Touchstone Active Bond Fund

Touchstone Active Bond Fund

Daily NAV
$
Overall Morningstar RatingTM
Intermediate-Term Bond

Morningstar

Overall Morningstar RatingTM is calculated against 902 funds in the Intermediate-Term Bond category.

The Morningstar RatingTM for funds, or “star rating,” is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds and separate accounts) with at least a 3-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive five stars, the next 22.5% receive four stars, the next 35%receive three stars, the next 22.5% receive two stars, and the bottom 10%receive one star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its 3-, 5- and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% 3-year rating for 36-59 months of total returns, 60% 5-year rating/40% 3-year rating for 60-119 months of total returns, and 50% 10-year rating/30% 5-year rating/20% 3-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent 3-year period actually has the greatest impact because it is included in all three rating periods.

Class A Shares star ratings do not include any front-end sales load and are intended for those investors who have access to such purchase terms.

Overview

Overview

Actively Managed and Sub-Advised by Fort Washington Investment Advisors, Inc.

Objective

The fund seeks to provide as high a level of current income as is consistent with the preservation of capital by investing primarily in bonds.

Active Bond Fund Commentary

Investment Style

  • Evaluates overall investment opportunities and risks in the different sectors of the fixed income securities market
  • Assesses the economic environment and recent developments occurring in the bond market to set specific duration levels, yield-curve structures, sector weights and credit-quality targets
  • Utilizes a disciplined sector allocation process in an effort to build a broadly diversified portfolio of bonds
A WORD ABOUT RISK

The Fund invests in debt securities which can lose their value as interest rates rise and are subject to credit risk which is the risk of deterioration in the financial condition of an issuer and/or general economic conditions that can cause the issuer to not make timely payments of principal and interest also causing the securities to decline in value and an investor can lose principal. When interest rates rise, the price of debt securities generally falls. Longer term securities are generally more volatile. The Fund invests in investment grade debt securities which may be downgraded by a Nationally Recognized Statistical Rating Organization (NRSRO) to below investment grade status. The Fund invests in non-investment grade debt securities which are considered speculative with respect to the issuers' ability to make timely payments of interest and principal, may lack liquidity and has had more frequent and larger price changes than other debt securities. The Fund invests in U.S. government and agency securities which are neither issued nor guaranteed by the U.S. Treasury and are not guaranteed against price movements due to changing interest rates. The Fund invests in mortgage-backed securities and asset-backed securities which are subject to the risks of prepayment, defaults, changing interest rates and at times, the financial condition of the issuer. The Fund invests in mortgage dollar rolls which involve increased risk and volatility, as the securities the Fund is required to repurchase may be worth less than the securities that the Fund originally held. The Fund invests in foreign securities which carry the associated risks of economic and political instability, market liquidity, currency volatility and differences in accounting standards. The Fund invests in emerging markets securities which are more likely to experience turmoil or rapid changes in market or economic conditions than developed countries. The fund invests in sovereign debt securities which are issued by foreign governments whose respective economies could have an important effect on their ability or willingness to service their debt which could affect the value of the securities. The Fund invests in derivatives such as forward currency exchange contracts, futures contracts, options and swap agreements. Derivatives can be highly volatile, illiquid and difficult to value, subject to counterparty and leverage risks and there is risk that changes in the value of a derivative held by the Fund will not correlate with the Fund’s other investments. Gains or losses from speculative positions in a derivative may be much greater than the original cost and potential losses may be substantial. The Fund may experience higher portfolio turnover which may lead to increased fund expenses, lower investment returns and higher short-term capital gains taxable to shareholders. Current and future portfolio holdings are subject to risk. The advisor engages the sub-advisor to manage the Fund's portfolio; the sub-advisor's judgment may impact the Fund's performance.

Fund Facts

Symbol
CUSIP
Share Class Inception Date
Total Share Class Net Assets as of 09/30/2018
Total Fund Net Assets as of 09/30/2018 $361,481,829
Asset Class Income
Morningstar Category Intermediate-Term Bond
Benchmark Bloomberg Barclays U.S. Aggregate Bond Index
Distribution Frequency Monthly
Portfolio Turnover Rate
Fiscal Year End
Prospectus Date 01/30/2018

Performance

Daily Returns as of
NAV NAV $ Change
Touchstone Active Bond Fund -
HISTORICAL DAILY NAV
as of 09/30/2018 1 Month 3 Month YTD 1 Year 3 Year 5 Year 10 Year Since Inception
Touchstone Active Bond Fund -
Including Sales Charge
Touchstone Active Bond Fund -
Excluding Sales Charge
Bloomberg Barclays U.S. Aggregate Bond Index -0.64% 0.02% -1.60% -1.22% 1.31% 2.16% 3.77% --
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. The maximum front-end sales charge for Class A Shares of Touchstone Fixed Income Funds including Touchstone Flexible Income Fund is 2.00%.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. Performance for Class C Shares is adjusted for the contingent deferred sales charges (CDSC) in effect at the end of the specified period. The CDSC for Class C Shares is 1.00% the first year you hold the shares and declines to 0% after the first year.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. Class Y Shares are sold at net asset value (NAV), without an initial sales charge and are not subject to a 12b-1 fee or contingent deferred sales charges.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. Class INST Shares are sold at net asset value (NAV), without an initial sales charge and are not subject to a 12b-1 fee or contingent deferred sales charges.
The performance presented for Class Y and INST Shares combines the performance of an older class of shares (A Shares) from the Fund's inception, 10/03/94, with the performance since the inception date of each share class.
as of 09/30/2018 1 Year 3 Year 5 Year 10 Year Since Inception
Touchstone Active Bond Fund -
Including Sales Charge
Touchstone Active Bond Fund -
Excluding Sales Charge
Bloomberg Barclays U.S. Aggregate Bond Index -1.22% 1.31% 2.16% 3.77% --
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. The maximum front-end sales charge for Class A Shares of Touchstone Fixed Income Funds including Touchstone Flexible Income Fund is 2.00%.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. Performance for Class C Shares is adjusted for the contingent deferred sales charges (CDSC) in effect at the end of the specified period. The CDSC for Class C Shares is 1.00% the first year you hold the shares and declines to 0% after the first year.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. Class Y Shares are sold at net asset value (NAV), without an initial sales charge and are not subject to a 12b-1 fee or contingent deferred sales charges.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. From time to time, the investment advisor may waive some fees and/or reimburse expenses, which if not waived or reimbursed, will lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains. Class INST Shares are sold at net asset value (NAV), without an initial sales charge and are not subject to a 12b-1 fee or contingent deferred sales charges.
The performance presented for Class Y and INST Shares combines the performance of an older class of shares (A Shares) from the Fund's inception, 10/03/94, with the performance since the inception date of each share class.

Consider Touchstone Active Bond Fund for Your Portfolio

Touchstone Active Bond Fund utilizes a disciplined sector allocation process to build a broadly diversified bond portfolio. It seeks to provide a level of income consistent with preservation of capital.
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Portfolio

as of 09/30/2018
Number of Holdings
352
Weighted Average Effective Maturity
9.6 Years
Weighted Average Effective Duration
6.6 Years
as of 09/30/2018
Credit Quality % of Portfolio
AAA/Aaa 44.9
AA/Aa 4.7
A/A 13.8
BBB/Baa 27.5
BB/Ba 1.8
B/B 1.9
CCC 0.1
Not Rated 3.2
Cash Equivalents 1.9
Data may not total due to rounding. Credit ratings are from Standard & Poor’s and Moody’s Investors Service. If agency rating differ the higher rating will be used. Where no rating has been assigned, it could be for reasons unrelated to the creditworthiness of the issuer.
There is no guarantee that the Fund will continue to hold any one particular security or stay invested in any one particular sector. Holdings are subject to change.
For the data illustrated for Touchstone Domestic Equity Funds,  Morningstar is the source. For Russell index information,  the Frank Russell Company is the source and owner. For MSCI index information, the MSCI is the source and owner. For the data illustrated for Touchstone Fixed Income Funds,  International/Global Equity Funds and Multi-Asset & Alternative Funds, the fund’s sub-advisor is the source. Calculations for sectors and top holdings exclude cash equivalents. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 09/30/2018
Sector % of Portfolio
Investment Grade Corp. Credit 36.4
U.S. Agency MBS/CMO 29.0
U.S. Treasury 16.6
Emerging Markets 7.9
Asset Backed Securities 4.0
CMBS 2.3
Cash Equivalents 1.9
High Yield Corporate Credit 1.4
Miscellaneous 0.4
Municipals 0.0
U.S. Agency Obligations 0.0
Data may not total due to rounding. Credit ratings are from Standard & Poor’s and Moody’s Investors Service. If agency rating differ the higher rating will be used. Where no rating has been assigned, it could be for reasons unrelated to the creditworthiness of the issuer.
There is no guarantee that the Fund will continue to hold any one particular security or stay invested in any one particular sector. Holdings are subject to change.
For the data illustrated for Touchstone Domestic Equity Funds,  Morningstar is the source. For Russell index information,  the Frank Russell Company is the source and owner. For MSCI index information, the MSCI is the source and owner. For the data illustrated for Touchstone Fixed Income Funds,  International/Global Equity Funds and Multi-Asset & Alternative Funds, the fund’s sub-advisor is the source. Calculations for sectors and top holdings exclude cash equivalents. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 09/30/2018
Security Description % of Portfolio
U.S. Treasury N/B 3.00% 08/15/48 7.6
US TREASURY N/B 2.50% 05/31/2020 3.5
U.S. Treasury N/B 2.50% 03/31/23 3.4
FANNIE MAE 3.50% 05/01/2046 2.4
US TREASURY N/B 2.88% 08/15/2028 2.3
FREDDIE MAC 3.50% 04/01/2045 1.7
FREDDIE MAC 3.00% 04/01/2045 1.6
FREDDIE MAC 6.00% 06/15/2037 1.6
FANNIE MAE 3.50% 09/01/2044 1.5
FANNIE MAE 5.00% 09/01/2040 1.4
Data may not total due to rounding. Credit ratings are from Standard & Poor’s and Moody’s Investors Service. If agency rating differ the higher rating will be used. Where no rating has been assigned, it could be for reasons unrelated to the creditworthiness of the issuer.
There is no guarantee that the Fund will continue to hold any one particular security or stay invested in any one particular sector. Holdings are subject to change.
For the data illustrated for Touchstone Domestic Equity Funds,  Morningstar is the source. For Russell index information,  the Frank Russell Company is the source and owner. For MSCI index information, the MSCI is the source and owner. For the data illustrated for Touchstone Fixed Income Funds,  International/Global Equity Funds and Multi-Asset & Alternative Funds, the fund’s sub-advisor is the source. Calculations for sectors and top holdings exclude cash equivalents. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 09/30/2018
Security Description
Country
Coupon Rate (%)
Maturity Date
Shares Par Value
Current Price ($)
Market Value ($)
% of Portfolio
ABBOTT LABS 3.75% 11/30/2026 US 3.750 11/30/2026 715,000 99.72 712,994 0.20
ABBVIE INC 4.45% 05/14/2046 US 4.450 05/14/2046 1,162,000 91.93 1,068,181 0.30
ACE INA HOLDINGS 4.35% 11/03/2045 US 4.350 11/03/2045 710,000 102.12 725,081 0.20
ACTAVIS FUNDING 3.80% 03/15/2025 LU 3.800 03/15/2025 795,000 97.92 778,499 0.22
ADJUSTABLE RATE MORTGAGE TRUST 3.92% 03/25/2035 US 3.920 03/25/2035 3,255 100.34 3,266 0.00
AGATE BAY MORTGAGE LOAN TRUST 3.76% 10/25/2045 US 3.760 10/25/2045 2,152,801 98.62 2,123,175 0.59
ALBERTA PROVINCE 2.20% 07/26/2022 CA 2.200 07/26/2022 1,135,000 96.24 1,092,278 0.30
ALLERGAN SALES 5.00% 12/15/2021 US 5.000 12/15/2021 1,030,000 103.71 1,068,200 0.30
AMERICAN EXPRESS 3.00% 10/30/2024 US 3.000 10/30/2024 1,388,000 95.52 1,325,822 0.37
ANGOLA REP OF 8.25% 05/09/2028 AO 8.250 05/09/2028 575,000 103.30 593,952 0.16
ANHEUSER-BUSCH 4.90% 02/01/2046 US 4.900 02/01/2046 1,391,000 101.13 1,406,747 0.39
APPLE INC 2.75% 01/13/2025 US 2.750 01/13/2025 1,750,000 95.81 1,676,591 0.47
APPLE INC 4.65% 02/23/2046 US 4.650 02/23/2046 1,303,000 108.03 1,407,681 0.39
APTIV PLC 3.15% 11/19/2020 IE 3.150 11/19/2020 1,286,000 99.09 1,274,348 0.35
ARAB REP EGYPT 6.13% 01/31/2022 EG 6.130 01/31/2022 350,000 100.04 350,133 0.10
ARAB REP EGYPT 7.50% 01/31/2027 EG 7.500 01/31/2027 200,000 101.76 203,513 0.06
ARAB REP EGYPT 8.50% 01/31/2047 EG 8.500 01/31/2047 200,000 100.22 200,432 0.06
ARC PROPERTIES 4.60% 02/06/2024 US 4.600 02/06/2024 1,666,000 100.33 1,671,516 0.46
ARGENTINA 7.13% 06/28/2099 AR 7.130 06/28/2099 250,000 77.75 194,375 0.05
ARMENIA 6.00% 09/30/2020 AM 6.000 09/30/2020 200,000 101.72 203,440 0.06
ASCENTIUM EQUIPMENT RECEIVABLE 2.85% 07/10/2020 US 2.850 07/10/2020 475,000 99.93 474,669 0.13
AT&T INC 3.95% 01/15/2025 US 3.950 01/15/2025 460,000 98.46 452,913 0.13
AT&T INC 4.35% 06/15/2045 US 4.350 06/15/2045 275,000 86.15 236,905 0.07
AT&T INC 4.50% 05/15/2035 US 4.500 05/15/2035 865,000 93.43 808,139 0.22
AUTONATION INC 5.50% 02/01/2020 US 5.500 02/01/2020 1,110,000 102.57 1,138,527 0.32
BAHIA SUL HLDGS 5.75% 07/14/2026 AT 5.750 07/14/2026 1,481,000 100.88 1,493,959 0.41
BANK NOVA SCOTIA 2.96% 09/19/2022 CA 2.960 09/19/2022 535,000 100.56 538,008 0.15
BANK OF AMER CRP 3.71% 04/24/2028 US 3.710 04/24/2028 1,094,000 96.26 1,053,066 0.29
BANK OF AMER CRP 4.00% 01/22/2025 US 4.000 01/22/2025 1,660,000 98.69 1,638,191 0.45
BANK OF MONTREAL 3.80% 12/15/2032 CA 3.800 12/15/2032 1,470,000 93.43 1,373,480 0.38
BANK OF NY MELLO 2.95% 01/29/2023 US 2.950 01/29/2023 1,498,000 97.55 1,461,284 0.41
BARCLAYS PLC 3.25% 01/12/2021 GB 3.250 01/12/2021 945,000 98.65 932,262 0.26
BARCLAYS PLC 3.25% 01/12/2021 GB 3.250 01/12/2021 370,000 98.65 365,013 0.10
BB&T CORPORATION 2.85% 10/26/2024 US 2.850 10/26/2024 1,466,000 95.69 1,402,793 0.39
BMW US CAP LLC 3.10% 04/12/2021 US 3.100 04/12/2021 2,358,000 99.35 2,342,564 0.65
BOARDWALK PIPELI 4.45% 07/15/2027 US 4.450 07/15/2027 882,000 96.06 847,211 0.24
BOSTON PROP LP 3.20% 01/15/2025 US 3.200 01/15/2025 1,540,000 95.68 1,473,466 0.41
BRASKEM AMERICA 7.13% 07/22/2041 US 7.130 07/22/2041 785,000 115.41 905,969 0.25
BRASKEM NL 4.50% 01/10/2028 NL 4.500 01/10/2028 200,000 95.37 190,740 0.05
BURLINGTON NORTH 5.75% 05/01/2040 US 5.750 05/01/2040 1,290,000 119.69 1,543,947 0.43
CARE CAPITAL 5.13% 08/15/2026 US 5.130 08/15/2026 1,410,000 97.90 1,380,336 0.38
CARGILL INC 3.05% 04/19/2021 US 3.050 04/19/2021 1,570,000 99.29 1,558,777 0.43
CATHOLIC HEALTH 4.20% 08/01/2023 US 4.200 08/01/2023 380,000 100.70 382,655 0.11
CELGENE CORP 5.00% 08/15/2045 US 5.000 08/15/2045 952,000 99.38 946,062 0.26
CEMEX SAB 7.75% 04/16/2026 MX 7.750 04/16/2026 300,000 109.00 327,000 0.09
CENOVUS ENERGY 4.25% 04/15/2027 CA 4.250 04/15/2027 993,000 96.67 959,884 0.27
CHARTER COMM OPT 6.48% 10/23/2045 US 6.480 10/23/2045 1,159,000 107.50 1,245,906 0.35
CHENIERE CORP CH 7.00% 06/30/2024 US 7.000 06/30/2024 1,280,000 109.50 1,401,600 0.39
CIT GROUP HOME EQUITY LOAN TRU 7.21% 02/25/2033 US 7.210 02/25/2033 3,044 102.61 3,124 0.00
CITIGROUP INC 3.30% 04/27/2025 US 3.300 04/27/2025 1,015,000 96.05 974,908 0.27
CITIGROUP INC 4.75% 05/18/2046 US 4.750 05/18/2046 617,000 97.54 601,839 0.17
CNOOC FIN 2011 4.25% 01/26/2021 VG 4.250 01/26/2021 200,000 101.19 202,387 0.06
CNOOC FIN 2014 4.25% 04/30/2024 CA 4.250 04/30/2024 350,000 100.87 353,058 0.10
CODELCO INC 4.50% 09/16/2025 CL 4.500 09/16/2025 450,000 101.52 456,818 0.13
COLOMBIA REP OF 4.00% 02/26/2024 CO 4.000 02/26/2024 400,000 100.00 400,000 0.11
COLOMBIA REP OF 5.00% 06/15/2045 CO 5.000 06/15/2045 844,000 99.90 843,156 0.23
COLOMBIA REP OF 6.13% 01/18/2041 CO 6.130 01/18/2041 250,000 113.25 283,125 0.08
COLUMBIA PIPELIN 4.50% 06/01/2025 US 4.500 06/01/2025 1,046,000 101.10 1,057,500 0.29
COMCAST CORP 2.85% 01/15/2023 US 2.850 01/15/2023 1,137,000 97.00 1,102,885 0.31
COMCAST CORP 4.00% 03/01/2048 US 4.000 03/01/2048 814,000 89.75 730,587 0.20
CORE INDUSTRIAL TRUST 0.94% 02/10/2034 US 0.940 02/10/2034 34,626,503 2.33 808,473 0.22
COSTA RICA GOVT 4.38% 04/30/2025 CR 4.380 04/30/2025 200,000 86.34 172,674 0.05
COSTA RICA GOVT 5.63% 04/30/2043 CR 5.630 04/30/2043 200,000 77.00 154,000 0.04
COUNTRYWIDE ALTERNATIVE LOAN T 5.00% 02/25/2020 US 5.000 02/25/2020 126,307 98.39 124,273 0.03
COUNTRYWIDE ALTERNATIVE LOAN T 6.50% 09/25/2034 US 6.500 09/25/2034 6,577 99.04 6,514 0.00
COUNTRYWIDE ASSET-BACKED CERTI 6.02% 11/25/2036 US 6.020 11/25/2036 360,208 99.14 357,097 0.10
CRED SUIS NY 3.63% 09/09/2024 CH 3.630 09/09/2024 865,000 98.56 852,527 0.24
CREDIT SUISSE FIRST BOSTON MOR 5.25% 10/25/2019 US 5.250 10/25/2019 32,519 100.52 32,687 0.01
CREDIT SUISSE MORTGAGE TRUST 3.57% 08/25/2043 US 3.570 08/25/2043 1,542,015 96.89 1,494,134 0.41
CREDIT SUISSE MORTGAGE TRUST 3.87% 12/25/2044 US 3.870 12/25/2044 2,189,646 97.55 2,135,920 0.59
CREDIT SUISSE MORTGAGE TRUST 3.94% 01/25/2045 US 3.940 01/25/2045 2,152,776 95.66 2,059,445 0.57
CRH AMERICA FIN 4.50% 04/04/2048 US 4.500 04/04/2048 1,350,000 91.75 1,238,571 0.34
CROATIA 5.50% 04/04/2023 HR 5.500 04/04/2023 300,000 105.73 317,202 0.09
CROWN CASTLE INT 3.65% 09/01/2027 US 3.650 09/01/2027 1,296,000 93.95 1,217,643 0.34
CVS HEALTH CORP 4.30% 03/25/2028 US 4.300 03/25/2028 1,630,000 99.22 1,617,219 0.45
CVS HEALTH CORP 5.13% 07/20/2045 US 5.130 07/20/2045 735,000 102.80 755,606 0.21
DBUBS MORTGAGE TRUST 3.65% 10/10/2034 US 3.650 10/10/2034 580,000 98.05 568,670 0.16
DIAMOND 1 FIN/DI 6.02% 06/15/2026 US 6.020 06/15/2026 1,327,000 106.88 1,418,341 0.39
DOLLAR TREE 3.06% 04/17/2020 US 3.060 04/17/2020 1,554,000 100.15 1,556,362 0.43
DOMINICAN REPUBL 5.88% 04/18/2024 DO 5.880 04/18/2024 200,000 102.95 205,908 0.06
DOMINICAN REPUBL 5.95% 01/25/2027 DO 5.950 01/25/2027 150,000 101.85 152,775 0.04
DOMINICAN REPUBL 6.85% 01/27/2045 DO 6.850 01/27/2045 100,000 101.25 101,250 0.03
DREYFUS-GOV C-IN US -- -- 7,279,258 1.00 7,279,258 2.02
DTE ENERGY CO 3.70% 08/01/2023 US 3.700 08/01/2023 1,342,000 99.83 1,339,747 0.37
DUKE ENERGY PROG 4.15% 12/01/2044 US 4.150 12/01/2044 700,000 97.64 683,478 0.19
EAGLE MATERIALS 4.50% 08/01/2026 US 4.500 08/01/2026 1,420,000 99.79 1,417,065 0.39
ECOPETROL SA 5.88% 09/18/2023 CO 5.880 09/18/2023 150,000 106.55 159,825 0.04
EL SALVADOR REP 6.38% 01/18/2027 SV 6.380 01/18/2027 200,000 93.63 187,250 0.05
ELARA HGV TIMESHARE ISSUER 2.69% 03/25/2030 US 2.690 03/25/2030 431,024 97.49 420,202 0.12
EMBRAER NL FINAN 5.05% 06/15/2025 NL 5.050 06/15/2025 587,000 100.38 589,207 0.16
EMBRAER NL FINAN 5.40% 02/01/2027 NL 5.400 02/01/2027 789,000 102.00 804,780 0.22
ENBRIDGE INC 3.03% 06/15/2020 CA 3.030 06/15/2020 1,494,000 100.36 1,499,453 0.42
ENERGY TRANSFER 4.95% 06/15/2028 US 4.950 06/15/2028 841,000 101.81 856,224 0.24
EOG RESOURCES IN 3.90% 04/01/2035 US 3.900 04/01/2035 795,000 97.61 776,012 0.22
EXPRESS SCRIPTS 3.30% 02/25/2021 US 3.300 02/25/2021 1,016,000 99.49 1,010,799 0.28
FANNIE MAE 2.50% 02/01/2032 US 2.500 02/01/2032 4,171,977 96.57 4,028,703 1.12
FANNIE MAE 3.00% 02/01/2043 US 3.000 02/01/2043 3,467,608 96.57 3,348,518 0.93
FANNIE MAE 3.00% 05/25/2022 US 3.000 05/25/2022 2,094,723 4.07 85,290 0.02
FANNIE MAE 3.00% 06/25/2045 US 3.000 06/25/2045 90,297 96.69 87,306 0.02
FANNIE MAE 3.00% 11/25/2047 US 3.000 11/25/2047 935,933 98.50 921,874 0.26
FANNIE MAE 3.00% 12/01/2042 US 3.000 12/01/2042 3,887,425 96.60 3,755,447 1.04
FANNIE MAE 3.50% 02/01/2026 US 3.500 02/01/2026 415,212 100.75 418,321 0.12
FANNIE MAE 3.50% 02/01/2037 US 3.500 02/01/2037 1,019,184 99.92 1,018,412 0.28
FANNIE MAE 3.50% 05/01/2046 US 3.500 05/01/2046 8,654,622 98.79 8,550,131 2.37
FANNIE MAE 3.50% 09/01/2044 US 3.500 09/01/2044 5,415,772 98.86 5,353,906 1.49
FANNIE MAE 3.62% 10/01/2036 US 3.620 10/01/2036 1,679 105.32 1,768 0.00
FANNIE MAE 4.00% 02/01/2026 US 4.000 02/01/2026 168,430 102.47 172,589 0.05
FANNIE MAE 4.00% 02/01/2041 US 4.000 02/01/2041 666,453 101.76 678,198 0.19
FANNIE MAE 4.00% 02/01/2041 US 4.000 02/01/2041 328,701 101.78 334,553 0.09
FANNIE MAE 4.00% 03/01/2026 US 4.000 03/01/2026 288,557 102.10 294,615 0.08
FANNIE MAE 4.00% 03/01/2041 US 4.000 03/01/2041 512,051 102.15 523,078 0.15
FANNIE MAE 4.00% 07/01/2047 US 4.000 07/01/2047 1,043,674 101.04 1,054,500 0.29
FANNIE MAE 4.00% 08/01/2046 US 4.000 08/01/2046 68,520 101.08 69,261 0.02
FANNIE MAE 4.00% 09/01/2040 US 4.000 09/01/2040 182,647 101.73 185,806 0.05
FANNIE MAE 4.00% 10/01/2043 US 4.000 10/01/2043 2,647,957 102.03 2,701,720 0.75
FANNIE MAE 4.00% 11/01/2040 US 4.000 11/01/2040 94,800 101.79 96,501 0.03
FANNIE MAE 4.00% 12/01/2039 US 4.000 12/01/2039 3,561,733 101.73 3,623,231 1.01
FANNIE MAE 4.37% 08/01/2034 US 4.370 08/01/2034 5,106 104.83 5,353 0.00
FANNIE MAE 4.50% 03/01/2025 US 4.500 03/01/2025 91,739 103.68 95,112 0.03
FANNIE MAE 4.50% 04/01/2039 US 4.500 04/01/2039 250,630 104.15 261,037 0.07
FANNIE MAE 4.50% 04/01/2039 US 4.500 04/01/2039 398,541 104.16 415,105 0.12
FANNIE MAE 4.50% 09/01/2040 US 4.500 09/01/2040 581,337 104.38 606,823 0.17
FANNIE MAE 4.50% 12/01/2040 US 4.500 12/01/2040 2,789,327 104.07 2,902,960 0.81
FANNIE MAE 5.00% 01/01/2041 US 5.000 01/01/2041 303,712 106.40 323,144 0.09
FANNIE MAE 5.00% 04/01/2041 US 5.000 04/01/2041 139,819 106.40 148,771 0.04
FANNIE MAE 5.00% 06/01/2040 US 5.000 06/01/2040 113,480 105.98 120,266 0.03
FANNIE MAE 5.00% 09/01/2040 US 5.000 09/01/2040 4,686,941 106.40 4,986,765 1.38
FANNIE MAE 5.00% 10/01/2040 US 5.000 10/01/2040 82,803 106.40 88,101 0.02
FANNIE MAE 5.00% 11/01/2036 US 5.000 11/01/2036 816,516 105.96 865,185 0.24
FANNIE MAE 5.50% 01/01/2037 US 5.500 01/01/2037 86,643 106.69 92,443 0.03
FANNIE MAE 5.50% 02/01/2025 US 5.500 02/01/2025 69,028 106.69 73,650 0.02
FANNIE MAE 5.50% 03/01/2035 US 5.500 03/01/2035 82,161 106.69 87,661 0.02
FANNIE MAE 5.50% 07/01/2039 US 5.500 07/01/2039 1,319,906 106.39 1,404,214 0.39
FANNIE MAE 5.50% 08/01/2037 US 5.500 08/01/2037 524,976 109.89 576,918 0.16
FANNIE MAE 5.50% 10/01/2033 US 5.500 10/01/2033 109,099 106.69 116,403 0.03
FANNIE MAE 5.50% 11/01/2036 US 5.500 11/01/2036 167,181 106.69 178,374 0.05
FANNIE MAE 6.00% 01/01/2036 US 6.000 01/01/2036 184,904 110.13 203,638 0.06
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 39,775 109.98 43,745 0.01
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 89,013 110.92 98,736 0.03
FANNIE MAE 6.00% 09/01/2024 US 6.000 09/01/2024 64,918 107.95 70,078 0.02
FANNIE MAE 6.00% 09/01/2035 US 6.000 09/01/2035 127,539 110.03 140,337 0.04
FANNIE MAE 6.00% 11/25/2032 US 6.000 11/25/2032 284,704 108.18 307,982 0.09
FANNIE MAE 6.00% 12/01/2033 US 6.000 12/01/2033 90,280 104.84 94,649 0.03
FANNIE MAE 6.50% 06/01/2032 US 6.500 06/01/2032 33,705 110.22 37,150 0.01
FANNIE MAE 6.50% 07/01/2032 US 6.500 07/01/2032 31,087 109.63 34,082 0.01
FANNIE MAE 6.50% 07/01/2032 US 6.500 07/01/2032 63,567 109.63 69,691 0.02
FANNIE MAE 6.50% 08/01/2028 US 6.500 08/01/2028 653 109.63 716 0.00
FANNIE MAE 6.50% 08/01/2036 US 6.500 08/01/2036 11,988 107.13 12,843 0.00
FANNIE MAE 7.00% 08/01/2032 US 7.000 08/01/2032 34,006 101.44 34,494 0.01
FANNIE MAE 7.50% 01/01/2031 US 7.500 01/01/2031 17,296 110.46 19,106 0.01
FANNIE MAE 7.50% 06/01/2028 US 7.500 06/01/2028 9,109 100.10 9,118 0.00
FANNIE MAE 8.00% 11/01/2024 US 8.000 11/01/2024 14,257 100.82 14,373 0.00
FANNIEMAE WHOLE LOAN 2.31% 08/25/2044 US 2.310 08/25/2044 105,571 99.37 104,907 0.03
FANNIEMAE WHOLE LOAN 6.59% 10/25/2031 US 6.590 10/25/2031 31,405 105.66 33,183 0.01
FEDEX CORP 5.10% 01/15/2044 US 5.100 01/15/2044 930,000 104.16 968,663 0.27
FHLMC STRUCTURED PASS THROUGH 7.87% 12/25/2029 US 7.870 12/25/2029 178,520 112.81 201,385 0.06
FIFTH THIRD BANK 2.88% 07/27/2020 US 2.880 07/27/2020 1,065,000 99.36 1,058,227 0.29
FIRST FRANKLIN MTG LOAN ASSET 6.02% 03/25/2025 US 6.020 03/25/2025 242,709 104.78 254,322 0.07
FORD MOTOR CO 4.75% 01/15/2043 US 4.750 01/15/2043 711,000 83.27 592,032 0.16
FORD MOTOR CRED 4.14% 02/15/2023 US 4.140 02/15/2023 1,550,000 98.37 1,524,677 0.42
FORTIS INC 3.06% 10/04/2026 CA 3.060 10/04/2026 1,004,000 91.76 921,267 0.26
FREDDIE MAC 3.00% 04/01/2045 US 3.000 04/01/2045 5,808,360 96.23 5,589,454 1.55
FREDDIE MAC 3.29% 10/01/2036 US 3.290 10/01/2036 105,837 104.83 110,947 0.03
FREDDIE MAC 3.50% 04/01/2045 US 3.500 04/01/2045 5,895,741 98.70 5,819,030 1.61
FREDDIE MAC 3.50% 11/01/2025 US 3.500 11/01/2025 187,218 100.59 188,317 0.05
FREDDIE MAC 3.87% 04/01/2037 US 3.870 04/01/2037 263,530 105.32 277,551 0.08
FREDDIE MAC 4.00% 10/01/2039 US 4.000 10/01/2039 3,707,474 101.79 3,773,825 1.05
FREDDIE MAC 4.00% 10/01/2044 US 4.000 10/01/2044 2,638,782 101.28 2,672,431 0.74
FREDDIE MAC 4.50% 01/01/2041 US 4.500 01/01/2041 126,758 104.33 132,250 0.04
FREDDIE MAC 4.50% 04/01/2041 US 4.500 04/01/2041 652,106 104.44 681,056 0.19
FREDDIE MAC 4.50% 06/01/2039 US 4.500 06/01/2039 3,066,394 103.89 3,185,803 0.88
FREDDIE MAC 4.50% 09/01/2039 US 4.500 09/01/2039 3,623,183 104.06 3,770,160 1.05
FREDDIE MAC 5.00% 04/01/2036 US 5.000 04/01/2036 21,476 106.16 22,798 0.01
FREDDIE MAC 5.00% 05/01/2034 US 5.000 05/01/2034 11,304 105.73 11,952 0.00
FREDDIE MAC 5.00% 05/15/2041 US 5.000 05/15/2041 1,485,210 104.94 1,558,605 0.43
FREDDIE MAC 5.00% 07/01/2035 US 5.000 07/01/2035 26,092 105.84 27,616 0.01
FREDDIE MAC 5.00% 08/01/2033 US 5.000 08/01/2033 18,680 106.12 19,822 0.01
FREDDIE MAC 5.00% 08/01/2035 US 5.000 08/01/2035 65,638 105.00 68,923 0.02
FREDDIE MAC 5.00% 08/01/2035 US 5.000 08/01/2035 14,306 105.84 15,141 0.00
FREDDIE MAC 5.00% 11/01/2039 US 5.000 11/01/2039 349,636 106.23 371,424 0.10
FREDDIE MAC 5.50% 02/01/2037 US 5.500 02/01/2037 19,711 107.74 21,236 0.01
FREDDIE MAC 5.50% 08/01/2037 US 5.500 08/01/2037 6,687 108.29 7,241 0.00
FREDDIE MAC 6.00% 06/15/2037 US 6.000 06/15/2037 5,199,287 107.05 5,565,787 1.54
FREDDIE MAC 6.00% 09/01/2033 US 6.000 09/01/2033 58,202 108.64 63,232 0.02
FREDDIE MAC 6.50% 07/01/2032 US 6.500 07/01/2032 21,632 110.63 23,931 0.01
FREDDIE MAC 7.00% 01/01/2032 US 7.000 01/01/2032 19,116 107.65 20,579 0.01
FREDDIE MAC 7.00% 06/01/2026 US 7.000 06/01/2026 73,800 105.18 77,621 0.02
GE CAPITAL INTL 4.42% 11/15/2035 IE 4.420 11/15/2035 1,351,000 94.12 1,271,500 0.35
GEN MOTORS FIN 3.20% 07/06/2021 US 3.200 07/06/2021 925,000 98.75 913,433 0.25
GEN MOTORS FIN 3.20% 07/13/2020 US 3.200 07/13/2020 1,200,000 99.71 1,196,535 0.33
GEN MOTORS FIN 4.35% 04/09/2025 US 4.350 04/09/2025 555,000 98.13 544,613 0.15
GNR 2012-147 IO 0.56% 04/16/2054 US 0.560 04/16/2054 7,968,299 3.47 276,161 0.08
GNR 2016-113 IO 1.19% 02/16/2058 US 1.190 02/16/2058 4,392,048 9.10 399,598 0.11
GNR 2016-140 IO 0.94% 05/16/2058 US 0.940 05/16/2058 17,283,216 7.26 1,253,985 0.35
GOLDMAN SACHS GP 3.34% 07/24/2023 US 3.340 07/24/2023 1,600,000 101.06 1,616,961 0.45
GOLDMAN SACHS GP 3.69% 06/05/2028 US 3.690 06/05/2028 790,000 95.18 751,891 0.21
GOLDMAN SACHS GP 5.25% 07/27/2021 US 5.250 07/27/2021 1,040,000 104.70 1,088,877 0.30
GOVERNMENT NATIONAL MORTGAGE A 4.00% 02/20/2042 US 4.000 02/20/2042 29,804 102.63 30,588 0.01
GOVERNMENT NATIONAL MORTGAGE A 4.00% 08/20/2047 US 4.000 08/20/2047 94,050 89.02 83,721 0.02
GOVERNMENT NATIONAL MORTGAGE A 4.50% 12/20/2040 US 4.500 12/20/2040 2,750,000 103.84 2,855,475 0.79
GOVERNMENT NATIONAL MORTGAGE A 5.00% 04/20/2039 US 5.000 04/20/2039 1,730,816 106.63 1,845,508 0.51
GRUPO BIMBO SAB 4.50% 01/25/2022 MX 4.500 01/25/2022 1,340,000 102.31 1,370,990 0.38
GS MORTGAGE SECURITIES TRUST 3.66% 01/10/2043 US 3.660 01/10/2043 3,400,000 95.56 3,249,113 0.90
GS MORTGAGE SECURITIES TRUST 3.77% 10/10/2032 US 3.770 10/10/2032 595,000 99.36 591,191 0.16
HALFMOON PARENT 4.38% 10/15/2028 US 4.380 10/15/2028 1,078,000 99.71 1,074,860 0.30
HARVEST OPERATIO 4.20% 06/01/2023 CA 4.200 06/01/2023 200,000 101.36 202,716 0.06
HERTZ VEHICLE FINANCING LLC 2.65% 07/25/2022 US 2.650 07/25/2022 3,350,000 97.12 3,253,506 0.90
HERTZ VEHICLE FINANCING LLC 3.52% 03/25/2021 US 3.520 03/25/2021 1,100,000 99.38 1,093,189 0.30
HOME DEPOT INC 5.95% 04/01/2041 US 5.950 04/01/2041 960,000 124.49 1,195,147 0.33
HSBC HOLDINGS 3.90% 05/25/2026 GB 3.900 05/25/2026 1,080,000 96.98 1,047,349 0.29
HUNGARY 5.38% 03/25/2024 HU 5.380 03/25/2024 750,000 107.08 803,130 0.22
HUNTINGTON BANCS 4.00% 05/15/2025 US 4.000 05/15/2025 1,400,000 99.83 1,397,617 0.39
HUNTINGTON NATL 2.20% 11/06/2018 US 2.200 11/06/2018 950,000 99.97 949,716 0.26
IMPERIAL BRANDS 4.25% 07/21/2025 GB 4.250 07/21/2025 1,525,000 99.19 1,512,616 0.42
INDONESIA (REP) 3.85% 07/18/2027 ID 3.850 07/18/2027 300,000 95.30 285,897 0.08
INTEGRYS HLDG US -- -- 55,359 25.95 1,436,566 0.40
INTERPUBLIC GRP 3.75% 10/01/2021 US 3.750 10/01/2021 912,000 100.20 913,807 0.25
IVORY COAST-PDI 6.38% 03/03/2028 CI 6.380 03/03/2028 200,000 96.50 193,000 0.05
JAMAICA GOVT 8.00% 03/15/2039 JM 8.000 03/15/2039 150,000 114.89 172,332 0.05
JBS USA LUX/FIN 6.75% 02/15/2028 US 6.750 02/15/2028 200,000 99.38 198,750 0.06
JIMMY JOHN'S FUNDING LLC 3.61% 07/30/2047 US 3.610 07/30/2047 1,697,850 98.72 1,676,050 0.46
JP MORGAN CHASE COMMERCIAL MOR 2.85% 10/06/2038 US 2.850 10/06/2038 528,000 91.28 481,944 0.13
JP MORGAN MORTGAGE TRUST 3.85% 02/25/2035 US 3.850 02/25/2035 74,936 101.89 76,351 0.02
JP MORGAN MORTGAGE TRUST 3.89% 04/25/2035 US 3.890 04/25/2035 201,132 101.24 203,635 0.06
JP MORGAN MORTGAGE TRUST 3.90% 06/25/2036 US 3.900 06/25/2036 46,025 94.35 43,425 0.01
JPMORGAN CHASE 3.08% 04/23/2024 US 3.080 04/23/2024 1,230,000 99.55 1,224,456 0.34
JPMORGAN CHASE 3.25% 09/23/2022 US 3.250 09/23/2022 805,000 99.12 797,882 0.22
JPMORGAN CHASE 3.51% 01/23/2029 US 3.510 01/23/2029 1,575,000 94.72 1,491,831 0.41
KAZMUNAYGAS NAT 4.75% 04/19/2027 KZ 4.750 04/19/2027 500,000 100.19 500,940 0.14
KAZMUNAYGAS NAT 5.75% 04/19/2047 KZ 5.750 04/19/2047 400,000 98.50 394,000 0.11
KENYA REP OF 7.25% 02/28/2028 KE 7.250 02/28/2028 200,000 97.25 194,500 0.05
KIMCO REALTY 3.13% 06/01/2023 US 3.130 06/01/2023 740,000 96.32 712,737 0.20
KINDER MORGAN EN 3.50% 09/01/2023 US 3.500 09/01/2023 1,600,000 97.78 1,564,443 0.43
KRAFT FOODS GROU 6.88% 01/26/2039 US 6.880 01/26/2039 810,000 116.84 946,422 0.26
KROGER CO 5.00% 04/15/2042 US 5.000 04/15/2042 435,000 99.01 430,674 0.12
LLOYDS BK GR PLC 3.57% 11/07/2028 GB 3.570 11/07/2028 1,534,000 91.60 1,405,140 0.39
MADISON AVENUE TRUST 3.67% 09/10/2035 US 3.670 09/10/2035 550,000 96.27 529,498 0.15
MASTR ALTERNATIVE LOANS TRUST 6.00% 06/25/2034 US 6.000 06/25/2034 33,221 100.54 33,401 0.01
MICROSOFT CORP 3.50% 02/12/2035 US 3.500 02/12/2035 650,000 96.46 626,999 0.17
MID-AMER APT LP 3.75% 06/15/2024 US 3.750 06/15/2024 853,000 97.99 835,880 0.23
MIDCONTINENT EXP 6.70% 09/15/2019 US 6.700 09/15/2019 1,292,000 102.25 1,321,051 0.37
MID-STATE TRUST 7.08% 01/15/2040 US 7.080 01/15/2040 1,279,922 111.51 1,427,290 0.40
MONGOLIA 5.63% 05/01/2023 MN 5.630 05/01/2023 200,000 96.99 193,989 0.05
MOODY'S CORP 2.75% 12/15/2021 US 2.750 12/15/2021 591,000 97.80 578,020 0.16
MORGAN STANLEY 3.74% 04/24/2024 US 3.740 04/24/2024 1,350,000 99.15 1,338,534 0.37
MORGAN STANLEY 3.95% 04/23/2027 US 3.950 04/23/2027 1,455,000 95.98 1,396,527 0.39
NEWCREST FINANCE 4.20% 10/01/2022 AU 4.200 10/01/2022 225,000 100.32 225,718 0.06
NEWCREST FINANCE 4.45% 11/15/2021 AU 4.450 11/15/2021 416,000 101.36 421,664 0.12
NEXTERA ENERGY 2.80% 01/15/2023 US 2.800 01/15/2023 894,000 96.68 864,288 0.24
NGPL PIPECO LLC 7.77% 12/15/2037 US 7.770 12/15/2037 1,045,000 122.50 1,280,125 0.36
NORTHWESTERN MUT 3.85% 09/30/2047 US 3.850 09/30/2047 1,100,000 91.65 1,008,134 0.28
OMAN INTRNL BOND 4.13% 01/17/2023 OM 4.130 01/17/2023 250,000 97.44 243,605 0.07
OMAN INTRNL BOND 5.38% 03/08/2027 OM 5.380 03/08/2027 200,000 97.03 194,056 0.05
ONCOR ELECTRIC D 3.80% 09/30/2047 US 3.800 09/30/2047 945,000 94.56 893,619 0.25
ONTARIO PROVINCE 1.88% 05/21/2020 CA 1.880 05/21/2020 1,333,000 98.17 1,308,579 0.36
ORACLE CORP 2.65% 07/15/2026 US 2.650 07/15/2026 1,073,000 92.81 995,881 0.28
ORANGE LAKE TIMESHARE TRUST 2.61% 03/08/2029 US 2.610 03/08/2029 281,908 97.45 274,733 0.08
PACIFIC GAS&ELEC 4.65% 08/01/2028 US 4.650 08/01/2028 439,000 100.71 442,136 0.12
PACIFICORP 5.75% 04/01/2037 US 5.750 04/01/2037 1,422,000 118.89 1,690,651 0.47
PANAMA 3.75% 03/16/2025 PA 3.750 03/16/2025 200,000 99.55 199,102 0.06
PANAMA 4.50% 04/16/2050 PA 4.500 04/16/2050 200,000 99.15 198,302 0.06
PARAGUAY 4.63% 01/25/2023 PY 4.630 01/25/2023 200,000 100.88 201,750 0.06
PERTAMINA 6.45% 05/30/2044 ID 6.450 05/30/2044 200,000 108.61 217,218 0.06
PETROBRAS GLOB 5.30% 01/27/2025 NL 5.300 01/27/2025 200,000 93.40 186,800 0.05
PETROBRAS GLOB 7.38% 01/17/2027 NL 7.380 01/17/2027 550,000 101.27 556,958 0.15
PETROLEOS DEL PE 4.75% 06/19/2032 PE 4.750 06/19/2032 200,000 96.92 193,840 0.05
PETROLEOS DEL PE 5.63% 06/19/2047 PE 5.630 06/19/2047 200,000 99.38 198,752 0.06
PETROLEOS MEXICA 4.50% 01/23/2026 MX 4.500 01/23/2026 1,130,000 93.50 1,056,550 0.29
PETROLEOS MEXICA 4.88% 01/18/2024 MX 4.880 01/18/2024 200,000 99.60 199,200 0.06
PETROLEOS MEXICA 5.35% 02/12/2028 MX 5.350 02/12/2028 535,000 94.25 504,238 0.14
PETROLEOS MEXICA 5.50% 01/21/2021 MX 5.500 01/21/2021 250,000 103.19 257,978 0.07
PETROLEOS MEXICA 6.35% 02/12/2048 MX 6.350 02/12/2048 265,000 91.60 242,740 0.07
PETROLEOS MEXICA 6.38% 01/23/2045 MX 6.380 01/23/2045 200,000 92.60 185,200 0.05
PMTLT 2013-J1 3.50% 09/25/2043 US 3.500 09/25/2043 2,124,563 97.34 2,068,112 0.57
PNC BANK NA 2.70% 11/01/2022 US 2.700 11/01/2022 1,130,000 96.34 1,088,595 0.30
PNG GOVT INTL BO 8.38% 10/04/2028 PG 8.380 10/04/2028 200,000 101.25 202,500 0.06
PORTUGAL (REP) 5.13% 10/15/2024 PT 5.130 10/15/2024 432,000 104.56 451,699 0.13
PRICELINE GROUP 3.60% 06/01/2026 US 3.600 06/01/2026 1,516,000 97.01 1,470,738 0.41
PROV OF SANTA FE 7.00% 03/23/2023 AR 7.000 03/23/2023 300,000 88.50 265,503 0.07
PRUDENTIAL FIN 5.63% 06/15/2043 US 5.630 06/15/2043 1,223,000 104.25 1,274,978 0.35
QUALCOMM INC 3.45% 05/20/2025 US 3.450 05/20/2025 1,400,000 97.01 1,358,166 0.38
QWEST CORP 6.75% 12/01/2021 US 6.750 12/01/2021 744,000 106.72 794,031 0.22
REP OF BELARUS 6.88% 02/28/2023 BY 6.880 02/28/2023 200,000 104.82 209,648 0.06
REP OF NIGERIA 5.63% 06/27/2022 NG 5.630 06/27/2022 200,000 100.15 200,300 0.06
REP OF NIGERIA 6.38% 07/12/2023 NG 6.380 07/12/2023 200,000 101.35 202,700 0.06
REP OF NIGERIA 7.88% 02/16/2032 NG 7.880 02/16/2032 400,000 102.15 408,600 0.11
REP OF PAKISTAN 7.88% 03/31/2036 PK 7.880 03/31/2036 300,000 93.78 281,346 0.08
REP OF POLAND 4.00% 01/22/2024 PL 4.000 01/22/2024 200,000 101.96 203,915 0.06
REP OF SRI LANKA 6.13% 06/03/2025 LK 6.130 06/03/2025 375,000 95.26 357,236 0.10
REPUBLIC OF AZER 4.75% 03/18/2024 AZ 4.750 03/18/2024 500,000 101.43 507,166 0.14
REPUBLIC OF ECUA 10.50% 03/24/2020 EC 10.500 03/24/2020 300,000 103.87 311,610 0.09
RESIDENTIAL ASSET SECURITIES C 5.96% 09/25/2031 US 5.960 09/25/2031 1,087 104.13 1,131 0.00
RESIDENTIAL ASSET SECURITIZATI 6.00% 04/25/2036 US 6.000 04/25/2036 179,673 76.13 136,781 0.04
REYNOLDS AMERICA 4.45% 06/12/2025 US 4.450 06/12/2025 1,114,000 100.74 1,122,210 0.31
ROMANIA 4.88% 01/22/2024 RO 4.880 01/22/2024 250,000 103.23 258,071 0.07
ROYAL BK CANADA 3.20% 04/30/2021 CA 3.200 04/30/2021 1,552,000 99.82 1,549,141 0.43
SBA TOWER TRUST 2.90% 10/15/2019 US 2.900 10/15/2019 334,000 99.80 333,329 0.09
SBSN INDO III 4.35% 09/10/2024 ID 4.350 09/10/2024 300,000 100.00 300,000 0.08
SECOND PKSTAN SUKUK 6.75% 12/03/2019 PK 6.750 12/03/2019 300,000 100.40 301,185 0.08
SEQUOIA MORTGAGE TRUST 3.52% 05/25/2043 US 3.520 05/25/2043 555,781 98.56 547,757 0.15
SEQUOIA MORTGAGE TRUST 3.56% 08/25/2043 US 3.560 08/25/2043 568,807 97.89 556,780 0.15
SEQUOIA MORTGAGE TRUST 3.64% 02/25/2043 US 3.640 02/25/2043 313,444 98.82 309,736 0.09
SEQUOIA MORTGAGE TRUST 3.65% 02/25/2043 US 3.650 02/25/2043 367,513 99.25 364,741 0.10
SEQUOIA MORTGAGE TRUST 4.08% 07/25/2044 US 4.080 07/25/2044 1,142,429 99.74 1,139,478 0.32
SHIRE ACQ INV IE 2.40% 09/23/2021 IE 2.400 09/23/2021 426,000 96.59 411,468 0.11
SL GREEN OPERAT 3.25% 10/15/2022 US 3.250 10/15/2022 1,380,000 96.98 1,338,317 0.37
SONIC CAPITAL LLC 4.47% 05/20/2046 US 4.470 05/20/2046 296,142 99.70 295,239 0.08
SOUTH AFRICA 4.85% 09/27/2027 ZA 4.850 09/27/2027 300,000 94.07 282,217 0.08
SPIRIT REALTY LP 4.45% 09/15/2026 US 4.450 09/15/2026 821,000 95.86 787,039 0.22
SPRINGCASTLE SPV 3.05% 04/25/2029 US 3.050 04/25/2029 258,410 99.56 257,276 0.07
STARWOOD COMMERCIAL MORTGAGE T 05/15/2035 US -- 05/15/2035 1,250,000 100.00 1,249,999 0.35
STRUCTURED ASSET SECURITIES CO 5.19% 12/25/2034 US 5.190 12/25/2034 333 99.41 331 0.00
STRUCTURED ASSET SECURITIES CO 5.50% 10/25/2035 US 5.500 10/25/2035 109,598 79.33 86,940 0.02
SUNTRUST BANKS 4.00% 05/01/2025 US 4.000 05/01/2025 1,460,000 100.25 1,463,646 0.41
SUZANO AUSTRIA 7.00% 03/16/2047 AT 7.000 03/16/2047 200,000 104.28 208,556 0.06
TELECOM ITALIA 5.30% 05/30/2024 IT 5.300 05/30/2024 1,479,000 97.38 1,440,176 0.40
THERMO FISHER 3.60% 08/15/2021 US 3.600 08/15/2021 966,000 100.33 969,175 0.27
TIME WARNER INC 3.80% 02/15/2027 US 3.800 02/15/2027 1,303,000 95.66 1,246,397 0.35
TOWD POINT MORTGAGE TRUST 4.00% 03/25/2054 US 4.000 03/25/2054 700,000 100.68 704,793 0.20
TOYOTA MTR CRED 2.95% 04/13/2021 US 2.950 04/13/2021 1,550,000 99.54 1,542,896 0.43
TRANSNET LTD 4.00% 07/26/2022 ZA 4.000 07/26/2022 375,000 93.75 351,563 0.10
TRANSOCEAN PHNX2 7.75% 10/15/2024 KY 7.750 10/15/2024 2,338 105.25 2,460 0.00
TURKEY REP OF 4.88% 04/16/2043 TR 4.880 04/16/2043 350,000 72.88 255,080 0.07
TURKEY REP OF 5.13% 03/25/2022 TR 5.130 03/25/2022 400,000 94.95 379,793 0.11
TYSON FOODS INC 3.90% 09/28/2023 US 3.900 09/28/2023 678,000 100.39 680,667 0.19
UKRAINE GOVERNMENT 7.75% 09/01/2026 UA 7.750 09/01/2026 100,000 93.88 93,875 0.03
UKRAINE GOVT 7.38% 09/25/2032 UA 7.380 09/25/2032 200,000 86.83 173,660 0.05
UKRAINE GOVT 7.75% 09/01/2021 UA 7.750 09/01/2021 375,000 100.75 377,813 0.10
UNITED MEXICAN 4.13% 01/21/2026 MX 4.130 01/21/2026 200,000 99.11 198,210 0.05
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