by any other Person (including legal counsel, accountants, appraisers, management consultants, investment bankers and other consultants and advisers selected by or on behalf of it) as to matters such Covered Person reasonably believes are within such other Person’s professional or expert competence.

56.9

No amendment, modification or repeal of this Bye-law 56 or any provision hereof or, to the fullest extent permitted by Applicable Law, any modification of Applicable Law, shall in any manner terminate, reduce or impair the right of any past, present or future Covered Person to be indemnified or to have such Covered Person’s Expenses advanced by the Company, nor the obligations of the Company to indemnify or advance Expenses to any such Covered Person under and in accordance with the provisions of this Bye-law 56 as in effect immediately prior to such amendment, modification or repeal with respect to claims arising from or relating to matters occurring, in whole or-in part, prior to such amendment, modification or repeal, regardless of when such claims may arise or be asserted.

56.10

If a claim for indemnification (following the final disposition of the Proceeding for which indemnification is being sought) or advancement of Expenses under this Bye-law 56 is not paid in full within thirty (30) days after a written claim therefor by any Covered Person has been received by the Company, such Covered Person may file suit to recover the unpaid amount of such claim and, if successful in whole or in part, shall be entitled to be paid the Expenses of prosecuting such claim, including reasonable attorneys’ fees.


56.11	This Bye-law 56 shall not limit the right of the Company, to the extent and in the manner permitted by Applicable Law, to indemnify and to advance Expenses to, and purchase and maintain insurance on behalf of Persons other than Covered Persons.

56.12

The Company hereby acknowledges that the indemnitees under this Bye-law 56 (the “ Indemnified Persons ”) may have certain rights to indemnification, advancement of Expenses and/or insurance provided by shareholders, members of the Apollo Group, or other Affiliates of the Company or Affiliates of members of the Apollo Group (“ Shareholder Affiliates ”) separate from the indemnification and advancement of Expenses provided by the Company under these Bye-laws. The Company hereby agrees (i) that it is the indemnitor of first resort (i.e., its obligations to the Indemnified Persons under these Bye-laws are primary and any obligation of any Shareholder Affiliate to advance Expenses or to provide indemnification for the same Expenses or Liabilities incurred by the Indemnified Persons are secondary), (ii) that the Company shall be required to advance the full amount of Expenses incurred by the Indemnified Persons and shall be liable for the full amount of all Expenses and Liabilities paid in settlement to the extent legally permitted and as required by Bye-law 56, without regard to any rights the Indemnified Persons may have against any Shareholder Affiliate, and (iii) that the Company irrevocably waives, relinquishes and releases the Shareholder Affiliates from any and all claims against the Shareholder Affiliates for contribution, subrogation or any other recovery of any kind in respect thereof.

Exhibit 3.1

The Company further agrees that no advancement or payment by any Shareholder Affiliate on behalf of a Indemnified Person with respect to any claim for which such Indemnified Person has sought indemnification from the Company pursuant to Bye-law 56 shall affect the foregoing and the Shareholder Affiliates shall have a right of contribution and/or be subrogated to the extent of such advancement or payment to all of the rights of recovery of the Indemnified Person against the Company. For the avoidance of doubt, no Person providing directors’ or officers’ or similar insurance obtained or maintained by or on behalf of the Company, and of its Affiliates or any of the foregoing’s respective Subsidiaries, including any Person providing such insurance obtained or maintained pursuant to Bye-law 56.4, shall be, or be deemed to be, a Shareholder Affiliate.

56.13

No Covered Person shall be personally liable either to the Company or to any of its Shareholders for monetary damages for breach of fiduciary duty as a Covered Person, except to the extent such exemption from liability or limitation thereof is not permitted under Applicable Law as the same exists or may hereafter be amended. Any amendment, modification or repeal of this Bye-law inconsistent with the foregoing sentence shall not adversely affect any right or protection of a Covered Person in respect of any act or omission occurring prior to the time of such amendment, modification or repeal.


56.14	Any Person purchasing or otherwise acquiring any interest in any shares of the Company shall be deemed to have notice of and to have consented to the provisions of this Bye-law 56.


56.15	This Bye-law 56 may not be rescinded, altered or amended (a) unless in accordance with the Act and (b) until the same has been approved by the Board and at least 50% of the Total Voting Power (which for the avoidance of doubt will take into account the application of Bye-laws 4.2, 4.3 and 4.4).

Exhibit 3.1

BUSINESS OPPORTUNITIES


57.	Business Opportunities

57.1

To the fullest extent permitted by Applicable Law, the Company, on behalf of itself and its Subsidiaries, other than its Subsidiaries that are insurance companies which are regulated by a governmental entity (“ Insurance Subsidiaries ”), waives and renounces any right, interest or expectancy of the Company and/or its Subsidiaries, other than its Insurance Subsidiaries, in, or in being offered an opportunity to participate in, business opportunities of any kind, nature or description that are from time to time presented to (x) any member of the Apollo Group or an Affiliate of any member of the Apollo Group (other than the Company and its Subsidiaries), (y) any of the Directors or any of their respective Affiliates (other than the Company and its Subsidiaries), or (z) any Officer, employee or agent of the Company, or any director, officer, employee or agent of any of the Company’s Subsidiaries, who is also, and is presented such business opportunity in his or her capacity as, an officer, director, employee, managing director, general or limited partner, manager, member, shareholder, agent or other Affiliate of any member of the Apollo Group or of any Affiliate of any member of the Apollo Group (other than the Company and its Subsidiaries), in the case of each of clauses (x), (y) and (z), excluding the Chief Executive Officer of the Company (the Persons described in clauses (x), (y) and (z), “ Specified Parties ” and each, a “ Specified Party ”), or of which any Specified Parties have or gain knowledge, whether or not the opportunity is competitive with the business of the Company or its Subsidiaries or in the same or similar lines of business as the Company or its Subsidiaries or one that the Company or its Subsidiaries might reasonably be deemed to have pursued or had the ability or desire to pursue if granted the opportunity to do so, and each Specified Party shall have no duty (statutory, fiduciary, contractual or otherwise) to communicate or offer such business opportunity to the Company and, to the fullest extent permitted by Applicable Law, shall not be liable to the Company or any of its Subsidiaries, other than its Insurance Subsidiaries, for breach of any statutory, fiduciary, contractual or other duty, as a Director, Officer, employee or agent of the Company, or a director, officer, employee or agent of any of the Company’s Subsidiaries, as the case may be, or otherwise, by reason of the fact that such Specified Party pursues or acquires such business opportunity, directs such business opportunity to another Person or fails to present or communicate such business opportunity, or information regarding such business opportunity, to the Company or its Subsidiaries. Notwithstanding the foregoing, the Company and its Subsidiaries do not renounce any right, interest or expectancy in any business opportunity offered to a Specified Party who is a Director or Officer if such business opportunity is expressly offered for the Company or its Subsidiaries to such person solely in his or her capacity as a Director or Officer (a “ Company Opportunity ”); provided , however , that all of the protections of this Bye-law 57 shall otherwise apply to the Specified Parties with respect to such Company Opportunity, including the ability of the Specified Parties to pursue or acquire such Company Opportunity, directly or indirectly, or to direct such Company Opportunity to another person, if and to the extent that the Company or the applicable Subsidiary of the Company, as applicable, determines not to pursue such Company Opportunity or if it is subsequently determined by the Board or any committee thereof (or board of directors or other governing body of such Subsidiary or any committee thereof), or by any court of competent jurisdiction, that the business opportunity was not in the line of business of the Company or such Subsidiary, as applicable, was not of material or practical advantage to the Company or such Subsidiary, as applicable, or was one that the Company or such Subsidiary, as applicable, was not financially capable of undertaking.

Exhibit 3.1

For the avoidance of doubt, notwithstanding anything to the contrary set forth herein or otherwise, to the fullest extent permitted by Applicable Law, the Company, on behalf of itself and its Subsidiaries, other than its Insurance Subsidiaries, hereby waives and renounces any right, interest or expectancy of the Company or its Subsidiaries to participate in or be offered an opportunity to participate in any business or business opportunity of any member of the Apollo Group or its Affiliates (other than the Company and its Subsidiaries), except to the extent such right, interest or expectancy is expressly granted to the Company or any of its Subsidiaries under a binding agreement between or among the Company and/or its Subsidiaries, on the one hand, and any member of the Apollo Group or its Affiliates (other than the Company and its Subsidiaries), on the other hand.

57.2

No amendment, modification or repeal of this Bye-law 57 or any provision hereof or, to the fullest extent permitted by Applicable Law, any modification of Applicable Law, shall in any manner terminate, reduce or impair the right of any Person under and in accordance with the provisions of this Bye-law 57 as in effect immediately prior to such amendment, modification or repeal with respect to claims arising from or relating to matters occurring, in whole or in part, prior to such amendment, modification or repeal, regardless of when such claims may arise or be asserted.


57.3	This Bye-law 57 shall not limit any protections or defenses available to, or indemnification or advancement rights of, any Specified Party under any agreement, these Bye-laws, vote of the Board, Applicable Law or otherwise.


57.4	Any Person purchasing or otherwise acquiring any interest in any shares of the Company shall be deemed to have notice of and to have consented to the provisions of this Bye-law 57.

57.5

Notwithstanding anything to the contrary herein, under no circumstances shall the provisions of this Bye-law 57 (other than this Bye-law 57.5) apply to (or result in or be deemed to result in a limitation or elimination of) any duty (contractual, fiduciary or otherwise, whether at law or in equity) owed by any Specified Party who is also an Officer, employee or agent of the Company, or any director, officer, employee or agent of any of its Subsidiaries (other than any such Specified Party who is also an officer, director, employee, managing director, general or limited partner, manager, member, shareholder, agent or other Affiliate of any member of the Apollo Group or of any Affiliate of any member of the Apollo Group (other than the Company and its Subsidiaries)), and any business opportunity waived or renounced by any Person pursuant to such other provisions of this Bye-law 57 shall be expressly reserved and maintained (and shall not be waived or renounced) by such Person as to any such Specified Party.


57.6	This Bye-law 57 may not be rescinded, altered or amended (a) unless in accordance with the Act and (b) until the same has been approved by the Board and at least 50% of the Total Voting Power (which for the avoidance of doubt will take into account the application of Bye-laws 4.2, 4.3 and 4.4).

Exhibit 3.1

MEETINGS OF THE BOARD OF DIRECTORS


58.	Board Meetings

The Board may meet for the transaction of business, adjourn and otherwise regulate its meetings as it sees fit. A resolution put to the vote at a meeting of the Board shall be carried by the affirmative votes of a majority of the votes cast and in the case of an equality of votes cast the resolution shall fail.


59.	Notice of Board Meetings

Upon the requisition of (i) the Chairman or Vice Chairman of the Board, (ii) a majority of the Directors, (iii) the Chief Executive Officer of the Company or (iv) a majority of the Independent Directors, the Secretary shall summon a meeting of the Board. Notice of a meeting of the Board shall be deemed to be duly given to a Director if it is given to such Director verbally (including in person or by telephone) or otherwise communicated or sent to such Director by post, electronic means or other mode of representing words in a visible form at such Director’s last known address or in accordance with any other instructions given by such Director to the Company for this purpose.


60.	Electronic Participation in Meetings

Subject to Applicable Law, Directors may participate in any meeting by such telephonic, electronic or other communication facilities or means as permit all persons participating in the meeting to communicate with each other simultaneously and instantaneously, and participation in such a meeting shall constitute presence in person at such meeting.


61.	Quorum at Board Meetings

The quorum necessary for the transaction of business at a meeting of the Board shall be two (2) Directors; provided, that at any meeting where only two (2) Directors are in attendance any Board action taken at such meeting must be approved unanimously.


62.	Board to Continue in the Event of Vacancy

The Board may act notwithstanding any vacancy in its number but, if and so long as its number is reduced below the number fixed by these Bye-laws as the quorum necessary for the transaction of business at meetings of the Board, the continuing Directors or Director may act for the purpose of (i) summoning a general meeting; or (ii) preserving the assets of the Company.


63.	Chairman to Preside

The Chairman shall preside at all board meetings. For meetings where the Chairman is not present, the Vice Chairman shall preside. For any Board meeting where both the Chairman and Vice Chairman are not present, the Board may designate a Director to preside over such meeting.


64.	Written Consent

A written consent signed by all the Directors, which may be in counterparts, shall be as valid as if a resolution in respect thereof had been passed at a meeting of the Board duly called and constituted, such written consent to be effective on the date on which the last Director signs such written consent.

Exhibit 3.1


65.	Validity of Prior Acts of the Board

No regulation or alteration to these Bye-laws made by the Company in a general meeting shall invalidate any prior act of the Board which would have been valid if that regulation or alteration had not been made.

CONFLICTS


66.	Resolution of Conflicts

For so long as any Class B Common Shares remain outstanding, none of the Company or any of its Subsidiaries shall enter into or amend any contract or agreement with a member of the Apollo Group, unless such contract or agreement or amendment is:


(a)	fair and reasonable to the Company and its Subsidiaries, taking into account the totality of the relationships between the parties involved (including other transactions that may be or have been particularly favorable or advantageous to the Company and its Subsidiaries); or


(b)	entered into on an arm’s-length basis; or


(c)	approved by a majority of the disinterested Directors; or


(d)	approved by the holders of a majority of the issued and outstanding Class A Common Shares; or


(e)	approved by the Conflicts Committee in accordance with its charter and guidelines as they may be amended from time to time.

Notwithstanding the above, all Apollo Conflicts, as defined in the charter of the Conflicts Committee, shall be approved by the Conflicts Committee unless such conflict is specifically exempted from approval in accordance with the Conflicts Committee charter and guidelines as they may be amended from time to time.


67.	Conflicts Committee


67.1	The Board shall constitute a committee comprised solely of Directors who are not general partners, directors, managers, officers or employees of the Apollo Group (the “ Conflicts Committee ”).


67.2	The Conflicts Committee shall consist of up to five (5) individuals designated by the Board. The Conflicts Committee shall have a chairman, who shall be designated by the Board or, if the Board so delegates, by the Conflicts Committee. The vote necessary to approve any action at a meeting of the Conflicts Committee shall be a majority of the entire Conflicts Committee.

67.3

The Conflicts Committee may meet in person, by telephone or video conference call or in any other manner in which the Board is permitted to meet under Applicable Law and may also take action by written consent of the number and identity of Conflicts Committee members who have not less than the minimum number of votes that would be necessary to take such action at a meeting at which all Conflicts Committee members entitled to vote were present and voted.

Exhibit 3.1

67.4

The Conflicts Committee, upon the affirmative vote of a majority of the entire Committee, shall have the authority to engage consultants to assist in the evaluation of conflicts matters. It shall have the sole authority to retain and terminate any such consultants, including sole authority to approve the consultants’ fees and other retention terms; provided, that fees and expenses incurred in connection with the engagement of any such consultant are reasonable.

CORPORATE RECORDS


68.	Minutes

The Board shall cause minutes to be duly entered in books provided for the purpose:


(a)	of all elections and appointments of Officers;


(b)	of the names of the Directors present at each meeting of the Board and of any committee appointed by the Board; and


(c)	of all resolutions and proceedings of general meetings of the Shareholders, meetings of the Board, meetings of managers and meetings of committees appointed by the Board.


69.	Place Where Corporate Records Kept

Minutes prepared in accordance with the Act and these Bye-laws shall be kept by the Secretary at the Registered Office of the Company.


70.	Form and Use of Seal


70.1	The Company may adopt a seal in such form as the Board may determine. The Board may adopt one or more duplicate seals for use in or outside Bermuda.


70.2	A seal may, but need not, be affixed to any deed, instrument, share certificate or document, and if the seal is to be affixed thereto, it shall be attested by the signature of (i) any Director, or (ii) any Officer, or (iii) the Secretary, or (iv) any person authorised by the Board for that purpose.


70.3	A Resident Representative may, but need not, affix the seal of the Company to certify the authenticity of any copies of documents.

Exhibit 3.1

ACCOUNTS


71.	Books of Account


71.1	The Board shall cause to be kept proper records of account with respect to all transactions of the Company and in particular with respect to:


(a)	all amounts of money received and expended by the Company and the matters in respect of which the receipt and expenditure relates;


(b)	all sales and purchases of goods by the Company; and


(c)	all assets and liabilities of the Company.


71.2	Such records of account shall be kept at the principal place of business of the Company, or subject to the Act, at such other place as the Board thinks fit and shall be available for inspection by the Directors during normal business hours.


72.	Financial Year End

The financial year end of the Company may be determined by resolution of the Board and failing such resolution shall be 31 ^st December in each year.

AUDITS


73.	Annual Audit

Subject to any rights to waive laying of accounts or appointment of an Auditor pursuant to the Act, the accounts of the Company shall be audited at least once in every year.


74.	Appointment of Auditor


74.1	Subject to the Act, at the annual general meeting or at a subsequent special general meeting in each year, an independent representative of the Shareholders shall be appointed by them as Auditor of the accounts of the Company.


74.2	The Auditor may be a Shareholder but no Director, Officer or employee of the Company shall, during his continuance in office, be eligible to act as an Auditor of the Company.


75.	Remuneration of Auditor

Save in the case of an Auditor appointed pursuant to Bye-law 80, the remuneration of the Auditor shall be fixed by the Company in a general meeting or in such manner as the Shareholders may determine. In the case of an Auditor appointed pursuant to Bye-law 80, the remuneration of the Auditor shall be fixed by the Board.


76.	Duties of Auditor


76.1	The financial statements provided for by these Bye-laws shall be audited by the Auditor in accordance with generally accepted auditing standards. The Auditor shall make a written report thereon in accordance with generally accepted auditing standards.

Exhibit 3.1


76.2	The generally accepted auditing standards referred to in this Bye-law may be those of a country or jurisdiction other than Bermuda or such other generally accepted auditing standards as may be provided for in the Act. If so, the financial statements and the report of the Auditor shall identify the generally accepted auditing standards used.


77.	Access to Records

The Auditor shall at all reasonable times have access to all books kept by the Company and to all accounts and vouchers relating thereto, and the Auditor may call on the Directors or Officers for any information in their possession relating to the books or affairs of the Company.


78.	Financial Statements

Subject to any rights to waive laying of accounts pursuant to the Act, financial statements as required by the Act shall be laid before the Shareholders in a general meeting.


79.	Distribution of Auditor’s Report

The report of the Auditor shall be submitted to the Shareholders in a general meeting.


80.	Vacancy in the Office of Auditor

The Board may fill any casual vacancy in the office of the Auditor.

VOLUNTARY WINDING-UP AND DISSOLUTION


81.	Winding-Up

Subject to Bye-law 4 and any agreement contemplated by Bye-law 1.5 to the contrary, if the Company shall be wound up the liquidator may, with the sanction of a Resolution, divide amongst the Shareholders in specie or in kind the whole or any part of the assets of the Company (whether they shall consist of property of the same kind or not) and may, for such purpose, set such value as he deems fair upon any property to be divided as aforesaid and may determine how such division shall be carried out as between the Shareholders or different classes of Shareholders. Subject to Bye-law 4 and any agreement contemplated by Bye-law 1.5 to the contrary, the liquidator may, with the like sanction, vest the whole or any part of such assets in the trustees upon such trusts for the benefit of the Shareholders as the liquidator shall think fit, but so that no Shareholder shall be compelled to accept any shares or other securities or assets whereon there is any liability.

CHANGES TO CONSTITUTION; EXCLUSIVE JURSIDICTION


82.	Changes to Bye-laws

No Bye-law may be rescinded, altered or amended and no new Bye-law may be made save in accordance with the Act and until the same has been approved by a resolution of the Board and by a Resolution; provided , that any such action that would materially, adversely and disproportionately affect the rights, obligations, powers or preferences of any class of shares without similarly affecting the rights, obligations, powers or preferences of all classes of shares shall require a vote of the majority of the issued and outstanding shares constituting such class so affected.

Exhibit 3.1


83.	Changes to the Memorandum of Association

No alteration or amendment to the Memorandum of Association may be made save in accordance with the Act and until same has been approved by a resolution of the Board and by a Resolution.


84.	Exclusive Jurisdiction

In the event that any dispute arises concerning the Act or out of or in connection with these Bye-laws, including any question regarding the existence and scope of any Bye-law and/or whether there has been any breach of the Act or these Bye-laws by an Officer or Director (whether or not such a claim is brought in the name of a Shareholder or in the name of the Company), any such dispute shall be subject to the exclusive jurisdiction of the Supreme Court of Bermuda.


85.	Discontinuance

The Board may exercise all the powers of the Company to discontinue the Company to a jurisdiction outside Bermuda pursuant to the Act.

CERTAIN MATTERS RELATING TO SUBSIDIARIES


86.	Voting of Subsidiary Shares

86.1

Notwithstanding any other provision of these Bye-laws to the contrary (but subject to Bye-law 86.2), if the Company, in its capacity as a shareholder of any Subsidiary of the Company, has the right to vote at a general meeting or special meeting of such Subsidiary (whether in person or by its attorney-in-fact or proxy) (or by written resolution in lieu of a general meeting or special meeting), and the subject matter of the vote is (a) the appointment, removal or remuneration of directors of a non-U.S. Subsidiary of the Company or (b) any other subject matter with respect to a non-U.S. Subsidiary that legally requires the approval of the shareholders of such non-U.S. Subsidiary, the Board shall refer the subject matter of the vote to the Shareholders and seek authority from the Shareholders entitled to vote for the Board for the Company’s corporate representative or proxy to vote with respect to the resolution proposed by such Subsidiary. The Board shall cause the Company’s corporate representative or proxy to vote the Company’s shares in such Subsidiary pro rata to the votes received at the general meeting of the Company, with votes for or against the directing resolution being taken, respectively, as an instruction for the Company’s corporate representative or proxy to vote the appropriate proportion of its share for and the appropriate proportion of its shares against the resolution proposed by such Subsidiary. The Board shall have authority to resolve any ambiguity. All votes referred to the Company’s Shareholders pursuant to this Bye-law 86.1 shall give effect to and otherwise be subject to the voting power restrictions of Bye-laws 4.2, 4.3 and 4.4.


86.2	If the Board in its discretion, determines that the application of Bye-law 86.1(b) with respect to a particular vote is not necessary to achieve the purposes of this Bye-law 86, it may waive the application of Bye-law 86.1(b) with respect to such vote.

Exhibit 3.1


87.	Bye-laws or Articles of Association of Certain Subsidiaries

The Board shall require that the Bye-laws or Articles of Association or similar organizational documents of each non-U.S. Subsidiary of the Company shall contain provisions substantially similar to Bye-law 86.1 and Bye-law 87. The Company shall enter into agreements, as and when determined by the Board, with each such non-U.S. Subsidiary, only if and to the extent reasonably necessary and permitted under Applicable Law, to effectuate or implement this Bye-law.


88.	Termination of IMAs

88.1

Except as set forth in Bye-law 88.2, the Company shall not, and shall cause each Subsidiary of the Company not to, elect to terminate the IMA or any other investment advisory or investment management agreement by and between the Company or any of its Subsidiaries and a member of the Apollo Group (a “ New IMA ”) (a) on any date other than October 31, 2018 or any annual anniversary of such date (each, an “ IMA Termination Election Date ”) and (b) unless it has provided written notice to AAM or the member of the Apollo Group that is a party to such New IMA, as applicable, of such termination at least thirty 30 days prior to the applicable IMA Termination Election Date (an “ IMA Termination Notice ”); provided , that (i) the IMA or any New IMA may only be terminated by the Company or a Subsidiary of the Company with the approval of at least two-thirds (2/3) of the Independent Directors in accordance with the immediately following sentence (an IMA Termination Notice delivered with such approval and in accordance with Bye-law 88.1(a) and (b), a “ Valid IMA Termination Notice ”) and (ii) notwithstanding any such election to terminate or delivery of a Valid IMA Termination Notice, no such termination shall be effective on any date earlier than the second annual anniversary of the applicable IMA Termination Election Date (the “ IMA Termination Effective Date ”). Notwithstanding anything to the contrary contained in this Bye-law 88.1, the Board shall not approve any election to terminate the IMA or any New IMA on any IMA Termination Election Date pursuant to this Bye-law 88.1 unless at least two-thirds (2/3) of the Independent Directors agree that an event described in clause (iii) or (iv) of the definition of AHL Cause occurred with respect to the IMA or such New IMA, as applicable. If the Company and/or applicable Subsidiary of the Company does not provide a Valid IMA Termination Notice with respect to an IMA Termination Election Date, then the Company or such Subsidiary may only elect to terminate such IMA or New IMA under this Bye-law 88.1 on the next IMA Termination Election Date, and neither the Company nor any Subsidiary of the Company shall terminate any such IMA or New IMA in accordance with this Bye-law 88.1 without providing a Valid IMA Termination Notice. Furthermore, beginning on October 31, 2017, the IMA and any New IMA shall be subject to an initial term of three (3) years from such date; provided that, on each IMA Termination Election Date after October 31, 2017, beginning with the IMA Termination Election Date on October 31, 2018, to the extent no Valid IMA Termination Notice has been delivered in accordance with this Bye-law 88.1 with respect to the IMA or any New IMA, the term of the IMA and each such New IMA shall be extended automatically without any further action or obligation by any persons (including, without limitation, the parties thereto or hereto) for one (1) additional year; provided , further that, if a Valid IMA Termination Notice has been previously delivered in accordance with this Bye-law 88.1, this sentence shall no longer be of any force or effect with respect to the IMA or such New IMA that is the subject of such delivered Valid IMA Termination Notice.

Exhibit 3.1

88.2

Notwithstanding anything to the contrary in Bye-law 88.1, the Company and/or the applicable Subsidiary of the Company may terminate the IMA or any New IMA upon the occurrence of an event described in clause (i) or (ii) of the definition of AHL Cause with respect to the IMA or such New IMA, as applicable; provided , that any termination of the IMA or any New IMA by the Company or Subsidiary of the Company, as applicable, for such AHL Cause shall require the approval of at least two-thirds (2/3) of the Independent Directors and the delivery of written notice to AAM or such member of the Apollo Group that is a party to such New IMA, as applicable, of such termination for such AHL Cause at least thirty (30) days prior to the effective date of such termination.

88.3

For the avoidance of doubt, subject in all respects to the other provisions of this Bye-law 88 and the definition of AHL Cause, any termination of the IMA or any New IMA by the Company and/or any Subsidiary of the Company shall require the approval of at least two-thirds (2/3) of the Independent Directors. Notwithstanding anything to the contrary herein, for purposes of this Bye-law 88 and the definition of AHL Cause, (x) no officer or employee of the Company or any of its Subsidiaries shall constitute an Independent Director and (y) no officer or employee of (1) any member of the Apollo Group described in clauses (i) through (iv) of the definition of Apollo Group or (2) Apollo Global Management, LLC or any of its Subsidiaries (excluding any Subsidiary that constitutes any portfolio company (or investment) of (A) an investment fund or other investment vehicle whose general partner, managing member or similar governing person is owned, directly or indirectly, by Apollo Global Management, LLC or by one or more of its Subsidiaries or (B) a managed account agreement (or similar arrangement) whereby Apollo Global Management, LLC or one or more of its Subsidiaries serves as general partner, managing member or in a similar governing position) shall constitute an Independent Director.

Exhibit 3.1


88.4	This Bye-law 88 may not be rescinded, altered or amended (a) unless in accordance with the Act and (b) until the same has been approved by at least two-thirds (2/3) of the Independent Directors and at least 50% of the Total Voting Power (which for the avoidance of doubt will take into account the application of Bye-laws 4.2, 4.3 and 4.4).

AHL Cause means, (i) with respect to the IMA, a material violation of Applicable Law relating to AAM’s advisory business, and with respect to a New IMA, a material violation of Applicable Law relating to the advisory business of the member of the Apollo Group that is a party to such New IMA, (ii) the gross negligence, willful misconduct or reckless disregard of any of the obligations of AAM under the IMA or the member of the Apollo Group that is a party to the applicable New IMA under such New IMA, as applicable, (iii) the unsatisfactory long term performance of AAM under the IMA, or the member of the Apollo Group that is a party to the applicable New IMA under such a New IMA, as applicable, that is materially detrimental to the Company, as determined in the sole discretion of at least two-thirds (2/3) of the Independent Directors, acting in good faith or (iv) a determination in the sole discretion of at least two-thirds (2/3) of the Independent Directors, acting in good faith, that the fees charged by AAM under the IMA, or by the member of the Apollo Group that is a party to the applicable New IMA under such New IMA, as applicable, are unfair and excessive compared to a Comparable Asset Manager, provided , however , in the case of clauses (iii) and (iv), the Independent Directors shall deliver written notice of such finding to AAM or such other member of the Apollo Group, as applicable, and AAM or such other member of the Apollo Group, as applicable, shall have until the applicable IMA Termination Effective Date to address the Independent Directors’ concerns and; provided further , that in the case of clause (iv), AAM or such other member of the Apollo Group, as applicable, shall have a right to lower its fees to match a Comparable Asset Manager. If AAM or such member of the Apollo Group has addressed the Independent Directors’ concerns (with the assessment of whether the Independent Directors’ concerns have been addressed being rendered thereby in good faith with the approval of at least two-thirds (2/3) of the Independent Directors) or, if applicable, lowered its fees to match a Comparable Asset Manager, then the applicable IMA Termination Notice shall be deemed rescinded and of no further force or effect. For the avoidance of doubt, the occurrence of an event constituting AHL Cause under the IMA shall not constitute an event of AHL Cause under any New IMA and vice versa, unless such event of AHL Cause shall be separately established thereunder.

Exhibit 3.1

Schedule 1

Related Party Insurance

Athene Holding Ltd. Subsidiaries :


1.	Athene Life Re Ltd.


2.	Athene Life Insurance Company


3.	Athene Annuity & Life Assurance Company (f/k/a Liberty Life Insurance Company)


4.	Athene Life Insurance Company of New York (f/k/a Aviva Life and Annuity Company of New York)


5.	Athene Annuity & Life Assurance Company of New York (f/k/a Presidential Life Insurance Company)


6.	Structured Annuity Reinsurance Company


7.	Athene Annuity and Life Company (f/k/a Aviva Annuity and Life Company)


8.	Athene Re USA IV, Inc. (f/k/a Aviva Re USA IV, Inc.)


9.	Athene Annuity Re Ltd.

Current Ceding Companies :


1.	Western United Life Assurance Company


2.	American Equity Investment Life Insurance Company


3.	American Pioneer Life Insurance Company


4.	American Progressive Life and Health Insurance Company of New York


5.	Constitution Life Insurance Company


6.	Union Bankers Life Insurance Company


7.	Pennsylvania Life Insurance Company


8.	The Pyramid Life Insurance Company


9.	Jefferson National Life Insurance Company


10.	Athene Annuity & Life Assurance Company (f/k/a Liberty Life Insurance Company)

Exhibit 3.1


11.	Continental Assurance Company


12.	Reassure America Life Insurance Company


13.	Eagle Life Insurance Company


14.	Athene Life Insurance Company


15.	Liberty Bankers Life Insurance Company


16.	Athene Annuity & Life Assurance Company of New York (f/k/a Presidential Life Insurance Company)


17.	Athene Annuity and Life Company (f/k/a Aviva Annuity and Life Company)


18.	Structured Annuity Reinsurance Company


19.	Transamerica Life Insurance Company


20.	Midland National Life Insurance Company


21.	North American Company for Life and Health Insurance


22.	Athene Re USA IV, Inc. (f/k/a Aviva Re USA IV, Inc.)


23.	Sentinel Security Life Insurance Company


24.	Athene Life Insurance Company of New York (f/k/a Aviva Life and Annuity Company of New York)


25.	Royal Neighbors of America


26.	Fidelity Security Life Insurance Company


27.	The Lincoln National Life Insurance Company

Exhibit 10.1

EXECUTION COPY

REINSURANCE AGREEMENT (FA BUSINESS)

between

ATHENE ANNUITY & LIFE ASSURANCE COMPANY

and

VOYA INSURANCE AND ANNUITY COMPANY

effective as of June 1, 2018

Treaty Number DEVFACO - 060118

TABLE OF CONTENTS

Page

ARTICLE I GENERAL PROVISIONS 1


Section 1.01	Defined Terms 1


Section 1.02	Other Definitional Provisions 8

ARTICLE II COVERAGE 8


Section 2.01	Scope and Basis of Reinsurance 8


Section 2.02	Policy Changes 9


Section 2.03	Reinstatement of Surrendered Policies 9


Section 2.04	Misstatement of Fact 9


Section 2.05	Credited Rates and Non-Guaranteed Elements 9


Section 2.06	Programs of Internal Replacement 10


Section 2.07	Conservation Program 10


Section 2.08	Retrocession 10


Section 2.09	Interest Maintenance Reserve 10


Section 2.10	Valuation of Liabilities 10

ARTICLE III REINSURANCE PREMIUMS 10


Section 3.01	Reinsurance Premiums 10


Section 3.02	Initial Premium; True-Up 10

ARTICLE IV CEDING COMMISSION 11


Section 4.01	Ceding Commission 11

ARTICLE V ADMINISTRATION FEE 12


Section 5.01	Policy Expenses 12

ARTICLE VI REINSURED LIABILITIES 12


Section 6.01	Reinsured Liabilities 12


Section 6.02	Claims Settlement 12


Section 6.03	Recoveries 12

ARTICLE VII REPORTING AND SETTLEMENTS 13


Section 7.01	Ceding Company Reporting 13


Section 7.02	Reinsurer Reporting 14


Section 7.03	Settlements 15

ARTICLE VIII HEDGING; FUNDS WITHHELD ACCOUNT 16


Section 8.01	Existing Hedges 16


Section 8.02	Funds Withheld Account 17

ARTICLE IX CREDIT FOR REINSURANCE; CUSTODY ACCOUNT 17


Section 9.01	Credit for Reinsurance 17


Section 9.02	Custody Account 18


Section 9.03	Ceding Company Withdrawals 18


Section 9.04	Custody Account Settlements 18


Section 9.05	Additional Reinsurer Withdrawals 19


Section 9.06	Substitutions 19


Section 9.07	Termination of Ceding Company’s Withdrawal Rights 20

ARTICLE X ADMINISTRATION 20


Section 10.01	Policy Administration 20


Section 10.02	Record-Keeping 20

ARTICLE XI TERM AND TERMINATION 21


Section 11.01	Duration of Agreement 21


Section 11.02	Recapture 21


Section 11.03	Recapture Payment 21


Section 11.04	Survival 22

ARTICLE XII ERRORS AND OMISSIONS 22


Section 12.01	Errors and Omissions 22

ARTICLE XIII DISPUTE RESOLUTION 23


Section 13.01	Negotiation 23


Section 13.02	Arbitration; Waiver of Trial by Jury 23

ARTICLE XIV INSOLVENCY 25


Section 14.01	Insolvency 25

ARTICLE XV TAXES 26


Section 15.01	Taxes 26


Section 15.02	DAC Tax Election 26


Section 15.03	Tax Treatment 27

ARTICLE XVI REPRESENTATIONS, WARRANTIES AND COVENANTS 27


Section 16.01	Representations and Warranties of the Ceding Company 27


Section 16.02	Covenants of the Ceding Company 28


Section 16.03	Representations and Warranties of the Reinsurer 29


Section 16.04	Covenants of the Reinsurer 30

ARTICLE XVII MISCELLANEOUS 31


Section 17.01	Currency 31


Section 17.02	Interest 31


Section 17.03	Right of Setoff and Recoupment 31


Section 17.04	No Third-Party Beneficiaries 31


Section 17.05	Amendment 32


Section 17.06	Notices 32


Section 17.07	Consent to Jurisdiction 33


Section 17.08	Service of Process 33


Section 17.09	Inspection of Records 33


Section 17.10	Confidentiality 34


Section 17.11	Successors 34


Section 17.12	Entire Agreement 35


Section 17.13	Severability 35


Section 17.14	Construction 35


Section 17.15	Non-Waiver 35


Section 17.16	Further Assurances 35


Section 17.17	Governing Law 35


Section 17.18	Counterparts 36

Schedules

I. Policy Forms and Riders

II. Policy Expenses

III. Initial Premium Assets

IV. Asset Valuation Methodology

V. Existing Index Hedges

VI. Existing Other Hedges

VII. Reinsurer Reports

iii

Exhibits


A.	Form of Weekly Accounting Report


B.	Form of Monthly Accounting Report


C.	Form of Quarterly Accounting Report


D.	Account Value Roll-Forward Information Fields


E.	Seriatim Information Fields

REINSURANCE AGREEMENT

This REINSURANCE AGREEMENT (this “ Agreement ”), effective as of June 1, 2018 (the “ Effective Date ”), is made by and between Voya Insurance and Annuity Company, an insurance company organized under the Laws of the State of Iowa (the “ Ceding Company ”), and Athene Annuity & Life Assurance Company, a reinsurance company organized under the Laws of the State of Delaware (the “ Reinsurer ”).

WITNESSETH:

WHEREAS, Athene Holding Ltd (“ AHL ”), VA Capital Company LLC (the “ Buyer Parent ”), and Voya Financial, Inc. (the “ Seller ”) have entered into a Master Transaction Agreement, dated as of December 20, 2017 (the “ Master Agreement ”), pursuant to which, among other things, the Seller will sell, and Venerable Holdings, Inc., a wholly owned subsidiary of the Buyer Parent (the “ Buyer ”), will purchase, all of the issued and outstanding shares of common stock of the Ceding Company;

WHEREAS, in connection with the closing of the sale of the Ceding Company to the Buyer, the Ceding Company and Athene Life Re Ltd., a wholly owned subsidiary of AHL (“ ALRe ”), have entered into a reinsurance transaction pursuant to which the Ceding Company cedes, and ALRe accepts, on a modified coinsurance basis, an eighty percent (80%) quota share of certain liabilities with respect to certain fixed annuity business of the Ceding Company; and

WHEREAS, in connection with the closing of the sale of the Ceding Company to the Buyer, the Ceding Company and the Reinsurer, an indirect wholly owned subsidiary of AHL, wish to enter into a coinsurance transaction with respect to certain fixed annuity business of the Ceding Company; and

WHEREAS, subject to the terms, conditions and limitations contained herein, the Ceding Company desires to cede, on a coinsurance basis, and the Reinsurer desires to accept, the Reinsured Liabilities (as defined below).

NOW, THEREFORE, in consideration of the mutual promises and agreements contained herein, the Ceding Company and the Reinsurer hereby agree as follows:

ARTICLE I
GENERAL PROVISIONS

Section 1.01 Defined Terms . As used in this Agreement, the following terms shall have the following meanings:

“ Action ” shall mean (a) any civil, criminal or administrative action, suit, claim, litigation, arbitration or similar proceeding, in each case, before a Governmental Entity, or (b) any investigation or written inquiry by a Governmental Entity other than any examination by a taxing authority, including a tax audit.

“ Affiliate ” shall mean, with respect to any Person, another Person that directly or indirectly, through one or more intermediaries, controls, is controlled by or is under common control with, such first Person, and the term “ Affiliated ” shall have a correlative meaning. For the purposes of this definition, “ control ”, when used with respect to any Person, means the power to direct the management and policies of such Person, directly or indirectly through the ownership of voting securities, by contract, or otherwise, and the terms “ controlling ” and “ controlled ” have the meanings correlative to the foregoing. For the avoidance of doubt, the Ceding Company and the Reinsurer shall not be deemed “ Affiliates ” for purposes of this Agreement.

“ Agreement ” shall have the meaning specified in the Preamble hereto.

“ AHL ” shall have the meaning specified in the Recitals hereto.

“ ALRe ” shall have the meaning specified in the Recitals hereto.

“ Applicable Tax Gross-Up Percentage ” shall mean, (a) with respect to the Pre-Tax Reform Existing IMR, 65%, (b) with respect to the Post-Tax Reform Existing IMR, one minus the highest federal tax rate applicable to United States corporations at the time such interest maintenance reserves were established, and (c) with respect to the New Effective Date IMR, one minus the highest federal tax rate applicable to United States corporations as of the Effective Date.

“ Authorized Representative ” shall have the meaning specified in Section 14.01(a)(i) .

“ Business Day ” shall mean any day other than a Saturday, Sunday or any other day on which banking institutions are authorized or required by Law to close in New York, New York or Des Moines, Iowa.

“ Buyer ” shall have the meaning specified in the Recitals hereto.

“ Buyer Parent ” shall have the meaning specified in the Recitals hereto.

“ Ceded IMR ” shall mean, collectively, as of any date of determination, the amount of the Existing IMR that remains unamortized as of such date and the amount of the New Effective Date IMR that remains unamortized as of such date, in each case, determined in accordance with Delaware SAP.

“ Ceded Reserves ” shall mean an amount equal to the Quota Share of the Net Statutory Reserves.

“ Ceding Company ” shall have the meaning specified in the Preamble hereto.

“ Code ” shall mean the Internal Revenue Code of 1986, as amended.

“ Company Required Initial Premium ” shall have the meaning specified in Section 3.02(b) .

“ Custodian ” shall have the meaning specified in Section 9.02(a) .

“ Custody Account ” shall have the meaning specified in Section 9.02(a) .

“ Custody Account Required Balance ” shall have the meaning specified in Section 9.02(a) .

“ Custody Account Valuation Report ” shall have the meaning specified in Section 9.04(a) .

“ Custody Agreement ” shall have the meaning specified in Section 9.02(a) .

“ Delaware SAP ” shall mean the statutory accounting principles and practices prescribed or permitted for Delaware life insurance companies by the Delaware Department of Insurance, consistently applied by the Reinsurer.

“ Effective Date ” shall have the meaning specified in the Preamble hereto.

“ Estimated Company Ceding Commission ” shall have the meaning specified in the Master Agreement.

“ Estimated Company Required Initial Premium ” shall have the meaning specified in Section 3.02(c) .

“ Excluded Liabilities ” shall mean without duplication (a) all Extra-Contractual Obligations other than Reinsurer Extra-Contractual Obligations, (b) any liabilities resulting from any change to the terms of any Reinsured Policy after the Effective Date, unless such change is required by applicable Law or by the express terms of the Reinsured Policies, or has been approved in writing in advance by the Reinsurer, (c) any liabilities other than Reinsured Liabilities and (d) any ex gratia payments made by the Ceding Company ( i.e. , payments the Ceding Company is not required to make under the terms of the Reinsured Policies) unless such payment has been approved in writing in advance by the Reinsurer.

“ Existing Hedge Proceeds ” shall have the meaning specified in Section 8.01(a) .

“ Existing Hedges ” shall mean all Existing Index Hedges and Existing Other Hedges.

“ Existing IMR ” shall mean the Quota Share of the Ceding Company’s interest maintenance reserves relating to the Reinsured Policies as of the Effective Date, determined in accordance with Iowa SAP.

“ Existing Index Hedges ” shall mean all derivatives and other hedges purchased by the Ceding Company prior to the Effective Date to hedge the index risk associated with the Reinsured Policies that remain in full force and effect as of the Effective Date and are listed on Schedule V . For the avoidance of doubt, following the expiration or exercise of any Existing Index Hedge, such expired or exercised hedge shall no longer be considered an Existing Index Hedge.

Schedule VI . For the avoidance of doubt, following the expiration or exercise of any Existing Other Hedge, such expired or exercised hedge shall no longer be considered an Existing Other Hedge.

“ Extra-Contractual Obligations ” shall mean any liabilities or obligations not arising under the express terms and conditions of, or in excess of the applicable policy limits of, the Reinsured Policies, including liabilities or obligations for fines, penalties, taxes, fees, forfeitures, compensatory damages, and punitive, special, treble, bad faith, tort, exemplary or other forms of extra-contractual damages awarded against or paid by the Ceding Company, which liabilities or obligations arise from any act, error or omission committed by the Ceding Company or any of its Affiliates or any of the directors, officers, employees, agents, representatives, annuity producers, administrators, service providers, successors or assigns of the Ceding Company or any of its Affiliates, whether or not intentional, negligent, in bad faith or otherwise relating to (a) the form, marketing, sale, underwriting, production, issuance, cancellation or administration of the Reinsured Policies, (b) the investigation, defense, trial, settlement or handling of claims, benefits or payments under the Reinsured Policies, (c) the failure to pay, the delay in payment, or errors in calculating or administering the payment of benefits, claims or any other amounts due or alleged to be due under or in connection with the Reinsured Policies, (d) fines or other penalties associated with escheat or unclaimed property liabilities arising under or relating to the Reinsured Policies, (e) the failure of the Reinsured Policies or the payments thereunder to qualify for their intended or expected tax status, or (f) any tax, penalty or interest imposed in respect of any withholding or reporting obligation of the Ceding Company in respect of taxes.

“ Factual Information ” shall have the meaning specified in Section 16.01(d) .

“ Fair Market Value ” shall mean, as of any date of determination, (a) with respect to any Existing Hedge, the market value of such Existing Hedge on such date of determination as determined in accordance with the Iowa SAP, and (b) with respect to any other asset, the market value of such asset on such date of determination as determined in accordance with Schedule IV attached hereto.

“ Final Company Ceding Commission ” shall have the meaning specified in the Master Agreement.

“ Funds Withheld Account ” shall have the meaning specified in Section 8.02 .

“ Funds Withheld Amount ” shall mean, as of any date of determination, the aggregate Fair Market Value of the Existing Hedges as of such date.

“ Governmental Entity ” shall mean any foreign, federal, state, local or other governmental, legislative, judicial, administrative or regulatory authority, agency, commission, board, body, court or entity or any instrumentality thereof or any self-regulatory body or arbitral body or arbitrator.

“ Initial Premium ” shall have the meaning specified in Section 3.02(a) .

“ Initial Premium Assets ” shall have the meaning specified in Section 3.02(d) .

“ Iowa SAP ” shall mean the statutory accounting principles and practices prescribed or permitted for Iowa life insurance companies by the Iowa Insurance Division, consistently applied by the Ceding Company; provided , that, for purposes of calculating the Net Statutory Reserves as of the Effective Date, Iowa SAP as applied by the Ceding Company shall include the methodology for calculating indexed annuity product reserves set forth in Iowa Administrative Code Chapter 191-97.

“ Law ” shall mean any law, statute, ordinance, written rule or regulation, order, injunction, judgment, decree, principle of common law, constitution or treaty enacted, promulgated, issued, enforced or entered by any Governmental Entity.

“ Master Agreement ” shall have the meaning specified in the Recitals hereto.

“ Monthly Accounting Period ” shall have the meaning specified in Section 7.01(b) .

“ Monthly Accounting Report ” shall have the meaning specified in Section 7.01(b) .

“ Monthly Settlement Amount ” shall have the meaning specified in Section 7.03(b) .

“ Net Statutory Reserves ” shall mean the net statutory reserves of the Ceding Company in respect of the Reinsured Policies, which shall be calculated in good faith on a seriatim basis in accordance with Iowa SAP and using valuation interest rates determined in a manner consistent with the Ceding Company’s historical practices; provided , however , that Net Statutory Reserves shall not include (a) additional actuarial reserves (as used in connection with Iowa SAP), if any, established by the Ceding Company as a result of its annual cash flow testing, (b) any asset valuation reserves (as used in connection with Iowa SAP) established by the Ceding Company, (c) any interest maintenance reserves (as used in connection with Iowa SAP) established by the Ceding Company or (d) any other reserve not directly attributable to specific Reinsured Policies.

“ New Effective Date IMR ” shall mean any new interest maintenance reserve that is created on the Effective Date as a result of the transactions contemplated by this Agreement, determined in accordance with Iowa SAP.

“ Non-Payout Annuities ” shall have the meaning specified in Section 7.01 .

“ Non-Public Personal Information ” shall have the meaning specified in Section 17.10(b) .

“ Payout Annuities ” shall have the meaning specified in Section 7.01 .

“ Permits ” shall mean any licenses, certificates of authority or other similar certificates, registrations, franchises, permits, approvals or other similar authorizations issued to a Person by a Governmental Entity.

“ Permitted Investments ” shall have the meaning specified in Section 9.02(b) .

“ Person ” shall mean an individual, corporation, partnership, joint venture, limited liability company, association, trust, unincorporated organization, Governmental Entity or other entity.

“ Policy Expenses ” shall have the meaning specified in Section 5.01 .

“ Post-Effective Date IMR ” shall mean the interest maintenance reserve relating to the Reinsured Liabilities generated after the Effective Date, determined in accordance with Delaware SAP.

“ Post-Tax Reform Existing IMR ” shall mean the portion of the Existing IMR established after any change after the date of the Master Agreement to the highest federal tax rate applicable to United States corporations.

“ Pre-Tax Reform Existing IMR ” shall mean the portion of the Existing IMR established prior to any change after the date of the Master Agreement to the highest federal tax rate applicable to United States corporations.

“ Proprietary Information ” shall have the meaning specified in Section 17.10(a) .

“ Quarterly Accounting Period ” shall have the meaning specified in Section 7.01(c) .

“ Quarterly Accounting Report ” shall have the meaning specified in Section 7.01(c) .

“ Quarterly Settlement Amount ” shall have the meaning specified in Section 7.03(c) .

“ Quota Share ” shall mean twenty percent (20%).

“ Recapture Effective Date ” shall mean the date on which the liability of the Reinsurer with respect to all of the Reinsured Policies is terminated pursuant to Section 11.02 or the effective date of the rejection of this Agreement by any Receiver or of a recapture in full.

“ Recapture Payment ” shall have the meaning specified in Section 11.03(a) .

“ Receiver ” shall have the meaning specified in Section 11.03(a) .

“ Reinsurance Credit Event ” shall have the meaning specified in Section 9.01(a) .

“ Reinsurance Premiums ” shall mean the Quota Share of the premiums, policy loan principal and interest payments, and other fees, amounts, payments, collections and recoveries received by the Ceding Company with respect to the Reinsured Policies.

“ Reinsured Liabilities ” shall mean the Quota Share of (a) liabilities of the Ceding Company with respect to claims, net of applicable surrender charges and market value adjustments, if any, for benefits related to partial surrenders, full surrenders, death claims, annuitizations, policy loans and other contractual benefits under the Reinsured Policies, (b) the Reinsurer Extra-Contractual Obligations, (c) liabilities with respect to premium taxes payable by the Ceding Company to the extent relating to premiums with respect to the Reinsured Policies that are issued after the Effective Date, (d) premium taxes and guaranty fund assessments payable by the Ceding Company to the extent relating to premiums received by the Ceding Company with respect to the Reinsured Policies and (e) trail commissions payable to producers with respect to the Reinsured Policies and other

commissions payable with respect to premiums received by the Ceding Company after the Effective Date and paid to the Reinsurer; provided , that in no event shall “Reinsured Liabilities” include any Excluded Liabilities.

“ Reinsured Policies ” shall mean (a) all fixed annuity contracts issued by the Ceding Company on the policy forms that are listed on Schedule I and in force on the Effective Date, including any riders that are listed on Schedule I and any amendments or endorsements attached thereto as of the Effective Date, (b) all fixed annuity contracts assumed by the Ceding Company pursuant to the reinsurance agreements listed on Schedule I , (c) all supplementary contracts, whether with or without life contingencies, issued by the Ceding Company on or following the Effective Date upon the annuitization of any annuity contract referenced in (a) or (b) above or (d) below, and (d) all fixed annuity contracts of the type referenced in clause (a) above that are issued by the Ceding Company during the sixty (60) days following the Effective Date, including any amendments or endorsements attached thereto.

“ Reinsurer ” shall have the meaning specified in the Preamble hereto.

“ Reinsurer Extra-Contractual Obligations ” shall mean Extra-Contractual Obligations relating to the Reinsured Policies to the extent caused by, arising from or related to any act of, or failure to act by, the Reinsurer or any of its Affiliates following the Effective Date.

“ Reserves Report ” shall have the meaning specified in Section 7.02(a) .

“ Seller ” shall have the meaning specified in the Recitals hereto.

“ Statutory Carrying Value ” shall mean, as of the relevant date of determination, (a) with respect to the Existing Hedges, the amount permitted to be carried by the Ceding Company as an admitted asset consistent with Iowa SAP, and (b) with respect to assets held in the Custody Account, the amount permitted to be carried by the Reinsurer as an admitted asset consistent with Delaware SAP.

“ Terminal Accounting Report ” shall have the meaning specified in Section 11.03(a) .

“ Treasury Regulations ” shall mean all proposed, temporary and final regulations promulgated under the Code, as such regulations may be amended from time to time.

“ Unamortized Ceding Commission ” shall mean an amount equal to: (a) the portion of the Final Company Ceding Commission allocated by the Reinsurer and the Ceding Company to this Agreement, multiplied by (b)(i) the Ceded Reserves as of the Recapture Effective Date, divided by (ii) the Ceded Reserves as of the Effective Date; provided , however , that as of any date of determination on or following the tenth anniversary of the Effective Date, the Unamortized Ceding Commission will be zero.

“ Weekly Accounting Report ” shall have the meaning specified in Section 7.01(a) .

“ Weekly Settlement Amount ” shall have the meaning specified in Section 7.03(a) .

Section 1.02 Other Definitional Provisions .

(a) For purposes of this Agreement, the words “hereof,” “herein,” “hereby” and other words of similar import refer to this Agreement as a whole, including all Schedules and Exhibits to this Agreement, unless otherwise indicated.

(b) Whenever the singular is used herein, the same shall include the plural, and whenever the plural is used herein, the same shall include the singular, where appropriate.

(d) Whenever used in this Agreement, the masculine gender shall include the feminine and neutral genders and vice versa.

(e) The Schedules and Exhibits hereto are hereby incorporated by reference into the body of this Agreement.

(f) All references herein to Articles, Sections, Subsections, Paragraphs, Exhibits and Schedules shall be deemed references to Articles and Sections and Subsections and Paragraphs of, and Exhibits and Schedules to, this Agreement unless the context shall otherwise require.

(g) All terms defined in this Agreement shall have the defined meaning when used in any Schedule, Exhibit, certificate, report or other documents attached hereto or made or delivered pursuant hereto unless otherwise defined therein.

ARTICLE II
COVERAGE

Section 2.01 Scope and Basis of Reinsurance .

(a) This Agreement shall be effective as of 12:00:01 a.m. Eastern Time on the Effective Date.

(b) This Agreement is an agreement for indemnity reinsurance made solely between the Ceding Company and the Reinsurer.

(c) Subject to the terms, conditions and limits of this Agreement (including the exclusion from coverage of Excluded Liabilities), the Ceding Company shall automatically cede and the Reinsurer shall automatically reinsure (i) on a funds withheld basis, a portion of the Reinsured Liabilities equal to the Funds Withheld Amount, and (ii) on a coinsurance basis, all other Reinsured Liabilities.

interpretations, waivers, modifications, alterations and cancellations to which the Ceding Company is subject with respect to the Reinsured Policies, subject in each case to the Ceding Company’s duty to adhere to its obligations pursuant to Article X .

(e) Notwithstanding anything to the contrary herein, the Reinsurer shall not be liable for any Excluded Liabilities.

Section 2.02 Policy Changes .

(a) The Ceding Company shall not, without the prior written consent of the Reinsurer, terminate, amend, modify or waive any provision or provisions of the Reinsured Policies, except to the extent required by applicable Law or the express terms of the Reinsured Policies.

(b) Any such terminations, amendments, modifications or waivers made without the prior written consent of the Reinsurer shall be disregarded for purposes of this Agreement, and the reinsurance with respect to the affected Reinsured Policy will continue as if such termination, amendment, modification or waiver had not been made.

Section 2.03 Reinstatement of Surrendered Policies . If a Reinsured Policy that has been surrendered is reinstated according to its terms and the Ceding Company’s reinstatement policies, the Reinsurer will, upon notification, automatically reinstate the reinsurance with respect to such Reinsured Policy; provided , that, to the extent that the reinstatement of such Reinsured Policy requires payment of premiums in arrears or reimbursement of claims paid, the Ceding Company shall pay to the Reinsurer all Reinsurance Premiums in arrears and all reimbursements of Reinsured Liabilities paid on such Reinsured Policy.

Section 2.04 Misstatement of Fact . In the event of a change in the amount payable under a Reinsured Policy due to a misstatement of fact, the Reinsurer’s liability with respect to such Reinsured Policy will change proportionately. Such Reinsured Policy will be rewritten from commencement on the basis of the adjusted amounts using premiums and such other terms based on the correct facts, and the proper adjustment for the difference in Reinsurance Premiums, without interest, will be made.

Section 2.05 Credited Rates and Non-Guaranteed Elements . The Ceding Company will be responsible for establishing contractual guarantees, credited interest rates and other non-guaranteed elements of the Reinsured Policies; provided , that the Reinsurer shall be permitted to provide recommendations regarding the contractual guarantees, credited interest rates and other non-guaranteed elements and index strategies of the Reinsured Policies and, to the extent such recommendations comply with applicable Law, generally accepted actuarial standards of practice, the terms of the Reinsured Policies and any recommendations provided by ALRe, the Ceding Company shall not unreasonably take any actions that contravene such recommendations and shall promptly incorporate such recommendations. If the Ceding Company fails to adhere to such recommendations, then the Ceding Company shall promptly notify the Reinsurer in writing of such failure.

Section 2.06 Programs of Internal Replacement . The Ceding Company shall not solicit, or allow any of its Affiliates to solicit, directly or indirectly, policy holders of the Reinsured Policies in connection with any program of internal replacement. The term “program of internal replacement” means any program sponsored or supported by the Ceding Company or any of its Affiliates that is offered to a class of policy owners and in which a Reinsured Policy or a portion of a Reinsured Policy is exchanged for another policy that is written by the Ceding Company or any Affiliate of the Ceding Company or any successor or assignee of any of them.

Section 2.07 Conservation Program . Upon the request of the Reinsurer, the Ceding Company shall reasonably cooperate and work with the Reinsurer in good faith to develop and implement a conservation program with respect to the Reinsured Policies.

Section 2.08 Retrocession . The Reinsurer may retrocede all or any portion of the risks ceded to it pursuant to this Agreement without the consent of the Ceding Company.

Section 2.09 Interest Maintenance Reserve . The Ceding Company and the Reinsurer agree that the Ceded IMR shall be ceded to and maintained by the Reinsurer.

Section 2.10 Valuation of Liabilities . The Reinsurer shall calculate the statutory reserves and tax reserves with respect to the Reinsured Policies; provided , that, the Ceding Company shall provide reasonable support and assistance to the Reinsurer in connection with such calculations with respect to the calendar quarters ending June 30, 2018, September 30, 2018 and December 31, 2018.

ARTICLE III
REINSURANCE PREMIUMS

Section 3.01 Reinsurance Premiums . The payment of Reinsurance Premiums and the Company Required Initial Premium is a condition precedent to the liability of the Reinsurer under this Agreement. All Reinsurance Premiums other than the Company Required Initial Premium shall be payable in accordance with Section 7.03 .

Section 3.02 Initial Premium; True-Up .

(a) The initial premium payable by the Ceding Company to the Reinsurer shall be an amount equal to (i) the Ceded Reserves as of the Effective Date, plus (ii) the Pre-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up Percentage, plus (iii) the Post-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up Percentage, plus (iv) the New Effective Date IMR, divided by the Applicable Tax Gross-Up Percentage, plus (v) the Quota Share of $67.5 million (the “ Initial Premium ”);

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

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

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

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

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

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

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

(vii) the Quota Share of $67.5 million.

(c) The amount of the Company Required Initial Premium actually paid on the Effective Date (such estimated amount, the “ Estimated Company Required Initial Premium ”) shall be determined on an estimated basis in accordance with the Master Agreement.

(d) To effectuate the payment of the Estimated Company Required Initial Premium, the Ceding Company shall transfer to the Reinsurer assets with an aggregate Fair Market Value equal to such Estimated Company Required Initial Premium. A list of the assets so transferred to the Reinsurer (the “ Initial Premium Assets ”), including an estimate of the Fair Market Value of each such asset as of the Effective Date, is set forth on Schedule III attached hereto. The Initial Premium Assets shall be assigned or endorsed in blank by the Ceding Company to the Reinsurer in order to transfer to the Reinsurer absolutely and unequivocally all right, title and interest in such assets.

(e) The Estimated Company Required Initial Premium shall be subject to adjustment following the Effective Date in accordance with the Master Agreement.

ARTICLE IV
CEDING COMMISSION

Section 4.01 Ceding Commission . The Reinsurer shall pay to the Ceding Company on the Effective Date the portion of the Estimated Company Ceding Commission allocated by the Reinsurer and the Ceding Company to this Agreement. The Estimated Company Ceding Commission shall be subject to a post-Effective Date adjustment in accordance with the Master Agreement.

ARTICLE V
ADMINISTRATION FEE

Section 5.01 Policy Expenses . On a quarterly basis, the Reinsurer shall pay the Ceding Company an administrative expense fee (“ Policy Expenses ”) to cover the cost of providing all administrative and other services necessary or appropriate in connection with the administration of the Reinsured Policies and the Reinsured Liabilities in an amount calculated in accordance with Schedule II attached hereto. The Policy Expenses shall be payable by the Reinsurer to the Ceding Company in accordance with Section 7.03 .

ARTICLE VI
REINSURED LIABILITIES

Section 6.01 Reinsured Liabilities . Subject to Sections 6.02 and 6.03 , the Reinsurer shall pay to the Ceding Company the Reinsured Liabilities in accordance with Section 7.03 .

Section 6.02 Claims Settlement .

(a) Subject to Section 6.02(b) and 6.03 , the Ceding Company shall be responsible for the settlement of claims with respect to the Reinsured Liabilities in accordance with Article X , applicable Law and the terms and conditions of the Reinsured Policies.

(a) The Ceding Company shall notify the Reinsurer in writing if the Ceding Company determines that a claim for payment under a Reinsured Policy either requires investigation or should be contested or denied. The Reinsurer and the Ceding Company shall consult in good faith regarding the disposition of any such claim. The Reinsurer may, but shall not be required to, recommend to the Ceding Company how to handle such claim. In the event of any disagreement between the Ceding Company and the Reinsurer as to the validity or amount of such a claim, the Reinsurer shall have final authority over the disposition of such claim; provided, however, that if ALRe provides a recommendation regarding the handling of such claim, then the Ceding Company shall be permitted to follow such recommendation.

Section 6.03 Recoveries . Subject to Section 6.02(b) , if the Ceding Company obtains any recoveries in respect of a claim with respect to the Reinsured Liabilities paid by it in accordance with the terms of any Reinsured Policy, the Ceding Company shall promptly pay to the Reinsurer the Quota Share of such recoveries.

ARTICLE VII
REPORTING AND SETTLEMENTS

Section 7.01 Ceding Company Reporting .

(a) Within three (3) Business Days following the end of each calendar week, the Ceding Company shall deliver to the Reinsurer a weekly accounting report (a “ Weekly Accounting Report ”) substantially in the form set forth in Exhibit A for such calendar week. The parties shall from time to time amend Exhibit A as necessary to appropriately effectuate the terms and conditions of this Agreement and to ensure the accounting and settlements made hereunder are correctly computed.

(b) Within five (5) Business Days following the end of each calendar month, the Ceding Company shall deliver to the Reinsurer a monthly accounting report (a “ Monthly Accounting Report ”) substantially in the form set forth in Exhibit B for such calendar month (a “ Monthly Accounting Period ”). The parties shall from time to time amend Exhibit B as necessary to appropriately effectuate the terms and conditions of this Agreement and to ensure the accounting and settlements made hereunder are correctly computed.

(c) Within five (5) Business Days following the receipt of the Reserves Report by the Ceding Company, the Ceding Company shall deliver to the Reinsurer a quarterly accounting report (a “ Quarterly Accounting Report ”) substantially in the form set forth in Exhibit C for such calendar quarter (a “ Quarterly Accounting Period ”). The parties shall from time to time amend Exhibit C as necessary to appropriately effectuate the terms and conditions of this Agreement and to ensure the accounting and settlements made hereunder are correctly computed.

(d) Within ten (10) Business Days following the end of each calendar quarter and any Recapture Effective Date, the Ceding Company shall deliver to the Reinsurer a report setting forth the Ceded IMR, as of the end of such calendar quarter or such Recapture Effective Date, as applicable.

(e) (i) Within four (4) Business Days following the end of each Monthly Accounting Period, the Ceding Company shall deliver to the Reinsurer a report of the Reinsured Policies in the form specified by the Reinsurer, which shall include, among other things, data feeds underlying roll-forward of policy count and account values with respect to the Reinsured Policies as identified in Exhibit D as of the end of such Monthly Accounting Period, the final form of which the parties will negotiate in good faith and (ii) within three (3) Business Days following the end of each Monthly Accounting Period solely with respect to the payout annuities comprising the Reinsured Policies (the “ Payout Annuities ”) and within one (1) Business Day following the end of each Monthly Accounting Period with respect to all Reinsured Policies other than the Payout Annuities (the “ Non-Payout Annuities ”), the Ceding Company shall deliver to the Reinsurer a report of the Reinsured Policies in the form specified by the Reinsurer, which shall include, among other things, a report setting forth seriatim information with respect to each of the Reinsured Policies, including the information identified in Exhibit E , the final form of which the parties will negotiate in good faith and which shall be redacted such that it does not include Non-Public Personal Information, as of the end of such Monthly Accounting Period.

(f) Within five (5) Business Days following the end of each Monthly Accounting Period, the Ceding Company shall deliver to the Reinsurer a report of the Existing Hedges and the effectiveness thereof in a form mutually agreed upon by the Ceding Company and the Reinsurer.

(h) The Ceding Company shall deliver to the Reinsurer: (i) within five (5) Business Days following the filing of the Ceding Company’s unaudited annual statement with the Iowa Insurance Division but no later than March 20 of each year, a copy of such unaudited annual statement; (ii) within five (5) Business Days of the filing of the Ceding Company’s audited annual statutory financial statements with the Iowa Insurance Division but no later than June 20 of each year, a copy of such annual statutory financial statements; and (iii) within five (5) Business Days following the filing of the Ceding Company’s unaudited quarterly statutory financial statements with the Iowa Insurance Division but no later than sixty (60) calendar days following the end of each calendar quarter, a copy of such unaudited quarterly statutory financial statements.

(i) Upon request, the Ceding Company will, within a reasonable timeframe, provide the Reinsurer with any additional information related to the Reinsured Policies available to the Ceding Company and not reasonably available to the Reinsurer which the Reinsurer requires in order to complete its financial statements or is otherwise required to comply with regulatory requirements. The Reinsurer will identify and communicate any such requests to the Ceding Company sufficiently in advance of any required deadlines such that the applicable information and timing for the provision thereof can be mutually agreed by the parties.

(j) The Ceding Company acknowledges that timely and correct compliance with the reporting requirements of this Agreement are a material element of the Ceding Company’s responsibilities hereunder and an important basis of the Reinsurer’s ability to reinsure the risks hereunder. Consistent and material non-compliance with reporting requirements, including extended delays, will constitute a material breach of the terms of this Agreement.

Section 7.02 Reinsurer Reporting .

(a) Within ten (10) Business Days following the end of each calendar quarter and any Recapture Effective Date, the Reinsurer shall deliver to the Ceding Company a report (the “ Reserves Report ”) setting forth (i) the Ceded Reserves, determined on a seriatim basis, and (ii) the Post-Effective Date IMR, as of the end of such calendar quarter or such Recapture Effective Date, as applicable.

(b) The Reinsurer shall deliver, or cause to be delivered, to the Ceding Company, the Custody Account Valuation Report as set forth in Section 9.04(a) .

following the filing of the Reinsurer’s unaudited quarterly statutory financial statements with the Delaware Department of Insurance but no later than sixty (60) calendar days following the end of each calendar quarter, a copy of such unaudited quarterly statutory financial statements.

(d) The Reinsurer shall provide to the Ceding Company the additional reports set forth on Schedule VII at the times set forth on Schedule VII .

(e) Upon request, the Reinsurer will, within a reasonable timeframe, provide the Ceding Company with any additional information related to the Reinsured Policies available to the Reinsurer and not reasonably available to the Ceding Company which the Ceding Company reasonably requires in order to complete its financial statements or is otherwise required to comply with regulatory requirements. The Ceding Company will identify and communicate any such requests to the Reinsurer sufficiently in advance of any required deadlines such that the applicable information and timing for the provision thereof can be mutually agreed by the parties.

Section 7.03 Settlements .

(a) An interim net balance payable under this Agreement for each calendar week (as set forth in the applicable Weekly Accounting Report, the “ Weekly Settlement Amount ”) shall be calculated by the Ceding Company and reported to the Reinsurer in the Weekly Accounting Report delivered with respect to such period. Each Weekly Settlement Amount shall be payable as follows:

(i) If the Weekly Settlement Amount with respect to any period is positive, then the Ceding Company shall pay to the Reinsurer an amount equal to such Weekly Settlement Amount on the date on which such Weekly Settlement Amount is reported by the Ceding Company to the Reinsurer; or

(ii) If the Weekly Settlement Amount with respect to any period is negative, then the Reinsurer shall pay to the Ceding Company an amount equal to the absolute value of such Weekly Settlement Amount within two (2) Business Days following the date on which such Weekly Settlement Amount is reported by the Ceding Company to the Reinsurer.

All Weekly Settlement Amounts paid during any Monthly Accounting Period shall be reflected in the Monthly Accounting Report with respect to such Monthly Accounting Period and taken into account in determining the Monthly Settlement Amount with respect to such Monthly Accounting Period. All Weekly Settlement Amounts paid during any Quarterly Accounting Period shall be reflected in the Quarterly Accounting Report with respect to such Quarterly Accounting Period and taken into account in determining the Quarterly Settlement Amount with respect to such Quarterly Accounting Period.

the Monthly Accounting Report delivered with respect to such Monthly Accounting Period. Each Monthly Settlement Amount shall be payable as follows:

(i) if the Monthly Settlement Amount indicated in the Monthly Accounting Report is positive, then the Ceding Company shall pay to the Reinsurer, by wire transfer of immediately available funds on the date of delivery of such Monthly Accounting Report to the Reinsurer, an amount equal to such Monthly Settlement Amount; or

(ii) if the Monthly Settlement Amount indicated in a Monthly Accounting Report is negative, then the Reinsurer shall pay to the Ceding Company, by wire transfer of immediately available funds within five (5) Business Days following the delivery of such Monthly Accounting Report to the Reinsurer, an amount equal to the absolute value of such Monthly Settlement Amount.

(c) The net balance payable under this Agreement for each Quarterly Accounting Period (as set forth in the applicable Quarterly Accounting Report, the “ Quarterly Settlement Amount ”) shall be calculated by the Ceding Company and reported to the Reinsurer in the Quarterly Accounting Report delivered with respect to such Quarterly Accounting Period. Each Quarterly Settlement Amount shall be payable as follows:

(i) if the Quarterly Settlement Amount indicated in the Quarterly Accounting Report is positive, then the Ceding Company shall pay to the Reinsurer, by wire transfer of immediately available funds on the date of delivery of such Quarterly Accounting Report to the Reinsurer, an amount equal to such Quarterly Settlement Amount; or

(ii) if the Quarterly Settlement Amount indicated in a Quarterly Accounting Report is negative, then the Reinsurer shall pay to the Ceding Company, by wire transfer of immediately available funds within five (5) Business Days following the delivery of such Quarterly Accounting Report to the Reinsurer, an amount equal to the absolute value of such Quarterly Settlement Amount.

(d) Except as otherwise set forth herein, any amount due under this Agreement shall be paid by wire transfer of immediately available funds to the account or accounts designated by the recipient thereof.

ARTICLE VIII
HEDGING; FUNDS WITHHELD ACCOUNT

Section 8.01 Existing Hedges .

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

any netting of amounts between the Ceding Company and the relevant hedge counterparty with respect to any derivatives that are not Existing Hedges (the “ Existing Hedge Proceeds ”), and such assignment shall be effected through deposit or attribution to the Funds Withheld Account. Such assignment shall occur automatically, without further action on the part of either party, on the Effective Date. Upon any termination of this Agreement, all of the Reinsurer’s right, title and interest (legal, equitable and otherwise) in and to the Existing Hedge Proceeds will be immediately assigned to the Ceding Company without any further action by the parties hereto.

(b) Any Existing Hedge Proceeds shall be attributed to the Funds Withheld Account and reflected in the Monthly Accounting Report for the applicable Monthly Accounting Period. The Ceding Company shall pay to the Reinsurer any Existing Hedge Proceeds in accordance with Section 7.03 .

(c) Other than with respect to the Existing Hedges, the Reinsurer shall be responsible for hedging its share of the index risk and other risk associated with the Reinsured Policies.

Section 8.02 Funds Withheld Account . On the Effective Date, (a) the Ceding Company shall (i) establish on its books a funds withheld account (the “ Funds Withheld Account ”), (ii) allocate to such Funds Withheld Account the Quota Share of the Existing Hedges, and (iii) establish and maintain on its books an account payable to the Reinsurer in the amount of the Funds Withheld Amount, and (b) the Reinsurer shall establish on its books an account receivable from the Ceding Company in the amount of the Funds Withheld Amount as of such date.

ARTICLE IX
CREDIT FOR REINSURANCE; CUSTODY ACCOUNT

Section 9.01 Credit for Reinsurance . The Reinsurer shall maintain in full force and effect at all times during the term of this Agreement all Permits that are necessary to ensure that the Ceding Company will receive credit on its statutory financial statements in its domiciliary State for the reinsurance provided pursuant to this Agreement. If the Reinsurer fails to maintain all such Permits or the Ceding Company otherwise does not receive credit on its statutory financial statements in its domiciliary State for the reinsurance provided pursuant to this Agreement (a “ Reinsurance Credit Event ”), then the Reinsurer shall promptly take such steps as are necessary to: (a) restore such Permits; (b) become accredited as a reinsurer in the domiciliary State of the Ceding Company; or (c) establish a qualified reinsurance trust or provide a letter of credit or other form of collateral permitted under applicable Law, in each case, such that the Ceding Company shall be able to obtain credit on its statutory financial statements in its domiciliary State for the reinsurance provided by this Agreement, it being understood that the Reinsurer shall have the sole discretion to elect among the methods available to it. All such steps shall be completed no later than the end of the calendar quarter in which such Reinsurance Credit Event occurs.

Section 9.02 Custody Account .

(a) In order to secure the obligations of the Reinsurer hereunder, on the Effective Date, the Reinsurer, the Ceding Company and Citibank, N.A. (the “ Custodian ”) shall

enter into a collateral account control agreement (the “ Custody Agreement ”), pursuant to which the Reinsurer shall establish a custody account (the “ Custody Account ”) in which it will maintain assets supporting the Reinsured Liabilities. On the Effective Date, the Reinsurer shall deposit, or cause to be deposited, into the Custody Account Permitted Investments with an aggregate Statutory Carrying Value equal to the Custody Account Required Balance as of the Effective Date. The “ Custody Account Required Balance ” as of any date of determination shall be an amount equal to the sum of (i) the Ceded Reserves. (ii) the Ceded IMR and (iii) the Post-Effective Date IMR, each as of such date.

(b) The Custody Account assets shall be subject to withdrawal from the Custody Account in accordance with the Custody Agreement. The Reinsurer shall bear the administrative costs and expenses related to the establishment and maintenance of the Custody Account, including the applicable fees of the Custodian. The Reinsurer shall be permitted to manage and make investment decisions with respect to the assets in the Custody Account, including through one or more investment managers; provided , however , that the assets in the Custody Account shall be comprised solely of investments of the type that qualify under applicable insurance laws of the State of Delaware as admitted assets for a life insurance company domiciled in the State of Delaware (the “ Permitted Investments ”). At the Reinsurer’s discretion, any derivatives purchased by the Reinsurer to hedge its share of risks associated with the Reinsured Policies may be held in the Custody Account, to the extent that such hedges qualify as Permitted Investments.

Section 9.03 Ceding Company Withdrawals . The Ceding Company shall have the right, subject to five (5) Business Days’ prior written notice to the Reinsurer, to withdraw assets from the Custody Account to the extent the Reinsurer fails to pay any amount due to the Ceding Company under this Agreement (after taking into account all applicable cure periods, if any). If the Reinsurer objects to any such prior written notice of withdrawal, the dispute will be resolved in accordance with Section 13.02 . The Ceding Company shall promptly return (or instruct the Custodian to return) to the Custody Account any assets withdrawn from the Custody Account in excess of the actual amounts permitted by this Section 9.03 . Pending such return of assets, the Ceding Company shall hold all such assets separate and apart from any assets of the Ceding Company for the sole benefit of the Reinsurer. In connection with any such return of assets to the Custody Account, the Ceding Company shall also transfer to the Custody Account an amount of interest at a rate of six percent (6%) per annum, calculated on a 30/360 basis, for the period that such assets were held by the Ceding Company.

Section 9.04 Custody Account Settlements .

(a) Within ten (10) Business Days following the end of each Quarterly Accounting Period, the Reinsurer shall deliver, or cause to be delivered, to the Ceding Company a report setting forth a list of the assets maintained in the Custody Account and the Statutory Carrying Value of each such asset, in each case, as of the end of such Quarterly Accounting Period (each, a “ Custody Account Valuation Report ”).

(b) Within five (5) Business Days following the delivery by the Reinsurer of the Custody Account Valuation Report:

(i) If the aggregate Statutory Carrying Value of the Permitted Investments maintained in the Custody Account as of the end of the applicable Quarterly Accounting Period is greater than the Custody Account Required Balance as of the end of such Quarterly Accounting Period, then the Reinsurer shall be permitted to withdraw assets from the Custody Account having an aggregate Statutory Carrying Value equal to such excess; and

(ii) If the aggregate Statutory Carrying Value of the Permitted Investments maintained in the Custody Account as of the end of the applicable Quarterly Accounting Period is less than the Custody Account Required Balance as of the end of such Quarterly Accounting Period, then the Reinsurer shall deposit, or cause to be deposited, in the Custody Account Permitted Investments having an aggregate Statutory Carrying Value equal to such deficiency.

Section 9.05 Additional Reinsurer Withdrawals .

(a) In addition to the withdrawal rights set forth in Section 9.04(b) and the substitution rights set forth in Section 9.06 , the Reinsurer shall be permitted to withdraw assets from the Custody Account for any of the following purposes:

(i) to pay to the Ceding Company any Weekly Settlement Amount, Monthly Settlement Amount, Quarterly Settlement Amount or any other amounts payable by the Reinsurer hereunder; or

(ii) to reimburse the Reinsurer for any Weekly Settlement Amount, Monthly Settlement Amount, Quarterly Settlement Amount or other amount paid by the Reinsurer to the Ceding Company with assets held outside of the Custody Account.

(b) The Reinsurer shall promptly return to the Custody Account any assets withdrawn from the Custody Account in excess of the actual amounts permitted by Section 9.04(b) or this Section 9.05 . Pending such return of assets, the Reinsurer shall hold all such assets separate and apart from any other assets of the Reinsurer for the sole benefit of the Ceding Company.

Section 9.06 Substitutions . In addition to the withdrawal rights set forth above, the Reinsurer will be permitted at any time to substitute all or any part of the assets in the Custody Account with other Permitted Investments having an aggregate Statutory Carrying Value equal to or exceeding the aggregate Statutory Carrying Value of the substituted assets; provided , however , that the fair market value of any Permitted Investment being deposited into the Custody Account in connection with any substitution shall be equal to or greater than the fair market value of the substituted asset, unless the fair market value of such substituted asset is greater than the Statutory Carrying Value of such substituted asset, in which case, the Permitted Investment being deposited into the Custody Account in connection with such substitution must have a fair market value equal to or greater than the Statutory Carrying Value of such substituted asset. For purposes of this Section 9.06 , the fair market value of any such asset shall be determined by the Reinsurer in good faith in the same manner in which it determines the fair market value of other investment assets of the Reinsurer that are held outside of the Custody Account.

Section 9.07 Termination of Ceding Company’s Withdrawal Rights . The Reinsurer and the Ceding Company shall take all actions necessary to terminate the Custody Agreement upon the termination of this Agreement and the settlement of all amounts due by the Reinsurer to the Ceding Company under this Agreement.

ARTICLE X
ADMINISTRATION

Section 10.01 Policy Administration . The Ceding Company shall provide all required, necessary and appropriate claims, administrative and other services, including reporting under Article VII , with respect to the Reinsured Policies and the Existing Hedges. The Ceding Company shall conduct its administration and claims practices with respect to the Reinsured Policies and the Existing Hedges (a) with a level of skill, diligence and expertise that would reasonably be expected from experienced and qualified personnel performing such duties in similar circumstances, (b) in accordance with applicable Law and the terms of the Reinsured Policies, and (c) in a manner no less favorable to the Reinsurer, the Reinsured Polices and the Existing Hedges than those used by the Ceding Company with respect to other policies of the Ceding Company not reinsured by the Reinsurer hereunder or other hedges of the Ceding Company. The Ceding Company shall not outsource any administrative functions or claims administration with respect to the Reinsured Policies or this Agreement without the prior written consent of the Reinsurer. If the Reinsurer consents to any outsourcing of any administrative functions or claims administration with respect to the Reinsured Policies or this Agreement, the Ceding Company shall secure the Reinsurer’s right to audit and inspect the party performing such outsourced services.

Section 10.02 Record-Keeping .

(a) Each of the Ceding Company and Reinsurer shall maintain all records and correspondence for services performed by such party hereunder relating to the Reinsured Policies in accordance with industry standards of insurance record-keeping. In addition, such records shall be made available for examination, audit, and inspection by the other party, or the department of insurance of any State within whose jurisdiction the Ceding Company or the Reinsurer operates. The Ceding Company and the Reinsurer further agree that in the event of the termination of this Agreement, any such records in the possession of the Reinsurer shall promptly be duplicated and forwarded to the Ceding Company unless otherwise instructed.

(b) The Ceding Company shall establish and maintain an adequate system of internal controls and procedures for financial reporting relating to the Reinsured Policies, including associated documentation, and shall make such documentation available for examination and inspection by the Reinsurer. All reports provided by the Ceding Company pursuant to Article VII shall be prepared in accordance with such system and procedures and shall be consistent with the Ceding Company’s books and records.

ARTICLE XI
TERM AND TERMINATION

Section 11.01 Duration of Agreement . This Agreement shall continue in force until such time as the Ceding Company has no further liabilities or obligations with respect to the Reinsured Liabilities. In the event this Agreement is terminated, the Ceding Company shall promptly notify the Iowa Insurance Division of such termination.

Section 11.02 Recapture .

(a) Neither party shall be permitted to cause a recapture of the Reinsured Policies except in accordance with this Section 11.02 . For the avoidance of doubt, neither party shall be permitted to cause a partial recapture of the Reinsured Policies pursuant to this Section 11.02 .

(b) Recapture for Non-Payment . Either party may cause the Reinsured Policies to be recaptured in full and this Agreement to be terminated as to all Reinsured Policies if the other party fails to pay any amounts due under this Agreement within thirty (30) calendar days following written notice of non-payment from the non-defaulting party.

(c) Recapture by Ceding Company for Other Material Breach . The Ceding Company may terminate this Agreement and recapture all of the Reinsured Policies in the event the Reinsurer materially breaches this Agreement and fails to cure such material breach within thirty (30) calendar days following written notice thereof from the Ceding Company.

(d) Recapture for Insolvency of Reinsurer . The Ceding Company may terminate this Agreement and recapture all of the Reinsured Policies in the event that the Reinsurer becomes insolvent (as set forth in Article XIV ) by promptly providing the Reinsurer or its Authorized Representative with written notice of recapture, to be effective as of the date on which the Reinsurer’s insolvency is established by the authority responsible for such determination. Any requirement for a notification period prior to the termination of this Agreement shall not apply under such circumstances.

Section 11.03 Recapture Payment .

(a) In the event the Reinsured Policies are recaptured in full (including if this Agreement is rejected by any liquidator, receiver, rehabilitator, trustee or similar Person acting on behalf of the Ceding Company (a “ Receiver ”)), a net accounting and settlement as to any balance due under this Agreement shall be undertaken by the Ceding Company in accordance with Article VII , which calculations shall be as of the Recapture Effective Date. Within five (5) Business Days following the Recapture Effective Date, the Ceding Company shall deliver to the Reinsurer a final Quarterly Accounting Report as of the Recapture Effective Date (the “ Terminal Accounting Report ”), and the final Quarterly Settlement Amount set forth in such Terminal Accounting Report shall be paid in accordance with Section 7.03 . In addition, within ten (10) Business Days after Recapture Effective Date, the Reinsurer shall deliver to the Ceding Company a report setting forth the amount of the Recapture Payment. Within fifteen (15) Business Days after the Recapture

Effective Date, the Reinsurer shall pay to the Ceding Company an amount (the “ Recapture Payment ”) equal to:

(i) the Ceded Reserves, plus

(ii) the amount of the Pre-Tax Reform Existing IMR that remains unamortized as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up Percentage, plus

(iii) the amount of the Post-Tax Reform Existing IMR that remains unamortized as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up Percentage, plus

(iv) the amount of the New Effective Date IMR that remains unamortized as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up Percentage, plus

(v) the amount of the Post-Effective Date IMR as of the Recapture Effective Date plus the amount of any new interest maintenance reserve that is created on the Recapture Effective Date as a result of the recapture, minus

(vi) the Unamortized Ceding Commission;

in each case, as of the Recapture Effective Date. The Reinsurer may, at its option, pay the Recapture Payment in cash by wire transfer of immediately available funds or, with the consent of the Ceding Company (which consent shall not be unreasonably withheld, conditioned or delayed), in kind with assets with an aggregate fair market value (determined in accordance with a methodology agreed to by the Ceding Company and the Reinsurer that is substantially similar to the methodology set forth on Schedule IV ) equal to such amount; provided , that no such consent shall be required with respect to any such assets set forth on Schedule III .

(b) Either party’s right to terminate the reinsurance provided hereunder will not prejudice its right to collect amounts owed to it hereunder, including applicable interest as specified in Section 17.02 , for the period during which such reinsurance was in force, through and including any notice period.

Section 11.04 Survival . All provisions of this Agreement will survive any termination of this Agreement and recapture of the Reinsured Policies to the extent necessary to carry out the purpose of this Agreement.

ARTICLE XII
ERRORS AND OMISSIONS

of this Agreement; provided , that, upon discovery, the error shall be promptly corrected so that both parties are restored to the position they would have occupied had the oversight or clerical error not occurred. In the event a payment is corrected, the party receiving the payment shall be entitled to interest in accordance with Section 17.02 . Should it not be possible to restore both parties to this position, the party responsible for the oversight or clerical error will be responsible for any resulting liabilities and expenses.

ARTICLE XIII
DISPUTE RESOLUTION

Section 13.01 Negotiation .

(a) Within fifteen (15) calendar days after the Reinsurer or the Ceding Company has given the other party written notification of a specific dispute arising out of or relating to this Agreement, each party will appoint a designated officer of its company to attempt to resolve such dispute. The officers will meet at a mutually agreeable time and location as soon as reasonably possible and as often as reasonably necessary in order to gather and furnish the other with all appropriate and relevant information concerning the dispute. Any such meetings may be held by telephone or video conference. The officers will discuss the matter in dispute and will negotiate in good faith without the necessity of formal arbitration proceedings. During the negotiation process, all reasonable requests made by one officer to the other for information will be honored. The specific format for such discussions will be decided by the designated officers.

(b) If the officers cannot resolve the dispute within thirty (30) calendar days of their first meeting, the dispute will be submitted to formal arbitration pursuant to Section 13.02 , unless the parties agree in writing to extend the negotiation period for an additional thirty (30) calendar days.

Section 13.02 Arbitration; Waiver of Trial by Jury .

(a) It is the intention of the Reinsurer and the Ceding Company that the customs and practices of the insurance and reinsurance industry will be given full effect in the operation and interpretation of this Agreement. If the Reinsurer and the Ceding Company cannot mutually resolve a dispute that arises out of or relates to this Agreement, including the validity of this Agreement, and the dispute cannot be resolved through the negotiation process, then the dispute will be finally settled by arbitration in accordance with the provisions of this Section 13.02 .

(b) To initiate arbitration, either the Ceding Company or the Reinsurer will notify the other party by certified mail of its desire to arbitrate, stating the nature of the dispute and the remedy sought.

Each of the arbitrators will be familiar with the prevailing customs and practices for reinsurance in the life insurance and reinsurance industry in the United States. Each of the parties will appoint one arbitrator and the two (2) so appointed will select the third arbitrator who shall be independent and impartial. If either party refuses or fails to appoint an arbitrator within sixty (60) calendar days after the other party has given written notice to such party of its arbitrator appointment, the party that has given notice may appoint the second arbitrator. If the two (2) arbitrators do not agree on a third arbitrator within thirty (30) calendar days of the appointment of the second arbitrator, then the third arbitrator shall be selected by the ARIAS-U.S. Umpire Selection Procedure (available at www.ARIAS-US.org), subject to the arbitrator qualification requirements of this paragraph.

(d) Each arbitration hearing under this Agreement will be held on the date set by the arbitrators at a mutually agreed upon location. In no event will this date be later than six (6) months after the appointment of the third arbitrator. As soon as possible, the arbitrators will establish arbitration procedures as warranted by the facts and issues of the particular case. Notwithstanding Section 17.17 , the arbitration and this Section 13.02 shall be governed by Title 9 (Arbitration) of the United States Code.

(e) The arbitrators will base their decision on the terms and conditions of this Agreement and the customs and practices of the insurance and reinsurance industries rather than on strict interpretation of the law. The decision of the arbitrators will be made by majority rule and will be final and binding on both parties, unless (i) the decision was procured by corruption, fraud or other undue means; (ii) there was evident partiality by an arbitrator or corruption in any of the arbitrators or misconduct prejudicing the rights of any party; or (iii) the arbitrators exceeded their powers. Subject to the preceding sentence, neither party may seek judicial review of the decision of the arbitrators. The arbitrators shall enter an award which shall do justice between the parties and the award shall be supported by written opinion. The parties agree that the federal courts in the State of Iowa, or the State courts of such State, have jurisdiction to hear any matter relating to compelling arbitration or enforcing the judgment of an arbitral panel, and the parties hereby consent to such jurisdiction. Each party hereby waives, to the fullest extent permitted by Law, any objection it may now or hereafter have to the laying of such venue, or any claim that a proceeding has been brought in an inconvenient forum. In addition, the Ceding Company and the Reinsurer hereby consent to service of process out of such courts at the addresses set forth in Section 17.06 .

(f) Unless the arbitrators decide otherwise, each party will bear the expense of its own arbitration activities, including its appointed arbitrator and any outside attorney and witness fees. The parties will jointly bear the expense of the third arbitrator.

(g) Waiver of Trial by Jury . THE REINSURER AND THE CEDING COMPANY HEREBY WAIVE ANY AND ALL RIGHTS TO TRIAL BY JURY IN ANY MATTER ARISING OUT OF OR RELATING TO THIS AGREEMENT.

ARTICLE XIV
INSOLVENCY

Section 14.01 Insolvency .

(a) A party to this Agreement will be deemed “insolvent” when it:

(i) applies for or consents to the appointment of a receiver, rehabilitator, conservator, liquidator or statutory successor (the “ Authorized Representative ”) of its properties or assets;

(ii) is adjudicated as bankrupt or insolvent;

(iii) files or consents to the filing of a petition in bankruptcy, seeks reorganization or an arrangement with creditors or takes advantage of any bankruptcy, dissolution, liquidation, rehabilitation, conservation or similar Law; or

(iv) becomes the subject of an order to rehabilitate or an order to liquidate as defined by the insurance code of the jurisdiction of the party’s domicile.

(b) In the event of the insolvency of either party, the rights or remedies of this Agreement will remain in full force and effect.

(c) Insolvency of the Ceding Company . In the event of the insolvency, liquidation or rehabilitation of the Ceding Company or the appointment of a liquidator, receiver or statutory successor of the Ceding Company, the reinsurance coverage provided hereunder shall be payable by the Reinsurer directly to the Ceding Company or to its liquidator, receiver or statutory successor, on the basis of the liability of the Ceding Company for the Reinsured Liabilities without diminution because of such insolvency, liquidation, rehabilitation or appointment or because such liquidator, receiver or statutory successor has failed to pay any claims or any portion thereof. In any such event, the reinsurance being provided hereunder shall be payable immediately upon demand, with reasonable provision for verification, on the basis of claims allowed against the Ceding Company by any court of competent jurisdiction or by any liquidator, receiver or statutory successor. In any such event, the liquidator, receiver or statutory successor of the Ceding Company shall give written notice to the Reinsurer of the pendency of each claim against the Ceding Company with respect to such Reinsured Liabilities within a reasonable time after each such claim is filed in the insolvency, liquidation or rehabilitation proceeding. During the pendency of any such claims, the Reinsurer may, at its own expense, investigate such claim and interpose in the proceeding in which such claim is to be adjudicated any defense or defenses that the Reinsurer may reasonably deem available to the Ceding Company or its liquidator, receiver or statutory successor. For the avoidance of doubt, the Reinsurer will be liable only for benefits reinsured as benefits become due under the terms of the Reinsured Policies and will not be or become liable for any amounts or reserves to be held by the Ceding Company as to the Reinsured Policies or for any damages or payments resulting from the termination or restructuring of the Reinsured Policies, in each case, that are not otherwise expressly covered by this Agreement.

ARTICLE XV
TAXES

Section 15.01 Taxes . No taxes, allowances, or other expenses will be paid by the Reinsurer to the Ceding Company for any Reinsured Policy, except as specifically referred to in this Agreement.

Section 15.02 DAC Tax Election . The Ceding Company and the Reinsurer hereby elect and agree under Treasury Regulations Section 1.848-2(g)(8) as follows:

(a) The Ceding Company and the Reinsurer will each attach a schedule to its federal income tax return for the first taxable year ending after the Effective Date that identifies this Agreement as a reinsurance agreement for which a joint election under Treasury Regulation Section 1.848-2(g)(8) has been made, and will otherwise file its respective federal income tax returns in a manner consistent with the provisions of Treasury Regulation Section 1.848-2 as in effect on the date this Agreement is executed;

(b) For each taxable year under this Agreement, the party hereto with the net positive consideration, as defined in the regulations promulgated under Section 848 of the Code, will capitalize specified policy acquisition expenses with respect to this Agreement without regard to the general deductions limitation of Section 848(c)(1) of the Code;

(c) The Ceding Company and the Reinsurer agree to exchange information pertaining to the amount of net consideration under this Agreement each year to ensure consistency or as otherwise required by the Code and applicable Treasury Regulations;

(d) The first tax year for which this election is effective is 2018;

(e) The Reinsurer will submit to the Ceding Company by May 15 each year its calculation of the amount of the net consideration for the preceding calendar year. This schedule of calculations will be accompanied by a statement that the Reinsurer will report such amount of net consideration in its tax return for the preceding calendar year;

(f) The Ceding Company may contest such calculation by providing an alternative calculation to the Reinsurer in writing within thirty (30) calendar days of the Ceding Company’s receipt of the Reinsurer’s calculation. If the Ceding Company does not so notify the Reinsurer, the Ceding Company will report the amount of net consideration as determined by the Reinsurer in the Ceding Company’s tax return for the previous calendar year;

(g) If the Ceding Company contests the Reinsurer’s calculation of the amount of net consideration, the parties will act in good faith to reach an agreement as to the correct amount within thirty (30) calendar days of the date on which the Ceding Company submits its alternative calculation.

Both the Ceding Company and the Reinsurer are subject to U.S. taxation under Subchapter L of Chapter 1 of the Code.

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

ARTICLE XVI
REPRESENTATIONS, WARRANTIES AND COVENANTS

Section 16.01 Representations and Warranties of the Ceding Company . The Ceding Company hereby represents and warrants to the Reinsurer, as of the Effective Date, as follows:

(a) Organization and Qualification . The Ceding Company is a corporation duly incorporated, validly existing and in good standing under the Laws of the State of Iowa and has all requisite corporate power and authority to operate its business as now conducted, and is duly qualified as a foreign corporation to do business, and, to the extent legally applicable, is in good standing, in each jurisdiction where the character of its owned, operated or leased properties or the nature of its activities makes such qualification necessary, except for failures to be so qualified or be in good standing that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement.

(b) Authorization . The Ceding Company has all requisite corporate power to enter into, consummate the transactions contemplated by and carry out its obligations under, this Agreement. The execution and delivery by the Ceding Company of this Agreement, and the consummation by the Ceding Company of the transactions contemplated by, and the performance by the Ceding Company of its obligations under, this Agreement have been duly authorized by all requisite corporate action on the part of the Ceding Company. This Agreement has been duly executed and delivered by the Ceding Company, and (assuming due authorization, execution and delivery by the Reinsurer) this Agreement constitutes the legal, valid and binding obligation of the Ceding Company, enforceable against it in accordance with its terms, subject to the effect of any applicable bankruptcy, reorganization, insolvency, moratorium, or similar Laws relating to or affecting creditors’ rights generally.

agreement, mortgage, indenture or other instrument, obligation or contract of any kind to which the Ceding Company or any of its subsidiaries is a party or by which the Ceding Company or any of its subsidiaries or any of their respective properties or assets is bound or affected, except, in the case of clause (iii), any such conflicts, violations, breaches, loss of contractual benefits, defaults or rights that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement.

(d) Factual Information Relating to the Reinsured Policies . The information relating to the business reinsured under this Agreement and the Reinsured Policies that was supplied by or on behalf of the Ceding Company to the Reinsurer or any of the Reinsurer’s representatives in connection with this Agreement (such information, the “ Factual Information ”), as of the date supplied (or if later corrected or supplemented prior to the date hereof, as of the date corrected or supplemented), did not contain any untrue statement of a material fact or omit to state any material fact necessary to make such Factual Information, taken as a whole, not misleading in light of the circumstances under which the statements contained therein were made, and was otherwise complete and accurate in all material respects. The Factual Information was compiled in a commercially reasonable manner given its intended purpose.

(e) Solvency . The Ceding Company is and will be Solvent on a statutory basis immediately after giving effect to this Agreement. For the purposes of this Section 16.01(e) , “Solvent” means that: (i) the aggregate assets of the Ceding Company are greater than the aggregate liabilities of the Ceding Company, in each case determined in accordance with Iowa SAP; (ii) the Ceding Company does not intend to, and does not believe that it will, incur debts or other liabilities beyond its ability to pay such debts and other liabilities as they come due; and (iii) the Ceding Company is not engaged in a business or transaction, and does not contemplate engaging in a business or transaction, for which the Ceding Company’s assets would constitute unreasonably insufficient capital.

(f) Governmental Licenses . The Ceding Company has all Permits necessary to conduct its business as currently conducted and execute and deliver, and perform its obligations under, this Agreement, except in such cases where the failure to have a Permit has not had and would not reasonably be expected to have a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement. All Permits that are material to the conduct of the Ceding Company’s business are valid and in full force and effect. The Ceding Company is not subject to any pending Action or, to the knowledge of the Ceding Company, any threatened Action that seeks the revocation, suspension, termination, modification or impairment of any Permit that, if successful, would reasonably be expected to have, or with the passage of time become, a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement.

Section 16.02 Covenants of the Ceding Company .

than routine State insurance department examinations that do not relate to the business reinsured pursuant to this Agreement or would not otherwise reasonably be expected to adversely affect the performance by the Ceding Company of its obligations under this Agreement; provided , however , that the Ceding Company may withhold any notice otherwise required to be delivered pursuant to this Section 16.02(a) to the extent that the delivery thereof to the Reinsurer would result in a waiver of the attorney-client privilege, the work-product doctrine or any other applicable legal privilege or similar doctrine.

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

(c) Existence; Conduct of Business . The Ceding Company shall do or cause to be done all things reasonably necessary to preserve, renew and keep in full force and effect its legal existence and the rights, Permits and privileges material to the conduct of its business.

(d) Compliance with Law . The Ceding Company shall comply with all Laws applicable to, and all Permits issued by any Governmental Entity to, the Ceding Company or by which it or its properties or assets is bound or subject, except where the failure to do so, individually or in the aggregate, would not reasonably be expected to have a material adverse effect on the Ceding Company’s ability to perform its obligations, or on the Reinsurer’s rights or obligations, under this Agreement.

(e) Governmental Notices . The Ceding Company shall provide the Reinsurer, within five (5) Business Days after receipt thereof, copies of any written notice or report from any Governmental Entity with respect to the business reinsured under this Agreement and a written summary of any material oral communication with any Governmental Entity with respect to the business reinsured under this Agreement.

Section 16.03 Representations and Warranties of the Reinsurer . The Reinsurer hereby represents and warrants to the Ceding Company, as of the Effective Date, as follows:

(a) Organization and Qualification . The Reinsurer is a corporation duly incorporated, validly existing and in good standing under the Laws of the State of Delaware and has all requisite corporate power and authority to operate its business as now conducted, and is duly qualified as a foreign corporation to do business, and, to the extent legally applicable, is in good standing, in each jurisdiction where the character of its owned, operated or leased properties or the nature of its activities makes such qualification necessary, except for failures to be so qualified or be in good standing that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement.

the part of the Reinsurer. This Agreement has been duly executed and delivered by the Reinsurer, and (assuming due authorization, execution and delivery by the Ceding Company) this Agreement constitutes the legal, valid and binding obligation of the Reinsurer, enforceable against it in accordance with its terms, subject to the effect of any applicable bankruptcy, reorganization, insolvency, moratorium, or similar Laws relating to or affecting creditors’ rights generally.

(c) No Conflict . The execution, delivery and performance by the Reinsurer of, and the consummation by the Reinsurer of the transactions contemplated by, this Agreement do not and will not (i) violate or conflict with the organizational documents of the Reinsurer, (ii) conflict with or violate any Law or Permit of any Governmental Entity applicable to the Reinsurer or by which it or its properties or assets is bound or subject, or (iii) result in any breach of, or constitute a default (or event which, with the giving of notice or lapse of time, or both, would become a default) under, or give to any Person any rights of termination, acceleration or cancellation of, any agreement, lease, note, bond, loan or credit agreement, mortgage, indenture or other instrument, obligation or contract of any kind to which the Reinsurer or any of its subsidiaries is a party or by which the Reinsurer or any of its subsidiaries or any of their respective properties or assets is bound or affected, except, in the case of clause (iii), any such conflicts, violations, breaches, loss of contractual benefits, defaults or rights that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement.

(d) Governmental Licenses . The Reinsurer has all Permits necessary to conduct its business as currently conducted and execute and deliver, and perform its obligations under, this Agreement, except in such cases where the failure to have a Permit has not had and would not reasonably be expected to have a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement. All Permits that are material to the conduct of the Reinsurer’s business are valid and in full force and effect. The Reinsurer is not subject to any pending Action or, to the knowledge of the Reinsurer, any threatened Action that seeks the revocation, suspension, termination, modification or impairment of any Permit that, if successful, would reasonably be expected to have, or with the passage of time become, a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement. The Reinsurer is duly licensed as an authorized insurer in the Ceding Company’s state of domicile.

Section 16.04 Covenants of the Reinsurer .

(a) Investigations . To the extent permitted by applicable Law, the Reinsurer shall promptly notify the Ceding Company, in writing, of any and all investigations of the Reinsurer conducted by any Governmental Entity commencing after the date hereof, other than routine State insurance department examinations that do not relate to the business reinsured pursuant to this Agreement or would not otherwise reasonably be expected to adversely affect the performance by the Reinsurer of its obligations under this Agreement; provided , however , that the Reinsurer may withhold any notice otherwise required to be delivered pursuant to this Section 16.04(a) to the extent that the delivery thereof to the Ceding Company would result in a waiver of the attorney-client privilege, the work-product doctrine or any other applicable legal privilege or similar doctrine.

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

(c) Existence; Conduct of Business . The Reinsurer shall do or cause to be done all things reasonably necessary to preserve, renew and keep in full force and effect its legal existence and the rights, Permits and privileges material to the conduct of its business.

(d) Compliance with Law . The Reinsurer shall comply with all Laws applicable to, and all Permits issued by any Governmental Entity to, the Reinsurer or by which it or its properties or assets is bound or subject, except where the failure to do so, individually or in the aggregate, would not reasonably be expected to have a material adverse effect on the Reinsurer’s ability to perform its obligations, or on the Ceding Company’s rights or obligations, under this Agreement.

(e) Governmental Notices . The Reinsurer shall provide the Ceding Company, within five (5) Business Days after receipt thereof, copies of any written notice or report from any Governmental Entity with respect to the business reinsured under this Agreement and a written summary of any material oral communication with any Governmental Entity with respect to the business reinsured under this Agreement.

ARTICLE XVII
MISCELLANEOUS

Section 17.01 Currency . All payments due under this Agreement shall be made in U.S. Dollars.

Section 17.02 Interest . All amounts due and payable by the Ceding Company or the Reinsurer under this Agreement that remain unpaid for more than fifteen (15) calendar days from the date due hereunder will incur interest from the date due hereunder. Except as otherwise set forth in this Agreement, such interest shall accrue at a rate equal to six percent (6%) per annum, calculated on a 30/360 basis.

Section 17.03 Right of Setoff and Recoupment .

(a) Each of the Ceding Company and the Reinsurer shall have, and may exercise at any time and from time to time, the right to setoff or recoup any undisputed balance or balances, whether on account of Reinsurance Premiums, allowances, credits, Reinsured Liabilities or otherwise, due from one party to the other under this Agreement and may setoff or recoup such balance or balances against any balance or balances due to the former from the latter under this Agreement.

(b) The parties’ setoff rights may be enforced notwithstanding any other provision of this Agreement including the provisions of Article XIV .

Section 17.04 No Third-Party Beneficiaries . This Agreement is an indemnity reinsurance agreement solely between the Ceding Company and the Reinsurer. The acceptance of

risks under this Agreement by the Reinsurer will create no right or legal relation between the Reinsurer and the insured, owner, beneficiary, or assignee of any insurance policy of the Ceding Company. In addition, nothing expressed or implied in this Agreement is intended to or shall confer remedies, obligations or liabilities upon any Person other than the parties hereto and their respective administrators, successors, legal representatives and permitted assigns or relieve or discharge the obligation or liability of any third party to any party to this Agreement.

Section 17.05 Amendment . This Agreement may not be changed or modified or in any way amended except by a written instrument duly executed by the proper officers of both parties to this Agreement, and any change or modification to this Agreement will be null and void unless made by amendment to this Agreement and duly executed by the proper officers of both parties to this Agreement. Prior written approval of the Iowa Insurance Division is required for any amendment to this Agreement.

Section 17.06 Notices .

(a) All demands, notices, reports and other communications provided for herein shall be delivered by the following means: (i) hand-delivery; (ii) overnight courier service ( e.g., FedEx, Airborne Express, or DHL); (iii) registered or certified U.S. mail, postage prepaid and return receipt requested; or (iv) facsimile transmission or e-mail; provided , that the fax or e-mail is confirmed by delivery using one of the three (3) methods identified in clauses (i) through (iii). All such demands, notices, reports and other communications shall be delivered to the parties as follows:

if to the Ceding Company:

Voya Insurance and Annuity Company
699 Walnut Street, Suite 1350
Des Moines, Iowa 50309

Attention: General Counsel
Email: legal@venerableannuity.com

if to the Reinsurer:

Athene Annuity & Life Assurance Company
7770 Mills Civic Parkway
West Des Moines, Iowa 50266
Attention: Diana Palmer
Telephone: (515) 342-4942
Email: legal@athene.com

(b) Either party hereto may change the names or addresses where notice is to be given by providing notice to the other party of such change in accordance with this Section 17.06 .

(c) If either party hereto becomes aware of any change in applicable Law restricting the transmission of notices or other information in accordance with the foregoing, such party shall notify the other party hereto of such change in Law and such resulting restriction.

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

Section 17.08 Service of Process . The Reinsurer hereby designates the Iowa Insurance Commissioner as its true and lawful attorney upon whom may be served any lawful process in any action, suit or proceeding instituted by or on behalf of the Ceding Company. A copy of any such process shall be delivered to the Reinsurer in accordance with Section 17.06 . This Section 17.08 is not intended to conflict with or override Article XIII .

Section 17.09 Inspection of Records .

(a) Upon giving at least five (5) Business Days’ prior written notice, the Reinsurer, or its duly authorized representatives, will have the right to audit, examine and copy, electronically or during regular business hours, at the home office of the Ceding Company, any and all books, records, statements, correspondence, reports, and other documents that relate to the Reinsured Policies, the Existing Hedges, the Allianz Trust Account or this Agreement, subject to the confidentiality provisions contained in this Agreement. In the event the Reinsurer exercises its inspection rights, the Ceding Company must provide a reasonable work space for such audit, examination or copying, cooperate fully and faithfully, and produce any and all materials reasonably requested to be produced, subject to confidentiality provisions contained in this Agreement. The expenses related to any two (2) such inspections in any calendar year shall be borne by the Ceding Company; provided , that if any breach of this Agreement by the Ceding Company has occurred, the expenses relating to all such inspections shall be borne by the Ceding Company.

(b) The Reinsurer’s right of access as specified above will survive until all of the Reinsurer’s obligations under this Agreement have terminated or been fully discharged.

Section 17.10 Confidentiality .

(a) The parties will keep confidential and not disclose or make competitive use of any shared Proprietary Information, as defined below, unless:

(i) The information becomes publicly available or is obtained other than through unauthorized disclosure by the party seeking to disclose or use such information;

(ii) The information is independently developed by the recipient; or

(iii) The disclosure is required by Law; provided , that, if applicable, the party required to make such disclosure will allow the other party to seek an appropriate protective order.

“ Proprietary Information ” includes, but is not limited to, underwriting manuals and guidelines, applications, contract forms, agent lists and premium rates and allowances of the Reinsurer and the Ceding Company, but shall not include the existence of this Agreement and the identity of the parties. Additionally, Proprietary Information may be shared by either party on a need-to-know basis with its officers, directors, employees, Affiliates, third-party service providers, auditors, consultants or retrocessionaires, or in connection with the dispute process specified in this Agreement.

(b) The Ceding Company shall not provide to the Reinsurer, and the Reinsurer shall have no right to access, any Non-Public Personal Information except (i) to the extent necessary for purposes of administration of this Agreement and (ii) requested in writing by a duly authorized representative of the Reinsurer. The Reinsurer and its representatives and service providers will protect the confidentiality and security of Non-Public Personal Information (as defined below) provided to it hereunder by:

(i) holding all Non-Public Personal Information in strict confidence;

(ii) maintaining appropriate measures that are designed to protect the security, integrity and confidentiality of Non-Public Personal Information; and

(iii) disclosing and using Non-Public Personal Information received under this Agreement for purposes of carrying out the Reinsurer’s obligations under this Agreement, for purposes of retrocession, or as may be required or permitted by Law.

“ Non-Public Personal Information ” is personally identifiable medical, financial, and other personal information about proposed, current and former applicants, policy owners, contract holders, insureds, annuitants, claimants, and beneficiaries of Reinsured Policies or contracts issued by the Ceding Company, and their representatives, that is not publicly available. Non-Public Personal Information does not include de-identified personal data, i.e. , information that does not identify, or could not reasonably be associated with, an individual.

Section 17.11 Successors . This Agreement will be binding upon the parties hereto and their respective successors and assigns including any Authorized Representative of either party. Neither party may effect any novation or assignment of this Agreement without the prior written consent of the other party and the Iowa Insurance Division.

Section 17.12 Entire Agreement . This Agreement and the Exhibits hereto constitute the entire agreement between the parties with respect to the business reinsured hereunder and supersede any and all prior representations, warranties, prior agreements or understandings between the parties pertaining to the subject matter of this Agreement. There are no understandings between the parties other than as expressed in this Agreement and the Exhibits hereto. In the event of any express conflict between this Agreement and the Exhibits hereto, the Exhibits hereto will control.

Section 17.13 Severability . The provisions of this Agreement shall be deemed severable and the invalidity or unenforceability of any provision shall not affect the validity or enforceability of the other provisions hereof. If any provision of this Agreement, or the application thereof to any Person or entity or any circumstance, is found by a court or other Governmental Entity of competent jurisdiction to be invalid or unenforceable, (a) a suitable and equitable provision shall be substituted therefor in order to carry out, so far as may be valid and enforceable, the intent and purpose of such invalid or unenforceable provision and (b) the remainder of this Agreement and the application of such provision to other Persons or circumstances shall not be affected by such invalidity or unenforceability, nor shall such invalidity or unenforceability affect the validity or enforceability of such provision, or the application thereof, in any other jurisdiction.

Section 17.14 Construction . This Agreement will be construed and administered without regard to authorship and without any presumption or rule of construction in favor of either party. This Agreement is between sophisticated parties, each of which has reviewed this Agreement and is fully knowledgeable about its terms and conditions.

Section 17.15 Non-Waiver . Neither the failure nor any delay on the part of the Ceding Company or the Reinsurer to exercise any right, remedy, power, or privilege under this Agreement shall operate as a waiver thereof. No single or partial exercise of any right, remedy, power or privilege shall preclude the further exercise of that right, remedy, power or privilege or the exercise of any other right, remedy, power or privilege. No waiver of any right, remedy, power or privilege with respect to any occurrence shall be construed as a waiver of that right, remedy, power or privilege with respect to any other occurrence. No prior transaction or dealing between the parties will establish any custom, usage or precedent waiving or modifying any provision of this Agreement. No waiver shall be effective unless it is in writing and signed by the party granting the waiver.

Section 17.16 Further Assurances . From time to time, as and when requested by a party hereto, the other party hereto shall execute and deliver all such documents and instruments and shall take all actions as may be reasonably necessary to consummate the transactions contemplated by this Agreement.

Section 17.17 Governing Law . This Agreement will be governed by and construed in accordance with the Laws of the State of Iowa without giving effect to any principles of conflicts

of law thereof that are not mandatorily applicable by Law and would permit or require the application of the Laws of another jurisdiction.

Section 17.18 Counterparts . This Agreement may be executed in counterparts, all of which shall be considered one and the same agreement and shall become effective when counterparts have been signed by each party hereto and delivered to the other party. Each party hereto may deliver its signed counterpart of this Agreement to the other party by means of electronic mail or any other electronic medium utilizing image scan technology, and such delivery will have the same legal effect as hand delivery of an originally executed counterpart. When this Agreement has been fully executed by the Ceding Company and the Reinsurer, it will become effective as of the Effective Date.

[Remainder of Page Intentionally Blank]

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

VOYA INSURANCE AND ANNUITY COMPANY

By:    /s/ David Pendergrass

Name:    David Pendergrass

Title:    Senior Vice President and Treasurer

ATHENE ANNUITY & LIFE ASSURANCE COMPANY

By:    /s/ Grant Kvalheim

Name:    Grant Kvalheim

Title:    President

Signature Page to VIAC Reinsurance Agreement (FA Business)

SCHEDULE I

POLICY FORMS AND RIDERS ¹



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



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



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



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

SCHEDULE II

POLICY EXPENSES

The Policy Expenses with respect to each Quarterly Accounting Period shall be an amount equal to (A) plus (B), each as defined below:

(A) solely with respect to the Payout Annuities, an amount equal to (i) eighteen (18) basis points divided by four (4) multiplied by (ii) (a) the sum of the Ceded Reserves with respect to the Payout Annuities at the beginning of the applicable Quarterly Accounting Period plus the Ceded Reserves with respect to the Payout Annuities at the end of the applicable Quarterly Accounting Period, divided by (b) two (2); and

(B) with respect to the Non-Payout Annuities, an amount equal to the sum of:

(i) (a) the Quota Share of $50 ( provided , that a two percent (2.00%) per annum inflation factor will be added to such amount each year commencing on January 1, 2019) divided by four (4), multiplied by (b) (I) the sum of the total number of Non-Payout Annuities in force at the beginning of the applicable Quarterly Accounting Period plus the total number of Non-Payout Annuities in force at the end of the applicable Quarterly Accounting Period, divided by (II) two (2), plus

(ii) (a) three (3) basis points divided by four (4) multiplied by (b) (I) the sum of the Ceded Reserves with respect to the Non-Payout Annuities at the beginning of the applicable Quarterly Accounting Period plus the Ceded Reserves with respect to the Non-Payout Annuities at the end of the applicable Quarterly Accounting Period, divided by (II) two (2).

SCHEDULE III

INITIAL PREMIUM ASSETS

See attached.



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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

SCHEDULE IV

ASSET VALUATION METHODOLOGY

The Fair Market Value of any asset shall be the end-of-day price on the day prior to the closing date of the reinsurance transaction determined in accordance with the following pricing matrix, whereby Security Type is determined by the Ceding Company’s “ASSET_CLASS_CATEGORY” classification and “FLAG_AGENCY” field. ²



ASSET_CLASS_CATEGORY	FLAG_AGENCY	Primary Source	Secondary Source	Tertiary Source	Quaternary Source
ABS		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
ABS-FLOATER		JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
CLO		JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
CMBS		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
CMO-A	Y	IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
CMO-A	N	JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
CMO-B	Y	IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
CMO-B	N	JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
COMMERCIAL MORTGAGES		DebtX	Analyst/Trader
EMD-CORPORATE		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
EMD-SOVERIGN		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
EQUITY SECURITIES		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
LIMITED PARTNERSHIPS		NAV Statement	Analyst/Trader
MUNICIPAL		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
PRIVATE-BIG		See Private Placement Process	Analyst/Trader
PRIVATE-IG		See Private Placement Process	Analyst/Trader
PUBLIC-BIG		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
PUBLIC-IG		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
SHORT-TERM		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
US TREASURY		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader

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

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

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

Private Placements shall be valued consistent with the Ceding Company’s internal policies for such assets, provided that the Reinsurer reserves the right to challenge any Private Placement price using Brokers quotes from any of SeaPort Global Securities LLC, StoneCastle Securities LLC or J.P. Morgan Securities Inc., and where any such Broker quote is lower than the Ceding Company’s price by 3.5 points or more, the parties agree that such Broker quote shall be used as the value for such asset in lieu of the Ceding Company’s price for such asset. In cases where a Broker may provide a spread in lieu of a price with respect to a Private Placement, such spread shall be converted to a price by applying such spread to the interpolated U.S. Treasury curve ³ as of close of business on the Business Day before the Effective Date.

Any position which is valued via the Analyst/Trader protocol shall be valued by the Ceding Company, consistent with the Ceding Company’s valuation policy. The Ceding Company agrees to provide the Reinsurer documentation supporting such valuation, including valuation methodology, inputs and assumptions and any other information necessary for the Reinsurer to re-perform the measurement, and to the extent that there are differences, the parties agree in good faith to come to an agreed-upon valuation.

Additionally, the Ceding Company shall also agree to provide any valuation source with all information reasonably required by such valuation source to price any of the assets.

For any asset for which the Ceding Company would normally use a pricing service (the “ Ceding Company Pricing Service ”) that is different from the pricing service to be used hereunder (the “ Reinsurer Pricing Service ”), the Ceding Company reserves the right to challenge the price provided by the Reinsurer Pricing Service by directly presenting such challenge to the Reinsurer Pricing Service. In the event that (i) the Reinsurer Pricing Service accepts the Ceding Company’s challenge, and (ii) the accepted challenge results in a change to the challenged price of 3.5 points or more, the price determined pursuant to such challenge process shall be used to value the asset.

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

SCHEDULE A – DEBTX FIELDS

As Of Date

Loan Number

Original Loan Date

Current Loan Amount

Maturity Date

Modified Loan

Modified Loan Date

Modified Loan Amount

Unpaid Principal Balance

Rate Type

Payment Amount

Next Payment Due Date

Paid Through Date

Balloon Date

Balloon Payment

Percent Owned

Lien Position

Borrower Name

Property Name

Property Address

Property City

Property State

Property Zip Code

Remaining Future Funding

Total Maturity Balance

Type of Jr Lien Allowed

Jr Lien Balance

Margin

Initial Rate Cap

Lifetime Rate Floor

Rate Adjustment Frequency

First Interest Rate Adjustment Date

Prepayment Penalty Type

Prepayment Penalty Term

Prepayment Penalty Structure

Call Feature

Call Frequency

Next Call Date

Origination Amortization Term- Months

Original Stated Term- Balloon Term

Interest Period

I/OConverts P&I- Amort Schedule

Current Property Value As of Date

Current LTV

Current Property Value

Current Property Value Source

Current LTV Combined

Property Type

Single Tenant

Tenant Name

Ground Lease

Recourse To Borrower

Guaranty Type

Credit Tenant/Tenant Lease

Current Net Cash Flow Reserve

Current Net Cash Flow

Occupancy Percentage

As of Date for Occupancy

Current NOI

Current NOI Date

Current DSCR Source

Debt Reserve Services

Current DSCR

Current DSCR- As of Date

Cross Default

Crossed Loan Number

Current Interest Rate

Payment Structure

Original Appraised Value

Original Appraised Value Source

Orig LTV

Orig LTVCombined

Prior Liens

Interest Accrual Basis

ARM Index

ARM Next Rate Change Date

Initial Maturity Date

Lockout Provision

Lockout End Date

SCHEDULE V

EXISTING INDEX HEDGES

See attached. ⁴

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



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



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Asian	Market Smart 10	100K	100K00061	2015-7621-L	WCHDV	Wells Fargo Bank, N. A.	52,537	8/26/2015	8/15/2025	GA
Asian	Market Smart 10	100K	100K00062	2015-7997-L	BARDV	Barclays Bank, PLC	86,022	10/29/2015	10/3/2025	GA
Asian	Market Smart 10	100K	100K00063	2016-9061-L	GSIDV	Goldman Sachs International	54,641	3/1/2016	1/6/2026	GA
Asian Call Spread	Advantage 5	510A	510A00068	2016-9550-L	GSIDV	Goldman Sachs International	60,490.40	5/17/2016	12/23/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-2	2017-2991-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,458	2/15/2017	2/14/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-3	2017-2998-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,316	2/15/2017	2/14/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-4	2017-2997-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,199	2/15/2017	2/14/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-5	2017-2995-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,097	2/15/2017	2/14/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-6	2017-2993-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,011	2/15/2017	2/14/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-7	2017-3000-L	JPMDV	JPMORGAN CHASE BANK, N.A.	6,063	2/15/2017	2/14/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-2	2017-3106-L	JPMDV	JPMORGAN CHASE BANK, N.A.	106	3/2/2017	3/1/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-3	2017-3107-L	JPMDV	JPMORGAN CHASE BANK, N.A.	96	3/2/2017	3/1/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-4	2017-3108-L	JPMDV	JPMORGAN CHASE BANK, N.A.	87	3/2/2017	3/1/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-5	2017-3109-L	JPMDV	JPMORGAN CHASE BANK, N.A.	79	3/2/2017	3/1/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-6	2017-3110-L	JPMDV	JPMORGAN CHASE BANK, N.A.	73	3/2/2017	3/1/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-7	2017-3111-L	JPMDV	JPMORGAN CHASE BANK, N.A.	442	3/2/2017	3/1/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-2	2017-3169-L	JPMDV	JPMORGAN CHASE BANK, N.A.	187	3/10/2017	3/9/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-3	2017-3170-L	JPMDV	JPMORGAN CHASE BANK, N.A.	168	3/10/2017	3/9/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-4	2017-3172-L	JPMDV	JPMORGAN CHASE BANK, N.A.	153	3/10/2017	3/9/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-5	2017-3171-L	JPMDV	JPMORGAN CHASE BANK, N.A.	140	3/10/2017	3/9/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-6	2017-3168-L	JPMDV	JPMORGAN CHASE BANK, N.A.	128	3/10/2017	3/9/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-7	2017-3166-L	JPMDV	JPMORGAN CHASE BANK, N.A.	779	3/10/2017	3/9/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-2	2017-3210-L	JPMDV	JPMORGAN CHASE BANK, N.A.	268	3/13/2017	3/8/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-3	2017-3211-L	JPMDV	JPMORGAN CHASE BANK, N.A.	242	3/13/2017	3/10/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-4	2017-3214-L	JPMDV	JPMORGAN CHASE BANK, N.A.	221	3/13/2017	3/10/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-5	2017-3213-L	JPMDV	JPMORGAN CHASE BANK, N.A.	202	3/13/2017	3/10/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-6	2017-3212-L	JPMDV	JPMORGAN CHASE BANK, N.A.	186	3/13/2017	3/10/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-7	2017-3208-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,128	3/13/2017	3/8/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-2	2017-3226-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,004	3/15/2017	3/2/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-3	2017-3227-L	JPMDV	JPMORGAN CHASE BANK, N.A.	905	3/15/2017	3/2/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-4	2017-3228-L	JPMDV	JPMORGAN CHASE BANK, N.A.	823	3/15/2017	3/2/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-5	2017-3229-L	JPMDV	JPMORGAN CHASE BANK, N.A.	754	3/15/2017	3/2/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-6	2017-3230-L	JPMDV	JPMORGAN CHASE BANK, N.A.	693	3/15/2017	3/2/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-7	2017-3231-L	JPMDV	JPMORGAN CHASE BANK, N.A.	4,209	3/15/2017	3/2/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-3	2017-3266-L	JPMDV	JPMORGAN CHASE BANK, N.A.	114	3/20/2017	3/16/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-4	2017-3267-L	JPMDV	JPMORGAN CHASE BANK, N.A.	104	3/20/2017	3/16/2021	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-5	2017-3268-L	JPMDV	JPMORGAN CHASE BANK, N.A.	95	3/20/2017	3/16/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-6	2017-3269-L	JPMDV	JPMORGAN CHASE BANK, N.A.	88	3/20/2017	3/16/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-7	2017-3270-L	JPMDV	JPMORGAN CHASE BANK, N.A.	533	3/20/2017	3/16/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-2	2017-3265-L	JPMDV	JPMORGAN CHASE BANK, N.A.	126	3/20/2017	3/16/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-2	2017-3366-L	CITDV	Citibank, N.A.	3,250	3/29/2017	3/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-3	2017-3369-L	CITDV	Citibank, N.A.	2,936	3/29/2017	3/18/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-4	2017-3371-L	CITDV	Citibank, N.A.	2,681	3/29/2017	3/18/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-5	2017-3365-L	CITDV	Citibank, N.A.	2,461	3/29/2017	3/18/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-6	2017-3368-L	CITDV	Citibank, N.A.	2,267	3/29/2017	3/18/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-7	2017-3363-L	CITDV	Citibank, N.A.	12,677	3/29/2017	3/18/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-2	2017-3483-L	CITDV	Citibank, N.A.	3,509	4/10/2017	4/3/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-3	2017-3484-L	CITDV	Citibank, N.A.	3,163	4/10/2017	4/3/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-6	2017-3487-L	CITDV	Citibank, N.A.	2,436	4/10/2017	4/3/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-7	2017-3489-L	CITDV	Citibank, N.A.	13,660	4/10/2017	4/3/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-5	2017-3486-L	CITDV	Citibank, N.A.	2,647	4/10/2017	4/1/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-4	2017-3485-L	CITDV	Citibank, N.A.	2,886	4/10/2017	4/1/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-2	2017-3683-L	CITDV	Citibank, N.A.	3,460	4/17/2017	4/9/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-3	2017-3685-L	CITDV	Citibank, N.A.	3,111	4/17/2017	4/9/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-4	2017-3688-L	CITDV	Citibank, N.A.	2,835	4/17/2017	4/9/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-7	2017-3694-L	CITDV	Citibank, N.A.	13,417	4/17/2017	4/9/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-5	2017-3692-L	CITDV	Citibank, N.A.	2,599	4/17/2017	4/8/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-6	2017-3693-L	CITDV	Citibank, N.A.	2,394	4/17/2017	4/6/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-2	2017-3705-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,704	4/18/2017	4/3/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-3	2017-3706-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,790	4/18/2017	4/3/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-4	2017-3708-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,970	4/18/2017	4/3/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-5	2017-3710-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,250	4/18/2017	4/3/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-6	2017-3711-L	JPMDV	JPMORGAN CHASE BANK, N.A.	8,594	4/18/2017	4/3/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-7	2017-3712-L	JPMDV	JPMORGAN CHASE BANK, N.A.	51,256	4/18/2017	4/3/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-3	2017-3784-L	CITDV	Citibank, N.A.	5,550	4/27/2017	4/20/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-4	2017-3785-L	CITDV	Citibank, N.A.	5,053	4/27/2017	4/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-5	2017-3783-L	CITDV	Citibank, N.A.	4,630	4/27/2017	4/20/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-6	2017-3781-L	CITDV	Citibank, N.A.	4,259	4/27/2017	4/20/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-2	2017-3782-L	CITDV	Citibank, N.A.	6,177	4/27/2017	4/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-7	2017-3780-L	CITDV	Citibank, N.A.	23,932	4/27/2017	4/19/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-2	2017-3829-L	CITDV	Citibank, N.A.	3,441	5/2/2017	4/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-3	2017-3831-L	CITDV	Citibank, N.A.	3,094	5/2/2017	4/21/2020	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-4	2017-3832-L	CITDV	Citibank, N.A.	2,819	5/2/2017	4/21/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-5	2017-3833-L	CITDV	Citibank, N.A.	2,584	5/2/2017	4/21/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-6	2017-3834-L	CITDV	Citibank, N.A.	2,378	5/2/2017	4/21/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-7	2017-3835-L	CITDV	Citibank, N.A.	13,305	5/2/2017	4/19/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-2	2017-3892-L	JPMDV	JPMORGAN CHASE BANK, N.A.	16,024	5/10/2017	4/27/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-3	2017-3894-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,428	5/10/2017	4/27/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-4	2017-3890-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,158	5/10/2017	4/27/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-5	2017-3893-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,076	5/10/2017	4/27/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-6	2017-3895-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,093	5/10/2017	4/27/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-7	2017-3896-L	JPMDV	JPMORGAN CHASE BANK, N.A.	69,120	5/10/2017	4/26/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-2	2017-3957-L	CITDV	Citibank, N.A.	3,548	5/15/2017	5/7/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-3	2017-3961-L	CITDV	Citibank, N.A.	3,193	5/15/2017	5/7/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-4	2017-3962-L	CITDV	Citibank, N.A.	2,910	5/15/2017	5/7/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-7	2017-3966-L	CITDV	Citibank, N.A.	13,771	5/15/2017	5/7/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-5	2017-3959-L	CITDV	Citibank, N.A.	2,669	5/15/2017	5/6/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-6	2017-3964-L	CITDV	Citibank, N.A.	2,456	5/15/2017	5/5/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-3	2017-4002-L	CITDV	Citibank, N.A.	4,317	5/18/2017	5/12/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-4	2017-4001-L	CITDV	Citibank, N.A.	3,959	5/18/2017	5/12/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-5	2017-4003-L	CITDV	Citibank, N.A.	3,647	5/18/2017	5/12/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-6	2017-3998-L	CITDV	Citibank, N.A.	3,369	5/18/2017	5/12/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-2	2017-3999-L	CITDV	Citibank, N.A.	4,753	5/18/2017	5/10/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-7	2017-4006-L	CITDV	Citibank, N.A.	18,880	5/18/2017	5/10/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-2	2017-4011-L	CITDV	Citibank, N.A.	8,445	5/19/2017	5/15/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-3	2017-4013-L	CITDV	Citibank, N.A.	7,615	5/19/2017	5/15/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-6	2017-4018-L	CITDV	Citibank, N.A.	5,880	5/19/2017	5/15/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-7	2017-4019-L	CITDV	Citibank, N.A.	32,971	5/19/2017	5/15/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-4	2017-4014-L	CITDV	Citibank, N.A.	6,953	5/19/2017	5/14/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-5	2017-4016-L	CITDV	Citibank, N.A.	6,384	5/19/2017	5/13/2022	GA
Cliquet	MCI	100M	100M02218	2017-4106-L	UBSDV	UBS AG	54,063	5/26/2017	5/31/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-2	2017-4053-L	CITDV	Citibank, N.A.	12,348	5/24/2017	5/20/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-3	2017-4055-L	CITDV	Citibank, N.A.	11,061	5/24/2017	5/20/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-4	2017-4056-L	CITDV	Citibank, N.A.	10,054	5/24/2017	5/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-5	2017-4057-L	CITDV	Citibank, N.A.	9,206	5/24/2017	5/20/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-7	2017-4054-L	CITDV	Citibank, N.A.	47,442	5/24/2017	5/20/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-2	2017-4071-L	CITDV	Citibank, N.A.	3,891	5/25/2017	5/21/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-3	2017-4073-L	CITDV	Citibank, N.A.	3,473	5/25/2017	5/21/2020	GA



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Swaption	Interest Rate Benchmark	10RC	10RC01173	2018-4446-S	GSIDV	Goldman Sachs International	32,500	1/24/2018	1/18/2019	GA
Call Spread	Secure	100C	100C03701	2018-1437443-L	GSIDV	Goldman Sachs International	383,966	1/26/2018	1/25/2019	GA
Asian	Spread 1	100S	100S03588	2018-1437445-L	GSIDV	Goldman Sachs International	147,164	1/26/2018	1/24/2019	GA
Digital	Trigger	10PT	10PT00902	2018-1437458-L	CSBDV	Credit Suisse International	33,871	1/26/2018	1/24/2019	GA
Cliquet	MCI	100M	100M02384	2018-1437460-L	UBSDV	UBS AG	66,143	1/26/2018	1/26/2019	GA
Basket	Envoy Cap	10EC	10EC02244	2018-6737-L	CITDV	Citibank, N.A.	21,417	1/3/2018	2/31/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00093-1	2018-6738-L	CITDV	Citibank, N.A.	5,387	1/3/2018	2/21/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00093-3	2018-6741-L	CITDV	Citibank, N.A.	3,919	1/3/2018	2/21/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00093-4	2018-6744-L	CITDV	Citibank, N.A.	3,489	1/3/2018	2/21/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00093-5	2018-6745-L	CITDV	Citibank, N.A.	3,138	1/3/2018	2/21/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00093-6	2018-6746-L	CITDV	Citibank, N.A.	2,837	1/3/2018	2/21/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00093-2	2018-6739-L	CITDV	Citibank, N.A.	4,487	1/3/2018	2/20/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00093-7	2018-6747-L	CITDV	Citibank, N.A.	17,721	1/3/2018	2/20/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00092-1	2018-6711-L	CITDV	Citibank, N.A.	8,525	1/2/2018	2/27/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00092-2	2018-6719-L	CITDV	Citibank, N.A.	7,331	1/2/2018	2/27/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00092-4	2018-6725-L	CITDV	Citibank, N.A.	5,857	1/2/2018	2/27/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00092-6	2018-6728-L	CITDV	Citibank, N.A.	4,824	1/2/2018	2/27/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00092-7	2018-6729-L	CITDV	Citibank, N.A.	30,168	1/2/2018	2/27/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00092-3	2018-6724-L	CITDV	Citibank, N.A.	6,514	1/2/2018	2/24/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00092-5	2018-6727-L	CITDV	Citibank, N.A.	5,306	1/2/2018	2/27/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00036-2	2018-6714-L	JPMDV	JPMORGAN CHASE BANK, N.A.	16,772	1/2/2018	2/24/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00036-3	2018-6715-L	JPMDV	JPMORGAN CHASE BANK, N.A.	15,003	1/2/2018	2/24/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00036-7	2018-6721-L	JPMDV	JPMORGAN CHASE BANK, N.A.	76,205	1/2/2018	2/24/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00036-1	2018-6713-L	JPMDV	JPMORGAN CHASE BANK, N.A.	19,252	1/2/2018	2/24/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00036-4	2018-6716-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,592	1/2/2018	2/23/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00036-5	2018-6717-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,352	1/2/2018	2/23/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00036-6	2018-6718-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,259	1/2/2018	2/22/2023	GA
Basket	Envoy Cap	10EC	10EC02245	2018-6775-L	CITDV	Citibank, N.A.	33,338	1/8/2018	1/3/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00094-1	2018-6771-L	CITDV	Citibank, N.A.	5,124	1/8/2018	2/24/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00094-2	2018-6774-L	CITDV	Citibank, N.A.	4,294	1/8/2018	2/24/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00094-3	2018-6778-L	CITDV	Citibank, N.A.	3,763	1/8/2018	2/24/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00094-4	2018-6782-L	CITDV	Citibank, N.A.	3,358	1/8/2018	2/23/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00094-5	2018-6783-L	CITDV	Citibank, N.A.	3,023	1/8/2018	2/23/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00094-6	2018-6784-L	CITDV	Citibank, N.A.	2,737	1/8/2018	2/22/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00094-7	2018-6786-L	CITDV	Citibank, N.A.	17,068	1/8/2018	2/24/2024	GA
Basket	Envoy Cap	10EC	10EC02246	2018-1409405-L	GSIDV	Goldman Sachs International	21,467	1/16/2018	1/9/2019	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00095-2	2018-1383909-L	CITDV	Citibank, N.A.	3,889	1/9/2018	1/8/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00095-3	2018-1383910-L	CITDV	Citibank, N.A.	3,442	1/9/2018	1/8/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00095-6	2018-1383913-L	CITDV	Citibank, N.A.	2,534	1/9/2018	1/8/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00095-7	2018-1383914-L	CITDV	Citibank, N.A.	15,861	1/9/2018	1/8/2025	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00095-1	2018-1383908-L	CITDV	Citibank, N.A.	4,548	1/9/2018	1/8/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00095-4	2018-1383911-L	CITDV	Citibank, N.A.	3,089	1/9/2018	1/7/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00095-5	2018-1383912-L	CITDV	Citibank, N.A.	2,793	1/9/2018	1/6/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00096-2	2018-1399641-L	CITDV	Citibank, N.A.	3,935	1/10/2018	1/6/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00096-3	2018-1399642-L	CITDV	Citibank, N.A.	3,486	1/10/2018	1/6/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00096-4	2018-1399643-L	CITDV	Citibank, N.A.	3,129	1/10/2018	1/6/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00096-5	2018-1399644-L	CITDV	Citibank, N.A.	2,829	1/10/2018	1/6/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00096-1	2018-1399640-L	CITDV	Citibank, N.A.	4,597	1/10/2018	1/4/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00096-6	2018-1399645-L	CITDV	Citibank, N.A.	2,568	1/10/2018	1/5/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00097-1	2018-1406103-L	CITDV	Citibank, N.A.	4,552	1/12/2018	1/2/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00097-2	2018-1406104-L	CITDV	Citibank, N.A.	3,785	1/12/2018	1/2/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00097-6	2018-1406108-L	CITDV	Citibank, N.A.	2,378	1/12/2018	1/2/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00097-3	2018-1406105-L	CITDV	Citibank, N.A.	3,302	1/12/2018	12/31/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00097-4	2018-1406106-L	CITDV	Citibank, N.A.	2,935	1/12/2018	12/31/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00097-5	2018-1406107-L	CITDV	Citibank, N.A.	2,635	1/12/2018	12/30/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00037-1	2018-1406089-L	JPMDV	JPMORGAN CHASE BANK, N.A.	16,634	1/12/2018	1/2/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00037-2	2018-1406090-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,254	1/12/2018	1/2/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00037-6	2018-1406094-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,348	1/12/2018	1/2/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00037-3	2018-1406091-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,647	1/12/2018	12/31/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00037-4	2018-1406092-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,389	1/12/2018	12/31/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00037-5	2018-1406093-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,308	1/12/2018	12/30/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00098-1	2018-1409386-L	CITDV	Citibank, N.A.	5,224	1/16/2018	1/4/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00098-3	2018-1409388-L	CITDV	Citibank, N.A.	3,785	1/16/2018	1/4/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00098-4	2018-1409389-L	CITDV	Citibank, N.A.	3,364	1/16/2018	1/4/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00098-6	2018-1409391-L	CITDV	Citibank, N.A.	2,727	1/16/2018	1/4/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00098-5	2018-1409390-L	CITDV	Citibank, N.A.	3,020	1/16/2018	1/4/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00098-2	2018-1409387-L	CITDV	Citibank, N.A.	4,342	1/16/2018	1/3/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00098-7	2018-1409392-L	CITDV	Citibank, N.A.	17,083	1/16/2018	1/3/2025	GA
Basket	Envoy Cap	10EC	10EC02247	2018-1422450-L	CITDV	Citibank, N.A.	41,561	1/22/2018	1/20/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00099-3	2018-1412695-L	CITDV	Citibank, N.A.	5,474	1/17/2018	1/12/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00099-4	2018-1412696-L	CITDV	Citibank, N.A.	4,886	1/17/2018	1/12/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00099-5	2018-1412697-L	CITDV	Citibank, N.A.	4,401	1/17/2018	1/12/2023	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00099-1	2018-1412693-L	CITDV	Citibank, N.A.	7,407	1/17/2018	1/11/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00099-2	2018-1412694-L	CITDV	Citibank, N.A.	6,238	1/17/2018	1/10/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00099-6	2018-1412698-L	CITDV	Citibank, N.A.	3,983	1/17/2018	1/12/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00099-7	2018-1412699-L	CITDV	Citibank, N.A.	24,911	1/17/2018	1/10/2025	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00100-1	2018-1419178-L	CITDV	Citibank, N.A.	5,229	1/19/2018	1/17/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00100-2	2018-1419179-L	CITDV	Citibank, N.A.	4,474	1/19/2018	1/17/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00100-5	2018-1419182-L	CITDV	Citibank, N.A.	3,204	1/19/2018	1/17/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00100-6	2018-1419183-L	CITDV	Citibank, N.A.	2,905	1/19/2018	1/17/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00100-7	2018-1419184-L	CITDV	Citibank, N.A.	18,201	1/19/2018	1/17/2025	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00100-3	2018-1419180-L	CITDV	Citibank, N.A.	3,959	1/19/2018	1/15/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00100-4	2018-1419181-L	CITDV	Citibank, N.A.	3,550	1/19/2018	1/14/2022	GA
Basket	Envoy Cap	10EC	10EC02248	2018-1425754-L	NATDV	NATIXIS SA	35,152	1/23/2018	1/21/2019	GA
Basket	Envoy Cap	10EC	10EC02249	2018-1437491-L	CITDV	Citibank, N.A.	28,808	1/26/2018	1/25/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00101-3	2018-1425727-L	CITDV	Citibank, N.A.	7,526	1/23/2018	1/19/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00101-4	2018-1425728-L	CITDV	Citibank, N.A.	6,704	1/23/2018	1/19/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00101-6	2018-1425730-L	CITDV	Citibank, N.A.	5,444	1/23/2018	1/19/2024	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00334	2018-1437449-L	DBDV	Deutsche Bank AG	29,965	1/26/2018	1/29/2019	GA
Call Spread	Secure	100C	100C03702	2018-1440802-L	BOADV	Bank of America, N.A.	379,075	1/29/2018	1/28/2019	GA
Asian	Spread 1	100S	100S03589	2018-1440801-L	BOADV	Bank of America, N.A.	126,465	1/29/2018	1/24/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00103-3	2018-1440788-L	CITDV	Citibank, N.A.	5,021	1/29/2018	1/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00103-4	2018-1440789-L	CITDV	Citibank, N.A.	4,470	1/29/2018	1/20/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00103-5	2018-1440790-L	CITDV	Citibank, N.A.	4,015	1/29/2018	1/20/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00103-1	2018-1440786-L	CITDV	Citibank, N.A.	6,845	1/29/2018	1/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00103-2	2018-1440787-L	CITDV	Citibank, N.A.	5,741	1/29/2018	1/17/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00103-6	2018-1440791-L	CITDV	Citibank, N.A.	3,627	1/29/2018	1/19/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00103-7	2018-1440792-L	CITDV	Citibank, N.A.	22,668	1/29/2018	1/17/2025	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00101-1	2018-1425725-L	CITDV	Citibank, N.A.	10,259	1/23/2018	1/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00101-2	2018-1425726-L	CITDV	Citibank, N.A.	8,603	1/23/2018	1/17/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00101-5	2018-1425729-L	CITDV	Citibank, N.A.	6,025	1/23/2018	1/19/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00102-1	2018-1429007-L	CITDV	Citibank, N.A.	5,475	1/24/2018	1/16/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00102-2	2018-1429008-L	CITDV	Citibank, N.A.	4,582	1/24/2018	1/16/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00102-6	2018-1429012-L	CITDV	Citibank, N.A.	2,894	1/24/2018	1/16/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00102-7	2018-1429013-L	CITDV	Citibank, N.A.	18,119	1/24/2018	1/16/2025	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00102-3	2018-1429009-L	CITDV	Citibank, N.A.	4,008	1/24/2018	1/15/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00102-4	2018-1429010-L	CITDV	Citibank, N.A.	3,568	1/24/2018	1/14/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00102-5	2018-1429011-L	CITDV	Citibank, N.A.	3,206	1/24/2018	1/13/2023	GA



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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



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

SCHEDULE VI

EXISTING OTHER HEDGES

None.

SCHEDULE VII

REINSURER REPORTS



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

EXHIBIT A

WEEKLY ACCOUNTING REPORT

See attached.

Weekly Accounting Report

VIAC to AADE FA Business Coinsurance Settlement

For the Week-to-date Accounting Period beginning: MM/DD/YY and ending on: MM/DD/YY

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

First Year Premium - - - - - - -

Single Premium - - - - - - - Renewal Premium - - - - - - -

Premium on Supplemental Contracts - - - - - - -

Other Premium - - - - - - -

Less: Returned Premium - - - - - - -

A TOTAL Premiums

Full Surrenders - - - - - - -

Partial Surrenders - - - - - - -

Death Claims - - - - - - -

Interest on Death Claims - - - - - - -

Annuity Payments under Payout Annuities - - - - - - -

Excess Benefits ¹ - - - - - - -

Surrender Charges - - - - - - -

Market Value Adjustments - - - - - - -

Other - - - - - - -

B TOTAL Claims - - - - - - -

First Year Commissions - - - - - - -

Renewal Commissions - - - - - - -

Trail Commissions - - - - - - -

Other Commission - - - - - - -

C TOTAL Commissions - - - - - - -

Section 2: Existing Hedge Proceeds

D Total existing hedge proceeds due to Reinsurer -

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

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

Notes:


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


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

EXHIBIT B

MONTHLY ACCOUNTING REPORT

See attached.

Monthly Accounting Report

VIAC to ALRE FA (GA & SA) Business Modco Settlement

For the Year-to-date Accounting Period beginning: MM/DD/YY and ending on: MM/DD/YY

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

First Year Premium - - - - - - -

Single Premium - - - - - - - Renewal Premium - - - - - - -

Premium on Supplemental Contracts - - - - - - -

Other Premium - - - - - - -

Less: Returned Premium - - - - - - -

A TOTAL Premiums

Full Surrenders - - - - - - -

Partial Surrenders - - - - - - -

Death Claims - - - - - - -

Interest on Death Claims - - - - - - -

Annuity Payments under Payout Annuities - - - - - - -

Excess Benefits ¹ - - - - - - -

Surrender Charges - - - - - - -

Market Value Adjustments - - - - - - -

Other - - - - - - -

B TOTAL Claims - - - - - - -

First Year Commissions - - - - - - -

Renewal Commissions - - - - - - -

Trail Commissions - - - - - - -

Other Commission - - - - - - -

C TOTAL Commissions - - - - - - -

Section 2: Existing Hedge Proceeds

D Total existing hedge proceeds due to Reinsurer -

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

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

Section 4: Other fee accruals owed from Reinsurer

F Expenses (Q ) $ -

G Other -

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

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

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

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

Section 7: Expense Reimbursements

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

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

M Other Expenses - - - - - - -

N TOTAL Expenses and Taxes

owed from Reinsurer (K+L+M) - - - - - - -

Notes:


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


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

EXHIBIT C

QUARTERLY ACCOUNTING REPORT

See attached.

Quarterly Accounting Report

VIAC to AADE FA GA Business Coinsurance Settlement

For the Year-to-date Accounting Period beginning: MM/DD/YY and ending on MM/DD/YY

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

First Year Premium - - - - - - -

Single Premium - - - - - - -

Renewal Premium - - - - - - -

Premium on Supplemental Contracts - - - - - - -

Other Premium - - - - - - -

Less: Returned Premium - - - - - - -

A TOTAL Premiums

Full Surrenders - - - - - - -

Partial Surrenders - - - - - - -

Death Claims - - - - - - -

Interest on Death Claims - - - - - - -

Annuity Payments under Payout Annuities - - - - - - -

Excess Benefits ¹ - - - - - - -

Surrender Charges - - - - - - -

Market Value Adjustments - - - - - - -

Other - - - - - - -


B	TOTAL Claims - - - - - - -

First Year Commissions - - - - - - -

Renewal Commissions - - - - - - -

Trail Commissions - - - - - - -

Other Commission - - - - - - -

C TOTAL Commissions - - - - - - -

Section 2: Existing Hedge Proceeds


D	Total existing hedge proceeds due to Reinsurer -

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


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

Section 4: Other fee accruals owed from Reinsurer


F	Expenses (Q + R) ³ -


G	Other -

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


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


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


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

Section 6: Expense Reimbursements


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


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


M	Other Expenses - - - - - - -


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

Section 7: Policy expenses owed from Reinsurer

Non-payout annuities - fee applied to reserves - - - - - - -

Non-payout annuities - fee applied to policy count - - - - - - -

TOTAL Policy Expenses specific to Non-Payout Annuities - - - - - - -

Payout annuities - fee applied to reserves - - - - - - -

TOTAL Policy Expenses specific to Payout Annuities - - - - - - -

Other Expenses - - - - - - -

TOTAL Other Policy Expenses - - - - - - -

O TOTAL Policy Expenses - - - - - - -

Section 8: Policy Loans

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

New loans -

Loan payments made -

Loan interest -

Q Total increase/(decrease) from Policy Loan -

R Book Value of Policy Loan at End of the Month (P+Q) -

Notes:


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


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


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

EXHIBIT D

ACCOUNT VALUE ROLL-FORWARD INFORMATION FIELDS



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

EXHIBIT E

SERIATIM INFORMATION FIELDS


I.	For Payout Annuities

Request

Policy Number

Policy Status

Plan Code

Company Name

Issue State

Contract Type (Payout, Annuitization, Structured Settlement, etc..)

Owner Sex

Owner Issue Age

Owner Date of Birth

Owner Date of Death

Number of Lives

Initial Premium

Rated Age

Substandard Category

Payout Type (Cert Only, C&L, Life Only)

Recurring Benefit Payment Amount

Payment Mode

Issue Date

Benefit Start Date

Benefit Stop Date

Benefit Stop Reason

Certain Period End Date

Certain Period Months

JointSurvivor Benefit Percent or Amount -1st Life

JointSurvivor Benefit Percent or Amount -2nd Life

Contingent Annuitant's Issue Age

Contingent Annuitant's Date of Birth

Contingent Annuitant's Date of Death

Contingent Annuitant's Sex

Cost of Living Adjustment/Benefit Growth Rate Pct

Cost of Living Adjustment Frequency

Income Change Date

Income Change Amount

Lump Sum Payment Amount

Lump Sum Payment Date

Death Benefit Amount

Stat Valuation Rate 1

Stat Valuation Rate 2

Stat Valuation Rate 3

Stat Valuation Rate 4

Tax Valuation Rate 1

Tax Valuation Rate 2

Tax Valuation Rate 3

Tax Valuation Rate 4

Death Status

Valuation Date


II.	For Non-Payout Annuities


a.	For Fixed and Fixed Indexed Annuities



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



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



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



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



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


b.	For Fixed Indexed Annuities Only


i.	Strategy Data



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


ii.	Transaction Data



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


Additional Transaction relevant fields	Include any other transaction relevant fields commonly used by VOYA

Exhibit 10.2

EXECUTION COPY

MODIFIED COINSURANCE AGREEMENT (SEPARATE ACCOUNT FA BUSINESS)

between

ATHENE ANNUITY & LIFE ASSURANCE COMPANY

and

VOYA INSURANCE AND ANNUITY COMPANY

effective as of June 1, 2018

Treaty Number DEVFAMCO - 060118

TABLE OF CONTENTS

Page

ARTICLE I GENERAL PROVISIONS 1


Section 1.01 Defined Terms	1


Section 1.02 Other Definitional Provisions	7

ARTICLE II COVERAGE 8


Section 2.01 Scope and Basis of Reinsurance	8


Section 2.02 Policy Changes	8


Section 2.03 Reinstatement of Surrendered Policies	9


Section 2.04 Misstatement of Fact	9


Section 2.05 Credited Rates and Non-Guaranteed Elements	9


Section 2.06 Programs of Internal Replacement	9


Section 2.07 Conservation Program	9


Section 2.08 Retrocession	9


Section 2.09 Interest Maintenance Reserve	9


Section 2.10 Valuation of Liabilities	10

ARTICLE III REINSURANCE PREMIUMS 10


Section 3.01 Reinsurance Premiums	10


Section 3.02 Initial Premium; True-Up	10

ARTICLE IV CEDING COMMISSION 11


Section 4.01 Ceding Commission	11

ARTICLE V ADMINISTRATION FEE 11


Section 5.01 Policy Expenses	11

ARTICLE VI REINSURED LIABILITIES 11


Section 6.01 Reinsured Liabilities	11


Section 6.02 Claims Settlement	11


Section 6.03 Recoveries	11

ARTICLE VII REPORTING AND SETTLEMENTS 12


Section 7.01 Ceding Company Reporting	12


Section 7.02 Reinsurer Reporting	13


Section 7.03 Settlements	14

ARTICLE VIII MODCO ACCOUNT 16


Section 8.01 Modco Account	16


Section 8.02 Credit for Reinsurance	18


Section 8.03 Investment Management	18

ARTICLE IX HEDGING 19


Section 9.01 Existing Hedges	19


Section 9.02 Other Hedging	19

ARTICLE X ADMINISTRATION 19


Section 10.01 Policy Administration	19


Section 10.02 Record-Keeping	20

ARTICLE XI TERM AND TERMINATION 20


Section 11.01 Duration of Agreement	20


Section 11.02 Recapture	20


Section 11.03 Recapture Payment	21


Section 11.04 Survival	21

ARTICLE XII ERRORS AND OMISSIONS 21


Section 12.01 Errors and Omissions	21

ARTICLE XIII DISPUTE RESOLUTION 22


Section 13.01 Negotiation	22


Section 13.02 Arbitration; Waiver of Trial by Jury	22

ARTICLE XIV INSOLVENCY 23


Section 14.01 Insolvency	23

ARTICLE XV TAXES 24


Section 15.01 Taxes	24


Section 15.02 DAC Tax Election	25


Section 15.03 Tax Treatment	25

ARTICLE XVI REPRESENTATIONS, WARRANTIES AND COVENANTS 26


Section 16.01 Representations and Warranties of the Ceding Company	26


Section 16.02 Covenants of the Ceding Company	27


Section 16.03 Representations and Warranties of the Reinsurer	28


Section 16.04 Covenants of the Reinsurer	29

ARTICLE XVII MISCELLANEOUS 30


Section 17.01 Currency	30


Section 17.02 Interest	30


Section 17.03 Right of Setoff and Recoupment	30


Section 17.04 No Third-Party Beneficiaries	31


Section 17.05 Amendment	31


Section 17.06 Notices	31


Section 17.07 Consent to Jurisdiction	32


Section 17.08 Service of Process	32


Section 17.09 Inspection of Records	32


Section 17.10 Confidentiality	33


Section 17.11 Successors	34


Section 17.12 Entire Agreement	34


Section 17.13 Severability	34


Section 17.14 Construction	34


Section 17.15 Non-Waiver	34


Section 17.16 Further Assurances	34


Section 17.17 Governing Law	35


Section 17.18 Counterparts	35

Schedules

I. Policy Forms and Riders

II. Policy Expenses

III. Initial Modco Assets

IV. Existing Index Hedges

V. Existing Other Hedges

VI. Reinsurer Reports

Exhibits


A.	Form of Weekly Accounting Report


B.	Form of Monthly Accounting Report


C.	Form of Quarterly Accounting Report


D.	Account Value Roll-Forward Information Fields


E.	Seriatim Information Fields

iii

MODIFIED COINSURANCE AGREEMENT (SEPARATE ACCOUNT FA BUSINESS)

This MODIFIED COINSURANCE AGREEMENT (this “ Agreement ”), effective as of June 1, 2018 (the “ Effective Date ”), is made by and between Voya Insurance and Annuity Company, an insurance company organized under the Laws of the State of Iowa (the “ Ceding Company ”), and Athene Annuity & Life Assurance Company, a reinsurance company organized under the Laws of the State of Delaware (the “ Reinsurer ”).

WITNESSETH:

WHEREAS, Athene Holding Ltd. (“ AHL ”), VA Capital Company LLC (the “ Buyer Parent ”), and Voya Financial, Inc. (the “ Seller ”) have entered into a Master Transaction Agreement, dated as of December 20, 2017 (the “ Master Agreement ”), pursuant to which, among other things, the Seller will sell, and Venerable Holdings, Inc., a wholly owned subsidiary of the Buyer Parent (the “ Buyer ”), will purchase, all of the issued and outstanding shares of common stock of the Ceding Company;

WHEREAS, in connection with the closing of the sale of the Ceding Company to the Buyer, the Ceding Company and the Reinsurer, an indirect wholly owned subsidiary of AHL, wish to enter into a modified coinsurance transaction with respect to certain separate account fixed annuity business of the Ceding Company; and

WHEREAS, subject to the terms, conditions and limitations contained herein, the Ceding Company desires to cede, on a modified coinsurance basis, and the Reinsurer desires to accept, the Reinsured Liabilities (as defined below).