NPORT-EX 2 nportex-04.htm

Janus Henderson Flexible Bond Fund

Schedule of Investments (unaudited)

September 30, 2023

        

Shares or
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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
Principal Amounts

  

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

 

11

      

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

12

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

  

 

 

 

 

 

 

13

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.

14

              

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