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 139 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 06/30/2018
Total Fund Net Assets as of 06/30/2018 $893,035,998
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 08/31/2018 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 0.18% 0.51% 1.15% 1.52% 0.79% 0.49% 0.36% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 0.22% 0.48% 1.01% 1.04% 0.75% 0.55% 0.75% --
as of 06/30/2018 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 1.36% 0.68% 0.42% 0.35% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 0.92% 0.64% 0.49% 0.77% --
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The investment return and principal value of an investment in the Funds will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. 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 Bond Funds is 4.75%, except for the Touchstone Ultra Short Duration Fixed Income Fund. The maximum front-end sales charge for the Touchstone Ultra Short Duration Fixed 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 Funds will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. 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 in effect at the end of the specified period. The contingent deferred sales charge 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 Funds will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. 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 NAV, without an initial sales charge and are not subject to a 12b-1 fee or CDSC, but may be subject to higher initial investment requirements than other classes of shares of a Fund.
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 Funds will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. 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 Funds 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, may lower performance. Returns are not annualized for periods of less than one year. Assumes reinvestment of all dividends and capital gains.
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 Funds 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, may lower performance.
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 06/30/2018
Number of Holdings
355
Weighted Average Effective Maturity
1.2 Years
Weighted Average Effective Duration
0.6 Years
as of 06/30/2018
Credit Quality % of Portfolio
AAA/Aaa 40.9
AA/Aa 12.1
A/A 15.2
BBB/Baa 14.5
BB/Ba 0.0
B/B 0.0
< B/B 0.1
Not Rated 7.9
Cash Equivalents 9.2
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 06/30/2018
Sector % of Portfolio
Asset Backed Securities 38.7
U.S. Corporate 21.8
Non-Agency CMBS 11.4
U.S. Agency/MBS/CMBS 9.2
Cash Equivalents 7.6
Non-Agency MBS 6.7
International 3.3
Municipal 1.3
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 08/31/2018
Security Description % of Portfolio
DISCOVER BANK 2.60% 11/13/2018 1.7
ROCKWALL CDO 3.36% 08/01/2024 1.6
CENTEN 09/14/18 CP 09/14/2018 1.6
JPMORGAN CHASE 1.85% 03/22/2019 1.6
ETRCP 11/19/18 CP 11/19/2018 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 06/30/2018
Security Description
Country
Coupon Rate (%)
Maturity Date
Shares Par Value
Current Price ($)
Market Value ($)
% of Portfolio
A10 SECURITIZATION 2.77% 03/15/2036 US 2.770 03/15/2036 5,388,572 100.00 5,388,564 0.60
ACE SECURITIES CORP. 2.62% 10/25/2035 US 2.620 10/25/2035 8,318,027 100.09 8,325,857 0.93
ACTIVISION BLIZZ 6.13% 09/15/2023 US 6.130 09/15/2023 3,100,000 103.61 3,211,962 0.36
ALLY AUTO RECEIVABLES TRUST 2.26% 10/15/2020 US 2.260 10/15/2020 2,500,000 99.70 2,492,408 0.28
AMERICAN CREDIT ACCEPTANCE REC 1.84% 07/13/2020 US 1.840 07/13/2020 436,539 99.96 436,355 0.05
AMERICAN CREDIT ACCEPTANCE REC 2.00% 07/10/2020 US 2.000 07/10/2020 5,526,826 99.78 5,514,633 0.62
AMERICAN CREDIT ACCEPTANCE REC 2.11% 02/12/2021 US 2.110 02/12/2021 4,425,800 99.88 4,420,666 0.50
AMERICAN CREDIT ACCEPTANCE REC 2.25% 01/11/2021 US 2.250 01/11/2021 3,830,000 99.73 3,819,795 0.43
AMERICAN CREDIT ACCEPTANCE REC 2.46% 04/12/2021 US 2.460 04/12/2021 7,855,000 99.86 7,843,712 0.88
AMERICAN CREDIT ACCEPTANCE REC 5.38% 03/14/2022 US 5.380 03/14/2022 1,570,000 100.88 1,583,791 0.18
AMERICAN CREDIT ACCEPTANCE REC 5.45% 05/12/2022 US 5.450 05/12/2022 5,200,000 100.54 5,228,049 0.59
AMERICREDIT AUTOMOBILE RECEIVA 2.57% 07/08/2020 US 2.570 07/08/2020 5,970,000 99.92 5,965,401 0.67
AMGEN INC 1.90% 05/10/2019 US 1.900 05/10/2019 2,100,000 99.35 2,086,324 0.23
AMGEN INC 2.20% 05/11/2020 US 2.200 05/11/2020 2,100,000 98.42 2,066,799 0.23
AREIT 2018-CRE1 TRUST 2.92% 02/15/2035 US 2.920 02/15/2035 10,594,000 100.06 10,600,374 1.19
ARES CAPITAL COR 4.88% 11/30/2018 US 4.880 11/30/2018 10,000,000 100.71 10,071,438 1.13
ASCENTIUM EQUIPMENT RECEIVABLE 1.87% 07/10/2019 US 1.870 07/10/2019 2,131,012 99.80 2,126,717 0.24
ASCENTIUM EQUIPMENT RECEIVABLE 2.00% 05/11/2020 US 2.000 05/11/2020 3,820,000 99.38 3,796,468 0.43
ASCENTIUM EQUIPMENT RECEIVABLE 3.44% 10/12/2021 US 3.440 10/12/2021 2,294,000 100.12 2,296,849 0.26
ATTINC 12/06/18 CP 12/06/2018 US -- 12/06/2018 15,000,000 98.80 14,820,200 1.66
AVERY POINT CLO LTD 3.85% 01/15/2028 KY 3.850 01/15/2028 5,000,000 100.16 5,007,990 0.56
AVIS BUDGET RENTAL CAR FUNDING 1.92% 09/20/2019 US 1.920 09/20/2019 3,618,000 99.90 3,614,522 0.40
AVIS BUDGET RENTAL CAR FUNDING 2.46% 07/20/2020 US 2.460 07/20/2020 3,685,000 99.55 3,668,582 0.41
AVIS BUDGET RENTAL CAR FUNDING 3.29% 02/20/2021 US 3.290 02/20/2021 8,960,000 99.59 8,923,164 1.00
AVIS BUDGET RENTAL CAR FUNDING 3.66% 02/20/2020 US 3.660 02/20/2020 4,250,000 100.20 4,258,493 0.48
BANK ONE CORP 8.53% 03/01/2019 US 8.530 03/01/2019 700,000 103.63 725,378 0.08
BB&T CORPORATION 2.15% 02/01/2021 US 2.150 02/01/2021 7,000,000 97.25 6,807,507 0.76
BEAR STEARNS ADJUSTABLE RATE M 3.40% 04/25/2033 US 3.400 04/25/2033 2,145,076 101.46 2,176,295 0.24
BEAR STEARNS ADJUSTABLE RATE M 3.90% 04/25/2034 US 3.900 04/25/2034 267,406 100.60 269,008 0.03
BEAR STEARNS ASSET BACKED SECU 2.61% 03/25/2035 US 2.610 03/25/2035 3,687,394 99.35 3,663,268 0.41
BEAR STEARNS ASSET BACKED SECU 5.75% 01/25/2034 US 5.750 01/25/2034 198,135 100.87 199,849 0.02
BHMS MORTGAGE TRUST 3.86% 07/05/2033 US 3.860 07/05/2033 5,000,000 99.94 4,997,141 0.56
BKH 07/02/18 CP 07/02/2018 US -- 07/02/2018 15,000,000 99.98 14,997,213 1.68
BLUE VIRGO 3.00% 12/15/2022 US 3.000 12/15/2022 1,300,984 99.99 1,300,893 0.15
BRIT SKY BROADCA 2.63% 09/16/2019 GB 2.630 09/16/2019 1,405,000 99.29 1,395,080 0.16
BROOKHAVEN NY INDL DEV AGY 2.12% 01/01/2025 US 2.120 01/01/2025 3,150,000 100.00 3,150,000 0.35
BSPRT 2017-FL1 ISSUER LTD 2.74% 12/15/2027 US 2.740 12/15/2027 3,898,000 99.94 3,895,586 0.44
BSPRT 2017-FL1 ISSUER LTD 3.02% 12/15/2027 US 3.020 12/15/2027 3,219,000 100.00 3,218,989 0.36
BSPRT 2017-FL1 ISSUER LTD 3.42% 06/15/2027 KY 3.420 06/15/2027 2,985,000 100.09 2,987,785 0.33
CALIFORNIA ST ENTERPRISE DEV A 2.35% 09/01/2041 US 2.350 09/01/2041 2,010,000 100.00 2,010,000 0.23
CALIFORNIA ST INFRASTRUCTURE & 1.66% 12/01/2039 US 1.660 12/01/2039 1,885,000 100.00 1,885,000 0.21
CAPITAL AUTO RECEIVABLES ASSET 3.94% 04/20/2023 US 3.940 04/20/2023 5,710,000 100.32 5,728,434 0.64
CAPITAL AUTO RECEIVABLES ASSET 4.50% 01/22/2024 US 4.500 01/22/2024 5,250,000 101.02 5,303,657 0.59
CAPITAL ONE NA 2.35% 08/17/2018 US 2.350 08/17/2018 3,997,000 99.97 3,995,713 0.45
CARNOW AUTO RECEIVABLES TRUST 2.92% 09/15/2022 US 2.920 09/15/2022 1,956,227 99.53 1,947,027 0.22
CATHIA 10/10/18 CP 10/10/2018 US -- 10/10/2018 6,600,000 99.35 6,556,833 0.73
CAZENOVIA CREEK FUNDING LLC 2.00% 12/10/2023 US 2.000 12/10/2023 451,878 99.50 449,619 0.05
CCG RECEIVABLES TRUST 1.84% 11/14/2023 US 1.840 11/14/2023 4,255,755 99.17 4,220,543 0.47
CD COMMERCIAL MORTGAGE TRUST 5.65% 10/15/2048 US 5.650 10/15/2048 3,423,319 103.40 3,539,541 0.40
CFC LLC 1.75% 06/15/2021 US 1.750 06/15/2021 135,639 99.84 135,427 0.02
CFC LLC 5.93% 08/15/2019 US 5.930 08/15/2019 3,126,423 100.02 3,126,978 0.35
CFC LLC 7.86% 10/15/2020 US 7.860 10/15/2020 7,720,000 100.03 7,722,144 0.87
CHRYSLER CAPITAL AUTO RECEIVAB 3.26% 04/15/2021 US 3.260 04/15/2021 4,945,000 100.23 4,956,154 0.56
CITIBANK NA 2.66% 03/20/2019 US 2.660 03/20/2019 6,050,000 100.16 6,059,564 0.68
CITIGROUP COMMERCIAL MORTGAGE 3.35% 07/15/2027 US 3.350 07/15/2027 2,530,000 100.00 2,529,939 0.28
CITIGROUP INC 2.15% 07/30/2018 US 2.150 07/30/2018 1,900,000 99.98 1,899,586 0.21
CNH EQUIPMENT TRUST 1.93% 11/15/2021 US 1.930 11/15/2021 1,825,000 99.98 1,824,560 0.20
COMM MORTGAGE TRUST 1.45% 06/10/2047 US 1.450 06/10/2047 44,467,071 4.72 2,099,028 0.24
COMM MORTGAGE TRUST 2.97% 08/10/2046 US 2.970 08/10/2046 2,250,323 100.05 2,251,336 0.25
COMMERCIAL MORTGAGE TRUST 3.77% 10/15/2018 US 3.770 10/15/2018 3,977,350 99.94 3,974,870 0.45
COMMONWEALTH REI 5.88% 09/15/2020 US 5.880 09/15/2020 2,250,000 103.27 2,323,585 0.26
COMMUNITY PROGRAM LOAN TRUST 4.50% 04/01/2029 US 4.500 04/01/2029 53,119 99.68 52,948 0.01
CONN FUNDING II L.P 2.73% 07/15/2020 US 2.730 07/15/2020 2,795,816 99.98 2,795,384 0.31
CONSTELLATION BR 3.88% 11/15/2019 US 3.880 11/15/2019 1,239,000 101.05 1,251,954 0.14
COOPER US INC 3.88% 12/15/2020 US 3.880 12/15/2020 9,700,000 101.30 9,825,689 1.10
CREDIT AGRICOLE 2.75% 06/10/2020 FR 2.750 06/10/2020 5,000,000 98.74 4,937,155 0.55
CREDIT SUISSE MORTGAGE TRUST 3.00% 09/25/2044 US 3.000 09/25/2044 1,992,909 100.04 1,993,619 0.22
CREDIT SUISSE MORTGAGE TRUST 3.00% 10/25/2044 US 3.000 10/25/2044 5,084,805 99.87 5,077,954 0.57
CREDIT SUISSE MORTGAGE TRUST 3.38% 02/25/2042 US 3.380 02/25/2042 138,524 100.01 138,536 0.02
CROWN CASTLE TOW 3.22% 05/15/2022 US 3.220 05/15/2022 2,040,000 98.12 2,001,546 0.22
DAIMLER FINANCE 2.38% 08/01/2018 US 2.380 08/01/2018 500,000 99.97 499,866 0.06
DBUBS MORTGAGE TRUST 3.40% 07/12/2044 US 3.400 07/12/2044 712,288 100.97 719,230 0.08
DELL EQUIPMENT FINANCE TRUST 2.03% 07/22/2021 US 2.030 07/22/2021 2,775,000 99.73 2,767,584 0.31
DELL EQUIPMENT FINANCE TRUST 2.53% 07/22/2021 US 2.530 07/22/2021 1,425,000 99.83 1,422,556 0.16
DELL EQUIPMENT FINANCE TRUST 3.24% 07/22/2022 US 3.240 07/22/2022 1,800,000 100.17 1,803,026 0.20
DIAMOND 1 FIN/DI 3.48% 06/01/2019 US 3.480 06/01/2019 6,200,000 100.25 6,215,610 0.70
DIGNITY HEALTH 2.64% 11/01/2019 US 2.640 11/01/2019 7,700,000 99.81 7,685,298 0.86
DISCOVER BANK 2.60% 11/13/2018 US 2.600 11/13/2018 615,000 99.94 614,644 0.07
DOMINION ENERGY 2.58% 07/01/2020 US 2.580 07/01/2020 3,000,000 98.53 2,956,002 0.33
DOMINION RES 1.50% 09/30/2018 US 1.500 09/30/2018 825,000 99.71 822,601 0.09
DOV 07/05/18 CP 07/05/2018 US -- 07/05/2018 5,150,000 99.96 5,148,073 0.58
DREYFUS-GOV C-IN US -- -- 88,550 1.00 88,550 0.01
DRIVE AUTO RECEIVABLES TRUST 1.85% 04/15/2020 US 1.850 04/15/2020 3,665,000 99.89 3,660,958 0.41
DRIVE AUTO RECEIVABLES TRUST 2.25% 06/15/2021 US 2.250 06/15/2021 2,900,000 99.85 2,895,652 0.32
DRIVE AUTO RECEIVABLES TRUST 2.30% 05/17/2021 US 2.300 05/17/2021 4,400,000 99.74 4,388,486 0.49
DT AUTO OWNER TRUST 1.72% 05/15/2020 US 1.720 05/15/2020 524,505 99.92 524,064 0.06
DT AUTO OWNER TRUST 4.25% 02/15/2022 US 4.250 02/15/2022 8,534,686 100.61 8,586,608 0.96
DT AUTO OWNER TRUST 4.47% 11/15/2021 US 4.470 11/15/2021 6,991,042 100.48 7,024,504 0.79
DUKE ENERGY FLA 2.10% 12/15/2019 US 2.100 12/15/2019 3,750,000 99.42 3,728,364 0.42
DUPONT EI NEMOUR 2.20% 05/01/2020 US 2.200 05/01/2020 2,700,000 98.57 2,661,347 0.30
EDWARDS LIFE 2.88% 10/15/2018 US 2.880 10/15/2018 1,000,000 100.03 1,000,273 0.11
ELARA HGV TIMESHARE ISSUER 2.53% 02/25/2027 US 2.530 02/25/2027 597,926 97.88 585,274 0.07
ENERGY TRAN PTNR 6.70% 07/01/2018 US 6.700 07/01/2018 1,200,000 100.00 1,200,000 0.13
EXETER AUTOMOBILE RECEIVABLES 2.05% 12/15/2021 US 2.050 12/15/2021 782,591 99.46 778,350 0.09
EXETER AUTOMOBILE RECEIVABLES 3.26% 12/16/2019 US 3.260 12/16/2019 857,543 100.06 858,040 0.10
EXETER AUTOMOBILE RECEIVABLES 3.85% 05/17/2021 US 3.850 05/17/2021 2,321,684 100.52 2,333,794 0.26
EXETER AUTOMOBILE RECEIVABLES 4.17% 06/15/2020 US 4.170 06/15/2020 6,318,933 100.67 6,361,477 0.71
EXETER AUTOMOBILE RECEIVABLES 5.53% 02/16/2021 US 5.530 02/16/2021 5,831,289 100.64 5,868,377 0.66
FANNIE MAE 1.50% 09/25/2027 US 1.500 09/25/2027 245,405 95.14 233,468 0.03
FANNIE MAE 2.46% 09/25/2033 US 2.460 09/25/2033 271,540 100.37 272,558 0.03
FANNIE MAE 2.50% 03/25/2026 US 2.500 03/25/2026 2,197,262 99.34 2,182,727 0.24
FANNIE MAE 2.74% 08/01/2037 US 2.740 08/01/2037 125,484 101.27 127,075 0.01
FANNIE MAE 2.75% 10/25/2018 US 2.750 10/25/2018 2,776 99.87 2,772 0.00
FANNIE MAE 3.00% 05/25/2022 US 3.000 05/25/2022 2,511,110 4.32 108,489 0.01
FANNIE MAE 3.00% 12/25/2020 US 3.000 12/25/2020 5,589,921 99.99 5,589,563 0.63
FANNIE MAE 3.27% 10/01/2033 US 3.270 10/01/2033 48,285 104.38 50,398 0.01
FANNIE MAE 3.28% 04/01/2035 US 3.280 04/01/2035 151,504 102.57 155,401 0.02
FANNIE MAE 3.33% 01/01/2035 US 3.330 01/01/2035 780,258 103.43 807,042 0.09
FANNIE MAE 3.44% 09/01/2034 US 3.440 09/01/2034 108,575 102.74 111,554 0.01
FANNIE MAE 3.44% 10/01/2034 US 3.440 10/01/2034 38,511 105.00 40,438 0.00
FANNIE MAE 3.48% 02/01/2034 US 3.480 02/01/2034 149,395 105.32 157,349 0.02
FANNIE MAE 3.51% 09/01/2035 US 3.510 09/01/2035 118,594 105.44 125,045 0.01
FANNIE MAE 3.53% 01/01/2035 US 3.530 01/01/2035 144,380 104.46 150,815 0.02
FANNIE MAE 3.60% 01/01/2040 US 3.600 01/01/2040 105,614 102.47 108,223 0.01
FANNIE MAE 3.64% 02/01/2037 US 3.640 02/01/2037 81,145 105.07 85,261 0.01
FANNIE MAE 3.66% 09/01/2037 US 3.660 09/01/2037 498,216 103.40 515,150 0.06
FANNIE MAE 3.67% 05/01/2035 US 3.670 05/01/2035 48,624 105.51 51,304 0.01
FANNIE MAE 3.69% 06/01/2035 US 3.690 06/01/2035 43,300 105.55 45,701 0.01
FANNIE MAE 3.70% 02/01/2033 US 3.700 02/01/2033 46,335 104.01 48,193 0.01
FANNIE MAE 3.70% 02/01/2037 US 3.700 02/01/2037 2,682,166 103.42 2,773,882 0.31
FANNIE MAE 3.70% 04/01/2033 US 3.700 04/01/2033 88,621 105.04 93,090 0.01
FANNIE MAE 3.73% 04/01/2036 US 3.730 04/01/2036 46,188 104.94 48,470 0.01
FANNIE MAE 3.74% 04/01/2036 US 3.740 04/01/2036 924,976 105.50 975,836 0.11
FANNIE MAE 3.83% 04/01/2036 US 3.830 04/01/2036 307,939 105.82 325,870 0.04
FANNIE MAE 3.85% 03/01/2035 US 3.850 03/01/2035 39,170 105.03 41,139 0.00
FANNIE MAE 3.85% 04/01/2035 US 3.850 04/01/2035 106,952 105.22 112,539 0.01
FANNIE MAE 3.90% 05/01/2035 US 3.900 05/01/2035 318,089 103.47 329,128 0.04
FANNIE MAE 3.91% 04/01/2033 US 3.910 04/01/2033 116,295 104.67 121,722 0.01
FANNIE MAE 3.91% 05/01/2034 US 3.910 05/01/2034 74,366 103.41 76,903 0.01
FANNIE MAE 3.91% 08/01/2036 US 3.910 08/01/2036 36,726 104.17 38,258 0.00
FANNIE MAE 4.00% 04/01/2023 US 4.000 04/01/2023 230,208 102.64 236,274 0.03
FANNIE MAE 4.00% 04/01/2034 US 4.000 04/01/2034 843,566 104.58 882,179 0.10
FANNIE MAE 4.00% 05/25/2033 US 4.000 05/25/2033 59,533 101.96 60,699 0.01
FANNIE MAE 4.00% 07/01/2026 US 4.000 07/01/2026 154,310 102.74 158,543 0.02
FANNIE MAE 4.00% 08/01/2026 US 4.000 08/01/2026 164,705 102.75 169,239 0.02
FANNIE MAE 4.00% 10/01/2020 US 4.000 10/01/2020 57,109 102.64 58,614 0.01
FANNIE MAE 4.00% 11/25/2033 US 4.000 11/25/2033 190,055 101.38 192,677 0.02
FANNIE MAE 4.25% 03/25/2025 US 4.250 03/25/2025 28,513 100.70 28,711 0.00
FANNIE MAE 4.25% 05/25/2033 US 4.250 05/25/2033 67,790 102.01 69,154 0.01
FANNIE MAE 4.50% 05/01/2019 US 4.500 05/01/2019 94,279 100.73 94,968 0.01
FANNIE MAE 4.50% 07/25/2021 US 4.500 07/25/2021 1,375,743 100.59 1,383,899 0.16
FANNIE MAE 4.50% 12/01/2040 US 4.500 12/01/2040 147,713 105.13 155,293 0.02
FANNIE MAE 5.00% 04/01/2024 US 5.000 04/01/2024 21,751 104.03 22,626 0.00
FANNIE MAE 5.00% 04/01/2041 US 5.000 04/01/2041 147,055 107.28 157,759 0.02
FANNIE MAE 5.00% 05/01/2035 US 5.000 05/01/2035 26,931 107.08 28,839 0.00
FANNIE MAE 5.00% 07/01/2037 US 5.000 07/01/2037 70,660 107.09 75,670 0.01
FANNIE MAE 5.00% 07/01/2041 US 5.000 07/01/2041 271,956 107.23 291,623 0.03
FANNIE MAE 5.00% 09/01/2033 US 5.000 09/01/2033 136,185 107.11 145,866 0.02
FANNIE MAE 5.00% 10/01/2040 US 5.000 10/01/2040 83,421 107.27 89,490 0.01
FANNIE MAE 5.25% 05/25/2039 US 5.250 05/25/2039 525,063 103.07 541,163 0.06
FANNIE MAE 5.50% 01/01/2019 US 5.500 01/01/2019 21,145 100.11 21,168 0.00
FANNIE MAE 5.50% 03/01/2020 US 5.500 03/01/2020 16 100.11 16 0.00
FANNIE MAE 5.50% 04/01/2034 US 5.500 04/01/2034 155,333 108.79 168,987 0.02
FANNIE MAE 5.50% 04/01/2038 US 5.500 04/01/2038 5,323 109.12 5,809 0.00
FANNIE MAE 5.50% 04/01/2040 US 5.500 04/01/2040 9,237 110.00 10,161 0.00
FANNIE MAE 5.50% 05/01/2038 US 5.500 05/01/2038 37,776 103.28 39,015 0.00
FANNIE MAE 5.50% 06/01/2026 US 5.500 06/01/2026 67,054 107.17 71,865 0.01
FANNIE MAE 5.50% 12/01/2037 US 5.500 12/01/2037 40,096 107.86 43,248 0.00
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 85,289 110.07 93,882 0.01
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 82,472 112.03 92,393 0.01
FANNIE MAE 6.00% 08/01/2027 US 6.000 08/01/2027 111,903 109.29 122,298 0.01
FANNIE MAE 6.00% 09/01/2019 US 6.000 09/01/2019 11,809 100.88 11,913 0.00
FANNIE MAE 6.50% 10/01/2021 US 6.500 10/01/2021 156,769 102.36 160,467 0.02
FANNIE MAE 7.00% 05/01/2024 US 7.000 05/01/2024 1,962 106.14 2,083 0.00
FANNIE MAE 7.00% 11/01/2018 US 7.000 11/01/2018 253 100.01 253 0.00
FANNIE MAE 7.45% 08/01/2022 US 7.450 08/01/2022 49,827 101.68 50,664 0.01
FANNIE MAE 7.50% 06/01/2031 US 7.500 06/01/2031 50,579 102.15 51,666 0.01
FANNIE MAE 7.50% 07/01/2029 US 7.500 07/01/2029 25,265 113.39 28,647 0.00
FANNIE MAE 8.25% 04/01/2022 US 8.250 04/01/2022 4,415 100.17 4,422 0.00
FANNIEMAE WHOLE LOAN 6.11% 02/25/2032 US 6.110 02/25/2032 142,031 115.33 163,798 0.02
FDIC STRUCTURED SALE GUARANTEE 2.74% 12/03/2020 US 2.740 12/03/2020 50,127 98.53 49,390 0.01
FHMS 0.27% 09/25/2020 US 0.270 09/25/2020 116,217,290 0.23 267,579 0.03
FHMS KAIV 1.28% 06/25/2021 US 1.280 06/25/2021 128,830,332 2.82 3,628,481 0.41
FIRST INVESTORS AUTO OWNER TRU 1.53% 11/16/2020 US 1.530 11/16/2020 427,991 99.82 427,217 0.05
FLAGSHIP CREDIT AUTO TRUST 2.43% 06/15/2021 US 2.430 06/15/2021 1,630,000 99.39 1,620,030 0.18
FLORIDA GAS TRAN 7.90% 05/15/2019 US 7.900 05/15/2019 686,000 104.11 714,168 0.08
FLORIDA ST BRD OF ADMIN FIN CO 2.16% 07/01/2019 US 2.160 07/01/2019 5,000,000 99.38 4,969,050 0.56
FORD MOTOR CO 6.50% 08/01/2018 US 6.500 08/01/2018 300,000 100.30 300,890 0.03
FORD MOTOR CRED 5.88% 08/02/2021 US 5.880 08/02/2021 1,600,000 106.01 1,696,191 0.19
FREDDIE MAC 1.25% 08/15/2027 US 1.250 08/15/2027 3,340,376 92.03 3,074,285 0.34
FREDDIE MAC 2.47% 03/15/2034 US 2.470 03/15/2034 329,272 99.94 329,064 0.04
FREDDIE MAC 3.00% 06/15/2021 US 3.000 06/15/2021 1,262,173 99.91 1,261,003 0.14
FREDDIE MAC 3.37% 06/01/2035 US 3.370 06/01/2035 123,457 105.82 130,642 0.01
FREDDIE MAC 3.42% 11/01/2036 US 3.420 11/01/2036 245,128 105.47 258,526 0.03
FREDDIE MAC 3.44% 01/01/2037 US 3.440 01/01/2037 79,042 104.01 82,211 0.01
FREDDIE MAC 3.48% 11/01/2036 US 3.480 11/01/2036 536,344 105.38 565,201 0.06
FREDDIE MAC 3.49% 07/01/2036 US 3.490 07/01/2036 191,859 105.72 202,840 0.02
FREDDIE MAC 3.50% 11/01/2034 US 3.500 11/01/2034 120,258 105.00 126,275 0.01
FREDDIE MAC 3.54% 07/01/2035 US 3.540 07/01/2035 276,347 105.42 291,316 0.03
FREDDIE MAC 3.54% 12/01/2036 US 3.540 12/01/2036 463,058 104.96 486,025 0.05
FREDDIE MAC 3.56% 01/01/2036 US 3.560 01/01/2036 150,390 104.82 157,632 0.02
FREDDIE MAC 3.60% 11/01/2037 US 3.600 11/01/2037 100,230 104.59 104,829 0.01
FREDDIE MAC 3.63% 04/01/2035 US 3.630 04/01/2035 206,731 105.51 218,112 0.02
FREDDIE MAC 3.67% 11/01/2036 US 3.670 11/01/2036 411,368 105.31 433,218 0.05
FREDDIE MAC 3.68% 08/01/2037 US 3.680 08/01/2037 220,875 105.62 233,280 0.03
FREDDIE MAC 3.69% 09/01/2036 US 3.690 09/01/2036 374,150 105.25 393,774 0.04
FREDDIE MAC 3.82% 04/01/2037 US 3.820 04/01/2037 427,277 105.54 450,928 0.05
FREDDIE MAC 3.82% 08/01/2035 US 3.820 08/01/2035 53,502 105.43 56,406 0.01
FREDDIE MAC 3.83% 04/01/2035 US 3.830 04/01/2035 114,219 105.44 120,433 0.01
FREDDIE MAC 3.87% 04/01/2037 US 3.870 04/01/2037 271,540 105.22 285,708 0.03
FREDDIE MAC 3.91% 01/01/2036 US 3.910 01/01/2036 1,010,668 105.71 1,068,420 0.12
FREDDIE MAC 4.00% 06/15/2032 US 4.000 06/15/2032 22,656 99.85 22,621 0.00
FREDDIE MAC 4.00% 10/01/2019 US 4.000 10/01/2019 61,197 102.58 62,779 0.01
FREDDIE MAC 4.06% 05/01/2036 US 4.060 05/01/2036 162,801 105.33 171,477 0.02
FREDDIE MAC 4.09% 03/01/2034 US 4.090 03/01/2034 64,103 105.59 67,683 0.01
FREDDIE MAC 4.12% 04/01/2034 US 4.120 04/01/2034 502,652 105.37 529,651 0.06
FREDDIE MAC 4.25% 12/15/2019 US 4.250 12/15/2019 17,203 100.24 17,243 0.00
FREDDIE MAC 4.41% 03/01/2036 US 4.410 03/01/2036 298,251 107.79 321,476 0.04
FREDDIE MAC 5.00% 07/01/2035 US 5.000 07/01/2035 43,428 106.64 46,313 0.01
FREDDIE MAC 5.00% 10/01/2020 US 5.000 10/01/2020 258,945 101.68 263,289 0.03
FREDDIE MAC 5.00% 10/01/2020 US 5.000 10/01/2020 169,078 101.64 171,856 0.02
FREDDIE MAC 5.50% 06/01/2040 US 5.500 06/01/2040 15,093 107.13 16,169 0.00
FREDDIE MAC 5.50% 06/01/2040 US 5.500 06/01/2040 13,464 109.31 14,718 0.00
FREDDIE MAC 6.00% 08/01/2019 US 6.000 08/01/2019 58,882 100.48 59,162 0.01
FREDDIE MAC 6.50% 04/01/2021 US 6.500 04/01/2021 4,124 100.88 4,160 0.00
FREDDIE MAC 7.00% 05/01/2032 US 7.000 05/01/2032 66,885 110.17 73,689 0.01
FREDDIE MAC 8.00% 02/01/2023 US 8.000 02/01/2023 1,762 106.81 1,882 0.00
GENERAL MOTORS C 3.16% 08/07/2020 US 3.160 08/07/2020 6,300,000 100.33 6,320,998 0.71
GEORGIA POWER 2.00% 03/30/2020 US 2.000 03/30/2020 5,000,000 98.33 4,916,668 0.55
GLS AUTO RECEIVABLES TRUST 2.67% 04/15/2021 US 2.670 04/15/2021 3,812,007 99.74 3,802,185 0.43
GLS AUTO RECEIVABLES TRUST 2.73% 10/15/2020 US 2.730 10/15/2020 701,924 100.00 701,917 0.08
GLS AUTO RECEIVABLES TRUST 2.82% 07/15/2022 US 2.820 07/15/2022 7,645,752 99.42 7,601,603 0.85
GLS AUTO RECEIVABLES TRUST 3.25% 04/18/2022 US 3.250 04/18/2022 7,800,000 100.03 7,802,148 0.87
GLS AUTO RECEIVABLES TRUST 4.39% 01/15/2021 US 4.390 01/15/2021 3,900,000 100.70 3,927,300 0.44
GO FINANCIAL AUTO SECURITIZATI 4.80% 08/17/2020 US 4.800 08/17/2020 40,312 100.10 40,351 0.00
GOVERNMENT NATIONAL MORTAGE AS 2.33% 07/16/2057 US 2.330 07/16/2057 6,035,277 98.96 5,972,252 0.67
GOVERNMENT NATIONAL MORTAGE AS 2.38% 01/16/2058 US 2.380 01/16/2058 4,971,560 99.10 4,926,794 0.55
GOVERNMENT NATIONAL MORTGAGE A 1.61% 07/16/2039 US 1.610 07/16/2039 172,325 97.04 167,232 0.02
GOVERNMENT NATIONAL MORTGAGE A 2.63% 04/20/2034 US 2.630 04/20/2034 200,614 103.85 208,348 0.02
GOVERNMENT NATIONAL MORTGAGE A 2.75% 08/20/2034 US 2.750 08/20/2034 357,467 103.65 370,507 0.04
GOVERNMENT NATIONAL MORTGAGE A 3.00% 05/20/2040 US 3.000 05/20/2040 81,246 100.32 81,508 0.01
GOVERNMENT NATIONAL MORTGAGE A 3.00% 11/20/2044 US 3.000 11/20/2044 416,573 103.49 431,113 0.05
GOVERNMENT NATIONAL MORTGAGE A 3.00% 12/20/2044 US 3.000 12/20/2044 1,764,878 103.63 1,828,863 0.20
GOVERNMENT NATIONAL MORTGAGE A 3.13% 11/20/2018 US 3.130 11/20/2018 160 99.82 160 0.00
GOVERNMENT NATIONAL MORTGAGE A 3.38% 02/20/2034 US 3.380 02/20/2034 465,813 103.70 483,040 0.05
GOVERNMENT NATIONAL MORTGAGE A 3.38% 03/20/2041 US 3.380 03/20/2041 693,879 102.59 711,844 0.08
GOVERNMENT NATIONAL MORTGAGE A 4.50% 10/20/2032 US 4.500 10/20/2032 112,321 102.54 115,169 0.01
GOVERNMENT NATIONAL MORTGAGE A 6.50% 04/15/2022 US 6.500 04/15/2022 4,175 103.61 4,326 0.00
GOVERNMENT NATIONAL MORTGAGE A 7.00% 04/15/2024 US 7.000 04/15/2024 13,801 100.38 13,854 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 02/15/2023 US 8.000 02/15/2023 7,227 105.19 7,603 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 11/15/2022 US 8.000 11/15/2022 8,381 105.41 8,835 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 12/15/2023 US 8.000 12/15/2023 33,468 105.44 35,288 0.00
GRAYSON CLO LTD 2.47% 11/01/2021 KY 2.470 11/01/2021 9,615,084 99.82 9,598,248 1.08
GS MORTAGE SECURITIES TRUST 0.91% 05/10/2022 US 0.910 05/10/2022 143,822,000 1.48 2,133,125 0.24
GS MORTGAGE SECURITIES TRUST 1.33% 10/10/2032 US 1.330 10/10/2032 118,906,000 4.57 5,433,374 0.61
GS MORTGAGE SECURITIES TRUST 1.44% 05/10/2050 US 1.440 05/10/2050 3,302,233 98.80 3,262,733 0.37
GSR MORTGAGE LOAN TRUST 3.40% 10/25/2033 US 3.400 10/25/2033 3,830,828 102.94 3,943,472 0.44
HAWAII ST 2.20% 01/01/2019 US 2.200 01/01/2019 1,000,000 99.89 998,860 0.11
HERTZ VEHICLE FINANCING LLC 1.83% 08/25/2019 US 1.830 08/25/2019 2,003,333 99.90 2,001,400 0.22
HERTZ VEHICLE FINANCING LLC 2.02% 09/25/2019 US 2.020 09/25/2019 10,230,000 99.84 10,213,222 1.14
HERTZ VEHICLE FINANCING LLC 2.32% 03/25/2020 US 2.320 03/25/2020 7,450,000 99.57 7,417,883 0.83
HOSPITALITY MORTGAGE TRUST 3.10% 05/08/2030 US 3.100 05/08/2030 8,320,000 100.00 8,320,259 0.93
HP ENTERPRISE 2.10% 10/04/2019 US 2.100 10/04/2019 9,300,000 98.74 9,182,930 1.03
HUNTINGTON BANCS 7.00% 12/15/2020 US 7.000 12/15/2020 8,199,000 107.88 8,845,023 0.99
INTERCONTINENT 2.50% 10/15/2018 US 2.500 10/15/2018 825,000 100.00 824,992 0.09
ITC HOLDINGS COR 5.50% 01/15/2020 US 5.500 01/15/2020 700,000 102.96 720,726 0.08
JP MORGAN CHASE COMMERCIAL MOR 2.77% 10/15/2032 US 2.770 10/15/2032 10,422,000 100.03 10,425,496 1.17
JP MORGAN MORTGAGE TRUST 3.82% 06/25/2036 US 3.820 06/25/2036 150,969 94.60 142,823 0.02
JPMBB COMMERCIAL MORTGAGE SECU 2.42% 07/15/2045 US 2.420 07/15/2045 1,890,673 99.90 1,888,783 0.21
JPMORGAN CHASE 1.85% 03/22/2019 US 1.850 03/22/2019 15,000,000 99.37 14,905,106 1.67
KABBAGE FUNDING LLC 4.57% 03/15/2022 US 4.570 03/15/2022 3,431,000 100.96 3,463,864 0.39
KEYCORP 2.30% 12/13/2018 US 2.300 12/13/2018 4,730,000 99.88 4,724,377 0.53
KRAFT HEINZ FOOD 2.92% 02/10/2021 US 2.920 02/10/2021 6,800,000 100.11 6,807,807 0.76
KRAFT HEINZ FOOD 6.13% 08/23/2018 US 6.130 08/23/2018 2,075,000 100.51 2,085,582 0.23
KRPP 07/02/18 CP 07/02/2018 US -- 07/02/2018 7,750,000 99.98 7,748,611 0.87
LEAR CORP 5.38% 03/15/2024 US 5.380 03/15/2024 3,808,000 103.73 3,949,883 0.44
MARTIN MAR MTLS 2.98% 05/22/2020 US 2.980 05/22/2020 6,875,000 100.24 6,891,793 0.77
MASSACHUSETTS ST EDUCTNL FING 3.73% 01/01/2031 US 3.730 01/01/2031 417,000 100.00 417,000 0.05
MERRILL LYNCH 6.88% 11/15/2018 US 6.880 11/15/2018 3,000,000 101.55 3,046,596 0.34
MERRILL LYNCH MORTGAGE INVESTO 4.41% 12/25/2032 US 4.410 12/25/2032 20,776 100.14 20,805 0.00
MERRILL LYNCH MORTGAGE INVESTO 6.75% 11/15/2026 US 6.750 11/15/2026 1,883,000 103.78 1,954,206 0.22
MICRON TECH 04/26/2022 US -- 04/26/2022 1,739,500 100.15 1,742,109 0.20
MLCC MORTGAGE INVESTORS INC 4.02% 12/25/2034 US 4.020 12/25/2034 149,884 99.51 149,146 0.02
MMAF EQUIPMENT FINANCE LLC 1.98% 06/10/2032 US 1.980 06/10/2032 215,581 99.91 215,388 0.02
MOLEX ELECT TECH 2.88% 04/15/2020 US 2.880 04/15/2020 2,000,000 98.99 1,979,716 0.22
MONSANTO CO 1.85% 11/15/2018 US 1.850 11/15/2018 800,000 99.72 797,788 0.09
MOODY'S CORP 2.67% 09/04/2018 US 2.670 09/04/2018 3,000,000 100.02 3,000,714 0.34
MORGAN KEEGAN & 2.15% 01/25/2026 US 2.150 01/25/2026 171,859 99.25 170,572 0.02
MORGAN STANLEY BAML TRUST 1.41% 02/15/2048 US 1.410 02/15/2048 2,120,347 99.34 2,106,446 0.24
MORGAN STANLEY CAPITAL INC 2.56% 12/25/2035 US 2.560 12/25/2035 1,178,179 100.16 1,180,054 0.13
MOUNTAIN AGENCY 2.37% 12/01/2023 US 2.370 12/01/2023 7,350,000 100.00 7,350,000 0.82
NATL CITY BK IND 4.25% 07/01/2018 US 4.250 07/01/2018 300,000 100.00 300,000 0.03
NAVITAS EQUIPMENT RECEIVABLES 2.20% 06/15/2021 US 2.200 06/15/2021 3,735,628 99.67 3,723,160 0.42
NEW CENTURY HOME EQUITY LOAN T 2.49% 10/25/2035 US 2.490 10/25/2035 3,555,267 100.21 3,562,694 0.40
NEW MEXICO ST EDUCTNL ASSISTAN 2.95% 12/01/2028 US 2.950 12/01/2028 30,000 100.02 30,005 0.00
NEWELL BRANDS I 5.00% 11/15/2023 US 5.000 11/15/2023 1,000,000 102.20 1,022,045 0.11
OCP CLO LTD 3.93% 10/18/2028 KY 3.930 10/18/2028 10,070,000 100.14 10,084,309 1.13
ONEMAIN DIRECT AUTO RECEIVABLE 2.04% 01/15/2021 US 2.040 01/15/2021 16,126 99.98 16,122 0.00
ONEMAIN DIRECT AUTO RECEIVABLE 2.76% 05/15/2021 US 2.760 05/15/2021 4,900,000 100.01 4,900,568 0.55
OPTEUM MORTGAGE ACCEPTANCE COR 2.70% 07/25/2035 US 2.700 07/25/2035 10,695,167 100.60 10,759,090 1.21
ORANGE LAKE TIMESHARE TRUST 2.29% 07/09/2029 US 2.290 07/09/2029 640,037 97.90 626,623 0.07
ORANGE LAKE TIMESHARE TRUST 3.45% 03/10/2027 US 3.450 03/10/2027 1,005,000 100.02 1,005,217 0.11
OVERSEAS PRI INV 2.00% 07/20/2022 US 2.000 07/20/2022 5,000,000 100.00 5,000,000 0.56
OVERSEAS PRI INV 2.00% 10/15/2039 US 2.000 10/15/2039 2,100,000 100.00 2,100,000 0.24
OZLM LTD 3.18% 07/30/2027 US 3.180 07/30/2027 9,000,000 100.01 9,000,594 1.01
PHILLIPS 66 3.00% 04/15/2019 US 3.000 04/15/2019 3,650,000 100.04 3,651,616 0.41
PNC BANK NA 1.85% 07/20/2018 US 1.850 07/20/2018 390,000 99.98 389,910 0.04
PNC BANK NA 2.20% 01/28/2019 US 2.200 01/28/2019 250,000 99.74 249,354 0.03
PRINCIPAL LFE II 1.50% 04/18/2019 US 1.500 04/18/2019 2,500,000 99.03 2,475,849 0.28
PUB SVC NEW HAMP 4.05% 06/01/2021 US 4.050 06/01/2021 2,700,000 101.93 2,752,180 0.31
RAAC SERIES 2.43% 11/25/2036 US 2.430 11/25/2036 2,571,000 99.48 2,557,756 0.29
RAIT TRUST 2017-FL7 A 2.87% 06/15/2037 US 2.870 06/15/2037 3,752,720 100.04 3,754,342 0.42
RAS LAFFAN LNG 3 6.75% 09/30/2019 QA 6.750 09/30/2019 1,500,000 103.75 1,556,250 0.17
RASGAS II 5.30% 09/30/2020 QA 5.300 09/30/2020 246,240 102.13 251,473 0.03
RECKITT BEN TSY 2.13% 09/21/2018 GB 2.130 09/21/2018 4,020,000 99.90 4,016,177 0.45
RECKITT BEN TSY 2.85% 06/24/2022 GB 2.850 06/24/2022 1,540,000 99.79 1,536,732 0.17
REGL TRANSPRTN AUTH IL 3.01% 05/29/2020 US 3.010 05/29/2020 4,200,000 100.10 4,204,326 0.47
RESIDENTIAL FUNDING MTG SEC I 3.53% 02/25/2037 US 3.530 02/25/2037 724,769 86.02 623,441 0.07
RIB FLOATER TRUST 2.44% 07/01/2022 US 2.440 07/01/2022 6,900,000 100.00 6,900,000 0.77
ROCKWALL CDO 2.77% 08/01/2024 KY 2.770 08/01/2024 15,322,000 99.49 15,244,256 1.71
SAINT PAUL MN HSG & REDEV AUTH 1.84% 07/01/2018 US 1.840 07/01/2018 1,095,000 100.00 1,095,000 0.12
SANTANDER DRIVE AUTO RECEIVABL 2.74% 01/15/2021 US 2.740 01/15/2021