CITY OF MIAMI G.E.S.E

QUARTERLY REPORT Quarter Ending: December 31, 2016 Michael G. Sebesta, CFA Managing Director, Head of Institutional Client Service Seix Investment Advisors LLC 404 845 7664 msebesta@seixadvisors.com CITY OF MIAMI G.E.S.E

Quarter Ending: December 31, 2016 SEIX INVESTMENT ADVISORS LLC QUARTERLY REPORT Contents Tabs Portfolio Information 1 Sector Allocation Portfolio Characteristics Performance Summary 2 Portfolio Holdings 3 You are urged to compare the information regarding your account contained in this report to the information in the account statements provided by the custodian for this account. Portfolio Number: 802

US CORPORATE 21.83 25.75 Finance 5.83 8.10 Industrial Utility 14.81 15.66 1.19 1.99 HIGH YIELD 0.92 0.00 TREASURIES 38.89 36.17 GOVERNMENT RELATED 2.66 7.73 Supranationals 0.00 1.63 Local Authority Sovereign Agency 0.00 1.15 2.66 1.06 0.00 3.88 SECURITIZED 32.21 30.36 ABS 3.18 0.54 RMBS Pools CMBS Quarter Ending: December 31, 2016 SECTOR ALLOCATION PORTFOLIO % 25.72 28.13 3.31 1.69 Bloomberg Barclays Aggregate Index MUNICIPALS 2.01 0.00 General Obligation 2.01 0.00 CASH & EQUIVALENTS 1.48 0.00 TOTAL 100 % 100 % Portfolio Number: 802

Quarter Ending: December 31, 2016 PORTFOLIO CHARACTERISTICS PORTFOLIO Bloomberg Barclays Aggregate Index Effective Duration 5.87 yrs 5.89 yrs Yield to Maturity 2.71 % 2.61 % Average Quality (S&P) AA- AA1/AA2 Portfolio Number: 802

Quarter Ending: December 31, 2016 PERFORMANCE SUMMARY CUMULATIVE PERIODS TIME PERIODS PORTFOLIO Bloomberg Barclays Aggregate Index SINCE INCEPTION 5.05 % 4.61 % (07/31/01-12/31/16) LAST FIVE YEARS 2.67 2.23 (12/31/11-12/31/16) LAST THREE YEARS 3.62 3.03 (12/31/13-12/31/16) LAST TWO YEARS 2.12 1.59 (12/31/14-12/31/16) LAST YEAR 3.80 2.65 (12/31/15-12/31/16) LAST QUARTER -2.59-2.98 (09/30/16-12/31/16) Note: Periods greater than one year are annualized. Performance is gross of management fees. Past performance is not indicative of future results. Portfolio Number: 802

Quarter Ending: December 31, 2016 CALENDAR PERIODS TIME PERIODS I 2014 II 2014 III 2014 IV 2014 2014 I 2015 II 2015 III 2015 IV 2015 2015 I 2016 II 2016 III 2016 IV 2016 2016 SINCE INCEPTION (07/31/01-12/31/16) PORTFOLIO Bloomberg Barclays Aggregate Index 2.23 1.84 2.25 2.04 0.20 0.17 1.84 1.79 6.67 5.97 1.82 1.61-1.62-1.68 1.02 1.23-0.72-0.57 0.46 0.55 3.03 3.03 2.66 2.21 0.75 0.46-2.59-2.98 3.80 2.65 5.05 % 4.61 % Note: Periods greater than one year are annualized. Performance is gross of management fees. Past performance is not indicative of future results. Portfolio Number: 802

December 31, 2016 FIXED INCOME ANALYSIS PAR ORIGINAL COUPON MATURITY UNIT ACCRUED MARKET VALUE YTM MOD ADJ WEIGHT AMOUNT FACE DESCRIPTION (%) DATE MDY S&P FITCH PRICE INTEREST INC ACCR % DUR % US CORPORATE 53,000 0 ERAC USA FINANCE LLC 2.75 3/15/2017 Baa1 BBB+ NR 100.27 429 53,571 1.39 0.19 0.12 100,000 0 VOLKSWAGEN INTL FIN NV 2.38 3/22/2017 A3 BBB+ BBB+ 100.23 653 100,878 1.34 0.21 0.23 53,000 0 AMERICAN EXPRESS CREDIT 2.38 3/24/2017 A2 A- A 100.25 339 53,472 1.25 0.22 0.12 68,000 0 EXELON GENERATION CO LLC 6.20 10/1/2017 Baa2 BBB BBB 103.36 1,054 71,338 1.64 0.72 0.16 119,000 0 GENERAL ELECTRIC CO 5.25 12/6/2017 A1 AA- AA- 103.59 434 123,710 1.33 0.90 0.28 200,000 0 TSMC GLOBAL LTD 1.63 4/3/2018 A1 A+ NR 99.62 794 200,030 1.94 1.22 0.45 177,000 0 WAL-MART STORES INC 1.13 4/11/2018 Aa2 AA AA 99.77 443 177,030 1.31 1.25 0.40 82,000 0 AT&T INC 2.38 11/27/2018 Baa1 BBB+ A- 100.87 184 82,900 1.90 1.85 0.19 43,000 0 NOVARTIS SECS INVEST LTD 5.13 2/10/2019 Aa3 AA- AA 107.08 863 46,907 1.68 1.97 0.10 70,000 0 CISCO SYSTEMS INC 2.13 3/1/2019 A1 AA- NR 101.32 496 71,418 1.50 2.09 0.16 82,000 0 MORGAN STANLEY 2.65 1/27/2020 A3 BBB+ A 100.47 930 83,316 2.49 2.91 0.19 56,000 0 ERAC USA FINANCE LLC 5.25 10/1/2020 Baa1 BBB+ NR 108.97 735 61,758 2.71 3.39 0.14 85,000 0 BANK OF AMERICA CORP 2.15 11/9/2020 Baa1 BBB+ A 98.70 264 84,159 2.51 3.57 0.19 76,000 0 SCHLUMBERGER HLDGS CORP 3.00 12/21/2020 A3 AA- NR 102.12 63 77,671 2.43 3.72 0.17 57,000 0 US BANCORP 2.35 1/29/2021 A1 A+ AA 100.23 566 57,696 2.29 3.84 0.13 122,000 0 NATIONWIDE FINANCIAL SER 5.38 3/25/2021 Baa1 BBB+ NR 109.22 1,749 135,002 3.03 3.77 0.30 127,000 0 WOODSIDE FINANCE LTD 4.60 5/10/2021 Baa1 BBB+ BBB+ 105.14 828 134,353 3.25 3.85 0.30 214,000 0 JPMORGAN CHASE & CO 2.30 8/15/2021 A3 A- A+ 98.15 1,951 211,986 2.72 4.23 0.47 66,000 0 SHELL INTERNATIONAL FIN 1.75 9/12/2021 Aa2 A AA- 97.18 350 64,487 2.39 4.48 0.14 64,000 0 SCHLUMBERGER INVESTMENT 3.30 9/14/2021 A1 AA- NR 103.28 628 66,728 2.52 4.26 0.15 38,000 0 BP CAPITAL MARKETS PLC 2.11 9/16/2021 A2 A- A 98.12 234 37,518 2.54 4.44 0.08 99,000 0 APACHE CORP 3.25 4/15/2022 Baa3 BBB BBB 101.57 679 101,234 2.91 4.78 0.23 59,000 0 HOME DEPOT INC 2.63 6/1/2022 A2 A A 100.48 129 59,413 2.53 5.04 0.13 107,000 0 DIGITAL REALTY TRUST LP 3.95 7/1/2022 Baa2 BBB BBB 102.76 2,113 112,065 3.38 4.92 0.25 22,000 0 FMC TECHNOLOGIES INC 3.45 10/1/2022 Baa2 BBB NR 100.04 190 22,199 3.44 5.14 0.05 49,000 0 NABORS INDUSTRIES INC 5.50 1/15/2023 Ba2 BBB- BBB- 104.13 165 51,186 4.69 5.13 0.11 64,000 0 AMERICAN TOWER CORP 3.50 1/31/2023 Baa3 BBB- BBB 100.30 940 65,133 3.44 5.41 0.15 109,000 0 CC HOLDINGS GS V LLC/CRO 3.85 4/15/2023 Baa2 BBB BBB 101.62 886 111,655 3.56 5.56 0.25 62,000 0 HOWARD HUGHES MEDICAL IN 3.50 9/1/2023 Aaa AAA NR 104.27 723 65,372 2.79 5.94 0.15 213,000 0 ROYAL BK SCOTLND GRP PLC 3.88 9/12/2023 Ba1 BBB- BBB+ 96.03 2,499 207,034 4.57 5.80 0.46 106,000 0 AMERICAN TOWER CORP 5.00 2/15/2024 Baa3 BBB- BBB 107.67 2,002 116,129 3.76 5.97 0.26 107,000 0 ANADARKO PETROLEUM CORP 3.45 7/15/2024 Ba1 BBB BBB 98.16 1,702 106,738 3.73 6.51 0.24 103,000 0 US BANCORP 3.60 9/11/2024 A1 A- AA- 101.91 1,133 106,097 3.31 6.69 0.24 190,000 0 AIR LEASE CORP 4.25 9/15/2024 NR BBB NR 101.57 2,378 195,361 4.00 6.48 0.44 15,000 0 MARATHON PETROLEUM CORP 3.63 9/15/2024 Baa2 BBB BBB 98.76 160 14,974 3.81 6.63 0.03 180,000 0 LAZARD GROUP LLC 3.75 2/13/2025 Baa3 A- BBB+ 97.65 2,250 178,012 4.09 6.92 0.40 27,000 0 MEDTRONIC INC 3.50 3/15/2025 A3 A NR 102.97 278 28,081 3.09 7.13 0.06 91,000 0 ABBVIE INC 3.60 5/14/2025 Baa2 A- NR 99.05 428 90,562 3.73 7.18 0.20 135,000 0 ENLINK MIDSTREAM PARTNER 4.15 6/1/2025 Ba2 BBB- BBB- 97.07 467 131,507 4.57 7.05 0.29 99,000 0 MARATHON OIL CORP 3.85 6/1/2025 Ba1 BBB- BBB 96.97 318 96,321 4.28 7.14 0.22 169,000 0 RIO TINTO FIN USA LTD 3.75 6/15/2025 Baa1 A- A- 102.98 282 174,319 3.33 7.26 0.39 Portfolio Number: 802 Page 1 SECURITY

December 31, 2016 FIXED INCOME ANALYSIS PAR ORIGINAL COUPON MATURITY UNIT ACCRUED MARKET VALUE YTM MOD ADJ WEIGHT AMOUNT FACE DESCRIPTION (%) DATE MDY S&P FITCH PRICE INTEREST INC ACCR % DUR % 67,000 0 WILLIAMS PARTNERS LP 4.00 9/15/2025 Baa3 BBB- BBB- 98.88 789 67,037 4.15 7.26 0.15 71,000 0 DIGITAL REALTY TRUST LP 4.75 10/1/2025 Baa2 BBB BBB 103.79 843 74,535 4.21 7.11 0.17 99,000 0 DEVON ENERGY CORPORATION 5.85 12/15/2025 Ba2 BBB BBB+ 113.61 257 112,735 3.98 7.09 0.25 149,000 0 SCHLUMBERGER HLDGS CORP 4.00 12/21/2025 A3 AA- NR 104.80 166 156,316 3.36 7.58 0.35 46,000 0 SIMON PROPERTY GROUP LP 3.30 1/15/2026 A2 A A 99.51 700 46,473 3.36 7.71 0.10 62,000 0 BOSTON PROPERTIES LP 3.65 2/1/2026 Baa2 A- BBB+ 98.75 943 62,169 3.81 7.62 0.14 172,000 0 HOLLYFRONTIER CORP 5.88 4/1/2026 Baa3 BBB- NR 102.19 2,526 178,295 5.56 7.04 0.40 121,000 0 BMW US CAPITAL LLC 2.80 4/11/2026 A2 A+ NR 96.30 753 117,277 3.27 8.12 0.26 112,000 0 BANK OF AMERICA CORP 3.50 4/19/2026 Baa1 BBB+ A 98.67 784 111,291 3.67 7.92 0.25 114,000 0 WESTERN GAS PARTNERS LP 4.65 7/1/2026 Ba1 BBB- BBB- 103.54 2,489 120,524 4.18 7.72 0.27 220,000 0 ORACLE CORP 2.65 7/15/2026 A1 AA- A+ 94.92 2,818 211,644 3.27 8.32 0.47 260,000 0 MORGAN STANLEY 3.13 7/27/2026 A3 BBB+ A 95.54 3,521 251,919 3.68 8.17 0.56 193,000 0 WOODSIDE FINANCE LTD 3.70 9/15/2026 Baa1 BBB+ NR 97.79 2,103 190,837 3.98 8.07 0.43 73,000 0 NVIDIA CORP 3.20 9/16/2026 Baa1 BBB- BBB+ 96.15 681 70,868 3.68 8.27 0.16 50,000 0 SHIRE ACQ INV IRELAND DA 3.20 9/23/2026 Baa3 BBB- NR 93.43 436 47,152 4.02 8.25 0.11 70,000 0 VIACOM INC 3.45 10/4/2026 Baa3 BBB- BBB 92.42 584 65,278 4.41 8.16 0.15 50,000 0 XYLEM INC/NY 3.25 11/1/2026 Baa2 BBB BBB 97.11 361 48,914 3.60 8.37 0.11 140,000 0 GOLDMAN SACHS GROUP INC 3.50 11/16/2026 A3 BBB+ A 97.70 613 137,390 3.78 8.22 0.31 103,000 0 ANALOG DEVICES INC 3.50 12/5/2026 A3 BBB NR 99.07 260 102,307 3.61 8.39 0.23 51,000 0 L3 TECHNOLOGIES INC 3.85 12/15/2026 Baa3 BBB- BBB- 99.40 142 50,836 3.92 8.27 0.11 73,000 0 VALERO ENERGY PARTNERS 4.38 12/15/2026 Baa3 BBB- BBB- 100.90 195 73,849 4.26 8.08 0.17 143,000 0 INTERNATIONAL PAPER CO 3.00 2/15/2027 Baa2 BBB NR 94.34 1,668 136,580 3.67 8.62 0.31 133,000 0 TIME WARNER INC 3.80 2/15/2027 Baa2 BBB BBB+ 99.43 323 132,568 3.87 8.41 0.30 153,000 0 HESS CORP 4.30 4/1/2027 Ba1 BBB- BBB- 99.54 1,700 153,999 4.36 8.20 0.34 71,000 0 MORGAN STANLEY 3.95 4/23/2027 Baa2 BBB- A- 98.99 530 70,813 4.07 8.45 0.16 111,000 0 CITIGROUP INC 4.45 9/29/2027 Baa3 BBB A- 101.58 1,262 114,021 4.26 8.52 0.25 57,000 57,000 UNITED AIR 2016-1 A PTT 3.45 7/7/2028 A2 BBB- A 97.25 1,082 56,514 3.84 6.97 0.13 72,000 0 BANK OF NEW YORK MELLON CORP/T 3.00 10/30/2028 A2 A- A+ 95.08 366 68,826 3.51 9.90 0.15 116,000 0 WESTPAC BANKING CORP 4.32 11/23/2031 A3 BBB+ A+ 100.32 529 116,899 4.28 7.95 0.26 56,000 0 BERKSHIRE HATHAWAY ENERG 6.13 4/1/2036 A3 A- BBB+ 124.89 858 70,795 4.22 12.20 0.16 279,000 0 NEWMONT MINING CORP 6.25 10/1/2039 Baa2 BBB NR 110.02 4,359 311,303 5.47 12.56 0.70 208,000 0 BARRICK PD AU FIN PTY LT 5.95 10/15/2039 Baa3 BBB- NR 105.76 2,613 222,600 5.50 12.71 0.50 131,000 0 NEWMONT MINING CORP 4.88 3/15/2042 Baa2 BBB NR 93.83 1,880 124,791 5.32 14.05 0.28 39,000 0 GENERAL ELECTRIC CO 4.13 10/9/2042 A1 AA- AA- 100.89 366 39,712 4.07 16.02 0.09 41,000 0 CELGENE CORP 4.63 5/15/2044 Baa2 BBB+ NR 97.91 242 40,386 4.76 15.48 0.09 146,000 0 FIRSTENERGY TRANSMISSION 5.45 7/15/2044 Baa3 BB+ NR 106.16 3,669 158,658 5.03 14.45 0.35 33,000 0 BECTON DICKINSON AND CO 4.69 12/15/2044 Baa2 BBB+ NR 103.59 69 34,255 4.46 15.99 0.08 36,000 0 ERAC USA FINANCE LLC 4.50 2/15/2045 Baa1 BBB+ NR 95.36 612 34,941 4.80 15.57 0.08 69,000 0 MEDTRONIC INC 4.63 3/15/2045 A3 A NR 108.14 940 75,558 4.13 16.30 0.17 186,000 0 GENERAL MOTORS CO 5.20 4/1/2045 Ba1 BBB- BBB- 96.39 2,418 181,706 5.45 14.47 0.41 99,000 0 AT&T INC 4.35 6/15/2045 Baa1 BBB+ A- 89.10 191 88,404 5.08 15.72 0.20 36,000 0 CELGENE CORP 5.00 8/15/2045 Baa2 BBB+ NR 103.97 680 38,110 4.74 15.39 0.09 Portfolio Number: 802 Page 2 SECURITY

December 31, 2016 FIXED INCOME ANALYSIS PAR ORIGINAL COUPON MATURITY UNIT ACCRUED MARKET VALUE YTM MOD ADJ WEIGHT AMOUNT FACE DESCRIPTION (%) DATE MDY S&P FITCH PRICE INTEREST INC ACCR % DUR % 39,000 0 CHUBB INA HOLDINGS INC 4.35 11/3/2045 A3 A A 105.63 273 41,469 4.02 16.96 0.09 65,000 0 INTEL CORP 4.10 5/19/2046 A1 A+ A+ 99.12 311 64,737 4.15 17.23 0.14 122,000 0 EMERA US FINANCE LP 4.75 6/15/2046 Baa3 BBB NR 100.84 258 123,288 4.70 16.09 0.28 178,000 0 COMCAST CORP 3.40 7/15/2046 A3 A- A- 87.33 2,723 158,173 4.15 17.84 0.35 76,000 0 MOLSON COORS BREWING CO 4.20 7/15/2046 Baa3 BBB- BBB- 93.23 1,543 72,400 4.62 16.34 0.16 126,000 0 DIAMOND 1 FIN/DIAMOND 2 8.35 7/15/2046 Baa3 BBB- BBB- 123.13 6,137 161,280 6.56 12.04 0.36 119,000 0 DUKE ENERGY CORP 3.75 9/1/2046 Baa1 BBB+ BBB+ 90.02 1,723 108,848 4.35 17.25 0.24 102,000 0 SHELL INTERNATIONAL FIN 3.75 9/12/2046 Aa2 A AA- 92.01 1,158 95,013 4.22 17.46 0.21 156,000 0 TEVA PHARMACEUTICALS NE 4.10 10/1/2046 Baa2 BBB BBB 85.69 2,843 136,513 5.03 15.98 0.31 82,000 0 ARCH CAPITAL FINANCE LLC 5.03 12/15/2046 A3 A- A- 104.84 264 86,231 4.72 15.96 0.19 101,000 0 MARATHON PETROLEUM CORP 5.00 9/15/2054 Baa2 BBB BBB 84.67 1,487 87,007 6.03 15.14 0.19 27,000 0 TRANSCANADA TRUST 5.88 8/15/2076 Baa2 BBB NR 104.00 617 28,697 5.34 7.18 0.06 TOTAL US CORPORATE Baa1 BBB+ A- 101,362 9,762,060 3.82 8.31 21.83 HIGH YIELD 115,000 0 NUSTAR LOGISTICS LP 4.80 9/1/2020 Ba1 BB+ BB 100.25 1,840 117,128 4.72 3.29 0.26 52,000 0 ENSCO PLC 4.50 10/1/2024 B1 BB NR 85.75 585 45,175 6.90 6.29 0.10 218,000 0 ENSCO PLC 5.20 3/15/2025 B1 BB NR 86.37 3,338 191,618 7.45 6.37 0.43 80,000 0 ENSCO PLC 5.75 10/1/2044 B1 BB NR 72.50 1,150 59,150 8.30 11.34 0.13 TOTAL HIGH YIELD Ba3 BB BB 6,913 413,070 6.74 6.20 0.92 TREASURIES 956,000 0 US TREASURY N/B 0.63 9/30/2017 Aaa AA+ AAA 99.86 1,527 956,182 0.82 0.73 2.14 252,000 0 US TREASURY N/B 1.25 10/31/2018 Aaa AA+ AAA 100.16 540 252,943 1.16 1.80 0.57 3,194,000 0 US TREASURY N/B 0.75 8/15/2019 Aaa AA+ AAA 98.46 9,048 3,153,889 1.35 2.58 7.05 1,312,000 0 US TREASURY N/B 1.38 2/29/2020 Aaa AA+ AAA 99.52 6,130 1,311,877 1.53 3.07 2.93 7,466,000 0 US TREASURY N/B 1.63 7/31/2020 Aaa AA+ AAA 99.93 50,771 7,511,813 1.64 3.45 16.80 1,820,000 0 US TREASURY N/B 2.00 11/15/2026 Aaa AA+ AAA 96.21 4,760 1,755,869 2.43 9.01 3.93 2,885,000 0 US TREASURY N/B 2.25 8/15/2046 Aaa AA+ AAA 84.08 24,519 2,450,284 3.07 21.17 5.48 TOTAL TREASURIES Aaa AA+ AAA 97,293 17,392,859 1.81 6.15 38.89 GOVERNMENT RELATED 1,117,000 0 REPUBLIC OF ARGENTINA 7.50 4/22/2026 B3 B- B 105.00 16,057 1,188,907 6.76 6.68 2.66 TOTAL GOVERNMENT RELATED B3 B- B 16,057 1,188,907 6.76 6.68 2.66 SECURITIZED 255,000 255,000 EVGRN 2016-3 A 1.20 11/16/2020 NR AAA AAA 100.04 145 255,244 1.25 0.08 0.57 135,000 135,000 WFNMT 2016-B A 1.44 6/15/2022 NR AAA AAA 99.66 86 134,626 1.66 1.58 0.30 235,000 235,000 CABMT 2014-2 A 1.15 7/15/2022 NR AAA AAA 100.14 128 235,446 1.17 0.08 0.53 125,000 125,000 COMET 2016-A2 A2 1.33 2/15/2024 NR AAA AAA 100.59 79 125,820 1.26 0.08 0.28 140,000 140,000 FORDR 2014-2 A 2.31 4/15/2026 Aaa NR AAA 100.84 144 141,315 2.01 2.66 0.32 100,000 100,000 MSC 2014-CPT AM 3.40 7/1/2029 NR AA NR 102.49 283 102,770 2.86 4.14 0.23 100,000 100,000 VNDO 2013-PENN A 3.81 12/1/2029 NR AAA NR 104.96 317 105,282 2.47 3.63 0.24 89,633 144,000 FN AP9592 3.50 10/1/2032 Aaa AA+ AAA 104.06 261 93,534 2.58 4.41 0.21 125,765 226,000 FG G30614 3.50 12/1/2032 Aaa AA+ AAA 103.88 367 131,009 2.62 4.42 0.29 64,350 113,000 FN MA1630 4.00 10/1/2033 Aaa AA+ AAA 106.18 214 68,540 2.55 4.11 0.15 Portfolio Number: 802 Page 3 SECURITY

December 31, 2016 FIXED INCOME ANALYSIS PAR ORIGINAL COUPON MATURITY UNIT ACCRUED MARKET VALUE YTM MOD ADJ WEIGHT AMOUNT FACE DESCRIPTION (%) DATE MDY S&P FITCH PRICE INTEREST INC ACCR % DUR % 36,373 61,000 FN MA1688 3.50 12/1/2033 Aaa AA+ AAA 103.91 106 37,902 2.65 4.41 0.08 172,173 299,000 FN MA1763 3.50 1/1/2034 Aaa AA+ AAA 103.90 502 179,391 2.65 4.41 0.40 61,813 97,000 FG C91768 3.50 7/1/2034 Aaa AA+ AAA 103.41 180 64,101 2.78 4.42 0.14 185,000 185,000 GSMS 2012-BWTR A 2.95 11/1/2034 Aaa NR NR 100.01 455 185,472 2.96 5.29 0.41 100,000 100,000 GSMS 2012-BWTR B 3.26 11/1/2034 Aa2 NR NR 99.35 271 99,623 3.39 5.23 0.22 14,160 224,000 FG G01779 5.00 4/1/2035 Aaa AA+ AAA 109.66 59 15,587 2.53 3.02 0.03 93,732 1,657,000 FG G01837 5.00 7/1/2035 Aaa AA+ AAA 109.56 391 103,083 2.57 3.02 0.23 5,097 99,000 FG G01838 5.00 7/1/2035 Aaa AA+ AAA 109.84 21 5,620 2.48 3.02 0.01 178,002 208,000 FG Z40115 6.00 5/1/2036 Aaa AA+ AAA 114.15 890 204,081 2.13 2.73 0.46 104,743 2,326,000 FN 190370 6.00 6/1/2036 Aaa AA+ AAA 113.40 524 119,298 2.53 2.80 0.27 9,725 239,000 FG Z40004 6.00 8/1/2036 Aaa AA+ AAA 113.79 49 11,114 2.23 2.73 0.02 47,543 1,140,000 FN 745950 6.00 11/1/2036 Aaa AA+ AAA 113.25 238 54,082 2.57 2.80 0.12 10,779 67,000 FN 890248 6.00 8/1/2037 Aaa AA+ AAA 115.04 54 12,455 1.95 2.80 0.03 25,563 357,000 FG G05326 5.00 2/1/2038 Aaa AA+ AAA 109.24 107 28,032 2.67 3.02 0.06 69,600 902,000 FN 995724 6.00 4/1/2039 Aaa AA+ AAA 115.27 348 80,576 2.18 2.80 0.18 35,272 262,000 FG G08347 4.50 6/1/2039 Aaa AA+ AAA 107.58 132 38,076 2.87 3.91 0.09 225,577 1,147,000 FG G05606 4.50 7/1/2039 Aaa AA+ AAA 107.77 846 243,947 2.83 3.91 0.55 93,672 534,000 FG G08353 4.50 7/1/2039 Aaa AA+ AAA 107.63 351 101,173 2.86 3.91 0.23 42,365 142,000 FG A89148 4.00 10/1/2039 Aaa AA+ AAA 105.60 141 44,880 2.93 4.14 0.10 15,692 60,000 FN AC2817 4.00 10/1/2039 Aaa AA+ AAA 105.14 52 16,552 3.01 4.20 0.04 56,306 415,000 FG G08372 4.50 11/1/2039 Aaa AA+ AAA 107.59 211 60,790 2.88 3.91 0.14 48,571 54,000 FG Q30058 3.00 1/1/2040 Aaa AA+ AAA 99.41 121 48,405 3.10 5.97 0.11 199,867 752,000 FN 932441 4.00 1/1/2040 Aaa AA+ AAA 105.14 666 210,809 3.00 4.20 0.47 87,090 111,000 FN AX3605 3.50 1/1/2040 Aaa AA+ AAA 102.75 254 89,741 2.97 5.14 0.20 22,863 75,000 FN AC9564 4.50 2/1/2040 Aaa AA+ AAA 108.38 86 24,865 2.69 3.94 0.06 206,595 1,171,000 GN 736663 5.00 3/1/2040 Aaa AA+ AAA 109.49 861 227,072 2.82 2.80 0.51 47,870 233,000 FG A93101 5.00 7/1/2040 Aaa AA+ AAA 109.00 199 52,378 2.88 2.94 0.12 22,866 58,000 GN 783653 5.00 8/1/2040 Aaa AA+ AAA 110.01 95 25,250 2.71 2.80 0.06 760,321 954,000 FN AL7497 3.50 9/1/2040 Aaa AA+ AAA 103.11 2,218 786,219 2.91 5.14 1.76 86,561 235,000 FG G06061 4.00 10/1/2040 Aaa AA+ AAA 105.66 289 91,750 2.93 4.28 0.21 73,815 295,000 FG A95085 4.00 11/1/2040 Aaa AA+ AAA 105.30 246 77,974 2.99 4.14 0.17 36,037 37,000 FG V82101 4.00 11/1/2040 Aaa AA+ AAA 105.59 120 38,172 2.92 4.57 0.09 103,996 266,000 FN AE4414 4.00 11/1/2040 Aaa AA+ AAA 105.52 347 110,085 2.95 4.20 0.25 12,491 35,000 FN AE5143 4.00 11/1/2040 Aaa AA+ AAA 105.49 42 13,219 2.96 4.20 0.03 50,510 178,000 FN AE9284 4.00 11/1/2040 Aaa AA+ AAA 105.43 168 53,421 2.97 4.20 0.12 34,494 94,000 FG A95796 4.00 12/1/2040 Aaa AA+ AAA 105.57 115 36,530 2.95 4.14 0.08 100,864 218,000 FG A95822 4.00 12/1/2040 Aaa AA+ AAA 105.78 336 107,030 2.91 4.28 0.24 39,882 121,000 FN MA0639 4.00 2/1/2041 Aaa AA+ AAA 105.56 133 42,233 2.96 4.20 0.09 144,238 444,000 FN AL0215 4.50 4/1/2041 Aaa AA+ AAA 107.99 541 156,305 2.79 3.94 0.35 87,812 282,000 FN AB3274 4.50 7/1/2041 Aaa AA+ AAA 108.13 329 95,283 2.76 3.94 0.21 71,493 91,000 FN AZ0570 4.00 9/1/2041 Aaa AA+ AAA 105.54 238 75,693 2.89 4.20 0.17 24,633 37,000 FG G60126 4.50 11/1/2041 Aaa AA+ AAA 107.59 92 26,595 2.89 3.91 0.06 Portfolio Number: 802 Page 4 SECURITY

December 31, 2016 FIXED INCOME ANALYSIS PAR ORIGINAL COUPON MATURITY UNIT ACCRUED MARKET VALUE YTM MOD ADJ WEIGHT AMOUNT FACE DESCRIPTION (%) DATE MDY S&P FITCH PRICE INTEREST INC ACCR % DUR % 408,025 576,000 FN AW8154 3.50 1/1/2042 Aaa AA+ AAA 103.13 1,190 422,003 2.95 5.14 0.94 169,362 291,000 DPABS 2012-1A A2 5.22 1/25/2042 Baa1 BBB+ NR 102.00 1,620 174,363 1.60 0.53 0.39 211,817 444,000 FG G06973 4.00 4/1/2042 Aaa AA+ AAA 105.61 706 224,415 2.91 4.28 0.50 203,688 367,000 FN AB5188 3.50 5/1/2042 Aaa AA+ AAA 103.15 594 210,692 2.97 5.14 0.47 170,015 315,000 FN AO5940 3.50 6/1/2042 Aaa AA+ AAA 103.14 496 175,843 2.97 5.14 0.39 75,137 82,000 FN AZ0572 3.00 6/1/2042 Aaa AA+ AAA 99.87 188 75,226 3.01 5.97 0.17 138,773 296,000 FG C04123 4.00 7/1/2042 Aaa AA+ AAA 106.02 463 147,596 2.88 4.28 0.33 16,545 62,000 G2 MA0321 5.00 8/1/2042 Aaa AA+ AAA 108.73 69 18,058 2.92 2.60 0.04 61,246 95,000 FN AP7874 3.50 10/1/2042 Aaa AA+ AAA 103.10 179 63,321 2.98 5.14 0.14 35,169 51,000 FG Q13801 3.00 12/1/2042 Aaa AA+ AAA 99.95 88 35,239 3.01 5.97 0.08 228,738 338,000 FN AB8726 3.50 3/1/2043 Aaa AA+ AAA 103.08 667 236,461 2.99 5.23 0.53 74,848 122,000 FN AT4912 4.00 5/1/2043 Aaa AA+ AAA 105.16 249 78,961 3.00 4.28 0.18 137,000 137,000 GSMS 2010-C1 A2 4.59 8/1/2043 Aaa NR NR 106.62 524 146,591 2.58 3.19 0.33 40,570 66,000 GN 666413 4.00 9/1/2043 Aaa AA+ AAA 106.89 135 43,501 2.53 4.20 0.10 28,307 38,000 FN AS0653 4.00 10/1/2043 Aaa AA+ AAA 105.72 94 30,020 2.91 4.28 0.07 99,125 193,226 FN AT0536 4.00 10/1/2043 Aaa AA+ AAA 105.20 330 104,607 3.01 4.28 0.23 124,299 196,000 FN AV3452 4.00 2/1/2044 Aaa AA+ AAA 105.19 414 131,164 3.01 4.28 0.29 246,471 320,000 FG G60019 4.50 3/1/2044 Aaa AA+ AAA 107.76 924 266,530 2.85 3.91 0.60 264,708 463,000 FN AL6223 4.50 8/1/2044 Aaa AA+ AAA 107.64 993 285,927 2.86 3.94 0.64 648,220 690,000 FN AL9127 4.00 10/1/2044 Aaa AA+ AAA 105.57 1,224 685,580 2.92 4.28 1.53 62,000 62,000 WFRBS 2011-C5 A4 3.67 11/1/2044 Aaa NR AAA 105.46 189 65,572 2.39 4.20 0.15 48,211 67,000 FG Q29416 4.00 11/1/2044 Aaa AA+ AAA 105.44 161 50,993 2.96 4.89 0.11 21,874 32,000 FN AY2685 4.50 1/1/2045 Aaa AA+ AAA 108.02 82 23,711 2.84 3.94 0.05 518,334 627,000 FG G60589 4.00 2/1/2045 Aaa AA+ AAA 105.11 1,728 546,555 3.04 4.27 1.22 40,260 49,000 FG Q31066 4.00 2/1/2045 Aaa AA+ AAA 105.54 134 42,627 2.93 4.89 0.10 79,374 111,000 FG Q31645 4.00 2/1/2045 Aaa AA+ AAA 105.43 265 83,952 2.97 4.57 0.19 171,938 175,000 DNKN 2015-1A A2II 3.98 2/20/2045 NR BBB NR 100.14 779 172,959 3.97 4.43 0.39 59,347 117,000 G2 MA2681 5.00 3/1/2045 Aaa AA+ AAA 107.55 247 64,077 3.22 2.82 0.14 95,000 95,000 WFRBS 2012-C6 AS 3.84 4/1/2045 Aaa NR AAA 104.44 304 99,526 2.88 4.56 0.22 115,054 180,000 GN AM4159 4.00 4/1/2045 Aaa AA+ AAA 106.31 384 122,697 2.55 4.20 0.27 66,324 97,000 FN MA2279 4.00 5/1/2045 Aaa AA+ AAA 105.19 221 69,990 2.95 4.20 0.16 99,830 123,000 GN AM0226 4.00 5/1/2045 Aaa AA+ AAA 106.24 333 106,392 2.58 4.20 0.24 52,576 60,000 GN AM9875 4.00 6/1/2045 Aaa AA+ AAA 106.78 175 56,316 2.46 4.54 0.13 80,474 88,000 GN AM8631 4.00 7/1/2045 Aaa AA+ AAA 106.34 268 85,847 2.56 4.20 0.19 100,471 124,000 GN AN5745 4.00 7/1/2045 Aaa AA+ AAA 106.55 335 107,387 2.52 4.54 0.24 40,864 50,000 GN AN5764 4.00 7/1/2045 Aaa AA+ AAA 106.55 136 43,677 2.53 4.20 0.10 44,202 55,000 GN AN5766 4.00 7/1/2045 Aaa AA+ AAA 106.71 147 47,317 2.48 4.20 0.11 33,201 37,000 GN AN6811 4.00 7/1/2045 Aaa AA+ AAA 106.32 111 35,411 2.58 4.20 0.08 230,000 230,000 WFRBS 2012-C8 AFL 1.71 8/15/2045 Aaa NR AAA 100.75 184 231,908 1.56 0.08 0.52 186,983 224,000 FG Q35611 4.00 9/1/2045 Aaa AA+ AAA 105.45 623 197,795 2.99 4.57 0.44 50,379 60,000 FG Q36238 4.00 9/1/2045 Aaa AA+ AAA 105.28 168 53,206 3.03 4.89 0.12 24,620 37,000 G2 MA3106 4.00 9/1/2045 Aaa AA+ AAA 106.29 82 26,250 2.59 4.20 0.06 Portfolio Number: 802 Page 5 SECURITY

December 31, 2016 FIXED INCOME ANALYSIS PAR ORIGINAL COUPON MATURITY UNIT ACCRUED MARKET VALUE YTM MOD ADJ WEIGHT AMOUNT FACE DESCRIPTION (%) DATE MDY S&P FITCH PRICE INTEREST INC ACCR % DUR % 219,383 241,000 FN AZ9213 4.00 10/1/2045 Aaa AA+ AAA 105.62 731 232,449 2.90 4.92 0.52 120,000 120,000 FREMF 2013-K25 B 3.74 11/1/2045 A2 NR NR 101.60 362 122,286 3.34 5.17 0.27 146,924 159,000 FG Q37163 3.50 11/1/2045 Aaa AA+ AAA 102.66 429 151,266 3.06 5.50 0.34 320,000 320,000 WFRBS 2012-C10 AS 3.24 12/1/2045 Aaa NR NR 100.13 864 321,291 3.21 5.33 0.72 125,293 144,000 FG Q38473 4.00 1/1/2046 Aaa AA+ AAA 105.09 418 132,090 3.07 4.89 0.30 209,639 247,000 FN AS6515 4.00 1/1/2046 Aaa AA+ AAA 105.20 699 221,247 2.99 4.54 0.49 81,302 84,000 FN BC2470 3.50 2/1/2046 Aaa AA+ AAA 103.19 237 84,130 2.97 5.49 0.19 40,982 55,000 FG Q40240 4.00 3/1/2046 Aaa AA+ AAA 105.12 137 43,216 3.09 4.89 0.10 97,314 101,000 FG Q40123 3.50 4/1/2046 Aaa AA+ AAA 102.74 284 100,263 3.06 5.50 0.22 124,892 129,000 FG Q40124 3.50 4/1/2046 Aaa AA+ AAA 102.68 364 128,606 3.07 5.50 0.29 120,145 138,000 FG Q40723 4.00 5/1/2046 Aaa AA+ AAA 105.11 400 126,681 3.10 4.89 0.28 128,621 135,000 FN BC6521 3.50 5/1/2046 Aaa AA+ AAA 102.78 375 132,566 3.05 5.49 0.30 179,550 180,000 BELL 2016-1A A2I 3.83 5/25/2046 NR BBB NR 100.36 688 180,889 3.73 3.07 0.40 64,561 65,000 FN BC8441 4.00 6/1/2046 Aaa AA+ AAA 105.25 215 68,167 3.03 4.92 0.15 169,845 171,000 FN BC5673 4.00 8/1/2046 Aaa AA+ AAA 105.24 566 179,303 3.05 4.92 0.40 113,343 114,000 FN BD1154 3.50 8/1/2046 Aaa AA+ AAA 102.59 331 116,610 3.08 5.49 0.26 148,172 155,000 FN BD4896 4.00 8/1/2046 Aaa AA+ AAA 105.24 494 156,423 3.04 4.92 0.35 63,976 74,000 G2 AV6530 4.00 8/1/2046 Aaa AA+ AAA 106.26 213 68,197 2.73 4.92 0.15 170,526 185,000 G2 MA3875 4.00 8/1/2046 Aaa AA+ AAA 106.29 568 181,817 1.88 4.20 0.41 140,270 142,000 FN BC5696 4.00 9/1/2046 Aaa AA+ AAA 105.23 468 148,077 3.06 4.92 0.33 122,426 127,000 G2 MA4005 4.00 10/1/2046 Aaa AA+ AAA 106.33 408 130,583 2.66 4.92 0.29 TOTAL SECURITIZED Aaa AA+ AAA 42,907 14,404,866 2.77 4.10 32.21 MUNICIPALS 90,000 0 VIRGINIA ST 5.00 6/1/2020 Aaa AAA AAA 111.46 638 100,949 1.55 3.17 0.23 90,000 0 VIRGINIA ST 5.00 6/1/2021 Aaa AAA AAA 113.92 638 103,167 1.72 4.00 0.23 145,000 0 GEORGIA ST 5.00 1/1/2023 Aaa AAA AAA 117.51 886 171,273 1.90 5.17 0.38 185,000 0 GEORGIA ST 5.00 1/1/2024 Aaa AAA AAA 119.30 1,131 221,830 2.03 5.91 0.50 250,000 0 GEORGIA ST 5.00 7/1/2024 Aaa AAA AAA 120.23 1,528 302,095 2.08 6.27 0.68 TOTAL MUNICIPALS Aaa AAA AAA 4,819 899,314 1.93 5.36 2.01 CASH & EQUIVALENTS 660,490 0 US Dollar 0.00 Aaa AAA AAA 1.00 0 660,490 0.25 0.00 1.48 TOTAL CASH & EQUIVALENTS Aaa AAA AAA 0 660,490 0.25 0.00 1.48 TOTAL PORTFOLIO Aa2 AA- AA+ 269,352 44,721,567 2.71 5.87 100.00 SECURITY Portfolio Number: 802 Page 6