Touchstone Ultra Short Duration Fixed Income Fund

Touchstone Ultra Short Duration Fixed Income Fund

Daily NAV
$
Overall Morningstar RatingTM
Ultrashort Bond

Morningstar

Overall Morningstar RatingTM is calculated against 144 funds in the Ultrashort 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 maximum total return consistent with the preservation of capital by investing primarily in fixed income securities.

Ultra Short Duration Fixed Income Fund Commentary

Investment Style

  • Selects fixed income securities believed to be attractively priced relative to the market or to similar securities
  • Conducts a disciplined approach focused on security selection and research
  • Invests only in investment grade debt securities
  • Avoids higher risk strategies, such as non-dollar currencies and lower quality credits
  • While the fund may invest in securities with any maturity or duration, interest rate risk is managed by maintaining an effective duration of one year or less under normal market conditions
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 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 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 repurchase agreements which are considered loans by the Fund and may suffer a loss of principal and interest in the event of counterparty defaults. The Fund invests in municipal securities which may be affected by uncertainties in the municipal market related to legislation or litigation involving the taxation of municipal securities or the rights of municipal security holders in the event of bankruptcy and may not be able to meet their obligations. 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 $924,650,986
Asset Class Income
Morningstar Category Ultrashort Bond
Benchmark ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Benchmark 2 ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index
Distribution Frequency Monthly
Portfolio Turnover Rate
Fiscal Year End
Prospectus Date 01/30/2018

Performance

Daily Returns as of
NAV NAV $ Change
Touchstone Ultra Short Duration Fixed Income 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 Ultra Short Duration Fixed Income Fund -
Including Sales Charge
Touchstone Ultra Short Duration Fixed Income Fund -
Excluding Sales Charge
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index 0.15% 0.49% 1.30% 1.59% 0.84% 0.52% 0.34% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 0.06% 0.41% 1.07% 1.08% 0.74% 0.55% 0.71% --
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 Z Shares are sold at Net Asset Value (NAV), without an initial sales charge and may be subject to a shareholder service fee. Class Z Shares are available through a financial intermediary or through financial institutions such as retirement plans, fee-based platforms, and brokerage accounts (who may impose transaction charges in addition to those described in the prospectus). Class Z Shares are not available directly from Touchstone and may not be available through certain financial intermediaries who do not have appropriate agreements in place with Touchstone.
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.
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 S Shares are sold at net asset value (NAV), without an initial sales charge and are not subject to contingent deferred sales charges, but do contain an embedded 12b-1 fee.
The performance presented for Class A, C, Y, INST and S Shares combines the performance of an older class of shares (Z Shares) from the Fund's inception, 03/01/94, 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 Ultra Short Duration Fixed Income Fund -
Including Sales Charge
Touchstone Ultra Short Duration Fixed Income Fund -
Excluding Sales Charge
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index 1.59% 0.84% 0.52% 0.34% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 1.08% 0.74% 0.55% 0.71% --
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 Z Shares are sold at Net Asset Value (NAV), without an initial sales charge and may be subject to a shareholder service fee. Class Z Shares are available through a financial intermediary or through financial institutions such as retirement plans, fee-based platforms, and brokerage accounts (who may impose transaction charges in addition to those described in the prospectus). Class Z Shares are not available directly from Touchstone and may not be available through certain financial intermediaries who do not have appropriate agreements in place with Touchstone.
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.
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 S Shares are sold at net asset value (NAV), without an initial sales charge and are not subject to contingent deferred sales charges, but do contain an embedded 12b-1 fee.
The performance presented for Class A, C, Y, INST and S Shares combines the performance of an older class of shares (Z Shares) from the Fund's inception, 03/01/94, with the performance since the inception date of each share class.

Consider Touchstone Ultra Short Duration Fixed Income Fund for Your Portfolio

Touchstone Ultra Short Duration Fixed Income Fund invests primarily in fixed income securities believed to be attractively priced relative to the market or similar securities. It seeks a maximum total return consistent with the preservation of capital.
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Portfolio

as of 09/30/2018
Number of Holdings
354
Weighted Average Effective Maturity
1.35 Years
Weighted Average Effective Duration
0.57 Years
as of 09/30/2018
Credit Quality % of Portfolio
AAA/Aaa 35.8
AA/Aa 12.0
A/A 15.2
BBB/Baa 18.7
BB/Ba 0.0
B/B 0.0
< B/B 0.1
Cash Equivalents 8.5
Not Rated 9.7
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
Asset Backed Securities 34.0
U.S. Corporate 26.1
Non-Agency CMBS 13.7
Cash Equivalents 8.5
U.S. Agency/MBS/CMBS 6.2
Non-Agency MBS 5.5
International 4.7
Municipal 1.2
U.S. Treasury 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
LGE 10/02/18 CP 10/02/2018 1.8
DISCOVER BANK 2.60% 11/13/2018 1.7
ROCKWALL CDO 3.36% 08/01/2024 1.6
AVYPP 10/01/18 CP 10/01/2018 1.6
JPMORGAN CHASE 1.85% 03/22/2019 1.6
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
A10 SECURITIZATION 2.91% 03/15/2036 US 2.910 03/15/2036 4,466,577 100.00 4,466,571 0.47
ACE SECURITIES CORP. 2.58% 10/25/2035 US 2.580 10/25/2035 6,581,616 100.05 6,584,837 0.70
ALLY AUTO RECEIVABLES TRUST 2.26% 10/15/2020 US 2.260 10/15/2020 2,500,000 99.85 2,496,239 0.26
AMERICAN CREDIT ACCEPTANCE REC 2.00% 07/10/2020 US 2.000 07/10/2020 2,779,569 99.85 2,775,432 0.29
AMERICAN CREDIT ACCEPTANCE REC 2.11% 02/12/2021 US 2.110 02/12/2021 717,572 99.97 717,346 0.08
AMERICAN CREDIT ACCEPTANCE REC 2.25% 01/11/2021 US 2.250 01/11/2021 3,830,000 99.88 3,825,450 0.41
AMERICAN CREDIT ACCEPTANCE REC 2.46% 04/12/2021 US 2.460 04/12/2021 5,675,363 99.94 5,671,904 0.60
AMERICAN CREDIT ACCEPTANCE REC 2.87% 08/12/2022 US 2.870 08/12/2022 755,163 100.05 755,551 0.08
AMERICAN CREDIT ACCEPTANCE REC 5.38% 03/14/2022 US 5.380 03/14/2022 1,570,000 100.29 1,574,515 0.17
AMERICREDIT AUTOMOBILE RECEIVA 2.57% 07/08/2020 US 2.570 07/08/2020 5,970,000 99.98 5,968,912 0.63
AMERICREDIT AUTOMOBILE RECEIVA 3.00% 06/08/2021 US 3.000 06/08/2021 3,179,000 99.99 3,178,802 0.34
AMGEN INC 1.90% 05/10/2019 US 1.900 05/10/2019 2,100,000 99.48 2,089,020 0.22
AMGEN INC 2.20% 05/11/2020 US 2.200 05/11/2020 2,100,000 98.57 2,070,029 0.22
AREIT 2018-CRE1 TRUST 2.98% 02/15/2035 US 2.980 02/15/2035 8,673,681 100.05 8,678,103 0.92
ARES CAPITAL COR 4.88% 11/30/2018 US 4.880 11/30/2018 10,000,000 100.31 10,031,000 1.06
ASCENTIUM EQUIPMENT RECEIVABLE 1.87% 07/10/2019 US 1.870 07/10/2019 1,106,797 99.88 1,105,418 0.12
ASCENTIUM EQUIPMENT RECEIVABLE 2.00% 05/11/2020 US 2.000 05/11/2020 3,356,822 99.49 3,339,535 0.35
ASCENTIUM EQUIPMENT RECEIVABLE 3.44% 10/12/2021 US 3.440 10/12/2021 2,294,000 100.05 2,295,246 0.24
ATTINC 12/06/18 CP 12/06/2018 US -- 12/06/2018 15,000,000 99.50 14,925,681 1.58
AVERY POINT CLO LTD 3.84% 01/15/2028 KY 3.840 01/15/2028 5,000,000 100.09 5,004,430 0.53
AVIS BUDGET RENTAL CAR FUNDING 2.46% 07/20/2020 US 2.460 07/20/2020 8,485,000 99.74 8,462,690 0.90
AVIS BUDGET RENTAL CAR FUNDING 3.29% 02/20/2021 US 3.290 02/20/2021 8,960,000 99.52 8,917,343 0.95
AVIS BUDGET RENTAL CAR FUNDING 3.66% 02/20/2020 US 3.660 02/20/2020 3,541,667 100.10 3,545,305 0.38
AVYPP 10/01/18 CP 10/01/2018 US -- 10/01/2018 15,000,000 99.98 14,997,087 1.59
BANK ONE CORP 8.53% 03/01/2019 US 8.530 03/01/2019 700,000 102.26 715,840 0.08
BAYER US FIN II 1.85% 11/15/2018 US 1.850 11/15/2018 1,800,000 99.89 1,798,102 0.19
BB&T CORPORATION 2.15% 02/01/2021 US 2.150 02/01/2021 7,000,000 97.60 6,832,117 0.72
BEAR STEARNS ADJUSTABLE RATE M 3.89% 04/25/2034 US 3.890 04/25/2034 248,390 100.46 249,528 0.03
BEAR STEARNS ADJUSTABLE RATE M 3.98% 04/25/2033 US 3.980 04/25/2033 2,111,276 101.52 2,143,393 0.23
BEAR STEARNS ASSET BACKED SECU 2.87% 03/25/2035 US 2.870 03/25/2035 3,687,394 99.43 3,666,270 0.39
BEAR STEARNS ASSET BACKED SECU 5.75% 01/25/2034 US 5.750 01/25/2034 190,936 100.61 192,106 0.02
BLUE VIRGO 3.00% 12/15/2022 US 3.000 12/15/2022 979,410 100.00 979,410 0.10
BRIT SKY BROADCA 2.63% 09/16/2019 GB 2.630 09/16/2019 1,405,000 99.52 1,398,190 0.15
BROOKHAVEN NY INDL DEV AGY 2.19% 01/01/2025 US 2.190 01/01/2025 3,000,000 100.00 3,000,000 0.32
BSPRT 2017-FL1 ISSUER LTD 2.98% 12/15/2027 US 2.980 12/15/2027 2,414,028 99.94 2,412,513 0.26
BSPRT 2017-FL1 ISSUER LTD 3.26% 12/15/2027 US 3.260 12/15/2027 3,219,000 99.97 3,217,952 0.34
BSPRT 2017-FL1 ISSUER LTD 3.41% 06/15/2027 KY 3.410 06/15/2027 1,661,896 100.19 1,665,008 0.18
BSPRT 2018-FL4 ISSUER LTD. 0.01% 09/15/2035 KY 0.010 09/15/2035 10,000,000 100.06 10,006,236 1.06
BX TRUST 3.11% 10/15/2032 US 3.110 10/15/2032 4,170,000 100.10 4,173,977 0.44
CABOTC 10/01/18 CP 10/01/2018 US -- 10/01/2018 11,850,000 99.98 11,847,685 1.26
CALIFORNIA ST ENTERPRISE DEV A 2.41% 09/01/2041 US 2.410 09/01/2041 2,010,000 100.00 2,010,000 0.21
CALIFORNIA ST INFRASTRUCTURE & 1.63% 12/01/2039 US 1.630 12/01/2039 1,885,000 100.00 1,885,000 0.20
CAPITAL AUTO RECEIVABLES ASSET 3.94% 04/20/2023 US 3.940 04/20/2023 5,710,000 100.06 5,713,480 0.61
CAPITAL AUTO RECEIVABLES ASSET 4.50% 01/22/2024 US 4.500 01/22/2024 5,250,000 100.77 5,290,388 0.56
CARNOW AUTO RECEIVABLES TRUST 2.92% 09/15/2022 US 2.920 09/15/2022 1,542,779 99.54 1,535,618 0.16
CATHIA 10/10/18 CP 10/10/2018 US -- 10/10/2018 6,600,000 99.93 6,595,175 0.70
CAZENOVIA CREEK FUNDING LLC 2.00% 12/10/2023 US 2.000 12/10/2023 269,318 99.43 267,774 0.03
CCG RECEIVABLES TRUST 1.84% 11/14/2023 US 1.840 11/14/2023 3,406,558 99.20 3,379,317 0.36
CD COMMERCIAL MORTGAGE TRUST 5.65% 10/15/2048 US 5.650 10/15/2048 3,423,319 102.91 3,523,058 0.37
CFC LLC 1.75% 06/15/2021 US 1.750 06/15/2021 44,532 99.93 44,500 0.00
CFC LLC 5.93% 08/15/2019 US 5.930 08/15/2019 150,389 100.02 150,417 0.02
CFC LLC 7.86% 10/15/2020 US 7.860 10/15/2020 7,720,000 100.03 7,722,280 0.82
CHRYSLER CAPITAL AUTO RECEIVAB 3.26% 04/15/2021 US 3.260 04/15/2021 4,945,000 100.12 4,951,128 0.52
CITIBANK NA 2.68% 03/20/2019 US 2.680 03/20/2019 6,050,000 100.12 6,057,423 0.64
CITIGROUP COMMERCIAL MORTGAGE 3.34% 07/15/2027 US 3.340 07/15/2027 2,530,000 100.00 2,529,945 0.27
CMCSA 10/09/18 CP 10/09/2018 US -- 10/09/2018 12,300,000 99.93 12,290,886 1.30
COMM MORTGAGE TRUST 1.44% 06/10/2047 US 1.440 06/10/2047 44,316,719 4.42 1,958,684 0.21
COMM MORTGAGE TRUST 2.97% 08/10/2046 US 2.970 08/10/2046 311,633 98.50 306,944 0.03
COMMERCIAL MORTGAGE TRUST 3.78% 10/15/2018 US 3.780 10/15/2018 3,943,034 100.00 3,943,035 0.42
COMMONWEALTH REI 5.88% 09/15/2020 US 5.880 09/15/2020 2,250,000 102.83 2,313,635 0.25
COMMUNITY PROGRAM LOAN TRUST 4.50% 04/01/2029 US 4.500 04/01/2029 53,119 99.72 52,971 0.01
CONN FUNDING II L.P 2.73% 07/15/2020 US 2.730 07/15/2020 1,057,836 99.99 1,057,695 0.11
CONN FUNDING II L.P 3.25% 01/15/2023 US 3.250 01/15/2023 4,968,140 100.00 4,968,048 0.53
CONSTELLATION BR 3.88% 11/15/2019 US 3.880 11/15/2019 1,239,000 100.82 1,249,217 0.13
COOPER US INC 3.88% 12/15/2020 US 3.880 12/15/2020 9,700,000 100.97 9,794,304 1.04
CRED SUIS GP FUN 3.13% 12/10/2020 GG 3.130 12/10/2020 300,000 99.19 297,576 0.03
CREDIT AGRICOLE 2.75% 06/10/2020 FR 2.750 06/10/2020 5,000,000 98.87 4,943,715 0.52
CREDIT SUISSE MORTGAGE TRUST 3.00% 09/25/2044 US 3.000 09/25/2044 1,735,769 100.54 1,745,138 0.19
CREDIT SUISSE MORTGAGE TRUST 3.00% 10/25/2044 US 3.000 10/25/2044 4,485,028 99.70 4,471,705 0.47
CREDIT SUISSE MORTGAGE TRUST 3.38% 02/25/2042 US 3.380 02/25/2042 88,914 99.90 88,828 0.01
CROWN CASTLE TOW 3.22% 05/15/2022 US 3.220 05/15/2022 2,040,000 97.82 1,995,610 0.21
DBUBS MORTGAGE TRUST 3.49% 07/12/2044 US 3.490 07/12/2044 648,973 101.08 655,971 0.07
DELL EQUIPMENT FINANCE TRUST 2.03% 07/22/2021 US 2.030 07/22/2021 2,775,000 99.88 2,771,622 0.29
DELL EQUIPMENT FINANCE TRUST 2.14% 04/22/2022 US 2.140 04/22/2022 2,625,000 99.66 2,616,023 0.28
DELL EQUIPMENT FINANCE TRUST 2.53% 07/22/2021 US 2.530 07/22/2021 1,425,000 99.90 1,423,553 0.15
DELL EQUIPMENT FINANCE TRUST 3.24% 07/22/2022 US 3.240 07/22/2022 1,800,000 100.09 1,801,651 0.19
DIAMOND 1 FIN/DI 3.48% 06/01/2019 US 3.480 06/01/2019 6,200,000 100.25 6,215,666 0.66
DIGNITY HEALTH 2.64% 11/01/2019 US 2.640 11/01/2019 7,700,000 99.38 7,652,025 0.81
DISCOVER BANK 2.60% 11/13/2018 US 2.600 11/13/2018 15,615,000 99.99 15,613,888 1.66
DISCOVERY COMMUN 2.20% 09/20/2019 US 2.200 09/20/2019 4,595,000 99.22 4,559,027 0.48
DOMINION ENERGY 2.58% 07/01/2020 US 2.580 07/01/2020 3,000,000 98.66 2,959,664 0.31
DOMINION RES 1.50% 09/30/2018 US 1.500 09/30/2018 825,000 100.00 825,000 0.09
DOMINION RES 1.88% 12/15/2018 US 1.880 12/15/2018 360,000 99.83 359,402 0.04
DREYFUS-GOV C-IN US -- -- 99,761 1.00 99,761 0.01
DRIVE AUTO RECEIVABLES TRUST 1.85% 04/15/2020 US 1.850 04/15/2020 616,003 99.93 615,597 0.07
DRIVE AUTO RECEIVABLES TRUST 2.25% 06/15/2021 US 2.250 06/15/2021 1,950,573 99.94 1,949,331 0.21
DRIVE AUTO RECEIVABLES TRUST 2.30% 05/17/2021 US 2.300 05/17/2021 4,400,000 99.85 4,393,289 0.47
DT AUTO OWNER TRUST 4.25% 02/15/2022 US 4.250 02/15/2022 7,123,607 100.58 7,164,829 0.76
DT AUTO OWNER TRUST 4.47% 11/15/2021 US 4.470 11/15/2021 5,585,921 100.22 5,598,143 0.59
DUKE ENERGY FLA 2.10% 12/15/2019 US 2.100 12/15/2019 3,125,000 99.40 3,106,174 0.33
DUPONT EI NEMOUR 2.20% 05/01/2020 US 2.200 05/01/2020 2,700,000 98.69 2,664,555 0.28
EDWARDS LIFE 2.88% 10/15/2018 US 2.880 10/15/2018 1,000,000 100.01 1,000,094 0.11
ELARA HGV TIMESHARE ISSUER 2.53% 02/25/2027 US 2.530 02/25/2027 528,047 97.82 516,526 0.05
ELEC DE FRANCE 2.15% 01/22/2019 FR 2.150 01/22/2019 7,692,000 99.83 7,679,225 0.81
ETRCP 11/19/18 CP 11/19/2018 US -- 11/19/2018 15,000,000 99.62 14,942,324 1.58
EXETER AUTOMOBILE RECEIVABLES 2.05% 12/15/2021 US 2.050 12/15/2021 615,608 99.53 612,689 0.06
EXETER AUTOMOBILE RECEIVABLES 3.85% 05/17/2021 US 3.850 05/17/2021 1,522,295 100.36 1,527,701 0.16
EXETER AUTOMOBILE RECEIVABLES 4.17% 06/15/2020 US 4.170 06/15/2020 4,422,044 100.51 4,444,626 0.47
FANNIE MAE 1.50% 09/25/2027 US 1.500 09/25/2027 228,413 94.58 216,028 0.02
FANNIE MAE 2.50% 03/25/2026 US 2.500 03/25/2026 1,775,056 99.28 1,762,361 0.19
FANNIE MAE 2.72% 09/25/2033 US 2.720 09/25/2033 259,544 100.38 260,520 0.03
FANNIE MAE 3.00% 05/25/2022 US 3.000 05/25/2022 2,217,942 4.07 90,307 0.01
FANNIE MAE 3.00% 12/25/2020 US 3.000 12/25/2020 4,412,374 99.83 4,404,950 0.47
FANNIE MAE 3.28% 04/01/2035 US 3.280 04/01/2035 149,747 102.54 153,556 0.02
FANNIE MAE 3.41% 10/01/2033 US 3.410 10/01/2033 41,572 103.37 42,971 0.00
FANNIE MAE 3.44% 10/01/2034 US 3.440 10/01/2034 38,012 104.78 39,828 0.00
FANNIE MAE 3.46% 08/01/2037 US 3.460 08/01/2037 119,539 101.37 121,175 0.01
FANNIE MAE 3.52% 01/01/2035 US 3.520 01/01/2035 142,723 104.16 148,663 0.02
FANNIE MAE 3.64% 02/01/2037 US 3.640 02/01/2037 76,116 105.34 80,181 0.01
FANNIE MAE 3.68% 04/01/2033 US 3.680 04/01/2033 74,268 105.41 78,288 0.01
FANNIE MAE 3.69% 09/01/2034 US 3.690 09/01/2034 107,382 102.67 110,251 0.01
FANNIE MAE 3.70% 02/01/2033 US 3.700 02/01/2033 45,463 104.14 47,346 0.01
FANNIE MAE 3.73% 04/01/2036 US 3.730 04/01/2036 45,697 104.62 47,809 0.01
FANNIE MAE 3.77% 04/01/2036 US 3.770 04/01/2036 876,407 104.96 919,898 0.10
FANNIE MAE 3.78% 05/01/2035 US 3.780 05/01/2035 43,261 104.91 45,384 0.00
FANNIE MAE 3.82% 02/01/2034 US 3.820 02/01/2034 144,888 105.11 152,297 0.02
FANNIE MAE 3.85% 03/01/2035 US 3.850 03/01/2035 31,924 105.22 33,591 0.00
FANNIE MAE 3.87% 09/01/2037 US 3.870 09/01/2037 450,947 103.41 466,325 0.05
FANNIE MAE 3.88% 02/01/2037 US 3.880 02/01/2037 2,329,697 103.18 2,403,892 0.25
FANNIE MAE 3.88% 04/01/2035 US 3.880 04/01/2035 100,794 104.97 105,805 0.01
FANNIE MAE 3.90% 05/01/2035 US 3.900 05/01/2035 314,518 103.50 325,523 0.03
FANNIE MAE 3.91% 04/01/2033 US 3.910 04/01/2033 110,135 104.51 115,104 0.01
FANNIE MAE 3.91% 05/01/2034 US 3.910 05/01/2034 70,252 103.42 72,653 0.01
FANNIE MAE 3.93% 04/01/2036 US 3.930 04/01/2036 287,053 105.53 302,938 0.03
FANNIE MAE 3.95% 08/01/2036 US 3.950 08/01/2036 27,572 103.93 28,657 0.00
FANNIE MAE 3.99% 04/01/2034 US 3.990 04/01/2034 807,248 104.36 842,443 0.09
FANNIE MAE 4.00% 04/01/2023 US 4.000 04/01/2023 193,448 102.06 197,431 0.02
FANNIE MAE 4.00% 05/25/2033 US 4.000 05/25/2033 55,246 101.69 56,179 0.01
FANNIE MAE 4.00% 07/01/2026 US 4.000 07/01/2026 145,191 102.16 148,328 0.02
FANNIE MAE 4.00% 08/01/2026 US 4.000 08/01/2026 157,970 102.17 161,403 0.02
FANNIE MAE 4.00% 10/01/2020 US 4.000 10/01/2020 41,006 102.06 41,850 0.00
FANNIE MAE 4.00% 11/25/2033 US 4.000 11/25/2033 175,653 100.67 176,835 0.02
FANNIE MAE 4.01% 01/01/2035 US 4.010 01/01/2035 687,680 103.34 710,619 0.08
FANNIE MAE 4.01% 01/01/2040 US 4.010 01/01/2040 103,732 102.13 105,944 0.01
FANNIE MAE 4.25% 03/25/2025 US 4.250 03/25/2025 16,163 100.42 16,232 0.00
FANNIE MAE 4.25% 05/25/2033 US 4.250 05/25/2033 64,264 101.08 64,956 0.01
FANNIE MAE 4.28% 09/01/2035 US 4.280 09/01/2035 117,407 105.70 124,093 0.01
FANNIE MAE 4.47% 06/01/2035 US 4.470 06/01/2035 36,894 104.88 38,695 0.00
FANNIE MAE 4.50% 05/01/2019 US 4.500 05/01/2019 56,955 101.28 57,683 0.01
FANNIE MAE 4.50% 07/25/2021 US 4.500 07/25/2021 1,018,462 100.34 1,021,935 0.11
FANNIE MAE 4.50% 12/01/2040 US 4.500 12/01/2040 138,072 104.01 143,607 0.02
FANNIE MAE 5.00% 04/01/2024 US 5.000 04/01/2024 19,898 103.72 20,637 0.00
FANNIE MAE 5.00% 04/01/2041 US 5.000 04/01/2041 139,819 106.40 148,771 0.02
FANNIE MAE 5.00% 05/01/2035 US 5.000 05/01/2035 25,628 106.17 27,208 0.00
FANNIE MAE 5.00% 07/01/2037 US 5.000 07/01/2037 66,899 106.17 71,025 0.01
FANNIE MAE 5.00% 07/01/2041 US 5.000 07/01/2041 258,228 106.38 274,694 0.03
FANNIE MAE 5.00% 09/01/2033 US 5.000 09/01/2033 130,578 106.17 138,638 0.01
FANNIE MAE 5.00% 10/01/2040 US 5.000 10/01/2040 82,803 106.40 88,101 0.01
FANNIE MAE 5.25% 05/25/2039 US 5.250 05/25/2039 520,937 102.31 532,958 0.06
FANNIE MAE 5.50% 01/01/2019 US 5.500 01/01/2019 5,170 99.98 5,170 0.00
FANNIE MAE 5.50% 03/01/2020 US 5.500 03/01/2020 8 99.99 8 0.00
FANNIE MAE 5.50% 04/01/2034 US 5.500 04/01/2034 148,399 108.01 160,291 0.02
FANNIE MAE 5.50% 04/01/2038 US 5.500 04/01/2038 5,124 108.66 5,568 0.00
FANNIE MAE 5.50% 04/01/2040 US 5.500 04/01/2040 8,929 109.48 9,776 0.00
FANNIE MAE 5.50% 05/01/2038 US 5.500 05/01/2038 33,314 102.72 34,219 0.00
FANNIE MAE 5.50% 06/01/2026 US 5.500 06/01/2026 62,627 106.69 66,820 0.01
FANNIE MAE 5.50% 12/01/2037 US 5.500 12/01/2037 39,395 107.45 42,329 0.00
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 79,549 109.98 87,489 0.01
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 78,974 110.92 87,601 0.01
FANNIE MAE 6.00% 08/01/2027 US 6.000 08/01/2027 106,346 107.99 114,845 0.01
FANNIE MAE 6.00% 09/01/2019 US 6.000 09/01/2019 7,318 100.54 7,358 0.00
FANNIE MAE 6.50% 10/01/2021 US 6.500 10/01/2021 145,129 101.95 147,955 0.02
FANNIE MAE 7.00% 05/01/2024 US 7.000 05/01/2024 1,868 105.43 1,969 0.00
FANNIE MAE 7.00% 11/01/2018 US 7.000 11/01/2018 102 99.94 102 0.00
FANNIE MAE 7.45% 08/01/2022 US 7.450 08/01/2022 45,165 101.52 45,850 0.00
FANNIE MAE 7.50% 06/01/2031 US 7.500 06/01/2031 49,016 101.87 49,932 0.01
FANNIE MAE 7.50% 07/01/2029 US 7.500 07/01/2029 24,174 112.56 27,209 0.00
FANNIE MAE 8.25% 04/01/2022 US 8.250 04/01/2022 4,102 100.15 4,108 0.00
FANNIEMAE WHOLE LOAN 6.11% 02/25/2032 US 6.110 02/25/2032 142,031 109.45 155,450 0.02
FDIC STRUCTURED SALE GUARANTEE 2.74% 12/03/2020 US 2.740 12/03/2020 45,517 98.41 44,792 0.00
FHMS 0.27% 09/25/2020 US 0.270 09/25/2020 115,806,481 0.18 206,634 0.02
FHMS KAIV 1.28% 06/25/2021 US 1.280 06/25/2021 127,972,880 2.57 3,295,046 0.35
FIDELITY NATIONA 3.63% 10/15/2020 US 3.630 10/15/2020 600,000 100.56 603,340 0.06
FIRST INVESTORS AUTO OWNER TRU 1.53% 11/16/2020 US 1.530 11/16/2020 128,431 99.93 128,338 0.01
FIRST INVESTORS AUTO OWNER TRU 3.47% 02/15/2021 US 3.470 02/15/2021 5,410,000 100.15 5,418,201 0.57
FLAGSHIP CREDIT AUTO TRUST 2.43% 06/15/2021 US 2.430 06/15/2021 1,630,000 99.53 1,622,407 0.17
FLORIDA GAS TRAN 7.90% 05/15/2019 US 7.900 05/15/2019 686,000 102.98 706,421 0.07
FLORIDA ST BRD OF ADMIN FIN CO 2.16% 07/01/2019 US 2.160 07/01/2019 5,000,000 99.66 4,983,000 0.53
FORD MOTOR CRED 5.88% 08/02/2021 US 5.880 08/02/2021 1,600,000 104.58 1,673,333 0.18
FRANCE TELECOM 5.38% 07/08/2019 FR 5.380 07/08/2019 2,420,000 101.90 2,466,020 0.26
FREDDIE MAC 1.25% 08/15/2027 US 1.250 08/15/2027 3,064,077 91.12 2,792,021 0.30
FREDDIE MAC 2.46% 03/15/2034 US 2.460 03/15/2034 316,756 99.94 316,567 0.03
FREDDIE MAC 3.00% 06/15/2021 US 3.000 06/15/2021 1,078,635 99.68 1,075,158 0.11
FREDDIE MAC 3.50% 11/01/2034 US 3.500 11/01/2034 118,869 104.76 124,531 0.01
FREDDIE MAC 3.57% 01/01/2037 US 3.570 01/01/2037 74,560 104.35 77,807 0.01
FREDDIE MAC 3.66% 12/01/2036 US 3.660 12/01/2036 356,168 104.73 373,020 0.04
FREDDIE MAC 3.78% 04/01/2035 US 3.780 04/01/2035 196,993 105.38 207,584 0.02
FREDDIE MAC 3.84% 04/01/2035 US 3.840 04/01/2035 106,149 105.21 111,680 0.01
FREDDIE MAC 3.84% 11/01/2037 US 3.840 11/01/2037 92,037 104.61 96,276 0.01
FREDDIE MAC 3.85% 11/01/2036 US 3.850 11/01/2036 519,403 105.36 547,229 0.06
FREDDIE MAC 3.85% 11/01/2036 US 3.850 11/01/2036 392,208 105.46 413,623 0.04
FREDDIE MAC 3.88% 04/01/2037 US 3.880 04/01/2037 236,455 105.32 249,035 0.03
FREDDIE MAC 3.96% 04/01/2037 US 3.960 04/01/2037 412,866 105.40 435,173 0.05
FREDDIE MAC 3.97% 01/01/2036 US 3.970 01/01/2036 911,504 105.21 958,967 0.10
FREDDIE MAC 4.00% 06/15/2032 US 4.000 06/15/2032 18,565 99.59 18,489 0.00
FREDDIE MAC 4.00% 10/01/2019 US 4.000 10/01/2019 43,919 102.10 44,839 0.00
FREDDIE MAC 4.03% 08/01/2035 US 4.030 08/01/2035 47,527 105.08 49,941 0.01
FREDDIE MAC 4.06% 05/01/2036 US 4.060 05/01/2036 159,579 105.48 168,324 0.02
FREDDIE MAC 4.06% 11/01/2036 US 4.060 11/01/2036 220,347 105.23 231,872 0.02
FREDDIE MAC 4.09% 03/01/2034 US 4.090 03/01/2034 51,446 105.69 54,372 0.01
FREDDIE MAC 4.10% 01/01/2036 US 4.100 01/01/2036 139,367 104.61 145,786 0.02
FREDDIE MAC 4.12% 04/01/2034 US 4.120 04/01/2034 437,960 104.91 459,479 0.05
FREDDIE MAC 4.25% 12/15/2019 US 4.250 12/15/2019 9,587 100.08 9,594 0.00
FREDDIE MAC 4.33% 07/01/2036 US 4.330 07/01/2036 175,772 105.42 185,292 0.02
FREDDIE MAC 4.35% 06/01/2035 US 4.350 06/01/2035 102,800 105.07 108,014 0.01
FREDDIE MAC 4.51% 09/01/2036 US 4.510 09/01/2036 344,288 105.35 362,717 0.04
FREDDIE MAC 4.54% 07/01/2035 US 4.540 07/01/2035 234,648 105.30 247,076 0.03
FREDDIE MAC 4.68% 08/01/2037 US 4.680 08/01/2037 155,562 104.70 162,875 0.02
FREDDIE MAC 4.69% 03/01/2036 US 4.690 03/01/2036 274,899 107.15 294,558 0.03
FREDDIE MAC 5.00% 07/01/2035 US 5.000 07/01/2035 41,180 106.09 43,688 0.00
FREDDIE MAC 5.00% 10/01/2020 US 5.000 10/01/2020 209,097 101.73 212,718 0.02
FREDDIE MAC 5.00% 10/01/2020 US 5.000 10/01/2020 136,166 101.61 138,361 0.01
FREDDIE MAC 5.50% 06/01/2040 US 5.500 06/01/2040 14,455 106.73 15,428 0.00
FREDDIE MAC 5.50% 06/01/2040 US 5.500 06/01/2040 12,427 108.97 13,541 0.00
FREDDIE MAC 6.00% 08/01/2019 US 6.000 08/01/2019 22,714 100.26 22,772 0.00
FREDDIE MAC 6.50% 04/01/2021 US 6.500 04/01/2021 3,714 100.77 3,743 0.00
FREDDIE MAC 7.00% 05/01/2032 US 7.000 05/01/2032 66,193 109.20 72,282 0.01
FREDDIE MAC 8.00% 02/01/2023 US 8.000 02/01/2023 1,629 105.86 1,724 0.00
GATX CORP 2.50% 03/15/2019 US 2.500 03/15/2019 1,500,000 99.86 1,497,921 0.16
GENERAL MOTORS C 3.14% 08/07/2020 US 3.140 08/07/2020 6,300,000 100.34 6,321,154 0.67
GEORGIA POWER 2.00% 03/30/2020 US 2.000 03/30/2020 5,000,000 98.14 4,907,104 0.52
GLS AUTO RECEIVABLES TRUST 2.67% 04/15/2021 US 2.670 04/15/2021 5,213,197 99.78 5,201,585 0.55
GLS AUTO RECEIVABLES TRUST 2.82% 07/15/2022 US 2.820 07/15/2022 6,523,813 99.60 6,497,712 0.69
GLS AUTO RECEIVABLES TRUST 3.25% 04/18/2022 US 3.250 04/18/2022 8,035,854 99.96 8,032,368 0.85
GLS AUTO RECEIVABLES TRUST 4.39% 01/15/2021 US 4.390 01/15/2021 3,850,151 100.41 3,866,112 0.41
GMFPP 10/04/18 CP 10/04/2018 US -- 10/04/2018 1,500,000 99.96 1,499,329 0.16
GOVERNMENT NATIONAL MORTAGE AS 2.46% 07/16/2057 US 2.460 07/16/2057 6,006,390 98.96 5,943,655 0.63
GOVERNMENT NATIONAL MORTAGE AS 2.51% 01/16/2058 US 2.510 01/16/2058 4,900,339 99.10 4,856,172 0.51
GOVERNMENT NATIONAL MORTGAGE A 1.61% 07/16/2039 US 1.610 07/16/2039 170,539 96.73 164,969 0.02
GOVERNMENT NATIONAL MORTGAGE A 2.75% 08/20/2034 US 2.750 08/20/2034 338,412 103.52 350,338 0.04
GOVERNMENT NATIONAL MORTGAGE A 3.00% 05/20/2040 US 3.000 05/20/2040 75,402 99.56 75,070 0.01
GOVERNMENT NATIONAL MORTGAGE A 3.00% 11/20/2044 US 3.000 11/20/2044 365,544 103.65 378,893 0.04
GOVERNMENT NATIONAL MORTGAGE A 3.00% 12/20/2044 US 3.000 12/20/2044 1,594,186 103.74 1,653,735 0.18
GOVERNMENT NATIONAL MORTGAGE A 3.38% 02/20/2034 US 3.380 02/20/2034 433,710 103.58 449,236 0.05
GOVERNMENT NATIONAL MORTGAGE A 3.38% 03/20/2041 US 3.380 03/20/2041 619,756 103.20 639,606 0.07
GOVERNMENT NATIONAL MORTGAGE A 3.63% 04/20/2034 US 3.630 04/20/2034 183,730 103.57 190,280 0.02
GOVERNMENT NATIONAL MORTGAGE A 4.50% 10/20/2032 US 4.500 10/20/2032 107,177 102.03 109,356 0.01
GOVERNMENT NATIONAL MORTGAGE A 6.50% 04/15/2022 US 6.500 04/15/2022 3,861 103.15 3,983 0.00
GOVERNMENT NATIONAL MORTGAGE A 7.00% 04/15/2024 US 7.000 04/15/2024 13,289 100.34 13,334 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 02/15/2023 US 8.000 02/15/2023 6,838 104.63 7,155 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 11/15/2022 US 8.000 11/15/2022 7,302 104.69 7,645 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 12/15/2023 US 8.000 12/15/2023 31,755 104.86 33,299 0.00
GS MORTAGE SECURITIES TRUST 0.91% 05/10/2022 US 0.910 05/10/2022 143,822,000 1.28 1,840,691 0.20
GS MORTGAGE SECURITIES TRUST 1.33% 10/10/2032 US 1.330 10/10/2032 118,906,000 4.27 5,077,108 0.54
GS MORTGAGE SECURITIES TRUST 1.44% 05/10/2050 US 1.440 05/10/2050 2,859,525 98.90 2,828,068 0.30
GSR MORTGAGE LOAN TRUST 4.26% 10/25/2033 US 4.260 10/25/2033 3,486,054 102.87 3,585,996 0.38
HAWAII ST 2.20% 01/01/2019 US 2.200 01/01/2019 1,000,000 99.90 999,030 0.11
HERTZ VEHICLE FINANCING LLC 2.32% 03/25/2020 US 2.320 03/25/2020 7,450,000 99.72 7,429,247 0.79
HERTZ VEHICLE FINANCING LLC 3.52% 03/25/2021 US 3.520 03/25/2021 4,700,000 99.38 4,670,899 0.50
HERTZ VEHICLE FINANCING LLC 3.71% 09/25/2021 US 3.710 09/25/2021 2,752,000 99.35 2,734,205 0.29
HERTZ VEHICLE FINANCING LLC 4.43% 07/25/2020 US 4.430 07/25/2020 1,450,000 100.28 1,454,057 0.15
HOSPITALITY MORTGAGE TRUST 3.31% 05/08/2030 US 3.310 05/08/2030 8,320,000 100.06 8,325,170 0.88
HP ENTERPRISE 2.10% 10/04/2019 US 2.100 10/04/2019 9,300,000 99.03 9,209,373 0.98
HUNTINGTON BANCS 7.00% 12/15/2020 US 7.000 12/15/2020 8,199,000 107.13 8,783,387 0.93
HYUNDAI CAP AMER 2.50% 03/18/2019 US 2.500 03/18/2019 650,000 99.78 648,551 0.07
HYUNDAI CAP AMER 3.00% 10/30/2020 US 3.000 10/30/2020 900,000 98.45 886,007 0.09
HYUNDAI CAPITAL 1.63% 08/30/2019 KR 1.630 08/30/2019 200,000 98.52 197,046 0.02
INTERPUBLIC GRP 3.50% 10/01/2020 US 3.500 10/01/2020 3,000,000 100.01 3,000,267 0.32
ITC HOLDINGS COR 5.50% 01/15/2020 US 5.500 01/15/2020 700,000 102.25 715,742 0.08
JIMMY JOHN'S FUNDING LLC 3.61% 07/30/2047 US 3.610 07/30/2047 4,593,600 98.72 4,534,618 0.48
JP MORGAN CHASE COMMERCIAL MOR 2.96% 06/15/2032 US 2.960 06/15/2032 7,525,000 100.06 7,529,596 0.80
JP MORGAN CHASE COMMERCIAL MOR 3.01% 10/15/2032 US 3.010 10/15/2032 7,737,335 100.04 7,740,100 0.82
JP MORGAN MORTGAGE TRUST 3.90% 06/25/2036 US 3.900 06/25/2036 144,978 94.35 136,789 0.01
JPMORGAN CHASE 1.85% 03/22/2019 US 1.850 03/22/2019 15,000,000 99.63 14,945,114 1.58
KABBAGE FUNDING LLC 4.57% 03/15/2022 US 4.570 03/15/2022 11,661,000 100.71 11,743,762 1.25
KEYCORP 2.30% 12/13/2018 US 2.300 12/13/2018 4,730,000 99.97 4,728,391 0.50
KRAFT HEINZ FOOD 2.91% 02/10/2021 US 2.910 02/10/2021 6,800,000 100.10 6,806,899 0.72
LEAR CORP 5.38% 03/15/2024 US 5.380 03/15/2024 3,808,000 102.81 3,915,066 0.42
LGE 10/02/18 CP 10/02/2018 US -- 10/02/2018 17,000,000 99.97 16,995,502 1.80
MARTIN MAR MTLS 2.96% 05/22/2020 US 2.960 05/22/2020 6,875,000 100.33 6,897,963 0.73
MERRILL LYNCH 6.88% 11/15/2018 US 6.880 11/15/2018 3,000,000 100.53 3,015,932 0.32
MERRILL LYNCH MORTGAGE INVESTO 3.75% 12/25/2032 US 3.750 12/25/2032 20,507 100.32 20,573 0.00
MERRILL LYNCH MORTGAGE INVESTO 6.75% 11/15/2026 US 6.750 11/15/2026 1,883,000 102.94 1,938,436 0.21
MLCC MORTGAGE INVESTORS INC 4.09% 12/25/2034 US 4.090 12/25/2034 148,084 99.58 147,465 0.02
MMAF EQUIPMENT FINANCE LLC 1.98% 06/10/2032 US 1.980 06/10/2032 71,435 99.97 71,414 0.01
MOLEX ELECT TECH 2.88% 04/15/2020 US 2.880 04/15/2020 2,000,000 98.91 1,978,109 0.21
MONDELEZ INT INC 5.38% 02/10/2020 US 5.380 02/10/2020 4,793,000 102.72 4,923,360 0.52
MORGAN KEEGAN & 2.15% 01/25/2026 US 2.150 01/25/2026 135,312 99.22 134,259 0.01
MORGAN STANLEY BAML TRUST 1.41% 02/15/2048 US 1.410 02/15/2048 1,613,442 99.48 1,605,060 0.17
MORGAN STANLEY CAPITAL I TRUST 2.95% 06/15/2035 US 2.950 06/15/2035 7,725,000 100.06 7,729,827 0.82
MORGAN STANLEY CAPITAL INC 2.52% 12/25/2035 US 2.520 12/25/2035 935,375 100.14 936,719 0.10
MOUNTAIN AGENCY 2.49% 12/01/2023 US 2.490 12/01/2023 7,350,000 100.00 7,350,000 0.78
NATL CITY CORP 6.88% 05/15/2019 US 6.880 05/15/2019 2,340,000 102.58 2,400,270 0.25
NAVITAS EQUIPMENT RECEIVABLES 2.20% 06/15/2021 US 2.200 06/15/2021 2,626,861 99.72 2,619,430 0.28
NEW CENTURY HOME EQUITY LOAN T 2.62% 10/25/2035 US 2.620 10/25/2035 3,321,321 100.23 3,328,805 0.35
NEW MEXICO ST EDUCTNL ASSISTAN 2.66% 12/01/2028 US 2.660 12/01/2028 30,000 99.98 29,995 0.00
OCP CLO LTD 3.90% 10/18/2028 KY 3.900 10/18/2028 10,070,000 100.00 10,069,990 1.07
ONEOK PARTNERS 8.63% 03/01/2019 US 8.630 03/01/2019 1,000,000 102.26 1,022,595 0.11
OPTEUM MORTGAGE ACCEPTANCE COR 2.59% 07/25/2035 US 2.590 07/25/2035 8,807,756 100.46 8,848,543 0.94
ORANGE LAKE TIMESHARE TRUST 2.29% 07/09/2029 US 2.290 07/09/2029 575,222 98.08 564,199 0.06
OVERSEAS PRI INV 2.19% 10/15/2039 US 2.190 10/15/2039 2,100,000 100.00 2,100,000 0.22
OVERSEAS PRI INV 2.20% 07/20/2022 US 2.200 07/20/2022 5,000,000 100.00 5,000,000 0.53
PACIFIC GAS&ELEC 2.54% 11/28/2018 US 2.540 11/28/2018 1,200,000 99.92 1,199,047 0.13
PALMER SQUARE LOAN FUNDING LTD 0.01% 11/15/2026 KY 0.010 11/15/2026 4,725,000 100.00 4,725,000 0.50
PHILLIPS 66 2.99% 04/15/2019 US 2.990 04/15/2019 3,650,000 100.04 3,651,424 0.39
PNC BANK NA 2.20% 01/28/2019 US 2.200 01/28/2019 250,000 99.89 249,723 0.03
PRESTIGE AUTO RECEIVABLES TRUS 2.42% 10/15/2019 US 2.420 10/15/2019 3,000,000 100.00 3,000,000 0.32
PRINCIPAL LFE II 1.50% 04/18/2019 US 1.500 04/18/2019 2,500,000 99.37 2,484,235 0.26
PUB SVC NEW HAMP 4.05% 06/01/2021 US 4.050 06/01/2021 2,700,000 101.11 2,729,913 0.29
QUEGAS 10/23/18 CP 10/23/2018 US -- 10/23/2018 600,000 99.82 598,901 0.06
RAAC SERIES 2.56% 11/25/2036 US 2.560 11/25/2036 2,571,000 99.56 2,559,660 0.27
RAIT TRUST 2017-FL7 A 3.11% 06/15/2037 US 3.110 06/15/2037 2,777,257 100.03 2,778,097 0.29
RAS LAFFAN LNG 3 6.75% 09/30/2019 QA 6.750 09/30/2019 1,500,000 103.25 1,548,750 0.16
RASGAS II 5.30% 09/30/2020 QA 5.300 09/30/2020 246,240 102.15 251,534 0.03
RECKITT BEN TSY 2.93% 06/24/2022 GB 2.930 06/24/2022 1,540,000 99.95 1,539,174 0.16
REGIONS BK ALAB 3.37% 08/13/2021 US 3.370 08/13/2021 8,900,000 99.70 8,873,338 0.94
REGL TRANSPRTN AUTH IL 3.01% 05/29/2020 US 3.010 05/29/2020 4,200,000 99.76 4,189,920 0.44
RESIDENTIAL FUNDING MTG SEC I 3.49% 02/25/2037 US 3.490 02/25/2037 600,427 86.24 517,801 0.05
RIB FLOATER TRUST 2.53% 07/01/2022 US 2.530 07/01/2022