Portfolio of Investments
Touchstone Climate Transition ETF – September 30, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 97.4% | ||||
Industrials — 26.7% | ||||
7,432 | Array Technologies, Inc.* | $ 164,916 | ||
5,530 | CSX Corp. | 170,047 | ||
721 | Cummins, Inc. | 164,720 | ||
700 | Daikin Industries Ltd. (Japan) | 109,961 | ||
519 | Deere & Co. | 195,860 | ||
4,084 | FANUC Corp. (Japan) | 106,391 | ||
2,008 | Hexcel Corp. | 130,801 | ||
2,619 | Knorr-Bremse AG (Germany) | 166,635 | ||
416 | LG Energy Solution Ltd. (South Korea)* | 146,898 | ||
2,635 | MasTec, Inc.* | 189,641 | ||
2,286 | Republic Services, Inc. | 325,778 | ||
819 | Schneider Electric SE | 135,927 | ||
8,033 | Shoals Technologies Group, Inc. - Class A* | 146,602 | ||
6,171 | Signify NV | 166,435 | ||
11,200 | Sungrow Power Supply Co. Ltd. (China) - Class A | 137,254 | ||
1,975 | Trex Co., Inc.* | 121,719 | ||
525 | United Rentals, Inc. | 233,399 | ||
2,812,984 | ||||
Information Technology — 16.0% | ||||
450 | ANSYS, Inc.* | 133,897 | ||
1,244 | Autodesk, Inc.* | 257,396 | ||
2,242 | Bentley Systems, Inc. - Class B | 112,459 | ||
506 | Cadence Design Systems, Inc.* | 118,556 | ||
1,030 | Enphase Energy, Inc.* | 123,754 | ||
2,935 | Infineon Technologies AG (Germany) | 97,295 | ||
43,086 | LONGi Green Energy Technology Co. Ltd. (China) - Class A | 160,923 | ||
480 | NVIDIA Corp. | 208,795 | ||
1,763 | ON Semiconductor Corp.* | 163,871 | ||
977 | SolarEdge Technologies, Inc.* | 126,531 | ||
2,130 | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) ADR | 185,097 | ||
1,688,574 | ||||
Materials — 15.7% | ||||
908 | Albemarle Corp. | 154,396 | ||
6,951 | Anglo American PLC (South Africa) | 192,136 | ||
3,896 | Crown Holdings, Inc. | 344,718 | ||
9,361 | Graphic Packaging Holding Co. | 208,563 | ||
37,871 | Norsk Hydro ASA (Norway) | 237,919 | ||
9,874 | Pan American Silver Corp. (Canada) | ��� 142,975 | ||
606 | Sika AG (Switzerland) | 154,322 | ||
2,048 | Steel Dynamics, Inc. | 219,587 | ||
1,654,616 | ||||
Utilities — 15.4% | ||||
9,570 | AES Corp. (The) | 145,464 | ||
1,188 | American Water Works Co., Inc. | 147,110 | ||
8,887 | Boralex, Inc. (Canada) - Class A | 190,924 | ||
26,603 | National Grid PLC (United Kingdom) | 318,094 | ||
3,375 | NextEra Energy, Inc. | 193,354 | ||
1,418 | Orsted AS (Denmark) 144a | 77,408 | ||
6,616 | RWE AG (Germany) | 245,866 | ||
15,348 | SSE PLC (United Kingdom) | 301,492 | ||
1,619,712 | ||||
Consumer Discretionary — 14.6% | ||||
2,248 | Aptiv PLC* | 221,630 |
Shares | Market Value | |||
Consumer Discretionary — (Continued) | ||||
6,994 | BYD Co. Ltd. (China) - Class H | $ 216,136 | ||
12,858 | Compass Group PLC (United Kingdom) | 313,763 | ||
1,535 | Mercedes-Benz Group AG (Germany) | 106,931 | ||
26,983 | Merida Industry Co. Ltd. (Taiwan) | 146,281 | ||
7,468 | On Holding AG (Switzerland) - Class A* | 207,760 | ||
1,196 | Shimano, Inc. (Japan) | 161,385 | ||
633 | Tesla, Inc.* | 158,389 | ||
1,532,275 | ||||
Health Care — 4.1% | ||||
862 | Danaher Corp. | 213,862 | ||
427 | Thermo Fisher Scientific, Inc. | 216,135 | ||
429,997 | ||||
Consumer Staples — 2.9% | ||||
7,119 | Sprouts Farmers Market, Inc.* | 304,693 | ||
Financials — 2.0% | ||||
415 | MSCI, Inc. | 212,928 | ||
Total Common Stocks | $10,255,779 | |||
Short-Term Investment Fund — 2.7% | ||||
288,457 | Dreyfus Government Cash Management, Institutional Shares, 5.22%∞Ω | 288,457 | ||
Total Investment Securities—100.1% (Cost $11,417,806) | $10,544,236 | |||
Liabilities in Excess of Other Assets — (0.1%) | (9,602) | |||
Net Assets — 100.0% | $10,534,634 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, these securities were valued at $77,408 or 0.7% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $10,013,461 | $242,318 | $— | $10,255,779 |
Short-Term Investment Fund | 288,457 | — | — | 288,457 |
Total | $10,301,918 | $242,318 | $— | $10,544,236 |
See accompanying Notes to Portfolios of Investments.
1
Portfolio of Investments
Touchstone Dividend Select ETF – September 30, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 93.9% | ||||
Information Technology — 24.2% | ||||
4,128 | Apple, Inc. | $ 706,755 | ||
909 | Broadcom, Inc. | 754,997 | ||
10,535 | Cisco Systems, Inc. | 566,362 | ||
14,565 | Intel Corp. | 517,786 | ||
4,128 | International Business Machines Corp. | 579,158 | ||
1,329 | KLA Corp. | 609,559 | ||
3,827 | Microsoft Corp. | 1,208,375 | ||
6,145 | Oracle Corp. | 650,879 | ||
4,671 | QUALCOMM, Inc. | 518,761 | ||
3,139 | Texas Instruments, Inc. | 499,132 | ||
6,611,764 | ||||
Financials — 13.0% | ||||
17,396 | Bank of America Corp. | 476,303 | ||
959 | BlackRock, Inc. | 619,984 | ||
1,806 | Goldman Sachs Group, Inc. (The) | 584,367 | ||
2,812 | JPMorgan Chase & Co. | 407,796 | ||
13,578 | US Bancorp | 448,889 | ||
2,423 | Visa, Inc. - Class A | 557,314 | ||
11,094 | Wells Fargo & Co. | 453,301 | ||
3,547,954 | ||||
Health Care — 12.8% | ||||
2,250 | Cencora, Inc. | 404,932 | ||
7,768 | CVS Health Corp. | 542,362 | ||
3,612 | Johnson & Johnson | 562,569 | ||
7,475 | Medtronic PLC | 585,741 | ||
4,122 | Merck & Co., Inc. | 424,360 | ||
11,880 | Pfizer, Inc. | 394,060 | ||
1,155 | UnitedHealth Group, Inc. | 582,339 | ||
3,496,363 | ||||
Industrials — 8.7% | ||||
3,661 | 3M Co. | 342,743 | ||
1,924 | Caterpillar, Inc. | 525,252 | ||
1,333 | Lockheed Martin Corp. | 545,143 | ||
6,106 | RTX Corp. | 439,449 | ||
6,109 | Stanley Black & Decker, Inc. | 510,590 | ||
2,363,177 | ||||
Consumer Discretionary — 7.5% | ||||
1,720 | Home Depot, Inc. (The) | 519,715 | ||
1,628 | McDonald's Corp. | 428,881 | ||
5,860 | Starbucks Corp. | 534,842 | ||
4,386 | Yum! Brands, Inc. | 547,987 | ||
2,031,425 | ||||
Consumer Staples — 7.4% | ||||
1,653 | Constellation Brands, Inc. - Class A | 415,448 | ||
3,126 | Dollar General Corp. | 330,731 | ||
2,709 | PepsiCo, Inc. | 459,013 | ||
5,643 | Philip Morris International, Inc. | 522,429 | ||
1,855 | Walmart, Inc. | 296,670 | ||
2,024,291 | ||||
Communication Services — 6.2% | ||||
21,581 | AT&T, Inc. | 324,147 |
Shares | Market Value | |||
Communication Services — (Continued) | ||||
13,513 | Comcast Corp. - Class A | $ 599,167 | ||
11,137 | Fox Corp. - Class A | 347,474 | ||
13,191 | Verizon Communications, Inc. | 427,520 | ||
1,698,308 | ||||
Energy — 4.5% | ||||
6,071 | Exxon Mobil Corp. | 713,828 | ||
3,666 | Valero Energy Corp. | 519,509 | ||
1,233,337 | ||||
Materials — 4.2% | ||||
1,659 | Air Products & Chemicals, Inc. | 470,161 | ||
8,936 | DuPont de Nemours, Inc. | 666,536 | ||
1,136,697 | ||||
Utilities — 3.2% | ||||
5,405 | Duke Energy Corp. | 477,045 | ||
4,302 | Entergy Corp. | 397,935 | ||
874,980 | ||||
Real Estate — 2.2% | ||||
1,967 | American Tower Corp. REIT | 323,473 | ||
2,623 | Simon Property Group, Inc. REIT | 283,363 | ||
606,836 | ||||
Total Common Stocks | $25,625,132 | |||
Short-Term Investment Fund — 6.1% | ||||
1,671,038 | Dreyfus Government Cash Management, Institutional Shares, 5.22%∞Ω | 1,671,038 | ||
Total Investment Securities—100.0% (Cost $27,383,405) | $27,296,170 | |||
Liabilities in Excess of Other Assets — (0.0%) | (2,421) | |||
Net Assets — 100.0% | $27,293,749 |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2023. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $25,625,132 | $— | $— | $25,625,132 |
Short-Term Investment Fund | 1,671,038 | — | — | 1,671,038 |
Total | $27,296,170 | $— | $— | $27,296,170 |
See accompanying Notes to Portfolios of Investments.
2
Portfolio of Investments
Touchstone Securitized Income ETF – September 30, 2023 (Unaudited)
Principal Amount | Market Value | |||
Asset-Backed Securities — 53.5% | ||||
$ 300,000 | AB BSL CLO 2, Ltd. (Cayman Islands), Ser 2021-2A, Class C, 144a, (TSFR3M + 2.362%), 7.670%, 4/15/34(A) | $ 292,227 | ||
300,000 | AB BSL CLO 2, Ltd. (Cayman Islands), Ser 2021-2A, Class D, 144a, ( TSFR3M + 3.612%), 8.920%, 4/15/34(A) | 282,864 | ||
300,000 | AB BSL CLO 3, Ltd. (Cayman Islands), Ser 2021-3A, Class D, 144a, (TSFR3M + 3.462%), 8.788%, 10/20/34(A) | 292,832 | ||
508,260 | AB Issuer LLC, Ser 2021-1, Class A2, 144a, 3.734%, 7/30/51 | 422,992 | ||
300,000 | AmeriCredit Automobile Receivables Trust, Ser 2023-2, Class A1, 5.723%, 9/18/24 | 300,041 | ||
300,000 | Ares LIII CLO Ltd. (Cayman Islands), Ser 2019-53A, Class C, 144a, ( TSFR3M + 2.912%), 8.257%, 4/24/31(A) | 298,548 | ||
400,000 | Babson CLO Ltd. (Cayman Islands), Ser 2016-1A, Class CR, 144a, ( TSFR3M + 2.362%), 7.707%, 7/23/30(A) | 396,098 | ||
408,000 | Ballyrock CLO Ltd. (Cayman Islands), Ser 2019-1A, Class BR, 144a, ( TSFR3M + 2.162%), 7.470%, 7/15/32(A) | 401,737 | ||
600,000 | Benefit Street Partners CLO XIX Ltd (Cayman Islands), Ser 2019-19A, Class C, 144a, ( TSFR3M + 2.862%), 8.170%, 1/15/33(A) | 597,704 | ||
300,000 | CFMT LLC, Ser 2023-HB12, Class M1, 144a, 4.250%, 4/25/33(A)(B) | 265,928 | ||
675,000 | Coinstar Funding LLC, Ser 2017-1A, Class A2, 144a, 5.216%, 4/25/47 | 557,933 | ||
270,000 | Deerpath Capital CLO Ltd., Ser 2023-1A, Class C, 144a, ( TSFR3M + 5.25%), 10.558%, 4/15/35(A) | 268,469 | ||
625,350 | Driven Brands Funding LLC, Ser 2018-1A, Class A2, 144a, 4.739%, 4/20/48 | 601,646 | ||
300,000 | Dryden CLO Ltd. (Cayman Islands), Ser 2018-70A, Class C, 144a, ( TSFR3M + 2.412%), 7.720%, 1/16/32(A) | 292,807 | ||
562,500 | Focus Brands Funding LLC, Ser 2017-1A, Class A2II, 144a, 5.093%, 4/30/47 | 519,443 | ||
684,000 | Hardee's Funding LLC, Ser 2018-1A, Class A2II, 144a, 4.959%, 6/20/48 | 644,427 | ||
300,000 | Ivy Hill Middle Market Credit Fund XXI Ltd (Cayman Islands), 21A, Class B, 144a, ( TSFR3M + 3.45%), 8.871%, 7/18/35(A) | 299,930 | ||
327,525 | Jersey Mike's Funding, Ser 2019-1A, Class A2, 144a, 4.433%, 2/15/50 | 300,547 | ||
383,877 | Jimmy Johns Funding LLC, Ser 2017-1A, Class A2II, 144a, 4.846%, 7/30/47 | 352,478 | ||
420,000 | LAD Auto Receivables Trust, Ser 2021-1A, Class D, 144a, 3.990%, 11/15/29 | 392,627 | ||
400,000 | Madison Park Funding XXVI, Ltd. (Cayman Islands), Ser 2017-26A, Class CR, 144a, ( TSFR3M + 2.312%), 7.681%, 7/29/30(A) | 395,327 | ||
375,000 | Madison Park Funding XXVII, Ltd. (Cayman Islands), Ser 2018-27A, Class B, 144a, ( TSFR3M + 2.062%), 7.388%, 4/20/30(A) | 368,990 | ||
390,000 | Madison Park Funding XXXV, Ltd. (Cayman Islands), Ser 2019-35A, Class CR, 144a, ( TSFR3M + 2.162%), 7.488%, 4/20/32(A) | 381,562 | ||
540,000 | NBC Funding LLC, Ser 2021-1, Class B, 144a, 4.970%, 7/30/51 | 460,745 | ||
571,838 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | 476,688 | ||
500,000 | OHA Credit Partners XII Ltd., Ser 2015-12A, Class DR, 144a, (TSFR3M + 3.162%), 8.507%, 7/23/30(A) | 486,232 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 53.5% (Continued) | ||||
$ 300,000 | Palmer Square CLO, Ltd. (Cayman Islands), Ser 2021-4A, Class D, 144a, (TSFR3M + 3.212%), 8.520%, 10/15/34(A) | $ 288,567 | ||
330,000 | Park Avenue Institutional Advisers CLO, Ltd. (Cayman Islands), Ser 2019-2A, Class CR, 144a, ( TSFR3M + 3.762%), 9.070%, 10/15/34(A) | 318,616 | ||
346,500 | Servpro Master Issuer LLC, Ser 2019-1A, Class A2, 144a, 3.882%, 10/25/49 | 316,225 | ||
304,999 | Structured Asset Securities Corp, Ser 2003-25XS, Class A5, 4.815%, 8/25/33(A)(B) | 280,692 | ||
550,000 | Towd Point Mortgage Trust, Ser 2019-MH1, Class B1, 144a, 3.750%, 11/25/58(A)(B) | 504,285 | ||
Total Asset-Backed Securities | $12,059,207 | |||
Commercial Mortgage-Backed Securities — 17.8% | ||||
352,846 | AREIT Trust, Ser 2020-CRE4, Class C, 144a, (TSFR1M + 3.222%), 8.553%, 4/15/37(A) | 339,973 | ||
657,000 | BFLD Trust, Ser 2021-FPM, Class C, 144a, ( TSFR1M + 3.614%), 8.947%, 6/15/38(A) | 628,901 | ||
459,120 | BX Trust, Ser 2019-OC11, Class E, 144a, 4.075%, 12/9/41(A)(B) | 365,933 | ||
106,739 | Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Class A3, 3.753%, 3/11/47 | 106,489 | ||
527,310 | Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Class D, 144a, 3.548%, 10/10/47 | 424,938 | ||
300,000 | Citigroup Commercial Mortgage Trust, Ser 2016-C2, Class D, 144a, 3.250%, 8/10/49(A)(B) | 228,472 | ||
219,000 | Citigroup Commercial Mortgage Trust, Ser 2017-P8, Class D, 144a, 3.000%, 9/15/50 | 143,873 | ||
360,000 | CSMC Trust, Ser 2017-CALI, Class E, 144a, 3.904%, 11/10/32(A)(B) | 93,247 | ||
537,120 | GS Mortgage Securities Corp. Trust, Ser 2017-SLP, Class E, 144a, 4.744%, 10/10/32(A)(B) | 507,002 | ||
9,939,937 | GS Mortgage Securities Corp. Trust, Ser 2018-GS9, Class XA, 0.561%, 3/10/51(A)(B) | 151,464 | ||
300,000 | LSTAR Commercial Mortgage Trust, Ser 2016-4, Class D, 144a, 4.760%, 3/10/49(A)(B) | 248,033 | ||
445,104 | Morgan Stanley Capital I Trust, Ser 2018-BOP, Class E, 144a, ( TSFR1M + 1.997%), 7.330%, 6/15/35(A) | 121,169 | ||
236,820 | Morgan Stanley Capital I Trust, Ser 2019-NUGS, Class E, 144a, ( TSFR1M + 2.358%), 7.691%, 12/15/36(A) | 73,414 | ||
165,900 | Natixis Commercial Mortgage Securities Trust, Ser 2018-TECH, Class F, 144a, ( PRIME + 0.093%), 8.593%, 11/15/34(A) | 151,805 | ||
520,200 | RBS Commercial Funding, Inc. Trust, Ser 2013-SMV, Class D, 144a, 3.704%, 3/11/31(A)(B) | 440,967 | ||
Total Commercial Mortgage-Backed Securities | $4,025,680 | |||
Non-Agency Collateralized Mortgage Obligations — 11.0% | ||||
365,637 | Cascade Funding Mortgage Trust, Ser 2019-RM3, Class A, 144a, 2.800%, 6/25/69(A)(B) | 354,609 | ||
500,000 | Connecticut Avenue Securities Trust, Ser 2022-R04, Class 1M2, 144a, (SOFR30A + 3.10%), 8.415%, 3/25/42(A) | 507,190 | ||
350,000 | Fannie Mae Connecticut Avenue Securities, Ser 2017-C02, Class 2B1, ( SOFR30A + 5.615%), 10.929%, 9/25/29(A) | 385,856 | ||
350,000 | GS Mortgage Securities Corp. Trust, Ser 2019-SL1, Class B1, 144a, 4.025%, 1/25/59(A)(B) | 301,381 | ||
287,245 | Mill City Mortgage Loan Trust, Ser 2016-1, Class B3, 144a, 3.858%, 4/25/57(A)(B) | 234,073 | ||
294,480 | Mill City Mortgage Loan Trust, Ser 2017-2, Class B2, 144a, 4.260%, 7/25/59(A)(B) | 234,608 |
3
Touchstone Securitized Income ETF (Unaudited) (Continued)
Principal Amount | Market Value | |||
Non-Agency Collateralized Mortgage Obligations — 11.0% (Continued) | ||||
$ 293,927 | Mill City Mortgage Loan Trust, Ser 2018-2, Class B2, 144a, 3.750%, 5/25/58(A)(B) | $ 219,656 | ||
295,140 | Towd Point Mortgage Trust, Ser 2015-2, Class 1B3, 144a, 3.627%, 11/25/60(A)(B) | 236,814 | ||
Total Non-Agency Collateralized Mortgage Obligations | $2,474,187 | |||
Agency Collateralized Mortgage Obligations — 3.3% | ||||
9,318,417 | FRESB Mortgage Trust, Ser 2021-SB88, Class X1, 0.820%, 5/25/41(A)(B) | 289,464 | ||
8,337,145 | FRESB Mortgage Trust, Ser 2021-SB90, Class X1, 0.747%, 6/25/41(A)(B) | 201,946 | ||
7,194,812 | Government National Mortgage Association, Ser 2016-70, Class IO, 0.769%, 4/16/58(A)(B) | 251,025 | ||
Total Agency Collateralized Mortgage Obligations | $742,435 | |||
U.S. Treasury Obligations — 1.8% | ||||
475,000 | United States Treasury Bonds, 3.875%, 2/15/43 | 413,027 | ||
Corporate Bonds — 1.2% | ||||
Financials — 1.2% | ||||
300,000 | First Maryland Capital I, (TSFR3M + 1.262%), 6.570%, 1/15/27(A) | 271,619 |
Shares | ||||
Short-Term Investment Fund — 10.1% | ||||
2,275,813 | Dreyfus Government Cash Management, Institutional Shares, 5.22%∞Ω | 2,275,813 | ||
Total Investment Securities—98.7% (Cost $22,198,847) | $22,261,968 | |||
Other Assets in Excess of Liabilities — 1.3% | 295,166 | |||
Net Assets — 100.0% | $22,557,134 |
(A) | Variable rate security - Rate reflected is the rate in effect as of September 30, 2023. |
(B) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2023. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
FRESB – Freddie Mac Multifamily Securitization Small Balance Loan |
IO – Interest Only |
LLC – Limited Liability Company |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
TSFR1M – One Month Term Secured Overnight Financing Rate |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, these securities were valued at $17,334,532 or 76.8% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $12,059,207 | $— | $12,059,207 |
Commercial Mortgage-Backed Securities | — | 4,025,680 | — | 4,025,680 |
Non-Agency Collateralized Mortgage Obligations | — | 2,474,187 | — | 2,474,187 |
Agency Collateralized Mortgage Obligations | — | 742,435 | — | 742,435 |
U.S. Treasury Obligations | — | 413,027 | — | 413,027 |
Corporate Bonds | — | 271,619 | — | 271,619 |
Short-Term Investment Fund | 2,275,813 | — | — | 2,275,813 |
Total | $2,275,813 | $19,986,155 | $— | $22,261,968 |
See accompanying Notes to Portfolios of Investments.
4
Portfolio of Investments
Touchstone Strategic Income Opportunities ETF – September 30, 2023 (Unaudited)
Principal Amount | Market Value | |||
Corporate Bonds — 44.3% | ||||
Financials — 9.0% | ||||
$ 826,000 | Bank of Nova Scotia (The) (Canada), 3.625%, 10/27/81 | $ 589,482 | ||
831,000 | Barclays PLC (United Kingdom), 2.894%, 11/24/32 | 625,559 | ||
363,000 | Charles Schwab Corp. (The), Ser H, 4.000%(A) | 255,991 | ||
576,000 | Citigroup, Inc., Ser W, 4.000%(A) | 503,654 | ||
644,000 | Corestates Capital III, 144a, (TSFR3M + 0.832%), 6.196%, 2/15/27(B) | 614,353 | ||
561,000 | First Maryland Capital II, (TSFR3M + 1.112%), 6.484%, 2/1/27(B) | 505,072 | ||
230,000 | FirstCash, Inc., 144a, 4.625%, 9/1/28 | 203,824 | ||
413,000 | goeasy Ltd. (Canada), 144a, 5.375%, 12/1/24 | 404,960 | ||
898,000 | Golub Capital BDC, Inc., 2.050%, 2/15/27 | 756,318 | ||
422,000 | Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.250%, 5/15/27 | 370,930 | ||
538,000 | Morgan Stanley, 5.297%, 4/20/37 | 480,174 | ||
356,000 | OneMain Finance Corp., 9.000%, 1/15/29 | 354,850 | ||
807,000 | PNC Capital Trust, (TSFR3M + 0.832%), 6.241%, 6/1/28(B) | 758,694 | ||
298,000 | PRA Group, Inc., 144a, 7.375%, 9/1/25 | 290,179 | ||
309,000 | Prudential Financial, Inc., 5.125%, 3/1/52 | 266,001 | ||
419,000 | Sabra Health Care LP REIT, 3.900%, 10/15/29 | 347,999 | ||
815,000 | Sixth Street Specialty Lending, Inc., 2.500%, 8/1/26† | 718,949 | ||
832,000 | Truist Bank, Ser A, (TSFR3M + 0.932%), 6.300%, 5/15/27(B) | 772,973 | ||
8,819,962 | ||||
Consumer Discretionary — 6.6% | ||||
678,000 | Brunswick Corp., 4.400%, 9/15/32 | 551,778 | ||
385,000 | Carriage Services, Inc., 144a, 4.250%, 5/15/29 | 329,398 | ||
204,000 | Ford Motor Co., 4.750%, 1/15/43 | 148,910 | ||
227,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 206,367 | ||
335,000 | Forestar Group, Inc., 144a, 3.850%, 5/15/26 | 304,077 | ||
464,000 | Gap, Inc. (The), 144a, 3.625%, 10/1/29 | 343,320 | ||
310,000 | GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC (United Arab Emirates), 7.125%, 7/31/26 | 300,619 | ||
998,000 | General Motors Financial Co., Inc., 3.100%, 1/12/32 | 774,488 | ||
525,000 | GENM Capital Labuan Ltd. (Malaysia), 144a, 3.882%, 4/19/31 | 410,893 | ||
374,000 | Mattel, Inc., 5.450%, 11/1/41 | 308,611 | ||
313,000 | MGM China Holdings Ltd. (Macao), 144a, 5.375%, 5/15/24 | 308,568 | ||
395,000 | Royal Caribbean Cruises Ltd., 144a, 5.375%, 7/15/27 | 365,568 | ||
330,000 | Speedway Motorsports LLC / Speedway Funding II, Inc., 144a, 4.875%, 11/1/27 | 299,475 | ||
722,000 | Toll Brothers Finance Corp., 3.800%, 11/1/29 | 629,792 | ||
168,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/32 | 142,624 | ||
727,000 | Warnermedia Holdings, Inc., 5.141%, 3/15/52 | 539,209 | ||
529,000 | Wynn Macau Ltd. (Macao), 144a, 4.875%, 10/1/24 | 515,177 | ||
6,478,874 | ||||
Energy — 6.0% | ||||
472,000 | Aker BP ASA (Norway), 144a, 6.000%, 6/13/33 | 456,304 | ||
367,000 | Baytex Energy Corp. (Canada), 144a, 8.500%, 4/30/30 | 371,270 | ||
189,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 169,242 | ||
371,000 | Civitas Resources, Inc., 144a, 8.375%, 7/1/28 | 377,492 | ||
344,000 | CQP Holdco LP / BIP-V Chinook Holdco LLC, 144a, 5.500%, 6/15/31 | 304,896 | ||
300,000 | Ecopetrol SA (Colombia), 8.625%, 1/19/29 | 301,340 | ||
158,000 | Genesis Energy LP / Genesis Energy Finance Corp., 6.500%, 10/1/25 | 155,279 | ||
382,000 | Hilcorp Energy I LP / Hilcorp Finance Co., 144a, 6.000%, 2/1/31 | 336,109 | ||
415,488 | MC Brazil Downstream Trading SARL (Brazil), 144a, 7.250%, 6/30/31 | 318,634 | ||
800,000 | Midwest Connector Capital Co. LLC, 144a, 4.625%, 4/1/29 | 731,308 | ||
596,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | 613,225 | ||
371,000 | Parkland Corp. (Canada), 144a, 4.500%, 10/1/29 | 317,779 |
Principal Amount | Market Value | |||
Energy — (Continued) | ||||
$ 770,000 | Petroleos Mexicanos (Mexico), 6.625%, 6/15/35 | $ 515,800 | ||
403,000 | Plains All American Pipeline LP, (TSFR3M + 4.372%), 9.736%(A)(B) | 379,925 | ||
371,000 | Precision Drilling Corp. (Canada), 144a, 6.875%, 1/15/29† | 350,865 | ||
191,964 | YPF SA (Argentina), 9.000%, 2/12/26(B)(C) | 185,599 | ||
5,885,067 | ||||
Utilities — 5.4% | ||||
727,000 | CMS Energy Corp., 4.750%, 6/1/50 | 620,175 | ||
598,000 | Edison International, 4.125%, 3/15/28 | 550,898 | ||
452,000 | Edison International, Ser B, 5.000%(A) | 386,303 | ||
450,000 | Eskom Holdings SOC Ltd. (South Africa), 144a, 8.450%, 8/10/28 | 426,960 | ||
513,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 448,861 | ||
515,000 | Minejesa Capital BV (Indonesia), 4.625%, 8/10/30 | 457,578 | ||
620,000 | NextEra Energy Capital Holdings, Inc., (TSFR3M + 2.387%), 7.796%, 6/15/67(B) | 565,842 | ||
598,000 | Pacific Gas & Electric Co., 2.500%, 2/1/31 | 455,050 | ||
658,000 | PPL Capital Funding, Inc., Ser A, (TSFR3M + 2.927%), 8.317%, 3/30/67(B) | 602,193 | ||
815,000 | WEC Energy Group, Inc., (TSFR3M + 2.374%), 7.739%, 5/15/67(B) | 729,437 | ||
5,243,297 | ||||
Industrials — 5.0% | ||||
345,000 | Adani Ports & Special Economic Zone Ltd. (India), 3.375%, 7/24/24 | 334,310 | ||
367,000 | Amsted Industries, Inc., 144a, 4.625%, 5/15/30 | 310,753 | ||
267,000 | Boeing Co. (The), 5.805%, 5/1/50 | 243,361 | ||
381,000 | Canpack SA / Canpack US LLC (Poland), 144a, 3.125%, 11/1/25 | 351,466 | ||
542,000 | Cemex SAB de CV (Mexico), 144a, 5.125%(A) | 507,470 | ||
415,000 | Cimpress PLC (Ireland), 7.000%, 6/15/26 | 388,403 | ||
458,000 | Fortress Transportation & Infrastructure Investors LLC, 144a, 6.500%, 10/1/25 | 450,127 | ||
335,000 | IHS Holding Ltd. (Nigeria), 5.625%, 11/29/26 | 275,645 | ||
406,000 | Imola Merger Corp., 144a, 4.750%, 5/15/29 | 355,849 | ||
4,000 | Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer LLC, 144a, 4.000%, 10/15/27 | 3,550 | ||
363,000 | Stericycle, Inc., 144a, 3.875%, 1/15/29 | 313,033 | ||
362,000 | TK Elevator Holdco GmbH (Germany), 144a, 7.625%, 7/15/28 | 329,472 | ||
322,000 | TransDigm, Inc., 144a, 6.250%, 3/15/26 | 317,326 | ||
753,000 | Weir Group PLC (The) (United Kingdom), 144a, 2.200%, 5/13/26 | 676,747 | ||
4,857,512 | ||||
Communication Services — 3.1% | ||||
155,000 | Belo Corp., 7.750%, 6/1/27 | 154,070 | ||
372,000 | Block Communications, Inc., 144a, 4.875%, 3/1/28 | 307,830 | ||
472,000 | British Telecommunications PLC (United Kingdom), 5.125%, 12/4/28 | 453,930 | ||
341,000 | British Telecommunications PLC (United Kingdom), 144a, 3.250%, 11/8/29 | 294,415 | ||
265,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144a, 4.250%, 2/1/31 | 210,941 | ||
591,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.484%, 10/23/45 | 516,013 | ||
429,000 | CSC Holdings LLC, 144a, 4.625%, 12/1/30 | 228,087 | ||
374,000 | Gray Escrow II, Inc., 144a, 5.375%, 11/15/31 | 244,761 | ||
450,000 | Paramount Global, 4.200%, 5/19/32 | 357,844 | ||
330,000 | Stagwell Global, 144a, 5.625%, 8/15/29 | 266,475 | ||
3,034,366 |
5
Touchstone Strategic Income Opportunities ETF (Unaudited) (Continued)
Principal Amount | Market Value | |||
Corporate Bonds — 44.3% (Continued) | ||||
Consumer Staples — 2.4% | ||||
$ 285,000 | Coruripe Netherlands BV (Brazil), 144a, 10.000%, 2/10/27 | $ 208,762 | ||
335,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.500%, 12/1/52 | 300,407 | ||
646,000 | Philip Morris International, Inc., 5.375%, 2/15/33 | 612,497 | ||
415,000 | QVC, Inc., 4.375%, 9/1/28 | 218,199 | ||
150,000 | Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 144a, 4.625%, 3/1/29 | 123,051 | ||
500,000 | Turning Point Brands, Inc., 144a, 5.625%, 2/15/26 | 464,950 | ||
450,000 | Ulker Biskuvi Sanayi AS (Turkey), 144a, 6.950%, 10/30/25 | 421,605 | ||
2,349,471 | ||||
Health Care — 2.1% | ||||
519,000 | CVS Health Corp., 5.050%, 3/25/48 | 432,284 | ||
418,000 | Herbalife Nutrition Ltd. / HLF Financing, Inc., 144a, 7.875%, 9/1/25 | 398,438 | ||
361,000 | Medline Borrower LP, 144a, 3.875%, 4/1/29 | 305,218 | ||
368,000 | MEDNAX, Inc., 144a, 5.375%, 2/15/30 | 324,101 | ||
686,000 | Viatris, Inc., 2.700%, 6/22/30 | 536,340 | ||
1,996,381 | ||||
Real Estate — 2.0% | ||||
307,000 | Kilroy Realty LP REIT, 2.650%, 11/15/33 | 207,433 | ||
332,000 | Kilroy Realty LP REIT, 3.050%, 2/15/30 | 260,889 | ||
421,000 | RHP Hotel Properties LP / RHP Finance Corp. REIT, 144a, 4.500%, 2/15/29 | 360,017 | ||
428,000 | SBA Tower Trust REIT, 144a, 6.599%, 1/15/28 | 429,204 | ||
274,000 | STORE Capital Corp. REIT, 2.700%, 12/1/31 | 187,141 | ||
364,000 | STORE Capital Corp. REIT, 2.750%, 11/18/30 | 260,744 | ||
258,000 | STORE Capital Corp. REIT, 4.625%, 3/15/29 | 220,722 | ||
1,926,150 | ||||
Information Technology — 1.4% | ||||
589,000 | Micron Technology, Inc., 2.703%, 4/15/32 | 449,895 | ||
258,000 | Micron Technology, Inc., 6.750%, 11/1/29 | 261,942 | ||
372,000 | Open Text Corp. (Canada), 144a, 3.875%, 12/1/29 | 305,791 | ||
328,000 | Xerox Holdings Corp., 144a, 5.000%, 8/15/25 | 311,561 | ||
1,329,189 | ||||
Materials — 1.3% | ||||
327,000 | Braskem Idesa SAPI (Mexico), 144a, 6.990%, 2/20/32 | 196,607 | ||
341,000 | Braskem Netherlands Finance BV (Brazil), 144a, 7.250%, 2/13/33 | 314,251 | ||
781,000 | Celanese US Holdings LLC, 6.165%, 7/15/27 | 770,210 | ||
1,281,068 | ||||
Total Corporate Bonds | $43,201,337 | |||
U.S. Treasury Obligations — 27.5% | ||||
2,925,000 | U.S. Treasury Bond, 2.375%, 2/15/42 | 2,020,192 | ||
6,100,000 | U.S. Treasury Bond, 3.875%, 5/15/43 | 5,299,375 | ||
3,105,000 | U.S. Treasury Bond, 4.000%, 11/15/52 | 2,749,138 | ||
5,520,000 | U.S. Treasury Inflation Indexed Note, 1.250%, 4/15/28 | 5,349,933 | ||
5,450,000 | U.S. Treasury Inflation Indexed Note, 1.375%, 7/15/33 | 5,071,617 | ||
1,140,000 | U.S. Treasury Inflation Indexed Note, 1.500%, 2/15/53 | 966,288 | ||
5,530,000 | U.S. Treasury Note, 4.000%, 2/29/28 | 5,388,078 | ||
Total U.S. Treasury Obligations | $26,844,621 | |||
Asset-Backed Securities — 11.3% | ||||
900,000 | AMMC CLO 16 Ltd. (Cayman Islands), Ser 2015-16A, Class CR2, 144a, (TSFR3M + 2.212%), 7.523%, 4/14/29(B) | 900,134 | ||
1,000,000 | CFIP CLO Ltd. (Cayman Islands), Ser 2018-1A, Class D, 144a, (TSFR3M + 3.502%), 8.812%, 7/18/31(B) | 912,218 | ||
1,091,250 | Driven Brands Funding LLC, Ser 2020-1A, Class A2, 144a, 3.786%, 7/20/50 | 970,253 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 11.3% (Continued) | ||||
$1,071,563 | FOCUS Brands Funding LLC, Ser 2018-1, Class A2, 144a, 5.184%, 10/30/48 | $ 1,020,198 | ||
1,000,000 | Franklin Park Place CLO I LLC (Cayman Islands), Ser 2022-1A, Class B, 144a, (TSFR3M + 2.000%), 7.311%, 4/14/35(B) | 981,304 | ||
1,000,000 | Golub Capital Partners CLO 25M Ltd. (Cayman Islands), Ser 2015-25A, Class BR, 144a, (TSFR3M + 2.162%), 7.531%, 5/5/30(B) | 968,745 | ||
1,011,750 | Hardee's Funding LLC, Ser 2018-1A, Class A2II, 144a, 4.959%, 6/20/48 | 953,215 | ||
1,000,000 | NBC Funding LLC, Ser 2021-1, Class B, 144a, 4.970%, 7/30/51 | 853,231 | ||
1,173,000 | Neighborly Issuer LLC, Ser 2021-1A, Class A2, 144a, 3.584%, 4/30/51 | 977,821 | ||
685,000 | Prestige Auto Receivables Trust, Ser 2019-1A, Class E, 144a, 3.900%, 5/15/26 | 680,881 | ||
1,075,000 | Tesla Auto Lease Trust, Ser 2021-A, Class E, 144a, 2.640%, 3/20/25 | 1,056,417 | ||
980,000 | Zaxby's Funding LLC, Ser 2021-1A, Class A2, 144a, 3.238%, 7/30/51 | 813,169 | ||
Total Asset-Backed Securities | $11,087,586 | |||
Commercial Mortgage-Backed Securities — 5.5% | ||||
2,000,000 | BBCMS Mortgage Trust, Ser 2022-C17, Class XD, 144a, 3.214%, 9/15/55(B)(C)(D) | 396,756 | ||
800,000 | Benchmark Mortgage Trust, Ser 2020-B18, Class AGND, 144a, 3.744%, 7/15/53 | 714,892 | ||
1,250,000 | BX Commercial Mortgage Trust, Ser 2020-VIV2, Class C, 144a, 3.660%, 3/9/44(B)(C) | 1,019,709 | ||
1,125,000 | Citigroup Commercial Mortgage Trust, Ser 2013-375P, Class C, 144a, 3.635%, 5/10/35(B)(C) | 998,771 | ||
1,100,000 | Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Class D, 144a, 3.548%, 10/10/47 | 886,445 | ||
1,250,000 | Citigroup Commercial Mortgage Trust, Ser 2017-P8, Class D, 144a, 3.000%, 9/15/50 | 821,191 | ||
600,000 | WFRBS Commercial Mortgage Trust, Ser 2013-C13, Class D, 144a, 4.179%, 5/15/45(B)(C) | 495,845 | ||
Total Commercial Mortgage-Backed Securities | $5,333,609 |
Shares | ||||
Common Stocks — 2.9% | ||||
Information Technology — 0.6% | ||||
2,111 | International Business Machines Corp. | 296,173 | ||
1,671 | Texas Instruments, Inc. | 265,706 | ||
561,879 | ||||
Financials — 0.6% | ||||
9,601 | Bank of America Corp. | 262,875 | ||
836 | Goldman Sachs Group, Inc. (The) | 270,505 | ||
533,380 | ||||
Industrials — 0.5% | ||||
669 | Lockheed Martin Corp. | 273,594 | ||
3,442 | RTX Corp. | 247,721 | ||
521,315 | ||||
Energy — 0.3% | ||||
2,831 | Exxon Mobil Corp. | 332,869 | ||
Communication Services — 0.3% | ||||
20,286 | AT&T, Inc. | 304,695 | ||
Consumer Staples — 0.3% | ||||
3,103 | Philip Morris International, Inc. | 287,276 |
6
Touchstone Strategic Income Opportunities ETF (Unaudited) (Continued)
Shares | MarketValue | |||
Common Stocks — 2.9% (Continued) | ||||
Health Care — 0.3% | ||||
1,797 | Johnson & Johnson | $ 279,883 | ||
Total Common Stocks | $2,821,297 |
Principal Amount | ||||
Sovereign Government Obligations — 2.7% | ||||
$ 590,000 | Angolan Government International Bond, 144a, 8.000%, 11/26/29 | 484,795 | ||
350,000 | Bahamas Government International Bond, 144a, 6.000%, 11/21/28 | 287,957 | ||
550,000 | Dominican Republic International Bond, 144a, 4.875%, 9/23/32 | 446,454 | ||
610,000 | Egypt Government International Bond, 144a, 8.500%, 1/31/47 | 324,020 | ||
290,000 | Gabon Government International Bond, 144a, 6.625%, 2/6/31 | 214,962 | ||
580,000 | Ghana Government International Bond, 144a, 8.627%, 6/16/49 | 245,099 | ||
290,000 | Republic of Uzbekistan International Bond, 144a, 3.700%, 11/25/30 | 226,200 | ||
400,000 | Serbia International Bond, 2.125%, 12/1/30 | 293,238 | ||
400,000 | Ukraine Government International Bond, 144a, 7.253%, 3/15/35 | 103,942 | ||
Total Sovereign Government Obligations | $2,626,667 | |||
Non-Agency Collateralized Mortgage Obligations — 2.1% | ||||
1,000,000 | Fannie Mae Connecticut Avenue Securities, Ser 2017-C06, Class 1B1, (SOFR30A + 4.264%), 9.579%, 2/25/30(B) | 1,067,471 | ||
1,000,000 | Freddie Mac STACR REMIC Trust, Ser 2022-DNA3, Class M1B, 144a, (SOFR30A + 2.900%), 8.215%, 4/25/42(B) | 1,021,469 | ||
Total Non-Agency Collateralized Mortgage Obligations | $2,088,940 |
Shares | ||||
Preferred Stocks — 0.0% | ||||
Financials — 0.0% | ||||
18,000 | First Republic Bank, Ser K, 13.930%(A) | 4 | ||
Short-Term Investment Fund — 2.8% | ||||
2,740,925 | Dreyfus Government Cash Management, Institutional Shares, 5.22%∞Ω** | 2,740,925 | ||
Total Investment Securities—99.1% (Cost $100,287,470) | $96,744,986 | |||
Other Assets in Excess of Liabilities — 0.9% | 831,446 | |||
Net Assets — 100.0% | $97,576,432 |
(A) | Perpetual Bond - A bond or preferred stock with no definite maturity date. |
(B) | Variable rate security - Rate reflected is the rate in effect as of September 30, 2023. |
(C) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(D) | Interest only security - This type of security represents the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
** | All or a portion of the security represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of September 30, 2023 was $432,062. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2023. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
ICE – Intercontinental Exchange, Inc. |
LLC – Limited Liability Company |
LP – Limited Partnership |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
SOC – State-Owned Company |
SOFR30A – Secured Overnight Financing Rate 30 Day Average |
STACR – Structured Agency Credit Risk |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, these securities were valued at $38,551,446 or 39.5% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $43,201,337 | $— | $43,201,337 |
U.S. Treasury Obligations | — | 26,844,621 | — | 26,844,621 |
Asset-Backed Securities | — | 11,087,586 | — | 11,087,586 |
Commercial Mortgage-Backed Securities | — | 5,333,609 | — | 5,333,609 |
Common Stocks | 2,821,297 | — | — | 2,821,297 |
Sovereign Government Obligations | — | 2,626,667 | — | 2,626,667 |
Non-Agency Collateralized Mortgage Obligations | — | 2,088,940 | — | 2,088,940 |
Preferred Stocks | 4 | — | — | 4 |
Short-Term Investment Fund | 2,740,925 | — | — | 2,740,925 |
Other Financial Instruments | ||||
Swap Agreements | ||||
Credit contracts | — | 3,491 | — | 3,491 |
Total Assets | $5,562,226 | $91,186,251 | $— | $96,748,477 |
Liabilities: | ||||
Other Financial Instruments | ||||
Futures | ||||
Interest rate contracts | $(49,130) | $— | $— | $(49,130) |
Total Liabilities | $(49,130) | $— | $— | $(49,130) |
Total | $5,513,096 | $91,186,251 | $— | $96,699,347 |
7
Touchstone Strategic Income Opportunities ETF (Unaudited) (Continued)
Futures Contracts
At September 30, 2023, $117,600 was segregated with the broker as collateral for futures contracts. The Fund had the following futures contracts, brokered by Wells Fargo, open at September 30, 2023:
Description | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation |
Long Futures: | ||||
2-Year U.S. Treasury Note | 12/29/2023 | 72 | $14,595,188 | $(49,130) |
Centrally Cleared Credit Default Swaps on Credit Indices(1)
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Appreciation |
Buy Protection: | ||||||||
Wells Fargo | 6/20/28 | $5,000,000 | 5.000% | ICE | Markit CDX North America High Yield Series 40 5Y Index | $(78,369) | $(81,860) | $3,491 |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
See accompanying Notes to Portfolios of Investments.
8
Portfolio of Investments
Touchstone Ultra Short Income ETF – September 30, 2023 (Unaudited)
Principal Amount | Market Value | |||
Asset-Backed Securities — 41.2% | ||||
$ 194,180 | AFG ABS I LLC, Ser 2023-1, Class A1, 144a, 5.462%, 2/15/24 | $ 194,113 | ||
170,850 | American Credit Acceptance Receivables Trust, Ser 2020-2, Class C, 144a, 3.880%, 4/13/26 | 170,529 | ||
1,000,000 | American Credit Acceptance Receivables Trust, Ser 2020-4, Class D, 144a, 1.770%, 12/14/26 | 979,412 | ||
500,000 | AmeriCredit Automobile Receivables Trust, Ser 2023-2, Class A2, 6.190%, 4/19/27 | 500,104 | ||
783,654 | AMMC CLO XII Ltd. (Cayman Islands), Ser 2013-12A, Class AR2, 144a, (TSFR3M + 1.212%), 6.577%, 11/10/30(A) | 782,027 | ||
448,211 | AUF Funding LLC, Ser 2022-1A, Class A1LN, 144a, (TSFR3M + 2.500%), 7.826%, 1/20/31(A) | 448,524 | ||
161,288 | CarNow Auto Receivables Trust, Ser 2021-2A, Class B, 144a, 1.300%, 1/15/26 | 160,644 | ||
840,360 | CCG Receivables Trust, Ser 2021-1, Class A2, 144a, 0.300%, 6/14/27 | 825,172 | ||
1,000,000 | CPS Auto Receivables Trust, Ser 2021-D, Class C, 144a, 1.590%, 12/15/27 | 968,629 | ||
500,000 | Dell Equipment Finance Trust, Ser 2022-1, Class B, 144a, 2.720%, 8/23/27 | 483,771 | ||
947,500 | Driven Brands Funding LLC, Ser 2018-1A, Class A2, 144a, 4.739%, 4/20/48 | 911,584 | ||
500,000 | DT Auto Owner Trust, Ser 2020-2A, Class E, 144a, 7.170%, 6/15/27 | 502,505 | ||
365,436 | DT Auto Owner Trust, Ser 2023-2A, Class A, 144a, 5.880%, 4/15/27 | 364,861 | ||
500,000 | Exeter Automobile Receivables Trust, Ser 2020-2A, Class E, 144a, 7.190%, 9/15/27 | 502,262 | ||
598,716 | Exeter Automobile Receivables Trust, Ser 2021-2A, Class C, 0.980%, 6/15/26 | 588,855 | ||
434,679 | First Investors Auto Owner Trust, Ser 2020-1A, Class D, 144a, 3.150%, 4/15/26 | 430,399 | ||
839,063 | Flagship Credit Auto Trust, Ser 2023-1, Class A2, 144a, 5.380%, 12/15/26 | 834,917 | ||
277,222 | Foursight Capital Automobile Receivables Trust, Ser 2021-2, Class A3, 144a, 0.810%, 5/15/26 | 274,950 | ||
858,051 | GLS Auto Receivables Issuer Trust, Ser 2020-2A, Class C, 144a, 4.570%, 4/15/26 | 851,506 | ||
750,000 | GLS Auto Receivables Issuer Trust, Ser 2020-3A, Class E, 144a, 4.310%, 7/15/27 | 728,732 | ||
224,054 | GLS Auto Receivables Issuer Trust, Ser 2020-4A, Class C, 144a, 1.140%, 11/17/25 | 222,402 | ||
926,265 | Golub Capital Partners CLO 34M Ltd. (Cayman Islands), Ser 2017-34A, Class AR, 144a, (TSFR3M + 1.962%), 7.331%, 3/14/31(A) | 923,737 | ||
500,000 | Hertz Vehicle Financing LLC, Ser 2021-1A, Class A, 144a, 1.210%, 12/26/25 | 474,526 | ||
495,583 | JFIN CLO 2017 Ltd. (Cayman Islands), Ser 2017-1A, Class A1R, 144a, (TSFR3M + 1.262%), 6.607%, 4/24/29(A) | 493,944 | ||
467,124 | LCM XIII LP (Cayman Islands), Ser 13A, Class AR3, 144a, (TSFR3M + 1.132%), 6.452%, 7/19/27(A) | 465,940 | ||
316,877 | MVW Owner Trust, Ser 2017-1A, Class A, 144a, 2.420%, 12/20/34 | 309,347 | ||
858,041 | Prestige Auto Receivables Trust, Ser 2019-1A, Class D, 144a, 3.010%, 8/15/25 | 854,314 | ||
1,000,000 | Prestige Auto Receivables Trust, Ser 2020-1A, Class D, 144a, 1.620%, 11/16/26 | 979,611 | ||
116,560 | SCF Equipment Leasing LLC, Ser 2020-1A, Class A3, 144a, 1.190%, 10/20/27 | 115,795 | ||
416,799 | Shackleton CLO Ltd. (Cayman Islands), Ser 2015-8A, Class A1R, 144a, (TSFR3M + 1.182%), 6.508%, 10/20/27(A) | 416,614 |
Principal Amount | Market Value | |||
Asset-Backed Securities — 41.2% (Continued) | ||||
$ 566,817 | Sierra Timeshare Receivables Funding LLC, Ser 2018-3A, Class B, 144a, 3.870%, 9/20/35 | $ 561,430 | ||
505,496 | Sierra Timeshare Receivables Funding LLC, Ser 2019-1A, Class D, 144a, 4.750%, 1/20/36 | 488,193 | ||
1,000,000 | STWD Ltd. (Cayman Islands), Ser 2019-FL1, Class B, 144a, (TSFR1M + 1.714%), 7.047%, 7/15/38(A) | 957,784 | ||
862,645 | TCI-Flatiron CLO Ltd. (Cayman Islands), Ser 2017-1A, Class AR, 144a, (TSFR3M + 1.222%), 6.598%, 11/18/30(A) | 860,157 | ||
257,189 | Towd Point Mortgage Trust, Ser 2017-1, Class A1, 144a, 2.750%, 10/25/56(A)(B) | 254,323 | ||
828,218 | Towd Point Mortgage Trust, Ser 2019-HY1, Class A1, 144a, (TSFR1M + 1.114%), 6.434%, 10/25/48(A) | 829,432 | ||
953,876 | Voya CLO Ltd. (Cayman Islands), Ser 2013-2A, Class A1R, 144a, (TSFR3M + 1.232%), 6.583%, 4/25/31(A) | 948,549 | ||
Total Asset-Backed Securities | $21,659,594 | |||
Corporate Bonds — 26.3% | ||||
Financials — 13.0% | ||||
1,000,000 | BNP Paribas SA (France), 144a, 3.800%, 1/10/24 | 993,494 | ||
750,000 | Corestates Capital II, 144a, (TSFR3M + 0.912%), 6.220%, 1/15/27(A) | 710,024 | ||
225,000 | Jackson National Life Global Funding, 144a, 2.650%, 6/21/24 | 219,051 | ||
1,000,000 | John Hancock Life Insurance Co., 144a, 7.375%, 2/15/24 | 1,003,020 | ||
500,000 | Metropolitan Life Insurance Co., 144a, 7.875%, 2/15/24 | 502,517 | ||
1,000,000 | Protective Life Global Funding, 144a, 0.473%, 1/12/24 | 985,146 | ||
1,000,000 | Retail Opportunity Investments Partnership LP REIT, 5.000%, 12/15/23 | 997,393 | ||
1,000,000 | SBA Tower Trust REIT, 144a, 2.836%, 1/15/25 | 957,201 | ||
500,000 | Synovus Financial Corp., 5.200%, 8/11/25 | 482,819 | ||
6,850,665 | ||||
Industrials — 5.1% | ||||
500,000 | Graphic Packaging International LLC, 144a, 0.821%, 4/15/24 | 484,470 | ||
250,000 | L3Harris Technologies, Inc., 5.400%, 1/15/27 | 247,853 | ||
1,000,000 | Penske Truck Leasing Co. LP / PTL Finance Corp., 144a, 5.750%, 5/24/26 | 985,385 | ||
1,000,000 | Timken Co. (The), 3.875%, 9/1/24 | 979,325 | ||
2,697,033 | ||||
Energy — 3.1% | ||||
667,000 | ANR Pipeline Co., 7.375%, 2/15/24 | 665,071 | ||
1,000,000 | Midwest Connector Capital Co. LLC, 144a, 3.900%, 4/1/24 | 984,086 | ||
1,649,157 | ||||
Consumer Discretionary — 2.0% | ||||
500,000 | AutoNation, Inc., 3.500%, 11/15/24 | 482,911 | ||
560,000 | Hyundai Capital America, 144a, 0.800%, 1/8/24 | 552,150 | ||
1,035,061 | ||||
Information Technology — 1.3% | ||||
654,000 | NXP BV / NXP Funding LLC (China), 4.875%, 3/1/24 | 650,750 | ||
Communication Services — 0.9% | ||||
500,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | 488,775 | ||
Utilities — 0.9% | ||||
483,000 | Jersey Central Power & Light Co., 144a, 4.700%, 4/1/24 | 478,542 | ||
Total Corporate Bonds | $13,849,983 |
9
Touchstone Ultra Short Income ETF (Unaudited) (Continued)
Principal Amount | Market Value | |||
Commercial Mortgage-Backed Securities — 17.4% | ||||
$1,000,000 | ACRE Commercial Mortgage Ltd., Ser 2021-FL4, Class B, 144a, (TSFR1M + 1.514%), 6.845%, 12/18/37(A) | $ 964,902 | ||
1,000,000 | BFLD, Ser 2019-DPLO, Class A, 144a, (TSFR1M + 1.204%), 6.536%, 10/15/34(A) | 994,303 | ||
500,000 | BFLD Trust, Ser 2020-OBRK, Class A, 144a, (TSFR1M + 2.164%), 7.496%, 11/15/28(A) | 499,104 | ||
1,000,000 | BHMS, Ser 2018-ATLS, Class A, 144a, (TSFR1M + 1.547%), 6.879%, 7/15/35(A) | 987,219 | ||
95,000 | BPR Trust, Ser 2021-KEN, Class A, 144a, (TSFR1M + 1.364%), 6.696%, 2/15/29(A) | 93,921 | ||
832,615 | BX Commercial Mortgage Trust, Ser 2019-XL, Class A, 144a, (TSFR1M + 1.034%), 6.367%, 10/15/36(A) | 830,243 | ||
1,000,000 | Citigroup Commercial Mortgage Trust, Ser 2019-SMRT, Class C, 144a, 4.682%, 1/10/36 | 998,312 | ||
169,578 | Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Class A, 144a, (TSFR1M + 1.027%), 6.360%, 5/15/36(A) | 169,395 | ||
133,667 | Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Class B, 144a, (TSFR1M + 1.277%), 6.610%, 5/15/36(A) | 133,072 | ||
1,076,000 | Great Wolf Trust, Ser 2019-WOLF, Class B, 144a, (TSFR1M + 1.448%), 6.780%, 12/15/36(A) | 1,065,098 | ||
692,653 | GS Mortgage Securities Corp. Trust, Ser 2018-HART, Class A, 144a, (TSFR1M + 1.143%), 6.483%, 10/15/31(A) | 652,525 | ||
1,000,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2018-WPT, Class BFX, 144a, 4.549%, 7/5/33 | 840,000 | ||
457,988 | ReadyCap Commercial Mortgage Trust, Ser 2018-4, Class A, 144a, 3.390%, 2/27/51 | 436,029 | ||
473,086 | WFRBS Commercial Mortgage Trust, Ser 2014-C20, Class A4, 3.723%, 5/15/47 | 467,964 | ||
Total Commercial Mortgage-Backed Securities | $9,132,087 | |||
Commercial Paper — 7.4% | ||||
1,900,000 | Fidelity National Information Services, Inc., 5.452%, 10/2/23(C) | 1,899,145 | ||
2,000,000 | Humana Inc., 5.422%, 10/2/23(C) | 1,999,060 | ||
Total Commercial Paper | $3,898,205 | |||
Non-Agency Collateralized Mortgage Obligations — 7.3% | ||||
590,687 | CIM Trust, Ser 2018-R3, Class A1, 144a, 5.000%, 12/25/57(A)(B) | 576,808 | ||
752,296 | GS Mortgage-Backed Securities Trust, Ser 2019-SL1, Class A2, 144a, 2.875%, 1/25/59(A)(B) | 734,348 | ||
708,572 | Metlife Securitization Trust, Ser 2019-1A, Class A1A, 144a, 3.750%, 4/25/58(A)(B) | 675,215 | ||
272,349 | Mill City Mortgage Loan Trust, Ser 2017-3, Class A1, 144a, 2.750%, 1/25/61(A)(B) | 264,154 | ||
299,920 | Mill City Mortgage Loan Trust, Ser 2018-2, Class A1, 144a, 3.500%, 5/25/58(A)(B) | 293,026 | ||
468,753 | Towd Point Mortgage Trust, Ser 2015-2, Class 1M2, 144a, 3.627%, 11/25/60(A)(B) | 459,378 | ||
843,633 | Towd Point Mortgage Trust, Ser 2015-6, Class M1, 144a, 3.750%, 4/25/55(A)(B) | 822,452 | ||
Total Non-Agency Collateralized Mortgage Obligations | $3,825,381 |
Shares | MarketValue | |||
Short-Term Investment Fund — 0.0% | ||||
19,224 | Dreyfus Government Cash Management, Institutional Shares, 5.22%∞Ω | $ 19,224 | ||
Total Investment Securities—99.6% (Cost $52,524,819) | $52,384,474 | |||
Other Assets in Excess of Liabilities — 0.4% | 202,927 | |||
Net Assets — 100.0% | $52,587,401 |
(A) | Variable rate security - Rate reflected is the rate in effect as of September 30, 2023. |
(B) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(C) | Rate reflects yield at the time of purchase. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2023. |
Portfolio Abbreviations: |
ABS – Asset-Backed Security |
CLO – Collateralized Loan Obligation |
LLC – Limited Liability Company |
LP – Limited Partnership |
REIT – Real Estate Investment Trust |
TSFR1M – One Month Term Secured Overnight Financing Rate |
TSFR3M – Three Month Term Secured Overnight Financing Rate |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, these securities were valued at $41,915,225 or 79.7% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $21,659,594 | $— | $21,659,594 |
Corporate Bonds | — | 13,849,983 | — | 13,849,983 |
Commercial Mortgage-Backed Securities | — | 9,132,087 | — | 9,132,087 |
Commercial Paper | — | 3,898,205 | — | 3,898,205 |
Non-Agency Collateralized Mortgage Obligations | — | 3,825,381 | — | 3,825,381 |
Short-Term Investment Fund | 19,224 | — | — | 19,224 |
Total | $19,224 | $52,365,250 | $— | $52,384,474 |
See accompanying Notes to Portfolios of Investments.
10
Portfolio of Investments
Touchstone US Large Cap Focused ETF – September 30, 2023 (Unaudited)
Shares | Market Value | |||
Common Stocks — 94.9% | ||||
Information Technology — 24.8% | ||||
12,250 | Apple, Inc. | $ 2,097,324 | ||
2,798 | International Business Machines Corp. | 392,559 | ||
7,947 | Microsoft Corp. | 2,509,265 | ||
6,209 | Oracle Corp. | 657,657 | ||
3,241 | Salesforce, Inc.* | 657,210 | ||
3,214 | Texas Instruments, Inc. | 511,058 | ||
1,748 | Workday, Inc. - Class A* | 375,558 | ||
7,200,631 | ||||
Health Care — 15.4% | ||||
6,196 | BioMarin Pharmaceutical, Inc.* | 548,222 | ||
6,538 | Bristol-Myers Squibb Co. | 379,466 | ||
3,452 | Cencora, Inc. | 621,256 | ||
2,483 | HCA Healthcare, Inc. | 610,768 | ||
5,214 | Johnson & Johnson | 812,080 | ||
6,822 | Medtronic PLC | 534,572 | ||
1,883 | UnitedHealth Group, Inc. | 949,390 | ||
4,455,754 | ||||
Financials — 14.2% | ||||
19,452 | Bank of America Corp. | 532,596 | ||
3,913 | Berkshire Hathaway, Inc. - Class B* | 1,370,724 | ||
3,127 | Charles Schwab Corp. (The) | 171,672 | ||
2,009 | Goldman Sachs Group, Inc. (The) | 650,052 | ||
348 | Markel Group, Inc.* | 512,427 | ||
3,467 | PayPal Holdings, Inc.* | 202,681 | ||
2,914 | Visa, Inc. - Class A | 670,249 | ||
4,110,401 | ||||
Communication Services — 13.3% | ||||
12,151 | Alphabet, Inc. - Class C* | 1,602,109 | ||
10,866 | Comcast Corp. - Class A | 481,799 | ||
4,076 | Meta Platforms, Inc. - Class A* | 1,223,656 | ||
922 | Netflix, Inc.* | 348,147 | ||
2,485 | Walt Disney Co. (The)* | 201,409 | ||
3,857,120 | ||||
Industrials — 8.1% | ||||
1,999 | Boeing Co. (The)* | 383,168 | ||
306 | Deere & Co. | 115,478 | ||
947 | FedEx Corp. | 250,879 | ||
1,382 | Hubbell, Inc. | 433,133 | ||
5,743 | RTX Corp. | 413,324 | ||
8,002 | Southwest Airlines Co. | 216,614 | ||
5,989 | SS&C Technologies Holdings, Inc. | 314,662 | ||
2,572 | Stanley Black & Decker, Inc. | 214,968 | ||
2,342,226 | ||||
Consumer Discretionary — 7.6% | ||||
2,375 | Airbnb, Inc. - Class A* | 325,874 | ||
9,849 | Amazon.com, Inc.* | 1,252,005 |
Shares | Market Value | |||
Consumer Discretionary — (Continued) | ||||
2,151 | Hilton Worldwide Holdings, Inc. | $ 323,037 | ||
3,322 | Starbucks Corp. | 303,199 | ||
2,204,115 | ||||
Energy — 4.2% | ||||
6,214 | Exxon Mobil Corp. | 730,642 | ||
8,262 | Schlumberger NV | 481,675 | ||
1,212,317 | ||||
Consumer Staples — 3.9% | ||||
11,100 | Monster Beverage Corp.* | 587,745 | ||
5,981 | Philip Morris International, Inc. | 553,721 | ||
1,141,466 | ||||
Materials — 2.4% | ||||
6,196 | DuPont de Nemours, Inc. | 462,160 | ||
3,541 | International Flavors & Fragrances, Inc. | 241,390 | ||
703,550 | ||||
Real Estate — 1.0% | ||||
1,958 | Jones Lang LaSalle, Inc.* | 276,430 | ||
Total Common Stocks | $27,504,010 | |||
Short-Term Investment Fund — 5.2% | ||||
1,500,810 | Dreyfus Government Cash Management, Institutional Shares, 5.22%∞Ω | 1,500,810 | ||
Total Investment Securities—100.1% (Cost $27,893,346) | $29,004,820 | |||
Liabilities in Excess of Other Assets — (0.1%) | (29,238) | |||
Net Assets — 100.0% | $28,975,582 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of September 30, 2023. |
Portfolio Abbreviations: |
PLC – Public Limited Company |
Other Information:
The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the security valuation section in the accompanying Notes to Portfolios of Investments.
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $27,504,010 | $— | $— | $27,504,010 |
Short-Term Investment Fund | 1,500,810 | — | — | 1,500,810 |
Total | $29,004,820 | $— | $— | $29,004,820 |
See accompanying Notes to Portfolios of Investments.
11
Notes to Portfolios of Investments
September 30, 2023 (Unaudited)
Security valuation and fair value measurements — U.S. generally accepted accounting principles (“U.S. GAAP”) defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. All investments in securities are recorded at their fair value. The Funds define the term “market value”, as used throughout this report, as the estimated fair value. The Funds use various methods to measure fair value of their portfolio securities on a recurring basis. U.S. GAAP fair value measurement standards require disclosure of a hierarchy that prioritizes inputs to valuation methods. These inputs are summarized in the three broad levels listed below:
• Level 1 − quoted prices in active markets for identical securities
• Level 2 − other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 − significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The aggregate value by input level, as of September 30, 2023, for each Fund’s investments, is included in each Fund’s Portfolio of Investments, which also includes a breakdown of the Fund’s investments by sector allocation. The Funds did not hold or transfer any Level 3 categorized securities during the period ended September 30, 2023.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the hierarchy.
The Funds' portfolio securities are valued as of the close of the regular session of trading on the New York Stock Exchange (“NYSE”) (currently 4:00 p.m., Eastern Time or at the time as of which the NYSE establishes official closing prices). Portfolio securities traded on stock exchanges are valued at the last reported sale price, official close price, or last bid price if no sales are reported. Portfolio securities quoted by NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”) or from the primary exchange on which the security trades. To the extent these securities are actively traded, they are categorized in Level 1 of the fair value hierarchy. Options and futures are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long option positions are valued at the most recent bid price, and short option positions are valued at the most recent ask price on the valuation date and are categorized in Level 1. Shares of mutual funds in which the Funds invest are valued at their respective net asset value (“NAV”) as reported by the underlying funds and are categorized in Level 1.
Debt securities held by the Funds are valued at their evaluated bid by an independent pricing service or at their last broker-quoted bid prices as obtained from one or more of the major market makers for such securities. Independent pricing services use information provided by market makers or estimates of market values through accepted market modeling conventions. Observable inputs to the models may include prepayment speeds, pricing spread, yield, trade information, dealer quotes, market color, cash flow models, the securities’ terms and conditions, among others, and are generally categorized in Level 2. Investments in asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche, and are generally categorized in Level 2. Debt securities with remaining maturities of 60 days or less may be valued at amortized cost, provided such amount approximates market value and are categorized in Level 2. While this method provides consistency in valuation (and may only be used if it approximates market value), it may result in periods during which fair value, as determined by amortized cost, is higher or lower than the price that would be received if the Fund sold the investment.
Securities mainly traded on a non-U.S. exchange or denominated in foreign currencies are generally valued according to the preceding closing values on that exchange, translated to U.S. dollars using currency exchange rates as of the close of regular trading on the NYSE, and are generally categorized in Level 1. However, if an event that may change the value of a security occurs after the time that the closing value on the non-U.S. exchange was determined, but before the close of regular trading on the NYSE, the security may be priced based on fair value and is generally categorized in Level 2. This may cause the value of the security, if held on the books of a Fund, to be different from the closing value on the non-U.S. exchange and may affect the calculation of that Fund's NAV. The Funds may use fair value pricing under the following circumstances, among others:
• If the value of a security has been materially affected by events occurring before the Funds' pricing time but after the close of the primary markets on which the security is traded.
• If the exchange on which a portfolio security is principally traded closes early or if trading in a particular portfolio security was halted during the day and did not resume prior to the Funds' NAV calculation.
• If a security is so thinly traded that reliable market quotations are unavailable due to infrequent trading.
• If the validity of market quotations is not reliable.
Securities held by the Funds that do not have readily available market quotations, significant observable inputs, or securities for which the available market quotations are not reliable, are priced at their estimated fair value using procedures approved by the Funds’ Board of Trustees and are generally categorized in Level 3.
12
Notes to Portfolios of Investments (Unaudited) (Continued)
Each Fund is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies.
Security transactions—Security transactions are reflected for financial reporting purposes as of the trade date.
13