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 145 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 Morningstar RatingTM does not include any adjustment for sales load. The top 10% of products in each product category receive five stars, the next 22.5% receive four stars, the next 35% receive three stars, the next 22.5% receive two stars, and the bottom 10% receive one star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its 3-, 5- and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% 3-year rating for 36-59 months of total returns, 60% 5-year rating/40% 3-year rating for 60-119 months of total returns, and 50% 10-year rating/30% 5-year rating/20% 3-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent 3-year period actually has the greatest impact because it is included in all three rating periods.

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

Overview

Overview

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

Objective

The fund seeks 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 a sub-advisor to make investment decisions for the Fund’s portfolio; it may be unable to identify and retain a sub-advisor who achieves superior investment returns relative to other similar sub-advisors.

Fund Facts

Symbol
CUSIP
Share Class Inception Date
Total Share Class Net Assets as of 12/31/2018
Total Fund Net Assets as of 12/31/2018 $935,264,862
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 01/31/2019 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 0.20% 0.59% 0.20% 1.95% 1.08% 0.67% 0.40% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 0.26% 0.85% 0.26% 2.07% 1.08% 0.75% 0.66% --
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 12/31/2018 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 1.87% 1.02% 0.63% 0.38% --
ICE BofA Merrill Lynch 1-Year U.S. Treasury Note Index 1.86% 1.06% 0.70% 0.62% --
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 12/31/2018
Number of Holdings
355
Weighted Average Effective Maturity
1.34 Years
Weighted Average Effective Duration
0.56 Years
as of 12/31/2018
Credit Quality % of Portfolio
AAA/Aaa 30.6
AA/Aa 14.1
A/A 16.5
BBB/Baa 20.1
BB/Ba 0.0
B/B 0.0
< B/B 0.1
Cash Equivalents 9.9
Not Rated 8.6
Data may not total due to rounding. The ratings agencies that provided the ratings are Standard & Poor's and Moody's Investors Service. When ratings vary, the highest rating is used. Credit ratings of A or better are considered to be high credit quality; credit ratings of BBB are good credit quality, and the lowest category of investment grade; credit ratings BB and below are lower-rated securities ("junk bonds"); and credit ratings of CCC or below have high default risk. Where no rating has been assigned, it could be for reasons unrelated to the creditworthiness of the issuer. The credit quality ratings apply only to the credit worthiness of the issuers of the underlying securities and not the fund or its shares.  Ratings are subject to change.  
For the data illustrated for Touchstone Domestic Equity Funds, Morningstar is the source. For the data illustrated for Touchstone Fixed Income Funds,  International/Global Equity Funds and Multi-Asset & Alternative Funds, the fund’s sub-advisor is the source. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 12/31/2018
Sector % of Portfolio
Asset Backed Securities 29.8
U.S. Corporate 26.5
Non-Agency CMBS 13.3
Cash Equivalents 9.9
International 7.9
Non-Agency MBS 5.9
U.S. Agency/MBS/CMBS 5.6
Municipal 1.1
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 01/31/2019
Security Description % of Portfolio
INSTPL 02/01/19 CP 02/01/2019 1.8
ROCKWALL CDO 3.34% 08/01/2024 1.6
AVYPP 02/01/19 CP 02/01/2019 1.6
ETRCP 02/01/19 CP 02/01/2019 1.6
JPMORGAN CHASE 1.85% 03/22/2019 1.6
There is no guarantee that the Fund will continue to hold any one particular security or stay invested in any one particular sector. Holdings are subject to change. Calculations for sectors and top holdings exclude cash equivalents. Data may not total due to rounding. 
For the data illustrated for Touchstone Domestic Equity Funds, Morningstar is the source. For the data illustrated for Touchstone Fixed Income Funds,  International/Global Equity Funds and Multi-Asset & Alternative Funds, the fund’s sub-advisor is the source. All holdings data is sourced from BNY Mellon Asset Servicing.
as of 12/31/2018
Security Description
Country
Coupon Rate (%)
Maturity Date
Shares Par Value
Current Price ($)
Market Value ($)
% of Portfolio
A10 SECURITIZATION 3.31% 03/15/2036 US 3.310 03/15/2036 2,078,580 99.95 2,077,604 0.22
ALLY AUTO RECEIVABLES TRUST 2.26% 10/15/2020 US 2.260 10/15/2020 2,500,000 99.96 2,498,969 0.27
AMERICAN CREDIT ACCEPTANCE REC 2.00% 07/10/2020 US 2.000 07/10/2020 745,610 99.94 745,164 0.08
AMERICAN CREDIT ACCEPTANCE REC 2.25% 01/11/2021 US 2.250 01/11/2021 1,596,851 99.91 1,595,465 0.17
AMERICAN CREDIT ACCEPTANCE REC 2.46% 04/12/2021 US 2.460 04/12/2021 1,221,978 99.97 1,221,649 0.13
AMERICAN CREDIT ACCEPTANCE REC 2.61% 05/10/2021 US 2.610 05/10/2021 8,389,000 99.85 8,376,026 0.90
AMERICAN CREDIT ACCEPTANCE REC 2.87% 08/12/2022 US 2.870 08/12/2022 473,329 99.98 473,234 0.05
AMERICAN CREDIT ACCEPTANCE REC 2.94% 01/10/2022 US 2.940 01/10/2022 877,301 99.81 875,611 0.09
AMERICAN CREDIT ACCEPTANCE REC 3.38% 12/13/2021 US 3.380 12/13/2021 10,000,000 100.01 10,001,230 1.07
AMERICREDIT AUTOMOBILE RECEIVA 2.57% 07/08/2020 US 2.570 07/08/2020 5,348,033 99.98 5,346,844 0.57
AMERICREDIT AUTOMOBILE RECEIVA 3.00% 06/08/2021 US 3.000 06/08/2021 3,179,000 99.72 3,169,958 0.34
AMGEN INC 1.90% 05/10/2019 US 1.900 05/10/2019 2,100,000 99.58 2,091,223 0.22
AMGEN INC 2.20% 05/11/2020 US 2.200 05/11/2020 2,100,000 98.74 2,073,515 0.22
ANHEUSER-BUSCH 3.82% 02/01/2021 US 3.820 02/01/2021 9,500,000 100.55 9,552,011 1.03
AREIT CRE TRUST 3.29% 02/15/2035 US 3.290 02/15/2035 8,347,269 98.99 8,263,099 0.89
ASCENTIUM EQUIPMENT RECEIVABLE 1.87% 07/10/2019 US 1.870 07/10/2019 185,680 99.96 185,608 0.02
ASCENTIUM EQUIPMENT RECEIVABLE 2.00% 05/11/2020 US 2.000 05/11/2020 2,543,752 99.51 2,531,407 0.27
AVERY POINT CLO LTD 3.94% 01/15/2028 KY 3.940 01/15/2028 5,000,000 100.00 5,000,035 0.54
AVIS BUDGET RENTAL CAR FUNDING 2.46% 07/20/2020 US 2.460 07/20/2020 11,085,000 99.71 11,052,517 1.19
AVIS BUDGET RENTAL CAR FUNDING 3.29% 02/20/2021 US 3.290 02/20/2021 8,960,000 99.68 8,930,979 0.96
AVIS BUDGET RENTAL CAR FUNDING 3.66% 02/20/2020 US 3.660 02/20/2020 1,416,667 99.99 1,416,587 0.15
BANK ONE CORP 8.53% 03/01/2019 US 8.530 03/01/2019 700,000 100.84 705,886 0.08
BB&T CORPORATION 2.15% 02/01/2021 US 2.150 02/01/2021 7,000,000 97.90 6,852,691 0.74
BB&T CORPORATION 6.85% 04/30/2019 US 6.850 04/30/2019 4,000,000 101.23 4,049,152 0.43
BEAR STEARNS ADJUSTABLE RATE M 3.89% 04/25/2034 US 3.890 04/25/2034 246,999 99.49 245,749 0.03
BEAR STEARNS ADJUSTABLE RATE M 4.06% 04/25/2033 US 4.060 04/25/2033 1,932,362 101.06 1,952,755 0.21
BEAR STEARNS ASSET BACKED SECU 3.16% 03/25/2035 US 3.160 03/25/2035 3,473,460 99.43 3,453,763 0.37
BEAR STEARNS ASSET BACKED SECU 5.75% 01/25/2034 US 5.750 01/25/2034 187,198 99.54 186,337 0.02
BKH 01/02/19 CP 01/02/2019 US -- 01/02/2019 15,000,000 99.99 14,997,816 1.61
BLUE VIRGO 3.00% 12/15/2022 US 3.000 12/15/2022 690,280 100.00 690,280 0.07
BRIT SKY BROADCA 2.63% 09/16/2019 GB 2.630 09/16/2019 1,405,000 99.25 1,394,393 0.15
BROOKHAVEN NY INDL DEV AGY 2.63% 01/01/2025 US 2.630 01/01/2025 3,000,000 100.00 3,000,000 0.32
BSPRT 2017-FL1 ISSUER LTD 3.31% 12/15/2027 US 3.310 12/15/2027 1,257,763 99.02 1,245,459 0.13
BSPRT 2017-FL1 ISSUER LTD 3.41% 12/15/2027 US 3.410 12/15/2027 3,219,000 98.75 3,178,675 0.34
BSPRT 2017-FL1 ISSUER LTD 3.81% 06/15/2027 KY 3.810 06/15/2027 648,229 99.82 647,074 0.07
BSPRT 2018-FL4 ISSUER LTD. 3.36% 09/15/2035 KY 3.360 09/15/2035 10,000,000 98.54 9,853,891 1.06
BX TRUST 3.51% 10/15/2032 US 3.510 10/15/2032 4,245,000 98.94 4,200,135 0.45
CALIFORNIA REPUBLIC AUTO RECEI 3.61% 06/17/2021 US 3.610 06/17/2021 4,260,000 99.98 4,259,005 0.46
CALIFORNIA ST ENTERPRISE DEV A 2.75% 09/01/2041 US 2.750 09/01/2041 1,865,000 100.00 1,865,000 0.20
CALIFORNIA ST INFRASTRUCTURE & 1.86% 12/01/2039 US 1.860 12/01/2039 1,885,000 100.00 1,885,000 0.20
CAPITAL AUTO RECEIVABLES ASSET 4.50% 01/22/2024 US 4.500 01/22/2024 5,250,000 100.44 5,273,072 0.57
CARNOW AUTO RECEIVABLES TRUST 2.92% 09/15/2022 US 2.920 09/15/2022 1,188,981 99.54 1,183,541 0.13
CAZENOVIA CREEK FUNDING LLC 2.00% 12/10/2023 US 2.000 12/10/2023 178,307 99.10 176,710 0.02
CCG RECEIVABLES TRUST 1.84% 11/14/2023 US 1.840 11/14/2023 2,841,045 99.16 2,817,099 0.30
CD COMMERCIAL MORTGAGE TRUST 5.65% 10/15/2048 US 5.650 10/15/2048 3,423,319 102.76 3,517,952 0.38
CENTEN 01/03/19 CP 01/03/2019 US -- 01/03/2019 11,200,000 99.98 11,197,540 1.20
CHRYSLER CAPITAL AUTO RECEIVAB 3.26% 04/15/2021 US 3.260 04/15/2021 4,945,000 100.07 4,948,279 0.53
CITIBANK NA 3.13% 03/20/2019 US 3.130 03/20/2019 6,050,000 100.02 6,051,469 0.65
CITIGROUP COMMERCIAL MORTGAGE 3.59% 07/15/2027 US 3.590 07/15/2027 2,530,000 99.51 2,517,597 0.27
COMM MORTGAGE TRUST 1.27% 06/10/2047 US 1.270 06/10/2047 44,159,528 4.24 1,870,893 0.20
COMM MORTGAGE TRUST 2.97% 08/10/2046 US 2.970 08/10/2046 181,656 100.11 181,864 0.02
COMMERCIAL MORTGAGE TRUST 4.03% 10/15/2034 US 4.030 10/15/2034 6,308,142 99.80 6,295,388 0.68
COMMONWEALTH REI 5.88% 09/15/2020 US 5.880 09/15/2020 2,250,000 102.44 2,304,827 0.25
COMMUNITY PROGRAM LOAN TRUST 4.50% 04/01/2029 US 4.500 04/01/2029 45,976 98.66 45,360 0.00
CONAGRA BRANDS 3.22% 10/22/2020 US 3.220 10/22/2020 1,475,000 99.72 1,470,856 0.16
CONN FUNDING II L.P 2.73% 07/15/2020 US 2.730 07/15/2020 0 100.00 0 0.00
CONN FUNDING II L.P 3.25% 01/15/2023 US 3.250 01/15/2023 3,288,282 100.02 3,288,850 0.35
CONSTELLATION BR 3.21% 11/15/2021 US 3.210 11/15/2021 3,000,000 98.80 2,964,065 0.32
CONSTELLATION BR 3.88% 11/15/2019 US 3.880 11/15/2019 1,239,000 100.37 1,243,606 0.13
CPS AUTO TRUST 3.77% 08/17/2020 US 3.770 08/17/2020 3,441,909 100.11 3,445,655 0.37
CRED SUIS GP FUN 3.13% 12/10/2020 GG 3.130 12/10/2020 300,000 99.02 297,066 0.03
CREDIT AGRICOLE 2.75% 06/10/2020 FR 2.750 06/10/2020 5,000,000 98.87 4,943,440 0.53
CREDIT SUISSE MORTGAGE TRUST 3.00% 09/25/2044 US 3.000 09/25/2044 1,294,338 100.42 1,299,727 0.14
CREDIT SUISSE MORTGAGE TRUST 3.00% 10/25/2044 US 3.000 10/25/2044 3,706,036 99.32 3,680,801 0.40
CREDIT SUISSE MORTGAGE TRUST 3.38% 02/25/2042 US 3.380 02/25/2042 51,911 99.80 51,806 0.01
CROWN CASTLE TOW 3.22% 05/15/2022 US 3.220 05/15/2022 2,040,000 98.34 2,006,075 0.22
DANONE 1.69% 10/30/2019 FR 1.690 10/30/2019 4,600,000 98.62 4,536,714 0.49
DBUBS MORTGAGE TRUST 3.75% 07/12/2044 US 3.750 07/12/2044 583,226 101.03 589,241 0.06
DELL EQUIPMENT FINANCE TRUST 2.03% 07/22/2021 US 2.030 07/22/2021 800,113 99.94 799,599 0.09
DELL EQUIPMENT FINANCE TRUST 2.14% 04/22/2022 US 2.140 04/22/2022 2,093,828 99.65 2,086,560 0.22
DELL EQUIPMENT FINANCE TRUST 2.53% 07/22/2021 US 2.530 07/22/2021 1,615,000 99.90 1,613,451 0.17
DELL EQUIPMENT FINANCE TRUST 3.24% 07/22/2022 US 3.240 07/22/2022 1,800,000 99.97 1,799,517 0.19
DIAMOND 1 FIN/DI 3.48% 06/01/2019 US 3.480 06/01/2019 6,200,000 99.70 6,181,677 0.66
DIGNITY HEALTH 2.64% 11/01/2019 US 2.640 11/01/2019 7,700,000 99.42 7,655,028 0.82
DISCOVERY COMMUN 2.20% 09/20/2019 US 2.200 09/20/2019 4,595,000 98.95 4,546,927 0.49
DOMINION ENERGY 2.58% 07/01/2020 US 2.580 07/01/2020 3,000,000 98.44 2,953,054 0.32
DREYFUS-GOV C-IN US -- -- 110,122 1.00 110,122 0.01
DRIVE AUTO RECEIVABLES TRUST 2.25% 06/15/2021 US 2.250 06/15/2021 623,793 99.93 623,345 0.07
DRIVE AUTO RECEIVABLES TRUST 2.30% 05/17/2021 US 2.300 05/17/2021 2,467,771 99.89 2,465,017 0.26
DRIVE AUTO RECEIVABLES TRUST 2.98% 01/18/2022 US 2.980 01/18/2022 8,870,287 99.90 8,861,453 0.95
DRIVE AUTO RECEIVABLES TRUST 5.30% 07/15/2024 US 5.300 07/15/2024 2,300,000 102.90 2,366,628 0.25
DT AUTO OWNER TRUST 2.70% 11/15/2022 US 2.700 11/15/2022 12,364,635 99.76 12,334,429 1.32
DT AUTO OWNER TRUST 4.25% 02/15/2022 US 4.250 02/15/2022 5,915,370 100.22 5,928,218 0.64
DUKE ENERGY FLA 2.10% 12/15/2019 US 2.100 12/15/2019 2,500,000 99.19 2,479,774 0.27
DUPONT EI NEMOUR 2.20% 05/01/2020 US 2.200 05/01/2020 2,700,000 99.30 2,681,048 0.29
EASTMAN CHEMICAL 3.50% 12/01/2021 US 3.500 12/01/2021 5,000,000 100.50 5,025,069 0.54
EATON ELECTRIC H 3.88% 12/15/2020 US 3.880 12/15/2020 9,700,000 100.87 9,784,070 1.05
ELARA HGV TIMESHARE ISSUER 2.53% 02/25/2027 US 2.530 02/25/2027 475,699 98.72 469,629 0.05
ELEC DE FRANCE 2.15% 01/22/2019 FR 2.150 01/22/2019 9,342,000 99.94 9,336,466 1.00
EXELON GENERATIO 2.95% 01/15/2020 US 2.950 01/15/2020 1,385,000 99.52 1,378,333 0.15
EXETER AUTOMOBILE RECEIVABLES 2.05% 12/15/2021 US 2.050 12/15/2021 462,506 99.39 459,692 0.05
EXETER AUTOMOBILE RECEIVABLES 3.85% 05/17/2021 US 3.850 05/17/2021 827,063 100.18 828,581 0.09
EXETER AUTOMOBILE RECEIVABLES 4.17% 06/15/2020 US 4.170 06/15/2020 2,804,063 100.25 2,810,998 0.30
FANNIE MAE 1.50% 09/25/2027 US 1.500 09/25/2027 215,130 95.96 206,430 0.02
FANNIE MAE 2.50% 03/25/2026 US 2.500 03/25/2026 1,392,689 99.79 1,389,821 0.15
FANNIE MAE 2.82% 09/25/2033 US 2.820 09/25/2033 246,668 100.36 247,554 0.03
FANNIE MAE 3.00% 05/25/2022 US 3.000 05/25/2022 1,955,570 3.88 75,793 0.01
FANNIE MAE 3.00% 12/25/2020 US 3.000 12/25/2020 3,398,336 99.45 3,379,748 0.36
FANNIE MAE 3.28% 04/01/2035 US 3.280 04/01/2035 147,970 102.57 151,777 0.02
FANNIE MAE 3.46% 08/01/2037 US 3.460 08/01/2037 113,414 101.28 114,861 0.01
FANNIE MAE 3.53% 01/01/2035 US 3.530 01/01/2035 132,601 104.10 138,041 0.01
FANNIE MAE 3.67% 02/01/2033 US 3.670 02/01/2033 37,258 104.37 38,884 0.00
FANNIE MAE 3.68% 04/01/2033 US 3.680 04/01/2033 68,716 105.57 72,545 0.01
FANNIE MAE 3.85% 03/01/2035 US 3.850 03/01/2035 31,466 105.29 33,130 0.00
FANNIE MAE 3.90% 02/01/2037 US 3.900 02/01/2037 67,741 105.00 71,128 0.01
FANNIE MAE 3.91% 04/01/2033 US 3.910 04/01/2033 91,856 104.58 96,063 0.01
FANNIE MAE 3.93% 04/01/2035 US 3.930 04/01/2035 99,267 105.47 104,693 0.01
FANNIE MAE 3.93% 08/01/2036 US 3.930 08/01/2036 23,597 104.40 24,634 0.00
FANNIE MAE 3.98% 02/01/2034 US 3.980 02/01/2034 109,894 104.89 115,264 0.01
FANNIE MAE 3.99% 04/01/2034 US 3.990 04/01/2034 758,483 104.38 791,668 0.08
FANNIE MAE 4.00% 04/01/2023 US 4.000 04/01/2023 167,724 102.40 171,745 0.02
FANNIE MAE 4.00% 05/25/2033 US 4.000 05/25/2033 51,893 102.93 53,412 0.01
FANNIE MAE 4.00% 07/01/2026 US 4.000 07/01/2026 136,515 102.48 139,894 0.02
FANNIE MAE 4.00% 08/01/2026 US 4.000 08/01/2026 152,697 102.49 156,500 0.02
FANNIE MAE 4.00% 10/01/2020 US 4.000 10/01/2020 31,208 102.40 31,956 0.00
FANNIE MAE 4.00% 11/25/2033 US 4.000 11/25/2033 165,583 101.37 167,845 0.02
FANNIE MAE 4.02% 09/01/2034 US 4.020 09/01/2034 106,226 102.68 109,074 0.01
FANNIE MAE 4.05% 01/01/2035 US 4.050 01/01/2035 630,385 103.16 650,285 0.07
FANNIE MAE 4.06% 04/01/2036 US 4.060 04/01/2036 273,713 105.39 288,463 0.03
FANNIE MAE 4.06% 09/01/2037 US 4.060 09/01/2037 409,960 103.18 422,988 0.05
FANNIE MAE 4.07% 02/01/2037 US 4.070 02/01/2037 2,144,401 103.11 2,211,176 0.24
FANNIE MAE 4.10% 05/01/2035 US 4.100 05/01/2035 274,272 103.30 283,326 0.03
FANNIE MAE 4.11% 05/01/2034 US 4.110 05/01/2034 64,605 103.21 66,678 0.01
FANNIE MAE 4.23% 01/01/2040 US 4.230 01/01/2040 101,852 102.12 104,014 0.01
FANNIE MAE 4.25% 03/25/2025 US 4.250 03/25/2025 10,576 100.10 10,587 0.00
FANNIE MAE 4.25% 05/25/2033 US 4.250 05/25/2033 61,465 102.79 63,179 0.01
FANNIE MAE 4.33% 04/01/2036 US 4.330 04/01/2036 759,376 104.58 794,146 0.09
FANNIE MAE 4.34% 10/01/2033 US 4.340 10/01/2033 37,152 103.29 38,373 0.00
FANNIE MAE 4.40% 04/01/2036 US 4.400 04/01/2036 45,227 104.76 47,381 0.01
FANNIE MAE 4.46% 06/01/2035 US 4.460 06/01/2035 34,551 104.74 36,190 0.00
FANNIE MAE 4.48% 05/01/2035 US 4.480 05/01/2035 41,539 105.39 43,776 0.00
FANNIE MAE 4.50% 05/01/2019 US 4.500 05/01/2019 28,219 101.85 28,741 0.00
FANNIE MAE 4.50% 07/25/2021 US 4.500 07/25/2021 704,697 100.10 705,416 0.08
FANNIE MAE 4.50% 12/01/2040 US 4.500 12/01/2040 132,270 104.49 138,208 0.01
FANNIE MAE 4.51% 09/01/2035 US 4.510 09/01/2035 97,104 105.73 102,666 0.01
FANNIE MAE 4.56% 10/01/2034 US 4.560 10/01/2034 15,219 104.45 15,897 0.00
FANNIE MAE 5.00% 04/01/2024 US 5.000 04/01/2024 18,201 102.31 18,621 0.00
FANNIE MAE 5.00% 04/01/2041 US 5.000 04/01/2041 132,063 106.16 140,192 0.02
FANNIE MAE 5.00% 05/01/2035 US 5.000 05/01/2035 24,638 106.17 26,159 0.00
FANNIE MAE 5.00% 07/01/2037 US 5.000 07/01/2037 64,203 106.16 68,159 0.01
FANNIE MAE 5.00% 07/01/2041 US 5.000 07/01/2041 247,074 106.15 262,281 0.03
FANNIE MAE 5.00% 09/01/2033 US 5.000 09/01/2033 124,533 106.19 132,236 0.01
FANNIE MAE 5.00% 10/01/2040 US 5.000 10/01/2040 74,241 106.15 78,809 0.01
FANNIE MAE 5.25% 05/25/2039 US 5.250 05/25/2039 514,728 103.74 533,968 0.06
FANNIE MAE 5.50% 01/01/2019 US 5.500 01/01/2019 239 99.73 239 0.00
FANNIE MAE 5.50% 03/01/2020 US 5.500 03/01/2020 0 99.95 0 0.00
FANNIE MAE 5.50% 04/01/2034 US 5.500 04/01/2034 142,649 107.69 153,621 0.02
FANNIE MAE 5.50% 04/01/2038 US 5.500 04/01/2038 5,076 108.01 5,483 0.00
FANNIE MAE 5.50% 04/01/2040 US 5.500 04/01/2040 8,505 107.44 9,138 0.00
FANNIE MAE 5.50% 05/01/2038 US 5.500 05/01/2038 28,621 103.24 29,549 0.00
FANNIE MAE 5.50% 06/01/2026 US 5.500 06/01/2026 59,411 105.80 62,856 0.01
FANNIE MAE 5.50% 12/01/2037 US 5.500 12/01/2037 39,098 106.63 41,690 0.00
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 73,397 108.80 79,858 0.01
FANNIE MAE 6.00% 01/01/2038 US 6.000 01/01/2038 74,362 110.06 81,846 0.01
FANNIE MAE 6.00% 08/01/2027 US 6.000 08/01/2027 98,585 107.35 105,831 0.01
FANNIE MAE 6.00% 09/01/2019 US 6.000 09/01/2019 4,228 100.15 4,234 0.00
FANNIE MAE 6.50% 10/01/2021 US 6.500 10/01/2021 133,287 101.79 135,671 0.01
FANNIE MAE 7.00% 05/01/2024 US 7.000 05/01/2024 1,773 105.53 1,871 0.00
FANNIE MAE 7.45% 08/01/2022 US 7.450 08/01/2022 41,859 101.36 42,430 0.00
FANNIE MAE 7.50% 06/01/2031 US 7.500 06/01/2031 29,502 99.86 29,460 0.00
FANNIE MAE 7.50% 07/01/2029 US 7.500 07/01/2029 23,217 113.74 26,407 0.00
FANNIE MAE 8.25% 04/01/2022 US 8.250 04/01/2022 3,782 100.06 3,784 0.00
FANNIEMAE WHOLE LOAN 6.11% 02/25/2032 US 6.110 02/25/2032 142,031 112.33 159,541 0.02
FDIC STRUCTURED SALE GUARANTEE 2.74% 12/03/2020 US 2.740 12/03/2020 42,031 98.56 41,427 0.00
FHMS 0.16% 09/25/2020 US 0.160 09/25/2020 115,384,785 0.14 163,904 0.02
FHMS KAIV 1.27% 06/25/2021 US 1.270 06/25/2021 127,103,602 2.31 2,935,992 0.32
FIDELITY NATIONA 3.63% 10/15/2020 US 3.630 10/15/2020 600,000 100.45 602,727 0.06
FIRST INVESTORS AUTO OWNER TRU 3.47% 02/15/2021 US 3.470 02/15/2021 5,410,000 100.00 5,409,773 0.58
FLAGSHIP CREDIT AUTO TRUST 2.43% 06/15/2021 US 2.430 06/15/2021 1,630,000 99.62 1,623,801 0.17
FLORIDA GAS TRAN 7.90% 05/15/2019 US 7.900 05/15/2019 686,000 101.50 696,306 0.07
FLORIDA ST BRD OF ADMIN FIN CO 2.16% 07/01/2019 US 2.160 07/01/2019 5,000,000 99.71 4,985,500 0.54
FORD MOTOR CRED 2.94% 01/08/2019 US 2.940 01/08/2019 500,000 100.00 500,002 0.05
FORD MOTOR CRED 5.88% 08/02/2021 US 5.880 08/02/2021 1,600,000 102.56 1,640,910 0.18
FOURSIGHT CAPITAL AUTOMOBILE R 3.32% 04/15/2022 US 3.320 04/15/2022 4,300,000 100.12 4,305,372 0.46
FRANCE TELECOM 5.38% 07/08/2019 FR 5.380 07/08/2019 10,307,000 101.09 10,419,184 1.12
FREDDIE MAC 1.25% 08/15/2027 US 1.250 08/15/2027 2,815,821 92.39 2,601,574 0.28
FREDDIE MAC 2.68% 03/15/2034 US 2.680 03/15/2034 302,119 99.94 301,940 0.03
FREDDIE MAC 3.00% 06/15/2021 US 3.000 06/15/2021 914,836 99.68 911,882 0.10
FREDDIE MAC 3.89% 01/01/2037 US 3.890 01/01/2037 65,540 104.42 68,436 0.01
FREDDIE MAC 3.98% 04/01/2035 US 3.980 04/01/2035 97,895 105.57 103,344 0.01
FREDDIE MAC 4.00% 06/15/2032 US 4.000 06/15/2032 15,899 99.58 15,832 0.00
FREDDIE MAC 4.00% 10/01/2019 US 4.000 10/01/2019 32,787 102.38 33,566 0.00
FREDDIE MAC 4.06% 05/01/2036 US 4.060 05/01/2036 157,930 105.80 167,091 0.02
FREDDIE MAC 4.09% 03/01/2034 US 4.090 03/01/2034 45,639 105.72 48,250 0.01
FREDDIE MAC 4.09% 04/01/2037 US 4.090 04/01/2037 216,369 103.51 223,959 0.02
FREDDIE MAC 4.12% 04/01/2034 US 4.120 04/01/2034 422,334 105.59 445,954 0.05
FREDDIE MAC 4.17% 08/01/2035 US 4.170 08/01/2035 45,489 105.60 48,035 0.01
FREDDIE MAC 4.20% 11/01/2037 US 4.200 11/01/2037 86,977 104.67 91,038 0.01
FREDDIE MAC 4.22% 01/01/2036 US 4.220 01/01/2036 883,863 105.67 934,000 0.10
FREDDIE MAC 4.22% 04/01/2037 US 4.220 04/01/2037 396,012 105.51 417,838 0.04
FREDDIE MAC 4.25% 12/15/2019 US 4.250 12/15/2019 3,876 99.92 3,873 0.00
FREDDIE MAC 4.33% 07/01/2036 US 4.330 07/01/2036 156,850 105.43 165,374 0.02
FREDDIE MAC 4.34% 01/01/2036 US 4.340 01/01/2036 128,761 104.45 134,492 0.01
FREDDIE MAC 4.35% 06/01/2035 US 4.350 06/01/2035 97,414 105.19 102,470 0.01
FREDDIE MAC 4.45% 04/01/2035 US 4.450 04/01/2035 182,544 105.47 192,538 0.02
FREDDIE MAC 4.52% 09/01/2036 US 4.520 09/01/2036 316,488 105.13 332,726 0.04
FREDDIE MAC 4.54% 07/01/2035 US 4.540 07/01/2035 232,426 105.23 244,579 0.03
FREDDIE MAC 4.54% 11/01/2036 US 4.540 11/01/2036 355,265 105.48 374,739 0.04
FREDDIE MAC 4.56% 11/01/2036 US 4.560 11/01/2036 198,330 105.31 208,852 0.02
FREDDIE MAC 4.59% 12/01/2036 US 4.590 12/01/2036 303,391 104.34 316,552 0.03
FREDDIE MAC 4.63% 11/01/2034 US 4.630 11/01/2034 105,614 104.64 110,513 0.01
FREDDIE MAC 4.63% 11/01/2036 US 4.630 11/01/2036 441,479 105.34 465,041 0.05
FREDDIE MAC 4.68% 08/01/2037 US 4.680 08/01/2037 153,988 104.85 161,454 0.02
FREDDIE MAC 4.84% 03/01/2036 US 4.840 03/01/2036 238,813 107.14 255,870 0.03
FREDDIE MAC 5.00% 07/01/2035 US 5.000 07/01/2035 39,308 106.18 41,736 0.00
FREDDIE MAC 5.00% 10/01/2020 US 5.000 10/01/2020 166,314 101.68 169,109 0.02
FREDDIE MAC 5.00% 10/01/2020 US 5.000 10/01/2020 108,549 101.69 110,380 0.01
FREDDIE MAC 5.50% 06/01/2040 US 5.500 06/01/2040 13,762 105.78 14,557 0.00
FREDDIE MAC 5.50% 06/01/2040 US 5.500 06/01/2040 11,922 108.27 12,908 0.00
FREDDIE MAC 6.00% 08/01/2019 US 6.000 08/01/2019 13,313 100.07 13,322 0.00
FREDDIE MAC 6.50% 04/01/2021 US 6.500 04/01/2021 3,294 100.70 3,317 0.00
FREDDIE MAC 7.00% 05/01/2032 US 7.000 05/01/2032 43,416 106.24 46,126 0.00
FREDDIE MAC 8.00% 02/01/2023 US 8.000 02/01/2023 1,488 105.77 1,574 0.00
FREMF MORTGAGE TRUST 5.50% 04/25/2020 US 5.500 04/25/2020 1,300,000 102.58 1,333,554 0.14
GEN MOTORS FIN 3.50% 07/10/2019 US 3.500 07/10/2019 2,700,000 99.98 2,699,590 0.29
GENERAL MILLS IN 2.98% 04/16/2021 US 2.980 04/16/2021 3,925,000 98.45 3,864,115 0.41
GENERAL MOTORS C 3.39% 08/07/2020 US 3.390 08/07/2020 6,300,000 98.99 6,236,464 0.67
GEORGIA POWER 2.00% 03/30/2020 US 2.000 03/30/2020 5,000,000 98.37 4,918,383 0.53
GEORGIA-PACIFIC 2.54% 11/15/2019 US 2.540 11/15/2019 6,300,000 99.24 6,252,293 0.67
GLENCORE FDG LLC 3.80% 01/15/2019 US 3.800 01/15/2019 6,000,000 100.02 6,000,960 0.64
GLS AUTO RECEIVABLES TRUST 2.67% 04/15/2021 US 2.670 04/15/2021 3,673,868 99.77 3,665,426 0.39
GLS AUTO RECEIVABLES TRUST 2.82% 07/15/2022 US 2.820 07/15/2022 5,638,806 99.64 5,618,492 0.60
GLS AUTO RECEIVABLES TRUST 3.25% 04/18/2022 US 3.250 04/18/2022 6,649,174 99.77 6,633,647 0.71
GLS AUTO RECEIVABLES TRUST 3.35% 08/15/2022 US 3.350 08/15/2022 3,685,034 100.04 3,686,422 0.40
GLS AUTO RECEIVABLES TRUST 4.39% 01/15/2021 US 4.390 01/15/2021 2,390,322 100.21 2,395,413 0.26
GLS AUTO RECEIVABLES TRUST 6.90% 10/15/2021 US 6.900 10/15/2021 1,440,000 102.96 1,482,575 0.16
GOVERNMENT NATIONAL MORTAGE AS 2.71% 07/16/2057 US 2.710 07/16/2057 5,977,235 97.42 5,823,045 0.63
GOVERNMENT NATIONAL MORTAGE AS 2.76% 01/16/2058 US 2.760 01/16/2058 4,644,883 97.76 4,540,779 0.49
GOVERNMENT NATIONAL MORTGAGE A 1.61% 07/16/2039 US 1.610 07/16/2039 168,736 97.19 163,997 0.02
GOVERNMENT NATIONAL MORTGAGE A 3.00% 05/20/2040 US 3.000 05/20/2040 71,076 100.75 71,612 0.01
GOVERNMENT NATIONAL MORTGAGE A 3.00% 11/20/2044 US 3.000 11/20/2044 330,630 103.87 343,430 0.04
GOVERNMENT NATIONAL MORTGAGE A 3.00% 12/20/2044 US 3.000 12/20/2044 1,473,091 103.93 1,530,970 0.16
GOVERNMENT NATIONAL MORTGAGE A 3.38% 02/20/2034 US 3.380 02/20/2034 412,128 103.66 427,225 0.05
GOVERNMENT NATIONAL MORTGAGE A 3.38% 03/20/2041 US 3.380 03/20/2041 590,832 103.84 613,536 0.07
GOVERNMENT NATIONAL MORTGAGE A 3.63% 04/20/2034 US 3.630 04/20/2034 175,595 103.57 181,860 0.02
GOVERNMENT NATIONAL MORTGAGE A 3.75% 08/20/2034 US 3.750 08/20/2034 322,793 103.74 334,875 0.04
GOVERNMENT NATIONAL MORTGAGE A 4.50% 10/20/2032 US 4.500 10/20/2032 101,397 102.00 103,423 0.01
GOVERNMENT NATIONAL MORTGAGE A 6.50% 04/15/2022 US 6.500 04/15/2022 3,553 102.88 3,655 0.00
GOVERNMENT NATIONAL MORTGAGE A 7.00% 04/15/2024 US 7.000 04/15/2024 12,768 100.24 12,799 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 02/15/2023 US 8.000 02/15/2023 6,454 104.50 6,745 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 11/15/2022 US 8.000 11/15/2022 6,656 104.41 6,950 0.00
GOVERNMENT NATIONAL MORTGAGE A 8.00% 12/15/2023 US 8.000 12/15/2023 30,005 104.87 31,465 0.00
GS MORTAGE SECURITIES TRUST 0.79% 05/10/2022 US 0.790 05/10/2022 143,822,000 1.09 1,560,598 0.17
GS MORTGAGE SECURITIES TRUST 1.17% 10/10/2032 US 1.170 10/10/2032 118,906,000 3.94 4,688,951 0.50
GS MORTGAGE SECURITIES TRUST 1.44% 05/10/2050 US 1.440 05/10/2050 2,401,611 98.97 2,376,925 0.26
GSR MORTGAGE LOAN TRUST 4.33% 10/25/2033 US 4.330 10/25/2033 3,278,755 102.73 3,368,121 0.36
HALFMOON PARENT 3.44% 09/17/2021 US 3.440 09/17/2021 2,720,000 98.59 2,681,579 0.29
HAWAII ST 2.20% 01/01/2019 US 2.200 01/01/2019 1,000,000 100.00 1,000,000 0.11
HERTZ VEHICLE FINANCING LLC 2.32% 03/25/2020 US 2.320 03/25/2020 7,450,000 99.77 7,432,766 0.80
HERTZ VEHICLE FINANCING LLC 3.52% 03/25/2021 US 3.520 03/25/2021 4,950,000 99.50 4,925,316 0.53
HERTZ VEHICLE FINANCING LLC 3.71% 09/25/2021 US 3.710 09/25/2021 2,900,000 99.81 2,894,631 0.31
HERTZ VEHICLE FINANCING LLC 4.43% 07/25/2020 US 4.430 07/25/2020 1,450,000 100.15 1,452,123 0.16
HOLCIM US FINANC 6.00% 12/30/2019 LU 6.000 12/30/2019 1,950,000 102.41 1,997,052 0.21
HOSPITALITY MORTGAGE TRUST 3.24% 05/08/2030 US 3.240 05/08/2030 4,000,000 98.53 3,941,065 0.42
HOSPITALITY MORTGAGE TRUST 3.57% 05/08/2030 US 3.570 05/08/2030 8,320,000 98.13 8,164,654 0.88
HP ENTERPRISE 2.10% 10/04/2019 US 2.100 10/04/2019 9,300,000 98.87 9,195,207 0.99
HUNTINGTON BANCS 7.00% 12/15/2020 US 7.000 12/15/2020 8,199,000 106.77 8,753,740 0.94
HYUNDAI CAP AMER 2.50% 03/18/2019 US 2.500 03/18/2019 650,000 99.83 648,919 0.07
HYUNDAI CAP AMER 3.00% 10/30/2020 US 3.000 10/30/2020 900,000 98.87 889,862 0.10
HYUNDAI CAPITAL 1.63% 08/30/2019 KR 1.630 08/30/2019 200,000 98.97 197,930 0.02
INTERPUBLIC GRP 3.50% 10/01/2020 US 3.500 10/01/2020 3,000,000 100.12 3,003,715 0.32
ITC HOLDINGS COR 5.50% 01/15/2020 US 5.500 01/15/2020 700,000 101.89 713,211 0.08
JIMMY JOHN'S FUNDING LLC 3.61% 07/30/2047 US 3.610 07/30/2047 4,582,000 99.72 4,569,033 0.49
JP MORGAN CHASE COMMERCIAL MOR 3.11% 06/15/2032 US 3.110 06/15/2032 7,525,000 99.83 7,512,438 0.81
JP MORGAN CHASE COMMERCIAL MOR 3.31% 10/15/2032 US 3.310 10/15/2032 7,737,335 99.98 7,735,435 0.83
JP MORGAN MORTGAGE TRUST 4.03% 06/25/2036 US 4.030 06/25/2036 139,010 93.65 130,184 0.01
JPMORGAN CHASE 1.85% 03/22/2019 US 1.850 03/22/2019 15,000,000 99.71 14,956,897 1.61
KABBAGE FUNDING LLC 4.57% 03/15/2022 US 4.570 03/15/2022 11,661,000 100.67 11,738,847 1.26
KEYSIGHT TECHNOL 3.30% 10/30/2019 US 3.300 10/30/2019 7,175,000 99.70 7,153,264 0.77
KINDER MORGAN 3.05% 12/01/2019 US 3.050 12/01/2019 265,000 99.42 263,472 0.03
KRAFT HEINZ FOOD 3.19% 02/10/2021 US 3.190 02/10/2021 6,800,000 99.17 6,743,523 0.72
LEAR CORP 5.38% 03/15/2024 US 5.380 03/15/2024 3,808,000 102.87 3,917,242 0.42
LLOYDS BANK PLC 5.80% 01/13/2020 GB 5.800 01/13/2020 1,306,000 102.36 1,336,850 0.14
MARTIN MAR MTLS 3.33% 05/22/2020 US 3.330 05/22/2020 6,875,000 99.46 6,837,910 0.73
MERRILL LYNCH MORTGAGE INVESTO 3.98% 12/25/2032 US 3.980 12/25/2032 20,246 99.90 20,226 0.00
MERRILL LYNCH MORTGAGE INVESTO 6.75% 11/15/2026 US 6.750 11/15/2026 1,883,000 102.29 1,926,134 0.21
MLCC MORTGAGE INVESTORS INC 4.25% 12/25/2034 US 4.250 12/25/2034 120,435 99.12 119,379 0.01
MOLEX ELECT TECH 2.88% 04/15/2020 US 2.880 04/15/2020 2,000,000 99.03 1,980,694 0.21
MONDELEZ INT INC 5.38% 02/10/2020 US 5.380 02/10/2020 4,793,000 102.44 4,909,819 0.53
MORGAN KEEGAN & 2.65% 01/25/2026 US 2.650