Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

PAR VALUE

MARKET VALUE

% OF ASSETS 10.07 %

Asset Backed

CHESAPEAKE FUNDING LLC SERIES 2014-1A GM FINANCIAL LEASING TRUST SERIES 2014HYUNDAI AUTO LEASE SECURITIZAT SERIES ALLY AUTO RECEIVABLES TRUST SERIES 201 HERTZ FLEET LEASE FUNDING LP SERIES 20 DELL EQUIPMENT FINANCE TRUST SERIES 20 CNH EQUIPMENT TRUST SERIES 16-A CLASS DRIVE AUTO RECEIVABLES TRUST SERIES 16 CAPITAL AUTO RECEIVABLES ASSET SERIES SLM STUDENT LOAN TRUST SERIES 2013-B C DELL EQUIPMENT FINANCE TRUST SERIES 15 VOLKSWAGEN AUTO LEASE TRUST SERIES 2 SUNTRUST AUTO RECEIVABLES TRUS SERIE CAPITAL AUTO RECEIVABLES ASSET SERIES CHESAPEAKE FUNDING II LLC SERIES 2016-1 CARMAX AUTO OWNER TRUST SERIES 2015-2 SANTANDER DRIVE AUTO RECEIVABL SERIES CHRYSLER CAPITAL AUTO RECIEVAB SERIES HERTZ FLEET LEASE FUNDING LP SERIES 20 FORD CREDIT AUTO LEASE TRUST SERIES 16 DRIVE AUTO RECEIVABLES TRUST SERIES 20 DRIVE AUTO RECEIVABLES TRUST SERIES 15 OPTION ONE MORTGAGE LOAN TRUST SERIE AMERICREDIT AUTOMOBILE RECEIVA SERIES ALLY AUTO RECEIVABLES TRUST SERIES 16CABELA'S MASTER CREDIT CARD TR SERIES WORLD OMNI AUTO RECEIVABLES TR SERIE SANTANDER DRIVE AUTO RECEIVABL SERIES SLM STUDENT LOAN TRUST SERIES 2012-A C ALLY AUTO RECEIVABLES TRUST SERIES 201 MMCA AUTOMOBILE TRUST SERIES 2014-A CL CHASE ISSUANCE TRUST SERIES 2007-B1 CL AMERICREDIT AUTOMOBILE RECEIVA SERIES MERCEDES- BENZ AUTO LEASE TRUS SERIES TRADE MAPS LTD SERIES 2013-1A CLASS A 1

0.86 1.22 0.98 1.03 0.99 1.01 0.96 1.34 1.13 1.09 1.33 0.75 0.99 0.83 1.59 0.72 1.21 1.46 0.84 0.98 1.30 1.31 1.21 1.19 1.35 0.79 1.14 2.33 1.84 2.04 1.21 0.69 2.18 0.76 1.14

03/07/2026 01/22/2018 07/16/2018 09/20/2017 12/10/2027 07/24/2017 07/15/2019 03/15/2018 11/20/2018 07/15/2022 12/22/2017 06/20/2017 06/15/2018 10/20/2017 03/15/2028 06/15/2018 07/15/2019 12/17/2018 04/10/2028 11/15/2018 06/15/2018 06/15/2018 11/25/2034 06/10/2019 05/15/2020 03/16/2020 01/15/2020 11/15/2019 08/15/2025 05/15/2020 12/16/2019 04/15/2019 06/08/2020 02/15/2017 12/10/2018

19,681,919 16,450,000 14,000,000 12,000,000 11,590,207 11,136,179 11,000,000 11,000,000 10,945,000 10,894,856 10,000,000 9,975,283 9,632,007 9,000,000 8,000,000 7,865,995 7,500,000 7,350,000 7,145,517 7,000,000 7,000,000 6,454,740 6,668,711 6,100,000 5,765,000 5,700,000 5,675,000 5,633,000 5,527,035 5,325,000 5,219,838 5,100,000 5,000,000 4,917,654 4,775,000

$ 19,626,255 $ 16,451,857 $ 14,004,645 $ 11,991,419 $ 11,570,168 $ 11,121,608 $ 11,000,384 $ 10,999,997 $ 10,950,056 $ 10,837,327 $ 9,999,016 $ 9,957,472 $ 9,630,765 $ 8,989,231 $ 8,000,000 $ 7,865,995 $ 7,499,998 $ 7,355,188 $ 7,128,942 $ 7,000,401 $ 6,992,238 $ 6,454,331 $ 6,366,792 $ 6,103,636 $ 5,757,051 $ 5,692,526 $ 5,673,452 $ 5,659,502 $ 5,528,566 $ 5,336,227 $ 5,211,747 $ 5,080,172 $ 5,032,985 $ 4,917,167 $ 4,744,233

0.50 % 0.42 % 0.35 % 0.30 % 0.29 % 0.28 % 0.28 % 0.28 % 0.28 % 0.27 % 0.25 % 0.25 % 0.24 % 0.23 % 0.20 % 0.20 % 0.19 % 0.19 % 0.18 % 0.18 % 0.18 % 0.16 % 0.16 % 0.15 % 0.15 % 0.14 % 0.14 % 0.14 % 0.14 % 0.13 % 0.13 % 0.13 % 0.13 % 0.12 % 0.12 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

VOLKSWAGEN AUTO LEASE TRUST SERIES 2 CARMAX AUTO OWNER TRUST SERIES 2013CAPITAL AUTO RECEIVABLES ASSET SERIES DELL EQUIPMENT FINANCE TRUST SERIES 15 NAVIENT STUDENT LOAN TRUST 201 SERIES ALLY AUTO RECEIVABLES TRUST SERIES 201 NISSAN AUTO RECEIVABLES OWNER SERIES SOCIAL PROFESSIONAL LOAN PROGR SERIE SLM STUDENT LOAN TRUST SERIES 2012-E C NAVIENT STUDENT LOAN TRUST SERIES 2014 SANTANDER DRIVE AUTO RECEIVABL SERIES CHASE ISSUANCE TRUST SERIES 2007-C1 CL NOMURA HOME EQUITY LOAN INC SERIES 20 CARMAX AUTO OWNER TRUST SERIES 2014-4 HONDA AUTO RECEIVABLES OWNER T SERIE SLM STUDENT LOAN TRUST SERIES 2012-C C CARMAX AUTO OWNER TRUST SERIES 2015-1 BARCLAYS DRYROCK ISSUANCE TRUS SERIE SANTANDER DRIVE AUTO RECEIVABL SERIES AMERICREDIT AUTOMOBILE RECEIVA SERIES ALLY AUTO RECEIVABLES TRUST SERIES 201 SANTANDER DRIVE AUTO RECEIVABL SERIES SBA TOWER TRUST SERIES 2014-1A CLASS C SLM STUDENT LOAN TRUST SERIES 2012-6 C WAMU ASSET-BACKED SERIES 2006-HE1 CLA GM FINANCIAL AUTOMOBILE LEASIN SERIES BARCLAYS DRYROCK ISSUANCE TRUS SERIE NAVIENT STUDENT LOAN TRUST SERIES 2015 DRIVE AUTO RECEIVABLES TRUST SERIES 20 NISSAN AUTO RECEIVABLES OWNER SERIES CNH EQUIPMENT TRUST SERIES 2014-C CLAS CAPITAL AUTO RECEIVABLES ASSET SERIES SLM STUDENT LOAN TRUST SERIES 2013-A C DRIVE AUTO RECEIVABLES TRUST SERIES 1 AMERICREDIT AUTOMOBILE RECEIVA SERIES FORD CREDIT AUTO OWNER TRUST SERIES 1 SLM STUDENT LOAN TRUST SERIES 2014-A C

1.25 1.71 0.85 1.72 0.73 0.81 1.05 1.00 1.19 0.71 0.91 0.90 0.60 1.25 0.92 1.54 0.88 0.80 1.76 1.52 1.21 2.46 2.90 0.71 0.61 1.76 1.48 0.94 1.04 0.67 1.65 1.26 1.04 1.11 0.95 1.32 1.04

12/20/2017 07/15/2019 07/20/2017 09/22/2020 09/26/2022 09/15/2017 10/15/2019 08/25/2036 10/16/2023 08/25/2020 07/16/2018 04/15/2019 03/25/2036 11/15/2019 11/20/2017 08/15/2023 03/15/2018 12/16/2019 09/16/2019 06/10/2019 02/20/2019 06/15/2020 10/15/2044 09/25/2019 04/25/2036 05/21/2018 09/15/2020 12/15/2021 12/15/2017 08/15/2018 09/15/2021 05/21/2018 08/15/2022 02/15/2018 01/08/2019 01/15/2019 07/15/2022

PAR VALUE 4,250,000 4,000,000 3,638,658 3,500,000 3,247,044 3,143,980 3,000,000 3,000,000 2,976,049 2,911,183 2,820,148 2,800,000 2,878,283 2,750,000 2,650,000 2,603,279 2,566,422 2,550,000 2,525,000 2,000,000 2,000,000 1,975,000 1,960,000 1,909,935 1,926,525 1,875,000 1,750,000 1,747,263 1,694,705 1,677,457 1,650,000 1,500,000 1,426,825 1,402,652 1,318,418 1,275,000 1,217,495

MARKET VALUE $ 4,224,794 $ 4,010,750 $ 3,637,460 $ 3,495,442 $ 3,208,402 $ 3,143,353 $ 2,998,575 $ 2,979,003 $ 2,969,786 $ 2,896,424 $ 2,818,518 $ 2,788,407 $ 2,777,227 $ 2,751,182 $ 2,649,604 $ 2,601,115 $ 2,566,329 $ 2,549,234 $ 2,529,047 $ 2,003,391 $ 1,997,904 $ 1,987,062 $ 1,969,274 $ 1,902,936 $ 1,887,506 $ 1,876,025 $ 1,752,794 $ 1,739,979 $ 1,694,278 $ 1,675,017 $ 1,651,274 $ 1,499,307 $ 1,422,471 $ 1,402,312 $ 1,317,795 $ 1,268,618 $ 1,210,600

% OF ASSETS 0.11 % 0.10 % 0.09 % 0.09 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.06 % 0.06 % 0.06 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.03 % 0.03 % 0.03 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

ARI FLEET LEASE TRUST SERIES 2012-B CLA CAPITAL AUTO RECEIVABLES ASSET SERIES VOLKSWAGEN AUTO LOAN ENHANCED SERIE COUNTRYWIDE ASSET-BACKED CERT SERIE CARMAX AUTO OWNER TRUST SERIES 2014-4 DRIVE AUTO RECEIVABLES TRUST SERIES 16 FORD CREDIT FLOORPLAN MASTER SERIES 2 MASTR ASSET BACKED SEC SERIES 2003-WM AMERIQUEST MORTGAGE SECURITIES SERIE SANTANDER DRIVE AUTO RECEIVABL SERIES DRIVE AUTO RECEIVABLES TRUST SERIES 20 FIRST NLC TRUST SERIES 2005-1 CLASS M1 SANTANDER DRIVE AUTO RECEIVABL SERIES OPTION ONE MORTGAGE LOAN TRUST SERIE SPECIALTY UNDERWRITING & RESID SERIES NAVIENT STUDENT LOAN TRUST SERIES 2014 SAXON ASSET SECURITIES TRUST SERIES 20 ENTERPRISE FLEET FINANCING LLC SERIES SLM PRIVATE EDUCATION LOAN TRU SERIES NEW CENTURY HOME EQUITY LOAN T SERIE ENTERPRISE FLEET FINANCING LLC SERIES LONG BEACH MORTGAGE LOAN TRUST SERI FNMA SERIES 2003-T2 CLASS A1 CDC MORTGAGE CAPITAL TRUST SERIES 200 SLM STUDENT LOAN TRUST SERIES 2008-5 C MASTR ASSET BACKED SEC SERIES 2003-WM CHASE FUNDING MORTGAGE LOAN AS SERIE TOTAL Asset Backed

0.74 1.24 0.91 1.93 2.44 3.17 0.84 2.91 1.71 2.36 0.93 0.93 0.84 2.08 1.20 0.92 2.13 1.06 1.49 1.01 1.38 1.48 0.71 1.53 1.92 3.44 0.93

01/15/2021 10/20/2017 10/22/2018 03/25/2033 11/16/2020 05/15/2020 02/15/2019 08/25/2033 08/25/2033 04/15/2020 12/15/2017 05/25/2035 04/16/2018 01/25/2034 02/25/2035 05/16/2022 03/25/2035 03/20/2019 06/15/2023 03/25/2035 09/20/2019 02/25/2034 03/25/2033 03/25/2034 01/25/2018 08/25/2033 05/25/2032

PAR VALUE 1,186,643 1,163,801 1,073,526 1,059,721 1,000,000 1,000,000 1,000,000 861,898 839,809 600,000 586,742 797,681 458,393 452,162 422,045 363,239 853,339 331,079 291,061 275,487 200,000 203,748 152,118 163,809 77,300 76,584 45,961

MARKET VALUE $ 1,185,223 $ 1,163,710 $ 1,068,314 $ 1,032,874 $ 1,009,257 $ 1,000,598 $ 998,206 $ 844,393 $ 797,293 $ 601,933 $ 586,544 $ 531,301 $ 458,368 $ 393,070 $ 383,229 $ 362,546 $ 342,394 $ 330,918 $ 290,911 $ 275,337 $ 199,186 $ 193,582 $ 148,415 $ 138,982 $ 77,316 $ 70,414 $ 42,947 $ 398,911,803

0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.02 % 0.02 % 0.02 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 58.91 %

Bonds & Notes US TREASURY N/B US TREASURY N/B US TREASURY N/B US TREASURY N/B US TREASURY N/B US TREASURY N/B US TREASURY N/B TIPS

% OF ASSETS

3.00 4.50 3.75 2.13 2.63 3.00 0.25

11/15/2044 02/15/2036 11/15/2043 08/31/2020 08/15/2020 11/15/2045 01/15/2025

42,435,000 32,675,000 35,718,000 31,925,000 28,420,000 27,900,000 19,460,000

$ 45,791,693 $ 44,832,387 $ 44,362,863 $ 33,234,436 $ 30,200,684 $ 30,120,003 $ 19,629,033

1.16 % 1.13 % 1.12 % 0.84 % 0.76 % 0.76 % 0.50 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

US TREASURY N/B US TREASURY N/B TREASURY BILL US TREASURY N/B GOLDMAN SACHS GROUP INC SERIES MTN GE CAPITAL INTL FUNDING SERIES 144A XLIT LTD BANK OF NEW YORK MELLON SERIES E FOREST LABORATORIES INC SERIES 144A VISA INC US TREASURY N/B US TREASURY N/B ZIMMER BIOMET HOLDINGS INC US TREASURY N/B SKANDINAVISKA ENSKILDA SERIES 144A US TREASURY N/B SKANDINAVISKA ENSKILDA SERIES EMTN ANHEUSER-BUSCH INBEV FIN ANHEUSER-BUSCH INBEV FIN MORGAN STANLEY APPLE INC FRN ASSOCIATED BANC CORP PRUDENTIAL FINANCIAL INC VERIZON COMMUNICATIONS INC SERIES FRN ELECTRICITE DE FRANCE SERIES 144A GENERAL MOTORS FINL CO GOLDMAN SACHS GROUP INC SERIES M US TREASURY N/B ANHEUSER-BUSCH INBEV FIN INTESA SANPAOLO SPA SERIES 144A VISA INC US TREASURY N/B ACE INA HOLDINGS ING US INC REGENCY CENTERS LP US TREASURY N/B ANHEUSER-BUSCH INBEV FIN

1.50 3.88 0.00 0.88 1.31 2.34 4.45 4.95 5.00 3.15 2.88 1.50 2.70 2.13 2.63 1.63 5.75 2.65 4.90 4.10 0.92 4.25 5.38 1.04 2.35 2.63 5.38 1.38 3.65 5.71 2.20 4.00 2.30 5.65 5.88 2.38 4.70

12/31/2018 08/15/2040 05/26/2016 07/15/2018 12/15/2017 11/15/2020 03/31/2025 12/15/2021 12/14/2025 08/15/2045 01/31/2022 04/01/2020 12/31/2022 11/17/2020 12/31/2019 02/01/2021 02/01/2046 05/22/2023 05/06/2019 01/15/2025 05/15/2045 06/09/2017 10/13/2020 07/10/2017 12/31/2018 02/01/2026 01/15/2026 12/14/2020 08/15/2018 11/03/2020 05/15/2053 06/15/2017 05/31/2018 02/01/2036

PAR VALUE 19,075,000 13,445,000 15,000,000 14,035,000 13,600,000 12,403,000 12,485,000 12,155,000 10,630,000 10,725,000 10,340,000 10,553,600 10,370,000 10,000,000 10,180,000 10,000,000 10,500,000 9,660,000 8,790,000 9,425,000 9,735,000 9,340,000 9,005,000 8,825,000 8,655,000 8,550,000 8,865,000 8,430,000 7,960,000 8,550,000 8,005,000 7,475,000 7,825,000 8,545,000 7,500,000 7,475,000 7,105,000

MARKET VALUE $ 19,418,503 $ 16,851,936 $ 14,992,323 $ 14,060,768 $ 13,565,687 $ 12,706,129 $ 12,362,697 $ 12,139,806 $ 11,867,577 $ 11,195,559 $ 10,876,388 $ 10,606,780 $ 10,515,398 $ 10,387,500 $ 10,280,151 $ 10,211,720 $ 10,166,793 $ 9,926,490 $ 9,823,370 $ 9,719,475 $ 9,683,774 $ 9,494,698 $ 8,914,950 $ 8,807,429 $ 8,743,255 $ 8,602,035 $ 8,576,001 $ 8,552,825 $ 8,370,839 $ 8,297,766 $ 8,203,868 $ 8,056,353 $ 7,955,294 $ 7,946,850 $ 7,862,460 $ 7,732,245 $ 7,678,402

% OF ASSETS 0.49 % 0.43 % 0.38 % 0.36 % 0.34 % 0.32 % 0.31 % 0.31 % 0.30 % 0.28 % 0.27 % 0.27 % 0.27 % 0.26 % 0.26 % 0.26 % 0.26 % 0.25 % 0.25 % 0.25 % 0.24 % 0.24 % 0.23 % 0.22 % 0.22 % 0.22 % 0.22 % 0.22 % 0.21 % 0.21 % 0.21 % 0.20 % 0.20 % 0.20 % 0.20 % 0.20 % 0.19 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

MEDTRONIC INC SERIES WI DEVON ENERGY CORP MORGAN STANLEY SERIES MTN VERIZON COMMUNICATIONS INC SERIES WI CVS CAREMARK CORP SERIES 144A GENERAL MOTORS FINL CO SERIES 144A BPCE SA Series 144A XLIT LTD COOPERATIEVE CENTRALE RAIFFEIS US TREASURY N/B US TREASURY N/B HEINZ HJ CO SERIES 144A ROCK-TENN CO FIRST HORIZON NATIONAL CORP US TREASURY N/B RUSSIA FOREIGN BOND AMERICAN INTERNATIONAL GROUP I AMERICAN INTERNATIONAL GROUP I VERIZON COMMUNICATIONS INC DTE ENERGY CO MEDTRONIC INC SERIES WI UBS AG JERSEY BRANCH SERIES EMTN US BANCORP SERIES MTN GOLDMAN SACHS GROUP INC GE CAPITAL INTL FUNDING SERIES 144A HOME DEPOT INC ONCOR ELECTRIC DELIVERY PPL WEM HOLDINGS PLC SERIES 144A ELECTRICITE DE FRANCE SERIES 144A DISCOVER BANK ACTAVIS FUNDING SCS AT&T INC TYCO ELECTRONICS GROUP SA INTESA SANPAOLO SPA SERIES 144A TALISMAN ENERGY INC AMERICAN INTERNATIONAL GROUP I GOLDMAN SACHS GROUP INC

4.63 2.25 2.38 5.01 4.75 3.25 4.63 5.50 5.25 0.88 4.38 2.80 3.50 3.50 2.13 7.50 3.75 3.88 5.15 6.38 4.38 7.25 2.35 2.60 4.42 3.35 2.15 5.38 2.15 2.60 3.80 2.45 3.50 5.02 7.75 3.38 5.15

03/15/2045 12/15/2018 07/23/2019 08/21/2054 12/01/2022 05/15/2018 07/11/2024 03/31/2045 08/04/2045 04/30/2017 05/15/2040 07/02/2020 03/01/2020 12/15/2020 05/15/2025 03/31/2030 07/10/2025 01/15/2035 09/15/2023 04/15/2033 03/15/2035 02/22/2022 01/29/2021 04/23/2020 11/15/2035 09/15/2025 06/01/2019 05/01/2021 01/22/2019 11/13/2018 03/15/2025 06/30/2020 02/03/2022 06/26/2024 06/01/2019 08/15/2020 05/22/2045

PAR VALUE 6,860,000 8,140,000 6,860,000 6,679,000 5,963,000 6,580,000 6,685,000 6,680,000 5,925,000 6,325,000 4,685,000 6,115,000 6,150,000 6,240,000 6,025,000 5,024,545 6,105,000 6,755,000 5,165,000 4,830,000 5,490,000 5,765,000 5,785,000 5,815,000 5,371,000 5,370,000 5,760,000 5,236,000 5,675,000 5,720,000 5,400,000 5,525,000 5,375,000 5,920,000 5,360,000 5,255,000 5,270,000

MARKET VALUE $ 7,677,835 $ 7,596,972 $ 6,932,105 $ 6,700,567 $ 6,691,303 $ 6,689,511 $ 6,543,926 $ 6,409,233 $ 6,407,662 $ 6,340,072 $ 6,303,705 $ 6,280,967 $ 6,235,596 $ 6,235,576 $ 6,211,160 $ 6,132,829 $ 6,097,723 $ 6,034,052 $ 5,961,510 $ 5,955,409 $ 5,943,622 $ 5,923,543 $ 5,873,262 $ 5,862,892 $ 5,835,017 $ 5,819,061 $ 5,807,364 $ 5,806,792 $ 5,740,807 $ 5,734,351 $ 5,620,012 $ 5,598,599 $ 5,593,101 $ 5,543,743 $ 5,538,338 $ 5,429,182 $ 5,353,703

% OF ASSETS 0.19 % 0.19 % 0.18 % 0.17 % 0.17 % 0.17 % 0.17 % 0.16 % 0.16 % 0.16 % 0.16 % 0.16 % 0.16 % 0.16 % 0.16 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.15 % 0.14 % 0.14 % 0.14 % 0.14 % 0.14 % 0.14 % 0.14 % 0.14 % 0.14 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

CC HOLDING GS V LLC DAIMLER FINANCE NA LLC SERIES 144A COMCAST CORP GOLDMAN SACHS GROUP INC LOCKHEED MARTIN CORP US TREASURY N/B SMUCKER JM CO/THE SERIES WI ING BANK NV SERIES 144A RABOBANK NEDERLAND SERIES 144A LOUISVILLE GAS & ELECTRIC SERIES 45 COLUMBIA PIPELINE GROUP SERIES 144A SCENTRE GROUP TR SCGAU SERIES 144A BANK OF AMERICA CORP SERIES AA ANGLO AMERICAN CAPITAL SERIES 144A GENERAL ELEC CAP CORP FEDEX CORP CVS CAREMARK CORP APPLE INC APPLE INC AMER AIRLINES SERIES 2015-1 CLASS A US TREASURY N/B CVS CAREMARK CORP CSX CORP BARCLAYS PLC UNITEDHEALTH GROUP INC JP MORGAN CHASE & CO AT&T INC ZIMMER BIOMET HOLDINGS INC IMPERIAL TOBACCO FINANCE SERIES 144A CHARTER COMM OPT LLC/CAP SERIES 144A CCO HLDGS LLC/CAP CORP SERIES 144A PHILIP MORRIS INTERNATIONAL US TREASURY N/B EXXON MOBIL CORP ABBVIE INC EXELON CORP US TREASURY N/B

3.85 2.45 3.38 3.75 4.70 2.00 4.38 2.70 11.00 3.30 3.30 2.38 6.10 1.57 5.30 4.75 5.13 4.65 3.25 3.38 0.63 4.88 3.95 8.25 4.63 4.13 4.50 3.55 4.25 4.46 5.13 1.88 3.13 2.22 2.50 2.85 0.13

04/15/2023 05/18/2020 02/15/2025 02/25/2026 05/15/2046 02/15/2025 03/15/2045 08/17/2020 10/01/2025 06/01/2020 04/28/2021

04/15/2016 02/11/2021 11/15/2045 07/20/2045 02/23/2046 02/23/2026 05/01/2027 08/15/2016 07/20/2035 05/01/2050 07/15/2035 12/15/2026 05/15/2035 04/01/2025 07/21/2025 07/23/2022 05/01/2023 02/25/2021 02/15/2042 03/01/2021 05/14/2020 06/15/2020 07/15/2024

PAR VALUE 5,190,000 5,185,000 4,915,000 5,065,000 4,610,000 5,000,000 4,865,000 4,980,000 4,218,000 4,805,000 5,075,000 5,065,000 5,070,000 5,000,000 4,281,000 4,685,000 4,275,000 4,530,000 4,735,000 5,065,466 4,880,000 4,355,000 5,285,000 4,815,000 4,300,000 4,600,000 4,820,000 4,690,000 4,455,000 4,520,000 4,620,000 4,675,000 4,191,000 4,575,000 4,525,000 4,466,000 4,470,000

MARKET VALUE $ 5,350,636 $ 5,239,785 $ 5,222,994 $ 5,194,532 $ 5,154,584 $ 5,106,835 $ 5,094,195 $ 5,083,574 $ 5,061,178 $ 5,049,488 $ 5,043,647 $ 5,027,124 $ 4,993,950 $ 4,982,070 $ 4,971,735 $ 4,958,271 $ 4,950,972 $ 4,945,193 $ 4,943,653 $ 4,938,829 $ 4,884,338 $ 4,855,690 $ 4,827,557 $ 4,805,226 $ 4,800,425 $ 4,775,025 $ 4,752,992 $ 4,738,757 $ 4,738,365 $ 4,724,611 $ 4,700,850 $ 4,698,665 $ 4,661,012 $ 4,655,987 $ 4,606,776 $ 4,557,526 $ 4,475,365

% OF ASSETS 0.14 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.13 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.12 % 0.11 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

ACE INA HOLDINGS AGRIUM INC COMCAST CORP AMERICAN HONDA FINANCE SERIES MTN AT&T INC LOCKHEED MARTIN CORP SERIES 10YR WELLS FARGO & COMPANY SERIES GMTN MCDONALD'S CORP ING US INC VERIZON COMMUNICATIONS INC US TREASURY N/B INGERSOLL RAND LUX FINAN SOUTHERN CAL EDISON SERIES C WM WRIGLEY JR CO SERIES 144A UBS GROUP FUNDING SERIES 144A PFIZER INC EXXON MOBIL CORP GOLDMAN SACHS GROUP INC DOMINION RESOURCES INC US TREASURY N/B SIMON PROPERTY GROUP LP BBVA BANCOMER SERIES 144A BPCE SA SERIES BKNT MORGAN STANLEY SERIES GMTN US TREASURY N/B PACKAGING CORP OF AMERICA CITIZENS FINANCIAL GROUP INC KENTUCKY UTILITIES TIAA ASSET MGMT FIN LLC SERIES 144A JOHNSON & JOHNSON ENLINK MIDSTREAM PARTNER JP MORGAN CHASE & CO CRH AMERICA INC US TREASURY N/B AMERICAN INTERNATIONAL GROUP I SKANDINAVISKA ENSKILDA BAE SYSTEMS HOLDINGS INC SERIES 144A

3.35 3.38 6.40 2.45 4.45 3.55 4.90 4.88 5.50 1.35 1.38 3.55 3.60 3.38 2.95 5.20 3.04 4.25 3.90 1.38 2.50 6.75 2.65 4.00 0.50 4.50 4.30 3.30 2.95 3.70 4.15 4.95 8.13 3.00 3.30 2.63 3.85

05/03/2026 03/15/2025 03/01/2040 09/24/2020 05/15/2021 01/15/2026 11/17/2045 12/09/2045 07/15/2022 06/09/2017 04/30/2020 11/01/2024 02/01/2045 10/21/2020 09/24/2020 08/12/2020 03/01/2026 10/21/2025 10/01/2025 03/31/2020 09/01/2020 09/30/2022 02/03/2021 07/23/2025 11/30/2016 11/01/2023 12/03/2025 10/01/2025 11/01/2019 03/01/2046 06/01/2025 06/01/2045 07/15/2018 05/15/2045 03/01/2021 03/15/2021 12/15/2025

PAR VALUE 4,260,000 4,575,000 3,230,000 4,245,000 3,985,000 4,105,000 4,020,000 3,920,000 3,820,000 4,260,000 4,225,000 4,115,000 4,380,000 4,000,000 4,105,000 3,585,000 4,015,000 4,035,000 3,985,000 4,000,000 3,960,000 3,605,000 3,960,000 3,820,000 3,955,000 3,685,000 3,690,000 3,615,000 3,720,000 3,575,000 4,795,000 3,520,000 3,250,000 3,390,000 3,575,000 3,595,000 3,530,000

MARKET VALUE $ 4,447,414 $ 4,403,209 $ 4,378,145 $ 4,374,430 $ 4,353,342 $ 4,348,271 $ 4,314,835 $ 4,282,471 $ 4,272,922 $ 4,272,218 $ 4,268,737 $ 4,214,661 $ 4,203,149 $ 4,165,388 $ 4,118,600 $ 4,109,683 $ 4,109,196 $ 4,102,736 $ 4,098,533 $ 4,043,436 $ 4,032,452 $ 4,001,190 $ 3,995,886 $ 3,994,326 $ 3,954,846 $ 3,864,043 $ 3,814,390 $ 3,796,636 $ 3,775,302 $ 3,753,482 $ 3,720,719 $ 3,715,247 $ 3,659,468 $ 3,656,037 $ 3,655,034 $ 3,639,639 $ 3,632,306

% OF ASSETS 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

HCA INC COOPERATIEVE CENTRALE RAIFFEIS ANHEUSER-BUSCH INBEV FIN PIONEER NATURAL RESOURCES CO BBVA CIT GROUP INC DANSKE BANK A/S SERIES 144A UBS GROUP AG NORDEA BANK AB SERIES 144A JP MORGAN CHASE & CO SERIES Z CISCO SYSTEMS INC HOSPITALITY PROPERTIES T ACTAVIS FUNDING SCS WIND ACQUISITION SERIES 144A ISTAR FINANCIAL INC PACIFIC GAS & ELECTRIC AT&T INC BANK OF AMERICA CORP SERIES V UNITEDHEALTH GROUP INC US TREASURY N/B GOLDMAN SACHS GROUP INC DOMINION GAS HLDGS LLC JPMORGAN CHASE & CO SERIES V ANADARKO PETROLEUM CORP DAIMLER FINANCE NA LLC SERIES 144A PUGET ENERGY INC JP MORGAN CHASE & CO ELECTRICITE DE FRANCE SERIES 144A UBS AG STAMFORD CT SERIES MTN AMERICAN TOWER CORP SERIES 5YR FORD MOTOR CREDIT CO LLC SKANDINAVISKA ENSKILDA SERIES 144A ZIMMER BIOMET HOLDINGS INC INTERCONTINENTALEXCHANGE ABBVIE INC ROYAL BANK OF SCOTLND GRP PLC CELGENE CORP

5.25 4.63 3.30 3.45 3.00 3.88 2.80 7.13 2.50 5.30 2.20 4.25 3.00 7.38 0.00 3.50 3.80 5.13 4.75 0.13 6.75 2.80 5.00 5.55 2.25 6.00 4.40 5.63 2.35 3.30 1.56 2.45 2.00 2.75 4.70 7.65 2.88

04/15/2025 12/01/2023 02/01/2023 01/15/2021 10/20/2020 02/19/2019 03/10/2021 09/17/2020 02/28/2021 02/15/2021 03/12/2020 04/23/2021 03/19/2017 06/15/2025 03/15/2022 07/15/2045 01/15/2022 10/01/2037 11/15/2020 03/15/2026 03/02/2020 09/01/2021 07/22/2020 03/26/2020 02/15/2021 01/09/2018 05/27/2020 04/01/2018 12/01/2020 05/14/2045 08/15/2020

PAR VALUE 3,510,000 3,400,000 3,450,000 3,605,000 3,530,000 3,570,000 3,495,000 3,500,000 3,480,000 3,500,000 3,430,000 3,447,000 3,390,000 3,825,000 3,477,671 3,245,000 3,255,000 3,625,000 2,965,000 3,200,000 2,845,000 3,315,000 3,520,000 3,305,000 3,310,000 2,910,000 3,045,000 3,595,000 3,240,000 3,210,000 3,300,000 3,220,000 3,230,000 3,170,000 3,040,000 2,750,000 3,105,000

MARKET VALUE $ 3,615,300 $ 3,589,040 $ 3,586,699 $ 3,585,991 $ 3,566,235 $ 3,561,075 $ 3,548,288 $ 3,538,500 $ 3,523,580 $ 3,508,750 $ 3,498,243 $ 3,497,516 $ 3,485,625 $ 3,461,625 $ 3,451,588 $ 3,431,049 $ 3,430,070 $ 3,425,625 $ 3,399,939 $ 3,399,017 $ 3,398,170 $ 3,384,761 $ 3,361,600 $ 3,334,097 $ 3,330,456 $ 3,318,031 $ 3,313,420 $ 3,289,425 $ 3,275,698 $ 3,264,962 $ 3,261,677 $ 3,244,440 $ 3,237,674 $ 3,236,679 $ 3,232,651 $ 3,217,500 $ 3,198,016

% OF ASSETS 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

PPL ELECTRIC UTILITIES CSX CORP BANK OF AMERICA CORP SERIES MTN ALIBABA GROUP HOLDING LTD SERIES WI CONOCOPHILLIPS ALABAMA POWER CO XCEL ENERGY INC BANK OF NY MELLON CORP DOMTAR CORP SANTANDER UK GROUP HLDGS SERIES 144A US TREASURY N/B UBS GROUP FUNDING SERIES 144A MIDAMERICAN ENERGY CO MORGAN STANLEY CITY NATIONAL CORP RETAIL PROPERTIES OF AME-A SELECT INCOME REIT WYNDHAM WORLDWIDE CORP ELECTRICITE DE FRANCE SERIES 144A MARTIN MARIETTA MATERIALS INC PHILLIPS 66 COMMONWEALTH EDISON FORD MOTOR COMPANY BARRICK NA FINANCE LLC INTL LEASE FINANCE CORP 21ST CENTURY FOX AMERICA CONS EDISON CO OF NY SVENSKA HANDELSBANKEN AB INTESA SANPAOLO SPA SERIES 144A AT&T INC SERIES WI KEYSIGHT TECHNOLOGIES SERIES WI BANK OF AMERICA CORP SERIES L GENERAL MOTORS CO SERIES WI US TREASURY STRIPS GOLDMAN SACHS GROUP INC REPUBLIC SERVICES INC MORGAN STANLEY

4.75 7.38 4.20 3.13 1.52 4.15 3.30 2.50 6.25 4.75 3.38 4.13 4.25 4.88 5.25 4.00 4.15 2.50 3.63 4.25 4.65 3.70 7.40 4.40 6.25 5.40 4.50 5.25 7.70 6.00 3.30 3.95 3.50 0.00 4.75 3.80 2.65

07/15/2043 02/01/2019 08/26/2024 11/28/2021 05/15/2022 08/15/2044 06/01/2025 04/15/2021 09/01/2042 09/15/2025 05/15/2044 04/15/2026 05/01/2046 11/01/2022 09/15/2020 03/15/2025 02/01/2022 03/01/2018 10/13/2025 07/02/2024 11/15/2034 03/01/2045 11/01/2046 05/30/2021 05/15/2019 10/01/2043 12/01/2045

08/15/2040 10/30/2019 04/21/2025 10/02/2018 05/15/2035 10/21/2045 05/15/2018 01/27/2020

PAR VALUE 2,800,000 2,745,000 3,075,000 3,050,000 3,355,000 2,940,000 2,950,000 2,960,000 3,025,000 3,175,000 2,587,000 3,000,000 2,770,000 2,735,000 2,645,000 3,125,000 2,965,000 2,940,000 2,880,000 2,900,000 2,940,000 2,960,000 2,275,000 2,841,000 2,720,000 2,615,000 2,640,000 3,000,000 3,085,000 2,530,000 2,780,000 2,805,000 2,724,000 4,500,000 2,645,000 2,630,000 2,685,000

MARKET VALUE $ 3,175,777 $ 3,158,924 $ 3,131,242 $ 3,108,261 $ 3,078,826 $ 3,064,791 $ 3,025,219 $ 3,018,454 $ 3,013,623 $ 3,003,058 $ 2,999,000 $ 2,998,059 $ 2,972,448 $ 2,963,222 $ 2,963,175 $ 2,948,369 $ 2,941,894 $ 2,940,556 $ 2,938,069 $ 2,922,913 $ 2,916,359 $ 2,909,508 $ 2,907,609 $ 2,904,371 $ 2,900,200 $ 2,882,067 $ 2,879,100 $ 2,875,500 $ 2,834,344 $ 2,812,781 $ 2,798,812 $ 2,790,852 $ 2,788,387 $ 2,786,414 $ 2,764,604 $ 2,742,367 $ 2,724,698

% OF ASSETS 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

RADNET TERM 2L 0.00 REYNOLDS AMERICAN INC 5.70 BANK OF AMERICA CORP SERIES MTN 4.25 IMPERIAL TOBACCO FINANCE SERIES 144A 3.75 MEDTRONIC INC SERIES WI 2.50 CONTINENTAL RESOURCES SERIES WI 3.80 BANK OF AMERICA CORP SERIES X 6.25 PEPSICO INC 4.45 CRESCENT RESOURCES LLC SERIES 144A 10.25 MORGAN STANLEY 5.55 APPLIED MATERIALS INC 5.10 LOCKHEED MARTIN CORP 2.50 VODAFONE GROUP PLC 2.50 COMPASS BANK 2.75 MONSANTO CO 3.95 SOLVAY FINANCE AMERICA LLC SERIES 144A 3.40 NAVIOS MARITIME PARTNERS TERM LOAN B 0.00 MCDONALD'S CORP 2.75 UNITED MEXICAN STATES 4.13 TIME WARNER INC 3.60 DISH DBS CORP 7.88 UNITED AIRLINES SERIES 2014-1 CLASS A PT 4.00 CCO SAFARI II LLC SERIES 144A 6.83 REYNOLDS AMERICAN INC 4.45 WM WRIGLEY JR CO SERIES 144A 2.40 US TREASURY N/B 1.75 CIGNA CORP 4.38 CITIGROUP INC 2.70 B/E AEROSPACE INC TERM B LOAN 0.00 CINEMARK USA INC 4.88 PETROLEOS MEXICANOS SERIES 144A 5.50 MORGAN STANLEY 5.00 PETROLEUM DEVELOPMENT CORP 7.75 ONEOK PARTNERS LP 4.90 PPL WEM HOLDINGS PLC SERIES 144A 3.90 FRONTIER COMMUNICATIONS CORP SERIES 11.00 CCM MERGER INC SERIES 144A 9.13

03/19/2021 08/15/2035 10/22/2026 07/21/2022 03/15/2020 06/01/2024

04/14/2046 08/15/2017 10/01/2035 11/23/2020 09/26/2022 09/29/2019 04/15/2045 12/03/2020 06/12/2020 12/09/2020 01/21/2026 07/15/2025 09/01/2019 10/11/2027 10/23/2055 06/12/2025 10/21/2018 09/30/2019 12/15/2020 03/30/2021 11/21/2021 06/01/2023 02/04/2019 11/24/2025 10/15/2022 03/15/2025 05/01/2016 09/15/2025 05/01/2019

PAR VALUE 2,945,000 2,310,000 2,616,000 2,540,000 2,555,000 3,340,000 2,670,000 2,340,000 2,625,000 2,625,000 2,360,000 2,505,000 2,620,000 2,570,000 2,962,000 2,510,000 2,903,000 2,455,000 2,425,000 2,470,000 2,275,000 2,420,847 2,315,000 2,270,000 2,465,000 2,425,000 2,305,000 2,465,000 2,462,582 2,445,000 2,350,000 2,270,000 2,445,000 2,585,000 2,415,000 2,405,000 2,335,000

MARKET VALUE $ 2,709,400 $ 2,701,466 $ 2,654,999 $ 2,651,770 $ 2,643,945 $ 2,638,600 $ 2,616,600 $ 2,608,988 $ 2,598,750 $ 2,587,594 $ 2,567,045 $ 2,565,776 $ 2,559,743 $ 2,559,314 $ 2,555,000 $ 2,551,696 $ 2,551,012 $ 2,542,712 $ 2,542,613 $ 2,535,327 $ 2,502,500 $ 2,499,525 $ 2,498,265 $ 2,497,549 $ 2,489,615 $ 2,487,994 $ 2,485,048 $ 2,482,970 $ 2,468,738 $ 2,465,660 $ 2,461,625 $ 2,456,635 $ 2,438,888 $ 2,435,416 $ 2,419,055 $ 2,417,025 $ 2,416,725

% OF ASSETS 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

GOLDMAN SACHS GROUP INC HALLIBURTON CO CREDIT ACCEPTANCE CORP SERIES 144A PETROBRAS INTL FIN CO AMERICAN AIRLINES SERIES 2013-2 CLASS A ING BANK NV SERIES 144A COMCAST CORP LLOYDS BANKING GROUP PLC SERIES 144A WILLIAMS PARTNERS L.P HP ENTERPRISE CO SERIES 144A DDR CORP VOLKSWAGEN INTL FIN NV SERIES 144A VIACOM INC ENTERPRISE PRODUCTS OPER UNITED AIRLINES SERIES 2014-2 CLASS A FMG RESOURCES SERIES 144A BROOKSHIRE GROCERY CO DISNEY WALT COMPANY NOVARTIS CAPITAL CORP CHESAPAKE MIDSTREAM PARTNER PENSKE TRUCK LEASING/PTL SERIES 144A FIDELITY NATIONAL INFORMATION LIBERTY MUTUAL GROUP SERIES 144A JM SMUCKER CO SERIES WI US TREASURY STRIPS MICROSOFT CORP SIMON PROPERTY GROUP LP SERIES 5YR EL PASO PIPELINE PART OP DISH DBS CORP SERIES WI LANTHEUS MEDICAL TERM LOAN B ARCELORMITTAL SA COCA-COLA ICECEK URETIM SERIES 144A NBC UNIVERSAL MEDIA LLC MARATHON PETROLEUM CORP CARAUSTAR INDUSTRIES INC. TERM B 1L VISA INC VIRGINIA ELEC & POWER CO

5.95 2.70 6.13 5.38 4.95 2.00 3.15 5.30 3.60 6.20 3.63 1.13 4.85 4.90 3.75 8.25 7.10 2.30 4.00 4.88 3.38 2.85 7.00 3.50 0.00 2.00 2.50 4.70 6.75 0.00 8.00 4.75 2.88 4.75 0.00 4.30 4.45

01/15/2027 11/15/2020 02/15/2021 01/27/2021 01/15/2023 11/26/2018 03/01/2026 12/01/2045 03/15/2022 10/15/2035 02/01/2025 11/18/2016 12/15/2034 05/15/2046 09/03/2026 11/01/2019 08/01/2019 02/12/2021 11/20/2045 05/15/2023 02/01/2022 10/15/2018 03/15/2037 03/15/2025 11/15/2044 11/03/2020 07/15/2021 11/01/2042 06/01/2021 06/25/2022 10/15/2039 10/01/2018 01/15/2023 09/15/2044 05/01/2019 12/14/2045 02/15/2044

PAR VALUE 2,100,000 2,365,000 2,520,000 2,880,000 2,222,215 2,370,000 2,275,000 2,400,000 2,850,000 2,385,000 2,425,000 2,355,000 2,630,000 2,425,000 2,330,168 2,435,000 2,130,933 2,240,000 2,155,000 2,655,000 2,320,000 2,255,000 2,595,000 2,185,000 5,000,000 2,215,000 2,215,000 2,880,000 2,180,000 2,605,313 2,575,000 2,150,000 2,150,000 2,785,000 2,285,528 2,025,000 2,025,000

MARKET VALUE $ 2,407,637 $ 2,401,005 $ 2,381,400 $ 2,380,694 $ 2,377,592 $ 2,376,823 $ 2,368,639 $ 2,351,328 $ 2,346,738 $ 2,346,711 $ 2,346,057 $ 2,344,951 $ 2,334,325 $ 2,330,888 $ 2,330,168 $ 2,325,425 $ 2,323,941 $ 2,312,820 $ 2,306,346 $ 2,305,267 $ 2,303,414 $ 2,291,754 $ 2,283,600 $ 2,277,703 $ 2,277,675 $ 2,269,383 $ 2,263,360 $ 2,262,439 $ 2,250,850 $ 2,240,569 $ 2,240,250 $ 2,235,284 $ 2,229,810 $ 2,228,719 $ 2,224,573 $ 2,215,366 $ 2,208,813

% OF ASSETS 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

VERIZON COMMUNICATIONS INC SERIES WI INEOS TERM LOAN B UBS FUNDING TR FIDELITY NATIONAL INFORMATION AVAGO TECHNOLOGIES TERM LOAN B NBC UNIVERSAL ENTERPRISE SERIES 144A CONVATEC FINANCE INTL SA SERIES 144A TYCO INTERNATIONAL FINANCE SA BOYD ACQUISITION SUB/FIN SERIES 144A LIONS GATE ENTERTAINMENT GILEAD SCIENCES INC NXP BHARTI AIRTEL INTERNATIO SERIES 144A BOARDWALK PIPELINES LP NABORS INDUSTRIES INC SERIES WI AMERICAN CAMPUS CMNTYS ORACLE CORP ZAYO GROUP LLC SERIES WI FLY LEASING LTD BUILDING MATERIALS HOLDING COR SERIES CCM MERGER INC TERM LOAN B GENZYME CORP CENTENE CORP CEMEX SAB DE CV SERIES 144A NAVIOS MARITIME ACQ CORP SERIES 144A ACTIVISION BLIZZARD INC SERIES 144A CENTENE CORP NATL RURAL UTILITY CFC GENERAL MOTORS CO SERIES WI TEACHERS INSURANCE AND ANNUITY SERIE CENCOSUD SA SERIES REGS TIME WARNER INC ANHEUSER-BUSCH INBEV FANNIE MAE DELL TERM LOAN B2 EMERALD PERFORMANCE TERM LOAN T MOBILE USA INC

4.52 0.00 6.24 3.63 0.00 1.31 8.25 5.13 8.38 0.00 4.60 0.00 5.13 3.38 2.35 3.35 4.38 6.00 6.38 9.00 0.00 5.00 4.75 7.25 8.13 6.13 5.75 4.75 4.88 4.90 5.50 6.25 3.75 6.63 0.00 0.00 6.25

09/15/2048 12/15/2020 10/15/2020 11/13/2022 04/15/2018 01/15/2019 09/14/2045 02/15/2018 03/13/2022 09/01/2035 10/30/2020 03/11/2023 02/01/2023 09/15/2016 10/01/2020 05/15/2055 04/01/2023 10/15/2021 09/15/2018 07/31/2021 06/15/2020 05/15/2022 01/15/2021 11/15/2021 09/15/2023 06/01/2017 04/30/2043 10/02/2023 09/15/2044 01/20/2021 03/29/2041 07/15/2042 11/15/2030 04/29/2020 07/23/2022 04/01/2021

PAR VALUE 2,205,000 2,244,416 2,205,000 2,130,000 2,200,000 2,190,000 2,200,000 2,030,000 2,135,000 2,230,000 1,980,000 2,133,613 2,000,000 2,530,000 2,140,000 2,085,000 2,105,000 2,120,000 2,225,000 2,015,000 2,110,317 1,863,000 2,070,000 1,990,000 3,120,000 1,925,000 1,994,000 2,135,000 1,960,000 1,910,000 1,900,000 1,750,000 2,125,000 1,350,000 2,008,293 2,190,000 1,880,000

MARKET VALUE $ 2,208,751 $ 2,205,139 $ 2,205,000 $ 2,201,408 $ 2,187,746 $ 2,186,805 $ 2,179,375 $ 2,173,549 $ 2,172,363 $ 2,168,675 $ 2,148,910 $ 2,136,941 $ 2,135,964 $ 2,134,908 $ 2,131,658 $ 2,129,502 $ 2,120,297 $ 2,116,014 $ 2,108,188 $ 2,103,156 $ 2,101,876 $ 2,098,187 $ 2,090,700 $ 2,069,600 $ 2,067,000 $ 2,064,563 $ 2,058,805 $ 2,056,325 $ 2,053,864 $ 2,046,659 $ 2,026,648 $ 2,022,837 $ 2,018,875 $ 2,006,293 $ 2,006,144 $ 1,992,900 $ 1,973,624

% OF ASSETS 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.06 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

SEAGATE HDD CAYMAN 5.75 XEROX CORP 6.75 MORGAN STANLEY 4.30 CISCO SYSTEMS INC 1.60 JM SMUCKER CO SERIES WI 2.50 DISH DBS CORP 5.88 MARTIN MARIETTA MATERIALS INC 1.73 BAE SYSTEMS HOLDINGS INC SERIES 144A 2.85 KRAFT FOODS INC 6.13 US AIRWAYS SERIES 2013-1 CLASS A PTT EE 3.95 MALLINCKRODT FIN SB SERIES 144A 5.63 COMMONWEALTH EDISON 4.60 SUN MERGER SUB INC SERIES 144A 5.88 HUNGARY REPUBLIC OF 5.38 KIMCO REALTY CORP 3.40 MPH ACQUISITION HOLDINGS SERIES 144A 6.63 UNITEDHEALTH GROUP INC 1.90 GRUPO BIMBO SERIES 144A 4.88 GILEAD SCIENCES INC 3.05 BANK OF AMERICA CORP SERIES MTN 4.75 NORDEA BANK SERIES 144A 4.88 ALTRIA GROUP INC 4.50 FORD MOTOR CREDIT CO LLC 8.00 EXXON MOBIL CORP 4.11 SIGNOGE INDUSTRIAL GROUP SERIES 144A 6.38 WESTERN GAS PARTNERS 5.45 MIRANT MID ATLANTIC TRUST 10.06 CHARTER TERM LOAN B 0.00 ING BANK NV SERIES 144A 5.80 CIGNA CORP 4.00 ANADARKO PETROLEUM CORP 4.50 ALABAMA POWER CO 3.75 AMERICAN INTERNATIONAL GROUP I 4.50 DOLLAR TREE TERM LOAN B2 0.00 ZIMMER BIOMET HOLDINGS INC 3.15 ENTERPRISE PRODUCTS OPER 3.70 TIME WARNER INC 4.85

12/01/2034 02/01/2017 01/27/2045 02/28/2019 03/15/2020 07/15/2022 06/30/2017 12/15/2020 08/23/2018 05/15/2027 10/15/2023 08/15/2043 08/01/2021 02/21/2023 11/01/2022 04/01/2022 07/16/2018 06/27/2044 12/01/2016 04/21/2045 05/13/2021 05/02/2043 12/15/2016 03/01/2046 05/01/2022 04/01/2044 12/30/2028 06/16/2022 09/25/2023 02/15/2022 07/15/2044 03/01/2045 07/16/2044 07/06/2022 04/01/2022 02/15/2026 07/15/2045

PAR VALUE 2,775,000 1,890,000 1,935,000 1,910,000 1,915,000 2,040,000 1,950,000 1,900,000 1,750,000 1,872,561 2,120,000 1,720,000 1,843,000 1,720,000 1,880,000 1,830,000 1,870,000 2,050,000 1,865,000 1,900,000 1,735,000 1,745,000 1,795,000 1,765,000 2,055,000 2,345,000 1,919,360 1,952,788 1,700,000 1,745,000 2,355,000 1,875,000 1,940,000 1,824,805 1,795,000 1,850,000 1,775,000

MARKET VALUE $ 1,971,263 $ 1,959,168 $ 1,947,076 $ 1,937,582 $ 1,936,877 $ 1,932,900 $ 1,932,113 $ 1,930,212 $ 1,928,852 $ 1,924,993 $ 1,923,900 $ 1,914,640 $ 1,907,505 $ 1,906,135 $ 1,905,713 $ 1,903,200 $ 1,899,252 $ 1,897,523 $ 1,890,351 $ 1,889,675 $ 1,879,336 $ 1,874,823 $ 1,873,854 $ 1,871,430 $ 1,867,481 $ 1,863,044 $ 1,861,779 $ 1,854,836 $ 1,852,470 $ 1,852,323 $ 1,847,351 $ 1,838,021 $ 1,829,668 $ 1,821,758 $ 1,821,627 $ 1,814,541 $ 1,805,658

% OF ASSETS 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

US TREASURY N/B ACTIVISION BLIZZARD INC SERIES 144A FLORIDA POWER & LIGHT WELLS FARGO & CO PERRIGO FINANCE UNLIMITE WCT COMMUNITIES INC INDONESIA REPUBLIC OF SERIES 144A MDC PARTNERS INC SERIES 144A CMS ENERGY CORP EXELON CORP SERIES 144A ALABAMA POWER CO GILEAD SCIENCES INC COMMERCIAL METALS CO FORTESCUE RESOURCES TERM LOAN 1L LENNAR CORP 21ST CENTURY FOX AMERICA APPLE INC TECK RESOURCES LIMITED PINNACLE OPERATING CORP SERIES 144A MARKEL CORP MACYS RETAIL HLDGS INC INGERSOLL-RAND GL HLD CO SERIES WI VISA INC DJO FINCO INC / DJO FINANCE LL SERIES 144 AMER AIRLINES SERIES 2014-1 CLASS A PHILIP MORRIS INTERNATIONAL DYNEGY INC SERIES WI PETROLEOS MEXICANOS SERIES 144A NRG ENERGY INC TENEHORA NEMAK SA SERIES 144A COMMONWEALTH EDISON US TREASURY STRIPS ALTICE SA SERIES 144A JAGUAR LAND ROVER PLC SERIES 144A CROWN CORK & SEAL NORDEA BANK AB SERIES 144A CF INDUSTRIES INC

2.38 5.63 4.05 2.50 4.38 6.88 5.38 6.50 4.88 5.10 3.85 2.55 4.88 0.00 4.13 6.15 2.85 2.50 9.00 5.00 5.90 2.88 4.15 8.13 3.70 4.38 7.38 6.88 8.25 5.50 4.35 0.00 7.75 4.25 7.38 5.50 5.15

08/15/2024 09/15/2021 06/01/2042 03/04/2021 03/15/2026 08/15/2021 10/17/2023 05/01/2024 03/01/2044 06/15/2045 12/01/2042 09/01/2020 05/15/2023 06/30/2019 12/01/2018 02/15/2041 02/23/2023 02/01/2018 11/15/2020 04/05/2046 12/01/2016 01/15/2019 12/14/2035 06/15/2021 10/01/2026 11/15/2041 11/01/2022 08/04/2026 09/01/2020 02/28/2023 11/15/2045 08/15/2030 05/15/2022 11/15/2019 12/15/2026 03/15/2034

PAR VALUE 1,706,000 1,705,000 1,690,000 1,765,000 1,735,000 1,797,000 1,625,000 1,745,000 1,675,000 1,635,000 1,790,000 1,710,000 1,980,000 2,067,034 1,705,000 1,450,000 1,660,000 1,965,000 1,982,000 1,695,000 1,650,000 1,660,000 1,560,000 1,890,000 1,699,993 1,555,000 1,785,000 1,525,000 1,635,000 1,600,000 1,485,000 2,250,000 1,645,000 1,575,000 1,514,000 1,660,000 1,710,000

MARKET VALUE $ 1,796,631 $ 1,792,381 $ 1,789,274 $ 1,787,292 $ 1,786,044 $ 1,783,523 $ 1,782,643 $ 1,782,081 $ 1,780,845 $ 1,774,219 $ 1,765,701 $ 1,760,984 $ 1,752,300 $ 1,740,897 $ 1,739,100 $ 1,731,951 $ 1,720,688 $ 1,719,375 $ 1,709,475 $ 1,705,277 $ 1,700,417 $ 1,697,496 $ 1,676,393 $ 1,672,650 $ 1,665,993 $ 1,659,672 $ 1,651,125 $ 1,650,813 $ 1,647,263 $ 1,644,000 $ 1,624,343 $ 1,623,319 $ 1,618,812 $ 1,616,344 $ 1,616,195 $ 1,612,690 $ 1,610,370

% OF ASSETS 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

CONS EDISON CO OF NY TALENT YIELD INVESTMENTS SERIES 144A PACIFICORP LANDRY'S INC SERIES 144A CORP LINDLEY SA SERIES 144A PIONEER NATURAL RESOURCES CO NAVISTAR INTERNATIONAL WIDEOPENWEST FIN ELECTRICITE DE FRANCE SERIES 144A ANADARKO PETROLEUM CORP AT&T INC SERIES WI ELETSON HOLDINGS SERIES 144A EXOPACK HOLDING CORP SERIES 144A CARRIZO OIL & GAS INC MEDTRONIC INC SERIES WI HOST HOTELS & RESORTS LP SERIES F AIRCASTLE LTD HCA INC UNITED TECHNOLOGIES CORP REYNOLDS AMERICAN INC WISC ELEC POWER COMMONWEALTH EDISON UNION PACIFIC CORP DUPONT FABROS TECH LP FIRST DATA CORPORATION SERIES 144A PUBLIC SERVICE ELECTRIC NOBLE ENERGY INC BPCE SA SERIES 144A NOVA CHEMICALS CORP SERIES 144A US TREASURY N/B NAKILAT INC ROMANIA SERIES 144A GOLDMAN SACHS GROUP INC DANA HOLDING CORP JC PENNEY COMPANY INC HYUNDAI CAPITAL AMERICA SERIES 144A RCN TELECM SERCAPITAL SERIES 144A

4.63 4.50 4.10 9.38 6.75 4.45 8.25 13.38 4.95 6.60 6.38 9.63 10.00 7.50 3.50 4.50 5.13 5.00 4.50 3.25 4.30 3.80 4.38 5.88 5.00 4.15 5.05 5.15 5.00 6.25 6.07 4.88 2.38 5.50 5.65 2.40 8.50

12/01/2054 04/25/2022 02/01/2042 05/01/2020 11/23/2021 01/15/2026 11/01/2021 10/15/2019 10/13/2045 03/15/2046 03/01/2041 01/15/2022 06/01/2018 09/15/2020 03/15/2025 02/01/2026 03/15/2021 03/15/2024 06/01/2042 06/12/2020 12/15/2045 10/01/2042 11/15/2065 09/15/2021 01/15/2024 11/01/2045 11/15/2044 07/21/2024 05/01/2025 05/15/2030 12/31/2033 01/22/2024 01/22/2018 12/15/2024 06/01/2020 10/30/2018 08/15/2020

PAR VALUE 1,475,000 1,500,000 1,530,000 1,520,000 1,400,000 1,580,000 2,175,000 1,605,000 1,525,000 1,540,000 1,350,000 2,015,000 1,645,000 1,680,000 1,465,000 1,540,000 1,495,000 1,520,000 1,435,000 1,486,000 1,425,000 1,550,000 1,560,000 1,475,000 1,535,000 1,455,000 1,800,000 1,500,000 1,575,000 1,000,000 1,355,000 1,380,000 1,500,000 1,605,000 1,560,000 1,500,000 1,510,000

MARKET VALUE $ 1,605,273 $ 1,599,432 $ 1,598,533 $ 1,596,000 $ 1,596,000 $ 1,592,425 $ 1,587,750 $ 1,572,900 $ 1,572,275 $ 1,572,211 $ 1,571,889 $ 1,571,700 $ 1,570,975 $ 1,566,600 $ 1,563,655 $ 1,557,171 $ 1,556,669 $ 1,555,150 $ 1,554,812 $ 1,553,992 $ 1,553,180 $ 1,550,316 $ 1,545,732 $ 1,545,063 $ 1,536,919 $ 1,534,779 $ 1,533,069 $ 1,532,139 $ 1,531,688 $ 1,525,430 $ 1,524,375 $ 1,520,338 $ 1,519,295 $ 1,516,725 $ 1,513,200 $ 1,510,008 $ 1,510,000

% OF ASSETS 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

US TREASURY N/B VALEANT PHARMACEUTICALS EVEREST ACQ LLC HEINZ HJ CO SERIES 144A US TREASURY N/B CNH INDUSTRIAL CAPITAL L COOPERATIEVE CENTRALE RAIFFEIS EQUINIX INC SPRINGLEAF FINANCE CORP TRANS CANADA PIPELINES US TREASURY STRIPS WYETH LLC WMG ACQUISITION CORP SERIES 144A MGM RESORTS INTERNATIONAL HD SUPPLY INC DREAMWORKS ANIMATION SKG INC TIME WARNER INC WOODSIDE HOMES CO LLC SERIES 144A QEP RESOURCES INC CROATIA SERIES REGS WMG AQUISITION CORP US TREASURY N/B AT&T INC TIME WARNER INC OOREDOO INTERNATIONAL FI SERIES REGS CONSTELLATION BRANDS INC PATHEON NCL CORP LTD SERIES 144A JAPAN GOVERNMENT OF NIKE INC WELLS FARGO & CO FLORIDA POWER & LIGHT PROLOGIS LP PENINSULA GAMING LLC ENCANA CORP MALLINCKRODT TERM LOAN B PACIFICORP

1.88 0.00 9.38 5.20 0.13 4.88 4.38 5.38 5.25 4.63 0.00 6.00 6.75 6.00 7.50 6.88 4.05 6.75 5.25 6.38 0.00 0.75 4.35 2.10 3.88 4.25 0.00 4.63 1.40 3.88 5.88 4.13 3.75 0.00 5.15 0.00 3.85

PAR VALUE

1,485,000 08/31/2017 1,598,738 08/05/2020 2,980,000 05/01/2020 1,340,000 07/15/2045 1,450,000 04/15/2019 1,500,000 04/01/2021 1,445,000 08/04/2025 1,435,000 04/01/2023 1,555,000 12/15/2019 1,550,000 03/01/2034 2,500,000 11/15/2036 1,150,000 02/15/2036 1,480,000 04/15/2022 1,415,000 03/15/2023 1,377,000 07/15/2020 1,445,000 08/15/2020 1,350,000 12/15/2023 1,635,000 12/15/2021 1,670,000 05/01/2023 1,325,000 03/24/2021 1,467,344 07/03/2020 1,425,000 06/30/2017 1,556,000 06/15/2045 1,410,000 06/01/2019 1,450,000 01/31/2028 1,385,000 05/01/2023 1,467,141 01/23/2021 1,400,000 11/15/2020 06/20/2019 150,000,000 1,340,000 11/01/2045 1,310,000 1,310,000 02/01/2042 1,330,000 11/01/2025 1,384,107 11/20/2017 1,830,000 11/15/2041 1,433,425 03/19/2021 1,267,000 06/15/2021

MARKET VALUE $ 1,509,479 $ 1,504,812 $ 1,503,038 $ 1,499,311 $ 1,497,698 $ 1,494,375 $ 1,487,771 $ 1,485,225 $ 1,485,025 $ 1,480,881 $ 1,475,820 $ 1,467,708 $ 1,465,200 $ 1,464,525 $ 1,461,341 $ 1,459,450 $ 1,455,743 $ 1,455,150 $ 1,452,900 $ 1,447,563 $ 1,444,717 $ 1,426,337 $ 1,425,445 $ 1,422,151 $ 1,419,956 $ 1,416,163 $ 1,411,815 $ 1,407,000 $ 1,404,297 $ 1,402,335 $ 1,398,818 $ 1,395,047 $ 1,387,778 $ 1,380,937 $ 1,379,363 $ 1,379,069 $ 1,376,089

% OF ASSETS 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.03 % 0.03 % 0.03 % 0.03 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

ONEMAIN FIN HOLDINGS INC SERIES 144A 7.25 JOHNSON & JOHNSON 3.55 MICHAELS STORES 0.00 CMS ENERGY CORP 4.70 HEINZ HJ CO SERIES 144A 5.00 XEROX CORP 3.50 SPRINT NEXTEL CORP 7.00 NEWMONT MINING CORP 4.88 JAZZ US HOLDINGS INC 8.00 UNIVISION TERM C4 1L 0.00 SPRINT CORP SERIES WI 7.13 ALPHABET HOLDING CO INC 7.75 PERU REPUBLIC OF 5.63 KINDER MORGAN INC 3.05 LENNAR CORP 4.75 FRONTIER COMMUNICATIONS CORP SERIES 10.50 THE GOVERNMENT OF THE 9.13 SOLVAY FINANCE AMERICA LLC SERIES 144A 4.45 YPF SOCIEDAD ANONIMA SERIES 144A 8.50 ST BARBARA LTD SERIES 144A 8.88 ANTHEM INC COM 4.63 COMMUNITY HEALTH TERM LOAN B 0.00 PERRIGO FINANCE UNLIMITE 3.50 MCDONALD'S CORP 4.70 ONCOR ELECTRIC DELIVERY 5.25 CCO SAFARI II LLC SERIES 144A 6.48 SABINE PASS LIQUEFATION SERIES WI 5.63 GENERAL MOTORS FINL CO 3.45 B&G FOODS TERM LOAN B 0.00 ZAYO GROUP LLC 10.13 CARAUSTAR INDUSTRIES INC 0.00 REGAL ENTERTAINMENT GROUP 5.75 KINETIC CONCEPTS TERM E1 1L 0.00 HUNTINGTON INGALLS INDUSTRIES SERIES 1 5.00 ICAHN ENTERPRISES/FIN 6.00 DAIMLER FINANCE NA LLC SERIES 144A 2.70 CREDIT ACCEPTANCE CORP SERIES 144A 7.38

12/15/2021 03/01/2036 01/28/2020 03/31/2043 07/15/2035 08/20/2020 08/15/2020 03/15/2042 12/31/2018 03/01/2020 06/15/2024 11/01/2017 11/18/2050 12/01/2019 11/15/2022 09/15/2022 03/16/2024 12/03/2025 03/23/2021 04/15/2018 05/15/2042 04/01/2019 03/15/2021 12/09/2035 09/30/2040 10/23/2045 03/01/2025 04/10/2022 10/05/2022 07/01/2020 04/25/2019 03/15/2022 05/04/2018 11/15/2025 08/01/2020 08/03/2020 03/15/2023

PAR VALUE 1,380,000 1,315,000 1,364,613 1,315,000 1,235,000 1,410,000 1,705,000 1,575,000 960,000 1,363,407 1,815,000 1,335,000 1,195,000 1,365,000 1,335,000 1,305,000 1,300,000 1,300,000 1,325,000 1,325,000 1,340,000 1,326,889 1,265,000 1,200,000 1,120,000 1,150,000 1,340,000 1,295,000 1,270,000 1,180,000 1,297,101 1,215,000 1,264,871 1,190,000 1,280,000 1,225,000 1,305,000

MARKET VALUE $ 1,373,100 $ 1,367,336 $ 1,364,367 $ 1,362,710 $ 1,362,046 $ 1,360,314 $ 1,355,475 $ 1,350,583 $ 1,348,800 $ 1,348,491 $ 1,347,638 $ 1,345,013 $ 1,344,375 $ 1,343,845 $ 1,338,338 $ 1,337,625 $ 1,336,400 $ 1,327,902 $ 1,326,656 $ 1,325,000 $ 1,322,760 $ 1,311,020 $ 1,296,294 $ 1,289,522 $ 1,283,183 $ 1,279,635 $ 1,278,025 $ 1,271,522 $ 1,271,270 $ 1,262,600 $ 1,261,431 $ 1,257,525 $ 1,257,358 $ 1,245,038 $ 1,244,800 $ 1,243,734 $ 1,243,013

% OF ASSETS 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

WELLCARE HEALTH PLANS INC TIME WARNER CABLE INC HUNTINGTON NATIONAL BANK WELLS FARGO & COMPANY SERIES GMTN US TREASURY N/B HILTON COMMERCIAL METALS CO ARGOS MERGER SUB INC 144A DELOS FINANCE SA GRUMA SAB DE CV SERIES 144A UNIVERSAL HOSPITAL SERVI CITIZENS BANK NA RI SERIES BKNT METHANOL HOLDINGS TRINIDAD TERM LOAN ELDORADO RESORTS INC SERIES WI TIME WARNER CABLE INC GENERAL MOTORS CO OASIS PETROLEUM INC NAVIOS SA LOGIST/FIN US SERIES 144A US TREASURY N/B ISTAR INC NORBORD INC SERIES 144A ARDAGH PKG FIN/MP HD USA SERIES 144A INGERSOLL RAND LUX FINAN ENERGY TRANSFER PARTNERS CVS CAREMARK CORP 144A INGERSOLL-RAND GL HLD CO SERIES WI SPECTRUM BRANDS INC SERIES WI JAGUAR LAND ROVER PLC SERIES 144A JLL DELTA DUTCH PLEDGECO SERIES 144A SABINE PASS LIQUEFATION SERIES WI T-MOBILE USA ARCELORMITTAL SA ENLINK MIDSTREAM PARTNER CF INDUSTRIES INC HP ENTERPRISE CO SERIES 144A REPUBLIC OF KAZAKHSTAN SERIES 144A DAIMLER FINANCE NA LLC SERIES 144A

5.75 6.75 2.88 2.60 2.63 0.00 7.35 7.13 0.00 4.88 7.63 2.30 0.00 7.00 8.75 6.60 6.88 7.25 3.50 6.50 5.38 3.63 4.65 4.05 5.93 5.75 5.75 5.63 8.75 6.25 0.00 6.50 5.05 4.95 2.85 5.13 1.65

11/15/2020 07/01/2018 08/20/2020 07/22/2020 01/31/2018 09/23/2020 08/15/2018 03/15/2023 02/27/2021 12/01/2024 08/15/2020 12/03/2018 06/02/2022 08/01/2023 02/14/2019 04/01/2036 01/15/2023 05/01/2022 02/15/2039 07/01/2021 12/01/2020 12/15/2019 11/01/2044 03/15/2025 01/10/2034 06/15/2043 07/15/2025 02/01/2023 05/01/2020 03/15/2022 11/03/2022 03/01/2021 04/01/2045 06/01/2043 10/05/2018 07/21/2025 03/02/2018

PAR VALUE 1,190,000 1,110,000 1,215,000 1,190,000 1,175,000 1,215,000 1,146,000 1,140,000 1,210,000 1,141,000 1,305,000 1,200,000 1,365,059 1,160,000 1,020,000 1,085,000 1,615,000 1,845,000 1,000,000 1,220,000 1,185,000 1,200,000 1,146,000 1,340,000 1,060,987 985,000 1,100,000 1,130,000 1,185,000 1,180,000 1,137,150 1,155,000 1,690,000 1,305,000 1,115,000 1,100,000 1,125,000

MARKET VALUE $ 1,231,650 $ 1,221,248 $ 1,219,794 $ 1,217,704 $ 1,215,253 $ 1,214,623 $ 1,211,895 $ 1,211,820 $ 1,211,210 $ 1,210,031 $ 1,207,125 $ 1,206,781 $ 1,201,252 $ 1,200,600 $ 1,194,307 $ 1,193,922 $ 1,191,063 $ 1,190,025 $ 1,189,961 $ 1,187,975 $ 1,183,519 $ 1,182,000 $ 1,180,183 $ 1,179,311 $ 1,174,152 $ 1,173,300 $ 1,168,750 $ 1,161,075 $ 1,155,375 $ 1,154,925 $ 1,141,062 $ 1,137,675 $ 1,136,975 $ 1,135,788 $ 1,133,723 $ 1,132,725 $ 1,126,349

% OF ASSETS 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

BEV PACK HLDS LU/ ISSUER SERIES 144A LEAR CORP GRAINGER WW INC REPUBLIC OF POLAND ANTHEM INC COM MULTIPLAN TERM B 1L ASSOCIATED BANC CORP BURLINGTON NORTHERN SANTA FE ARUBA INVESTMENT INC 144A MAGELLAN MIDSTREAM PARTNERS INGLES MARKETS INC JAGUAR LAND ROVER PLC SERIES 144A ANADARKO PETROLEUM CORP HCA INC HCA INC CHINA OVERSEAS FIN VI FRESENIUS MED CARE US SERIES 144A RABOBANK NEDERLAND KOC HOLDINGS AS SERIES 144A SUNOCO LP SUNOCO FINANCE COR SERIES TELEFONICA EMISIONES SAU TURKEY REPUBLIC OF MDC PARTNERS INC SERIES 144A SUN MERGER SUB INC SERIES 144A US TREASURY N/B BOMBARDIER INC SERIES 144A SCHLUMBERGER INV SERIES 144A REYNOLDS AMERICAN INC JP MORGAN CHASE & CO GILEAD SCIENCES INC NEWELL RUBBERMAID INC UNITYMEDIA HESSEN GMBG & CO ENTEL CHILE SA SERIES 144A 21ST CENTURY FOX AMERICA SERIES WI MICHAELS STORES SERIES 144A BI-LO LLC / BI-LO FINANCE CORP SERIES 144 MCDONALD'S CORP

6.00 5.25 4.60 3.25 4.65 0.00 2.75 4.90 8.75 5.00 5.75 4.13 3.45 5.88 4.75 4.25 5.88 5.50 5.25 6.38 7.05 3.25 6.75 5.25 2.00 5.50 3.30 5.85 4.50 3.65 4.20 5.50 4.75 4.75 5.88 9.25 2.10

06/15/2017 01/15/2025 06/15/2045 04/06/2026 01/15/2043 03/21/2021 11/15/2019 04/01/2044 02/15/2023 03/01/2026 06/15/2023 12/15/2018 07/15/2024 03/15/2022 05/01/2023 05/08/2019 01/31/2022 03/15/2023 04/01/2023 06/20/2036 03/23/2023 04/01/2020 08/01/2018 10/31/2021 09/15/2018 09/14/2021 08/15/2045 01/24/2022 03/01/2026 04/01/2026 01/15/2023 08/01/2026 09/15/2044 12/15/2020 02/15/2019 12/07/2018

PAR VALUE 1,135,000 1,085,000 1,005,000 1,125,000 1,130,000 1,129,572 1,115,000 975,000 1,170,000 1,025,000 1,090,000 1,080,000 1,240,000 1,020,000 1,080,000 1,050,000 1,000,000 1,000,000 1,100,000 1,090,000 860,000 1,150,000 1,048,000 1,066,000 1,045,000 1,170,000 1,045,000 880,000 965,000 1,000,000 1,010,000 1,030,000 1,100,000 1,010,000 998,000 1,090,000 1,015,000

MARKET VALUE $ 1,125,778 $ 1,124,331 $ 1,124,075 $ 1,122,188 $ 1,119,236 $ 1,117,711 $ 1,117,659 $ 1,112,294 $ 1,111,500 $ 1,108,466 $ 1,106,350 $ 1,105,650 $ 1,104,250 $ 1,104,150 $ 1,098,900 $ 1,098,806 $ 1,098,500 $ 1,097,318 $ 1,097,250 $ 1,090,676 $ 1,088,634 $ 1,083,873 $ 1,083,370 $ 1,081,990 $ 1,080,310 $ 1,076,400 $ 1,076,341 $ 1,074,622 $ 1,064,927 $ 1,062,634 $ 1,056,504 $ 1,055,750 $ 1,050,543 $ 1,045,501 $ 1,045,405 $ 1,040,950 $ 1,035,584

% OF ASSETS 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

LANDRY'S HOLDINGS II INC SERIES 144A GENERAL ELEC CAP CORP SERIES MTN WOODSIDE FINANCE LTD SERIES 144A JBS USA TERM LOAN TREEHOUSE FOODS INC SERIES 144A MPLX LP SERIES 144A MOLINA HEALTHCARE INC SERIES 144A ZF NA CAPITAL SERIES 144A EAGLE SPINCO INC SERIES WI T MOBILE USA INC PETSMART TERM LOAN B MET LIFE GLOBAL FUNDING SERIES 144A TIME WARNER INC LEVEL 3 FINANCING INC SERIES WI APACHE CORP XEROX CORP PETROLEOS MEXICANOS WPX ENERGY INC ISTAR FINANCIAL INC T MOBILE USA INC CONTINENTAL RESOURCES QUALCOMM INC CONSOLIDATED ENERGY FIN SERIES 144A ECOPETROL SA HALCON RESOURCES CORP SERIES 144A ELWOOD ENERGY LLC ELDORADO RESORTS TERM LOAN ICAHN ENTERPRISES/FIN SERIES WI WISE HLDG/FIN CORP SERIES 144A GRIFOLS TERM B 1L ING GROEP NV VULCAN MATERIALS CO FREEPORT MCMORAN INC CINEMARK USA INC SERIES 144A MGM RESORTS INTERNATIONAL COMCAST CORP TOPS HOLDING/MARKETS II SERIES 144A

10.25 5.88 3.65 0.00 6.00 4.88 5.38 4.00 4.63 6.63 0.00 1.30 3.88 5.13 4.75 6.75 4.88 7.50 9.00 6.50 4.50 4.80 6.75 5.38 8.63 8.16 0.00 4.88 9.75 0.00 6.00 4.50 2.30 4.88 10.00 6.50 8.00

01/01/2018 01/14/2038 03/05/2025 08/18/2022 02/15/2024 06/01/2025 11/15/2022 04/29/2020 02/15/2021 04/28/2021 03/10/2022 04/10/2017 01/15/2026 05/01/2023 04/15/2043 12/15/2039 01/18/2024 08/01/2020 06/01/2017 01/15/2026 04/15/2023 05/20/2045 10/15/2019 06/26/2026 02/01/2020 07/05/2026 07/08/2022 03/15/2019 06/15/2019 04/01/2021 04/01/2025 11/14/2017 06/01/2023 11/01/2016 11/15/2035 06/15/2022

PAR VALUE 1,040,000 794,000 1,105,000 1,030,000 955,000 1,110,000 985,000 1,000,000 1,045,000 965,000 1,008,931 1,000,000 955,000 990,000 1,115,000 1,110,000 1,000,000 1,255,000 940,000 935,000 1,160,000 975,000 1,011,000 1,050,000 1,345,000 880,008 943,904 980,000 2,065,000 937,434 1,000,000 910,000 1,010,000 920,000 890,000 690,000 995,000

MARKET VALUE $ 1,034,800 $ 1,034,504 $ 1,026,494 $ 1,023,563 $ 1,012,300 $ 1,012,132 $ 1,012,088 $ 1,011,250 $ 1,011,142 $ 1,008,425 $ 1,004,139 $ 1,001,536 $ 1,001,514 $ 1,001,138 $ 1,000,852 $ 999,629 $ 980,250 $ 978,900 $ 977,600 $ 971,231 $ 970,050 $ 965,822 $ 962,978 $ 955,500 $ 954,950 $ 946,008 $ 940,959 $ 940,800 $ 939,575 $ 936,168 $ 935,625 $ 935,025 $ 931,725 $ 927,774 $ 927,656 $ 927,142 $ 920,375

% OF ASSETS 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

WIDEOPENWEST FIN 10.25 RITE AID CORP SERIES 144A 6.13 SPRINT CORP 7.88 TELEFONICA EMISIONES SAU 6.42 TESORO LOGISTICS LP / CORP 6.13 DENBURY RESOURCES INC 5.50 NCL CORP LTD SERIES 144A 5.25 NEPTUNE FINCO CORP SERIES 144A 10.13 SIGNODE INDUSTRIAL GROUP TERM B 0.00 SLM CORP SERIES MTN 6.13 PHI INC SERIES WI 5.25 MICRON TECHNOLOGY INC SERIES 144A 5.25 CHESAPEAKE ENERGY CORP SERIES WI 8.00 DENALI BORROWER/FIN CORP SERIES 144A 5.63 NORTHERN BLIZZARD RESOURCES SERIES 1 7.25 POPULAR INC 7.00 INTESA SANPAOLO SPA SERIES EMTN 3.93 PERRIGO CO LTD SERIES WI 1.30 XEROX CORP 2.95 SABINE PASS LIQUEFATION 5.63 SEAGATE HDD CAYMAN SERIES 144A 4.88 CBS CORP 5.75 PLA ADMINISTRADORA INDUS SERIES 144A 5.25 MONSANTO CO 4.40 CORNERSTONE CHEMICAL CO SERIES 144A 9.38 JBS USA LLC JBS USA FINA SERIES 144A 5.75 NEWELL RUBBERMAID INC 3.85 AXIALL CORP SERIES WI 4.88 PANAMA REPUBLIC OF 4.00 SCHULMAN A INC SERIES 144A 6.88 ALLY FINANCIAL 5.75 BRAZIL FED REPUBLIC OF 4.25 UNION PACIFIC CORP 3.88 DISH DBS CORP 4.25 DOMINICAN REPUBLIC SERIES 144A 6.88 CVS CAREMARK CORP SERIES 144A 7.51 ZAYO GROUP LLC TERM LOAN B 0.00

07/15/2019 04/01/2023 09/15/2023 06/20/2016 10/15/2021 05/01/2022 11/15/2019 01/15/2023 04/09/2021 03/25/2024 03/15/2019 01/15/2024 12/15/2022 10/15/2020 02/01/2022 07/01/2019 09/15/2026 11/08/2016 03/15/2017 02/01/2021 06/01/2027 04/15/2020 11/10/2022 07/15/2044 03/15/2018 06/15/2025 04/01/2023 05/15/2023 09/22/2024 06/01/2023 11/20/2025 01/07/2025 02/01/2055 04/01/2018 01/29/2026 01/10/2032 05/06/2021

PAR VALUE 915,000 860,000 1,190,000 900,000 905,000 1,995,000 880,000 835,000 919,341 1,035,000 1,005,000 1,100,000 1,802,000 835,000 1,099,000 900,000 750,000 875,000 865,000 905,000 1,155,000 768,000 900,000 925,000 920,000 980,000 825,000 865,000 800,000 840,000 845,000 900,000 880,000 805,000 775,000 678,203 815,909

MARKET VALUE $ 915,000 $ 911,600 $ 910,100 $ 909,650 $ 905,000 $ 897,750 $ 897,600 $ 893,450 $ 891,761 $ 890,100 $ 889,425 $ 885,500 $ 882,980 $ 880,821 $ 879,200 $ 875,250 $ 873,303 $ 870,905 $ 870,199 $ 869,931 $ 869,539 $ 869,131 $ 868,500 $ 858,702 $ 857,900 $ 857,500 $ 855,617 $ 844,993 $ 840,000 $ 827,400 $ 825,988 $ 825,750 $ 825,016 $ 824,956 $ 823,438 $ 816,432 $ 811,152

% OF ASSETS 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

FRESENIUS MED CARE US SERIES 144A SPRINT CAPITAL CORP TIME WARNER INC JAPAN 149 SCHAEFFLER HLDG FIN BV SERIES 144A ROYAL BANK OF SCOTLND GRP PLC L BRANDS INC SERIES WI ENLINK MIDSTREAM PARTNER OBERTHUR TECHNOLOGIES TERM B2 1L NOBLE ENERGY INC CONTINENTAL RESOURCES HCA HOLDINGS INC BUILDERS FIRSTSOURCE TERM LOAN B ENERGY TRANSFER PARTNERS MCDONALD'S CORP NOVA CHEMICALS CORP SERIES 144A REPUBLICA ORIENT URUGUAY DAVITA FIAT CHRYSLER AUTOMOBILE CORP LINDLEY SA SUNOCO LP SUNOCO FINANCE COR SERIES BOISE CASCADE CO HILL-ROM HOLDINGS INC SERIES 144A KINDER MORGAN INC AIRCASTLE LTD CELGENE CORP FRONTIER COMMUNICATIONS CORP SERIES POLAND REPUBLIC OF COMPASS BANK SERIES BKNT BUILDERS FIRSTSOURCE TERM LOAN ALTICE FINANCING RUSSIAN FEDERATION REGS GLOBAL PART/GLP FINANCE SERIES WI US TREASURY N/B HP ENTERPRISE CO SERIES 144A PETROLEOS DE VENEZUELA SA SERIES REG ROYAL BANK OF SCOTLND GRP PLC SERIES

6.50 6.88 4.65 1.50 6.75 7.50 6.88 4.40 0.00 3.90 5.00 6.25 0.00 4.90 3.70 5.25 5.10 0.00 4.50 6.75 5.50 6.38 5.75 5.05 4.63 5.00 8.88 3.00 1.85 0.00 0.00 5.00 7.00 1.25 4.90 6.00 7.64

09/15/2018 11/15/2028 06/01/2044 06/20/2034 11/15/2022 11/01/2035 04/01/2024 10/10/2019 11/15/2024 09/15/2022 02/15/2021 07/24/2022 03/15/2035 01/30/2026 08/01/2023 06/18/2050 06/24/2021 04/15/2020 11/23/2021 08/01/2020 11/01/2020 09/01/2023 02/15/2046 12/15/2018 08/15/2045 09/15/2020 03/17/2023 09/29/2017 08/09/2019 07/01/2019 04/29/2020 06/15/2023 11/30/2018 10/15/2025 05/16/2024

PAR VALUE 740,000 1,105,000 820,000 75,000,000 735,000 855,000 730,000 985,000 804,542 835,000 905,000 725,000 784,984 970,000 725,000 785,000 825,000 764,947 750,000 662,000 755,000 755,000 725,000 880,000 725,000 690,000 715,000 740,000 740,000 747,307 737,719 700,000 985,000 725,000 710,000 2,350,000 750,000

MARKET VALUE $ 807,525 $ 806,650 $ 801,964 $ 801,902 $ 799,313 $ 795,150 $ 792,196 $ 791,075 $ 789,602 $ 785,970 $ 779,997 $ 779,375 $ 778,446 $ 767,998 $ 767,878 $ 767,338 $ 767,250 $ 765,904 $ 761,250 $ 754,680 $ 753,113 $ 753,113 $ 750,375 $ 748,853 $ 748,563 $ 746,120 $ 742,706 $ 741,850 $ 740,987 $ 740,768 $ 738,826 $ 734,930 $ 733,825 $ 733,071 $ 730,708 $ 729,675 $ 728,438

% OF ASSETS 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

MEXICHEM SAB DE CV SERIES REGS VTR FINANCE BV SERIES 144A GOLDMAN SACHS GROUP INC CARMIKE CINEMAS INC SERIES 144A TRANSPRTDRA DE GAS INTL REGS UNIVISION COMMUNICATIONS SERIES 144A ALTICE FINANCING SA SERIES 144A POST HOLDINGS INC ALTICE FINCO SA SERIES 144A TMS INTERNATIONAL CORP SERIES 144A CSX CORP BRAZIL FED REPUBLIC OF DIGICEL GROUP LTD SERIES 144A VANDER INTERMEDIATE HOLD SERIES 144A CNOOC FINANCE LTD SERIES 2013 APPLE INC ALFA S A SERIES 144A KEYSIGHT TECHNOLOGIES SERIES WI FRANCE GOVERNMENT OF COOPERATIEVE CENTRALE RAIFFEIS EQUINIX INC CONSTELLATION BRANDS INC VIRGINIA ELEC & POWER CO SERIES D NORTHERN STATES POWER CO ESKOM HOLDINGS LIMITED SERIES 144A T MOBILE USA INC GOLDMAN SACHS GROUP INC SENSATA TECH UK FIN CO SERIES 144A VRX ESCROW CORP SERIES 144A RACKSPACE HOSTIN SERIES 144A FRESENIUS MED CARE US SERIES 144A VPII ESCROW CORP SERIES 144A MEX BONOS DESARR FIX RT SERIES M CNO FINANCIAL GROUP INC CELGENE CORP SIG COMBIBLOC TERM LOAN B CVS CAREMARK CORP

5.88 6.88 2.55 6.00 5.70 8.50 6.50 7.38 8.13 7.63 5.50 2.63 8.25 9.75 3.00 3.45 5.25 4.55 3.00 5.75 5.88 3.75 4.65 3.40 7.13 6.00 4.75 6.25 5.38 6.50 4.75 7.50 6.50 4.50 4.63 0.00 4.13

09/17/2044 01/15/2024 10/23/2019 06/15/2023 03/20/2022 05/15/2021 01/15/2022 02/15/2022 01/15/2024 10/15/2021 04/15/2041 01/05/2023 09/30/2020 02/01/2019 05/09/2023 02/09/2045 03/25/2024 10/30/2024 04/25/2022 12/01/2043 01/15/2026 05/01/2021 08/15/2043 08/15/2042 02/11/2025 03/01/2023 10/12/2021 02/15/2026 03/15/2020 01/15/2024 10/15/2024 07/15/2021 06/10/2021 05/30/2020 05/15/2044 03/13/2022 05/15/2021

PAR VALUE 800,000 730,000 700,000 675,000 700,000 695,000 695,000 665,000 705,000 1,185,000 600,000 800,000 800,000 920,000 700,000 750,000 645,000 695,000 500,000 580,000 640,000 665,000 605,000 705,000 725,000 650,000 500,000 620,000 810,000 672,000 640,000 780,000 10,500,000 630,000 630,000 643,500 585,000

MARKET VALUE $ 717,000 $ 711,750 $ 710,592 $ 710,438 $ 709,450 $ 708,900 $ 707,163 $ 703,238 $ 697,950 $ 693,225 $ 688,324 $ 686,000 $ 686,000 $ 680,800 $ 677,572 $ 677,366 $ 677,250 $ 677,220 $ 675,913 $ 675,731 $ 674,880 $ 673,313 $ 671,951 $ 671,668 $ 669,625 $ 663,813 $ 660,901 $ 660,300 $ 660,150 $ 658,560 $ 650,400 $ 649,834 $ 643,424 $ 642,600 $ 641,864 $ 640,688 $ 639,822

% OF ASSETS 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

BUNDESREPUBLIK DEUTSCHLAND ISRAEL STATE OF FIRST DATA TERM LOAN B CEMEX SAB DE CV SERIES 144A FAMILY TREE ESCROW LLC SERIES 144A FORD MOTOR CREDIT CO LLC RESOLUTE FOREST PRODUCTS SERIES WI UNITYMEDIA KABELBW GMBH SERIES 144A FREDDIE MAC VERIZON COMMUNICATIONS INC SERIES EMT MGM RESORTS INTERNATIONAL SEADRILL PARTNERS TERM B 1L A SCHULMAN INC TERM LOAN B CONVATEC Term B 1L HONEYWELL INTERNATIONAL NEWELL RUBBERMAID INC MASCO CORP MICROSOFT CORP SKANDINAVISKA ENSKILDA SERIES EMTN TRANS CANADA PIPELINES IMPERIAL TOBACCO FINANCE SERIES EMTN DAIMLER AG SERIES EMTN VALEANT PHARMA Term Loan BF1 1L MORGAN STANLEY SERIES GMTN LEVEL 3 COMMUNICATIONS SOUTHERN CAL EDISON SPRINT CAPITAL CORP JAPAN - 6720 YEAR ISSUE BLUE CUBE SPINCO INC SERIES 144A LEVEL 3 FINANCING INC SERIES WI WHITING PETROLEUM CORP ABC SUPPLY CO INC SERIES 144A DOLLAR TREE TERM LOAN B JAGUAR LAND ROVER PLC SERIES 144A SVENSKA HANDELSBANKEN AB UPCB FINANCE IV LTD SERIES 144A NORDEA BANK AB SERIES EMTN

1.00 4.50 0.00 6.13 5.75 4.39 5.88 6.13 6.25 2.38 6.63 0.00 0.00 0.00 2.25 3.15 4.38 4.45 7.09 5.00 2.25 2.00 0.00 2.38 5.75 4.05 6.90 1.90 9.75 5.38 5.00 5.75 0.00 3.50 2.66 5.38 4.63

08/15/2024 01/30/2043 07/10/2022 05/05/2025 03/01/2023 01/08/2026 05/15/2023 01/15/2025 07/15/2032 02/17/2022 12/15/2021 02/14/2021 05/11/2022 02/27/2022 02/22/2028 04/01/2021 04/01/2026 11/03/2045

10/16/2043 02/26/2021 04/07/2020 03/13/2022 03/31/2021 12/01/2022 03/15/2042 05/01/2019 03/20/2024 10/15/2023 08/15/2022 03/15/2019 12/15/2023 06/24/2022 03/15/2020 01/15/2024 01/15/2025 02/15/2022

PAR VALUE 515,000 600,000 640,000 675,000 595,000 595,000 930,000 600,000 426,000 500,000 580,000 1,413,155 637,644 622,799 525,000 600,000 605,000 555,000 500,000 635,000 500,000 500,000 643,500 500,000 585,000 580,000 695,000 58,000,000 525,000 590,000 865,000 575,000 605,300 600,000 500,000 582,000 500,000

MARKET VALUE $ 637,845 $ 635,580 $ 635,520 $ 631,125 $ 630,700 $ 630,182 $ 627,750 $ 623,628 $ 622,895 $ 622,889 $ 622,050 $ 621,788 $ 621,703 $ 620,725 $ 618,406 $ 616,331 $ 615,957 $ 615,587 $ 613,955 $ 613,890 $ 610,547 $ 607,019 $ 606,769 $ 605,944 $ 604,013 $ 602,918 $ 602,913 $ 601,034 $ 599,813 $ 599,151 $ 599,013 $ 598,000 $ 595,464 $ 591,000 $ 589,909 $ 589,275 $ 588,164

% OF ASSETS 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

FIRST DATA KINETICS CONCEPT KCI/USA GENERAL MOTORS FINANCIAL SERIES EMTN GMS TERM 2L ROYAL BANK OF SCOTLND GRP PLC ANHEUSER-BUSCH INBEV NV SERIES EMTN GENERAL MOTORS CO SERIES WI US TREASURY N/B SKANDINAVISKA ENSKILDA SERIES 144A MORGAN STANLEY BERRY PLASTICS CORP TERM LOAN BOYD GAMING CORP TYCO ELECTRONICS GROUP S ELECTRICITE DE FRANCE SA SERIES EMTN KLABIN FINANCE SA SERIES 144A PANAMA REPUBLIC OF AIRCASTLE LTD REYNOLDS GROUP HOLDINGS NATIONWIDE BUILDING SOCIETY SERIES EMT SAPPI PAPIER HOLDING AG SERIES 144A HP ENTERPRISE CO SERIES 144A SPRINT NEXTEL CORP SERIES 144A TASEKO MINES LTD AMERICA MOVIL SAB DE CV CENTENE ESCROW CORP SERIES 144A CSX CORP FMG RESOURCES SERIES 144A CLEAN HARBORS INC SERIES 144A DISH DBS CORP SERIES WI CCO SAFARI II LLC SERIES 144A CELGENE CORP BUONI POLIENNALI DEL TES BONOS Y OBLIG DEL ESTADO BEV PACK HLDS LU/ ISSUER SERIES 144A AIRCASTLE LTD CENTENE ESCROW CORP SERIES 144A ALLY FINANCIAL

0.00 10.50 1.88 0.00 5.13 1.50 6.25 2.63 2.38 1.75 0.00 6.88 1.10 4.25 5.25 3.75 5.50 7.88 1.25 7.50 6.35 9.00 7.75 5.00 6.13 3.70 6.88 5.13 5.88 6.38 2.13 5.50 0.25 5.63 7.63 5.63 3.25

03/24/2021 11/01/2018 10/15/2019 03/27/2022 05/28/2024 04/18/2030 10/02/2043 04/30/2016 03/25/2019 03/11/2024 09/17/2022 05/15/2023 03/01/2023 07/16/2024 03/16/2025 02/15/2022 08/15/2019 03/03/2025 06/15/2032 10/15/2045 11/15/2018 04/15/2019 03/30/2020 02/15/2024 10/30/2020 04/01/2022 06/01/2021 11/15/2024 10/23/2035 08/15/2018 11/01/2022 04/30/2018 12/15/2016 04/15/2020 02/15/2021 11/05/2018

PAR VALUE 590,000 585,000 500,000 665,000 605,000 525,000 540,000 575,000 570,000 500,000 571,791 535,000 500,000 500,000 600,000 550,000 540,000 540,000 500,000 625,000 565,000 530,000 1,065,000 500,000 525,000 520,000 690,000 545,000 600,000 495,000 540,000 365,000 475,000 545,000 480,000 515,000 545,000

MARKET VALUE $ 588,065 $ 586,463 $ 584,464 $ 583,538 $ 581,641 $ 581,454 $ 576,743 $ 576,094 $ 575,378 $ 571,729 $ 571,505 $ 569,775 $ 567,972 $ 567,040 $ 566,490 $ 565,125 $ 563,285 $ 558,900 $ 557,525 $ 557,031 $ 555,271 $ 555,175 $ 553,800 $ 553,236 $ 552,563 $ 552,301 $ 552,000 $ 551,131 $ 550,500 $ 546,460 $ 546,116 $ 543,916 $ 543,776 $ 543,297 $ 542,400 $ 536,888 $ 536,008

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

CVS CAREMARK CORP SERIES 144A AK STEEL CORP INTELSAT LUXEMBOURG SA SERIES 144A AIR CANADA SERIES 144A FIRST DATA CORPORATION SERIES 144A TEMBEC INDUSTRIES INC SERIES 144A MPT OPER PARTNERSP/FINL CHESAPAKE MIDSTREAM PARTNER AHERN RENTALS INC SERIES 144A ENERGY TRANSFER EQUITY LP NAVIOS MARITIME HOLDINGS SERIES 144A HORNBECK OFFSHORE SERVICES INC INTELSAT JACKSON GOLDMAN SACHS GROUP INC SERIES MTN XCEL ENERGY INC US TREASURY N/B ANHEUSER BUSCH INBEV POST HOLDINGS INC SERIES 144A LAREDO PETROLEUM INC INDIANTOWN COGENERATION SERIES A 10 VIACOM INC US TREASURY N/B AMER AIRLN 13-1 B PASS T SERIES 2013-1 CL US TREASURY N/B NUMERICABLE GROUP SA SERIES 144A NEWPAGE TERM 1L AIR 2 US SERIES 1999 CLASS A 144A ETC UNITED MEXICAN STATES ANTHEM INC COM EXTERRAN PARTNERS LP SERIES WI ARDAGH FINANCE HOLDINGS SERIES 144A NEW PAGE FRANCE GOVERNMENT BOND OAT WMG ACQUISITION CORP SERIES 144A BOMBARDIER INC SERIES 144A JURASSIC HOLDINGS III SERIES 144A JAPAN 10 YR ISSUE SERIES 336

5.00 7.63 7.75 6.75 5.75 9.00 6.38 6.13 7.38 5.88 7.38 5.00 7.25 3.85 2.40 1.63 5.60 7.75 7.38 9.77 5.25 2.13 5.63 1.25 6.00 0.00 8.03 4.00 3.50 6.00 8.63 0.00 1.75 6.00 7.50 6.88 0.50

12/01/2024 05/15/2020 06/01/2021 10/01/2019 01/15/2024 12/15/2019 03/01/2024 07/15/2022 05/15/2023 01/15/2024 01/15/2022 03/01/2021 10/15/2020 07/08/2024 03/15/2021 04/30/2019 03/01/2017 03/15/2024 05/01/2022 12/15/2020 04/01/2044 12/31/2021 01/15/2021 10/31/2018 05/15/2022 02/05/2021 10/01/2019 10/02/2023 08/15/2024 10/01/2022 06/15/2019 07/26/2017 05/25/2023 01/15/2021 03/15/2025 02/15/2021 12/20/2024

PAR VALUE 465,000 850,000 1,780,000 510,000 525,000 760,000 494,000 558,000 750,000 605,000 1,435,000 860,000 800,000 495,000 505,000 500,000 490,000 465,000 600,000 459,437 565,000 488,000 500,810 500,000 510,000 3,394,158 473,109 470,000 485,000 680,000 499,759 568,594 375,000 467,000 625,000 680,000 50,000,000

MARKET VALUE $ 533,092 $ 531,250 $ 529,550 $ 527,850 $ 524,948 $ 524,400 $ 519,935 $ 518,142 $ 517,500 $ 517,275 $ 516,600 $ 516,000 $ 516,000 $ 511,466 $ 511,285 $ 510,879 $ 510,355 $ 510,338 $ 510,000 $ 509,935 $ 508,176 $ 507,539 $ 507,070 $ 505,430 $ 497,250 $ 496,396 $ 494,399 $ 492,325 $ 490,858 $ 489,600 $ 482,268 $ 480,462 $ 478,825 $ 477,508 $ 475,000 $ 469,200 $ 469,007

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

EQUINIX INC WMG HOLDINGS CORP VIRGIN MEDIA SECURED FIN SERIES 144A ALIBABA GROUP HOLDING LTD SERIES WI INTL LEASE FINANCE CORP BUNDESRPUB DEUTSCHLAND GMS TERM 1L ZF NA CAPITAL SERIES 144A PHILIPPINES REPUBLIC OF B COMMUNICATIONS LTD SERIES 144A CLAIRE'S STORES INC SERIES 144A PINNACLE FOODS TERM LOAN B ARCELORMITTAL SA BNP PARIBAS SA ALLY FINANCIAL GENERAL ELECTRIC CO AIR 2 US SERIES 1999 CLASS B 144A ETC IRISH TSY US AIRWAYS PT TRUST SERIES 2001-1G BOYD GAMING CORP CHRYSLER GILEAD SCIENCES INC BEAZER HOMES USA CONVATEC HEALTHCARE E SA SERIES 144A GOLDMAN SACHS GROUP INC FMG RESOURCES SERIES 144A OASIS PETROLEUM INC VIRGIN MEDIA FINANCE SERIES 144 A VALEANT PHARMACEUTICALS SERIES 144A CHILE REPUBLIC OF APACHE CORP ALTICE FINANCING SA SERIES 144A CELGENE CORP NBC UNIVERSAL MEDIA LLC AMERICAN CAMPUS COMMUNITIES OP ANTHEM INC COM GOODMAN NETWORK SERIES 144A

4.88 13.75 5.25 3.60 5.75 1.50 0.00 4.75 3.95 7.38 9.00 0.00 6.13 5.95 4.75 4.50 8.63 3.40 7.08 9.00 0.00 4.80 6.63 10.50 6.00 9.75 6.88 5.75 5.50 3.13 4.25 7.88 5.25 4.45 4.13 4.35 12.13

04/01/2020 10/01/2019 01/15/2026 11/28/2024 05/15/2016 05/15/2024 03/27/2021 04/29/2025 01/20/2040 02/15/2021 03/15/2019 01/13/2023 06/01/2018 09/10/2018 03/11/2044 10/01/2020 03/18/2024 03/20/2021 07/01/2020 05/24/2017 04/01/2044 04/15/2018 12/15/2018 06/15/2020 03/01/2022 03/15/2022 01/15/2025 03/01/2023 01/21/2026 01/15/2044 12/15/2019 08/15/2043 01/15/2043 07/01/2024 08/15/2020 07/01/2018

PAR VALUE 450,000 440,000 455,000 450,000 450,000 350,000 470,668 445,000 400,000 405,000 614,000 433,913 430,000 300,000 425,000 385,000 412,715 305,000 395,613 396,000 417,289 380,000 405,000 400,000 360,000 410,000 550,000 400,000 515,000 400,000 480,000 385,000 360,000 370,000 385,000 365,000 1,090,000

MARKET VALUE $ 465,525 $ 465,300 $ 455,000 $ 453,810 $ 451,971 $ 450,050 $ 443,458 $ 442,775 $ 438,890 $ 438,413 $ 437,475 $ 435,245 $ 434,300 $ 431,387 $ 431,375 $ 429,757 $ 425,355 $ 425,046 $ 420,339 $ 418,770 $ 417,001 $ 416,152 $ 412,088 $ 412,000 $ 410,433 $ 408,975 $ 407,000 $ 405,000 $ 404,919 $ 404,200 $ 403,392 $ 402,325 $ 402,260 $ 398,512 $ 396,396 $ 392,779 $ 392,400

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

GOLDMAN SACHS GROUP INC ACTAVIS FUNDING SCS JBS USA LLC JBS USA FINA SERIES 144A BAYTEX ENERGY CORP SERIES 144A LIONS GATE ENTERTAINMENT CORP MORGAN STANLEY PETROLEOS MEXICANOS QEP RESOURCES INC ASURION LLC PACIFICORP CHESAPEAKE OIL OP FIN CITIGROUP INC JAPAN 328 10 YR ISSUE SERIES 328 US TREASURY N/B T MOBILE USA INC ROCHE HOLDINGS INC SERIES EMTN AERCAP IRELAND CAP LTD/A COOPERATIEVE RABOBANK UA SERIES EMTN FAMILY TREE ESCROW LLC SERIES 144A ISTAR FINANCIAL INC ZIMMER BIOMET HOLDINGS INC JAPAN 2 YEAR ISSUE SERIES 352 LEVEL 3 FINANCING INC SERIES 144A ELECTRICITE DE FRANCE SA SERIES EMTN ISTAR FINANCIAL INC SABINE PASS LNG LP JAPAN 30 YEAR ISSUE SERIES 46 SUAM FINANCE BV SERIES 144A SANMINA CORP SERIES 144A MSCI INC SERIES 144A US TREASURY N/B HYUNDAI CAPITAL AMERICA SERIES 144A ANTHEM INC COM BBVA SUB CAPITAL UNIPERS ASURION TERM 2L BPCE SA SERIES EMTN GILEAD SCIENCES INC

6.25 4.55 7.25 5.13 5.25 6.38 5.50 6.80 0.00 6.25 6.63 5.30 0.60 2.50 6.50 6.50 4.63 4.63 5.25 3.88 4.45 0.10 5.38 4.63 4.88 7.50 1.50 4.88 4.38 5.75 2.00 2.55 3.13 3.50 0.00 2.75 4.75

02/01/2041 03/15/2035 06/01/2021 06/01/2021 08/01/2018 07/24/2042 06/27/2044 04/01/2018 05/24/2019 10/15/2037 11/15/2019 05/06/2044 03/20/2023 02/15/2045 01/15/2024 03/04/2021 07/01/2022 05/23/2029 03/01/2020 07/01/2016 08/15/2045 05/15/2017 01/15/2024 09/11/2024 07/01/2018 11/30/2016 03/20/2045 04/17/2024 06/01/2019 08/15/2025 05/31/2021 02/06/2019 05/15/2022 04/11/2024 02/28/2021 11/30/2027 03/01/2046

PAR VALUE 315,000 380,000 390,000 550,000 380,000 295,000 460,000 390,000 385,731 290,000 1,510,000 360,000 40,000,000 385,000 360,000 250,000 365,000 250,000 355,000 370,000 375,000 41,300,000 360,000 250,000 375,000 350,000 32,000,000 350,000 345,000 335,000 340,000 350,000 350,000 300,000 375,000 300,000 315,000

MARKET VALUE $ 391,651 $ 391,518 $ 388,440 $ 387,750 $ 387,600 $ 386,750 $ 382,214 $ 381,225 $ 379,945 $ 378,759 $ 377,500 $ 376,669 $ 375,558 $ 375,405 $ 374,400 $ 373,456 $ 372,300 $ 371,448 $ 371,419 $ 369,683 $ 369,080 $ 368,626 $ 364,500 $ 364,351 $ 362,344 $ 360,150 $ 357,234 $ 353,150 $ 352,763 $ 352,588 $ 352,325 $ 352,245 $ 351,850 $ 351,661 $ 350,314 $ 345,680 $ 344,796

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

HD SUPPLY INC SERIES 144A UK TSY3 14 2044 GOLDMAN SACHS GROUP INC 10YR SIEMENS FINANCIERINGSMAT SERIES EMTN ORACLE CORP SERIES EMTN BANK OF AMERICA CORP T MOBILE USA INC BELGIUM KINGDOM SERIES 65 FEDERATED DEPT STORES INC GRUPO TELEVISA SA IASIS HEALTHCARE LLC SES SERIES EMTN COMCAST CORP NAVISTER TERM LOAN B CRH FINANCE LTD AETNA INC UBS AG LONDON SERIES EMTN INTELSAT JACKSON TELSTRA CORP LTD SERIES EMTN VERIZON COMMUNICATIONS INC WHITING PETROLEUM CORP TYCO ELECTRONICS GROUP SA AT&T INC CRH FINLAND SERVICES OYJ SERIES EMTN ORACLE CORP SERIES EMTN MIRANT MID ATLANTIC TRUST SERIES B MSCI INC SERIES 144A ENERGY TRANSFER PARTNERS UNITED MEXICAN STATES SERIES MTN CHURCHILL DOWNS INC SERIES 144A INTELSAT JACKSON SERIES 144A PERNOD-RICHARD SA SERIES 144A CRH FIN UK PLC SERIES EMTN NOVARTIS FINANCE SA UK TSY 1 3 4 2019 ASURION LLC SKANDINAVISKA ENSKILDA SERIES EMTN

5.75 3.25 3.50 2.88 3.13 4.10 6.13 4.25 6.90 6.63 8.38 4.63 4.60 0.00 3.13 2.75 6.00 6.63 2.50 6.40 5.75 2.38 2.75 2.75 2.25 9.13 5.25 6.70 4.75 5.38 8.00 5.75 4.13 1.63 1.75 0.00 3.00

04/15/2024 01/22/2044 01/23/2025 03/10/2028 07/10/2025 07/24/2023 01/15/2022 09/28/2022 04/01/2029 01/15/2040 05/15/2019 03/09/2020 08/15/2045 08/06/2020 04/03/2023 11/15/2022 04/18/2018 12/15/2022 09/15/2023 09/15/2033 03/15/2021 12/17/2018 05/19/2023 10/15/2020 01/10/2021 06/30/2017 11/15/2024 07/01/2018 03/08/2044 12/15/2021 02/15/2024 04/07/2021 12/02/2029 11/09/2026 07/22/2019 06/21/2020 12/18/2020

PAR VALUE

MARKET VALUE

335,000 200,000 340,000 250,000 250,000 320,000 325,000 230,000 310,000 300,000 335,000 250,000 295,000 357,775 250,000 325,000 250,000 595,000 250,000 257,000 475,000 310,000 250,000 250,000 250,000 319,666 300,000 295,000 310,000 300,000 300,000 270,000 200,000 250,000 205,000 316,783 200,000

$ 344,213 $ 344,172 $ 343,172 $ 339,088 $ 336,925 $ 336,621 $ 335,563 $ 335,552 $ 333,242 $ 331,166 $ 330,394 $ 329,868 $ 327,277 $ 325,575 $ 325,264 $ 323,985 $ 318,969 $ 318,325 $ 317,883 $ 316,110 $ 315,875 $ 313,488 $ 313,362 $ 311,387 $ 310,747 $ 310,076 $ 309,750 $ 309,508 $ 309,225 $ 309,000 $ 309,000 $ 307,448 $ 307,158 $ 307,115 $ 305,588 $ 304,904 $ 303,813

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

US TREASURY N/B CANADA HOUSING TRUST UNITED PARCEL SERVICE CORP ANDINA DE FOMENTO UBS AG SERIES EMTN ACTIVISION BLACKSTONE HOLDINGS FINA SERIES REGS WELLS FARGO & COMPANY BPCE SA DRILLSHIPS FINANCING HOLDING I MASTERCARD INC BRITISH SKY BROADCASTING GROUP SERIES GESTAMP FUND LUX SA SERIES 144A COMPILER FINANCE SUB INC SERIES 144A PROLOGIS LP STANDARD CHARTERED BANK BUONI POLIENNALI DEL TES ING BANK NV SERIES EMTN COVERIS HOLDINGS SA SERIES 144A ARDAGH PKG FIN/MP HD USA SERIES 144A GENERAL MOTORS FINANCIAL SERIES EMTN BANCO DE CREDITO DEL PER SERIES 144A METLIFE INC ICAHN ENTERPRISES/FIN MET LIFE GLOB FUNDING I BUONI POLIENNALI DEL TES DOLPHIN ENERGY LTD REGS SEVEN GENERATIONS ENERGY LTD SERIES 1 UNIVISION COMMUNICATIONS AEGON NV SERIES EMTN LEVEL 3 FINANCING INC SERIES WI ACTAVIS FUNDING SCS SERIES WI DAIMLER INTL FINANCE BV SERIES EMTN VIRGIN MEDIA FINANCE SERIES 144A IBERDROLA INTL BV SERIES EMTN SHELL INTERNATIONAL FIN ENERGY TRANSFER PARTNERS

1.25 1.70 1.63 1.50 4.75 0.00 2.00 3.90 5.25 0.00 1.10 1.50 5.63 7.00 1.38 8.10 3.75 0.70 7.88 6.00 0.85 4.25 4.05 3.50 0.88 3.50 5.50 6.75 0.00 4.00 6.13 4.85 3.50 6.00 3.50 4.38 5.15

01/31/2019 12/15/2017 11/15/2025 08/08/2017 02/12/2026 09/12/2020 05/19/2025 05/01/2045 04/16/2029 03/31/2021 12/01/2022 09/15/2021 05/31/2020 05/01/2021 10/07/2020 08/01/2021 04/16/2020 11/01/2019 06/30/2021 02/23/2018 04/01/2023 03/01/2045 03/15/2017 01/20/2022 03/01/2030 12/15/2021 05/01/2023 03/01/2020 04/25/2044 01/15/2021 06/15/2044 06/06/2019 10/15/2024 02/01/2021 05/11/2045 03/15/2045

PAR VALUE

MARKET VALUE

300,000 385,000 250,000 300,000 250,000 296,015 250,000 295,000 200,000 824,372 250,000 250,000 285,000 645,000 250,000 200,000 215,000 250,000 320,000 300,000 250,000 275,000 300,000 285,000 250,000 200,000 250,000 295,000 281,137 250,000 255,000 250,000 175,000 255,000 200,000 260,000 335,000

$ 303,340 $ 302,583 $ 302,268 $ 300,375 $ 298,021 $ 297,033 $ 296,323 $ 295,035 $ 293,249 $ 293,171 $ 292,856 $ 291,839 $ 290,415 $ 290,250 $ 288,944 $ 288,265 $ 288,006 $ 287,500 $ 286,400 $ 285,000 $ 284,985 $ 283,800 $ 283,795 $ 283,575 $ 282,161 $ 280,157 $ 279,063 $ 278,038 $ 278,033 $ 275,282 $ 267,113 $ 266,235 $ 266,166 $ 262,013 $ 261,586 $ 260,747 $ 260,415

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

MEXICHEM SAB DE CV REGS IHS INC SERIES WI FEDEX CORP AMER AIRLINES SERIES 2015-1 CLASS B FIRSTENERGY CORP NEPTUNE FINCO CORP SERIES 144A INTELSAT LUXEMBOURG SA SERIES 144A US TREASURY N/B JAPAN GOVERNMENT TWENTY YEAR B SERIE BONOS Y OBLIG DEL ESTADO UK TREASURY ANGUS CHEMICAL TERM LOAN B IMPERIAL TOBACCO FINANCE SERIES EMTN ILFC E-CAPITAL TRUST SERIES 144A AMERICAN INTL GROUP SERIES EMTN MEIJER INC SOUTHERN COPPER CORP MGM RESORTS INTERNATIONAL VERIZON COMMUNICATIONS INC SERIES EMT FRANCE GOVT OF FORD MOTOR CREDIT CO LLC RABOBANK NEDERLAND SERIES EMTN CHAPARRAL ENERGY INC CSX CORP INDONESIA REPUBLIC OF MEIJER INC MEIJER INC WESTERN POWER DIST WEST SERIES EMTN BONOS Y OBLIG DEL ESTADO QUAD GRAPHICS INC BURLINGTON NORTHERN SANTA FE COMCAST CORP EP ENER/EVEREST ACQ FIN SERIES WI SPRINGLEAF FINANCE CORP SERIES MTN CSC HOLDINGS LLC VRX ESCROW CORP SERIES 144A TESORO LOGISTICS LP / CORP SERIES 144A

4.88 5.00 4.55 3.70 7.38 6.63 8.13 1.38 1.40 5.50 1.75 0.00 4.88 4.49 5.00 9.00 3.88 8.63 4.75 1.00 2.60 5.25 9.88 4.50 6.63 9.00 9.00 5.75 2.75 8.04 5.05 5.50 6.38 6.90 8.63 5.88 6.25

09/19/2022 11/01/2022 04/01/2046 05/01/2023 11/15/2031 10/15/2025 06/01/2023 02/28/2019 09/20/2034 04/30/2021 09/07/2022 02/02/2022 06/07/2032 12/21/2065 04/26/2023 12/01/2019 04/23/2025 02/01/2019 02/17/2034 05/25/2019 11/04/2019 09/14/2027 10/01/2020 08/01/2054 02/17/2037 12/01/2019 12/01/2019 04/16/2032 10/31/2024 06/15/2016 03/01/2041 11/23/2029 06/15/2023 12/15/2017 02/15/2019 05/15/2023 10/15/2022

PAR VALUE 250,000 250,000 250,000 268,541 210,000 235,000 850,000 250,000 24,000,000 175,000 165,000 254,011 150,000 300,000 150,000 209,545 250,000 210,000 150,000 200,000 235,000 150,000 1,240,000 235,000 100,000 201,311 200,900 125,000 180,000 227,270 200,000 125,000 495,000 220,000 205,000 285,000 225,000

MARKET VALUE $ 260,000 $ 259,063 $ 256,927 $ 255,786 $ 255,059 $ 254,070 $ 253,938 $ 253,633 $ 252,793 $ 249,776 $ 247,761 $ 247,237 $ 243,855 $ 243,000 $ 240,740 $ 240,522 $ 239,731 $ 238,875 $ 237,571 $ 237,500 $ 235,851 $ 235,049 $ 232,500 $ 232,466 $ 231,863 $ 231,073 $ 230,600 $ 230,259 $ 229,799 $ 228,550 $ 228,512 $ 228,474 $ 227,700 $ 227,150 $ 225,500 $ 223,369 $ 222,750

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

APPLE INC SABLE INTERNATIONAL FINANCE SERIES 144 GRUPO BIMBO SERIES 144A US TREASURY N/B ALERIS INTERNATIONAL INC SERIES 144A US TREASURY N/B CENCOSUD SA SERIES 144A US TREASURY N/B ACE INA HOLDINGS PUBLIC SERVICE ELECTRIC SERIES MTN UNITED MEXICAN STATES 77 ENERGY ACADIA HEALTHCARE TERM LOAN B JP MORGAN CHASE & CO JARDEN CORP GRUPO BIMBO SERIES 144A ALTICE FINANCING SA SERIES 144A ELECTRICITE DE FRANCE SERIES 144A US TREASURY N/B IMPERIAL TOBACCO FINANCE SERIES EMTN ALLTEL CORP DYNEGY INC SERIES WI COLOMBIA REPUBLIC OF FORD MOTOR COMPANY PACIFIC GAS & ELECTRIC PERTAMINA PERSERO PT SERIES 144A AMERICA MOVIL SAB DE CV ZF NA CAPITAL SERIES 144A CCOH SAFARI LLC SERIES 144A CSX CORP ORACLE CORP PANAMA REPUBLIC OF ACTAVIS FUNDING SCS AIG SUNAMER GOLB FIN X SERIES 144A BARRICK GOLD CORP VERIZON COMMUNICATION EQUINIX INC

2.85 8.75 4.88 0.50 9.50 2.25 5.50 4.75 4.35 3.65 3.50 0.00 0.00 5.60 6.13 3.88 6.63 4.88 0.50 3.38 7.88 6.75 5.63 7.45 4.45 6.45 4.38 4.50 5.75 6.25 2.50 4.30 3.45 6.90 5.25 2.63 5.38

05/06/2021 02/01/2020 06/30/2020 09/30/2016 04/01/2021 11/15/2024 01/20/2021 02/15/2041 11/03/2045 09/01/2042 01/21/2021 06/17/2021 01/27/2023 07/15/2041 11/15/2022 06/27/2024 02/15/2023 01/22/2044 04/30/2017 02/26/2026 07/01/2032 11/01/2019 02/26/2044 07/16/2031 04/15/2042 05/30/2044 07/16/2042 04/29/2022 02/15/2026 03/15/2018 10/15/2022 04/29/2053 03/15/2022 03/15/2032 04/01/2042 12/01/2031 01/01/2022

PAR VALUE

MARKET VALUE

210,000 210,000 200,000 215,000 210,000 205,000 200,000 150,000 195,000 210,000 200,000 319,313 205,000 165,000 195,000 200,000 200,000 200,000 200,000 150,000 150,000 200,000 200,000 150,000 180,000 200,000 200,000 190,000 185,000 175,000 185,000 200,000 180,000 150,000 215,000 150,000 175,000

$ 220,191 $ 219,450 $ 216,617 $ 215,084 $ 214,069 $ 213,728 $ 213,331 $ 213,059 $ 212,513 $ 207,974 $ 207,000 $ 205,759 $ 205,426 $ 202,606 $ 201,162 $ 200,956 $ 200,500 $ 200,264 $ 199,703 $ 199,376 $ 199,346 $ 199,000 $ 199,000 $ 195,426 $ 194,558 $ 194,332 $ 194,290 $ 193,800 $ 191,475 $ 190,542 $ 188,238 $ 187,000 $ 186,868 $ 186,209 $ 185,066 $ 183,698 $ 182,219

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

PRUDENTIAL FINANCIAL INC UNITEDHEALTH GROUP INC ORACLE CORP ANTHEM INC COM MONSANTO CO CHAPARRAL ENERGY INC ROCHE FINANCE EUROPE BV SERIES EMTN AMERICAN INTERNATIONAL GROUP I AIRCASTLE LTD DUKE ENERGY CAROLINAS DELEK & AVNER YAMTETHYS SERIES 144A SAN DIEGO G & E COMCAST CORP TOYOTA MOTOR CREDIT CORP SERIES FRN ISTAR FINANCIAL INC IMPERIAL TOBACCO FINANCE SERIES EMTN METLIFE CAPITAL TRUST IV SERIES 144A WELLS FARGO & CO SERIES S CODELCO INC SERIES 144A NORTHERN STATES POWER CO FRANCE GOVERNMENT OF TIME WARNER CABLE INC LEVEL 3 FINANCING INC TENET HEALTHCARE CORP PETROLEOS MEXICANOS AT&T INC WAL-MART STORES INC ELECTRICITE DE FRANCE SA SERIES EMTN BANK OF AMERICA CORP RIO TINTO FIN USA LTD MEX BONOS DESARR FIX RT SERIES M CAROLINA POWER & LIGHT AUSTRALIAN GOVERNMENT SERIES 126 VIRGINIA ELEC & POWER CO VERIZON COMMUNICATIONS SERIES REGS GOLDMAN SACHS GROUP INC SERIES EMTN BAE SYSTEMS PLC

6.20 3.95 4.30 4.85 3.38 7.63 5.38 4.80 5.00 4.00 5.41 3.95 4.20 1.01 5.00 5.50 7.88 5.90 4.25 4.13 3.75 5.88 4.10 6.00 6.50 5.20 4.75 5.50 5.88 3.50 5.00 4.10 4.50 4.00 4.07 4.25 4.13

11/15/2040 10/15/2042 07/08/2034 08/15/2054 07/15/2024 11/15/2022 08/29/2023 07/10/2045 04/01/2023 09/30/2042 12/30/2025 11/15/2041 08/15/2034 01/17/2019 07/01/2019 09/28/2026 12/15/2037 07/17/2042 05/15/2044 04/25/2021 11/15/2040 01/15/2018 10/01/2020 06/02/2041 11/18/2033 10/02/2043 10/17/2041 02/07/2042 11/02/2020 12/11/2019 05/15/2042 04/15/2020 01/15/2043 06/18/2024 01/29/2026 06/08/2022

PAR VALUE 155,000 180,000 170,000 180,000 175,000 936,000 100,000 180,000 175,000 170,000 175,000 170,000 165,000 175,000 180,000 100,000 150,000 170,000 200,000 160,000 125,000 165,000 170,000 160,000 180,000 100,000 140,000 100,000 135,000 158,000 2,800,000 155,000 190,000 155,000 100,000 100,000 100,000

MARKET VALUE $ 181,935 $ 181,097 $ 178,792 $ 178,058 $ 177,956 $ 177,840 $ 177,835 $ 177,658 $ 175,875 $ 175,440 $ 175,219 $ 174,732 $ 174,414 $ 173,684 $ 172,800 $ 172,683 $ 172,500 $ 172,284 $ 171,343 $ 170,884 $ 170,845 $ 170,761 $ 170,638 $ 170,400 $ 169,470 $ 165,237 $ 165,029 $ 164,859 $ 163,606 $ 163,534 $ 162,819 $ 161,182 $ 160,475 $ 158,401 $ 157,780 $ 156,911 $ 156,631

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

US TREASURY N/B 2.25 ABBVIE INC 4.50 LYB INTL FINANCE BV 4.88 VERSO PAPER HOLDINGS LLC 11.75 NETHERLANDS GOVERNMENT BOND 1.75 SIEMENS FINANCIERINGSMAT SERIES EMTN 3.75 ROYAL BANK OF SCOTLND GRP PLC 6.13 AERCAP IRELAND CAP LTD/A 4.63 TOTAL CAPITAL SA 2.13 CSX CORP 4.75 DIRECTV HOLDINGS/FING 4.38 UNITED KINGDOM GILT 2.00 ABBEY NATL TREASURY SERV 3.88 UK TREASURY 4.25 BRITISH SKY BROADCASTING SERIES EMTN 2.88 SIEMENS FINANCIERINGSMAT SERIES EMTN 2.75 EOG RESOURCES INC 3.90 AGRIUM INC 4.13 ABBEY NATIONAL TREASURY SERVIC SERIES 1.88 TELEFONICA EUROPE BV 8.25 KERR-MCGEE CORP 7.88 DOMINION GAS HLDGS LLC SERIES WI 4.80 NATIONWIDE BLDG SOCIETY SERIES EMTN 6.88 SOUTH CAROLINA ELEC & GAS 4.50 ENABLE MIDSTREAM PARTNERS LP SERIES 5.00 TIME WARNER CABLE INC 5.25 ELECTRICITE DE FRANCE SA SERIES EMTN 6.00 CVS CAREMARK CORP 2.80 FRANCE GOVERNMENT 1.75 CARRIZO OIL & GAS INC 6.25 BUONI POLIENNALI DEL TES 2.50 TRAVELERS COS INC 6.25 STANDARD PACIFIC CORP 5.88 TYCO ELECTRONICS GROUP SA 7.13 DOW CHEMICAL CO 4.63 ITALY BUONI POLIENNALI DEL TES 2.15 MASS MUTUAL LIFE INS CO SERIES 144A 4.50

11/15/2025 05/14/2035 03/15/2044 01/15/2019 07/15/2023 09/10/2042 12/15/2022 10/30/2020 08/10/2018 05/30/2042 09/14/2029 07/22/2020 10/15/2029 12/07/2040 11/24/2020 09/10/2025 04/01/2035 03/15/2035 02/17/2020 09/15/2030 09/15/2031 11/01/2043 06/01/2064 05/15/2044 07/15/2042 07/20/2020 11/25/2024 04/15/2023 12/01/2024 06/15/2037 11/15/2024 10/01/2037 10/01/2044 12/15/2021 04/15/2065

PAR VALUE 150,000 150,000 155,000 1,065,000 120,000 100,000 145,000 150,000 150,000 145,000 100,000 100,000 100,000 75,000 100,000 100,000 160,000 170,000 100,000 100,000 125,000 135,000 100,000 135,000 190,000 100,000 100,000 125,000 100,000 145,000 100,000 95,000 120,000 96,000 125,000 100,000 135,000

MARKET VALUE $ 156,111 $ 155,851 $ 154,542 $ 154,425 $ 154,303 $ 154,060 $ 153,811 $ 153,750 $ 152,448 $ 152,330 $ 151,829 $ 151,325 $ 150,942 $ 148,864 $ 148,642 $ 148,479 $ 148,254 $ 147,725 $ 142,899 $ 139,822 $ 136,555 $ 135,147 $ 134,388 $ 134,181 $ 134,142 $ 132,736 $ 131,441 $ 129,732 $ 128,553 $ 127,781 $ 127,086 $ 126,751 $ 126,300 $ 125,207 $ 125,071 $ 124,577 $ 124,552

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

CAROLINA POWER & LIGHT DEVON ENERGY CORP MEDTRONIC INC PACIFIC GAS & ELECTRIC DOW CHEMICAL CO BELGIUM KINGDOM SERIES 74 DANA HOLDING CORP UNIV OF CALIFORNIA CA REVENUES SHELL INTENATIONAL FIN SERIES EMTN BONOS Y OBLIG DEL ESTADO HUMANA INC US TREASURY N/B QUAD GRAPHICS INC QUAD GRAPHICS INC GOLDMAN SACHS GROUP INC BUONI POLIENNALI DEL TES MOODY'S CORP CONS EDISON CO OF NY AT&T INC COLOMBIA REPUBLIC OF DENMARK GOVERNMENT BOND VERIZON COMMUNICATIONS INC SANTANDER ISSUANCES SERIES EMTN UK TREASURY REYNOLDS GROUP HOLDINGS PHILIP MORRIS INTERNATIONAL NETHERLANDS GOVERNMENT BOND NISSAN MOTOR ACCEPTANCE SERIES 144A HALLIBURTON CO CIGNA CORP US TREASURY N/B LOUISVILLE GAS & ELECTRIC UNITED MEXICAN STATES CANADA HOUSING TRUST NO 1 BANCO SANTANDER SA US TREASURY N/B DP WORLD

2.80 5.00 4.63 5.13 4.38 0.80 6.75 4.86 1.63 1.15 4.95 0.75 7.59 8.10 4.80 0.25 1.75 4.20 4.45 7.38 1.75 6.25 2.50 4.75 5.75 4.50 2.00 1.18 1.00 5.38 2.13 4.38 3.63 2.40 6.25 3.25 6.85

05/15/2022 06/15/2045 03/15/2044 11/15/2043 11/15/2042 06/22/2025 02/15/2021 05/15/2112 01/20/2027 07/30/2020 10/01/2044 02/15/2042 12/16/2016 09/30/2016 07/08/2044 05/15/2018 03/09/2027 03/15/2042 04/01/2024 03/18/2019 11/15/2025 04/01/2037 03/18/2025 12/07/2030 10/15/2020 03/20/2042 07/15/2024 03/03/2017 08/01/2016 02/15/2042 02/15/2041 10/01/2045 03/15/2022 12/15/2022 12/31/2016 07/02/2037

PAR VALUE

MARKET VALUE

121,000 165,000 110,000 105,000 125,000 100,000 115,000 115,000 100,000 100,000 115,000 115,000 113,636 113,636 110,000 100,000 100,000 110,000 105,000 100,000 650,000 95,000 100,000 55,000 105,000 100,000 80,000 105,000 105,000 95,000 75,000 95,000 100,000 125,000 100,000 100,000 100,000

$ 124,152 $ 123,151 $ 122,916 $ 122,630 $ 119,985 $ 118,256 $ 118,163 $ 117,981 $ 117,912 $ 117,893 $ 117,700 $ 117,018 $ 115,358 $ 115,236 $ 115,015 $ 114,559 $ 114,311 $ 114,155 $ 113,652 $ 113,200 $ 111,617 $ 111,113 $ 109,470 $ 108,490 $ 107,756 $ 107,502 $ 105,468 $ 105,040 $ 104,986 $ 104,443 $ 104,430 $ 103,608 $ 103,250 $ 102,642 $ 102,112 $ 101,969 $ 101,946

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

SOUTHERN CAL EDISON PRUDENTIAL FINANCIAL INC SERIES MTN KENTUCKY UTILITIES LOWES COMPANIES INC UNITED PARCEL SERVICE INC KINDER MORGAN INC SOUTHERN COPPER CORP FRANCE GOVERNMENT OF PANAMA REPUBLIC OF BONOS Y OBLIG DEL ESTADO PHILLIPS 66 BURLINGTON NORTHERN SANTA FE PPL ELECTRIC UTILITIES MICROSOFT CORP HALLIBURTON CO JOHNSON & JOHNSON VERIZON COMMUNICATIONS INC ELECTRICITE DE FRANCE SA SERIES EMTN NETHERLANDS GOVERNMENT WILLIAMS PARTNERS L.P AUSTRALIAN GOVERNMENT SERIES 138 ACTAVIS FUNDING SCS GEORGAI-PACIFIC LLC SERIES 144A POLAND GOVERNMENT BOND SERIES 1020 ULTRA PETROLEUM CORP SERIES 144A UNION PACIFIC CORP AT&T INC GLENCORE FUNDING LLC SERIES 144A SIMON PROPERTY GROUP LP TOYOTA MOTOR CREDIT CORP SERIES MTN TIME WARNER INC NEWELL RUBBERMAID INC DUKE ENERGY CORP WATSON PHARMACEUTICALS INC ARDAGH PKG FIN/MP HD USA SERIES 144A FLORIDA POWER & LIGHT BONOS Y OBLIG DEL ESTADO

3.90 5.80 4.38 4.38 5.13 5.30 6.75 4.50 6.70 4.65 4.88 5.40 3.00 3.13 4.75 5.50 2.63 6.25 5.50 5.10 3.25 4.75 5.40 5.25 6.13 4.15 1.55 3.13 4.75 2.00 5.38 5.38 3.75 4.63 7.00 3.80 4.85

12/01/2041 11/16/2041 10/01/2045 09/15/2045 02/12/2050 12/01/2034 04/16/2040 04/25/2041 01/26/2036 07/30/2025 11/15/2044 06/01/2041 09/15/2021 11/03/2025 08/01/2043 11/06/2024 02/21/2020 05/30/2028 01/15/2028 09/15/2045 04/21/2029 03/15/2045 11/01/2020 10/25/2020 10/01/2024 01/15/2045 11/27/2018 04/29/2019 03/15/2042 10/24/2018 10/15/2041 04/01/2036 04/15/2024 10/01/2042 11/15/2020 12/15/2042 10/31/2020

PAR VALUE 100,000 90,000 95,000 90,000 50,000 115,000 100,000 50,000 75,000 65,000 95,000 80,000 90,000 90,000 100,000 50,000 89,000 50,000 50,000 125,000 110,000 85,000 80,000 290,000 1,185,000 85,000 85,000 90,000 75,000 80,000 75,000 75,000 75,000 75,000 80,294 75,000 55,000

MARKET VALUE $ 101,783 $ 101,564 $ 101,441 $ 99,999 $ 99,712 $ 98,980 $ 97,166 $ 96,493 $ 95,625 $ 95,454 $ 95,173 $ 94,962 $ 94,664 $ 94,509 $ 92,753 $ 91,727 $ 91,575 $ 90,388 $ 90,164 $ 89,943 $ 89,551 $ 89,395 $ 89,369 $ 89,059 $ 88,875 $ 87,393 $ 84,510 $ 81,675 $ 81,626 $ 81,443 $ 80,328 $ 80,213 $ 78,412 $ 77,270 $ 76,480 $ 76,425 $ 75,374

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

FRANCE GOVERNMENT OF HALCON RESOURCES CORP SERIES 144A BAE SYSTEMS HOLDINGS INC SERIES 144A BUONI POLIENNALI DEL TES NEWELL RUBBERMAID INC TOTAL CAPITAL INTL SA BONOS Y OBLIG DEL ESTADO BUONI POLIENNALI DEL TES VIACOM INC WYNDHAM WORLDWIDE CORP BUCKEYE PARTNERS LP NAVIOS MARITIME HOLDINGS MONSANTO CO NETHERLANDS GOVERNMENT INTL LEASE FINANCE CORP VODAFONE GROUP PLC GENERAL MOTORS FINL CO EDISON INTERNATIONAL TRAVELERS COS INC BAT INTL FINANCE PLC SERIES 144A ROMANIA SERIES 144A BHP BILLITON FIN USA LTD MARATHON PETROLEUM CORP US TREASURY N/B WELLS FARGO & CO SERIES 144A SWEDISH GOVERNMENT CHARTER COMMUNICATIONS TERM LOAN I NEXEN INC CONSTELLATION BRANDS INC LENNAR CORP ERAC USA FINANCE COMPANY SERIES 144A LAREDO PETROLEUM INC SERIES WI KLA-TENCOR CORP GOLDMAN SACHS GROUP INC ECOPETROL SA BONOS Y OBLIG DEL ESTADO HUNGARY REPUBLIC OF

3.50 12.00 4.75 6.00 5.50 1.50 4.25 5.00 5.85 4.25 5.60 8.13 4.20 2.25 2.58 1.50 4.30 3.75 4.60 2.75 6.13 2.05 5.00 2.88 5.61 4.25 0.00 5.88 3.88 4.50 5.63 5.63 5.65 6.45 7.38 5.15 7.63

04/25/2026 02/15/2022 10/07/2044 05/01/2031 04/01/2046 02/17/2017 10/31/2016 09/01/2040 09/01/2043 03/01/2022 10/15/2044 02/15/2019 07/15/2034 07/15/2022 06/15/2016 02/19/2018 07/13/2025 09/15/2017 08/01/2043 06/15/2020 01/22/2044 09/30/2018 09/15/2054 05/15/2043 01/15/2044 03/12/2019 01/23/2023 03/10/2035 11/15/2019 11/15/2019 03/15/2042 01/15/2022 11/01/2034 05/01/2036 09/18/2043 10/31/2044 03/29/2041

PAR VALUE 50,000 111,000 70,000 40,000 65,000 70,000 60,000 40,000 70,000 65,000 80,000 225,000 70,000 50,000 65,000 65,000 65,000 60,000 55,000 60,000 50,000 60,000 75,000 55,000 48,000 395,000 55,000 50,000 50,000 50,000 45,000 60,000 50,000 40,000 50,000 25,000 30,000

MARKET VALUE $ 74,116 $ 73,815 $ 73,034 $ 71,112 $ 70,616 $ 70,323 $ 70,072 $ 68,817 $ 67,308 $ 67,016 $ 66,995 $ 66,375 $ 66,169 $ 65,569 $ 65,061 $ 64,931 $ 64,337 $ 62,029 $ 61,994 $ 61,702 $ 61,006 $ 60,571 $ 58,702 $ 57,954 $ 55,624 $ 55,515 $ 55,015 $ 54,931 $ 52,438 $ 52,000 $ 50,648 $ 50,100 $ 49,810 $ 46,379 $ 45,750 $ 43,220 $ 42,480

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

HOME DEPOT INC PUBLIC SERVICE ELECTRIC SERIES MTN ECOPETROL SA BUNDESREPUBLIK DEUTSCHLAND FRANCE GOVERNMENT BOND TRANS CANADA PIPELINES SWEDEN GOVERNMENT BOND SERIES 1057 NRG ENERGY INC SERIES WI ALLSTATE CORP SPRINT NEXTEL CORP UNITED AIRLINES SERIES 2014-1 CLASS B SWITZERLAND MACYS RETAIL HLDGS INC DUKE ENERGY CAROLINAS CHEVRON CORP US TREASURY N/B TIPS OASIS PETROLEUM INC RIO TINTO FIN USA LTD HD SUPPLY INC SERIES 144A BARRICK GOLD CORP HCA INC WELLTOWER INC UK TREASURY PHILIP MORRIS INTERNATIONAL RADNET INC TERM LOAN TEXAS COMPETITIVE ELECTRIC HO TERM LO NEP/NCP HOLDCO TERM B 1L NTELOS TERM B 1L TOTAL Bonds & Notes

4.88 2.30 5.88 4.75 0.50 7.13 1.50 6.25 5.75 9.13 4.75 2.50 5.13 4.25 2.36 1.75 6.50 4.13 5.25 4.10 5.25 6.50 4.25 4.25 0.00 0.00 0.00 0.00

02/15/2044 09/15/2018 05/28/2045 07/04/2028 05/25/2025 01/15/2019 11/13/2023 05/01/2024 08/15/2053 03/01/2017 10/11/2023 03/08/2036 01/15/2042 12/15/2041 12/05/2022 01/15/2028 11/01/2021 05/20/2021 12/15/2021 05/01/2023 06/15/2026 03/15/2041 12/07/2027 11/10/2044 10/10/2018 10/10/2017 01/22/2020 11/09/2019

PAR VALUE 35,000 40,000 50,000 20,000 30,000 30,000 225,000 30,000 25,000 24,000 23,802 15,000 26,000 20,000 20,000 15,000 25,000 15,000 15,000 16,000 15,000 10,000 5,000 5,000 4,803 12,036 147

MARKET VALUE $ 41,532 $ 40,836 $ 39,360 $ 35,053 $ 34,705 $ 33,309 $ 30,112 $ 27,525 $ 25,406 $ 24,420 $ 23,564 $ 23,254 $ 22,239 $ 21,378 $ 19,986 $ 19,668 $ 18,500 $ 15,883 $ 15,750 $ 15,582 $ 15,375 $ 11,770 $ 9,215 $ 5,292 $ 4,699 $ 3,350 $ 136 0 $ 2,332,707,307

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 9.27 %

CMO

JPMBB COMMERCIAL MORTGAGE SECU SERI FHLMC SERIES 14-HQ2 CLASS M1 FHLMC SERIES 15-DNA CLASS M1 HOMEBANC MORTGAGE TRUST SERIES 2005WACHOVIA BANK COMMERCIAL MORTG SERI CITIGROUP COMMERCIAL MORTGAGE SERIE

3.63 1.88 1.33 0.77 0.59 3.57

02/15/2048 09/25/2024 10/25/2027 01/25/2036 10/15/2048 02/10/2048

10,000,000 10,212,514 10,175,449 11,007,237 8,390,367 8,000,000

$ 10,264,745 $ 10,240,316 $ 10,144,584 $ 9,478,010 $ 8,327,835 $ 8,186,238

0.26 % 0.26 % 0.26 % 0.24 % 0.21 % 0.21 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

FHLMC SERIES 15-DNA2 CLASS M1 CD COMMERCIAL MORTGAGE TRUST SERIES COMM MORTGAGE PASS-THRU SERIES 2010WACHOVIA BANK COMMERCIAL MORTG SERI CREDIT SUISSE MORT CAP SERIES 2009-RR1 CREDIT SUISSE MORT CAP SERIES 2009-RR3 JP MORGAN CHASE COMMERCIAL MTG SERIE FHLMC SERIES 14-HQ1 CLASS M1 JPMBB COMMERCIAL MORTAGE SECUR SERI MORGAN STANLEY BAML TRUST SERIES 2014 WF-RBS COMMERCIAL MORTGAGE SERIES 20 BCRR TRUST SERIES 2009-1 CLASS 2A2 FHLMC SERIES 15-HQA1 CLASS M1 GNMA SERIES 2015-116 CLASS SA MORGAN STANLEY BAML TRUST SERIES 2015 JP MORGAN CHASE COMMERCIAL MTG SERIE CFCRE COMMERCIAL MORTGAGE SERIES 201 GS MORTGAGE SECURITIES TRUST SERIES 2 CITIGROUP COMMERCIAL MORTGAGE SERIE GNMA SERIES 2015-16 CLASS MS JPMBB COMMERCIAL MORTGAGE SECU SERI WELLS FARGO COMMERCIAL MORTGAG SERI COMM MORTGAGE TRUST SERIES 2014-CR17 GNMA SERIES 20102-6 CLASS SB GS MORTGAGE SECURITIES TRUST SERIES 2 FHLMC SEREIS 14-DN3 CLASS M2 MORGAN STANLEY BANK OF AMERICA SERIE FHLMC SERIES 3117 CLASS FH WELLS FARGO MORT-BACKED SEC SERIES 2 FHLMC SERIES 15-DNA3 CLASS M1 LB-UBS COMMERCIAL MORTGAGE TRU SERIE GNMA SERIES 2011-123 CLASS SH FHLMC SERIES 2014-DN2 CLASS M1 WACHOVIA BANK COMMERCIAL MORTG SERI JP MORGAN CHASE COMMERCIAL MTG SERIE FNMA SERIES 2016-6 CLASS AS FNMA SERIES 2013-23 CLASS KS

1.58 5.37 5.54 0.63 5.38 5.34 5.94 2.08 3.99 3.83 4.07 5.86 1.68 5.82 3.89 4.81 5.57 5.32 4.29 5.17 1.03 4.19 4.74 6.17 1.51 2.83 1.19 0.74 2.96 1.78 5.43 5.72 1.28 5.25 3.15 5.62 5.66

12/25/2027 12/11/2049 12/11/2049 12/15/2043 02/15/2040 12/15/2043 02/15/2051 08/25/2024 10/15/2048 12/15/2047 09/15/2057 07/17/2040 03/25/2028 08/16/2045 11/15/2048 02/15/2047 12/15/2047 11/10/2046 09/10/2045 02/20/2045 08/15/2048 12/15/2047 05/10/2047 04/16/2040 11/10/2046 08/25/2024 04/15/2047 02/15/2036 03/25/2035 04/25/2028 02/15/2040 09/20/2041 04/25/2024 12/15/2043 08/15/2046 02/25/2046 03/25/2043

PAR VALUE 7,682,257 7,057,500 7,000,000 6,815,000 6,200,000 6,010,000 5,570,000 5,372,096 5,500,000 5,000,000 5,000,000 4,797,000 4,753,198 19,339,016 4,350,000 4,500,000 4,200,000 4,200,000 4,200,000 20,239,077 65,535,454 4,500,000 4,150,000 16,955,058 64,588,231 3,880,972 64,425,546 3,777,866 3,829,026 3,712,964 3,626,186 16,823,893 3,603,723 3,323,141 3,340,715 12,956,109 13,498,771

MARKET VALUE $ 7,682,261 $ 7,176,156 $ 7,155,357 $ 6,453,808 $ 6,271,329 $ 6,126,411 $ 5,659,378 $ 5,387,473 $ 5,286,902 $ 5,269,826 $ 5,255,490 $ 4,959,147 $ 4,757,706 $ 4,580,564 $ 4,568,449 $ 4,520,109 $ 4,437,835 $ 4,425,773 $ 4,374,624 $ 4,313,627 $ 4,285,232 $ 4,284,297 $ 4,218,884 $ 4,060,545 $ 3,973,042 $ 3,914,618 $ 3,907,603 $ 3,775,949 $ 3,733,759 $ 3,718,985 $ 3,702,506 $ 3,645,224 $ 3,600,344 $ 3,371,731 $ 3,355,443 $ 3,256,635 $ 3,252,897

% OF ASSETS 0.19 % 0.18 % 0.18 % 0.16 % 0.16 % 0.15 % 0.14 % 0.14 % 0.13 % 0.13 % 0.13 % 0.13 % 0.12 % 0.12 % 0.12 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.11 % 0.10 % 0.10 % 0.10 % 0.10 % 0.10 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.09 % 0.08 % 0.08 % 0.08 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

JP MORGAN CHASE COMMERCIAL MTG SERIE GS MORTGAGE SECURITIES CORP SERIES 20 COMMERCIAL MORTGAGE PASS THROU SERI JP MORGAN CHASE COMMERCIAL MTG SERIE GNMA SERIES 2014-131 CLASS AS COMM MTG TR SERIES 2015-PC1 CLASS AM MORGAN STANLEY BANK OF AMERICA SERIE FNMA SERIES 2013-59 CLASS SC CITIGROUP COMMERCIAL MORTGAGE SERIE GNMA SERIES 2013-110 CLASS SC GS MORTGAGE SECURITIES TRUST SERIES 2 MORGAN STANLEY BAML TRUST SERIES 2012 BANC OF AMERICA COMMERCIAL MOR SERIE CITIGROUP COMMERCIAL MORTGAGE SERIE CS FIRST BOSTON MORTGAGE SECUR SERIE GNMA SERIES 2012-148 CLASS SA GNMA SERIES 2012-97 CLASS AS FNMA SERIES 2012-128 CLASS ST CITIGROUP/DEUTSCHE BANK COMMER SERIE GS MORTGAGE SECURITIES CORP SERIES 20 DBUBS MORTGAGE TRUST SERIES 2011-LC2A FHLMC SERIES 15-DN1 CLASS M1 FHLMC MULTIFAMILY STRUCTURED SERIES K UBS-BARCLAYS COMMERCIAL MORT SERIES WF-RBS COMMERCIAL MORTGAGE SERIES 20 MERRILL LYNCH COUNTRYWIDE COMM SERI MORGAN STANLEY BANK OF AMERICA SERIE COMMERCIAL MORTGAGE PASS THROU SERI GE CAPITAL COMMERCIAL MORTGAGE SERIE MORGAN STANLEY BAML TRUST SERIES 2014 UBS-BARCLAYS COMMERCIAL MORT SERIES CITIGROUP COMMERCIAL MORTGAGE SERIE FGLMC SERIES 4257 CLASS PA GS MORTGAGE SECURITIES TRUST SERIES 2 JP MORGAN CHASE COMMERCIAL MOR SERI MORGAN STANLEY BAML TRUST SERIES 2014 JP MORGAN CHASE COMMERCIAL MTG SERIE

1.86 2.51 4.05 1.13 6.20 4.29 3.61 5.72 3.19 5.66 4.27 1.12 3.71 4.16 5.70 6.22 5.62 5.71 5.62 1.62 4.54 1.68 3.15 1.81 4.37 5.20 4.16 4.13 5.61 1.28 4.09 3.82 2.00 1.10 5.95 1.23 3.35

12/15/2047 05/10/2045 04/10/2047 02/15/2047 09/20/2044 07/10/2050 02/15/2048 06/25/2043 04/10/2048 07/16/2043 11/10/2046 10/15/2030 09/15/2048 04/10/2048 06/15/2039 12/20/2042 08/20/2042 11/25/2042 10/15/2048 08/10/2044 07/10/2044 01/25/2025 11/25/2025 12/10/2045 09/15/2057 12/12/2049 02/15/2048 03/10/2048 12/10/2049 02/15/2047 03/10/2046 11/10/2048 02/15/2036 11/10/2047 06/15/2043 06/15/2047 12/15/2047

PAR VALUE 42,944,317 37,717,297 2,900,000 58,550,102 14,474,482 2,850,000 3,000,000 13,286,897 2,850,000 15,153,895 2,500,000 46,147,720 2,575,000 3,000,000 2,536,964 8,331,103 11,757,687 10,516,283 2,208,219 54,272,369 1,950,000 2,144,779 2,000,000 24,814,213 2,000,000 2,000,000 1,975,000 2,100,000 2,000,000 35,393,515 2,150,000 1,650,000 1,736,173 25,014,925 1,500,000 25,612,660 1,550,000

MARKET VALUE $ 3,192,811 $ 3,189,835 $ 3,176,535 $ 3,146,611 $ 3,087,705 $ 3,061,547 $ 3,023,247 $ 2,947,209 $ 2,923,465 $ 2,839,013 $ 2,778,125 $ 2,752,748 $ 2,750,568 $ 2,682,189 $ 2,594,217 $ 2,361,680 $ 2,344,224 $ 2,309,433 $ 2,213,921 $ 2,175,258 $ 2,163,108 $ 2,143,909 $ 2,124,697 $ 2,087,823 $ 2,066,587 $ 2,033,993 $ 2,013,748 $ 2,006,835 $ 1,976,764 $ 1,953,276 $ 1,899,640 $ 1,777,688 $ 1,739,262 $ 1,667,875 $ 1,614,859 $ 1,604,026 $ 1,603,477

% OF ASSETS 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.08 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.06 % 0.06 % 0.06 % 0.06 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

MORGAN STANLEY CAPITAL I TRUST SERIES GNMA SERIES 2013-124 CLASS BS GS MORTGAGE SECURITIES TRUST SERIES 2 GNMA SERIES 2013-117 CLASS SB FNMA SERIES 2013-6 CLASS SA WELLS FARGO COMMERCIAL MORTGAG SERI FNMA SERIES 2010-140 CLASS GS COMM MORTGAGE TRUST SERIES 2013-LC6 C BANC OF AMERICA COMM MTGE SERIES 2007 GNMA SERIES 2011-168 CLASS B MORGAN STANLEY CAPITAL INC SERIES 2007 FNMA SERIES 2005-W2 CLASS A1 GS MORTGAGE SECURITIES TRUST SERIES 2 MORGAN STANLEY CAPITAL INC SERIES 2012 GNMA SERIES 2015-16 CLASS SM UBS-BARCLAYS COMMERCIAL MORT SERIES WACHOVIA BANK COMMERCIAL MORTG SERI JP MORGAN CHASE COMMERCIAL MTG SERIE GNMA SERIES 2013-86 CLASS MI UBS-BARCLAYS COMMERCIAL MORT SERIES FNMA SERIES 2012-93 CLASS DI GNMA SERIES 2010-149 CLASS SA MORGAN STANLEY BAML TRUST SERIES 2013 JP MORGAN CHASE COMMERCIAL MTG SERIE FHLMC SERIES 4109 CLASS LI FNMA SERIES 2005-T1 CLASS A2 FHLMC SERIES 4349 CLASS DI COMM MORTGAGE TRUST SERIES 2013-CR11 JPMBB COMMERCIAL MORTGAGE SECU SERI FHLMC MULTIFAMILY STRUCTURED P SERIES CITIGROUP COMMERCIAL MORTGAGE SERIE MERRILL LYNCH COUNTRYWIDE MTG SERIES WF-RBS COMMERCIAL MORTGAGE TR SERIE FNMA SERIES 2015-25 CLASS NI FHLMC SERIES 4164 CLASS ID FHLMC SERIES 4417 CLASS EI FHLMC SERIES 3907 CLASS SM

3.59 6.22 3.51 5.62 5.67 4.49 5.56 4.29 0.72 1.75 5.36 0.63 3.78 2.59 5.17 3.40 5.68 4.81 4.50 4.09 3.50 5.62 3.46 1.15 3.50 0.78 3.00 1.17 3.93 3.00 4.13 5.70 1.41 3.50 3.50 3.50 6.21

03/15/2049 08/20/2038 10/10/2048 08/20/2043 02/25/2043 09/15/2057 07/25/2039 01/10/2046 06/10/2049 10/16/2037 03/15/2044 05/25/2035 06/10/2046 03/15/2045 02/20/2045 05/10/2045 05/15/2046 02/15/2047 05/16/2043 03/10/2046 09/25/2027 11/20/2040 05/15/2046 12/15/2046 03/15/2041 05/25/2035 02/15/2029 10/10/2046 11/15/2047 05/15/2027 11/10/2046 09/12/2049 03/15/2048 03/25/2031 02/15/2028 01/15/2040 05/15/2026

PAR VALUE 1,500,000 10,218,932 1,500,000 9,778,821 7,568,156 1,400,000 10,936,399 1,470,000 1,325,000 1,232,888 1,212,825 1,247,644 1,180,000 15,410,267 5,599,875 1,035,000 1,057,426 1,000,000 5,808,790 1,100,000 8,911,722 5,435,180 1,000,000 18,430,207 7,680,210 961,032 9,945,238 13,804,226 1,000,000 11,227,804 634,000 667,132 10,371,192 6,284,717 6,658,661 5,969,496 4,128,466

MARKET VALUE $ 1,582,917 $ 1,574,989 $ 1,573,414 $ 1,548,721 $ 1,547,710 $ 1,426,555 $ 1,359,770 $ 1,318,275 $ 1,297,504 $ 1,243,100 $ 1,239,974 $ 1,233,865 $ 1,197,282 $ 1,175,202 $ 1,131,868 $ 1,091,558 $ 1,088,353 $ 1,079,162 $ 1,070,758 $ 1,066,242 $ 1,045,493 $ 1,045,224 $ 1,027,633 $ 991,127 $ 967,130 $ 941,274 $ 931,234 $ 834,935 $ 766,205 $ 738,519 $ 698,682 $ 691,685 $ 665,395 $ 663,632 $ 656,940 $ 648,019 $ 621,025

% OF ASSETS 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

FNMA SERIES 2010-83 CLASS AK GNMA SERIES 2015-123 CLASS AI JPMBB COMMERCIAL MORTGAGE SECU SERI UBS-BARCLAYS COMMERCIAL MORT SERIES COMM MORTGAGE TRUST SERIES 2013-CR6 JP MORGAN CHASE COMMERCIAL MTG SERIE FNMA SERIES 2012-36 CLASS AI FNMA SERIES 2012-128 CLASS EI FHLMC SERIES 4115 CLASS IM FHLMC SERIES 3649 CLASS EA FNMA SERIES 2013-45 CLASS AI FNMA SERIES 2007-35 CLASS PF FHLMC SERIES 3879 CLASS BI GNMA SERIES 2014-58 CLASS IH FNMA SERIES 2010-81 CLASS PA SEQUOIA MORTGAGE TRUST SERIES 2003-8 GNMA SERIES 2010-19 CLASS PA FHLMC SERIES 3924 CLASS DI JP MORGAN CHASE COMMERCIAL MTG SERIE GNMA SERIES 2006-51 CLASS IO FNMA SERIES 2006-114 CLASS SI FHLMC SERIES 3050 CLASS SI FHLMC SERIES 2802 CLASS PF CITIGROUP/DEUTSCHE BANK COMM SERIES FNMA SERIES 2007-70 CLASS SA FNMA SERIES 2007-15 CLASS NI MORGAN STANLEY BAML TRUST SERIES 2015 CS FIRST BOSTON MORTGAGE SECUR SERIE CS FIRST BOSTON MORTGAGE SECUR SERIE FNMA SERIES 2003-130 CLASS FA FHLMC SERIES 3924 CLASS BI FHLMC SERIES 2626 CLASS NF FHLMC SERIES 2806 CLASS MS FHLMC SERIES 3510 CLASS LG IMPAC CMB TRUST SERIES 2003-11 CLASS 1M FHLMC SERIES 4018 CLASS NI UBS-BARCLAYS COMMERCIAL MORT SERIES

3.00 3.50 1.08 4.96 4.17 5.34 3.00 3.50 3.00 2.25 3.50 0.68 3.50 4.50 2.25 2.31 4.00 3.00 5.32 0.46 6.07 6.31 0.84 5.32 6.22 6.07 3.75 0.72 4.77 0.75 3.00 0.89 6.71 5.88 2.68 3.50 3.09

11/25/2018 02/20/2040 11/15/2047 08/10/2049 03/10/2046 05/15/2047 04/25/2027 11/25/2027 10/15/2027 12/15/2018 05/25/2028 04/25/2037 03/15/2025 04/16/2044 07/25/2040 01/20/2034 02/20/2038 09/15/2025 08/15/2046 08/16/2046 12/25/2021 09/15/2034 09/15/2033 12/11/2049 07/25/2037 03/25/2022 12/15/2047 12/15/2039 07/15/2037 01/25/2034 09/15/2026 06/15/2023 06/15/2019 03/15/2038 10/25/2033 03/15/2027 08/10/2049

PAR VALUE 578,410 4,118,125 9,436,990 500,000 565,000 470,543 5,342,980 4,207,316 4,847,528 365,118 3,587,757 340,576 5,604,936 2,247,318 318,300 672,634 284,881 5,295,410 250,000 8,178,461 1,911,978 1,705,011 192,910 173,118 1,072,378 1,206,235 100,000 52,349,129 57,471 53,670 656,470 51,530 770,559 46,643 54,307 386,681 40,000

MARKET VALUE $ 588,097 $ 550,761 $ 529,835 $ 522,181 $ 514,743 $ 477,683 $ 470,419 $ 458,582 $ 448,602 $ 368,146 $ 366,135 $ 341,037 $ 330,554 $ 325,123 $ 319,499 $ 304,169 $ 290,014 $ 283,799 $ 267,182 $ 253,619 $ 204,836 $ 200,036 $ 192,824 $ 176,494 $ 127,954 $ 121,686 $ 106,959 $ 98,081 $ 57,434 $ 54,005 $ 53,700 $ 51,707 $ 50,102 $ 49,629 $ 47,541 $ 43,443 $ 41,531

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

JP MORGAN CHASE COMMERCIAL MTG SERIE UBS-BARCLAYS COMMERCIAL MORT SERIES GREENWICH CAPITAL COMMERCIAL F SERIE GNMA SERIES 2008-36 CLASS AI CHASE COMMERCIAL MORT SEC SERIES 199 FNMA SERIES 2005-69 CLASS CS RESI ASSET SECURITIZATION TRUS SERIES 2 GNMA SERIES 2010-120 CLASS SB MERRILL LYNCH MORTGAGE TRUST SERIES 2 MORGAN JP COMMERCIAL MTG SERIES 1997DLJ COMMERCIAL MORTGAGE CORP SERIES COUNTRYWIDE ALTERNATIVE LOAN T SERIE CS FIRST BOSTON MORT SECUR SERIES 200 TOTAL CMO

5.43 3.18 5.44 5.00 0.76 35.67 5.50 5.77 0.34 1.07 1.10 0.60 0.40

12/12/2043 03/10/2046 03/10/2039 10/16/2022 11/18/2030 08/25/2035 02/25/2035 09/20/2035 02/12/2042 09/15/2029 11/12/2031 05/25/2036 11/15/2037

PAR VALUE 40,362 35,000 29,481 1,487,727 862,711 36,325 5,903 221,955 2,050,109 338,728 369,557 176 3,880,500

MARKET VALUE $ 40,785 $ 36,314 $ 30,086 $ 22,835 $ 9,082 $ 6,730 $ 5,893 $ 691 $ 572 $ 390 $ 329 $ 322 $ 39 $ 367,013,128

0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 1.83 %

Commercial Mortgage New York California Ohio North Carolina Colorado Maryland New Jersey California Minnesota Pennsylvania Georgia Alabama South Carolina Nebraska Connecticut California Florida Kentucky Ohio Ohio Texas

% OF ASSETS

5.72 6.13 5.62 6.00 5.86 8.55 6.08 5.80 6.03 5.71 7.31 7.34 5.68 7.38 7.01 7.56 7.45 7.86 7.15 7.91 7.56

15,179,718 10,244,857 8,071,098 7,039,220 5,953,169 5,044,152 4,419,508 3,895,431 2,980,794 1,686,445 879,644 896,433 664,787 634,090 268,805 269,660 218,436 210,803 159,500 133,203 109,915

$ 16,480,620 $ 10,424,245 $ 8,241,560 $ 7,094,337 $ 5,969,302 $ 5,916,336 $ 4,475,812 $ 4,006,061 $ 3,010,990 $ 1,789,841 $ 964,416 $ 961,371 $ 694,882 $ 672,814 $ 275,961 $ 269,784 $ 230,786 $ 217,024 $ 158,781 $ 140,216 $ 111,775

0.42 % 0.26 % 0.21 % 0.18 % 0.15 % 0.15 % 0.11 % 0.10 % 0.08 % 0.05 % 0.02 % 0.02 % 0.02 % 0.02 % 0.01 % 0.01 % 0.01 % 0.01 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

ISSUER Utah Arizona Texas California Michigan TOTAL Commercial Mortgage

PAR VALUE 92,796 77,749 78,310 51,332 48,129

7.88 8.48 7.56 5.90 8.04

MARKET VALUE $ 94,827 $ 80,005 $ 79,237 $ 51,957 $ 49,268 $ 72,462,207

0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 5.40 %

Common Stocks SEPARATE ACCOUNT LI-MM NETWORK COMMUNICATIONS TOTAL Common Stocks

12,639,350 63,429

0.00 0.00

$ 213,833,399 $ 78,652 $ 213,912,051

5.40 % 0.00 % 23.51 %

Mortgage Backed GNMA TBA FNMA TBA FNMA TBA FNMA POOL AS6074 GNMA TBA FNMA POOL AS3935 FHLMC TBA FHLMC GOLD POOL Q37878 GNMA II POOL MA3455 FHLMC GOLD POOL G60396 FNMA POOL AL6842 FHLMC GOLD POOL G60238 FHLMC POOL Q33606 FNMA POOL AS4688 FNMA TBA GNMA II POOL MA2520 FNMA GOLD POOL AX2532 GNMA II POOL MA3036 FNMA POOL AS3604 FHLMC POOL Q24955 FNMA POOL AL6582 FNMA POOL AS3952 FHLMC POOL Q01775 FNMA POOL AS6092

% OF ASSETS

3.50 3.00 3.50 4.00 3.00 3.50 3.50 4.00 4.00 4.00 4.00 3.50 3.50 2.50 2.50 3.00 3.50 4.50 3.00 4.00 3.50 4.50 5.00 3.00

04/15/2044 106,700,000 04/15/2044 65,685,000 04/15/2043 60,000,000 10/01/2045 27,301,712 04/15/2044 28,000,000 12/01/2044 27,228,005 04/15/2043 27,170,000 12/01/2045 23,120,188 01/20/2046 23,028,630 01/01/2046 19,770,172 05/01/2045 19,030,949 10/01/2045 19,404,877 05/01/2045 18,873,675 03/01/2030 17,926,995 04/15/2028 16,150,000 01/20/2045 14,871,803 11/01/2044 14,526,885 08/20/2045 13,573,574 10/01/2029 13,362,506 02/01/2044 12,698,160 04/01/2030 11,867,007 12/01/2044 11,471,233 07/01/2041 10,591,298 10/01/2030 10,807,543

$ 112,768,563 $ 67,378,438 $ 62,908,596 $ 29,258,643 $ 29,004,609 $ 28,719,401 $ 28,440,458 $ 24,718,897 $ 24,663,579 $ 21,151,955 $ 20,535,585 $ 20,435,461 $ 19,835,409 $ 18,455,882 $ 16,578,984 $ 15,425,666 $ 15,313,684 $ 14,579,558 $ 13,965,544 $ 13,636,334 $ 12,678,809 $ 12,482,273 $ 11,694,708 $ 11,331,054

2.85 % 1.70 % 1.59 % 0.74 % 0.73 % 0.73 % 0.72 % 0.62 % 0.62 % 0.53 % 0.52 % 0.52 % 0.50 % 0.47 % 0.42 % 0.39 % 0.39 % 0.37 % 0.35 % 0.34 % 0.32 % 0.32 % 0.30 % 0.29 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER GNMA TBA FNMA POOL AL6439 GNMA II POOL MA3375 FNMA POOL AW1804 FNMA TBA FHLMC GOLD POOL V81234 FNMA POOL AL6168 FHLMC GOLD POOL Q28826 FNMA POOL AS3260 GNMA POOL 781769 FNMA POOL AJ2226 GNMA II POOL MA2521 FNMA POOL AV2359 FNMA POOL AS1960 FNMA POOL AD6438 FHLMC GOLD POOL V81181 GNMA TBA GNMA II POOL 737664 FHLMC GOLD POOL Q26208 FNMA POOL AS4794 FNMA POOL AL4242 FNMA POOL AB9786 GNMA POOL 794571 FNMA POOL AB0132 FHLMC GOLD POOL A93057 GNMA POOL 778870 GNMA II POOL MA1175 FNMA POOL AS0727 FNMA POOL 929736 FNMA POOL AY1311 FNMA POOL AC3707 FNMA POOL AH0898 GNMA POOL 778958 GNMA POOL 770478 FNMA POOL 931150 FNMA POOL AU1227 FNMA POOL 993739

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 4.00 3.50 3.00 3.00 3.00 3.50 5.00 4.00 2.50 5.00 4.50 3.50 4.00 4.00 5.00 3.50 4.50 4.50 4.50 3.50 5.00 3.50 3.50 5.00 5.50 4.00 1.50 3.50 5.50 4.00 5.50 5.00 3.50 4.50 5.00 3.50 6.00

04/15/2043 02/01/2045 01/20/2046 10/01/2029 04/15/2027 06/01/2044 12/01/2043 10/01/2044 09/01/2029 11/15/2033 09/01/2041 01/20/2045 01/01/2044 03/01/2034 06/01/2040 05/01/2044 04/15/2044 11/15/2040 05/01/2044 04/01/2045 10/01/2041 07/01/2043 02/15/2042 02/01/2035 07/01/2040 02/15/2042 07/20/2043 10/01/2033 07/01/2038 03/01/2045 11/01/2039 12/01/2040 03/15/2042 08/15/2041 05/01/2039 07/01/2043 09/01/2038

PAR VALUE 10,000,000 9,530,457 9,453,002 8,585,278 8,500,000 8,296,993 7,436,578 7,258,893 7,015,677 6,381,372 6,483,514 6,581,844 5,955,240 5,227,238 5,072,234 5,097,562 4,875,000 4,637,612 4,352,825 4,498,399 4,182,864 3,979,189 3,818,361 3,359,980 3,133,218 3,157,767 3,207,792 2,887,098 2,469,657 2,594,968 2,458,802 2,482,655 2,571,198 2,481,869 2,397,077 2,227,973 1,902,625

MARKET VALUE $ 10,692,188 $ 10,068,237 $ 9,805,055 $ 8,997,937 $ 8,878,515 $ 8,718,861 $ 8,226,304 $ 7,791,225 $ 7,222,524 $ 7,144,595 $ 7,070,395 $ 6,964,867 $ 6,396,232 $ 5,665,943 $ 5,623,392 $ 5,356,173 $ 5,233,770 $ 5,125,426 $ 4,752,402 $ 4,735,201 $ 4,632,775 $ 4,201,412 $ 4,050,925 $ 3,735,350 $ 3,479,788 $ 3,410,355 $ 3,258,061 $ 3,060,410 $ 2,812,215 $ 2,773,260 $ 2,772,085 $ 2,764,022 $ 2,729,998 $ 2,706,504 $ 2,672,026 $ 2,352,398 $ 2,173,470

% OF ASSETS 0.27 % 0.25 % 0.25 % 0.23 % 0.22 % 0.22 % 0.21 % 0.20 % 0.18 % 0.18 % 0.18 % 0.18 % 0.16 % 0.14 % 0.14 % 0.14 % 0.13 % 0.13 % 0.12 % 0.12 % 0.12 % 0.11 % 0.10 % 0.09 % 0.09 % 0.09 % 0.08 % 0.08 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.07 % 0.06 % 0.05 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER GNMA POOL 794921 GNMA TBA FNMA POOL 985121 FNMA POOL 725376 FNMA POOL AE7895 GNMA POOL 003726 FNMA POOL MA1860 GNMA POOL 721758 GNMA POOL AA5733 FNMA POOL 745272 FHLMC POOL G04351 GNMA POOL 003517 FNMA POOL AE6376 FNMA POOL AB1358 FNMA POOL 985713 FNMA POOL AB5650 FNMA POOL 993360 FHLMC POOL 849332 FHLMC GOLD POOL J10348 FNMA POOL 984846 GNMA POOL 003625 FNMA POOL AR4407 FNMA POOL AA9382 FHLMC POOL A56911 FNMA POOL AL6844 FNMA POOL 704522 FNMA POOL AK9530 FHLMC GOLD POOL G07981 FHLMC POOL A27484 FNMA POOL AI9111 FNMA POOL 985526 GNMA II POOL 748877 FNMA POOL AD3055 FNMA POOL 686906 FNMA POOL 932771 GNMA POOL AA3699 GNMA POOL 004854

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 3.50 3.00 6.00 2.32 4.50 6.50 4.50 5.00 3.50 4.50 6.00 6.00 4.50 4.00 5.00 3.00 5.50 2.09 4.50 6.00 6.00 2.50 6.00 5.50 5.00 5.50 2.14 5.00 6.00 3.00 5.50 5.50 4.50 5.50 5.50 3.50 4.50

04/15/2042 04/15/2043 07/01/2038 07/01/2033 11/01/2040 06/20/2035 04/01/2044 08/15/2040 10/15/2042 10/01/2019 01/01/2038 02/20/2034 01/01/2041 08/01/2020 06/01/2023 07/01/2042 05/01/2039 06/01/2043 07/01/2024 07/01/2038 10/20/2034 02/01/2028 07/01/2039 02/01/2037 06/01/2041 06/01/2033 07/01/2043 03/01/2041 10/01/2034 06/01/2027 06/01/2038 09/20/2040 04/01/2040 02/01/2023 05/01/2040 08/15/2042 11/20/2040

PAR VALUE 2,051,439 2,000,000 1,751,884 1,896,615 1,816,755 1,619,526 1,783,641 1,696,770 1,731,583 1,595,733 1,361,086 1,318,340 1,374,494 1,447,174 1,344,377 1,327,213 1,199,190 1,301,874 1,162,597 1,052,377 1,007,994 1,011,190 907,605 910,218 839,405 808,270 878,194 796,648 749,737 801,558 739,931 746,324 720,684 702,318 656,555 677,756 624,648

MARKET VALUE $ 2,171,352 $ 2,068,125 $ 2,020,952 $ 1,991,402 $ 1,989,130 $ 1,978,221 $ 1,939,747 $ 1,910,675 $ 1,843,469 $ 1,650,107 $ 1,582,196 $ 1,543,401 $ 1,514,251 $ 1,510,763 $ 1,439,613 $ 1,368,341 $ 1,350,103 $ 1,344,991 $ 1,248,771 $ 1,211,794 $ 1,179,956 $ 1,046,556 $ 1,034,201 $ 1,027,783 $ 939,844 $ 925,820 $ 900,778 $ 885,935 $ 862,570 $ 844,964 $ 836,107 $ 834,267 $ 790,705 $ 787,076 $ 740,336 $ 719,406 $ 679,982

% OF ASSETS 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.05 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.04 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.03 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER GNMA POOL 004559 GNMA POOL 782016 FHLMC POOL A75436 FNMA POOL 257307 GNMA POOL 005057 GNMA II POOL MA0222 FNMA POOL 872266 FNMA POOL 970298 FNMA POOL 915482 FHLMC POOL G01092 FNMA POOL AD4674 FNMA POOL 936869 FNMA POOL 868513 GNMA POOL 782119 FNMA POOL 905807 FNMA POOL AB2643 GNMA POOL 004804 GNMA POOL 002766 FNMA POOL 766582 FNMA POOL 254587 GNMA POOL 603370 FNMA POOL 932846 GNMA POOL 782273 FNMA POOL 829888 GNMA II POOL 004560 FNMA POOL AA4420 GNMA POOL 569569 FNMA POOL 604062 FHLMC POOL 1B7328 GNMA POOL AD1718 FNMA POOL 254375 FNMA POOL 983335 GNMA POOL 622383 GNMA POOL 781811 FNMA POOL 911246 GNMA POOL 521362 FNMA POOL 993357

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 5.00 5.00 5.50 6.00 5.50 4.50 6.00 6.50 6.00 8.00 4.00 6.50 2.36 6.00 6.00 4.50 6.00 6.00 5.50 5.50 6.00 3.00 5.50 2.49 5.50 5.50 6.00 6.50 2.81 3.00 6.50 6.00 6.00 5.00 2.92 5.50 6.00

10/20/2039 12/15/2035 04/01/2038 08/01/2038 05/20/2041 07/20/2042 05/01/2036 02/01/2038 03/01/2037 12/01/2029 05/01/2025 07/01/2037 04/01/2036 08/15/2036 01/01/2037 05/01/2041 09/20/2040 06/20/2029 03/01/2034 12/01/2022 01/15/2033 12/01/2040 02/15/2038 08/01/2035 10/20/2039 03/01/2039 01/15/2032 09/01/2031 04/01/2037 02/15/2043 07/01/2022 07/01/2038 12/15/2033 10/15/2034 03/01/2035 06/15/2035 05/01/2039

PAR VALUE

MARKET VALUE

608,830 601,462 592,816 587,310 598,971 610,446 566,079 529,533 541,395 509,558 572,649 501,587 532,356 494,104 486,730 492,420 465,189 455,368 445,678 447,271 424,236 469,564 424,666 449,468 424,946 415,945 400,255 391,670 417,397 422,977 374,145 373,093 361,199 365,701 383,167 350,578 351,494

$ 674,337 $ 674,259 $ 672,781 $ 670,497 $ 668,766 $ 664,515 $ 646,612 $ 633,069 $ 623,397 $ 621,304 $ 611,101 $ 606,978 $ 562,371 $ 558,506 $ 556,134 $ 537,045 $ 536,126 $ 520,033 $ 505,353 $ 501,249 $ 485,424 $ 482,026 $ 479,566 $ 477,460 $ 474,117 $ 469,463 $ 463,055 $ 447,951 $ 444,519 $ 439,323 $ 427,908 $ 425,133 $ 417,748 $ 410,258 $ 406,673 $ 403,314 $ 400,547

% OF ASSETS 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.02 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER FNMA POOL 703694 FNMA POOL 685182 GNMA POOL 551093 GNMA POOL 587219 FNMA POOL 933164 FNMA POOL 735834 FNMA POOL 660136 FNMA POOL AA9592 FNMA POOL 815065 FHLMC POOL G12027 FNMA POOL 972466 GNMA POOL 002714 FNMA POOL 624842 GNMA POOL 004523 FNMA POOL 928078 FHLMC POOL D95805 GNMA POOL 002781 GNMA POOL 591286 FNMA POOL 923787 FNMA POOL 905141 FNMA POOL 928913 FNMA POOL AB1155 FHLMC POOL A63078 GNMA POOL 570455 FHLMC POOL G01131 FNMA POOL 624330 FHLMC POOL C75361 FHLMC POOL C01103 FHLMC POOL C90504 FNMA POOL 753499 GNMA POOL 704194 FNMA POOL 939566 FNMA POOL MA0641 FNMA POOL AH2413 GNMA POOL 594928 FNMA POOL 677448 GNMA POOL 003068

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 2.76 5.00 7.00 6.50 6.00 1.82 7.50 6.00 5.50 5.00 6.50 6.50 7.00 6.50 6.00 5.00 6.50 6.50 1.39 5.50 6.00 4.50 6.00 7.00 7.50 7.00 5.50 7.50 6.50 2.39 5.50 6.50 4.00 4.00 6.50 2.64 6.50

04/01/2033 02/01/2018 11/15/2031 08/15/2032 11/01/2037 10/01/2034 08/01/2032 01/01/2039 04/01/2035 10/01/2018 03/01/2038 02/20/2029 02/01/2032 08/20/2039 01/01/2037 02/01/2023 07/20/2029 09/15/2032 06/01/2037 02/01/2037 11/01/2037 06/01/2025 07/01/2037 11/15/2031 09/01/2030 02/01/2032 12/01/2032 12/01/2030 12/01/2021 11/01/2033 01/15/2039 07/01/2037 02/01/2031 01/01/2041 09/15/2032 01/01/2033 04/20/2031

PAR VALUE

MARKET VALUE

373,496 380,297 329,504 330,485 325,124 356,943 283,350 298,971 277,411 300,240 269,172 258,976 253,580 228,050 241,232 251,865 232,448 225,098 246,452 222,465 215,446 234,222 200,832 192,593 175,184 183,565 186,818 164,595 180,981 194,482 178,119 163,525 185,091 179,067 167,174 181,600 154,765

$ 394,797 $ 393,736 $ 387,085 $ 378,307 $ 375,103 $ 371,061 $ 340,842 $ 340,673 $ 313,518 $ 310,023 $ 307,851 $ 305,853 $ 287,662 $ 279,755 $ 278,377 $ 276,462 $ 268,723 $ 257,670 $ 256,684 $ 252,399 $ 245,498 $ 242,550 $ 233,506 $ 224,929 $ 216,054 $ 211,355 $ 210,249 $ 206,277 $ 206,026 $ 203,912 $ 200,773 $ 199,407 $ 199,387 $ 191,922 $ 191,365 $ 189,257 $ 184,644

% OF ASSETS 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.01 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER GNMA POOL 002728 FHLMC POOL A66717 GNMA POOL 579702 FHLMC POOL C01005 FNMA POOL 822787 FHLMC POOL G03246 FHLMC POOL G08088 FHLMC POOL C16320 FHLMC POOL C00784 FHLMC POOL C58770 FNMA POOL 751522 FNMA POOL AB2002 FHLMC POOL G04021 GNMA POOL 003363 FHLMC POOL C01175 FHLMC POOL C00689 FHLMC POOL C25849 GNMA POOL 696186 FHLMC POOL G08064 FNMA POOL 255771 FHLMC POOL C00701 FHLMC POOL C01372 GNMA POOL 003490 FHLMC POOL C01492 FNMA POOL 983447 FHLMC POOL C15525 FNMA POOL 783891 FHLMC POOL D85984 FNMA POOL 454827 FHLMC GOLD POOL J14212 FHLMC POOL A96847 FHLMC POOL 847247 FNMA POOL AT7636 FHLMC POOL 781216 FNMA POOL 407314 FNMA POOL 254001 FNMA POOL 401129

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 6.00 6.00 6.00 8.00 5.00 6.00 6.50 5.50 6.00 7.00 2.46 4.50 6.50 6.50 7.00 6.50 6.00 6.00 6.50 6.00 6.50 7.50 6.50 5.00 6.00 5.50 5.50 7.00 5.50 3.50 3.50 2.77 4.00 2.49 5.50 7.00 7.00

03/20/2029 10/01/2037 07/15/2032 06/01/2030 04/01/2035 05/01/2037 10/01/2035 10/01/2028 06/01/2029 10/01/2031 04/01/2034 02/01/2036 02/01/2038 03/20/2033 05/01/2031 12/01/2028 04/01/2029 08/15/2038 04/01/2035 07/01/2035 01/01/2029 05/01/2032 12/20/2033 02/01/2033 05/01/2038 09/01/2028 12/01/2034 02/01/2028 12/01/2028 01/01/2026 02/01/2041 02/01/2034 06/01/2028 01/01/2034 01/01/2029 09/01/2021 04/01/2026

PAR VALUE

MARKET VALUE

160,556 154,459 149,097 138,440 142,542 137,588 136,453 137,431 131,797 127,414 138,112 130,932 123,088 120,243 117,177 117,493 121,477 114,504 112,868 110,912 109,049 96,776 100,657 105,355 102,562 101,577 99,944 100,641 97,607 102,784 101,103 99,476 93,553 97,022 87,781 88,193 87,847

$ 183,226 $ 174,878 $ 172,218 $ 172,093 $ 159,652 $ 158,276 $ 157,311 $ 152,536 $ 151,438 $ 150,655 $ 143,674 $ 142,371 $ 140,673 $ 139,618 $ 139,307 $ 137,763 $ 137,528 $ 131,248 $ 128,577 $ 127,212 $ 124,621 $ 121,243 $ 117,796 $ 117,242 $ 116,867 $ 112,722 $ 112,144 $ 111,781 $ 109,386 $ 109,068 $ 106,022 $ 105,959 $ 99,558 $ 99,265 $ 98,375 $ 96,739 $ 95,269

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER FNMA POOL 936546 GNMA POOL 739174 FNMA POOL 693862 FHLMC POOL D85944 FHLMC POOL G01315 FNMA POOL 779729 GNMA POOL 594431 FHLMC POOL A34083 FNMA POOL 831738 FNMA POOL 869216 FHLMC POOL D40111 FHLMC POOL G06409 FHLMC POOL G08011 FHLMC POOL C35362 FHLMC POOL C00550 GNMA POOL 433774 FHLMC POOL C50812 FHLMC POOL C50192 FHLMC POOL C00710 FHLMC POOL C31336 FHLMC POOL C00972 FNMA POOL 251191 FHLMC POOL D66483 FHLMC POOL D32430 FHLMC POOL 1G1432 FHLMC POOL C49587 GNMA POOL 376091 FNMA POOL 779143 FHLMC POOL D64446 GNMA POOL 468156 GNMA POOL 555096 FHLMC POOL C55996 FHLMC POOL C00228 FHLMC POOL C01025 FHLMC POOL G01256 FHLMC POOL J07547 FHLMC POOL C01034

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 6.00 6.50 5.50 7.00 7.00 2.34 6.50 6.00 6.00 2.70 7.00 6.00 6.00 7.00 7.50 7.00 7.00 8.00 5.50 6.50 8.00 7.50 6.50 7.00 2.47 8.00 7.00 5.50 6.50 6.50 7.00 7.00 7.00 8.00 7.00 4.50 8.00

07/01/2037 10/20/2038 03/01/2033 02/01/2028 09/01/2031 07/01/2034 10/15/2032 02/01/2035 09/01/2036 02/01/2036 09/01/2023 11/01/2039 09/01/2034 01/01/2030 09/01/2027 05/15/2028 04/01/2031 04/01/2031 11/01/2028 09/01/2029 04/01/2030 09/01/2027 12/01/2025 04/01/2023 01/01/2037 03/01/2031 05/15/2024 06/01/2019 09/01/2025 08/15/2028 06/15/2031 01/01/2031 04/01/2023 07/01/2030 05/01/2031 04/01/2023 08/01/2030

PAR VALUE 81,732 85,497 80,259 85,543 74,148 83,247 73,725 73,170 72,432 79,596 77,388 72,002 69,810 69,445 60,865 65,443 62,025 64,573 59,315 56,686 51,216 52,098 55,006 58,152 56,028 53,054 54,280 53,810 47,741 45,333 49,931 45,474 44,461 36,816 41,091 43,199 37,732

MARKET VALUE $ 93,976 $ 92,533 $ 89,945 $ 88,886 $ 88,438 $ 88,306 $ 84,393 $ 84,124 $ 83,435 $ 82,886 $ 82,409 $ 81,946 $ 80,432 $ 79,008 $ 74,042 $ 73,332 $ 67,178 $ 66,825 $ 65,955 $ 64,728 $ 64,589 $ 62,686 $ 62,619 $ 59,636 $ 58,297 $ 56,158 $ 56,003 $ 55,652 $ 54,348 $ 51,893 $ 51,198 $ 51,017 $ 50,190 $ 46,775 $ 46,305 $ 46,263 $ 45,995

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER FNMA POOL 255359 FNMA POOL 326381 FHLMC POOL C00192 FNMA POOL 646373 FHLMC POOL C27787 FNMA POOL 763653 FHLMC POOL C79453 FHLMC POOL C00682 GNMA POOL 003038 FHLMC POOL C00646 FHLMC POOL C00696 FHLMC POOL C00205 FNMA POOL 775953 FNMA POOL 193322 FHLMC POOL C90315 FHLMC POOL D42696 FNMA POOL 791991 FHLMC POOL D73104 FHLMC POOL C80011 FNMA POOL 430807 GNMA POOL 676879 FHLMC POOL C35808 FNMA POOL AD5088 FHLMC POOL J09210 FHLMC POOL D70924 FNMA POOL 612651 FHLMC POOL 847281 FNMA POOL 709049 FHLMC POOL C45830 FHLMC POOL C90334 FNMA POOL 710403 FHLMC POOL C01222 FNMA POOL 766453 FHLMC POOL A29373 FHLMC POOL D39777 GNMA POOL 781305 FHLMC POOL C32913

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 5.50 6.75 7.00 6.50 6.00 5.00 5.50 5.50 6.00 5.50 5.50 7.00 5.50 7.00 7.50 7.00 5.50 7.50 7.50 5.50 5.50 7.50 4.00 4.50 6.50 6.50 2.60 2.10 7.50 7.50 5.50 7.00 2.62 5.50 7.00 6.50 7.50

09/01/2019 04/01/2024 12/01/2022 05/01/2017 06/01/2029 04/01/2029 05/01/2033 09/01/2028 02/20/2031 06/01/2028 10/01/2028 01/01/2023 07/01/2019 12/01/2022 02/01/2020 07/01/2023 09/01/2019 07/01/2026 02/01/2023 05/01/2028 03/15/2038 02/01/2030 08/01/2025 01/01/2024 05/01/2026 10/01/2016 08/01/2033 06/01/2033 12/01/2030 05/01/2020 06/01/2033 09/01/2031 03/01/2034 01/01/2035 09/01/2023 06/15/2031 11/01/2029

PAR VALUE 42,242 37,936 37,930 42,166 36,853 35,828 35,327 34,571 32,164 31,963 30,915 30,414 32,536 32,603 30,641 32,088 30,715 29,859 28,109 27,314 26,009 27,922 27,185 27,425 21,649 24,146 23,069 21,487 20,985 20,385 18,741 17,841 20,282 16,337 17,018 14,411 14,273

MARKET VALUE $ 44,536 $ 43,387 $ 42,837 $ 42,808 $ 41,754 $ 39,910 $ 39,762 $ 38,365 $ 37,886 $ 35,479 $ 34,316 $ 34,304 $ 33,833 $ 32,899 $ 32,552 $ 32,536 $ 32,044 $ 30,926 $ 30,882 $ 30,610 $ 29,462 $ 28,752 $ 28,503 $ 28,400 $ 24,645 $ 24,249 $ 23,975 $ 22,690 $ 22,394 $ 21,688 $ 21,003 $ 20,998 $ 20,421 $ 18,272 $ 17,636 $ 17,430 $ 15,571

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER FNMA POOL 647359 FHLMC POOL C47218 FHLMC POOL D40474 GNMA POOL 002794 FNMA POOL 356770 GNMA POOL 002893 FNMA POOL 340463 FHLMC POOL C00933 FNMA POOL 602118 FNMA POOL 612298 GNMA POOL 002740 FNMA POOL 250529 FHLMC POOL C44963 FHLMC POOL P50019 FHLMC POOL A62593 FNMA POOL 604714 GNMA POOL 002753 FNMA POOL 786397 FNMA POOL 253990 FNMA POOL 794544 FHLMC POOL G01228 FHLMC POOL D46901 FNMA POOL 871502 FHLMC POOL D86320 FNMA POOL 253884 FNMA POOL 782639 FNMA POOL 580157 FNMA POOL 789004 FNMA POOL 893027 FNMA POOL 844720 FNMA POOL 344571 FNMA POOL 823231 FNMA POOL 623613 FNMA POOL 786192 FNMA POOL 786092 FNMA POOL 782555 FHLMC POOL A48982

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE 5.50 7.50 7.00 6.00 7.00 6.00 7.00 7.50 7.00 6.50 6.00 6.50 7.00 7.00 6.00 6.50 6.00 5.50 7.00 5.50 7.00 7.00 2.21 7.00 6.50 5.50 6.50 5.50 6.00 6.50 7.00 6.00 6.50 5.50 5.50 5.50 6.50

08/01/2017 02/01/2031 09/01/2023 08/20/2029 10/01/2026 03/20/2030 04/01/2026 03/01/2030 09/01/2016 10/01/2016 04/20/2029 04/01/2026 11/01/2030 07/01/2024 06/01/2037 10/01/2016 05/20/2029 07/01/2019 09/01/2016 10/01/2019 04/01/2031 09/01/2023 04/01/2036 02/01/2028 08/01/2016 07/01/2019 08/01/2016 07/01/2019 10/01/2036 12/01/2035 04/01/2026 06/01/2035 03/01/2032 07/01/2019 07/01/2019 06/01/2019 05/01/2036

PAR VALUE 14,568 14,256 14,123 10,651 11,696 10,481 10,710 9,212 9,549 9,072 7,996 7,929 7,923 7,271 6,684 7,400 6,432 6,999 6,771 6,148 5,010 5,619 4,905 4,983 4,958 3,957 3,447 3,187 2,710 2,632 2,674 2,492 2,122 2,299 2,116 2,108 1,900

MARKET VALUE $ 14,708 $ 14,538 $ 14,165 $ 12,147 $ 11,956 $ 11,892 $ 11,306 $ 11,016 $ 9,587 $ 9,104 $ 9,074 $ 9,069 $ 8,414 $ 8,084 $ 7,601 $ 7,430 $ 7,338 $ 7,266 $ 6,805 $ 6,510 $ 5,980 $ 5,635 $ 5,056 $ 4,997 $ 4,980 $ 4,139 $ 3,457 $ 3,320 $ 3,092 $ 3,010 $ 2,947 $ 2,840 $ 2,427 $ 2,406 $ 2,210 $ 2,188 $ 2,163

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 %

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

ISSUER FHLMC POOL G00424 FNMA POOL 253941 FNMA POOL 250820 GNMA POOL 002780 FNMA POOL 919466 FNMA POOL 254004 FHLMC POOL C48828 FNMA POOL 918871 GNMA POOL 002562 TOTAL Mortgage Backed

6.00 7.00 7.00 6.00 6.00 6.50 6.00 7.00 6.00

PAR VALUE 1,614 1,719 1,102 934 778 779 654 599 551

11/01/2025 08/01/2016 01/01/2027 07/20/2029 05/01/2037 10/01/2016 03/01/2031 04/01/2037 03/20/2028

MARKET VALUE $ 1,826 $ 1,723 $ 1,169 $ 1,088 $ 887 $ 784 $ 743 $ 655 $ 640 $ 931,035,479

% OF ASSETS 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.52 %

Preferred Stocks STATE STREET CORP SERIES D COBANK ACB SERIES H MORGAN STANLEY PREFERRED VERIZON COMMUNICATIONS INC SCE TRUST III BANK OF AMERICA CORP Y ABN AMRO CAP FUND TST V PFD TOTAL Preferred Stocks

285,000 40,000 115,000 78,000 70,000 45,000 20,000

0.00 0.00 0.00 0.00 0.00 0.00 0.00

$ 7,783,350 $ 4,050,000 $ 2,998,050 $ 2,109,900 $ 1,881,600 $ 1,191,150 $ 482,600 $ 20,496,650

0.20 % 0.10 % 0.08 % 0.05 % 0.05 % 0.03 % 0.01 % -0.08 %

Swaps Intercontinental Exchange Credit Default Swap Intercontinental Exchange Credit Default Swap TOTAL Swaps

99.52 100.34

12/20/2020 12/20/2020

53,000,000 53,000,000

($ 1,516,123) ($ 1,516,123) ($ 3,032,247)

(0.04)% (0.04)%

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

TOTAL SECURITIES DERIVATIVES NET RECEIVABLE/PAYABLE AND OTHER CASH

PAR VALUE

$ 5,400,841,237

TOTAL PORTFOLIO

MARKET VALUE

% OF ASSETS

$ 4,122,705,226 ($ 3,194,191) ($382,866,716) $250,726,697

103.39% (0.08%) (9.60%) 6.29%

$3,987,371,017

100.00%

While the underlying securities of this investment option may be guaranteed by the U.S. government as to timely payment of principal and interest, this investment option is not guaranteed. Fixed-income investment options are subject to interest rate risk, and their value will decline as interest rates rise. Neither the principal of the bond investment options nor their yields are guaranteed by the U.S. government. Portfolio holdings may not reflect the current portfolio composition. The holdings listed do not constitute a recommendation to purchase or sell a particular security. Separate Accounts are available through a group annuity contract with Principal Life Insurance Company. Insurance products and plan administrative, if applicable, services are provided by Principal Life Insurance Company, a member of the Principal Financial Group, Des Moines, IA 50392. See the fact sheet for the full name of the Separate Account. Certain investment options may not be available in all states or U.S. commonwealths. Principal Life Insurance Company reserves the right to defer payments or transfers from Principal Life Separate Accounts as described in the group annuity contracts providing access to the Separate Accounts or as required by applicable law. Such deferment will be based on factors that may include situations such as: unstable or disorderly financial markets; investment conditions which do not allow for orderly investment transactions; or investment, liquidity, and other risks inherent in real estate (such as those associated with general and local economic conditions). If you elect to allocate funds to a Separate Account, you may not be able to immediately withdraw them. Before directing retirement funds to a separate account, investors should carefully consider the investment objectives, risks, charges and expenses of the separate account as well as their individual risk tolerance, time horizon and goals. For additional information contact us at 1-800-547-7754 or by visiting principal.com. Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16

Core Plus Bond Separate Account As of March 31, 2016

ISSUER

SCHEDULE OF INVESTMENTS COUPON MATURITY RATE DATE

PAR VALUE

MARKET VALUE

% OF ASSETS

An investment option’s unit value and investment return will vary with market conditions, and the principal value of an investment when you sell your shares may be more or less than the original cost. Fixed-income and asset allocation investment options that invest in mortgage securities are subject to increased risk due to real estate exposure.

Information is current as of the creation of this piece. Keep in mind that portfolio holdings are subject to risk.

Not FDIC Insured

PQ

663

May Lose Value, Not a Deposit, No Bank Guarantee Not Insured by any Federal Government Agency

Informational data only. Do not use for audit purposes.

03-16