Janus Henderson Flexible Bond Fund
Schedule of Investments (unaudited)
September 30, 2023
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– 24.9% | |||||||
208 Park Avenue Mortgage Trust 2017-280P, | |||||||
CME Term SOFR 1 Month + 0.9300%, 6.5100%, 9/15/34 (144A)‡ | $4,050,930 | $3,931,235 | |||||
A&D Mortgage Trust 2023-NQM2 A1, 6.1320%, 5/25/68 (144A)Ç | 5,222,858 | 5,146,921 | |||||
ACC Auto Trust 2022-A A, 4.5800%, 7/15/26 (144A) | 994,938 | 985,179 | |||||
Affirm Asset Securitization Trust 2020-Z2 A, 1.9000%, 1/15/25 (144A) | 96,948 | 96,269 | |||||
Aimco 2020-11A AR, | |||||||
CME Term SOFR 3 Month + 1.3916%, 6.6996%, 10/17/34 (144A)‡ | 1,763,000 | 1,752,209 | |||||
Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)‡ | 466,892 | 442,059 | |||||
Angel Oak Mortgage Trust I LLC 2019-6, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 0.9500%, 2.6200%, 11/25/59 (144A)‡ | 412,480 | 393,530 | |||||
Angel Oak Mortgage Trust I LLC 2020-2, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 2.2000%, 2.5310%, 1/26/65 (144A)‡ | 1,315,246 | 1,167,476 | |||||
Angel Oak Mortgage Trust I LLC 2020-3, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.0000%, 2.4100%, 4/25/65 (144A)‡ | 1,005,701 | 903,205 | |||||
Aqua Finance Trust 2021-A A, 1.5400%, 7/17/46 (144A) | 1,717,297 | 1,501,098 | |||||
ARES CLO Ltd 2021-60A A, | |||||||
CME Term SOFR 3 Month + 1.3816%, 6.6915%, 7/18/34 (144A)‡ | 1,486,000 | 1,471,877 | |||||
Arivo Acceptance Auto Loan Receivables 2022-1A A, 3.9300%, 5/15/28 (144A) | 1,258,836 | 1,231,292 | |||||
Atalaya Equipment Leasing Fund I LP 2021-1A A2, 1.2300%, 5/15/26 (144A) | 1,051,645 | 1,035,687 | |||||
Babson CLO Ltd 2018-3A A1, | |||||||
CME Term SOFR 3 Month + 1.2116%, 6.5378%, 7/20/29 (144A)‡ | 1,769,308 | 1,767,807 | |||||
Babson CLO Ltd 2019-3A A1R, | |||||||
CME Term SOFR 3 Month + 1.3316%, 6.6578%, 4/20/31 (144A)‡ | 6,351,000 | 6,320,865 | |||||
Barclays Commercial Mortgage Securities LLC 2015-SRCH, | |||||||
4.1970%, 8/10/35 (144A) | 9,721,000 | 8,607,628 | |||||
BPR Trust 2022-OANA A, | |||||||
CME Term SOFR 1 Month + 1.8980%, 7.2302%, 4/15/37 (144A)‡ | 11,487,000 | 11,278,615 | |||||
BPR Trust 2023-BRK2 A, 0%, 11/5/28 (144A)‡ | 6,286,000 | 6,285,682 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | 2,160,000 | 1,822,735 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | 4,295,000 | 3,601,575 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
CME Term SOFR 1 Month + 1.0345%, 6.3667%, 10/15/36 (144A)‡ | 7,813,293 | 7,792,348 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
CME Term SOFR 1 Month + 1.1945%, 6.5267%, 10/15/36 (144A)‡ | 2,552,550 | 2,536,524 | |||||
BX Commercial Mortgage Trust 2020-VKNG A, | |||||||
CME Term SOFR 1 Month + 1.0445%, 6.3767%, 10/15/37 (144A)‡ | 1,032,857 | 1,022,250 | |||||
BX Commercial Mortgage Trust 2021-LBA AJV, | |||||||
CME Term SOFR 1 Month + 0.9145%, 6.2475%, 2/15/36 (144A)‡ | 5,348,000 | 5,248,837 | |||||
BX Commercial Mortgage Trust 2021-LBA AV, | |||||||
CME Term SOFR 1 Month + 0.9145%, 6.2475%, 2/15/36 (144A)‡ | 4,808,914 | 4,724,053 | |||||
BX Commercial Mortgage Trust 2021-VINO A, | |||||||
CME Term SOFR 1 Month + 0.7668%, 6.0988%, 5/15/38 (144A)‡ | 1,113,335 | 1,092,314 | |||||
BX Commercial Mortgage Trust 2021-VOLT B, | |||||||
CME Term SOFR 1 Month + 1.0645%, 6.3967%, 9/15/36 (144A)‡ | 6,188,000 | 5,977,233 | |||||
BX Commercial Mortgage Trust 2021-VOLT D, | |||||||
CME Term SOFR 1 Month + 1.7645%, 7.0967%, 9/15/36 (144A)‡ | 6,499,000 | 6,198,080 | |||||
BX Commercial Mortgage Trust 2022-FOX2 A2, | |||||||
CME Term SOFR 1 Month + 0.7492%, 6.0814%, 4/15/39 (144A)‡ | 5,663,092 | 5,477,730 | |||||
BX Commercial Mortgage Trust 2023-VLT2 A, | |||||||
CME Term SOFR 1 Month + 2.2810%, 7.6132%, 6/15/40 (144A)‡ | 1,109,000 | 1,107,146 | |||||
BX Commercial Mortgage Trust 2023-VLT2 B, | |||||||
CME Term SOFR 1 Month + 3.1290%, 8.4612%, 6/15/40 (144A)‡ | 2,466,000 | 2,461,313 | |||||
CBAM CLO Management 2019-11RA A1, | |||||||
CME Term SOFR 3 Month + 1.4416%, 6.4304%, 1/20/35 (144A)‡ | 7,300,000 | 7,230,044 | |||||
CBAM CLO Management 2019-11RA B, | |||||||
CME Term SOFR 3 Month + 2.0116%, 7.0004%, 1/20/35 (144A)‡ | 2,775,193 | 2,716,517 | |||||
Cedar Funding Ltd 2019-11A A1R, | |||||||
CME Term SOFR 3 Month + 1.3116%, 6.7155%, 5/29/32 (144A)‡ | 5,305,000 | 5,276,252 | |||||
CENT Trust 2023-CITY A, | |||||||
CME Term SOFR 1 Month + 2.6200%, 7.9522%, 9/15/28 (144A)‡ | 6,425,000 | 6,439,483 | |||||
CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A) | 7,105,112 | 6,224,732 | |||||
CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A) | 2,608,695 | 2,073,953 | |||||
CF Hippolyta Issuer LLC 2022-1A A1, 5.9700%, 8/15/62 (144A) | 6,581,951 | 6,366,150 | |||||
CF Hippolyta Issuer LLC 2022-1A A2, 6.1100%, 8/15/62 (144A) | 15,903,775 | 15,290,370 | |||||
Chase Auto Credit Linked Notes 2021-2 B, 0.8890%, 12/26/28 (144A) | 1,385,715 | 1,345,883 | |||||
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Chase Mortgage Finance Corp 2021-CL1 M1, | |||||||
US 30 Day Average SOFR + 1.2000%, 6.5150%, 2/25/50 (144A)‡ | $3,047,528 | $2,883,346 | |||||
CIFC Funding Ltd 2021-4A A, | |||||||
CME Term SOFR 3 Month + 1.3116%, 6.6196%, 7/15/33 (144A)‡ | 5,567,595 | 5,548,576 | |||||
CIFC Funding Ltd 2021-7A B, | |||||||
CME Term SOFR 3 Month + 1.8616%, 7.2072%, 1/23/35 (144A)‡ | 2,232,376 | 2,181,290 | |||||
CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)Ç | 2,688,860 | 2,609,583 | |||||
CIM Trust 2021-NR4 A1, 2.8160%, 10/25/61 (144A)Ç | 1,305,772 | 1,208,919 | |||||
Cold Storage Trust 2020-ICE5 A, | |||||||
CME Term SOFR 1 Month + 1.0145%, 6.3467%, 11/15/37 (144A)‡ | 10,993,766 | 10,890,680 | |||||
Cold Storage Trust 2020-ICE5 B, | |||||||
CME Term SOFR 1 Month + 1.4145%, 6.7467%, 11/15/37 (144A)‡ | 4,888,412 | 4,836,679 | |||||
Cold Storage Trust 2020-ICE5 C, | |||||||
CME Term SOFR 1 Month + 1.7645%, 7.0967%, 11/15/37 (144A)‡ | 4,906,106 | 4,851,009 | |||||
COLT Funding LLC 2020-2, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.5000%, 1.8530%, 3/25/65 (144A)‡ | 31,413 | 31,076 | |||||
COLT Funding LLC 2020-3, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.2000%, 1.5060%, 4/27/65 (144A)‡ | 345,364 | 320,554 | |||||
Connecticut Avenue Securities Trust 2018-R07, | |||||||
US 30 Day Average SOFR + 2.5145%, 7.8294%, 4/25/31 (144A)‡ | 84,501 | 84,577 | |||||
Connecticut Avenue Securities Trust 2019-R03, | |||||||
US 30 Day Average SOFR + 2.2645%, 7.5794%, 9/25/31 (144A)‡ | 21,359 | 21,359 | |||||
Connecticut Avenue Securities Trust 2019-R07, | |||||||
US 30 Day Average SOFR + 2.2145%, 7.5294%, 10/25/39 (144A)‡ | 45,718 | 45,789 | |||||
Connecticut Avenue Securities Trust 2021-R02 2M2, | |||||||
US 30 Day Average SOFR + 2.0000%, 7.3150%, 11/25/41 (144A)‡ | 8,533,255 | 8,338,009 | |||||
Connecticut Avenue Securities Trust 2021-R03 1M1, | |||||||
US 30 Day Average SOFR + 0.8500%, 6.1650%, 12/25/41 (144A)‡ | 2,148,905 | 2,131,104 | |||||
Connecticut Avenue Securities Trust 2021-R03 1M2, | |||||||
US 30 Day Average SOFR + 1.6500%, 6.9650%, 12/25/41 (144A)‡ | 3,943,000 | 3,852,838 | |||||
Connecticut Avenue Securities Trust 2022-R01 1B1, | |||||||
US 30 Day Average SOFR + 3.1500%, 8.4650%, 12/25/41 (144A)‡ | 6,109,000 | 6,089,828 | |||||
Connecticut Avenue Securities Trust 2022-R03 1M1, | |||||||
US 30 Day Average SOFR + 2.1000%, 7.4150%, 3/25/42 (144A)‡ | 6,583,505 | 6,640,767 | |||||
Connecticut Avenue Securities Trust 2022-R04 1M1, | |||||||
US 30 Day Average SOFR + 2.0000%, 7.3150%, 3/25/42 (144A)‡ | 2,876,497 | 2,896,009 | |||||
Connecticut Avenue Securities Trust 2022-R05 2M1, | |||||||
US 30 Day Average SOFR + 1.9000%, 7.2150%, 4/25/42 (144A)‡ | 508,137 | 509,206 | |||||
Connecticut Avenue Securities Trust 2022-R06 1M1, | |||||||
US 30 Day Average SOFR + 2.7500%, 8.0650%, 5/25/42 (144A)‡ | 1,980,834 | 2,030,433 | |||||
Connecticut Avenue Securities Trust 2022-R08 1M1, | |||||||
US 30 Day Average SOFR + 2.5500%, 7.8650%, 7/25/42 (144A)‡ | 1,612,839 | 1,641,344 | |||||
Connecticut Avenue Securities Trust 2023-R01 1M1, | |||||||
US 30 Day Average SOFR + 2.4000%, 7.7150%, 12/25/42 (144A)‡ | 2,697,423 | 2,742,466 | |||||
Connecticut Avenue Securities Trust 2023-R03 2M1, | |||||||
US 30 Day Average SOFR + 2.5000%, 7.8150%, 4/25/43 (144A)‡ | 3,822,548 | 3,867,810 | |||||
Connecticut Avenue Securities Trust 2023-R06 1M1, | |||||||
US 30 Day Average SOFR + 1.7000%, 7.0150%, 7/25/43 (144A)‡ | 4,182,409 | 4,178,252 | |||||
Consumer Loan Underlying Bond Credit Trust 2020-P1 C, | |||||||
4.6100%, 3/15/28 (144A) | 69,251 | 68,965 | |||||
CP EF Asset Securitization I LLC 2002-1A A, 5.9600%, 4/15/30 (144A) | 1,866,133 | 1,837,372 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4, | |||||||
CME Term SOFR 1 Month + 1.0270%, 6.3600%, 5/15/36 (144A)‡ | 9,165,198 | 9,142,440 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4 C, | |||||||
CME Term SOFR 1 Month + 1.4770%, 6.8100%, 5/15/36 (144A)‡ | 5,155,175 | 5,123,077 | |||||
Credit Suisse Commercial Mortgage Trust 2021-WEHO A, | |||||||
CME Term SOFR 1 Month + 4.0838%, 9.4168%, 4/15/26 (144A)‡ | 4,651,023 | 4,593,839 | |||||
DC Commercial Mortgage Trust 2023-DC A, 6.3143%, 9/12/40 (144A) | 5,277,000 | 5,254,011 | |||||
DC Commercial Mortgage Trust 2023-DC B, 6.8043%, 9/12/40 (144A) | 5,000,717 | 4,978,777 | |||||
Diamond Infrastructure Funding LLC 2021-1A A, 1.7600%, 4/15/49 (144A) | 7,083,000 | 6,053,644 | |||||
Elmwood CLO VIII Ltd 2019-2A AR, | |||||||
CME Term SOFR 3 Month + 1.4116%, 6.7378%, 4/20/34 (144A)‡ | 2,239,000 | 2,228,830 | |||||
Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26 | 3,626,000 | 3,451,451 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 4,597,154 | 3,932,816 | |||||
Fannie Mae REMICS, 3.0000%, 11/25/49 | 5,860,545 | 4,957,286 | |||||
Flagstar Mortgage Trust 2021-13IN A2, 3.0000%, 12/30/51 (144A)‡ | 13,584,311 | 10,689,006 | |||||
Freddie Mac - SLST 2020-2 M1, 4.7500%, 9/25/60 (144A)‡ | 1,708,123 | 1,628,850 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2, | |||||||
US 30 Day Average SOFR + 2.0645%, 7.3794%, 10/25/49 (144A)‡ | 33,814 | 33,855 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2, | |||||||
US 30 Day Average SOFR + 2.0000%, 7.3150%, 12/25/50 (144A)‡ | 4,114,393 | 4,142,589 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, | |||||||
US 30 Day Average SOFR + 2.6000%, 7.9150%, 11/25/50 (144A)‡ | 4,557,393 | 4,614,285 | |||||
2
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, | |||||||
US 30 Day Average SOFR + 2.3000%, 7.6150%, 8/25/33 (144A)‡ | $5,864,026 | $5,911,454 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA6 M1, | |||||||
US 30 Day Average SOFR + 0.8000%, 6.1150%, 10/25/41 (144A)‡ | 3,064,023 | 3,058,398 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, | |||||||
US 30 Day Average SOFR + 2.2500%, 7.5650%, 8/25/33 (144A)‡ | 4,066,167 | 4,040,381 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A, | |||||||
US 30 Day Average SOFR + 2.9500%, 8.2650%, 6/25/42 (144A)‡ | 4,047,806 | 4,145,310 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A, | |||||||
US 30 Day Average SOFR + 2.1500%, 7.4650%, 9/25/42 (144A)‡ | 832,088 | 838,569 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A, | |||||||
US 30 Day Average SOFR + 2.1000%, 7.4150%, 3/25/42 (144A)‡ | 7,665,916 | 7,730,583 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2023-DNA2 M1A, | |||||||
US 30 Day Average SOFR + 2.1000%, 7.4150%, 4/25/43 (144A)‡ | 1,964,661 | 1,983,064 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2023-HQA2 M1A, | |||||||
US 30 Day Average SOFR + 2.0000%, 7.3150%, 6/25/43 (144A)‡ | 491,644 | 493,996 | |||||
GCAT 2022-INV1 A1, 3.0000%, 12/25/51 (144A)‡ | 14,495,641 | 11,483,962 | |||||
GCAT 2023-INV1 A1, 6.0000%, 8/25/53 (144A)‡ | 7,105,255 | 6,864,797 | |||||
Great Wolf Trust, | |||||||
CME Term SOFR 1 Month + 1.1485%, 6.4805%, 12/15/36 (144A)‡ | 2,050,000 | 2,040,202 | |||||
Great Wolf Trust, | |||||||
CME Term SOFR 1 Month + 1.4485%, 6.7805%, 12/15/36 (144A)‡ | 2,296,000 | 2,276,125 | |||||
Great Wolf Trust, | |||||||
CME Term SOFR 1 Month + 1.7475%, 7.0795%, 12/15/36 (144A)‡ | 2,558,000 | 2,530,268 | |||||
Highbridge Loan Management Ltd 2021-16A B, | |||||||
CME Term SOFR 3 Month + 1.9616%, 7.3072%, 1/23/35 (144A)‡ | 2,113,425 | 2,077,083 | |||||
Hudson Bay Simon JV Trust 2015-HB7 A7, 3.9141%, 8/5/34 (144A) | 2,080,000 | 1,848,641 | |||||
Imerial Fund LLC 2023-NQM1 A1, 5.9410%, 2/25/68 (144A)Ç | 3,529,876 | 3,455,623 | |||||
JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A, | |||||||
3.2865%, 1/10/37 (144A) | 6,185,000 | 5,813,603 | |||||
JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B, | |||||||
3.6401%, 1/10/37 (144A) | 4,370,000 | 4,049,725 | |||||
LAD Auto Receivables Trust 2021-1A A, 1.3000%, 8/17/26 (144A) | 1,008,475 | 988,811 | |||||
LAD Auto Receivables Trust 2022-1A A, 5.2100%, 6/15/27 (144A) | 3,296,343 | 3,270,756 | |||||
Lendbuzz Securitization Trust 2021-1A A, 4.2200%, 5/17/27 (144A)‡ | 3,355,621 | 3,253,748 | |||||
Lendbuzz Securitization Trust 2023-1A A2, 6.9200%, 8/15/28 (144A) | 2,552,434 | 2,544,654 | |||||
Life Financial Services Trust 2021-BMR A, | |||||||
CME Term SOFR 1 Month + 0.8145%, 6.1465%, 3/15/38 (144A)‡ | 11,607,894 | 11,369,185 | |||||
Life Financial Services Trust 2021-BMR C, | |||||||
CME Term SOFR 1 Month + 1.2145%, 6.5465%, 3/15/38 (144A)‡ | 6,486,620 | 6,289,230 | |||||
Life Financial Services Trust 2022-BMR2 A1, | |||||||
CME Term SOFR 1 Month + 1.2952%, 6.6274%, 5/15/39 (144A)‡ | 6,610,000 | 6,492,614 | |||||
M&T Equipment Notes 2023-1A A2, 6.0900%, 7/15/30 (144A) | 2,784,000 | 2,771,338 | |||||
M&T Equipment Notes 2023-1A A3, 5.7400%, 7/15/30 (144A) | 1,594,000 | 1,567,160 | |||||
Madison Park Funding Ltd 2019-35A A1R, | |||||||
CME Term SOFR 3 Month + 1.2516%, 6.5778%, 4/20/32 (144A)‡ | 7,174,000 | 7,150,096 | |||||
Marlette Funding Trust 2023-2A B, 6.5400%, 6/15/33 (144A) | 1,710,000 | 1,705,076 | |||||
MED Trust 2021-MDLN E, | |||||||
CME Term SOFR 1 Month + 3.2645%, 8.5965%, 11/15/38 (144A)‡ | 8,277,275 | 7,879,291 | |||||
Mello Mortgage Capital Acceptance Trust 2021-INV2 A11, | |||||||
US 30 Day Average SOFR + 0.9500%, 5.0000%, 8/25/51 (144A)‡ | 4,218,458 | 3,865,867 | |||||
Mello Mortgage Capital Acceptance Trust 2021-INV3 A11, | |||||||
US 30 Day Average SOFR + 0.9500%, 5.0000%, 10/25/51 (144A)‡ | 5,305,149 | 4,861,815 | |||||
Mello Mortgage Capital Acceptance Trust 2021-INV4 A3, | |||||||
2.5000%, 12/25/51 (144A)‡ | 4,025,385 | 3,038,350 | |||||
Mello Mortgage Capital Acceptance Trust 2022-INV1 A2, | |||||||
3.0000%, 3/25/52 (144A)‡ | 10,025,899 | 7,888,660 | |||||
Mercury Financial Credit Card Master Trust 2023-1A A, | |||||||
8.0400%, 9/20/27 (144A) | 4,532,000 | 4,559,740 | |||||
MHC Commercial Mortgage Trust 2021-MHC A, | |||||||
CME Term SOFR 1 Month + 0.9154%, 6.2474%, 4/15/38 (144A)‡ | 9,670,803 | 9,541,809 | |||||
MHC Commercial Mortgage Trust 2021-MHC C, | |||||||
CME Term SOFR 1 Month + 1.4654%, 6.7974%, 4/15/38 (144A)‡ | 5,459,149 | 5,357,802 | |||||
NCMF Trust 2022-MFP A, | |||||||
CME Term SOFR 1 Month + 1.7420%, 7.0742%, 3/15/39 (144A)‡ | 3,015,000 | 2,982,210 | |||||
New Residential Mortgage Loan Trust 2018-2, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 6 Months + 0.6800%, 4.5000%, 2/25/58 (144A)‡ | 1,951,596 | 1,841,033 | |||||
NRZ Excess Spread Collateralized Notes 2020-PLS1 A, | |||||||
3.8440%, 12/25/25 (144A) | 1,024,279 | 954,862 | |||||
NRZ Excess Spread Collateralized Notes 2021-FHT1 A, 3.1040%, 7/25/26 (144A) | 3,132,899 | 2,801,766 | |||||
Oak Street Investment Grade Net Lease Fund 2020-1A A1, | |||||||
1.8500%, 11/20/50 (144A) | 4,645,531 | 4,176,763 | |||||
Oasis Securitization 2022-1A A, 4.7500%, 5/15/34 (144A) | 931,840 | 922,769 | |||||
3
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Oceanview Mortgage Trust 2021-4 A11, | |||||||
US 30 Day Average SOFR + 0.8500%, 5.0000%, 10/25/51 (144A)‡ | $5,822,464 | $5,319,798 | |||||
Oceanview Mortgage Trust 2021-5 AF, | |||||||
US 30 Day Average SOFR + 0.8500%, 5.0000%, 11/25/51 (144A)‡ | 5,644,741 | 5,159,635 | |||||
Oceanview Mortgage Trust 2022-1 A1, 3.0000%, 12/25/51 (144A)‡ | 5,869,035 | 4,619,888 | |||||
Oceanview Mortgage Trust 2022-2 A1, 3.0000%, 12/25/51 (144A)‡ | 11,431,925 | 9,012,581 | |||||
Onslow Bay Financial LLC 2021-INV3 A3, 2.5000%, 10/25/51 (144A)‡ | 4,518,583 | 3,429,495 | |||||
Onslow Bay Financial LLC 2022-INV1 A1, 3.0000%, 12/25/51 (144A)‡ | 11,481,308 | 9,045,420 | |||||
Onslow Bay Financial LLC 2022-INV1 A18, 3.0000%, 12/25/51 (144A)‡ | 4,868,455 | 3,728,598 | |||||
Pagaya AI Debt Selection Trust 2022-1 A, 2.0300%, 10/15/29 (144A) | 1,419,474 | 1,389,973 | |||||
Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)Ç | 2,901,226 | 2,826,909 | |||||
Preston Ridge Partners Mortgage Trust 2021-10 A1, 2.4870%, 10/25/26 (144A)Ç | 5,281,568 | 4,923,163 | |||||
Preston Ridge Partners Mortgage Trust 2021-9 A1, 2.3630%, 10/25/26 (144A)Ç | 10,048,536 | 9,400,879 | |||||
Preston Ridge Partners Mortgage Trust 2021-RPL2 A1, | |||||||
1.4550%, 10/25/51 (144A)‡ | 6,199,670 | 5,407,548 | |||||
Preston Ridge Partners Mortgage Trust 2022-2 A1, 5.0000%, 3/25/27 (144A)Ç | 7,048,518 | 6,834,177 | |||||
Provident Funding Mortgage Trust 2021-INV1 A1, 2.5000%, 8/25/51 (144A)‡ | 4,855,910 | 3,692,506 | |||||
Regatta XXIII Funding Ltd 2021-4A B, | |||||||
CME Term SOFR 3 Month + 1.9616%, 7.2878%, 1/20/35 (144A)‡ | 2,192,711 | 2,163,055 | |||||
Saluda Grade Alternative Mortgage Trust 2023-FIG3 A, 7.0670%, 8/25/53‡ | 7,802,804 | 7,802,703 | |||||
Saluda Grade Alternative Mortgage Trust 2023-SEQ3 A1, | |||||||
Prime Rate by Country United States + 2.3000%, 7.1620%, 6/1/53 (144A)‡ | 2,123,635 | 2,117,073 | |||||
Santander Bank Auto Credit-Linked Notes 2021-1A B, 1.8330%, 12/15/31 (144A) | 713,446 | 689,564 | |||||
Santander Bank Auto Credit-Linked Notes 2022-A B, 5.2810%, 5/15/32 (144A) | 2,733,377 | 2,706,441 | |||||
Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26 | 6,804,207 | 6,657,871 | |||||
Santander Drive Auto Receivables Trust 2021-1 D, 1.1300%, 11/16/26 | 15,238,000 | 14,713,691 | |||||
Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)‡ | 539,298 | 446,330 | |||||
Sequoia Mortgage Trust 2020-2, 3.5000%, 3/25/50 (144A)‡ | 428,215 | 351,129 | |||||
Signal Peak CLO LLC 2022-12A A1, 7.1207%, 7/10/28‡ | 9,142,000 | 9,071,456 | |||||
SMRT 2022-MINI A, CME Term SOFR 1 Month + 1.0000%, 6.3330%, 1/15/39 (144A)‡ | 3,548,000 | 3,458,936 | |||||
Sound Point CLO Ltd 2019-1A AR, | |||||||
CME Term SOFR 3 Month + 1.3416%, 6.6678%, 1/20/32 (144A)‡ | 6,462,000 | 6,404,553 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A1, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 0.9500%, 2.5210%, 1/28/50 (144A)‡ | 30,571 | 30,164 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A2, | |||||||
Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.0500%, 2.6240%, 1/28/50 (144A)‡ | 134,609 | 132,833 | |||||
SREIT Trust 2021-MFP A, | |||||||
CME Term SOFR 1 Month + 0.8453%, 6.1775%, 11/15/38 (144A)‡ | 816,000 | 800,399 | |||||
Tesla Auto Lease Trust 2021-B A3, 0.6000%, 9/22/25 (144A) | 3,326,000 | 3,242,670 | |||||
Tesla Auto Lease Trust 2021-B B, 0.9100%, 9/22/25 (144A) | 1,705,000 | 1,633,185 | |||||
Towd Point Mortgage Trust 2023-CES1 A1A, 6.7500%, 7/25/63 (144A)‡ | 2,118,111 | 2,116,343 | |||||
Tricolor Auto Securitization Trust 2022-1A A, 3.3000%, 2/18/25 (144A) | 108,224 | 107,999 | |||||
UNIFY Auto Receivables Trust 2021-1A A4, 0.9800%, 7/15/26 (144A) | 3,616,198 | 3,540,232 | |||||
United Wholesale Mortgage LLC 2021-INV1 A9, | |||||||
US 30 Day Average SOFR + 0.9000%, 5.0000%, 8/25/51 (144A)‡ | 5,017,636 | 4,576,610 | |||||
United Wholesale Mortgage LLC 2021-INV4 A3, 2.5000%, 12/25/51 (144A)‡ | 3,087,543 | 2,327,405 | |||||
Upstart Securitization Trust 2021-5 A, 1.3100%, 11/20/31 (144A) | 506,800 | 499,542 | |||||
Upstart Securitization Trust 2022-1 A, 3.1200%, 3/20/32 (144A) | 2,938,919 | 2,889,289 | |||||
Upstart Securitization Trust 2022-2 A, 4.3700%, 5/20/32 (144A) | 3,445,404 | 3,419,095 | |||||
Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A) | 6,324,000 | 5,710,266 | |||||
Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A) | 4,083,000 | 3,402,719 | |||||
VASA Trust 2021-VASA A, | |||||||
CME Term SOFR 1 Month + 1.0145%, 6.3475%, 7/15/39 (144A)‡ | 3,768,000 | 3,283,803 | |||||
VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A) | 596,630 | 578,825 | |||||
VMC Finance LLC 2021-HT1 A, | |||||||
CME Term SOFR 1 Month + 1.7645%, 7.0951%, 1/18/37 (144A)‡ | 3,880,788 | 3,788,451 | |||||
Wells Fargo Commercial Mortgage Trust 2021-SAVE A, | |||||||
CME Term SOFR 1 Month + 1.2645%, 6.5975%, 2/15/40 (144A)‡ | 1,200,838 | 1,136,353 | |||||
Westgate Resorts 2022-1A A, 1.7880%, 8/20/36 (144A) | 1,511,479 | 1,421,543 | |||||
Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A) | 1,716,750 | 1,704,802 | |||||
Woodward Capital Management 2021-3 A21, | |||||||
US 30 Day Average SOFR + 0.8000%, 5.0000%, 7/25/51 (144A)‡ | 4,034,820 | 3,668,396 | |||||
Woodward Capital Management 2023-CES1 A1A, 6.5150%, 6/25/43 (144A)‡ | 4,057,978 | 4,024,989 | |||||
Woodward Capital Management 2023-CES2 A1A, 6.8080%, 9/25/43 (144A)‡ | 7,409,624 | 7,399,234 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $720,754,561) | 681,032,460 | ||||||
Corporate Bonds– 29.6% | |||||||
Banking – 10.6% | |||||||
American Express Co, SOFR + 1.8350%, 5.0430%, 5/1/34‡ | 6,687,000 | 6,165,087 | |||||
Bank of America Corp, SOFR + 1.9900%, 6.2040%, 11/10/28‡ | 2,498,000 | 2,509,282 | |||||
Bank of America Corp, SOFR + 1.5700%, 5.8190%, 9/15/29‡ | 13,736,000 | 13,567,424 | |||||
Bank of America Corp, SOFR + 1.8400%, 5.8720%, 9/15/34‡ | 13,116,000 | 12,764,237 | |||||
4
Shares
or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Banking– (continued) | |||||||
Bank of America Corp, CME Term SOFR 3 Month + 3.9666%, 6.2500%‡,µ | $8,517,000 | $8,379,305 | |||||
Bank of New York Mellon Corp/The, SOFR + 1.0260%, 4.9470%, 4/26/27‡ | 4,155,000 | 4,055,635 | |||||
Bank of New York Mellon Corp/The, SOFR + 1.6060%, 4.9670%, 4/26/34‡ | 2,556,000 | 2,356,859 | |||||
Bank of New York Mellon/The, SOFR + 2.0740%, 5.8340%, 10/25/33‡ | 6,673,000 | 6,559,522 | |||||
Bank of Montreal, | |||||||
US Treasury Yield Curve Rate 5 Year + 1.4000%, 3.0880%, 1/10/37‡ | 18,727,000 | 13,954,804 | |||||
Barclays PLC, SOFR + 1.8800%, 6.4960%, 9/13/27‡ | 3,135,000 | 3,126,683 | |||||
Barclays PLC, SOFR + 2.2200%, 6.4900%, 9/13/29‡ | 2,471,000 | 2,450,794 | |||||
Barclays PLC, SOFR + 2.6200%, 6.6920%, 9/13/34‡ | 5,843,000 | 5,704,411 | |||||
BNP Paribas SA, SOFR + 1.2280%, 2.5910%, 1/20/28 (144A)‡ | 4,430,000 | 3,946,696 | |||||
BNP Paribas SA, | |||||||
US Treasury Yield Curve Rate 1 Year + 1.4500%, 5.1250%, 1/13/29 (144A)‡ | 6,476,000 | 6,252,448 | |||||
Capital One Financial Corp, SOFR + 2.6400%, 6.3120%, 6/8/29‡ | 7,500,000 | 7,329,728 | |||||
Citigroup Inc, CME Term SOFR 3 Month + 4.1666%, 5.9500%‡,µ | 4,099,000 | 3,911,024 | |||||
Citigroup Inc, CME Term SOFR 3 Month + 3.6846%, 6.3000%‡,µ | 916,000 | 890,398 | |||||
Cooperatieve Rabobank UA, | |||||||
US Treasury Yield Curve Rate 1 Year + 1.4000%, 5.5640%, 2/28/29 (144A)‡ | 9,718,000 | 9,471,509 | |||||
Deutsche Bank AG / New York, SOFR + 3.0430%, 3.5470%, 9/18/31‡ | 1,338,000 | 1,078,702 | |||||
Deutsche Bank AG / New York, SOFR + 3.6500%, 7.0790%, 2/10/34‡ | 3,590,000 | 3,244,432 | |||||
Fifth Third Bancorp, SOFR + 2.3400%, 6.3390%, 7/27/29‡ | 4,463,000 | 4,408,847 | |||||
ING Groep NV, SOFR + 1.5600%, 6.0830%, 9/11/27‡ | 2,866,000 | 2,853,264 | |||||
ING Groep NV, SOFR + 2.0900%, 6.1140%, 9/11/34‡ | 2,687,000 | 2,609,376 | |||||
JPMorgan Chase & Co, SOFR + 1.4500%, 5.2990%, 7/24/29‡ | 9,544,000 | 9,286,147 | |||||
JPMorgan Chase & Co, CME Term SOFR 3 Month + 2.5150%, 2.9560%, 5/13/31‡ | 9,112,000 | 7,486,644 | |||||
JPMorgan Chase & Co, SOFR + 2.5800%, 5.7170%, 9/14/33‡ | 3,406,000 | 3,274,123 | |||||
JPMorgan Chase & Co, SOFR + 1.8450%, 5.3500%, 6/1/34‡ | 4,297,000 | 4,074,746 | |||||
JPMorgan Chase & Co, CME Term SOFR 3 Month + 3.3800%, 5.0000%‡,µ | 3,293,000 | 3,182,914 | |||||
Mitsubishi UFJ Financial Group Inc, | |||||||
US Treasury Yield Curve Rate 1 Year + 1.7000%, 4.7880%, 7/18/25‡ | 4,681,000 | 4,626,478 | |||||
Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26‡ | 11,145,000 | 10,469,530 | |||||
Morgan Stanley, SOFR + 1.2950%, 5.0500%, 1/28/27‡ | 1,965,000 | 1,926,155 | |||||
Morgan Stanley, SOFR + 0.8790%, 1.5930%, 5/4/27‡ | 4,849,000 | 4,315,999 | |||||
Morgan Stanley, CME Term SOFR 3 Month + 1.4016%, 3.7720%, 1/24/29‡ | 691,000 | 630,091 | |||||
Morgan Stanley, SOFR + 1.7300%, 5.1230%, 2/1/29‡ | 4,412,000 | 4,248,825 | |||||
Morgan Stanley, SOFR + 1.5900%, 5.1640%, 4/20/29‡ | 6,520,000 | 6,272,597 | |||||
Morgan Stanley, SOFR + 1.6300%, 5.4490%, 7/20/29‡ | 3,086,000 | 3,007,211 | |||||
Morgan Stanley, SOFR + 1.2900%, 2.9430%, 1/21/33‡ | 5,212,000 | 4,104,491 | |||||
Morgan Stanley, SOFR + 1.8700%, 5.2500%, 4/21/34‡ | 2,072,000 | 1,923,810 | |||||
Morgan Stanley, SOFR + 1.8800%, 5.4240%, 7/21/34‡ | 10,267,000 | 9,684,777 | |||||
Morgan Stanley, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.4300%, 5.9480%, 1/19/38‡ | 1,681,000 | 1,571,190 | |||||
PNC Financial Services Group Inc/The, SOFR + 1.8410%, 5.5820%, 6/12/29‡ | 10,455,000 | 10,142,538 | |||||
PNC Financial Services Group Inc/The, SOFR + 2.1400%, 6.0370%, 10/28/33‡ | 2,874,000 | 2,789,136 | |||||
PNC Financial Services Group Inc/The, SOFR + 1.9330%, 5.0680%, 1/24/34‡ | 4,445,000 | 4,030,944 | |||||
Royal Bank of Canada, 5.0000%, 5/2/33 | 10,492,000 | 9,747,843 | |||||
State Street Corp, SOFR + 1.5670%, 4.8210%, 1/26/34‡ | 1,988,000 | 1,812,645 | |||||
Sumitomo Mitsui Financial Group Inc, 5.7100%, 1/13/30 | 5,626,000 | 5,504,582 | |||||
Sumitomo Mitsui Financial Group Inc, 5.8520%, 7/13/30 | 7,290,000 | 7,193,304 | |||||
Sumitomo Mitsui Financial Group Inc, 5.7760%, 7/13/33 | 1,415,000 | 1,383,095 | |||||
Toronto-Dominion Bank/The, 5.5230%, 7/17/28 | 9,216,000 | 9,096,550 | |||||
Truist Financial Corp, SOFR + 2.0500%, 6.0470%, 6/8/27‡ | 4,023,000 | 3,979,239 | |||||
US Bancorp, SOFR + 2.0200%, 5.7750%, 6/12/29‡ | 6,446,000 | 6,274,409 | |||||
US Bancorp, SOFR + 1.6000%, 4.8390%, 2/1/34‡ | 3,677,000 | 3,237,440 | |||||
US Bancorp, SOFR + 2.2600%, 5.8360%, 6/12/34‡ | 8,578,000 | 8,090,340 | |||||
Westpac Banking Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35‡ | 9,029,000 | 6,764,346 | |||||
287,722,606 | |||||||
Basic Industry – 0.7% | |||||||
Celanese US Holdings LLC, 6.3500%, 11/15/28 | 2,939,000 | 2,902,062 | |||||
Celanese US Holdings LLC, 6.3300%, 7/15/29 | 2,911,000 | 2,853,395 | |||||
Celanese US Holdings LLC, 6.5500%, 11/15/30 | 7,368,000 | 7,210,548 | |||||
Celanese US Holdings LLC, 6.7000%, 11/15/33 | 7,179,000 | 6,988,142 | |||||
19,954,147 | |||||||
Brokerage – 0.9% | |||||||
Charles Schwab Corp, SOFR + 2.0100%, 6.1360%, 8/24/34‡ | 8,566,000 | 8,332,633 | |||||
Nasdaq Inc, 5.3500%, 6/28/28 | 1,472,000 | 1,445,107 | |||||
Nasdaq Inc, 5.5500%, 2/15/34 | 9,845,000 | 9,396,585 | |||||
Nasdaq Inc, 5.9500%, 8/15/53 | 4,648,000 | 4,341,610 | |||||
Nasdaq Inc, 6.1000%, 6/28/63 | 1,974,000 | 1,835,795 | |||||
25,351,730 | |||||||
Capital Goods – 0.8% | |||||||
L3Harris Technologies Inc, 5.4000%, 7/31/33 | 5,184,000 | 4,983,239 | |||||
Lockheed Martin Corp, 4.4500%, 5/15/28 | 2,778,000 | 2,688,594 | |||||
5
Shares
or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Capital Goods– (continued) | |||||||
Nordson Corp, 5.8000%, 9/15/33 | $9,939,000 | $9,708,377 | |||||
Regal Rexnord Corp, 6.0500%, 4/15/28 (144A) | 4,838,000 | 4,705,761 | |||||
22,085,971 | |||||||
Communications – 0.3% | |||||||
Comcast Corp, 4.5500%, 1/15/29 | 4,465,000 | 4,287,920 | |||||
Comcast Corp, 4.8000%, 5/15/33 | 3,438,000 | 3,225,333 | |||||
7,513,253 | |||||||
Consumer Cyclical – 0.9% | |||||||
CBRE Services Inc, 5.9500%, 8/15/34 | 12,706,000 | 11,984,436 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29 | 603,000 | 558,993 | |||||
LKQ Corp, 5.7500%, 6/15/28 (144A) | 6,722,000 | 6,566,828 | |||||
LKQ Corp, 6.2500%, 6/15/33 (144A) | 6,323,000 | 6,113,979 | |||||
25,224,236 | |||||||
Consumer Non-Cyclical – 3.4% | |||||||
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC, | |||||||
6.5000%, 2/15/28 (144A) | 4,458,000 | 4,406,184 | |||||
Amgen Inc, 5.1500%, 3/2/28 | 5,449,000 | 5,359,068 | |||||
Amgen Inc, 5.2500%, 3/2/30 | 4,345,000 | 4,245,007 | |||||
CSL Finance Ltd, 3.8500%, 4/27/27 (144A) | 1,839,000 | 1,742,402 | |||||
GE HealthCare Technologies Inc, 5.6500%, 11/15/27 | 5,628,000 | 5,618,765 | |||||
GE HealthCare Technologies Inc, 5.8570%, 3/15/30 | 1,176,000 | 1,166,635 | |||||
Hasbro Inc, 3.9000%, 11/19/29 | 14,554,000 | 12,874,732 | |||||
Hasbro Inc, 5.1000%, 5/15/44 | 1,655,000 | 1,352,311 | |||||
HCA Inc, 5.2000%, 6/1/28 | 3,494,000 | 3,376,842 | |||||
HCA Inc, 3.6250%, 3/15/32 | 8,110,000 | 6,722,287 | |||||
Illumina Inc, 5.7500%, 12/13/27 | 8,548,000 | 8,404,806 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, 5.5000%, 1/15/30 | 9,007,000 | 8,408,370 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, 3.6250%, 1/15/32 | 3,897,000 | 3,102,832 | |||||
Pfizer Investment Enterprises Pte Ltd, 4.4500%, 5/19/28 | 7,413,000 | 7,146,987 | |||||
Pfizer Investment Enterprises Pte Ltd, 4.6500%, 5/19/30 | 4,448,000 | 4,262,537 | |||||
Pilgrim's Pride Corp, 6.2500%, 7/1/33 | 7,434,000 | 6,986,393 | |||||
Universal Health Services Inc, 2.6500%, 1/15/32 | 10,445,000 | 7,830,676 | |||||
93,006,834 | |||||||
Electric – 2.3% | |||||||
American Electric Power Co Inc, 5.6250%, 3/1/33 | 6,736,000 | 6,518,131 | |||||
CMS Energy Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.1160%, 4.7500%, 6/1/50‡ | 8,111,000 | 6,919,169 | |||||
Duke Energy Corp, 4.3000%, 3/15/28 | 4,804,000 | 4,555,162 | |||||
Exelon Corp, 5.1500%, 3/15/28 | 3,254,000 | 3,193,360 | |||||
Exelon Corp, 5.3000%, 3/15/33 | 5,211,000 | 4,969,060 | |||||
Georgia Power Co, 4.6500%, 5/16/28 | 3,459,000 | 3,337,017 | |||||
Georgia Power Co, 4.9500%, 5/17/33 | 5,466,000 | 5,123,491 | |||||
National Grid PLC, 5.6020%, 6/12/28 | 2,487,000 | 2,459,911 | |||||
National Grid PLC, 5.8090%, 6/12/33 | 5,218,000 | 5,068,362 | |||||
Southern California Edison Co, 5.8500%, 11/1/27 | 6,094,000 | 6,126,694 | |||||
Xcel Energy Inc, 5.4500%, 8/15/33 | 13,440,000 | 12,826,153 | |||||
61,096,510 | |||||||
Energy – 1.4% | |||||||
Columbia Pipelines Operating Company LLC, 5.9270%, 8/15/30 (144A) | 1,590,000 | 1,569,531 | |||||
Columbia Pipelines Operating Company LLC, 6.0360%, 11/15/33 (144A) | 3,823,000 | 3,731,649 | |||||
Columbia Pipelines Operating Company LLC, 6.4970%, 8/15/43 (144A) | 771,000 | 751,025 | |||||
Columbia Pipelines Operating Company LLC, 6.5440%, 11/15/53 (144A) | 3,987,000 | 3,897,797 | |||||
Columbia Pipelines Operating Company LLC, 6.7140%, 8/15/63 (144A) | 759,000 | 741,038 | |||||
Enbridge Inc, 5.7000%, 3/8/33 | 7,230,000 | 6,926,330 | |||||
Energy Transfer LP, 5.5500%, 2/15/28 | 3,965,000 | 3,894,890 | |||||
EQT Corp, 3.1250%, 5/15/26 (144A) | 13,469,000 | 12,461,389 | |||||
EQT Corp, 5.7000%, 4/1/28 | 2,135,000 | 2,092,481 | |||||
Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | 3,041,000 | 2,797,158 | |||||
38,863,288 | |||||||
Finance Companies – 0.6% | |||||||
Ares Capital Corp, 3.2000%, 11/15/31 | 7,000,000 | 5,356,012 | |||||
Blue Owl Credit Income Corp, 7.7500%, 9/16/27 | 4,462,000 | 4,426,120 | |||||
OWL Rock Core Income Corp, 4.7000%, 2/8/27 | 743,000 | 676,108 | |||||
OWL Rock Core Income Corp, 7.9500%, 6/13/28 (144A) | 2,886,000 | 2,860,747 | |||||
Quicken Loans LLC, 3.8750%, 3/1/31 (144A) | 4,262,000 | 3,398,391 | |||||
16,717,378 | |||||||
Government Sponsored – 0.3% | |||||||
Electricite de France SA, 5.7000%, 5/23/28 (144A) | 2,832,000 | 2,804,510 | |||||
Electricite de France SA, 6.2500%, 5/23/33 (144A) | 4,591,000 | 4,595,775 | |||||
7,400,285 | |||||||
Insurance – 1.4% | |||||||
Athene Global Funding, 2.7170%, 1/7/29 (144A) | 7,222,000 | 5,999,181 | |||||
Athene Global Funding, 2.6460%, 10/4/31 (144A) | 5,495,000 | 4,068,641 | |||||
6
Shares
or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Insurance– (continued) | |||||||
Centene Corp, 4.2500%, 12/15/27 | $16,614,000 | $15,316,613 | |||||
Centene Corp, 2.4500%, 7/15/28 | 7,054,000 | 5,959,530 | |||||
Centene Corp, 3.0000%, 10/15/30 | 5,571,000 | 4,493,624 | |||||
UnitedHealth Group Inc, 5.2500%, 2/15/28 | 2,771,000 | 2,775,708 | |||||
38,613,297 | |||||||
Professional Services – 0.3% | |||||||
Booz Allen Hamilton Inc, 5.9500%, 8/4/33 | 8,732,000 | 8,518,939 | |||||
Real Estate Investment Trusts (REITs) – 1.0% | |||||||
Agree LP, 2.9000%, 10/1/30 | 7,291,000 | 5,868,352 | |||||
Alexandria Real Estate Equities Inc, 4.7500%, 4/15/35 | 4,375,000 | 3,846,529 | |||||
American Tower Trust I, 5.4900%, 3/15/28 (144A) | 10,515,000 | 10,301,535 | |||||
Sun Communities Operating LP, 2.7000%, 7/15/31 | 8,985,000 | 6,915,090 | |||||
26,931,506 | |||||||
Technology – 4.5% | |||||||
Broadcom Inc, 2.6000%, 2/15/33 (144A) | 3,689,000 | 2,750,829 | |||||
Broadcom Inc, 3.4690%, 4/15/34 (144A) | 5,962,000 | 4,682,622 | |||||
Broadcom Inc, 3.1370%, 11/15/35 (144A) | 7,414,000 | 5,405,412 | |||||
Cadence Design Systems Inc, 4.3750%, 10/15/24 | 18,064,000 | 17,811,479 | |||||
CoStar Group Inc, 2.8000%, 7/15/30 (144A) | 5,441,000 | 4,384,049 | |||||
Fiserv Inc, 5.4500%, 3/2/28 | 5,618,000 | 5,568,611 | |||||
Fiserv Inc, 5.6250%, 8/21/33 | 5,616,000 | 5,441,589 | |||||
Foundry JV Holdco LLC, 5.8750%, 1/25/34 (144A) | 10,378,000 | 9,913,608 | |||||
Leidos Inc, 2.3000%, 2/15/31 | 1,276,000 | 981,280 | |||||
Leidos Inc, 5.7500%, 3/15/33 | 4,301,000 | 4,121,908 | |||||
Marvell Technology Inc, 1.6500%, 4/15/26 | 5,742,000 | 5,188,876 | |||||
Marvell Technology Inc, 4.8750%, 6/22/28 | 6,709,000 | 6,410,111 | |||||
Marvell Technology Inc, 5.7500%, 2/15/29 | 5,585,000 | 5,533,792 | |||||
Marvell Technology Inc, 5.9500%, 9/15/33 | 12,175,000 | 11,949,913 | |||||
Micron Technology Inc, 6.7500%, 11/1/29 | 3,160,000 | 3,210,702 | |||||
Micron Technology Inc, 5.8750%, 9/15/33 | 3,507,000 | 3,340,258 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 2,905,000 | 2,816,709 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 10,216,000 | 10,061,745 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 2,415,000 | 2,309,469 | |||||
Trimble Inc, 6.1000%, 3/15/33 | 10,969,000 | 10,746,638 | |||||
122,629,600 | |||||||
Transportation – 0.2% | |||||||
GXO Logistics Inc, 1.6500%, 7/15/26 | 6,199,000 | 5,446,935 | |||||
Total Corporate Bonds (cost $860,809,520) | 807,076,515 | ||||||
Mortgage-Backed Securities– 29.3% | |||||||
Fannie Mae: | |||||||
3.0000%, TBA, 15 Year Maturity | 20,838,597 | 18,841,947 | |||||
3.5000%, TBA, 15 Year Maturity | 20,894,000 | 19,304,761 | |||||
4.0000%, TBA, 15 Year Maturity | 20,519,000 | 19,354,342 | |||||
2.5000%, TBA, 30 Year Maturity | 2,801,801 | 2,222,714 | |||||
4.0000%, TBA, 30 Year Maturity | 3,440,284 | 3,062,599 | |||||
4.5000%, TBA, 30 Year Maturity | 13,515,412 | 12,403,918 | |||||
5.5000%, TBA, 30 Year Maturity | 2,966,589 | 2,866,108 | |||||
6.0000%, TBA, 30 Year Maturity | 7,423,909 | 7,325,913 | |||||
85,382,302 | |||||||
Fannie Mae Pool: | |||||||
3.0000%, 10/1/34 | 21,383 | 19,483 | |||||
2.5000%, 11/1/34 | 1,918,022 | 1,702,396 | |||||
3.0000%, 11/1/34 | 118,921 | 108,425 | |||||
3.0000%, 12/1/34 | 114,324 | 104,177 | |||||
2.5000%, 12/1/36 | 2,750,285 | 2,436,098 | |||||
6.0000%, 2/1/37 | 636,047 | 656,889 | |||||
4.5000%, 11/1/42 | 661,419 | 624,323 | |||||
3.0000%, 1/1/43 | 129,389 | 110,725 | |||||
3.0000%, 2/1/43 | 212,878 | 181,869 | |||||
5.0000%, 7/1/44 | 3,339,300 | 3,232,174 | |||||
4.5000%, 10/1/44 | 1,547,977 | 1,461,575 | |||||
4.5000%, 3/1/45 | 2,318,258 | 2,188,863 | |||||
4.0000%, 5/1/45 | 211,091 | 192,390 | |||||
4.5000%, 6/1/45 | 1,146,266 | 1,073,622 | |||||
3.5000%, 12/1/45 | 913,821 | 803,192 | |||||
4.5000%, 2/1/46 | 2,256,017 | 2,129,270 | |||||
3.5000%, 7/1/46 | 5,662,826 | 4,979,360 | |||||
3.0000%, 2/1/47 | 30,637,855 | 26,192,173 | |||||
3.5000%, 3/1/47 | 789,846 | 694,226 | |||||
3.5000%, 7/1/47 | 705,036 | 619,683 | |||||
3.5000%, 8/1/47 | 1,621,607 | 1,417,142 | |||||
4.0000%, 10/1/47 | 1,145,073 | 1,036,946 | |||||
4.0000%, 11/1/47 | 1,677,766 | 1,519,654 | |||||
7
Shares
or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Fannie Mae Pool– (continued) | |||||||
4.0000%, 1/1/48 | $927,643 | $840,047 | |||||
3.0000%, 2/1/48 | 296,483 | 252,089 | |||||
5.0000%, 5/1/48 | 572,898 | 549,838 | |||||
4.5000%, 6/1/48 | 1,158,627 | 1,082,521 | |||||
3.5000%, 7/1/48 | 17,963,310 | 15,718,088 | |||||
4.0000%, 7/1/48 | 1,401,100 | 1,266,839 | |||||
4.0000%, 8/1/48 | 623,615 | 563,857 | |||||
4.0000%, 9/1/48 | 1,484,927 | 1,344,708 | |||||
4.0000%, 10/1/48 | 537,404 | 487,208 | |||||
4.0000%, 11/1/48 | 1,643,119 | 1,485,666 | |||||
4.0000%, 12/1/48 | 261,309 | 236,269 | |||||
4.0000%, 2/1/49 | 997,589 | 901,994 | |||||
3.5000%, 5/1/49 | 2,788,796 | 2,429,045 | |||||
3.5000%, 6/1/49 | 7,685,176 | 6,716,167 | |||||
4.0000%, 6/1/49 | 210,892 | 190,517 | |||||
4.5000%, 6/1/49 | 101,382 | 94,413 | |||||
3.0000%, 8/1/49 | 1,471,273 | 1,219,668 | |||||
3.0000%, 8/1/49 | 348,383 | 288,805 | |||||
4.5000%, 8/1/49 | 143,789 | 133,905 | |||||
3.0000%, 9/1/49 | 217,218 | 183,185 | |||||
3.0000%, 9/1/49 | 12,309 | 10,304 | |||||
4.0000%, 9/1/49 | 1,072,525 | 968,955 | |||||
4.0000%, 11/1/49 | 3,459,916 | 3,128,369 | |||||
4.0000%, 11/1/49 | 307,592 | 278,515 | |||||
3.5000%, 12/1/49 | 8,939,004 | 7,811,902 | |||||
4.5000%, 1/1/50 | 2,733,319 | 2,553,778 | |||||
4.5000%, 1/1/50 | 194,847 | 181,454 | |||||
4.0000%, 3/1/50 | 5,066,846 | 4,593,572 | |||||
4.0000%, 3/1/50 | 2,732,727 | 2,470,862 | |||||
4.0000%, 3/1/50 | 1,044,289 | 944,220 | |||||
4.0000%, 4/1/50 | 688,174 | 619,953 | |||||
2.5000%, 8/1/50 | 798,594 | 646,149 | |||||
4.0000%, 8/1/50 | 631,211 | 568,637 | |||||
4.0000%, 9/1/50 | 5,778,977 | 5,220,648 | |||||
4.0000%, 10/1/50 | 5,517,366 | 4,995,802 | |||||
4.5000%, 10/1/50 | 3,355,419 | 3,135,015 | |||||
4.5000%, 12/1/50 | 4,788,402 | 4,459,279 | |||||
3.5000%, 2/1/51 | 2,353,674 | 2,050,053 | |||||
4.0000%, 3/1/51 | 14,247,554 | 12,871,042 | |||||
4.0000%, 3/1/51 | 272,898 | 246,533 | |||||
4.0000%, 3/1/51 | 137,537 | 124,358 | |||||
4.0000%, 8/1/51 | 2,603,446 | 2,353,970 | |||||
4.0000%, 10/1/51 | 11,177,379 | 10,097,489 | |||||
4.0000%, 10/1/51 | 1,997,988 | 1,804,955 | |||||
3.0000%, 12/1/51 | 176,574 | 147,575 | |||||
2.5000%, 1/1/52 | 5,007,317 | 4,027,108 | |||||
3.5000%, 1/1/52 | 1,883,218 | 1,645,084 | |||||
2.5000%, 2/1/52 | 24,264,334 | 19,503,200 | |||||
3.5000%, 2/1/52 | 4,906,514 | 4,284,568 | |||||
2.5000%, 3/1/52 | 10,310,777 | 8,281,171 | |||||
2.5000%, 3/1/52 | 10,103,640 | 8,121,109 | |||||
2.5000%, 3/1/52 | 3,779,034 | 3,038,363 | |||||
2.5000%, 3/1/52 | 830,806 | 667,139 | |||||
2.5000%, 3/1/52 | 825,359 | 662,893 | |||||
2.5000%, 3/1/52 | 721,265 | 579,739 | |||||
2.5000%, 3/1/52 | 295,983 | 237,896 | |||||
3.0000%, 3/1/52 | 3,972,790 | 3,319,019 | |||||
3.5000%, 3/1/52 | 5,095,212 | 4,427,695 | |||||
3.0000%, 4/1/52 | 2,380,731 | 1,994,105 | |||||
3.0000%, 4/1/52 | 2,047,998 | 1,710,564 | |||||
3.0000%, 4/1/52 | 16,720 | 13,967 | |||||
3.5000%, 4/1/52 | 2,875,912 | 2,487,713 | |||||
3.5000%, 4/1/52 | 1,980,813 | 1,724,844 | |||||
3.5000%, 4/1/52 | 1,571,283 | 1,359,050 | |||||
3.5000%, 4/1/52 | 939,736 | 812,888 | |||||
3.5000%, 4/1/52 | 529,338 | 457,905 | |||||
3.5000%, 4/1/52 | 465,955 | 403,018 | |||||
4.0000%, 4/1/52 | 2,084,552 | 1,867,248 | |||||
4.5000%, 4/1/52 | 394,486 | 362,204 | |||||
4.5000%, 4/1/52 | 333,679 | 306,373 | |||||
4.5000%, 4/1/52 | 191,310 | 175,654 | |||||
4.5000%, 4/1/52 | 173,718 | 159,502 | |||||
4.5000%, 4/1/52 | 151,881 | 139,452 | |||||
4.5000%, 4/1/52 | 97,798 | 89,772 | |||||
8
Shares
or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Fannie Mae Pool– (continued) | |||||||
3.5000%, 5/1/52 | $2,349,862 | $2,040,556 | |||||
3.5000%, 5/1/52 | 1,501,145 | 1,298,285 | |||||
4.5000%, 5/1/52 | 529,417 | 486,093 | |||||
3.5000%, 6/1/52 | 8,555,675 | 7,442,131 | |||||
3.5000%, 6/1/52 | 4,894,796 | 4,267,730 | |||||
3.5000%, 7/1/52 | 10,636,455 | 9,233,118 | |||||
3.5000%, 7/1/52 | 1,263,352 | 1,098,923 | |||||
3.5000%, 7/1/52 | 430,124 | 374,888 | |||||
4.5000%, 7/1/52 | 2,217,636 | 2,039,422 | |||||
3.5000%, 8/1/52 | 2,080,069 | 1,804,988 | |||||
3.5000%, 8/1/52 | 782,835 | 680,705 | |||||
4.5000%, 8/1/52 | 8,142,926 | 7,488,545 | |||||
3.5000%, 9/1/52 | 4,167,018 | 3,618,525 | |||||
5.0000%, 9/1/52 | 3,692,530 | 3,483,503 | |||||
5.5000%, 9/1/52 | 10,226,203 | 9,904,413 | |||||
5.0000%, 10/1/52 | 1,668,596 | 1,579,093 | |||||
5.0000%, 10/1/52 | 733,693 | 694,338 | |||||
5.5000%, 10/1/52 | 16,560,530 | 16,111,580 | |||||
5.0000%, 11/1/52 | 4,047,952 | 3,830,820 | |||||
5.5000%, 11/1/52 | 3,700,905 | 3,600,575 | |||||
5.0000%, 1/1/53 | 3,505,102 | 3,311,869 | |||||
5.0000%, 1/1/53 | 1,159,355 | 1,097,168 | |||||
5.0000%, 1/1/53 | 370,178 | 350,012 | |||||
5.0000%, 2/1/53 | 470,010 | 444,751 | |||||
5.0000%, 3/1/53 | 1,002,692 | 945,672 | |||||
5.0000%, 3/1/53 | 271,152 | 256,353 | |||||
5.5000%, 3/1/53 | 399,767 | 387,375 | |||||
5.0000%, 4/1/53 | 1,312,998 | 1,238,332 | |||||
5.0000%, 4/1/53 | 523,300 | 494,739 | |||||
5.0000%, 4/1/53 | 313,055 | 295,253 | |||||
5.0000%, 4/1/53 | 262,618 | 247,684 | |||||
5.5000%, 4/1/53 | 190,669 | 184,759 | |||||
5.0000%, 5/1/53 | 266,516 | 251,969 | |||||
5.5000%, 5/1/53 | 355,816 | 344,787 | |||||
5.5000%, 5/1/53 | 184,901 | 179,169 | |||||
5.0000%, 6/1/53 | 1,028,963 | 982,981 | |||||
5.0000%, 6/1/53 | 383,277 | 362,037 | |||||
5.0000%, 6/1/53 | 326,476 | 308,657 | |||||
5.5000%, 6/1/53 | 9,830,765 | 9,555,024 | |||||
5.5000%, 6/1/53 | 151,470 | 147,222 | |||||
4.5000%, 7/1/53 | 2,163,252 | 2,007,916 | |||||
5.0000%, 7/1/53 | 3,631,059 | 3,468,427 | |||||
5.5000%, 7/1/53 | 434,309 | 420,847 | |||||
5.5000%, 7/1/53 | 261,027 | 253,706 | |||||
4.5000%, 8/1/53 | 1,545,602 | 1,434,618 | |||||
5.0000%, 8/1/53 | 5,026,645 | 4,801,506 | |||||
5.0000%, 8/1/53 | 327,149 | 309,568 | |||||
5.5000%, 9/1/53 | 7,894,543 | 7,674,240 | |||||
3.5000%, 8/1/56 | 16,966,038 | 14,629,812 | |||||
3.0000%, 2/1/57 | 9,759,313 | 8,035,478 | |||||
3.0000%, 6/1/57 | 35,629 | 29,344 | |||||
380,141,622 | |||||||
Freddie Mac Gold Pool: | |||||||
3.5000%, 1/1/47 | 537,779 | 474,410 | |||||
4.0000%, 8/1/48 | 735,150 | 665,609 | |||||
4.0000%, 9/1/48 | 496,461 | 449,482 | |||||
1,589,501 | |||||||
Freddie Mac Pool: | |||||||
3.0000%, 5/1/31 | 7,242,590 | 6,784,593 | |||||
3.0000%, 9/1/32 | 236,575 | 215,861 | |||||
3.0000%, 10/1/32 | 294,090 | 268,367 | |||||
3.0000%, 1/1/33 | 164,071 | 149,705 | |||||
2.5000%, 12/1/33 | 6,012,867 | 5,497,087 | |||||
3.0000%, 10/1/34 | 51,959 | 47,329 | |||||
3.0000%, 10/1/34 | 24,164 | 22,017 | |||||
2.5000%, 11/1/34 | 2,050,070 | 1,819,598 | |||||
2.5000%, 11/1/34 | 719,156 | 638,308 | |||||
6.0000%, 4/1/40 | 1,100,206 | 1,136,472 | |||||
3.5000%, 7/1/42 | 42,400 | 37,459 | |||||
3.5000%, 8/1/42 | 49,552 | 43,663 | |||||
3.5000%, 8/1/42 | 46,153 | 40,668 | |||||
3.5000%, 2/1/43 | 1,924,917 | 1,694,708 | |||||
3.0000%, 3/1/43 | 666,756 | 570,007 | |||||
9
Shares
or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Freddie Mac Pool– (continued) | |||||||
3.0000%, 6/1/43 | $55,675 | $47,039 | |||||
3.5000%, 2/1/44 | 3,256,956 | 2,867,442 | |||||
4.5000%, 5/1/44 | 1,052,510 | 986,024 | |||||
3.5000%, 12/1/44 | 39,167 | 34,649 | |||||
3.0000%, 1/1/46 | 90,257 | 77,188 | |||||
4.0000%, 2/1/46 | 2,804,201 | 2,548,181 | |||||
4.0000%, 3/1/47 | 7,185 | 6,548 | |||||
3.0000%, 4/1/47 | 850,223 | 718,282 | |||||
3.5000%, 4/1/47 | 38,209 | 33,597 | |||||
3.5000%, 9/1/47 | 12,638 | 11,045 | |||||
4.0000%, 4/1/48 | 118,726 | 107,349 | |||||
4.5000%, 7/1/48 | 674,620 | 630,307 | |||||
5.0000%, 9/1/48 | 117,627 | 112,882 | |||||
4.0000%, 11/1/48 | 147,788 | 133,626 | |||||
4.0000%, 12/1/48 | 1,791,133 | 1,619,249 | |||||
4.5000%, 6/1/49 | 112,589 | 104,825 | |||||
4.0000%, 7/1/49 | 1,396,352 | 1,261,510 | |||||
4.5000%, 7/1/49 | 955,392 | 889,504 | |||||
4.5000%, 7/1/49 | 142,875 | 133,054 | |||||
3.0000%, 8/1/49 | 450,383 | 373,363 | |||||
4.5000%, 8/1/49 | 854,326 | 795,408 | |||||
3.0000%, 12/1/49 | 726,879 | 608,512 | |||||
3.0000%, 12/1/49 | 308,524 | 258,283 | |||||
4.5000%, 1/1/50 | 572,088 | 532,635 | |||||
4.5000%, 1/1/50 | 157,959 | 147,102 | |||||
4.0000%, 3/1/50 | 1,746,899 | 1,579,502 | |||||
4.0000%, 6/1/50 | 2,857,952 | 2,594,085 | |||||
2.5000%, 8/1/50 | 406,681 | 329,159 | |||||
2.5000%, 8/1/50 | 150,233 | 121,555 | |||||
2.5000%, 9/1/50 | 731,899 | 591,988 | |||||
4.5000%, 9/1/50 | 5,199,983 | 4,858,416 | |||||
4.0000%, 10/1/50 | 502,210 | 453,689 | |||||
4.5000%, 10/1/50 | 2,781,190 | 2,590,029 | |||||
4.0000%, 11/1/50 | 3,238,793 | 2,925,881 | |||||
2.5000%, 11/1/51 | 6,304,536 | 5,077,706 | |||||
2.5000%, 1/1/52 | 1,530,175 | 1,230,927 | |||||
2.5000%, 1/1/52 | 961,852 | 773,063 | |||||
2.5000%, 2/1/52 | 2,249,865 | 1,808,398 | |||||
3.0000%, 2/1/52 | 1,075,621 | 898,831 | |||||
3.0000%, 2/1/52 | 769,917 | 645,241 | |||||
2.5000%, 3/1/52 | 363,228 | 291,729 | |||||
3.0000%, 3/1/52 | 1,407,499 | 1,179,250 | |||||
4.5000%, 3/1/52 | 82,223 | 75,494 | |||||
3.5000%, 4/1/52 | 2,006,793 | 1,753,033 | |||||
3.5000%, 4/1/52 | 1,096,767 | 948,723 | |||||
3.5000%, 4/1/52 | 1,050,788 | 908,950 | |||||
3.5000%, 4/1/52 | 350,449 | 303,156 | |||||
3.5000%, 4/1/52 | 338,802 | 293,040 | |||||
3.0000%, 6/1/52 | 11,931,271 | 9,999,187 | |||||
3.5000%, 6/1/52 | 4,977,123 | 4,323,538 | |||||
3.5000%, 7/1/52 | 16,893,830 | 14,664,915 | |||||
3.5000%, 8/1/52 | 2,996,918 | 2,601,515 | |||||
4.5000%, 8/1/52 | 17,749,616 | 16,323,224 | |||||
4.5000%, 8/1/52 | 7,648,339 | 7,028,179 | |||||
4.5000%, 8/1/52 | 3,978,720 | 3,658,982 | |||||
5.5000%, 9/1/52 | 2,449,767 | 2,382,548 | |||||
4.5000%, 10/1/52 | 2,451,965 | 2,269,590 | |||||
5.0000%, 10/1/52 | 5,045,891 | 4,775,230 | |||||
5.0000%, 10/1/52 | 3,319,672 | 3,138,828 | |||||
5.0000%, 10/1/52 | 100,946 | 95,531 | |||||
5.5000%, 10/1/52 | 129,010 | 125,536 | |||||
5.5000%, 11/1/52 | 11,255,844 | 10,950,702 | |||||
5.0000%, 1/1/53 | 214,014 | 202,535 | |||||
5.0000%, 1/1/53 | 185,130 | 175,045 | |||||
5.0000%, 3/1/53 | 1,586,121 | 1,495,924 | |||||
5.0000%, 3/1/53 | 786,962 | 744,010 | |||||
5.0000%, 3/1/53 | 760,717 | 719,198 | |||||
5.0000%, 3/1/53 | 294,498 | 277,751 | |||||
5.0000%, 4/1/53 | 936,755 | 884,348 | |||||
5.0000%, 5/1/53 | 4,768,791 | 4,504,515 | |||||
5.0000%, 5/1/53 | 1,941,590 | 1,833,991 | |||||
5.0000%, 5/1/53 | 1,096,764 | 1,035,984 | |||||
5.0000%, 5/1/53 | 208,661 | 197,447 | |||||
5.5000%, 5/1/53 | 2,012,397 | 1,956,280 | |||||
10
Shares
or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Freddie Mac Pool– (continued) | |||||||
5.5000%, 5/1/53 | $825,507 | $799,920 | |||||
5.0000%, 6/1/53 | 1,649,154 | 1,557,762 | |||||
5.0000%, 6/1/53 | 733,519 | 691,976 | |||||
5.0000%, 6/1/53 | 723,488 | 682,383 | |||||
5.0000%, 6/1/53 | 703,205 | 663,216 | |||||
5.0000%, 6/1/53 | 573,476 | 540,997 | |||||
5.0000%, 6/1/53 | 434,784 | 410,060 | |||||
5.0000%, 6/1/53 | 405,380 | 382,327 | |||||
5.0000%, 6/1/53 | 272,259 | 256,790 | |||||
5.5000%, 6/1/53 | 1,828,850 | 1,772,163 | |||||
5.5000%, 6/1/53 | 744,462 | 719,569 | |||||
5.5000%, 6/1/53 | 570,447 | 551,373 | |||||
5.5000%, 6/1/53 | 548,140 | 529,812 | |||||
5.5000%, 6/1/53 | 499,109 | 482,240 | |||||
5.0000%, 7/1/53 | 1,341,592 | 1,281,503 | |||||
5.0000%, 7/1/53 | 896,659 | 845,669 | |||||
5.5000%, 7/1/53 | 1,986,086 | 1,924,525 | |||||
5.5000%, 7/1/53 | 1,357,273 | 1,311,889 | |||||
5.5000%, 7/1/53 | 1,255,633 | 1,216,713 | |||||
179,220,711 | |||||||
Ginnie Mae: | |||||||
2.5000%, TBA, 30 Year Maturity | 41,130,337 | 33,595,259 | |||||
3.5000%, TBA, 30 Year Maturity | 30,213,313 | 26,452,118 | |||||
4.0000%, TBA, 30 Year Maturity | 11,354,740 | 10,224,523 | |||||
4.5000%, TBA, 30 Year Maturity | 9,618,566 | 8,881,851 | |||||
5.0000%, TBA, 30 Year Maturity | 4,526,907 | 4,288,588 | |||||
83,442,339 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 8/15/47 | 432,245 | 393,864 | |||||
4.0000%, 11/15/47 | 386,599 | 352,271 | |||||
4.0000%, 12/15/47 | 1,254,987 | 1,143,550 | |||||
1,889,685 | |||||||
Ginnie Mae II Pool: | |||||||
3.0000%, 11/20/46 | 10,508,508 | 9,054,990 | |||||
4.0000%, 8/20/47 | 293,909 | 267,835 | |||||
4.0000%, 8/20/47 | 134,568 | 122,630 | |||||
4.5000%, 2/20/48 | 1,414,746 | 1,326,811 | |||||
4.0000%, 5/20/48 | 5,883,130 | 5,374,963 | |||||
4.5000%, 5/20/48 | 559,999 | 524,621 | |||||
4.0000%, 6/20/48 | 1,657,486 | 1,514,317 | |||||
5.0000%, 8/20/48 | 1,604,424 | 1,545,997 | |||||
3.5000%, 5/20/49 | 13,976,886 | 12,399,992 | |||||
2.5000%, 3/20/51 | 13,187,769 | 10,821,663 | |||||
3.0000%, 4/20/51 | 4,660,436 | 3,965,382 | |||||
3.0000%, 7/20/51 | 7,003,487 | 5,952,511 | |||||
3.0000%, 8/20/51 | 20,057,510 | 17,041,398 | |||||
69,913,110 | |||||||
Total Mortgage-Backed Securities (cost $875,092,175) | 801,579,270 | ||||||
United States Treasury Notes/Bonds– 15.2% | |||||||
4.3750%, 8/31/28 | 82,591,200 | 81,771,740 | |||||
4.6250%, 9/30/30 | 47,150,700 | 47,165,435 | |||||
3.8750%, 8/15/33 | 63,364,000 | 59,869,079 | |||||
3.8750%, 5/15/43 | 99,647,900 | 86,755,959 | |||||
4.3750%, 8/15/43# | 55,315,000 | 51,607,166 | |||||
3.6250%, 5/15/53 | 104,876,700 | 86,834,630 | |||||
Total United States Treasury Notes/Bonds (cost $434,177,137) | 414,004,009 | ||||||
Investment Companies– 6.7% | |||||||
Money Markets – 6.7% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 5.3601%ºº,£((cost $182,000,882) | 181,984,105 | 182,038,700 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 1.8% | |||||||
Investment Companies – 1.5% | |||||||
Janus Henderson Cash Collateral Fund LLC, 5.2832%ºº,£ | 40,271,725 | 40,271,725 | |||||
Time Deposits – 0.3% | |||||||
Royal Bank of Canada, 5.3100%, 10/2/23 | $10,115,431 | 10,115,431 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $50,387,156) | 50,387,156 | ||||||
Total Investments (total cost $3,123,221,431) – 107.5% | 2,936,118,110 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (7.5)% | (204,398,166) | ||||||
Net Assets – 100% | $2,731,719,944 | ||||||
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Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $2,813,511,503 | 95.8 | % | ||
Canada | 39,725,527 | 1.4 | |||
United Kingdom | 18,810,161 | 0.6 | |||
Japan | 18,707,459 | 0.6 | |||
France | 17,599,429 | 0.6 | |||
Netherlands | 14,934,149 | 0.5 | |||
Australia | 8,506,748 | 0.3 | |||
Germany | 4,323,134 | 0.2 | |||
Total | $2,936,118,110 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 9/30/23 | |||||||
Investment Companies - 6.7% | ||||||||||
Money Markets - 6.7% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 5.3601%ºº | $ | 3,040,140 | $ | 5,212 | $ | 12,660 | $ | 182,038,700 | ||
Investments Purchased with Cash Collateral from Securities Lending - 1.5% | ||||||||||
Investment Companies - 1.5% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 5.2832%ºº | 189,430∆ | - | - | 40,271,725 | ||||||
Total Affiliated Investments - 8.2% | $ | 3,229,570 | $ | 5,212 | $ | 12,660 | $ | 222,310,425 | ||
Value at 6/30/23 | Purchases | Sales Proceeds | Value at 9/30/23 | |||||||
Investment Companies - 6.7% | ||||||||||
Money Markets - 6.7% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 5.3601%ºº | 251,620,828 | 329,800,977 | (399,400,977) | 182,038,700 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 1.5% | ||||||||||
Investment Companies - 1.5% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 5.2832%ºº | 678,968 | 180,725,869 | (141,133,112) | 40,271,725 | ||||||
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Schedule of Futures
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | ||||||||||
Futures Long: | ||||||||||||||
10 Year US Treasury Note | 138 | 12/29/23 | $ | 14,912,625 | $ | (288,944) | ||||||||
2 Year US Treasury Note | 4,353 | 1/4/24 | 882,400,713 | (1,963,555) | ||||||||||
5 Year US Treasury Note | 4,723 | 1/4/24 | 497,612,328 | (5,509,689) | ||||||||||
US Treasury Long Bond | 1,127 | 12/29/23 | 128,231,469 | (7,114,131) | ||||||||||
Total - Futures Long | (14,876,319) | |||||||||||||
Futures Short: | ||||||||||||||
Ultra 10-Year Treasury Note | 1,431 | 12/29/23 | (159,645,938) | 4,735,285 | ||||||||||
Ultra Long Term US Treasury Bond | 49 | 12/29/23 | (5,815,688) | 426,834 | ||||||||||
Total - Futures Short | 5,162,119 | |||||||||||||
Total | $ | (9,714,200) | ||||||||||||
Average Ending Monthly Value of Derivative Instruments During the Period Ended September 30, 2023 | |
|
|
|
|
Futures contracts: |
|
Average notional amount of contracts - long | $1,403,950,392 |
Average notional amount of contracts - short | 152,323,684 |
|
|
|
|
|
|
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Notes to Schedule of Investments (unaudited)
IBOR | Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
TBA | (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when specific mortgage pools are assigned. |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended September 30, 2023 is $760,765,880, which represents 27.8% of net assets. |
‡ | Variable or floating rate security. Rate shown is the current rate as of September 30, 2023. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ºº | Rate shown is the 7-day yield as of September 30, 2023. |
# | Loaned security; a portion of the security is on loan at September 30, 2023. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date. |
Ç | Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate. |
£ | The Fund may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
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The following is a summary of the inputs that were used to value the Fund’s investments in securities and other financial instruments as of September 30, 2023. | |||||||||||||
Valuation Inputs Summary | |||||||||||||
Level 2 - | Level 3 - | ||||||||||||
Level 1 - | Other Significant | Significant | |||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||||
Assets | |||||||||||||
Investments In Securities: | |||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 681,032,460 | $ | - | |||||||
Corporate Bonds | - | 807,076,515 | - | ||||||||||
Mortgage-Backed Securities | - | 801,579,270 | - | ||||||||||
United States Treasury Notes/Bonds | - | 414,004,009 | - | ||||||||||
Investment Companies | - | 182,038,700 | - | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 50,387,156 | - | ||||||||||
Total Investments in Securities | $ | - | $ | 2,936,118,110 | $ | - | |||||||
Other Financial Instruments(a): | |||||||||||||
Futures Contracts | 5,162,119 | - | - | ||||||||||
Total Assets | $ | 5,162,119 | $ | 2,936,118,110 | $ | - | |||||||
Liabilities | |||||||||||||
Other Financial Instruments(a): | |||||||||||||
Futures Contracts | $ | 14,876,319 | $ | - | $ | - | |||||||
(a) | Other financial instruments may include forward foreign currency exchange contracts, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts, futures contracts, and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Written options and written swaptions are reported at their market value at measurement date. | ||||||||||||
15
Investment Valuation
Fund holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The value of the securities of other mutual funds held by the Fund, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Fund, if any, will be calculated using the NAV of such funds.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Fund has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Fund’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Fund since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of September 30, 2023 to fair value the Fund’s
16
investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments.
17
For additional information on the Fund, please refer to the Fund’s most recent semiannual or annual shareholder report.
125-25-70264 11-23 | |||||