NPORT-EX 2 nportex-04.htm

Janus Henderson Flexible Bond Fund

Schedule of Investments (unaudited)

March 31, 2024

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– 28.2%

   
 

208 Park Avenue Mortgage Trust 2017-280P,

      
 

CME Term SOFR 1 Month + 1.1800%, 6.4980%, 9/15/34 (144A)‡

 

$4,050,930

  

$3,974,538

 
 

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

 

4,724,248

  

4,700,161

 
 

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

 

2,036,759

  

2,067,427

 
 

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

 

422,374

  

421,117

 
 

Aimco 2020-11A AR,

      
 

CME Term SOFR 3 Month + 1.3916%, 6.7081%, 10/17/34 (144A)‡

 

1,763,000

  

1,761,791

 
 

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

 

378,376

  

365,622

 
 

Angel Oak Mortgage Trust I LLC 2019-6,

      
 

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

 

350,918

  

336,939

 
 

Angel Oak Mortgage Trust I LLC 2020-2,

      
 

Refinitiv USD IBOR Consumer Cash Fallbacks 1 Year + 2.2000%, 2.5310%, 1/26/65 (144A)‡

 

1,201,110

  

1,087,367

 
 

Angel Oak Mortgage Trust I LLC 2020-3,

      
 

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

 

938,210

  

854,869

 
 

Angel Oak Mortgage Trust I LLC 2024-3 A1, 4.8000%, 11/26/68 (144A)Ç

 

1,252,706

  

1,215,776

 
 

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

 

1,493,740

  

1,307,594

 
 

ARES CLO Ltd 2021-60A A,

      
 

CME Term SOFR 3 Month + 1.3816%, 6.6795%, 7/18/34 (144A)‡

 

1,486,000

  

1,486,688

 
 

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

 

891,116

  

877,044

 
 

Atalaya Equipment Leasing Fund I LP 2021-1A A2, 1.2300%, 5/15/26 (144A)

 

238,070

  

237,036

 
 

Babson CLO Ltd 2018-3A A1,

      
 

CME Term SOFR 3 Month + 1.2116%, 6.5294%, 7/20/29 (144A)‡

 

1,045,428

  

1,045,416

 
 

Babson CLO Ltd 2019-3A A1R,

      
 

CME Term SOFR 3 Month + 1.3316%, 6.6494%, 4/20/31 (144A)‡

 

6,351,000

  

6,353,941

 
 

BAMLL Commercial Mortgage Securities Trust 2024-FRR2 D,

      
 

1.2591%, 7/27/50 (144A)‡

 

821,000

  

648,564

 
 

BAMLL Commercial Mortgage Securities Trust 2024-FRR2 E,

      
 

1.2731%, 7/27/50 (144A)‡

 

1,774,000

  

1,268,149

 
 

Barclays Commercial Mortgage Securities LLC 2015-SRCH,

      
 

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

 

9,721,000

  

8,999,690

 
 

BPR Trust 2022-OANA A,

      
 

CME Term SOFR 1 Month + 1.8980%, 7.2233%, 4/15/37 (144A)‡

 

7,374,000

  

7,404,492

 
 

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

 

6,286,000

  

6,520,064

 
 

BX Commercial Mortgage Trust 2019-MMP C,

      
 

CME Term SOFR 1 Month + 1.4940%, 6.8190%, 8/15/36 (144A)‡

 

1,454,720

  

1,398,921

 
 

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

 

2,160,000

  

1,922,729

 
 

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

 

4,295,000

  

3,799,022

 
 

BX Commercial Mortgage Trust 2020-VKNG A,

      
 

CME Term SOFR 1 Month + 1.0445%, 6.3695%, 10/15/37 (144A)‡

 

1,012,642

  

1,010,343

 
 

BX Commercial Mortgage Trust 2021-LBA AJV,

      
 

CME Term SOFR 1 Month + 0.9145%, 6.2405%, 2/15/36 (144A)‡

 

5,348,000

  

5,327,938

 
 

BX Commercial Mortgage Trust 2021-LBA AV,

      
 

CME Term SOFR 1 Month + 0.9145%, 6.2405%, 2/15/36 (144A)‡

 

4,808,914

  

4,784,718

 
 

BX Commercial Mortgage Trust 2021-VINO A,

      
 

CME Term SOFR 1 Month + 0.7668%, 6.0918%, 5/15/38 (144A)‡

 

1,113,335

  

1,104,610

 
 

BX Commercial Mortgage Trust 2021-VOLT B,

      
 

CME Term SOFR 1 Month + 1.0645%, 6.3898%, 9/15/36 (144A)‡

 

6,188,000

  

6,118,514

 
 

BX Commercial Mortgage Trust 2021-VOLT D,

      
 

CME Term SOFR 1 Month + 1.7645%, 7.0898%, 9/15/36 (144A)‡

 

6,499,000

  

6,407,393

 
 

BX Commercial Mortgage Trust 2022-FOX2 A2,

      
 

CME Term SOFR 1 Month + 0.7492%, 6.0745%, 4/15/39 (144A)‡

 

5,106,375

  

5,047,438

 
 

BX Commercial Mortgage Trust 2023-VLT2 A,

      
 

CME Term SOFR 1 Month + 2.2810%, 7.6063%, 6/15/40 (144A)‡

 

1,109,000

  

1,113,449

 
 

BX Commercial Mortgage Trust 2023-VLT2 B,

      
 

CME Term SOFR 1 Month + 3.1290%, 8.4543%, 6/15/40 (144A)‡

 

2,466,000

  

2,473,315

 
 

BX Commercial Mortgage Trust 2023-VLT3 A,

      
 

CME Term SOFR 1 Month + 1.9400%, 7.2653%, 11/15/28 (144A)‡

 

5,526,864

  

5,526,812

 
 

BX Commercial Mortgage Trust 2023-VLT3 B,

      
 

CME Term SOFR 1 Month + 2.6890%, 8.0143%, 11/15/28 (144A)‡

 

4,740,391

  

4,734,475

 
 

CBAM CLO Management 2019-11RA A1,

      
 

CME Term SOFR 3 Month + 1.4416%, 6.7594%, 1/20/35 (144A)‡

 

7,300,000

  

7,300,913

 
 

CBAM CLO Management 2019-11RA B,

      
 

CME Term SOFR 3 Month + 2.0116%, 7.3294%, 1/20/35 (144A)‡

 

2,775,193

  

2,772,274

 
 

Cedar Funding Ltd 2019-11A A1R,

      
 

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

 

5,305,000

  

5,311,886

 
 

CENT Trust 2023-CITY A,

      

        

Shares or
Principal Amounts

  

Value

 

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

   
 

CME Term SOFR 1 Month + 2.6200%, 7.9453%, 9/15/38 (144A)‡

 

$6,425,000

  

$6,505,492

 
 

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

 

7,105,112

  

6,422,010

 
 

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

 

2,608,695

  

2,296,901

 
 

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

 

6,581,951

  

6,565,163

 
 

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

 

15,903,775

  

15,676,576

 
 

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

 

703,470

  

689,386

 
 

Chase Mortgage Finance Corp 2021-CL1 M1,

      
 

US 30 Day Average SOFR + 1.2000%, 6.5204%, 2/25/50 (144A)‡

 

2,934,887

  

2,915,995

 
 

CIFC Funding Ltd 2021-4A A,

      
 

CME Term SOFR 3 Month + 1.3116%, 6.6256%, 7/15/33 (144A)‡

 

5,567,595

  

5,570,479

 
 

CIFC Funding Ltd 2021-7A B,

      
 

CME Term SOFR 3 Month + 1.8616%, 7.1774%, 1/23/35 (144A)‡

 

2,232,376

  

2,232,293

 
 

CIM Trust 2021-NR1 A1, 5.5690%, 7/25/55 (144A)Ç

 

2,112,573

  

2,079,755

 
 

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

 

1,174,211

  

1,133,995

 
 

Cold Storage Trust 2020-ICE5 A,

      
 

CME Term SOFR 1 Month + 1.0145%, 6.3325%, 11/15/37 (144A)‡

 

10,993,766

  

10,971,822

 
 

Cold Storage Trust 2020-ICE5 B,

      
 

CME Term SOFR 1 Month + 1.4145%, 6.7325%, 11/15/37 (144A)‡

 

4,888,412

  

4,876,293

 
 

Cold Storage Trust 2020-ICE5 C,

      
 

CME Term SOFR 1 Month + 1.7645%, 7.0825%, 11/15/37 (144A)‡

 

4,906,106

  

4,893,674

 
 

COLT Funding LLC 2020-3,

      
 

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

 

277,320

  

263,315

 
 

Connecticut Avenue Securities Trust 2021-R02 2M2,

      
 

US 30 Day Average SOFR + 2.0000%, 7.3204%, 11/25/41 (144A)‡

 

8,533,255

  

8,581,971

 
 

Connecticut Avenue Securities Trust 2021-R03 1M1,

      
 

US 30 Day Average SOFR + 0.8500%, 6.1704%, 12/25/41 (144A)‡

 

1,713,309

  

1,708,831

 
 

Connecticut Avenue Securities Trust 2021-R03 1M2,

      
 

US 30 Day Average SOFR + 1.6500%, 6.9704%, 12/25/41 (144A)‡

 

3,943,000

  

3,945,795

 
 

Connecticut Avenue Securities Trust 2022-R01 1B1,

      
 

US 30 Day Average SOFR + 3.1500%, 8.4704%, 12/25/41 (144A)‡

 

6,109,000

  

6,276,231

 
 

Connecticut Avenue Securities Trust 2022-R03 1M1,

      
 

US 30 Day Average SOFR + 2.1000%, 7.4204%, 3/25/42 (144A)‡

 

2,940,012

  

2,981,775

 
 

Connecticut Avenue Securities Trust 2022-R05 2M1,

      
 

US 30 Day Average SOFR + 1.9000%, 7.2204%, 4/25/42 (144A)‡

 

430,851

  

433,210

 
 

Connecticut Avenue Securities Trust 2023-R03 2M1,

      
 

US 30 Day Average SOFR + 2.5000%, 7.8204%, 4/25/43 (144A)‡

 

3,382,741

  

3,436,027

 
 

Connecticut Avenue Securities Trust 2023-R06 1M1,

      
 

US 30 Day Average SOFR + 1.7000%, 7.0204%, 7/25/43 (144A)‡

 

3,687,694

  

3,710,546

 
 

Connecticut Avenue Securities Trust 2023-R07 2M1,

      
 

US 30 Day Average SOFR + 1.9500%, 7.2707%, 9/25/43 (144A)‡

 

1,656,638

  

1,667,507

 
 

Connecticut Avenue Securities Trust 2023-R08 1M1,

      
 

US 30 Day Average SOFR + 1.5000%, 6.8204%, 10/25/43 (144A)‡

 

3,284,651

  

3,298,580

 
 

Connecticut Avenue Securities Trust 2024-R01 1M1,

      
 

US 30 Day Average SOFR + 1.0500%, 6.3704%, 1/25/44 (144A)‡

 

2,963,584

  

2,963,919

 
 

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

 

1,199,278

  

1,196,416

 
 

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

      
 

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

 

3,031,926

  

3,066,859

 
 

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

 

1,236,414

  

1,246,164

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4,

      
 

CME Term SOFR 1 Month + 1.0270%, 6.3530%, 5/15/36 (144A)‡

 

9,165,198

  

9,162,626

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4 C,

      
 

CME Term SOFR 1 Month + 1.4770%, 6.8030%, 5/15/36 (144A)‡

 

5,155,175

  

5,150,452

 
 

Credit Suisse Commercial Mortgage Trust 2021-WEHO A,

      
 

CME Term SOFR 1 Month + 4.0838%, 9.4091%, 4/15/26 (144A)‡

 

4,651,023

  

4,579,177

 
 

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

 

6,288,000

  

6,164,882

 
 

CyrusOne Data Centers Issuer I LLC 2024-1A A2, 4.7600%, 3/22/49 (144A)

 

2,520,871

  

2,370,382

 
 

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

 

5,277,000

  

5,390,349

 
 

DC Commercial Mortgage Trust 2023-DC B, 6.8043%, 9/12/40 (144A)

 

5,000,717

  

5,091,622

 
 

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

 

7,083,000

  

6,320,189

 
 

Elmwood CLO VIII Ltd 2019-2A AR,

      
 

CME Term SOFR 3 Month + 1.4116%, 6.7294%, 4/20/34 (144A)‡

 

2,239,000

  

2,240,928

 
 

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

 

2,954,763

  

2,883,296

 
 

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

 

4,379,528

  

3,866,678

 
 

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

 

5,605,126

  

4,977,373

 
 

FIGRE Trust 2024-HE1 A, 6.1650%, 3/25/54 (144A)‡

 

3,232,000

  

3,239,936

 
 

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

 

13,209,340

  

10,979,777

 
 

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

 

1,439,749

  

1,390,911

 
 

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

      
 

US 30 Day Average SOFR + 2.3000%, 7.6204%, 8/25/33 (144A)‡

 

5,398,900

  

5,507,836

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA6 M1,

      
 

US 30 Day Average SOFR + 0.8000%, 6.1204%, 10/25/41 (144A)‡

 

2,048,722

  

2,045,506

 
 

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

      
 

US 30 Day Average SOFR + 2.2500%, 7.5704%, 8/25/33 (144A)‡

 

3,799,344

  

3,882,229

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA4 M2,

      

2

        

Shares or
Principal Amounts

  

Value

 

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

   
 

US 30 Day Average SOFR + 2.3500%, 7.6704%, 12/25/41 (144A)‡

 

$7,413,000

  

$7,434,543

 
 

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

      
 

US 30 Day Average SOFR + 2.1000%, 7.4204%, 3/25/42 (144A)‡

 

6,445,798

  

6,510,078

 
 

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

      
 

US 30 Day Average SOFR + 2.1000%, 7.4204%, 4/25/43 (144A)‡

 

1,842,659

  

1,875,936

 
 

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

      
 

US 30 Day Average SOFR + 2.0000%, 7.3204%, 6/25/43 (144A)‡

 

443,717

  

446,858

 
 

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

      
 

US 30 Day Average SOFR + 1.8500%, 7.1704%, 11/25/43 (144A)‡

 

2,922,269

  

2,949,426

 
 

FREMF Mortgage Trust 2017-K729 D, 0%, 11/25/49 (144A)◊

 

2,852,700

  

2,655,978

 
 

FREMF Mortgage Trust 2017-K729 X2A, 0.1000%, 11/25/49 (144A)¤

 

22,340,153

  

8,352

 
 

FREMF Mortgage Trust 2017-K729 X2B, 0.1000%, 11/25/49 (144A)¤

 

7,178,309

  

3,836

 
 

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

 

14,098,874

  

11,824,433

 
 

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

 

6,702,538

  

6,688,282

 
 

GCAT 2024-INV1 2A2, 6.5000%, 1/25/54 (144A)‡

 

6,933,363

  

6,988,301

 
 

Gracie Point International Funding 2024-1A A,

      
 

US 90 Day Average SOFR + 1.7000%, 7.0576%, 3/1/28 (144A)‡

 

1,985,000

  

1,990,119

 
 

Great Wolf Trust,

      
 

CME Term SOFR 1 Month + 1.3485%, 6.6735%, 12/15/36 (144A)‡

 

603,070

  

601,955

 
 

Great Wolf Trust,

      
 

CME Term SOFR 1 Month + 1.6485%, 6.9735%, 12/15/36 (144A)‡

 

1,762,518

  

1,755,595

 
 

Great Wolf Trust,

      
 

CME Term SOFR 1 Month + 1.9475%, 7.2725%, 12/15/36 (144A)‡

 

1,963,641

  

1,955,195

 
 

Highbridge Loan Management Ltd 2021-16A B,

      
 

CME Term SOFR 3 Month + 1.9616%, 7.2774%, 1/23/35 (144A)‡

 

2,113,425

  

2,111,242

 
 

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

 

1,475,000

  

1,377,128

 
 

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

 

1,656,174

  

1,605,441

 
 

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

 

3,206,082

  

3,175,985

 
 

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

      
 

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

 

6,185,000

  

6,031,922

 
 

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

      
 

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

 

4,370,000

  

4,186,183

 
 

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

 

402,394

  

399,071

 
 

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

 

2,315,750

  

2,304,437

 
 

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

 

2,493,212

  

2,444,785

 
 

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

 

2,001,393

  

2,013,464

 
 

Life Financial Services Trust 2021-BMR A,

      
 

CME Term SOFR 1 Month + 0.8145%, 6.1395%, 3/15/38 (144A)‡

 

11,607,894

  

11,479,946

 
 

Life Financial Services Trust 2021-BMR C,

      
 

CME Term SOFR 1 Month + 1.2145%, 6.5395%, 3/15/38 (144A)‡

 

6,486,620

  

6,387,076

 
 

Life Financial Services Trust 2022-BMR2 A1,

      
 

CME Term SOFR 1 Month + 1.2952%, 6.6206%, 5/15/39 (144A)‡

 

6,610,000

  

6,554,156

 
 

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

 

2,691,043

  

2,694,061

 
 

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

 

1,594,000

  

1,597,523

 
 

Madison Park Funding Ltd 2019-35A A1R,

      
 

CME Term SOFR 3 Month + 1.2516%, 6.5694%, 4/20/32 (144A)‡

 

7,174,000

  

7,173,964

 
 

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

 

1,710,000

  

1,720,427

 
 

MED Trust 2021-MDLN E,

      
 

CME Term SOFR 1 Month + 3.2645%, 8.5895%, 11/15/38 (144A)‡

 

8,277,275

  

8,233,260

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV2 A11,

      
 

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

 

4,124,768

  

3,816,930

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV3 A11,

      
 

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

 

5,162,314

  

4,777,562

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV4 A3,

      
 

2.5000%, 12/25/51 (144A)‡

 

3,938,766

  

3,235,001

 
 

Mello Mortgage Capital Acceptance Trust 2022-INV1 A2,

      
 

3.0000%, 3/25/52 (144A)‡

 

4,844,664

  

4,134,835

 
 

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

      
 

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

 

4,532,000

  

4,570,904

 
 

MHC Commercial Mortgage Trust 2021-MHC A,

      
 

CME Term SOFR 1 Month + 0.9154%, 6.2404%, 4/15/38 (144A)‡

 

8,794,244

  

8,752,000

 
 

MHC Commercial Mortgage Trust 2021-MHC C,

      
 

CME Term SOFR 1 Month + 1.4654%, 6.7904%, 4/15/38 (144A)‡

 

4,964,334

  

4,928,242

 
 

NCMF Trust 2022-MFP A,

      
 

CME Term SOFR 1 Month + 1.7420%, 7.0673%, 3/15/39 (144A)‡

 

3,015,000

  

3,003,865

 
 

New Residential Mortgage Loan Trust 2018-2,

      
 

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

 

1,793,775

  

1,718,715

 
 

NRTH PARK Mortgage Trust 2024-PARK A,

      
 

CME Term SOFR 1 Month + 1.6413%, 6.9413%, 3/15/41 (144A)‡

 

9,402,000

  

9,402,370

 
 

NRZ Excess Spread Collateralized Notes 2020-PLS1 A,

      
 

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

 

873,991

  

839,422

 
 

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

 

2,034,991

  

1,907,814

 
 

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

      
 

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

 

4,623,181

  

4,278,105

 

3

        

Shares or
Principal Amounts

  

Value

 

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

   
 

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

 

$492,061

  

$488,747

 
 

Oceanview Mortgage Trust 2021-4 A11,

      
 

US 30 Day Average SOFR + 0.8500%, 5.0000%, 10/25/51 (144A)‡

 

5,655,354

  

5,226,230

 
 

Oceanview Mortgage Trust 2021-5 AF,

      
 

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

 

5,424,568

  

5,015,153

 
 

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

 

5,664,936

  

4,747,463

 
 

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

 

11,133,953

  

9,304,159

 
 

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

 

4,411,657

  

3,484,292

 
 

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

 

11,168,137

  

9,362,311

 
 

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

 

4,735,660

  

3,908,302

 
 

OPEN Trust 2023-AIR A,

      
 

CME Term SOFR 1 Month + 3.0891%, 8.4144%, 10/15/28 (144A)‡

 

3,952,008

  

3,991,655

 
 

OPEN Trust 2023-AIR C,

      
 

CME Term SOFR 1 Month + 5.2359%, 10.5613%, 10/15/28 (144A)‡

 

1,483,144

  

1,490,542

 
 

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

 

610,264

  

603,536

 
 

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

 

7,075,067

  

7,130,414

 
 

Provident Funding Mortgage Trust 2021-INV1 A1, 2.5000%, 8/25/51 (144A)‡

 

4,740,062

  

3,839,130

 
 

PRP Advisors LLC 2020-4 A1, 5.6100%, 10/25/25 (144A)Ç

 

2,707,359

  

2,707,530

 
 

PRP Advisors LLC 2021-10 A1, 2.4870%, 10/25/26 (144A)Ç

 

4,857,800

  

4,686,409

 
 

PRP Advisors LLC 2021-9 A1, 2.3630%, 10/25/26 (144A)Ç

 

9,208,688

  

8,870,579

 
 

PRP Advisors LLC 2021-RPL2 A1, 1.4550%, 10/25/51 (144A)‡

 

5,779,659

  

5,185,758

 
 

PRP Advisors LLC 2022-2 A1, 5.0000%, 3/25/27 (144A)Ç

 

6,745,971

  

6,615,702

 
 

PRP Advisors LLC 2024-RCF2 A1, 0%, 3/25/54 (144A)Ç

 

1,660,000

  

1,579,955

 
 

Rad CLO Ltd 2023-21A A,

      
 

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

 

3,917,677

  

3,934,311

 
 

Regatta XXIII Funding Ltd 2021-4A B,

      
 

CME Term SOFR 3 Month + 1.9616%, 7.2794%, 1/20/35 (144A)‡

 

2,192,711

  

2,192,812

 
 

Saluda Grade Alternative Mortgage Trust 2023-FIG3 A,

      
 

7.0670%, 8/25/53 (144A)‡

 

8,543,970

  

8,760,943

 
 

Saluda Grade Alternative Mortgage Trust 2023-FIG4 A,

      
 

6.7180%, 11/25/53 (144A)‡

 

4,464,527

  

4,555,898

 
 

Saluda Grade Alternative Mortgage Trust 2023-SEQ3 A1,

      
 

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

 

1,906,516

  

1,919,899

 
 

Saluda Grade Alternative Mortgage Trust 2024-CES1 A1,

      
 

6.3060%, 3/25/54 (144A)‡

 

2,948,725

  

2,948,658

 
 

Saluda Grade Alternative Mortgage Trust 2024-RTL5 A1,

      
 

7.7620%, 4/25/30 (144A)Ç

 

4,628,000

  

4,631,223

 
 

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

 

393,401

  

386,581

 
 

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

 

2,490,820

  

2,477,024

 
 

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

 

507,528

  

438,155

 
 

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

 

409,655

  

353,226

 
 

Signal Peak CLO LLC 2022-12A A1, 6.8910%, 7/10/28 (144A)‡

 

9,142,000

  

9,644,228

 
 

SMRT 2022-MINI A, CME Term SOFR 1 Month + 1.0000%, 6.3260%, 1/15/39 (144A)‡

 

3,548,000

  

3,522,873

 
 

Sound Point CLO Ltd 2019-1A AR,

      
 

CME Term SOFR 3 Month + 1.3416%, 6.6594%, 1/20/32 (144A)‡

 

6,462,000

  

6,465,399

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A1,

      
 

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

 

706

  

706

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A2,

      
 

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

 

3,151

  

3,151

 
 

SREIT Trust 2021-MFP A,

      
 

CME Term SOFR 1 Month + 0.8453%, 6.1706%, 11/15/38 (144A)‡

 

780,800

  

776,850

 
 

Stack Infrastructure Issuer LLC 2024-1A A2, 5.9000%, 3/25/49 (144A)

 

3,155,000

  

3,161,832

 
 

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

 

1,705,000

  

1,688,927

 
 

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

 

4,402,712

  

4,747,154

 
 

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

 

935,045

  

941,814

 
 

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

 

2,674,571

  

2,714,060

 
 

TYSN 2023-CRNR Mortgage Trust 2023-CRNR A, 6.5797%, 12/10/33 (144A)‡

 

6,674,443

  

6,970,265

 
 

UNIFY Auto Receivables Trust 2021-1A A4, 0.9800%, 7/15/26 (144A)

 

1,744,749

  

1,721,729

 
 

United Wholesale Mortgage LLC 2021-INV1 A9,

      
 

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

 

4,895,962

  

4,519,430

 
 

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

 

2,995,850

  

2,423,561

 
 

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

 

41,078

  

40,970

 
 

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

 

1,419,852

  

1,407,250

 
 

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

 

1,102,184

  

1,099,843

 
 

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

 

6,324,000

  

5,925,515

 
 

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

 

4,083,000

  

3,593,735

 
 

VASA Trust 2021-VASA A,

      
 

CME Term SOFR 1 Month + 1.0145%, 6.3405%, 7/15/39 (144A)‡

 

3,768,000

  

3,456,702

 
 

VCAT Asset Securitization LLC 2021-NPL1 A1, 5.2891%, 12/26/50 (144A)Ç

 

450,409

  

446,638

 
 

VMC Finance LLC 2021-HT1 A,

      
 

CME Term SOFR 1 Month + 1.7645%, 7.0912%, 1/18/37 (144A)‡

 

2,331,897

  

2,302,990

 
 

WB Commercial Mortgage Trust 2024-HQ A, 6.1344%, 3/15/40 (144A)‡

 

4,389,000

  

4,412,483

 

4

        

Shares or
Principal Amounts

  

Value

 

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

   
 

Wells Fargo Commercial Mortgage Trust 2021-SAVE A,

      
 

CME Term SOFR 1 Month + 1.2645%, 6.5905%, 2/15/40 (144A)‡

 

$1,200,838

  

$1,191,380

 
 

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

 

1,193,884

  

1,142,978

 
 

Woodward Capital Management 2021-3 A21,

      
 

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

 

3,924,306

  

3,595,376

 
 

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

 

3,711,909

  

3,730,846

 
 

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

 

5,522,296

  

5,562,539

 
 

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

 

9,593,738

  

9,756,996

 
 

Woodward Capital Management 2024-CES1 A1A, 6.0250%, 2/25/44 (144A)‡

 

3,900,062

  

3,894,647

 
 

Woodward Capital Management 2024-CES2 A1A, 6.1410%, 4/25/44 (144A)‡

 

12,400,000

  

12,394,289

 

Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $757,409,888)

 

736,578,640

 

Corporate Bonds– 38.0%

   

Banking – 8.3%

   
 

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

 

2,498,000

  

2,584,070

 
 

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

 

13,116,000

  

13,603,523

 
 

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

 

8,517,000

  

8,526,692

 
 

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

 

4,155,000

  

4,136,033

 
 

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

 

6,616,000

  

7,204,658

 
 

Bank of Montreal,

      
 

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

 

5,173,000

  

4,226,191

 
 

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

 

4,430,000

  

4,101,977

 
 

BNP Paribas SA, SOFR + 1.5200%, 5.1760%, 1/9/30 (144A)‡

 

4,407,000

  

4,407,314

 
 

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

 

3,040,000

  

3,125,291

 
 

Capital One Financial Corp, SOFR + 1.9050%, 5.7000%, 2/1/30‡

 

1,489,000

  

1,501,712

 
 

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

 

6,014,000

  

6,642,434

 
 

Capital One Financial Corp, SOFR + 2.8600%, 6.3770%, 6/8/34‡

 

5,200,000

  

5,400,273

 
 

Citigroup Inc, SOFR + 2.0560%, 5.8270%, 2/13/35‡

 

10,090,000

  

9,988,960

 
 

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

 

4,099,000

  

4,092,843

 
 

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

 

916,000

  

912,372

 
 

Fifth Third Bancorp, SOFR + 2.3400%, 6.3390%, 7/27/29‡

 

4,463,000

  

4,600,777

 
 

Fifth Third Bancorp, SOFR + 1.8400%, 5.6310%, 1/29/32‡

 

1,687,000

  

1,688,727

 
 

JPMorgan Chase & Co, SOFR + 1.1900%, 5.0400%, 1/23/28‡

 

3,740,000

  

3,727,104

 
 

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

 

9,544,000

  

9,614,902

 
 

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

 

6,760,000

  

7,027,778

 
 

JPMorgan Chase & Co, SOFR + 1.3100%, 5.0120%, 1/23/30‡

 

2,967,000

  

2,954,847

 
 

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

 

4,058,000

  

4,335,537

 
 

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

 

3,293,000

  

3,282,243

 
 

Mitsubishi UFJ Financial Group Inc,

      
 

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

 

4,681,000

  

4,664,686

 
 

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

 

11,145,000

  

10,752,155

 
 

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

 

4,849,000

  

4,485,290

 
 

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

 

691,000

  

657,745

 
 

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

 

6,520,000

  

6,514,738

 
 

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

 

5,212,000

  

4,429,802

 
 

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

 

5,370,000

  

5,386,645

 
 

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

 

5,226,000

  

5,289,655

 
 

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

 

6,946,000

  

7,606,076

 
 

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

 

2,568,000

  

2,664,597

 
 

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

 

4,023,000

  

4,077,299

 
 

Truist Financial Corp, SOFR + 1.6200%, 5.4350%, 1/24/30‡

 

2,666,000

  

2,662,890

 
 

Truist Financial Corp, SOFR + 1.9220%, 5.7110%, 1/24/35‡

 

2,196,000

  

2,205,481

 
 

UBS Group AG,

      
 

US Treasury Yield Curve Rate 1 Year + 1.5200%, 5.4280%, 2/8/30 (144A)‡

 

5,065,000

  

5,072,507

 
 

UBS Group AG, 5.6990%, 2/8/35 (144A)

 

4,275,000

  

4,296,634

 
 

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

 

6,446,000

  

6,558,493

 
 

US Bancorp, SOFR + 1.5600%, 5.3840%, 1/23/30‡

 

5,725,000

  

5,750,288

 
 

US Bancorp, SOFR + 1.8600%, 5.6780%, 1/23/35‡

 

4,101,000

  

4,140,901

 
 

Wells Fargo & Co, SOFR + 1.5000%, 5.1980%, 1/23/30‡

 

8,122,000

  

8,104,879

 
 

Wells Fargo & Co, SOFR + 1.7800%, 5.4990%, 1/23/35‡

 

2,606,000

  

2,612,135

 
  

215,619,154

 

Basic Industry – 0.5%

   
 

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

 

2,939,000

  

3,044,682

 
 

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

 

2,911,000

  

3,018,562

 
 

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

 

7,368,000

  

7,749,802

 
  

13,813,046

 

Brokerage – 1.4%

   
 

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

 

8,566,000

  

8,936,009

 
 

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

 

9,291,000

  

9,730,552

 
 

Nasdaq Inc, 5.3500%, 6/28/28

 

1,472,000

  

1,490,993

 
 

Nasdaq Inc, 5.5500%, 2/15/34

 

9,845,000

  

10,011,067

 
 

Nasdaq Inc, 5.9500%, 8/15/53

 

4,648,000

  

4,898,098

 
 

Nasdaq Inc, 6.1000%, 6/28/63

 

1,974,000

  

2,104,860

 
  

37,171,579

 

5

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Capital Goods – 2.2%

   
 

BAE Systems PLC, 5.1250%, 3/26/29 (144A)

 

$2,597,000

  

$2,605,986

 
 

BAE Systems PLC, 5.2500%, 3/26/31 (144A)

 

974,000

  

977,992

 
 

BAE Systems PLC, 5.3000%, 3/26/34 (144A)

 

3,830,000

  

3,849,199

 
 

Berry Global Inc, 5.6500%, 1/15/34 (144A)

 

7,910,000

  

7,866,795

 
 

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

 

5,184,000

  

5,216,577

 
 

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

 

4,838,000

  

4,904,586

 
 

RTX Corp, 5.7500%, 1/15/29

 

2,726,000

  

2,820,646

 
 

RTX Corp, 6.0000%, 3/15/31

 

5,434,000

  

5,712,259

 
 

TransDigm Inc, 6.3750%, 3/1/29 (144A)

 

1,721,000

  

1,726,357

 
 

TransDigm Inc, 6.6250%, 3/1/32 (144A)

 

7,755,000

  

7,834,807

 
 

WESCO Distribution Inc, 6.3750%, 3/15/29 (144A)

 

3,245,000

  

3,278,362

 
 

WESCO Distribution Inc, 6.6250%, 3/15/32 (144A)

 

4,108,000

  

4,174,500

 
 

Westinghouse Air Brake Technologies Corp, 5.6110%, 3/11/34

 

5,482,000

  

5,552,911

 
  

56,520,977

 

Communications – 1.3%

   
 

American Tower Corp, 5.2000%, 2/15/29

 

2,908,000

  

2,906,586

 
 

American Tower Corp, 5.4500%, 2/15/34

 

4,652,000

  

4,659,582

 
 

Charter Communications Operating LLC / Charter Communications Operating Capital,

      
 

6.6500%, 2/1/34

 

19,071,000

  

19,548,625

 
 

T-Mobile USA Inc, 4.8500%, 1/15/29

 

4,260,000

  

4,228,445

 
 

T-Mobile USA Inc, 5.1500%, 4/15/34

 

3,645,000

  

3,632,795

 
  

34,976,033

 

Consumer Cyclical – 2.6%

   
 

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

 

15,628,000

  

16,038,708

 
 

CBRE Services Inc, 5.5000%, 4/1/29

 

3,468,000

  

3,488,939

 
 

Ford Motor Credit Co LLC, 5.8000%, 3/8/29

 

5,589,000

  

5,611,238

 
 

Ford Motor Credit Co LLC, 6.1250%, 3/8/34

 

4,363,000

  

4,387,112

 
 

Ford Motor Credit Co LLC, 7.3500%, 3/6/30

 

1,551,000

  

1,653,610

 
 

Ford Motor Credit Co LLC, 7.2000%, 6/10/30

 

1,525,000

  

1,618,588

 
 

Ford Motor Credit Co LLC, 7.1220%, 11/7/33

 

3,132,000

  

3,369,754

 
 

General Motors Financial Co Inc, 5.7500%, 2/8/31

 

3,729,000

  

3,769,426

 
 

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

 

603,000

  

592,920

 
 

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

 

4,234,000

  

4,462,441

 
 

LKQ Corp, 5.7500%, 6/15/28

 

6,722,000

  

6,840,870

 
 

LKQ Corp, 6.2500%, 6/15/33

 

6,323,000

  

6,583,762

 
 

Royal Caribbean Cruises Ltd, 6.2500%, 3/15/32 (144A)

 

10,268,000

  

10,349,733

 
  

68,767,101

 

Consumer Non-Cyclical – 6.2%

   
 

AbbVie Inc, 4.8000%, 3/15/29

 

4,590,000

  

4,596,734

 
 

AbbVie Inc, 4.9500%, 3/15/31

 

3,970,000

  

3,998,331

 
 

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

      
 

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

 

4,458,000

  

4,505,313

 
 

HCA Inc, 5.2000%, 6/1/28

 

3,494,000

  

3,503,886

 
 

HCA Inc, 5.4500%, 4/1/31

 

2,925,000

  

2,940,258

 
 

HCA Inc, 3.6250%, 3/15/32

 

8,110,000

  

7,179,271

 
 

HCA Inc, 5.6000%, 4/1/34

 

4,691,000

  

4,723,472

 
 

Illumina Inc, 5.7500%, 12/13/27

 

8,548,000

  

8,646,708

 
 

IQVIA Inc, 6.2500%, 2/1/29

 

6,329,000

  

6,571,559

 
 

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

 

9,007,000

  

8,876,539

 
 

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

 

3,897,000

  

3,334,410

 
 

Mattel Inc, 3.7500%, 4/1/29 (144A)

 

11,690,000

  

10,761,593

 
 

Nestle Capital Corp, 4.7500%, 3/12/31 (144A)

 

8,819,000

  

8,791,639

 
 

Nestle Capital Corp, 4.8750%, 3/12/34 (144A)

 

9,341,000

  

9,339,749

 
 

Polaris Inc, 6.9500%, 3/15/29

 

5,766,000

  

6,133,248

 
 

Smith & Nephew PLC, 5.4000%, 3/20/34

 

4,083,000

  

4,062,836

 
 

Solventum Corp, 5.4000%, 3/1/29 (144A)

 

5,668,000

  

5,679,425

 
 

Solventum Corp, 5.4500%, 3/13/31 (144A)

 

8,688,000

  

8,665,543

 
 

Solventum Corp, 5.6000%, 3/23/34 (144A)

 

11,452,000

  

11,489,452

 
 

Solventum Corp, 6.0000%, 5/15/64 (144A)

 

4,009,000

  

3,973,954

 
 

Sysco Corp, 5.7500%, 1/17/29

 

4,104,000

  

4,222,753

 
 

Sysco Corp, 6.0000%, 1/17/34

 

9,374,000

  

9,973,910

 
 

Tyson Foods Inc, 5.7000%, 3/15/34

 

7,175,000

  

7,269,636

 
 

Universal Health Services Inc, 2.6500%, 10/15/30

 

4,553,000

  

3,860,701

 
 

Universal Health Services Inc, 2.6500%, 1/15/32

 

10,445,000

  

8,545,197

 
  

161,646,117

 

Electric – 3.3%

   
 

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

 

6,736,000

  

6,838,738

 
 

CMS Energy Corp,

      
 

US Treasury Yield Curve Rate 5 Year + 4.1160%, 4.7500%, 6/1/50‡

 

8,111,000

  

7,470,304

 
 

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

 

4,804,000

  

4,693,337

 
 

Exelon Corp, 5.4500%, 3/15/34

 

4,987,000

  

5,020,545

 
 

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

 

3,459,000

  

3,424,452

 
 

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

 

5,466,000

  

5,389,335

 

6

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Electric– (continued)

   
 

Georgia Power Co, 5.2500%, 3/15/34

 

$4,073,000

  

$4,114,126

 
 

Liberty Utilities Co, 5.5770%, 1/31/29 (144A)

 

13,136,000

  

13,206,871

 
 

Liberty Utilities Co, 5.8690%, 1/31/34 (144A)

 

4,882,000

  

4,931,788

 
 

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

 

2,487,000

  

2,533,373

 
 

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

 

5,218,000

  

5,330,642

 
 

Southern California Edison Co, 5.8500%, 11/1/27

 

6,094,000

  

6,255,924

 
 

Southern Co, 5.7000%, 3/15/34

 

4,241,000

  

4,373,931

 
 

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

 

13,440,000

  

13,358,097

 
  

86,941,463

 

Energy – 2.5%

   
 

Cheniere Energy Inc, 5.6500%, 4/15/34 (144A)

 

6,008,000

  

6,050,902

 
 

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

 

1,590,000

  

1,631,294

 
 

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

 

3,823,000

  

3,960,800

 
 

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

 

771,000

  

827,354

 
 

DT Midstream Inc, 4.1250%, 6/15/29 (144A)

 

7,456,000

  

6,854,539

 
 

DT Midstream Inc, 4.3750%, 6/15/31 (144A)

 

4,330,000

  

3,921,351

 
 

DT Midstream Inc, 4.3000%, 4/15/32 (144A)

 

2,510,000

  

2,276,002

 
 

Enbridge Inc, 6.2000%, 11/15/30

 

1,339,000

  

1,418,577

 
 

Enbridge Inc, 5.7000%, 3/8/33

 

7,230,000

  

7,404,632

 
 

EQM Midstream Partners LP, 6.3750%, 4/1/29 (144A)

 

8,964,000

  

9,029,837

 
 

EQT Corp, 5.7000%, 4/1/28

 

2,135,000

  

2,154,930

 
 

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

 

3,041,000

  

2,942,671

 
 

Occidental Petroleum Corp, 8.8750%, 7/15/30

 

3,013,000

  

3,500,142

 
 

Occidental Petroleum Corp, 6.6250%, 9/1/30

 

2,150,000

  

2,278,355

 
 

Occidental Petroleum Corp, 6.1250%, 1/1/31

 

3,770,000

  

3,904,250

 
 

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

 

6,183,000

  

6,427,700

 
  

64,583,336

 

Finance Companies – 0.7%

   
 

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

 

4,159,000

  

4,336,176

 
 

Blackstone Private Credit Fund, 6.2500%, 1/25/31 (144A)

 

4,624,000

  

4,643,340

 
 

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

 

4,462,000

  

4,571,056

 
 

Macquarie Airfinance Holdings Ltd, 6.4000%, 3/26/29 (144A)

 

242,000

  

245,828

 
 

Macquarie Airfinance Holdings Ltd, 6.5000%, 3/26/31 (144A)

 

312,000

  

317,563

 
 

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

 

743,000

  

704,859

 
 

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

 

2,886,000

  

2,994,150

 
  

17,812,972

 

Government Sponsored – 0.3%

   
 

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

 

2,832,000

  

2,873,088

 
 

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

 

4,591,000

  

4,808,759

 
  

7,681,847

 

Insurance – 3.1%

   
 

Aon North America Inc, 5.3000%, 3/1/31

 

6,324,000

  

6,371,254

 
 

Aon North America Inc, 5.4500%, 3/1/34

 

12,946,000

  

13,095,433

 
 

Aon North America Inc, 5.7500%, 3/1/54

 

6,100,000

  

6,253,748

 
 

Arthur J Gallagher & Co, 6.5000%, 2/15/34

 

2,912,000

  

3,131,477

 
 

Arthur J Gallagher & Co, 5.4500%, 7/15/34

 

5,602,000

  

5,639,045

 
 

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

 

7,222,000

  

6,363,533

 
 

Centene Corp, 4.2500%, 12/15/27

 

16,614,000

  

15,841,106

 
 

Centene Corp, 2.4500%, 7/15/28

 

7,054,000

  

6,254,877

 
 

Centene Corp, 3.0000%, 10/15/30

 

5,571,000

  

4,776,558

 
 

Humana Inc, 5.3750%, 4/15/31

 

5,756,000

  

5,759,102

 
 

Humana Inc, 5.8750%, 3/1/33

 

1,492,000

  

1,539,656

 
 

Humana Inc, 5.9500%, 3/15/34

 

2,488,000

  

2,583,425

 
 

Humana Inc, 5.7500%, 4/15/54

 

3,814,000

  

3,838,850

 
  

81,448,064

 

Professional Services – 0.4%

   
 

Booz Allen Hamilton Inc, 5.9500%, 8/4/33

 

8,732,000

  

9,033,315

 

Real Estate Investment Trusts (REITs) – 1.3%

   
 

Agree LP, 2.9000%, 10/1/30

 

7,291,000

  

6,268,177

 
 

American Homes 4 Rent LP, 5.5000%, 2/1/34

 

10,558,000

  

10,526,228

 
 

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

 

10,515,000

  

10,572,685

 
 

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

 

8,985,000

  

7,399,121

 
  

34,766,211

 

Technology – 3.9%

   
 

Cadence Design Systems Inc, 4.3750%, 10/15/24

 

18,064,000

  

17,926,944

 
 

Constellation Software Inc/Canada, 5.1580%, 2/16/29 (144A)

 

1,766,000

  

1,764,123

 
 

Constellation Software Inc/Canada, 5.4610%, 2/16/34 (144A)

 

5,134,000

  

5,167,512

 
 

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

 

5,441,000

  

4,638,260

 
 

Fiserv Inc, 5.4500%, 3/2/28

 

5,618,000

  

5,683,669

 
 

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

 

15,431,000

  

15,454,263

 
 

Leidos Inc, 2.3000%, 2/15/31

 

1,276,000

  

1,054,698

 
 

Leidos Inc, 5.7500%, 3/15/33

 

4,301,000

  

4,409,202

 
 

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

 

5,742,000

  

5,340,650

 

7

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Technology– (continued)

   
 

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

 

$6,709,000

  

$6,620,330

 
 

Marvell Technology Inc, 5.7500%, 2/15/29

 

5,585,000

  

5,716,293

 
 

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

 

12,297,000

  

11,371,234

 
 

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

 

2,905,000

  

2,874,799

 
 

Trimble Inc, 4.7500%, 12/1/24

 

10,216,000

  

10,125,288

 
 

Trimble Inc, 4.9000%, 6/15/28

 

2,415,000

  

2,400,842

 
 

Trimble Inc, 6.1000%, 3/15/33

 

1,136,000

  

1,186,764

 
  

101,734,871

 

Total Corporate Bonds (cost $991,942,132)

 

992,516,086

 

Mortgage-Backed Securities– 30.0%

   

  Fannie Mae:

   
 

5.0000%, TBA, 30 Year Maturity

 

10,003,783

  

9,761,761

 
 

5.5000%, TBA, 30 Year Maturity

 

11,081,308

  

11,024,372

 
 

2.5000%, TBA, 30 Year Maturity

 

26,955,442

  

22,294,523

 
  

43,080,656

 

  Fannie Mae Pool:

   
 

3.0000%, 10/1/34

 

18,987

  

17,816

 
 

2.5000%, 11/1/34

 

1,782,864

  

1,638,623

 
 

3.0000%, 11/1/34

 

109,510

  

102,760

 
 

3.0000%, 12/1/34

 

105,333

  

98,833

 
 

2.5000%, 12/1/36

 

2,562,026

  

2,346,160

 
 

6.0000%, 2/1/37

 

601,274

  

627,863

 
 

4.5000%, 11/1/42

 

621,865

  

608,974

 
 

3.0000%, 1/1/43

 

126,070

  

112,923

 
 

3.0000%, 2/1/43

 

205,579

  

183,405

 
 

5.0000%, 7/1/44

 

3,113,222

  

3,104,796

 
 

4.5000%, 10/1/44

 

1,405,224

  

1,372,102

 
 

4.5000%, 3/1/45

 

2,221,622

  

2,169,257

 
 

4.0000%, 5/1/45

 

203,603

  

192,780

 
 

4.5000%, 6/1/45

 

1,106,801

  

1,078,910

 
 

4.5000%, 2/1/46

 

2,116,486

  

2,072,565

 
 

4.0000%, 10/1/47

 

1,104,863

  

1,040,501

 
 

4.0000%, 11/1/47

 

1,605,310

  

1,511,836

 
 

4.0000%, 1/1/48

 

895,036

  

842,897

 
 

3.0000%, 2/1/48

 

290,274

  

256,312

 
 

5.0000%, 5/1/48

 

530,258

  

526,159

 
 

4.5000%, 6/1/48

 

1,093,972

  

1,057,109

 
 

4.0000%, 7/1/48

 

1,339,899

  

1,259,588

 
 

4.0000%, 8/1/48

 

589,688

  

554,343

 
 

4.0000%, 9/1/48

 

1,429,654

  

1,346,372

 
 

4.0000%, 10/1/48

 

496,536

  

467,233

 
 

4.0000%, 11/1/48

 

1,572,696

  

1,478,432

 
 

4.0000%, 12/1/48

 

245,649

  

230,925

 
 

4.0000%, 2/1/49

 

935,576

  

879,499

 
 

3.5000%, 5/1/49

 

2,656,646

  

2,405,800

 
 

4.0000%, 6/1/49

 

200,058

  

187,845

 
 

4.5000%, 6/1/49

 

91,711

  

88,559

 
 

3.0000%, 8/1/49

 

1,443,976

  

1,246,912

 
 

3.0000%, 8/1/49

 

342,034

  

295,356

 
 

4.5000%, 8/1/49

 

137,463

  

132,739

 
 

3.0000%, 9/1/49

 

205,961

  

181,638

 
 

3.0000%, 9/1/49

 

11,847

  

10,332

 
 

4.0000%, 9/1/49

 

993,579

  

932,975

 
 

4.0000%, 11/1/49

 

3,296,552

  

3,098,963

 
 

4.0000%, 11/1/49

 

289,836

  

272,301

 
 

4.5000%, 1/1/50

 

2,621,121

  

2,532,798

 
 

4.5000%, 1/1/50

 

181,040

  

174,829

 
 

4.0000%, 3/1/50

 

4,839,345

  

4,553,751

 
 

4.0000%, 3/1/50

 

2,604,522

  

2,448,412

 
 

4.0000%, 3/1/50

 

1,001,789

  

941,744

 
 

4.0000%, 4/1/50

 

680,657

  

637,984

 
 

3.0000%, 7/1/50

 

19,737,554

  

17,176,249

 
 

3.0000%, 7/1/50

 

6,823,825

  

5,938,310

 
 

2.5000%, 8/1/50

 

768,002

  

648,569

 
 

4.0000%, 8/1/50

 

586,632

  

549,854

 
 

3.0000%, 9/1/50

 

929,846

  

808,605

 
 

4.0000%, 9/1/50

 

5,476,659

  

5,142,332

 
 

4.0000%, 10/1/50

 

5,282,986

  

4,963,369

 
 

4.5000%, 10/1/50

 

3,190,535

  

3,083,025

 
 

4.5000%, 12/1/50

 

4,538,354

  

4,382,654

 
 

3.5000%, 2/1/51

 

2,252,785

  

2,040,073

 
 

4.0000%, 3/1/51

 

13,575,239

  

12,746,528

 
 

4.0000%, 3/1/51

 

259,870

  

244,006

 

8

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Fannie Mae Pool– (continued)

   
 

4.0000%, 3/1/51

 

$131,114

  

$123,255

 
 

4.0000%, 8/1/51

 

2,426,350

  

2,280,919

 
 

4.0000%, 10/1/51

 

10,638,659

  

9,989,214

 
 

4.0000%, 10/1/51

 

1,903,501

  

1,787,300

 
 

3.0000%, 12/1/51

 

169,995

  

147,988

 
 

2.5000%, 1/1/52

 

4,877,013

  

4,094,329

 
 

3.5000%, 1/1/52

 

1,786,190

  

1,628,832

 
 

2.5000%, 2/1/52

 

23,293,203

  

19,540,569

 
 

2.5000%, 2/1/52

 

17,610,269

  

14,750,213

 
 

2.5000%, 2/1/52

 

7,966,186

  

6,630,902

 
 

3.5000%, 2/1/52

 

4,705,007

  

4,289,782

 
 

2.5000%, 3/1/52

 

9,836,527

  

8,250,256

 
 

2.5000%, 3/1/52

 

9,836,059

  

8,251,428

 
 

2.5000%, 3/1/52

 

7,388,054

  

6,176,716

 
 

2.5000%, 3/1/52

 

3,675,039

  

3,083,302

 
 

2.5000%, 3/1/52

 

820,847

  

688,474

 
 

2.5000%, 3/1/52

 

741,864

  

622,229

 
 

2.5000%, 3/1/52

 

694,085

  

582,265

 
 

2.5000%, 3/1/52

 

291,317

  

244,427

 
 

3.0000%, 3/1/52

 

3,807,504

  

3,318,635

 
 

3.0000%, 4/1/52

 

2,312,019

  

2,016,800

 
 

3.0000%, 4/1/52

 

1,977,283

  

1,723,255

 
 

3.0000%, 4/1/52

 

16,198

  

14,073

 
 

3.5000%, 4/1/52

 

2,762,271

  

2,514,121

 
 

3.5000%, 4/1/52

 

1,901,016

  

1,730,825

 
 

3.5000%, 4/1/52

 

1,488,389

  

1,355,476

 
 

3.5000%, 4/1/52

 

898,331

  

817,629

 
 

3.5000%, 4/1/52

 

504,154

  

459,208

 
 

3.5000%, 4/1/52

 

454,719

  

414,113

 
 

4.0000%, 4/1/52

 

1,990,286

  

1,862,215

 
 

4.5000%, 4/1/52

 

391,367

  

373,583

 
 

4.5000%, 4/1/52

 

331,195

  

316,145

 
 

4.5000%, 4/1/52

 

189,869

  

181,189

 
 

4.5000%, 4/1/52

 

172,447

  

164,563

 
 

4.5000%, 4/1/52

 

150,723

  

143,832

 
 

4.5000%, 4/1/52

 

97,057

  

92,621

 
 

2.5000%, 5/1/52

 

16,263,303

  

13,610,621

 
 

3.5000%, 5/1/52

 

1,398,923

  

1,273,033

 
 

4.5000%, 5/1/52

 

525,551

  

501,523

 
 

3.0000%, 6/1/52

 

4,949,489

  

4,283,972

 
 

3.5000%, 6/1/52

 

8,260,980

  

7,517,571

 
 

3.5000%, 6/1/52

 

4,623,308

  

4,212,729

 
 

3.0000%, 7/1/52

 

3,670,628

  

3,182,550

 
 

3.5000%, 7/1/52

 

1,199,418

  

1,091,482

 
 

3.5000%, 7/1/52

 

411,274

  

374,687

 
 

4.5000%, 7/1/52

 

2,199,233

  

2,099,670

 
 

3.5000%, 8/1/52

 

760,064

  

691,548

 
 

5.0000%, 9/1/52

 

3,596,855

  

3,516,350

 
 

5.5000%, 9/1/52

 

9,811,553

  

9,812,365

 
 

5.0000%, 10/1/52

 

1,654,653

  

1,625,325

 
 

5.0000%, 10/1/52

 

727,796

  

714,896

 
 

5.0000%, 11/1/52

 

4,009,973

  

3,938,898

 
 

5.5000%, 11/1/52

 

3,572,980

  

3,598,235

 
 

5.0000%, 1/1/53

 

1,134,825

  

1,114,710

 
 

5.0000%, 1/1/53

 

367,786

  

361,267

 
 

6.0000%, 1/1/53

 

3,083,727

  

3,122,638

 
 

5.0000%, 2/1/53

 

466,903

  

458,626

 
 

5.0000%, 3/1/53

 

995,422

  

970,820

 
 

5.0000%, 3/1/53

 

268,706

  

263,746

 
 

5.5000%, 3/1/53

 

396,498

  

397,056

 
 

5.0000%, 4/1/53

 

1,262,178

  

1,230,984

 
 

5.0000%, 4/1/53

 

519,818

  

510,222

 
 

5.0000%, 4/1/53

 

305,755

  

298,198

 
 

5.0000%, 4/1/53

 

260,658

  

254,216

 
 

5.5000%, 4/1/53

 

189,572

  

189,797

 
 

5.0000%, 5/1/53

 

264,812

  

259,924

 
 

5.5000%, 5/1/53

 

350,814

  

351,190

 
 

5.5000%, 5/1/53

 

182,748

  

182,944

 
 

5.0000%, 6/1/53

 

965,615

  

957,373

 
 

5.0000%, 6/1/53

 

380,795

  

372,960

 
 

5.0000%, 6/1/53

 

322,750

  

316,792

 
 

5.5000%, 6/1/53

 

9,501,752

  

9,560,198

 
 

5.5000%, 6/1/53

 

150,371

  

151,212

 
 

4.5000%, 7/1/53

 

2,127,224

  

2,057,599

 

9

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Fannie Mae Pool– (continued)

   
 

5.0000%, 7/1/53

 

$3,448,802

  

$3,418,764

 
 

5.0000%, 7/1/53

 

755,900

  

750,569

 
 

5.5000%, 7/1/53

 

27,284,046

  

27,129,540

 
 

5.5000%, 7/1/53

 

431,378

  

431,744

 
 

5.5000%, 7/1/53

 

259,508

  

260,862

 
 

4.5000%, 8/1/53

 

1,402,452

  

1,356,549

 
 

5.0000%, 8/1/53

 

4,922,394

  

4,883,643

 
 

5.0000%, 8/1/53

 

324,723

  

318,967

 
 

5.0000%, 9/1/53

 

1,114,858

  

1,105,148

 
 

5.5000%, 9/1/53

 

7,717,402

  

7,756,241

 
 

6.0000%, 9/1/53

 

5,737,653

  

5,810,071

 
 

5.5000%, 11/1/53

 

2,286,762

  

2,322,848

 
 

5.0000%, 12/1/53

 

396,031

  

392,914

 
 

6.0000%, 1/1/54

 

2,471,212

  

2,502,403

 
 

5.0000%, 3/1/54

 

5,256,791

  

5,139,264

 
 

5.5000%, 3/1/54

 

4,178,648

  

4,244,422

 
 

3.5000%, 8/1/56

 

16,330,936

  

14,547,459

 
 

3.0000%, 2/1/57

 

9,369,997

  

8,035,903

 
 

3.0000%, 6/1/57

 

34,608

  

29,645

 
 

2.5000%, 3/1/62

 

16,089,961

  

12,788,046

 
  

404,359,097

 

  Freddie Mac Gold Pool:

   
 

4.0000%, 8/1/48

 

705,479

  

664,030

 
 

4.0000%, 9/1/48

 

453,635

  

426,988

 
  

1,091,018

 

  Freddie Mac Pool:

   
 

3.0000%, 5/1/31

 

6,441,047

  

6,150,067

 
 

3.0000%, 9/1/32

 

220,249

  

208,397

 
 

3.0000%, 10/1/32

 

270,716

  

255,813

 
 

3.0000%, 1/1/33

 

149,041

  

140,855

 
 

2.5000%, 12/1/33

 

5,461,876

  

5,142,788

 
 

3.0000%, 10/1/34

 

48,283

  

45,303

 
 

3.0000%, 10/1/34

 

23,133

  

21,707

 
 

2.5000%, 11/1/34

 

1,879,870

  

1,727,781

 
 

2.5000%, 11/1/34

 

639,109

  

587,402

 
 

2.5000%, 6/1/37

 

7,192,182

  

6,561,528

 
 

6.0000%, 4/1/40

 

1,000,477

  

1,044,857

 
 

4.5000%, 5/1/44

 

967,408

  

943,030

 
 

3.0000%, 1/1/46

 

85,526

  

76,572

 
 

4.0000%, 2/1/46

 

2,714,736

  

2,561,735

 
 

4.0000%, 3/1/47

 

6,649

  

6,288

 
 

4.0000%, 4/1/48

 

113,406

  

106,609

 
 

4.5000%, 7/1/48

 

667,134

  

644,654

 
 

5.0000%, 9/1/48

 

116,359

  

115,339

 
 

4.0000%, 11/1/48

 

141,000

  

132,549

 
 

4.0000%, 12/1/48

 

1,724,782

  

1,621,359

 
 

4.5000%, 6/1/49

 

110,783

  

106,974

 
 

4.0000%, 7/1/49

 

1,306,171

  

1,226,501

 
 

4.5000%, 7/1/49

 

901,914

  

870,902

 
 

4.5000%, 7/1/49

 

141,105

  

136,257

 
 

3.0000%, 8/1/49

 

443,957

  

383,369

 
 

4.5000%, 8/1/49

 

830,155

  

801,610

 
 

3.0000%, 12/1/49

 

659,134

  

574,851

 
 

3.0000%, 12/1/49

 

303,313

  

264,529

 
 

4.5000%, 1/1/50

 

562,087

  

542,759

 
 

4.5000%, 1/1/50

 

154,553

  

149,251

 
 

4.0000%, 3/1/50

 

1,663,678

  

1,563,960

 
 

4.0000%, 6/1/50

 

2,761,447

  

2,600,763

 
 

2.5000%, 8/1/50

 

385,129

  

325,356

 
 

2.5000%, 8/1/50

 

148,287

  

125,226

 
 

2.5000%, 9/1/50

 

713,782

  

602,559

 
 

4.5000%, 9/1/50

 

4,913,247

  

4,747,688

 
 

4.0000%, 10/1/50

 

433,143

  

406,701

 
 

4.5000%, 10/1/50

 

2,661,702

  

2,570,386

 
 

4.0000%, 11/1/50

 

2,996,619

  

2,813,689

 
 

2.5000%, 9/1/51

 

9,340,866

  

7,820,188

 
 

2.5000%, 10/1/51

 

11,770,264

  

9,844,074

 
 

2.5000%, 11/1/51

 

6,068,865

  

5,104,313

 
 

2.5000%, 1/1/52

 

1,470,704

  

1,234,714

 
 

2.5000%, 1/1/52

 

916,962

  

769,542

 
 

2.5000%, 2/1/52

 

2,204,272

  

1,849,154

 
 

3.0000%, 2/1/52

 

1,050,261

  

915,493

 
 

3.0000%, 2/1/52

 

695,737

  

607,006

 
 

2.5000%, 3/1/52

 

9,442,261

  

7,885,333

 

10

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Freddie Mac Pool– (continued)

   
 

2.5000%, 3/1/52

 

$358,867

  

$300,995

 
 

3.0000%, 3/1/52

 

1,289,385

  

1,124,844

 
 

4.5000%, 3/1/52

 

81,534

  

77,829

 
 

3.5000%, 4/1/52

 

1,920,078

  

1,750,925

 
 

3.5000%, 4/1/52

 

1,017,463

  

926,058

 
 

3.5000%, 4/1/52

 

991,491

  

902,420

 
 

3.5000%, 4/1/52

 

313,549

  

285,549

 
 

3.5000%, 4/1/52

 

296,478

  

270,240

 
 

2.5000%, 5/1/52

 

3,949,870

  

3,305,928

 
 

3.0000%, 6/1/52

 

11,438,100

  

9,979,348

 
 

4.5000%, 8/1/52

 

7,412,001

  

7,075,561

 
 

5.5000%, 9/1/52

 

2,204,067

  

2,217,465

 
 

5.0000%, 10/1/52

 

5,003,036

  

4,914,360

 
 

5.0000%, 10/1/52

 

3,256,401

  

3,198,683

 
 

5.0000%, 10/1/52

 

100,276

  

98,499

 
 

5.5000%, 10/1/52

 

125,931

  

126,845

 
 

5.0000%, 1/1/53

 

211,933

  

208,177

 
 

5.0000%, 1/1/53

 

183,925

  

180,665

 
 

6.0000%, 1/1/53

 

4,667,843

  

4,713,702

 
 

6.0000%, 1/1/53

 

1,512,277

  

1,531,359

 
 

5.0000%, 3/1/53

 

1,574,626

  

1,535,709

 
 

5.0000%, 3/1/53

 

777,379

  

763,028

 
 

5.0000%, 3/1/53

 

752,174

  

738,288

 
 

5.0000%, 3/1/53

 

292,170

  

284,949

 
 

5.0000%, 4/1/53

 

930,552

  

911,405

 
 

5.0000%, 5/1/53

 

4,597,988

  

4,503,378

 
 

5.0000%, 5/1/53

 

1,924,073

  

1,884,483

 
 

5.0000%, 5/1/53

 

1,088,808

  

1,066,404

 
 

5.0000%, 5/1/53

 

207,366

  

203,538

 
 

5.5000%, 5/1/53

 

1,885,827

  

1,889,843

 
 

5.5000%, 5/1/53

 

786,002

  

786,844

 
 

5.0000%, 6/1/53

 

1,505,628

  

1,474,648

 
 

5.0000%, 6/1/53

 

727,413

  

709,424

 
 

5.0000%, 6/1/53

 

714,624

  

696,939

 
 

5.0000%, 6/1/53

 

698,385

  

681,125

 
 

5.0000%, 6/1/53

 

569,447

  

555,365

 
 

5.0000%, 6/1/53

 

431,507

  

420,842

 
 

5.0000%, 6/1/53

 

402,853

  

392,897

 
 

5.0000%, 6/1/53

 

270,489

  

263,795

 
 

5.5000%, 6/1/53

 

1,801,410

  

1,803,341

 
 

5.5000%, 6/1/53

 

688,762

  

684,862

 
 

5.5000%, 6/1/53

 

567,017

  

563,806

 
 

5.5000%, 6/1/53

 

544,444

  

541,361

 
 

5.5000%, 6/1/53

 

439,590

  

437,093

 
 

5.0000%, 7/1/53

 

2,765,308

  

2,702,150

 
 

5.0000%, 7/1/53

 

1,294,523

  

1,283,248

 
 

5.0000%, 7/1/53

 

914,013

  

906,211

 
 

5.0000%, 7/1/53

 

869,708

  

848,213

 
 

5.5000%, 7/1/53

 

1,940,364

  

1,942,010

 
 

5.5000%, 7/1/53

 

1,339,854

  

1,332,267

 
 

5.5000%, 7/1/53

 

1,247,681

  

1,248,739

 
 

5.0000%, 8/1/53

 

13,052,338

  

12,949,586

 
 

5.0000%, 9/1/53

 

272,143

  

269,306

 
 

5.5000%, 9/1/53

 

1,650,411

  

1,672,103

 
 

6.0000%, 9/1/53

 

12,761,788

  

13,039,788

 
 

6.0000%, 10/1/53

 

7,174,891

  

7,266,093

 
 

6.5000%, 11/1/53

 

5,083,931

  

5,243,017

 
 

5.5000%, 4/1/54

 

1,118,833

  

1,136,641

 
  

203,759,972

 

  Ginnie Mae:

   
 

5.0000%, TBA, 30 Year Maturity

 

4,526,907

  

4,448,736

 
 

4.5000%, TBA, 30 Year Maturity

 

9,618,566

  

9,240,133

 
 

2.5000%, TBA, 30 Year Maturity

 

27,828,765

  

23,711,750

 
 

4.0000%, TBA, 30 Year Maturity

 

11,354,740

  

10,628,820

 
  

48,029,439

 

  Ginnie Mae I Pool:

   
 

4.0000%, 8/15/47

 

427,070

  

404,667

 
 

4.0000%, 11/15/47

 

381,750

  

360,732

 
 

4.0000%, 12/15/47

 

1,190,572

  

1,125,024

 
  

1,890,423

 

  Ginnie Mae II Pool:

   
 

3.0000%, 11/20/46

 

10,026,142

  

8,972,427

 
 

4.0000%, 8/20/47

 

289,782

  

274,774

 

11

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

  Ginnie Mae II Pool– (continued)

   
 

4.0000%, 8/20/47

 

$110,576

  

$104,849

 
 

4.5000%, 2/20/48

 

1,329,000

  

1,292,494

 
 

4.0000%, 5/20/48

 

5,600,111

  

5,295,495

 
 

4.5000%, 5/20/48

 

481,872

  

468,523

 
 

4.0000%, 6/20/48

 

1,582,706

  

1,496,615

 
 

5.0000%, 8/20/48

 

1,524,040

  

1,519,468

 
 

3.5000%, 5/20/49

 

13,293,087

  

12,207,000

 
 

2.5000%, 3/20/51

 

12,660,510

  

10,806,970

 
 

3.0000%, 4/20/51

 

4,452,932

  

3,937,052

 
 

3.0000%, 7/20/51

 

6,719,616

  

5,930,085

 
 

3.0000%, 8/20/51

 

19,264,243

  

17,014,574

 
 

2.5000%, 1/20/52

 

13,297,438

  

11,161,709

 
  

80,482,035

 

Total Mortgage-Backed Securities (cost $812,209,401)

 

782,692,640

 

United States Treasury Notes/Bonds– 2.0%

   
 

4.2500%, 2/28/29

 

28,695,000

  

28,843,859

 
 

4.0000%, 2/15/34

 

14,325,200

  

14,087,939

 
 

4.5000%, 2/15/44#

 

7,552,000

  

7,593,300

 

Total United States Treasury Notes/Bonds (cost $50,436,775)

 

50,525,098

 

Investment Companies– 5.7%

   

Money Markets – 5.7%

   
 

Janus Henderson Cash Liquidity Fund LLC, 5.3830%ºº,£((cost $148,328,361)

 

148,311,936

  

148,341,599

 

Investments Purchased with Cash Collateral from Securities Lending– 0.4%

   

Investment Companies – 0.3%

   
 

Janus Henderson Cash Collateral Fund LLC, 5.2800%ºº,£

 

7,983,248

  

7,983,248

 

Time Deposits – 0.1%

   
 

Royal Bank of Canada, 5.3100%, 4/1/24

 

$1,995,812

  

1,995,812

 

Total Investments Purchased with Cash Collateral from Securities Lending (cost $9,979,060)

 

9,979,060

 

Total Investments (total cost $2,770,305,617) – 104.3%

 

2,720,633,123

 

Liabilities, net of Cash, Receivables and Other Assets – (4.3)%

 

(111,165,622)

 

Net Assets – 100%

 

$2,609,467,501

 
      

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

 
    

% of

 
    

Investment

 

Country

 

Value

 

Securities

 

United States

 

$2,647,839,107

 

97.3

%

Canada

 

19,981,035

 

0.7

 

United Kingdom

 

19,923,419

 

0.7

 

France

 

16,191,138

 

0.6

 

Switzerland

 

9,369,141

 

0.4

 

Japan

 

7,329,283

 

0.3

 
      
      

Total

 

$2,720,633,123

 

100.0

%

 

12

Schedules of Affiliated Investments – (% of Net Assets)

           
 

Dividend

Income

Realized

Gain/(Loss)

Change in

Unrealized

Appreciation/

Depreciation

Value

at 3/31/24

Investment Companies - 5.7%

Money Markets - 5.7%

 
 

Janus Henderson Cash Liquidity Fund LLC, 5.3830%ºº

$

8,369,856

$

11,595

$

(11,920)

$

148,341,599

Investments Purchased with Cash Collateral from Securities Lending - 0.3%

Investment Companies - 0.3%

 
 

Janus Henderson Cash Collateral Fund LLC, 5.2800%ºº

 

329,417∆

 

-

 

-

 

7,983,248

Total Affiliated Investments - 6.0%

$

8,699,273

$

11,595

$

(11,920)

$

156,324,847

           
 

Value

at 6/30/23

Purchases

Sales Proceeds

Value

at 3/31/24

Investment Companies - 5.7%

Money Markets - 5.7%

 
 

Janus Henderson Cash Liquidity Fund LLC, 5.3830%ºº

 

251,620,828

 

999,221,065

 

(1,102,499,969)

 

148,341,599

Investments Purchased with Cash Collateral from Securities Lending - 0.3%

Investment Companies - 0.3%

 
 

Janus Henderson Cash Collateral Fund LLC, 5.2800%ºº

 

678,968

 

324,464,756

 

(317,160,476)

 

7,983,248

Schedule of Futures

               

Description

 

Number of

Contracts

 

Expiration

Date

 

Notional

Amount

 

Value and

Unrealized

Appreciation/(Depreciation)

  

Futures Long:

          

10 Year US Treasury Note

 

60

 

6/28/24

$

6,647,813

$

39,844

 

2 Year US Treasury Note

 

2,273

 

7/3/24

 

464,792,987

 

(142,063)

 

5 Year US Treasury Note

 

5,228

 

7/3/24

 

559,477,688

 

1,581,417

 

Ultra Long Term US Treasury Bond

 

608

 

6/28/24

 

78,432,000

 

1,108,396

 

US Treasury Long Bond

 

2,203

 

6/28/24

 

265,323,813

 

3,860,219

 

Total - Futures Long

       

6,447,813

 

Futures Short:

          

Ultra 10-Year Treasury Note

 

2,007

 

6/28/24

 

(230,021,016)

 

(1,541,232)

 

Total

      

$

4,906,581

  
  

Average Ending Monthly Value of Derivative Instruments During the Period Ended March 31, 2024

 

 

 

 

Futures contracts:

 

Average notional amount of contracts - long

$1,387,123,290

Average notional amount of contracts - short

176,798,623

 

 

 

 

 

 

 

 

13

Notes to Schedule of Investments (unaudited)

  

IBOR

Interbank Offered Rate

LLC

Limited Liability Company

LP

Limited Partnership

PLC

Public Limited Company

SOFR

Secured Overnight Financing Rate

TBA

(To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when specific mortgage pools are assigned.

  

144A

Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended March 31, 2024 is $991,116,333, which represents 38.0% of net assets.

  

‡

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.

  

£

The Fund may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control.

  

∆

Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties.

14

              

The following is a summary of the inputs that were used to value the Fund’s investments in securities and other financial instruments as of 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

$

-

$

736,578,640

$

-

Corporate Bonds

 

-

 

992,516,086

 

-

Mortgage-Backed Securities

 

-

 

782,692,640

 

-

United States Treasury Notes/Bonds

 

-

 

50,525,098

 

-

Investment Companies

 

-

 

148,341,599

 

-

Investments Purchased with Cash Collateral from Securities Lending

 

-

 

9,979,060

 

-

Total Investments in Securities

$

-

$

2,720,633,123

$

-

Other Financial Instruments(a):

      

Futures Contracts

 

6,589,876

 

-

 

-

Total Assets

$

6,589,876

$

2,720,633,123

$

-

Liabilities

      

Other Financial Instruments(a):

      

Futures Contracts

$

1,683,295

$

-

$

-

       

(a)

Other financial instruments may include forward foreign currency exchange contracts, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts, futures contracts, and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Written options and written swaptions are reported at their market value at measurement date.

15

Investment Valuation

Fund holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The value of the securities of other mutual funds held by the Fund, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Fund, if any, will be calculated using the NAV of such funds.

Valuation Inputs Summary

FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:

Level 1 – Unadjusted quoted prices in active markets the Fund has the ability to access for identical assets or liabilities.

Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Fund’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.

Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

There have been no significant changes in valuation techniques used in valuing any such positions held by the Fund since the beginning of the fiscal period.

The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of March 31, 2024 to fair value the Fund’s investments in

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

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

      
      
      
   

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