| Holding | Feb 20 | May 20 | Aug 20 | Nov 20 | Feb 21 | May 21 | Aug 21 | Nov 21 | Feb 22 | May 22 | Aug 22 | Nov 22 | Feb 23 | May 23 | Aug 23 | Nov 23 | Feb 24 | May 24 | Aug 24 | Nov 24 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BX Commercial Mortgage Trust | ||||||||||||||||||||
| CD Mortgage Trust | ||||||||||||||||||||
| Citigroup Commercial Mortgage Trust Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class D | ||||||||||||||||||||
| Citigroup Commercial Mortgage Trust Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class D | ||||||||||||||||||||
| Citigroup Commercial Mortgage Trust Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class XA | ||||||||||||||||||||
| Citigroup Commercial Mortgage Trust Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class AS | ||||||||||||||||||||
| COMM Mortgage Trust | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-UBS4, Class XD | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2015-CR23, Class C | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-CR19, Class D | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-UBS6, Class C | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-CR14, Class C | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2013-CR13, Class D | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-UBS6, Class D | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-CR19, Class C | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2015-CR22, Class D | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-UBS5, Class D | ||||||||||||||||||||
| Commercial Mortgage Trust Commercial Mortgage Trust, Series 2014-LC15, Class XA | ||||||||||||||||||||
| CSAIL Commercial Mortgage Trust | ||||||||||||||||||||
| DBJPM Mortgage Trust | ||||||||||||||||||||
| Freddie Mac Multifamily Structured Pass-Through Ctfs. | ||||||||||||||||||||
| FREMF Mortgage Trust FREMF Mortgage Trust, Series 2016-K57, Class C | ||||||||||||||||||||
| FREMF Mortgage Trust FREMF Mortgage Trust, Series 2017-K71, Class C | ||||||||||||||||||||
| FREMF Mortgage Trust FREMF Mortgage Trust, Series 2017-KF41, Class B | ||||||||||||||||||||
| FREMF Mortgage Trust FREMF Mortgage Trust, Series 2015-K46, Class B | ||||||||||||||||||||
| FREMF Mortgage Trust FREMF Mortgage Trust, Series 2017-K62, Class B | ||||||||||||||||||||
| Granite Point Mortgage Trust Inc. | ||||||||||||||||||||
| GS Mortgage Securities Trust | ||||||||||||||||||||
| Hilton USA Trust | ||||||||||||||||||||
| Invesco Government & Agency Portfolio | ||||||||||||||||||||
| Invesco Liquid Assets Portfolio | ||||||||||||||||||||
| Invesco Treasury Portfolio | ||||||||||||||||||||
| JPMBB Commercial Mortgage Securities Trust JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class D | ||||||||||||||||||||
| JPMBB Commercial Mortgage Securities Trust JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class D | ||||||||||||||||||||
| JPMBB Commercial Mortgage Securities Trust JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class D | ||||||||||||||||||||
| JPMBB Commercial Mortgage Securities Trust JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D | ||||||||||||||||||||
| JPMBB Commercial Mortgage Securities Trust JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class B | ||||||||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class D | ||||||||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class D | ||||||||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class D | ||||||||||||||||||||
| Morgan Stanley Capital I Trust | ||||||||||||||||||||
| Motel 6 Trust | ||||||||||||||||||||
| N/A Morgan Stanley & Co. International PLC | ||||||||||||||||||||
| N/A Morgan Stanley & Co. International PLC | ||||||||||||||||||||
| N/A Morgan Stanley & Co. International PLC | ||||||||||||||||||||
| N/A JPMorgan Chase Bank, National Association | ||||||||||||||||||||
| N/A Morgan Stanley & Co. International PLC | ||||||||||||||||||||
| N/A JPMorgan Chase Bank, National Association | ||||||||||||||||||||
| N/A Morgan Stanley & Co. International PLC | ||||||||||||||||||||
| N/A Morgan Stanley & Co. International PLC | ||||||||||||||||||||
| N/A JPMorgan Chase Bank, National Association | ||||||||||||||||||||
| N/A CME Group Inc. | ||||||||||||||||||||
| N/A JPMorgan Chase Bank, National Association | ||||||||||||||||||||
| N/A CME Group Inc. | ||||||||||||||||||||
| N/A CME Group Inc. | ||||||||||||||||||||
| N/A JPMorgan Chase Bank, National Association | ||||||||||||||||||||
| N/A CME Group Inc. | ||||||||||||||||||||
| N/A CME Group Inc. | ||||||||||||||||||||
| N/A JPMorgan Chase Bank, National Association | ||||||||||||||||||||
| N/A CME Group Inc. | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A Markit CMBX North America BBB - Index Series 8 Swap | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A CDS: (CMBX.NA.8.BBB-) | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A CDS: (CMBX.NA.8.BBB-) | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A CDS: (CMBX.NA.8.BBB-) | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A CDS: (CMBX.NA.8.BBB-) | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A CDS: (CMBX.NA.8.BBB-) | ||||||||||||||||||||
| N/A 3 Month USD LIBOR Interest Rate Swap | ||||||||||||||||||||
| N/A CDS: (CMBX.NA.8.BBB-) | ||||||||||||||||||||
| New York Mortgage Trust, Inc. | ||||||||||||||||||||
| PennyMac Mortgage Investment Trust | ||||||||||||||||||||
| Reverse Repo | ||||||||||||||||||||
| Stonemont Portfolio Trust | ||||||||||||||||||||
| Tricon American Homes Mortgage Trust | ||||||||||||||||||||
| Two Harbors Investment Corp. | ||||||||||||||||||||
| U.S. Treasury Bills | ||||||||||||||||||||
| Wells Fargo Commercial Mortgage Trust Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class D | ||||||||||||||||||||
| Wells Fargo Commercial Mortgage Trust Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class D | ||||||||||||||||||||
| Wells Fargo Securities LLC | ||||||||||||||||||||
| WFRBS Commercial Mortgage Trust |
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