QUARTERLY STATEMENT
OF THE
Life Insurance Company of the Southwest
Of Addison in the state of TX
to the Insurance Department of the State of
For the Period Ended September 30, 2016
2016
Statement as of September 30, 2016 of the Life Insurance Company of the Southwest ASSETS Current Statement Date 4 1 2 3 Net Admitted December 31 Nonadmitted Assets Prior Year Net Assets Assets (Cols. 1 - 2) Admitted Assets 1. Bonds...... 12,004,642,350 ...... 0 ...... 12,004,642,350 ...... 11,280,520,418 2. Stocks: 2.1 Preferred stocks...... 11,700,000 ...... 0 ...... 11,700,000 ...... 10,000,000 2.2 Common stocks...... 80,809,600 ...... 0 ...... 80,809,600 ...... 56,933,129 3. Mortgage loans on real estate: 3.1 First liens...... 2,429,200,563 ...... 0 ...... 2,429,200,563 ...... 2,135,942,647 3.2 Other than first liens...... 0 ...... 0 ...... 0 ...... 0 4. Real estate: 4.1 Properties occupied by the company (less $...... 0 encumbrances)...... 0 ...... 0 ...... 0 ...... 0 4.2 Properties held for the production of income (less $...... 0 encumbrances)...... 6,065,658 ...... 0 ...... 6,065,658 ...... 2,939,652 4.3 Properties held for sale (less $...... 0 encumbrances)...... 0 ...... 0 ...... 0 ...... 0 5. Cash ($.....15,886,175), cash equivalents ($.....5,999,882) and short-term investments ($.....132,500,000)...... 154,386,057 ...... 0 ...... 154,386,057 ...... 76,347,536 6. Contract loans (including $...... 0 premium notes)...... 303,108,981 ...... 0 ...... 303,108,981 ...... 286,316,160 7. Derivatives...... 674,693,937 ...... 0 ...... 674,693,937 ...... 283,103,402 8. Other invested assets...... 443,358,370 ...... 0 ...... 443,358,370 ...... 295,904,084 9. Receivables for securities...... 0 ...... 0 ...... 0 ...... 261,674 10. Securities lending reinvested collateral assets...... 0 ...... 0 ...... 0 ...... 0 11. Aggregate write-ins for invested assets...... 522,950 ...... 0 ...... 522,950 ...... 453,175 12. Subtotals, cash and invested assets (Lines 1 to 11)...... 16,108,488,466 ...... 0 ...... 16,108,488,466 ...... 14,428,721,876 13. Title plants less $...... 0 charged off (for Title insurers only)...... 0 ...... 0 ...... 0 ...... 0 14. Investment income due and accrued...... 133,469,424 ...... 0 ...... 133,469,424 ...... 124,174,603 15. Premiums and considerations: 15.1 Uncollected premiums and agents' balances in the course of collection...... 673,727 ...... 0 ...... 673,727 ...... 863,494 15.2 Deferred premiums, agents' balances and installments booked but deferred and not yet due (including $...... 0 earned but unbilled premiums)...... 13,913,716 ...... 0 ...... 13,913,716 ...... 12,510,453 15.3 Accrued retrospective premiums ($...... 0) and contracts subject to redetermination ($...... 0)...... 0 ...... 0 ...... 0 ...... 0 16. Reinsurance: 16.1 Amounts recoverable from reinsurers...... 257,564 ...... 0 ...... 257,564 ...... 444,328 16.2 Funds held by or deposited with reinsured companies...... 473 ...... 0 ...... 473 ...... 1,272 16.3 Other amounts receivable under reinsurance contracts...... 0 ...... 0 ...... 0 ...... 0 17. Amounts receivable relating to uninsured plans...... 0 ...... 0 ...... 0 ...... 0 18.1 Current federal and foreign income tax recoverable and interest thereon...... 0 ...... 0 ...... 0 ...... 0 18.2 Net deferred tax asset...... 91,661,736 ...... 18,248,213 ...... 73,413,524 ...... 63,516,376 19. Guaranty funds receivable or on deposit...... 1,012,305 ...... 0 ...... 1,012,305 ...... 1,012,305 20. Electronic data processing equipment and software...... 457,059 ...... 446,848 ...... 10,211 ...... 13,083 21. Furniture and equipment, including health care delivery assets ($...... 0)...... 449,307 ...... 449,307 ...... 0 ...... 0 22. Net adjustment in assets and liabilities due to foreign exchange rates...... 0 ...... 0 ...... 0 ...... 0 23. Receivables from parent, subsidiaries and affiliates...... 0 ...... 0 ...... 0 ...... 18,861,585 24. Health care ($...... 0) and other amounts receivable...... 33,958,994 ...... 33,958,994 ...... 0 ...... 0 25. Aggregate write-ins for other than invested assets...... 13,797,303 ...... 917,301 ...... 12,880,002 ...... 30,872,537 26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 through 25)...... 16,398,140,074 ...... 54,020,663 ...... 16,344,119,411 ...... 14,680,991,911 27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts...... 0 ...... 0 ...... 0 ...... 0 28. Total (Lines 26 and 27)...... 16,398,140,074 ...... 54,020,663 ...... 16,344,119,411 ...... 14,680,991,911
DETAILS OF WRITE-INS 1101. Other Real Estate Deposits...... 522,950 ...... 0 ...... 522,950 ...... 453,175 1102...... 0 ...... 0 ...... 0 ...... 0 1103...... 0 ...... 0 ...... 0 ...... 0 1198. Summary of remaining write-ins for Line 11 from overflow page...... 0 ...... 0 ...... 0 ...... 0 1199. Totals (Lines 1101 thru 1103 plus 1198) (Line 11 above)...... 522,950 ...... 0 ...... 522,950 ...... 453,175 2501. Corporate Owned Life Insurance...... 12,569,814 ...... 0 ...... 12,569,814 ...... 12,396,495 2502. Items not allocated...... 113,701 ...... 36,515 ...... 77,186 ...... 460,000 2503. Other Assets...... 233,002 ...... 0 ...... 233,002 ...... 16,041 2598. Summary of remaining write-ins for Line 25 from overflow page...... 880,786 ...... 880,786 ...... 0 ...... 18,000,000 2599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)...... 13,797,303 ...... 917,301 ...... 12,880,002 ...... 30,872,537
Q02 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest LIABILITIES, SURPLUS AND OTHER FUNDS 1 2 Current December 31 Statement Date Prior Year 1. Aggregate reserve for life contracts $.....13,392,799,709 less $...... 0 included in Line 6.3 (including $...... 0 Modco Reserve)...... 13,392,799,709 ...... 12,656,967,920 2. Aggregate reserve for accident and health contracts (including $...... 0 Modco Reserve)...... 527,830 ...... 561,272 3. Liability for deposit-type contracts (including $...... 0 Modco Reserve)...... 1,208,461,206 ...... 668,701,717 4. Contract claims: 4.1 Life...... 17,027,375 ...... 12,225,472 4.2 Accident and health...... 10,000 ...... 10,000 5. Policyholders' dividends $...... 0 and coupons $...... 0 due and unpaid...... 0 ...... 0 6. Provision for policyholders' dividends and coupons payable in following calendar year - estimated amounts: 6.1 Dividends apportioned for payment (including $...... 0 Modco)...... 95,294 ...... 85,010 6.2 Dividends not yet apportioned (including $...... 0 Modco)...... 0 ...... 0 6.3 Coupons and similar benefits (including $...... 0 Modco)...... 0 ...... 0 7. Amount provisionally held for deferred dividend policies not included in Line 6...... 0 ...... 0 8. Premiums and annuity considerations for life and accident and health contracts received in advance less $...... 0 discount; including $.....1,560 accident and health premiums...... 113,242 ...... 182,806 9. Contract liabilities not included elsewhere: 9.1 Surrender values on canceled contracts...... 431 ...... 304,876 9.2 Provision for experience rating refunds, including the liability of $...... 0 accident and health experience rating refunds of which $...... 0 is for medical loss ratio rebate per the Public Health Service Act...... 0 ...... 0 9.3 Other amounts payable on reinsurance, including $...... 0 assumed and $...... 0 ceded...... 0 ...... 0 9.4 Interest Maintenance Reserve...... 57,193,842 ...... 61,997,993 10. Commissions to agents due or accrued - life and annuity contracts $.....4,770,912, accident and health $...... 0 and deposit-type contract funds $...... 0...... 4,770,912 ...... 6,320,942 11. Commissions and expense allowances payable on reinsurance assumed...... (4,651) ...... (3,676) 12. General expenses due or accrued...... 6,495,842 ...... 7,190,499 13. Transfers to Separate Accounts due or accrued (net) (including $...... 0 accrued for expense allowances recognized in reserves, net of reinsured allowances)...... 0 ...... 0 14. Taxes, licenses and fees due or accrued, excluding federal income taxes...... 619,007 ...... 1,565,565 15.1 Current federal and foreign income taxes, including $...... 0 on realized capital gains (losses)...... 37,702,707 ...... 33,867,217 15.2 Net deferred tax liability...... 0 ...... 0 16. Unearned investment income...... 2,458,900 ...... 2,124,440 17. Amounts withheld or retained by company as agent or trustee...... 1,081,297 ...... 1,026,760 18. Amounts held for agents' account, including $...... 0 agents' credit balances...... 2,070,197 ...... 2,015,845 19. Remittances and items not allocated...... 21,901,905 ...... 28,256,476 20. Net adjustment in assets and liabilities due to foreign exchange rates...... 0 ...... 0 21. Liability for benefits for employees and agents if not included above...... 0 ...... 0 22. Borrowed money $...... 0 and interest thereon $...... 0...... 0 ...... 0 23. Dividends to stockholders declared and unpaid...... 0 ...... 0 24. Miscellaneous liabilities: 24.01 Asset valuation reserve...... 120,387,872 ...... 103,003,727 24.02 Reinsurance in unauthorized and certified ($...... 0) companies...... 0 ...... 0 24.03 Funds held under reinsurance treaties with unauthorized and certified ($...... 0) reinsurers...... 0 ...... 0 24.04 Payable to parent, subsidiaries and affiliates...... 50,202,508 ...... 8,389,599 24.05 Drafts outstanding...... 0 ...... 0 24.06 Liability for amounts held under uninsured plans...... 0 ...... 0 24.07 Funds held under coinsurance...... 0 ...... 0 24.08 Derivatives...... 356,967,503 ...... 135,721,452 24.09 Payable for securities...... 32,278,683 ...... 588,363 24.10 Payable for securities lending...... 0 ...... 0 24.11 Capital notes $...... 0 and interest thereon $...... 0...... 0 ...... 0 25. Aggregate write-ins for liabilities...... 80,820,094 ...... 108,998,606 26. Total liabilities excluding Separate Accounts business (Lines 1 to 25)...... 15,393,981,704 ...... 13,840,102,882 27. From Separate Accounts statement...... 0 ...... 0 28. Total liabilities (Lines 26 and 27)...... 15,393,981,704 ...... 13,840,102,882 29. Common capital stock...... 3,000,000 ...... 3,000,000 30. Preferred capital stock...... 0 ...... 0 31. Aggregate write-ins for other-than-special surplus funds...... 0 ...... 0 32. Surplus notes...... 30,000,000 ...... 30,000,000 33. Gross paid in and contributed surplus...... 183,972,114 ...... 183,972,114 34. Aggregate write-ins for special surplus funds...... 0 ...... 0 35. Unassigned funds (surplus)...... 733,165,594 ...... 623,916,916 36. Less treasury stock, at cost: 36.1 .....0.000 shares common (value included in Line 29 $...... 0)...... 0 ...... 0 36.2 .....0.000 shares preferred (value included in Line 30 $...... 0)...... 0 ...... 0 37. Surplus (Total Lines 31 + 32 + 33 + 34 + 35 - 36) (including $...... 0 in Separate Accounts Statement)...... 947,137,708 ...... 837,889,029 38. Totals of Lines 29, 30 and 37...... 950,137,708 ...... 840,889,029 39. Totals of Lines 28 and 38 (Page 2, Line 28, Col. 3)...... 16,344,119,411 ...... 14,680,991,911 DETAILS OF WRITE-INS 2501. LIHTC Commitments...... 73,341,064 ...... 101,646,775 2502. Uncashed checks pending escheatment...... 6,296,984 ...... 6,018,757 2503. Guaranty fund...... 1,182,046 ...... 1,197,518 2598. Summary of remaining write-ins for Line 25 from overflow page...... 0 ...... 135,556 2599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)...... 80,820,094 ...... 108,998,606 3101...... 0 ...... 0 3102...... 0 ...... 0 3103...... 0 ...... 0 3198. Summary of remaining write-ins for Line 31 from overflow page...... 0 ...... 0 3199. Totals (Lines 3101 thru 3103 plus 3198) (Line 31 above)...... 0 ...... 0 3401...... 0 ...... 0 3402...... 0 ...... 0 3403...... 0 ...... 0 3498. Summary of remaining write-ins for Line 34 from overflow page...... 0 ...... 0 3499. Totals (Lines 3401 thru 3403 plus 3498) (Line 34 above)...... 0 ...... 0
Q03 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SUMMARY OF OPERATIONS 1 2 3 Current Prior Prior Year Ended Year to Date Year to Date December 31 1. Premiums and annuity considerations for life and accident and health contracts...... 1,336,115,434 ...... 1,143,583,533 ...... 1,583,647,610 2. Considerations for supplementary contracts with life contingencies...... 127,707 ...... 69,066 ...... 69,066 3. Net investment income...... 553,856,224 ...... 334,822,764 ...... 557,401,488 4. Amortization of Interest Maintenance Reserve (IMR)...... 5,089,861 ...... 4,795,023 ...... 6,099,941 5. Separate Accounts net gain from operations excluding unrealized gains or losses...... 0 ...... 0 ...... 0 6. Commissions and expense allowances on reinsurance ceded...... 1,980,798 ...... 2,132,403 ...... 2,827,908 7. Reserve adjustments on reinsurance ceded...... 0 ...... 0 ...... 0 8. Miscellaneous Income: 8.1 Income from fees associated with investment management, administration and contract guarantees from Separate Accounts...... 0 ...... 0 ...... 0 8.2 Charges and fees for deposit-type contracts...... 0 ...... 0 ...... 0 8.3 Aggregate write-ins for miscellaneous income...... 440,005 ...... 468,331 ...... 728,732 9. Totals (Lines 1 to 8.3)...... 1,897,610,029 ...... 1,485,871,120 ...... 2,150,774,745 10. Death benefits...... 49,119,504 ...... 44,848,029 ...... 60,197,208 11. Matured endowments (excluding guaranteed annual pure endowments)...... (42,607) ...... 717,900 ...... 1,021,449 12. Annuity benefits...... 63,823,670 ...... 66,858,665 ...... 85,352,876 13. Disability benefits and benefits under accident and health contracts...... 972,111 ...... 823,364 ...... 1,091,552 14. Coupons, guaranteed annual pure endowments and similar benefits...... 0 ...... 0 ...... 0 15. Surrender benefits and withdrawals for life contracts...... 548,173,913 ...... 515,497,797 ...... 682,823,378 16. Group conversions...... 0 ...... 0 ...... 0 17. Interest and adjustments on contract or deposit-type contract funds...... 18,336,783 ...... 15,727,310 ...... 20,741,743 18. Payments on supplementary contracts with life contingencies...... 124,392 ...... 128,459 ...... 175,918 19. Increase in aggregate reserves for life and accident and health contracts...... 735,802,246 ...... 582,843,993 ...... 839,830,853 20. Totals (Lines 10 to 19)...... 1,416,310,011 ...... 1,227,445,517 ...... 1,691,234,977 21. Commissions on premiums, annuity considerations and deposit-type contract funds (direct business only)...... 212,243,747 ...... 190,850,543 ...... 263,111,719 22. Commissions and expense allowances on reinsurance assumed...... 0 ...... 0 ...... 0 23. General insurance expenses...... 55,975,307 ...... 65,314,332 ...... 88,669,488 24. Insurance taxes, licenses and fees, excluding federal income taxes...... 11,090,097 ...... 10,469,664 ...... 14,446,009 25. Increase in loading on deferred and uncollected premiums...... (418,864) ...... (409,656) ...... (393,897) 26. Net transfers to or (from) Separate Accounts net of reinsurance...... 0 ...... 0 ...... 0 27. Aggregate write-ins for deductions...... 54,130 ...... 260,882 ...... 334,738 28. Totals (Lines 20 to 27)...... 1,695,254,427 ...... 1,493,931,282 ...... 2,057,403,035 29. Net gain from operations before dividends to policyholders and federal income taxes (Line 9 minus Line 28)...... 202,355,603 ...... (8,060,162) ...... 93,371,709 30. Dividends to policyholders...... 68,244 ...... 67,389 ...... 89,432 31. Net gain from operations after dividends to policyholders and before federal income taxes (Line 29 minus Line 30)...... 202,287,358 ...... (8,127,551) ...... 93,282,278 32. Federal and foreign income taxes incurred (excluding tax on capital gains)...... 70,046,928 ...... (9,625,219) ...... 26,655,548 33. Net gain from operations after dividends to policyholders and federal income taxes and before realized capital gains or (losses) (Line 31 minus Line 32)...... 132,240,430 ...... 1,497,668 ...... 66,626,730 34. Net realized capital gains (losses) (excluding gains (losses) transferred to the IMR) less capital gains tax of $.....1,724,373 (excluding taxes of $.....153,844 transferred to the IMR)...... (8,921,445) ...... (27,375,219) ...... (30,680,197) 35. Net income (Line 33 plus Line 34)...... 123,318,985 ...... (25,877,551) ...... 35,946,533 CAPITAL AND SURPLUS ACCOUNT 36. Capital and surplus, December 31, prior year...... 840,889,029 ...... 778,978,997 ...... 778,978,997 37. Net income (Line 35)...... 123,318,985 ...... (25,877,551) ...... 35,946,533 38. Change in net unrealized capital gains (losses) less capital gains tax of $...... 0...... (4,854,607) ...... 10,541,767 ...... 10,161,043 39. Change in net unrealized foreign exchange capital gain (loss)...... (122,347) ...... 0 ...... 0 40. Change in net deferred income tax...... 19,451,286 ...... 12,381,956 ...... 19,918,032 41. Change in nonadmitted assets...... (11,160,491) ...... (9,344,654) ...... (8,071,788) 42. Change in liability for reinsurance in unauthorized and certified companies...... 0 ...... 0 ...... 0 43. Change in reserve on account of change in valuation basis, (increase) or decrease...... 0 ...... 0 ...... 0 44. Change in asset valuation reserve...... (17,384,146) ...... (14,265,573) ...... (14,043,786) 45. Change in treasury stock...... 0 ...... 0 ...... 0 46. Surplus (contributed to) withdrawn from Separate Accounts during period...... 0 ...... 0 ...... 0 47. Other changes in surplus in Separate Accounts Statement...... 0 ...... 0 ...... 0 48. Change in surplus notes...... 0 ...... 0 ...... 0 49. Cumulative effect of changes in accounting principles...... 0 ...... 0 ...... 0 50. Capital changes: 50.1 Paid in...... 0 ...... 0 ...... 0 50.2 Transferred from surplus (Stock Dividend)...... 0 ...... 0 ...... 0 50.3 Transferred to surplus...... 0 ...... 0 ...... 0 51. Surplus adjustment: 51.1 Paid in...... 0 ...... 0 ...... 18,000,000 51.2 Transferred to capital (Stock Dividend)...... 0 ...... 0 ...... 0 51.3 Transferred from capital...... 0 ...... 0 ...... 0 51.4 Change in surplus as a result of reinsurance...... 0 ...... 0 ...... 0 52. Dividends to stockholders...... 0 ...... 0 ...... 0 53. Aggregate write-ins for gains and losses in surplus...... 0 ...... 0 ...... 0 54. Net change in capital and surplus (Lines 37 through 53)...... 109,248,680 ...... (26,564,055) ...... 61,910,032 55. Capital and surplus as of statement date (Lines 36 + 54)...... 950,137,709 ...... 752,414,942 ...... 840,889,029 DETAILS OF WRITE-INS 08.301. Change in COLI...... 173,319 ...... 202,106 ...... 463,682 08.302. Miscellaneous Income...... 266,686 ...... 266,225 ...... 265,050 08.303...... 0 ...... 0 ...... 0 08.398. Summary of remaining write-ins for Line 8.3 from overflow page...... 0 ...... 0 ...... 0 08.399. Totals (Lines 08.301 thru 08.303 plus 08.398) (Line 8.3 above)...... 440,005 ...... 468,331 ...... 728,732 2701. Changes in agents deferred comp...... 54,130 ...... 246,620 ...... 320,476 2702. Fines and penalties...... 0 ...... 14,262 ...... 14,262 2703...... 0 ...... 0 ...... 0 2798. Summary of remaining write-ins for Line 27 from overflow page...... 0 ...... 0 ...... 0 2799. Totals (Lines 2701 thru 2703 plus 2798) (Line 27 above)...... 54,130 ...... 260,882 ...... 334,738 5301...... 0 ...... 0 ...... 0 5302...... 0 ...... 0 ...... 0 5303...... 0 ...... 0 ...... 0 5398. Summary of remaining write-ins for Line 53 from overflow page...... 0 ...... 0 ...... 0 5399. Totals (Lines 5301 thru 5303 plus 5398) (Line 53 above)...... 0 ...... 0 ...... 0
Q04 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest CASH FLOW 1 2 3 Current Year Prior Year Prior Year Ended to Date To Date December 31 CASH FROM OPERATIONS 1. Premiums collected net of reinsurance...... 1,335,378,948 ...... 1,142,686,850 ...... 1,581,989,304 2. Net investment income...... 421,146,713 ...... 553,332,863 ...... 709,882,715 3. Miscellaneous income...... 2,420,803 ...... 2,600,734 ...... 3,556,640 4. Total (Lines 1 through 3)...... 1,758,946,464 ...... 1,698,620,447 ...... 2,295,428,659 5. Benefit and loss related payments...... 675,822,743 ...... 645,997,665 ...... 850,466,801 6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts...... 0 ...... 0 ...... 0 7. Commissions, expenses paid and aggregate write-ins for deductions...... 310,734,014 ...... 231,812,724 ...... 337,355,911 8. Dividends paid to policyholders...... 57,960 ...... 40,389 ...... 55,460 9. Federal and foreign income taxes paid (recovered) net of $.....1,724,373 tax on capital gains (losses)...... 68,089,656 ...... 29,056,496 ...... 20,559,459 10. Total (Lines 5 through 9)...... 1,054,704,373 ...... 906,907,274 ...... 1,208,437,631 11. Net cash from operations (Line 4 minus Line 10)...... 704,242,091 ...... 791,713,173 ...... 1,086,991,027 CASH FROM INVESTMENTS 12. Proceeds from investments sold, matured or repaid: 12.1 Bonds...... 1,130,003,773 ...... 735,430,872 ...... 1,279,592,153 12.2 Stocks...... 7,660,249 ...... 0 ...... 0 12.3 Mortgage loans...... 162,106,641 ...... 124,864,864 ...... 181,873,646 12.4 Real estate...... 9,481,590 ...... 0 ...... 3,360,930 12.5 Other invested assets...... 8,526,424 ...... 6,133,417 ...... 17,764,564 12.6 Net gains or (losses) on cash, cash equivalents and short-term investments...... 0 ...... 0 ...... 0 12.7 Miscellaneous proceeds...... 31,951,994 ...... 49,420,677 ...... 1,036,229 12.8 Total investment proceeds (Lines 12.1 to 12.7)...... 1,349,730,670 ...... 915,849,830 ...... 1,483,627,522 13. Cost of investments acquired (long-term only): 13.1 Bonds...... 1,860,227,465 ...... 1,535,355,131 ...... 2,363,893,728 13.2 Stocks...... 32,113,297 ...... 44,029,995 ...... 49,834,721 13.3 Mortgage loans...... 467,325,000 ...... 230,669,478 ...... 509,799,478 13.4 Real estate...... 0 ...... 0 ...... 0 13.5 Other invested assets...... 167,644,132 ...... 112,165,183 ...... 124,639,547 13.6 Miscellaneous applications...... 72,549,543 ...... 46,337,373 ...... 57,625,063 13.7 Total investments acquired (Lines 13.1 to 13.6)...... 2,599,859,437 ...... 1,968,557,160 ...... 3,105,792,537 14. Net increase or (decrease) in contract loans and premium notes...... 16,792,821 ...... 21,293,533 ...... 28,243,302 15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14)...... (1,266,921,587) ...... (1,074,000,863) ...... (1,650,408,317) CASH FROM FINANCING AND MISCELLANEOUS SOURCES 16. Cash provided (applied): 16.1 Surplus notes, capital notes...... 0 ...... 0 ...... 0 16.2 Capital and paid in surplus, less treasury stock...... 18,000,000 ...... 0 ...... 0 16.3 Borrowed funds...... 0 ...... 0 ...... 0 16.4 Net deposits on deposit-type contracts and other insurance liabilities...... 539,759,489 ...... 271,728,051 ...... 542,989,626 16.5 Dividends to stockholders...... 0 ...... 0 ...... 0 16.6 Other cash provided (applied)...... 82,958,529 ...... 46,286,737 ...... 26,224,208 17. Net cash from financing and miscellaneous sources (Lines 16.1 through 16.4 minus Line 16.5 plus Line 16.6)...... 640,718,018 ...... 318,014,788 ...... 569,213,834 RECONCILIATION OF CASH, CASH EQUIVALENTS AND SHORT-TERM INVESTMENTS 18. Net change in cash, cash equivalents and short-term investments (Line 11 plus Line 15 plus Line 17)...... 78,038,522 ...... 35,727,097 ...... 5,796,544 19. Cash, cash equivalents and short-term investments: 19.1 Beginning of year...... 76,347,536 ...... 70,550,992 ...... 70,550,992 19.2 End of period (Line 18 plus Line 19.1)...... 154,386,058 ...... 106,278,089 ...... 76,347,536 Note: Supplemental disclosures of cash flow information for non-cash transactions: 20.0001 ...... 0 ...... 0 ...... 0
Q05 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest EXHIBIT 1 DIRECT PREMIUMS AND DEPOSIT-TYPE CONTRACTS 1 2 3 Current Year Prior Year Prior Year To Date To Date Ended December 31
1. Industrial life...... 0 ...... 0 ...... 0
2. Ordinary life insurance...... 487,155,300 ...... 419,386,731 ...... 598,827,354
3. Ordinary individual annuities...... 818,034,862 ...... 676,236,396 ...... 928,635,400
4. Credit life (group and individual)...... 0 ...... 0 ...... 0
5. Group life insurance...... 13,181 ...... 12,983 ...... 10,990
6. Group annuities...... 43,197,610 ...... 59,735,183 ...... 74,014,164
7. A&H - group...... 0 ...... 0 ...... 0
8. A&H - credit (group and individual)...... 0 ...... 0 ...... 0
9. A&H - other...... 47,090 ...... 51,207 ...... 67,876
10. Aggregate of all other lines of business...... 0 ...... 0 ...... 0
11. Subtotal...... 1,348,448,043 ...... 1,155,422,500 ...... 1,601,555,784
12. Deposit-type contracts...... 3,186,398 ...... 1,629,815 ...... 2,171,070
13. Total...... 1,351,634,441 ...... 1,157,052,315 ...... 1,603,726,854
DETAILS OF WRITE-INS
1001...... 0 ...... 0 ...... 0
1002...... 0 ...... 0 ...... 0
1003...... 0 ...... 0 ...... 0
1098. Summary of remaining write-ins for Line 10 from overflow page...... 0 ...... 0 ...... 0
1099. Total (Lines 1001 thru 1003 plus 1098) (Line 10 above)...... 0 ...... 0 ...... 0
Q06 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest NOTES TO FINANCIAL STATEMENTS
Note 1 – Summary of Significant Accounting Policies and Going Concern
A. Accounting Practices The financial statements of Life Insurance Company of the Southwest (“the Company”) are presented on the basis of accounting practices prescribed or permitted by the Texas Department of Insurance.
The Texas Department of Insurance recognizes only statutory accounting practices prescribed or permitted by the state of Texas for determining and reporting the financial condition and results of operations of an insurance company for determining its solvency under the Texas Insurance Law. The National Association of Insurance Commissioners’ (“NAIC”) Accounting Practices and Procedures manual (“NAIC SAP”) has been adopted as a component of prescribed or permitted practices by the State of Texas.
A reconciliation of the Company’s net income and capital and surplus between NAIC SAP and practices prescribed and permitted by the State of Texas is shown below: State of Domicile Current Period Prior Year NET INCOME (1) Life Insurance Company of the Southwest state basis (Page 4, Line 35, Columns 1 $ $ & 3) TX 123,318,985 35,946,533 (2) State Prescribed Practices that increase/decrease NAIC SAP 0 0 (3) State Permitted Practices that increase/decrease NAIC SAP 0 0 (4) NAIC SAP (1 – 2 – 3 = 4) TX $ 123,318,985 $ 35,946,533 SURPLUS (5) Life Insurance Company of the Southwest state basis (Page 3, line 38, Columns 1 & $ $ 2) TX 950,137,708 840,889,029 (6) State Prescribed Practices that increase/decrease NAIC SAP 0 0 (7) State Permitted Practices that increase/decrease NAIC SAP 0 0 (8) NAIC SAP (5 – 6 – 7 = 8) TX $ 950,137,708 $ 840,889,029
C. Accounting Policy (6) Loan-backed securities and structured securities are stated at the lower of amortized cost or fair market value. The retrospective adjustment method is used to value all securities except for interest only securities or securities where the yield had become negative, that are valued using the prospective method.
D. Going Concern - N/A
Note 2 – Accounting Changes and Corrections of Errors
No significant change.
Note 3 – Business Combinations and Goodwill
No significant change.
Note 4 – Discontinued Operations
No significant change.
Note 5 – Investments
D. Loan-Backed Securities
(1) Prepayment assumptions used in the calculation of the effective yield and valuation of loan-backed bonds and structured securities are based on available industry sources and information provided by lenders. The retrospective adjustment methodology is used for the valuation of securities held by the Company.
(2) All securities within the scope of this statement with a recognized other-than-temporary impairment, disclosed in the aggregate, classified on the basis for the other-than-temporary impairment:
1 2a 2b c Amortized Cost Basis Before Other-than-Temporary Other-than-Temporary Impairment Recognized Fair Value Impairment in Loss 1 – (2a + 2b) OTTI recognized 1st Quarter Interest Non-Interest a. Intent to sell $ 0 $ 0 $ 0 $ 0 b. Inability or lack of intent to retain the investment in the security for a period of time sufficient to recover the amortized cost basis 0 0 0 0 c. Total 1st Quarter $ 0 $ 0 $ 0 $ 0 OTTI recognized 2nd Quarter d. Intent to sell $ 0 $ 0 $ 0 $ 0 e. Inability or lack of intent to retain the investment in the 0 0 0 0 security for a period of time sufficient to recover the Q07 e. 0 0 0 0 security for a period of time sufficient to recover the
Statement as of September 30, 2016 of the Life Insurance Company of the Southwest NOTES TO FINANCIAL STATEMENTS
amortized cost basis f. Total 2nd Quarter $ 0 $ 0 $ 0 $ 0 OTTI recognized 3rd Quarter g. Intent to sell $ 0 $ 0 $ 0 $ 0 h. Inability or lack of intent to retain the investment in the security for a period of time sufficient to recover the amortized cost basis 0 0 0 0 i. Total 4th Quarter $ 0 $ 0 $ 0 $ 0 OTTI recognized 4th Quarter j. Intent to sell $ 0 $ 0 $ 0 $ 0 k. Inability or lack of intent to retain the investment in the security for a period of time sufficient to recover the amortized cost basis 0 0 0 0 l. Total 4th Quarter $ 0 $ 0 $ 0 $ 0 m. Annual aggregate total XXX $ 0 $ 0 XXX
(3) Recognized OTTI securities Book/Adjusted Carrying Value Amortized Cost Amortized Cost Present Value of Recognized After Date of Financial Before Current Period Projected Cash Other-Than-Tempor Other-Than-Tempo Fair Value at Statement Where CUSIP OTTI Flows ary Impairment rary Impairment Time of OTTI Reported 0 0 0 0 0 Total $0
(4) All impaired securities (fair value is less than cost or amortized cost) for which an other-than-temporary impairment has not been recognized in earnings as a realized loss (including securities with a recognized other-than-temporary impairment for non-interest related declines when a non-recognized interest related impairment remains): a. The aggregate amount of unrealized 1. Less than 12 Months $ 952,073 losses: 2. 12 Months or Longer $ 1,304,029 b. The aggregate related fair value of 1. Less than 12 Months $ 83,049,360 securities with unrealized losses: 2. 12 Months or Longer $ 16,654,910
E. Repurchase Agreements and/or Securities Lending Transactions
(3) Collateral Received b. The fair value of that collateral and of the portion of that collateral that it has sold or repledged $ 0 c.
I. Working Capital Finance Investments
(2) Aggregate Maturity Distribution on the Underlying Working Capital Finance Programs - N/A
(3) Default of Working Capital Finance Investments - N/A
J. Offsetting and Netting of Assets and Liabilities - N/A
Note 6 – Joint Ventures, Partnerships and Limited Liability Companies
No significant change.
Note 7 – Investment Income
No significant change.
Note 8 – Derivative Instruments
No significant change.
Note 9 – Income Taxes
No significant change.
Note 10 – Information Concerning Parent, Subsidiaries, Affiliates and Other Related Parties
National Life Insurance Company's ownership of Catamount Reinsurance Company was transferred to its parent, NLV Financial Corporation. Longhorn Reinsurance Company was incorporated on August 17, 2016, as a subsidiary of National Life Insurance Company.
Note 11 – Debt
B. FHLB (Federal Home Loan Bank) Agreements
(1) The Company is a member of the Federal Home Loan Bank (FHLB) of Dallas which provides Life Insurance Company of the Southwest with access to a secured asset-based borrowing capacity. It is part of the Company's strategy to utilize this borrowing capacity for funding agreements and for backup liquidity. The Company has received advances from FHLB in connection with funding agreements, which are considered operating leverage and included in the liability for deposit-type contracts. The proceeds have been invested in a discrete pool of fixed income assets. The Company has a maximum borrowing capacity of approximately $4.2 billion, based on its membership investment base.
(2) FHLB Capital Stock
a. Aggregate Totals
Q07.1 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest NOTES TO FINANCIAL STATEMENTS
1. Current Period 1 2 3 Total General Separate 2 + 3 Account Accounts (a) Membership Stock – Class A $ 0 $ 0 $ 0 (b) Membership Stock – Class B 5,872,400 5,872,400 0 (c) Activity Stock 39,910,400 39,910,400 0 (d) Excess Stock 121,700 121,700 0 (e) Aggregate Total (a+b+c+d) $ 45,904,500 $ 45,904,500 $ 0 (f) Actual or estimated borrowing capacity as determined by the insurer $ 4,247,315,668 XXX XXX
2. Prior Year End 1 2 3 Total General Separate 2 + 3 Account Accounts (a) Membership Stock – Class A $ 0 $ 0 $ 0 (b) Membership Stock – Class B 5,352,900 5,352,900 0 (c) Activity Stock 18,210,700 18,210,700 0 (d) Excess Stock 15,600 15,600 0 (e) Aggregate Total (a+b+c+d) $ 23,579,200 $ 23,579,200 $ 0 (f) Actual or estimated borrowing capacity as determined by the insurer $ 4,014,200,926 XXX XXX
b. Membership Stock (Class A and B) Eligible for Redemption 1 2 Eligible for Redemption 3 4 5 6 Membership Current Period Total Stick Not Eligible for Less than 6 Months to Less 1 to Less Than (2+3+4+5+6) Redemption 6 Months Than 1 Year 3 Years 3 to 5 Years 1. Class A $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 2. Class B $ 5,872,400 $ 5,872,400 $ 0 $ 0 $ 0 $ 0
(3) Collateral Pledged to FHLB
a. Amount Pledged as of Reporting Date 1 2 3 Fair Value Carrying Value Aggregate Total Borrowing Current Period Total General and Separate Accounts Total $ $ $ Collateral Pledged (Lines 2+3) 1,244,620,788 1,172,514,927 1,110,855,221 Current Period General Account $ $ $ Total Collateral Pledged 1,244,620,788 1,172,514,927 1,110,855,221 Current Period Separate Accounts $ $ $ Total Collateral Pledged 0 0 0 Prior Year End Total General and Separate Accounts $ $ $ Total Collateral Pledged 602,164,953 594,120,873 581,595,000
b. Maximum Amount Pledged During Reporting Period 1 2 3 Amount Borrowed at Time of Fair Value Carrying Value Maximum Collateral Current Period Total General and Separate Accounts Total $ $ $ Collateral Pledged (Lines 2+3) 1,261,172,060 1,188,851,791 1,110,855,221 Current Period General Account $ $ $ Total Collateral Pledged 1,261,172,060 1,188,851,791 1,110,855,221 Current Period Separate Accounts $ $ $ Total Collateral Pledged 0 0 0 Prior Year End Total General and Separate Accounts $ $ $ Total Collateral Pledged 617,795,049 605,101,694 571,595,000
(4) Borrowing from FHLB
a. Amount as of the Reporting Date
1. Current Period 1 2 3 4 Total General Separate Funding Agreements 2 + 3 Account Accounts Reserves Established (a) Debt $ 0 $ 0 $ 0 XXX (b) Funding Agreements 1,110,855,221 1,110,855,221 0 $ 1,110,855,221 (c) Other 0 0 0 XXX (d) Aggregate Total (a+b+c) $ 1,110,855,221 $ 1,110,855,221 $ 0 $ 1,110,855,221
2. Prior Year End 1 2 3 4 Total General Separate Funding Agreements 2 + 3 Account Accounts Reserves Established (a) Debt $ 0 $ 0 $ 0 XXX (b) Funding Agreements 581,595,000 581,595,000 0 $ 581,595,000 (c) Other 0 0 0 XXX (d) Aggregate Total (a+b+c) $ 581,595,000 $ 581,595,000 $ 0 $ 581,595,000
Q07.2 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest NOTES TO FINANCIAL STATEMENTS
b. Maximum Amount During Reporting Period (Current Period) 1 2 3 Total General Separate 2 + 3 Account Accounts 1. Debt $ 0 $ 0 $ 0 2. Funding Agreements 1,110,855,221 1,110,855,221 0 3. Other 0 0 0 4. Aggregate Total (Lines 1+2+3) $ 1,110,855,221 $ 1,110,855,221 $ 0
c. FHLB – Prepayment Obligations Does the Company have Prepayment Obligations under the Following Arrangements (YES/NO) 1. Debt NO 2. Funding Agreements NO 3. Other NO
Note 12 – Retirement Plans, Deferred Compensation, Postemployment Benefits and Compensated Absences and Other Postretirement Benefit Plans
A. Defined Benefit Plan - NONE
Note 13 – Capital and Surplus, Dividend Restrictions and Quasi-Reorganizations
No significant change.
Note 14 – Liabilities, Contingencies and Assessments
A. All Other Contingencies
The Company is involved in class action or putative class action litigation. On September 24, 2010, three individuals (including two former policyholders and one now former policyholder) brought a putative class action against LSW concerning their purchases of indexed universal life insurance policies sold in California (SecurePlus Provider and SecurePlus Paragon), in the U.S. District Court for the Central District of California (the “Court”) and captioned Walker, et al. v. Life Ins. Co. of the Southwest. Plaintiffs assert claims under the California Unfair Competition Law and for fraudulent concealment, alleging that LSW and independent agents did not sufficiently and/or appropriately disclose, in illustrations and otherwise, certain features of the policies, including the amount and duration of certain charges and fees set forth in the policies themselves, the method by which policy values are calculated under the policies, and the potential tax treatment for policy loans under certain circumstances. Plaintiffs seek a variety of alternative forms of relief, including actual and punitive damages or rescission, injunctive relief, and an award of attorneys’ fees. The Company denies engaging in any misconduct, and believes it has meritorious defenses to the claims asserted in Walker. On November 9, 2012, the Court certified a class of all Provider and Paragon policyholders who purchased their policies in California on or after September 24, 2006 and a sub-class of those who received an illustration on or before the date they submitted a policy application. On November 26, 2012, LSW filed a petition with the U.S. Court of Appeals for the Ninth Circuit seeking an interlocutory appeal of the class certification order. On February 27, 2013, LSW’s petition for permission to appeal the District Court’s certification order was denied. On May 20, 2013, the parties appeared before the Court for a show cause hearing regarding why the Court should not decertify the illustration subclass. On May 28, 2013, the Court issued a ruling decertifying the illustration subclass on predominance grounds. On or about August 19, 2013, notice was sent to potential class members advising them of the remaining certified claims and the November 19, 2013 deadline to opt out of the class. On September 10, 2013, Plaintiffs filed a motion for Reconsideration and Leave to Amend the operative Complaint. LSW opposed the motion and, also on September 10, 2013 filed, a Motion to Decertify the remaining class claims. On November 1, 2013, the Court denied both motions. A jury trial on the fraudulent concealment claims was held in April 2014 and resulted in a defense verdict. No liability was found and no damages awarded. In an Order dated April 14, 2015, U.S. District Court Judge James V. Selna found in favor of LSW as to all remaining claims. On May 29, 2015, plaintiffs filed a notice of appeal from the final judgment with the United States Court of Appeals for the Ninth Circuit. Plaintiffs filed their appellate brief in December 2015. LSW filed its answer brief on February 8, 2016. Plaintiffs filed their reply brief on May 23, 2016. Oral argument is expected to occur in February 2017.
Note 15 – Leases
No significant change.
Note 16 – Information about Financial Instruments with Off-Balance Sheet Risk and Financial Instruments with Concentrations of Credit Risk
No significant change.
Note 17 – Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities
B. Transfer and Servicing of Financial Assets - NONE
C. Wash Sales - NONE
Note 18 – Gain or Loss to the Reporting Entity from Uninsured Plans and the Portion of Partially Insured Plans
No significant change.
Note 19 – Direct Premium Written/Produced by Managing General Agents/Third Party Administrators
No significant change.
Note 20 – Fair Value Measurements
A.
(1) Fair Value Measurements at Reporting Date Assets at Fair Value Level 1 Level 2 Level 3 Total Q07.3 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest NOTES TO FINANCIAL STATEMENTS
Bonds $ 0 $ 13,978,240 $ 0 $ 13,978,240 Common Stock 80,809,600 0 0 80,809,600 Derivatives 3,786,444 670,907,493 0 674,693,937 Other Invested Assets 0 0 154,830,274 154,830,274 Short Term Investments 132,500,000 0 0 132,500,000 Total $ 217,096,044 $ 684,885,733 $ 154,830,274 $ 1,056,812,051
Liabilities at Fair Value Level 1 Level 2 Level 3 Total Derivatives $ 0 $ 356,967,503 $ 0 $ 356,967,503 Total $ 0 $ 356,967,503 $ 0 $ 356,967,503
(2) Fair Value Measurements in (Level 3) of the Fair Value Hierarchy Total Gains Total Gains Beginning Transfers and (Losses) and (Losses) Ending Balance Balance at Transfers Into Out of Level Included in Included in at current a. Assets current period Level 3 3 Net Income Surplus Purchases Issuances Sales Settlements period Other Invested Assets $ 104,668,668 $ 0 $ 0 $ 0 $ 440 $ 54,939,590 $ 0 $ (4,778,424) $ 0 $ 154,830,274 Total $ 104,668,668 $ 0 $ 0 $ 0 $ 440 $ 54,939,590 $ 0 $ (4,778,424) $ 0 $ 154,830,274
Total Gains Total Gains Beginning Transfers and (Losses) and (Losses) Ending Balance at Transfers Into Out of Level Included in Net Included in Balance at b. Liabilities current period Level 3 3 Income Surplus Purchases Issuances Sales Settlements current period $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 Total $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
(3) The Company recognizes transfers between levels on the actual date of the event or change in circumstances that caused the transfer.
(4) The following is a description of the valuation techniques: Bonds – Bonds are stated at amortized cost with the exception of those bonds that are rated an NAIC 6 or that have been impaired. Bonds are valued using cash flow models based on appropriate observable inputs such as market quotes, yield curves, interest rates, and spreads. These securities are generally categorized in Level 2 of the fair value hierarchy; in instances where significant inputs are unobservable, they are categorized as Level 3.
Common stock – Fair values of common stocks are based on unadjusted quoted market prices from pricing services as well as primary and secondary brokers/dealers. Actively traded common stocks with readily available market prices are categorized into Level 1 of the fair value hierarchy.
Derivative assets and liabilities – Derivative assets and liabilities include option, futures, and swaption contracts. Fair value of these over the counter (“OTC”) derivative products is calculated using models such as the Black-Scholes option-pricing model, which uses pricing inputs, observed from actively quoted markets and is widely accepted by the financial services industry. A substantial majority of the Company’s OTC derivative products use pricing models and are categorized as Level 2 of the fair value hierarchy.
Other Invested Assets– Other invested assets do not have a readily determinable fair value. Since these valuations have significant unobservable inputs, they are generally categorized as Level 3 in the fair value hierarchy.
Short term investments – Short-term investments consist of money market funds with observable market pricing and are categorized into Level 1.
(5) For additional information on derivatives see 20(A)1-4 above.
C. Not Practicable Type of Financial Instrument Aggregate Fair Value Admitted Assets (Level 1) (Level 2) (Level 3) (Carrying Value) Bonds $ 12,775,142,432 $ 12,004,642,350 $ 22,093,821 $ 12,753,048,611 $ 0 $ 0 Preferred Stock 11,829,546 11,700,000 0 11,829,546 0 0 Common Stock 80,809,600 80,809,600 80,809,600 0 0 0 Mortgage Loans 2,524,245,804 2,429,200,563 0 0 2,524,245,804 0 Real Estate 6,120,000 6,065,658 0 6,120,000 0 0 Short Term Investments 132,500,000 132,500,000 132,500,000 0 0 0 Cash Equivalents 0 5,999,882 0 0 0 5,999,882 Derivative Asset 674,693,937 674,693,937 3,786,444 670,907,493 0 0 Other Invested Assets 466,546,923 443,358,370 0 134,412,323 154,830,274 177,304,326 Derivative Liability 356,967,503 356,967,503 0 356,967,503 0 0
D. Not Practicable to Estimate Fair Value Effective Type of Class or Financial Instrument Carrying Value Interest Rate Maturity Date Explanation It was not practicable to determine the fair value of these financial instruments as a quoted market price is Cash Equivalents $ 5,999,882 0.000 not available. It was not practicable to determine the fair value of these financial instruments as a quoted market price is Other Invested Assets 177,304,326 0.000 not available.
Note 21 –Other Items
No significant change.
Q07.4 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest NOTES TO FINANCIAL STATEMENTS
Note 22 – Events Subsequent
No significant change.
Note 23 – Reinsurance
No significant change.
Note 24 – Retrospectively Rated Contracts and Contracts Subject to Redetermination
E. Risk Sharing Provisions of the Affordable Care Act - N/A
Note 25 – Change in Incurred Losses and Loss Adjustment Expenses
None.
Note 26 – Intercompany Pooling Arrangements
No significant change.
Note 27 – Structured Settlements
No significant change.
Note 28 – Health care receivables
No significant change.
Note 29 – Participating policies
No significant change.
Note 30 – Premium Deficiency Reserves
No significant change.
Note 31 – Reserves for Life Contracts and Deposit-Type Contracts
No significant change.
Note 32 – Analysis of Annuity Actuarial Reserves and Deposit Liabilities by Withdrawal Characteristics
No significant change.
Note 33 – Premium and Annuity Considerations Deferred and Uncollected
No significant change.
Note 34 – Separate Accounts
No significant change.
Note 35 – Loss/Claim Adjustment Expenses
No significant change.
Q07.5 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest GENERAL INTERROGATORIES PART 1 - COMMON INTERROGATORIES GENERAL 1.1 Did the reporting entity experience any material transactions requiring the filing of Disclosure of Material Transactions with the State of Domicile, as required by the Model Act? Yes [ ] No [ X ] 1.2 If yes, has the report been filed with the domiciliary state? Yes [ ] No [ ] 2.1 Has any change been made during the year of this statement in the charter, by-laws, articles of incorporation, or deed of settlement of the reporting entity? Yes [ ] No [ X ] 2.2 If yes, date of change: 3.1 Is the reporting entity a member of an Insurance Holding Company System consisting of two or more affiliated persons, one or more of which is an insurer? Yes [ X ] No [ ] If yes, complete Schedule Y, Parts 1 and 1A. 3.2 Have there been any substantial changes in the organizational chart since the prior quarter end? Yes [ X ] No [ ] 3.3 If the response to 3.2 is yes, provide a brief description of those changes. National Life Insurance Company's ownership of Catamount Reinsurance Company was transferred to its parent, NLV Financial Corporation. Longhorn Reinsurance Company was incorporated on August 17, 2016, as a subsidiary of National Life Insurance Company. 4.1 Has the reporting entity been a party to a merger or consolidation during the period covered by this statement? Yes [ ] No [ X ] 4.2 If yes, provide name of entity, NAIC Company Code, and state of domicile (use two letter state abbreviation) for any entity that has ceased to exist as a result of the merger or consolidation. 1 2 3 NAIC Company State of Name of Entity Code Domicile
0 5. If the reporting entity is subject to a management agreement, including third-party administrator(s), managing general agent(s), attorney-in-fact, or similar agreement, have there been any significant changes regarding the terms of the agreement or principals involved? If yes, attach an explanation. Yes [ ] No [X ] N/A [ ]
6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2014 6.2 State the as of date that the latest financial examination report became available from either the state of domicile or the reporting entity. This date should be the date of the examined balance sheet and not the date the report was completed or released. 12/31/2014 6.3 State as of what date the latest financial examination report became available to other states or the public from either the state of domicile or the reporting entity. This is the release date or completion date of the examination report and not the date of the examination (balance sheet date). 04/11/2016 6.4 By what department or departments? Texas Department of Insurance
6.5 Have all financial statement adjustments within the latest financial examination report been accounted for in a subsequent financial statement filed with Departments? Yes [ X ] No [ ] N/A [ ] 6.6 Have all of the recommendations within the latest financial examination report been complied with? Yes [ X ] No [ ] N/A [ ] 7.1 Has this reporting entity had any Certificates of Authority, licenses or registrations (including corporate registration, if applicable) suspended or revoked by any governmental entity during the reporting period? Yes [ ] No [ X ] 7.2 If yes, give full information:
8.1 Is the company a subsidiary of a bank holding company regulated with the Federal Reserve Board? Yes [ ] No [ X ] 8.2 If response to 8.1 is yes, please identify the name of the bank holding company.
8.3 Is the company affiliated with one or more banks, thrifts or securities firms? Yes [ X ] No [ ] 8.4 If the response to 8.3 is yes, please provide below the names and location (city and state of the main office) of any affiliates regulated by a federal regulatory services agency [i.e. the Federal Reserve Board (FRB), the Office of the Comptroller of the Currency (OCC), the Federal Deposit Insurance Corporation (FDIC) and the Securities Exchange Commission (SEC)] and identify the affiliate’s primary federal regulator]. 1 2 3 4 5 6 Affiliate Name Location (City, State) FRB OCC FDIC SEC
Equity Services, Inc. Montpelier, VT NO NO NO YES Sentinel Financial Services Company Montpelier, VT NO NO NO YES 9.1 Are the senior officers (principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions) of the reporting entity subject to a code of ethics, which includes the following standards? Yes [ X ] No [ ] (a) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (b) Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the reporting entity; (c) Compliance with applicable governmental laws, rules and regulations; (d) The prompt internal reporting of violations to an appropriate person or persons identified in the code; and (e) Accountability for adherence to the code. 9.11 If the response to 9.1 is No, please explain:
9.2 Has the code of ethics for senior managers been amended? Yes [ ] No [ X ] 9.21 If the response to 9.2 is Yes, provide information related to amendment(s).
9.3 Have any provisions of the code of ethics been waived for any of the specified officers? Yes [ ] No [ X ] 9.31 If the response to 9.3 is Yes, provide the nature of any waiver(s).
Q08 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest GENERAL INTERROGATORIES PART 1 - COMMON INTERROGATORIES FINANCIAL 10.1 Does the reporting entity report any amounts due from parent, subsidiaries or affiliates on Page 2 of this statement? Yes [ ] No [ X ] 10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: $ 0 INVESTMENT 11.1 Were any of the stocks, bonds, or other assets of the reporting entity loaned, placed under option agreement, or otherwise made available for use by another person? (Exclude securities under securities lending agreements.) Yes [ ] No [ X ] 11.2 If yes, give full and complete information relating thereto:
12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 0
13. Amount of real estate and mortgages held in short-term investments: $ 0
14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes [ X ] No [ ] 14.2 If yes, please complete the following: 1 2 Prior Year-End Current Quarter Book/Adjusted Carrying Value Book/Adjusted Carrying Value 14.21 Bonds $ 0 $ 0 14.22 Preferred Stock 0 0 14.23 Common Stock 0 0 14.24 Short-Term Investments 0 0 14.25 Mortgage Loans on Real Estate 0 0 14.26 All Other 100,000 100,000 14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 100,000 $ 100,000 14.28 Total Investment in Parent included in Lines 14.21 to 14.26 above $ 0 $ 0 15.1 Has the reporting entity entered into any hedging transactions reported on Schedule DB? Yes [ X ] No [ ] 15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ X ] No [ ] If no, attach a description with this statement.
16. For the reporting entity's security lending program, state the amount of the following as of current statement date: 16.1 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2: $ 0 16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2: $ 0 16.3 Total payable for securities lending reported on the liability page: $ 0 17. Excluding items in Schedule E-Part 3-Special Deposits, real estate, mortgage loans and investments held physically in the reporting entity's offices, vaults or safety deposit boxes, were all stocks, bonds and other securities, owned throughout the current year held pursuant to a custodial agreement with a qualified bank or trust company in accordance with Section 1, III - General Examination Considerations, F. Outsourcing of Critical Functions, Custodial or Safekeeping Agreements of the NAIC Financial Condition Examiners Handbook? Yes [ X ] No [ ] 17.1 For all agreements that comply with the requirements of the NAIC Financial Condition Examiners Handbook, complete the following: 1 2 Name of Custodian(s) Custodian Address
JP Morgan Chase 4 Chase Metrotech Center, Floor 14, Brooklyn, NY 11245 17.2 For all agreements that do not comply with the requirements of the NAIC Financial Condition Examiners Handbook, provide the name, location and a complete explanation: 1 2 3 Name(s) Location(s) Complete Explanation(s)
17.3 Have there been any changes, including name changes, in the custodian(s) identified in 17.1 during the current quarter? Yes [ ] No [ X ] 17.4 If yes, give full and complete information relating thereto: 1 2 3 4 Old Custodian New Custodian Date of Reason Change
17.5 Identify all investment advisors, broker/dealers or individuals acting on behalf of broker/dealers that have access to the investment accounts, handle securities and have authority to make investments on behalf of the reporting entity: 1 2 3 Central Registration Depository Name(s) Address
109396 Sentinel Asset Management, Inc. Montpelier, VT 18.1 Have all the filing requirements of the Purposes and Procedures Manual of the NAIC Investment Analysis Office been followed? Yes [ X ] No [ ] 18.2 If no, list exceptions:
Q08.1 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest GENERAL INTERROGATORIES (continued) PART 2 - LIFE & HEALTH
1. Report the statement value of mortgage loans at the end of this reporting period for the following categories:
1.1 Long-term mortgages in good standing Amount 1.11 Farm mortgages...... $...... 0 1.12 Residential mortgages...... $...... 0 1.13 Commercial mortgages...... $...... 2,420,246,627 1.14 Total mortgages in good standing...... $...... 2,420,246,627
1.2 Long-term mortgages in good standing with restructured terms 1.21 Total mortgages in good standing with restructured terms...... $...... 5,234,226
1.3 Long-term mortgage loans upon which interest is overdue more than three months 1.31 Farm mortgages...... $...... 0 1.32 Residential mortgages...... $...... 0 1.33 Commercial mortgages...... $...... 0 1.34 Total mortgages with interest overdue more than three months...... $...... 0
1.4 Long-term mortgage loans in process of foreclosure 1.41 Farm mortgages...... $...... 0 1.42 Residential mortgages...... $...... 0 1.43 Commercial mortgages...... $...... 3,719,710 1.44 Total mortgages in process of foreclosure...... $...... 3,719,710
1.5 Total mortgage loans (Lines 1.14 + 1.21 + 1.34 + 1.44) (Page 2, Column 3, Lines 3.1 + 3.2) ...... $...... 2,429,200,563
1.6 Long-term mortgages foreclosed, properties transferred to real estate in current quarter 1.61 Farm mortgages...... $...... 0 1.62 Residential mortgages...... $...... 0 1.63 Commercial mortgages...... $...... 3,000,000 1.64 Total mortgages foreclosed and transferred to real estate...... $...... 3,000,000
2. Operating Percentages: 2.1 A&H loss percent...... 0.0 2.2 A&H cost containment percent...... 0.0 2.3 A&H expense percent excluding cost containment expenses...... 0.0
3.1 Do you act as a custodian for health savings accounts?...... Yes [ ] No [ X ] 3.2 If yes, please provide the amount of custodial funds held as of the reporting date...... $...... 0 3.3 Do you act as an administrator for health savings accounts?...... Yes [ ] No [ X ] 3.4 If yes, please provide the balance of the funds administered as of the reporting date...... $...... 0
Q09 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE S - CEDED REINSURANCE Showing All New Reinsurance Treaties - Current Year to Date 1 2 3 4 5 6 7 8 9 NAIC Type of Certified Effective Date Company ID Effective Domiciliary Reinsurance Type of Reinsurer Rating of Certified Code Number Date Name of Reinsurer Jurisdiction Ceded Reinsurer (1 through 6) Reinsuer Rating
NONE
Q10 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE T - PREMIUMS AND ANNUITY CONSIDERATIONS Current Year to Date - Allocated by States and Territories 1 Direct Business Only Life Contracts 4 5 6 7 2 3 A&H Insurance Premiums, Including Policy Active Life Insurance Annuity Membership and Other Total Columns 2 Deposit-Type States, Etc. Status Premiums Considerations Other Fees Considerations through 5 Contracts 1. Alabama...... AL ...... L...... 3,612,103 ...... 6,075,384 ...... 170 ...... 0 ...... 9,687,658 ...... 0 2. Alaska...... AK ...... L...... 751,371 ...... 401,375 ...... 178 ...... 0 ...... 1,152,923 ...... 0 3. Arizona...... AZ ...... L...... 10,774,186 ...... 24,357,916 ...... 272 ...... 0 ...... 35,132,374 ...... 31,827 4. Arkansas...... AR ...... L...... 1,742,866 ...... 3,887,298 ...... 99 ...... 0 ...... 5,630,262 ...... 0 5. California...... CA ...... L...... 167,110,846 ...... 196,501,195 ...... 504 ...... 0 .....363,612,546 ...... 633,876 6. Colorado...... CO ...... L...... 12,167,761 ...... 9,006,633 ...... 1,008 ...... 0 ...... 21,175,402 ...... 194,550 7. Connecticut...... CT ...... L...... 9,815,823 ...... 3,093,589 ...... 0 ...... 0 ...... 12,909,412 ...... 0 8. Delaware...... DE ...... L...... 2,470,715 ...... 2,572,121 ...... 0 ...... 0 ...... 5,042,836 ...... 0 9. District of Columbia...... DC ...... L...... 2,340,786 ...... 519,737 ...... 0 ...... 0 ...... 2,860,524 ...... 0 10. Florida...... FL ...... L...... 36,492,247 ...... 102,652,905 ...... 158 ...... 0 .....139,145,311 ...... 68,428 11. Georgia...... GA ...... L...... 15,060,856 ...... 25,688,472 ...... 39 ...... 0 ...... 40,749,366 ...... 0 12. Hawaii...... HI ...... L...... 4,312,541 ...... 9,881,503 ...... 0 ...... 0 ...... 14,194,044 ...... 0 13. Idaho...... ID ...... L...... 674,512 ...... 760,763 ...... 39 ...... 0 ...... 1,435,314 ...... 0 14. Illinois...... IL ...... L...... 10,261,238 ...... 20,242,878 ...... 52 ...... 0 ...... 30,504,168 ...... 0 15. Indiana...... IN ...... L...... 1,984,545 ...... 4,209,535 ...... 69 ...... 0 ...... 6,194,149 ...... 0 16. Iowa...... IA ...... L...... 2,037,291 ...... 4,529,850 ...... 0 ...... 0 ...... 6,567,141 ...... 9,166 17. Kansas...... KS ...... L...... 1,962,881 ...... 1,277,501 ...... 429 ...... 0 ...... 3,240,811 ...... 0 18. Kentucky...... KY ...... L...... 1,518,442 ...... 2,424,894 ...... 40 ...... 0 ...... 3,943,376 ...... 0 19. Louisiana...... LA ...... L...... 4,266,785 ...... 10,142,218 ...... 7,757 ...... 0 ...... 14,416,759 ...... 0 20. Maine...... ME ...... L...... 685,062 ...... 332,900 ...... 0 ...... 0 ...... 1,017,963 ...... 0 21. Maryland...... MD ...... L...... 24,360,867 ...... 15,330,911 ...... 0 ...... 0 ...... 39,691,778 ...... 0 22. Massachusetts...... MA ...... L...... 3,268,021 ...... 10,071,147 ...... 0 ...... 0 ...... 13,339,168 ...... 0 23. Michigan...... MI ...... L...... 7,353,081 ...... 56,688,164 ...... 39 ...... 0 ...... 64,041,285 ...... 0 24. Minnesota...... MN ...... L...... 8,483,293 ...... 1,122,473 ...... 26 ...... 0 ...... 9,605,792 ...... 0 25. Mississippi...... MS ...... L...... 3,389,003 ...... 1,510,756 ...... 609 ...... 0 ...... 4,900,368 ...... 0 26. Missouri...... MO ...... L...... 2,812,351 ...... 2,527,530 ...... 108 ...... 0 ...... 5,339,989 ...... 0 27. Montana...... MT ...... L...... 779,803 ...... 17,544 ...... 424 ...... 0 ...... 797,771 ...... 0 28. Nebraska...... NE ...... L...... 896,650 ...... 207,145 ...... 182 ...... 0 ...... 1,103,977 ...... 0 29. Nevada...... NV ...... L...... 9,632,460 ...... 20,067,226 ...... 52 ...... 0 ...... 29,699,737 ...... 0 30. New Hampshire...... NH ...... L...... 1,212,218 ...... 1,945,433 ...... 0 ...... 0 ...... 3,157,651 ...... 6,960 31. New Jersey...... NJ ...... L...... 9,071,807 ...... 3,474,490 ...... 0 ...... 0 ...... 12,546,297 ...... 0 32. New Mexico...... NM ...... L...... 1,101,365 ...... 2,397,074 ...... 905 ...... 0 ...... 3,499,343 ...... 0 33. New York...... NY ...... N...... 3,023,604 ...... 901,260 ...... 0 ...... 0 ...... 3,924,864 ...... 0 34. North Carolina...... NC ...... L...... 11,223,045 ...... 32,216,602 ...... 39 ...... 0 ...... 43,439,686 ...... 0 35. North Dakota...... ND ...... L...... 165,896 ...... 199,597 ...... 386 ...... 0 ...... 365,879 ...... 0 36. Ohio...... OH ...... L...... 5,591,015 ...... 13,504,936 ...... 144 ...... 0 ...... 19,096,095 ...... 0 37. Oklahoma...... OK ...... L...... 2,807,281 ...... 10,128,780 ...... 4,485 ...... 0 ...... 12,940,546 ...... 0 38. Oregon...... OR ...... L...... 2,243,545 ...... 555,547 ...... 0 ...... 0 ...... 2,799,092 ...... 0 39. Pennsylvania...... PA ...... L...... 9,131,880 ...... 6,601,770 ...... 0 ...... 0 ...... 15,733,650 ...... 651,661 40. Rhode Island...... RI ...... L...... 1,511,535 ...... 288,346 ...... 0 ...... 0 ...... 1,799,881 ...... 0 41. South Carolina...... SC ...... L...... 3,515,882 ...... 10,364,889 ...... 66 ...... 0 ...... 13,880,837 ...... 0 42. South Dakota...... SD ...... L...... 321,563 ...... 21,242 ...... 0 ...... 0 ...... 342,805 ...... 0 43. Tennessee...... TN ...... L...... 5,183,019 ...... 6,671,587 ...... 91 ...... 0 ...... 11,854,697 ...... 91,668 44. Texas...... TX ...... L...... 41,210,857 ...... 183,905,001 ...... 27,671 ...... 0 .....225,143,529 ...... 1,065,201 45. Utah...... UT ...... L...... 9,507,994 ...... 15,458,660 ...... 474 ...... 0 ...... 24,967,129 ...... 47,791 46. Vermont...... VT ...... L...... 989,887 ...... 15,599,009 ...... 0 ...... 0 ...... 16,588,896 ...... 379,290 47. Virginia...... VA ...... L...... 17,275,448 ...... 17,103,741 ...... 52 ...... 0 ...... 34,379,241 ...... 5,980 48. Washington...... WA ...... L...... 4,909,770 ...... 858,444 ...... 39 ...... 0 ...... 5,768,253 ...... 0 49. West Virginia...... WV ...... L...... 289,849 ...... 843,593 ...... 22 ...... 0 ...... 1,133,464 ...... 0 50. Wisconsin...... WI ...... L...... 4,980,829 ...... 1,942,187 ...... 0 ...... 0 ...... 6,923,016 ...... 0 51. Wyoming...... WY ...... L...... 188,955 ...... 114,456 ...... 462 ...... 0 ...... 303,873 ...... 0 52. American Samoa...... AS ...... N...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 53. Guam...... GU ...... N...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 54. Puerto Rico...... PR ...... N...... 6,337 ...... 0 ...... 0 ...... 0 ...... 6,337 ...... 0 55. US Virgin Islands...... VI ...... N...... 1,356 ...... 0 ...... 0 ...... 0 ...... 1,356 ...... 0 56. Northern Mariana Islands...... MP ...... N...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 57. Canada...... CAN ...... N...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 58. Aggregate Other Alien...... OT ....XXX ...... 145,584 ...... 34,264 ...... 0 ...... 0 ...... 179,848 ...... 0 59. Subtotal...... (a)..50 ...... 486,628,908 ...... 861,232,472 ...... 47,090 ...... 0 .1,347,908,470 ...... 3,186,398 90. Reporting entity contributions for employee benefit plans...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 91. Dividends or refunds applied to purchase paid-up additions and annuities...... XXX ...... 20,873 ...... 0 ...... 0 ...... 0 ...... 20,873 ...... 0 92. Dividends or refunds applied to shorten endowment or premium paying period...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 93. Premium or annuity considerations waived under disability or other contract provisions...... XXX ...... 518,700 ...... 0 ...... 0 ...... 0 ...... 518,700 ...... 0 94. Aggregate other amounts not allocable by State...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 95. Totals (Direct Business)...... XXX ...... 487,168,481 ...... 861,232,472 ...... 47,090 ...... 0 .1,348,448,043 ...... 3,186,398 96. Plus Reinsurance Assumed...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 97. Totals (All Business)...... XXX ...... 487,168,481 ...... 861,232,472 ...... 47,090 ...... 0 .1,348,448,043 ...... 3,186,398 98. Less Reinsurance Ceded...... XXX ...... 13,196,803 ...... 0 ...... 0 ...... 0 ...... 13,196,803 ...... 0 99. Totals (All Business) less Reinsurance Ceded...... XXX ...... 473,971,678 ...... 861,232,472 ...... 47,090 ...... 0 .1,335,251,240 ...... 3,186,398 DETAILS OF WRITE-INS 58001. Other Alien ZZZ...... XXX ...... 145,584 ...... 34,264 ...... 0 ...... 0 ...... 179,848 ...... 0 58002...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 58003...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 58998. Summary of remaining write-ins for line 58 from overflow page...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 58999. Total (Lines 58001 thru 58003 plus 58998) (Line 58 above)...... XXX ...... 145,584 ...... 34,264 ...... 0 ...... 0 ...... 179,848 ...... 0 9401...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 9402...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 9403...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 9498. Summary of remaining write-ins for line 94 from overflow page...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 9499. Total (Lines 9401 thru 9403 plus 9498) (Line 94 above)...... XXX ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 (L) - Licensed or Chartered - Licensed Insurance Carrier or Domicilied RRG; (R) - Registered - Non-domiciled RRGs; (Q) - Qualified - Qualified or Accredited Reinsurer; (E) - Eligible - Reporting Entities eligible or approved to write Surplus Lines in the state; (N) - None of the above - Not allowed to write business in the state. (a) Insert the number of L responses except for Canada and Other Alien.
Q11 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE Y – INFORMATION CONCERNING ACTIVITIES OF INSURER MEMBERS OF A HOLDING COMPANY GROUP PART 1 – ORGANIZATIONAL CHART Q 1 2 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE Y PART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Name of Type of Securities Control Exchange (Ownership if Publicly Board, If Control is NAIC Traded Names of Relationship Management Ownership Group Group Company ID Federal (U.S. or Parent, Subsidiaries Domiciliary to Reporting Directly Controlled by Attorney-in-Fact, Provide Ultimate Controlling Code Name Code Number RSSD CIK International) or Affiliates Location Entity (Name of Entity/Person) Influence, Other) Percentage Entity(ies)/Person(s) * Members 0000...... National Life Group...... 00000... 03-0359221.. 0...... 0...... National Life Holding Company...... VT...... UIP...... Board...... 0.000 ...... 0...... 0000...... National Life Group...... 00000... 20-4818866.. 0...... 0...... National Life Group Charitable Foundation, Inc. VT...... NIA...... National Life Holding Company...... Management...... 100.000 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 03-0359222.. 0...... 0...... NLV Financial Corporation...... DE...... UIP...... National Life Holding Company...... Board...... 0.000 National Life Holding Company...... 0...... 0634...... National Life Group...... 66680... 03-0144090.. 0...... 0...... National Life Insurance Company...... VT...... UDP...... NLV Financial Corporation...... Board...... 0.000 National Life Holding Company...... 0...... 0634...... National Life Group...... 65528... 75-0953004.. 0...... 0...... Life Insurance Company of the Southwest...... TX...... RE...... National Life Insurance Company...... Ownership...... 100.000 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 03-0221140.. 0...... 0...... Sentinel Asset Management, Inc...... VT...... NIA...... NLV Financial Corporation...... Board...... 0.000 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 03-0316212.. 0...... 0...... Sentinel Administrative Services, Inc...... VT...... NIA...... Sentinel Asset Management, Inc...... Ownership...... 100.000 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 03-0335801.. 0...... 0...... Sentinel Financial Services Company...... VT...... NIA...... Sentinel Administrative Services, Inc...... Ownership...... 95.100 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 03-0355801.. 0...... 0...... Sentinel Financial Services Company...... VT...... NIA...... Sentinel Asset Management, Inc...... Ownership...... 4.900 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 03-0223461.. 0...... 0...... National Retirement Plan Advisors, Inc...... VT...... NIA...... NLV Financial Corporation...... Ownership...... 100.000 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 03-0221141.. 0...... 0...... Equity Services, Inc...... VT...... NIA...... NLV Financial Corporation...... Ownership...... 100.000 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 47-3406482.. 0...... 0...... National Life Distribution, LLC...... VT...... DS...... Life Insurance Company of the Southwest...... Ownership...... 100.000 National Life Holding Company...... 0...... 0634...... National Life Group...... 15803... 47-4708436.. 0...... 0...... Catamount Reinsurance Company...... VT...... IA...... NLV Financial Corporation...... Ownership...... 100.000 National Life Holding Company...... 0...... 0000...... National Life Group...... 00000... 81-3685613.. 0...... 0...... Longhorn Reinsurance Company...... VT...... IA...... National Life Insurance Company...... Ownership...... 100.000 National Life Holding Company...... 0...... Q 1 3 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIES
The following supplemental reports are required to be filed as part of your statement filing. However, in the event that your company does not transact the type of business for which the special report must be filed, your response of NO to the specific interrogatory will be accepted in lieu of filing a "NONE" report and a bar code will be printed below. If the supplement is required of your company but is not being filed for whatever reason, enter SEE EXPLANATION and provide an explanation following the interrogatory questions. Response 1. Will the Trusteed Surplus Statement be filed with the state of domicile and the NAIC with this statement? NO 2. Will the Medicare Part D Coverage Supplement be filed with the state of domicile and the NAIC with this statement? NO 3. Will the Reasonableness of Assumptions Certification required by Actuarial Guideline XXXV be filed with the state of domicile and electronically with the NAIC? NO 4. Will the Reasonableness and Consistency of Assumptions Certification required by Actuarial Guideline XXXV be filed with the state of domicile and electronically with the NAIC? YES 5. Will the Reasonableness of Assumptions Certification for Implied Guaranteed Rate Method required by Actuarial Guideline XXXVI be filed with the state of domicile and electronically with the NAIC? NO 6. Will the Reasonableness and Consistency of Assumptions Certification required by Actuarial Guideline XXXVI (Updated Average Market Value) be filed with the state of domicile and electronically with the NAIC? NO 7. Will the Reasonableness and Consistency of Assumptions Certification required by Actuarial Guideline XXXVI (Updated Market Value) be filed with the state of domicile and electronically with the NAIC? YES
Explanations: 1. The data for this supplement is not required to be filed. 2. The data for this supplement is not required to be filed. 3. The data for this supplement is not required to be filed. 4. 5. The data for this supplement is not required to be filed. 6. The data for this supplement is not required to be filed. 7.
Bar Code: *65528201649000003* *65528201644700003* *65528201636500003* *65528201644800003* *65528201644500003*
Q14 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest Overflow Page for Write-Ins
Additional Write-ins for Assets: Current Statement Date 4 1 2 3 Net Admitted December 31, Nonadmitted Assets Prior Year Net Assets Assets (Cols. 1 - 2) Admitted Assets 2504. Leasehold Improvements...... 436,160 ...... 436,160 ...... 0 ...... 0 2505. Miscellaneous Receivables...... 61,654 ...... 61,654 ...... 0 ...... 0 2506. Prepaid Expenses...... 382,972 ...... 382,972 ...... 0 ...... 0 2507. Note Receivable from NLIC...... 0 ...... 0 ...... 0 ...... 18,000,000 2597. Summary of remaining write-ins for Line 25...... 880,786 ...... 880,786 ...... 0 ...... 18,000,000 Additional Write-ins for Liabilities: 1 2 Current December 31 Statement Date Prior Year 2504. Accrued interest on death claims...... 0 ...... 135,556 2597. Summary of remaining write-ins for Line 25...... 0 ...... 135,556
Q15 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE A - VERIFICATION Real Estate 1 2 Prior Year Ended Year to Date December 31 1. Book/adjusted carrying value, December 31 of prior year...... 2,939,652 ...... 5,926,973 2. Cost of acquired: 2.1 Actual cost at time of acquisition...... 12,110,452 ...... 0 2.2 Additional investment made after acquisition...... 0 ...... 0 3. Current year change in encumbrances...... 0 ...... 0 4. Total gain (loss) on disposals...... 561,138 ...... 349,086 5. Deduct amounts received on disposals...... 9,481,590 ...... 3,360,930 6. Total foreign exchange change in book/adjusted carrying value...... 0 ...... 0 7. Deduct current year's other-than-temporary impairment recognized...... 0 ...... (131,754) 8. Deduct current year's depreciation...... 63,993 ...... 107,231 9. Book/adjusted carrying value at end of current period (Lines 1+2+3+4-5+6-7-8)...... 6,065,659 ...... 2,939,652 10. Deduct total nonadmitted amounts...... 0 ...... 0 11. Statement value at end of current period (Line 9 minus Line 10)...... 6,065,659 ...... 2,939,652
SCHEDULE B - VERIFICATION Mortgage Loans 1 2 Prior Year Ended Year to Date December 31 1. Book value/recorded investment excluding accrued interest, December 31 of prior year...... 2,135,942,653 ...... 1,808,901,244 2. Cost of acquired: 2.1 Actual cost at time of acquisition...... 467,325,000 ...... 509,730,000 2.2 Additional investment made after acquisition...... 0 ...... 69,478 3. Capitalized deferred interest and other...... 462,091 ...... 46,979 4. Accrual of discount...... 0 ...... 0 5. Unrealized valuation increase (decrease)...... 0 ...... 0 6. Total gain (loss) on disposals...... (312,084) ...... (207,856) 7. Deduct amounts received on disposals...... 174,217,093 ...... 181,873,646 8. Deduct amortization of premium and mortgage interest points and commitment fees...... 0 ...... 0 9. Total foreign exchange change in book value/recorded investment excluding accrued interest...... 0 ...... 0 10. Deduct current year's other-than-temporary impairment recognized...... 0 ...... 723,546 11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)...... 2,429,200,567 ...... 2,135,942,653 12. Total valuation allowance...... 0 ...... 0 13. Subtotal (Line 11 plus Line 12)...... 2,429,200,567 ...... 2,135,942,653 14. Deduct total nonadmitted amounts...... 0 ...... 0 15. Statement value at end of current period (Line 13 minus Line 14)...... 2,429,200,567 ...... 2,135,942,653
SCHEDULE BA - VERIFICATION Other Long-Term Invested Assets 1 2 Prior Year Ended Year to Date December 31 1. Book/adjusted carrying value, December 31 of prior year...... 295,904,087 ...... 184,244,248 2. Cost of acquired: 2.1 Actual cost at time of acquisition...... 127,840,645 ...... 114,167,719 2.2 Additional investment made after acquisition...... 39,803,487 ...... 10,471,828 3. Capitalized deferred interest and other...... 0 ...... 0 4. Accrual of discount...... 60,563 ...... 73,974 5. Unrealized valuation increase (decrease)...... (1,753,192) ...... 11,287,051 6. Total gain (loss) on disposals...... (9) ...... 0 7. Deduct amounts received on disposals...... 8,526,424 ...... 17,764,564 8. Deduct amortization of premium and depreciation...... 9,848,436 ...... 6,576,168 9. Total foreign exchange change in book/adjusted carrying value...... (122,347) ...... 0 10. Deduct current year's other-than-temporary impairment recognized...... 0 ...... 0 11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)...... 443,358,374 ...... 295,904,087 12. Deduct total nonadmitted amounts...... 0 ...... 0 13. Statement value at end of current period (Line 11 minus Line 12)...... 443,358,374 ...... 295,904,087
SCHEDULE D - VERIFICATION Bonds and Stocks 1 2 Prior Year Ended Year to Date December 31 1. Book/adjusted carrying value of bonds and stocks, December 31 of prior year...... 11,347,453,542 ...... 10,227,537,152 2. Cost of bonds and stocks acquired...... 1,892,340,760 ...... 2,413,728,449 3. Accrual of discount...... 20,945,162 ...... 24,990,376 4. Unrealized valuation increase (decrease)...... (3,101,415) ...... (1,126,009) 5. Total gain (loss) on disposals...... (2,453,182) ...... 10,549,237 6. Deduct consideration for bonds and stocks disposed of...... 1,137,664,013 ...... 1,279,592,153 7. Deduct amortization of premium...... 15,790,540 ...... 21,974,131 8. Total foreign exchange change in book/adjusted carrying value...... 0 ...... 0 9. Deduct current year's other-than-temporary impairment recognized...... 4,578,381 ...... 26,659,379 10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)...... 12,097,151,933 ...... 11,347,453,542 11. Deduct total nonadmitted amounts...... 0 ...... 0 12. Statement value at end of current period (Line 10 minus Line 11)...... 12,097,151,933 ...... 11,347,453,542
QSI01 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 1B Showing the Acquisitions, Dispositions and Non-Trading Activity During the Current Quarter for all Bonds and Preferred Stock by NAIC Designation 1 2 3 4 5 6 7 8 Book/Adjusted Carrying Acquisitions Dispositions Non-Trading Activity Book/Adjusted Carrying Book/Adjusted Carrying Book/Adjusted Carrying Book/Adjusted Carrying Value Beginning During During During Value End of Value End of Value End of Value December 31 NAIC Designation of Current Quarter Current Quarter Current Quarter Current Quarter First Quarter Second Quarter Third Quarter Prior Year
BONDS
1. NAIC 1 (a)...... 6,281,984,203 ...... 2,954,825,793 ...... 2,764,562,610 ...... 66,133,019 ...... 5,894,503,590 ...... 6,281,984,203 ...... 6,538,380,405 ...... 5,567,424,160
2. NAIC 2 (a)...... 4,795,212,300 ...... 148,716,707 ...... 85,831,394 ...... (72,192,572) ...... 4,856,400,300 ...... 4,795,212,300 ...... 4,785,905,041 ...... 4,958,181,611
3. NAIC 3 (a)...... 641,214,590 ...... 22,068,055 ...... 66,223,624 ...... (5,494,576) ...... 763,699,599 ...... 641,214,590 ...... 591,564,445 ...... 650,293,341
4. NAIC 4 (a)...... 180,622,449 ...... 1,000,510 ...... 22,771,841 ...... (3,881,532) ...... 158,800,699 ...... 180,622,449 ...... 154,969,586 ...... 151,404,129
5. NAIC 5 (a)...... 56,968,199 ...... 0 ...... 15,723,077 ...... 16,491,896 ...... 64,339,729 ...... 56,968,199 ...... 57,737,018 ...... 17,171,374
6. NAIC 6 (a)...... 23,286,079 ...... 0 ...... 6,180,692 ...... (2,519,647) ...... 20,208,900 ...... 23,286,079 ...... 14,585,740 ...... 6,145,813 Q S
I 7. Total Bonds...... 11,979,287,820 ...... 3,126,611,065 ...... 2,961,293,238 ...... (1,463,412) ...... 11,757,952,817 ...... 11,979,287,820 ...... 12,143,142,235 ...... 11,350,620,428 0 2 PREFERRED STOCK
8. NAIC 1...... 2,700,000 ...... 9,000,000 ...... 0 ...... 0 ...... 2,700,000 ...... 2,700,000 ...... 11,700,000 ...... 10,000,000
9. NAIC 2...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0
10. NAIC 3...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0
11. NAIC 4...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0
12. NAIC 5...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0
13. NAIC 6...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0
14. Total Preferred Stock...... 2,700,000 ...... 9,000,000 ...... 0 ...... 0 ...... 2,700,000 ...... 2,700,000 ...... 11,700,000 ...... 10,000,000
15. Total Bonds and Preferred Stock...... 11,981,987,820 ...... 3,135,611,065 ...... 2,961,293,238 ...... (1,463,412) ...... 11,760,652,817 ...... 11,981,987,820 ...... 12,154,842,235 ...... 11,360,620,428 (a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of non-rated short-term and cash equivalent bonds by NAIC designation: NAIC 1 $.....138,499,882; NAIC 2 $...... 0; NAIC 3 $...... 0; NAIC 4 $...... 0; NAIC 5 $...... 0; NAIC 6 $...... 0. Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DA - PART 1 Short-Term Investments 1 2 3 4 5 Book/Adjusted Actual Interest Collected Paid for Accrued Interest Carrying Value Par Value Cost Year To Date Year To Date
9199999...... 132,500,000 ...... XXX...... 132,500,000 ...... 228,586 ...... 0
SCHEDULE DA - VERIFICATION Short-Term Investments 1 2 Prior Year Ended Year To Date December 31
1. Book/adjusted carrying value, December 31 of prior year...... 70,100,000 ...... 89,625,000
2. Cost of short-term investments acquired...... 1,245,692,000 ...... 1,726,367,000
3. Accrual of discount...... 0 ...... 0
4. Unrealized valuation increase (decrease)...... 0 ...... 0
5. Total gain (loss) on disposals...... 0 ...... 0
6. Deduct consideration received on disposals...... 1,183,292,000 ...... 1,745,892,000
7. Deduct amortization of premium...... 0 ...... 0
8. Total foreign exchange change in book/adjusted carrying value...... 0 ...... 0
9. Deduct current year's other-than-temporary impairment recognized...... 0 ...... 0
10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)...... 132,500,000 ...... 70,100,000
11. Deduct total nonadmitted amounts...... 0 ...... 0
12. Statement value at end of current period (Line 10 minus Line 11)...... 132,500,000 ...... 70,100,000
QSI03 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - VERIFICATION Options, Caps, Floors, Collars, Swaps and Forwards
1. Book/adjusted carrying value, December 31, prior year (Line 9, prior year)...... 143,766,621
2. Cost paid/(consideration received) on additions...... 192,956,390
3. Unrealized valuation increase/(decrease)...... 128,446,394
4. Total gain (loss) on termination recognized...... (78,304,478)
5. Considerations received/(paid) on terminations...... 72,924,935
6. Amortization...... 0
7. Adjustment to the book/adjusted carrying value of hedge item...... 0
8. Total foreign exchange change in book/adjusted carrying value...... 0
9. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3 + 4 - 5 + 6 + 7 + 8)...... 313,939,991
10. Deduct nonadmitted assets...... 0
11. Statement value at end of current period (Line 9 minus Line 10)...... 313,939,991
SCHEDULE DB - PART B - VERIFICATION Futures Contracts
1. Book/adjusted carrying value, December 31, prior year (Line 6, prior year)...... 3,615,329
2. Cumulative cash change (Section 1, Broker Name/Net Cash Deposits Footnote - Cumulative Cash Change column)...... 171,113
3.1 Add: Change in variation margin on open contracts - Highly Effective Hedges: 3.11 Section 1, Column 15, current year to date minus...... 235,833 3.12 Section 1, Column 15, prior year...... (121,945) 357,778 Change in variation margin on open contracts - All Other: 3.13 Section 1, Column 18, current year to date minus...... 0 3.14 Section 1, Column 18, prior year...... 0 0 357,778
3.2 Add: Change in adjustment to basis of hedged item: 3.21 Section 1, Column 17, current year to date minus...... 0 3.22 Section 1, Column 17, prior year...... 0 0 Change in amount recognized: 3.23 Section 1, Column 19, current year to date minus...... 235,833 3.24 Section 1, Column 19, prior year...... (121,945) 357,778 357,778
3.3 Subtotal (Line 3.1 minus Line 3.2)...... (0)
4.1 Cumulative variation margin on terminated contracts during the year...... 0
4.2 Less: 4.21 Amount used to adjust basis of hedged item...... 0 4.22 Amount recognized...... 0 0
4.3 Subtotal (Line 4.1 minus Line 4.2)...... 0
5. Dispositions gains (losses) on contracts terminated in prior year: 5.1 Total gain (loss) recognized for terminations in prior year...... 0 5.2 Total gain (loss) adjusted into the hedged item(s) for the terminations in prior year...... 0
6. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3.3 - 4.3 - 5.1 - 5.2)...... 3,786,441
7. Deduct nonadmitted assets...... 0
8. Statement value at end of current period (Line 6 minus Line 7)...... 3,786,441
QSI04 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest
Sch. DB - Pt. C - Sn. 1 NONE
Sch. DB - Pt. C - Sn. 2 NONE
QSI05, QSI06 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - VERIFICATION Verification of Book/Adjusted Carrying Value, Fair Value and Potential Exposure of all Open Derivative Contracts
Book/Adjusted Carrying Value Check
1. Part A, Section 1, Column 14...... 313,939,985
2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance...... 3,786,443
3. Total (Line 1 plus Line 2)...... 317,726,429
4. Part D, Section 1, Column 5...... 674,693,939
5. Part D, Section 1, Column 6...... (356,967,510)
6. Total (Line 3 minus Line 4 minus Line 5)...... (1)
Fair Value Check
7. Part A, Section 1, Column 16...... 313,939,985
8. Part B, Section 1, Column 13...... 3,786,444
9. Total (Line 7 plus Line 8)...... 317,726,429
10. Part D, Section 1, Column 8...... 674,693,939
11. Part D, Section 1, Column 9...... (356,967,510)
12. Total (Line 9 minus Line 10 minus Line 11)...... 0
Potential Exposure Check
13. Part A, Section 1, Column 21...... 7,685,986
14. Part B, Section 1, Column 20...... 464,800
15. Part D, Section 1, Column 11...... 8,150,786
16. Total (Line 13 plus Line 14 minus Line 15)...... 0
QSI07 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE E- VERIFICATION Cash Equivalents 1 2 Prior Year Ended Year To Date December 31
1. Book/adjusted carrying value, December 31 of prior year...... 0 ...... 0
2. Cost of cash equivalents acquired...... 6,061,051,181 ...... 1,408,354,264
3. Accrual of discount...... 600 ...... 0
4. Unrealized valuation increase (decrease)...... 0 ...... 0
5. Total gain (loss) on disposals...... 0 ...... 0
6. Deduct consideration received on disposals...... 6,055,051,899 ...... 1,408,354,264
7. Deduct amortization of premium...... 0 ...... 0
8. Total foreign exchange change in book/ adjusted carrying value...... 0 ...... 0
9. Deduct current year's other-than-temporary impairment recognized...... 0 ...... 0
10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)...... 5,999,882 ...... 0
11. Deduct total nonadmitted amounts...... 0 ...... 0
12. Statement value at end of current period (Line 10 minus Line 11)...... 5,999,882 ...... 0
QSI08 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE A - PART 2 Showing all Real Estate ACQUIRED AND ADDITIONS MADE During the Current Quarter 1 Location 4 5 6 7 8 9 2 3 Book/Adjusted Carrying Value Additional Investment Made Description of Property City State Date Acquired Name of Vendor Actual Cost at Time of Acquisition Amount of Encumbrances Less Encumbrances After Acquisition Acquired by Internal Transfer Franklin Park Medical Center...... Spokane...... WA.. 07/28/2016.... Internal transfer...... 3,000,000 ...... 0 ...... 3,000,000 ...... 0 0299999. Totals...... 3,000,000 ...... 0 ...... 3,000,000 ...... 0 0399999. Totals...... 3,000,000 ...... 0 ...... 3,000,000 ...... 0 Q E 0
1 SCHEDULE A - PART 3 Showing all Real Estate DISPOSED During the Quarter, Including Payments During the Final Year on "Sales Under Contract " 1 Location 4 5 6 7 8 Change in Book/Adjusted Carrying Value Less Encumbrances 14 15 16 17 18 19 20 2 3 9 10 11 12 13 Expended for Additions, Book/Adjusted Current Year's Book/Adjusted Gross Income Permanent Carrying Value Other-Than- Total Foreign Carrying Value Foreign Earned Less Taxes, Improvements Less Temporary Current Year's Total Change Exchange Less Amounts Exchange Realized Gain Total Gain Interest Repairs, and Disposal and Changes in Encumbrances Current Year's Impairment Change in in B./A.C.V. Change in Encumbrances on Received Gain (Loss) on (Loss) on (Loss) on Incurred on Expenses Description of Property City State Date Name of Purchaser Actual Cost Encumbrances Prior Year Depreciation Recognized Encumbrances (11 - 9 - 10) B./A.C.V. Disposal During Year Disposal Disposal Disposal Encumbrances Incurred Property Disposed Franklin Park Medical Center...... Spokane...... WA. 09/07/2016 Franklin Park Medical Center LLC...... 3,000,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 3,000,000 .....3,000,000 ...... 0 ...... 0 ...... 0 ...... (24,762) ...... 10,644 0199999. Totals...... 3,000,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 3,000,000 .....3,000,000 ...... 0 ...... 0 ...... 0 ...... (24,762) ...... 10,644 0399999. Totals...... 3,000,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 3,000,000 .....3,000,000 ...... 0 ...... 0 ...... 0 ...... (24,762) ...... 10,644 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE B - PART 2 Showing all Mortgage Loans ACQUIRED AND ADDITIONS MADE During the Current Quarter 1 Location 4 5 6 7 8 9 2 3
Loan Number City State Loan Type Date Acquired Rate of Interest Actual Cost at Time of Acquisition Additional Investment Made After Acquisition Value of Land and Buildings Mortgages in Good Standing - Commercial Mortgages - All Other 0210725...... URBANDALE...... IA...... 09/01/2016...... 3.900 ...... 28,750,000 ...... 0 ...... 44,200,000 0210726...... CELBRATION...... FL...... 09/01/2016...... 2.530 ...... 30,500,000 ...... 0 ...... 65,300,000 0210727...... CHICAGO...... IL...... 09/21/2016...... 3.000 ...... 16,975,000 ...... 0 ...... 31,900,000 0210728...... SCOTTSDALE...... AZ...... 09/01/2016...... 3.540 ...... 15,000,000 ...... 0 ...... 33,400,000 0210729...... OLNEY...... MD...... 09/08/2016...... 3.450 ...... 16,500,000 ...... 0 ...... 29,600,000 0210731...... GREENWOOD VILLAGE...... CO...... 09/07/2016...... 3.450 ...... 30,600,000 ...... 0 ...... 47,100,000 0210732...... CHARLOTTE...... NC...... 08/26/2016...... 3.100 ...... 38,000,000 ...... 0 ...... 72,900,000 0210733...... HOMEWOOD...... AL...... 08/30/2016...... 3.520 ...... 32,400,000 ...... 0 ...... 50,500,000 0599999. Total - Mortgages in Good Standing - Commercial Mortgages - All Other...... XXX...... XXX...... 208,725,000 ...... 0 ...... 374,900,000 0899999. Total - Mortgages in Good Standing...... XXX...... XXX...... 208,725,000 ...... 0 ...... 374,900,000 3399999. Total Mortgages...... XXX...... XXX...... 208,725,000 ...... 0 ...... 374,900,000
SCHEDULE B - PART 3 Showing all Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter 1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 18 2 3 8 9 10 11 12 13 Book Value / Current Year's Recorded Book Value/Recorded Unrealized Other-Than- Investment Investment Excluding Valuation Current Year's Temporary Capitalized Total Change in Total Foreign Excluding Accrued Foreign Exchange Realized Gain Q Loan Accrued Interest Prior Increase (Amortization) / Impairment Deferred Interest Book Value (8 + 9 - Exchange Change Interest on Gain (Loss) on (Loss) on Total Gain (Loss) on
E Loan Number City State Type Date Acquired Disposal Date Year (Decrease) Accretion Recognized and Other 10 + 11) in Book Value Disposal Consideration Disposal Disposal Disposal
0 Mortgages Closed by Repayment 2 0210413...... MELBOURNE...... FL...... 07/14/2005.... 08/30/2016...... 2,734,684 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,728,760 ...... 2,728,760 ...... 0 ...... 0 ...... 0 0210442...... GREENSBORO...... NC...... 03/28/2006.... 07/28/2016...... 3,487,671 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 3,405,605 ...... 3,405,605 ...... 0 ...... 0 ...... 0 0210449...... NORTH AURORA...... IL...... 09/25/2006.... 08/30/2016...... 2,485,834 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,426,270 ...... 2,426,270 ...... 0 ...... 0 ...... 0 0210459...... HICKORY...... NC...... 08/03/2006.... 08/30/2016...... 2,051,266 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,013,811 ...... 2,013,811 ...... 0 ...... 0 ...... 0 0210531...... MEQUON...... WI...... 06/11/2010.... 09/28/2016...... 9,268,253 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 9,146,032 ...... 9,146,032 ...... 0 ...... 0 ...... 0 0210532...... IRVING...... TX...... 04/28/2010.... 08/04/2016...... 11,557,659 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 11,380,961 ...... 11,380,961 ...... 0 ...... 0 ...... 0 0199999. Total - Mortgages Closed by Repayment...... 31,585,367 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 31,101,439 ...... 31,101,439 ...... 0 ...... 0 ...... 0 Mortgages With Partial Repayments 0210240...... PITTSBURGH...... PA...... 02/20/1998...... 157,461 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 16,800 ...... 0 ...... 0 ...... 0 0210261...... NORCROSS...... GA...... 08/18/1998...... 355,966 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 30,579 ...... 0 ...... 0 ...... 0 0210292...... VIRGINIA BEACH...... VA...... 03/28/2001...... 1,870,902 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 30,242 ...... 0 ...... 0 ...... 0 0210298...... ASTON...... PA...... 06/15/2000...... 3,762,201 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 30,707 ...... 0 ...... 0 ...... 0 0210299...... ASTON...... PA...... 06/15/2000...... 1,586,351 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 13,020 ...... 0 ...... 0 ...... 0 0210313...... CHARLOTTE...... NC...... 06/08/2001...... 523,900 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 34,152 ...... 0 ...... 0 ...... 0 0210324...... INWOOD...... WV...... 02/13/2003...... 1,910,873 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 23,793 ...... 0 ...... 0 ...... 0 0210326...... NORFOLK...... VA...... 12/18/2001...... 1,246,192 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 42,243 ...... 0 ...... 0 ...... 0 0210342...... PORT ARTHUR...... TX...... 12/20/2002...... 617,515 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 71,994 ...... 0 ...... 0 ...... 0 0210343...... SAN ANTONIO...... TX...... 12/30/2002...... 1,210,993 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 16,207 ...... 0 ...... 0 ...... 0 0210369...... PUYALLUP...... WA...... 04/01/2004...... 4,298,882 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 67,643 ...... 0 ...... 0 ...... 0 0210375...... BURIEN...... WA...... 05/13/2004...... 2,649,100 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 41,076 ...... 0 ...... 0 ...... 0 0210386...... SAN ANTONIO...... TX...... 10/29/2004...... 2,473,570 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 20,741 ...... 0 ...... 0 ...... 0 0210393...... SPOKANE...... WA...... 08/29/2005...... 3,281,815 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 185,660 ...... 0 ...... 0 ...... 0 0210411...... ABERDEEN...... MD...... 09/28/2005...... 3,385,343 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 33,694 ...... 0 ...... 0 ...... 0 0210421...... CENTERVILLE...... OH...... 02/28/2006...... 2,677,365 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 113,849 ...... 0 ...... 0 ...... 0 0210426...... PLYMOUTH...... MN...... 11/01/2005...... 1,324,577 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 60,334 ...... 0 ...... 0 ...... 0 0210430...... OAK PARK...... IL...... 12/08/2005...... 6,066,237 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 84,156 ...... 0 ...... 0 ...... 0 0210436...... CORONA...... CA...... 02/09/2006...... 2,566,833 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 22,750 ...... 0 ...... 0 ...... 0 0210437...... HICKORY...... NC...... 02/02/2006...... 3,897,952 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 31,259 ...... 0 ...... 0 ...... 0 0210439...... AUSTIN...... TX...... 01/30/2006...... 7,104,092 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,043,450 ...... 0 ...... 0 ...... 0 0210442...... GREENSBORO...... NC...... 03/28/2006...... 3,487,671 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 11,901 ...... 0 ...... 0 ...... 0 0210446...... LONGVIEW...... WA...... 08/02/2006...... 6,068,095 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 59,394 ...... 0 ...... 0 ...... 0 0210449...... NORTH AURORA...... IL...... 09/25/2006...... 2,485,834 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 15,125 ...... 0 ...... 0 ...... 0 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE B - PART 3 Showing all Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter 1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 18 2 3 8 9 10 11 12 13 Book Value / Current Year's Recorded Book Value/Recorded Unrealized Other-Than- Investment Investment Excluding Valuation Current Year's Temporary Capitalized Total Change in Total Foreign Excluding Accrued Foreign Exchange Realized Gain Loan Accrued Interest Prior Increase (Amortization) / Impairment Deferred Interest Book Value (8 + 9 - Exchange Change Interest on Gain (Loss) on (Loss) on Total Gain (Loss) on Loan Number City State Type Date Acquired Disposal Date Year (Decrease) Accretion Recognized and Other 10 + 11) in Book Value Disposal Consideration Disposal Disposal Disposal 0210451...... FAIRFIELD...... CA...... 04/04/2006...... 3,499,779 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 36,215 ...... 0 ...... 0 ...... 0 0210459...... HICKORY...... NC...... 08/03/2006...... 2,051,266 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 9,520 ...... 0 ...... 0 ...... 0 0210466...... ELLWOOD CITY...... PA...... 11/16/2006...... 1,590,207 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 13,053 ...... 0 ...... 0 ...... 0 0210469...... GASTONIA...... NC...... 12/11/2006...... 1,555,515 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 9,282 ...... 0 ...... 0 ...... 0 0210471...... LOVELAND...... CO...... 12/20/2006...... 4,935,696 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 44,451 ...... 0 ...... 0 ...... 0 0210474...... CARBONDALE...... CO...... 12/08/2006...... 2,611,400 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 22,956 ...... 0 ...... 0 ...... 0 0210478...... CHARLOTTE...... NC...... 03/23/2007...... 1,529,013 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 19,316 ...... 0 ...... 0 ...... 0 0210479...... BARDSTOWN...... KY...... 06/08/2007...... 2,000,973 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 18,286 ...... 0 ...... 0 ...... 0 0210481...... YPSILANTI...... MI...... 05/03/2007...... 3,572,365 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 22,650 ...... 0 ...... 0 ...... 0 0210485...... ALEPPO TOWNSHIP...... PA...... 06/07/2007...... 1,762,865 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 14,574 ...... 0 ...... 0 ...... 0 0210487...... MASON...... OH...... 09/28/2007...... 3,216,061 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 27,875 ...... 0 ...... 0 ...... 0 0210489...... GRAND RAPIDS...... MI...... 08/01/2007...... 4,870,034 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 27,766 ...... 0 ...... 0 ...... 0 0210490...... SANTA FE SPRINGS...... CA...... 07/02/2007...... 1,785,926 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 10,446 ...... 0 ...... 0 ...... 0 0210491...... VANDALIA...... OH...... 10/30/2007...... 1,799,411 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 10,188 ...... 0 ...... 0 ...... 0 0210493...... FAYETTEVILLE...... NC...... 07/09/2007...... 1,146,105 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 10,400 ...... 0 ...... 0 ...... 0 0210494...... SHARONVILLE...... OH...... 08/09/2007...... 4,895,201 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 28,295 ...... 0 ...... 0 ...... 0 0210497...... SHARONVILLE...... OH...... 08/09/2007...... 2,988,430 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 17,038 ...... 0 ...... 0 ...... 0 0210502...... MANKATO...... MN...... 12/20/2007...... 2,841,872 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 36,016 ...... 0 ...... 0 ...... 0 0210506...... W DES MOINES...... IA...... 03/24/2008...... 8,099,880 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 42,346 ...... 0 ...... 0 ...... 0 0210509...... WOODLAWN...... MD...... 01/18/2008...... 3,845,383 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 31,917 ...... 0 ...... 0 ...... 0
Q 0210510...... CINCINNATI...... OH...... 12/13/2007...... 1,130,338 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 9,290 ...... 0 ...... 0 ...... 0 0210512...... FREDERICKSBURG...... TX...... 04/11/2008...... 1,797,232 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 24,219 ...... 0 ...... 0 ...... 0 E 0210513...... HIALEAH...... FL...... 02/26/2008...... 3,124,555 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 16,111 ...... 0 ...... 0 ...... 0 0 0210515...... ORLANDO...... FL...... 06/05/2008...... 4,324,989 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 21,117 ...... 0 ...... 0 ...... 0 2
. 0210517...... DALLAS...... TX...... 12/30/2008...... 10,452,706 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 74,071 ...... 0 ...... 0 ...... 0 1 0210518...... DALLAS...... TX...... 12/30/2008...... 4,181,082 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 29,629 ...... 0 ...... 0 ...... 0 0210522...... BELLEVUE...... WA...... 12/08/2008...... 5,822,007 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 27,128 ...... 0 ...... 0 ...... 0 0210523...... GLEN BURNIE...... MD...... 12/30/2008...... 5,587,439 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 40,826 ...... 0 ...... 0 ...... 0 0210524...... CLEAR LAKE CITY...... TX...... 12/21/2009...... 3,524,773 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 36,994 ...... 0 ...... 0 ...... 0 0210527...... BROOMFIELD...... CO...... 04/01/2010...... 7,439,218 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 36,179 ...... 0 ...... 0 ...... 0 0210528...... SANDY SPRINGS...... GA...... 04/28/2010...... 9,371,075 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,739 ...... 0 ...... 0 ...... 0 0210529...... SAN ANTONIO...... TX...... 05/26/2010...... 2,782,927 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 17,986 ...... 0 ...... 0 ...... 0 0210530...... BOSTON...... MA...... 05/03/2010...... 3,919,367 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 26,603 ...... 0 ...... 0 ...... 0 0210531...... MEQUON...... WI...... 06/11/2010...... 9,268,253 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 41,377 ...... 0 ...... 0 ...... 0 0210532...... IRVING...... TX...... 04/28/2010...... 11,557,659 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 25,654 ...... 0 ...... 0 ...... 0 0210533...... BELLEVUE...... WA...... 06/01/2010...... 8,273,757 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 39,910 ...... 0 ...... 0 ...... 0 0210534...... SUNNYVALE...... TX...... 06/02/2010...... 8,351,791 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 201,388 ...... 0 ...... 0 ...... 0 0210537...... MOON TOWNSHIP...... PA...... 07/29/2010...... 4,948,902 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 31,943 ...... 0 ...... 0 ...... 0 0210540...... BRECKSVILLE...... OH...... 08/17/2010...... 10,955,082 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 70,178 ...... 0 ...... 0 ...... 0 0210541...... BRECKSVILLE...... OH...... 08/17/2010...... 1,033,318 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 10,056 ...... 0 ...... 0 ...... 0 0210542...... HOUSTON...... TX...... 11/05/2010...... 12,676,241 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 55,115 ...... 0 ...... 0 ...... 0 0210543...... MECHANICSVILLE...... VA...... 08/05/2010...... 7,230,236 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 32,539 ...... 0 ...... 0 ...... 0 0210544...... SPOKANE...... WA...... 09/14/2010...... 6,035,429 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 115,607 ...... 0 ...... 0 ...... 0 0210547...... HUNTINGTON BEACH...... CA...... 10/19/2010...... 4,181,404 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 18,866 ...... 0 ...... 0 ...... 0 0210548...... COLUMBUS...... OH...... 11/24/2010...... 7,895,663 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 84,344 ...... 0 ...... 0 ...... 0 0210550...... KATY...... TX...... 04/06/2011...... 13,061,879 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 90,375 ...... 0 ...... 0 ...... 0 0210551...... W CONSHOHOCKEN...... PA...... 02/07/2011...... 10,162,274 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 50,606 ...... 0 ...... 0 ...... 0 0210552...... KNOXVILLE...... TN...... 12/30/2010...... 7,485,017 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 52,126 ...... 0 ...... 0 ...... 0 0210554...... CYPRESS...... TX...... 03/03/2011...... 10,997,851 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 60,239 ...... 0 ...... 0 ...... 0 0210556...... BUFFALO GROVE...... IL...... 07/07/2011...... 5,458,647 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 35,955 ...... 0 ...... 0 ...... 0 0210557...... WOODLAWN...... MD...... 03/30/2011...... 6,237,265 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 41,945 ...... 0 ...... 0 ...... 0 0210558...... ROCHESTER HILLS...... MI...... 06/02/2011...... 5,288,566 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 150,586 ...... 0 ...... 0 ...... 0 0210561...... LOUISVILLE...... KY...... 06/15/2011...... 11,337,765 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 75,635 ...... 0 ...... 0 ...... 0 0210562...... INDIAN LAND...... SC...... 06/29/2011...... 8,032,058 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 37,413 ...... 0 ...... 0 ...... 0 0210563...... JOHNSON CITY...... TN...... 06/02/2011...... 9,992,361 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 64,383 ...... 0 ...... 0 ...... 0 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE B - PART 3 Showing all Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter 1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 18 2 3 8 9 10 11 12 13 Book Value / Current Year's Recorded Book Value/Recorded Unrealized Other-Than- Investment Investment Excluding Valuation Current Year's Temporary Capitalized Total Change in Total Foreign Excluding Accrued Foreign Exchange Realized Gain Loan Accrued Interest Prior Increase (Amortization) / Impairment Deferred Interest Book Value (8 + 9 - Exchange Change Interest on Gain (Loss) on (Loss) on Total Gain (Loss) on Loan Number City State Type Date Acquired Disposal Date Year (Decrease) Accretion Recognized and Other 10 + 11) in Book Value Disposal Consideration Disposal Disposal Disposal 0210564...... SEATTLE...... WA...... 07/01/2011...... 9,392,752 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 35,807 ...... 0 ...... 0 ...... 0 0210566...... COLUMBUS...... OH...... 07/21/2011...... 14,570,335 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 160,160 ...... 0 ...... 0 ...... 0 0210567...... OWINGS MILLS...... MD...... 09/23/2011...... 15,488,614 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 104,601 ...... 0 ...... 0 ...... 0 0210568...... LEXINGTON...... KY...... 10/06/2011...... 9,050,626 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 64,832 ...... 0 ...... 0 ...... 0 0210569...... MILWAUKEE...... WI...... 09/08/2011...... 9,364,691 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 39,319 ...... 0 ...... 0 ...... 0 0210570...... TULSA...... OK...... 09/01/2011...... 7,455,046 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 36,702 ...... 0 ...... 0 ...... 0 0210572...... HANOVER...... MD...... 11/01/2011...... 9,744,182 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 66,992 ...... 0 ...... 0 ...... 0 0210573...... LEXINGTON...... KY...... 10/31/2011...... 7,004,464 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 33,030 ...... 0 ...... 0 ...... 0 0210574...... ALBUQUERQUE...... NM...... 10/17/2011...... 8,606,590 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 44,458 ...... 0 ...... 0 ...... 0 0210575...... SPRINGBORO...... OH...... 11/14/2011...... 10,999,674 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 50,291 ...... 0 ...... 0 ...... 0 0210577...... LOVELAND...... CO...... 12/08/2011...... 5,439,584 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 25,734 ...... 0 ...... 0 ...... 0 0210578...... KENNESAW...... GA...... 10/31/2011...... 16,836,703 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 116,428 ...... 0 ...... 0 ...... 0 0210579...... WATAUGA...... TX...... 11/30/2011...... 14,696,610 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 71,333 ...... 0 ...... 0 ...... 0 0210580...... WAUWATOSA...... WI...... 12/28/2011...... 11,741,144 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 83,487 ...... 0 ...... 0 ...... 0 0210584...... STERLING HEIGHTS...... MI...... 02/01/2012...... 4,037,971 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 34,366 ...... 0 ...... 0 ...... 0 0210585...... STERLING HEIGHTS...... MI...... 02/01/2012...... 4,037,971 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 34,366 ...... 0 ...... 0 ...... 0 0210586...... COLUMBUS...... OH...... 12/27/2011...... 5,481,065 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 56,095 ...... 0 ...... 0 ...... 0 0210587...... SAN DIEGO...... CA...... 01/31/2012...... 10,958,907 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 54,447 ...... 0 ...... 0 ...... 0 0210588...... COLUMBUS...... OH...... 02/15/2012...... 8,553,652 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 56,628 ...... 0 ...... 0 ...... 0 0210589...... BOULDER...... CO...... 04/11/2012...... 15,300,713 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 68,898 ...... 0 ...... 0 ...... 0
Q 0210590...... GRESHAM...... OR...... 05/02/2012...... 9,264,631 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 39,736 ...... 0 ...... 0 ...... 0 0210591...... ALBUQUERQUE...... NM...... 03/19/2012...... 13,372,273 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 66,957 ...... 0 ...... 0 ...... 0 E 0210592...... PLANO...... TX...... 04/12/2012...... 12,718,574 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 61,207 ...... 0 ...... 0 ...... 0 0 0210594...... SILVER SPRING...... MD...... 04/20/2012...... 14,764,275 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 76,349 ...... 0 ...... 0 ...... 0 2
. 0210595...... DES PLAINES...... IL...... 04/30/2012...... 10,085,959 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 43,316 ...... 0 ...... 0 ...... 0 2 0210597...... ALISO VIEJO...... CA...... 06/19/2012...... 10,547,657 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 52,955 ...... 0 ...... 0 ...... 0 0210604...... WESTERVILLE...... OH...... 08/31/2012...... 11,148,739 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 55,376 ...... 0 ...... 0 ...... 0 0210605...... MILFORD...... MI...... 05/31/2012...... 5,881,937 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 97,782 ...... 0 ...... 0 ...... 0 0210606...... WESTERVILLE...... OH...... 08/31/2012...... 12,282,509 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 61,007 ...... 0 ...... 0 ...... 0 0210607...... BIG BEAR LAKE...... CA...... 07/30/2012...... 6,615,931 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 32,042 ...... 0 ...... 0 ...... 0 0210608...... DALLAS...... TX...... 08/02/2012...... 13,172,716 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 68,325 ...... 0 ...... 0 ...... 0 0210609...... BOYNTON BEACH...... FL...... 09/20/2012...... 11,312,348 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,619 ...... 0 ...... 0 ...... 0 0210610...... ROLLING HILLS ESTATES...... CA...... 10/10/2012...... 10,273,070 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 73,374 ...... 0 ...... 0 ...... 0 0210612...... MOHEGAN LAKE...... NY...... 11/29/2012...... 6,728,318 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 31,799 ...... 0 ...... 0 ...... 0 0210613...... TULSA...... OK...... 10/04/2012...... 15,263,730 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 80,765 ...... 0 ...... 0 ...... 0 0210614...... NASHVILLE...... TN...... 12/11/2012...... 12,263,944 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 87,368 ...... 0 ...... 0 ...... 0 0210615...... COLUMBIA...... MO...... 12/10/2012...... 12,966,530 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 72,344 ...... 0 ...... 0 ...... 0 0210617...... NASHVILLE...... TN...... 12/26/2012...... 13,508,250 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 93,089 ...... 0 ...... 0 ...... 0 0210618...... BELLBROOK...... OH...... 12/26/2012...... 11,374,875 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 58,377 ...... 0 ...... 0 ...... 0 0210619...... PALM BEACH GARDENS...... FL...... 02/11/2013...... 13,050,532 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 93,427 ...... 0 ...... 0 ...... 0 0210620...... HOUSTON...... TX...... 01/31/2013...... 8,428,423 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 42,491 ...... 0 ...... 0 ...... 0 0210621...... GARNER...... NC...... 12/31/2012...... 6,826,824 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 38,955 ...... 0 ...... 0 ...... 0 0210622...... LAJOLLA...... CA...... 02/15/2013...... 18,046,723 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 93,820 ...... 0 ...... 0 ...... 0 0210623...... ROANOKE...... TX...... 03/06/2013...... 13,202,603 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 68,637 ...... 0 ...... 0 ...... 0 0210624...... SANDY...... UT...... 06/03/2013...... 7,049,595 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 48,657 ...... 0 ...... 0 ...... 0 0210625...... GREENWICH...... CT...... 06/13/2013...... 6,128,325 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 41,541 ...... 0 ...... 0 ...... 0 0210626...... ASHBURN...... VA...... 06/20/2013...... 10,264,115 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 70,879 ...... 0 ...... 0 ...... 0 0210627...... WESTERVILLE...... OH...... 05/31/2013...... 21,331,905 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 114,430 ...... 0 ...... 0 ...... 0 0210628...... ROCHESTER HILLS...... MI...... 05/28/2013...... 7,819,886 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 126,314 ...... 0 ...... 0 ...... 0 0210630...... VERONA...... WI...... 06/19/2013...... 10,030,916 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 52,079 ...... 0 ...... 0 ...... 0 0210631...... JACKSONVILLE BEACH...... FL...... 07/01/2013...... 19,296,824 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 100,263 ...... 0 ...... 0 ...... 0 0210632...... FULTON...... MD...... 07/25/2013...... 5,763,830 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 38,847 ...... 0 ...... 0 ...... 0 0210633...... E SETAUKET...... NY...... 06/27/2013...... 9,552,883 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 49,635 ...... 0 ...... 0 ...... 0 0210634...... E LONGMEADOW...... MA...... 06/27/2013...... 18,111,702 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 85,608 ...... 0 ...... 0 ...... 0 0210635...... GARDEN CITY...... NY...... 07/31/2013...... 8,610,494 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 44,693 ...... 0 ...... 0 ...... 0 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE B - PART 3 Showing all Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter 1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 18 2 3 8 9 10 11 12 13 Book Value / Current Year's Recorded Book Value/Recorded Unrealized Other-Than- Investment Investment Excluding Valuation Current Year's Temporary Capitalized Total Change in Total Foreign Excluding Accrued Foreign Exchange Realized Gain Loan Accrued Interest Prior Increase (Amortization) / Impairment Deferred Interest Book Value (8 + 9 - Exchange Change Interest on Gain (Loss) on (Loss) on Total Gain (Loss) on Loan Number City State Type Date Acquired Disposal Date Year (Decrease) Accretion Recognized and Other 10 + 11) in Book Value Disposal Consideration Disposal Disposal Disposal 0210638...... COLUMBIA...... MO...... 08/23/2013...... 10,685,034 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 60,549 ...... 0 ...... 0 ...... 0 0210639...... MORRISVILLE...... NC...... 08/22/2013...... 11,700,085 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 59,495 ...... 0 ...... 0 ...... 0 0210640...... SHELBY TOWNSHIP...... MI...... 08/29/2013...... 7,579,619 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 50,351 ...... 0 ...... 0 ...... 0 0210641...... ATLANTA...... GA...... 08/28/2013...... 10,953,135 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 48,326 ...... 0 ...... 0 ...... 0 0210642...... ATLANTA...... GA...... 08/28/2013...... 13,790,992 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 60,847 ...... 0 ...... 0 ...... 0 0210645...... BRECKSVILLE...... OH...... 10/17/2013...... 8,252,202 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 64,557 ...... 0 ...... 0 ...... 0 0210646...... FARMINGTON...... UT...... 11/05/2013...... 11,075,968 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 54,460 ...... 0 ...... 0 ...... 0 0210652...... MEDFORD...... MA...... 02/04/2014...... 23,715,847 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 113,955 ...... 0 ...... 0 ...... 0 0210653...... OMAHA...... NE...... 01/29/2014...... 8,819,217 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 55,633 ...... 0 ...... 0 ...... 0 0210654...... LEWISVILLE...... TX...... 12/20/2013...... 10,669,522 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 73,518 ...... 0 ...... 0 ...... 0 0210655...... HUNT VALLEY...... MD...... 05/13/2014...... 11,433,033 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 65,534 ...... 0 ...... 0 ...... 0 0210656...... TIMONIUM...... MD...... 05/13/2014...... 12,789,495 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 73,309 ...... 0 ...... 0 ...... 0 0210657...... PLANO...... TX...... 03/11/2014...... 7,883,996 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 50,452 ...... 0 ...... 0 ...... 0 0210658...... FORT COLLINS...... CO...... 03/20/2014...... 7,512,075 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 38,344 ...... 0 ...... 0 ...... 0 0210659...... FORT COLLINS...... CO...... 03/20/2014...... 1,938,600 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 9,895 ...... 0 ...... 0 ...... 0 0210661...... HINSDALE...... IL...... 06/26/2014...... 7,324,840 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 32,783 ...... 0 ...... 0 ...... 0 0210662...... FULTON...... MD...... 06/27/2014...... 4,847,073 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 28,743 ...... 0 ...... 0 ...... 0 0210663...... DELAFIELD...... WI...... 07/24/2014...... 7,334,585 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 32,821 ...... 0 ...... 0 ...... 0 0210664...... GREENWICH...... CT...... 07/31/2014...... 11,984,509 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 52,745 ...... 0 ...... 0 ...... 0 0210666...... MT PLEASANT...... SC...... 08/28/2014...... 16,407,318 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 72,440 ...... 0 ...... 0 ...... 0
Q 0210667...... CHAPEL HILL...... NC...... 08/27/2014...... 8,812,293 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 39,626 ...... 0 ...... 0 ...... 0 0210669...... MEQUON...... WI...... 09/30/2014...... 3,652,714 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 22,007 ...... 0 ...... 0 ...... 0 E 0210670...... FRANKLIN...... WI...... 09/30/2014...... 4,626,771 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 27,876 ...... 0 ...... 0 ...... 0 0 0210671...... WAUNAKEE...... WI...... 09/30/2014...... 4,188,445 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 25,235 ...... 0 ...... 0 ...... 0 2
. 0210672...... SAN DIEGO...... CA...... 09/02/2014...... 18,564,959 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 91,226 ...... 0 ...... 0 ...... 0 3 0210673...... ST LOUIS...... MO...... 10/09/2014...... 23,549,254 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 109,097 ...... 0 ...... 0 ...... 0 0210674...... BALA CYNWYD...... PA...... 12/05/2014...... 10,121,742 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 46,662 ...... 0 ...... 0 ...... 0 0210675...... ATLANTA...... GA...... 11/25/2014...... 7,889,661 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 48,597 ...... 0 ...... 0 ...... 0 0210677...... WAYZATA...... MN...... 12/03/2014...... 17,937,557 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 114,366 ...... 0 ...... 0 ...... 0 0210678...... VISTA...... CA...... 12/10/2014...... 10,585,620 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 46,962 ...... 0 ...... 0 ...... 0 0210679...... NEEDHAM...... MA...... 12/12/2014...... 8,443,194 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 73,367 ...... 0 ...... 0 ...... 0 0210680...... OWASSO...... OK...... 12/15/2014...... 19,687,112 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 89,264 ...... 0 ...... 0 ...... 0 0210681...... ORADELL...... NJ...... 12/23/2014...... 16,247,695 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 72,081 ...... 0 ...... 0 ...... 0 0210682...... GERMANTOWN...... MD...... 03/30/2015...... 12,053,944 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 56,825 ...... 0 ...... 0 ...... 0 0210683...... LAWRENCEVILLE...... GA...... 04/29/2015...... 17,319,837 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 80,046 ...... 0 ...... 0 ...... 0 0210684...... FULTON...... MD...... 05/13/2015...... 5,630,991 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 35,669 ...... 0 ...... 0 ...... 0 0210685...... WHITE MARSH...... MD...... 05/28/2015...... 17,490,220 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 108,571 ...... 0 ...... 0 ...... 0 0210686...... KNOXVILLE...... TN...... 05/28/2015...... 10,906,120 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 48,659 ...... 0 ...... 0 ...... 0 0210687...... SAN DIEGO...... CA...... 06/15/2015...... 9,429,878 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 43,460 ...... 0 ...... 0 ...... 0 0210688...... FAIRFIELD...... CT...... 06/29/2015...... 7,940,429 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 36,906 ...... 0 ...... 0 ...... 0 0210689...... ROCKVILLE...... MD...... 05/11/2015...... 23,882,409 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 112,466 ...... 0 ...... 0 ...... 0 0210690...... W DES MOINES...... IA...... 07/17/2015...... 13,717,345 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 63,887 ...... 0 ...... 0 ...... 0 0210691...... NEWPORT BEACH...... CA...... 06/18/2015...... 16,758,855 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 149,210 ...... 0 ...... 0 ...... 0 0210693...... SCOTTSDALE...... AZ...... 10/05/2015...... 24,500,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 103,621 ...... 0 ...... 0 ...... 0 0210694...... LINCOLN...... NE...... 08/25/2015...... 15,406,883 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 95,819 ...... 0 ...... 0 ...... 0 0210696...... BLOOMINGTON...... MN...... 08/13/2015...... 35,454,179 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 150,615 ...... 0 ...... 0 ...... 0 0210697...... EDEN PRAIRIE...... MN...... 10/05/2015...... 19,046,803 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 82,202 ...... 0 ...... 0 ...... 0 0210699...... BRUNSWICK...... OH...... 10/14/2015...... 11,733,841 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 49,872 ...... 0 ...... 0 ...... 0 0210700...... St. Louis...... MO...... 10/08/2015...... 6,731,667 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 28,357 ...... 0 ...... 0 ...... 0 0210702...... Chesterfield...... MO...... 11/03/2015...... 10,485,508 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 44,721 ...... 0 ...... 0 ...... 0 0210703...... WHITE MARSH...... MD...... 10/28/2015...... 16,469,722 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 93,534 ...... 0 ...... 0 ...... 0 0210708...... INDEPENDENCE...... OH...... 01/06/2016...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 112,657 ...... 0 ...... 0 ...... 0 0210709...... URBANDALE...... IA...... 01/22/2016...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 59,908 ...... 0 ...... 0 ...... 0 0210720...... MADISON...... WI...... 06/20/2016...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 29,905 ...... 0 ...... 0 ...... 0 0210724...... KANSAS CITY...... MO...... 06/30/2016...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 43,421 ...... 0 ...... 0 ...... 0 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE B - PART 3 Showing all Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter 1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 18 2 3 8 9 10 11 12 13 Book Value / Current Year's Recorded Book Value/Recorded Unrealized Other-Than- Investment Investment Excluding Valuation Current Year's Temporary Capitalized Total Change in Total Foreign Excluding Accrued Foreign Exchange Realized Gain Loan Accrued Interest Prior Increase (Amortization) / Impairment Deferred Interest Book Value (8 + 9 - Exchange Change Interest on Gain (Loss) on (Loss) on Total Gain (Loss) on Loan Number City State Type Date Acquired Disposal Date Year (Decrease) Accretion Recognized and Other 10 + 11) in Book Value Disposal Consideration Disposal Disposal Disposal 210405A...... GREELEY...... CO...... 05/05/2005...... 2,387,443 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 42,496 ...... 0 ...... 0 ...... 0 0299999. Total - Mortgages With Partial Repayments...... 1,603,699,604 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 12,503,478 ...... 0 ...... 0 ...... 0 Mortgages Transferred 0210393...... SPOKANE...... WA...... 08/29/2005.... 08/31/2016...... 3,281,815 ...... 0 ...... 0 ...... 0 ...... 209,189 ...... 209,189 ...... 0 ...... 3,305,344 ...... 3,000,000 ...... 0 ...... (305,344) ...... (305,344) 0499999. Total - Mortgages Transferred...... 3,281,815 ...... 0 ...... 0 ...... 0 ...... 209,189 ...... 209,189 ...... 0 ...... 3,305,344 ...... 3,000,000 ...... 0 ...... (305,344) ...... (305,344) 0599999. Total Mortgages...... 1,638,566,786 ...... 0 ...... 0 ...... 0 ...... 209,189 ...... 209,189 ...... 0 ...... 34,406,783 ...... 46,604,917 ...... 0 ...... (305,344) ...... (305,344) Q E 0 2 . 4 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE BA - PART 2 Showing Other Long-Term Invested Assets ACQUIRED AND ADDITIONS MADE During the Current Quarter 1 2 Location 5 6 7 8 9 10 11 12 13 3 4 NAIC Date Desig- Originally Type and Actual Cost at Time of Additional Investment Amount of Commitment for Percentage of CUSIP Identification Name or Description City State Name of Vendor or General Partner nation Acquired Strategy Acquisition Made after Acquisition Encumbrances Additional Investment Ownership Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated 720800 00 2 ArcLight Energy Partners Fd VI...... Wilmington...... DE.... Capital Contribution...... 04/01/2015...... 0 ...... 0 ...... 1,522,615 ...... 0 ...... 12,449,423 ...... 0.360 715200 00 2 Avista Capital Partners II...... Wilmington...... DE.... Capital Contribution...... 04/01/2015...... 3 ...... 0 ...... 1,540,429 ...... 0 ...... 0 ...... 0.760 717600 00 1 Avista Capital Partners III LP...... Wilmington...... DE.... Capital Contribution...... 04/01/2015...... 3 ...... 0 ...... 1,036,149 ...... 0 ...... 0 ...... 0.000 714800 00 0 Banc Fund VIII...... Chicago...... IL...... Capital Contribution...... 07/01/2015...... 0 ...... 0 ...... 160,000 ...... 0 ...... 0 ...... 1.490 719500 00 1 Banc Fund IX LP...... Chicago...... IL...... Capital Contribution...... 07/01/2015...... 0 ...... 0 ...... 1,200,000 ...... 0 ...... 7,950,000 ...... 0.000 722800 00 0 Bluescape Energy Recap...... Wilmington...... DE.... Capital Contribution...... 09/20/2016...... 0 ...... 3,082,557 ...... 0 ...... 0 ...... 16,917,443 ...... 0.000 722900 00 8 Clean Grid Holdings LLC...... Wilmington...... DE.... Capital Contribution...... 09/30/2016...... 0 ...... 783,651 ...... 0 ...... 0 ...... 2,284,770 ...... 0.000 717900 00 5 Court Square Capital Part III...... Wilmington...... DE.... Capital Contribution...... 07/01/2016...... 0 ...... 4,530,728 ...... 37,433 ...... 0 ...... 8,265,536 ...... 0.000 716200 00 1 Energy Fund XV...... Wilmington...... DE.... Capital Contribution...... 07/01/2016...... 0 ...... 6,385,611 ...... 128,612 ...... 0 ...... 1,215,040 ...... 0.660 718100 00 1 Energy XVI LP...... Wilmington...... DE.... Capital Contribution...... 07/01/2016...... 0 ...... 4,614,020 ...... 787,500 ...... 0 ...... 7,186,458 ...... 0.250 722100 00 5 Gamut Investment Fund I LP...... Wilmington...... DE.... Capital Contribution...... 05/23/2016...... 0 ...... 0 ...... 103,531 ...... 0 ...... 14,719,503 ...... 0.000 719100 00 0 Greenbriar Equity Fund III...... Wilmington...... DE.... Capital Contribution...... 07/01/2016...... 0 ...... 5,636,979 ...... 79,489 ...... 0 ...... 3,017,287 ...... 1.190 715700 00 1 Littlejohn Fund IV...... Wilmington...... DE.... Capital Contribution...... 07/01/2015...... 3 ...... 0 ...... 41,107 ...... 0 ...... 0 ...... 0.810 719400 00 4 Littlejohn Fund V...... Wilmington...... DE.... Capital Contribution...... 07/01/2015...... 3 ...... 0 ...... 942,448 ...... 0 ...... 9,368,301 ...... 0.000 721200 00 4 Lovell Minnick Equity Ptnr IV...... Dover...... DE.... Capital Contribution...... 12/01/2015...... 0 ...... 8,807 ...... 376,431 ...... 0 ...... 11,318,315 ...... 0.000 721900 00 9 NGP Natural Resources XI...... Wilmington...... DE.... Capital Contribution...... 03/10/2016...... 0 ...... 0 ...... 613,652 ...... 0 ...... 1,483,276 ...... 0.000 722700 00 2 Penfund Capital Fund V...... Toronto...... ON... Capital Contribution...... 08/19/2016...... 0 ...... 4,766,740 ...... 172,959 ...... 0 ...... 15,004,025 ...... 0.000 722000 00 7 Pfingsten Partners Fund V LP...... Wilmington...... DE.... Capital Contribution...... 03/30/2016...... 0 ...... 0 ...... 75,455 ...... 0 ...... 13,221,611 ...... 0.000 718000 00 3 Pine Brook Capital Partners II...... Wilmington...... DE.... Capital Contribution...... 07/01/2016...... 3 ...... 5,869,902 ...... 319,184 ...... 0 ...... 3,317,944 ...... 0.480 722200 00 3 Summitt Ptners Vent Cap Fd IV...... Wilmington...... DE.... Capital Contribution...... 05/24/2016...... 0 ...... 0 ...... 529,653 ...... 0 ...... 6,694,966 ...... 0.000 722300 00 1 Thoma Bravo Fund XII LP...... Wilmington...... DE.... Capital Contribution...... 05/31/2016...... 0 ...... 0 ...... 2,241,336 ...... 0 ...... 16,651,128 ...... 0.000 722500 00 6 Vista Equity Partners Fund VI...... Wilmington...... DE.... Capital Contribution...... 06/28/2016...... 0 ...... 0 ...... 1,031,929 ...... 0 ...... 7,768,284 ...... 0.000 722600 00 4 Vista Foundation Fund III LP...... Wilmington...... DE.... Capital Contribution...... 07/15/2016...... 0 ...... 133,263 ...... 750,234 ...... 0 ...... 9,116,503 ...... 0.000 Q 720310 00 2 Welsh Carson Anderson & Stowe...... Wilmington...... DE.... Capital Contribution...... 07/01/2016...... 0 ...... 3,602,952 ...... 285,140 ...... 0 ...... 0 ...... 0.500 E 1599999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated...... 39,415,211 ...... 13,975,286 ...... 0 ...... 167,949,813 ...... XXX...... 0 Joint Venture or Partnership Interests That Have Underlying Characteristics of Real Estate - Unaffiliated 3 721300 00 2 Crow Holdings Realty Ptns VII...... Wilmington ...... DE.... Capital Contribution...... 01/14/2016...... 0 ...... 0 ...... 1,499,126 ...... 0 ...... 9,727,036 ...... 0.000 721000 00 8 Waterton Residential Property...... Wilmington...... DE.... Capital Contribution...... 10/21/2015...... 0 ...... 0 ...... 209,967 ...... 0 ...... 4,568,281 ...... 0.000 1799999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Real Estate - Unaffiliated...... 0 ...... 1,709,093 ...... 0 ...... 14,295,317 ...... XXX...... Surplus Debentures - Unaffiliated 575767 AG 3 MASS MUTUAL LIFE INS CO 8.875% 06/01...... Boston ...... MA... FTN Financial Capital Markets...... 1FE...... 04/21/2016...... 0 ...... 7,959,950 ...... 0 ...... 0 ...... 0 ...... 0.000 668131 AA 3 NORTHWESTERN MUTUAL LIFE 6.063% 03/3...... New York ...... NY.... Wells Fargo Funds...... 1FE...... 08/02/2010...... 0 ...... 4,886,857 ...... 0 ...... 0 ...... 0 ...... 0.000 707567 AA 1 Penn Mutual Life Insurance Co 144A Surpl...... Philadelphia...... PA.... Stifel, Nicolaus and Co...... 1FE...... 06/16/2004...... 0 ...... 9,647,360 ...... 0 ...... 0 ...... 0 ...... 0.000 2399999. Total - Surplus Debentures - Unaffiliated...... 22,494,167 ...... 0 ...... 0 ...... 0 ...... XXX...... Non-Guaranteed Federal Low Income Housing Tax Credit - Unaffiliated 707900 00 7 Boston Capital Corp Tax Credit Fund V...... Boston...... MA... income allocation...... 04/01/2004...... 0 ...... 0 ...... 224,051 ...... 0 ...... 0 ...... 0.000 708000 00 5 Boston Financial Institute Tax Credit XI...... Boston...... MA... income allocation...... 04/01/2004...... 0 ...... 0 ...... 1,522,699 ...... 0 ...... 0 ...... 0.000 708000 00 5 Boston Financial Institute Tax Credit XI...... Boston...... MA... income allocation...... 04/01/2004...... 0 ...... 0 ...... 106,071 ...... 0 ...... 0 ...... 0.000 3399999. Total - Non-Guaranteed Federal Low Income Housing Tax Credit - Unaffiliated...... 0 ...... 1,852,821 ...... 0 ...... 0 ...... XXX...... Any Other Class of Asset - Unaffiliated 000000 00 0 DELL INTERNATIONAL LLC SYNDICATED BANK L...... Credit Suisse...... 2FE...... 06/02/2016...... 0 ...... 14,933,542 ...... 0 ...... 0 ...... 0 ...... 0.000 000000 00 0 MICRON TECHNOLOGY SYNDICATED BANK LOAN...... Morgan Stanley DWD...... 2FE...... 07/05/2016...... 0 ...... 703,500 ...... 0 ...... 0 ...... 0 ...... 0.000 000000 00 0 Western Digital corp SYNDICATED BANK LOA...... JP Morgan...... 2FE...... 08/12/2016...... 0 ...... 5,525,000 ...... 0 ...... 0 ...... 0 ...... 0.000 4299999. Total - Any Other Class of Asset - Unaffiliated...... 21,162,042 ...... 0 ...... 0 ...... 0 ...... XXX...... 4499999. Subtotal - Unaffiliated...... 83,071,420 ...... 17,537,200 ...... 0 ...... 182,245,130 ...... XXX...... 4699999. Totals...... 83,071,420 ...... 17,537,200 ...... 0 ...... 182,245,130 ...... XXX...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE BA - PART 3 Showing Other Long-Term Invested Assets DISPOSED, Transferred or Repaid During the Current Quarter 1 2 Location 5 6 7 8 Changes in Book/Adjusted Carrying Value 15 16 17 18 19 20 3 4 9 10 11 12 13 14 Book/Adjusted Current Year's Current Year's Book/Adjusted Carrying Value Unrealized (Depreciation) Other-Than- Capitalized Total Foreign Carrying Value Foreign Date Less Valuation or Temporary Deferred Total Change Exchange Less Exchange Realized Gain Total Gain Originally Disposal Encumbrances, Increase (Amortization) Impairment Interest and in B./A.C.V. Change in Encumbrances Gain (Loss) on (Loss) on (Loss) on Investment CUSIP Identification Name or Description City State Name of Purchaser or Nature of Disposal Acquired Date Prior Year (Decrease) / Accretion Recognized Other (9+10-11+12) B./A.C.V. on Disposal Consideration Disposal Disposal Disposal Income Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated 715200 00 2 Avista Capital Partners II...... Wilmington...... DE.. Capital Distribution...... 04/01/2015 07/14/2016 ...... 988,649 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 988,649 ...... 988,649 ...... 0 ...... 0 ...... 0 ...... 519,722 715200 00 2 Avista Capital Partners II...... Wilmington...... DE.. Capital Distribution...... 04/01/2015 08/09/2016 ...... 474,554 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 474,554 ...... 474,554 ...... 0 ...... 0 ...... 0 ...... 354,021 715200 00 2 Avista Capital Partners II...... Wilmington...... DE.. Capital Distribution...... 04/01/2015 08/25/2016 ...... 700,135 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 700,135 ...... 700,135 ...... 0 ...... 0 ...... 0 ...... 525,226 717600 00 1 Avista Capital Partners III LP...... Wilmington...... DE.. Capital Distribution...... 04/01/2015 07/01/2016 ...... 1,179,168 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,179,168 .....1,179,168 ...... 0 ...... 0 ...... 0 .....1,031,947 714800 00 0 Banc Fund VIII...... Chicago...... IL.... Capital Distribution...... 07/01/2015 07/20/2016 ...... 160,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 160,000 ...... 160,000 ...... 0 ...... 0 ...... 0 ...... 160,000 717900 00 5 Court Square Capital Part III...... Wilmington...... DE.. Capital Distribution...... 07/01/2016 07/01/2016 ...... 16,813 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 16,813 ...... 16,813 ...... 0 ...... 0 ...... 0 ...... 0 716200 00 1 Energy Fund XV...... Wilmington...... DE.. Capital Distribution...... 07/01/2016 08/02/2016 ...... 140,359 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 140,359 ...... 140,359 ...... 0 ...... 0 ...... 0 ...... 128,612 718100 00 1 Energy XVI LP...... Wilmington...... DE.. Capital Distribution...... 07/01/2016 08/02/2016 ...... 61,629 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 61,629 ...... 61,629 ...... 0 ...... 0 ...... 0 ...... 0 715700 00 1 Littlejohn Fund IV...... Wilmington...... DE.. Capital Distribution...... 07/01/2015 07/22/2016 ...... 41,409 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 41,409 ...... 41,409 ...... 0 ...... 0 ...... 0 ...... 0 715700 00 1 Littlejohn Fund IV...... Wilmington...... DE.. Capital Distribution...... 07/01/2015 08/31/2016 ...... 189,327 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 189,327 ...... 189,327 ...... 0 ...... 0 ...... 0 ...... 0 721200 00 4 Lovell Minnick Equity Ptnr IV Lovell Min...... Dover...... DE.. Various...... 12/01/2015 09/01/2016 ...... 3,287,045 ...... 143,676 ...... 0 ...... 0 ...... 0 ...... 143,676 ...... 0 ...... 3,159,701 .....3,159,701 ...... 0 ...... 0 ...... 0 ...... 0 721200 00 4 Lovell Minnick Equity Ptnr IV Lovell Min...... Dover...... DE.. Capital Distribution...... 12/01/2015 09/01/2016 ...... (13,275) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... (13,275) ...... (13,275) ...... 0 ...... 0 ...... 0 ...... 0 721200 00 4 Lovell Minnick Equity Ptnr IV Lovell Min...... Dover...... DE.. Capital Distribution...... 12/01/2015 12/01/2015 ...... 99,825 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 99,825 ...... 99,825 ...... 0 ...... 0 ...... 0 ...... 0 721200 00 4 Lovell Minnick Equity Ptnr IV Lovell Min...... Dover...... DE.. Capital Distribution...... 12/01/2015 01/25/2016 ...... 13,275 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 13,275 ...... 13,275 ...... 0 ...... 0 ...... 0 ...... 0 721900 00 9 NGP Natural Resources XI...... Wilmington...... DE.. Rev. Capital Contribution...... 03/22/2016 09/01/2016 ...... 277,859 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... (277,859) ...... (277,859) ...... 0 ...... 0 ...... 0 ...... 0 721900 00 9 NGP Natural Resources XI...... Wilmington...... DE.. Capital Distribution...... 03/10/2016 09/02/2016 ...... 164,998 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 164,998 ...... 164,998 ...... 0 ...... 0 ...... 0 ...... 97,108 1599999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated...... 7,781,770 ...... 143,676 ...... 0 ...... 0 ...... 0 ...... 143,676 ...... 0 ...... 7,098,708 .....7,098,708 ...... 0 ...... 0 ...... 0 .....2,816,636 Non-Guaranteed Federal Low Income Housing Tax Credit - Unaffiliated 707900 00 7 Boston Capital Corp Tax Credit Fund V...... Boston...... MA. Capital Distribution...... 04/01/2004 07/19/2016 ...... 224,051 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 224,051 ...... 224,051 ...... 0 ...... 0 ...... 0 ...... 224,051 708000 00 5 Boston Financial Institute Tax Credit XI...... Boston...... MA. Capital Distribution...... 04/01/2004 09/09/2016 ...... 1,522,699 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,522,699 .....1,522,699 ...... 0 ...... 0 ...... 0 .....1,522,699 Q 708000 00 5 Boston Financial Institute Tax Credit XI...... Boston...... MA. Capital Distribution...... 04/01/2004 07/19/2016 ...... 106,071 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 106,071 ...... 106,071 ...... 0 ...... 0 ...... 0 ...... 106,071
E 3399999. Total - Non-Guaranteed Federal Low Income Housing Tax Credit - Unaffiliated...... 1,852,821 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,852,821 .....1,852,821 ...... 0 ...... 0 ...... 0 .....1,852,821
0 Any Other Class of Asset - Unaffiliated 3 000000 00 0 DELL INTERNATIONAL LLC SYNDICATED BANK L...... Credit Suisse...... 06/02/2016 07/01/2016 .....14,968,750 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 .....14,968,750 ....14,968,750 ...... 0 ...... 0 ...... 0 ...... 0 .
1 717700 00 9 GLC Solar Gen II LLC...... Waterbury...... VT.. Capital Distribution...... 01/07/2013 09/06/2016 ...... 1,039 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,039 ...... 1,039 ...... 0 ...... 0 ...... 0 ...... 0 717700 00 9 GLC Solar Gen II LLC...... Waterbury...... VT.. Capital Distribution...... 01/07/2013 07/07/2016 ...... 1,039 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,039 ...... 1,039 ...... 0 ...... 0 ...... 0 ...... 0 717700 00 9 GLC Solar Gen II LLC...... Waterbury...... VT.. Capital Distribution...... 01/07/2013 08/12/2016 ...... 1,039 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,039 ...... 1,039 ...... 0 ...... 0 ...... 0 ...... 0 000000 00 0 MICRON TECHNOLOGY SYNDICATED BANK LOAN ...... Direct-Private Placement...... 07/05/2016 09/30/2016 ...... 1,759 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,759 ...... 1,750 ...... 0 ...... (9) ...... (9) ...... 10 4299999. Total - Any Other Class of Asset - Unaffiliated...... 14,973,626 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 .....14,973,626 ....14,973,617 ...... 0 ...... (9) ...... (9) ...... 10 4499999. Subtotal - Unaffiliated...... 24,608,217 ...... 143,676 ...... 0 ...... 0 ...... 0 ...... 143,676 ...... 0 .....23,925,155 ....23,925,146 ...... 0 ...... (9) ...... (9) .....4,669,467 4699999. Totals...... 24,608,217 ...... 143,676 ...... 0 ...... 0 ...... 0 ...... 143,676 ...... 0 .....23,925,155 ....23,925,146 ...... 0 ...... (9) ...... (9) .....4,669,467 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 3 Show all Long-Term Bonds and Stock Acquired During the Current Quarter 1 2 3 4 5 6 7 8 9 10
Paid for Accrued Interest and NAIC Designation or CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost Par Value Dividends Market Indicator (a) Bonds - U.S. Special Revenue and Special Assessment 254010 AE 1 DIGNITY HEALTH 5.267% 11/01/64...... 09/28/2016.... Mesirow Capital Markets...... 1,630,544 ...... 1,350,000 ...... 30,022 1FE...... 3136A1 SB 2 Federal Natl Mtg Assn REMIC Ser 2011-9...... 09/01/2016.... Interest Capitalization...... 337,647 ...... 337,647 ...... 0 1FE...... 3136AJ RR 9 Federal Natl Mtg Assn REMIC Ser 2014-14...... 09/01/2016.... Interest Capitalization...... 76,289 ...... 76,289 ...... 0 1FE...... 64966N AC 1 NEW YORK CITY NY HSG DEV CORP 6.320% 0...... 08/10/2016.... Goldman Sachs & Company...... 12,144,780 ...... 9,000,000 ...... 116,920 1FE...... 69848A AA 6 PANHANDLE TX ECON DEV CORP LEA 3.985%...... 08/11/2016.... Raymond James...... 12,000,000 ...... 12,000,000 ...... 0 1FE...... 73358W XQ 2 PORT AUTH N Y & N J 4.810% 10/15/65...... 07/15/2016.... Citigroup Global...... 6,699,304 ...... 5,450,000 ...... 69,177 1FE...... 3199999. Total Bonds - U.S. Special Revenue and Special Assessment...... 32,888,564 ...... 28,213,936 ...... 216,119 XXX Bonds - Industrial and Miscellaneous 00507V AJ 8 Activision Blizzard Inc 3.400% 09/15/2...... 09/14/2016.... Banc of America Securities...... 6,972,980 ...... 7,000,000 ...... 0 2FE...... 023771 S2 5 American Airlines Inc 3.250% 10/15/28...... 09/19/2016.... Morgan Stanley DWD...... 6,000,000 ...... 6,000,000 ...... 0 1FE...... 025932 AK 0 American Financial Group 3.500% 08/15/...... 08/15/2016.... JP Morgan...... 4,980,400 ...... 5,000,000 ...... 0 2FE...... 03076C AH 9 Ameriprise Financial Inc 2.875% 09/15...... 08/08/2016.... Wells Fargo Funds...... 4,994,650 ...... 5,000,000 ...... 0 1FE...... 035242 AN 6 ANHEUSER-BUSCH INBEV FIN 4.900% 02/01/...... 07/15/2016.... Citigroup Global...... 6,111,050 ...... 5,000,000 ...... 119,097 1FE...... 037833 CD 0 Apple Computer Inc 3.850% 08/04/46...... 07/28/2016.... Goldman Sachs & Company...... 3,490,725 ...... 3,500,000 ...... 0 1FE...... 039483 AX 0 Archer Daniels Midland 6.450% 01/15/38...... 08/05/2016.... Wells Fargo Funds...... 8,541,712 ...... 6,090,000 ...... 27,278 1FE...... 04248N AA 1 ARMY HAWAII FAMILY HSG 5.524% 06/15/50...... 07/22/2016.... Various...... 15,526,356 ...... 12,877,117 ...... 82,989 1FE...... 04774# AA 0 ATLANTA FALCONS Series A 3.590% 09/01/...... 08/25/2016.... Direct-Private Placement...... 6,000,000 ...... 6,000,000 ...... 0 2FE...... 048677 AG 3 ATLANTIC MARINE CORP COM 6.158% 12/01/...... 07/26/2016.... Stifel, Nicolaus and Co...... 3,166,662 ...... 2,403,594 ...... 24,378 1FE...... 13034V AC 8 CALIFORNIA INSTITUTE OF 4.283% 09/01/1...... 09/27/2016.... Morgan Stanley DWD...... 6,526,353 ...... 6,545,000 ...... 3,893 1FE...... Q 14040H BK 0 Capital One Financial 3.750% 07/28/26...... 08/03/2016.... Various...... 7,480,375 ...... 7,500,000 ...... 5,208 2FE...... E 14162V AA 4 CARE CAPITAL PROPERTIES 5.125% 08/15/2...... 07/07/2016.... Wells Fargo Funds...... 2,000,000 ...... 2,000,000 ...... 0 2FE...... 0 171871 AP 1 Cincinatti Bell Inc 7.000% 07/15/24...... 09/16/2016.... Morgan Stanley DWD...... 1,000,000 ...... 1,000,000 ...... 0 4FE...... 4 186108 CE 4 Cleveland Elec Illum Co 5.950% 12/15/3...... 08/05/2016.... JP Morgan...... 5,777,500 ...... 5,000,000 ...... 45,451 2FE...... 209111 EM 1 Consolidated Edison 6.200% 06/15/36...... 08/16/2016.... Susquehanna Intl...... 2,700,580 ...... 2,000,000 ...... 22,044 1FE...... 209111 EQ 2 Consolidated Edison 5.700% 12/01/36...... 08/19/2016.... Seaport Group...... 6,442,050 ...... 5,000,000 ...... 65,708 1FE...... 23385H AA 7 DAIRY FARMERS OF AMERICA 7.125% Perpet...... 09/15/2016.... JP Morgan...... 7,000,000 ...... 7,000,000 ...... 0 2FE...... 25466A AJ 0 DISCOVER BANK 3.450% 07/27/26...... 07/21/2016.... Citigroup Global...... 6,992,370 ...... 7,000,000 ...... 0 2FE...... 314275 AC 2 Federated Retail Holding 6.375% 03/15/...... 08/25/2016.... Stifel, Nicolaus and Co...... 10,968,300 ...... 10,000,000 ...... 292,188 2FE...... 320867 AC 8 First Midwest Bancorp Inc 5.875% 09/29...... 09/22/2016.... Goldman Sachs & Company...... 7,331,180 ...... 7,400,000 ...... 0 3FE...... 347382 AA 1 FT GORDON HOUSING 6.124% 05/15/51...... 08/01/2016.... Stifel, Nicolaus and Co...... 5,057,012 ...... 4,120,000 ...... 55,368 2FE...... 375558 BJ 1 Gilead Sciences Inc 4.000% 09/01/36...... 09/15/2016.... Banc of America Securities...... 1,988,600 ...... 2,000,000 ...... 0 1FE...... 42770X AC 1 Hero Funding Trust SERIES 20163A CLASS A...... 09/15/2016.... Morgan Stanley DWD...... 6,149,891 ...... 6,000,000 ...... 0 1FE...... 44106M AV 4 HOSPITALITY PROP TRUST 5.250% 02/15/26...... 07/12/2016.... Wells Fargo Funds...... 4,249,360 ...... 4,000,000 ...... 94,500 2FE...... 44329H AF 1 HP COMMUNITIES LLC 5.600% 09/15/53...... 07/12/2016.... Stifel, Nicolaus and Co...... 4,560,000 ...... 4,000,000 ...... 74,667 1FE...... 46186J AA 5 Invitations Home Trust 2015-SFR2 1.882...... E...... 07/17/2016.... Interest Capitalization...... 0 ...... 0 ...... 0 1FE...... 46186Y AA 2 Invitations Home Trust 2015-SFR3 1.832...... E...... 07/17/2016.... Interest Capitalization...... 0 ...... 0 ...... 0 1FE...... 50180L AE 0 Lehman UBS Comm Mtg Trust REMIC Ser 20...... 09/11/2016.... Interest Capitalization...... 510 ...... 510 ...... 0 4FM...... 50587K AB 7 LAFARGEHOLCIM FINANCE US 4.750% 09/22/...... 09/27/2016.... Citigroup Global...... 8,125,410 ...... 8,000,000 ...... 5,278 2FE...... 552848 AF 0 MGIC Investment Corp 5.750% 08/15/23...... 08/02/2016.... Goldman Sachs & Company...... 3,000,000 ...... 3,000,000 ...... 0 3FE...... 577081 BA 9 Mattel Inc 2.350% 08/15/21...... 08/02/2016.... Banc of America Securities...... 2,497,050 ...... 2,500,000 ...... 0 2FE...... 59562V AP 2 MidAmerican Energy Holdings 5.950% 05/...... 08/05/2016.... Wells Fargo Funds...... 3,263,358 ...... 2,480,000 ...... 34,841 1FE...... 59562V AR 8 MidAmerican Energy Holdings 6.500% 09/...... 08/17/2016.... Susquehanna Intl...... 6,956,500 ...... 5,000,000 ...... 141,736 1FE...... 677071 AT 9 OHANA MILITARY COMM LLC 0.743% 10/01/2...... 08/18/2016.... Stifel, Nicolaus and Co...... 14,731,039 ...... 15,653,333 ...... 42,317 1FE...... 677071 AU 6 OHANA MILITARY COMM LLC 6.000% 10/01/5...... 05/31/2016.... Raymond James...... 0 ...... (85,306) ...... 0 1FE...... 680223 AK 0 OLD REPUBLIC INTL CORP 3.875% 08/26/26...... 08/23/2016.... Morgan Stanley DWD...... 4,990,950 ...... 5,000,000 ...... 0 2FE...... 754730 AE 9 Raymond James Financial Inc 3.625% 09/...... 07/07/2016.... Merrill Lynch...... 2,496,025 ...... 2,500,000 ...... 0 2FE...... 76132F AA 5 RETAIL OPPORTUNITY INVES 5.000% 12/15/...... 07/11/2016.... Wells Fargo Funds...... 1,986,771 ...... 1,850,000 ...... 7,451 2FE...... 83421# AA 1 SOLGEN LLC 3.930% 09/30/36...... 09/30/2016.... Direct-Private Placement...... 12,000,000 ...... 12,000,000 ...... 0 2Z...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 3 Show all Long-Term Bonds and Stock Acquired During the Current Quarter 1 2 3 4 5 6 7 8 9 10
Paid for Accrued Interest and NAIC Designation or CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost Par Value Dividends Market Indicator (a) 837004 BX 7 South Carolina Elec & Gas Co 5.300% 05...... 08/05/2016.... Wells Fargo Funds...... 1,567,670 ...... 1,300,000 ...... 16,268 1FE...... 84861T AA 6 SPIRIT REALTY LP 4.450% 09/15/26...... 08/11/2016.... JP Morgan...... 5,962,680 ...... 6,000,000 ...... 0 2FE...... 860630 AD 4 Stifel Financial Corp 4.250% 07/18/24...... 07/11/2016.... Stifel, Nicolaus and Co...... 4,058,640 ...... 4,000,000 ...... 83,111 2FE...... 891160 MJ 9 Toronto Dominion Bk Ontario 3.625% 09/...... G...... 09/08/2016.... Goldman Sachs & Company...... 9,982,500 ...... 10,000,000 ...... 0 1FE...... 90932D AA 3 UNITED AIR 2016-2 A PTT 3.100% 10/07/2...... 09/13/2016.... Credit Suisse...... 5,000,000 ...... 5,000,000 ...... 0 1FE...... 911684 AD 0 US CELLULAR CORP 6.700% 12/15/33...... 09/28/2016.... Janney Montgomery...... 2,020,000 ...... 2,000,000 ...... 40,200 3FE...... 948741 AM 5 Weingarten Realty Invest 3.250% 08/15/...... 08/02/2016.... Banc of America Securities...... 1,487,325 ...... 1,500,000 ...... 0 2FE...... 95829T AA 3 WESTERN GROUP HOUSING LP 6.750% 03/15/...... 07/13/2016.... Stifel, Nicolaus and Co...... 6,906,850 ...... 5,000,000 ...... 115,313 1FE...... 97652P AA 9 Winwater Mortgage Loan Trust SERIES 2014...... 07/22/2016.... JP Morgan...... 7,525,717 ...... 7,269,030 ...... 20,643 1FM...... G4588# BJ 9 INT CAPITAL GRP 4.190% 09/29/21...... 09/29/2016.... Direct-Private Placement...... 8,000,000 ...... 8,000,000 ...... 0 2FE...... 257559 AK 0 Domtar Corp 6.750% 02/15/44...... I...... 09/30/2016.... Seaport Group...... 6,833,008 ...... 6,080,000 ...... 57,000 2FE...... 03328Q AA 9 Anchorage Capital CLO LTD SERIES 20156A...... F...... 07/22/2016.... Morgan Stanley DWD...... 19,994,000 ...... 20,000,000 ...... 14,801 1FE...... 053635 AG 3 Avery Point CLO Ltd SERIES 20132A CLASS...... F...... 07/28/2016.... Citigroup Global...... 5,947,500 ...... 6,000,000 ...... 8,573 1FE...... 09626E AE 4 Bluemountain CLO Ltd SERIES 20111A CLASS...... F...... 08/08/2016.... Wells Fargo Funds...... 4,522,500 ...... 4,500,000 ...... 39,434 1FE...... 15137K AB 5 ?Cent CLO LP SERIES 201524A CLASS (CMBS)...... F...... 08/05/2016.... Deutsche Bank...... 16,260,345 ...... 16,200,000 ...... 33,697 1FE...... 268317 AP 9 ELECTRICITE DE FRANCE SA 4.750% 10/13/...... F...... 08/05/2016.... Deutsche Bank...... 4,416,404 ...... 4,075,000 ...... 62,908 1FE...... 38173U AA 2 GOLUB CAPITAL PARTNERS CLO LTD 14-19A...... F...... 08/10/2016.... Guggenheim...... 4,972,500 ...... 5,000,000 ...... 6,169 1FE...... 38174K AA 3 Golub Capital Partners CLO Lt SERIES 201...... F...... 07/22/2016.... JP Morgan...... 24,960,000 ...... 25,000,000 ...... 131,584 1FE...... 45763P AF 3 INMARSAT FINANCE PLC 6.500% 10/01/24...... F...... 09/28/2016.... Various...... 9,716,875 ...... 9,700,000 ...... 10,021 3FE...... 46619T AG 7 JFIN CLO Ltd SERIES 20161A CLASS (CMBS)...... F...... 07/08/2016.... Jefferies & Co...... 1,500,000 ...... 1,500,000 ...... 0 1FE......
Q 585055 BT 2 Medtronic PLC 4.375% 03/15/35...... R...... 08/05/2016.... JP Morgan...... 5,719,900 ...... 5,000,000 ...... 88,108 1FE......
E 78467K C# 2 SSE PLC Series E 3.670% 09/06/26...... F...... 09/06/2016.... Direct-Private Placement...... 6,000,000 ...... 6,000,000 ...... 0 1...... 0 879385 AD 4 Telefonica Europe 8.250% 09/15/30...... F...... 08/29/2016.... Various...... 13,484,172 ...... 9,157,000 ...... 348,348 2FE...... 4
. 88167A AE 1 TEVA PHARMACEUTICALS NE 3.150% 10/01/2...... F...... 07/18/2016.... Barclays Capital...... 6,981,380 ...... 7,000,000 ...... 0 2FE...... 1 92330W AC 1 VENTURE CDO LTD SERIES 201624A CLASS (CM...... F...... 08/11/2016.... Jefferies & Co...... 20,000,000 ...... 20,000,000 ...... 0 1FE...... 92330W AJ 6 VENTURE CDO LTD SERIES 201624A CLASS (CM...... F...... 08/24/2016.... Jefferies & Co...... 10,000,000 ...... 10,000,000 ...... 0 1FE...... Q3629# AN 3 ETSA UTILITIES Series D Note RD-37 3.3...... F...... 08/10/2016.... Direct-Private Placement...... 9,000,000 ...... 9,000,000 ...... 0 1FE...... 3899999. Total Bonds - Industrial and Miscellaneous...... 434,875,685 ...... 411,615,278 ...... 2,220,570 XXX Bonds - Hybrid Securities 020002 AU 5 Allstate Corp 6.500% 05/15/57...... 09/20/2016.... Jefferies & Co...... 2,335,000 ...... 2,000,000 ...... 46,222 2FE...... 4899999. Total Bonds - Hybrid Securities...... 2,335,000 ...... 2,000,000 ...... 46,222 XXX 8399997. Total Bonds - Part 3...... 470,099,249 ...... 441,829,214 ...... 2,482,911 XXX 8399999. Total Bonds...... 470,099,249 ...... 441,829,214 ...... 2,482,911 XXX Preferred Stocks - Industrial and Miscellaneous 151461 2# 6 CENTER COAST MLP...... 09/22/2016.... Direct-Private Placement...... 360.000 ...... 9,000,000 ...... 0.00 ...... 0 RP1LFE...... 8499999. Total Preferred Stocks - Industrial and Miscellaneous...... 9,000,000 XXX ...... 0 XXX 8999997. Total Preferred Stocks - Part 3...... 9,000,000 XXX ...... 0 XXX 8999999. Total Preferred Stocks...... 9,000,000 XXX ...... 0 XXX Common Stocks - Industrial and Miscellaneous 31338$ 11 2 FHLB - Dallas Class B...... 09/28/2016.... Direct...... 53,254.000 ...... 5,325,400 XXX ...... 0 A...... 45329R 10 9 INC Research Holdings Inc...... 08/26/2016.... Direct...... 7,995.000 ...... 357,672 XXX ...... 0 L...... 817270 23 4 Sentinel Group Fds Inc Unconstrained Bon...... 09/22/2016.... Sentinel Group Fds...... 9,949.420 ...... 99,344 XXX ...... 0 L...... 817270 24 2 Sentinel Group Fds Inc Unconstrained Bon...... 09/26/2016.... Sentinel Group Fds...... 460.110 ...... 4,575 XXX ...... 0 L...... 817270 25 9 Sentinel Group Fds Inc Unconstrained Bon...... 09/22/2016.... Sentinel Group Fds...... 2,462.210 ...... 24,560 XXX ...... 0 L...... 817270 26 7 Sentinel Group Fds Inc Total Return Bond...... 09/22/2016.... Sentinel Group Fds...... 427.330 ...... 4,511 XXX ...... 0 L...... 817270 27 5 Sentinel Group Fds Inc Total Return Bond...... 09/22/2016.... Sentinel Group Fds...... 399.260 ...... 4,211 XXX ...... 0 L...... 817270 28 3 Sentinel Group Fds Inc Small Company Fun...... 08/24/2016.... Sentinel Group Fds...... 108.030 ...... 534 XXX ...... 0 L...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 3 Show all Long-Term Bonds and Stock Acquired During the Current Quarter 1 2 3 4 5 6 7 8 9 10
Paid for Accrued Interest and NAIC Designation or CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost Par Value Dividends Market Indicator (a) 817270 29 1 Sentinel Group Fds Inc Common Stock Fund...... 09/22/2016.... Sentinel Group Fds...... 49.610 ...... 2,071 XXX ...... 0 L...... 817270 31 7 Sentinel Group Fds Inc Low Duration Bond...... 09/22/2016.... Sentinel Group Fds...... 3,490.550 ...... 29,841 XXX ...... 0 L...... 81728B 81 7 Sentinel Group Fds Inc Balanced Fund I...... 09/22/2016.... Sentinel Group Fds...... 283.100 ...... 5,537 XXX ...... 0 L...... 9099999. Total Common Stocks - Industrial and Miscellaneous...... 5,858,256 XXX ...... 0 XXX 9799997. Total Common Stocks - Part 3...... 5,858,256 XXX ...... 0 XXX 9799999. Total Common Stocks...... 5,858,256 XXX ...... 0 XXX 9899999. Total Preferred and Common Stocks...... 14,858,256 XXX ...... 0 XXX 9999999. Total Bonds, Preferred and Common Stocks...... 484,957,505 XXX ...... 2,482,911 XXX (a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues:...... 0. Q E 0 4 . 2 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 4 Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter 1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22 11 12 13 14 15 F o NAIC r Current Year's Bond Interest Desig- e Unrealized Other-Than- Total Foreign Foreign / Stock nation or i Prior Year Valuation Current Year's Temporary Total Change in Exchange Book/Adjusted Exchange Gain Realized Gain Total Gain Dividends Stated Market g Number of Shares Book/Adjusted Increase/ (Amortization)/ Impairment B./A.C.V. Change in Carrying Value at (Loss) on (Loss) on (Loss) on Received Contractual Indicator CUSIP Identification Description n Disposal Date Name of Purchaser of Stock Consideration Par Value Actual Cost Carrying Value (Decrease) Accretion Recognized (11+12-13) B./A.C.V. Disposal Date Disposal Disposal Disposal During Year Maturity Date (a) Bonds - U.S. Government 3620AS W5 4 Government National Mortgage A 738768...... 09/01/2016. Paydown...... 391,240 ...... 391,240 ...... 410,496 ...... 410,074 ...... 0 ...... (18,834) ...... 0 ...... (18,834) ...... 0 ...... 391,240 ...... 0 ...... 0 ...... 0 ...... 10,121 09/15/2041.... 1FE...... 36225A PD 6 Government Natl Mtg Assn Pool 780420 7...... 09/01/2016. Paydown...... 1,654 ...... 1,654 ...... 1,697 ...... 1,676 ...... 0 ...... (23) ...... 0 ...... (23) ...... 0 ...... 1,654 ...... 0 ...... 0 ...... 0 ...... 78 08/15/2026.... 1FE...... 36225A UH 1 Government Natl Mtg Assn Pool 780584 7...... 09/01/2016. Paydown...... 1,512 ...... 1,512 ...... 1,526 ...... 1,521 ...... 0 ...... (9) ...... 0 ...... (9) ...... 0 ...... 1,512 ...... 0 ...... 0 ...... 0 ...... 71 06/15/2027.... 1FE...... 36230K L4 1 Government National Mortgage A 751247...... 09/01/2016. Paydown...... 1,299,882 ...... 1,299,882 ...... 1,359,189 ...... 1,358,306 ...... 0 ...... (58,424) ...... 0 ...... (58,424) ...... 0 ...... 1,299,882 ...... 0 ...... 0 ...... 0 ...... 35,984 10/15/2040.... 1FE...... 38373A EF 9 Government National Mortgage A REMIC Se...... 09/01/2016. Paydown...... 998,342 ...... 998,342 ...... 965,740 ...... 984,263 ...... 0 ...... 14,079 ...... 0 ...... 14,079 ...... 0 ...... 998,342 ...... 0 ...... 0 ...... 0 ...... 29,990 08/20/2039.... 1FE...... 38373M 4Z 0 Government Natl Mtg Assn SERIES 20093 CL...... 09/01/2016. Paydown...... 0 ...... 0 ...... 2,386 ...... 2,360 ...... 0 ...... (2,360) ...... 0 ...... (2,360) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 571 10/16/2048.... 1FE...... 38374U N7 2 Government Natl Mtg Assn REMIC Ser 2009...... 09/01/2016. Paydown...... 658,469 ...... 658,469 ...... 628,838 ...... 645,098 ...... 0 ...... 13,371 ...... 0 ...... 13,371 ...... 0 ...... 658,469 ...... 0 ...... 0 ...... 0 ...... 19,675 06/20/2039.... 1FE...... 38374U S2 8 Government Natl Mtg Assn REMIC Ser 200...... 09/01/2016. Paydown...... 1,839,271 ...... 1,839,271 ...... 1,751,905 ...... 1,798,208 ...... 0 ...... 41,062 ...... 0 ...... 41,062 ...... 0 ...... 1,839,271 ...... 0 ...... 0 ...... 0 ...... 55,018 06/20/2039.... 1FE...... 38374V WK 1 Government Natl Mtg Assn REMIC Ser 2009...... 09/01/2016. Paydown...... 1,896,871 ...... 1,896,871 ...... 1,921,768 ...... 1,898,808 ...... 0 ...... (1,937) ...... 0 ...... (1,937) ...... 0 ...... 1,896,871 ...... 0 ...... 0 ...... 0 ...... 63,066 06/20/2038.... 1FE...... 38376F FD 9 Government Natl Mtg Assn REMIC Ser 200...... 09/01/2016. Paydown...... 711,750 ...... 711,750 ...... 687,729 ...... 699,413 ...... 0 ...... 12,337 ...... 0 ...... 12,337 ...... 0 ...... 711,750 ...... 0 ...... 0 ...... 0 ...... 21,336 08/20/2039.... 1FE...... 38376G GN 4 Government Natl Mtg Assn SERIES 201040 C...... 09/01/2016. Paydown...... 0 ...... 0 ...... 212,294 ...... 196,846 ...... 0 ...... (196,846) ...... 0 ...... (196,846) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 22,766 12/16/2043.... 1FE...... 38376G ZX 1 Government Natl Mtg Assn 2011-9 IO 0...... 09/01/2016. Paydown...... 0 ...... 0 ...... 166,235 ...... 116,920 ...... 0 ...... (116,920) ...... 0 ...... (116,920) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 20,535 04/16/2037.... 1FE...... 38376P 4N 7 Government Natl Mtg Assn REMIC Ser 200...... 09/01/2016. Paydown...... 1,632,161 ...... 1,632,161 ...... 1,622,939 ...... 1,626,065 ...... 0 ...... 6,096 ...... 0 ...... 6,096 ...... 0 ...... 1,632,161 ...... 0 ...... 0 ...... 0 ...... 48,766 12/20/2039.... 1FE...... 38377Y W4 8 Government National Mortgage A SERIES 20...... 09/20/2016. Paydown...... 0 ...... 0 ...... 173,811 ...... 162,449 ...... 0 ...... (162,449) ...... 0 ...... (162,449) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 25,292 10/20/2041.... 1FE...... 585995 AA 1 Northeast 1985-1 FHA Project Pool 1985-1...... 09/01/2016. Paydown...... 34,477 ...... 34,477 ...... 35,457 ...... 34,644 ...... 0 ...... (168) ...... 0 ...... (168) ...... 0 ...... 34,477 ...... 0 ...... 0 ...... 0 ...... 2,271 12/24/2020.... 1FE...... 0599999. Total Bonds - U.S Government...... 9,465,629 ...... 9,465,629 ...... 9,942,010 ...... 9,936,651 ...... 0 ...... (471,025) ...... 0 ...... (471,025) ...... 0 ...... 9,465,629 ...... 0 ...... 0 ...... 0 ...... 355,540 XXX XXX
Q Bonds - U.S. Special Revenue and Special Assessment
E 199098 CG 7 COLUMBUS-FRANKLIN CNTY OHIO 6.625% 08/...... 08/15/2016. Call 100.0000...... 50,000 ...... 50,000 ...... 49,084 ...... 49,126 ...... 0 ...... 31 ...... 0 ...... 31 ...... 0 ...... 49,158 ...... 0 ...... 842 ...... 842 ...... 3,313 08/15/2027.... 1FE......
0 3128M8 2R 4 FREDDIE MAC G06784 3.500% 10/01/41...... 09/01/2016. Paydown...... 3,661,367 ...... 3,661,367 ...... 3,750,539 ...... 3,746,633 ...... 0 ...... (85,266) ...... 0 ...... (85,266) ...... 0 ...... 3,661,367 ...... 0 ...... 0 ...... 0 ...... 83,669 10/01/2041.... 1FE...... 5 3128M8 FH 2 FREDDIE MAC G06168 3.500% 11/01/40...... 09/01/2016. Paydown...... 727,737 ...... 727,737 ...... 709,658 ...... 710,557 ...... 0 ...... 17,180 ...... 0 ...... 17,180 ...... 0 ...... 727,737 ...... 0 ...... 0 ...... 0 ...... 16,936 11/01/2040.... 1FE...... 3128M9 CN 0 FREDDIE MAC G06977 3.000% 04/01/42...... 09/01/2016. Paydown...... 828,651 ...... 828,651 ...... 846,130 ...... 845,131 ...... 0 ...... (16,480) ...... 0 ...... (16,480) ...... 0 ...... 828,651 ...... 0 ...... 0 ...... 0 ...... 16,290 04/01/2042.... 1FE...... 3128MJ MB 3 Federal Home Loan Mtg Corp G08353 4.5...... 09/01/2016. Paydown...... 601,682 ...... 601,682 ...... 601,024 ...... 601,004 ...... 0 ...... 679 ...... 0 ...... 679 ...... 0 ...... 601,682 ...... 0 ...... 0 ...... 0 ...... 17,983 07/01/2039.... 1FE...... 3128MJ Q9 4 Federal Home Loan Mtg Corp G08479 3.5...... 09/01/2016. Paydown...... 314,836 ...... 314,836 ...... 323,986 ...... 323,518 ...... 0 ...... (8,682) ...... 0 ...... (8,682) ...... 0 ...... 314,836 ...... 0 ...... 0 ...... 0 ...... 7,496 03/01/2042.... 1FE...... 3128MJ VM 9 Federal Home Loan Mtg Corp G08619 3.0...... 09/01/2016. Paydown...... 388,786 ...... 388,786 ...... 397,959 ...... 397,790 ...... 0 ...... (9,004) ...... 0 ...... (9,004) ...... 0 ...... 388,786 ...... 0 ...... 0 ...... 0 ...... 7,960 12/01/2044.... 1FE...... 3128S2 SH 5 FREDDIE MAC T61420 3.000% 11/01/42...... 09/01/2016. Paydown...... 1,428,215 ...... 1,428,215 ...... 1,467,268 ...... 1,465,999 ...... 0 ...... (37,784) ...... 0 ...... (37,784) ...... 0 ...... 1,428,215 ...... 0 ...... 0 ...... 0 ...... 28,875 11/01/2042.... 1FE...... 31292H X3 3 Federal Home Ln Mtg Corp C01598 5.000...... 09/01/2016. Paydown...... 126,799 ...... 126,799 ...... 131,109 ...... 130,747 ...... 0 ...... (3,948) ...... 0 ...... (3,948) ...... 0 ...... 126,799 ...... 0 ...... 0 ...... 0 ...... 4,207 08/01/2033.... 1FE...... 31292S A3 4 FREDDIE MAC C09026 2.500% 01/01/43...... 09/01/2016. Paydown...... 115,771 ...... 115,771 ...... 114,686 ...... 114,736 ...... 0 ...... 1,035 ...... 0 ...... 1,035 ...... 0 ...... 115,771 ...... 0 ...... 0 ...... 0 ...... 1,937 01/01/2043.... 1FE...... 312933 NC 4 FREDDIE MAC A86687 4.500% 06/01/39...... 09/01/2016. Paydown...... 933,819 ...... 933,819 ...... 918,353 ...... 918,774 ...... 0 ...... 15,045 ...... 0 ...... 15,045 ...... 0 ...... 933,819 ...... 0 ...... 0 ...... 0 ...... 29,339 06/01/2039.... 1FE...... 312939 3G 4 FREDDIE MAC A91699 5.000% 04/01/40...... 09/01/2016. Paydown...... 776,987 ...... 776,987 ...... 804,182 ...... 802,876 ...... 0 ...... (25,889) ...... 0 ...... (25,889) ...... 0 ...... 776,987 ...... 0 ...... 0 ...... 0 ...... 26,247 04/01/2040.... 1FE...... 312942 FT 7 FREDDIE MAC A93778 4.000% 09/01/40...... 09/01/2016. Paydown...... 1,460,445 ...... 1,460,445 ...... 1,505,171 ...... 1,503,431 ...... 0 ...... (42,987) ...... 0 ...... (42,987) ...... 0 ...... 1,460,445 ...... 0 ...... 0 ...... 0 ...... 40,351 09/01/2040.... 1FE...... 312945 2S 6 FREDDIE MAC A97085 4.500% 02/01/41...... 09/01/2016. Paydown...... 7,694 ...... 7,694 ...... 7,775 ...... 7,763 ...... 0 ...... (70) ...... 0 ...... (70) ...... 0 ...... 7,694 ...... 0 ...... 0 ...... 0 ...... 231 02/01/2041.... 1FE...... 312946 P5 9 FREDDIE MAC A97644 4.000% 03/01/41...... 09/01/2016. Paydown...... 901,665 ...... 901,665 ...... 935,477 ...... 934,003 ...... 0 ...... (32,338) ...... 0 ...... (32,338) ...... 0 ...... 901,665 ...... 0 ...... 0 ...... 0 ...... 25,926 03/01/2041.... 1FE...... 31296R PL 6 Federal Home Ln Mtg Corp A16727 5.000...... 09/01/2016. Paydown...... 214,587 ...... 214,587 ...... 221,746 ...... 221,213 ...... 0 ...... (6,626) ...... 0 ...... (6,626) ...... 0 ...... 214,587 ...... 0 ...... 0 ...... 0 ...... 6,689 12/01/2033.... 1FE...... 3132GS EU 9 FREDDIE MAC Q07047 3.000% 03/01/42...... 09/01/2016. Paydown...... 1,848,285 ...... 1,848,285 ...... 1,848,285 ...... 1,848,285 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,848,285 ...... 0 ...... 0 ...... 0 ...... 38,176 03/01/2042.... 1FE...... 3132GS TW 9 FREDDIE MAC Q07465 3.500% 04/01/42...... 09/01/2016. Paydown...... 857,128 ...... 857,128 ...... 884,717 ...... 883,397 ...... 0 ...... (26,269) ...... 0 ...... (26,269) ...... 0 ...... 857,128 ...... 0 ...... 0 ...... 0 ...... 20,374 04/01/2042.... 1FE...... 3132HP Z7 2 Federal Home Ln Mtg Corp Q13466 3.000%...... 09/01/2016. Paydown...... 705,572 ...... 705,572 ...... 736,661 ...... 734,760 ...... 0 ...... (29,188) ...... 0 ...... (29,188) ...... 0 ...... 705,572 ...... 0 ...... 0 ...... 0 ...... 13,997 11/01/2042.... 1FE...... 3132J6 GQ 1 Federal Home Loan Mtg Corp Q15206 2.5...... 09/01/2016. Paydown...... 377,137 ...... 377,137 ...... 368,415 ...... 368,704 ...... 0 ...... 8,433 ...... 0 ...... 8,433 ...... 0 ...... 377,137 ...... 0 ...... 0 ...... 0 ...... 6,189 01/01/2043.... 1FE...... 31368H NW 9 Federal Natl Mtg Assn 190405 4.000% 1...... 09/01/2016. Paydown...... 690,651 ...... 690,651 ...... 682,666 ...... 682,855 ...... 0 ...... 7,796 ...... 0 ...... 7,796 ...... 0 ...... 690,651 ...... 0 ...... 0 ...... 0 ...... 18,411 10/01/2040.... 1FE...... 3136AE TQ 0 Federal Natl Mtg Assn SERIES 201354 CLAS...... 09/01/2016. Paydown...... 37,818 ...... 37,818 ...... 37,700 ...... 37,701 ...... 0 ...... 116 ...... 0 ...... 116 ...... 0 ...... 37,818 ...... 0 ...... 0 ...... 0 ...... 851 06/25/2033.... 1FE...... 3137AQ TW 8 Federal Home Ln Mtg Corp REMIC Ser 4048...... 07/01/2016. Paydown...... 106,910 ...... 106,910 ...... 106,001 ...... 105,986 ...... 0 ...... 924 ...... 0 ...... 924 ...... 0 ...... 106,910 ...... 0 ...... 0 ...... 0 ...... 1,069 03/15/2041.... 1FE...... 3137GA QK 6 Federal Home Ln Mtg Corp REMIC Ser 374...... 09/01/2016. Paydown...... 1,348,614 ...... 1,348,614 ...... 1,311,738 ...... 1,336,547 ...... 0 ...... 12,067 ...... 0 ...... 12,067 ...... 0 ...... 1,348,614 ...... 0 ...... 0 ...... 0 ...... 35,792 07/15/2037.... 1FE...... 31385X NR 4 Federal Natl Mtg Assn Pool 555800 5.50...... 09/01/2016. Paydown...... 75,529 ...... 75,529 ...... 78,149 ...... 77,930 ...... 0 ...... (2,401) ...... 0 ...... (2,401) ...... 0 ...... 75,529 ...... 0 ...... 0 ...... 0 ...... 2,752 10/01/2033.... 1FE...... 3138A4 4Z 5 Fannie Mae AH3539 4.000% 02/01/41...... 09/01/2016. Paydown...... 502,915 ...... 502,915 ...... 498,121 ...... 498,313 ...... 0 ...... 4,601 ...... 0 ...... 4,601 ...... 0 ...... 502,915 ...... 0 ...... 0 ...... 0 ...... 13,143 02/01/2041.... 1FE...... 3138AX CF 6 Fannie Mae AJ5469 3.500% 11/01/41...... 09/01/2016. Paydown...... 841,084 ...... 841,084 ...... 849,232 ...... 848,766 ...... 0 ...... (7,682) ...... 0 ...... (7,682) ...... 0 ...... 841,084 ...... 0 ...... 0 ...... 0 ...... 19,829 11/01/2041.... 1FE...... 3138EK RA 5 Fannie Mae AL3180 3.000% 01/01/43...... 09/01/2016. Paydown...... 590,922 ...... 590,922 ...... 582,150 ...... 582,348 ...... 0 ...... 8,574 ...... 0 ...... 8,574 ...... 0 ...... 590,922 ...... 0 ...... 0 ...... 0 ...... 11,707 01/01/2043.... 1FE...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 4 Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter 1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22 11 12 13 14 15 F o NAIC r Current Year's Bond Interest Desig- e Unrealized Other-Than- Total Foreign Foreign / Stock nation or i Prior Year Valuation Current Year's Temporary Total Change in Exchange Book/Adjusted Exchange Gain Realized Gain Total Gain Dividends Stated Market g Number of Shares Book/Adjusted Increase/ (Amortization)/ Impairment B./A.C.V. Change in Carrying Value at (Loss) on (Loss) on (Loss) on Received Contractual Indicator CUSIP Identification Description n Disposal Date Name of Purchaser of Stock Consideration Par Value Actual Cost Carrying Value (Decrease) Accretion Recognized (11+12-13) B./A.C.V. Disposal Date Disposal Disposal Disposal During Year Maturity Date (a) 3138EN 2P 3 Fannie Mae AL6181 3.000% 11/01/44...... 09/01/2016. Paydown...... 255,584 ...... 255,584 ...... 260,536 ...... 260,449 ...... 0 ...... (4,865) ...... 0 ...... (4,865) ...... 0 ...... 255,584 ...... 0 ...... 0 ...... 0 ...... 5,032 11/01/2044.... 1FE...... 3138EP QJ 6 FNMA AL 6756 3.900% 03/01/45...... 09/01/2016. Paydown...... 75,636 ...... 75,636 ...... 82,444 ...... 82,316 ...... 0 ...... (6,679) ...... 0 ...... (6,679) ...... 0 ...... 75,636 ...... 0 ...... 0 ...... 0 ...... 1,992 03/01/2045.... 1FE...... 3138L3 Q6 5 FN AM3176 3.770% 05/01/43...... 09/01/2016. Paydown...... 18,781 ...... 18,781 ...... 19,315 ...... 19,304 ...... 0 ...... (524) ...... 0 ...... (524) ...... 0 ...... 18,781 ...... 0 ...... 0 ...... 0 ...... 472 05/01/2043.... 1FE...... 3138L6 5P 9 Fannie Mae 4.130% 07/01/44...... 09/01/2016. Paydown...... 29,040 ...... 29,040 ...... 32,288 ...... 32,221 ...... 0 ...... (3,181) ...... 0 ...... (3,181) ...... 0 ...... 29,040 ...... 0 ...... 0 ...... 0 ...... 800 07/01/2044.... 1FE...... 3138L7 LJ 3 Fannie Mae 3.700% 10/01/29...... 09/01/2016. Paydown...... 39,357 ...... 39,357 ...... 42,383 ...... 42,218 ...... 0 ...... (2,861) ...... 0 ...... (2,861) ...... 0 ...... 39,357 ...... 0 ...... 0 ...... 0 ...... 982 10/01/2029.... 1FE...... 3138L7 W2 8 Fannie Mae 4.090% 11/01/39...... 09/01/2016. Paydown...... 33,343 ...... 33,343 ...... 36,308 ...... 36,242 ...... 0 ...... (2,899) ...... 0 ...... (2,899) ...... 0 ...... 33,343 ...... 0 ...... 0 ...... 0 ...... 920 11/01/2039.... 1FE...... 3138L8 6R 0 FNMA 3.430% 03/01/40...... 09/01/2016. Paydown...... 32,388 ...... 32,388 ...... 34,331 ...... 34,278 ...... 0 ...... (1,890) ...... 0 ...... (1,890) ...... 0 ...... 32,388 ...... 0 ...... 0 ...... 0 ...... 751 03/01/2040.... 1FE...... 3138M0 BE 9 Fannie Mae AO8136 3.000% 08/01/42...... 09/01/2016. Paydown...... 2,318,612 ...... 2,318,612 ...... 2,378,389 ...... 2,374,069 ...... 0 ...... (55,457) ...... 0 ...... (55,457) ...... 0 ...... 2,318,612 ...... 0 ...... 0 ...... 0 ...... 45,978 08/01/2042.... 1FE...... 3138NY GE 9 Fannie Mae AR1996 3.000% 02/01/43...... 09/01/2016. Paydown...... 594,567 ...... 594,567 ...... 579,472 ...... 579,833 ...... 0 ...... 14,734 ...... 0 ...... 14,734 ...... 0 ...... 594,567 ...... 0 ...... 0 ...... 0 ...... 11,727 02/01/2043.... 1FE...... 3138W1 F4 4 Fannie Mae AR3786 3.000% 02/01/43...... 09/01/2016. Paydown...... 319,181 ...... 319,181 ...... 312,997 ...... 313,129 ...... 0 ...... 6,052 ...... 0 ...... 6,052 ...... 0 ...... 319,181 ...... 0 ...... 0 ...... 0 ...... 6,176 02/01/2043.... 1FE...... 3138W9 G8 7 Fannie Mae AS0222 4.000% 08/01/43...... 09/01/2016. Paydown...... 672,823 ...... 672,823 ...... 702,995 ...... 701,900 ...... 0 ...... (29,078) ...... 0 ...... (29,078) ...... 0 ...... 672,823 ...... 0 ...... 0 ...... 0 ...... 18,057 08/01/2043.... 1FE...... 3138WT UM 6 Fannie Mae AT5987 3.000% 04/01/43...... 09/01/2016. Paydown...... 2,715,593 ...... 2,715,593 ...... 2,622,032 ...... 2,623,847 ...... 0 ...... 91,745 ...... 0 ...... 91,745 ...... 0 ...... 2,715,593 ...... 0 ...... 0 ...... 0 ...... 53,646 04/01/2043.... 1FE...... 3138Y1 6W 0 Fannie mae pool 4.500% 10/01/44...... 09/01/2016. Paydown...... 216,885 ...... 216,885 ...... 236,574 ...... 236,178 ...... 0 ...... (19,293) ...... 0 ...... (19,293) ...... 0 ...... 216,885 ...... 0 ...... 0 ...... 0 ...... 6,516 10/01/2044.... 1FE...... 31392G DB 8 Federal Natl Mtg Assn REMIC Ser 2002-8...... 09/01/2016. Paydown...... 14,540 ...... 14,540 ...... 14,899 ...... 14,839 ...... 0 ...... (298) ...... 0 ...... (298) ...... 0 ...... 14,540 ...... 0 ...... 0 ...... 0 ...... 582 12/25/2032.... 1FE...... 31394C GA 4 Federal Natl Mtg Assn REMIC Ser 2005-1...... 09/01/2016. Paydown...... 2,524,890 ...... 2,524,890 ...... 2,588,012 ...... 2,547,972 ...... 0 ...... (23,082) ...... 0 ...... (23,082) ...... 0 ...... 2,524,890 ...... 0 ...... 0 ...... 0 ...... 84,971 02/25/2035.... 1FE...... 31394D QA 1 Federal Natl Mtg Assn REMIC Ser 2005-4...... 09/01/2016. Paydown...... 1,988,907 ...... 1,988,907 ...... 2,038,630 ...... 2,006,702 ...... 0 ...... (17,795) ...... 0 ...... (17,795) ...... 0 ...... 1,988,907 ...... 0 ...... 0 ...... 0 ...... 65,810 05/25/2035.... 1FE...... 31394U ZR 6 Federal Natl Mtg Assn REMIC Ser 2005-1...... 07/01/2016. Paydown...... 47,066 ...... 47,066 ...... 48,007 ...... 47,360 ...... 0 ...... (294) ...... 0 ...... (294) ...... 0 ...... 47,066 ...... 0 ...... 0 ...... 0 ...... 1,647 11/25/2034.... 1FE...... Q 31395N Y2 7 Federal Natl Mtg Assn REMIC Ser 2006-5...... 09/01/2016. Paydown...... 166,349 ...... 166,349 ...... 171,027 ...... 169,725 ...... 0 ...... (3,376) ...... 0 ...... (3,376) ...... 0 ...... 166,349 ...... 0 ...... 0 ...... 0 ...... 6,344 07/25/2036.... 1FE...... E 31396C 7M 6 Federal Home Ln Mtg Corp SERIES 3057 CLA...... 09/01/2016. Paydown...... 186,608 ...... 186,608 ...... 184,917 ...... 185,671 ...... 0 ...... 937 ...... 0 ...... 937 ...... 0 ...... 186,608 ...... 0 ...... 0 ...... 0 ...... 5,442 10/15/2025.... 1FE...... 0
5 31396K KS 0 Federal Natl Mtg Assn REMIC Ser 2006-7...... 09/01/2016. Paydown...... 335,108 ...... 335,108 ...... 341,977 ...... 342,804 ...... 0 ...... (7,696) ...... 0 ...... (7,696) ...... 0 ...... 335,108 ...... 0 ...... 0 ...... 0 ...... 13,892 08/25/2036.... 1FE......
1 31396K ZX 3 Federal Natl Mtg Assn REMIC Ser 2006-82...... 09/01/2016. Paydown...... 922,000 ...... 922,000 ...... 940,440 ...... 925,636 ...... 0 ...... (3,636) ...... 0 ...... (3,636) ...... 0 ...... 922,000 ...... 0 ...... 0 ...... 0 ...... 38,460 09/25/2036.... 1FE...... 31396P K7 5 Federal Natl Mtg Assn REMIC Ser 2007-1...... 09/01/2016. Paydown...... 39,103 ...... 39,103 ...... 38,956 ...... 38,946 ...... 0 ...... 157 ...... 0 ...... 157 ...... 0 ...... 39,103 ...... 0 ...... 0 ...... 0 ...... 1,695 08/25/2036.... 1FE...... 31396Q GV 5 Federal Natl Mtg Assn REMIC Ser 2009-4...... 09/01/2016. Paydown...... 1,313,441 ...... 1,313,441 ...... 1,372,546 ...... 1,342,259 ...... 0 ...... (28,818) ...... 0 ...... (28,818) ...... 0 ...... 1,313,441 ...... 0 ...... 0 ...... 0 ...... 38,639 07/25/2039.... 1FE...... 31396Q Q9 3 Federal Natl Mtg Assn REMIC Ser 2009-6...... 09/01/2016. Paydown...... 1,000,685 ...... 1,000,685 ...... 945,647 ...... 969,565 ...... 0 ...... 31,120 ...... 0 ...... 31,120 ...... 0 ...... 1,000,685 ...... 0 ...... 0 ...... 0 ...... 26,491 09/25/2029.... 1FE...... 31396X FK 5 Federal Natl Mtg Assn REMIC Ser 2007-7...... 09/01/2016. Paydown...... 131,522 ...... 131,522 ...... 131,491 ...... 131,121 ...... 0 ...... 401 ...... 0 ...... 401 ...... 0 ...... 131,522 ...... 0 ...... 0 ...... 0 ...... 5,728 08/25/2037.... 1FE...... 31396Y F7 2 Federal Natl Mtg Assn REMIC 2008-29 Cl...... 09/01/2016. Paydown...... 660,876 ...... 660,876 ...... 613,756 ...... 635,269 ...... 0 ...... 25,608 ...... 0 ...... 25,608 ...... 0 ...... 660,876 ...... 0 ...... 0 ...... 0 ...... 19,603 04/25/2038.... 1FE...... 31397A 5L 3 Federal Home Ln Mtg Corp REMIC Ser 320...... 09/01/2016. Paydown...... 247,135 ...... 247,135 ...... 250,378 ...... 249,280 ...... 0 ...... (2,145) ...... 0 ...... (2,145) ...... 0 ...... 247,135 ...... 0 ...... 0 ...... 0 ...... 9,214 08/15/2036.... 1FE...... 31397A GM 9 Federal Home Ln Mtg Corp REMIC Ser 320...... 09/01/2016. Paydown...... 931,617 ...... 931,617 ...... 982,856 ...... 959,134 ...... 0 ...... (27,517) ...... 0 ...... (27,517) ...... 0 ...... 931,617 ...... 0 ...... 0 ...... 0 ...... 34,156 08/15/2036.... 1FE...... 31397A RM 7 Federal Home Ln Mtg Corp SERIES 3203 CLA...... 09/01/2016. Paydown...... 686,859 ...... 686,859 ...... 671,968 ...... 678,201 ...... 0 ...... 8,657 ...... 0 ...... 8,657 ...... 0 ...... 686,859 ...... 0 ...... 0 ...... 0 ...... 23,023 08/15/2036.... 1FE...... 31397F L8 3 FREDDIE MAC REMIC Ser 3284 Cl BZ 4...... 09/01/2016. Paydown...... 837,409 ...... 837,409 ...... 779,197 ...... 806,026 ...... 0 ...... 31,383 ...... 0 ...... 31,383 ...... 0 ...... 837,409 ...... 0 ...... 0 ...... 0 ...... 25,604 03/15/2037.... 1FE...... 31397N 5E 1 Federal Natl Mtg Assn REMIC Ser 2009-4...... 09/01/2016. Paydown...... 1,027,010 ...... 1,027,010 ...... 968,599 ...... 1,001,498 ...... 0 ...... 25,513 ...... 0 ...... 25,513 ...... 0 ...... 1,027,010 ...... 0 ...... 0 ...... 0 ...... 27,005 04/25/2029.... 1FE...... 31397Q WF 1 Federal Natl Mtg Assn REMIC Ser 2011-2...... 09/01/2016. Paydown...... 1,090,281 ...... 1,090,281 ...... 1,063,195 ...... 1,077,405 ...... 0 ...... 12,876 ...... 0 ...... 12,876 ...... 0 ...... 1,090,281 ...... 0 ...... 0 ...... 0 ...... 29,212 03/25/2026.... 1FE...... 31397W UV 5 Federal Home Ln Mtg Corp REMIC Ser 346...... 09/01/2016. Paydown...... 795,200 ...... 795,200 ...... 787,869 ...... 791,160 ...... 0 ...... 4,040 ...... 0 ...... 4,040 ...... 0 ...... 795,200 ...... 0 ...... 0 ...... 0 ...... 26,449 07/15/2038.... 1FE...... 31398E 6W 9 Federal Home Ln Mtg Corp REMIC Ser 354...... 09/01/2016. Paydown...... 1,284,809 ...... 1,284,809 ...... 1,247,469 ...... 1,268,983 ...... 0 ...... 15,826 ...... 0 ...... 15,826 ...... 0 ...... 1,284,809 ...... 0 ...... 0 ...... 0 ...... 34,126 06/15/2024.... 1FE...... 31398G R4 3 Federal Natl Mtg Assn REMIC Ser 2010-1...... 09/01/2016. Paydown...... 884,364 ...... 884,364 ...... 889,891 ...... 884,867 ...... 0 ...... (503) ...... 0 ...... (503) ...... 0 ...... 884,364 ...... 0 ...... 0 ...... 0 ...... 29,294 02/25/2040.... 1FE...... 31398J U5 0 Federal Home Ln Mtg Corp REMIC Ser 357...... 09/01/2016. Paydown...... 858,705 ...... 858,705 ...... 819,527 ...... 843,321 ...... 0 ...... 15,384 ...... 0 ...... 15,384 ...... 0 ...... 858,705 ...... 0 ...... 0 ...... 0 ...... 22,913 09/15/2024.... 1FE...... 31398M GG 5 Federal Natl Mtg Assn REMIC Ser 2010-1...... 09/01/2016. Paydown...... 396,621 ...... 396,621 ...... 414,469 ...... 405,679 ...... 0 ...... (9,059) ...... 0 ...... (9,059) ...... 0 ...... 396,621 ...... 0 ...... 0 ...... 0 ...... 11,523 03/25/2040.... 1FE...... 31398S MR 1 Federal Natl Mtg Assn REMIC Ser 2010-13...... 09/25/2016. Paydown...... 0 ...... 0 ...... 471,150 ...... 462,678 ...... 0 ...... (462,678) ...... 0 ...... (462,678) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 90,711 12/25/2040.... 1FE...... 31402C PL 0 Federal Natl Mtg Assn 725027 5.000% 1...... 09/01/2016. Paydown...... 263,078 ...... 263,078 ...... 270,904 ...... 270,217 ...... 0 ...... (7,139) ...... 0 ...... (7,139) ...... 0 ...... 263,078 ...... 0 ...... 0 ...... 0 ...... 8,746 11/01/2033.... 1FE...... 31412P YR 6 Federal Natl Mtg Assn 931420 4.000% 0...... 09/01/2016. Paydown...... 687,473 ...... 687,473 ...... 703,800 ...... 702,689 ...... 0 ...... (15,216) ...... 0 ...... (15,216) ...... 0 ...... 687,473 ...... 0 ...... 0 ...... 0 ...... 18,196 06/01/2039.... 1FE...... 31416H 4X 0 Fannie Mae AA0837 4.500% 01/01/39...... 09/01/2016. Paydown...... 56,006 ...... 56,006 ...... 55,473 ...... 55,492 ...... 0 ...... 514 ...... 0 ...... 514 ...... 0 ...... 56,006 ...... 0 ...... 0 ...... 0 ...... 1,738 01/01/2039.... 1FE...... 31416M 3A 0 Fannie Mae AA4392 4.000% 04/01/39...... 09/01/2016. Paydown...... 420,584 ...... 420,584 ...... 425,052 ...... 424,792 ...... 0 ...... (4,208) ...... 0 ...... (4,208) ...... 0 ...... 420,584 ...... 0 ...... 0 ...... 0 ...... 11,152 04/01/2039.... 1FE...... 31416W 7D 8 Fannie Mae AB1791 3.500% 11/01/40...... 09/01/2016. Paydown...... 512,030 ...... 512,030 ...... 508,670 ...... 508,787 ...... 0 ...... 3,242 ...... 0 ...... 3,242 ...... 0 ...... 512,030 ...... 0 ...... 0 ...... 0 ...... 11,886 11/01/2040.... 1FE...... 31416W FW 7 Fannie Mae AB1080 4.500% 05/01/40...... 09/01/2016. Paydown...... 171,179 ...... 171,179 ...... 173,693 ...... 173,580 ...... 0 ...... (2,401) ...... 0 ...... (2,401) ...... 0 ...... 171,179 ...... 0 ...... 0 ...... 0 ...... 5,154 05/01/2040.... 1FE...... 31417A JM 2 Fannie Mae AB3867 3.500% 11/01/41...... 09/01/2016. Paydown...... 704,523 ...... 704,523 ...... 730,722 ...... 729,270 ...... 0 ...... (24,747) ...... 0 ...... (24,747) ...... 0 ...... 704,523 ...... 0 ...... 0 ...... 0 ...... 16,028 11/01/2041.... 1FE...... 31417A LS 6 Fannie Mae AB3936 3.500% 11/01/41...... 09/01/2016. Paydown...... 2,288,717 ...... 2,288,717 ...... 2,346,114 ...... 2,342,830 ...... 0 ...... (54,113) ...... 0 ...... (54,113) ...... 0 ...... 2,288,717 ...... 0 ...... 0 ...... 0 ...... 53,934 11/01/2041.... 1FE...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 4 Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter 1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22 11 12 13 14 15 F o NAIC r Current Year's Bond Interest Desig- e Unrealized Other-Than- Total Foreign Foreign / Stock nation or i Prior Year Valuation Current Year's Temporary Total Change in Exchange Book/Adjusted Exchange Gain Realized Gain Total Gain Dividends Stated Market g Number of Shares Book/Adjusted Increase/ (Amortization)/ Impairment B./A.C.V. Change in Carrying Value at (Loss) on (Loss) on (Loss) on Received Contractual Indicator CUSIP Identification Description n Disposal Date Name of Purchaser of Stock Consideration Par Value Actual Cost Carrying Value (Decrease) Accretion Recognized (11+12-13) B./A.C.V. Disposal Date Disposal Disposal Disposal During Year Maturity Date (a) 31417C UY 9 Fannie Mae AB5998 3.500% 08/01/42...... 09/01/2016. Paydown...... 907,286 ...... 907,286 ...... 949,389 ...... 947,802 ...... 0 ...... (40,516) ...... 0 ...... (40,516) ...... 0 ...... 907,286 ...... 0 ...... 0 ...... 0 ...... 22,842 08/01/2042.... 1FE...... 31417D ZZ 9 Fannie Mae AB7059 2.500% 11/01/42...... 09/01/2016. Paydown...... 450,543 ...... 450,543 ...... 461,525 ...... 460,825 ...... 0 ...... (10,282) ...... 0 ...... (10,282) ...... 0 ...... 450,543 ...... 0 ...... 0 ...... 0 ...... 7,427 11/01/2042.... 1FE...... 31417E WF 4 Fannie Mae AB7845 3.000% 02/01/43...... 09/01/2016. Paydown...... 941,895 ...... 941,895 ...... 917,791 ...... 918,401 ...... 0 ...... 23,494 ...... 0 ...... 23,494 ...... 0 ...... 941,895 ...... 0 ...... 0 ...... 0 ...... 19,169 02/01/2043.... 1FE...... 31417E ZA 2 Fannie Mae AB7936 3.000% 02/01/43...... 09/01/2016. Paydown...... 195,266 ...... 195,266 ...... 190,232 ...... 190,375 ...... 0 ...... 4,891 ...... 0 ...... 4,891 ...... 0 ...... 195,266 ...... 0 ...... 0 ...... 0 ...... 3,768 02/01/2043.... 1FE...... 31417K LX 3 Fannie Mae AC1241 5.000% 07/01/39...... 09/01/2016. Paydown...... 415,809 ...... 415,809 ...... 424,645 ...... 424,103 ...... 0 ...... (8,294) ...... 0 ...... (8,294) ...... 0 ...... 415,809 ...... 0 ...... 0 ...... 0 ...... 14,642 07/01/2039.... 1FE...... 31418A DB 1 Fannie Mae MA0997 3.000% 02/01/42...... 09/01/2016. Paydown...... 1,458,629 ...... 1,458,629 ...... 1,456,806 ...... 1,456,755 ...... 0 ...... 1,874 ...... 0 ...... 1,874 ...... 0 ...... 1,458,629 ...... 0 ...... 0 ...... 0 ...... 31,161 02/01/2042.... 1FE...... 31418A DV 7 Fannie Mae MA1015 3.000% 03/01/42...... 09/01/2016. Paydown...... 1,276,811 ...... 1,276,811 ...... 1,274,509 ...... 1,274,497 ...... 0 ...... 2,313 ...... 0 ...... 2,313 ...... 0 ...... 1,276,811 ...... 0 ...... 0 ...... 0 ...... 26,215 03/01/2042.... 1FE...... 31418A N6 1 Federal Natl Mtg Assn MA1312 2.500% 1...... 09/01/2016. Paydown...... 492,525 ...... 492,525 ...... 497,758 ...... 497,425 ...... 0 ...... (4,900) ...... 0 ...... (4,900) ...... 0 ...... 492,525 ...... 0 ...... 0 ...... 0 ...... 8,229 12/01/2042.... 1FE...... 31419C 2B 8 Fannie Mae AE2569 3.500% 09/01/40...... 09/01/2016. Paydown...... 501,779 ...... 501,779 ...... 475,475 ...... 476,451 ...... 0 ...... 25,328 ...... 0 ...... 25,328 ...... 0 ...... 501,779 ...... 0 ...... 0 ...... 0 ...... 11,842 09/01/2040.... 1FE...... 31419C 3V 3 Fannie Mae AE2611 3.500% 09/01/40...... 09/01/2016. Paydown...... 523,749 ...... 523,749 ...... 489,051 ...... 490,488 ...... 0 ...... 33,261 ...... 0 ...... 33,261 ...... 0 ...... 523,749 ...... 0 ...... 0 ...... 0 ...... 13,041 09/01/2040.... 1FE...... 31419C BX 0 Fannie Mae AE1853 4.000% 08/01/40...... 09/01/2016. Paydown...... 270,624 ...... 270,624 ...... 266,480 ...... 266,627 ...... 0 ...... 3,997 ...... 0 ...... 3,997 ...... 0 ...... 270,624 ...... 0 ...... 0 ...... 0 ...... 7,407 08/01/2040.... 1FE...... 31419C Z4 8 Fannie Mae AE2562 4.000% 09/01/40...... 09/01/2016. Paydown...... 52,746 ...... 52,746 ...... 51,938 ...... 51,963 ...... 0 ...... 782 ...... 0 ...... 782 ...... 0 ...... 52,746 ...... 0 ...... 0 ...... 0 ...... 1,529 09/01/2040.... 1FE...... 31419D LQ 2 Fannie Mae AE3034 3.500% 09/01/40...... 09/01/2016. Paydown...... 12,176 ...... 12,176 ...... 11,476 ...... 11,498 ...... 0 ...... 679 ...... 0 ...... 679 ...... 0 ...... 12,176 ...... 0 ...... 0 ...... 0 ...... 284 09/01/2040.... 1FE...... 31419E XR 5 Fannie Mae AE4287 3.500% 09/01/40...... 09/01/2016. Paydown...... 724,437 ...... 724,437 ...... 700,780 ...... 701,651 ...... 0 ...... 22,786 ...... 0 ...... 22,786 ...... 0 ...... 724,437 ...... 0 ...... 0 ...... 0 ...... 16,242 09/01/2040.... 1FE...... 31419G YQ 1 Fannie Mae AE6118 3.500% 10/01/40...... 09/01/2016. Paydown...... 589,326 ...... 589,326 ...... 597,982 ...... 597,550 ...... 0 ...... (8,224) ...... 0 ...... (8,224) ...... 0 ...... 589,326 ...... 0 ...... 0 ...... 0 ...... 13,708 10/01/2040.... 1FE...... 31419K KE 4 Fannie Mae AE8392 3.500% 11/01/40...... 09/01/2016. Paydown...... 2,089,866 ...... 2,089,866 ...... 2,079,052 ...... 2,079,300 ...... 0 ...... 10,566 ...... 0 ...... 10,566 ...... 0 ...... 2,089,866 ...... 0 ...... 0 ...... 0 ...... 49,128 11/01/2040.... 1FE...... 31419L XJ 7 Fannie Mae AE9680 4.000% 12/01/40...... 09/01/2016. Paydown...... 301,920 ...... 301,920 ...... 293,995 ...... 294,309 ...... 0 ...... 7,611 ...... 0 ...... 7,611 ...... 0 ...... 301,920 ...... 0 ...... 0 ...... 0 ...... 7,999 12/01/2040.... 1FE...... Q 911760 TN 6 US Dept Veterans Affairs REMIC Ser 200...... 09/01/2016. Paydown...... 0 ...... 0 ...... 102,118 ...... 93,313 ...... 0 ...... (93,313) ...... 0 ...... (93,313) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 12,566 05/15/2033.... 1FE...... E 3199999. Total Bonds - U.S. Special Revenue and Special Assessment...... 62,523,478 ...... 62,523,478 ...... 63,340,349 ...... 63,341,968 ...... 0 ...... (819,339) ...... 0 ...... (819,339) ...... 0 ...... 62,522,636 ...... 0 ...... 842 ...... 842 ....1,719,355 XXX XXX 0
5 Bonds - Industrial and Miscellaneous .
2 00111@ AA 2 AES Hawaii Inc 6.870% 06/30/22...... 09/30/2016. Redemption 100.0000...... 79,500 ...... 79,500 ...... 79,500 ...... 79,500 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 79,500 ...... 0 ...... 0 ...... 0 ...... 4,096 06/30/2022.... 5...... 00113* AA 2 AEP Generating Company No. R-8 6.330%...... 09/30/2016. Redemption 100.0000...... 148,760 ...... 148,760 ...... 148,760 ...... 148,760 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 148,760 ...... 0 ...... 0 ...... 0 ...... 9,417 09/30/2037.... 2...... 007903 BC 0 Advanced Micro Devices 7.000% 07/01/24...... 09/08/2016. Goldman Sachs & Company...... 997,800 ...... 1,000,000 ...... 977,500 ...... 979,963 ...... 0 ...... 1,233 ...... 0 ...... 1,233 ...... 0 ...... 981,196 ...... 0 ...... 16,604 ...... 16,604 ...... 84,000 07/01/2024.... 5FE...... 00850L AA 2 AGRIBANK FCB 9.125% 07/15/19...... 07/15/2016. Call 100.0000...... 375,000 ...... 375,000 ...... 375,000 ...... 375,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 375,000 ...... 0 ...... 0 ...... 0 ...... 34,219 07/15/2019.... 1FE...... 0258M0 DC 0 American Express Credit 2.800% 09/19/1...... 09/19/2016. Maturity...... 5,000,000 ...... 5,000,000 ...... 5,148,750 ...... 5,024,549 ...... 0 ...... (24,549) ...... 0 ...... (24,549) ...... 0 ...... 5,000,000 ...... 0 ...... 0 ...... 0 ...... 140,000 09/19/2016.... 1FE......
02660T EQ 2 AMERICAN HOME MORTGAGE INVESTM SERIES 20 . 09/01/2016. Paydown...... 497,024 ...... 497,024 ...... 484,214 ...... 485,198 ...... 0 ...... 11,826 ...... 0 ...... 11,826 ...... 0 ...... 497,024 ...... 0 ...... 0 ...... 0 ...... 8,342 09/25/2045.... 1FM...... 04004# AA 2 Center Operating Company AKA Dallas Aren...... 09/30/2016. Redemption 100.0000...... 27,787 ...... 27,787 ...... 27,787 ...... 27,787 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 27,787 ...... 0 ...... 0 ...... 0 ...... 1,709 09/30/2023.... 2FE...... 048677 AG 3 ATLANTIC MARINE CORP COM 6.158% 12/01/...... 07/01/2016. Redemption 0.0000...... 0 ...... 0 ...... 242 ...... 0 ...... 0 ...... (1) ...... 0 ...... (1) ...... 0 ...... 242 ...... 0 ...... (242) ...... (242) ...... 455 12/01/2051.... 1FE...... 050095 AM 0 Atwood Oceanics Inc 6.500% 02/01/20...... 08/09/2016. Banc of America Securities...... 1,361,600 ...... 1,840,000 ...... 1,955,000 ...... 1,887,275 ...... 0 ...... (13,404) ...... 0 ...... (13,404) ...... 0 ...... 1,873,871 ...... 0 ...... (512,271) ...... (512,271) ...... 123,254 02/01/2020.... 5FE...... 053807 AN 3 Avnet Inc 6.625% 09/15/16...... 09/15/2016. Maturity...... 3,000,000 ...... 3,000,000 ...... 2,986,350 ...... 2,998,721 ...... 0 ...... 1,279 ...... 0 ...... 1,279 ...... 0 ...... 3,000,000 ...... 0 ...... 0 ...... 0 ...... 198,750 09/15/2016.... 2FE...... 064207 UV 3 Bank of Oklahoma 1.000% 05/15/17...... 08/15/2016. Call 100.0000...... 13,000,000 ...... 13,000,000 ...... 12,843,100 ...... 12,958,578 ...... 0 ...... 18,647 ...... 0 ...... 18,647 ...... 0 ...... 12,977,225 ...... 0 ...... 22,775 ...... 22,775 ...... 121,144 05/15/2017.... 1FE...... 071813 AW 9 Baxter International Inc 5.900% 09/01/...... 09/01/2016. Maturity...... 2,500,000 ...... 2,500,000 ...... 2,693,125 ...... 2,520,285 ...... 0 ...... (20,285) ...... 0 ...... (20,285) ...... 0 ...... 2,500,000 ...... 0 ...... 0 ...... 0 ...... 147,500 09/01/2016.... 2FE...... 095370 AA 0 BLUE CUBE SPINCO INC 9.750% 10/15/23...... 09/01/2016. Citigroup Global...... 2,956,250 ...... 2,500,000 ...... 2,662,500 ...... 0 ...... 0 ...... (9,861) ...... 0 ...... (9,861) ...... 0 ...... 2,652,639 ...... 0 ...... 303,611 ...... 303,611 ...... 227,500 10/15/2023.... 3FE...... 10513K AA 2 Branch Banking & Trust 5.625% 09/15/16...... 09/15/2016. Maturity...... 10,000,000 ...... 10,000,000 ...... 10,058,150 ...... 10,005,228 ...... 0 ...... (5,228) ...... 0 ...... (5,228) ...... 0 ...... 10,000,000 ...... 0 ...... 0 ...... 0 ...... 562,500 09/15/2016.... 1FE......
12532L AW 5 CGGS COMMERCIAL MORTGAGE TRUST SERIES 20 . 09/15/2016. Paydown...... 892,831 ...... 892,831 ...... 892,831 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 892,831 ...... 0 ...... 0 ...... 0 ...... 11,560 02/15/2033.... 1FE...... 12626P AG 8 CRH America Inc 6.000% 09/30/16...... 09/30/2016. Maturity...... 7,250,000 ...... 7,250,000 ...... 6,812,740 ...... 7,189,711 ...... 0 ...... 60,289 ...... 0 ...... 60,289 ...... 0 ...... 7,250,000 ...... 0 ...... 0 ...... 0 ...... 435,000 09/30/2016.... 2FE...... 126410 LM 9 CSX Equipment Trust Cert 6.251% 01/15/...... 07/15/2016. Redemption 100.0000...... 234,600 ...... 234,600 ...... 234,600 ...... 234,600 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 234,600 ...... 0 ...... 0 ...... 0 ...... 14,665 01/15/2023.... 1FE...... 12647G BF 4 CREDIT SUISSE MORTGAGE TRUST SERIES 2013... . 09/01/2016. Paydown...... 323,933 ...... 323,933 ...... 324,135 ...... 324,099 ...... 0 ...... (166) ...... 0 ...... (166) ...... 0 ...... 323,933 ...... 0 ...... 0 ...... 0 ...... 6,398 07/25/2043.... 1FM...... 12649R BF 8 Credit Suisse Mortgage Trust 3.500% 02...... 09/01/2016. Paydown...... 1,301,374 ...... 1,301,374 ...... 1,324,148 ...... 1,322,181 ...... 0 ...... (20,807) ...... 0 ...... (20,807) ...... 0 ...... 1,301,374 ...... 0 ...... 0 ...... 0 ...... 30,357 02/25/2045.... 1FM...... 126650 BH 2 CVS Health Corp 5.750% 06/01/17...... 07/27/2016. Call 100.0000...... 5,000,000 ...... 5,000,000 ...... 4,972,100 ...... 4,995,041 ...... 0 ...... 1,946 ...... 0 ...... 1,946 ...... 0 ...... 4,996,987 ...... 0 ...... 3,013 ...... 3,013 ...... 397,281 06/01/2017.... 2FE...... 12669E QK 5 COUNTRY HOME LOANS CL 7A1 3.117% 11/19...... 09/01/2016. Paydown...... 43,651 ...... 43,651 ...... 42,971 ...... 43,187 ...... 0 ...... 464 ...... 0 ...... 464 ...... 0 ...... 43,651 ...... 0 ...... 0 ...... 0 ...... 815 11/19/2033.... 1FM...... 14040H AN 5 Capital One Financial 6.150% 09/01/16...... 09/01/2016. Maturity...... 11,000,000 ...... 11,000,000 ...... 11,290,000 ...... 11,026,676 ...... 0 ...... (26,676) ...... 0 ...... (26,676) ...... 0 ...... 11,000,000 ...... 0 ...... 0 ...... 0 ...... 676,500 09/01/2016.... 2FE...... 142339 AC 4 Carlisle Companies Inc 6.125% 08/15/16...... 08/15/2016. Maturity...... 5,000,000 ...... 5,000,000 ...... 4,962,500 ...... 4,996,939 ...... 0 ...... 3,061 ...... 0 ...... 3,061 ...... 0 ...... 5,000,000 ...... 0 ...... 0 ...... 0 ...... 306,250 08/15/2016.... 2FE...... 165167 BU 0 Chesapeake Energy Corp 6.875% 11/15/20...... 08/17/2016. Goldman Sachs & Company...... 5,508,750 ...... 6,500,000 ...... 6,358,125 ...... 6,430,449 ...... 0 ...... 7,849 ...... 0 ...... 7,849 ...... 0 ...... 6,438,298 ...... 0 ...... (929,548) ...... (929,548) ...... 343,845 11/15/2020.... 5FE...... 165167 CF 2 Chesapeake Energy Corp 6.625% 08/15/20...... 08/17/2016. Goldman Sachs & Company...... 4,275,000 ...... 5,000,000 ...... 5,387,500 ...... 5,253,551 ...... 0 ...... (31,539) ...... 0 ...... (31,539) ...... 0 ...... 5,222,012 ...... 0 ...... (947,012) ...... (947,012) ...... 337,691 08/15/2020.... 6FE...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 4 Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter 1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22 11 12 13 14 15 F o NAIC r Current Year's Bond Interest Desig- e Unrealized Other-Than- Total Foreign Foreign / Stock nation or i Prior Year Valuation Current Year's Temporary Total Change in Exchange Book/Adjusted Exchange Gain Realized Gain Total Gain Dividends Stated Market g Number of Shares Book/Adjusted Increase/ (Amortization)/ Impairment B./A.C.V. Change in Carrying Value at (Loss) on (Loss) on (Loss) on Received Contractual Indicator CUSIP Identification Description n Disposal Date Name of Purchaser of Stock Consideration Par Value Actual Cost Carrying Value (Decrease) Accretion Recognized (11+12-13) B./A.C.V. Disposal Date Disposal Disposal Disposal During Year Maturity Date (a) 165167 CG 0 Chesapeake Energy Corp 6.125% 02/15/21...... 08/17/2016. Stifel, Nicolaus and Co...... 811,250 ...... 1,000,000 ...... 930,000 ...... 953,778 ...... 0 ...... 4,902 ...... 0 ...... 4,902 ...... 0 ...... 958,680 ...... 0 ...... (147,430) ...... (147,430) ...... 62,441 02/15/2021.... 6FE......
17310R AB 5 CITIGROUP MORTGAGE LOAN TRUST SERIES 200. . 09/25/2016. Paydown...... 152,905 ...... 152,905 ...... 147,935 ...... 148,159 ...... 0 ...... 4,746 ...... 0 ...... 4,746 ...... 0 ...... 152,905 ...... 0 ...... 0 ...... 0 ...... 599 11/25/2036.... 1FM......
17315G AJ 7 CITIGROUP COMMERCIAL MORTGAGE SERIES 200 . 09/01/2016. Paydown...... 430,086 ...... 430,086 ...... 439,835 ...... 438,567 ...... 0 ...... (8,481) ...... 0 ...... (8,481) ...... 0 ...... 430,086 ...... 0 ...... 0 ...... 0 ...... 8,662 01/25/2037.... 1FM...... 21036P AD 0 Constellation Brands Inc 7.250% 09/01/...... 08/30/2016. Call 98.2180...... 1,473,270 ...... 1,500,000 ...... 1,485,300 ...... 1,498,675 ...... 0 ...... 1,314 ...... 0 ...... 1,314 ...... 0 ...... 1,499,989 ...... 0 ...... (26,719) ...... (26,719) ...... 135,448 09/01/2016.... 3FE...... 22541Q 2D 3 CS First Boston Mtg Sec Corp REMIC Ser...... 09/01/2016. Paydown...... 345,951 ...... 345,951 ...... 347,356 ...... 347,225 ...... 0 ...... (1,274) ...... 0 ...... (1,274) ...... 0 ...... 345,951 ...... 0 ...... 0 ...... 0 ...... 6,099 01/25/2034.... 1FM...... 22541S RR 1 CSFB 2004-AR7 4A1 2004-AR7 2.976% 11/2...... 09/01/2016. Paydown...... 449,908 ...... 449,908 ...... 451,314 ...... 451,246 ...... 0 ...... (1,338) ...... 0 ...... (1,338) ...... 0 ...... 449,908 ...... 0 ...... 0 ...... 0 ...... 7,977 11/25/2034.... 1FM...... 235851 AG 7 Danaher Corp 5.625% 01/15/18...... 08/15/2016. Call 100.0000...... 10,000,000 ...... 10,000,000 ...... 9,939,100 ...... 9,984,994 ...... 0 ...... 4,405 ...... 0 ...... 4,405 ...... 0 ...... 9,989,400 ...... 0 ...... 10,600 ...... 10,600 ....1,270,275 01/15/2018.... 1FE...... 247126 AH 8 Delphi Auto System 5.000% 02/15/23...... 09/30/2016. Call 100.0000...... 2,000,000 ...... 2,000,000 ...... 2,000,000 ...... 2,000,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,000,000 ...... 0 ...... 0 ...... 0 ...... 265,800 02/15/2023.... 2FE...... 251563 FB 3 DEUTSCHE MORTGAGE SEC INC 2004-4- 5AR1...... 09/01/2016. Paydown...... 383,928 ...... 383,928 ...... 361,132 ...... 366,354 ...... 0 ...... 17,573 ...... 0 ...... 17,573 ...... 0 ...... 383,928 ...... 0 ...... 0 ...... 0 ...... 6,707 06/25/2034.... 1FM...... 27004@ AA 5 EAGLES STADIUM INC Series A No. RA-17...... 07/15/2016. Redemption 100.0000...... 162,922 ...... 162,922 ...... 162,922 ...... 162,922 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 162,922 ...... 0 ...... 0 ...... 0 ...... 7,462 01/15/2039.... 2FE...... 29587# AF 3 Ernst & Young LLP Series C 7.660% 07/2...... 07/25/2016. Redemption 100.0000...... 999,648 ...... 999,648 ...... 1,068,024 ...... 1,016,383 ...... 0 ...... (8,784) ...... 0 ...... (8,784) ...... 0 ...... 1,007,600 ...... 0 ...... (7,952) ...... (7,952) ...... 76,573 07/25/2017.... 1...... 30256Y AA 1 FPL Energy Marcus Hook 144A 7.590% 07/...... 07/10/2016. Redemption 100.0000...... 23,781 ...... 23,781 ...... 23,781 ...... 23,781 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 23,781 ...... 0 ...... 0 ...... 0 ...... 1,805 07/10/2018.... 1FE...... 30257F AA 1 FPL Energy National Wind 144A 6.125% 0...... 09/25/2016. Redemption 100.0000...... 8,520 ...... 8,520 ...... 8,440 ...... 8,493 ...... 0 ...... 8 ...... 0 ...... 8 ...... 0 ...... 8,501 ...... 0 ...... 19 ...... 19 ...... 522 03/25/2019.... 4FE...... 30257G AA 9 FPL Energy National Wind 144A 5.608% 0...... 09/10/2016. Redemption 100.0000...... 77,307 ...... 77,307 ...... 77,892 ...... 77,610 ...... 0 ...... (25) ...... 0 ...... (25) ...... 0 ...... 77,585 ...... 0 ...... (277) ...... (277) ...... 4,335 03/10/2024.... 3FE...... 32051D 3J 9 First Horizon Asset Sec Inc SERIES 2004-...... 09/01/2016. Paydown...... 221,934 ...... 221,934 ...... 214,028 ...... 214,388 ...... 0 ...... 7,546 ...... 0 ...... 7,546 ...... 0 ...... 221,934 ...... 0 ...... 0 ...... 0 ...... 3,643 06/25/2034.... 1FM...... 361452 AA 3 GATX Rail Corp 8.100% 01/13/20...... 07/13/2016. Redemption 100.0000...... 1,098 ...... 1,098 ...... 1,098 ...... 1,098 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 1,098 ...... 0 ...... 0 ...... 0 ...... 89 01/13/2020.... 2FE...... Q 36804P AF 3 GATX Financial 144A 5.697% 01/02/25...... 07/02/2016. Redemption 100.0000...... 40,560 ...... 40,560 ...... 40,560 ...... 40,560 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 40,560 ...... 0 ...... 0 ...... 0 ...... 2,311 01/02/2025.... 2FE...... E 36877* AA 2 GENCONN ENRGY LLC No. R-28 4.730% 07/2...... 07/15/2016. Redemption 100.0000...... 287,595 ...... 287,595 ...... 287,595 ...... 287,595 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 287,595 ...... 0 ...... 0 ...... 0 ...... 13,603 07/25/2041.... 2FE...... 0
5 38081E AA 9 Golden Bear SERIES 20161A CLASS (CMBS) A...... 09/22/2016. Paydown...... 130,248 ...... 130,248 ...... 130,248 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 130,248 ...... 0 ...... 0 ...... 0 ...... 1,221 09/20/2047.... 1FE......
. HARBORVIEW MORTGAGE LOAN TRUST HVMLT 3 41161P CZ 4 200 . 09/01/2016. Paydown...... 826,635 ...... 826,635 ...... 830,769 ...... 828,370 ...... 0 ...... (1,735) ...... 0 ...... (1,735) ...... 0 ...... 826,635 ...... 0 ...... 0 ...... 0 ...... 14,381 04/19/2034.... 1FM...... 42208@ AA 8 Home Depot (HD Salem) Notes 2 and 5 6...... 09/30/2016. Redemption 100.0000...... 84,693 ...... 84,693 ...... 84,693 ...... 84,693 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 84,693 ...... 0 ...... 0 ...... 0 ...... 3,536 11/30/2030.... 1...... 42346# AE 1 HELMERICH PAYNE 6.100% 07/21/16...... 07/21/2016. Redemption 100.0000...... 600,000 ...... 600,000 ...... 600,000 ...... 600,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 600,000 ...... 0 ...... 0 ...... 0 ...... 36,600 07/21/2016.... 2...... 42770L AA 1 Hero Funding Trust SERIES 20151A CLASS (...... 09/20/2016. Paydown...... 1,531,156 ...... 1,531,156 ...... 1,530,464 ...... 1,530,597 ...... 0 ...... 559 ...... 0 ...... 559 ...... 0 ...... 1,531,156 ...... 0 ...... 0 ...... 0 ...... 57,310 09/20/2040.... 1FE...... 42770U AA 1 Hero Funding Trust SERIES 20152A CLASS (...... 09/20/2016. Paydown...... 1,211,439 ...... 1,211,439 ...... 1,211,302 ...... 1,211,193 ...... 0 ...... 245 ...... 0 ...... 245 ...... 0 ...... 1,211,439 ...... 0 ...... 0 ...... 0 ...... 47,066 09/20/2040.... 1FE...... 42770V AA 9 Hero Funding Trust SERIES 20161A CLASS (...... 09/20/2016. Paydown...... 249,953 ...... 249,953 ...... 249,930 ...... 0 ...... 0 ...... 22 ...... 0 ...... 22 ...... 0 ...... 249,953 ...... 0 ...... 0 ...... 0 ...... 5,319 09/20/2041.... 1FE...... 42770W AA 7 HERO Funding Trust SERIES 20162A CLASS (...... 09/20/2016. Paydown...... 412,308 ...... 412,308 ...... 412,173 ...... 0 ...... 0 ...... 135 ...... 0 ...... 135 ...... 0 ...... 412,308 ...... 0 ...... 0 ...... 0 ...... 2,932 09/20/2041.... 1FE...... 42771T AA 3 Hero Funding Trust SERIES 20153A CLASS (...... 09/25/2016. Paydown...... 731,487 ...... 731,487 ...... 731,541 ...... 721,135 ...... 0 ...... (53) ...... 0 ...... (53) ...... 0 ...... 731,487 ...... 0 ...... 0 ...... 0 ...... 23,287 09/20/2041.... 1FE......
43739E AJ 6 HOMEBANC MORTGAGE TRUST SERIES 20042 CLA . 09/25/2016. Paydown...... 914,170 ...... 914,170 ...... 840,764 ...... 842,529 ...... 0 ...... 71,641 ...... 0 ...... 71,641 ...... 0 ...... 914,170 ...... 0 ...... 0 ...... 0 ...... 7,534 12/25/2034.... 1FM......
43739E BJ 5 HOMEBANC MORTGAGE TRUST SERIES 20053 CLA . 09/25/2016. Paydown...... 657,065 ...... 657,065 ...... 587,860 ...... 589,753 ...... 0 ...... 67,313 ...... 0 ...... 67,313 ...... 0 ...... 657,065 ...... 0 ...... 0 ...... 0 ...... 3,125 07/25/2035.... 1FM...... 44416* AB 2 HUDSON TRANS LLC 4.420% 05/31/33...... 08/31/2016. Redemption 100.0000...... 23,250 ...... 23,250 ...... 23,250 ...... 23,250 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 23,250 ...... 0 ...... 0 ...... 0 ...... 771 05/31/2033.... 2Z...... 465685 AC 9 ITC Holdings Corp 144A 5.875% 09/30/16...... 09/30/2016. Maturity...... 5,000,000 ...... 5,000,000 ...... 4,999,350 ...... 4,999,928 ...... 0 ...... 72 ...... 0 ...... 72 ...... 0 ...... 5,000,000 ...... 0 ...... 0 ...... 0 ...... 293,750 09/30/2016.... 2FE...... 466112 AF 6 JBS USA LLC/JBS USA FINA 7.250% 06/01/...... 09/01/2016. Wells Fargo Funds...... 5,175,000 ...... 5,000,000 ...... 4,737,500 ...... 0 ...... 0 ...... 23,456 ...... 0 ...... 23,456 ...... 0 ...... 4,760,956 ...... 0 ...... 414,044 ...... 414,044 ...... 284,167 06/01/2021.... 3FE...... 466112 AP 4 JBS USA LLC/JBS USA FINA 5.875% 07/15/...... 09/21/2016. Wells Fargo Funds...... 7,910,000 ...... 8,000,000 ...... 7,932,500 ...... 7,938,850 ...... 0 ...... 2,805 ...... 0 ...... 2,805 ...... 0 ...... 7,941,655 ...... 0 ...... (31,655) ...... (31,655) ...... 571,715 07/15/2024.... 3FE...... 46627Q BC 1 JP Morgan Chase Comm Mtg Sec REMIC Ser...... 09/01/2016. Paydown...... 2,823,942 ...... 2,823,942 ...... 2,554,785 ...... 2,800,135 ...... 0 ...... 23,807 ...... 0 ...... 23,807 ...... 0 ...... 2,823,942 ...... 0 ...... 0 ...... 0 ...... 98,108 06/12/2043.... 2FM...... 46632H AD 3 JP Morgan Chase Com Mtg Sec Co SERIES 20...... 09/01/2016. Paydown...... 797,003 ...... 797,003 ...... 529,135 ...... 738,036 ...... 0 ...... 58,967 ...... 0 ...... 58,967 ...... 0 ...... 797,003 ...... 0 ...... 0 ...... 0 ...... 35,160 02/15/2051.... 1FM......
46640M AA 8 JP MORGAN MORTGAGE TRUST SERIES 20133 CL. . 09/01/2016. Paydown...... 507,985 ...... 507,985 ...... 506,794 ...... 506,801 ...... 0 ...... 1,183 ...... 0 ...... 1,183 ...... 0 ...... 507,985 ...... 0 ...... 0 ...... 0 ...... 9,601 07/25/2043.... 1FM...... 52467@ AJ 4 Stop & Shop 7.539% 11/15/26...... 09/15/2016. Redemption 100.0000...... 39,888 ...... 39,888 ...... 40,300 ...... 40,133 ...... 0 ...... (13) ...... 0 ...... (13) ...... 0 ...... 40,120 ...... 0 ...... (231) ...... (231) ...... 2,001 11/15/2026.... 2FE...... 576434 CU 6 MASTR ALTERNATIVE LOANS TRUST SERIES 200... . 09/01/2016. Paydown...... 252,065 ...... 252,065 ...... 264,038 ...... 263,251 ...... 0 ...... (11,186) ...... 0 ...... (11,186) ...... 0 ...... 252,065 ...... 0 ...... 0 ...... 0 ...... 10,441 03/25/2033.... 1FM...... 61913P AR 3 MORTGAGEIT TRUST SERIES 20051 CLASS 2A...... 09/01/2016. Paydown...... 460,538 ...... 460,538 ...... 448,024 ...... 448,579 ...... 0 ...... 11,960 ...... 0 ...... 11,960 ...... 0 ...... 460,538 ...... 0 ...... 0 ...... 0 ...... 4,926 02/25/2035.... 1FM...... 629568 AQ 9 Nabors Industries Inc 6.150% 02/15/18...... 08/16/2016. Various...... 7,277,550 ...... 7,000,000 ...... 7,017,260 ...... 7,004,537 ...... 0 ...... (1,283) ...... 0 ...... (1,283) ...... 0 ...... 7,003,254 ...... 0 ...... 274,296 ...... 274,296 ...... 433,233 02/15/2018.... 3FE...... 629568 AV 8 Nabors Industries Inc 5.000% 09/15/20...... 08/11/2016. MarketAxess...... 1,983,100 ...... 2,000,000 ...... 1,991,587 ...... 1,995,400 ...... 0 ...... 546 ...... 0 ...... 546 ...... 0 ...... 1,995,947 ...... 0 ...... (12,847) ...... (12,847) ...... 91,806 09/15/2020.... 3FE...... 64079* AB 8 Neptune Regional Transmission 6.210% 0...... 09/30/2016. Redemption 100.0000...... 53,532 ...... 53,532 ...... 53,532 ...... 53,532 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 53,532 ...... 0 ...... 0 ...... 0 ...... 2,493 06/30/2027.... 1FE...... 67389M AC 5 Oaks 2015-1 3.500% 04/25/46...... 09/01/2016. Paydown...... 941,608 ...... 941,608 ...... 944,109 ...... 944,045 ...... 0 ...... (2,438) ...... 0 ...... (2,438) ...... 0 ...... 941,608 ...... 0 ...... 0 ...... 0 ...... 21,570 04/25/2046.... 1FM...... 74332L AA 5 PROGRESS RESIDENTIAL TRUST 2015-SFR1 1...... 09/17/2016. Paydown...... 637,875 ...... 637,875 ...... 618,938 ...... 0 ...... 0 ...... 18,937 ...... 0 ...... 18,937 ...... 0 ...... 637,875 ...... 0 ...... 0 ...... 0 ...... 6,866 02/17/2032.... 1FE...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 4 Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter 1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22 11 12 13 14 15 F o NAIC r Current Year's Bond Interest Desig- e Unrealized Other-Than- Total Foreign Foreign / Stock nation or i Prior Year Valuation Current Year's Temporary Total Change in Exchange Book/Adjusted Exchange Gain Realized Gain Total Gain Dividends Stated Market g Number of Shares Book/Adjusted Increase/ (Amortization)/ Impairment B./A.C.V. Change in Carrying Value at (Loss) on (Loss) on (Loss) on Received Contractual Indicator CUSIP Identification Description n Disposal Date Name of Purchaser of Stock Consideration Par Value Actual Cost Carrying Value (Decrease) Accretion Recognized (11+12-13) B./A.C.V. Disposal Date Disposal Disposal Disposal During Year Maturity Date (a) 75884R AQ 6 Regency Centers LP 5.875% 06/15/17...... 08/12/2016. Call 100.0000...... 3,747,000 ...... 3,747,000 ...... 3,729,277 ...... 3,743,763 ...... 0 ...... 1,332 ...... 0 ...... 1,332 ...... 0 ...... 3,745,095 ...... 0 ...... 1,905 ...... 1,905 ...... 309,963 06/15/2017.... 2FE...... 75974@ AA 0 RENEWABLE ENGY 4.110% 03/31/35...... 09/30/2016. Redemption 100.0000...... 600,879 ...... 600,879 ...... 600,879 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 600,879 ...... 0 ...... 0 ...... 0 ...... 12,348 03/31/2035.... 2FE...... 771196 AS 1 ROCHE HLDGS INC 6.000% 03/01/19...... 08/25/2016. Call 100.0000...... 3,511,000 ...... 3,511,000 ...... 3,455,807 ...... 3,489,826 ...... 0 ...... 3,988 ...... 0 ...... 3,988 ...... 0 ...... 3,493,813 ...... 0 ...... 17,187 ...... 17,187 ...... 817,071 03/01/2019.... 1FE...... 779382 AP 5 ROWAN COMPANIES INC 4.875% 06/01/22...... 08/17/2016. Various...... 6,867,984 ...... 8,000,000 ...... 7,951,010 ...... 7,966,064 ...... 0 ...... 2,879 ...... 0 ...... 2,879 ...... 0 ...... 7,968,943 ...... 0 ...... (1,100,959) ...... (1,100,959) ...... 278,633 06/01/2022.... 3FE...... 78412F AL 8 SESI LLC 6.375% 05/01/19...... 08/10/2016. Morgan Stanley DWD...... 480,000 ...... 500,000 ...... 531,250 ...... 509,481 ...... 0 ...... (4,345) ...... 0 ...... (4,345) ...... 0 ...... 505,136 ...... 0 ...... (25,136) ...... (25,136) ...... 25,146 05/01/2019.... 3FE...... 78412F AP 9 SESI LLC 7.125% 12/15/21...... 08/10/2016. Citigroup Global...... 956,250 ...... 1,000,000 ...... 1,122,500 ...... 1,058,000 ...... 0 ...... (14,467) ...... 0 ...... (14,467) ...... 0 ...... 1,043,533 ...... 0 ...... (87,283) ...... (87,283) ...... 47,500 12/15/2021.... 4FE...... 78442F EJ 3 SLM Corp 8.000% 03/25/20...... 09/01/2016. Citigroup Global...... 3,672,000 ...... 3,400,000 ...... 3,187,500 ...... 0 ...... 0 ...... 24,656 ...... 0 ...... 24,656 ...... 0 ...... 3,212,156 ...... 0 ...... 459,844 ...... 459,844 ...... 258,400 03/25/2020.... 3FE...... 81744F HK 6 SEQUOIA MORTGAGE TRUST SERIES 20053 CLAS. . 09/20/2016. Paydown...... 157,852 ...... 157,852 ...... 143,201 ...... 144,799 ...... 0 ...... 13,053 ...... 0 ...... 13,053 ...... 0 ...... 157,852 ...... 0 ...... 0 ...... 0 ...... 724 05/20/2035.... 1FM...... 81744Y AB 2 SEQUOIA MORTGAGE TRUST SERIES 20134 CLAS. . 09/01/2016. Paydown...... 221,722 ...... 221,722 ...... 198,863 ...... 200,670 ...... 0 ...... 21,052 ...... 0 ...... 21,052 ...... 0 ...... 221,722 ...... 0 ...... 0 ...... 0 ...... 3,751 04/25/2043.... 1FM...... 81745A AB 3 SEQUOIA MORTGAGE TRUST SERIES 20135 CLAS. . 09/01/2016. Paydown...... 344,539 ...... 344,539 ...... 323,668 ...... 326,229 ...... 0 ...... 18,310 ...... 0 ...... 18,310 ...... 0 ...... 344,539 ...... 0 ...... 0 ...... 0 ...... 7,121 05/25/2043.... 1FM...... 81745F AB 2 SEQUOIA MORTGAGE TRUST SERIES 20123 CLAS. . 09/01/2016. Paydown...... 336,739 ...... 336,739 ...... 319,270 ...... 320,886 ...... 0 ...... 15,853 ...... 0 ...... 15,853 ...... 0 ...... 336,739 ...... 0 ...... 0 ...... 0 ...... 6,723 07/25/2042.... 1FM...... 83614K AA 7 Source Gas LLC 144A 5.900% 04/01/17...... 09/12/2016. Call 100.0000...... 10,000,000 ...... 10,000,000 ...... 9,977,980 ...... 9,996,453 ...... 0 ...... 1,950 ...... 0 ...... 1,950 ...... 0 ...... 9,998,403 ...... 0 ...... 1,597 ...... 1,597 ...... 841,066 04/01/2017.... 2FE...... 84474Y AA 4 SW AIRLINES 07-1 TRUST 6.150% 08/01/22...... 08/01/2016. Redemption 100.0000...... 120,477 ...... 120,477 ...... 106,449 ...... 112,588 ...... 0 ...... 824 ...... 0 ...... 824 ...... 0 ...... 113,412 ...... 0 ...... 7,065 ...... 7,065 ...... 7,409 08/01/2022.... 1FE...... 848609 AA 1 SPIRITS NEWCO No. R-43 5.300% 06/30/36...... 09/30/2016. Redemption 100.0000...... 29,372 ...... 29,372 ...... 29,372 ...... 29,372 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 29,372 ...... 0 ...... 0 ...... 0 ...... 1,168 03/31/2033.... 2FE...... 87612E AN 6 Target Corporation 5.875% 07/15/16...... 07/15/2016. Maturity...... 5,000,000 ...... 5,000,000 ...... 4,998,100 ...... 4,999,868 ...... 0 ...... 132 ...... 0 ...... 132 ...... 0 ...... 5,000,000 ...... 0 ...... 0 ...... 0 ...... 293,750 07/15/2016.... 1FE...... 88031V AA 7 Tenaska Gateway Partners 144A 6.052% 1...... 09/30/2016. Redemption 100.0000...... 95,370 ...... 95,370 ...... 95,370 ...... 95,370 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 95,370 ...... 0 ...... 0 ...... 0 ...... 4,329 12/30/2023.... 2FE...... 881609 AZ 4 Tesoro Corp 5.375% 10/01/22...... 09/01/2016. BNP Paribas...... 5,162,500 ...... 5,000,000 ...... 4,450,000 ...... 0 ...... 0 ...... 37,103 ...... 0 ...... 37,103 ...... 0 ...... 4,487,103 ...... 0 ...... 675,397 ...... 675,397 ...... 250,833 10/01/2022.... 3FE...... Q 90783W AA 1 UNP RR CO 2006 PASS TRST 5.866% 07/02/...... 07/02/2016. Redemption 100.0000...... 134,103 ...... 134,103 ...... 132,279 ...... 132,957 ...... 0 ...... 62 ...... 0 ...... 62 ...... 0 ...... 133,019 ...... 0 ...... 1,084 ...... 1,084 ...... 7,866 07/02/2030.... 1FE...... E 91529Y AG 1 UNUM GROUP 7.125% 09/30/16...... 09/30/2016. Maturity...... 2,000,000 ...... 2,000,000 ...... 2,000,000 ...... 2,000,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,000,000 ...... 0 ...... 0 ...... 0 ...... 142,500 09/30/2016.... 2FE...... 0
5 91845# AA 2 Verizon Communications Inc Series A1 No...... 09/15/2016. Redemption 100.0000...... 34,522 ...... 34,522 ...... 34,522 ...... 34,522 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 34,522 ...... 0 ...... 0 ...... 0 ...... 878 05/15/2035.... 2......
4 92783# AA 4 VA INTL GATEWAY No. 62 3.930% 06/30/30...... 09/30/2016. Redemption 100.0000...... 21,373 ...... 21,373 ...... 21,373 ...... 21,373 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 21,373 ...... 0 ...... 0 ...... 0 ...... 630 06/30/2030.... 1FE...... 92922F 4M 7 WAMU Mortgage Pass-Through Cer 0.814%...... 09/25/2016. Paydown...... 277,298 ...... 277,298 ...... 263,347 ...... 260,950 ...... 0 ...... 16,349 ...... 0 ...... 16,349 ...... 0 ...... 277,298 ...... 0 ...... 0 ...... 0 ...... 2,002 10/25/2045.... 1FM...... 94983E AH 6 WFMBS 2005-AR12 2A5 SERIES 2005-AR12 2A5...... 09/01/2016. Paydown...... 110,742 ...... 110,742 ...... 111,607 ...... 111,577 ...... 0 ...... (835) ...... 0 ...... (835) ...... 0 ...... 110,742 ...... 0 ...... 0 ...... 0 ...... 2,148 06/25/2035.... 1FM...... 96928* FP 7 KRAFT FOODS GRP 4.470% 01/15/35...... 09/15/2016. Redemption 100.0000...... 110,261 ...... 110,261 ...... 110,261 ...... 110,261 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 110,261 ...... 0 ...... 0 ...... 0 ...... 3,287 01/15/2035.... 2...... 97314@ AA 3 WIND ENERGY TRANSMISSION TEXAS No. 33...... 09/30/2016. Redemption 100.0000...... 111,111 ...... 111,111 ...... 111,111 ...... 111,111 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 111,111 ...... 0 ...... 0 ...... 0 ...... 3,058 12/18/2034.... 1...... 97381W AJ 3 Windstream Corp 7.875% 11/01/17...... 09/30/2016. Call 100.0000...... 2,000,000 ...... 2,000,000 ...... 1,980,310 ...... 1,994,432 ...... 0 ...... 2,168 ...... 0 ...... 2,168 ...... 0 ...... 1,996,601 ...... 0 ...... 3,399 ...... 3,399 ...... 143,938 11/01/2017.... 4FE...... 97652P AA 9 Winwater Mortgage Loan Trust SERIES 2014...... 09/01/2016. Paydown...... 398,556 ...... 398,556 ...... 412,630 ...... 0 ...... 0 ...... (14,074) ...... 0 ...... (14,074) ...... 0 ...... 398,556 ...... 0 ...... 0 ...... 0 ...... 2,049 06/20/2044.... 1FE...... 97653B AC 5 WINWATER Mortgage Loan Trust 3.500% 08...... 09/01/2016. Paydown...... 954,198 ...... 954,198 ...... 956,583 ...... 956,493 ...... 0 ...... (2,295) ...... 0 ...... (2,295) ...... 0 ...... 954,198 ...... 0 ...... 0 ...... 0 ...... 22,170 08/20/2034.... 1FM...... 740212 AC 9 PRECISION DRILLING CORP 6.625% 11/15/2...... A 08/11/2016. Various...... 2,790,000 ...... 3,000,000 ...... 3,077,500 ...... 3,034,341 ...... 0 ...... (7,009) ...... 0 ...... (7,009) ...... 0 ...... 3,027,332 ...... 0 ...... (237,332) ...... (237,332) ...... 149,431 11/15/2020.... 4FE...... 740212 AE 5 PRECISION DRILLING CORP 6.500% 12/15/2...... A 08/10/2016. Barclays Capital...... 2,737,540 ...... 3,000,000 ...... 2,980,000 ...... 2,985,251 ...... 0 ...... 642 ...... 0 ...... 642 ...... 0 ...... 2,985,893 ...... 0 ...... (248,353) ...... (248,353) ...... 130,000 12/15/2021.... 4FE...... 74022D AJ 9 PRECISION DRILLING CORP 5.250% 11/15/2...... A 08/10/2016. National Bk of Canada Fin...... 4,087,500 ...... 5,000,000 ...... 5,050,000 ...... 5,041,599 ...... 0 ...... (3,496) ...... 0 ...... (3,496) ...... 0 ...... 5,038,103 ...... 0 ...... (950,603) ...... (950,603) ...... 196,875 11/15/2024.... 4FE...... 896356 AD 4 TRINIDAD DRILLING LTD 7.875% 01/15/19...... A 08/10/2016. National Bk of Canada Fin...... 5,710,938 ...... 6,250,000 ...... 6,659,375 ...... 6,363,626 ...... 0 ...... (67,365) ...... 0 ...... (67,365) ...... 0 ...... 6,296,261 ...... 0 ...... (585,324) ...... (585,324) ...... 533,203 01/15/2019.... 5FE...... 03938L AF 1 Arcelormittal 144A 6.125% 06/01/18...... F 09/23/2016. Redemption 102.0000...... 5,100,000 ...... 5,000,000 ...... 4,978,550 ...... 4,993,591 ...... 0 ...... 1,833 ...... 0 ...... 1,833 ...... 0 ...... 4,995,424 ...... 0 ...... 104,576 ...... 104,576 ...... 498,403 06/01/2018.... 3FE...... 03938L AM 6 Arcelormittal 10.850% 06/01/19...... F 09/01/2016. Wells Fargo Funds...... 5,831,000 ...... 4,900,000 ...... 4,811,750 ...... 0 ...... 0 ...... 14,379 ...... 0 ...... 14,379 ...... 0 ...... 4,826,129 ...... 0 ...... 1,004,871 ...... 1,004,871 ...... 407,598 06/01/2019.... 3FE...... 049255 AG 7 ATLAS COPCO AB 5.600% 05/22/17...... F 09/02/2016. Call 100.0000...... 6,735,000 ...... 6,735,000 ...... 6,368,462 ...... 6,657,972 ...... 0 ...... 36,340 ...... 0 ...... 36,340 ...... 0 ...... 6,694,312 ...... 0 ...... 40,688 ...... 40,688 ...... 532,194 05/22/2017.... 1FE...... 29358Q AA 7 ENSCO PLC 4.700% 03/15/21...... F 08/25/2016. Various...... 10,438,103 ...... 12,000,000 ...... 12,446,950 ...... 12,265,694 ...... 0 ...... (29,363) ...... 0 ...... (29,363) ...... 0 ...... 12,236,331 ...... 0 ...... (1,798,228) ...... (1,798,228) ...... 525,321 03/15/2021.... 3FE...... 411349 AA 1 HANSON LTD 6.125% 08/15/16...... F 08/15/2016. Maturity...... 1,000,000 ...... 1,000,000 ...... 987,500 ...... 998,597 ...... 0 ...... 1,403 ...... 0 ...... 1,403 ...... 0 ...... 1,000,000 ...... 0 ...... 0 ...... 0 ...... 61,250 08/15/2016.... 3FE...... 44920U AC 2 HYUNDAI CAPITAL SERVICES 4.375% 07/27/...... F 07/27/2016. Maturity...... 9,000,000 ...... 9,000,000 ...... 8,996,140 ...... 8,999,555 ...... 0 ...... 445 ...... 0 ...... 445 ...... 0 ...... 9,000,000 ...... 0 ...... 0 ...... 0 ...... 393,750 07/27/2016.... 2FE...... 505861 AB 0 LaFarge SA 6.500% 07/15/16...... F 07/15/2016. Maturity...... 8,000,000 ...... 8,000,000 ...... 7,967,040 ...... 7,997,631 ...... 0 ...... 2,369 ...... 0 ...... 2,369 ...... 0 ...... 8,000,000 ...... 0 ...... 0 ...... 0 ...... 520,000 07/15/2016.... 2FE...... 65504L AC 1 NOBLE HOLDING INTL LTD 4.900% 08/01/20...... F 08/10/2016. Various...... 4,409,400 ...... 5,000,000 ...... 5,502,350 ...... 5,326,551 ...... 0 ...... (41,450) ...... 0 ...... (41,450) ...... 0 ...... 5,285,101 ...... 0 ...... (875,701) ...... (875,701) ...... 254,528 08/01/2020.... 2FE...... 65504L AF 4 NOBLE HOLDING INTL LTD 4.625% 03/01/21...... F 08/11/2016. Barclays Capital...... 1,679,680 ...... 2,000,000 ...... 2,056,620 ...... 2,032,953 ...... 0 ...... (3,584) ...... 0 ...... (3,584) ...... 0 ...... 2,029,370 ...... 0 ...... (349,690) ...... (349,690) ...... 88,517 03/01/2021.... 2FE...... 67576G AA 5 ODBRCHT OFFSHRE DRLL FIN 6.750% 10/01/...... F 09/01/2016. Redemption 100.0000...... 178,500 ...... 178,500 ...... 48,820 ...... 49,643 ...... 0 ...... 4,308 ...... 0 ...... 4,308 ...... 0 ...... 53,951 ...... 0 ...... 124,549 ...... 124,549 ...... 9,037 10/01/2022.... 5FE...... 893830 AY 5 Transocean Inc 6.500% 11/15/20...... F 08/11/2016. Morgan Stanley DWD...... 2,805,000 ...... 3,000,000 ...... 3,280,890 ...... 3,200,106 ...... 0 ...... (23,062) ...... 0 ...... (23,062) ...... 0 ...... 3,177,044 ...... 0 ...... (372,044) ...... (372,044) ...... 146,792 11/15/2020.... 4FE...... 90320T AA 8 UPCB FINANCE V LTD 7.250% 11/15/21...... F 08/24/2016. Call 100.0000...... 450,000 ...... 450,000 ...... 450,000 ...... 450,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 450,000 ...... 0 ...... 0 ...... 0 ...... 46,808 11/15/2021.... 3FE...... 90320X AA 9 UPCB FINANCE VI LTD 6.875% 01/15/22...... F 08/24/2016. Call 100.0000...... 600,000 ...... 600,000 ...... 622,125 ...... 612,593 ...... 0 ...... (2,216) ...... 0 ...... (2,216) ...... 0 ...... 610,378 ...... 0 ...... (10,378) ...... (10,378) ...... 47,719 01/15/2022.... 3FE...... 94707V AA 8 WEATHERFORD INTL LTD 5.125% 09/15/20...... F 08/16/2016. Various...... 4,776,697 ...... 5,000,000 ...... 4,993,100 ...... 4,996,277 ...... 0 ...... 445 ...... 0 ...... 445 ...... 0 ...... 4,996,722 ...... 0 ...... (220,025) ...... (220,025) ...... 236,421 09/15/2020.... 4FE...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE D - PART 4 Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter 1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22 11 12 13 14 15 F o NAIC r Current Year's Bond Interest Desig- e Unrealized Other-Than- Total Foreign Foreign / Stock nation or i Prior Year Valuation Current Year's Temporary Total Change in Exchange Book/Adjusted Exchange Gain Realized Gain Total Gain Dividends Stated Market g Number of Shares Book/Adjusted Increase/ (Amortization)/ Impairment B./A.C.V. Change in Carrying Value at (Loss) on (Loss) on (Loss) on Received Contractual Indicator CUSIP Identification Description n Disposal Date Name of Purchaser of Stock Consideration Par Value Actual Cost Carrying Value (Decrease) Accretion Recognized (11+12-13) B./A.C.V. Disposal Date Disposal Disposal Disposal During Year Maturity Date (a) 94707V AB 6 WEATHERFORD INTL LTD 6.750% 09/15/40...... F 08/10/2016. Goldman Sachs & Company...... 378,750 ...... 500,000 ...... 497,970 ...... 498,093 ...... 0 ...... 19 ...... 0 ...... 19 ...... 0 ...... 498,112 ...... 0 ...... (119,362) ...... (119,362) ...... 30,938 09/15/2040.... 4FE...... F8493@ AC 3 SODEXO Series C 6.430% 09/29/18...... F 08/25/2016. Call 100.0000...... 2,000,000 ...... 2,000,000 ...... 2,000,000 ...... 2,000,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,000,000 ...... 0 ...... 0 ...... 0 ...... 116,439 09/29/2018.... 1...... F8493@ AD 1 SODEXO Series A Note RA-19 4.240% 03/2...... F 09/26/2016. Call 100.0000...... 2,050,000 ...... 2,050,000 ...... 2,050,000 ...... 2,050,000 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 2,050,000 ...... 0 ...... 0 ...... 0 ...... 114,617 03/29/2018.... 1...... 3899999. Total Bonds - Industrial and Miscellaneous...... 268,090,969 ...... 274,368,057 ...... 274,078,447 ...... 250,774,971 ...... 0 ...... 247,943 ...... 0 ...... 247,943 ...... 0 ...... 274,200,448 ...... 0 ...... (6,109,478) ...... (6,109,478) ..16,702,820 XXX XXX 8399997. Total Bonds - Part 4...... 340,080,076 ...... 346,357,164 ...... 347,360,806 ...... 324,053,590 ...... 0 ...... (1,042,421) ...... 0 ...... (1,042,421) ...... 0 ...... 346,188,713 ...... 0 ...... (6,108,636) ...... (6,108,636) ..18,777,715 XXX XXX 8399999. Total Bonds...... 340,080,076 ...... 346,357,164 ...... 347,360,806 ...... 324,053,590 ...... 0 ...... (1,042,421) ...... 0 ...... (1,042,421) ...... 0 ...... 346,188,713 ...... 0 ...... (6,108,636) ...... (6,108,636) ..18,777,715 XXX XXX Common Stocks - Industrial and Miscellaneous 45329R 10 9 INC Research Holdings Inc...... 09/23/2016. Citigroup Global...... 7,995.000 ...... 357,749 XXX ...... 357,672 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 357,672 ...... 0 ...... 77 ...... 77 ...... 0 XXX L...... 9099999. Total Common Stocks - Industrial and Miscellaneous...... 357,749 XXX ...... 357,672 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 357,672 ...... 0 ...... 77 ...... 77 ...... 0 XXX XXX 9799997 Total Common Stocks - Part 4...... 357,749 XXX ...... 357,672 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 357,672 ...... 0 ...... 77 ...... 77 ...... 0 XXX XXX 9799999. Total Common Stocks...... 357,749 XXX ...... 357,672 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 357,672 ...... 0 ...... 77 ...... 77 ...... 0 XXX XXX 9899999. Total Preferred and Common Stocks...... 357,749 XXX ...... 357,672 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 357,672 ...... 0 ...... 77 ...... 77 ...... 0 XXX XXX 9999999. Total Bonds, Preferred and Common Stocks...... 340,437,825 XXX ...... 347,718,478 ...... 324,053,590 ...... 0 ...... (1,042,421) ...... 0 ...... (1,042,421) ...... 0 ...... 346,546,385 ...... 0 ...... (6,108,559) ...... (6,108,559) ..18,777,715 XXX XXX (a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues:...... 0. Q E 0 5 . 5 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) Purchased Options - Hedging Effective - Call Options and Warrants Russell 2000 OTC Call Option 9RG000OK Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/07/2015 .10/07/2016 ...... 5,518 ...... 6,360,000 ....1,153.0000 ...... 500,538 ...... 0 ...... 0 ...... 547,141 ...... 547,141 ...... 158,919 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option Equity/I RBC Capital 9RG000OM 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/14/2015 .10/14/2016 ...... 6,623 ...... 7,530,000 ....1,137.0000 ...... 585,871 ...... 0 ...... 0 ...... 762,686 ...... 762,686 ...... 238,868 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OO Equity/I JP Morgan Chase 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 10/21/2015 .10/21/2016 ...... 3,607 ...... 4,130,000 ....1,145.0000 ...... 324,630 ...... 0 ...... 0 ...... 386,824 ...... 386,824 ...... 111,626 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OQ Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/28/2015 .10/28/2016 ...... 5,268 ...... 6,210,000 ....1,179.0000 ...... 447,780 ...... 0 ...... 0 ...... 407,795 ...... 407,795 ...... 88,871 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OS Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 11/06/2015 .11/07/2016 ...... 3,851 ...... 4,620,000 ....1,200.0000 ...... 341,430 ...... 0 ...... 0 ...... 245,197 ...... 245,197 ...... 42,513 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OU Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/13/2015 .11/14/2016 ...... 7,056 ...... 8,090,000 ....1,147.0000 ...... 645,553 ...... 0 ...... 0 ...... 781,645 ...... 781,645 ...... 226,283 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option Equity/I Barclays Bank 9RG000OW 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ...... 3,523 ...... 4,140,000 ....1,175.0000 ...... 314,639 ...... 0 ...... 0 ...... 309,395 ...... 309,395 ...... 80,396 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OY Equity/I JP Morgan Chase 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 11/27/2015 .11/28/2016 ...... 5,780 ...... 6,950,000 ....1,202.0000 ...... 491,300 ...... 0 ...... 0 ...... 387,858 ...... 387,858 ...... 74,466 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PA Equity/I JP Morgan Chase 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 12/07/2015 .12/07/2016 ...... 4,002 ...... 4,660,000 ....1,164.0000 ...... 340,170 ...... 0 ...... 0 ...... 402,570 ...... 402,570 ...... 113,698 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PC Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/14/2015 .12/14/2016 ...... 7,958 ...... 8,880,000 ....1,116.0000 ...... 676,430 ...... 0 ...... 0 ...... 1,149,049 ...... 1,149,049 ...... 366,609 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PE Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 12/21/2015 .12/21/2016 ...... 4,114 ...... 4,640,000 ....1,128.0000 ...... 339,611 ...... 0 ...... 0 ...... 562,009 ...... 562,009 ...... 180,254 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PG Equity/I RBC Capital
Q 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 12/28/2015 .12/28/2016 ...... 4,128 ...... 4,740,000 ....1,148.0000 ...... 360,209 ...... 0 ...... 0 ...... 499,545 ...... 499,545 ...... 159,074 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PI Equity/I E 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/07/2016 .01/06/2017 ...... 4,669 ...... 4,970,000 ....1,065.0000 ...... 0 ...... 396,865 ...... 0 ...... 911,034 ...... 911,034 ...... 514,169 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... 0 Russell 2000 OTC Call Option 9RG000PK Equity/I RBC Capital 6 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 01/14/2016 .01/13/2017 ...... 6,913 ...... 7,090,000 ....1,026.0000 ...... 0 ...... 584,978 ...... 0 ...... 1,618,891 ...... 1,618,891 ....1,033,913 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PM Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 01/21/2016 .01/20/2017 ...... 1,995 ...... 1,990,000 ...... 997.3400 ...... 0 ...... 179,550 ...... 0 ...... 520,845 ...... 520,845 ...... 341,295 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PO Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/28/2016 .01/27/2017 ...... 4,665 ...... 4,680,000 ....1,003.0000 ...... 0 ...... 396,525 ...... 0 ...... 1,186,708 ...... 1,186,708 ...... 790,183 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PQ Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/05/2016 .02/07/2017 ...... 2,293 ...... 2,260,000 ...... 985.6200 ...... 0 ...... 199,560 ...... 0 ...... 626,977 ...... 626,977 ...... 427,417 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PS Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/12/2016 .02/14/2017 ...... 8,189 ...... 7,960,000 ...... 971.9900 ...... 0 ...... 696,065 ...... 0 ...... 2,327,435 ...... 2,327,435 ....1,631,370 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PU Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 02/19/2016 .02/21/2017 ...... 2,436 ...... 2,460,000 ....1,010.0000 ...... 0 ...... 207,060 ...... 0 ...... 610,145 ...... 610,145 ...... 403,085 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option Equity/I JP Morgan Chase 9RG000PW 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 02/26/2016 .02/28/2017 ...... 5,033 ...... 5,220,000 ....1,037.0000 ...... 0 ...... 427,805 ...... 0 ...... 1,142,796 ...... 1,142,796 ...... 714,991 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PY Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 03/07/2016 .03/07/2017 ...... 4,451 ...... 4,870,000 ....1,094.0000 ...... 0 ...... 378,332 ...... 0 ...... 796,181 ...... 796,181 ...... 417,849 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QA Equity/I Credit Suisse FB 9RG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/14/2016 .03/14/2017 ...... 7,295 ...... 7,910,000 ....1,084.0000 ...... 0 ...... 620,075 ...... 0 ...... 1,351,359 ...... 1,351,359 ...... 731,284 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QC Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 03/21/2016 .03/21/2017 ...... 4,133 ...... 4,540,000 ....1,099.0000 ...... 0 ...... 351,305 ...... 0 ...... 733,835 ...... 733,835 ...... 382,530 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QE Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/28/2016 .03/28/2017 ...... 6,582 ...... 7,110,000 ....1,080.0000 ...... 0 ...... 526,560 ...... 0 ...... 1,268,445 ...... 1,268,445 ...... 741,885 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QG Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/07/2016 .04/07/2017 ...... 4,887 ...... 5,340,000 ....1,093.0000 ...... 0 ...... 415,395 ...... 0 ...... 896,452 ...... 896,452 ...... 481,057 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QI Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/14/2016 .04/13/2017 ...... 8,515 ...... 9,610,000 ....1,129.0000 ...... 0 ...... 723,775 ...... 0 ...... 1,320,445 ...... 1,320,445 ...... 596,670 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QK Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 04/21/2016 .04/21/2017 ...... 3,099 ...... 3,520,000 ....1,136.0000 ...... 0 ...... 263,415 ...... 0 ...... 470,629 ...... 470,629 ...... 207,214 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option Equity/I RBC Capital 9RG000QM 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 04/28/2016 .04/28/2017 ...... 5,752 ...... 6,560,000 ....1,140.0000 ...... 0 ...... 474,885 ...... 0 ...... 857,254 ...... 857,254 ...... 382,369 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QO Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 05/06/2016 .05/05/2017 ...... 5,239 ...... 5,840,000 ....1,115.0000 ...... 0 ...... 419,108 ...... 0 ...... 889,333 ...... 889,333 ...... 470,225 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QQ Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/13/2016 .05/12/2017 ...... 9,307 ....10,260,000 ....1,102.0000 ...... 0 ...... 791,095 ...... 0 ...... 1,672,886 ...... 1,672,886 ...... 881,791 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QS Equity/I Credit Suisse FB 9RG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .05/20/2016 .05/19/2017 ...... 3,156 ...... 3,510,000 ....1,112.0000 ...... 0 ...... 268,260 ...... 0 ...... 540,890 ...... 540,890 ...... 272,630 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QU Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/27/2016 .05/26/2017 ...... 6,441 ...... 7,410,000 ....1,150.0000 ...... 0 ...... 547,485 ...... 0 ...... 935,808 ...... 935,808 ...... 388,323 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) Russell 2000 OTC Call Option Equity/I 9RG000QW 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 06/07/2016 .06/07/2017 ...... 3,364 ...... 3,970,000 ....1,180.0000 ...... 0 ...... 285,940 ...... 0 ...... 422,328 ...... 422,328 ...... 136,388 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QY Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 06/14/2016 .06/14/2017 ...... 7,728 ...... 8,870,000 ....1,148.0000 ...... 0 ...... 706,957 ...... 0 ...... 1,164,951 ...... 1,164,951 ...... 457,994 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RA Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 06/21/2016 .06/21/2017 ...... 5,139 ...... 5,930,000 ....1,154.0000 ...... 0 ...... 436,815 ...... 0 ...... 750,888 ...... 750,888 ...... 314,073 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RC Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/28/2016 .06/28/2017 ...... 6,331 ...... 7,010,000 ....1,107.0000 ...... 0 ...... 538,135 ...... 0 ...... 1,148,115 ...... 1,148,115 ...... 609,980 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RE Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 07/07/2016 .07/07/2017 ...... 3,731 ...... 4,290,000 ....1,150.0000 ...... 0 ...... 228,225 ...... 0 ...... 563,370 ...... 563,370 ...... 335,145 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RK Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/28/2016 .07/28/2017 ...... 4,116 ...... 5,010,000 ....1,217.0000 ...... 0 ...... 349,860 ...... 0 ...... 443,758 ...... 443,758 ...... 93,898 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RM Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/05/2016 .08/07/2017 ...... 5,490 ...... 6,760,000 ....1,231.0000 ...... 0 ...... 549,000 ...... 0 ...... 553,756 ...... 553,756 ...... 4,756 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RO Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 08/12/2016 .08/14/2017 ...... 7,798 ...... 9,590,000 ....1,230.0000 ...... 0 ...... 662,830 ...... 0 ...... 806,635 ...... 806,635 ...... 143,805 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RQ Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 08/19/2016 .08/21/2017 ...... 3,097 ...... 3,830,000 ....1,237.0000 ...... 0 ...... 247,760 ...... 0 ...... 309,840 ...... 309,840 ...... 62,080 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RS Equity/I Credit Suisse FB 9RG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/26/2016 .08/28/2017 ...... 5,848 ...... 7,240,000 ....1,238.0000 ...... 0 ...... 467,840 ...... 0 ...... 581,210 ...... 581,210 ...... 113,370 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RU Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/07/2016 .09/07/2017 ...... 3,497 ...... 4,410,000 ....1,261.0000 ...... 0 ...... 279,760 ...... 0 ...... 310,576 ...... 310,576 ...... 30,816 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option Equity/I 9RG000RW 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/14/2016 .09/14/2017 ...... 7,346 ...... 8,900,000 ....1,212.0000 ...... 0 ...... 661,140 ...... 0 ...... 873,679 ...... 873,679 ...... 212,539 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q Russell 2000 OTC Call Option 9RG000RY Equity/I
E 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ...... 3,245 ...... 4,040,000 ....1,245.0000 ...... 0 ...... 275,825 ...... 0 ...... 322,637 ...... 322,637 ...... 46,812 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 Russell 2000 OTC Call Option 9RG000SA Equity/I
6 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/28/2016 .09/28/2017 ...... 4,587 ...... 5,760,000 ....1,256.0000 ...... 0 ...... 366,960 ...... 0 ...... 432,053 ...... 432,053 ...... 65,093 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. S&P 500 OTC Call Option 00 9PG835MC Equity/I RBC Capital 1 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/07/2015 .10/07/2016 ....19,095 ....38,110,000 ....1,996.0000 ...... 2,522,831 ...... 0 ...... 0 ...... 3,295,266 ...... 3,295,266 ...... 506,654 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 00 9PG837KF Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 10/07/2015 .10/07/2016 ...... 2,185 ...... 4,360,000 ....1,996.0000 ...... 165,710 ...... 0 ...... 0 ...... 151,065 ...... 151,065 ...... (12,136) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/14/2015 .10/14/2016 ....18,147 ....36,190,000 ....1,994.0000 ...... 2,177,640 ...... 0 ...... 0 ...... 3,145,219 ...... 3,145,219 ...... 471,067 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835ME Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/14/2015 .10/14/2016 ...... 6,890 ....13,740,000 ....1,994.0000 ...... 826,800 ...... 0 ...... 0 ...... 1,194,168 ...... 1,194,168 ...... 178,854 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/14/2015 .10/14/2016 ...... 1,524 ...... 3,040,000 ....1,994.0000 ...... 112,761 ...... 0 ...... 0 ...... 112,669 ...... 112,669 ...... (5,413) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....21,511 ....43,430,000 ....2,019.0000 ...... 1,446,185 ...... 0 ...... 0 ...... 1,120,647 ...... 1,120,647 ...... (278,078) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MS Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....48,882 ....98,690,000 ....2,019.0000 ...... 6,079,454 ...... 0 ...... 0 ...... 7,343,963 ...... 7,343,963 ...... 797,612 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MI Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ...... 1,352 ...... 2,730,000 ....2,019.0000 ...... 168,148 ...... 0 ...... 0 ...... 203,123 ...... 203,123 ...... 22,061 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....34,122 ....68,890,000 ....2,019.0000 ...... 4,243,753 ...... 0 ...... 0 ...... 5,126,441 ...... 5,126,441 ...... 556,772 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....36,257 ....73,200,000 ....2,019.0000 ...... 4,509,283 ...... 0 ...... 0 ...... 5,447,201 ...... 5,447,201 ...... 591,609 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....37,802 ....76,320,000 ....2,019.0000 ...... 4,701,435 ...... 0 ...... 0 ...... 5,679,319 ...... 5,679,319 ...... 616,819 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MK Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....18,084 ....36,510,000 ....2,019.0000 ...... 2,249,107 ...... 0 ...... 0 ...... 2,716,915 ...... 2,716,915 ...... 295,078 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MU Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/21/2015 .10/21/2016 ....43,731 ....88,290,000 ....2,019.0000 ...... 5,412,149 ...... 0 ...... 0 ...... 6,621,969 ...... 6,621,969 ...... 739,823 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MW Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/28/2015 .10/28/2016 ...... 4,128 ...... 8,630,000 ....2,090.0000 ...... 495,360 ...... 0 ...... 0 ...... 358,611 ...... 358,611 ...... (29,280) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MY Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/28/2015 .10/28/2016 ....19,480 ....40,720,000 ....2,090.0000 ...... 2,337,600 ...... 0 ...... 0 ...... 1,692,281 ...... 1,692,281 ...... (138,171) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NA Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/06/2015 .11/07/2016 ...... 8,155 ....17,120,000 ....2,099.0000 ...... 978,600 ...... 0 ...... 0 ...... 691,458 ...... 691,458 ...... (61,574) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KJ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/06/2015 .11/07/2016 ...... 1,825 ...... 3,830,000 ....2,099.0000 ...... 125,268 ...... 0 ...... 0 ...... 0 ...... 0 ...... (60,144) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NC Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/06/2015 .11/07/2016 ....10,390 ....21,810,000 ....2,099.0000 ...... 1,246,800 ...... 0 ...... 0 ...... 880,962 ...... 880,962 ...... (78,449) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NE Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/13/2015 .11/14/2016 ...... 5,072 ....10,260,000 ....2,023.0000 ...... 608,640 ...... 0 ...... 0 ...... 779,357 ...... 779,357 ...... 90,256 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG837KK Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .11/13/2015 .11/14/2016 ...... 1,695 ...... 3,780,000 ....2,023.0000 ...... 129,617 ...... 0 ...... 0 ...... 89,968 ...... 89,968 ...... (21,290) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/13/2015 .11/14/2016 ....20,128 ....40,720,000 ....2,023.0000 ...... 2,415,360 ...... 0 ...... 0 ...... 3,092,843 ...... 3,092,843 ...... 358,178 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NM Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ...... 6,400 ....13,370,000 ....2,089.0000 ...... 835,648 ...... 0 ...... 0 ...... 628,018 ...... 628,018 ...... (2,769) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NK Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/20/2015 .11/21/2016 ....15,935 ....33,290,000 ....2,089.0000 ...... 2,077,287 ...... 0 ...... 0 ...... 1,567,315 ...... 1,567,315 ...... (1,408) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NQ Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....36,771 ....76,820,000 ....2,089.0000 ...... 4,801,189 ...... 0 ...... 0 ...... 3,608,260 ...... 3,608,260 ...... (15,908) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NW Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....39,217 ....81,930,000 ....2,089.0000 ...... 5,120,564 ...... 0 ...... 0 ...... 3,848,281 ...... 3,848,281 ...... (16,966) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KL Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/20/2015 .11/21/2016 ....22,042 ....46,050,000 ....2,089.0000 ...... 1,593,416 ...... 0 ...... 0 ...... 8,299 ...... 8,299 ...... (858,813) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NS Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/20/2015 .11/21/2016 ....30,203 ....63,100,000 ....2,089.0000 ...... 3,937,263 ...... 0 ...... 0 ...... 2,970,669 ...... 2,970,669 ...... (2,669) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NU Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....40,356 ....84,310,000 ....2,089.0000 ...... 5,269,283 ...... 0 ...... 0 ...... 3,960,049 ...... 3,960,049 ...... (17,459) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NI Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/20/2015 .11/21/2016 ...... 1,359 ...... 2,840,000 ....2,089.0000 ...... 177,159 ...... 0 ...... 0 ...... 133,667 ...... 133,667 ...... (120) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NO Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....30,577 ....63,880,000 ....2,089.0000 ...... 3,992,439 ...... 0 ...... 0 ...... 3,000,456 ...... 3,000,456 ...... (13,228) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/27/2015 .11/28/2016 ...... 2,459 ...... 5,140,000 ....2,090.0000 ...... 175,769 ...... 0 ...... 0 ...... 2,050 ...... 2,050 ...... (97,416) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835NY Equity/I
E 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/27/2015 .11/28/2016 ....20,678 ....43,220,000 ....2,090.0000 ...... 2,481,360 ...... 0 ...... 0 ...... 2,080,346 ...... 2,080,346 ...... 28,787 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 S&P 500 OTC Call Option 9PG835OC Equity/I
6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/07/2015 .12/07/2016 ...... 8,632 ....17,930,000 ....2,077.0000 ...... 1,035,840 ...... 0 ...... 0 ...... 1,000,239 ...... 1,000,239 ...... 65,263 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. S&P 500 OTC Call Option 9PG835OA Equity/I 2 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/07/2015 .12/07/2016 ...... 5,845 ....12,140,000 ....2,077.0000 ...... 701,400 ...... 0 ...... 0 ...... 677,294 ...... 677,294 ...... 44,191 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KN Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/07/2015 .12/07/2016 ...... 1,545 ...... 3,210,000 ....2,077.0000 ...... 113,928 ...... 0 ...... 0 ...... 12,662 ...... 12,662 ...... (60,259) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OG Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/14/2015 .12/14/2016 ....21,608 ....43,690,000 ....2,022.0000 ...... 2,592,960 ...... 0 ...... 0 ...... 3,541,575 ...... 3,541,575 ...... 496,902 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OE Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/14/2015 .12/14/2016 ...... 5,717 ....11,560,000 ....2,022.0000 ...... 686,040 ...... 0 ...... 0 ...... 937,023 ...... 937,023 ...... 131,469 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KO Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/14/2015 .12/14/2016 ...... 1,439 ...... 2,910,000 ....2,022.0000 ...... 117,840 ...... 0 ...... 0 ...... 90,393 ...... 90,393 ...... (16,603) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OS Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....32,655 ....66,000,000 ....2,021.0000 ...... 4,474,715 ...... 0 ...... 0 ...... 5,444,114 ...... 5,444,114 ...... 799,988 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OQ Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....37,370 ....75,530,000 ....2,021.0000 ...... 5,120,811 ...... 0 ...... 0 ...... 6,230,181 ...... 6,230,181 ...... 915,497 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OK Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....17,955 ....36,290,000 ....2,021.0000 ...... 2,460,374 ...... 0 ...... 0 ...... 2,993,388 ...... 2,993,388 ...... 439,865 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OU Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....35,232 ....71,210,000 ....2,021.0000 ...... 4,827,841 ...... 0 ...... 0 ...... 5,873,742 ...... 5,873,742 ...... 863,120 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OW Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....46,622 ....94,230,000 ....2,021.0000 ...... 6,388,613 ...... 0 ...... 0 ...... 7,772,638 ...... 7,772,638 ....1,142,154 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KP Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .12/21/2015 .12/21/2016 ....21,631 ....43,720,000 ....2,021.0000 ...... 1,739,998 ...... 0 ...... 0 ...... 1,414,556 ...... 1,414,556 ...... (200,369) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OO Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....31,898 ....64,470,000 ....2,021.0000 ...... 4,370,983 ...... 0 ...... 0 ...... 5,317,910 ...... 5,317,910 ...... 781,443 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OI Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .12/21/2015 .12/21/2016 ...... 1,613 ...... 3,260,000 ....2,021.0000 ...... 221,029 ...... 0 ...... 0 ...... 266,036 ...... 266,036 ...... 42,353 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OM Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ...... 7,407 ....14,970,000 ....2,021.0000 ...... 1,014,981 ...... 0 ...... 0 ...... 1,234,866 ...... 1,234,866 ...... 181,458 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OY Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/28/2015 .12/28/2016 ....21,148 ....43,490,000 ....2,057.0000 ...... 2,537,760 ...... 0 ...... 0 ...... 2,976,621 ...... 2,976,621 ...... 389,107 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/28/2015 .12/28/2016 ...... 2,509 ...... 5,160,000 ....2,057.0000 ...... 185,239 ...... 0 ...... 0 ...... 84,229 ...... 84,229 ...... (71,461) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PA Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/07/2016 .01/06/2017 ....14,688 ....28,540,000 ....1,943.0000 ...... 0 ...... 1,762,560 ...... 0 ...... 3,549,384 ...... 3,549,384 ....1,786,824 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PC Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/14/2016 .01/13/2017 ....22,041 ....42,360,000 ....1,922.0000 ...... 0 ...... 2,644,920 ...... 0 ...... 5,786,475 ...... 5,786,475 ....3,141,555 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG837KR Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .01/14/2016 .01/13/2017 ...... 1,114 ...... 2,140,000 ....1,922.0000 ...... 0 ...... 88,207 ...... 0 ...... 192,729 ...... 192,729 ...... 104,522 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....23,168 ....43,300,000 ....1,869.0000 ...... 0 ...... 3,238,886 ...... 0 ...... 7,223,165 ...... 7,223,165 ....3,984,279 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....54,002 ..100,930,000 ....1,869.0000 ...... 0 ...... 7,549,480 ...... 0 ...... 16,836,385 ...... 16,836,385 ....9,286,906 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PE Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .01/21/2016 .01/20/2017 ...... 3,430 ...... 6,410,000 ....1,869.0000 ...... 0 ...... 479,514 ...... 0 ...... 1,055,479 ...... 1,055,479 ...... 575,965 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Equity/I S&P 500 OTC Call Option 9PG835PI 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ...... 8,812 ....16,470,000 ....1,869.0000 ...... 0 ...... 1,231,918 ...... 0 ...... 2,747,347 ...... 2,747,347 ....1,515,429 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PK Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....27,512 ....51,420,000 ....1,869.0000 ...... 0 ...... 3,846,178 ...... 0 ...... 8,577,509 ...... 8,577,509 ....4,731,331 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KS Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .01/21/2016 .01/20/2017 ....20,257 ....37,860,000 ....1,869.0000 ...... 0 ...... 1,715,160 ...... 0 ...... 4,648,462 ...... 4,648,462 ....2,933,302 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....50,535 ....94,450,000 ....1,869.0000 ...... 0 ...... 7,064,793 ...... 0 ...... 15,755,467 ...... 15,755,467 ....8,690,674 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....24,307 ....45,430,000 ....1,869.0000 ...... 0 ...... 3,398,119 ...... 0 ...... 7,578,275 ...... 7,578,275 ....4,180,157 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PS Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....32,306 ....60,380,000 ....1,869.0000 ...... 0 ...... 4,516,379 ...... 0 ...... 10,072,150 ...... 10,072,150 ....5,555,772 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PU Equity/I 9PG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 01/28/2016 .01/27/2017 ....21,026 ....39,810,000 ....1,893.0000 ...... 0 ...... 2,523,120 ...... 0 ...... 6,145,968 ...... 6,145,968 ....3,622,848 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KT Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .01/28/2016 .01/27/2017 ...... 2,493 ...... 4,720,000 ....1,893.0000 ...... 0 ...... 197,296 ...... 0 ...... 525,714 ...... 525,714 ...... 328,418 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835PW Equity/I
E 9PG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 02/05/2016 .02/07/2017 ....13,915 ....26,160,000 ....1,880.0000 ...... 0 ...... 1,669,800 ...... 0 ...... 4,274,777 ...... 4,274,777 ....2,604,977 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 S&P 500 OTC Call Option 9PG835PY Equity/I RBC Capital
6 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/12/2016 .02/14/2017 ...... 4,580 ...... 8,540,000 ....1,865.0000 ...... 0 ...... 674,726 ...... 0 ...... 1,476,454 ...... 1,476,454 ...... 801,728 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. S&P 500 OTC Call Option 9PG835QA Equity/I RBC Capital 3 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/12/2016 .02/14/2017 ....18,957 ....35,350,000 ....1,865.0000 ...... 0 ...... 2,792,745 ...... 0 ...... 6,111,164 ...... 6,111,164 ....3,318,419 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QK Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/19/2016 .02/21/2017 ....57,593 ..110,450,000 ....1,918.0000 ...... 0 ...... 7,908,095 ...... 0 ...... 15,792,915 ...... 15,792,915 ....7,884,820 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QE Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 02/19/2016 .02/21/2017 ....15,654 ....30,020,000 ....1,918.0000 ...... 0 ...... 2,149,451 ...... 0 ...... 4,287,559 ...... 4,287,559 ....2,138,109 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QG Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 02/19/2016 .02/21/2017 ....31,865 ....61,110,000 ....1,918.0000 ...... 0 ...... 4,375,383 ...... 0 ...... 8,727,678 ...... 8,727,678 ....4,352,295 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QI Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/19/2016 .02/21/2017 ....17,447 ....33,460,000 ....1,918.0000 ...... 0 ...... 2,395,648 ...... 0 ...... 4,784,245 ...... 4,784,245 ....2,388,597 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QC Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .02/19/2016 .02/21/2017 ...... 1,371 ...... 2,630,000 ....1,918.0000 ...... 0 ...... 188,252 ...... 0 ...... 371,062 ...... 371,062 ...... 182,810 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/19/2016 .02/21/2017 ....44,056 ....84,490,000 ....1,918.0000 ...... 0 ...... 6,049,329 ...... 0 ...... 12,080,855 ...... 12,080,855 ....6,031,526 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QO Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/19/2016 .02/21/2017 ....36,652 ....70,290,000 ....1,918.0000 ...... 0 ...... 5,011,794 ...... 0 ...... 10,129,931 ...... 10,129,931 ....5,118,136 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KU Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .02/19/2016 .02/21/2017 ....19,460 ....37,320,000 ....1,918.0000 ...... 0 ...... 1,541,232 ...... 0 ...... 3,952,955 ...... 3,952,955 ....2,411,723 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KV Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/26/2016 .02/28/2017 ...... 2,161 ...... 4,210,000 ....1,948.0000 ...... 0 ...... 162,918 ...... 0 ...... 389,462 ...... 389,462 ...... 226,544 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/26/2016 .02/28/2017 ....22,910 ....44,630,000 ....1,948.0000 ...... 0 ...... 2,749,200 ...... 0 ...... 5,727,432 ...... 5,727,432 ....2,978,232 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QU Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 03/07/2016 .03/07/2017 ...... 8,478 ....16,970,000 ....2,002.0000 ...... 0 ...... 1,072,494 ...... 0 ...... 1,733,298 ...... 1,733,298 ...... 660,804 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KW Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/07/2016 .03/07/2017 ...... 1,314 ...... 2,630,000 ....2,002.0000 ...... 0 ...... 94,161 ...... 0 ...... 172,654 ...... 172,654 ...... 78,492 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QS Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/07/2016 .03/07/2017 ...... 4,271 ...... 8,550,000 ....2,002.0000 ...... 0 ...... 540,324 ...... 0 ...... 875,275 ...... 875,275 ...... 334,951 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QY Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 03/14/2016 .03/14/2017 ....20,845 ....42,100,000 ....2,020.0000 ...... 0 ...... 2,627,095 ...... 0 ...... 4,025,062 ...... 4,025,062 ....1,397,966 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KX Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/14/2016 .03/14/2017 ...... 1,154 ...... 2,330,000 ....2,020.0000 ...... 0 ...... 79,707 ...... 0 ...... 133,277 ...... 133,277 ...... 53,570 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QW Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/14/2016 .03/14/2017 ...... 4,511 ...... 9,110,000 ....2,020.0000 ...... 0 ...... 568,521 ...... 0 ...... 864,226 ...... 864,226 ...... 295,705 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RA Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/21/2016 .03/21/2017 ...... 1,443 ...... 2,960,000 ....2,052.0000 ...... 0 ...... 176,450 ...... 0 ...... 241,144 ...... 241,144 ...... 64,694 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RK Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....45,394 ....93,130,000 ....2,052.0000 ...... 0 ...... 5,550,778 ...... 0 ...... 7,685,857 ...... 7,685,857 ....2,135,079 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835RE Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....11,094 ....22,760,000 ....2,052.0000 ...... 0 ...... 1,356,574 ...... 0 ...... 1,878,374 ...... 1,878,374 ...... 521,800 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KY Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....18,395 ....37,740,000 ....2,052.0000 ...... 0 ...... 1,177,464 ...... 0 ...... 1,632,680 ...... 1,632,680 ...... 455,216 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RM Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/21/2016 .03/21/2017 ....35,753 ....73,350,000 ....2,052.0000 ...... 0 ...... 4,371,877 ...... 0 ...... 5,974,792 ...... 5,974,792 ....1,602,915 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RI Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....68,259 ..140,040,000 ....2,052.0000 ...... 0 ...... 8,346,711 ...... 0 ...... 11,557,231 ...... 11,557,231 ....3,210,520 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RG Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/21/2016 .03/21/2017 ....40,003 ....82,070,000 ....2,052.0000 ...... 0 ...... 4,891,567 ...... 0 ...... 6,685,023 ...... 6,685,023 ....1,793,456 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RC Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....20,267 ....41,580,000 ....2,052.0000 ...... 0 ...... 2,478,249 ...... 0 ...... 3,431,495 ...... 3,431,495 ...... 953,246 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/28/2016 .03/28/2017 ....26,082 ....53,130,000 ....2,037.0000 ...... 0 ...... 2,869,020 ...... 0 ...... 4,782,522 ...... 4,782,522 ....1,913,502 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KZ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/28/2016 .03/28/2017 ...... 2,558 ...... 5,210,000 ....2,037.0000 ...... 0 ...... 168,828 ...... 0 ...... 268,359 ...... 268,359 ...... 99,531 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RS Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 04/07/2016 .04/07/2017 ...... 9,192 ....18,770,000 ....2,042.0000 ...... 0 ...... 1,141,187 ...... 0 ...... 1,667,714 ...... 1,667,714 ...... 526,527 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/07/2016 .04/07/2017 ...... 7,973 ....16,280,000 ....2,042.0000 ...... 0 ...... 989,848 ...... 0 ...... 1,435,216 ...... 1,435,216 ...... 445,368 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LA Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/07/2016 .04/07/2017 ...... 1,729 ...... 3,530,000 ....2,042.0000 ...... 0 ...... 121,099 ...... 0 ...... 179,242 ...... 179,242 ...... 58,143 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RW Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 04/14/2016 .04/13/2017 ....23,310 ....48,550,000 ....2,083.0000 ...... 0 ...... 2,806,058 ...... 0 ...... 3,538,349 ...... 3,538,349 ...... 732,292 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG837LB Equity/I Credit Suisse FB
E 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .04/14/2016 .04/13/2017 ...... 1,037 ...... 2,160,000 ....2,083.0000 ...... 0 ...... 67,176 ...... 0 ...... 71,324 ...... 71,324 ...... 4,148 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 S&P 500 OTC Call Option 9PG835RU Equity/I
6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/14/2016 .04/13/2017 ...... 5,080 ....10,580,000 ....2,083.0000 ...... 0 ...... 611,530 ...... 0 ...... 765,078 ...... 765,078 ...... 153,548 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. Equity/I 4 S&P 500 OTC Call Option 9PG835SI 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/21/2016 .04/21/2017 ....53,546 ..111,990,000 ....2,091.0000 ...... 0 ...... 6,517,619 ...... 0 ...... 7,883,997 ...... 7,883,997 ....1,366,378 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SG Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 04/21/2016 .04/21/2017 ....68,966 ..144,240,000 ....2,091.0000 ...... 0 ...... 8,394,542 ...... 0 ...... 10,130,775 ...... 10,130,775 ....1,736,233 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SK Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/21/2016 .04/21/2017 ....36,940 ....77,260,000 ....2,091.0000 ...... 0 ...... 4,496,337 ...... 0 ...... 5,438,966 ...... 5,438,966 ...... 942,629 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SA Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .04/21/2016 .04/21/2017 ....19,034 ....39,810,000 ....2,091.0000 ...... 0 ...... 2,316,818 ...... 0 ...... 2,766,088 ...... 2,766,088 ...... 449,269 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RY Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .04/21/2016 .04/21/2017 ...... 1,578 ...... 3,300,000 ....2,091.0000 ...... 0 ...... 192,074 ...... 0 ...... 229,321 ...... 229,321 ...... 37,246 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SE Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .04/21/2016 .04/21/2017 ....25,288 ....52,890,000 ....2,091.0000 ...... 0 ...... 3,078,055 ...... 0 ...... 3,674,941 ...... 3,674,941 ...... 596,886 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SC Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/21/2016 .04/21/2017 ....28,702 ....60,030,000 ....2,091.0000 ...... 0 ...... 3,493,607 ...... 0 ...... 4,226,020 ...... 4,226,020 ...... 732,413 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/28/2016 .04/28/2017 ....25,802 ....53,560,000 ....2,076.0000 ...... 0 ...... 2,838,220 ...... 0 ...... 4,157,314 ...... 4,157,314 ....1,319,094 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/28/2016 .04/28/2017 ...... 2,640 ...... 5,480,000 ....2,076.0000 ...... 0 ...... 171,521 ...... 0 ...... 210,093 ...... 210,093 ...... 38,572 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/06/2016 .05/05/2017 ...... 5,624 ....11,570,000 ....2,057.0000 ...... 0 ...... 674,880 ...... 0 ...... 995,160 ...... 995,160 ...... 320,280 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LE Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/06/2016 .05/05/2017 ...... 1,847 ...... 3,800,000 ....2,057.0000 ...... 0 ...... 126,520 ...... 0 ...... 181,620 ...... 181,620 ...... 55,100 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/06/2016 .05/05/2017 ...... 8,716 ....17,930,000 ....2,057.0000 ...... 0 ...... 1,045,920 ...... 0 ...... 1,542,285 ...... 1,542,285 ...... 496,365 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SU Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/13/2016 .05/12/2017 ....22,681 ....46,420,000 ....2,047.0000 ...... 0 ...... 2,494,910 ...... 0 ...... 4,197,299 ...... 4,197,299 ....1,702,389 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LF Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .05/13/2016 .05/12/2017 ...... 1,173 ...... 2,400,000 ....2,047.0000 ...... 0 ...... 80,902 ...... 0 ...... 127,381 ...... 127,381 ...... 46,479 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SS Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/13/2016 .05/12/2017 ...... 5,438 ....11,130,000 ....2,047.0000 ...... 0 ...... 598,180 ...... 0 ...... 1,006,345 ...... 1,006,345 ...... 408,165 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TA Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ...... 8,912 ....18,290,000 ....2,052.0000 ...... 0 ...... 1,145,014 ...... 0 ...... 1,631,403 ...... 1,631,403 ...... 486,389 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....20,650 ....42,380,000 ....2,052.0000 ...... 0 ...... 1,407,091 ...... 0 ...... 2,222,162 ...... 2,222,162 ...... 815,071 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TE Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....24,431 ....50,140,000 ....2,052.0000 ...... 0 ...... 3,138,895 ...... 0 ...... 4,472,263 ...... 4,472,263 ....1,333,368 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835SY Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....14,968 ....30,720,000 ....2,052.0000 ...... 0 ...... 1,923,089 ...... 0 ...... 2,739,995 ...... 2,739,995 ...... 816,907 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TK Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....36,451 ....74,810,000 ....2,052.0000 ...... 0 ...... 4,683,224 ...... 0 ...... 6,672,606 ...... 6,672,606 ....1,989,382 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TC Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....22,540 ....46,260,000 ....2,052.0000 ...... 0 ...... 2,895,939 ...... 0 ...... 4,126,102 ...... 4,126,102 ....1,230,163 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SW Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ...... 1,481 ...... 3,040,000 ....2,052.0000 ...... 0 ...... 190,279 ...... 0 ...... 271,107 ...... 271,107 ...... 80,828 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Equity/I S&P 500 OTC Call Option 9PG835TI 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....45,982 ....94,370,000 ....2,052.0000 ...... 0 ...... 5,907,767 ...... 0 ...... 8,417,321 ...... 8,417,321 ....2,509,554 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....58,582 ..120,230,000 ....2,052.0000 ...... 0 ...... 7,526,615 ...... 0 ...... 10,723,838 ...... 10,723,838 ....3,197,223 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/27/2016 .05/26/2017 ....22,805 ....47,870,000 ....2,099.0000 ...... 0 ...... 2,508,550 ...... 0 ...... 3,454,282 ...... 3,454,282 ...... 945,732 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/27/2016 .05/26/2017 ...... 2,592 ...... 5,440,000 ....2,099.0000 ...... 0 ...... 164,644 ...... 0 ...... 187,570 ...... 187,570 ...... 22,926 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Equity/I S&P 500 OTC Call Option 9PG837LI 9PG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 06/07/2016 .06/07/2017 ...... 1,259 ...... 2,660,000 ....2,112.0000 ...... 0 ...... 79,241 ...... 0 ...... 84,615 ...... 84,615 ...... 5,373 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/07/2016 .06/07/2017 ....15,671 ....33,100,000 ....2,112.0000 ...... 0 ...... 1,723,810 ...... 0 ...... 2,258,911 ...... 2,258,911 ...... 535,101 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/14/2016 .06/14/2017 ...... 4,717 ...... 9,790,000 ....2,075.0000 ...... 0 ...... 566,040 ...... 0 ...... 812,021 ...... 812,021 ...... 245,981 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LJ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/14/2016 .06/14/2017 ...... 1,547 ...... 3,210,000 ....2,075.0000 ...... 0 ...... 120,712 ...... 0 ...... 148,206 ...... 148,206 ...... 27,493 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835TS Equity/I
E 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/14/2016 .06/14/2017 ....21,924 ....45,500,000 ....2,075.0000 ...... 0 ...... 2,630,880 ...... 0 ...... 3,774,169 ...... 3,774,169 ....1,143,289 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 S&P 500 OTC Call Option 9PG837LK Equity/I
6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....21,203 ....44,290,000 ....2,089.0000 ...... 0 ...... 1,483,786 ...... 0 ...... 1,867,332 ...... 1,867,332 ...... 383,546 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. S&P 500 OTC Call Option 9PG835UA Equity/I 5 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....35,076 ....73,270,000 ....2,089.0000 ...... 0 ...... 4,498,848 ...... 0 ...... 5,718,544 ...... 5,718,544 ....1,219,696 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UC Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....68,668 ..143,440,000 ....2,089.0000 ...... 0 ...... 8,807,358 ...... 0 ...... 11,195,147 ...... 11,195,147 ....2,387,789 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UI Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....37,249 ....77,810,000 ....2,089.0000 ...... 0 ...... 4,777,557 ...... 0 ...... 6,072,815 ...... 6,072,815 ....1,295,258 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TY Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/21/2016 .06/21/2017 ...... 9,062 ....18,930,000 ....2,089.0000 ...... 0 ...... 1,162,292 ...... 0 ...... 1,473,967 ...... 1,473,967 ...... 311,675 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UE Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....30,815 ....64,370,000 ....2,089.0000 ...... 0 ...... 3,952,332 ...... 0 ...... 5,023,861 ...... 5,023,861 ....1,071,529 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....14,400 ....30,080,000 ....2,089.0000 ...... 0 ...... 1,846,944 ...... 0 ...... 2,347,675 ...... 2,347,675 ...... 500,731 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TU Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/21/2016 .06/21/2017 ...... 1,393 ...... 4,070,000 ....2,089.0000 ...... 0 ...... 178,663 ...... 0 ...... 226,576 ...... 226,576 ...... 47,913 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TW Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/21/2016 .06/21/2017 ....17,507 ....36,570,000 ....2,089.0000 ...... 0 ...... 2,245,448 ...... 0 ...... 2,847,576 ...... 2,847,576 ...... 602,128 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LL Equity/I 9PG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 06/28/2016 .06/28/2017 ...... 2,942 ...... 5,990,000 ....2,036.0000 ...... 0 ...... 213,854 ...... 0 ...... 393,214 ...... 393,214 ...... 179,360 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UK Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/28/2016 .06/28/2017 ....31,197 ....63,520,000 ....2,036.0000 ...... 0 ...... 3,431,670 ...... 0 ...... 6,346,638 ...... 6,346,638 ....2,914,968 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/07/2016 .07/07/2017 ....18,328 ....38,450,000 ....2,098.0000 ...... 0 ...... 2,016,080 ...... 0 ...... 2,958,671 ...... 2,958,671 ...... 942,591 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LM Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/07/2016 .07/07/2017 ...... 2,526 ...... 5,300,000 ....2,098.0000 ...... 0 ...... 171,010 ...... 0 ...... 221,241 ...... 221,241 ...... 50,231 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LN Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .07/14/2016 .07/14/2017 ...... 1,479 ...... 3,200,000 ....2,164.0000 ...... 0 ...... 90,249 ...... 0 ...... 73,904 ...... 73,904 ...... (16,344) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/14/2016 .07/14/2017 ....25,576 ....55,340,000 ....2,164.0000 ...... 0 ...... 2,557,600 ...... 0 ...... 3,085,614 ...... 3,085,614 ...... 528,014 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/14/2016 .07/14/2017 ...... 5,213 ....11,280,000 ....2,164.0000 ...... 0 ...... 521,300 ...... 0 ...... 628,922 ...... 628,922 ...... 107,622 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VE Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 07/21/2016 .07/21/2017 ....40,232 ....87,110,000 ....2,165.0000 ...... 0 ...... 4,930,432 ...... 0 ...... 4,923,676 ...... 4,923,676 ...... (6,756) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VA Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .07/21/2016 .07/21/2017 ....51,178 ..110,810,000 ....2,165.0000 ...... 0 ...... 6,305,130 ...... 0 ...... 6,133,402 ...... 6,133,402 ...... (171,728) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UU Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/21/2016 .07/21/2017 ....23,883 ....51,710,000 ....2,165.0000 ...... 0 ...... 2,942,386 ...... 0 ...... 2,899,950 ...... 2,899,950 ...... (42,436) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835VC Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .07/21/2016 .07/21/2017 ....46,329 ..100,310,000 ....2,165.0000 ...... 0 ...... 5,707,733 ...... 0 ...... 5,552,276 ...... 5,552,276 ...... (155,457) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835US Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .07/21/2016 .07/21/2017 ...... 1,940 ...... 4,200,000 ....2,165.0000 ...... 0 ...... 239,008 ...... 0 ...... 232,498 ...... 232,498 ...... (6,510) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UY Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/21/2016 .07/21/2017 ....32,339 ....70,020,000 ....2,165.0000 ...... 0 ...... 3,984,165 ...... 0 ...... 3,926,705 ...... 3,926,705 ...... (57,460) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UW Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/21/2016 .07/21/2017 ...... 9,117 ....19,740,000 ....2,165.0000 ...... 0 ...... 1,123,214 ...... 0 ...... 1,107,015 ...... 1,107,015 ...... (16,199) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/21/2016 .07/21/2017 ....19,477 ....42,170,000 ....2,165.0000 ...... 0 ...... 1,239,906 ...... 0 ...... 1,007,873 ...... 1,007,873 ...... (232,033) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/28/2016 .07/28/2017 ...... 2,355 ...... 5,110,000 ....2,170.0000 ...... 0 ...... 259,050 ...... 0 ...... 276,832 ...... 276,832 ...... 17,782 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Equity/I S&P 500 OTC Call Option 9PG835VI 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/28/2016 .07/28/2017 ....30,285 ....65,720,000 ....2,170.0000 ...... 0 ...... 3,331,350 ...... 0 ...... 3,560,027 ...... 3,560,027 ...... 228,677 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/28/2016 .07/28/2017 ...... 3,193 ...... 6,930,000 ....2,170.0000 ...... 0 ...... 200,872 ...... 0 ...... 163,591 ...... 163,591 ...... (37,281) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/05/2016 .08/07/2017 ...... 2,240 ...... 4,890,000 ....2,183.0000 ...... 0 ...... 136,080 ...... 0 ...... 107,180 ...... 107,180 ...... (28,900) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VM Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/05/2016 .08/07/2017 ....18,091 ....39,490,000 ....2,183.0000 ...... 0 ...... 1,809,100 ...... 0 ...... 2,032,954 ...... 2,032,954 ...... 223,854 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VK Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/05/2016 .08/07/2017 ...... 6,633 ....14,480,000 ....2,183.0000 ...... 0 ...... 663,300 ...... 0 ...... 745,375 ...... 745,375 ...... 82,075 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LR Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/12/2016 .08/14/2017 ...... 2,088 ...... 4,560,000 ....2,184.0000 ...... 0 ...... 127,222 ...... 0 ...... 101,152 ...... 101,152 ...... (26,070) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835VQ Equity/I RBC Capital
E 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 08/12/2016 .08/14/2017 ....23,685 ....51,730,000 ....2,184.0000 ...... 0 ...... 2,605,350 ...... 0 ...... 2,738,711 ...... 2,738,711 ...... 133,361 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 S&P 500 OTC Call Option 9PG835VO Equity/I Credit Suisse FB
6 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/12/2016 .08/14/2017 ...... 5,659 ....12,360,000 ....2,184.0000 ...... 0 ...... 622,490 ...... 0 ...... 640,786 ...... 640,786 ...... 18,296 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. S&P 500 OTC Call Option 9PG837LS Equity/I 6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/19/2016 .08/21/2017 ....21,769 ....47,540,000 ....2,184.0000 ...... 0 ...... 1,356,426 ...... 0 ...... 1,107,849 ...... 1,107,849 ...... (248,578) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VS Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ...... 1,378 ...... 3,010,000 ....2,184.0000 ...... 0 ...... 169,122 ...... 0 ...... 157,997 ...... 157,997 ...... (11,125) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WG Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/19/2016 .08/21/2017 ....43,922 ....95,920,000 ....2,184.0000 ...... 0 ...... 5,390,547 ...... 0 ...... 5,102,279 ...... 5,102,279 ...... (288,268) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WC Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ....49,856 ..108,880,000 ....2,184.0000 ...... 0 ...... 6,118,827 ...... 0 ...... 5,716,313 ...... 5,716,313 ...... (402,514) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VW Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ...... 8,302 ....18,130,000 ....2,184.0000 ...... 0 ...... 1,018,904 ...... 0 ...... 951,878 ...... 951,878 ...... (67,027) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VY Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ....23,220 ....50,710,000 ....2,184.0000 ...... 0 ...... 2,849,791 ...... 0 ...... 2,662,323 ...... 2,662,323 ...... (187,468) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VU Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ....16,329 ....35,660,000 ....2,184.0000 ...... 0 ...... 2,004,058 ...... 0 ...... 1,872,225 ...... 1,872,225 ...... (131,833) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WE Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/19/2016 .08/21/2017 ....33,473 ....73,100,000 ....2,184.0000 ...... 0 ...... 4,108,141 ...... 0 ...... 3,888,452 ...... 3,888,452 ...... (219,690) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WA Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 08/19/2016 .08/21/2017 ....23,339 ....50,970,000 ....2,184.0000 ...... 0 ...... 2,864,395 ...... 0 ...... 2,704,908 ...... 2,704,908 ...... (159,487) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WI Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 08/26/2016 .08/28/2017 ....26,376 ....57,210,000 ....2,169.0000 ...... 0 ...... 2,637,600 ...... 0 ...... 3,267,998 ...... 3,267,998 ...... 630,398 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LT Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/26/2016 .08/28/2017 ...... 2,863 ...... 6,210,000 ....2,169.0000 ...... 0 ...... 189,416 ...... 0 ...... 167,450 ...... 167,450 ...... (21,966) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WM Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/07/2016 .09/07/2017 ....15,003 ....32,800,000 ....2,186.0000 ...... 0 ...... 1,500,300 ...... 0 ...... 1,774,507 ...... 1,774,507 ...... 274,207 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WK Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/07/2016 .09/07/2017 ...... 4,734 ....10,350,000 ....2,186.0000 ...... 0 ...... 473,400 ...... 0 ...... 559,923 ...... 559,923 ...... 86,523 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LU Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/07/2016 .09/07/2017 ...... 1,537 ...... 3,360,000 ....2,186.0000 ...... 0 ...... 97,108 ...... 0 ...... 84,079 ...... 84,079 ...... (13,029) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WO Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/14/2016 .09/14/2017 ...... 5,542 ....11,780,000 ....2,126.0000 ...... 0 ...... 609,620 ...... 0 ...... 850,717 ...... 850,717 ...... 241,097 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LV Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/14/2016 .09/14/2017 ...... 1,646 ...... 3,500,000 ....2,126.0000 ...... 0 ...... 122,117 ...... 0 ...... 142,087 ...... 142,087 ...... 19,971 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WQ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/14/2016 .09/14/2017 ....20,440 ....43,450,000 ....2,126.0000 ...... 0 ...... 2,248,400 ...... 0 ...... 3,137,612 ...... 3,137,612 ...... 889,212 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LW Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ....18,187 ....39,340,000 ....2,163.0000 ...... 0 ...... 1,224,349 ...... 0 ...... 1,259,360 ...... 1,259,360 ...... 35,011 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WU Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ....17,110 ....37,010,000 ....2,163.0000 ...... 0 ...... 2,206,163 ...... 0 ...... 2,294,410 ...... 2,294,410 ...... 88,247 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835XA Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .09/21/2016 .09/21/2017 ....43,608 ....94,330,000 ....2,163.0000 ...... 0 ...... 5,622,816 ...... 0 ...... 5,771,699 ...... 5,771,699 ...... 148,883 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WW Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ...... 7,813 ....16,900,000 ....2,163.0000 ...... 0 ...... 1,007,408 ...... 0 ...... 1,047,705 ...... 1,047,705 ...... 40,296 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WS Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ...... 1,447 ...... 3,130,000 ....2,163.0000 ...... 0 ...... 186,576 ...... 0 ...... 194,039 ...... 194,039 ...... 7,463 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WY Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .09/21/2016 .09/21/2017 ....25,015 ....54,110,000 ....2,163.0000 ...... 0 ...... 3,225,434 ...... 0 ...... 3,310,839 ...... 3,310,839 ...... 85,404 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835XC Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ....42,157 ....91,190,000 ....2,163.0000 ...... 0 ...... 5,435,724 ...... 0 ...... 5,653,153 ...... 5,653,153 ...... 217,429 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835XE Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ....62,775 ..135,790,000 ....2,163.0000 ...... 0 ...... 8,094,209 ...... 0 ...... 8,417,977 ...... 8,417,977 ...... 323,769 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Equity/I JP Morgan Chase S&P 500 OTC Call Option 9PG835XI 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/28/2016 .09/28/2017 ....13,342 ....28,970,000 ....2,171.0000 ...... 0 ...... 1,334,200 ...... 0 ...... 1,714,591 ...... 1,714,591 ...... 380,391 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835XG Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/28/2016 .09/28/2017 ...... 4,942 ....10,730,000 ....2,171.0000 ...... 0 ...... 494,200 ...... 0 ...... 635,100 ...... 635,100 ...... 140,900 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837LX Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/28/2016 .09/28/2017 ...... 2,625 ...... 5,700,000 ....2,171.0000 ...... 0 ...... 169,864 ...... 0 ...... 177,042 ...... 177,042 ...... 7,178 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9RG000RG Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 07/14/2016 .07/14/2017 ...... 7,861 ...... 9,450,000 ....1,202.0000 ...... 0 ...... 628,880 ...... 0 ...... 909,480 ...... 909,480 ...... 280,600 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9RG000RI Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 07/21/2016 .07/21/2017 ...... 4,527 ...... 5,450,000 ....1,204.0000 ...... 0 ...... 386,379 ...... 0 ...... 525,936 ...... 525,936 ...... 139,556 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9SC000AC Equity/I 9SC Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/07/2016 .01/06/2017 ...... 952 ...... 1,850,000 ....1,943.0000 ...... 0 ...... 29,046 ...... 0 ...... 0 ...... 0 ...... (29,046) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9SC000AD Equity/I
E 9SC Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/14/2016 .01/13/2017 ...... 369 ...... 710,000 ....1,922.0000 ...... 0 ...... 10,793 ...... 0 ...... 11,361 ...... 11,361 ...... 568 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 S&P 500 OTC Call Option 9SC000AE Equity/I
6 9SC0 Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/07/2016 .03/07/2017 ...... 260 ...... 520,000 ....2,002.0000 ...... 0 ...... 7,540 ...... 0 ...... 15,607 ...... 15,607 ...... 8,067 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. S&P 500 OTC Call Option 9SC000AF Equity/I 7 9SC0 Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/07/2016 .07/07/2017 ...... 472 ...... 990,000 ....2,098.0000 ...... 0 ...... 16,731 ...... 0 ...... 15,607 ...... 15,607 ...... (1,124) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG837KI Equity/I SPX Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/28/2015 .10/28/2016 ...... 3,052 ...... 6,380,000 ....2,090.0000 ...... 206,712 ...... 0 ...... 0 ...... 0 ...... 0 ...... (104,191) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P Asian OTC Call Option 9PG837LC Equity/I Credit Suisse FB 9PG8 Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .04/21/2016 .04/21/2017 ....19,627 ....41,050,000 ....2,091.0000 ...... 0 ...... 1,260,250 ...... 0 ...... 1,255,557 ...... 1,255,557 ...... (4,693) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... 0019999. Total-Purchased Options-Hedging Effective-Call Options and Warrants...... 117,579,103 ..347,369,374 ...... 0 ...... 634,375,306 XXX 634,375,306 174,369,675 ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX 0079999. Total-Purchased Options-Hedging Effective...... 117,579,103 ..347,369,374 ...... 0 ...... 634,375,306 XXX 634,375,306 174,369,675 ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX 0369999. Total-Purchased Options-Call Options and Warrants...... 117,579,103 ..347,369,374 ...... 0 ...... 634,375,306 XXX 634,375,306 174,369,675 ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX 0429999. Total-Purchased Options...... 117,579,103 ..347,369,374 ...... 0 ...... 634,375,306 XXX 634,375,306 174,369,675 ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX Written Options - Hedging Effective - Call Options and Warrants Russell 2000 OTC Call Option 9RG000OL Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/07/2015 .10/07/2016 ...... 5,518 ...... 6,360,000 ....1,204.0000 ...... 352,324 ...... 0 ...... 0 ...... (268,760) ...... (268,760) ...... (1,823) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000ON Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/14/2015 .10/14/2016 ...... 6,623 ...... 7,530,000 ....1,177.0000 ...... 442,019 ...... 0 ...... 0 ...... (501,939) ...... (501,939) ...... (98,423) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OP Equity/I JP Morgan Chase 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 10/21/2015 .10/21/2016 ...... 3,607 ...... 4,130,000 ....1,190.0000 ...... 240,370 ...... 0 ...... 0 ...... (237,657) ...... (237,657) ...... (35,074) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OR Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/28/2015 .10/28/2016 ...... 5,268 ...... 6,210,000 ....1,217.0000 ...... 336,625 ...... 0 ...... 0 ...... (238,214) ...... (238,214) ...... (2,422) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OT Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 11/06/2015 .11/07/2016 ...... 3,851 ...... 4,620,000 ....1,258.0000 ...... 226,862 ...... 0 ...... 0 ...... (86,955) ...... (86,955) ...... 36,673 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OV Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/13/2015 .11/14/2016 ...... 7,056 ...... 8,090,000 ....1,187.0000 ...... 491,874 ...... 0 ...... 0 ...... (538,540) ...... (538,540) ...... (113,555) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OX Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ...... 3,523 ...... 4,140,000 ....1,219.0000 ...... 231,003 ...... 0 ...... 0 ...... (186,052) ...... (186,052) ...... (19,824) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000OZ Equity/I JP Morgan Chase 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 11/27/2015 .11/28/2016 ...... 5,780 ...... 6,950,000 ....1,247.0000 ...... 355,065 ...... 0 ...... 0 ...... (214,542) ...... (214,542) ...... 7,024 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PB Equity/I JP Morgan Chase 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 12/07/2015 .12/07/2016 ...... 4,002 ...... 4,660,000 ....1,208.0000 ...... 247,924 ...... 0 ...... 0 ...... (268,634) ...... (268,634) ...... (52,438) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PD Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/14/2015 .12/14/2016 ...... 7,958 ...... 8,880,000 ....1,156.0000 ...... 507,720 ...... 0 ...... 0 ...... (881,648) ...... (881,648) ...... (248,730) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PF Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 12/21/2015 .12/21/2016 ...... 4,114 ...... 4,640,000 ....1,169.0000 ...... 247,293 ...... 0 ...... 0 ...... (418,779) ...... (418,779) ...... (113,983) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PH Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 12/28/2015 .12/28/2016 ...... 4,128 ...... 4,740,000 ....1,183.0000 ...... 281,530 ...... 0 ...... 0 ...... (380,345) ...... (380,345) ...... (102,925) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) Russell 2000 OTC Call Option 9RG000PJ Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/07/2016 .01/06/2017 ...... 4,669 ...... 4,970,000 ....1,102.0000 ...... 0 ...... (303,438) ...... 0 ...... (760,979) ...... (760,979) ...... (457,541) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PL Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 01/14/2016 .01/13/2017 ...... 6,913 ...... 7,090,000 ....1,059.0000 ...... 0 ...... (463,033) ...... 0 ...... (1,402,909) ...... (1,402,909) ...... (939,876) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PN Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 01/21/2016 .01/20/2017 ...... 1,995 ...... 1,990,000 ....1,028.0000 ...... 0 ...... (146,712) ...... 0 ...... (464,246) ...... (464,246) ...... (317,533) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PP Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/28/2016 .01/27/2017 ...... 4,665 ...... 4,680,000 ....1,033.0000 ...... 0 ...... (321,185) ...... 0 ...... (1,065,556) ...... (1,065,556) ...... (744,371) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PR Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/05/2016 .02/07/2017 ...... 2,293 ...... 2,260,000 ....1,024.0000 ...... 0 ...... (153,448) ...... 0 ...... (547,484) ...... (547,484) ...... (394,036) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PT Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/12/2016 .02/14/2017 ...... 8,189 ...... 7,960,000 ....1,007.0000 ...... 0 ...... (543,258) ...... 0 ...... (2,086,404) ...... (2,086,404) ...(1,543,146) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PV Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 02/19/2016 .02/21/2017 ...... 2,436 ...... 2,460,000 ....1,049.0000 ...... 0 ...... (156,367) ...... 0 ...... (530,610) ...... (530,610) ...... (374,243) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PX Equity/I JP Morgan Chase 9RG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 02/26/2016 .02/28/2017 ...... 5,033 ...... 5,220,000 ....1,073.0000 ...... 0 ...... (330,718) ...... 0 ...... (991,240) ...... (991,240) ...... (660,521) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000PZ Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 03/07/2016 .03/07/2017 ...... 4,451 ...... 4,870,000 ....1,136.0000 ...... 0 ...... (281,419) ...... 0 ...... (646,015) ...... (646,015) ...... (364,596) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QB Equity/I Credit Suisse FB 9RG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/14/2016 .03/14/2017 ...... 7,295 ...... 7,910,000 ....1,123.0000 ...... 0 ...... (467,391) ...... 0 ...... (1,143,452) ...... (1,143,452) ...... (676,062) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QD Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 03/21/2016 .03/21/2017 ...... 4,133 ...... 4,540,000 ....1,141.0000 ...... 0 ...... (257,772) ...... 0 ...... (587,857) ...... (587,857) ...... (330,085) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QF Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/28/2016 .03/28/2017 ...... 6,582 ...... 7,110,000 ....1,118.0000 ...... 0 ...... (389,325) ...... 0 ...... (1,067,021) ...... (1,067,021) ...... (677,696) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q Russell 2000 OTC Call Option 9RG000QH Equity/I
E 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/07/2016 .04/07/2017 ...... 4,887 ...... 5,340,000 ....1,135.0000 ...... 0 ...... (304,313) ...... 0 ...... (735,320) ...... (735,320) ...... (431,007) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 Russell 2000 OTC Call Option 9RG000QJ Equity/I
6 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/14/2016 .04/13/2017 ...... 8,515 ...... 9,610,000 ....1,167.0000 ...... 0 ...... (548,877) ...... 0 ...... (1,078,343) ...... (1,078,343) ...... (529,466) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. Russell 2000 OTC Call Option 9RG000QL Equity/I 8 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 04/21/2016 .04/21/2017 ...... 3,099 ...... 3,520,000 ....1,179.0000 ...... 0 ...... (191,959) ...... 0 ...... (368,670) ...... (368,670) ...... (176,711) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QN Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 04/28/2016 .04/28/2017 ...... 5,752 ...... 6,560,000 ....1,177.0000 ...... 0 ...... (359,442) ...... 0 ...... (697,876) ...... (697,876) ...... (338,433) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QP Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 05/06/2016 .05/05/2017 ...... 5,239 ...... 5,840,000 ....1,160.0000 ...... 0 ...... (295,008) ...... 0 ...... (711,778) ...... (711,778) ...... (416,770) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QR Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/13/2016 .05/12/2017 ...... 9,307 ....10,260,000 ....1,140.0000 ...... 0 ...... (606,444) ...... 0 ...... (1,410,632) ...... (1,410,632) ...... (804,188) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QT Equity/I Credit Suisse FB 9RG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .05/20/2016 .05/19/2017 ...... 3,156 ...... 3,510,000 ....1,165.0000 ...... 0 ...... (185,415) ...... 0 ...... (421,427) ...... (421,427) ...... (236,012) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QV Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/27/2016 .05/26/2017 ...... 6,441 ...... 7,410,000 ....1,193.0000 ...... 0 ...... (402,240) ...... 0 ...... (741,147) ...... (741,147) ...... (338,906) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QX Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 06/07/2016 .06/07/2017 ...... 3,364 ...... 3,970,000 ....1,226.0000 ...... 0 ...... (205,361) ...... 0 ...... (323,997) ...... (323,997) ...... (118,636) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000QZ Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 06/14/2016 .06/14/2017 ...... 7,728 ...... 8,870,000 ....1,187.0000 ...... 0 ...... (545,520) ...... 0 ...... (950,646) ...... (950,646) ...... (405,126) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RB Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 06/21/2016 .06/21/2017 ...... 5,139 ...... 5,930,000 ....1,195.0000 ...... 0 ...... (325,929) ...... 0 ...... (607,025) ...... (607,025) ...... (281,097) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RD Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/28/2016 .06/28/2017 ...... 6,331 ...... 7,010,000 ....1,147.0000 ...... 0 ...... (404,939) ...... 0 ...... (970,901) ...... (970,901) ...... (565,961) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RF Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 07/07/2016 .07/07/2017 ...... 3,731 ...... 4,290,000 ....1,195.0000 ...... 0 ...... (139,857) ...... 0 ...... (449,217) ...... (449,217) ...... (309,360) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RL Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/28/2016 .07/28/2017 ...... 4,116 ...... 5,010,000 ....1,261.0000 ...... 0 ...... (252,640) ...... 0 ...... (342,547) ...... (342,547) ...... (89,907) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RN Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/05/2016 .08/07/2017 ...... 5,490 ...... 6,760,000 ....1,274.0000 ...... 0 ...... (424,432) ...... 0 ...... (427,293) ...... (427,293) ...... (2,861) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RP Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 08/12/2016 .08/14/2017 ...... 7,798 ...... 9,590,000 ....1,271.0000 ...... 0 ...... (495,017) ...... 0 ...... (626,219) ...... (626,219) ...... (131,202) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RR Equity/I Barclays Bank 9RG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 08/19/2016 .08/21/2017 ...... 3,097 ...... 3,830,000 ....1,281.0000 ...... 0 ...... (174,609) ...... 0 ...... (234,960) ...... (234,960) ...... (60,351) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RT Equity/I Credit Suisse FB 9RG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/26/2016 .08/28/2017 ...... 5,848 ...... 7,240,000 ....1,280.0000 ...... 0 ...... (334,623) ...... 0 ...... (452,448) ...... (452,448) ...... (117,826) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RV Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/07/2016 .09/07/2017 ...... 3,497 ...... 4,410,000 ....1,308.0000 ...... 0 ...... (191,111) ...... 0 ...... (228,333) ...... (228,333) ...... (37,222) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Option 9RG000RX Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/14/2016 .09/14/2017 ...... 7,346 ...... 8,900,000 ....1,254.0000 ...... 0 ...... (492,917) ...... 0 ...... (687,497) ...... (687,497) ...... (194,580) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) Russell 2000 OTC Call Option 9RG000RZ Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ...... 3,245 ...... 4,040,000 ....1,293.0000 ...... 0 ...... (191,942) ...... 0 ...... (240,852) ...... (240,852) ...... (48,910) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Russell 2000 OTC Call Opt 9RG000SB Equity/I 9RG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/28/2016 .09/28/2017 ...... 4,587 ...... 5,760,000 ....1,299.0000 ...... 0 ...... (261,551) ...... 0 ...... (334,581) ...... (334,581) ...... (73,030) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MD Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/07/2015 .10/07/2016 ....19,095 ....38,110,000 ....2,081.0000 ...... 1,684,370 ...... 0 ...... 0 ...... (1,684,484) ...... (1,684,484) ...... 212,576 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/14/2015 .10/14/2016 ....18,147 ....36,190,000 ....2,055.0000 ...... 1,591,310 ...... 0 ...... 0 ...... (2,084,573) ...... (2,084,573) ...... (12,010) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MF Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/14/2015 .10/14/2016 ...... 6,890 ....13,740,000 ....2,107.0000 ...... 442,062 ...... 0 ...... 0 ...... (454,405) ...... (454,405) ...... 131,628 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MV Equity/I RBC Capital 9PG8 Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 10/21/2015 .10/21/2016 ....43,731 ....88,290,000 ....2,080.0000 ...... 3,981,708 ...... 0 ...... 0 ...... (4,114,401) ...... (4,114,401) ...... 352,610 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MT Equity/I 9PG8 Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....48,882 ....98,690,000 ....2,106.0000 ...... 3,878,787 ...... 0 ...... 0 ...... (3,426,877) ...... (3,426,877) ...... 807,434 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MR Equity/I 9PG8 Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....34,122 ....68,890,000 ....2,129.0000 ...... 2,362,949 ...... 0 ...... 0 ...... (1,730,626) ...... (1,730,626) ...... 847,515 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....36,257 ....73,200,000 ....2,143.0000 ...... 2,320,448 ...... 0 ...... 0 ...... (1,510,138) ...... (1,510,138) ....1,067,481 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MN Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....37,802 ....76,320,000 ....2,178.0000 ...... 1,923,366 ...... 0 ...... 0 ...... (699,639) ...... (699,639) ....1,388,931 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835ML Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/21/2015 .10/21/2016 ....18,084 ....36,510,000 ....2,271.0000 ...... 449,207 ...... 0 ...... 0 ...... (5,187) ...... (5,187) ...... 435,110 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835MZ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/28/2015 .10/28/2016 ....19,480 ....40,720,000 ....2,154.0000 ...... 1,669,826 ...... 0 ...... 0 ...... (725,031) ...... (725,031) ...... 565,099 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835MX Equity/I
E 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 10/28/2015 .10/28/2016 ...... 4,128 ...... 8,630,000 ....2,231.0000 ...... 214,904 ...... 0 ...... 0 ...... (21,623) ...... (21,623) ...... 128,681 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
0 S&P 500 OTC Call Option 9PG835ND Equity/I
6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/06/2015 .11/07/2016 ....10,390 ....21,810,000 ....2,163.0000 ...... 886,890 ...... 0 ...... 0 ...... (393,591) ...... (393,591) ...... 284,186 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
. S&P 500 OTC Call Option 9PG835NB Equity/I 9 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/06/2015 .11/07/2016 ...... 8,155 ....17,120,000 ....2,228.0000 ...... 456,435 ...... 0 ...... 0 ...... (74,213) ...... (74,213) ...... 258,868 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/13/2015 .11/14/2016 ....20,128 ....40,720,000 ....2,085.0000 ...... 1,735,436 ...... 0 ...... 0 ...... (1,992,221) ...... (1,992,221) ...... 51,061 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NF Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/13/2015 .11/14/2016 ...... 5,072 ....10,260,000 ....2,142.0000 ...... 304,929 ...... 0 ...... 0 ...... (282,690) ...... (282,690) ...... 100,858 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NX Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....39,217 ....81,930,000 ....2,153.0000 ...... 3,752,283 ...... 0 ...... 0 ...... (1,966,756) ...... (1,966,756) ...... 803,108 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NV Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....40,356 ....84,310,000 ....2,177.0000 ...... 3,397,572 ...... 0 ...... 0 ...... (1,428,040) ...... (1,428,040) ....1,032,833 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NT Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/20/2015 .11/21/2016 ....30,203 ....63,100,000 ....2,199.0000 ...... 2,220,827 ...... 0 ...... 0 ...... (734,695) ...... (734,695) ...... 845,333 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NR Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....36,771 ....76,820,000 ....2,215.0000 ...... 2,458,141 ...... 0 ...... 0 ...... (646,354) ...... (646,354) ....1,046,920 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NP Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ....30,577 ....63,880,000 ....2,245.0000 ...... 1,686,322 ...... 0 ...... 0 ...... (275,025) ...... (275,025) ...... 859,361 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NN Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 11/20/2015 .11/21/2016 ...... 6,400 ....13,370,000 ....2,288.0000 ...... 259,392 ...... 0 ...... 0 ...... (14,452) ...... (14,452) ...... 150,579 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NL Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/20/2015 .11/21/2016 ....15,935 ....33,290,000 ....2,350.0000 ...... 376,066 ...... 0 ...... 0 ...... (1,069) ...... (1,069) ...... 221,346 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835NZ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 11/27/2015 .11/28/2016 ....20,678 ....43,220,000 ....2,161.0000 ...... 1,681,742 ...... 0 ...... 0 ...... (1,016,413) ...... (1,016,413) ...... 416,436 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/07/2015 .12/07/2016 ...... 8,632 ....17,930,000 ....2,140.0000 ...... 738,209 ...... 0 ...... 0 ...... (585,368) ...... (585,368) ...... 106,413 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OB Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/07/2015 .12/07/2016 ...... 5,845 ....12,140,000 ....2,196.0000 ...... 349,297 ...... 0 ...... 0 ...... (190,294) ...... (190,294) ...... 136,127 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OH Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/14/2015 .12/14/2016 ....21,608 ....43,690,000 ....2,083.0000 ...... 1,872,117 ...... 0 ...... 0 ...... (2,441,230) ...... (2,441,230) ...... (61,727) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OF Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/14/2015 .12/14/2016 ...... 5,717 ....11,560,000 ....2,140.0000 ...... 343,878 ...... 0 ...... 0 ...... (405,464) ...... (405,464) ...... 59,180 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OX Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....46,622 ....94,230,000 ....2,083.0000 ...... 4,824,394 ...... 0 ...... 0 ...... (5,392,522) ...... (5,392,522) ...... (208,174) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OV Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....35,232 ....71,210,000 ....2,105.0000 ...... 3,261,240 ...... 0 ...... 0 ...... (3,445,638) ...... (3,445,638) ...... (23,210) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OT Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....32,655 ....66,000,000 ....2,126.0000 ...... 2,705,897 ...... 0 ...... 0 ...... (2,675,650) ...... (2,675,650) ...... 165,679 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835OR Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....37,370 ....75,530,000 ....2,143.0000 ...... 2,817,135 ...... 0 ...... 0 ...... (2,692,839) ...... (2,692,839) ...... 344,172 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OP Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....31,898 ....64,470,000 ....2,171.0000 ...... 2,043,593 ...... 0 ...... 0 ...... (1,640,191) ...... (1,640,191) ...... 509,249 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835ON Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ...... 7,407 ....14,970,000 ....2,214.0000 ...... 359,266 ...... 0 ...... 0 ...... (218,110) ...... (218,110) ...... 159,651 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OL Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 12/21/2015 .12/21/2016 ....17,955 ....36,290,000 ....2,274.0000 ...... 576,936 ...... 0 ...... 0 ...... (190,794) ...... (190,794) ...... 385,540 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835OZ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 12/28/2015 .12/28/2016 ....21,148 ....43,490,000 ....2,120.0000 ...... 1,789,755 ...... 0 ...... 0 ...... (1,928,995) ...... (1,928,995) ...... 33,062 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PB Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/07/2016 .01/06/2017 ....14,688 ....28,540,000 ....2,023.0000 ...... 0 .....(1,140,376) ...... 0 ...... (2,529,703) ...... (2,529,703) ...(1,389,326) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/14/2016 .01/13/2017 ....22,041 ....42,360,000 ....1,988.0000 ...... 0 .....(1,865,550) ...... 0 ...... (4,525,020) ...... (4,525,020) ...(2,659,470) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PT Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....32,306 ....60,380,000 ....1,926.0000 ...... 0 .....(3,513,924) ...... 0 ...... (8,474,925) ...... (8,474,925) ...(4,961,001) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PR Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....50,535 ....94,450,000 ....1,948.0000 ...... 0 .....(4,958,494) ...... 0 ...... (12,256,438) ..... (12,256,438) ...(7,297,944) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....54,002 ..100,930,000 ....1,969.0000 ...... 0 .....(4,794,298) ...... 0 ...... (12,115,159) ..... (12,115,159) ...(7,320,861) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PN Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....24,307 ....45,430,000 ....1,989.0000 ...... 0 .....(1,944,317) ...... 0 ...... (5,021,043) ...... (5,021,043) ...(3,076,726) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PL Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....27,512 ....51,420,000 ....2,009.0000 ...... 0 .....(1,969,309) ...... 0 ...... (5,193,339) ...... (5,193,339) ...(3,224,030) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835PJ Equity/I E 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ...... 8,812 ....16,470,000 ....2,039.0000 ...... 0 ...... (530,306) ...... 0 ...... (1,426,657) ...... (1,426,657) ...... (896,351) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... 0 S&P 500 OTC Call Option 9PG835PH Equity/I 6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 01/21/2016 .01/20/2017 ....23,168 ....43,300,000 ....2,103.0000 ...... 0 ...... (922,318) ...... 0 ...... (2,632,708) ...... (2,632,708) ...(1,710,390) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
1 S&P 500 OTC Call Option 9PG835PV Equity/I
0 9PG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 01/28/2016 .01/27/2017 ....21,026 ....39,810,000 ....1,955.0000 ...... 0 .....(1,838,303) ...... 0 ...... (4,987,214) ...... (4,987,214) ...(3,148,911) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PX Equity/I 9PG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 02/05/2016 .02/07/2017 ....13,915 ....26,160,000 ....1,951.0000 ...... 0 .....(1,142,700) ...... 0 ...... (3,374,147) ...... (3,374,147) ...(2,231,447) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QB Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/12/2016 .02/14/2017 ....18,957 ....35,350,000 ....1,923.0000 ...... 0 .....(2,205,837) ...... 0 ...... (5,130,788) ...... (5,130,788) ...(2,924,952) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835PZ Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/12/2016 .02/14/2017 ...... 4,580 ...... 8,540,000 ....1,973.0000 ...... 0 ...... (423,650) ...... 0 ...... (1,040,934) ...... (1,040,934) ...... (617,284) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QP Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 02/19/2016 .02/21/2017 ....36,652 ....70,290,000 ....1,977.0000 ...... 0 .....(3,830,867) ...... 0 ...... (8,195,408) ...... (8,195,408) ...(4,364,541) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QN Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/19/2016 .02/21/2017 ....44,056 ....84,490,000 ....2,000.0000 ...... 0 .....(4,135,537) ...... 0 ...... (8,990,658) ...... (8,990,658) ...(4,855,122) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QL Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/19/2016 .02/21/2017 ....57,593 ..110,450,000 ....2,022.0000 ...... 0 .....(4,842,995) ...... 0 ...... (10,715,096) ..... (10,715,096) ...(5,872,101) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QJ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/19/2016 .02/21/2017 ....17,447 ....33,460,000 ....2,040.0000 ...... 0 .....(1,323,355) ...... 0 ...... (2,972,845) ...... (2,972,845) ...(1,649,490) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QH Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 02/19/2016 .02/21/2017 ....31,865 ....61,110,000 ....2,065.0000 ...... 0 .....(2,096,080) ...... 0 ...... (4,806,451) ...... (4,806,451) ...(2,710,371) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QF Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 02/19/2016 .02/21/2017 ....15,654 ....30,020,000 ....2,153.0000 ...... 0 ...... (567,301) ...... 0 ...... (1,364,002) ...... (1,364,002) ...... (796,701) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QR Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 02/26/2016 .02/28/2017 ....22,910 ....44,630,000 ....2,014.0000 ...... 0 .....(1,945,975) ...... 0 ...... (4,487,284) ...... (4,487,284) ...(2,541,309) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QV Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 03/07/2016 .03/07/2017 ...... 8,478 ....16,970,000 ....2,063.0000 ...... 0 ...... (789,095) ...... 0 ...... (1,328,414) ...... (1,328,414) ...... (539,320) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QT Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/07/2016 .03/07/2017 ...... 4,271 ...... 8,550,000 ....2,118.0000 ...... 0 ...... (289,830) ...... 0 ...... (500,168) ...... (500,168) ...... (210,338) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QZ Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 03/14/2016 .03/14/2017 ....20,845 ....42,100,000 ....2,081.0000 ...... 0 .....(1,923,994) ...... 0 ...... (3,062,227) ...... (3,062,227) ...(1,138,234) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835QX Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/14/2016 .03/14/2017 ...... 4,511 ...... 9,110,000 ....2,140.0000 ...... 0 ...... (294,298) ...... 0 ...... (469,585) ...... (469,585) ...... (175,287) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RN Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/21/2016 .03/21/2017 ....35,753 ....73,350,000 ....2,114.0000 ...... 0 .....(3,139,471) ...... 0 ...... (4,412,602) ...... (4,412,602) ...(1,273,131) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RL Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....45,394 ....93,130,000 ....2,138.0000 ...... 0 .....(3,464,470) ...... 0 ...... (4,863,626) ...... (4,863,626) ...(1,399,156) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RJ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....68,259 ..140,040,000 ....2,164.0000 ...... 0 .....(4,453,900) ...... 0 ...... (6,207,490) ...... (6,207,490) ...(1,753,590) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RH Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .03/21/2016 .03/21/2017 ....40,003 ....82,070,000 ....2,195.0000 ...... 0 .....(2,092,957) ...... 0 ...... (2,807,706) ...... (2,807,706) ...... (714,749) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835RF Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....11,094 ....22,760,000 ....2,229.0000 ...... 0 ...... (446,201) ...... 0 ...... (595,360) ...... (595,360) ...... (149,159) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/21/2016 .03/21/2017 ....20,267 ....41,580,000 ....2,301.0000 ...... 0 ...... (436,754) ...... 0 ...... (436,926) ...... (436,926) ...... (172) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 03/28/2016 .03/28/2017 ....26,082 ....53,130,000 ....2,104.0000 ...... 0 .....(1,928,503) ...... 0 ...... (3,433,487) ...... (3,433,487) ...(1,504,984) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RT Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 04/07/2016 .04/07/2017 ...... 9,192 ....18,770,000 ....2,101.0000 ...... 0 ...... (840,884) ...... 0 ...... (1,278,090) ...... (1,278,090) ...... (437,205) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RR Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/07/2016 .04/07/2017 ...... 7,973 ....16,280,000 ....2,157.0000 ...... 0 ...... (522,630) ...... 0 ...... (794,643) ...... (794,643) ...... (272,013) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RX Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 04/14/2016 .04/13/2017 ....23,310 ....48,550,000 ....2,146.0000 ...... 0 .....(1,990,441) ...... 0 ...... (2,570,106) ...... (2,570,106) ...... (579,665) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835RV Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/14/2016 .04/13/2017 ...... 5,080 ....10,580,000 ....2,199.0000 ...... 0 ...... (311,048) ...... 0 ...... (385,678) ...... (385,678) ...... (74,629) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SL Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/21/2016 .04/21/2017 ....36,940 ....77,260,000 ....2,156.0000 ...... 0 .....(3,206,023) ...... 0 ...... (3,855,103) ...... (3,855,103) ...... (649,080) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SJ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/21/2016 .04/21/2017 ....53,546 ..111,990,000 ....2,182.0000 ...... 0 .....(3,986,500) ...... 0 ...... (4,755,363) ...... (4,755,363) ...... (768,863) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SH Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 04/21/2016 .04/21/2017 ....68,966 ..144,240,000 ....2,207.0000 ...... 0 .....(4,399,094) ...... 0 ...... (5,160,080) ...... (5,160,080) ...... (760,987) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SF Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .04/21/2016 .04/21/2017 ....25,288 ....52,890,000 ....2,228.0000 ...... 0 .....(1,390,840) ...... 0 ...... (1,597,274) ...... (1,597,274) ...... (206,434) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/21/2016 .04/21/2017 ....28,702 ....60,030,000 ....2,254.0000 ...... 0 .....(1,308,524) ...... 0 ...... (1,461,679) ...... (1,461,679) ...... (153,154) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835SB Equity/I Credit Suisse FB E 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .04/21/2016 .04/21/2017 ....19,034 ....39,810,000 ....2,346.0000 ...... 0 ...... (390,007) ...... 0 ...... (290,619) ...... (290,619) ...... 99,388 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... 0 S&P 500 OTC Call Option 9PG835SN Equity/I 6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 04/28/2016 .04/28/2017 ....25,802 ....53,560,000 ....2,142.0000 ...... 0 .....(1,906,252) ...... 0 ...... (2,994,501) ...... (2,994,501) ...(1,088,249) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
1 S&P 500 OTC Call Option 9PG835SR Equity/I
1 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/06/2016 .05/05/2017 ...... 8,716 ....17,930,000 ....2,119.0000 ...... 0 ...... (755,590) ...... 0 ...... (1,162,180) ...... (1,162,180) ...... (406,590) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/06/2016 .05/05/2017 ...... 5,624 ....11,570,000 ....2,175.0000 ...... 0 ...... (345,145) ...... 0 ...... (538,652) ...... (538,652) ...... (193,508) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SV Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/13/2016 .05/12/2017 ....22,681 ....46,420,000 ....2,108.0000 ...... 0 .....(1,747,571) ...... 0 ...... (3,207,663) ...... (3,207,663) ...(1,460,092) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835ST Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/13/2016 .05/12/2017 ...... 5,438 ....11,130,000 ....2,162.0000 ...... 0 ...... (280,438) ...... 0 ...... (582,500) ...... (582,500) ...... (302,063) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TL Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....36,451 ....74,810,000 ....2,114.0000 ...... 0 .....(3,441,339) ...... 0 ...... (5,083,527) ...... (5,083,527) ...(1,642,188) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TJ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....45,982 ....94,370,000 ....2,140.0000 ...... 0 .....(3,784,319) ...... 0 ...... (5,652,706) ...... (5,652,706) ...(1,868,388) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....58,582 ..120,230,000 ....2,164.0000 ...... 0 .....(4,208,531) ...... 0 ...... (6,328,704) ...... (6,328,704) ...(2,120,173) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TF Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....24,431 ....50,140,000 ....2,182.0000 ...... 0 .....(1,554,545) ...... 0 ...... (2,348,470) ...... (2,348,470) ...... (793,926) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....22,540 ....46,260,000 ....2,198.0000 ...... 0 .....(1,290,640) ...... 0 ...... (1,940,712) ...... (1,940,712) ...... (650,071) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TB Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ...... 8,912 ....18,290,000 ....2,228.0000 ...... 0 ...... (413,428) ...... 0 ...... (629,976) ...... (629,976) ...... (216,548) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835SZ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/20/2016 .05/19/2017 ....14,968 ....30,720,000 ....2,299.0000 ...... 0 ...... (387,072) ...... 0 ...... (538,136) ...... (538,136) ...... (151,063) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TN Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 05/27/2016 .05/26/2017 ....22,805 ....47,870,000 ....2,168.0000 ...... 0 .....(1,656,555) ...... 0 ...... (2,382,269) ...... (2,382,269) ...... (725,713) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/07/2016 .06/07/2017 ....15,671 ....33,100,000 ....2,203.0000 ...... 0 ...... (974,109) ...... 0 ...... (1,391,155) ...... (1,391,155) ...... (417,046) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TT Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/14/2016 .06/14/2017 ....21,924 ....45,500,000 ....2,138.0000 ...... 0 .....(1,880,202) ...... 0 ...... (2,861,160) ...... (2,861,160) ...... (980,958) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TR Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/14/2016 .06/14/2017 ...... 4,717 ...... 9,790,000 ....2,194.0000 ...... 0 ...... (275,284) ...... 0 ...... (445,165) ...... (445,165) ...... (169,881) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UJ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....37,249 ....77,810,000 ....2,151.0000 ...... 0 .....(3,493,584) ...... 0 ...... (4,558,073) ...... (4,558,073) ...(1,064,489) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....14,400 ....30,080,000 ....2,169.0000 ...... 0 .....(1,226,160) ...... 0 ...... (1,596,999) ...... (1,596,999) ...... (370,839) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UF Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....30,815 ....64,370,000 ....2,181.0000 ...... 0 .....(2,443,013) ...... 0 ...... (3,243,985) ...... (3,243,985) ...... (800,972) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835UD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....68,668 ..143,440,000 ....2,203.0000 ...... 0 .....(4,776,546) ...... 0 ...... (6,350,077) ...... (6,350,077) ...(1,573,531) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UB Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 06/21/2016 .06/21/2017 ....35,076 ....73,270,000 ....2,234.0000 ...... 0 .....(1,985,652) ...... 0 ...... (2,595,062) ...... (2,595,062) ...... (609,410) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TZ Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/21/2016 .06/21/2017 ...... 9,062 ....18,930,000 ....2,268.0000 ...... 0 ...... (395,647) ...... 0 ...... (534,166) ...... (534,166) ...... (138,519) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835TX Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/21/2016 .06/21/2017 ....17,507 ....36,570,000 ....2,340.0000 ...... 0 ...... (409,611) ...... 0 ...... (550,251) ...... (550,251) ...... (140,640) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UL Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 06/28/2016 .06/28/2017 ....31,197 ....63,520,000 ....2,101.0000 ...... 0 .....(2,326,424) ...... 0 ...... (4,958,843) ...... (4,958,843) ...(2,632,419) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UN Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/07/2016 .07/07/2017 ....18,328 ....38,450,000 ....2,176.0000 ...... 0 .....(1,250,886) ...... 0 ...... (2,041,607) ...... (2,041,607) ...... (790,721) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UR Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/14/2016 .07/14/2017 ....25,576 ....55,340,000 ....2,229.0000 ...... 0 .....(1,664,998) ...... 0 ...... (2,162,886) ...... (2,162,886) ...... (497,888) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/14/2016 .07/14/2017 ...... 5,213 ....11,280,000 ....2,294.0000 ...... 0 ...... (190,796) ...... 0 ...... (278,950) ...... (278,950) ...... (88,155) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VF Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 07/21/2016 .07/21/2017 ....40,232 ....87,110,000 ....2,229.0000 ...... 0 .....(3,536,795) ...... 0 ...... (3,463,423) ...... (3,463,423) ...... 73,372 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VD Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .07/21/2016 .07/21/2017 ....46,329 ..100,310,000 ....2,257.0000 ...... 0 .....(3,490,890) ...... 0 ...... (3,230,039) ...... (3,230,039) ...... 260,851 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VB Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .07/21/2016 .07/21/2017 ....51,178 ..110,810,000 ....2,284.0000 ...... 0 .....(3,257,991) ...... 0 ...... (2,967,947) ...... (2,967,947) ...... 290,045 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835UZ Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/21/2016 .07/21/2017 ....32,339 ....70,020,000 ....2,315.0000 ...... 0 .....(1,663,842) ...... 0 ...... (1,496,203) ...... (1,496,203) ...... 167,639 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Q S&P 500 OTC Call Option 9PG835UX Equity/I E 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/21/2016 .07/21/2017 ...... 9,117 ....19,740,000 ....2,348.0000 ...... 0 ...... (368,600) ...... 0 ...... (302,628) ...... (302,628) ...... 65,973 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... 0 S&P 500 OTC Call Option 9PG835UV Equity/I 6 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/21/2016 .07/21/2017 ....23,883 ....51,710,000 ....2,425.0000 ...... 0 ...... (498,438) ...... 0 ...... (367,765) ...... (367,765) ...... 130,673 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001......
1 S&P 500 OTC Call Option 9PG835VJ Equity/I
2 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/28/2016 .07/28/2017 ....30,285 ....65,720,000 ....2,235.0000 ...... 0 .....(2,276,523) ...... 0 ...... (2,490,440) ...... (2,490,440) ...... (213,916) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 07/28/2016 .07/28/2017 ...... 2,355 ...... 5,110,000 ....2,313.0000 ...... 0 ...... (95,660) ...... 0 ...... (113,465) ...... (113,465) ...... (17,805) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VN Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/05/2016 .08/07/2017 ....18,091 ....39,490,000 ....2,248.0000 ...... 0 .....(1,165,422) ...... 0 ...... (1,434,391) ...... (1,434,391) ...... (268,968) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VL Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/05/2016 .08/07/2017 ...... 6,633 ....14,480,000 ....2,313.0000 ...... 0 ...... (240,513) ...... 0 ...... (334,196) ...... (334,196) ...... (93,684) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VR Equity/I RBC Capital 9PG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 08/12/2016 .08/14/2017 ....23,685 ....51,730,000 ....2,250.0000 ...... 0 .....(1,762,164) ...... 0 ...... (1,896,555) ...... (1,896,555) ...... (134,391) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VP Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/12/2016 .08/14/2017 ...... 5,659 ....12,360,000 ....2,312.0000 ...... 0 ...... (265,294) ...... 0 ...... (293,129) ...... (293,129) ...... (27,835) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WH Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/19/2016 .08/21/2017 ....43,922 ....95,920,000 ....2,250.0000 ...... 0 .....(3,783,002) ...... 0 ...... (3,576,213) ...... (3,576,213) ...... 206,788 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WF Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 08/19/2016 .08/21/2017 ....33,473 ....73,100,000 ....2,275.0000 ...... 0 .....(2,478,006) ...... 0 ...... (2,343,207) ...... (2,343,207) ...... 134,799 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WD Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ....49,856 ..108,880,000 ....2,297.0000 ...... 0 .....(3,233,660) ...... 0 ...... (3,008,935) ...... (3,008,935) ...... 224,725 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WB Equity/I Barclays Bank 9PG Multiple...... N/A...... ndex PLC G5GSEF7VJP5I7OUK5573...... 08/19/2016 .08/21/2017 ....23,339 ....50,970,000 ....2,318.0000 ...... 0 .....(1,304,650) ...... 0 ...... (1,208,320) ...... (1,208,320) ...... 96,330 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VZ Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ....23,220 ....50,710,000 ....2,340.0000 ...... 0 .....(1,125,706) ...... 0 ...... (1,008,853) ...... (1,008,853) ...... 116,852 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VX Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ...... 8,302 ....18,130,000 ....2,369.0000 ...... 0 ...... (322,699) ...... 0 ...... (266,920) ...... (266,920) ...... 55,779 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835VV Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .08/19/2016 .08/21/2017 ....16,329 ....35,660,000 ....2,446.0000 ...... 0 ...... (320,865) ...... 0 ...... (263,406) ...... (263,406) ...... 57,459 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WJ Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 08/26/2016 .08/28/2017 ....26,376 ....57,210,000 ....2,238.0000 ...... 0 .....(1,642,170) ...... 0 ...... (2,306,029) ...... (2,306,029) ...... (663,859) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WN Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/07/2016 .09/07/2017 ....15,003 ....32,800,000 ....2,252.0000 ...... 0 ...... (959,142) ...... 0 ...... (1,266,384) ...... (1,266,384) ...... (307,243) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WL Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/07/2016 .09/07/2017 ...... 4,734 ....10,350,000 ....2,317.0000 ...... 0 ...... (163,938) ...... 0 ...... (261,761) ...... (261,761) ...... (97,823) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WR Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/14/2016 .09/14/2017 ....20,440 ....43,450,000 ....2,190.0000 ...... 0 .....(1,513,991) ...... 0 ...... (2,367,710) ...... (2,367,710) ...... (853,719) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WP Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/14/2016 .09/14/2017 ...... 5,542 ....11,780,000 ....2,257.0000 ...... 0 ...... (237,364) ...... 0 ...... (448,110) ...... (448,110) ...... (210,746) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835XF Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ....62,775 ..135,790,000 ....2,234.0000 ...... 0 .....(5,637,823) ...... 0 ...... (5,875,128) ...... (5,875,128) ...... (237,305) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) S&P 500 OTC Call Option 9PG835XD Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ....42,157 ....91,190,000 ....2,266.0000 ...... 0 .....(3,152,500) ...... 0 ...... (3,348,513) ...... (3,348,513) ...... (196,012) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835XB Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .09/21/2016 .09/21/2017 ....43,608 ....94,330,000 ....2,290.0000 ...... 0 .....(2,793,092) ...... 0 ...... (3,000,953) ...... (3,000,953) ...... (207,861) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WZ Equity/I Credit Suisse FB 9PG Multiple...... N/A...... ndex Int E58DKGMJYYYJLN8C3868.... .09/21/2016 .09/21/2017 ....25,015 ....54,110,000 ....2,317.0000 ...... 0 .....(1,331,548) ...... 0 ...... (1,454,619) ...... (1,454,619) ...... (123,071) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WX Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ...... 7,813 ....16,900,000 ....2,344.0000 ...... 0 ...... (338,147) ...... 0 ...... (357,585) ...... (357,585) ...... (19,438) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835WV Equity/I 9PG Multiple...... N/A...... ndex Bank of America... EYKN6V0ZCB8VD9IULB80...... 09/21/2016 .09/21/2017 ....17,110 ....37,010,000 ....2,423.0000 ...... 0 ...... (368,892) ...... 0 ...... (419,557) ...... (419,557) ...... (50,665) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835XJ Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/28/2016 .09/28/2017 ....13,342 ....28,970,000 ....2,237.0000 ...... 0 ...... (850,419) ...... 0 ...... (1,253,696) ...... (1,253,696) ...... (403,277) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9PG835XH Equity/I JP Morgan Chase 9PG Multiple...... N/A...... ndex & Co 8I5DZWZKVSZI1NUHU748...... 09/28/2016 .09/28/2017 ...... 4,942 ....10,730,000 ....2,303.0000 ...... 0 ...... (165,854) ...... 0 ...... (313,038) ...... (313,038) ...... (147,185) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9RG000RH Equity/I 9RG Multiple...... N/A...... ndex Deutsche Bank..... 7LTWFZYICNSX8D621K86...... 07/14/2016 .07/14/2017 ...... 7,861 ...... 9,450,000 ....1,244.0000 ...... 0 ...... (454,806) ...... 0 ...... (708,064) ...... (708,064) ...... (253,258) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... S&P 500 OTC Call Option 9RG000RJ Equity/I RBC Capital 9RG Multiple...... N/A...... ndex Markets ES7IP3U3RHIGC71XBU11...... 07/21/2016 .07/21/2017 ...... 4,527 ...... 5,450,000 ....1,246.0000 ...... 0 ...... (283,390) ...... 0 ...... (408,763) ...... (408,763) ...... (125,372) ...... 0 ...... 0 ...... 0 ...... 0 ...... 0001...... 0439999. Total-Written Options-Hedging Effective-Call Options and Warrants...... 65,377,298 (190,893,301) ...... 0 ...... (356,967,510) XXX (356,967,510) (101,906,140) ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX 0499999. Total-Written Options-Hedging Effective...... 65,377,298 (190,893,301) ...... 0 ...... (356,967,510) XXX (356,967,510) (101,906,140) ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX 0789999. Total-Written Options-Call Options and Warrants...... 65,377,298 (190,893,301) ...... 0 ...... (356,967,510) XXX (356,967,510) (101,906,140) ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX 0849999. Total-Written Options...... 65,377,298 (190,893,301) ...... 0 ...... (356,967,510) XXX (356,967,510) (101,906,140) ...... 0 ...... 0 ...... 0 ...... 0 XXX XXX Q
E Swaps - Hedging Effective - Interest Rate AFLAC Inc Variable Rate Interest Rate Interes 0 Swap AFLAC Inc 001055AM4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .11/15/2024 ...... 0 ...... 9,400,000 ...... 0.8170 ...... 0 - ...... 43,680 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 133,971 ...... 99...... 6
. Interes 1 AFLAC Inc Fixed Rate Interest Rate Swap AFLAC Inc 001055AM4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .11/15/2024 ...... 0 ...... 9,400,000 ...... (2.1300) ...... 0 ...... 648,520 ...... (150,165) ...... 649,443 ...... 649,443 ...... (590,366) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... 3 AT&T INC Variable Rate Interest Rate Interes Swap AT&T INC 00206RCE0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .03/11/2024 ...... 0 ...... 2,250,000 ...... 0.8454 ...... 0 - ...... 10,700 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 30,701 ...... 99...... Interes AT&T INC Fixed Rate Interest Rate Swap. AT&T INC 00206RCE0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .03/11/2024 ...... 0 ...... 2,250,000 ...... (2.4570) ...... 0 ...... 193,386 ...... (41,615) ...... 193,661 ...... 193,661 ...... (99,717) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... BP CAPITAL MARKETS PLC Variable BP CAPITAL MARKETS PLC Interes Rate Interest Rate Swap 05565QCS5 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .11/04/2024 ...... 0 ...... 9,000,000 ...... 0.7676 ...... 0 - ...... 42,544 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 128,028 ...... 98...... BP CAPITAL MARKETS PLC Fixed Rate BP CAPITAL MARKETS PLC Interes Interest Rate Swap 05565QCS5 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .11/04/2024 ...... 0 ...... 9,000,000 ...... (2.1290) ...... 0 ...... 624,835 ...... (143,708) ...... 625,723 ...... 625,723 ...... (562,959) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... BROOKFIELD ASSET MGMNT Variable BROOKFIELD ASSET MGMNT Interes Rate Interest Rate Swap 112585AH7 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .01/15/2025 ...... 0 ...... 2,700,000 ...... 0.6801 ...... 0 - ...... 12,849 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 38,874 ...... 102...... BROOKFIELD ASSET MGMNT Fixed BROOKFIELD ASSET MGMNT Interes Rate Interest Rate Swap 112585AH7 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .01/15/2025 ...... 0 ...... 2,700,000 ...... (2.0250) ...... 0 ...... 151,493 ...... (41,006) ...... 151,708 ...... 151,708 ...... (146,732) ...... 0 ...... 0 ...... 0 ...... 0 ...... 102...... CBS CORP Variable Rate Interest Rate Interes Swap CBS CORP 124857AP8...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .01/15/2025 ...... 0 ...... 4,500,000 ...... 0.6801 ...... 0 - ...... 21,415 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 64,789 ...... 99...... Interes CBS CORP Fixed Rate Interest Rate Swap CBS CORP 124857AP8...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .01/15/2025 ...... 0 ...... 4,500,000 ...... (2.1420) ...... 0 ...... 298,568 ...... (72,293) ...... 298,993 ...... 298,993 ...... (241,038) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... CITIGROUP COMMERCIAL MORTGAGE CITIGROUP COMMERCIAL MORT SERIES 2014GC23 CLASS (CMBS) A Interes Variable Rate Interest Rate Swap 17322VAV8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .07/10/2024 ...... 0 ...... 4,850,000 ...... 0.6646 ...... 0 - ...... 23,679 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 67,630 ...... 98...... CITIGROUP COMMERCIAL MORTGAGE CITIGROUP COMMERCIAL MORT Fixed SERIES 2014GC23 CLASS (CMBS) A Interes Rate Interest Rate Swap 17322VAV8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .07/10/2024 ...... 0 ...... 4,850,000 ...... (1.9205) ...... 0 ...... 227,947 ...... (70,376) ...... 228,272 ...... 228,272 ...... (245,541) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... CML 6400 Goldsboro 210676 Variable Interes Rate Interest Rate Swap CML 6400 Goldsboro...... B 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .11/10/2024 ...... 0 ...... 9,250,000 ...... 0.8065 ...... 0 - ...... 43,409 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 131,720 ...... 110...... CML 6400 Goldsboro 210676 Fixed Rate Interes Interest Rate Swap CML 6400 Goldsboro...... B 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .11/10/2024 ...... 0 ...... 9,250,000 ...... (2.5225) ...... 0 ...... 959,056 ...... (174,998) ...... 960,420 ...... 960,420 ...... (573,343) ...... 0 ...... 0 ...... 0 ...... 0 ...... 110...... COMM MORTGAGE TRUST Variable COMM MORTGAGE TRUST SERIES Interes Rate Interest Rate Swap 2014UBS6 CLASS (CMBS) A 12592PBH5 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .11/10/2024 ...... 0 ...... 9,400,000 ...... 0.6296 ...... 0 - ...... 41,832 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 133,856 ...... 99...... COMM MORTGAGE TRUST Fixed Rate COMM MORTGAGE TRUST SERIES Interes Interest Rate Swap 2014UBS6 CLASS (CMBS) A 12592PBH5 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .11/10/2024 ...... 0 ...... 9,400,000 ...... (1.9425) ...... 0 ...... 496,256 ...... (136,946) ...... 496,961 ...... 496,961 ...... (592,514) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... COMM MORTGAGE TRUST Variable COMM MORTGAGE TRUST SERIES Interes Rate Interest Rate Swap 2014LC15 CLASS (CMBS) A 12591TAG1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .03/10/2024 ...... 0 ...... 5,850,000 ...... 0.8454 ...... 0 - ...... 27,886 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 79,807 ...... 97...... COMM MORTGAGE TRUST Fixed Rate COMM MORTGAGE TRUST SERIES Interes Interest Rate Swap 2014LC15 CLASS (CMBS) A 12591TAG1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .03/10/2024 ...... 0 ...... 5,850,000 ...... (1.8985) ...... 0 ...... 249,528 ...... (83,914) ...... 249,882 ...... 249,882 ...... (282,968) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... CREDIT SUISSE SECURITIES Variable Interes Rate Interest Rate Swap US Bancorp 91159HHK9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .09/11/2024 ...... 0 ...... 4,700,000 ...... 0.8454 ...... 0 - ...... 22,286 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 66,248 ...... 100...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) CREDIT SUISSE SECURITIES Fixed Rate Interes Interest Rate Swap US Bancorp 91159HHK9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .09/11/2024 ...... 0 ...... 4,700,000 ...... (2.3850) ...... 0 ...... 389,872 ...... (84,383) ...... 390,426 ...... 390,426 ...... (231,845) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... CREDIT SUISSE SECURITIES Variable Interes Rate Interest Rate Swap BAT INTL FINANCE PLC 05530QAK6..... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .06/15/2025 ...... 0 ...... 9,250,000 ...... 0.6525 ...... 0 - ...... 42,826 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 136,483 ...... 100...... CREDIT SUISSE SECURITIES Fixed Rate Interes Interest Rate Swap BAT INTL FINANCE PLC 05530QAK6..... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .06/15/2025 ...... 0 ...... 9,250,000 ...... (2.4475) ...... 0 ...... 912,380 ...... (169,795) ...... 913,677 ...... 913,677 ...... (628,125) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... CREDIT SUISSE SECURITIES Variable Interes Rate Interest Rate Swap Comcast Corp 20030NBN0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .08/15/2025 ...... 0 ...... 4,500,000 ...... 0.8170 ...... 0 - ...... 20,911 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 67,030 ...... 96...... CREDIT SUISSE SECURITIES Fixed Rate Interes Interest Rate Swap Comcast Corp 20030NBN0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .08/15/2025 ...... 0 ...... 4,500,000 ...... (2.3075) ...... 0 ...... 366,224 ...... (77,301) ...... 366,744 ...... 366,744 ...... (258,799) ...... 0 ...... 0 ...... 0 ...... 0 ...... 96...... CREDIT SUISSE SECURITIES Variable Interes Rate Interest Rate Swap Branch Banking & Trust 07330MAA5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .10/30/2026 ...... 0 ...... 4,600,000 ...... 0.7515 ...... 0 - ...... 22,013 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 73,035 ...... 99...... CREDIT SUISSE SECURITIES Fixed Rate Interes Interest Rate Swap Branch Banking & Trust 07330MAA5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .10/30/2026 ...... 0 ...... 4,600,000 ...... (2.5388) ...... 0 ...... 539,076 ...... (87,262) ...... 539,843 ...... 539,843 ...... (363,306) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... CREDIT SUISSE SECURITIES Variable Interes Rate Interest Rate Swap UnitedHealth Group Inc 91324PCP5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .07/21/2015 .07/15/2025 ...... 0 ...... 6,500,000 ...... 0.6801 ...... 0 - ...... 30,932 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 96,365 ...... 101...... CREDIT SUISSE SECURITIES Fixed Rate Interes Interest Rate Swap UnitedHealth Group Inc 91324PCP5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .07/21/2015 .07/15/2025 ...... 0 ...... 6,500,000 ...... (2.4763) ...... 0 ...... 639,696 ...... (120,717) ...... 640,606 ...... 640,606 ...... (364,933) ...... 0 ...... 0 ...... 0 ...... 0 ...... 101...... CREDIT SUISSE SECURITIES Variable Interes Rate Interest Rate Swap Stryker Corporation 863667AF8...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .05/15/2024 ...... 0 ...... 4,700,000 ...... 0.8170 ...... 0 - ...... 21,840 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 64,891 ...... 100...... CREDIT SUISSE SECURITIES Fixed Rate Interes Interest Rate Swap Stryker Corporation 863667AF8...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/18/2015 .05/15/2024 ...... 0 ...... 4,700,000 ...... (2.3550) ...... 0 ...... 405,890 ...... (83,014) ...... 406,467 ...... 406,467 ...... (272,406) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap QUALCOMM Inc 747525AF0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .05/20/2025 ...... 0 ...... 4,250,000 ...... 0.8110 ...... 0 - ...... 19,766 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,458 ...... 97...... Q DEUTSCHE BANK Fixed Rate Interest Interes E Rate Swap QUALCOMM Inc 747525AF0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .05/20/2025 ...... 0 ...... 4,250,000 ...... (2.0460) ...... 0 ...... 265,135 ...... (65,216) ...... 265,512 ...... 265,512 ...... (286,387) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... 0 DEUTSCHE BANK Variable Rate Interest Interes 6 Rate Swap Gilead Sciences Inc 375558BF9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .09/09/2015 .03/01/2026 ...... 0 ...... 9,250,000 ...... 0.6731 ...... 0 - ...... 42,497 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 141,946 ...... 101......
1 DEUTSCHE BANK Fixed Rate Interest Interes
4 Rate Swap Gilead Sciences Inc 375558BF9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .09/09/2015 .03/01/2026 ...... 0 ...... 9,250,000 ...... (2.2580) ...... 0 ...... 719,457 ...... (156,649) ...... 720,480 ...... 720,480 ...... (585,667) ...... 0 ...... 0 ...... 0 ...... 0 ...... 101...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap QUALCOMM Inc 747525AF0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/13/2015 .05/20/2025 ...... 0 ...... 4,250,000 ...... 0.8110 ...... 0 - ...... 19,766 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,458 ...... 97...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap QUALCOMM Inc 747525AF0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/13/2015 .05/20/2025 ...... 0 ...... 4,250,000 ...... (2.0080) ...... 0 ...... 250,189 ...... (64,005) ...... 250,545 ...... 250,545 ...... (286,614) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap BHP Billiton Finance 055451AU2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/04/2015 .09/30/2023 ...... 0 ...... 9,250,000 ...... 0.8377 ...... 0 - ...... 44,444 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 122,366 ...... 98...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap BHP Billiton Finance 055451AU2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/04/2015 .09/30/2023 ...... 0 ...... 9,250,000 ...... (1.9670) ...... 0 ...... 432,011 ...... (136,966) ...... 432,625 ...... 432,625 ...... (429,042) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... DEUTSCHE BANK Variable Rate Interest ELECTRICITE DE FRANCE SA Interes Rate Swap 268317AS3 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .10/13/2025 ...... 0 ...... 8,750,000 ...... 0.6691 ...... 0 - ...... 49,893 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 131,513 ...... 97...... DEUTSCHE BANK Fixed Rate Interest ELECTRICITE DE FRANCE SA Interes Rate Swap 268317AS3 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .10/13/2025 ...... 0 ...... 8,750,000 ...... (2.0810) ...... 0 ...... 593,857 ...... (136,566) ...... 594,701 ...... 594,701 ...... (618,077) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Caterpillar Financial Service 14912L6G1. D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .04/23/2015 .12/01/2024 ...... 0 ...... 4,800,000 ...... 0.6731 ...... 0 - ...... 22,052 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 68,597 ...... 99...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Caterpillar Financial Service 14912L6G1. D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .04/23/2015 .12/01/2024 ...... 0 ...... 4,800,000 ...... (2.0155) ...... 0 ...... 280,927 ...... (72,558) ...... 281,327 ...... 281,327 ...... (305,510) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Flowserve Corp 34354PAD7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/04/2015 .11/15/2023 ...... 0 ...... 8,750,000 ...... 0.8170 ...... 0 - ...... 40,659 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 116,781 ...... 96...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Flowserve Corp 34354PAD7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/04/2015 .11/15/2023 ...... 0 ...... 8,750,000 ...... (1.9720) ...... 0 ...... 471,411 ...... (129,413) ...... 472,081 ...... 472,081 ...... (476,281) ...... 0 ...... 0 ...... 0 ...... 0 ...... 96...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap National Oilwell Varco Inc 637071AJ0..... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/04/2015 .12/01/2022 ...... 0 ...... 8,500,000 ...... 0.6731 ...... 0 - ...... 39,051 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 105,563 ...... 96...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap National Oilwell Varco Inc 637071AJ0..... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/04/2015 .12/01/2022 ...... 0 ...... 8,500,000 ...... (1.8800) ...... 0 ...... 381,913 ...... (119,850) ...... 382,456 ...... 382,456 ...... (393,412) ...... 0 ...... 0 ...... 0 ...... 0 ...... 96...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Tosco Corp 891490AR5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .01/01/2027 ...... 0 ....10,000,000 ...... 0.8456 ...... 0 - ...... 67,866 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 160,100 ...... 98...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Tosco Corp 891490AR5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .01/01/2027 ...... 0 ....10,000,000 ...... (2.2290) ...... 0 ...... 816,348 ...... (167,175) ...... 817,509 ...... 817,509 ...... (815,971) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Marsh & Mclennan 571748AZ5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .03/14/2026 ...... 0 ...... 4,500,000 ...... 0.8558 ...... 0 - ...... 21,211 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 69,187 ...... 98...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Marsh & Mclennan 571748AZ5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .03/14/2026 ...... 0 ...... 4,500,000 ...... (2.0940) ...... 0 ...... 276,473 ...... (70,673) ...... 276,866 ...... 276,866 ...... (294,750) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap IBM Corp 459200AR2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .08/01/2027 ...... 0 ....10,500,000 ...... 0.7565 ...... 0 - ...... 53,673 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 172,821 ...... 102...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap IBM Corp 459200AR2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .08/01/2027 ...... 0 ....10,500,000 ...... (2.2630) ...... 0 ...... 872,538 ...... (178,211) ...... 873,779 ...... 873,779 ...... (885,762) ...... 0 ...... 0 ...... 0 ...... 0 ...... 102...... DEUTSCHE BANK Variable Rate Interest Interes London Clearing Rate Swap ROLLS-ROYCE PLC 77578JAB4...... D 1...... t Rate House 549300035Z3DHK2T4A54...... 06/30/2016 .10/14/2025 ...... 0 ...... 2,750,000 ...... 0.6734 ...... 0 - ...... 4,368 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 41,339 ...... 94...... DEUTSCHE BANK Fixed Rate Interest Interes London Clearing Rate Swap ROLLS-ROYCE PLC 77578JAB4...... D 1...... t Rate House 549300035Z3DHK2T4A54...... 06/30/2016 .10/14/2025 ...... 0 ...... 2,750,000 ...... (1.3380) ...... 0 ...... (15,282) ...... (8,790) ...... (15,304) ...... (15,304) ...... 14,307 ...... 0 ...... 0 ...... 0 ...... 0 ...... 94...... DEUTSCHE BANK Variable Rate Interest DIST OF COLUMBIA REVENUE Interes Rate Swap 25483VPW8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/18/2015 .06/01/2025 ...... 0 ...... 3,000,000 ...... 0.6731 ...... 0 - ...... 13,783 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 44,166 ...... 99...... DEUTSCHE BANK Fixed Rate Interest DIST OF COLUMBIA REVENUE Interes Rate Swap 25483VPW8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/18/2015 .06/01/2025 ...... 0 ...... 3,000,000 ...... (2.2630) ...... 0 ...... 245,970 ...... (50,918) ...... 246,319 ...... 246,319 ...... (202,474) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Marsh & Mclennan 571748AZ5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .09/09/2015 .03/14/2026 ...... 0 ...... 6,500,000 ...... 0.6556 ...... 0 - ...... 30,023 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 99,937 ...... 102...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Marsh & Mclennan 571748AZ5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .09/09/2015 .03/14/2026 ...... 0 ...... 6,500,000 ...... (2.2600) ...... 0 ...... 504,126 ...... (110,175) ...... 504,843 ...... 504,843 ...... (410,133) ...... 0 ...... 0 ...... 0 ...... 0 ...... 102...... DEUTSCHE BANK Variable Rate Interest COMMUNITY HOSPITALS OF I Interes Rate Swap 20369EAA0 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .05/01/2025 ...... 0 ....10,500,000 ...... 0.7565 ...... 0 - ...... 49,567 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 153,836 ...... 92...... DEUTSCHE BANK Fixed Rate Interest COMMUNITY HOSPITALS OF I Interes Rate Swap 20369EAA0 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .05/01/2025 ...... 0 ....10,500,000 ...... (2.0290) ...... 0 ...... 644,428 ...... (160,376) ...... 645,345 ...... 645,345 ...... (701,143) ...... 0 ...... 0 ...... 0 ...... 0 ...... 92...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap McDonalds Corp 580135BY6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .01/08/2028 ...... 0 ....10,000,000 ...... 0.6611 ...... 0 - ...... 51,905 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 167,871 ...... 102...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap McDonalds Corp 580135BY6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .01/08/2028 ...... 0 ....10,000,000 ...... (2.2890) ...... 0 ...... 882,985 ...... (171,675) ...... 884,240 ...... 884,240 ...... (878,826) ...... 0 ...... 0 ...... 0 ...... 0 ...... 102...... DEUTSCHE BANK Variable Rate Interest KANSAS ST DEV FIN AUTH REVENUE Interes Rate Swap 485429Y99 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/12/2015 .04/15/2026 ...... 0 ...... 5,300,000 ...... 0.6801 ...... 0 - ...... 25,222 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 81,857 ...... 97...... Q DEUTSCHE BANK Fixed Rate Interest KANSAS ST DEV FIN AUTH REVENUE Interes E Rate Swap 485429Y99 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/12/2015 .04/15/2026 ...... 0 ...... 5,300,000 ...... (2.2310) ...... 0 ...... 443,562 ...... (88,682) ...... 444,193 ...... 444,193 ...... (395,532) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... 0 DEUTSCHE BANK Variable Rate Interest Interes 6 Rate Swap Citigroup Inc 172967JP7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .04/23/2015 .04/27/2025 ...... 0 ...... 9,250,000 ...... 0.6339 ...... 0 - ...... 42,254 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 135,434 ...... 101......
1 DEUTSCHE BANK Fixed Rate Interest Interes
5 Rate Swap Citigroup Inc 172967JP7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .04/23/2015 .04/27/2025 ...... 0 ...... 9,250,000 ...... (2.0370) ...... 0 ...... 577,386 ...... (141,317) ...... 578,207 ...... 578,207 ...... (617,580) ...... 0 ...... 0 ...... 0 ...... 0 ...... 101...... DEUTSCHE BANK Variable Rate Interest OAKLAND CA PENSN OBLG Interes Rate Swap 672319CE8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/07/2016 .12/15/2023 ...... 0 ...... 4,500,000 ...... 0.8503 ...... 0 - ...... 20,692 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 60,409 ...... 95...... DEUTSCHE BANK Fixed Rate Interest OAKLAND CA PENSN OBLG Interes Rate Swap 672319CE8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/07/2016 .12/15/2023 ...... 0 ...... 4,500,000 ...... (1.9260) ...... 0 ...... 231,199 ...... (62,595) ...... 231,528 ...... 231,528 ...... (216,445) ...... 0 ...... 0 ...... 0 ...... 0 ...... 95...... DEUTSCHE BANK Variable Rate Interest KANSAS ST DEV FIN AUTH REVENUE Interes Rate Swap 485429Y81 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/12/2015 .04/15/2025 ...... 0 ...... 2,700,000 ...... 0.6801 ...... 0 - ...... 12,849 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 39,455 ...... 98...... DEUTSCHE BANK Fixed Rate Interest KANSAS ST DEV FIN AUTH REVENUE Interes Rate Swap 485429Y81 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/12/2015 .04/15/2025 ...... 0 ...... 2,700,000 ...... (2.1640) ...... 0 ...... 201,824 ...... (43,821) ...... 202,111 ...... 202,111 ...... (179,123) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... DEUTSCHE BANK Variable Rate Interest 21ST CENTURY FOX AMERICA Interes Rate Swap 90131HBB0 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .06/30/2028 ...... 0 ...... 8,000,000 ...... 0.6311 ...... 0 - ...... 38,036 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 137,113 ...... 97...... DEUTSCHE BANK Fixed Rate Interest 21ST CENTURY FOX AMERICA Interes Rate Swap 90131HBB0 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/03/2015 .06/30/2028 ...... 0 ...... 8,000,000 ...... (2.3090) ...... 0 ...... 752,478 ...... (138,540) ...... 753,548 ...... 753,548 ...... (745,529) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap INVESCO FINANCE PLC 46132FAD2.... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .01/15/2026 ...... 0 ...... 9,000,000 ...... 0.6801 ...... 0 - ...... 42,596 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 137,170 ...... 100...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap INVESCO FINANCE PLC 46132FAD2.... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .01/15/2026 ...... 0 ...... 9,000,000 ...... (2.1180) ...... 0 ...... 594,496 ...... (142,965) ...... 595,341 ...... 595,341 ...... (605,352) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... DEUTSCHE BANK Variable Rate Interest DIST OF COLUMBIA REVENUE Interes Rate Swap 25483VPV0 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/18/2015 .06/01/2024 ...... 0 ...... 1,750,000 ...... 0.6731 ...... 0 - ...... 8,040 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 24,232 ...... 95...... DEUTSCHE BANK Fixed Rate Interest DIST OF COLUMBIA REVENUE Interes Rate Swap 25483VPV0 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/18/2015 .06/01/2024 ...... 0 ...... 1,750,000 ...... (2.1880) ...... 0 ...... 126,174 ...... (28,718) ...... 126,353 ...... 126,353 ...... (103,279) ...... 0 ...... 0 ...... 0 ...... 0 ...... 95...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Tyco Intl Group 902118BS6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .09/09/2015 .02/14/2026 ...... 0 ...... 3,600,000 ...... 0.8170 ...... 0 - ...... 16,774 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 55,105 ...... 100...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Tyco Intl Group 902118BS6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .09/09/2015 .02/14/2026 ...... 0 ...... 3,600,000 ...... (2.2440) ...... 0 ...... 276,683 ...... (60,812) ...... 277,076 ...... 277,076 ...... (229,839) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Cummins Engine 231021AJ5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2015 .03/01/2028 ...... 0 ....10,500,000 ...... 0.6731 ...... 0 - ...... 48,240 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 177,412 ...... 98...... DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Cummins Engine 231021AJ5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2015 .03/01/2028 ...... 0 ....10,500,000 ...... (2.3970) ...... 0 ...... 1,033,309 ...... (188,764) ...... 1,034,778 ...... 1,034,778 ...... (867,567) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... DEUTSCHE BANK Variable Rate Interest WELLS FARGO & COMPANY Interes Rate Swap 94974BFY1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .06/03/2026 ...... 0 ...... 4,500,000 ...... 0.6813 ...... 0 - ...... 21,010 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 69,985 ...... 99...... DEUTSCHE BANK Fixed Rate Interest WELLS FARGO & COMPANY Interes Rate Swap 94974BFY1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/07/2015 .06/03/2026 ...... 0 ...... 4,500,000 ...... (2.1190) ...... 0 ...... 316,228 ...... (71,516) ...... 316,678 ...... 316,678 ...... (342,504) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... DEUTSCHE BANK Variable Rate Interest Interes Rate Swap Kohls Corp 500255AT1...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2015 .12/15/2023 ...... 0 ...... 9,000,000 ...... 0.6525 ...... 0 - ...... 41,668 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 120,818 ...... 97...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) DEUTSCHE BANK Fixed Rate Interest Interes Rate Swap Kohls Corp 500255AT1...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2015 .12/15/2023 ...... 0 ...... 9,000,000 ...... (2.0980) ...... 0 ...... 566,260 ...... (141,615) ...... 567,065 ...... 567,065 ...... (498,822) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... DOMINION GAS HLDGS LLC Variable DOMINION GAS HLDGS LLC Interes Rate Interest Rate Swap 257375AH8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/07/2015 .12/15/2024 ...... 0 ...... 4,700,000 ...... 0.6525 ...... 0 - ...... 21,760 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 67,328 ...... 100...... DOMINION GAS HLDGS LLC Fixed Rate DOMINION GAS HLDGS LLC Interes Interest Rate Swap 257375AH8 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/07/2015 .12/15/2024 ...... 0 ...... 4,700,000 ...... (2.0620) ...... 0 ...... 292,358 ...... (72,686) ...... 292,774 ...... 292,774 ...... (301,871) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... Interes EBay Inc Variable Rate Interest Rate Swap EBay Inc 278642AL7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .08/01/2024 ...... 0 ...... 4,500,000 ...... 0.7565 ...... 0 - ...... 21,189 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,984 ...... 110...... Interes EBay Inc Fixed Rate Interest Rate Swap... EBay Inc 278642AL7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .08/01/2024 ...... 0 ...... 4,500,000 ...... (2.2880) ...... 0 ...... 343,788 ...... (76,648) ...... 344,277 ...... 344,277 ...... (218,977) ...... 0 ...... 0 ...... 0 ...... 0 ...... 110...... GEORGIA-PACIFIC LLC Variable Rate Interes Interest Rate Swap GEORGIA-PACIFIC LLC 37331NAH4..... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .03/01/2025 ...... 0 ...... 4,500,000 ...... 0.6731 ...... 0 - ...... 20,674 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 65,287 ...... 97...... GEORGIA-PACIFIC LLC Fixed Rate Interes Interest Rate Swap GEORGIA-PACIFIC LLC 37331NAH4..... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .03/01/2025 ...... 0 ...... 4,500,000 ...... (2.1440) ...... 0 ...... 291,344 ...... (72,360) ...... 291,758 ...... 291,758 ...... (246,747) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Gilead Sciences Inc 375558BF9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .03/01/2026 ...... 0 ...... 4,500,000 ...... 0.6731 ...... 0 - ...... 20,674 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 69,055 ...... 98...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Gilead Sciences Inc 375558BF9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .03/01/2026 ...... 0 ...... 4,500,000 ...... (2.1120) ...... 0 ...... 286,201 ...... (71,280) ...... 286,608 ...... 286,608 ...... (296,113) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... JP MORGAN SECURITIES LLC Variable Interes London Clearing Rate Interest Rate Swap Horace Mann Educators 440327AK0...... D 1...... t Rate House 549300035Z3DHK2T4A54...... 11/18/2015 .12/01/2025 ...... 0 ...... 8,500,000 ...... 0.6731 ...... 0 - ...... 39,051 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 128,695 ...... 97...... JP MORGAN SECURITIES LLC Fixed Interes London Clearing Rate Interest Rate Swap Horace Mann Educators 440327AK0...... D 1...... t Rate House 549300035Z3DHK2T4A54...... 11/18/2015 .12/01/2025 ...... 0 ...... 8,500,000 ...... (2.1420) ...... 0 ...... 630,633 ...... (136,553) ...... 631,530 ...... 631,530 ...... (601,477) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Celgene Corp 151020AP9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .05/15/2024 ...... 0 ...... 4,500,000 ...... 0.8170 ...... 0 - ...... 20,911 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,130 ...... 98...... Q JP MORGAN SECURITIES LLC Fixed Interes E Rate Interest Rate Swap Celgene Corp 151020AP9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .05/15/2024 ...... 0 ...... 4,500,000 ...... (1.9550) ...... 0 ...... 239,714 ...... (65,981) ...... 240,055 ...... 240,055 ...... (264,729) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... 0 JP MORGAN SECURITIES LLC Variable COOPERATIEVE RABOBANK UA Interes 6 Rate Interest Rate Swap 21685WDF1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/15/2022 ...... 0 ...... 4,500,000 ...... 0.8170 ...... 0 - ...... 20,911 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 55,685 ...... 95......
1 JP MORGAN SECURITIES LLC Fixed COOPERATIEVE RABOBANK UA Interes
6 Rate Interest Rate Swap 21685WDF1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/15/2022 ...... 0 ...... 4,500,000 ...... (1.8800) ...... 0 ...... 203,723 ...... (63,450) ...... 204,012 ...... 204,012 ...... (205,366) ...... 0 ...... 0 ...... 0 ...... 0 ...... 95...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap PNC BANK NA 69349LAG3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/01/2022 ...... 0 ...... 9,000,000 ...... 0.7565 ...... 0 - ...... 46,761 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 111,015 ...... 96...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap PNC BANK NA 69349LAG3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/01/2022 ...... 0 ...... 9,000,000 ...... (1.8650) ...... 0 ...... 402,312 ...... (126,820) ...... 402,884 ...... 402,884 ...... (409,881) ...... 0 ...... 0 ...... 0 ...... 0 ...... 96...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Janus Capital Group Inc 47102XAJ4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .08/01/2025 ...... 0 ...... 7,500,000 ...... 0.7565 ...... 0 - ...... 35,405 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 111,471 ...... 96...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Janus Capital Group Inc 47102XAJ4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .08/01/2025 ...... 0 ...... 7,500,000 ...... (2.0700) ...... 0 ...... 450,506 ...... (116,438) ...... 451,147 ...... 451,147 ...... (469,975) ...... 0 ...... 0 ...... 0 ...... 0 ...... 96...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Morgan Stanley 6174468C6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .07/23/2025 ...... 0 ...... 4,600,000 ...... 0.7145 ...... 0 - ...... 21,974 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 68,283 ...... 99...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Morgan Stanley 6174468C6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .07/23/2025 ...... 0 ...... 4,600,000 ...... (2.2850) ...... 0 ...... 369,208 ...... (79,416) ...... 369,733 ...... 369,733 ...... (265,535) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Yamana Gold Inc 98462YAB6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/06/2015 .07/15/2024 ...... 0 ...... 2,300,000 ...... 0.6801 ...... 0 - ...... 10,945 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 32,101 ...... 98...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Yamana Gold Inc 98462YAB6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/06/2015 .07/15/2024 ...... 0 ...... 2,300,000 ...... (2.2600) ...... 0 ...... 172,194 ...... (38,985) ...... 172,438 ...... 172,438 ...... (114,928) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... JP MORGAN SECURITIES LLC Variable OAKLAND CA REDEV SUCCESSOR Interes Rate Interest Rate Swap AGY 67232TAU9 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/10/2015 .09/01/2023 ...... 0 ...... 850,000 ...... 0.6731 ...... 0 - ...... 3,905 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 11,180 ...... 93...... JP MORGAN SECURITIES LLC Fixed OAKLAND CA REDEV SUCCESSOR Interes Rate Interest Rate Swap AGY 67232TAU9 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/10/2015 .09/01/2023 ...... 0 ...... 850,000 ...... (2.1760) ...... 0 ...... 53,164 ...... (13,872) ...... 53,239 ...... 53,239 ...... (35,209) ...... 0 ...... 0 ...... 0 ...... 0 ...... 93...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap AP MOELLER-MAERSK A/S 00203QAD9 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .09/28/2025 ...... 0 ...... 8,750,000 ...... 0.6236 ...... 0 - ...... 41,089 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 131,209 ...... 99...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap AP MOELLER-MAERSK A/S 00203QAD9 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/08/2015 .09/28/2025 ...... 0 ...... 8,750,000 ...... (2.0800) ...... 0 ...... 516,480 ...... (136,500) ...... 517,215 ...... 517,215 ...... (538,649) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... JP MORGAN SECURITIES LLC Variable CML RANCHO SAN DIEGO Interes Rate Interest Rate Swap LNCOMM$TG B 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .04/23/2015 .06/30/2027 ...... 0 ....10,000,000 ...... 0.8377 ...... 0 - ...... 47,579 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 163,936 ...... 107...... JP MORGAN SECURITIES LLC Fixed CML RANCHO SAN DIEGO Interes Rate Interest Rate Swap LNCOMM$TG B 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .04/23/2015 .06/30/2027 ...... 0 ....10,000,000 ...... (2.1805) ...... 0 ...... 773,301 ...... (163,538) ...... 774,401 ...... 774,401 ...... (852,706) ...... 0 ...... 0 ...... 0 ...... 0 ...... 107...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap INGRAM MICRO INC 457153AG9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .12/15/2024 ...... 0 ...... 4,375,000 ...... 0.6525 ...... 0 - ...... 20,255 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,672 ...... 99...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap INGRAM MICRO INC 457153AG9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .12/15/2024 ...... 0 ...... 4,375,000 ...... (1.9475) ...... 0 ...... 228,248 ...... (63,902) ...... 228,572 ...... 228,572 ...... (281,868) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap International Paper Co 460146CL5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/17/2016 .01/15/2026 ...... 0 ...... 8,250,000 ...... 0.6801 ...... 0 - ...... 31,739 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 125,739 ...... 97...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap International Paper Co 460146CL5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/17/2016 .01/15/2026 ...... 0 ...... 8,250,000 ...... (1.6735) ...... 0 ...... 208,857 ...... (85,139) ...... 209,154 ...... 209,154 ...... (195,529) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap DIGNITY HEALTH 254010AD3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/01/2024 ...... 0 ...... 9,250,000 ...... 0.7565 ...... 0 - ...... 48,059 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 131,517 ...... 98...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap DIGNITY HEALTH 254010AD3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/01/2024 ...... 0 ...... 9,250,000 ...... (2.0425) ...... 0 ...... 572,102 ...... (142,748) ...... 572,915 ...... 572,915 ...... (581,641) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... JP MORGAN SECURITIES LLC Variable OAKLAND CA REDEV SUCCESSOR Interes Rate Interest Rate Swap AGY 67232TAW5 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/10/2015 .09/01/2025 ...... 0 ...... 550,000 ...... 0.6731 ...... 0 - ...... 2,527 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 8,213 ...... 94...... JP MORGAN SECURITIES LLC Fixed OAKLAND CA REDEV SUCCESSOR Interes Rate Interest Rate Swap AGY 67232TAW5 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/10/2015 .09/01/2025 ...... 0 ...... 550,000 ...... (2.3370) ...... 0 ...... 45,947 ...... (9,640) ...... 46,012 ...... 46,012 ...... (31,819) ...... 0 ...... 0 ...... 0 ...... 0 ...... 94...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Raytheon Co 755111AP6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/01/2028 ...... 0 ...... 8,000,000 ...... 0.7565 ...... 0 - ...... 41,565 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 139,060 ...... 100...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Raytheon Co 755111AP6...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .11/01/2028 ...... 0 ...... 8,000,000 ...... (2.3150) ...... 0 ...... 783,168 ...... (139,929) ...... 784,282 ...... 784,281 ...... (761,081) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap United Technologies Corp 913017AT6.... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .08/01/2028 ...... 0 ....10,000,000 ...... 0.7565 ...... 0 - ...... 51,956 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 172,018 ...... 100...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap United Technologies Corp 913017AT6.... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .08/01/2028 ...... 0 ....10,000,000 ...... (2.3050) ...... 0 ...... 900,997 ...... (172,875) ...... 902,278 ...... 902,278 ...... (875,650) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Eaton Vance Corp 278265AD5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/19/2015 .06/15/2023 ...... 0 ...... 9,250,000 ...... 0.8503 ...... 0 - ...... 43,639 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 119,790 ...... 99...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap HUDSONSEaton Vance BAY Corp SIMON 278265AD5...... JV TRUST D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/19/2015 .06/15/2023 ...... 0 ...... 9,250,000 ...... (2.2010) ...... 0 ...... 636,532 ...... (152,694) ...... 637,437 ...... 637,437 ...... (468,241) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... JP MORGAN SECURITIES LLC Variable SERIES 2015HB7 CLASS (CMBS) A7 Interes Rate Interest Rate Swap HUDSONS44422PAU6 BAY SIMON JV TRUST D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .08/05/2022 ...... 0 ....14,000,000 ...... 0.7776 ...... 0 - ...... 72,979 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 169,267 ...... 97...... JP MORGAN SECURITIES LLC Fixed SERIES 2015HB7 CLASS (CMBS) A7 Interes Rate Interest Rate Swap 44422PAU6 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .08/05/2022 ...... 0 ....14,000,000 ...... (1.8175) ...... 0 ...... 506,928 ...... (190,838) ...... 507,648 ...... 507,648 ...... (543,753) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97...... Q JP MORGAN SECURITIES LLC Variable Interes E Rate Interest Rate Swap Mattel Inc 577081AY8...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .03/15/2023 ...... 0 ...... 4,750,000 ...... 0.6525 ...... 0 - ...... 21,991 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 60,356 ...... 97...... 0 JP MORGAN SECURITIES LLC Fixed Interes 6 Rate Interest Rate Swap Mattel Inc 577081AY8...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/05/2015 .03/15/2023 ...... 0 ...... 4,750,000 ...... (1.9100) ...... 0 ...... 200,130 ...... (68,044) ...... 200,415 ...... 200,415 ...... (201,715) ...... 0 ...... 0 ...... 0 ...... 0 ...... 97......
1 JP MORGAN SECURITIES LLC Variable LOS ANGELES CNTY CA REDEV REFU Interes
7 Rate Interest Rate Swap 54465AFT4 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .07/28/2015 .08/01/2024 ...... 0 ...... 3,600,000 ...... 0.7565 ...... 0 - ...... 17,835 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 50,387 ...... 99...... JP MORGAN SECURITIES LLC Fixed LOS ANGELES CNTY CA REDEV REFU Interes Rate Interest Rate Swap 54465AFT4 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .07/28/2015 .08/01/2024 ...... 0 ...... 3,600,000 ...... (2.2680) ...... 0 ...... 269,085 ...... (61,463) ...... 269,467 ...... 269,467 ...... (175,683) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap National Fuel Gas Co 636180BM2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/22/2015 .07/15/2025 ...... 0 ...... 8,250,000 ...... 0.6801 ...... 0 - ...... 39,260 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 122,309 ...... 96...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap National Fuel Gas Co 636180BM2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .06/22/2015 .07/15/2025 ...... 0 ...... 8,250,000 ...... (2.4800) ...... 0 ...... 814,780 ...... (153,450) ...... 815,939 ...... 815,939 ...... (459,018) ...... 0 ...... 0 ...... 0 ...... 0 ...... 96...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Harley Davidson Inc 412822AD0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .07/28/2025 ...... 0 ...... 4,600,000 ...... 0.7430 ...... 0 - ...... 21,886 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 68,337 ...... 98...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Harley Davidson Inc 412822AD0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .07/28/2025 ...... 0 ...... 4,600,000 ...... (2.3050) ...... 0 ...... 376,966 ...... (79,523) ...... 377,502 ...... 377,502 ...... (264,371) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap ROLLS-ROYCE PLC 77578JAB4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/06/2015 .10/14/2025 ...... 0 ...... 6,250,000 ...... 0.6734 ...... 0 - ...... 31,904 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 93,952 ...... 99...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap ROLLS-ROYCE PLC 77578JAB4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .10/06/2015 .10/14/2025 ...... 0 ...... 6,250,000 ...... (2.0600) ...... 0 ...... 411,041 ...... (98,708) ...... 411,625 ...... 411,625 ...... (441,601) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Celgene Corp 151020AS3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/03/2015 .08/15/2025 ...... 0 ...... 6,000,000 ...... 0.8170 ...... 0 - ...... 27,881 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 89,373 ...... 95...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Celgene Corp 151020AS3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/03/2015 .08/15/2025 ...... 0 ...... 6,000,000 ...... (2.2550) ...... 0 ...... 459,220 ...... (100,723) ...... 459,873 ...... 459,873 ...... (347,005) ...... 0 ...... 0 ...... 0 ...... 0 ...... 95...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap UnitedHealth Group Inc 91324PCP5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .07/28/2015 .07/15/2025 ...... 0 ...... 3,750,000 ...... 0.6801 ...... 0 - ...... 20,450 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 55,595 ...... 101...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap UnitedHealth Group Inc 91324PCP5...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .07/28/2015 .07/15/2025 ...... 0 ...... 3,750,000 ...... (2.3430) ...... 0 ...... 322,888 ...... (65,897) ...... 323,347 ...... 323,347 ...... (215,532) ...... 0 ...... 0 ...... 0 ...... 0 ...... 101...... JP MORGAN SECURITIES LLC Variable OAKLAND CA REDEV SUCCESSOR Interes London Clearing Rate Interest Rate Swap AGY 67232TAV7 D 1...... t Rate House 549300035Z3DHK2T4A54...... 08/10/2015 .09/01/2024 ...... 0 ...... 850,000 ...... 0.6731 ...... 0 - ...... 3,905 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 11,960 ...... 94...... JP MORGAN SECURITIES LLC Fixed OAKLAND CA REDEV SUCCESSOR Interes London Clearing Rate Interest Rate Swap AGY 67232TAV7 D 1...... t Rate House 549300035Z3DHK2T4A54...... 08/10/2015 .09/01/2024 ...... 0 ...... 850,000 ...... (2.2650) ...... 0 ...... 62,387 ...... (14,439) ...... 62,476 ...... 62,476 ...... (42,277) ...... 0 ...... 0 ...... 0 ...... 0 ...... 94...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap CF INDUSTRIES INC 12527GAC7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .06/01/2023 ...... 0 ...... 2,500,000 ...... 0.6731 ...... 0 - ...... 11,486 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 32,282 ...... 94...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap CF INDUSTRIES INC 12527GAC7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .06/01/2023 ...... 0 ...... 2,500,000 ...... (2.1030) ...... 0 ...... 155,069 ...... (39,431) ...... 155,289 ...... 155,289 ...... (125,520) ...... 0 ...... 0 ...... 0 ...... 0 ...... 94...... JP MORGAN SECURITIES LLC Variable Interes Rate Interest Rate Swap Comerica Bank 200339DX4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .07/27/2025 ...... 0 ...... 4,500,000 ...... 0.7335 ...... 0 - ...... 21,378 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 66,841 ...... 98...... JP MORGAN SECURITIES LLC Fixed Interes Rate Interest Rate Swap Comerica Bank 200339DX4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .08/04/2015 .07/27/2025 ...... 0 ...... 4,500,000 ...... (2.2860) ...... 0 ...... 361,193 ...... (77,153) ...... 361,706 ...... 361,706 ...... (259,514) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) KEYSIGHT TECHNOLOGIES Variable Interes Rate Interest Rate Swap 49338LAA1...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .10/30/2024 ...... 0 ...... 4,500,000 ...... 0.7515 ...... 0 - ...... 21,337 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 63,970 ...... 102...... KEYSIGHT TECHNOLOGIES Fixed Rate Interes Interest Rate Swap 49338LAA1...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .10/30/2024 ...... 0 ...... 4,500,000 ...... (2.0100) ...... 0 ...... 267,110 ...... (67,586) ...... 267,489 ...... 267,489 ...... (281,995) ...... 0 ...... 0 ...... 0 ...... 0 ...... 102...... KLA-Tencor Corp Variable Rate Interest Interes Rate Swap KLA-Tencor Corp 482480AE0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .11/01/2024 ...... 0 ...... 4,500,000 ...... 0.7565 ...... 0 - ...... 21,243 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 63,981 ...... 98...... KLA-Tencor Corp Fixed Rate Interest Rate Interes Swap KLA-Tencor Corp 482480AE0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .11/01/2024 ...... 0 ...... 4,500,000 ...... (2.1280) ...... 0 ...... 312,042 ...... (72,086) ...... 312,486 ...... 312,486 ...... (280,830) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... L-3 Communications Corp Variable Rate Interes Interest Rate Swap L-3 Communications Corp 502413BD8... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .05/28/2024 ...... 0 ...... 4,500,000 ...... 0.8293 ...... 0 - ...... 21,951 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,277 ...... 110...... L-3 Communications Corp Fixed Rate Interes Interest Rate Swap MORGANL-3 Communications STANLEY CorpBAML 502413BD8...TRUST D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .05/28/2024 ...... 0 ...... 4,500,000 ...... (2.2730) ...... 0 ...... 356,536 ...... (77,282) ...... 357,043 ...... 357,043 ...... (264,109) ...... 0 ...... 0 ...... 0 ...... 0 ...... 110...... MORGAN STANLEY BAML TRUST SERIES 2014C19 CLASS (CMBS) AS Interes Variable Rate Interest Rate Swap MORGAN61764PBW1 STANLEY BAML TRUST D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .11/15/2024 ...... 0 ...... 3,750,000 ...... 0.8170 ...... 0 - ...... 17,425 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 53,446 ...... 95...... MORGAN STANLEY BAML TRUST Fixed SERIES 2014C19 CLASS (CMBS) AS Interes Rate Interest Rate Swap 61764PBW1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .11/15/2024 ...... 0 ...... 3,750,000 ...... (1.9425) ...... 0 ...... 197,095 ...... (54,633) ...... 197,375 ...... 197,375 ...... (236,788) ...... 0 ...... 0 ...... 0 ...... 0 ...... 95...... Medtronic PLC Variable Rate Interest Rate Interes Swap 585055BM7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .03/15/2025 ...... 0 ...... 4,700,000 ...... 0.6525 ...... 0 - ...... 21,827 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 68,346 ...... 108...... Medtronic PLC Fixed Rate Interest Rate Interes Swap 585055BM7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .03/15/2025 ...... 0 ...... 4,700,000 ...... (2.3340) ...... 0 ...... 380,443 ...... (82,274) ...... 380,984 ...... 380,984 ...... (254,986) ...... 0 ...... 0 ...... 0 ...... 0 ...... 108...... Oceaneering Intl Inc Variable Rate Interest Interes Rate Swap Oceaneering Intl Inc 675232AA0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .11/15/2024 ...... 0 ...... 4,400,000 ...... 0.8170 ...... 0 - ...... 20,390 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 62,710 ...... 100...... Oceaneering Intl Inc Fixed Rate Interest Interes Rate Swap Oceaneering Intl Inc 675232AA0...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .12/11/2014 .11/15/2024 ...... 0 ...... 4,400,000 ...... (2.3100) ...... 0 ...... 372,975 ...... (76,230) ...... 373,506 ...... 373,506 ...... (274,912) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... Q Pitney Bowes Inc Variable Rate Interest Interes E Rate Swap Pitney Bowes Inc 724479AJ9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .03/15/2024 ...... 0 ...... 5,500,000 ...... 0.8503 ...... 0 - ...... 25,947 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 75,102 ...... 100...... 0 Pitney Bowes Inc Fixed Rate Interest Rate Interes 6 Swap Pitney Bowes Inc 724479AJ9...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .03/15/2024 ...... 0 ...... 5,500,000 ...... (1.9700) ...... 0 ...... 264,628 ...... (81,263) ...... 265,005 ...... 265,005 ...... (264,418) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100......
1 Quest Diagnostics Inc Variable Rate Interes
8 Interest Rate Swap Quest Diagnostics Inc 74834LAV2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .04/01/2024 ...... 0 ...... 4,650,000 ...... 0.6461 ...... 0 - ...... 25,878 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 63,685 ...... 100...... Quest Diagnostics Inc Fixed Rate Interest Interes Rate Swap Quest Diagnostics Inc 74834LAV2...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .04/01/2024 ...... 0 ...... 4,650,000 ...... (2.4630) ...... 0 ...... 399,068 ...... (143,798) ...... 399,635 ...... 399,635 ...... (210,009) ...... 0 ...... 0 ...... 0 ...... 0 ...... 100...... SELECT INCOME REIT Variable Rate Interes Interest Rate Swap SELECT INCOME REIT 81618TAC4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .02/01/2025 ...... 0 ...... 4,250,000 ...... 0.7565 ...... 0 - ...... 20,270 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 61,354 ...... 99...... SELECT INCOME REIT Fixed Rate Interes Interest Rate Swap SELECT INCOME REIT 81618TAC4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .02/05/2015 .02/01/2025 ...... 0 ...... 4,250,000 ...... (1.9565) ...... 0 ...... 209,643 ...... (61,901) ...... 209,942 ...... 209,942 ...... (234,900) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... Southwestern Energy Co Variable Rate Interes Interest Rate Swap Southwestern Energy Co 845467AL3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .01/23/2025 ...... 0 ...... 8,750,000 ...... 0.7145 ...... 0 - ...... 41,798 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 126,148 ...... 101...... Southwestern Energy Co Fixed Rate Interes Interest Rate Swap Southwestern Energy Co 845467AL3...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/22/2015 .01/23/2025 ...... 0 ...... 8,750,000 ...... (2.0260) ...... 0 ...... 487,749 ...... (133,941) ...... 488,442 ...... 488,442 ...... (475,898) ...... 0 ...... 0 ...... 0 ...... 0 ...... 101...... Stifel Financial Corp Variable Rate Interest Interes Rate Swap Stifel Financial Corp 860630AD4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/23/2015 .07/18/2024 ...... 0 ...... 4,000,000 ...... 0.6791 ...... 0 - ...... 18,768 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 55,857 ...... 101...... Stifel Financial Corp Fixed Rate Interest Interes Rate Swap Stifel Financial Corp 860630AD4...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/23/2015 .07/18/2024 ...... 0 ...... 4,000,000 ...... (1.9270) ...... 0 ...... 189,029 ...... (57,382) ...... 189,298 ...... 189,298 ...... (203,664) ...... 0 ...... 0 ...... 0 ...... 0 ...... 101...... VENTAS REALTY LP Variable Rate Interes Interest Rate Swap VENTAS REALTY LP 92277GAE7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .02/01/2025 ...... 0 ...... 4,500,000 ...... 0.7565 ...... 0 - ...... 21,243 - ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 64,963 ...... 98...... VENTAS REALTY LP Fixed Rate Interest Interes Rate Swap VENTAS REALTY LP 92277GAE7...... D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .01/08/2015 .02/01/2025 ...... 0 ...... 4,500,000 ...... (2.1430) ...... 0 ...... 295,439 ...... (71,791) ...... 295,860 ...... 295,860 ...... (243,194) ...... 0 ...... 0 ...... 0 ...... 0 ...... 98...... WELLS FARGO & COMPANY Variable WELLS FARGO & COMPANY Interes Rate Interest Rate Swap 94974BFY1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .06/03/2026 ...... 0 ...... 4,550,000 ...... 0.8351 ...... 0 - ...... 21,784 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 0 ...... 70,763 ...... 99...... WELLS FARGO & COMPANY Fixed Rate WELLS FARGO & COMPANY Interes Interest Rate Swap 94974BFY1 D 1...... t Rate CME Group Inc.... LCZ7XYGSLJUHFXXNXD88... .11/06/2014 .06/03/2026 ...... 0 ...... 4,550,000 ...... (2.6430) ...... 0 ...... 563,288 ...... (90,192) ...... 564,089 ...... 564,089 ...... (345,037) ...... 0 ...... 0 ...... 0 ...... 0 ...... 99...... 0859999. Total-Swaps-Hedging Effective-Interest Rate...... 0 ....36,480,316 .....(5,947,445) ...... 36,532,189 XXX ..36,532,189 (32,476,627) ...... 0 ...... 0 ...... 0 ...... 7,685,986 XXX XXX 0909999. Total-Swaps-Hedging Effective...... 0 ....36,480,316 .....(5,947,445) ...... 36,532,189 XXX ..36,532,189 (32,476,627) ...... 0 ...... 0 ...... 0 ...... 7,685,986 XXX XXX 1159999. Total-Swaps-Interest Rate...... 0 ....36,480,316 .....(5,947,445) ...... 36,532,189 XXX ..36,532,189 (32,476,627) ...... 0 ...... 0 ...... 0 ...... 7,685,986 XXX XXX 1209999. Total-Swaps...... 0 ....36,480,316 .....(5,947,445) ...... 36,532,189 XXX ..36,532,189 (32,476,627) ...... 0 ...... 0 ...... 0 ...... 7,685,986 XXX XXX 1399999. Total-Hedging Effective...... 182,956,401 ..192,956,389 .....(5,947,445) ...... 313,939,985 XXX 313,939,985 ..39,986,908 ...... 0 ...... 0 ...... 0 ...... 7,685,986 XXX XXX 1449999. TOTAL...... 182,956,401 ..192,956,389 .....(5,947,445) ...... 313,939,985 XXX 313,939,985 ..39,986,908 ...... 0 ...... 0 ...... 0 ...... 7,685,986 XXX XXX
(a) Code Description of Hedged Risk(s) 0001 The hedge effectiveness cannot be measured at inception. At 09/30/2016 The change in fair value of the derivative hedging instrument is 100% of the opposite change in the fair value of the hedged item attributable to the hedged risk, which is within the 80-125 percent range allowed. Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 10 Cumulative11 12 13 14 15 16 17 18 19 20 21 22 Hedge23 Prior Year(s) Current Year Adjustment Effectivenes Schedul Type(s Strike Price, Initial Cost of Initial Cost of C Unrealized Total Foreign Current to Carrying Credit s at e / ) of Date of Rate of Index Premium Premium o Valuation Exchange Year's Value of Quality of Inception Description of Items(s) Hedged, Used for Exhibit Risk(s) Exchange, Counterparty Trade Maturity or Number of Notional Received (Received) (Received) Current Year Book/Adjusted d Increase Change in (Amortization Hedged Potential Reference and at Year- Description Income Generation or Replicated Identifier (a) or Central Clearinghouse Date Expiration Contracts Amount (Paid) Paid Paid Income Carrying Value e Fair Value (Decrease) B./A.C.V. ) / Accretion Items Exposure Entity end (b) Q E 0 6 . 1 9 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART B - SECTION 1 Futures Contracts Open as of the Current Statement Date 1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 22 15 16 17 Change in Change in Variation Margin Variation Hedge Gain (Loss) Cumulative Margin Gain Effectiveness Description of Item(s) Hedged, Schedule Type(s) Date of Cumulative Deferred Used to Adjust Variation (Loss) at Inception Ticker Number of Notional Used for Income Generation or / Exhibit of Risk(s) Maturity or Trade Transaction Reporting Book/Adjusted Variation Variation Basis of Hedged Margin for All Recognized in Potential and at Year- Value of One Symbol Contracts Amount Description Replicated Identifier (a) Expiration Exchange Date Price Date Price Fair Value Carrying Value Margin Margin Item Other Hedges Current Year Exposure end (b) (1) Point Long Futures Hedging Effective Equity/In MESZ...... 77 ######### Mini MSCI EMg Mkt Dec14...... Multiple...... N/A...... Equity/Index 12/16/2016. OTH...... 5493000F4ZO33MV32P92.. 09/29/2016...... 897.7234 .....912.5000 ...... 2,984,702 ...... 2,984,702 ...... 56,890 ...... 0 ...... 0 ...... 0 ...... 56,890 ...... 154,000 ...... 0001 ...... 50 RTAZ...... 24 2,995,920 RUSSELL 2000 MINI...... Multiple...... N/A...... Equity/Index 12/16/2016. OTH...... 5493000F4ZO33MV32P92.. 09/29/2016. ..1,229.8540 ..1,248.3000 ...... 190,513 ...... 190,513 ...... 44,270 ...... 0 ...... 0 ...... 0 ...... 44,270 ...... 141,600 ...... 0001 ...... 100 ESZ6...... 376 3,513,125 S&P500 EMINI FUT...... Multiple...... N/A...... dex 12/16/2016. OTH...... SNZ20JLFK8MNNCLQOF39 09/29/2016. ..2,153.2366 ..2,160.4000 ...... 611,229 ...... 611,229 ...... 134,672 ...... 0 ...... 0 ...... 0 ...... 134,673 ...... 169,200 ...... 0001 ...... 50 1279999. Total-Long Futures-Hedging Effective...... 3,786,444 ...... 3,786,444 ...... 235,833 ...... 0 ...... 0 ...... 0 ...... 235,833 ...... 464,800 XXX XXX 1329999. Total-Long Futures...... 3,786,444 ...... 3,786,444 ...... 235,833 ...... 0 ...... 0 ...... 0 ...... 235,833 ...... 464,800 XXX XXX 1399999. Total-Hedging Effective...... 3,786,444 ...... 3,786,444 ...... 235,833 ...... 0 ...... 0 ...... 0 ...... 235,833 ...... 464,800 XXX XXX 1449999. TOTAL...... 3,786,444 ...... 3,786,444 ...... 235,833 ...... 0 ...... 0 ...... 0 ...... 235,833 ...... 464,800 XXX XXX Beginning Cumulative Ending Cash Cash Cash Broker Name Balance Change Balance JP Morgan ...... 3,615,330 ...... 171,113 ...... 3,550,610 Total Net Cash Deposits...... 3,615,330 ...... 171,113 ...... 3,550,610
(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period 0001 The hedge effectiveness cannot be measured at inception. At 09/30/2016 The change in fair value of the derivative hedging instrument is 101% of the opposite change in the fair value of the hedged item attributable to the hedged risk, which is within the 80-125 percent range allowed. Q E 0 7 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART D - SECTION 1 Counterparty Exposure for Derivative Instruments Open as of Current Statement Date 1 2 3 4 Book Adjusted Carrying Value Fair Value 11 12 5 6 7 8 9 10 Credit Master Support Contracts with Contracts with Agreement Annex Fair Value of Acceptable Book/Adjusted Carrying Book/Adjusted Carrying Exposure Net Contracts with Contracts with Exposure Net Potential Off-Balance Description of Exchange, Counterparty or Central Clearinghouse (Y or N) (Y or N) Collateral Value > 0 Value < 0 of Collateral Fair Value > 0 Fair Value < 0 of Collateral Exposure Sheet Exposure Exchange Traded Derivatives 0199999. Aggregate Sum of Exchange Traded...... XXX XXX XXX ...... 3,786,444 ...... 0 ...... 3,786,444 ...... 3,786,444 ...... 0 ...... 0 ...... 464,800 ...... 464,800 NAIC 1 Designation Bank of America...... EYKN6V0ZCB8VD9IULB80.. Y...... Y...... 160,933,971 ...... 384,710,696 ...... (222,823,989) ...... 952,736 ...... 384,710,696 ...... (222,823,989) ...... 952,736 ...... 0 ...... 0 Barclays Bank PLC...... G5GSEF7VJP5I7OUK5573... Y...... Y...... 22,250,000 ...... 84,967,256 ...... (40,965,067) ...... 21,752,189 ...... 84,967,256 ...... (40,965,067) ...... 21,752,189 ...... 0 ...... 0 Credit Suisse FB Int...... E58DKGMJYYYJLN8C3868. Y...... Y...... 40,941,000 ...... 72,272,339 ...... (28,388,916) ...... 2,942,423 ...... 72,272,339 ...... (28,388,916) ...... 2,942,423 ...... 0 ...... 0 Deutsche Bank...... 7LTWFZYICNSX8D621K86.. Y...... Y...... 3,510,000 ...... 15,871,248 ...... (12,314,767) ...... 46,481 ...... 15,871,248 ...... (12,314,767) ...... 46,481 ...... 0 ...... 0 JP Morgan Chase & Co...... 8I5DZWZKVSZI1NUHU748.. Y...... Y...... 0 ...... 23,287,404 ...... (13,283,434) ...... 10,003,970 ...... 23,287,404 ...... (13,283,434) ...... 10,003,970 ...... 0 ...... 0 RBC Capital Markets...... ES7IP3U3RHIGC71XBU11... Y...... Y...... 14,400,000 ...... 53,266,363 ...... (39,191,337) ...... 0 ...... 53,266,363 ...... (39,191,337) ...... 0 ...... 0 ...... 0 0299999. Total NAIC 1 Designation...... 242,034,971 ...... 634,375,306 ...... (356,967,510) ...... 35,697,799 ...... 634,375,306 ...... (356,967,510) ...... 35,697,799 ...... 0 ...... 0 0899999. Aggregate Sum of Central Clearinghouse...... XXX XXX XXX ...... 0 ...... 36,532,189 ...... 0 ...... 36,532,189 ...... 36,532,189 ...... 0 ...... 36,532,189 ...... 7,685,986 ...... 7,685,986 0999999. Gross Totals...... 242,034,971 ...... 674,693,939 ...... (356,967,510) ...... 76,016,432 ...... 674,693,939 ...... (356,967,510) ...... 72,229,988 ...... 8,150,786 ...... 8,150,786 1. Offset per SSAP No. 64...... 0 ...... 0 2. Net after right of offset per SSAP No. 64...... 674,693,939 ...... (356,967,510) Q E 0 8 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE DB - PART D - SECTION 2 Collateral for Derivative Instruments Open as of Current Statement Date 1 2 3 4 5 6 7 8 9 Book/Adjusted Maturity Type of Margin Exchange, Counterparty or Central Clearinghouse Type of Asset Pledged CUSIP Identification Description Fair Value Par Value Carrying Value Date (I, V or IV) Collateral Pledged by Reporting Entity J.P. Morgan Securities LLC...... ZBUT11V806EZRVTWT807... TREASURY...... 912828 H3 7 United States Treasury 0 7/8% Due 01/15/2018 JJ15...... 1,503,285 ...... 1,500,000 ...... 1,499,566 01/15/2018...... IV...... J.P. Morgan Securities LLC...... ZBUT11V806EZRVTWT807... TREASURY...... 912828 G2 0 United States Treasury 0 7/8% Due 11/15/2017 MN15...... 16,033,440 ...... 16,000,000 ...... 16,003,410 11/15/2017...... IV...... J.P. Morgan Securities LLC...... ZBUT11V806EZRVTWT807... CASH...... CASH...... 36,532,189 ...... 36,532,189 ...... 36,532,189 ...... V...... J.P. Morgan Securities LLC...... ZBUT11V806EZRVTWT807... CASH...... CASH...... 3,550,612 ...... 3,550,612 ...... 3,550,612 ...... V...... 0199999. Totals...... 57,619,526 ...... 57,582,801 ...... 57,585,777 XXX XXX Collateral Pledged to Reporting Entity Bank of America...... EYKN6V0ZCB8VD9IULB80.... TREASURY...... 912810 RE 0 United States Treasury 3 5/8% Due 2/15/2044 FA15...... 140,511,251 ...... 109,959,000 XXX 02/15/2044...... V...... Bank of America...... EYKN6V0ZCB8VD9IULB80.... TREASURY...... 912828 RC 6 United States Treasury 2 1/8% Due 8/15/2021 FA15...... 6,914,080 ...... 6,604,000 XXX 08/15/2021...... V...... Bank of America...... EYKN6V0ZCB8VD9IULB80.... TREASURY...... 912828 SX 9 United States Treasury 1 1/8% Due 5/31/2019 MN30...... 11,095,590 ...... 10,973,000 XXX 05/31/2019...... V...... Bank of America...... EYKN6V0ZCB8VD9IULB80.... TREASURY...... 912828 SY 7 United States Treasury 0 5/8% Due 5/31/2017 MN31...... 2,053,668 ...... 2,049,000 XXX 05/31/2017...... V...... Bank of America...... EYKN6V0ZCB8VD9IULB80.... TREASURY...... 912828 WN 6 United States Treasury 2% Due 5/31/2021 MN31...... 359,382 ...... 344,000 XXX 05/31/2021...... V...... Barclays Bank PLC...... G5GSEF7VJP5I7OUK5573..... CASH...... CASH...... 22,250,000 ...... 22,250,000 XXX ...... V...... Credit Suisse FB Int...... E58DKGMJYYYJLN8C3868... CASH...... CASH...... 40,941,000 ...... 40,941,000 XXX ...... V...... RBC Capital Markets...... ES7IP3U3RHIGC71XBU11..... CASH...... CASH...... 14,400,000 ...... 14,400,000 XXX ...... V...... Deutsche Bank...... 7LTWFZYICNSX8D621K86.... CASH...... CASH...... 3,510,000 ...... 3,510,000 XXX ...... V...... 0299999. Totals...... 242,034,971 ...... 211,030,000 XXX XXX XXX Q E 0 9 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest
Sch. DL - Pt. 1 NONE
Sch. DL - Pt. 2 NONE
QE10, QE11 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE E - PART 1 - CASH Month End Depository Balances 1 2 3 4 5 Book Balance at End of Each 9 Month During Current Quarter 6 7 8 Amount of Interest Amount of Interest Received During Accrued at Current Depository Code Rate of Interest Current Quarter Statement Date First Month Second Month Third Month * Open Depositories JP Morgan Chase Bank...... New York, NY...... 0.000 ...... 0 ...... 0 ...... 32,836,545 ...... 17,830,750 ...... 29,881,545 XXX JP Morgan Chase Bank...... Dallas, TX...... 0.000 ...... 0 ...... 0 ...... 37,733 ...... 96,244 ...... 651,017 XXX JP Morgan Chase Bank...... San Angelo, TX...... 0.000 ...... 0 ...... 0 ...... (18,290,191) ...... (16,398,019) ...... (18,227,633) XXX State Street Bank...... Boston, MA...... 0.000 ...... 0 ...... 0 ...... 1,933,542 ...... 1,735,483 ...... 1,418,313 XXX BNY Mellon...... Pittsburgh, PA...... 0.000 ...... 0 ...... 0 ...... 4,051,955 ...... 1,697,535 ...... 2,162,933 XXX 0199999. Total Open Depositories...... XXX XXX ...... 0 ...... 0 ...... 20,569,585 ...... 4,961,993 ...... 15,886,175 XXX 0399999. Total Cash on Deposit...... XXX XXX ...... 0 ...... 0 ...... 20,569,585 ...... 4,961,993 ...... 15,886,175 XXX 0599999. Total Cash...... XXX XXX ...... 0 ...... 0 ...... 20,569,585 ...... 4,961,993 ...... 15,886,175 XXX
QE12 Statement as of September 30, 2016 of the Life Insurance Company of the Southwest SCHEDULE E - PART 2 - CASH EQUIVALENTS Show Investments Owned End of Current Quarter 1 2 3 4 5 6 7 8 Description Code Date Acquired Rate of Interest Maturity Date Book/Adjusted Carrying Value Amount of Interest Due & Accrued Amount Received During Year Bonds - U.S. Special Revenue & Special Assessment Obligations and all Non-Guaranteed Obligations of Agencies and Authorities of Governments and Their U.S. Political Subdivision - Issuer Obligations Federal Home Ln Bks...... 09/30/2016...... 0.101 10/07/2016...... 5,999,882 ...... 17 ...... 0 2599999. U.S. Special Revenue & Special Assessment Obligations - Issuer Obligations...... 5,999,882 ...... 17 ...... 0 3199999. Total - U.S. Special Revenue & Special Assessment Obligations and all Non-Guaranteed Obligations...... 5,999,882 ...... 17 ...... 0 Total Bonds 7799999. Subtotals - Issuer Obligations...... 5,999,882 ...... 17 ...... 0 8399999. Subtotals - Bonds...... 5,999,882 ...... 17 ...... 0 8699999. Total - Cash Equivalents...... 5,999,882 ...... 17 ...... 0 Q E 1 3