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Touchstone Ultra Short Duration Fixed Income Fund

Daily NAV
$
Overall Morningstar Rating™
Ultrashort Bond

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 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 including those of certain European countries that may have the potential to leave the European Union. 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 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

Fund Facts for Share Class
Symbol
CUSIP
Share Class Inception Date
Total Share Class Net Assets as of 06/30/2019
Total Fund Net Assets as of 06/30/2019 $1,019,358,003
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 01/30/2019

Performance

Daily Returns as of
NAV NAV $ Change
Touchstone Ultra Short Duration Fixed Income Fund -
HISTORICAL DAILY NAV
as of 07/31/2019
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 0.18% 0.63% 1.43% 2.34% 1.44% 0.91% 0.51% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 0.06% 0.78% 1.83% 2.91% 1.45% 1.03% 0.76% --
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 06/30/2019
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 2.31% 1.38% 0.87% 0.49% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 2.98% 1.43% 1.02% 0.76% --
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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Morningstar Rating™

Portfolio

as of 06/30/2019
Number of Holdings
369
Weighted Average Effective Maturity
1.17 Years
Weighted Average Effective Duration
0.56 Years
as of 06/30/2019
Credit Quality % of Portfolio
AAA/Aaa 26.8
AA/Aa 13.0
A/A 13.8
BBB/Baa 25.6
B/B 0.0
< B/B 0.1
Cash Equivalents 12.5
Not Rated 8.3
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 06/30/2019
Sector % of Portfolio
Asset Backed Securities 30.0
U.S. Corporate 25.5
Cash Equivalents 12.5
Non-Agency CMBS 10.4
International 8.2
Non-Agency MBS 6.6
U.S. Agency/MBS/CMBS 5.5
Municipal 1.3
U.S. Treasury 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 07/31/2019
Security Description % of Portfolio
CONPP 08/09/19 CP 2.45% 08/09/2019 1.6
AGRCPP 08/01/19 CP 2.47% 08/01/2019 1.5
R 08/09/19 CP 2.45% 08/09/2019 1.4
SHIRE ACQUISITIONS INVESTMENTS 1.90% 09/23/2019 1.3
DRIVE AUTO RECEIVABLES TRUST 2 5.30% 07/15/2024 1.3
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 06/30/2019
Security Description
Country
Coupon Rate (%)
Maturity Date
Shares Par Value
Current Price ($)
Market Value ($)
% of Portfolio
A10 TERM ASSET FINANCING 2017- 3.24% 03/15/2036 US 3.240 03/15/2036 1,027,529 100.05 1,027,995 0.10
ACCREDITED MORTGAGE LOAN TRUST 3.11% 04/25/2035 US 3.110 04/25/2035 3,535,436 100.20 3,542,487 0.35
AMERICAN CREDIT ACCEPTANCE REC 2.61% 05/10/2021 US 2.610 05/10/2021 353,812 100.00 353,805 0.03
AMERICAN CREDIT ACCEPTANCE REC 2.94% 01/10/2022 US 2.940 01/10/2022 251,499 100.03 251,577 0.02
AMERICAN CREDIT ACCEPTANCE REC 3.38% 12/13/2021 US 3.380 12/13/2021 6,117,924 100.33 6,137,981 0.60
AMERICAN CREDIT ACCEPTANCE REC 3.54% 03/13/2023 US 3.540 03/13/2023 3,650,000 100.82 3,679,973 0.36
AMERICAN CREDIT ACCEPTANCE REC 4.11% 04/12/2023 US 4.110 04/12/2023 4,800,000 101.09 4,852,128 0.48
AMERICAN CREDIT ACCEPTANCE REC 5.55% 06/13/2022 US 5.550 06/13/2022 1,080,814 100.50 1,086,219 0.11
AMERICREDIT AUTOMOBILE RECEIVA 3.00% 06/08/2021 US 3.000 06/08/2021 3,179,000 100.13 3,183,057 0.31
AMGEN INC 2.20% 05/11/2020 US 2.200 05/11/2020 2,100,000 99.85 2,096,881 0.21
ANTHEM 07/01/19 CP 2.47% 07/01/2019 US 2.470 07/01/2019 15,000,000 99.98 14,996,869 1.47
AREIT 2018-CRE1 TRUST 3.25% 02/14/2035 US 3.250 02/14/2035 2,233,824 99.94 2,232,503 0.22
ASCENTIUM EQUIPMENT RECEIVABLE 1.65% 05/10/2022 US 1.650 05/10/2022 2,299,712 99.90 2,297,303 0.23
ASCENTIUM EQUIPMENT RECEIVABLE 2.00% 05/11/2020 US 2.000 05/11/2020 1,126,767 99.92 1,125,826 0.11
AVIS BUDGET RENTAL CAR FUNDING 2.46% 07/20/2020 US 2.460 07/20/2020 2,147,500 100.00 2,147,449 0.21
AVIS BUDGET RENTAL CAR FUNDING 3.29% 02/20/2021 US 3.290 02/20/2021 8,960,000 100.13 8,971,773 0.88
AVIS BUDGET RENTAL CAR FUNDING 3.93% 12/20/2021 US 3.930 12/20/2021 1,500,000 100.77 1,511,614 0.15
BB&T CORP 2.15% 02/01/2021 US 2.150 02/01/2021 7,000,000 99.82 6,987,649 0.69
BEAR STEARNS ARM TRUST 2003-1 4.40% 04/01/2033 US 4.400 04/01/2033 1,876,351 100.65 1,888,616 0.19
BEAR STEARNS ARM TRUST 2004-1 4.59% 04/01/2034 US 4.590 04/01/2034 212,935 101.20 215,494 0.02
BEAR STEARNS ASSET BACKED SECU 3.05% 03/25/2035 US 3.050 03/25/2035 2,409,655 99.98 2,409,066 0.24
BEAR STEARNS ASSET BACKED SECU 5.75% 01/01/2034 US 5.750 01/01/2034 171,155 103.12 176,497 0.02
BEMIS CO INC 6.80% 08/01/2019 US 6.800 08/01/2019 2,000,000 100.29 2,005,832 0.20
BGE 07/03/19 CP 2.50% 07/03/2019 US 2.500 07/03/2019 10,000,000 99.97 9,996,519 0.98
BLUEVIRGO 2015-1 TRUST 3.00% 12/15/2022 US 3.000 12/15/2022 157,248 100.00 157,255 0.02
BSPRT 2017-FL2 ISSUER LTD 3.49% 10/15/2034 KY 3.490 10/15/2034 1,484,509 100.09 1,485,911 0.15
BSPRT 2018-FL4 ISSUER LTD 3.44% 09/15/2035 KY 3.440 09/15/2035 10,900,000 100.09 10,910,328 1.07
BXP TRUST 2017-CQHP 3.24% 11/15/2034 US 3.240 11/15/2034 7,000,000 99.87 6,991,208 0.69
CALIFORNIA ENTERPRISE DEVELOPM 2.76% 09/01/2041 US 2.760 09/01/2041 1,720,000 100.00 1,720,000 0.17
CALIFORNIA INFRASTRUCTURE & EC 2.06% 12/01/2039 US 2.060 12/01/2039 1,885,000 100.00 1,885,000 0.18
CAPITAL AUTO RECEIVABLES ASSET 4.50% 01/22/2024 US 4.500 01/22/2024 5,250,000 100.12 5,256,422 0.52
CARFINANCE CAPITAL AUTO TRUST 5.49% 01/18/2022 US 5.490 01/18/2022 2,490,000 100.52 2,502,922 0.25
CARNOW AUTO RECEIVABLES TRUST 2.92% 09/15/2022 US 2.920 09/15/2022 556,839 99.95 556,544 0.05
CAZENOVIA CREEK FUNDING I LLC 2.00% 12/10/2023 US 2.000 12/10/2023 83,261 99.84 83,126 0.01
CCG RECEIVABLES TRUST 2017-1 1.84% 11/14/2023 US 1.840 11/14/2023 1,537,484 99.76 1,533,782 0.15
CD 2006-CD3 MORTGAGE TRUST 5.65% 10/01/2048 US 5.650 10/01/2048 2,673,070 103.88 2,776,838 0.27
CEDAR FUNDING II CLO LTD 3.02% 06/09/2030 KY 3.020 06/09/2030 7,590,000 100.63 7,637,574 0.75
CHRYSLER CAPITAL AUTO RECEIVAB 3.26% 04/15/2021 US 3.260 04/15/2021 3,622,841 100.09 3,626,131 0.36
CIGNA CORP 3.06% 09/17/2021 US 3.060 09/17/2021 2,720,000 100.04 2,721,147 0.27
CITIBANK NA 2.89% 02/12/2021 US 2.890 02/12/2021 2,933,000 99.98 2,932,292 0.29
CITIBANK NA 3.12% 05/20/2022 US 3.120 05/20/2022 11,500,000 100.13 11,514,392 1.13
CITIGROUP COMMERCIAL MORTGAGE 1.78% 12/15/2036 US 1.780 12/15/2036 68,780,000 2.77 1,904,793 0.19
CITIGROUP COMMERCIAL MORTGAGE 3.24% 07/15/2032 US 3.240 07/15/2032 2,050,000 100.03 2,050,627 0.20
CITIGROUP COMMERCIAL MORTGAGE 3.67% 07/15/2027 US 3.670 07/15/2027 3,000,000 100.00 2,999,898 0.29
CITIZENS BANK NA/PROVIDENCE RI 3.33% 05/26/2022 US 3.330 05/26/2022 5,015,000 100.32 5,030,803 0.49
CNH EQUIPMENT TRUST 2015-C 2.40% 02/15/2023 US 2.400 02/15/2023 2,910,000 99.91 2,907,488 0.29
COMM 2014-UBS3 MORTGAGE TRUST 1.25% 06/01/2047 US 1.250 06/01/2047 36,441,942 4.59 1,672,751 0.16
COMMUNITY PROGRAM LOAN TRUST 1 4.50% 04/01/2029 US 4.500 04/01/2029 35,663 100.04 35,676 0.00
COMPASS BANK 2.75% 09/29/2019 US 2.750 09/29/2019 5,000,000 99.99 4,999,557 0.49
CONAGRA BRANDS INC 3.34% 10/22/2020 US 3.340 10/22/2020 1,475,000 100.02 1,475,234 0.14
CONN'S RECEIVABLES FUNDING 201 3.25% 01/15/2023 US 3.250 01/15/2023 1,909,555 100.39 1,916,958 0.19
CONRUB 07/01/19 CP 2.60% 07/01/2019 US 2.600 07/01/2019 5,450,000 99.98 5,448,863 0.53
CONSTELLATION BRANDS INC 3.22% 11/15/2021 US 3.220 11/15/2021 3,000,000 100.05 3,001,502 0.29
CONSTELLATION BRANDS INC 3.88% 11/15/2019 US 3.880 11/15/2019 1,239,000 100.46 1,244,701 0.12
CPS AUTO RECEIVABLES TRUST 201 3.77% 08/17/2020 US 3.770 08/17/2020 1,399,891 100.11 1,401,454 0.14
CPS AUTO RECEIVABLES TRUST 201 5.33% 11/16/2020 US 5.330 11/16/2020 3,035,000 101.06 3,067,255 0.30
CREDIT ACCEPTANCE AUTO LOAN TR 2.94% 10/15/2024 US 2.940 10/15/2024 7,813,000 100.05 7,817,071 0.77
CREDIT AGRICOLE SA/LONDON 2.75% 06/10/2020 FR 2.750 06/10/2020 5,000,000 100.42 5,021,032 0.49
CREDIT SUISSE GROUP FUNDING GU 3.13% 12/10/2020 GG 3.130 12/10/2020 300,000 100.77 302,321 0.03
CROWN CASTLE TOWERS LLC 3.22% 05/15/2022 US 3.220 05/15/2022 2,040,000 101.11 2,062,548 0.20
CSMC 2017-HD TRUST 3.74% 02/15/2031 US 3.740 02/15/2031 1,076,000 99.84 1,074,265 0.11
CSMC TRUST 2014-WIN1 3.00% 09/01/2044 US 3.000 09/01/2044 691,582 99.83 690,381 0.07
CSMC TRUST 2014-WIN2 3.00% 10/01/2044 US 3.000 10/01/2044 2,094,063 100.49 2,104,378 0.21
CSMC TRUST 2017-CHOP 3.14% 07/15/2032 US 3.140 07/15/2032 500,000 99.97 499,836 0.05
CVS 07/01/19 CP 2.46% 07/01/2019 US 2.460 07/01/2019 4,450,000 99.98 4,449,094 0.44
CWEPP 07/01/19 CP 2.50% 07/01/2019 US 2.500 07/01/2019 15,200,000 99.98 15,196,828 1.49
DANONE SA 1.69% 10/30/2019 FR 1.690 10/30/2019 4,600,000 99.74 4,587,810 0.45
DBUBS 2011-LC2 MORTGAGE TRUST 3.76% 07/12/2044 US 3.760 07/12/2044 654,340 100.50 657,605 0.06
DELL EQUIPMENT FINANCE TRUST 2 2.14% 04/22/2022 US 2.140 04/22/2022 640,828 99.93 640,401 0.06
DELL EQUIPMENT FINANCE TRUST 2 2.52% 04/22/2022 US 2.520 04/22/2022 1,700,000 99.95 1,699,097 0.17
DIGNITY HEALTH 2.64% 11/01/2019 US 2.640 11/01/2019 7,700,000 99.89 7,691,650 0.75
DISCOVERY COMMUNICATIONS LLC 2.20% 09/20/2019 US 2.200 09/20/2019 4,595,000 99.86 4,588,521 0.45
DOMINION ENERGY INC 2.58% 07/01/2020 US 2.580 07/01/2020 3,000,000 99.86 2,995,689 0.29
DOMINO'S PIZZA MASTER ISSUER L 3.83% 07/25/2047 US 3.830 07/25/2047 12,693,900 99.43 12,621,672 1.24
DREYFUS GOVERNMENT CASH MANAGE 12/01/2099 US -- 12/01/2099 5,095,700 1.00 5,095,700 0.50
DRIVE AUTO RECEIVABLES TRUST 2 2.98% 01/18/2022 US 2.980 01/18/2022 4,242,399 100.09 4,246,184 0.42
DRIVE AUTO RECEIVABLES TRUST 2 4.12% 07/15/2022 US 4.120 07/15/2022 2,426,319 100.08 2,428,376 0.24
DRIVE AUTO RECEIVABLES TRUST 2 4.20% 09/15/2021 US 4.200 09/15/2021 2,738,079 100.18 2,743,027 0.27
DRIVE AUTO RECEIVABLES TRUST 2 4.53% 08/15/2023 US 4.530 08/15/2023 7,501,663 101.25 7,595,420 0.74
DRIVE AUTO RECEIVABLES TRUST 2 5.30% 07/15/2024 US 5.300 07/15/2024 12,868,000 103.18 13,277,540 1.30
DT AUTO OWNER TRUST 2015-3 4.53% 10/17/2022 US 4.530 10/17/2022 6,183,280 100.41 6,208,365 0.61
DT AUTO OWNER TRUST 2016-1 4.66% 12/15/2022 US 4.660 12/15/2022 3,428,688 100.80 3,455,975 0.34
DT AUTO OWNER TRUST 2016-3 4.52% 06/15/2023 US 4.520 06/15/2023 8,497,244 100.93 8,576,151 0.84
DT AUTO OWNER TRUST 2016-4 3.77% 10/17/2022 US 3.770 10/17/2022 6,960,200 100.61 7,002,709 0.69
DT AUTO OWNER TRUST 2017-1 2.70% 11/15/2022 US 2.700 11/15/2022 4,221,358 99.98 4,220,461 0.41
DUKE ENERGY FLORIDA LLC 2.10% 12/15/2019 US 2.100 12/15/2019 1,250,000 99.83 1,247,926 0.12
EASTMAN CHEMICAL CO 3.50% 12/01/2021 US 3.500 12/01/2021 5,000,000 102.30 5,114,931 0.50
EATON ELECTRIC HOLDINGS LLC 3.88% 12/15/2020 US 3.880 12/15/2020 9,700,000 101.86 9,880,365 0.97
ELARA HGV TIMESHARE ISSUER 201 2.53% 02/25/2027 US 2.530 02/25/2027 386,409 99.92 386,097 0.04
ELARA HGV TIMESHARE ISSUER 201 2.73% 04/25/2028 US 2.730 04/25/2028 5,488,137 99.86 5,480,206 0.54
ENBRIDGE INC 3.11% 06/15/2020 CA 3.110 06/15/2020 2,366,000 100.27 2,372,431 0.23
EXELON GENERATION CO LLC 2.95% 01/15/2020 US 2.950 01/15/2020 1,385,000 100.11 1,386,542 0.14
EXETER AUTOMOBILE RECEIVABLES 2.05% 12/15/2021 US 2.050 12/15/2021 188,443 99.91 188,273 0.02
EXETER AUTOMOBILE RECEIVABLES 2.93% 07/15/2022 US 2.930 07/15/2022 4,539,488 100.27 4,551,961 0.45
EXETER AUTOMOBILE RECEIVABLES 3.46% 10/17/2022 US 3.460 10/17/2022 2,750,000 100.95 2,776,078 0.27
EXETER AUTOMOBILE RECEIVABLES 4.83% 08/16/2021 US 4.830 08/16/2021 1,427,521 100.59 1,435,898 0.14
FANNIE MAE POOL 3.77% 04/01/2035 US 3.770 04/01/2035 144,543 102.71 148,456 0.01
FANNIE MAE POOL 3.79% 08/01/2037 US 3.790 08/01/2037 82,914 101.20 83,908 0.01
FANNIE MAE POOL 4.00% 04/01/2023 US 4.000 04/01/2023 140,429 103.80 145,768 0.01
FANNIE MAE POOL 4.00% 07/01/2026 US 4.000 07/01/2026 123,365 104.29 128,654 0.01
FANNIE MAE POOL 4.00% 08/01/2026 US 4.000 08/01/2026 137,406 104.29 143,297 0.01
FANNIE MAE POOL 4.00% 10/01/2020 US 4.000 10/01/2020 11,567 103.80 12,006 0.00
FANNIE MAE POOL 4.18% 05/01/2034 US 4.180 05/01/2034 57,624 103.39 59,578 0.01
FANNIE MAE POOL 4.18% 05/01/2035 US 4.180 05/01/2035 226,357 103.46 234,196 0.02
FANNIE MAE POOL 4.22% 02/01/2037 US 4.220 02/01/2037 1,838,732 103.38 1,900,790 0.19
FANNIE MAE POOL 4.22% 09/01/2037 US 4.220 09/01/2037 395,799 103.42 409,338 0.04
FANNIE MAE POOL 4.30% 01/01/2035 US 4.300 01/01/2035 514,824 103.37 532,165 0.05
FANNIE MAE POOL 4.31% 09/01/2034 US 4.310 09/01/2034 103,908 102.86 106,879 0.01
FANNIE MAE POOL 4.33% 10/01/2033 US 4.330 10/01/2033 32,743 103.20 33,791 0.00
FANNIE MAE POOL 4.49% 06/01/2035 US 4.490 06/01/2035 32,097 105.32 33,803 0.00
FANNIE MAE POOL 4.50% 12/01/2040 US 4.500 12/01/2040 117,376 107.32 125,969 0.01
FANNIE MAE POOL 4.51% 09/01/2035 US 4.510 09/01/2035 86,311 105.92 91,420 0.01
FANNIE MAE POOL 4.53% 04/01/2034 US 4.530 04/01/2034 656,466 104.74 687,610 0.07
FANNIE MAE POOL 4.56% 10/01/2034 US 4.560 10/01/2034 14,847 104.72 15,548 0.00
FANNIE MAE POOL 4.57% 01/01/2040 US 4.570 01/01/2040 97,939 102.54 100,431 0.01
FANNIE MAE POOL 4.64% 04/01/2033 US 4.640 04/01/2033 50,527 105.28 53,193 0.01
FANNIE MAE POOL 4.65% 01/01/2035 US 4.650 01/01/2035 129,746 104.55 135,648 0.01
FANNIE MAE POOL 4.66% 04/01/2036 US 4.660 04/01/2036 673,550 105.11 707,936 0.07
FANNIE MAE POOL 4.70% 03/01/2035 US 4.700 03/01/2035 30,266 105.30 31,869 0.00
FANNIE MAE POOL 4.71% 05/01/2035 US 4.710 05/01/2035 34,877 105.59 36,827 0.00
FANNIE MAE POOL 4.73% 02/01/2034 US 4.730 02/01/2034 74,112 104.78 77,654 0.01
FANNIE MAE POOL 4.75% 04/01/2033 US 4.750 04/01/2033 52,034 104.59 54,423 0.01
FANNIE MAE POOL 4.75% 08/01/2036 US 4.750 08/01/2036 22,994 104.85 24,111 0.00
FANNIE MAE POOL 4.82% 04/01/2036 US 4.820 04/01/2036 44,310 105.34 46,675 0.00
FANNIE MAE POOL 4.84% 02/01/2037 US 4.840 02/01/2037 58,293 105.61 61,562 0.01
FANNIE MAE POOL 4.84% 04/01/2035 US 4.840 04/01/2035 84,354 105.37 88,880 0.01
FANNIE MAE POOL 4.88% 02/01/2033 US 4.880 02/01/2033 36,351 104.12 37,849 0.00
FANNIE MAE POOL 4.89% 04/01/2036 US 4.890 04/01/2036 242,286 105.75 256,219 0.03
FANNIE MAE POOL 5.00% 04/01/2024 US 5.000 04/01/2024 15,047 102.97 15,495 0.00
FANNIE MAE POOL 5.00% 04/01/2041 US 5.000 04/01/2041 127,532 108.67 138,592 0.01
FANNIE MAE POOL 5.00% 05/01/2035 US 5.000 05/01/2035 22,713 109.31 24,827 0.00
FANNIE MAE POOL 5.00% 07/01/2037 US 5.000 07/01/2037 59,226 109.13 64,633 0.01
FANNIE MAE POOL 5.00% 07/01/2041 US 5.000 07/01/2041 225,581 108.67 245,144 0.02
FANNIE MAE POOL 5.00% 09/01/2033 US 5.000 09/01/2033 113,562 108.65 123,390 0.01
FANNIE MAE POOL 5.00% 10/01/2040 US 5.000 10/01/2040 66,442 108.67 72,204 0.01
FANNIE MAE POOL 5.50% 03/01/2020 US 5.500 03/01/2020 0 99.97 0 0.00
FANNIE MAE POOL 5.50% 04/01/2034 US 5.500 04/01/2034 130,750 111.05 145,203 0.01
FANNIE MAE POOL 5.50% 04/01/2038 US 5.500 04/01/2038 4,654 110.90 5,161 0.00
FANNIE MAE POOL 5.50% 04/01/2040 US 5.500 04/01/2040 7,957 111.95 8,908 0.00
FANNIE MAE POOL 5.50% 05/01/2038 US 5.500 05/01/2038 25,587 106.48 27,246 0.00
FANNIE MAE POOL 5.50% 06/01/2026 US 5.500 06/01/2026 54,853 106.61 58,481 0.01
FANNIE MAE POOL 5.50% 12/01/2037 US 5.500 12/01/2037 38,045 108.87 41,421 0.00
FANNIE MAE POOL 6.00% 01/01/2038 US 6.000 01/01/2038 66,231 113.23 74,996 0.01
FANNIE MAE POOL 6.00% 01/01/2038 US 6.000 01/01/2038 70,388 114.88 80,865 0.01
FANNIE MAE POOL 6.00% 08/01/2027 US 6.000 08/01/2027 85,646 109.46 93,751 0.01
FANNIE MAE POOL 6.00% 09/01/2019 US 6.000 09/01/2019 342 99.91 342 0.00
FANNIE MAE POOL 6.50% 10/01/2021 US 6.500 10/01/2021 108,981 102.01 111,176 0.01
FANNIE MAE POOL 7.00% 05/01/2024 US 7.000 05/01/2024 1,577 106.17 1,674 0.00
FANNIE MAE POOL 7.45% 08/01/2022 US 7.450 08/01/2022 32,847 101.01 33,180 0.00
FANNIE MAE POOL 7.50% 06/01/2031 US 7.500 06/01/2031 28,272 100.11 28,302 0.00
FANNIE MAE POOL 7.50% 07/01/2029 US 7.500 07/01/2029 21,019 114.78 24,126 0.00
FANNIE MAE POOL 8.25% 04/01/2022 US 8.250 04/01/2022 3,118 100.15 3,123 0.00
FANNIE MAE REMIC TRUST 2001-W4 6.11% 02/01/2032 US 6.110 02/01/2032 142,031 117.72 167,205 0.02
FANNIE MAE REMICS 1.50% 09/01/2027 US 1.500 09/01/2027 187,634 98.23 184,314 0.02
FANNIE MAE REMICS 2.50% 03/01/2026 US 2.500 03/01/2026 779,081 99.57 775,716 0.08
FANNIE MAE REMICS 2.90% 09/25/2033 US 2.900 09/25/2033 226,245 100.65 227,725 0.02
FANNIE MAE REMICS 3.00% 05/01/2022 US 3.000 05/01/2022 1,479,731 3.24 47,908 0.00
FANNIE MAE REMICS 3.00% 12/01/2020 US 3.000 12/01/2020 1,704,090 99.77 1,700,131 0.17
FANNIE MAE REMICS 4.00% 05/01/2033 US 4.000 05/01/2033 46,074 104.97 48,367 0.00
FANNIE MAE REMICS 4.00% 11/01/2033 US 4.000 11/01/2033 147,016 102.69 150,975 0.01
FANNIE MAE REMICS 4.25% 03/01/2025 US 4.250 03/01/2025 3,917 100.35 3,931 0.00
FANNIE MAE REMICS 4.25% 05/01/2033 US 4.250 05/01/2033 56,602 105.66 59,806 0.01
FANNIE MAE REMICS 4.50% 07/01/2021 US 4.500 07/01/2021 207,048 99.98 207,007 0.02
FANNIE MAE REMICS 5.25% 05/01/2039 US 5.250 05/01/2039 445,122 105.52 469,714 0.05
FDIC GUARANTEED NOTES TRUST 20 2.74% 12/03/2020 US 2.740 12/03/2020 34,836 99.74 34,744 0.00
FIDELITY NATIONAL INFORMATION 3.63% 10/15/2020 US 3.630 10/15/2020 600,000 101.48 608,863 0.06
FIRST INVESTORS AUTO OWNER TRU 3.59% 01/18/2022 US 3.590 01/18/2022 2,745,000 100.15 2,749,124 0.27
FLAGSHIP CREDIT AUTO TRUST 201 2.43% 06/15/2021 US 2.430 06/15/2021 617,946 99.97 617,752 0.06
FLAGSHIP CREDIT AUTO TRUST 201 3.76% 06/15/2021 US 3.760 06/15/2021 1,194,405 100.30 1,198,005 0.12
FORD MOTOR CREDIT CO LLC 5.88% 08/02/2021 US 5.880 08/02/2021 1,600,000 105.45 1,687,134 0.17
FORTIV 07/25/19 CP 2.63% 07/25/2019 US 2.630 07/25/2019 15,500,000 99.81 15,470,519 1.52
FOURSIGHT CAPITAL AUTOMOBILE R 3.32% 04/15/2022 US 3.320 04/15/2022 3,504,304 100.51 3,522,006 0.35
FREDDIE MAC GOLD POOL 4.00% 10/01/2019 US 4.000 10/01/2019 10,223 103.85 10,617 0.00
FREDDIE MAC GOLD POOL 5.00% 07/01/2035 US 5.000 07/01/2035 36,399 108.75 39,583 0.00
FREDDIE MAC GOLD POOL 5.00% 10/01/2020 US 5.000 10/01/2020 91,006 103.21 93,927 0.01
FREDDIE MAC GOLD POOL 5.00% 10/01/2020 US 5.000 10/01/2020 60,755 103.11 62,647 0.01
FREDDIE MAC GOLD POOL 5.50% 06/01/2040 US 5.500 06/01/2040 12,379 108.04 13,374 0.00
FREDDIE MAC GOLD POOL 5.50% 06/01/2040 US 5.500 06/01/2040 11,327 111.45 12,624 0.00
FREDDIE MAC GOLD POOL 7.00% 05/01/2032 US 7.000 05/01/2032 42,451 106.04 45,014 0.00
FREDDIE MAC GOLD POOL 8.00% 02/01/2023 US 8.000 02/01/2023 1,198 106.32 1,274 0.00
FREDDIE MAC MULTIFAMILY STRUCT 0.27% 09/01/2020 US 0.270 09/01/2020 111,320,821 0.05 54,647 0.01
FREDDIE MAC MULTIFAMILY STRUCT 1.26% 06/01/2021 US 1.260 06/01/2021 125,328,914 1.79 2,246,471 0.22
FREDDIE MAC MULTIFAMILY STRUCT 2.63% 02/25/2023 US 2.630 02/25/2023 4,913,082 99.80 4,903,120 0.48
FREDDIE MAC NON GOLD POOL 4.41% 06/01/2035 US 4.410 06/01/2035 81,310 105.25 85,579 0.01
FREDDIE MAC NON GOLD POOL 4.48% 01/01/2036 US 4.480 01/01/2036 113,877 104.66 119,185 0.01
FREDDIE MAC NON GOLD POOL 4.50% 07/01/2036 US 4.500 07/01/2036 130,483 105.54 137,710 0.01
FREDDIE MAC NON GOLD POOL 4.54% 07/01/2035 US 4.540 07/01/2035 227,471 105.46 239,895 0.02
FREDDIE MAC NON GOLD POOL 4.57% 11/01/2036 US 4.570 11/01/2036 163,194 105.39 171,986 0.02
FREDDIE MAC NON GOLD POOL 4.59% 12/01/2036 US 4.590 12/01/2036 297,286 105.18 312,693 0.03
FREDDIE MAC NON GOLD POOL 4.61% 11/01/2037 US 4.610 11/01/2037 73,107 105.11 76,844 0.01
FREDDIE MAC NON GOLD POOL 4.62% 01/01/2037 US 4.620 01/01/2037 60,375 104.96 63,369 0.01
FREDDIE MAC NON GOLD POOL 4.63% 09/01/2036 US 4.630 09/01/2036 304,720 105.45 321,314 0.03
FREDDIE MAC NON GOLD POOL 4.63% 11/01/2034 US 4.630 11/01/2034 102,738 104.89 107,766 0.01
FREDDIE MAC NON GOLD POOL 4.64% 11/01/2036 US 4.640 11/01/2036 388,578 105.58 410,267 0.04
FREDDIE MAC NON GOLD POOL 4.68% 08/01/2037 US 4.680 08/01/2037 129,851 105.69 137,240 0.01
FREDDIE MAC NON GOLD POOL 4.68% 11/01/2036 US 4.680 11/01/2036 306,883 105.65 324,226 0.03
FREDDIE MAC NON GOLD POOL 4.74% 04/01/2035 US 4.740 04/01/2035 151,284 106.08 160,489 0.02
FREDDIE MAC NON GOLD POOL 4.78% 08/01/2035 US 4.780 08/01/2035 38,670 105.61 40,838 0.00
FREDDIE MAC NON GOLD POOL 4.80% 04/01/2037 US 4.800 04/01/2037 363,928 105.49 383,911 0.04
FREDDIE MAC NON GOLD POOL 4.83% 04/01/2034 US 4.830 04/01/2034 332,119 105.51 350,419 0.03
FREDDIE MAC NON GOLD POOL 4.84% 05/01/2036 US 4.840 05/01/2036 142,457 105.82 150,755 0.01
FREDDIE MAC NON GOLD POOL 4.86% 01/01/2036 US 4.860 01/01/2036 709,995 105.54 749,293 0.07
FREDDIE MAC NON GOLD POOL 4.87% 04/01/2035 US 4.870 04/01/2035 82,950 105.49 87,508 0.01
FREDDIE MAC NON GOLD POOL 4.87% 04/01/2037 US 4.870 04/01/2037 154,298 103.92 160,351 0.02
FREDDIE MAC NON GOLD POOL 4.96% 03/01/2034 US 4.960 03/01/2034 44,585 105.53 47,051 0.00
FREDDIE MAC NON GOLD POOL 5.41% 03/01/2036 US 5.410 03/01/2036 212,513 106.99 227,360 0.02
FREDDIE MAC REMICS 1.25% 08/01/2027 US 1.250 08/01/2027 2,345,789 95.15 2,231,983 0.22
FREDDIE MAC REMICS 2.79% 03/15/2034 US 2.790 03/15/2034 281,238 99.97 281,154 0.03
FREDDIE MAC REMICS 3.00% 06/01/2021 US 3.000 06/01/2021 628,482 100.16 629,491 0.06
FREDDIE MAC REMICS 4.00% 06/01/2032 US 4.000 06/01/2032 11,101 100.11 11,113 0.00
FREDDIE MAC REMICS 4.25% 12/01/2019 US 4.250 12/01/2019 14 100.24 14 0.00
FREMF 2010-K7 MORTGAGE TRUST 5.69% 04/01/2020 US 5.690 04/01/2020 1,335,000 101.89 1,360,283 0.13
FREMF 2013-K712 MORTGAGE TRUST 3.45% 05/01/2045 US 3.450 05/01/2045 5,660,000 100.04 5,662,025 0.56
GATX CORP 2.50% 07/30/2019 US 2.500 07/30/2019 1,900,000 99.99 1,899,859 0.19
GENERAL MILLS INC 3.14% 04/16/2021 US 3.140 04/16/2021 3,925,000 100.03 3,926,311 0.38
GENERAL MOTORS CO 3.37% 08/07/2020 US 3.370 08/07/2020 6,300,000 100.12 6,307,824 0.62
GENERAL MOTORS FINANCIAL CO IN 3.50% 07/10/2019 US 3.500 07/10/2019 2,700,000 100.02 2,700,544 0.26
GEORGIA POWER CO 2.00% 03/30/2020 US 2.000 03/30/2020 5,000,000 99.61 4,980,496 0.49
GEORGIA-PACIFIC LLC 2.54% 11/15/2019 US 2.540 11/15/2019 6,300,000 100.01 6,300,357 0.62
GINNIE MAE I POOL 6.50% 04/01/2022 US 6.500 04/01/2022 2,908 102.86 2,991 0.00
GINNIE MAE I POOL 8.00% 02/01/2023 US 8.000 02/01/2023 5,636 104.98 5,917 0.00
GINNIE MAE I POOL 8.00% 11/01/2022 US 8.000 11/01/2022 4,538 103.90 4,715 0.00
GINNIE MAE I POOL 8.00% 12/01/2023 US 8.000 12/01/2023 26,391 105.48 27,836 0.00
GINNIE MAE II POOL 3.63% 04/01/2034 US 3.630 04/01/2034 151,680 103.92 157,628 0.02
GINNIE MAE II POOL 3.75% 08/01/2034 US 3.750 08/01/2034 291,326 104.27 303,758 0.03
GINNIE MAE II POOL 4.00% 02/01/2034 US 4.000 02/01/2034 379,499 104.07 394,937 0.04
GINNIE MAE II POOL 4.00% 03/01/2041 US 4.000 03/01/2041 530,605 104.11