Touchstone Active Bond Fund

Touchstone Active Bond Fund

Daily NAV
$
Overall Morningstar RatingTM
Intermediate-Term Bond

Morningstar

Overall Morningstar RatingTM is calculated against 876 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 Morningstar RatingTM does not include any adjustment for sales load. 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 a sub-advisor to make investment decisions for the Fund’s portfolio; it may be unable to identify and retain a sub-advisor who achieves superior investment returns relative to other similar sub-advisors.

Fund Facts

Symbol
CUSIP
Share Class Inception Date
Total Share Class Net Assets as of 12/31/2018
Total Fund Net Assets as of 12/31/2018 $322,856,853
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 01/30/2019

Performance

Daily Returns as of
NAV NAV $ Change
Touchstone Active Bond Fund -
HISTORICAL DAILY NAV
as of 01/31/2019 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 1.06% 3.53% 1.06% 2.25% 1.95% 2.44% 3.68% --
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 12/31/2018 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 0.01% 2.06% 2.52% 3.48% --
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.
Contact Us Now

Portfolio

as of 12/31/2018
Number of Holdings
356
Weighted Average Effective Maturity
9.1 Years
Weighted Average Effective Duration
6.6 Years
as of 12/31/2018
Credit Quality % of Portfolio
AAA/Aaa 39.0
AA/Aa 4.7
A/A 15.2
BBB/Baa 30.4
BB/Ba 2.3
B/B 2.0
CCC 0.1
Not Rated 5.6
Cash Equivalents 0.6
Data may not total due to rounding. The ratings agencies that provided the ratings are Standard & Poor's and Moody's Investors Service. When ratings vary, the highest rating is used. Credit ratings of A or better are considered to be high credit quality; credit ratings of BBB are good credit quality, and the lowest category of investment grade; credit ratings BB and below are lower-rated securities ("junk bonds"); and credit ratings of CCC or below have high default risk. Where no rating has been assigned, it could be for reasons unrelated to the creditworthiness of the issuer. The credit quality ratings apply only to the credit worthiness of the issuers of the underlying securities and not the fund or its shares.  Ratings are subject to change.  
For the data illustrated for Touchstone Domestic Equity Funds, Morningstar is the source. 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. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 12/31/2018
Sector % of Portfolio
Investment Grade Corp. Credit 38.5
U.S. Agency MBS/CMO 24.7
U.S. Treasury 14.2
Emerging Markets 8.5
Asset Backed Securities 7.0
CMBS 4.8
High Yield Corporate Credit 1.3
Cash Equivalents 0.6
Miscellaneous 0.4
Municipals 0.0
U.S. Agency Obligations 0.0
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. Calculations for sectors and top holdings exclude cash equivalents. Data may not total due to rounding. 
For the data illustrated for Touchstone Domestic Equity Funds, Morningstar is the source. 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. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 01/31/2019
Security Description % of Portfolio
TSY INFL IX N/B 1.00% 02/15/2048 4.6
US 5YR NOTE MAR 19 03/01/2019 91.6
US TREASURY N/B 2.50% 03/31/2023 2.5
US ULTRA BOND MAR 19 03/01/2019 8.4
US TREASURY N/B 2.50% 05/31/2020 2.4
FREDDIE MAC 3.00% 04/01/2045 1.8
FREDDIE MAC 6.00% 06/15/2037 1.7
FANNIE MAE 3.50% 09/01/2044 1.7
FANNIE MAE 2.50% 02/01/2032 1.3
FREDDIE MAC 4.00% 10/01/2039 1.2
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. Calculations for sectors and top holdings exclude cash equivalents. Data may not total due to rounding. 
For the data illustrated for Touchstone Domestic Equity Funds, Morningstar is the source. 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. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 12/31/2018
Security Description
Country
Coupon Rate (%)
Maturity Date
Shares Par Value
Current Price ($)
Market Value ($)
% of Portfolio
ABBVIE INC 4.45% 05/14/2046 US 4.450 05/14/2046 1,162,000 87.47 1,016,446 0.32
ACTAVIS FUNDING 3.80% 03/15/2025 LU 3.800 03/15/2025 795,000 97.62 776,098 0.24
ACTIVISION BLIZZ 4.50% 06/15/2047 US 4.500 06/15/2047 1,190,000 89.71 1,067,538 0.33
ADAMS OUTDOOR ADVERTISING 4.81% 11/15/2048 US 4.810 11/15/2048 2,246,123 102.85 2,310,067 0.72
ADJUSTABLE RATE MORTGAGE TRUST 3.95% 03/25/2035 US 3.950 03/25/2035 3,219 99.71 3,210 0.00
AGATE BAY MORTGAGE LOAN TRUST 3.76% 10/25/2045 US 3.760 10/25/2045 2,138,187 100.84 2,156,212 0.67
ALBERTA PROVINCE 2.20% 07/26/2022 CA 2.200 07/26/2022 1,135,000 97.76 1,109,583 0.35
ALLERGAN SALES 5.00% 12/15/2021 US 5.000 12/15/2021 1,030,000 102.89 1,059,766 0.33
ALLSTATE CORP 5.75% 08/15/2053 US 5.750 08/15/2053 225,000 97.50 219,375 0.07
AMERICAN EXPRESS 3.00% 10/30/2024 US 3.000 10/30/2024 1,388,000 95.69 1,328,233 0.42
ANGOLA REP OF 8.25% 05/09/2028 AO 8.250 05/09/2028 575,000 94.08 540,983 0.17
ANHEUSER-BUSCH 4.90% 02/01/2046 US 4.900 02/01/2046 1,604,000 92.74 1,487,526 0.47
APPLE INC 2.75% 01/13/2025 US 2.750 01/13/2025 1,750,000 96.43 1,687,454 0.53
APPLE INC 4.65% 02/23/2046 US 4.650 02/23/2046 1,303,000 105.85 1,379,275 0.43
APTIV PLC 3.15% 11/19/2020 IE 3.150 11/19/2020 1,286,000 99.00 1,273,143 0.40
ARAB REP EGYPT 6.13% 01/31/2022 EG 6.130 01/31/2022 350,000 98.11 343,378 0.11
ARAB REP EGYPT 7.50% 01/31/2027 EG 7.500 01/31/2027 200,000 95.27 190,532 0.06
ARAB REP EGYPT 8.50% 01/31/2047 EG 8.500 01/31/2047 200,000 90.13 180,261 0.06
ARC PROPERTIES 4.60% 02/06/2024 US 4.600 02/06/2024 1,666,000 101.10 1,684,323 0.53
ARGENTINA 7.13% 06/28/2099 AR 7.130 06/28/2099 250,000 71.50 178,750 0.06
ARMENIA 6.00% 09/30/2020 AM 6.000 09/30/2020 200,000 100.86 201,718 0.06
ASHTEAD CAPITAL 4.38% 08/15/2027 US 4.380 08/15/2027 689,000 90.00 620,100 0.19
AT&T INC 3.95% 01/15/2025 US 3.950 01/15/2025 460,000 97.79 449,814 0.14
AT&T INC 4.35% 06/15/2045 US 4.350 06/15/2045 275,000 84.51 232,393 0.07
AT&T INC 4.50% 05/15/2035 US 4.500 05/15/2035 865,000 89.78 776,599 0.24
AUTONATION INC 5.50% 02/01/2020 US 5.500 02/01/2020 1,110,000 102.18 1,134,197 0.35
AVIS BUDGET RENTAL CAR FUNDING 3.42% 12/20/2021 US 3.420 12/20/2021 2,400,000 99.42 2,386,176 0.75
BAHIA SUL HLDGS 5.75% 07/14/2026 AT 5.750 07/14/2026 1,481,000 102.00 1,510,620 0.47
BANK NOVA SCOTIA 3.42% 09/19/2022 CA 3.420 09/19/2022 535,000 98.98 529,565 0.17
BANK OF AMER CRP 3.71% 04/24/2028 US 3.710 04/24/2028 754,000 95.93 723,288 0.23
BANK OF AMER CRP 4.00% 01/22/2025 US 4.000 01/22/2025 1,000,000 97.41 974,146 0.30
BANK OF MONTREAL 3.80% 12/15/2032 CA 3.800 12/15/2032 1,470,000 92.60 1,361,220 0.43
BANK OF NY MELLO 2.95% 01/29/2023 US 2.950 01/29/2023 1,498,000 98.43 1,474,424 0.46
BARCLAYS PLC 4.61% 02/15/2023 GB 4.610 02/15/2023 1,315,000 99.16 1,303,903 0.41
BMW US CAP LLC 3.10% 04/12/2021 US 3.100 04/12/2021 2,358,000 99.04 2,335,336 0.73
BOARDWALK PIPELI 4.45% 07/15/2027 US 4.450 07/15/2027 1,372,000 92.33 1,266,775 0.40
BOSTON PROP LP 3.20% 01/15/2025 US 3.200 01/15/2025 1,040,000 95.49 993,069 0.31
BRASKEM AMERICA 7.13% 07/22/2041 US 7.130 07/22/2041 785,000 108.45 851,333 0.27
BRASKEM NL 4.50% 01/10/2028 NL 4.500 01/10/2028 200,000 92.43 184,852 0.06
BURLINGTON NORTH 5.75% 05/01/2040 US 5.750 05/01/2040 1,290,000 117.11 1,510,677 0.47
CARE CAPITAL 5.13% 08/15/2026 US 5.130 08/15/2026 1,410,000 92.68 1,306,746 0.41
CARGILL INC 3.05% 04/19/2021 US 3.050 04/19/2021 1,570,000 99.90 1,568,443 0.49
CATHOLIC HEALTH 4.20% 08/01/2023 US 4.200 08/01/2023 380,000 101.41 385,360 0.12
CELGENE CORP 5.00% 08/15/2045 US 5.000 08/15/2045 952,000 92.47 880,298 0.28
CEMEX SAB 7.75% 04/16/2026 MX 7.750 04/16/2026 300,000 105.13 315,375 0.10
CENOVUS ENERGY 4.25% 04/15/2027 CA 4.250 04/15/2027 993,000 91.08 904,447 0.28
CHARTER COMM OPT 6.48% 10/23/2045 US 6.480 10/23/2045 1,159,000 102.79 1,191,381 0.37
CHENIERE CORP CH 7.00% 06/30/2024 US 7.000 06/30/2024 1,280,000 105.50 1,350,400 0.42
CIT GROUP HOME EQUITY LOAN TRU 7.21% 02/25/2033 US 7.210 02/25/2033 2,928 102.58 3,004 0.00
CITIGROUP INC 3.30% 04/27/2025 US 3.300 04/27/2025 665,000 94.97 631,522 0.20
CITIGROUP INC 4.75% 05/18/2046 US 4.750 05/18/2046 467,000 92.45 431,722 0.14
CNOOC FIN 2011 4.25% 01/26/2021 VG 4.250 01/26/2021 200,000 101.40 202,794 0.06
CNOOC FIN 2014 4.25% 04/30/2024 CA 4.250 04/30/2024 350,000 101.38 354,818 0.11
CODELCO INC 4.50% 09/16/2025 CL 4.500 09/16/2025 450,000 101.27 455,706 0.14
COINSTAR FUNDING LLC 5.22% 04/25/2047 US 5.220 04/25/2047 2,955,000 101.10 2,987,625 0.93
COLOMBIA REP OF 4.00% 02/26/2024 CO 4.000 02/26/2024 400,000 99.00 396,000 0.12
COLOMBIA REP OF 5.00% 06/15/2045 CO 5.000 06/15/2045 844,000 95.20 803,488 0.25
COLOMBIA REP OF 6.13% 01/18/2041 CO 6.130 01/18/2041 250,000 108.00 270,000 0.08
COLUMBIA PIPELIN 4.50% 06/01/2025 US 4.500 06/01/2025 1,046,000 100.72 1,053,533 0.33
COMCAST CORP 4.00% 03/01/2048 US 4.000 03/01/2048 814,000 91.12 741,739 0.23
COMCAST CORP 4.15% 10/15/2028 US 4.150 10/15/2028 1,075,000 101.54 1,091,590 0.34
CONAGRA BRANDS 4.85% 11/01/2028 US 4.850 11/01/2028 1,190,000 98.34 1,170,212 0.37
CORE INDUSTRIAL TRUST 0.94% 02/10/2034 US 0.940 02/10/2034 34,626,503 2.15 743,497 0.23
COSTA RICA GOVT 4.38% 04/30/2025 CR 4.380 04/30/2025 200,000 84.63 169,250 0.05
COSTA RICA GOVT 5.63% 04/30/2043 CR 5.630 04/30/2043 200,000 76.00 152,000 0.05
COUNTRYWIDE ALTERNATIVE LOAN T 5.00% 02/25/2020 US 5.000 02/25/2020 108,072 97.70 105,583 0.03
COUNTRYWIDE ALTERNATIVE LOAN T 6.50% 09/25/2034 US 6.500 09/25/2034 6,453 97.07 6,264 0.00
COUNTRYWIDE ASSET-BACKED CERTI 6.02% 11/25/2036 US 6.020 11/25/2036 356,218 98.98 352,579 0.11
COX COMMUN INC 3.35% 09/15/2026 US 3.350 09/15/2026 925,000 92.26 853,406 0.27
CRED SUIS NY 3.63% 09/09/2024 CH 3.630 09/09/2024 865,000 98.12 848,729 0.27
CREDIT SUISSE FIRST BOSTON MOR 5.25% 10/25/2019 US 5.250 10/25/2019 29,350 99.94 29,332 0.01
CREDIT SUISSE MORTGAGE TRUST 3.57% 08/25/2043 US 3.570 08/25/2043 1,525,728 98.85 1,508,133 0.47
CREDIT SUISSE MORTGAGE TRUST 3.85% 09/25/2057 US 3.850 09/25/2057 1,437,121 101.22 1,454,587 0.45
CREDIT SUISSE MORTGAGE TRUST 3.87% 12/25/2044 US 3.870 12/25/2044 2,173,961 99.56 2,164,379 0.68
CREDIT SUISSE MORTGAGE TRUST 3.94% 01/25/2045 US 3.940 01/25/2045 2,138,643 97.80 2,091,564 0.65
CRH AMERICA FIN 4.50% 04/04/2048 US 4.500 04/04/2048 1,350,000 88.89 1,199,974 0.38
CROATIA 5.50% 04/04/2023 HR 5.500 04/04/2023 300,000 104.87 314,618 0.10
CROWN CASTLE INT 3.65% 09/01/2027 US 3.650 09/01/2027 1,296,000 92.70 1,201,445 0.38
CVS HEALTH CORP 4.30% 03/25/2028 US 4.300 03/25/2028 1,630,000 97.76 1,593,503 0.50
CVS HEALTH CORP 5.13% 07/20/2045 US 5.130 07/20/2045 735,000 97.34 715,456 0.22
DBUBS MORTGAGE TRUST 3.53% 10/10/2034 US 3.530 10/10/2034 580,000 98.11 569,029 0.18
DIAMOND 1 FIN/DI 6.02% 06/15/2026 US 6.020 06/15/2026 1,327,000 100.45 1,333,000 0.42
DOLLAR TREE 3.15% 04/17/2020 US 3.150 04/17/2020 1,554,000 99.36 1,544,089 0.48
DOMINICAN REPUBL 5.88% 04/18/2024 DO 5.880 04/18/2024 200,000 101.09 202,184 0.06
DOMINICAN REPUBL 5.95% 01/25/2027 DO 5.950 01/25/2027 150,000 99.63 149,438 0.05
DOMINICAN REPUBL 6.85% 01/27/2045 DO 6.850 01/27/2045 100,000 98.50 98,500 0.03
DOWDUPONT 4.49% 11/15/2025 US 4.490 11/15/2025 1,510,000 102.96 1,554,660 0.49
DREYFUS-GOV C-IN US -- -- 1,947,075 1.00 1,947,075 0.61
DUKE ENERGY PROG 4.15% 12/01/2044 US 4.150 12/01/2044 700,000 97.08 679,569 0.21
EAGLE MATERIALS 4.50% 08/01/2026 US 4.500 08/01/2026 1,420,000 99.29 1,409,860 0.44
ECOPETROL SA 5.88% 09/18/2023 CO 5.880 09/18/2023 150,000 104.25 156,377 0.05
EL SALVADOR REP 6.38% 01/18/2027 SV 6.380 01/18/2027 200,000 91.60 183,200 0.06
ELARA HGV TIMESHARE ISSUER 2.69% 03/25/2030 US 2.690 03/25/2030 387,696 98.84 383,182 0.12
ELEC DE FRANCE 4.50% 09/21/2028 FR 4.500 09/21/2028 1,004,000 96.92 973,114 0.30
EMBRAER NL FINAN 5.05% 06/15/2025 NL 5.050 06/15/2025 587,000 101.13 593,610 0.19
EMBRAER NL FINAN 5.40% 02/01/2027 NL 5.400 02/01/2027 789,000 103.25 814,650 0.25
ENBRIDGE INC 3.49% 06/15/2020 CA 3.490 06/15/2020 1,494,000 99.65 1,488,833 0.47
ENERGY TRANSFER 4.95% 06/15/2028 US 4.950 06/15/2028 1,286,000 97.84 1,258,239 0.39
EOG RESOURCES IN 3.90% 04/01/2035 US 3.900 04/01/2035 795,000 94.41 750,564 0.23
EXPRESS SCRIPTS 3.30% 02/25/2021 US 3.300 02/25/2021 1,016,000 99.63 1,012,270 0.32
FANNIE MAE 2.50% 02/01/2032 US 2.500 02/01/2032 4,029,262 97.70 3,936,515 1.23
FANNIE MAE 3.00% 02/01/2043 US 3.000 02/01/2043 3,359,209 98.33 3,303,005 1.03
FANNIE MAE 3.00% 05/25/2022 US 3.000 05/25/2022 1,846,927 3.88 71,582 0.02
FANNIE MAE 3.00% 06/25/2045 US 3.000 06/25/2045 87,601 99.45 87,119 0.03
FANNIE MAE 3.00% 11/25/2047 US 3.000 11/25/2047 890,936 100.33 893,897 0.28
FANNIE MAE 3.50% 02/01/2026 US 3.500 02/01/2026 374,893 101.29 379,740 0.12
FANNIE MAE 3.50% 02/01/2037 US 3.500 02/01/2037 972,054 101.16 983,301 0.31
FANNIE MAE 3.50% 09/01/2044 US 3.500 09/01/2044 5,185,049 100.47 5,209,459 1.63
FANNIE MAE 4.00% 02/01/2026 US 4.000 02/01/2026 156,744 102.52 160,687 0.05
FANNIE MAE 4.00% 02/01/2041 US 4.000 02/01/2041 644,460 102.83 662,667 0.21
FANNIE MAE 4.00% 03/01/2026 US 4.000 03/01/2026 267,772 102.46 274,369 0.09
FANNIE MAE 4.00% 03/01/2041 US 4.000 03/01/2041 507,599 103.28 524,262 0.16
FANNIE MAE 4.00% 07/01/2047 US 4.000 07/01/2047 1,017,365 101.97 1,037,382 0.32
FANNIE MAE 4.00% 08/01/2046 US 4.000 08/01/2046 66,971 102.13 68,400 0.02
FANNIE MAE 4.00% 09/01/2040 US 4.000 09/01/2040 176,146 102.83 181,122 0.06
FANNIE MAE 4.00% 10/01/2043 US 4.000 10/01/2043 765,065 103.12 788,968 0.25
FANNIE MAE 4.00% 11/01/2040 US 4.000 11/01/2040 92,088 102.83 94,690 0.03
FANNIE MAE 4.10% 10/01/2036 US 4.100 10/01/2036 1,533 105.48 1,617 0.00
FANNIE MAE 4.37% 08/01/2034 US 4.370 08/01/2034 3,937 104.73 4,123 0.00
FANNIE MAE 4.50% 03/01/2025 US 4.500 03/01/2025 85,739 103.30 88,568 0.03
FANNIE MAE 4.50% 04/01/2039 US 4.500 04/01/2039 239,578 104.71 250,855 0.08
FANNIE MAE 4.50% 04/01/2039 US 4.500 04/01/2039 381,639 104.71 399,608 0.12
FANNIE MAE 4.50% 09/01/2040 US 4.500 09/01/2040 557,468 104.88 584,672 0.18
FANNIE MAE 5.00% 01/01/2041 US 5.000 01/01/2041 296,573 106.15 314,819 0.10
FANNIE MAE 5.00% 04/01/2041 US 5.000 04/01/2041 132,063 106.16 140,192 0.04
FANNIE MAE 5.00% 06/01/2040 US 5.000 06/01/2040 104,806 105.26 110,321 0.03
FANNIE MAE 5.00% 10/01/2040 US 5.000 10/01/2040 74,241 106.15 78,809 0.02
FANNIE MAE 5.00% 11/01/2036 US 5.000 11/01/2036 809,864 105.66 855,724 0.27
FANNIE MAE 5.50% 01/01/2037 US 5.500 01/01/2037 45,995 105.80 48,663 0.02
FANNIE MAE 5.50% 02/01/2025 US 5.500 02/01/2025 65,155 105.80 68,934 0.02
FANNIE MAE 5.50% 03/01/2035 US 5.500 03/01/2035 81,329 105.99 86,199 0.03
FANNIE MAE 5.50% 07/01/2039 US 5.500 07/01/2039 1,310,167 108.06 1,415,808 0.44
FANNIE MAE 5.50% 08/01/2037 US 5.500 08/01/2037 519,375 107.98 560,842 0.18
FANNIE MAE 5.50% 10/01/2033 US 5.500 10/01/2033 107,974 105.80 114,236 0.04
FANNIE MAE 5.50% 11/01/2036 US 5.500 11/01/2036 151,754 105.80 160,555 0.05
FANNIE MAE 6.00% 01/01/2036 US 6.000 01/01/2036 181,265 109.22 197,979 0.06
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 36,698 108.80 39,929 0.01
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 83,815 110.06 92,251 0.03
FANNIE MAE 6.00% 09/01/2024 US 6.000 09/01/2024 62,605 107.30 67,176 0.02
FANNIE MAE 6.00% 09/01/2035 US 6.000 09/01/2035 126,189 109.03 137,584 0.04
FANNIE MAE 6.00% 11/25/2032 US 6.000 11/25/2032 260,893 109.79 286,447 0.09
FANNIE MAE 6.00% 12/01/2033 US 6.000 12/01/2033 68,515 103.62 70,998 0.02
FANNIE MAE 6.50% 06/01/2032 US 6.500 06/01/2032 33,054 111.58 36,881 0.01
FANNIE MAE 6.50% 07/01/2032 US 6.500 07/01/2032 30,744 107.39 33,015 0.01
FANNIE MAE 6.50% 07/01/2032 US 6.500 07/01/2032 61,371 107.39 65,904 0.02
FANNIE MAE 6.50% 08/01/2028 US 6.500 08/01/2028 37 100.00 37 0.00
FANNIE MAE 6.50% 08/01/2036 US 6.500 08/01/2036 10,295 108.08 11,128 0.00
FANNIE MAE 7.00% 08/01/2032 US 7.000 08/01/2032 33,001 101.23 33,406 0.01
FANNIE MAE 7.50% 01/01/2031 US 7.500 01/01/2031 17,001 111.56 18,965 0.01
FANNIE MAE 7.50% 06/01/2028 US 7.500 06/01/2028 8,863 100.01 8,864 0.00
FANNIE MAE 8.00% 11/01/2024 US 8.000 11/01/2024 13,779 100.70 13,876 0.00
FANNIEMAE WHOLE LOAN 2.53% 08/25/2044 US 2.530 08/25/2044 100,463 99.38 99,840 0.03
FANNIEMAE WHOLE LOAN 6.59% 10/25/2031 US 6.590 10/25/2031 30,377 106.17 32,252 0.01
FEDEX CORP 5.10% 01/15/2044 US 5.100 01/15/2044 930,000 98.45 915,548 0.29
FHLMC STRUCTURED PASS THROUGH 7.87% 12/25/2029 US 7.870 12/25/2029 171,483 114.79 196,846 0.06
FIFTH THIRD BANK 2.88% 07/27/2020 US 2.880 07/27/2020 1,065,000 99.42 1,058,858 0.33
FIRST FRANKLIN MTG LOAN ASSET 6.02% 03/25/2025 US 6.020 03/25/2025 223,897 103.12 230,889 0.07
FORD MOTOR CO 4.75% 01/15/2043 US 4.750 01/15/2043 356,000 77.12 274,542 0.09
FORD MOTOR CRED 4.14% 02/15/2023 US 4.140 02/15/2023 775,000 95.05 736,645 0.23
FREDDIE MAC 3.00% 04/01/2045 US 3.000 04/01/2045 5,589,772 97.99 5,477,606 1.71
FREDDIE MAC 3.00% 08/15/2032 US 3.000 08/15/2032 775,000 96.52 748,020 0.23
FREDDIE MAC 3.50% 11/01/2025 US 3.500 11/01/2025 174,130 101.36 176,498 0.06
FREDDIE MAC 3.90% 04/01/2037 US 3.900 04/01/2037 241,145 103.51 249,604 0.08
FREDDIE MAC 4.00% 10/01/2039 US 4.000 10/01/2039 3,627,245 102.82 3,729,394 1.17
FREDDIE MAC 4.28% 10/01/2036 US 4.280 10/01/2036 97,148 105.02 102,028 0.03
FREDDIE MAC 4.50% 01/01/2041 US 4.500 01/01/2041 124,697 104.71 130,565 0.04
FREDDIE MAC 4.50% 04/01/2041 US 4.500 04/01/2041 619,334 104.84 649,322 0.20
FREDDIE MAC 4.50% 09/01/2039 US 4.500 09/01/2039 3,432,447 104.29 3,579,582 1.12
FREDDIE MAC 5.00% 04/01/2036 US 5.000 04/01/2036 20,673 106.19 21,952 0.01
FREDDIE MAC 5.00% 05/01/2034 US 5.000 05/01/2034 11,168 106.13 11,852 0.00
FREDDIE MAC 5.00% 05/15/2041 US 5.000 05/15/2041 1,417,682 105.91 1,501,417 0.47
FREDDIE MAC 5.00% 07/01/2035 US 5.000 07/01/2035 25,797 106.14 27,382 0.01
FREDDIE MAC 5.00% 08/01/2033 US 5.000 08/01/2033 17,922 106.17 19,028 0.01
FREDDIE MAC 5.00% 08/01/2035 US 5.000 08/01/2035 65,046 104.71 68,109 0.02
FREDDIE MAC 5.00% 08/01/2035 US 5.000 08/01/2035 13,228 106.15 14,041 0.00
FREDDIE MAC 5.00% 11/01/2039 US 5.000 11/01/2039 331,749 106.26 352,517 0.11
FREDDIE MAC 5.50% 02/01/2037 US 5.500 02/01/2037 19,549 107.77 21,068 0.01
FREDDIE MAC 5.50% 08/01/2037 US 5.500 08/01/2037 6,632 107.70 7,143 0.00
FREDDIE MAC 6.00% 06/15/2037 US 6.000 06/15/2037 5,011,058 108.95 5,459,484 1.71
FREDDIE MAC 6.00% 09/01/2033 US 6.000 09/01/2033 57,585 107.59 61,954 0.02
FREDDIE MAC 6.50% 07/01/2032 US 6.500 07/01/2032 21,297 110.26 23,482 0.01
FREDDIE MAC 7.00% 01/01/2032 US 7.000 01/01/2032 18,847 108.83 20,510 0.01
FREDDIE MAC 7.00% 06/01/2026 US 7.000 06/01/2026 71,176 105.75 75,266 0.02
GE CAPITAL INTL 4.42% 11/15/2035 IE 4.420 11/15/2035 1,351,000 83.76 1,131,553 0.35
GEN MOTORS FIN 3.20% 07/06/2021 US 3.200 07/06/2021 925,000 97.68 903,546 0.28
GEN MOTORS FIN 3.20% 07/13/2020 US 3.200 07/13/2020 1,200,000 98.76 1,185,103 0.37
GEN MOTORS FIN 4.35% 04/09/2025 US 4.350 04/09/2025 555,000 94.75 525,838 0.16
GENERACION MEDIT 9.63% 07/27/2023 AR 9.630 07/27/2023 200,000 84.25 168,502 0.05
GENERAL MILLS IN 3.46% 10/17/2023 US 3.460 10/17/2023 985,000 97.68 962,115 0.30
GNR 2012-147 IO 0.56% 04/16/2054 US 0.560 04/16/2054 7,926,058 3.44 272,683 0.09
GNR 2016-113 IO 1.19% 02/16/2058 US 1.190 02/16/2058 4,310,795 9.08 391,400 0.12
GNR 2016-140 IO 0.93% 05/16/2058 US 0.930 05/16/2058 17,228,107 7.29 1,256,541 0.39
GOLDMAN SACHS GP 3.49% 07/24/2023 US 3.490 07/24/2023 1,100,000 97.17 1,068,857 0.33
GOLDMAN SACHS GP 3.69% 06/05/2028 US 3.690 06/05/2028 590,000 92.94 548,329 0.17
GOLDMAN SACHS GP 5.25% 07/27/2021 US 5.250 07/27/2021 740,000 103.81 768,188 0.24
GOVERNMENT NATIONAL MORTGAGE A 4.00% 02/20/2042 US 4.000 02/20/2042 28,480 103.28 29,414 0.01
GOVERNMENT NATIONAL MORTGAGE A 4.00% 08/20/2047 US 4.000 08/20/2047 90,373 93.48 84,483 0.03
GOVERNMENT NATIONAL MORTGAGE A 4.50% 12/20/2040 US 4.500 12/20/2040 2,750,000 104.35 2,869,590 0.90
GOVERNMENT NATIONAL MORTGAGE A 5.00% 04/20/2039 US 5.000 04/20/2039 1,657,834 106.20 1,760,602 0.55
GRUPO BIMBO SAB 4.50% 01/25/2022 MX 4.500 01/25/2022 1,340,000 101.85 1,364,792 0.43
GS MORTGAGE SECURITIES TRUST 3.54% 01/10/2043 US 3.540 01/10/2043 3,400,000 96.94 3,295,892 1.03
GS MORTGAGE SECURITIES TRUST 3.77% 10/10/2032 US 3.770 10/10/2032 595,000 100.69 599,083 0.19
HALFMOON PARENT 4.38% 10/15/2028 US 4.380 10/15/2028 1,078,000 100.56 1,084,016 0.34
HARVEST OPERATIO 4.20% 06/01/2023 CA 4.200 06/01/2023 200,000 102.63 205,258 0.06
HERTZ VEHICLE FINANCING LLC 2.65% 07/25/2022 US 2.650 07/25/2022 3,350,000 97.91 3,279,870 1.03
HERTZ VEHICLE FINANCING LLC 3.52% 03/25/2021 US 3.520 03/25/2021 1,100,000 99.50 1,094,515 0.34
HOME DEPOT INC 5.95% 04/01/2041 US 5.950 04/01/2041 960,000 122.71 1,178,026 0.37
HSBC HOLDINGS 3.90% 05/25/2026 GB 3.900 05/25/2026 1,080,000 95.82 1,034,861 0.32
HUDSON YARDS 2.84% 08/10/2038 US 2.840 08/10/2038 3,000,000 94.80 2,844,027 0.89
HUNGARY 5.38% 03/25/2024 HU 5.380 03/25/2024 750,000 107.03 802,725 0.25
HUNTINGTON BANCS 4.00% 05/15/2025 US 4.000 05/15/2025 1,400,000 100.52 1,407,314 0.44
IMPERIAL BRANDS 4.25% 07/21/2025 GB 4.250 07/21/2025 1,525,000 98.36 1,499,965 0.47
INDONESIA (REP) 3.85% 07/18/2027 ID 3.850 07/18/2027 300,000 95.02 285,061 0.09
INTEGRYS HLDG US -- -- 56,859 23.65 1,344,715 0.42
INTERPUBLIC GRP 3.75% 10/01/2021 US 3.750 10/01/2021 912,000 100.62 917,689 0.29
IVORY COAST-PDI 6.38% 03/03/2028 CI 6.380 03/03/2028 200,000 89.99 179,980 0.06
JAMAICA GOVT 8.00% 03/15/2039 JM 8.000 03/15/2039 150,000 114.38 171,563 0.05
JBS USA LUX/FIN 6.75% 02/15/2028 US 6.750 02/15/2028 200,000 97.50 195,000 0.06
JIMMY JOHN'S FUNDING LLC 3.61% 07/30/2047 US 3.610 07/30/2047 1,693,563 99.72 1,688,770 0.53
JP MORGAN CHASE COMMERCIAL MOR 2.85% 10/06/2038 US 2.850 10/06/2038 528,000 91.97 485,612 0.15
JP MORGAN MORTGAGE TRUST 3.84% 02/25/2035 US 3.840 02/25/2035 68,054 101.65 69,174 0.02
JP MORGAN MORTGAGE TRUST 3.95% 06/25/2036 US 3.950 06/25/2036 44,130 93.65 41,328 0.01
JP MORGAN MORTGAGE TRUST 4.05% 04/25/2035 US 4.050 04/25/2035 193,667 100.77 195,160 0.06
JPMORGAN CHASE 3.21% 04/23/2024 US 3.210 04/23/2024 630,000 96.61 608,672 0.19
JPMORGAN CHASE 3.25% 09/23/2022 US 3.250 09/23/2022 505,000 99.21 500,990 0.16
JPMORGAN CHASE 3.51% 01/23/2029 US 3.510 01/23/2029 975,000 94.69 923,231 0.29
KAZMUNAYGAS NAT 4.75% 04/19/2027 KZ 4.750 04/19/2027 500,000 97.25 486,231 0.15
KAZMUNAYGAS NAT 5.75% 04/19/2047 KZ 5.750 04/19/2047 400,000 95.20 380,800 0.12
KENYA REP OF 7.25% 02/28/2028 KE 7.250 02/28/2028 200,000 89.28 178,568 0.06
KIMCO REALTY 3.13% 06/01/2023 US 3.130 06/01/2023 740,000 96.72 715,726 0.22
KINDER MORGAN EN 3.50% 09/01/2023 US 3.500 09/01/2023 1,600,000 97.14 1,554,194 0.49
KRAFT FOODS GROU 6.88% 01/26/2039 US 6.880 01/26/2039 810,000 111.57 903,744 0.28
KROGER CO 5.00% 04/15/2042 US 5.000 04/15/2042 435,000 95.18 414,044 0.13
LLOYDS BK GR PLC 3.57% 11/07/2028 GB 3.570 11/07/2028 1,534,000 88.95 1,364,529 0.43
MADISON AVENUE TRUST 3.55% 09/10/2035 US 3.550 09/10/2035 550,000 97.53 536,436 0.17
MASTR ALTERNATIVE LOANS TRUST 6.00% 06/25/2034 US 6.000 06/25/2034 32,888 99.68 32,782 0.01
MICROSOFT CORP 3.50% 02/12/2035 US 3.500 02/12/2035 650,000 95.44 620,364 0.19
MID-AMER APT LP 3.75% 06/15/2024 US 3.750 06/15/2024 453,000 99.06 448,728 0.14
MIDCONTINENT EXP 6.70% 09/15/2019 US 6.700 09/15/2019 1,292,000 100.94 1,304,115 0.41
MID-STATE TRUST 7.08% 01/15/2040 US 7.080 01/15/2040 1,239,257 111.05 1,376,195 0.43
MONGOLIA 5.63% 05/01/2023 MN 5.630 05/01/2023 200,000 94.51 189,010 0.06
MOODY'S CORP 2.75% 12/15/2021 US 2.750 12/15/2021 591,000 98.07 579,592 0.18
MORGAN STANLEY 3.74% 04/24/2024 US 3.740 04/24/2024 850,000 99.15 842,762 0.26
MORGAN STANLEY 3.95% 04/23/2027 US 3.950 04/23/2027 955,000 94.28 900,369 0.28
NEWFIELD EXPLOR 5.38% 01/01/2026 US 5.380 01/01/2026 932,000 98.00 913,360 0.29
NEXTERA ENERGY 2.80% 01/15/2023 US 2.800 01/15/2023 894,000 96.50 862,741 0.27
NGPL PIPECO LLC 7.77% 12/15/2037 US 7.770 12/15/2037 1,045,000 114.00 1,191,300 0.37
NORTHWESTERN MUT 3.85% 09/30/2047 US 3.850 09/30/2047 1,100,000 90.56 996,110 0.31
NXP BV/NXP FUNDI 5.35% 03/01/2026 NL 5.350 03/01/2026 1,240,000 101.70 1,261,080 0.39
OMAN INTRNL BOND 4.13% 01/17/2023 OM 4.130 01/17/2023 250,000 91.60 229,000 0.07
OMAN INTRNL BOND 5.38% 03/08/2027 OM 5.380 03/08/2027 200,000 87.43 174,855 0.05
ONCOR ELECTRIC D 3.80% 09/30/2047 US 3.800 09/30/2047 945,000 94.57 893,654 0.28
ONTARIO PROVINCE 1.88% 05/21/2020 CA 1.880 05/21/2020 1,333,000 98.86 1,317,860 0.41
ORANGE LAKE TIMESHARE TRUST 2.61% 03/08/2029 US 2.610 03/08/2029 264,828 98.19 260,042 0.08
PACIFIC GAS&ELEC 4.65% 08/01/2028 US 4.650 08/01/2028 439,000 91.68 402,461 0.13
PACIFICORP 5.75% 04/01/2037 US 5.750 04/01/2037 1,422,000 119.38 1,697,550 0.53
PANAMA 3.75% 03/16/2025 PA 3.750 03/16/2025 200,000 99.05 198,102 0.06
PANAMA 4.50% 04/16/2050 PA 4.500 04/16/2050 200,000 95.75 191,500 0.06
PARAGUAY 4.63% 01/25/2023 PY 4.630 01/25/2023 200,000 100.15 200,300 0.06
PERTAMINA 6.45% 05/30/2044 ID 6.450 05/30/2044 200,000 104.27 208,531 0.07
PETROBRAS GLOB 5.30% 01/27/2025 NL 5.300 01/27/2025 200,000 95.50 191,000 0.06
PETROBRAS GLOB 7.38% 01/17/2027 NL 7.380 01/17/2027 550,000 102.75 565,125 0.18
PETROLEOS DEL PE 4.75% 06/19/2032 PE 4.750 06/19/2032 200,000 96.00 192,000 0.06
PETROLEOS DEL PE 5.63% 06/19/2047 PE 5.630 06/19/2047 200,000 97.80 195,600 0.06
PETROLEOS MEXICA 4.50% 01/23/2026 MX 4.500 01/23/2026 1,130,000 86.20 974,060 0.30
PETROLEOS MEXICA 4.88% 01/18/2024 MX 4.880 01/18/2024 200,000 93.20 186,400 0.06
PETROLEOS MEXICA 5.35% 02/12/2028 MX 5.350 02/12/2028 535,000 87.25 466,788 0.15
PETROLEOS MEXICA 5.50% 01/21/2021 MX 5.500 01/21/2021 250,000 99.60 248,993 0.08
PETROLEOS MEXICA 6.35% 02/12/2048 MX 6.350 02/12/2048 265,000 80.00 212,000 0.07
PETROLEOS MEXICA 6.38% 01/23/2045 MX 6.380 01/23/2045 200,000 80.50 161,000 0.05
PMT LOAN TRUST 3.50% 09/25/2043 US 3.500 09/25/2043 3,000,000 99.20 2,976,091 0.93
PMTLT 2013-J1 3.50% 09/25/2043 US 3.500 09/25/2043 2,085,139 98.94 2,062,968 0.65
PNC BANK NA 2.70% 11/01/2022 US 2.700 11/01/2022 1,130,000 97.18 1,098,078 0.34
PNG GOVT INTL BO 8.38% 10/04/2028 PG 8.380 10/04/2028 200,000 100.63 201,250 0.06
PRICELINE GROUP 3.60% 06/01/2026 US 3.600 06/01/2026 1,516,000 97.15 1,472,865 0.46
PROV OF SANTA FE 7.00% 03/23/2023 AR 7.000 03/23/2023 300,000 84.63 253,878 0.08
PRUDENTIAL FIN 5.63% 06/15/2043 US 5.630 06/15/2043 1,223,000 97.93 1,197,721 0.37
QUALCOMM INC 3.45% 05/20/2025 US 3.450 05/20/2025 1,400,000 96.21 1,346,986 0.42
QWEST CORP 6.75% 12/01/2021 US 6.750 12/01/2021 744,000 102.25 760,705 0.24
REP OF BELARUS 6.88% 02/28/2023 BY 6.880 02/28/2023 200,000 101.87 203,748 0.06
REP OF NIGERIA 5.63% 06/27/2022 NG 5.630 06/27/2022 200,000 96.77 193,544 0.06
REP OF NIGERIA 6.38% 07/12/2023 NG 6.380 07/12/2023 200,000 95.86 191,717 0.06
REP OF NIGERIA 7.88% 02/16/2032 NG 7.880 02/16/2032 400,000 90.62 362,489 0.11
REP OF PAKISTAN 7.88% 03/31/2036 PK 7.880 03/31/2036 300,000 88.95 266,850 0.08
REP OF POLAND 3.25% 04/06/2026 PL 3.250 04/06/2026 300,000 97.90 293,704 0.09
REP OF POLAND 4.00% 01/22/2024 PL 4.000 01/22/2024 200,000 102.30 204,601 0.06
REP OF SRI LANKA 6.13% 06/03/2025 LK 6.130 06/03/2025 375,000 89.76 336,617 0.11
REPUBLIC OF AZER 4.75% 03/18/2024 AZ 4.750 03/18/2024 500,000 99.48 497,398 0.16
REPUBLIC OF ECUA 10.50% 03/24/2020 EC 10.500 03/24/2020 300,000 100.75 302,250 0.09
RESIDENTIAL ASSET SECURITIES C 5.96% 09/25/2031 US 5.960 09/25/2031 917 102.61 941 0.00
RESIDENTIAL ASSET SECURITIZATI 6.00% 04/25/2036 US 6.000 04/25/2036 174,212 73.63 128,264 0.04
REYNOLDS AMERICA 4.45% 06/12/2025 US 4.450 06/12/2025 1,114,000 96.42 1,074,157 0.34
ROMANIA 4.88% 01/22/2024 RO 4.880 01/22/2024 250,000 102.63 256,563 0.08
SBA TOWER TRUST 2.90% 10/15/2019 US 2.900 10/15/2019 334,000 99.41 332,031 0.10
SBSN INDO III 4.35% 09/10/2024 ID 4.350 09/10/2024 300,000 99.25 297,750 0.09
SEQUOIA MORTGAGE TRUST 3.50% 02/25/2047 US 3.500 02/25/2047 3,199,559 98.00 3,135,443 0.98
SEQUOIA MORTGAGE TRUST 3.50% 02/25/2047 US 3.500 02/25/2047 3,291,281 98.72 3,249,241 1.02
SEQUOIA MORTGAGE TRUST 3.51% 05/25/2043 US 3.510 05/25/2043 547,629 100.37 549,650 0.17
SEQUOIA MORTGAGE TRUST 3.56% 08/25/2043 US 3.560 08/25/2043 559,114 99.66 557,199 0.17
SEQUOIA MORTGAGE TRUST 3.65% 02/25/2043 US 3.650 02/25/2043 305,756 100.29 306,637 0.10
SEQUOIA MORTGAGE TRUST 3.65% 02/25/2043 US 3.650 02/25/2043 358,499 100.79 361,336 0.11
SEQUOIA MORTGAGE TRUST 4.08% 07/25/2044 US