NPORT-EX 2 nportex-08.htm

Janus Henderson Balanced Fund

Schedule of Investments (unaudited)

December 31, 2023

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– 9.4%

   
 

208 Park Avenue Mortgage Trust 2017-280P,

      
 

CME Term SOFR 1 Month + 1.1800%, 6.5380%, 9/15/34 (144A)‡

 

$11,417,538

  

$10,985,194

 
 

A&D Mortgage Trust 2023-NQM2 A1, 6.1320%, 5/25/68 (144A)Ç

 

15,562,058

  

15,488,110

 
 

A&D Mortgage Trust 2023-NQM4 A1, 7.4720%, 9/25/68 (144A)Ç

 

15,058,136

  

15,301,139

 
 

A&D Mortgage Trust 2023-NQM5 A1, 7.0490%, 11/25/68 (144A)Ç

 

7,265,357

  

7,331,818

 
 

ACC Auto Trust 2022-A A, 4.5800%, 7/15/26 (144A)

 

2,221,643

  

2,208,339

 
 

Aimco 2020-11A AR,

      
 

CME Term SOFR 3 Month + 1.3916%, 6.7944%, 10/17/34 (144A)‡

 

5,821,000

  

5,816,739

 
 

Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)‡

 

1,115,212

  

1,073,568

 
 

Angel Oak Mortgage Trust I LLC 2019-6,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 0.9500%, 2.6200%, 11/25/59 (144A)‡

 

1,003,911

  

966,037

 
 

Angel Oak Mortgage Trust I LLC 2020-3,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.0000%, 2.4100%, 4/25/65 (144A)‡

 

2,570,354

  

2,364,575

 
 

Aqua Finance Trust 2021-A A, 1.5400%, 7/17/46 (144A)

 

4,071,575

  

3,636,290

 
 

ARES CLO Ltd 2021-60A A,

      
 

CME Term SOFR 3 Month + 1.3816%, 6.6915%, 7/18/34 (144A)‡

 

5,454,000

  

5,448,251

 
 

Arivo Acceptance Auto Loan Receivables 2022-1A A, 3.9300%, 5/15/28 (144A)

 

3,669,575

  

3,596,716

 
 

Babson CLO Ltd 2018-3A A1,

      
 

CME Term SOFR 3 Month + 1.2116%, 6.6274%, 7/20/29 (144A)‡

 

4,980,919

  

4,979,933

 
 

Babson CLO Ltd 2019-3A A1R,

      
 

CME Term SOFR 3 Month + 1.3316%, 6.7474%, 4/20/31 (144A)‡

 

22,450,000

  

22,449,955

 
 

Babson CLO Ltd 2020-4A A,

      
 

CME Term SOFR 3 Month + 1.4816%, 6.8974%, 1/20/32 (144A)‡

 

7,293,853

  

7,294,247

 
 

Barclays Commercial Mortgage Securities LLC 2015-SRCH,

      
 

4.1970%, 8/10/35 (144A)

 

8,386,000

  

7,669,309

 
 

BPR Trust 2022-OANA A,

      
 

CME Term SOFR 1 Month + 1.8980%, 7.2598%, 4/15/37 (144A)‡

 

33,039,000

  

32,499,110

 
 

BPR Trust 2023-BRK2 A, 6.8990%, 11/5/28 (144A)‡

 

20,831,000

  

21,812,555

 
 

BX Commercial Mortgage Trust 2019-MMP C,

      
 

CME Term SOFR 1 Month + 1.4940%, 6.8560%, 8/15/36 (144A)‡

 

4,346,251

  

4,217,012

 
 

BX Commercial Mortgage Trust 2019-OC11, 3.6050%, 12/9/41 (144A)

 

4,134,000

  

3,693,378

 
 

BX Commercial Mortgage Trust 2019-OC11, 3.8560%, 12/9/41 (144A)

 

8,218,000

  

7,314,062

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

CME Term SOFR 1 Month + 1.0345%, 6.3963%, 10/15/36 (144A)‡

 

9,046,171

  

9,022,843

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

CME Term SOFR 1 Month + 1.1945%, 6.5563%, 10/15/36 (144A)‡

 

6,531,400

  

6,500,283

 
 

BX Commercial Mortgage Trust 2020-VKNG A,

      
 

CME Term SOFR 1 Month + 1.0445%, 6.4063%, 10/15/37 (144A)‡

 

3,140,315

  

3,115,530

 
 

BX Commercial Mortgage Trust 2021-LBA AJV,

      
 

CME Term SOFR 1 Month + 0.9145%, 6.2765%, 2/15/36 (144A)‡

 

18,764,000

  

18,451,952

 
 

BX Commercial Mortgage Trust 2021-LBA AV,

      
 

CME Term SOFR 1 Month + 0.9145%, 6.2765%, 2/15/36 (144A)‡

 

14,912,300

  

14,665,097

 
 

BX Commercial Mortgage Trust 2021-VINO A,

      
 

CME Term SOFR 1 Month + 0.7668%, 6.1288%, 5/15/38 (144A)‡

 

14,353,181

  

14,118,640

 
 

BX Commercial Mortgage Trust 2021-VOLT B,

      
 

CME Term SOFR 1 Month + 1.0645%, 6.4263%, 9/15/36 (144A)‡

 

15,945,000

  

15,532,623

 
 

BX Commercial Mortgage Trust 2021-VOLT D,

      
 

CME Term SOFR 1 Month + 1.7645%, 7.1263%, 9/15/36 (144A)‡

 

16,692,000

  

16,045,460

 
 

BX Commercial Mortgage Trust 2022-FOX2 A2,

      
 

CME Term SOFR 1 Month + 0.7492%, 6.1110%, 4/15/39 (144A)‡

 

16,087,360

  

15,628,963

 
 

BX Commercial Mortgage Trust 2023-VLT2 A,

      
 

CME Term SOFR 1 Month + 2.2810%, 7.6428%, 6/15/40 (144A)‡

 

5,274,000

  

5,261,211

 
 

BX Commercial Mortgage Trust 2023-VLT2 B,

      
 

CME Term SOFR 1 Month + 3.1290%, 8.4908%, 6/15/40 (144A)‡

 

11,725,000

  

11,699,432

 
 

BX Commercial Mortgage Trust 2023-VLT3 A,

      
 

CME Term SOFR 1 Month + 1.9400%, 7.3018%, 11/15/28 (144A)‡

 

18,578,211

  

18,557,801

 
 

BX Commercial Mortgage Trust 2023-VLT3 B,

      
 

CME Term SOFR 1 Month + 2.6890%, 8.0508%, 11/15/28 (144A)‡

 

15,919,610

  

15,896,910

 
 

BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A)

 

4,190,000

  

3,896,404

 
 

CBAM CLO Management 2019-11RA A1,

      
 

CME Term SOFR 3 Month + 1.4416%, 6.8574%, 1/20/35 (144A)‡

 

16,984,000

  

16,941,489

 
 

CBAM CLO Management 2019-11RA B,

      
 

CME Term SOFR 3 Month + 2.0116%, 7.4274%, 1/20/35 (144A)‡

 

6,819,244

  

6,778,315

 
 

Cedar Funding Ltd 2019-11A A1R,

      
 

CME Term SOFR 3 Month + 1.3116%, 6.7048%, 5/29/32 (144A)‡

 

21,276,000

  

21,174,301

 
 

CENT Trust 2023-CITY A,

      
 

CME Term SOFR 1 Month + 2.6200%, 7.9818%, 9/15/38 (144A)‡

 

21,107,000

  

21,216,124

 

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– (continued)

   
 

CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A)

 

$15,867,990

  

$14,192,093

 
 

CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A)

 

5,992,082

  

5,141,196

 
 

CF Hippolyta Issuer LLC 2022-1A A1, 5.9700%, 8/15/62 (144A)

 

21,326,849

  

21,221,674

 
 

CF Hippolyta Issuer LLC 2022-1A A2, 6.1100%, 8/15/62 (144A)

 

49,846,356

  

48,780,172

 
 

Chase Auto Credit Linked Notes 2021-1 B, 0.8750%, 9/25/28 (144A)

 

977,151

  

959,624

 
 

Chase Auto Credit Linked Notes 2021-2 B, 0.8890%, 12/26/28 (144A)

 

2,567,111

  

2,504,098

 
 

Chase Mortgage Finance Corp 2021-CL1 M1,

      
 

US 30 Day Average SOFR + 1.2000%, 6.5374%, 2/25/50 (144A)‡

 

14,592,250

  

14,091,094

 
 

CIFC Funding Ltd 2018-3A A,

      
 

CME Term SOFR 3 Month + 1.3616%, 6.6715%, 7/18/31 (144A)‡

 

10,916,117

  

10,915,942

 
 

CIFC Funding Ltd 2021-4A A,

      
 

CME Term SOFR 3 Month + 1.3116%, 6.7055%, 7/15/33 (144A)‡

 

19,742,995

  

19,742,501

 
 

CIFC Funding Ltd 2021-7A B,

      
 

CME Term SOFR 3 Month + 1.8616%, 7.2735%, 1/23/35 (144A)‡

 

5,524,216

  

5,485,950

 
 

CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)Ç

 

5,334,015

  

5,223,125

 
 

CIM Trust 2021-NR4 A1, 2.8160%, 10/25/61 (144A)Ç

 

4,032,031

  

3,798,759

 
 

Cold Storage Trust 2020-ICE5 A,

      
 

CME Term SOFR 1 Month + 1.0145%, 6.3719%, 11/15/37 (144A)‡

 

24,568,865

  

24,412,637

 
 

Cold Storage Trust 2020-ICE5 B,

      
 

CME Term SOFR 1 Month + 1.4145%, 6.7719%, 11/15/37 (144A)‡

 

10,924,957

  

10,793,992

 
 

Cold Storage Trust 2020-ICE5 C,

      
 

CME Term SOFR 1 Month + 1.7645%, 7.1219%, 11/15/37 (144A)‡

 

10,966,242

  

10,833,197

 
 

COLT Funding LLC 2020-2,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.5000%, 1.8530%, 3/25/65 (144A)‡

 

48,119

  

47,647

 
 

COLT Funding LLC 2020-3,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.2000%, 1.5060%, 4/27/65 (144A)‡

 

833,482

  

768,045

 
 

Connecticut Avenue Securities Trust 2018-R07,

      
 

US 30 Day Average SOFR + 2.5145%, 7.8519%, 4/25/31 (144A)‡

 

226,962

  

227,100

 
 

Connecticut Avenue Securities Trust 2019-R07,

      
 

US 30 Day Average SOFR + 2.2145%, 7.5519%, 10/25/39 (144A)‡

 

51,315

  

51,337

 
 

Connecticut Avenue Securities Trust 2021-R02 2M2,

      
 

US 30 Day Average SOFR + 2.0000%, 7.3374%, 11/25/41 (144A)‡

 

32,659,000

  

32,347,767

 
 

Connecticut Avenue Securities Trust 2021-R03 1M2,

      
 

US 30 Day Average SOFR + 1.6500%, 6.9874%, 12/25/41 (144A)‡

 

10,646,000

  

10,429,700

 
 

Connecticut Avenue Securities Trust 2022-R02 2M2,

      
 

US 30 Day Average SOFR + 3.0000%, 8.3374%, 1/25/42 (144A)‡

 

12,368,000

  

12,475,470

 
 

Connecticut Avenue Securities Trust 2022-R03 1M1,

      
 

US 30 Day Average SOFR + 2.1000%, 7.4374%, 3/25/42 (144A)‡

 

18,543,352

  

18,754,639

 
 

Connecticut Avenue Securities Trust 2022-R04 1M1,

      
 

US 30 Day Average SOFR + 2.0000%, 7.3374%, 3/25/42 (144A)‡

 

7,739,659

  

7,810,523

 
 

Connecticut Avenue Securities Trust 2022-R05 2M1,

      
 

US 30 Day Average SOFR + 1.9000%, 7.2374%, 4/25/42 (144A)‡

 

9,096,683

  

9,126,280

 
 

Connecticut Avenue Securities Trust 2022-R05 2M2,

      
 

US 30 Day Average SOFR + 3.0000%, 8.3374%, 4/25/42 (144A)‡

 

9,001,000

  

9,166,842

 
 

Connecticut Avenue Securities Trust 2022-R09 2M1,

      
 

US 30 Day Average SOFR + 2.5000%, 7.8374%, 9/25/42 (144A)‡

 

17,255,844

  

17,515,956

 
 

Connecticut Avenue Securities Trust 2023-R01 1M1,

      
 

US 30 Day Average SOFR + 2.4000%, 7.7374%, 12/25/42 (144A)‡

 

8,364,144

  

8,497,044

 
 

Connecticut Avenue Securities Trust 2023-R03 2M1,

      
 

US 30 Day Average SOFR + 2.5000%, 7.8374%, 4/25/43 (144A)‡

 

11,282,958

  

11,282,837

 
 

Connecticut Avenue Securities Trust 2023-R04 1M1,

      
 

US 30 Day Average SOFR + 2.3000%, 7.6374%, 5/25/43 (144A)‡

 

13,984,595

  

14,181,880

 
 

Connecticut Avenue Securities Trust 2023-R06 1M1,

      
 

US 30 Day Average SOFR + 1.7000%, 7.0374%, 7/25/43 (144A)‡

 

12,811,090

  

12,810,982

 
 

Connecticut Avenue Securities Trust 2023-R07 2M1,

      
 

US 30 Day Average SOFR + 1.9500%, 7.2874%, 9/25/43 (144A)‡

 

5,892,908

  

5,892,862

 
 

Connecticut Avenue Securities Trust 2023-R08 1M1,

      
 

US 30 Day Average SOFR + 1.5000%, 6.8374%, 10/25/43 (144A)‡

 

12,026,501

  

12,026,417

 
 

CP EF Asset Securitization I LLC 2002-1A A, 5.9600%, 4/15/30 (144A)

 

4,574,032

  

4,547,036

 
 

CPF IV LLC / CP EF Asset Securitization LLC 2023-1A A,

      
 

7.4800%, 3/15/32 (144A)

 

11,609,228

  

11,652,189

 
 

CRB Securitization Trust 2023-1 A, 6.9600%, 10/20/33 (144A)

 

4,949,112

  

4,979,514

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4,

      
 

CME Term SOFR 1 Month + 1.0270%, 6.3890%, 5/15/36 (144A)‡

 

26,496,081

  

26,456,921

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4 C,

      
 

CME Term SOFR 1 Month + 1.4770%, 6.8390%, 5/15/36 (144A)‡

 

5,494,331

  

5,477,866

 
 

Credit Suisse Commercial Mortgage Trust 2021-WEHO A,

      
 

CME Term SOFR 1 Month + 4.0838%, 9.4458%, 4/15/26 (144A)‡

 

11,328,953

  

11,139,857

 
 

CyrusOne Data Centers Issuer I LLC 2023-2A A2, 5.5600%, 11/20/48 (144A)

 

21,898,000

  

20,913,492

 
 

DBCCRE Mortgage Trust 2014-ARCP D, 4.9345%, 1/10/34 (144A)‡

 

2,358,000

  

2,336,853

 
 

DBCCRE Mortgage Trust 2014-ARCP E, 4.9345%, 1/10/34 (144A)‡

 

10,950,000

  

10,813,119

 
 

DBCCRE Mortgage Trust 2014-ARCP F, 4.9345%, 1/10/34 (144A)‡

 

2,008,000

  

1,977,018

 
 

DC Commercial Mortgage Trust 2023-DC A, 6.3143%, 9/12/40 (144A)

 

17,548,000

  

18,053,248

 

2

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– (continued)

   
 

Diamond Infrastructure Funding LLC 2021-1A A, 1.7600%, 4/15/49 (144A)

 

$17,354,000

  

$15,404,014

 
 

Dryden Senior Loan Fund 2020-83A A,

      
 

CME Term SOFR 3 Month + 1.4816%, 6.7915%, 1/18/32 (144A)‡

 

7,111,119

  

7,111,354

 
 

Elmwood CLO VIII Ltd 2019-2A AR,

      
 

CME Term SOFR 3 Month + 1.4116%, 6.8274%, 4/20/34 (144A)‡

 

8,217,000

  

8,216,515

 
 

Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26

 

11,355,000

  

10,982,001

 
 

Extended Stay America Trust 2021-ESH A,

      
 

CME Term SOFR 1 Month + 1.1945%, 6.5565%, 7/15/38 (144A)‡

 

8,493,371

  

8,410,769

 
 

Fannie Mae REMICS, 3.0000%, 5/25/48

 

7,035,981

  

6,284,185

 
 

Fannie Mae REMICS, 3.0000%, 11/25/49

 

9,587,071

  

8,566,900

 
 

Flagstar Mortgage Trust 2021-13IN A2, 3.0000%, 12/30/51 (144A)‡

 

31,494,446

  

26,807,511

 
 

Freddie Mac - SLST 2020-2 M1, 4.7500%, 9/25/60 (144A)‡

 

5,238,446

  

5,051,767

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2,

      
 

US 30 Day Average SOFR + 2.0645%, 7.4019%, 10/25/49 (144A)‡

 

29,552

  

29,575

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2,

      
 

US 30 Day Average SOFR + 2.0000%, 7.3374%, 12/25/50 (144A)‡

 

11,873,698

  

12,035,979

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2,

      
 

US 30 Day Average SOFR + 2.6000%, 7.9374%, 11/25/50 (144A)‡

 

12,605,615

  

12,828,960

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA1 M2,

      
 

US 30 Day Average SOFR + 1.8000%, 7.1374%, 1/25/51 (144A)‡

 

4,212,915

  

4,228,582

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2,

      
 

US 30 Day Average SOFR + 2.3000%, 7.6374%, 8/25/33 (144A)‡

 

19,119,283

  

19,244,638

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 M1,

      
 

US 30 Day Average SOFR + 0.8500%, 6.1874%, 11/25/41 (144A)‡

 

9,063,264

  

9,019,791

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2,

      
 

US 30 Day Average SOFR + 2.2500%, 7.5874%, 8/25/33 (144A)‡

 

29,218,271

  

29,135,159

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA4 M1,

      
 

US 30 Day Average SOFR + 0.9500%, 6.2874%, 12/25/41 (144A)‡

 

19,008,495

  

18,715,468

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 M1A,

      
 

US 30 Day Average SOFR + 1.3000%, 6.6374%, 2/25/42 (144A)‡

 

3,615,491

  

3,609,894

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA3 M1A,

      
 

US 30 Day Average SOFR + 2.0000%, 7.3374%, 4/25/42 (144A)‡

 

3,602,983

  

3,627,596

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A,

      
 

US 30 Day Average SOFR + 2.1500%, 7.4874%, 9/25/42 (144A)‡

 

2,799,896

  

2,823,704

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A,

      
 

US 30 Day Average SOFR + 2.1000%, 7.4374%, 3/25/42 (144A)‡

 

7,284,482

  

7,328,691

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA2 M1A,

      
 

US 30 Day Average SOFR + 2.6500%, 7.9874%, 7/25/42 (144A)‡

 

6,197,115

  

6,325,153

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA3 M1A,

      
 

US 30 Day Average SOFR + 2.3000%, 7.6374%, 8/25/42 (144A)‡

 

5,691,625

  

5,779,347

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2023-DNA2 M1A,

      
 

US 30 Day Average SOFR + 2.1000%, 7.4374%, 4/25/43 (144A)‡

 

6,128,322

  

6,128,255

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2023-HQA2 M1A,

      
 

US 30 Day Average SOFR + 2.0000%, 7.3374%, 6/25/43 (144A)‡

 

1,539,467

  

1,549,728

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2023-HQA3 A1,

      
 

US 30 Day Average SOFR + 1.8500%, 7.1874%, 11/25/43 (144A)‡

 

6,151,823

  

6,183,234

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2023-HQA3 M1,

      
 

US 30 Day Average SOFR + 1.8500%, 7.1874%, 11/25/43 (144A)‡

 

10,529,682

  

10,529,585

 
 

GCAT 2022-INV1 A1, 3.0000%, 12/25/51 (144A)‡

 

40,289,515

  

34,243,227

 
 

GCAT 2023-INV1 A1, 6.0000%, 8/25/53 (144A)‡

 

22,791,279

  

22,856,918

 
 

Great Wolf Trust,

      
 

CME Term SOFR 1 Month + 1.1485%, 6.7105%, 12/15/36 (144A)‡

 

19,125,000

  

19,029,141

 
 

Great Wolf Trust,

      
 

CME Term SOFR 1 Month + 1.4485%, 7.0105%, 12/15/36 (144A)‡

 

4,405,000

  

4,384,316

 
 

Great Wolf Trust,

      
 

CME Term SOFR 1 Month + 1.7475%, 7.3095%, 12/15/36 (144A)‡

 

4,900,000

  

4,864,273

 
 

Highbridge Loan Management Ltd 2021-16A B,

      
 

CME Term SOFR 3 Month + 1.9616%, 7.3735%, 1/23/35 (144A)‡

 

5,360,143

  

5,336,971

 
 

Hudson Bay Simon JV Trust 2015-HB7 A7, 3.9141%, 8/5/34 (144A)

 

6,398,985

  

5,746,830

 
 

Hudsons Bay Simon JV Trust 2015-HB10 A10, 4.1545%, 8/5/34 (144A)

 

2,729,661

  

2,265,931

 
 

Imerial Fund LLC 2023-NQM1 A1, 5.9410%, 2/25/68 (144A)Ç

 

11,133,879

  

11,040,776

 
 

JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A,

      
 

3.2865%, 1/10/37 (144A)

 

20,581,000

  

19,749,769

 
 

JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B,

      
 

3.6401%, 1/10/37 (144A)

 

14,000,000

  

13,243,656

 
 

LAD Auto Receivables Trust 2021-1A A, 1.3000%, 8/17/26 (144A)

 

1,959,841

  

1,935,211

 
 

LAD Auto Receivables Trust 2022-1A A, 5.2100%, 6/15/27 (144A)

 

11,295,876

  

11,238,792

 
 

LCM LP 24A AR, CME Term SOFR 3 Month + 1.2416%, 6.6574%, 3/20/30 (144A)‡

 

4,661,554

  

4,660,221

 
 

Lendbuzz Securitization Trust 2021-1A A, 4.2200%, 5/17/27 (144A)‡

 

9,968,842

  

9,718,836

 
 

Lendbuzz Securitization Trust 2023-1A A2, 6.9200%, 8/15/28 (144A)

 

7,350,261

  

7,371,005

 
 

Life Financial Services Trust 2021-BMR A,

      
 

CME Term SOFR 1 Month + 0.8145%, 6.1765%, 3/15/38 (144A)‡

 

26,199,103

  

25,630,026

 
 

Life Financial Services Trust 2021-BMR C,

      
 

CME Term SOFR 1 Month + 1.2145%, 6.5765%, 3/15/38 (144A)‡

 

15,119,064

  

14,647,247

 
        

3

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– (continued)

   
 

Life Financial Services Trust 2022-BMR2 A1,

      
 

CME Term SOFR 1 Month + 1.2952%, 6.6571%, 5/15/39 (144A)‡

 

$36,759,000

  

$35,983,471

 
 

Life Financial Services Trust 2022-BMR2 B,

      
 

CME Term SOFR 1 Month + 1.7939%, 7.1557%, 5/15/39 (144A)‡

 

6,155,000

  

6,001,389

 
 

M&T Equipment Notes 2023-1A A2, 6.0900%, 7/15/30 (144A)

 

9,560,000

  

9,580,846

 
 

M&T Equipment Notes 2023-1A A3, 5.7400%, 7/15/30 (144A)

 

5,243,000

  

5,267,260

 
 

Madison Park Funding Ltd 2019-35A A1R,

      
 

CME Term SOFR 3 Month + 1.2516%, 6.6674%, 4/20/32 (144A)‡

 

28,249,000

  

28,229,310

 
 

Marlette Funding Trust 2023-2A B, 6.5400%, 6/15/33 (144A)

 

5,503,000

  

5,554,412

 
 

MED Trust 2021-MDLN E,

      
 

CME Term SOFR 1 Month + 3.2645%, 8.6265%, 11/15/38 (144A)‡

 

21,321,672

  

20,652,470

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV2 A11,

      
 

US 30 Day Average SOFR + 0.9500%, 5.0000%, 8/25/51 (144A)‡

 

10,621,538

  

9,841,543

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV3 A11,

      
 

US 30 Day Average SOFR + 0.9500%, 5.0000%, 10/25/51 (144A)‡

 

13,160,355

  

12,194,793

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV4 A3,

      
 

2.5000%, 12/25/51 (144A)‡

 

8,064,098

  

6,599,029

 
 

Mello Mortgage Capital Acceptance Trust 2022-INV1 A2,

      
 

3.0000%, 3/25/52 (144A)‡

 

27,564,319

  

23,462,234

 
 

Mercury Financial Credit Card Master Trust 2023-1A A,

      
 

8.0400%, 9/20/27 (144A)

 

18,285,000

  

18,298,263

 
 

MHC Commercial Mortgage Trust 2021-MHC A,

      
 

CME Term SOFR 1 Month + 0.9154%, 6.2774%, 4/15/38 (144A)‡

 

25,579,981

  

25,288,857

 
 

MHC Commercial Mortgage Trust 2021-MHC C,

      
 

CME Term SOFR 1 Month + 1.4654%, 6.8274%, 4/15/38 (144A)‡

 

14,440,023

  

14,223,926

 
 

NCMF Trust 2022-MFP A,

      
 

CME Term SOFR 1 Month + 1.7420%, 7.1038%, 3/15/39 (144A)‡

 

9,928,000

  

9,824,250

 
 

New Economy Assets Phase 1 Issuer LLC 2021-1 B1, 2.4100%, 10/20/61 (144A)

 

8,554,000

  

6,934,950

 
 

New Residential Mortgage Loan Trust 2018-2,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 6 Months + 0.6800%, 4.5000%, 2/25/58 (144A)‡

 

1,199,959

  

1,164,641

 
 

NRZ Excess Spread Collateralized Notes 2020-PLS1 A,

      
 

3.8440%, 12/25/25 (144A)

 

2,888,254

  

2,742,160

 
 

NRZ Excess Spread Collateralized Notes 2021-FHT1 A, 3.1040%, 7/25/26 (144A)

 

5,283,510

  

4,883,517

 
 

Oak Street Investment Grade Net Lease Fund 2020-1A A1,

      
 

1.8500%, 11/20/50 (144A)

 

12,863,876

  

11,741,105

 
 

Oasis Securitization 2022-1A A, 4.7500%, 5/15/34 (144A)

 

2,156,747

  

2,149,912

 
 

Oasis Securitization 2022-2A A, 6.8500%, 10/15/34 (144A)

 

2,930,612

  

2,930,556

 
 

Oceanview Mortgage Trust 2021-5 AF,

      
 

US 30 Day Average SOFR + 0.8500%, 5.0000%, 11/25/51 (144A)‡

 

14,711,610

  

13,584,112

 
 

Oceanview Mortgage Trust 2022-1 A1, 3.0000%, 12/25/51 (144A)‡

 

16,266,087

  

13,845,403

 
 

Oceanview Mortgage Trust 2022-2 A1, 3.0000%, 12/25/51 (144A)‡

 

30,349,342

  

25,832,869

 
 

Onslow Bay Financial LLC 2021-INV3 A3, 2.5000%, 10/25/51 (144A)‡

 

9,210,391

  

7,538,121

 
 

Onslow Bay Financial LLC 2022-INV1 A1, 3.0000%, 12/25/51 (144A)‡

 

30,396,629

  

25,873,119

 
 

Onslow Bay Financial LLC 2022-INV1 A18, 3.0000%, 12/25/51 (144A)‡

 

12,889,254

  

10,673,808

 
 

OPEN Trust 2023-AIR A,

      
 

CME Term SOFR 1 Month + 3.0891%, 8.4509%, 10/15/28 (144A)‡

 

13,685,731

  

13,786,775

 
 

OPEN Trust 2023-AIR C,

      
 

CME Term SOFR 1 Month + 5.2359%, 10.5977%, 10/15/28 (144A)‡

 

5,093,617

  

5,115,114

 
 

Pagaya AI Debt Selection Trust 2022-1 A, 2.0300%, 10/15/29 (144A)

 

3,001,352

  

2,955,551

 
 

Preston Ridge Partners Mortgage Trust 2020-4 A1, 5.9510%, 10/25/25 (144A)Ç

 

8,162,289

  

7,988,800

 
 

Preston Ridge Partners Mortgage Trust 2021-10 A1, 2.4870%, 10/25/26 (144A)Ç

 

20,693,438

  

19,532,147

 
 

Preston Ridge Partners Mortgage Trust 2021-9 A1, 2.3630%, 10/25/26 (144A)Ç

 

15,201,835

  

14,355,384

 
 

Preston Ridge Partners Mortgage Trust 2022-2 A1, 5.0000%, 3/25/27 (144A)Ç

 

22,491,489

  

21,900,091

 
 

Pretium Mortgage Credit Partners LLC 2023-RN1 A1, 8.2321%, 9/25/53 (144A)Ç

 

24,807,700

  

25,310,952

 
 

Rad CLO Ltd 2023-21A A,

      
 

CME Term SOFR 3 Month + 1.5900%, 0%, 1/25/33 (144A)‡

 

13,094,620

  

13,087,981

 
 

Reach Financial LLC 2022-2A A, 6.6300%, 5/15/30 (144A)

 

1,335,914

  

1,336,332

 
 

Regatta XXIII Funding Ltd 2021-4A B,

      
 

CME Term SOFR 3 Month + 1.9616%, 7.3774%, 1/20/35 (144A)‡

 

5,891,224

  

5,890,818

 
 

Saluda Grade Alternative Mortgage Trust 2023-FIG3 A,

      
 

7.0670%, 8/25/53 (144A)‡

 

24,770,602

  

25,308,448

 
 

Saluda Grade Alternative Mortgage Trust 2023-FIG4 A,

      
 

6.7180%, 11/25/53 (144A)‡

 

16,426,000

  

16,425,887

 
 

Saluda Grade Alternative Mortgage Trust 2023-SEQ3 A1,

      
 

Prime Rate by Country United States + 2.3000%, 7.1620%, 6/1/53 (144A)‡

 

6,513,893

  

6,582,176

 
 

Santander Bank Auto Credit-Linked Notes 2021-1A B, 1.8330%, 12/15/31 (144A)

 

1,484,977

  

1,446,037

 
 

Santander Bank Auto Credit-Linked Notes 2022-A B, 5.2810%, 5/15/32 (144A)

 

9,974,935

  

9,891,140

 
 

Santander Bank Auto Credit-Linked Notes 2022-B A2, 5.5870%, 8/16/32 (144A)

 

3,420,313

  

3,393,523

 
 

Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)‡

 

2,080,248

  

1,797,820

 
 

Sequoia Mortgage Trust 2020-2, 3.5000%, 3/25/50 (144A)‡

 

867,231

  

753,735

 
 

Signal Peak CLO LLC 2022-12A A1, 6.8910%, 7/10/28‡

 

31,401,000

  

32,827,003

 
 

SMRT 2022-MINI A, CME Term SOFR 1 Month + 1.0000%, 6.3620%, 1/15/39 (144A)‡

 

10,990,000

  

10,757,173

 
        

4

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– (continued)

   
 

Sound Point CLO Ltd 2019-1A AR,

      
 

CME Term SOFR 3 Month + 1.3416%, 6.7574%, 1/20/32 (144A)‡

 

$26,345,000

  

$26,085,212

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A1,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 0.9500%, 2.5210%, 1/28/50 (144A)‡

 

23,041

  

22,858

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A2,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 1.0500%, 2.6240%, 1/28/50 (144A)‡

 

130,684

  

129,657

 
 

SREIT Trust 2021-MFP A,

      
 

CME Term SOFR 1 Month + 0.8453%, 6.2071%, 11/15/38 (144A)‡

 

2,248,628

  

2,210,706

 
 

Tesla Auto Lease Trust 2021-B B, 0.9100%, 9/22/25 (144A)

 

4,395,000

  

4,284,386

 
 

THE 2023-MIC Trust 2023-MIC A, 8.4366%, 12/5/38 (144A)‡

 

14,644,028

  

15,414,697

 
 

THL Credit Wind River CLO Ltd 2019-1A AR,

      
 

CME Term SOFR 3 Month + 1.4216%, 6.8374%, 7/20/34 (144A)‡

 

7,594,000

  

7,559,052

 
 

Towd Point Mortgage Trust 2023-CES1 A1A, 6.7500%, 7/25/63 (144A)‡

 

6,645,748

  

6,714,523

 
 

Towd Point Mortgage Trust 2023-CES2 A1A, 7.2940%, 10/25/63 (144A)‡

 

9,314,246

  

9,511,106

 
 

TYSN 2023-CRNR Mortgage Trust 2023-CRNR A, 6.7990%, 12/10/33 (144A)‡

 

23,414,873

  

24,275,935

 
 

United Wholesale Mortgage LLC 2021-INV1 A9,

      
 

US 30 Day Average SOFR + 0.9000%, 5.0000%, 8/25/51 (144A)‡

 

12,557,891

  

11,603,072

 
 

United Wholesale Mortgage LLC 2021-INV4 A3, 2.5000%, 12/25/51 (144A)‡

 

6,151,097

  

5,040,560

 
 

Upstart Securitization Trust 2021-4 A, 0.8400%, 9/20/31 (144A)

 

307,221

  

306,358

 
 

Upstart Securitization Trust 2021-5 A, 1.3100%, 11/20/31 (144A)

 

701,157

  

695,553

 
 

Upstart Securitization Trust 2022-1 A, 3.1200%, 3/20/32 (144A)

 

6,435,637

  

6,362,265

 
 

Upstart Securitization Trust 2022-2 A, 4.3700%, 5/20/32 (144A)

 

6,695,039

  

6,665,217

 
 

Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A)

 

17,832,000

  

16,499,514

 
 

Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A)

 

11,511,000

  

9,976,475

 
 

VASA Trust 2021-VASA A,

      
 

CME Term SOFR 1 Month + 1.0145%, 6.3765%, 7/15/39 (144A)‡

 

8,418,000

  

7,472,631

 
 

VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A)

 

1,589,459

  

1,565,144

 
 

VMC Finance LLC 2021-HT1 A,

      
 

CME Term SOFR 1 Month + 1.7645%, 7.1227%, 1/18/37 (144A)‡

 

10,311,722

  

10,105,571

 
 

Wells Fargo Commercial Mortgage Trust 2021-SAVE A,

      
 

CME Term SOFR 1 Month + 1.2645%, 6.6265%, 2/15/40 (144A)‡

 

3,699,864

  

3,590,539

 
 

Westgate Resorts 2022-1A A, 1.7880%, 8/20/36 (144A)

 

3,470,853

  

3,309,140

 
 

Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A)

 

2,010,023

  

2,004,331

 
 

Woodward Capital Management 2021-3 A21,

      
 

US 30 Day Average SOFR + 0.8000%, 5.0000%, 7/25/51 (144A)‡

 

9,372,064

  

8,588,470

 
 

Woodward Capital Management 2023-CES1 A1A, 6.5150%, 6/25/43 (144A)‡

 

12,559,705

  

12,686,506

 
 

Woodward Capital Management 2023-CES2 A1A, 6.8080%, 9/25/43 (144A)‡

 

23,873,633

  

24,214,262

 
 

Woodward Capital Management 2023-CES3 A1A, 7.1130%, 11/25/43 (144A)

 

33,980,967

  

34,967,601

 

Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $2,307,732,168)

 

2,257,628,265

 

Corporate Bonds– 10.1%

   

Banking – 3.5%

   
 

American Express Co, SOFR + 1.8350%, 5.0430%, 5/1/34‡

 

20,898,000

  

20,861,632

 
 

Bank of America Corp, SOFR + 1.9900%, 6.2040%, 11/10/28‡

 

29,671,000

  

30,951,030

 
 

Bank of America Corp, SOFR + 1.5700%, 5.8190%, 9/15/29‡

 

43,386,000

  

44,786,234

 
 

Bank of America Corp, SOFR + 1.8400%, 5.8720%, 9/15/34‡

 

41,429,000

  

43,366,641

 
 

Bank of America Corp, CME Term SOFR 3 Month + 3.9666%, 6.2500%‡,µ

 

21,700,000

  

21,500,130

 
 

Bank of New York Mellon Corp/The, SOFR + 1.0260%, 4.9470%, 4/26/27‡

 

13,020,000

  

13,023,874

 
 

Bank of New York Mellon Corp/The, SOFR + 2.0740%, 5.8340%, 10/25/33‡

 

4,238,000

  

4,492,960

 
 

Bank of New York Mellon Corp/The, SOFR + 1.5980%, 6.3170%, 10/25/29‡

 

11,028,000

  

11,713,830

 
 

Bank of New York Mellon Corp/The, SOFR + 1.8450%, 6.4740%, 10/25/34‡

 

22,674,000

  

25,115,641

 
 

Bank of Montreal,

      
 

US Treasury Yield Curve Rate 5 Year + 1.4000%, 3.0880%, 1/10/37‡

 

25,134,000

  

20,271,365

 
 

BNP Paribas SA, SOFR + 1.2280%, 2.5910%, 1/20/28 (144A)‡

 

12,805,000

  

11,845,230

 
 

Capital One Financial Corp, SOFR + 2.6400%, 6.3120%, 6/8/29‡

 

9,194,000

  

9,432,216

 
 

Capital One Financial Corp, SOFR + 3.0700%, 7.6240%, 10/30/31‡

 

12,836,000

  

14,105,306

 
 

Citigroup Inc, CME Term SOFR 3 Month + 1.8246%, 3.8870%, 1/10/28‡

 

36,115,000

  

34,922,758

 
 

Citigroup Inc, CME Term SOFR 3 Month + 4.1666%, 5.9500%‡,µ

 

8,361,000

  

8,183,810

 
 

Citigroup Inc, CME Term SOFR 3 Month + 3.6846%, 6.3000%‡,µ

 

2,012,000

  

1,983,898

 
 

Goldman Sachs Group Inc, 3.5000%, 4/1/25

 

39,166,000

  

38,275,238

 
 

JPMorgan Chase & Co, SOFR + 1.4500%, 5.2990%, 7/24/29‡

 

21,804,000

  

22,124,759

 
 

JPMorgan Chase & Co, SOFR + 1.5700%, 6.0870%, 10/23/29‡

 

21,715,000

  

22,831,431

 
 

JPMorgan Chase & Co, SOFR + 1.8450%, 5.3500%, 6/1/34‡

 

9,000,000

  

9,128,109

 
 

JPMorgan Chase & Co, SOFR + 1.8100%, 6.2540%, 10/23/34‡

 

37,403,000

  

40,544,368

 
 

JPMorgan Chase & Co, CME Term SOFR 3 Month + 3.3800%, 5.0000%‡,µ

 

7,243,000

  

7,110,929

 
 

Mitsubishi UFJ Financial Group Inc,

      
 

US Treasury Yield Curve Rate 1 Year + 1.7000%, 4.7880%, 7/18/25‡

 

15,834,000

  

15,759,133

 
 

Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26‡

 

24,836,000

  

23,858,820

 
 

Morgan Stanley, 4.3500%, 9/8/26

 

14,618,000

  

14,345,587

 
 

Morgan Stanley, SOFR + 1.2950%, 5.0500%, 1/28/27‡

 

6,743,000

  

6,749,509

 
 

Morgan Stanley, SOFR + 0.8790%, 1.5930%, 5/4/27‡

 

11,537,000

  

10,630,046

 
 

Morgan Stanley, CME Term SOFR 3 Month + 1.4016%, 3.7720%, 1/24/29‡

 

2,164,000

  

2,063,768

 
 

Morgan Stanley, SOFR + 1.7300%, 5.1230%, 2/1/29‡

 

14,927,000

  

14,994,882

 

5

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Banking– (continued)

   
 

Morgan Stanley, SOFR + 1.5900%, 5.1640%, 4/20/29‡

 

$20,429,000

  

$20,545,776

 
 

Morgan Stanley, SOFR + 1.6300%, 5.4490%, 7/20/29‡

 

9,697,000

  

9,880,774

 
 

Morgan Stanley, SOFR + 1.2900%, 2.9430%, 1/21/33‡

 

16,462,000

  

14,003,539

 
 

Morgan Stanley, SOFR + 1.8800%, 5.4240%, 7/21/34‡

 

32,203,000

  

32,682,115

 
 

National Australia Bank Ltd, 2.9900%, 5/21/31 (144A)

 

28,726,000

  

24,028,427

 
 

Nordea Bank Abp, 5.3750%, 9/22/27 (144A)

 

30,280,000

  

30,781,969

 
 

PNC Financial Services Group Inc/The, SOFR + 1.8410%, 5.5820%, 6/12/29‡

 

32,645,000

  

33,341,380

 
 

PNC Financial Services Group Inc/The, SOFR + 2.1400%, 6.0370%, 10/28/33‡

 

9,079,000

  

9,485,816

 
 

PNC Financial Services Group Inc/The, SOFR + 2.2840%, 6.8750%, 10/20/34‡

 

33,452,000

  

37,136,326

 
 

Sumitomo Mitsui Financial Group Inc, 5.8520%, 7/13/30

 

8,308,000

  

8,688,340

 
 

Toronto-Dominion Bank/The, 5.5230%, 7/17/28

 

21,404,000

  

22,036,285

 
 

Truist Financial Corp, SOFR + 2.0500%, 6.0470%, 6/8/27‡

 

12,523,000

  

12,743,568

 
 

US Bancorp, SOFR + 2.0200%, 5.7750%, 6/12/29‡

 

20,094,000

  

20,643,652

 
 

US Bancorp,

      
 

US Treasury Yield Curve Rate 5 Year + 0.9500%, 2.4910%, 11/3/36‡

 

20,457,000

  

15,865,041

 
  

836,836,142

 

Basic Industry – 0.3%

   
 

Celanese US Holdings LLC, 6.3500%, 11/15/28

 

9,170,000

  

9,616,723

 
 

Celanese US Holdings LLC, 6.3300%, 7/15/29

 

9,083,000

  

9,521,456

 
 

Celanese US Holdings LLC, 6.5500%, 11/15/30

 

22,993,000

  

24,306,519

 
 

Celanese US Holdings LLC, 6.7000%, 11/15/33

 

22,403,000

  

24,298,252

 
  

67,742,950

 

Brokerage – 0.5%

   
 

Charles Schwab Corp, SOFR + 2.0100%, 6.1360%, 8/24/34‡

 

26,952,000

  

28,409,443

 
 

LPL Holdings Inc, 6.7500%, 11/17/28

 

30,079,000

  

32,064,816

 
 

Nasdaq Inc, 5.3500%, 6/28/28

 

4,627,000

  

4,765,565

 
 

Nasdaq Inc, 5.5500%, 2/15/34

 

30,957,000

  

32,159,697

 
 

Nasdaq Inc, 5.9500%, 8/15/53

 

14,615,000

  

15,698,347

 
 

Nasdaq Inc, 6.1000%, 6/28/63

 

6,206,000

  

6,699,870

 
  

119,797,738

 

Capital Goods – 0.3%

   
 

General Dynamics Corp, 3.5000%, 4/1/27

 

7,372,000

  

7,181,836

 
 

L3Harris Technologies Inc, 5.4000%, 7/31/33

 

16,296,000

  

16,943,669

 
 

Lockheed Martin Corp, 4.4500%, 5/15/28

 

8,605,000

  

8,650,595

 
 

Regal Rexnord Corp, 6.0500%, 4/15/28 (144A)

 

16,939,000

  

17,146,951

 
 

RTX Corp, 5.7500%, 1/15/29

 

8,545,000

  

8,931,658

 
 

RTX Corp, 6.0000%, 3/15/31

 

17,198,000

  

18,320,905

 
  

77,175,614

 

Communications – 0.4%

   
 

AT&T Inc, 3.6500%, 9/15/59

 

2,171,000

  

1,555,939

 
 

Charter Communications Operating LLC / Charter Communications Operating Capital,

      
 

6.6500%, 2/1/34

 

43,817,000

  

46,204,285

 
 

Comcast Corp, 4.5500%, 1/15/29

 

13,994,000

  

14,053,860

 
 

Fox Corp, 4.0300%, 1/25/24

 

8,690,000

  

8,679,338

 
 

Fox Corp, 6.5000%, 10/13/33

 

20,470,000

  

22,157,675

 
  

92,651,097

 

Consumer Cyclical – 0.5%

   
 

CBRE Services Inc, 5.9500%, 8/15/34

 

39,681,000

  

41,687,364

 
 

GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26

 

9,419,000

  

9,360,764

 
 

GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29

 

1,226,000

  

1,218,911

 
 

GLP Capital LP / GLP Financing II Inc, 6.7500%, 12/1/33

 

13,964,000

  

15,064,782

 
 

LKQ Corp, 5.7500%, 6/15/28

 

20,493,000

  

20,974,001

 
 

LKQ Corp, 6.2500%, 6/15/33

 

19,272,000

  

20,138,706

 
  

108,444,528

 

Consumer Non-Cyclical – 1.0%

   
 

Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC,

      
 

6.5000%, 2/15/28 (144A)

 

14,308,000

  

14,478,952

 
 

Diageo Capital PLC, 1.3750%, 9/29/25

 

11,362,000

  

10,725,645

 
 

GSK Consumer Healthcare Capital US LLC, 3.3750%, 3/24/27

 

10,875,000

  

10,463,432

 
 

GSK Consumer Healthcare Capital US LLC, 3.3750%, 3/24/29

 

5,546,000

  

5,245,135

 
 

Hasbro Inc, 3.9000%, 11/19/29

 

34,171,000

  

31,778,047

 
 

Hasbro Inc, 5.1000%, 5/15/44

 

3,076,000

  

2,750,927

 
 

HCA Inc, 5.8750%, 2/15/26

 

4,146,000

  

4,181,262

 
 

HCA Inc, 5.3750%, 9/1/26

 

3,180,000

  

3,194,600

 
 

HCA Inc, 5.2000%, 6/1/28

 

5,579,000

  

5,636,249

 
 

HCA Inc, 5.6250%, 9/1/28

 

9,208,000

  

9,423,165

 
 

HCA Inc, 5.8750%, 2/1/29

 

6,941,000

  

7,164,851

 
 

HCA Inc, 3.6250%, 3/15/32

 

10,927,000

  

9,770,647

 
 

HCA Inc, 5.5000%, 6/1/33

 

18,299,000

  

18,586,343

 
 

Illumina Inc, 5.8000%, 12/12/25

 

11,709,000

  

11,749,058

 
 

JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, 5.5000%, 1/15/30

 

19,216,000

  

18,885,029

 
 

JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, 3.6250%, 1/15/32

 

9,318,000

  

7,988,063

 
 

JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, 3.0000%, 5/15/32

 

13,810,000

  

11,243,566

 

6

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Consumer Non-Cyclical– (continued)

   
 

Mondelez International Inc, 2.7500%, 4/13/30

 

$1,182,000

  

$1,067,622

 
 

Pilgrim's Pride Corp, 6.2500%, 7/1/33

 

22,981,000

  

23,645,702

 
 

Polaris Inc, 6.9500%, 3/15/29

 

18,977,000

  

20,185,529

 
 

Royalty Pharma PLC, 3.5500%, 9/2/50

 

14,211,000

  

10,089,874

 
 

Sysco Corp, 5.7500%, 1/17/29

 

8,642,000

  

9,002,196

 
  

247,255,894

 

Electric – 0.6%

   
 

American Electric Power Co Inc, 5.6250%, 3/1/33

 

21,563,000

  

22,464,129

 
 

Duke Energy Corp, 4.3000%, 3/15/28

 

15,581,000

  

15,361,258

 
 

Duquesne Light Holdings Inc, 2.7750%, 1/7/32 (144A)

 

16,995,000

  

13,570,927

 
 

Georgia Power Co, 4.6500%, 5/16/28

 

11,031,000

  

11,115,320

 
 

Georgia Power Co, 4.9500%, 5/17/33

 

17,435,000

  

17,575,650

 
 

National Grid PLC, 5.6020%, 6/12/28

 

7,753,000

  

7,987,660

 
 

National Grid PLC, 5.8090%, 6/12/33

 

16,262,000

  

17,087,471

 
 

Xcel Energy Inc, 5.4500%, 8/15/33

 

36,599,000

  

37,743,527

 
  

142,905,942

 

Energy – 0.5%

   
 

Columbia Pipelines Operating Company LLC, 5.9270%, 8/15/30 (144A)

 

5,254,000

  

5,432,713

 
 

Columbia Pipelines Operating Company LLC, 6.0360%, 11/15/33 (144A)

 

12,631,000

  

13,228,067

 
 

Columbia Pipelines Operating Company LLC, 6.4970%, 8/15/43 (144A)

 

2,548,000

  

2,728,751

 
 

Columbia Pipelines Operating Company LLC, 6.5440%, 11/15/53 (144A)

 

13,172,000

  

14,502,495

 
 

Enbridge Inc, 6.0000%, 11/15/28

 

11,351,000

  

11,916,973

 
 

Enbridge Inc, 6.2000%, 11/15/30

 

4,315,000

  

4,617,129

 
 

Enbridge Inc, 5.7000%, 3/8/33

 

11,565,000

  

12,020,627

 
 

Energy Transfer LP, 5.5500%, 2/15/28

 

14,575,000

  

14,867,957

 
 

Energy Transfer Operating LP, 4.9500%, 6/15/28

 

626,000

  

623,551

 
 

EQT Corp, 5.7000%, 4/1/28

 

7,749,000

  

7,863,820

 
 

Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A)

 

11,121,000

  

10,729,509

 
 

Southwestern Energy Co, 4.7500%, 2/1/32

 

12,491,000

  

11,556,822

 
 

Viper Energy Partners LP, 7.3750%, 11/1/31 (144A)

 

19,853,000

  

20,547,855

 
  

130,636,269

 

Finance Companies – 0.3%

   
 

AerCap Ireland Capital DAC / AerCap Global Aviation Trust,

      
 

4.6250%, 10/15/27

 

10,114,000

  

9,903,303

 
 

Air Lease Corp, 1.8750%, 8/15/26

 

17,148,000

  

15,772,939

 
 

Blackstone Private Credit Fund, 7.3000%, 11/27/28 (144A)

 

20,770,000

  

21,591,015

 
 

Blue Owl Credit Income Corp, 7.7500%, 9/16/27

 

16,398,000

  

16,907,081

 
 

OWL Rock Core Income Corp, 4.7000%, 2/8/27

 

2,729,000

  

2,577,739

 
 

OWL Rock Core Income Corp, 7.9500%, 6/13/28 (144A)

 

8,994,000

  

9,322,459

 
  

76,074,536

 

Government Sponsored – 0.1%

   
 

Electricite de France SA, 5.7000%, 5/23/28 (144A)

 

8,972,000

  

9,282,852

 
 

Electricite de France SA, 6.2500%, 5/23/33 (144A)

 

13,964,000

  

15,111,657

 
  

24,394,509

 

Insurance – 0.6%

   
 

Athene Global Funding, 2.7170%, 1/7/29 (144A)

 

21,681,000

  

18,849,347

 
 

Athene Global Funding, 2.6460%, 10/4/31 (144A)

 

17,357,000

  

14,101,668

 
 

Brown & Brown Inc, 4.9500%, 3/17/52

 

18,886,000

  

16,738,911

 
 

Centene Corp, 4.2500%, 12/15/27

 

53,971,000

  

52,003,932

 
 

Centene Corp, 2.4500%, 7/15/28

 

16,998,000

  

15,138,415

 
 

Centene Corp, 3.0000%, 10/15/30

 

18,048,000

  

15,630,353

 
 

UnitedHealth Group Inc, 5.2500%, 2/15/28

 

10,004,000

  

10,344,840

 
  

142,807,466

 

Real Estate Investment Trusts (REITs) – 0.3%

   
 

Agree LP, 2.0000%, 6/15/28

 

11,528,000

  

9,996,496

 
 

Agree LP, 2.9000%, 10/1/30

 

7,437,000

  

6,371,028

 
 

Agree LP, 2.6000%, 6/15/33

 

8,647,000

  

6,852,908

 
 

American Tower Trust I, 5.4900%, 3/15/28 (144A)

 

33,827,000

  

34,238,742

 
 

Sun Communities Operating LP, 2.7000%, 7/15/31

 

21,657,000

  

18,045,761

 
  

75,504,935

 

Technology – 1.1%

   
 

Analog Devices Inc, 2.9500%, 4/1/25

 

10,074,000

  

9,857,930

 
 

CoStar Group Inc, 2.8000%, 7/15/30 (144A)

 

12,054,000

  

10,245,165

 
 

Equinix Inc, 2.1500%, 7/15/30

 

9,552,000

  

8,092,748

 
 

Fiserv Inc, 5.4500%, 3/2/28

 

17,859,000

  

18,392,178

 
 

Foundry JV Holdco LLC, 5.8750%, 1/25/34 (144A)

 

53,049,000

  

54,488,430

 
 

Global Payments Inc, 2.1500%, 1/15/27

 

11,282,000

  

10,386,183

 
 

Leidos Inc, 2.3000%, 2/15/31

 

4,088,000

  

3,421,673

 
 

Leidos Inc, 5.7500%, 3/15/33

 

13,585,000

  

14,166,139

 
 

Marvell Technology Inc, 1.6500%, 4/15/26

 

13,225,000

  

12,303,269

 
 

Marvell Technology Inc, 4.8750%, 6/22/28

 

14,717,000

  

14,672,618

 
 

MSCI Inc, 4.0000%, 11/15/29 (144A)

 

1,532,000

  

1,439,893

 
 

MSCI Inc, 3.6250%, 9/1/30 (144A)

 

25,762,000

  

23,309,311

 

7

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Technology– (continued)

   
 

MSCI Inc, 3.8750%, 2/15/31 (144A)

 

$21,571,000

  

$19,709,006

 
 

Total System Services Inc, 4.8000%, 4/1/26

 

11,686,000

  

11,584,106

 
 

Trimble Inc, 4.7500%, 12/1/24

 

18,923,000

  

18,731,288

 
 

Trimble Inc, 4.9000%, 6/15/28

 

7,533,000

  

7,568,899

 
 

Trimble Inc, 6.1000%, 3/15/33

 

27,338,000

  

29,257,157

 
 

Workday Inc, 3.5000%, 4/1/27

 

8,410,000

  

8,137,156

 
  

275,763,149

 

Transportation – 0.1%

   
 

GXO Logistics Inc, 1.6500%, 7/15/26

 

14,940,000

  

13,466,729

 
 

GXO Logistics Inc, 2.6500%, 7/15/31

 

2,271,000

  

1,862,124

 
  

15,328,853

 

Total Corporate Bonds (cost $2,451,156,399)

 

2,433,319,622

 

Mortgage-Backed Securities– 11.2%

   

  Fannie Mae:

   
 

3.0000%, TBA, 15 Year Maturity

 

73,116,241

  

68,948,542

 
 

4.0000%, TBA, 15 Year Maturity

 

65,269,000

  

64,025,038

 
 

2.5000%, TBA, 30 Year Maturity

 

107,212,524

  

91,206,445

 
 

4.0000%, TBA, 30 Year Maturity

 

13,103,414

  

12,392,672

 
 

4.5000%, TBA, 30 Year Maturity

 

25,212

  

24,443

 
 

5.0000%, TBA, 30 Year Maturity

 

11,330,000

  

11,213,097

 
  

247,810,237

 

  Fannie Mae Pool:

   
 

7.5000%, 7/1/28

 

26,413

  

27,255

 
 

3.0000%, 10/1/34

 

1,021,256

  

969,399

 
 

2.5000%, 11/1/34

 

784,761

  

729,942

 
 

3.0000%, 11/1/34

 

474,008

  

453,205

 
 

3.0000%, 12/1/34

 

452,529

  

432,106

 
 

2.5000%, 12/1/36

 

33,990,951

  

31,517,710

 
 

6.0000%, 2/1/37

 

179,901

  

188,781

 
 

4.5000%, 11/1/42

 

1,052,904

  

1,053,360

 
 

3.0000%, 1/1/43

 

617,064

  

561,585

 
 

3.0000%, 2/1/43

 

144,124

  

130,991

 
 

3.0000%, 5/1/43

 

1,455,137

  

1,325,376

 
 

5.0000%, 7/1/44

 

109,221

  

110,713

 
 

4.5000%, 10/1/44

 

2,537,578

  

2,548,641

 
 

4.5000%, 3/1/45

 

3,970,512

  

3,987,822

 
 

4.0000%, 5/1/45

 

657,307

  

635,260

 
 

4.5000%, 6/1/45

 

2,031,312

  

2,023,260

 
 

3.0000%, 1/1/46

 

244,953

  

221,545

 
 

4.5000%, 2/1/46

 

4,564,972

  

4,538,965

 
 

3.0000%, 2/1/47

 

39,806,267

  

36,308,538

 
 

3.0000%, 3/1/47

 

4,672,568

  

4,218,187

 
 

3.5000%, 8/1/47

 

807,954

  

765,058

 
 

4.0000%, 10/1/47

 

3,913,607

  

3,769,182

 
 

4.0000%, 11/1/47

 

5,224,371

  

5,031,652

 
 

3.5000%, 12/1/47

 

375,683

  

355,737

 
 

3.5000%, 12/1/47

 

240,067

  

227,322

 
 

3.5000%, 1/1/48

 

2,388,871

  

2,248,217

 
 

4.0000%, 1/1/48

 

8,413,002

  

8,147,285

 
 

4.0000%, 1/1/48

 

3,145,350

  

3,042,418

 
 

4.0000%, 1/1/48

 

2,003,003

  

1,929,086

 
 

3.0000%, 2/1/48

 

2,867,258

  

2,593,777

 
 

3.5000%, 3/1/48

 

372,198

  

350,864

 
 

4.0000%, 3/1/48

 

2,488,602

  

2,406,435

 
 

4.5000%, 3/1/48

 

105,042

  

103,462

 
 

5.0000%, 5/1/48

 

2,545,495

  

2,559,723

 
 

4.5000%, 6/1/48

 

4,091,175

  

4,029,639

 
 

4.0000%, 7/1/48

 

4,782,637

  

4,595,142

 
 

4.0000%, 8/1/48

 

1,339,601

  

1,287,084

 
 

4.5000%, 8/1/48

 

50,493

  

49,733

 
 

4.0000%, 9/1/48

 

3,201,823

  

3,083,666

 
 

4.0000%, 10/1/48

 

1,907,034

  

1,835,383

 
 

4.0000%, 11/1/48

 

5,581,011

  

5,362,217

 
 

4.0000%, 12/1/48

 

883,195

  

848,571

 
 

4.0000%, 2/1/49

 

1,263,312

  

1,213,786

 
 

3.5000%, 5/1/49

 

9,813,744

  

9,095,626

 
 

4.0000%, 6/1/49

 

736,245

  

706,291

 
 

4.5000%, 6/1/49

 

368,652

  

362,385

 
 

3.0000%, 8/1/49

 

3,063,130

  

2,716,397

 
 

3.0000%, 8/1/49

 

1,440,611

  

1,277,540

 
 

4.5000%, 8/1/49

 

514,934

  

506,181

 
 

3.0000%, 9/1/49

 

10,685,422

  

9,561,893

 
 

3.0000%, 9/1/49

 

643,905

  

581,607

 

8

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Fannie Mae Pool– (continued)

   
 

4.0000%, 9/1/49

 

$3,286,734

  

$3,152,871

 
 

4.0000%, 11/1/49

 

12,092,451

  

11,618,387

 
 

4.0000%, 11/1/49

 

1,066,417

  

1,026,311

 
 

4.5000%, 1/1/50

 

9,420,133

  

9,278,442

 
 

4.5000%, 1/1/50

 

694,216

  

682,431

 
 

2.5000%, 3/1/50

 

2,641,233

  

2,265,706

 
 

4.0000%, 3/1/50

 

17,622,257

  

16,960,152

 
 

4.0000%, 3/1/50

 

9,497,419

  

9,125,089

 
 

4.0000%, 3/1/50

 

3,671,756

  

3,527,811

 
 

4.0000%, 4/1/50

 

2,200,176

  

2,096,102

 
 

4.5000%, 7/1/50

 

15,319,952

  

14,829,880

 
 

2.5000%, 8/1/50

 

52,177,244

  

45,173,645

 
 

2.5000%, 8/1/50

 

2,122,630

  

1,842,698

 
 

4.0000%, 8/1/50

 

1,999,534

  

1,904,951

 
 

4.0000%, 9/1/50

 

20,037,657

  

19,222,437

 
 

4.0000%, 10/1/50

 

19,230,710

  

18,507,485

 
 

4.5000%, 10/1/50

 

11,623,518

  

11,448,686

 
 

3.5000%, 2/1/51

 

12,863,791

  

11,922,488

 
 

4.0000%, 3/1/51

 

49,580,109

  

47,562,970

 
 

4.0000%, 3/1/51

 

958,540

  

919,542

 
 

4.0000%, 3/1/51

 

483,342

  

464,393

 
 

4.0000%, 8/1/51

 

8,190,084

  

7,869,006

 
 

4.0000%, 10/1/51

 

46,020,498

  

44,148,180

 
 

4.0000%, 10/1/51

 

6,897,956

  

6,617,316

 
 

3.0000%, 12/1/51

 

135,477,753

  

120,692,705

 
 

2.5000%, 1/1/52

 

13,324,003

  

11,483,016

 
 

3.5000%, 1/1/52

 

2,647,072

  

2,472,132

 
 

2.5000%, 2/1/52

 

65,498,157

  

56,415,777

 
 

2.5000%, 2/1/52

 

57,844,968

  

49,766,303

 
 

3.5000%, 2/1/52

 

6,915,214

  

6,457,132

 
 

2.5000%, 3/1/52

 

26,654,487

  

22,905,454

 
 

2.5000%, 3/1/52

 

26,599,311

  

22,910,886

 
 

2.5000%, 3/1/52

 

24,370,401

  

20,936,606

 
 

2.5000%, 3/1/52

 

9,985,100

  

8,619,841

 
 

2.5000%, 3/1/52

 

2,312,182

  

1,986,967

 
 

2.5000%, 3/1/52

 

2,095,405

  

1,800,680

 
 

2.5000%, 3/1/52

 

1,870,830

  

1,611,409

 
 

2.5000%, 3/1/52

 

788,294

  

679,290

 
 

3.0000%, 3/1/52

 

12,684,715

  

11,348,550

 
 

3.5000%, 3/1/52

 

45,705,812

  

42,592,705

 
 

3.5000%, 3/1/52

 

4,414,456

  

4,121,035

 
 

3.0000%, 4/1/52

 

19,344,108

  

17,250,791

 
 

3.0000%, 4/1/52

 

10,726,061

  

9,609,456

 
 

3.0000%, 4/1/52

 

9,161,715

  

8,195,942

 
 

3.5000%, 4/1/52

 

9,213,508

  

8,583,104

 
 

3.5000%, 4/1/52

 

6,739,946

  

6,280,876

 
 

3.5000%, 4/1/52

 

4,984,884

  

4,648,663

 
 

3.5000%, 4/1/52

 

3,010,626

  

2,804,634

 
 

3.5000%, 4/1/52

 

1,670,097

  

1,557,700

 
 

3.5000%, 4/1/52

 

1,489,452

  

1,388,991

 
 

4.0000%, 4/1/52

 

7,461,573

  

7,127,996

 
 

4.5000%, 4/1/52

 

1,434,399

  

1,390,847

 
 

4.5000%, 4/1/52

 

1,213,752

  

1,176,898

 
 

4.5000%, 4/1/52

 

695,852

  

674,724

 
 

4.5000%, 4/1/52

 

631,930

  

612,742

 
 

4.5000%, 4/1/52

 

552,413

  

535,640

 
 

4.5000%, 4/1/52

 

355,717

  

344,897

 
 

3.5000%, 5/1/52

 

4,944,622

  

4,605,537

 
 

4.5000%, 5/1/52

 

1,925,887

  

1,867,411

 
 

3.5000%, 6/1/52

 

28,630,607

  

26,667,216

 
 

3.5000%, 6/1/52

 

16,352,775

  

15,258,247

 
 

3.5000%, 7/1/52

 

4,227,567

  

3,937,654

 
 

3.5000%, 7/1/52

 

1,506,682

  

1,405,603

 
 

4.5000%, 7/1/52

 

7,848,114

  

7,610,876

 
 

3.5000%, 8/1/52

 

2,792,700

  

2,600,753

 
 

4.5000%, 8/1/52

 

28,623,298

  

27,758,052

 
 

5.0000%, 9/1/52

 

13,203,517

  

13,060,972

 
 

5.5000%, 9/1/52

 

35,619,077

  

35,879,288

 
 

5.0000%, 10/1/52

 

6,098,939

  

6,077,274

 
 

5.0000%, 10/1/52

 

2,681,891

  

2,672,364

 
 

4.5000%, 11/1/52

 

19,646,493

  

19,235,721

 
 

5.0000%, 11/1/52

 

14,956,417

  

14,903,287

 
 

5.5000%, 11/1/52

 

13,146,835

  

13,390,121

 
 

5.0000%, 1/1/53

 

2,570,597

  

2,561,465

 

9

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Fannie Mae Pool– (continued)

   
 

5.0000%, 1/1/53

 

$831,810

  

$828,855

 
 

5.0000%, 2/1/53

 

1,056,106

  

1,052,355

 
 

5.0000%, 3/1/53

 

3,158,654

  

3,124,796

 
 

5.0000%, 3/1/53

 

608,735

  

606,127

 
 

5.5000%, 3/1/53

 

388,037

  

392,680

 
 

5.0000%, 4/1/53

 

4,118,786

  

4,074,636

 
 

5.0000%, 4/1/53

 

1,175,925

  

1,170,887

 
 

5.0000%, 4/1/53

 

963,870

  

953,539

 
 

5.0000%, 4/1/53

 

821,997

  

813,186

 
 

5.5000%, 4/1/53

 

185,312

  

187,530

 
 

5.0000%, 5/1/53

 

598,884

  

596,318

 
 

5.5000%, 5/1/53

 

343,371

  

347,479

 
 

5.5000%, 5/1/53

 

179,217

  

181,361

 
 

5.0000%, 6/1/53

 

3,287,033

  

3,300,868

 
 

5.0000%, 6/1/53

 

1,185,891

  

1,179,933

 
 

5.0000%, 6/1/53

 

731,788

  

728,653

 
 

5.5000%, 6/1/53

 

31,206,667

  

31,738,971

 
 

5.5000%, 6/1/53

 

489,790

  

498,145

 
 

4.5000%, 7/1/53

 

3,669,573

  

3,606,830

 
 

5.0000%, 7/1/53

 

10,281,466

  

10,317,093

 
 

5.5000%, 7/1/53

 

46,575,556

  

46,811,093

 
 

5.5000%, 7/1/53

 

1,404,462

  

1,421,266

 
 

5.5000%, 7/1/53

 

844,601

  

859,008

 
 

5.0000%, 8/1/53

 

11,232,612

  

11,280,012

 
 

5.0000%, 8/1/53

 

734,758

  

732,148

 
 

5.5000%, 9/1/53

 

24,402,465

  

24,818,707

 
 

3.5000%, 8/1/56

 

10,059,661

  

9,228,696

 
 

3.0000%, 2/1/57

 

10,061,806

  

8,871,300

 
 

3.0000%, 6/1/57

 

183,110

  

161,286

 
  

1,293,152,967

 

  Freddie Mac Gold Pool:

   
 

4.0000%, 8/1/48

 

2,291,516

  

2,204,268

 
 

4.0000%, 9/1/48

 

1,523,113

  

1,464,990

 
  

3,669,258

 

  Freddie Mac Pool:

   
 

3.0000%, 5/1/31

 

9,277,866

  

8,890,294

 
 

3.0000%, 9/1/32

 

2,294,577

  

2,182,763

 
 

3.0000%, 10/1/32

 

1,089,291

  

1,035,131

 
 

3.0000%, 12/1/32

 

702,278

  

668,907

 
 

3.0000%, 1/1/33

 

1,407,157

  

1,337,512

 
 

2.5000%, 12/1/33

 

9,843,976

  

9,279,696

 
 

3.0000%, 10/1/34

 

2,584,188

  

2,465,185

 
 

3.0000%, 10/1/34

 

1,205,726

  

1,144,503

 
 

2.5000%, 11/1/34

 

2,992,546

  

2,783,505

 
 

2.5000%, 11/1/34

 

827,565

  

769,756

 
 

2.5000%, 6/1/37

 

25,159,914

  

23,244,823

 
 

6.0000%, 4/1/40

 

2,821,988

  

2,967,989

 
 

3.0000%, 3/1/43

 

6,369,249

  

5,809,591

 
 

3.0000%, 6/1/43

 

212,240

  

190,734

 
 

4.5000%, 5/1/44

 

835,686

  

832,373

 
 

3.0000%, 1/1/45

 

2,486,259

  

2,258,041

 
 

4.0000%, 4/1/45

 

19,436

  

18,784

 
 

3.0000%, 1/1/46

 

447,018

  

407,817

 
 

3.5000%, 7/1/46

 

1,766,594

  

1,665,490

 
 

4.0000%, 3/1/47

 

1,020,392

  

986,111

 
 

3.0000%, 4/1/47

 

1,188,792

  

1,073,131

 
 

3.5000%, 12/1/47

 

5,706,973

  

5,354,244

 
 

3.5000%, 2/1/48

 

2,098,551

  

1,963,452

 
 

4.0000%, 3/1/48

 

2,148,221

  

2,077,293

 
 

4.5000%, 3/1/48

 

82,621

  

81,378

 
 

4.0000%, 4/1/48

 

2,167,211

  

2,082,249

 
 

4.0000%, 4/1/48

 

2,084,767

  

2,013,553

 
 

4.0000%, 4/1/48

 

252,515

  

242,615

 
 

4.0000%, 5/1/48

 

3,628,438

  

3,486,191

 
 

4.5000%, 7/1/48

 

597,204

  

588,222

 
 

5.0000%, 9/1/48

 

109,101

  

109,610

 
 

4.0000%, 11/1/48

 

502,686

  

482,979

 
 

4.0000%, 12/1/48

 

6,355,846

  

6,106,802

 
 

4.5000%, 12/1/48

 

1,868,343

  

1,870,830

 
 

4.5000%, 6/1/49

 

414,830

  

407,780

 
 

4.0000%, 7/1/49

 

4,372,584

  

4,194,495

 
 

4.5000%, 7/1/49

 

3,428,305

  

3,370,041

 
 

4.5000%, 7/1/49

 

527,611

  

518,643

 
 

3.0000%, 8/1/49

 

940,852

  

834,352

 

10

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Freddie Mac Pool– (continued)

   
 

4.5000%, 8/1/49

 

$3,100,749

  

$3,048,051

 
 

3.0000%, 12/1/49

 

1,105,663

  

989,407

 
 

3.0000%, 12/1/49

 

913,421

  

817,378

 
 

4.5000%, 1/1/50

 

2,101,197

  

2,065,487

 
 

4.5000%, 1/1/50

 

583,271

  

573,370

 
 

3.5000%, 3/1/50

 

590,925

  

545,339

 
 

4.0000%, 3/1/50

 

6,132,281

  

5,891,876

 
 

4.5000%, 3/1/50

 

7,395,531

  

7,110,162

 
 

4.0000%, 6/1/50

 

10,017,674

  

9,652,489

 
 

2.5000%, 8/1/50

 

1,061,877

  

922,100

 
 

2.5000%, 8/1/50

 

408,084

  

354,266

 
 

2.5000%, 9/1/50

 

1,968,334

  

1,708,264

 
 

4.5000%, 9/1/50

 

17,747,851

  

17,480,901

 
 

4.0000%, 10/1/50

 

1,662,064

  

1,594,444

 
 

4.0000%, 11/1/50

 

10,388,603

  

9,965,948

 
 

2.5000%, 6/1/51

 

15,956,119

  

13,790,655

 
 

2.5000%, 10/1/51

 

41,543,325

  

35,700,160

 
 

2.5000%, 11/1/51

 

14,385,142

  

12,415,355

 
 

2.5000%, 1/1/52

 

4,105,832

  

3,547,602

 
 

2.5000%, 1/1/52

 

2,569,408

  

2,219,435

 
 

2.5000%, 2/1/52

 

6,109,214

  

5,262,073

 
 

3.0000%, 2/1/52

 

3,412,566

  

3,053,362

 
 

3.0000%, 2/1/52

 

2,341,501

  

2,098,108

 
 

2.5000%, 3/1/52

 

30,924,339

  

26,544,092

 
 

2.5000%, 3/1/52

 

947,879

  

814,557

 
 

3.0000%, 3/1/52

 

3,539,755

  

3,171,533

 
 

4.5000%, 3/1/52

 

298,939

  

289,862

 
 

3.5000%, 4/1/52

 

3,541,351

  

3,299,046

 
 

3.5000%, 4/1/52

 

3,515,641

  

3,275,095

 
 

3.5000%, 4/1/52

 

2,818,760

  

2,632,474

 
 

3.5000%, 4/1/52

 

1,086,156

  

1,013,058

 
 

3.5000%, 4/1/52

 

1,027,095

  

957,819

 
 

2.5000%, 5/1/52

 

12,977,042

  

11,158,226

 
 

3.5000%, 6/1/52

 

5,584,047

  

5,214,146

 
 

4.5000%, 8/1/52

 

62,853,965

  

60,953,970

 
 

4.5000%, 8/1/52

 

27,048,041

  

26,238,098

 
 

4.5000%, 8/1/52

 

14,129,204

  

13,702,096

 
 

5.0000%, 8/1/52

 

14,222,831

  

14,277,199

 
 

5.5000%, 9/1/52

 

8,261,271

  

8,419,710

 
 

4.5000%, 10/1/52

 

12,475,067

  

12,214,236

 
 

5.0000%, 10/1/52

 

18,439,259

  

18,373,757

 
 

5.0000%, 10/1/52

 

12,005,984

  

11,963,335

 
 

5.0000%, 10/1/52

 

369,286

  

367,975

 
 

5.5000%, 10/1/52

 

412,764

  

420,479

 
 

5.0000%, 1/1/53

 

480,460

  

478,754

 
 

5.0000%, 1/1/53

 

415,980

  

414,503

 
 

6.0000%, 1/1/53

 

14,270,568

  

14,490,866

 
 

5.0000%, 3/1/53

 

4,995,590

  

4,942,042

 
 

5.0000%, 3/1/53

 

1,764,263

  

1,756,705

 
 

5.0000%, 3/1/53

 

1,707,210

  

1,699,896

 
 

5.0000%, 3/1/53

 

927,120

  

917,182

 
 

5.0000%, 4/1/53

 

2,104,398

  

2,093,824

 
 

4.5000%, 5/1/53

 

8,885,525

  

8,699,745

 
 

5.0000%, 5/1/53

 

14,573,866

  

14,500,636

 
 

5.0000%, 5/1/53

 

6,017,123

  

5,986,888

 
 

5.0000%, 5/1/53

 

3,392,239

  

3,375,194

 
 

5.0000%, 5/1/53

 

468,922

  

466,913

 
 

5.5000%, 5/1/53

 

6,241,525

  

6,340,850

 
 

5.5000%, 5/1/53

 

801,460

  

811,049

 
 

5.0000%, 6/1/53

 

2,321,366

  

2,296,268

 
 

5.0000%, 6/1/53

 

2,292,523

  

2,267,628

 
 

5.0000%, 6/1/53

 

2,228,444

  

2,204,557

 
 

5.0000%, 6/1/53

 

1,816,456

  

1,796,817

 
 

5.0000%, 6/1/53

 

1,478,532

  

1,471,102

 
 

5.0000%, 6/1/53

 

1,377,949

  

1,363,179

 
 

5.0000%, 6/1/53

 

1,284,749

  

1,270,978

 
 

5.0000%, 6/1/53

 

862,766

  

853,397

 
 

5.5000%, 6/1/53

 

2,201,048

  

2,212,179

 
 

5.5000%, 6/1/53

 

1,808,092

  

1,817,235

 
 

5.5000%, 6/1/53

 

1,761,780

  

1,782,860

 
 

5.5000%, 6/1/53

 

1,736,721

  

1,745,504

 
 

5.5000%, 6/1/53

 

1,439,100

  

1,445,314

 
 

5.0000%, 7/1/53

 

4,306,487

  

4,318,171

 
 

5.0000%, 7/1/53

 

2,782,897

  

2,753,067

 

11

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Freddie Mac Pool– (continued)

   
 

5.5000%, 7/1/53

 

$6,423,336

  

$6,500,189

 
 

5.5000%, 7/1/53

 

4,315,105

  

4,336,927

 
 

5.5000%, 7/1/53

 

4,061,855

  

4,110,454

 
 

6.0000%, 11/1/53

 

14,370,091

  

14,780,212

 
 

6.5000%, 11/1/53

 

17,839,943

  

18,446,737

 
  

616,651,682

 

  Ginnie Mae:

   
 

2.5000%, TBA, 30 Year Maturity

 

132,884,806

  

116,328,422

 
 

3.5000%, TBA, 30 Year Maturity

 

98,258,806

  

91,440,922

 
 

4.0000%, TBA, 30 Year Maturity

 

47,949,459

  

45,765,361

 
 

4.5000%, TBA, 30 Year Maturity

 

23,627,806

  

23,054,241

 
 

5.0000%, TBA, 30 Year Maturity

 

18,848,683

  

18,718,533

 
  

295,307,479

 

  Ginnie Mae I Pool:

   
 

6.0000%, 1/15/34

 

46,246

  

48,467

 
 

4.0000%, 1/15/45

 

8,567,999

  

8,360,543

 
 

4.5000%, 8/15/46

 

10,788,127

  

10,648,512

 
 

4.0000%, 7/15/47

 

1,796,927

  

1,733,855

 
 

4.0000%, 8/15/47

 

237,138

  

228,814

 
 

4.0000%, 11/15/47

 

271,080

  

261,565

 
 

4.0000%, 12/15/47

 

805,260

  

776,995

 
  

22,058,751

 

  Ginnie Mae II Pool:

   
 

3.0000%, 11/20/46

 

31,900,799

  

29,254,347

 
 

4.0000%, 8/20/47

 

1,038,550

  

1,002,472

 
 

4.0000%, 8/20/47

 

193,676

  

186,948

 
 

4.0000%, 8/20/47

 

151,441

  

146,180

 
 

4.5000%, 2/20/48

 

1,104,974

  

1,091,762

 
 

4.5000%, 5/20/48

 

1,701,035

  

1,681,036

 
 

4.5000%, 5/20/48

 

403,369

  

398,627

 
 

4.0000%, 6/20/48

 

8,514,634

  

8,235,674

 
 

5.0000%, 8/20/48

 

3,216,520

  

3,240,510

 
 

3.5000%, 5/20/49

 

42,551,309

  

39,994,996

 
 

2.5000%, 3/20/51

 

40,208,434

  

35,296,329

 
 

3.0000%, 4/20/51

 

27,876,677

  

25,305,600

 
 

3.0000%, 7/20/51

 

22,302,123

  

20,224,500

 
 

3.0000%, 8/20/51

 

50,391,844

  

45,681,855

 
  

211,740,836

 

Total Mortgage-Backed Securities (cost $2,739,099,407)

 

2,690,391,210

 

United States Treasury Notes/Bonds– 6.8%

   
 

4.3750%, 12/15/26

 

17,228,000

  

17,396,242

 
 

4.3750%, 11/30/28

 

302,072,000

  

309,104,614

 
 

4.3750%, 11/30/30

 

121,451,600

  

124,886,403

 
 

4.5000%, 11/15/33

 

434,297,500

  

455,944,516

 
 

4.3750%, 8/15/43

 

149,134,000

  

152,233,191

 
 

4.7500%, 11/15/43

 

275,956,000

  

296,005,928

 
 

4.1250%, 8/15/53

 

272,005,000

  

274,937,554

 
 

4.7500%, 11/15/53

 

14,330,000

  

16,069,752

 

Total United States Treasury Notes/Bonds (cost $1,566,046,735)

 

1,646,578,200

 

Common Stocks– 61.1%

   

Aerospace & Defense – 0.6%

   
 

General Dynamics Corp

 

599,077

  

155,562,325

 

Air Freight & Logistics – 0.6%

   
 

United Parcel Service Inc

 

956,079

  

150,324,301

 

Banks – 1.3%

   
 

JPMorgan Chase & Co

 

1,801,861

  

306,496,556

 

Beverages – 1.2%

   
 

Constellation Brands Inc - Class A

 

509,609

  

123,197,976

 
 

Monster Beverage Corp

 

3,049,199

  

175,664,354

 
  

298,862,330

 

Biotechnology – 1.0%

   
 

AbbVie Inc

 

1,117,629

  

173,198,966

 
 

Vertex Pharmaceuticals Inc*

 

185,949

  

75,660,789

 
  

248,859,755

 

Building Products – 0.5%

   
 

Trane Technologies PLC

 

465,503

  

113,536,182

 

Capital Markets – 2.0%

   
 

Charles Schwab Corp

 

1,568,955

  

107,944,104

 
 

CME Group Inc

 

747,810

  

157,488,786

 
 

Morgan Stanley

 

2,346,319

  

218,794,247

 
  

484,227,137

 

Chemicals – 0.5%

   
 

Corteva Inc

 

2,285,402

  

109,516,464

 

12

        

Shares or
Principal Amounts

  

Value

 

Common Stocks– (continued)

   

Communications Equipment – 0.2%

   
 

Cisco Systems Inc

 

953,149

  

$48,153,087

 

Consumer Finance – 1.3%

   
 

American Express Co

 

1,692,773

  

317,124,094

 

Diversified Financial Services – 2.3%

   
 

Mastercard Inc

 

1,277,004

  

544,654,976

 

Electrical Equipment – 0.5%

   
 

Rockwell Automation Inc

 

349,443

  

108,495,063

 

Energy Equipment & Services – 0.4%

   
 

Schlumberger Ltd

 

1,782,254

  

92,748,498

 

Entertainment – 0.3%

   
 

Netflix Inc*

 

171,581

  

83,539,357

 

Food & Staples Retailing – 1.4%

   
 

Costco Wholesale Corp

 

289,697

  

191,223,196

 
 

Sysco Corp

 

1,924,959

  

140,772,252

 
  

331,995,448

 

Food Products – 0.4%

   
 

Hershey Co

 

514,282

  

95,882,736

 

Health Care Equipment & Supplies – 1.9%

   
 

Abbott Laboratories

 

2,169,267

  

238,771,219

 
 

Edwards Lifesciences Corp*

 

1,111,777

  

84,772,996

 
 

Stryker Corp

 

430,593

  

128,945,380

 
  

452,489,595

 

Health Care Providers & Services – 2.3%

   
 

HCA Healthcare Inc

 

291,087

  

78,791,429

 
 

UnitedHealth Group Inc

 

906,009

  

476,986,558

 
  

555,777,987

 

Hotels, Restaurants & Leisure – 4.4%

   
 

Booking Holdings Inc*

 

61,417

  

217,859,611

 
 

Chipotle Mexican Grill Inc*

 

46,671

  

106,734,710

 
 

Hilton Worldwide Holdings Inc

 

1,488,125

  

270,972,681

 
 

McDonald's Corp

 

1,006,050

  

298,303,885

 
 

Starbucks Corp

 

1,772,920

  

170,218,049

 
  

1,064,088,936

 

Household Products – 0.7%

   
 

Procter & Gamble Co

 

1,232,537

  

180,615,972

 

Industrial Conglomerates – 0.9%

   
 

Honeywell International Inc

 

980,379

  

205,595,280

 

Information Technology Services – 1.5%

   
 

Accenture PLC

 

1,001,971

  

351,601,644

 

Insurance – 1.7%

   
 

Marsh & McLennan Cos Inc

 

591,570

  

112,084,768

 
 

Progressive Corp/The

 

1,862,520

  

296,662,186

 
  

408,746,954

 

Interactive Media & Services – 4.5%

   
 

Alphabet Inc - Class C*

 

4,692,509

  

661,315,293

 
 

Meta Platforms Inc - Class A*

 

1,174,472

  

415,716,109

 
  

1,077,031,402

 

Life Sciences Tools & Services – 1.2%

   
 

Danaher Corp

 

438,134

  

101,357,920

 
 

Thermo Fisher Scientific Inc

 

357,174

  

189,584,387

 
  

290,942,307

 

Machinery – 1.0%

   
 

Deere & Co

 

631,448

  

252,497,112

 

Media – 0.8%

   
 

Comcast Corp - Class A

 

4,564,924

  

200,171,917

 

Multiline Retail – 1.6%

   
 

Amazon.com Inc*

 

2,582,065

  

392,318,956

 

Oil, Gas & Consumable Fuels – 1.4%

   
 

Chevron Corp

 

983,665

  

146,723,471

 
 

ConocoPhillips

 

1,743,850

  

202,408,669

 
  

349,132,140

 

Pharmaceuticals – 2.2%

   
 

Eli Lilly & Co

 

382,692

  

223,078,821

 
 

Merck & Co Inc

 

1,734,280

  

189,071,206

 
 

Zoetis Inc

 

638,565

  

126,033,574

 
  

538,183,601

 

Professional Services – 0.7%

   
 

Automatic Data Processing Inc

 

680,414

  

158,516,050

 

Semiconductor & Semiconductor Equipment – 5.3%

   
 

KLA Corp

 

285,286

  

165,836,752

 
 

Lam Research Corp

 

424,888

  

332,797,775

 
 

NVIDIA Corp

 

1,186,444

  

587,550,798

 

13

        

Shares or
Principal Amounts

  

Value

 

Common Stocks– (continued)

   

Semiconductor & Semiconductor Equipment– (continued)

   
 

Texas Instruments Inc

 

1,052,190

  

$179,356,307

 
  

1,265,541,632

 

Software – 8.3%

   
 

Adobe Inc*

 

291,379

  

173,836,711

 
 

Cadence Design Systems Inc*

 

277,857

  

75,679,911

 
 

Intuit Inc

 

234,343

  

146,471,405

 
 

Microsoft Corp

 

3,890,868

  

1,463,122,003

 
 

Oracle Corp

 

1,247,741

  

131,549,334

 
  

1,990,659,364

 

Specialty Retail – 1.6%

   
 

Home Depot Inc

 

616,239

  

213,557,625

 
 

TJX Cos Inc

 

1,867,483

  

175,188,580

 
  

388,746,205

 

Technology Hardware, Storage & Peripherals – 3.5%

   
 

Apple Inc

 

4,436,109

  

854,084,066

 

Textiles, Apparel & Luxury Goods – 1.1%

   
 

NIKE Inc - Class B

 

2,456,526

  

266,705,028

 

Total Common Stocks (cost $7,293,996,154)

 

14,733,424,457

 

Investment Companies– 3.2%

   

Money Markets – 3.2%

   
 

Janus Henderson Cash Liquidity Fund LLC, 5.3879%ºº,£((cost $763,829,489)

 

763,716,296

  

763,869,040

 

Total Investments (total cost $17,121,860,352) – 101.8%

 

24,525,210,794

 

Liabilities, net of Cash, Receivables and Other Assets – (1.8)%

 

(427,926,568)

 

Net Assets – 100%

 

$24,097,284,226

 
      

Summary of Investments by Country - (Long Positions) (unaudited)

 
    

% of

 
    

Investment

 

Country

 

Value

 

Securities

 

United States

 

$24,293,146,728

 

99.1

%

Canada

 

70,862,379

 

0.3

 

France

 

36,239,739

 

0.2

 

United Kingdom

 

35,800,776

 

0.1

 

Finland

 

30,781,969

 

0.1

 

Japan

 

24,447,473

 

0.1

 

Australia

 

24,028,427

 

0.1

 

Ireland

 

9,903,303

 

0.0

 
      
      

Total

 

$24,525,210,794

 

100.0

%

 

14

Schedules of Affiliated Investments – (% of Net Assets)

           
 

Dividend

Income

Realized

Gain/(Loss)

Change in

Unrealized

Appreciation/

Depreciation

Value

at 12/31/23

Investment Companies - 3.2%

Money Markets - 3.2%

 
 

Janus Henderson Cash Liquidity Fund LLC, 5.3879%ºº

$

7,698,788

$

6,457

$

(54,382)

$

763,869,040

 
           
 

Value

at 9/30/23

Purchases

Sales Proceeds

Value

at 12/31/23

Investment Companies - 3.2%

Money Markets - 3.2%

 
 

Janus Henderson Cash Liquidity Fund LLC, 5.3879%ºº

 

479,393,319

 

1,170,823,289

 

(886,299,643)

 

763,869,040

Schedule of Futures

               

Description

 

Number of

Contracts

 

Expiration

Date

 

Notional

Amount

 

Value and

Unrealized

Appreciation/(Depreciation)

  

Futures Long:

          

10 Year US Treasury Note

 

1,983

 

3/28/24

$

223,862,109

$

7,002,935

 

2 Year US Treasury Note

 

11,273

 

4/3/24

 

2,321,269,221

 

20,559,646

 

5 Year US Treasury Note

 

13,099

 

4/3/24

 

1,424,823,264

 

29,774,187

 

US Treasury Long Bond

 

2,938

 

3/28/24

 

367,066,375

 

26,052,174

 

Total - Futures Long

       

83,388,942

 

Futures Short:

          

Ultra 10-Year Treasury Note

 

4,359

 

3/28/24

 

(514,430,109)

 

(21,697,616)

 

Ultra Long Term US Treasury Bond

 

193

 

3/28/24

 

(25,783,594)

 

(1,222,272)

 

Total - Futures Short

       

(22,919,888)

 

Total

      

$

60,469,054

  
  

Average Ending Monthly Value of Derivative Instruments During the Period Ended December 31, 2023

 

 

 

 

Futures contracts:

 

Average notional amount of contracts - long

$4,727,076,712

Average notional amount of contracts - short

521,214,246

 

 

 

 

 

 

 

 

15

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 December 31, 2023 is $2,609,679,567, which represents 10.8% of net assets.

  

*

Non-income producing security.

  

‡

Variable or floating rate security. Rate shown is the current rate as of December 31, 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 December 31, 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.

16

              

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 December 31, 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

$

-

$

2,257,628,265

$

-

Corporate Bonds

 

-

 

2,433,319,622

 

-

Mortgage-Backed Securities

 

-

 

2,690,391,210

 

-

United States Treasury Notes/Bonds

 

-

 

1,646,578,200

 

-

Common Stocks

 

14,733,424,457

 

-

 

-

Investment Companies

 

-

 

763,869,040

 

-

Total Investments in Securities

$

14,733,424,457

$

9,791,786,337

$

-

Other Financial Instruments(a):

      

Futures Contracts

 

83,388,942

 

-

 

-

Total Assets

$

14,816,813,399

$

9,791,786,337

$

-

Liabilities

      

Other Financial Instruments(a):

      

Futures Contracts

$

22,919,888

$

-

$

-

       

(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.

17

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 December 31, 2023 to fair value the Fund’s investments

18

in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments.

19

For additional information on the Fund, please refer to the Fund’s most recent semiannual or annual shareholder report.

      
      
      
   

125-25-70212 02-24