Janus Henderson Multi-Sector Income Fund
Schedule of Investments (unaudited)
March 31, 2024
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– 57.8% | |||||||
A&D Mortgage Trust 2023-NQM4 A3, 8.1000%, 9/25/68 (144A)Ç | $5,509,851 | $5,637,004 | |||||
Aaset 2019-2 Trust, 6.4130%, 10/16/39 (144A) | 4,723,808 | 1,334,570 | |||||
ACC Auto Trust 2021-A C, 3.7900%, 4/15/27 (144A) | 4,262,227 | 4,250,270 | |||||
ACC Auto Trust 2021-A D, 6.1000%, 6/15/29 (144A) | 3,700,000 | 3,651,245 | |||||
ACHV Trust 2023-1PL D, 8.4700%, 3/18/30 (144A) | 2,750,000 | 2,786,248 | |||||
AGL CLO 1 Ltd 2021-10A D, | |||||||
CME Term SOFR 3 Month + 3.1616%, 8.4756%, 4/15/34 (144A)‡ | 8,000,000 | 7,916,872 | |||||
Alaska Airlines 2020-1 Class A Pass Through Trust, 4.8000%, 8/15/27 (144A) | 5,960,415 | 5,813,368 | |||||
Angel Oak Mortgage Trust I LLC 2024-3 A3, 4.8000%, 11/26/68 (144A)Ç | 5,163,632 | 4,898,538 | |||||
Auxilior Term Funding LLC 2023-1A E, 10.9700%, 12/15/32 (144A) | 2,550,000 | 2,565,490 | |||||
Avis Budget Rental Car Funding AESOP LLC 2019-2A D, 3.0400%, 9/22/25 (144A) | 5,000,000 | 4,943,572 | |||||
Avis Budget Rental Car Funding AESOP LLC 2021-1A D, 3.7100%, 8/20/27 (144A) | 6,000,000 | 5,459,923 | |||||
AXIS Equipment Finance Receivables 2024-1A E, 9.6600%, 4/20/32 (144A) | 2,875,000 | 2,881,813 | |||||
AXIS Equipment Finance Receivables LLC 2024-1A D, 6.5700%, 4/21/31 (144A) | 2,875,000 | 2,912,123 | |||||
Bain Capital Credit CLO Ltd 2021-4A D, | |||||||
CME Term SOFR 3 Month + 3.3616%, 8.6794%, 10/20/34 (144A)‡ | 5,000,000 | 4,974,650 | |||||
BAMLL Commercial Mortgage Securities Trust 2024-FRR2 D, | |||||||
1.2591%, 7/27/50 (144A)‡ | 6,330,000 | 5,000,497 | |||||
BAMLL Commercial Mortgage Securities Trust 2024-FRR2 E, | |||||||
1.2731%, 7/27/50 (144A)‡ | 10,755,758 | 7,688,786 | |||||
Bayview Opportunity Master Fund VII 2024-CAR1 E, | |||||||
US 30 Day Average SOFR + 3.6000%, 0%, 12/26/31 (144A)‡ | 1,750,000 | 1,750,000 | |||||
Benefit Street Partners CLO Ltd 2016-10A CRR, | |||||||
CME Term SOFR 3 Month + 3.7616%, 9.0794%, 4/20/34 (144A)‡ | 6,750,000 | 6,751,546 | |||||
Blue Bridge Funding LLC 2023-1A B, 9.4800%, 11/15/30 (144A) | 2,800,000 | 2,798,375 | |||||
Blue Bridge Funding LLC 2023-1A C, 9.5000%, 11/15/30 (144A) | 2,800,000 | 2,554,432 | |||||
Blue Bridge Funding LLC 2023-1A D, 15.0000%, 11/15/30 (144A) | 1,743,000 | 1,688,344 | |||||
BlueMountain CLO XXVI Ltd 2019-25A D2R, | |||||||
CME Term SOFR 3 Month + 4.4116%, 9.7256%, 7/15/36 (144A)‡ | 6,250,000 | 6,219,562 | |||||
BlueMountain CLO XXVI Ltd 2021-28A A, | |||||||
CME Term SOFR 3 Month + 1.5216%, 6.8356%, 4/15/34 (144A)‡ | 5,000,000 | 5,001,085 | |||||
BPR Trust 2023-BRK2 A, 6.8990%, 11/5/28 (144A)‡ | 13,809,000 | 14,323,189 | |||||
Business Jet Securities LLC 2020-1A B, 3.9670%, 11/15/35 (144A) | 2,266,847 | 2,189,758 | |||||
Business Jet Securities LLC 2021-1A B, 2.9180%, 4/15/36 (144A) | 1,482,271 | 1,374,667 | |||||
Business Jet Securities LLC 2021-1A C, 5.0670%, 4/15/36 (144A) | 1,090,723 | 1,048,801 | |||||
Business Jet Securities LLC 2022-1A C, 6.4130%, 6/15/37 (144A) | 3,008,019 | 2,762,487 | |||||
BX Commercial Mortgage Trust 2019-MMP D, | |||||||
CME Term SOFR 1 Month + 1.6440%, 6.9690%, 8/15/36 (144A)‡ | 3,482,573 | 3,297,586 | |||||
BX Commercial Mortgage Trust 2019-MMP F, | |||||||
CME Term SOFR 1 Month + 2.8361%, 8.1611%, 8/15/36 (144A)‡ | 13,930,290 | 12,793,830 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
CME Term SOFR 1 Month + 2.7645%, 8.0898%, 10/15/36 (144A)‡ | 10,526,977 | 10,413,635 | |||||
BX Commercial Mortgage Trust 2021-ARIA E, | |||||||
CME Term SOFR 1 Month + 2.3590%, 7.6840%, 10/15/36 (144A)‡ | 10,000,000 | 9,778,935 | |||||
BX Commercial Mortgage Trust 2021-ARIA F, | |||||||
CME Term SOFR 1 Month + 2.7080%, 8.0330%, 10/15/36 (144A)‡ | 10,000,000 | 9,774,545 | |||||
BX Commercial Mortgage Trust 2021-BXMF G, | |||||||
CME Term SOFR 1 Month + 3.4640%, 8.7890%, 10/15/26 (144A)‡ | 13,320,574 | 12,757,168 | |||||
BX Commercial Mortgage Trust 2021-SOAR G, | |||||||
CME Term SOFR 1 Month + 2.9145%, 8.2405%, 6/15/38 (144A)‡ | 6,267,482 | 6,169,472 | |||||
BX Commercial Mortgage Trust 2021-SOAR J, | |||||||
CME Term SOFR 1 Month + 3.8645%, 9.1905%, 6/15/38 (144A)‡ | 8,208,636 | 7,918,836 | |||||
BX Commercial Mortgage Trust 2021-VINO E, | |||||||
CME Term SOFR 1 Month + 2.0668%, 7.3918%, 5/15/38 (144A)‡ | 2,106,494 | 2,081,816 | |||||
BX Commercial Mortgage Trust 2021-VINO G, | |||||||
CME Term SOFR 1 Month + 4.0668%, 9.3918%, 5/15/38 (144A)‡ | 9,069,941 | 8,917,324 | |||||
BX Commercial Mortgage Trust 2021-VOLT F, | |||||||
CME Term SOFR 1 Month + 2.5145%, 7.8398%, 9/15/36 (144A)‡ | 8,440,000 | 8,335,160 | |||||
BX Commercial Mortgage Trust 2021-VOLT G, | |||||||
CME Term SOFR 1 Month + 2.9645%, 8.2898%, 9/15/36 (144A)‡ | 6,000,000 | 5,935,048 | |||||
BX Commercial Mortgage Trust 2022-FOX2 A2, | |||||||
CME Term SOFR 1 Month + 0.7492%, 6.0745%, 4/15/39 (144A)‡ | 8,168,893 | 8,074,608 | |||||
BX Commercial Mortgage Trust 2024-WPT B, | |||||||
CME Term SOFR 1 Month + 1.8908%, 0%, 3/15/34 (144A)‡ | 14,700,000 | 14,663,203 | |||||
BXHPP Trust 2021-FILM B, | |||||||
CME Term SOFR 1 Month + 1.0145%, 6.3395%, 8/15/36 (144A)‡ | 12,698,000 | 11,976,907 | |||||
BXHPP Trust 2021-FILM E, | |||||||
CME Term SOFR 1 Month + 2.1145%, 7.4395%, 8/15/36 (144A)‡ | 2,053,000 | 1,835,329 | |||||
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Carlyle Global Markets Strategies 2022-2A C, | |||||||
CME Term SOFR 3 Month + 3.5500%, 8.8678%, 4/20/35 (144A)‡ | $5,000,000 | $5,000,800 | |||||
Carlyle Global Markets Strategies 2023-4A D, | |||||||
CME Term SOFR 3 Month + 4.1000%, 9.4743%, 10/25/36 (144A)‡ | 5,250,000 | 5,263,135 | |||||
CarMax Auto Owner Trust 2022-3 D, 6.2000%, 1/16/29 | 6,250,000 | 6,279,802 | |||||
Carvana Auto Receivables Trust 2021-N3 E, 3.1600%, 6/12/28 (144A) | 12,890,000 | 12,183,590 | |||||
Carvana Auto Receivables Trust 2023-P4 N, 8.0500%, 10/10/30 (144A) | 216,741 | 216,723 | |||||
Carvana Auto Receivables Trust 2023-P5 N, 8.0200%, 12/10/30 (144A) | 829,298 | 829,533 | |||||
Castlelake Aircraft Securitization Trust 2018-1, 6.6250%, 6/15/43 (144A) | 3,830,196 | 1,101,390 | |||||
CBAM CLO Management 2021-14A A, | |||||||
CME Term SOFR 3 Month + 1.3616%, 6.6794%, 4/20/34 (144A)‡ | 15,000,000 | 15,004,740 | |||||
CENT Trust 2023-CITY A, | |||||||
CME Term SOFR 1 Month + 2.6200%, 7.9453%, 9/15/38 (144A)‡ | 6,529,000 | 6,610,795 | |||||
CF Hippolyta Issuer LLC 2020-1 B1, 2.2800%, 7/15/60 (144A) | 918,340 | 845,443 | |||||
CF Hippolyta Issuer LLC 2022-1A A1, 5.9700%, 8/15/62 (144A) | 23,189,260 | 23,130,116 | |||||
CF Hippolyta Issuer LLC 2022-1A A2, 6.1100%, 8/15/62 (144A) | 21,702,067 | 21,392,034 | |||||
Chase Auto Credit Linked Note 2021-3 E, 2.1020%, 2/26/29 (144A) | 454,261 | 442,761 | |||||
Chase Auto Credit Linked Notes 2021-1 E, 2.3650%, 9/25/28 (144A) | 237,690 | 235,549 | |||||
Chase Auto Credit Linked Notes 2021-1 F, 4.2800%, 9/25/28 (144A) | 3,337,000 | 3,286,633 | |||||
Chase Mortgage Finance Corp 2021-CL1 M1, | |||||||
US 30 Day Average SOFR + 1.2000%, 6.5204%, 2/25/50 (144A)‡ | 1,416,998 | 1,407,877 | |||||
Chase Mortgage Finance Corp 2021-CL1 M4, | |||||||
US 30 Day Average SOFR + 2.6500%, 7.9704%, 2/25/50 (144A)‡ | 2,293,837 | 2,161,554 | |||||
Chase Mortgage Finance Corp 2021-CL1 M5, | |||||||
US 30 Day Average SOFR + 3.2500%, 8.5704%, 2/25/50 (144A)‡ | 917,648 | 840,898 | |||||
CIM Trust 2021-NR1 A1, 5.5690%, 7/25/55 (144A)Ç | 2,915,447 | 2,870,157 | |||||
Citigroup Commercial Mortgage Trust 2018-C5, 0.6656%, 6/10/51‡,¤ | 32,352,027 | 786,759 | |||||
Citigroup Commercial Mortgage Trust 2021-PRM2 E, | |||||||
CME Term SOFR 1 Month + 2.5145%, 7.8405%, 10/15/38 (144A)‡ | 2,000,000 | 1,965,458 | |||||
Citigroup Commercial Mortgage Trust 2021-PRM2 F, | |||||||
CME Term SOFR 1 Month + 3.8645%, 9.1905%, 10/15/38 (144A)‡ | 6,000,000 | 5,927,271 | |||||
Citigroup Commercial Mortgage Trust 2021-PRM2 G, | |||||||
CME Term SOFR 1 Month + 4.6145%, 9.9405%, 10/15/38 (144A)‡ | 6,000,000 | 5,881,653 | |||||
Citigroup Commercial Mortgage Trust 2021-PRM2 J, | |||||||
CME Term SOFR 1 Month + 5.5145%, 10.8405%, 10/15/36 (144A)‡ | 6,000,000 | 5,825,470 | |||||
Coinstar Funding LLC 2017-1A A2, 5.2160%, 4/25/47 (144A) | 12,574,763 | 11,177,759 | |||||
Cold Storage Trust 2020-ICE5 F, | |||||||
CME Term SOFR 1 Month + 3.6070%, 8.9250%, 11/15/37 (144A)‡ | 12,828,026 | 12,538,049 | |||||
Cologix Data Centers Issuer LLC 2022-1CAN A2, 4.9400%, 1/25/52 (144A) | 5,000,000 | CAD | 3,426,499 | ||||
COLT Funding LLC 2021-3R B1, 3.5630%, 12/25/64 (144A)‡ | 2,547,000 | 1,754,300 | |||||
Commercial Mortgage Pass-through Certificate 2022-LPF2 E, | |||||||
CME Term SOFR 1 Month + 5.9400%, 11.2653%, 10/15/39 (144A)‡ | 3,827,000 | 3,724,442 | |||||
Commercial Mortgage Pass-through Certificates 2022-LPF2 D, | |||||||
CME Term SOFR 1 Month + 4.1920%, 9.5173%, 10/15/39 (144A)‡ | 5,000,000 | 4,876,332 | |||||
Connecticut Avenue Securities Trust 2017-C05 1M2C, | |||||||
US 30 Day Average SOFR + 2.3145%, 7.6349%, 1/25/30‡ | 11,211,032 | 11,433,490 | |||||
Connecticut Avenue Securities Trust 2018-R07 1B1, | |||||||
US 30 Day Average SOFR + 4.4645%, 9.7849%, 4/25/31 (144A)‡ | 3,998,877 | 4,297,598 | |||||
Connecticut Avenue Securities Trust 2019-R02, | |||||||
US 30 Day Average SOFR + 4.2645%, 9.5849%, 8/25/31 (144A)‡ | 24,046,812 | 25,465,026 | |||||
Connecticut Avenue Securities Trust 2019-R03 1B1, | |||||||
US 30 Day Average SOFR + 4.2145%, 9.5349%, 9/25/31 (144A)‡ | 14,602,423 | 15,441,434 | |||||
Connecticut Avenue Securities Trust 2019-R04 2B1, | |||||||
US 30 Day Average SOFR + 5.3645%, 10.6849%, 6/25/39 (144A)‡ | 4,471,387 | 4,740,074 | |||||
Connecticut Avenue Securities Trust 2019-R05, | |||||||
US 30 Day Average SOFR + 4.2145%, 9.5349%, 7/25/39 (144A)‡ | 7,115,679 | 7,417,594 | |||||
Connecticut Avenue Securities Trust 2021-R01 1B1, | |||||||
US 30 Day Average SOFR + 3.1000%, 8.4204%, 10/25/41 (144A)‡ | 22,660,000 | 23,317,825 | |||||
Connecticut Avenue Securities Trust 2021-R01 1M1, | |||||||
US 30 Day Average SOFR + 0.7500%, 6.0704%, 10/25/41 (144A)‡ | 38,901 | 38,880 | |||||
Connecticut Avenue Securities Trust 2021-R02 2B1, | |||||||
US 30 Day Average SOFR + 3.3000%, 8.6204%, 11/25/41 (144A)‡ | 8,750,000 | 9,024,653 | |||||
Connecticut Avenue Securities Trust 2021-R02 2M2, | |||||||
US 30 Day Average SOFR + 2.0000%, 7.3204%, 11/25/41 (144A)‡ | 16,305,770 | 16,398,860 | |||||
Connecticut Avenue Securities Trust 2021-R03 1B1, | |||||||
US 30 Day Average SOFR + 2.7500%, 8.0704%, 12/25/41 (144A)‡ | 3,442,000 | 3,525,884 | |||||
Connecticut Avenue Securities Trust 2022-R01 1B1, | |||||||
US 30 Day Average SOFR + 3.1500%, 8.4704%, 12/25/41 (144A)‡ | 13,477,000 | 13,845,927 | |||||
Connecticut Avenue Securities Trust 2022-R02 2B1, | |||||||
US 30 Day Average SOFR + 4.5000%, 9.8204%, 1/25/42 (144A)‡ | 17,053,000 | 17,979,989 | |||||
Connecticut Avenue Securities Trust 2023-R06 1M2, | |||||||
US 30 Day Average SOFR + 2.7000%, 8.0204%, 7/25/43 (144A)‡ | 4,061,000 | 4,197,731 | |||||
Connecticut Avenue Securities Trust 2024-R01 1B1, | |||||||
US 30 Day Average SOFR + 2.7000%, 8.0204%, 1/25/44 (144A)‡ | 14,329,655 | 14,413,672 | |||||
2
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Connecticut Avenue Securities Trust 2024-R02 1B1, | |||||||
US 30 Day Average SOFR + 2.5000%, 7.8204%, 2/25/44 (144A)‡ | $1,939,358 | $1,950,146 | |||||
CPF IV LLC / CP EF Asset Securitization LLC 2023-1A B, | |||||||
7.7700%, 3/15/32 (144A) | 6,524,000 | 6,630,655 | |||||
CPF IV LLC / CP EF Asset Securitization LLC 2023-1A C, | |||||||
7.5600%, 3/15/32 (144A) | 5,750,000 | 5,386,224 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4 F, | |||||||
CME Term SOFR 1 Month + 2.6970%, 8.0230%, 5/15/36 (144A)‡ | 14,164,760 | 14,135,686 | |||||
Credit Suisse Commercial Mortgage Trust 2021-WEHO A, | |||||||
CME Term SOFR 1 Month + 4.0838%, 9.4091%, 4/15/26 (144A)‡ | 13,193,967 | 12,990,155 | |||||
CSAIL Commercial Mortgage Trust 2021-C20 XA, 0.9932%, 3/15/54‡,¤ | 58,432,889 | 2,799,527 | |||||
DBGS Mortgage Trust 2018-BIOD F, | |||||||
CME Term SOFR 1 Month + 2.2960%, 7.6210%, 5/15/35 (144A)‡ | 1,917,074 | 1,880,448 | |||||
DC Commercial Mortgage Trust 2023-DC D, 7.1405%, 9/12/40 (144A)‡ | 10,000,000 | 9,803,803 | |||||
Diamond Infrastructure Funding LLC 2021-1A B, 2.3550%, 4/15/49 (144A) | 4,000,000 | 3,569,120 | |||||
Diamond Infrastructure Funding LLC 2021-1A C, 3.4750%, 4/15/49 (144A) | 3,420,000 | 3,060,794 | |||||
Diamond Issuer LLC 2021-1A C, 3.7870%, 11/20/51 (144A) | 5,000,000 | 4,199,383 | |||||
Diamond Resorts Owner Trust 2021-1A D, 3.8300%, 11/21/33 (144A) | 377,546 | 357,924 | |||||
DROP Mortgage Trust 2021-FILE A, | |||||||
CME Term SOFR 1 Month + 1.2645%, 6.5895%, 10/15/43 (144A)‡ | 2,650,000 | 2,546,266 | |||||
DROP Mortgage Trust 2021-FILE D, | |||||||
CME Term SOFR 1 Month + 2.8645%, 8.1895%, 10/15/43 (144A)‡ | 15,000,000 | 11,531,969 | |||||
Dryden Senior Loan Fund 2020-83A D, | |||||||
CME Term SOFR 3 Month + 3.7616%, 9.0595%, 1/18/32 (144A)‡ | 6,000,000 | 5,999,736 | |||||
Dryden Senior Loan Fund 2023-105A D, | |||||||
CME Term SOFR 3 Month + 5.2000%, 10.4979%, 4/18/36 (144A)‡ | 6,000,000 | 6,046,518 | |||||
ECAF I Ltd, 5.8020%, 6/15/40 (144A) | 3,163,635 | 806,689 | |||||
Exeter Automobile Receivables Trust 2020-2A E, 7.1900%, 9/15/27 (144A) | 6,794,000 | 6,801,431 | |||||
Exeter Automobile Receivables Trust 2023-1A E, 12.0700%, 9/16/30 (144A) | 3,000,000 | 3,321,333 | |||||
Exeter Automobile Receivables Trust 2024-1A E, 7.8900%, 8/15/31 (144A) | 10,250,000 | 10,273,068 | |||||
Extended Stay America Trust 2021-ESH E, | |||||||
CME Term SOFR 1 Month + 2.9645%, 8.2895%, 7/15/38 (144A)‡ | 4,836,413 | 4,829,105 | |||||
Extended Stay America Trust 2021-ESH F, | |||||||
CME Term SOFR 1 Month + 3.8145%, 9.1395%, 7/15/38 (144A)‡ | 9,014,562 | 9,009,916 | |||||
ExteNet Issuer LLC, 5.2190%, 7/25/49 (144A) | 9,090,000 | 8,992,887 | |||||
Fannie Mae 2020-100 BI, 2.0000%, 1/25/51¤ | 13,449,191 | 1,754,725 | |||||
Fannie Mae 2023-2 DI, 2.0000%, 5/25/51¤ | 72,524,524 | 9,528,482 | |||||
Fannie Mae REMICS, US 30 Day Average SOFR + 5.3741%, 0%, 10/25/40‡ | 588,203 | 763,382 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 13,444 | 11,870 | |||||
Fannie Mae REMICS, US 30 Day Average SOFR + 5.9355%, 0.6151%, 8/25/48‡,¤ | 6,243,110 | 626,333 | |||||
Flagship Credit Auto Trust 2022-4 E, 12.6600%, 1/15/30 (144A) | 5,000,000 | 5,216,153 | |||||
Flagship Credit Auto Trust 2023-1 E, 11.4400%, 4/15/30 (144A) | 8,000,000 | 8,731,149 | |||||
Flagship Credit Auto Trust 2023-3 E, 9.7400%, 6/17/30 (144A) | 3,250,000 | 3,338,499 | |||||
Flagstar Mortgage Trust 2021-13IN A17, 3.0000%, 12/30/51 (144A)‡ | 14,811,508 | 12,245,795 | |||||
Flagstar Mortgage Trust 2021-13IN A2, 3.0000%, 12/30/51 (144A)‡ | 38,156,822 | 31,716,451 | |||||
Foundation Finance Trust 2023-2A D, 9.1000%, 6/15/49 (144A) | 3,000,000 | 3,085,842 | |||||
Freddie Mac Multifamily Structured Credit Risk 2021-MN3 M2, | |||||||
US 30 Day Average SOFR + 4.0000%, 9.3204%, 11/25/51 (144A)‡ | 10,000,000 | 9,829,685 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 B1, | |||||||
US 30 Day Average SOFR + 5.3645%, 10.6849%, 9/25/50 (144A)‡ | 7,605,827 | 8,374,724 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 B1, | |||||||
US 30 Day Average SOFR + 4.0000%, 9.3204%, 11/25/50 (144A)‡ | 5,551,430 | 6,220,419 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA1 B1, | |||||||
US 30 Day Average SOFR + 2.6500%, 7.9704%, 1/25/51 (144A)‡ | 7,550,000 | 8,017,557 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 B2, | |||||||
US 30 Day Average SOFR + 6.0000%, 11.3204%, 8/25/33 (144A)‡ | 12,308,000 | 14,057,684 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, | |||||||
US 30 Day Average SOFR + 2.3000%, 7.6204%, 8/25/33 (144A)‡ | 1,256,129 | 1,281,475 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA3 B2, | |||||||
US 30 Day Average SOFR + 6.2500%, 11.5704%, 10/25/33 (144A)‡ | 20,836,000 | 24,069,440 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA5 B1, | |||||||
US 30 Day Average SOFR + 3.0500%, 8.3704%, 1/25/34 (144A)‡ | 6,624,000 | 6,996,482 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA6 B1, | |||||||
US 30 Day Average SOFR + 3.4000%, 8.7204%, 10/25/41 (144A)‡ | 14,440,000 | 14,937,197 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA6 M2, | |||||||
US 30 Day Average SOFR + 1.5000%, 6.8204%, 10/25/41 (144A)‡ | 11,136,879 | 11,152,442 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 B1, | |||||||
US 30 Day Average SOFR + 3.6500%, 8.9704%, 11/25/41 (144A)‡ | 29,197,208 | 30,398,117 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, | |||||||
US 30 Day Average SOFR + 2.2500%, 7.5704%, 8/25/33 (144A)‡ | 13,810,942 | 14,112,235 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA3 B1, | |||||||
US 30 Day Average SOFR + 3.3500%, 8.6704%, 9/25/41 (144A)‡ | 4,734,000 | 4,872,911 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA3 M2, | |||||||
US 30 Day Average SOFR + 2.1000%, 7.4204%, 9/25/41 (144A)‡ | 29,152,135 | 29,236,813 | |||||
3
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA4 B1, | |||||||
US 30 Day Average SOFR + 3.7500%, 9.0704%, 12/25/41 (144A)‡ | $27,058,500 | $27,752,870 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2023-HQA3 M2, | |||||||
US 30 Day Average SOFR + 3.3500%, 8.6704%, 11/25/43 (144A)‡ | 7,490,866 | 7,831,281 | |||||
Freddiemac Strip 375 C1, 2.5000%, 1/25/51¤ | 189,130,991 | 28,622,630 | |||||
Freddiemac Strip 377 C1, 2.0000%, 1/25/51¤ | 31,084,411 | 3,867,852 | |||||
Freddiemac Strip 377 C4, 2.0000%, 1/25/51¤ | 28,877,468 | 3,805,822 | |||||
FREMF Mortgage Trust 2017-K729 D, 0%, 11/25/49 (144A)◊ | 29,422,405 | 27,393,436 | |||||
FREMF Mortgage Trust 2017-K729 X2A, 0.1000%, 11/25/49 (144A)¤ | 230,413,653 | 86,138 | |||||
FREMF Mortgage Trust 2017-K729 X2B, 0.1000%, 11/25/49 (144A)¤ | 74,014,213 | 39,555 | |||||
FREMF Mortgage Trust 2018-KF45, | |||||||
US 30 Day Average SOFR + 2.0645%, 7.3845%, 3/25/25 (144A)‡ | 297,760 | 289,497 | |||||
FREMF Mortgage Trust 2018-KL2P BPZ, | |||||||
US 30 Day Average SOFR + 2.6145%, 7.9345%, 1/25/28 (144A)‡ | 5,597,272 | 5,553,726 | |||||
FREMF Mortgage Trust 2018-KSW4 C, | |||||||
US 30 Day Average SOFR + 5.1145%, 10.4345%, 10/25/28‡ | 18,042,207 | 15,817,588 | |||||
FREMF Mortgage Trust 2019-KF70 C, | |||||||
US 30 Day Average SOFR + 6.1145%, 11.4345%, 9/25/29 (144A)‡ | 16,212,983 | 15,889,197 | |||||
FREMF Mortgage Trust 2019-KF72, | |||||||
US 30 Day Average SOFR + 2.2145%, 7.5345%, 11/25/26 (144A)‡ | 2,679,587 | 2,604,162 | |||||
FREMF Mortgage Trust 2021-KF98 CS, | |||||||
US 30 Day Average SOFR + 8.5000%, 13.8200%, 12/25/30 (144A)‡ | 4,256,100 | 4,216,087 | |||||
FS Commercial Mortgage Trust 2023-4SZN D, 9.0801%, 11/10/39 (144A)‡ | 4,250,000 | 4,435,250 | |||||
Gam Resecuritization Trust 2021-FRR2 BK74, 0%, 9/27/51 (144A)◊ | 11,000,000 | 7,848,727 | |||||
Gam Resecuritization Trust 2021-FRR2 CK74, 0%, 9/27/51 (144A)◊ | 18,068,494 | 12,367,084 | |||||
GCAT 2022-INV1 A26, 3.0000%, 12/25/51 (144A)‡ | 16,044,479 | 13,292,580 | |||||
GCAT 2024-INV1 2A2, 6.5000%, 1/25/54 (144A)‡ | 9,375,991 | 9,450,283 | |||||
GLS Auto Select Receivables Trust 2024-1A D, 6.4300%, 1/15/31 (144A) | 2,000,000 | 2,021,220 | |||||
Government National Mortgage Association, | |||||||
CME Term SOFR 1 Month + 5.4355%, 0.1068%, 1/20/44‡,¤ | 319,203 | 23,392 | |||||
Government National Mortgage Association, | |||||||
CME Term SOFR 1 Month + 6.0355%, 0.7142%, 10/16/55‡,¤ | 474,232 | 33,496 | |||||
Government National Mortgage Association, 0.2538%, 1/16/60‡,¤ | 10,217,471 | 246,173 | |||||
Gracie Point International Funding 2023-1A B, | |||||||
US 90 Day Average SOFR + 2.6000%, 7.9578%, 9/1/26 (144A)‡ | 3,000,000 | 3,051,084 | |||||
Gracie Point International Funding 2023-1A C, | |||||||
US 90 Day Average SOFR + 3.1000%, 8.4578%, 9/1/26 (144A)‡ | 3,000,000 | 3,044,947 | |||||
Gracie Point International Funding 2023-2A B, | |||||||
US 90 Day Average SOFR + 4.0000%, 9.3578%, 3/1/27 (144A)‡ | 7,438,000 | 7,559,286 | |||||
Gracie Point International Funding 2023-2A C, | |||||||
US 90 Day Average SOFR + 5.4000%, 10.7578%, 3/1/27 (144A)‡ | 5,000,000 | 5,037,355 | |||||
Gracie Point International Funding 2024-1A C, | |||||||
US 90 Day Average SOFR + 3.5000%, 8.8576%, 3/1/28 (144A)‡ | 4,400,000 | 4,414,230 | |||||
Gracie Point International Funding 2024-1A D, | |||||||
US 90 Day Average SOFR + 7.1500%, 12.5076%, 3/1/28 (144A)‡ | 2,700,000 | 2,700,349 | |||||
Great Wolf Trust, | |||||||
CME Term SOFR 1 Month + 3.0465%, 8.3715%, 12/15/36 (144A)‡ | 11,898,529 | 11,857,696 | |||||
GS Mortgage Securities Trust 2017-SLP G, 4.6048%, 10/10/32 (144A)‡ | 8,331,000 | 7,552,874 | |||||
Hertz Vehicle Financing LLC 2021-1A D, 3.9800%, 12/26/25 (144A) | 15,000,000 | 14,688,824 | |||||
Hertz Vehicle Financing LLC 2021-2A D, 4.3400%, 12/27/27 (144A) | 9,500,000 | 8,645,980 | |||||
HGI CRE CLO Ltd 2021-FL1 D, | |||||||
CME Term SOFR 1 Month + 2.4645%, 7.7912%, 6/16/36 (144A)‡ | 5,000,000 | 4,685,611 | |||||
Hilton Grand Vacations Trust 2022-1D D, 6.7900%, 6/20/34 (144A) | 1,516,778 | 1,499,302 | |||||
Home Partners of America Trust 2021-3 F, 4.2420%, 1/17/41 (144A) | 4,576,825 | 3,886,751 | |||||
Hotwire Funding LLC 2021-1 C, 4.4590%, 11/20/51 (144A) | 3,000,000 | 2,696,534 | |||||
Hudson's Bay Simon JV Trust 2015-HB10 A10, 4.1545%, 8/5/34 (144A) | 3,500,000 | 3,267,761 | |||||
Hudson's Bay Simon JV Trust 2015-HB10 B10, 4.9056%, 8/5/34 (144A) | 1,846,923 | 1,647,555 | |||||
Hudson's Bay Simon JV Trust 2015-HB10 C10, 5.4470%, 8/5/34 (144A)‡ | 3,864,419 | 2,886,695 | |||||
Hudson's Bay Simon JV Trust 2015-HB7 A7, 3.9141%, 8/5/34 (144A) | 5,971,780 | 5,788,850 | |||||
Hudson's Bay Simon JV Trust 2015-HB7 B7, 4.6662%, 8/5/34 (144A) | 3,000,000 | 2,837,788 | |||||
Invesco CLO Ltd 2021-2A D, | |||||||
CME Term SOFR 3 Month + 3.1616%, 8.4756%, 7/15/34 (144A)‡ | 5,000,000 | 4,999,670 | |||||
JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A, | |||||||
3.2865%, 1/10/37 (144A) | 13,800,000 | 13,458,451 | |||||
JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE C, | |||||||
3.6942%, 1/10/37 (144A)‡ | 1,000,000 | 950,250 | |||||
JP Morgan Chase Commercial Mortgage Sec Trust 2022-NLP D, | |||||||
CME Term SOFR 1 Month + 2.1664%, 7.4917%, 4/15/37 (144A)‡ | 11,031,959 | 9,883,686 | |||||
Kayne CLO 10 Ltd 2021-10A A, | |||||||
CME Term SOFR 3 Month + 1.4316%, 6.7474%, 4/23/34 (144A)‡ | 22,500,000 | 22,511,475 | |||||
Lendbuzz Securitization Trust 2021-1A A, 4.2200%, 5/17/27 (144A)‡ | 1,846,824 | 1,810,952 | |||||
Lendbuzz Securitization Trust 2021-1A A, 5.9900%, 12/15/28 (144A)‡ | 5,594,000 | 5,507,224 | |||||
Lendbuzz Securitization Trust 2023-2A B, 8.6900%, 6/15/29 (144A) | 9,826,000 | 10,231,722 | |||||
Lendbuzz Securitization Trust 2024-1A B, 6.5800%, 9/15/29 (144A) | 2,500,000 | 2,501,589 | |||||
Lendbuzz Securitization Trust 2024-1A C, 7.5800%, 9/15/30 (144A) | 4,981,000 | 5,033,040 |
4
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
LFS LLC 2022-A B, 8.0000%, 5/15/34 (144A) | $4,000,000 | $3,830,173 | |||||
LHOME Mortgage Trust 2024-RTL1 A1, 7.0170%, 1/25/29 (144A)Ç | 6,076,000 | 6,089,101 | |||||
Life Financial Services Trust 2021-BMR E, | |||||||
CME Term SOFR 1 Month + 1.8645%, 7.1895%, 3/15/38 (144A)‡ | 17,693,463 | 17,267,369 | |||||
Life Financial Services Trust 2022-BMR2 D, | |||||||
CME Term SOFR 1 Month + 2.5419%, 7.8672%, 5/15/39 (144A)‡ | 10,000,000 | 9,538,075 | |||||
LoanMe Trust SBL 2019-1, 10.0000%, 8/15/30 (144A)Ç | 4,518,525 | 3,767,574 | |||||
Luxury Lease Partners Auto Lease Trust 2024-4 A, 7.2920%, 7/15/30 (144A) | 6,500,000 | 6,499,982 | |||||
Luxury Lease Partners Auto Lease Trust 2024-4 B, 10.4910%, 7/15/30 (144A) | 5,100,000 | 5,099,869 | |||||
Madison Park Funding Ltd 2016-22A DR, | |||||||
CME Term SOFR 3 Month + 3.7616%, 9.0756%, 1/15/33 (144A)‡ | 8,500,000 | 8,500,646 | |||||
Madison Park Funding Ltd 2018-32A A1R, | |||||||
CME Term SOFR 3 Month + 1.2616%, 6.6735%, 1/22/31 (144A)‡ | 10,000,000 | 10,001,770 | |||||
Madison Park Funding Ltd 2018-32A DR, | |||||||
CME Term SOFR 3 Month + 3.4616%, 8.8735%, 1/22/31 (144A)‡ | 7,000,000 | 7,002,072 | |||||
Marlette Funding Trust 2023-1A D, 8.1500%, 4/15/33 (144A) | 14,300,000 | 14,363,711 | |||||
Marlette Funding Trust 2023-2A D, 7.9200%, 6/15/33 (144A) | 9,300,000 | 9,278,385 | |||||
Marlette Funding Trust 2023-3A D, 8.0400%, 9/15/33 (144A) | 9,571,000 | 9,813,088 | |||||
Marlette Funding Trust 2023-4A B, 8.1500%, 12/15/33 (144A) | 2,500,000 | 2,578,568 | |||||
MED Trust 2021-MDLN F, | |||||||
CME Term SOFR 1 Month + 4.1145%, 9.4395%, 11/15/38 (144A)‡ | 7,696,065 | 7,704,538 | |||||
MED Trust 2021-MDLN G, | |||||||
CME Term SOFR 1 Month + 5.3645%, 10.6895%, 11/15/38 (144A)‡ | 14,928,355 | 14,901,093 | |||||
Mello Mortgage Capital Acceptance Trust 2021-INV4 A3, | |||||||
2.5000%, 12/25/51 (144A)‡ | 3,344,870 | 2,747,221 | |||||
Mercury Financial Credit Card Master Trust 2023-1A A, | |||||||
8.0400%, 9/20/27 (144A) | 8,000,000 | 8,068,674 | |||||
Mercury Financial Credit Card Master Trust 2024-1A C, | |||||||
11.4900%, 2/20/29 (144A) | 12,000,000 | 11,938,294 | |||||
MHC Commercial Mortgage Trust 2021-MHC F, | |||||||
CME Term SOFR 1 Month + 2.7154%, 8.0404%, 4/15/38 (144A)‡ | 2,181,079 | 2,161,499 | |||||
MHC Commercial Mortgage Trust 2021-MHC G, | |||||||
CME Term SOFR 1 Month + 3.3154%, 8.6404%, 4/15/38 (144A)‡ | 8,908,870 | 8,795,151 | |||||
Mission Lane Credit Card Master Trust 2023-A B, 8.1500%, 7/17/28 (144A) | 3,000,000 | 3,027,369 | |||||
Mission Lane Credit Card Master Trust 2023-A C, 10.0300%, 7/17/28 (144A) | 3,250,000 | 3,283,551 | |||||
Mission Lane Credit Card Master Trust 2023-B C, 9.6700%, 11/15/28 (144A) | 4,750,000 | 4,820,179 | |||||
Mission Lane Credit Card Master Trust 2023-B D, 11.9700%, 11/15/28 (144A) | 6,976,000 | 7,018,503 | |||||
MKT Mortgage Trust 2020-525M F, 2.9406%, 2/12/40 (144A)‡ | 11,900,000 | 5,404,909 | |||||
Morgan Stanley Capital I Trust 2019-MEAD D, 3.1771%, 11/10/36 (144A)‡ | 2,825,000 | 2,541,042 | |||||
MTN Commercial Mortgage Trust 2022-LPFL F, | |||||||
CME Term SOFR 1 Month + 5.2852%, 10.6152%, 3/15/39 (144A)‡ | 6,000,000 | 5,719,579 | |||||
Multifamily Connecticut Avenue Securities Trust 2019-01, | |||||||
US 30 Day Average SOFR + 3.3645%, 8.6849%, 10/25/49 (144A)‡ | 26,714,284 | 26,180,634 | |||||
Multifamily Connecticut Avenue Securities Trust 2020-01, | |||||||
US 30 Day Average SOFR + 3.8645%, 9.1849%, 3/25/50 (144A)‡ | 15,391,565 | 15,199,340 | |||||
Multifamily Connecticut Avenue Securities Trust 2020-01 CE, | |||||||
US 30 Day Average SOFR + 7.6145%, 12.9349%, 3/25/50 (144A)‡ | 2,000,000 | 1,912,871 | |||||
MVW Owner Trust 2021-1WA D, 3.1700%, 1/22/41 (144A) | 1,333,943 | 1,215,550 | |||||
NBC Funding LLC 2021-1 B, 4.9700%, 7/30/51 (144A) | 3,000,000 | 2,589,720 | |||||
NCMF Trust 2022-MFP F, | |||||||
CME Term SOFR 1 Month + 4.4310%, 9.7563%, 3/15/39 (144A)‡ | 5,000,000 | 4,824,535 | |||||
NCMF Trust 2022-MFP G, | |||||||
CME Term SOFR 1 Month + 5.1280%, 10.4533%, 3/15/39 (144A)‡ | 1,220,000 | 1,180,074 | |||||
Neuberger Berman CLO Ltd 2023-53A D, | |||||||
CME Term SOFR 3 Month + 4.5000%, 0%, 10/24/32 (144A)‡ | 5,500,000 | 5,537,279 | |||||
New Residential Mortgage Loan Trust 2022-SFR1 F, 4.4430%, 2/17/39 (144A) | 10,500,000 | 9,189,380 | |||||
NRTH PARK Mortgage Trust 2024-PARK A, | |||||||
CME Term SOFR 1 Month + 1.6413%, 6.9413%, 3/15/41 (144A)‡ | 10,000,000 | 10,000,393 | |||||
NW Re-Remic Trust 2021-FRR1 BK88, 2.6549%, 12/18/51 (144A)‡ | 20,000,000 | 15,711,414 | |||||
Oak Hill Credit Partners 2012-7A AR3, | |||||||
CME Term SOFR 3 Month + 1.3316%, 6.6987%, 2/20/34 (144A)‡ | 5,000,000 | 5,005,630 | |||||
Oak Street Investment Grade Net Lease Fund 2020-1A B1, | |||||||
5.1100%, 11/20/50 (144A) | 4,499,000 | 4,101,381 | |||||
Oak Street Investment Grade Net Lease Fund 2021-1A B1, | |||||||
4.2300%, 1/20/51 (144A) | 6,250,000 | 5,437,423 | |||||
Oasis Securitization 2022-2A B, 8.8500%, 10/15/34 (144A) | 3,495,359 | 3,488,369 | |||||
Oasis Securitization 2023-1A B, 10.2500%, 2/15/35 (144A) | 3,543,856 | 3,561,575 | |||||
Octagon 61 Ltd 2023-2A D, | |||||||
CME Term SOFR 3 Month + 5.5000%, 10.8178%, 4/20/36 (144A)‡ | 7,100,000 | 7,190,191 | |||||
Octagon Investment Partners 42 Ltd 2019-3A AR, | |||||||
CME Term SOFR 3 Month + 1.4016%, 6.7156%, 7/15/34 (144A)‡ | 10,000,000 | 10,006,580 | |||||
Octagon Investment Partners 58 Ltd 2022-1A D, | |||||||
CME Term SOFR 3 Month + 3.5500%, 8.8640%, 7/15/37 (144A)‡ | 7,750,000 | 7,752,844 | |||||
Ondeck Asset Securitization Trust LLC 2021-1A C, 2.9700%, 5/17/27 (144A) | 3,000,000 | 2,896,767 | |||||
Ondeck Asset Securitization Trust LLC 2023-1A B, 8.2500%, 8/19/30 (144A) | 6,250,000 | 6,276,533 |
5
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Onslow Bay Financial LLC 2021-INV3 A3, 2.5000%, 10/25/51 (144A)‡ | $4,984,257 | $3,936,527 | |||||
Onslow Bay Financial LLC 2024-NQM4 M1, | |||||||
US 30 Day Average SOFR + 2.3500%, 6.6220%, 1/25/64 (144A)‡ | 2,280,000 | 2,267,013 | |||||
OPEN Trust 2023-AIR D, | |||||||
CME Term SOFR 1 Month + 6.6838%, 12.0091%, 10/15/28 (144A)‡ | 14,352,933 | 14,435,938 | |||||
Pagaya AI Debt Selection Trust 2021-1 CERT, 0%, 11/15/27 (144A)‡,¤ | 1,846,154 | 4,615 | |||||
Pagaya AI Debt Selection Trust 2022-1 C, 4.8880%, 10/15/29 (144A) | 3,679,513 | 3,219,499 | |||||
Palmer Square European Loan Funding 2023-1A D, | |||||||
EURIBOR 3 Month + 5.7500%, 9.7520%, 11/15/32 (144A)‡ | 6,941,000 | EUR | 7,504,979 | ||||
Pawnee Equipment Receivables 2022-1 D, 7.2300%, 7/17/28 (144A) | 5,000,000 | 4,849,611 | |||||
Pawnee Equipment Receivables 2022-1 E, 9.5000%, 9/17/29 (144A) | 5,379,000 | 4,376,249 | |||||
Pawnee Equipment Receivables Series 2020-1 LLC, 5.4300%, 7/15/27 (144A) | 6,165,000 | 6,154,764 | |||||
Post Road Equipment Finance 2024-1A D, 6.7700%, 10/15/30 (144A) | 1,100,000 | 1,093,974 | |||||
Post Road Equipment Finance 2024-1A E, 8.5000%, 12/15/31 (144A) | 3,200,000 | 3,060,637 | |||||
Prestige Auto Receivables Trust 2023-1A E, 9.8800%, 5/15/30 (144A) | 6,000,000 | 6,243,877 | |||||
Pretium Mortgage Credit Partners LLC 2021-RN4 A1, 2.4871%, 10/25/51 (144A)‡ | 14,572,756 | 14,060,607 | |||||
Pretium Mortgage Credit Partners LLC 2023-RN1 A1, 8.2321%, 9/25/53 (144A)Ç | 6,655,737 | 6,707,803 | |||||
Pretium Mortgage Credit Partners LLC 2023-RN2 A1, 8.1115%, 11/25/53 (144A)Ç | 4,336,446 | 4,348,019 | |||||
PRIMA Capital Ltd, 4.2500%, 12/25/50 (144A) | 10,500,000 | 8,609,652 | |||||
PRIMA Capital Ltd 2021-9A C, | |||||||
CME Term SOFR 1 Month + 2.4645%, 7.7908%, 12/15/37 (144A)‡ | 8,585,545 | 8,213,433 | |||||
Project Silver, 6.9000%, 7/15/44 (144A)‡ | 898,315 | 219,908 | |||||
PRP Advisors LLC 2021-10 A1, 2.4870%, 10/25/26 (144A)Ç | 7,569,399 | 7,302,340 | |||||
PRP Advisors LLC 2021-9 A1, 2.3630%, 10/25/26 (144A)Ç | 9,133,043 | 8,797,711 | |||||
PRP Advisors LLC 2022-2 A1, 5.0000%, 3/25/27 (144A)Ç | 6,706,479 | 6,576,973 | |||||
Rad CLO Ltd 2023-18A D, | |||||||
CME Term SOFR 3 Month + 5.2500%, 10.5640%, 4/15/36 (144A)‡ | 6,588,000 | 6,672,023 | |||||
Rad CLO Ltd 2023-19A D, | |||||||
CME Term SOFR 3 Month + 5.7500%, 11.0678%, 4/20/35 (144A)‡ | 7,000,000 | 7,011,921 | |||||
Rad CLO Ltd 2023-21A D, | |||||||
CME Term SOFR 3 Month + 4.4000%, 0%, 1/25/33 (144A)‡ | 8,000,000 | 8,014,768 | |||||
Raptor Aircraft Finance I LLC, 4.2130%, 8/23/44 (144A) | 9,540,930 | 7,848,369 | |||||
Reach Financial LLC 2022-2A D, 9.0000%, 5/15/30 (144A) | 8,000,000 | 8,190,198 | |||||
Reach Financial LLC 2024-1A C, 6.9000%, 2/18/31 (144A) | 1,875,000 | 1,895,845 | |||||
ReadyCap Lending 2023-3 A, | |||||||
Prime Rate by Country United States + 0.0700%, 8.5700%, 4/25/48 (144A)‡ | 9,668,994 | 9,687,787 | |||||
RRX Ltd 2021-4A C, | |||||||
CME Term SOFR 3 Month + 3.4116%, 8.7256%, 7/15/34 (144A)‡ | 4,000,000 | 4,000,188 | |||||
Saluda Grade Alternative Mortgage Trust 2023-FIG3 C, | |||||||
8.9480%, 8/25/53 (144A) | 7,501,894 | 7,804,270 | |||||
Saluda Grade Alternative Mortgage Trust 2023-FIG4 C, | |||||||
8.0070%, 11/25/53 (144A)‡ | 7,365,516 | 7,506,250 | |||||
Saluda Grade Alternative Mortgage Trust 2024-RTL4 A1, | |||||||
7.5000%, 2/25/30 (144A)Ç | 10,360,000 | 10,391,185 | |||||
Saluda Grade Alternative Mortgage Trust 2024-RTL5 A1, | |||||||
7.7620%, 4/25/30 (144A)Ç | 9,420,000 | 9,426,560 | |||||
Sand Trust 2021-1A D, | |||||||
CME Term SOFR 3 Month + 3.8116%, 9.1256%, 10/15/34 (144A)‡ | 8,000,000 | 7,999,952 | |||||
Santander Bank Auto Credit-Linked Notes 2022-B E, 8.6810%, 8/16/32 (144A) | 1,464,097 | 1,453,760 | |||||
Santander Bank Auto Credit-Linked Notes 2022-C E, 11.3660%, 12/15/32 (144A) | 1,995,870 | 2,039,439 | |||||
Santander Bank Auto Credit-Linked Notes 2023-A E, 10.0680%, 6/15/33 (144A) | 608,225 | 609,743 | |||||
Santander Bank Auto Credit-Linked Notes 2023-B E, 8.4080%, 12/15/33 (144A) | 2,500,000 | 2,515,985 | |||||
Santander Bank Auto Credit-Linked Notes 2023-B F, 12.2400%, 12/15/33 (144A) | 7,000,000 | 7,009,346 | |||||
Santander Bank Auto Credit-Linked Notes 2023-B G, 17.1280%, 12/15/33 (144A) | 4,500,000 | 4,481,666 | |||||
Santander Consumer Auto Receivables Trust 2020-BA, 4.1300%, 1/15/27 (144A) | 1,500,000 | 1,466,760 | |||||
Santander Consumer Auto Receivables Trust 2021-AA E, | |||||||
3.2800%, 3/15/27 (144A) | 1,750,000 | 1,650,067 | |||||
SB Multifamily Repack Trust 2020-FRR2 A2, 6.7428%, 12/27/39 (144A)‡ | 17,361,588 | 16,529,726 | |||||
SBNA Auto Receivables Trust 2024-A E, 8.0000%, 4/15/32 (144A) | 6,000,000 | 5,988,066 | |||||
SEB Funding LLC 2021-1A A2, 4.9690%, 1/30/52 (144A) | 13,712,633 | 12,921,242 | |||||
Sierra Receivables Funding Co LLC 2020-2A D, 6.5900%, 7/20/37 (144A) | 1,293,480 | 1,273,770 | |||||
Sierra Receivables Funding Co LLC 2021-1A D, 3.1700%, 11/20/37 (144A) | 2,723,636 | 2,566,798 | |||||
Sierra Receivables Funding Co LLC 2022-3A C, 7.6300%, 7/20/39 (144A) | 1,128,827 | 1,161,250 | |||||
Sierra Receivables Funding Co LLC 2023-1A C, 7.0000%, 1/20/40 (144A) | 1,466,938 | 1,490,300 | |||||
Sierra Receivables Funding Co LLC 2023-3A D, 9.4400%, 9/20/40 (144A) | 2,397,629 | 2,466,652 | |||||
Sierra Receivables Funding Co LLC 2024-1A D, 8.0200%, 1/20/43 (144A) | 2,300,000 | 2,291,400 | |||||
Sierra Timeshare 2019-2 Receivables Funding LLC, 4.5400%, 5/20/36 (144A) | 1,574,513 | 1,551,812 | |||||
Signal Peak CLO LLC 2022-12A A1, 6.8910%, 7/10/28 (144A)‡ | 6,723,000 | 7,092,337 | |||||
SMRT 2022-MINI E, CME Term SOFR 1 Month + 2.7000%, 8.0260%, 1/15/39 (144A)‡ | 7,000,000 | 6,782,308 | |||||
SMRT 2022-MINI F, CME Term SOFR 1 Month + 3.3500%, 8.6760%, 1/15/39 (144A)‡ | 4,573,000 | 4,346,951 | |||||
Sprite Limited 2021-1 B, 5.1000%, 11/15/46 (144A) | 4,234,931 | 3,500,038 | |||||
Sprite Limited 2021-1 C, 8.8350%, 11/15/46 (144A) | 6,332,271 | 5,314,648 | |||||
Summit Issuer LLC 2020-1A B, 3.1790%, 12/20/50 (144A) | 2,500,000 | 2,263,303 |
6
Shares
or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Tallman Park CLO Ltd 2021-1A D, | |||||||
CME Term SOFR 3 Month + 3.3616%, 8.6794%, 4/20/34 (144A)‡ | $4,390,000 | $4,390,601 | |||||
THE 2023-MIC Trust 2023-MIC A, 8.4366%, 12/5/38 (144A)‡ | 20,000,000 | 21,564,682 | |||||
Theorem Funding Trust 2022-3A A, 7.6000%, 4/15/29 (144A) | 3,751,116 | 3,779,203 | |||||
Theorem Funding Trust 2022-3A B, 8.9500%, 4/16/29 (144A) | 4,500,000 | 4,649,148 | |||||
Thrust Engine Leasing 2021-1A A, 4.1630%, 7/15/40 (144A) | 8,836,737 | 8,143,583 | |||||
Thunderbolt Aircraft Lease Ltd 2017-A B, 7.7500%, 5/17/32 (144A)Ç | 2,167,694 | 1,994,301 | |||||
Tricolor Auto Securitization Trust 2022-1A E, 7.7900%, 8/16/27 (144A) | 10,870,000 | 10,923,094 | |||||
Tricolor Auto Securitization Trust 2023-1A D, 8.5600%, 7/15/27 (144A) | 5,750,000 | 5,880,114 | |||||
Tricolor Auto Securitization Trust 2024-1A C, 6.9900%, 1/18/28 (144A) | 1,850,000 | 1,848,624 | |||||
Tricolor Auto Securitization Trust 2024-1A D, 8.6100%, 4/17/28 (144A) | 3,145,000 | 3,175,922 | |||||
TVEST LLC 2021-A B, 0%, 9/15/33 (144A) | 6,550,000 | 5,697,845 | |||||
Upland CLO Ltd 2016-1A CR, | |||||||
CME Term SOFR 3 Month + 3.1616%, 8.4794%, 4/21/31 (144A)‡ | 8,000,000 | 7,999,560 | |||||
Upstart Securitization Trust 2020-3 C, 6.2500%, 11/20/30 (144A) | 7,648,015 | 7,625,822 | |||||
Upstart Securitization Trust 2021-1 C, 4.0600%, 3/20/31 (144A) | 6,559,981 | 6,480,454 | |||||
Upstart Securitization Trust 2023-1 B, 8.3500%, 2/20/33 (144A) | 6,235,000 | 6,308,968 | |||||
Upstart Securitization Trust 2023-3 B, 8.2500%, 10/20/33 (144A) | 14,500,000 | 14,634,382 | |||||
US Bank National Association 2023-1 C, 9.7850%, 8/25/32 (144A) | 3,196,884 | 3,215,171 | |||||
USASF Receivables LLC 2022-1A A, 3.9800%, 4/15/25 (144A) | 1,168,245 | 1,141,784 | |||||
VASA Trust 2021-VASA D, | |||||||
CME Term SOFR 1 Month + 2.2145%, 7.5405%, 7/15/39 (144A)‡ | 7,000,000 | 4,550,299 | |||||
VASA Trust 2021-VASA F, | |||||||
CME Term SOFR 1 Month + 4.0145%, 9.3405%, 7/15/39 (144A)‡ | 5,500,000 | 2,805,312 | |||||
VB-S1 Issuer LLC 2020-2A B, 3.2290%, 9/15/50 (144A) | 5,750,000 | 5,453,986 | |||||
VB-S1 Issuer LLC 2020-2A C, 4.4590%, 9/15/50 (144A) | 12,000,000 | 11,359,937 | |||||
WB Commercial Mortgage Trust 2024-HQ A, 6.1344%, 3/15/40 (144A)‡ | 6,194,000 | 6,227,140 | |||||
Wells Fargo Commercial Mortgage Trust 2021-C61 XA, 1.3572%, 11/15/54‡,¤ | 80,686,747 | 5,010,319 | |||||
Westgate Resorts 2022-1A D, 3.8380%, 8/20/36 (144A) | 5,068,166 | 4,819,978 | |||||
Westlake Automobile Receivable Trust 2021-3A E, 3.4200%, 4/15/27 (144A) | 5,000,000 | 4,807,875 | |||||
Willis Engine Securitization Trust 2020-A B, 4.2120%, 3/15/45 (144A) | 5,305,036 | 4,482,755 | |||||
Willis Engine Securitization Trust 2020-A C, 6.6570%, 3/15/45 (144A) | 1,189,976 | 1,095,492 | |||||
Woodward Capital Management 2017-280P B, | |||||||
CME Term SOFR 1 Month + 1.3800%, 6.6980%, 9/15/34 (144A)‡ | 5,400,000 | 5,211,339 | |||||
Woodward Capital Management 2024-CES1 A1B, 6.3250%, 2/25/44 (144A)‡ | 12,609,246 | 12,607,442 | |||||
Worldwide Plaza Trust 2017-WWP F, 3.5955%, 11/10/36 (144A)‡ | 4,305,008 | 350,001 | |||||
Z Capital Credit Partners CLO 2018-1 Ltd, | |||||||
ICE LIBOR USD 3 Month + 2.4500%, 8.0256%, 1/16/31 (144A)‡ | 1,250,000 | 1,246,102 | |||||
Z Capital Credit Partners CLO 2018-1A A2 Ltd, | |||||||
ICE LIBOR USD 3 Month + 1.5600%, 7.1356%, 1/16/31 (144A)‡ | 1,935,022 | 1,935,457 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $2,261,005,551) | 2,219,688,970 | ||||||
Bank Loans and Mezzanine Loans– 8.2% | |||||||
Basic Industry – 0.5% | |||||||
Aruba Investments Holdings LLC, | |||||||
CME Term SOFR 1 Month + 7.7500%, 13.1802%, 11/24/28‡ | 5,786,000 | 5,728,140 | |||||
CI (Maroon) Holdings LLC, | |||||||
CME Term SOFR 1 Month + 4.0000%, 9.3203%, 3/30/31ƒ,‡ | 5,982,000 | 5,996,955 | |||||
Herens US Holdco Corp, CME Term SOFR 3 Month + 3.9250%, 9.3344%, 7/3/28‡ | 7,502,102 | 7,045,149 | |||||
SK Neptune Husky Group Sarl, | |||||||
CME Term SOFR 3 Month + 80.0000%, 13.5868%, 4/30/24‡ | 837,520 | 812,394 | |||||
19,582,638 | |||||||
Brokerage – 0.1% | |||||||
Aretec Group Inc, CME Term SOFR 1 Month + 4.5000%, 9.9273%, 8/9/30‡ | 3,907,365 | 3,926,902 | |||||
Capital Goods – 0.6% | |||||||
Arcline FM Holdings LLC, | |||||||
CME Term SOFR 3 Month + 4.7500%, 10.3210%, 6/23/28‡ | 9,000,000 | 9,000,000 | |||||
Arcline FM Holdings LLC, | |||||||
CME Term SOFR 3 Month + 8.2500%, 13.8210%, 6/25/29‡ | 4,109,590 | 4,006,850 | |||||
Covanta Holding Corp, CME Term SOFR 1 Month + 2.7500%, 8.0677%, 11/30/28‡ | 1,658,823 | 1,656,153 | |||||
Covanta Holding Corp, CME Term SOFR 1 Month + 2.7500%, 8.0677%, 11/30/28‡ | 130,730 | 130,519 | |||||
Standard Industries Inc, CME Term SOFR 1 Month + 2.2500%, 7.6933%, 9/22/28‡ | 7,756,906 | 7,756,906 | |||||
22,550,428 | |||||||
Commercial Services – 0.4% | |||||||
Driven Holdings LLC, CME Term SOFR 1 Month + 3.0000%, 8.4446%, 12/17/28‡ | 8,866,070 | 8,877,153 | |||||
Lernen Bidco Ltd, EURIBOR 3 Month + 4.2500%, 8.6330%, 4/25/29ƒ,‡ | 5,760,000 | EUR | 6,195,492 | ||||
15,072,645 | |||||||
Communications – 0.6% | |||||||
Banijay Group US Holding Inc, | |||||||
CME Term SOFR 1 Month + 3.2500%, 8.5726%, 3/1/28ƒ,‡ | 2,768,750 | 2,769,331 | |||||
CCI Buyer Inc, CME Term SOFR 3 Month + 4.0000%, 9.3019%, 12/17/27‡ | 9,214,667 | 9,153,758 | |||||
Century DE Buyer LLC, CME Term SOFR 3 Month + 4.0000%, 9.3174%, 10/30/30‡ | 5,840,000 | 5,857,520 | |||||
Directv Financing LLC, CME Term SOFR 1 Month + 5.0000%, 10.4446%, 8/2/27‡ | 5,406,908 | 5,409,179 | |||||
23,189,788 |
7
Shares
or | Value | ||||||
Bank Loans and Mezzanine Loans– (continued) | |||||||
Consumer Cyclical – 1.8% | |||||||
1011778 BC ULC, CME Term SOFR 1 Month + 2.2500%, 7.5710%, 9/20/30ƒ,‡ | $11,397,000 | $11,385,603 | |||||
Arches Buyer Inc, CME Term SOFR 1 Month + 3.2500%, 8.6802%, 12/6/27‡ | 7,379,530 | 7,140,728 | |||||
Caesars Entertainment Inc, | |||||||
CME Term SOFR 3 Month + 2.7500%, 8.0405%, 2/6/31‡ | 18,416,000 | 18,416,000 | |||||
Dealer Tire Financial LLC, | |||||||
CME Term SOFR 1 Month + 3.7500%, 9.0802%, 12/14/27‡ | 4,342,000 | 4,369,137 | |||||
Entain Holdings (Gibraltar) Ltd, | |||||||
EURIBOR 3 Month + 3.7500%, 7.6520%, 6/30/28‡ | 4,770,000 | EUR | 5,147,364 | ||||
Entain Holdings (Gibraltar) Ltd, | |||||||
CME Term SOFR 3 Month + 3.5000%, 8.9094%, 10/31/29‡ | 1,790,965 | 1,797,305 | |||||
Flutter Financing BV, CME Term SOFR 3 Month + 3.2500%, 8.8627%, 7/22/28‡ | 8,752,651 | 8,749,938 | |||||
Loire Finco Luxembourg, EURIBOR 12 Month + 3.2500%, 7.0800%, 4/21/27‡ | 2,660,000 | EUR | 2,779,021 | ||||
Parts Europe SA, EURIBOR 6 Month + 3.7500%, 7.6410%, 2/3/31‡ | 5,470,000 | EUR | 5,885,749 | ||||
Wyndham Worldwide Corp, CME Term SOFR 1 Month + 3.2500%, 8.6788%, 12/14/29‡ | 4,466,250 | 4,472,949 | |||||
70,143,794 | |||||||
Consumer Non-Cyclical – 1.2% | |||||||
Eyecare Partners LLC, CME Term SOFR 3 Month + 6.7500%, 12.3243%, 11/15/29‡ | 7,500,000 | 2,587,500 | |||||
Financiere Mendel SASU, CME Term SOFR 3 Month + 4.2500%, 9.5643%, 11/12/30‡ | 2,775,000 | 2,777,081 | |||||
IQVIA Inc, CME Term SOFR 3 Month + 2.0000%, 7.3094%, 1/2/31‡ | 1,393,000 | 1,398,474 | |||||
LifePoint Health Inc, | |||||||
CME Term SOFR 1 Month + 4.7500%, 10.0687%, 11/16/28ƒ,‡ | 2,554,702 | 2,560,629 | |||||
Mamba Purchaser Inc, CME Term SOFR 1 Month + 6.5000%, 11.9306%, 10/15/29‡ | 2,000,000 | 1,975,000 | |||||
Mehilainen Yhtiot Oy, EURIBOR 3 Month + 3.2500%, 7.9280%, 8/8/25ƒ,‡ | 1,280,000 | EUR | 1,379,040 | ||||
Saratoga Food Specialties, | |||||||
CME Term SOFR 3 Month + 3.7500%, 9.0708%, 2/28/29ƒ,‡ | 5,970,297 | 5,959,133 | |||||
Star Parent Inc, CME Term SOFR 3 Month + 4.0000%, 9.3094%, 9/27/30‡ | 7,061,000 | 7,013,338 | |||||
Summit Behavioral Healthcare LLC, | |||||||
CME Term SOFR 3 Month + 4.7500%, 10.3548%, 11/24/28‡ | 923,650 | 923,650 | |||||
Topgolf Callaway Brands Corp, | |||||||
CME Term SOFR 1 Month + 3.0000%, 8.3273%, 3/15/30ƒ,‡ | 8,771,393 | 8,773,235 | |||||
VetStrategy Canada Holdings Inc, | |||||||
CME Term SOFR 1 Month + 5.5000%, 10.8094%, 12/12/28‡ | 9,266,667 | 9,269,540 | |||||
44,616,620 | |||||||
Diversified Financial – 0.3% | |||||||
Osaic Holdings Inc, CME Term SOFR 1 Month + 4.0000%, 9.3209%, 8/17/28ƒ,‡ | 10,675,000 | 10,710,334 | |||||
Diversified Financial Services – 0.3% | |||||||
Delta 2 Lux Sarl, CME Term SOFR 3 Month + 2.2500%, 7.5594%, 1/15/30‡ | 9,100,000 | 9,102,275 | |||||
Luxembourg Investment Co 428 Sarl, | |||||||
CME Term SOFR 3 Month + 5.0000%, 10.4338%, 1/3/29‡ | 7,944,280 | 2,082,514 | |||||
11,184,789 | |||||||
Finance Companies – 0.2% | |||||||
Athena Bidco SASU, EURIBOR 3 Month + 4.0000%, 7.9330%, 3/6/31ƒ,‡ | 8,390,000 | EUR | 9,043,523 | ||||
Industrial – 0.7% | |||||||
Chromalloy Corp, CME Term SOFR 1 Month + 3.7500%, 9.0754%, 3/21/31ƒ,‡ | 5,918,000 | 5,893,322 | |||||
Inspired Finco Holdings Ltd, EURIBOR 3 Month + 4.0000%, 7.8350%, 2/28/31ƒ,‡ | 10,760,000 | EUR | 11,576,425 | ||||
KBR Inc, CME Term SOFR 1 Month + 2.2500%, 7.5802%, 1/17/31‡ | 2,765,000 | 2,768,456 | |||||
Proampac PG Borrower LLC, | |||||||
CME Term SOFR 1 Month + 4.5000%, 12.0000%, 9/15/28‡ | 7,513,164 | 7,513,164 | |||||
27,751,367 | |||||||
Insurance – 0.4% | |||||||
Truist Insurance Holdings LLC, | |||||||
CME Term SOFR 1 Month + 3.2500%, 8.5677%, 3/24/31ƒ,‡ | 5,000,000 | 4,991,650 | |||||
USI Inc/NY, CME Term SOFR 1 Month + 3.2500%, 8.5519%, 9/27/30‡ | 8,764,672 | 8,767,389 | |||||
13,759,039 | |||||||
Technology – 0.8% | |||||||
Ahead DB Holdings LLC, CME Term SOFR 3 Month + 4.2500%, 9.5594%, 2/1/31‡ | 8,901,000 | 8,924,677 | |||||
Claudius Finance Sarl, EURIBOR 3 Month + 3.7500%, 7.6950%, 7/10/28‡ | 3,250,000 | EUR | 3,499,647 | ||||
Cloud Software Group Inc, | |||||||
CME Term SOFR 3 Month + 4.5000%, 9.9285%, 3/21/31‡ | 3,457,000 | 3,433,250 | |||||
Coherent Corp, CME Term SOFR 1 Month + 2.7500%, 8.1787%, 7/2/29‡ | 3,000,000 | 3,000,000 | |||||
Magenta Buyer LLC, CME Term SOFR 3 Month + 5.0000%, 10.5743%, 7/27/28‡ | 5,000,000 | 2,940,300 | |||||
Mitchell International Inc, | |||||||
CME Term SOFR 1 Month + 3.7500%, 9.1946%, 10/15/28‡ | 7,702,800 | 7,702,415 | |||||
29,500,289 | |||||||
Transportation – 0.3% | |||||||
AAdvantage Loyalty IP Ltd, | |||||||
CME Term SOFR 3 Month + 4.7500%, 10.3378%, 4/20/28ƒ,‡ | 8,900,000 | 9,232,504 |
8
Shares
or | Value | ||||||
Bank Loans and Mezzanine Loans– (continued) | |||||||
Transportation– (continued) | |||||||
First Student Bidco Inc, | |||||||
CME Term SOFR 3 Month + 4.0000%, 9.4481%, 7/21/28ƒ,‡ | $4,488,359 | $4,487,237 | |||||
13,719,741 | |||||||
Total Bank Loans and Mezzanine Loans (cost $325,455,175) | 314,751,897 | ||||||
Corporate Bonds– 24.0% | |||||||
Banking – 2.3% | |||||||
American Express Co, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.8540%, 3.5500%‡,µ | 2,186,000 | 2,023,376 | |||||
Bank of America Corp, SOFR + 1.6500%, 1/23/35‡ | 3,417,000 | 3,439,273 | |||||
Bank of New York Mellon Corp/The, SOFR + 1.6060%, 4.9670%, 4/26/34‡ | 6,078,000 | 5,966,484 | |||||
Bank of Montreal, | |||||||
US Treasury Yield Curve Rate 5 Year + 1.4000%, 3.0880%, 1/10/37‡ | 4,487,000 | 3,665,749 | |||||
Barclays PLC, SOFR + 2.6200%, 6.6920%, 9/13/34‡ | 6,154,000 | 6,556,108 | |||||
BNP Paribas SA, | |||||||
US Treasury Yield Curve Rate 1 Year + 1.4500%, 5.1250%, 1/13/29 (144A)‡ | 5,618,000 | 5,607,726 | |||||
BNP Paribas SA, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.9690%, 9.2500% (144A)‡,µ | 3,459,000 | 3,711,576 | |||||
BPCE SA, 4.5000%, 3/15/25 (144A) | 744,000 | 733,024 | |||||
Capital One Financial Corp, SOFR + 2.2600%, 6.0510%, 2/1/35‡ | 2,930,000 | 2,983,054 | |||||
Citigroup Inc, US Treasury Yield Curve Rate 5 Year + 3.5970%, 4.0000%‡,µ | 5,000,000 | 4,793,731 | |||||
Citigroup Inc, US Treasury Yield Curve Rate 5 Year + 3.4170%, 3.8750%‡,µ | 5,310,000 | 5,011,435 | |||||
Commonwealth Bank of Australia, 3.7840%, 3/14/32 (144A) | 5,891,000 | 5,206,219 | |||||
Credit Suisse Group AG, SOFR + 3.7300%, 4.1940%, 4/1/31 (144A)‡ | 2,582,000 | 2,397,375 | |||||
Discover Financial Services, SOFR + 3.3700%, 7.9640%, 11/2/34‡ | 2,629,000 | 2,977,870 | |||||
ING Groep NV, SOFR + 2.0900%, 6.1140%, 9/11/34‡ | 3,532,000 | 3,667,075 | |||||
Intesa Sanpaolo SpA, 5.7100%, 1/15/26 (144A) | 580,000 | 574,958 | |||||
JPMorgan Chase & Co, SOFR + 1.1900%, 5.0400%, 1/23/28‡ | 2,234,000 | 2,226,297 | |||||
JPMorgan Chase & Co, SOFR + 1.0150%, 2.0690%, 6/1/29‡ | 3,492,000 | 3,097,591 | |||||
JPMorgan Chase & Co, CME Term SOFR 3 Month + 3.3800%, 5.0000%‡,µ | 1,753,000 | 1,747,274 | |||||
JPMorgan Chase & Co, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.8500%, 3.6500%‡,µ | 2,027,000 | 1,925,117 | |||||
Morgan Stanley, CME Term SOFR 3 Month + 1.8896%, 4.4310%, 1/23/30‡ | 1,716,000 | 1,661,798 | |||||
Morgan Stanley, SOFR + 3.1200%, 3.6220%, 4/1/31‡ | 3,238,000 | 2,969,646 | |||||
Morgan Stanley, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.4300%, 5.9480%, 1/19/38‡ | 1,276,000 | 1,278,597 | |||||
PNC Financial Services Group Inc/The, SOFR + 2.2840%, 6.8750%, 10/20/34‡ | 3,817,000 | 4,179,728 | |||||
Societe Generale SA, 4.2500%, 4/14/25 (144A) | 4,280,000 | 4,196,707 | |||||
Societe Generale SA, 4.7500%, 11/24/25 (144A) | 4,298,000 | 4,214,807 | |||||
UniCredit SpA, | |||||||
US Treasury Yield Curve Rate 1 Year + 2.3000%, 2.5690%, 9/22/26 (144A)‡ | 1,933,000 | 1,841,021 | |||||
US Bancorp, SOFR + 1.8600%, 5.6780%, 1/23/35‡ | 1,699,000 | 1,715,530 | |||||
90,369,146 | |||||||
Basic Industry – 1.4% | |||||||
First Quantum Minerals Ltd, 9.3750%, 3/1/29 (144A) | 1,594,000 | 1,651,248 | |||||
Hudbay Minerals Inc, 4.5000%, 4/1/26 (144A) | 6,918,000 | 6,701,036 | |||||
Mineral Resources Ltd, 9.2500%, 10/1/28 (144A) | 6,885,000 | 7,251,279 | |||||
Neon Holdings Inc, 10.1250%, 4/1/26 (144A) | 3,021,000 | 2,834,079 | |||||
Smurfit Kappa Treasury ULC, 5.4380%, 4/3/34 (144A) | 13,500,000 | 13,518,414 | |||||
Tronox Inc, 4.6250%, 3/15/29 (144A) | 10,102,000 | 9,060,847 | |||||
Verde Purchaser LLC, 10.5000%, 11/30/30 (144A) | 10,453,000 | 11,005,838 | |||||
52,022,741 | |||||||
Brokerage – 0.4% | |||||||
Artec Group Inc, 10.0000%, 8/15/30 (144A) | 3,966,000 | 4,331,955 | |||||
Nasdaq Inc, 4.5000%, 2/15/32 | 7,093,000 | EUR | 8,074,332 | ||||
Nasdaq Inc, 5.5500%, 2/15/34 | 1,596,000 | 1,622,922 | |||||
14,029,209 | |||||||
Capital Goods – 1.0% | |||||||
ARD Finance SA, 5.0000% (5.00% Cash or 5.75% PIK), 6/30/27Ø | 4,063,706 | EUR | 1,184,605 | ||||
Ardagh Metal Packaging SA, 3.0000%, 9/1/29 | 8,863,000 | EUR | 7,320,044 | ||||
Berry Global Inc, 5.6500%, 1/15/34 (144A) | 5,510,000 | 5,479,904 | |||||
Bombardier Inc, 7.2500%, 7/1/31 (144A) | 9,188,000 | 9,206,707 | |||||
Husky Injection Molding Systems Ltd / Titan Co-Borrower LLC, | |||||||
9.0000%, 2/15/29 (144A) | 7,169,000 | 7,413,592 | |||||
Regal Rexnord Corp, 6.3000%, 2/15/30 (144A) | 2,304,000 | 2,358,623 | |||||
Regal Rexnord Corp, 6.4000%, 4/15/33 (144A) | 1,538,000 | 1,595,100 | |||||
Trinity Industries Inc, 7.7500%, 7/15/28 (144A) | 2,412,000 | 2,476,914 | |||||
37,035,489 | |||||||
Communications – 0.8% | |||||||
AT&T Inc, EURIBOR ICE SWAP Rate + 3.1400%, 2.8750%‡,µ | 5,300,000 | EUR | 5,573,393 | ||||
CCO Holdings LLC / CCO Holdings Capital Corp, 4.2500%, 2/1/31 (144A) | 9,366,000 | 7,648,742 | |||||
Netflix Inc, 3.6250%, 6/15/30 | 8,071,000 | EUR | 8,776,046 | ||||
Paramount Global, 4.2000%, 5/19/32# | 9,228,000 | 7,666,190 | |||||
29,664,371 |
9
Shares
or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Consumer Cyclical – 3.3% | |||||||
Adler Pelzer Holding GmbH, 9.5000%, 4/1/27 (144A) | 6,450,000 | EUR | $7,056,789 | ||||
Aston Martin Capital Holdings Ltd, 10.0000%, 3/31/29 (144A) | $9,452,000 | 9,623,743 | |||||
Atlas LuxCo 4 Sarl / Allied Universal Holdco LLC / Allied Universal Finance Corp, | |||||||
4.6250%, 6/1/28 (144A) | 8,666,000 | 7,913,539 | |||||
Carnival Corp, 6.0000%, 5/1/29 (144A) | 7,467,000 | 7,367,761 | |||||
CBRE Services Inc, 5.9500%, 8/15/34 | 6,467,000 | 6,636,954 | |||||
Ford Motor Credit Co LLC, 7.3500%, 11/4/27 | 4,213,000 | 4,418,477 | |||||
Full House Resorts Inc, 8.2500%, 2/15/28 (144A) | 10,378,000 | 9,917,626 | |||||
GLP Capital LP / GLP Financing II Inc, 4.0000%, 1/15/31 | 2,608,000 | 2,327,161 | |||||
Kohl's Corp, 4.6250%, 5/1/31Ç | 7,649,000 | 6,436,825 | |||||
LGI Homes Inc, 4.0000%, 7/15/29 (144A) | 10,940,000 | 9,557,333 | |||||
Lithia Motors Inc, 3.8750%, 6/1/29 (144A) | 3,700,000 | 3,334,454 | |||||
Lithia Motors Inc, 4.3750%, 1/15/31 (144A) | 6,689,000 | 5,991,517 | |||||
LKQ Corp, 6.2500%, 6/15/33 | 4,742,000 | 4,937,561 | |||||
LSF9 Atlantis Holdings LLC / Victra Finance Corp, 7.7500%, 2/15/26 (144A) | 8,375,000 | 8,299,513 | |||||
Mavis Tire Express Services Corp, 6.5000%, 5/15/29 (144A)# | 9,493,000 | 9,028,712 | |||||
NCL Corporation Ltd, 7.7500%, 2/15/29 (144A)# | 8,470,000 | 8,794,198 | |||||
Pinnacle Bidco PLC, 8.2500%, 10/11/28 (144A) | 5,150,000 | EUR | 5,795,139 | ||||
VICI Properties LP, 4.9500%, 2/15/30 | 4,046,000 | 3,912,703 | |||||
VICI Properties LP, 5.1250%, 5/15/32 | 1,566,000 | 1,497,875 | |||||
Wynn Macau Ltd, 5.1250%, 12/15/29 (144A) | 5,933,000 | 5,418,027 | |||||
128,265,907 | |||||||
Consumer Non-Cyclical – 2.6% | |||||||
Atlas LuxCo 4 Sarl / Allied Universal Holdco LLC / Allied Universal Finance Corp, | |||||||
4.6250%, 6/1/28 (144A) | 2,787,000 | 2,533,290 | |||||
Bellis Acquisition Co PLC, 3.2500%, 2/16/26 | 6,000,000 | GBP | 7,138,778 | ||||
Cheplapharm Arzneimittel GmbH, 7.5000%, 5/15/30 (144A) | 12,700,000 | EUR | 14,452,990 | ||||
Heartland Dental LLC / Heartland Dental Finance Corp, | |||||||
10.5000%, 4/30/28 (144A)# | 11,834,000 | 12,573,625 | |||||
HLF Financing Sarl LLC / Herbalife International Inc, | |||||||
4.8750%, 6/1/29 (144A) | 7,721,000 | 5,366,095 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
6.7500%, 3/15/34 (144A) | 6,167,000 | 6,479,803 | |||||
LifePoint Health Inc, 11.0000%, 10/15/30 (144A) | 4,625,000 | 4,943,159 | |||||
Mattel Inc, 5.4500%, 11/1/41 | 5,524,000 | 5,117,265 | |||||
Organon Finance 1 LLC, 5.1250%, 4/30/31 (144A) | 17,733,000 | 15,766,541 | |||||
Pilgrim's Pride Corp, 6.2500%, 7/1/33 | 8,897,000 | 9,091,729 | |||||
Solventum Corp, 5.6000%, 3/23/34 (144A) | 9,190,000 | 9,220,055 | |||||
Surgery Center Holdings Inc, 7.2500%, 4/15/32 (144A) | 3,821,000 | 3,850,673 | |||||
Universal Health Services Inc, 2.6500%, 1/15/32 | 6,304,000 | 5,157,389 | |||||
101,691,392 | |||||||
Electric – 1.7% | |||||||
Algonquin Power & Utilities Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.2490%, 4.7500%, 1/18/82‡ | 8,480,000 | 7,475,594 | |||||
American Electric Power Co Inc, 5.6250%, 3/1/33 | 2,509,000 | 2,547,268 | |||||
American Electric Power Co Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.6750%, 3.8750%, 2/15/62‡ | 4,471,000 | 4,017,836 | |||||
CMS Energy Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.1160%, 4.7500%, 6/1/50‡ | 2,718,000 | 2,503,302 | |||||
Duquesne Light Holdings Inc, 2.5320%, 10/1/30 (144A) | 2,490,000 | 2,060,693 | |||||
IPALCO Enterprises Inc, 4.2500%, 5/1/30 | 3,248,000 | 3,021,983 | |||||
Liberty Utilities Co, 5.8690%, 1/31/34 (144A) | 8,089,000 | 8,171,494 | |||||
NRG Energy Inc, 7.0000%, 3/15/33 (144A) | 12,061,000 | 12,869,762 | |||||
Vistra Operations Co LLC, 6.9500%, 10/15/33 (144A) | 9,766,000 | 10,423,857 | |||||
Xcel Energy Inc, 4.6000%, 6/1/32 | 3,829,000 | 3,600,622 | |||||
Xcel Energy Inc, 5.4500%, 8/15/33 | 6,991,000 | 6,948,397 | |||||
63,640,808 | |||||||
Energy – 2.8% | |||||||
AmeriGas Partners LP / AmeriGas Finance Corp, 5.7500%, 5/20/27 | 7,888,000 | 7,704,721 | |||||
Civitas Resources Inc, 8.3750%, 7/1/28 (144A) | 7,152,000 | 7,528,996 | |||||
DT Midstream Inc, 4.1250%, 6/15/29 (144A) | 7,432,000 | 6,832,475 | |||||
EnLink Midstream Partners LP, CME Term SOFR 3 Month + 4.3716%, 9.7009%‡,µ | 7,858,000 | 7,701,300 | |||||
FTAI Infra Escrow Holdings LLC, 10.5000%, 6/1/27 (144A) | 13,378,000 | 13,938,806 | |||||
Hess Midstream Operations LP, 4.2500%, 2/15/30 (144A) | 15,018,000 | 13,800,152 | |||||
Howard Midstream Energy Partners LLC, 6.7500%, 1/15/27 (144A) | 9,769,000 | 9,746,785 | |||||
Occidental Petroleum Corp, 7.8750%, 9/15/31 | 3,878,000 | 4,395,988 | |||||
SM Energy Co, 5.6250%, 6/1/25 | 8,923,000 | 8,880,645 | |||||
Sunoco LP / Sunoco Finance Corp, 4.5000%, 4/30/30 | 8,262,000 | 7,565,686 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
5.5000%, 1/15/28 (144A) | 5,739,000 | 5,529,424 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
6.0000%, 9/1/31 (144A) | 1,155,000 | 1,077,904 | |||||
Venture Global LNG Inc, 9.5000%, 2/1/29 (144A) | 6,486,666 | 6,991,737 |
10
Shares
or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Energy– (continued) | |||||||
Viper Energy Partners LP, 7.3750%, 11/1/31 (144A) | $6,090,000 | $6,331,020 | |||||
108,025,639 | |||||||
Finance Companies – 1.7% | |||||||
Blackstone Private Credit Fund, 6.2500%, 1/25/31 (144A) | 6,688,000 | 6,715,973 | |||||
Fortress Transportation and Infrastructure Investors LLC, | |||||||
6.5000%, 10/1/25 (144A) | 2,318,000 | 2,314,528 | |||||
Fortress Transportation and Infrastructure Investors LLC, | |||||||
9.7500%, 8/1/27 (144A) | 3,509,000 | 3,633,352 | |||||
goeasy Ltd, 7.6250%, 7/1/29 (144A) | 7,091,000 | 7,101,246 | |||||
Macquarie Airfinance Holdings Ltd, 6.5000%, 3/26/31 (144A) | 9,650,000 | 9,822,066 | |||||
Navient Corp, 6.7500%, 6/25/25 | 4,729,000 | 4,764,936 | |||||
Navient Corp, 9.3750%, 7/25/30 | 8,997,000 | 9,624,811 | |||||
Oaktree Strategic Credit Fund, 8.4000%, 11/14/28 (144A) | 2,250,000 | 2,386,645 | |||||
OWL Rock Core Income Corp, 4.7000%, 2/8/27 | 6,509,000 | 6,174,871 | |||||
PennyMac Financial Services Inc, 5.7500%, 9/15/31 (144A) | 8,000,000 | 7,420,571 | |||||
Sixth Street Lending Partners, 6.5000%, 3/11/29 (144A) | 4,152,000 | 4,149,537 | |||||
64,108,536 | |||||||
Financial Institutions – 0.7% | |||||||
Burford Capital Global Finance LLC, 6.2500%, 4/15/28 (144A) | 4,962,000 | 4,832,871 | |||||
Burford Capital Global Finance LLC, 6.8750%, 4/15/30 (144A) | 4,025,000 | 3,952,270 | |||||
GGAM Finance Ltd, 8.0000%, 6/15/28 (144A) | 10,154,000 | 10,604,117 | |||||
Sagax AB, 1.1250%, 1/30/27 | 1,060,000 | EUR | 1,049,332 | ||||
Sagax EURO MTN, 0.7500%, 1/26/28 | 8,505,000 | EUR | 8,061,075 | ||||
28,499,665 | |||||||
Government Sponsored – 0.5% | |||||||
Ecopetrol SA, 8.3750%, 1/19/36 | 4,223,000 | 4,262,776 | |||||
Georgian Railway JSC, 4.0000%, 6/17/28 | 5,457,000 | 4,931,491 | |||||
Petroleos Mexicanos, 5.9500%, 1/28/31 | 10,596,000 | 8,498,038 | |||||
Uzbekneftegaz JSC, 4.7500%, 11/16/28 | 1,087,000 | 909,493 | |||||
18,601,798 | |||||||
Independent Power and Renewable Electricity Producers – 0.2% | |||||||
NextEra Energy Partners LP, 2.5000%, 6/15/26 (144A) | 10,151,000 | 9,135,456 | |||||
Insurance – 1.1% | |||||||
Aon North America Inc, 5.7500%, 3/1/54 | 4,883,000 | 5,006,074 | |||||
Arthur J Gallagher & Co, 6.5000%, 2/15/34 | 6,576,000 | 7,071,631 | |||||
Athene Global Funding, 2.6460%, 10/4/31 (144A) | 6,969,000 | 5,686,063 | |||||
Brown & Brown Inc, 4.9500%, 3/17/52 | 2,608,000 | 2,302,345 | |||||
Centene Corp, 3.3750%, 2/15/30 | 11,582,000 | 10,249,279 | |||||
Howden UK Refinance PLC / Howden UK Refinance 2 PLC / Howden US Refinance LLC, | |||||||
7.2500%, 2/15/31 (144A) | 4,074,000 | 4,089,387 | |||||
Humana Inc, 5.3750%, 4/15/31 | 9,228,000 | 9,232,974 | |||||
43,637,753 | |||||||
Mortgage Assets – 0.1% | |||||||
Banco La Hipotecaria SA, 4.1250%, 12/15/24 (144A) | 5,000,000 | 4,905,555 | |||||
Real Estate Investment Trusts (REITs) – 0.9% | |||||||
Alexandria Real Estate Equities Inc, 4.7500%, 4/15/35 | 4,624,000 | 4,369,558 | |||||
Broadstone Net Lease LLC, 2.6000%, 9/15/31 | 6,601,000 | 5,215,874 | |||||
Lexington Realty Trust, 2.7000%, 9/15/30 | 2,694,000 | 2,250,021 | |||||
Prologis Targeted US Logistics Fund LP, 5.2500%, 4/1/29 (144A) | 4,603,000 | 4,589,801 | |||||
Rithm Capital Corp, 8.0000%, 4/1/29 (144A) | 9,567,000 | 9,287,245 | |||||
Starwood Property Trust Inc, 7.2500%, 4/1/29 (144A) | 2,893,000 | 2,916,025 | |||||
Sun Communities Operating LP, 5.5000%, 1/15/29 | 4,253,000 | 4,241,876 | |||||
32,870,400 | |||||||
Technology – 2.1% | |||||||
Austin BidCo Inc, 7.1250%, 12/15/28 (144A) | 8,552,000 | 7,638,416 | |||||
CA Magnum Holdings, 5.3750%, 10/31/26 (144A) | 6,237,000 | 5,958,310 | |||||
Cloud Software Group Inc, 6.5000%, 3/31/29 (144A) | 11,716,000 | 11,118,033 | |||||
Constellation Software Inc/Canada, 5.4610%, 2/16/34 (144A) | 2,125,000 | 2,138,871 | |||||
Foundry JV Holdco LLC, 5.8750%, 1/25/34 (144A) | 7,294,000 | 7,304,996 | |||||
Gartner Inc, 3.7500%, 10/1/30 (144A) | 7,003,000 | 6,268,659 | |||||
Iron Mountain Inc, 4.5000%, 2/15/31 (144A) | 3,754,000 | 3,387,000 | |||||
Leidos Inc, 5.7500%, 3/15/33 | 2,656,000 | 2,722,818 | |||||
McAfee Corp, 7.3750%, 2/15/30 (144A) | 9,417,000 | 8,635,827 | |||||
RingCentral Inc, 8.5000%, 8/15/30 (144A) | 8,801,000 | 9,150,699 | |||||
Trimble Inc, 6.1000%, 3/15/33 | 5,769,000 | 6,026,797 | |||||
Western Digital Corp, 2.8500%, 2/1/29 | 11,283,000 | 9,816,688 | |||||
80,167,114 | |||||||
Transportation – 0.4% | |||||||
Cargo Aircraft Management Inc, 4.7500%, 2/1/28 (144A) | 10,151,000 | 9,179,926 | |||||
Rand Parent LLC, 8.5000%, 2/15/30 (144A)# | 6,454,000 | 6,391,138 | |||||
15,571,064 | |||||||
Total Corporate Bonds (cost $918,417,782) | 922,242,043 |
11
Shares
or | Value | ||||||
Promissory Notes– 0.2% | |||||||
Development – 0.2% | |||||||
University of Michigan Student Housing Land Loan, 13.0000%, 3/7/25¢((cost $6,277,953) | $6,277,953 | $6,277,953 | |||||
Foreign Government Bonds– 3.0% | |||||||
Arab Republic of Egypt Government Bond, 8.7500%, 9/30/51 | 5,208,000 | 4,205,460 | |||||
Commonwealth of the Bahamas Government Bond, 6.0000%, 11/21/28 | 3,391,000 | 3,041,679 | |||||
Federative Republic of Brazil Government Bond, 6.1250%, 3/15/34 | 7,184,000 | 7,104,670 | |||||
Mongolia Government Bond, 5.1250%, 4/7/26 | 2,185,000 | 2,106,267 | |||||
Mongolia Government Bond, 3.5000%, 7/7/27 | 1,705,000 | 1,532,784 | |||||
Mongolia Government Bond, 4.4500%, 7/7/31 | 5,601,000 | 4,735,647 | |||||
Republic of Angola Government Bond, 8.0000%, 11/26/29 | 6,052,000 | 5,628,360 | |||||
Republic of Benin Government Bond, 4.8750%, 1/19/32 | 1,317,000 | EUR | 1,193,574 | ||||
Republic of Benin Government Bond, 4.9500%, 1/22/35 | 2,400,000 | EUR | 2,096,997 | ||||
Republic of Colombia Government Bond, 3.0000%, 1/30/30 | 3,510,000 | 2,908,605 | |||||
Republic of Colombia Government Bond, 3.1250%, 4/15/31 | 3,160,000 | 2,521,434 | |||||
Republic of Columbia Government Bond, 3.2500%, 4/22/32 | 6,867,000 | 5,342,014 | |||||
Republic of Costa Rica Government Bond, 7.1580%, 3/12/45 | 10,952,000 | 11,450,069 | |||||
Republic of Cote d'Ivoire Government Bond, 7.6250%, 1/30/33 | 4,330,000 | 4,289,514 | |||||
Republic of Georgia Government Bond, 2.7500%, 4/22/26 | 2,880,000 | 2,676,175 | |||||
Republic of Kenya Government Bond, 9.7500%, 2/16/31 (144A) | 2,766,000 | 2,831,692 | |||||
Republic of Montenegro Government Bond, 7.2500%, 3/12/31 (144A) | 1,790,000 | 1,820,537 | |||||
Republic of Mozambique Government Bond, 9.0000%, 9/15/31Ç | 2,682,000 | 2,284,474 | |||||
Republic of North Macedonia Government Bond, 6.9600%, 3/13/27 | 2,758,000 | EUR | 3,108,938 | ||||
Republic of North Macedonia Government Bond, 1.6250%, 3/10/28 | 8,261,000 | EUR | 7,730,430 | ||||
Republic of Poland Government Bond, 5.1250%, 9/18/34 | 4,200,000 | 4,181,352 | |||||
Republic of Poland Government Bond, 5.5000%, 3/18/54 | 3,032,000 | 3,008,108 | |||||
Republic of Turkiye Government Bond, 5.8750%, 5/21/30 | 8,045,000 | EUR | 8,666,478 | ||||
Republic of Uzbekistan Government Bond, 7.8500%, 10/12/28 (144A) | 5,692,000 | 5,948,482 | |||||
Romania Government Bond, 1.7500%, 7/13/30 | 4,774,000 | EUR | 4,222,774 | ||||
Romania Government Bond, 2.1240%, 7/16/31 | 4,800,000 | EUR | 4,223,486 | ||||
Romania Government Bond, 2.0000%, 4/14/33 | 4,900,000 | EUR | 4,050,291 | ||||
Romania Government Bond, 6.3750%, 1/30/34 | 4,034,000 | 4,087,047 | |||||
Total Foreign Government Bonds (cost $114,999,184) | 116,997,338 | ||||||
Mortgage-Backed Securities– 23.8% | |||||||
Fannie Mae: | |||||||
3.0000%, TBA, 30 Year Maturity | 91,374,381 | 78,653,514 | |||||
5.0000%, TBA, 30 Year Maturity | 117,438,352 | 114,683,006 | |||||
5.5000%, TBA, 30 Year Maturity | 71,300,556 | 70,934,214 | |||||
6.0000%, TBA, 30 Year Maturity | 56,038,000 | 56,555,231 | |||||
3.5000%, TBA, 30 Year Maturity | 71,576,875 | 64,086,140 | |||||
4.0000%, TBA, 30 Year Maturity | 152,830,871 | 141,557,760 | |||||
4.5000%, TBA, 30 Year Maturity | 92,479,774 | 88,068,951 | |||||
614,538,816 | |||||||
Fannie Mae Pool: | |||||||
3.0000%, 10/1/34 | 116,456 | 109,278 | |||||
6.0000%, 2/1/37 | 546 | 570 | |||||
3.0000%, 9/1/42 | 951,621 | 848,982 | |||||
3.0000%, 1/1/43 | 1,207,335 | 1,077,115 | |||||
3.0000%, 2/1/43 | 484,691 | 432,413 | |||||
3.0000%, 2/1/43 | 32,736 | 29,184 | |||||
3.0000%, 3/1/43 | 1,553,618 | 1,385,051 | |||||
3.0000%, 3/1/43 | 435,758 | 388,478 | |||||
3.0000%, 5/1/43 | 354,236 | 315,802 | |||||
3.0000%, 5/1/43 | 1,833 | 1,634 | |||||
5.0000%, 7/1/44 | 4,747 | 4,734 | |||||
4.5000%, 10/1/44 | 3,190 | 3,115 | |||||
4.5000%, 3/1/45 | 5,042 | 4,923 | |||||
3.0000%, 7/1/45 | 1,902,512 | 1,696,091 | |||||
4.5000%, 2/1/46 | 6,999 | 6,854 | |||||
3.0000%, 9/1/46 | 868,279 | 774,629 | |||||
3.0000%, 11/1/46 | 300,830 | 264,338 | |||||
3.0000%, 1/1/47 | 45,093 | 39,623 | |||||
4.0000%, 5/1/47 | 755,573 | 714,231 | |||||
3.5000%, 1/1/48 | 2,723 | 2,500 | |||||
4.0000%, 1/1/48 | 10,438 | 9,867 | |||||
3.5000%, 3/1/48 | 2,921,035 | 2,657,999 | |||||
4.0000%, 3/1/48 | 3,151 | 2,975 | |||||
4.5000%, 12/1/48 | 459,912 | 445,969 | |||||
3.0000%, 9/1/49 | 334,687 | 295,163 | |||||
4.5000%, 12/1/50 | 4,682,269 | 4,521,632 | |||||
4.0000%, 10/1/51 | 25,122,804 | 23,589,163 | |||||
5.5000%, 10/1/52 | 12,895,881 | 12,851,941 | |||||
5.0000%, 6/1/53 | 8,127,881 | 8,058,503 | |||||
5.5000%, 6/1/53 | 9,562,643 | 9,621,464 |
12
Shares
or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Fannie Mae Pool– (continued) | |||||||
5.5000%, 6/1/53 | $151,335 | $152,181 | |||||
5.0000%, 7/1/53 | 27,923,246 | 27,680,043 | |||||
5.5000%, 7/1/53 | 434,143 | 434,511 | |||||
5.5000%, 7/1/53 | 261,171 | 262,534 | |||||
5.5000%, 9/1/53 | 14,957,398 | 15,032,675 | |||||
5.0000%, 12/1/53 | 503,527 | 499,563 | |||||
3.0000%, 2/1/57 | 4,803,890 | 4,119,915 | |||||
3.0000%, 6/1/57 | 20,876 | 17,882 | |||||
118,353,525 | |||||||
Freddie Mac Pool: | |||||||
3.0000%, 5/1/31 | 1,082,097 | 1,033,213 | |||||
3.0000%, 9/1/32 | 176,276 | 166,790 | |||||
3.0000%, 1/1/33 | 95,341 | 90,104 | |||||
3.0000%, 10/1/34 | 294,091 | 275,944 | |||||
3.0000%, 10/1/34 | 139,714 | 131,102 | |||||
6.0000%, 4/1/40 | 11,638 | 12,154 | |||||
3.0000%, 2/1/43 | 3,441 | 3,067 | |||||
3.0000%, 11/1/43 | 3,816,689 | 3,405,032 | |||||
4.5000%, 5/1/44 | 2,357 | 2,298 | |||||
3.5000%, 7/1/46 | 2,172 | 1,998 | |||||
4.0000%, 3/1/47 | 6,095 | 5,764 | |||||
3.5000%, 12/1/47 | 37,168 | 34,080 | |||||
3.5000%, 2/1/48 | 2,413 | 2,210 | |||||
4.0000%, 4/1/48 | 1,310 | 1,236 | |||||
4.5000%, 4/1/49 | 1,086,433 | 1,049,104 | |||||
4.0000%, 5/1/49 | 4,165,061 | 3,906,190 | |||||
3.5000%, 8/1/49 | 1,832,094 | 1,662,810 | |||||
3.0000%, 12/1/49 | 492,823 | 429,807 | |||||
3.0000%, 12/1/49 | 279,690 | 243,926 | |||||
4.5000%, 10/1/50 | 2,746,107 | 2,651,895 | |||||
5.5000%, 10/1/52 | 126,739 | 127,659 | |||||
5.0000%, 7/1/53 | 10,900,936 | 10,805,992 | |||||
5.5000%, 7/1/53 | 1,952,798 | 1,954,455 | |||||
5.5000%, 7/1/53 | 1,255,676 | 1,256,741 | |||||
5.0000%, 9/1/53 | 346,011 | 342,405 | |||||
6.0000%, 9/1/53 | 16,028,913 | 16,378,082 | |||||
5.0000%, 10/1/53 | 22,861,595 | 22,657,802 | |||||
68,631,860 | |||||||
Ginnie Mae: | |||||||
5.0000%, TBA, 30 Year Maturity | 7,343,765 | 7,216,953 | |||||
3.5000%, TBA, 30 Year Maturity | 98,660,539 | 89,794,015 | |||||
4.0000%, TBA, 30 Year Maturity | 16,054,402 | 15,028,028 | |||||
112,038,996 | |||||||
Ginnie Mae I Pool: | |||||||
4.5000%, 8/15/46 | 9,691 | 9,424 | |||||
4.0000%, 7/15/47 | 2,939 | 2,777 | |||||
4.0000%, 8/15/47 | 339 | 321 | |||||
4.0000%, 11/15/47 | 580 | 548 | |||||
4.0000%, 12/15/47 | 1,808 | 1,709 | |||||
14,779 | |||||||
Ginnie Mae II Pool: | |||||||
4.5000%, 2/20/48 | 92,070 | 89,541 | |||||
4.5000%, 5/20/48 | 2,092 | 2,034 | |||||
4.5000%, 5/20/48 | 803 | 780 | |||||
92,355 | |||||||
Total Mortgage-Backed Securities (cost $920,640,313) | 913,670,331 | ||||||
Common Stocks– 0.3% | |||||||
Health Care Providers & Services – 0.1% | |||||||
Surgery Partners Inc* | 172,012 | 5,131,118 | |||||
Professional Services – 0% | |||||||
Clarivate Analytics PLC* | 4,217 | 31,332 | |||||
Semiconductor & Semiconductor Equipment – 0.2% | |||||||
Marvell Technology Inc | 83,936 | 5,949,384 | |||||
Total Common Stocks (cost $11,639,833) | 11,111,834 | ||||||
Preferred Stocks– 0% | |||||||
Consumer Cyclical – 0% | |||||||
Quiksilver Inc¢ | 12,688 | 10,785 | |||||
Finance Companies – 0% | |||||||
Castlelake Aircraft Securitization Trust 2018-1, 6/15/43 (144A)‡ | 1,000,000 | 10,000 | |||||
Industrial – 0% | |||||||
Project Silver, 3/15/44 (144A)‡ | 1,500,000 | 112,500 | |||||
START Ireland, 3/15/44 (144A)‡ | 1,500,000 | 375,000 | |||||
Thunderbolt II Aircraft Lease Ltd, 9/15/38 (144A) | 10 | 152,302 |
13
Shares
or | Value | ||||||
Preferred Stocks– (continued) | |||||||
Industrial– (continued) | |||||||
Thunderbolt III Aircraft Lease Ltd, 11/15/39 (144A)‡ | 5,000,000 | $250,000 | |||||
889,802 | |||||||
Total Preferred Stocks (cost $11,018,746) | 910,587 | ||||||
Convertible Preferred Stocks– 0.1% | |||||||
Chemicals – 0.1% | |||||||
Albemarle Corp, 7.2500%, 3/1/27((cost $2,093,600) | 41,872 | 2,470,448 | |||||
Investment Companies– 4.9% | |||||||
Money Markets – 4.9% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 5.3830%ºº,£((cost $188,589,613) | 188,551,902 | 188,589,613 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 0.3% | |||||||
Investment Companies – 0.2% | |||||||
Janus Henderson Cash Collateral Fund LLC, 5.2800%ºº,£ | 10,192,366 | 10,192,366 | |||||
Time Deposits – 0.1% | |||||||
Royal Bank of Canada, 5.3100%, 4/1/24 | $2,548,092 | 2,548,092 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $12,740,458) | 12,740,458 | ||||||
Total Investments (total cost $4,772,878,208) – 122.6% | 4,709,451,472 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (22.6)% | (869,035,412) | ||||||
Net Assets – 100% | $3,840,416,060 |
14
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $4,204,523,499 | 89.3 | % | ||
Canada | 61,083,401 | 1.3 | |||
United Kingdom | 59,099,780 | 1.3 | |||
Cayman Islands | 57,435,904 | 1.2 | |||
Ireland | 41,184,137 | 0.9 | |||
France | 38,939,524 | 0.8 | |||
Germany | 21,509,779 | 0.5 | |||
Luxembourg | 16,681,435 | 0.4 | |||
Romania | 16,583,598 | 0.4 | |||
Jersey | 15,161,022 | 0.3 | |||
Colombia | 15,034,829 | 0.3 | |||
Australia | 12,457,498 | 0.3 | |||
Costa Rica | 11,450,069 | 0.2 | |||
Macedonia, The Former Yugoslav Republic Of | 10,839,368 | 0.2 | |||
Sweden | 9,110,407 | 0.2 | |||
Turkey | 8,666,478 | 0.2 | |||
Mexico | 8,498,038 | 0.2 | |||
Mongolia | 8,374,698 | 0.2 | |||
Georgia | 7,607,666 | 0.2 | |||
Poland | 7,189,460 | 0.2 | |||
Brazil | 7,104,670 | 0.1 | |||
Uzbekistan | 6,857,975 | 0.1 | |||
Peru | 6,701,036 | 0.1 | |||
India | 5,958,310 | 0.1 | |||
Angola | 5,628,360 | 0.1 | |||
Macao | 5,418,027 | 0.1 | |||
Panama | 4,905,555 | 0.1 | |||
Ivory Coast | 4,289,514 | 0.1 | |||
Egypt | 4,205,460 | 0.1 | |||
Netherlands | 3,667,075 | 0.1 | |||
Benin | 3,290,571 | 0.1 | |||
Bahamas | 3,041,679 | 0.1 | |||
Kenya | 2,831,692 | 0.1 | |||
Italy | 2,415,979 | 0.1 | |||
Switzerland | 2,397,375 | 0.0 | |||
Mozambique | 2,284,474 | 0.0 | |||
Montenegro | 1,820,537 | 0.0 | |||
Gibraltar | 1,797,305 | 0.0 | |||
Zambia | 1,651,248 | 0.0 | |||
Finland | 1,379,040 | 0.0 | |||
Bermuda | 375,000 | 0.0 |
Total | $4,709,451,472 | 100.0 | % |
15
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 3/31/24 | |||||||
Investment Companies - 4.9% | ||||||||||
Money Markets - 4.9% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 5.3830%ºº | $ | 4,641,022 | $ | (980) | $ | 354 | $ | 188,589,613 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.3% | ||||||||||
Investment Companies - 0.3% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 5.2800%ºº | 194,410∆ | - | - | 10,192,366 | ||||||
Total Affiliated Investments - 5.2% | $ | 4,835,432 | $ | (980) | $ | 354 | $ | 198,781,979 |
Value at 6/30/23 | Purchases | Sales Proceeds | Value at 3/31/24 | |||||||
Investment Companies - 4.9% | ||||||||||
Money Markets - 4.9% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 5.3830%ºº | 136,328,921 | 1,194,371,611 | (1,142,110,293) | 188,589,613 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.3% | ||||||||||
Investment Companies - 0.3% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 5.2800%ºº | 14,706,842 | 77,888,792 | (82,403,268) | 10,192,366 |
16
Schedule of Forward Foreign Currency Exchange Contracts |
Counterparty/ Foreign Currency | Settlement Date | Foreign Currency Amount (Sold)/ Purchased | USD Currency Amount (Sold)/ Purchased | Market Value and Unrealized Appreciation/ (Depreciation) | ||||
BNP Paribas: | ||||||||
British Pound | 5/23/24 | (5,814,925) | $ | 7,368,120 | $ | 28,137 | ||
Canadian Dollar | 5/23/24 | 20,583 | (15,179) | 30 | ||||
Canadian Dollar | 5/23/24 | 20,589 | (15,248) | (34) | ||||
Canadian Dollar | 5/23/24 | (4,915,742) | 3,647,446 | 15,003 | ||||
Euro | 5/23/24 | 3,864,910 | (4,210,476) | (32,306) | ||||
Euro | 5/23/24 | (127,448,452) | 138,482,492 | 704,079 | ||||
Total | $ | 714,909 |
Schedule of Futures
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/(Depreciation) | ||||||||||
Futures Long: | ||||||||||||||
10 Year US Treasury Note | 2,976 | 6/28/24 | $ | 329,731,500 | $ | 1,976,249 | ||||||||
2 Year US Treasury Note | 1,727 | 7/3/24 | 353,144,517 | (107,938) | ||||||||||
5 Year US Treasury Note | 7,388 | 7/3/24 | 790,631,438 | 2,135,590 | ||||||||||
Total - Futures Long | 4,003,901 | |||||||||||||
Futures Short: | ||||||||||||||
Ultra 10-Year Treasury Note | 1,657 | 6/28/24 | (189,907,734) | (1,419,502) | ||||||||||
Ultra Long Term US Treasury Bond | 80 | 6/28/24 | (10,320,000) | (170,726) | ||||||||||
US Treasury Long Bond | 60 | 6/28/24 | (7,226,250) | (110,904) | ||||||||||
Total - Futures Short | (1,701,132) | |||||||||||||
Total | $ | 2,302,769 |
Average Ending Monthly Value of Derivative Instruments During the Period Ended March 31, 2024 | |
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Credit default swaps: |
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Average notional amount - buy protection | $ 53,280,000 |
Forward foreign currency exchange contracts: |
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Average amounts purchased - in USD | 5,472,646 |
Average amounts sold - in USD | 114,881,767 |
Futures contracts: |
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Average notional amount of contracts - long | 1,098,844,087 |
Average notional amount of contracts - short | 468,103,581 |
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17
Notes to Schedule of Investments (unaudited)
EURIBOR | Euro Interbank Offered Rate |
ICE | Intercontinental Exchange |
LIBOR | London 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. |
ULC | Unlimited Liability Company |
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 March 31, 2024 is $2,720,097,802, which represents 70.8% of net assets. |
* | Non-income producing security. |
ƒ | All or a portion of this position is not funded, or has been purchased on a delayed delivery or when-issued basis. If applicable, interest rates will be determined and interest will begin to accrue at a future date. |
‡ | Variable or floating rate security. Rate shown is the current rate as of March 31, 2024. 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 March 31, 2024. |
# | Loaned security; a portion of the security is on loan at March 31, 2024. |
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. |
◊ | Zero coupon bond. |
¤ | Interest only security. An interest only security represents the interest only portion of a pool of underlying mortgages or mortgage-backed securities which are separated and sold individually from the principal portion of the securities. Principal amount shown represents the par value on which interest payments are based. |
Ø | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
¢ | Security is valued using significant unobservable inputs. The total value of Level 3 securities as of the period ended March 31, 2024 is $6,288,738, which represents 0.2% of net assets. |
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£ | 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. |
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 March 31, 2024. | |||||||||||||
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 | $ | - | $ | 2,219,688,970 | $ | - | |||||||
Bank Loans and Mezzanine Loans | - | 314,751,897 | - | ||||||||||
Corporate Bonds | - | 922,242,043 | - | ||||||||||
Promissory Notes | - | - | 6,277,953 | ||||||||||
Foreign Government Bonds | - | 116,997,338 | - | ||||||||||
Mortgage-Backed Securities | - | 913,670,331 | - | ||||||||||
Common Stocks | 11,111,834 | - | - | ||||||||||
Preferred Stocks | - | 899,802 | 10,785 | ||||||||||
Convertible Preferred Stocks | 2,470,448 | - | - | ||||||||||
Investment Companies | - | 188,589,613 | - | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 12,740,458 | - | ||||||||||
Total Investments in Securities | $ | 13,582,282 | $ | 4,689,580,452 | $ | 6,288,738 | |||||||
Other Financial Instruments(a): | |||||||||||||
Forward Foreign Currency Exchange Contracts | - | 747,249 | - | ||||||||||
Futures Contracts | 4,111,839 | - | - | ||||||||||
Total Assets | $ | 17,694,121 | $ | 4,690,327,701 | $ | 6,288,738 | |||||||
Liabilities | |||||||||||||
Other Financial Instruments(a): | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | - | $ | 32,340 | $ | - | |||||||
Futures Contracts | 1,809,070 | - | - | ||||||||||
Total Liabilities | $ | 1,809,070 | $ | 32,340 | $ | - | |||||||
(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. |
19
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 March 31, 2024 to fair value the Fund’s investments in
20
securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments.
The Fund did not hold a significant amount of Level 3 securities as of March 31, 2024.
21
For additional information on the Fund, please refer to the Fund’s most recent semiannual or annual shareholder report.
125-35-70289 05-24 |