NPORT-EX 2 nportex-63.htm

Janus Henderson VIT Balanced Portfolio

Schedule of Investments (unaudited)

March 31, 2021

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– 5.9%

   
 

208 Park Avenue Mortgage Trust 2017-280P,

      
 

ICE LIBOR USD 1 Month + 0.8800%, 0.9860%, 9/15/34 (144A)‡

 

$3,072,117

  

$3,072,968

 
 

Angel Oak Mortgage Trust I LLC 2018-2,

      
 

ICE LIBOR USD 12 Month + 0.7600%, 3.6740%, 7/27/48 (144A)‡

 

346,752

  

348,747

 
 

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

 

1,820,471

  

1,833,979

 
 

Angel Oak Mortgage Trust I LLC 2019-6,

      
 

ICE LIBOR USD 12 Month + 0.9500%, 2.6200%, 11/25/59 (144A)‡

 

1,757,510

  

1,772,602

 
 

Angel Oak Mortgage Trust I LLC 2020-3,

      
 

ICE LIBOR USD 12 Month + 1.0000%, 2.4100%, 4/25/65 (144A)‡

 

2,745,628

  

2,773,336

 
 

Arbys Funding LLC 2020-1A, 3.2370%, 7/30/50 (144A)

 

8,196,810

  

8,179,054

 
 

Arroyo Mortgage Trust 2018-1,

      
 

ICE LIBOR USD 12 Month + 0.8500%, 3.7630%, 4/25/48 (144A)‡

 

570,429

  

571,470

 
 

Bank 2018-BN12 A4, 4.2550%, 5/15/61‡

 

1,122,676

  

1,273,822

 
 

Bank 2019-BN17, 3.7140%, 4/15/52

 

2,498,288

  

2,750,767

 
 

Bank 2019-BN18, 3.5840%, 5/15/62

 

4,251,505

  

4,649,198

 
 

Bank 2019-BN20, 3.0110%, 9/15/62

 

2,044,338

  

2,144,632

 
 

Bank 2019-BN23, 2.9200%, 12/15/52

 

3,677,640

  

3,840,981

 
 

Bank 2019-BNK24, 2.9600%, 11/15/62

 

864,000

  

904,614

 
 

Barclays Comercial Mortgage Securities LLC 2015-SRCH,

      
 

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

 

2,528,000

  

2,822,173

 
 

Barclays Comercial Mortgage Securities LLC 2017-DELC,

      
 

ICE LIBOR USD 1 Month + 0.8500%, 0.9560%, 8/15/36 (144A)‡

 

2,087,000

  

2,085,744

 
 

Benchmark Mortgage Trust 2020-B16, 2.7320%, 2/15/53

 

2,207,000

  

2,272,529

 
 

BVRT Financing Trust, 1.8560%, 7/10/32‡

 

2,745,385

  

2,745,385

 
 

BVRT Financing Trust 2021-1F M1, 1.6100%, 7/1/33‡

 

2,614,000

  

2,614,000

 
 

BVRT Financing Trust 2021-CRT1 M2, 2.3560%, 1/10/33‡

 

3,439,000

  

3,439,000

 
 

BVRT Financing Trust 2021-CRT2 M1, 1.8560%, 11/10/32‡

 

5,489,819

  

5,489,819

 
 

BX Commercial Mortgage Trust 2018-IND,

      
 

ICE LIBOR USD 1 Month + 0.7500%, 0.8560%, 11/15/35 (144A)‡

 

1,865,872

  

1,865,676

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

ICE LIBOR USD 1 Month + 0.9200%, 1.0260%, 10/15/36 (144A)‡

 

4,208,788

  

4,212,618

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

ICE LIBOR USD 1 Month + 1.0800%, 1.1860%, 10/15/36 (144A)‡

 

682,811

  

683,060

 
 

BX Commercial Mortgage Trust 2020-FOX A,

      
 

ICE LIBOR USD 1 Month + 1.0000%, 1.1060%, 11/15/32 (144A)‡

 

7,131,000

  

7,141,912

 
 

BX Commercial Mortgage Trust 2020-FOX B,

      
 

ICE LIBOR USD 1 Month + 1.3500%, 1.4560%, 11/15/32 (144A)‡

 

1,260,000

  

1,262,265

 
 

BX Commercial Mortgage Trust 2020-FOX C,

      
 

ICE LIBOR USD 1 Month + 1.5500%, 1.6560%, 11/15/32 (144A)‡

 

1,149,000

  

1,151,475

 
 

BX Commercial Mortgage Trust 2021-LBA AJV,

      
 

ICE LIBOR USD 1 Month + 0.8000%, 0.9060%, 2/15/36 (144A)‡

 

4,525,000

  

4,523,911

 
 

BX Commercial Mortgage Trust 2021-LBA AV,

      
 

ICE LIBOR USD 1 Month + 0.8000%, 0.9060%, 2/15/36 (144A)‡

 

5,146,000

  

5,142,375

 
 

BX Trust 2019-OC11, 3.2020%, 12/9/41 (144A)

 

2,230,000

  

2,337,694

 
 

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

 

1,121,000

  

1,196,560

 
 

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

 

2,229,000

  

2,351,398

 
 

BX Trust 2019-OC11, 4.0755%, 12/9/41 (144A)‡

 

3,343,000

  

3,437,240

 
 

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

 

1,140,000

  

1,226,905

 
 

CarMax Auto Owner Trust 2017-3, 2.7200%, 5/15/23

 

2,701,000

  

2,724,355

 
 

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

 

4,652,000

  

4,635,015

 
 

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

 

1,757,000

  

1,751,721

 
 

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

 

2,398,000

  

2,395,414

 
 

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

 

4,652,205

  

4,650,565

 
 

Cold Storage Trust 2020-ICE5 A,

      
 

ICE LIBOR USD 1 Month + 0.9000%, 1.0060%, 11/15/37 (144A)‡

 

6,622,407

  

6,627,655

 
 

Cold Storage Trust 2020-ICE5 B,

      
 

ICE LIBOR USD 1 Month + 1.3000%, 1.4060%, 11/15/37 (144A)‡

 

2,944,057

  

2,947,405

 
 

Cold Storage Trust 2020-ICE5 C,

      
 

ICE LIBOR USD 1 Month + 1.6500%, 1.7560%, 11/15/37 (144A)‡

 

2,955,853

  

2,958,571

 
 

COLT Funding LLC 2020-2,

      
 

ICE LIBOR USD 12 Month + 1.5000%, 1.8530%, 3/25/65 (144A)‡

 

1,513,318

  

1,529,927

 
 

COLT Funding LLC 2020-3,

      
 

ICE LIBOR USD 12 Month + 1.2000%, 1.5060%, 4/27/65 (144A)‡

 

1,585,967

  

1,587,292

 
 

Connecticut Avenue Securities Trust 2014-C04,

      
 

ICE LIBOR USD 1 Month + 4.9000%, 5.0086%, 11/25/24‡

 

377,385

  

381,739

 
 

Connecticut Avenue Securities Trust 2016-C03,

      
 

ICE LIBOR USD 1 Month + 5.9000%, 6.0086%, 10/25/28‡

 

639,855

  

675,926

 
 

Connecticut Avenue Securities Trust 2016-C04,

      
 

ICE LIBOR USD 1 Month + 4.2500%, 4.3586%, 1/25/29‡

 

1,583,510

  

1,647,647

 

        

Shares or
Principal Amounts

  

Value

 

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

   
 

Connecticut Avenue Securities Trust 2016-C06 1M2,

      
 

ICE LIBOR USD 1 Month + 4.2500%, 4.3586%, 4/25/29‡

 

$1,978,097

  

$2,050,304

 
 

Connecticut Avenue Securities Trust 2017-C01,

      
 

ICE LIBOR USD 1 Month + 3.5500%, 3.6586%, 7/25/29‡

 

2,149,658

  

2,205,807

 
 

Connecticut Avenue Securities Trust 2017-C04 2M2C,

      
 

ICE LIBOR USD 1 Month + 2.8500%, 2.9586%, 11/25/29‡

 

4,094,000

  

4,115,707

 
 

Connecticut Avenue Securities Trust 2017-C06 1M2,

      
 

ICE LIBOR USD 1 Month + 2.6500%, 2.7586%, 2/25/30‡

 

1,650,657

  

1,663,999

 
 

Connecticut Avenue Securities Trust 2018-C01 1M2C,

      
 

ICE LIBOR USD 1 Month + 2.2500%, 2.3586%, 7/25/30‡

 

2,636,859

  

2,611,427

 
 

Connecticut Avenue Securities Trust 2018-C05,

      
 

ICE LIBOR USD 1 Month + 2.3500%, 2.4586%, 1/25/31‡

 

2,674,048

  

2,671,792

 
 

Connecticut Avenue Securities Trust 2018-R07,

      
 

ICE LIBOR USD 1 Month + 2.4000%, 2.5086%, 4/25/31 (144A)‡

 

2,840,447

  

2,844,357

 
 

Connecticut Avenue Securities Trust 2019-R02,

      
 

ICE LIBOR USD 1 Month + 2.3000%, 2.4086%, 8/25/31 (144A)‡

 

6,285,122

  

6,292,421

 
 

Connecticut Avenue Securities Trust 2019-R03,

      
 

ICE LIBOR USD 1 Month + 2.1500%, 2.2586%, 9/25/31 (144A)‡

 

2,319,005

  

2,324,300

 
 

Connecticut Avenue Securities Trust 2019-R04,

      
 

ICE LIBOR USD 1 Month + 2.1000%, 2.2086%, 6/25/39 (144A)‡

 

2,722,215

  

2,727,572

 
 

Connecticut Avenue Securities Trust 2019-R05,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.1086%, 7/25/39 (144A)‡

 

2,373,046

  

2,377,309

 
 

Connecticut Avenue Securities Trust 2019-R06,

      
 

ICE LIBOR USD 1 Month + 2.1000%, 2.2086%, 9/25/39 (144A)‡

 

2,810,117

  

2,812,778

 
 

Connecticut Avenue Securities Trust 2019-R07,

      
 

ICE LIBOR USD 1 Month + 2.1000%, 2.2086%, 10/25/39 (144A)‡

 

3,515,929

  

3,517,718

 
 

Connecticut Avenue Securities Trust 2020-R01,

      
 

ICE LIBOR USD 1 Month + 0.8000%, 0.9086%, 1/25/40 (144A)‡

 

94,630

  

94,630

 
 

Connecticut Avenue Securities Trust 2020-R01 1M2,

      
 

ICE LIBOR USD 1 Month + 2.0500%, 2.1586%, 1/25/40 (144A)‡

 

3,578,359

  

3,572,715

 
 

Connecticut Avenue Securities Trust 2020-R02,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.1086%, 1/25/40 (144A)‡

 

5,273,843

  

5,258,325

 
 

Cosmopolitan Hotel Trust 2017,

      
 

ICE LIBOR USD 1 Month + 0.9300%, 1.0360%, 11/15/36 (144A)‡

 

2,618,339

  

2,620,233

 
 

Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A)

 

1,172,000

  

1,182,394

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4,

      
 

ICE LIBOR USD 1 Month + 0.9800%, 1.0860%, 5/15/36 (144A)‡

 

7,812,000

  

7,815,644

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4 C,

      
 

ICE LIBOR USD 1 Month + 1.4300%, 1.5360%, 5/15/36 (144A)‡

 

1,486,000

  

1,486,625

 
 

Credit Suisse Commercial Mortgage Trust 2020-UNFI, 4.1682%, 12/6/22‡

 

2,312,000

  

2,309,216

 
 

DB Master Finance LLC 2019-1A A23, 4.3520%, 5/20/49 (144A)

 

1,292,320

  

1,385,385

 
 

DB Master Finance LLC 2019-1A A2I, 3.7870%, 5/20/49 (144A)

 

1,616,385

  

1,642,723

 
 

DB Master Finance LLC 2019-1A A2II, 4.0210%, 5/20/49 (144A)

 

1,017,505

  

1,069,469

 
 

Domino's Pizza Master Issuer LLC, 3.0820%, 7/25/47 (144A)

 

716,830

  

716,830

 
 

Domino's Pizza Master Issuer LLC, 4.1180%, 7/25/47 (144A)

 

913,740

  

973,357

 
 

Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A)

 

3,357,713

  

3,521,222

 
 

Domino's Pizza Master Issuer LLC, 4.3280%, 7/25/48 (144A)

 

2,020,493

  

2,165,431

 
 

Domino's Pizza Master Issuer LLC, 3.6680%, 10/25/49 (144A)

 

6,453,810

  

6,741,393

 
 

Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24

 

2,997,000

  

3,076,489

 
 

Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24

 

2,613,000

  

2,701,905

 
 

Drive Auto Receivables Trust 2017-3, 3.5300%, 12/15/23 (144A)

 

343,092

  

347,156

 
 

Drive Auto Receivables Trust 2017-A, 4.1600%, 5/15/24 (144A)

 

651,373

  

655,417

 
 

Drive Auto Receivables Trust 2018-4, 3.6600%, 11/15/24

 

282,251

  

283,498

 
 

Exeter Automobile Receivables Trust 2021-1A C, 0.7400%, 1/15/26

 

965,000

  

960,091

 
 

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

 

3,089,000

  

3,061,387

 
 

Fannie Mae Connecticut Avenue Securities,

      
 

ICE LIBOR USD 1 Month + 5.0000%, 5.1086%, 7/25/25‡

 

2,125,600

  

2,174,390

 
 

Fannie Mae Connecticut Avenue Securities,

      
 

ICE LIBOR USD 1 Month + 5.7000%, 5.8086%, 4/25/28‡

 

1,343,094

  

1,421,130

 
 

Fannie Mae Connecticut Avenue Securities,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.1086%, 3/25/31‡

 

3,598,231

  

3,582,100

 
 

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

 

3,828,913

  

4,068,308

 
 

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

 

5,618,966

  

5,945,951

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3,

      
 

ICE LIBOR USD 1 Month + 5.5500%, 5.6586%, 7/25/28‡

 

1,830,428

  

1,921,357

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA2 M2,

      
 

ICE LIBOR USD 1 Month + 2.1500%, 2.2586%, 12/25/30 (144A)‡

 

2,919,000

  

2,911,672

 
 

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

      
 

ICE LIBOR USD 1 Month + 1.9500%, 2.0586%, 10/25/49 (144A)‡

 

979,110

  

977,528

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA1 M2,

      
 

ICE LIBOR USD 1 Month + 1.7000%, 1.8086%, 1/25/50 (144A)‡

 

3,898,089

  

3,881,982

 
 

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

      
 

US 30 Day Average SOFR + 2.0000%, 2.0167%, 12/25/50 (144A)‡

 

4,640,000

  

4,619,730

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2,

      
 

ICE LIBOR USD 1 Month + 3.1500%, 3.2586%, 9/25/50 (144A)‡

 

2,441,000

  

2,458,860

 

2

        

Shares or
Principal Amounts

  

Value

 

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

   
 

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

      
 

US 30 Day Average SOFR + 2.6000%, 2.6167%, 11/25/50 (144A)‡

 

$7,495,000

  

$7,527,783

 
 

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

      
 

US 30 Day Average SOFR + 2.3000%, 2.3167%, 8/25/33 (144A)‡

 

3,047,000

  

3,048,221

 
 

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

      
 

US 30 Day Average SOFR + 2.2500%, 2.2667%, 8/25/33 (144A)‡

 

3,831,000

  

3,792,614

 
 

Great Wolf Trust,

      
 

ICE LIBOR USD 1 Month + 1.0340%, 1.1400%, 12/15/36 (144A)‡

 

1,067,000

  

1,066,668

 
 

Great Wolf Trust,

      
 

ICE LIBOR USD 1 Month + 1.3340%, 1.4400%, 12/15/36 (144A)‡

 

1,195,000

  

1,188,607

 
 

Great Wolf Trust,

      
 

ICE LIBOR USD 1 Month + 1.6330%, 1.7390%, 12/15/36 (144A)‡

 

1,332,000

  

1,319,117

 
 

GS Mortgage Securities Trust 2018-GS10, 4.1550%, 7/10/51‡

 

1,603,823

  

1,809,431

 
 

GS Mortgage Securities Trust 2018-GS9, 3.9920%, 3/10/51‡

 

2,669,380

  

2,985,747

 
 

GS Mortgage Securities Trust 2020-GC45, 2.9106%, 2/13/53

 

2,189,000

  

2,287,132

 
 

GS Mortgage Securities Trust 2020-GC47, 2.3772%, 5/12/53

 

3,112,000

  

3,118,481

 
 

Jack in the Box Funding LLC 2019-1A A23, 4.9700%, 8/25/49 (144A)

 

3,528,338

  

3,772,477

 
 

Jack in the Box Funding LLC 2019-1A A2I, 3.9820%, 8/25/49 (144A)

 

3,528,338

  

3,615,578

 
 

Jack in the Box Funding LLC 2019-1A A2II, 4.4760%, 8/25/49 (144A)

 

4,962,500

  

5,180,070

 
 

Life Financial Services Trust 2021-BMR A,

      
 

ICE LIBOR USD 1 Month + 0.7000%, 0.8060%, 3/15/38 (144A)‡

 

8,608,000

  

8,611,296

 
 

Life Financial Services Trust 2021-BMR C,

      
 

ICE LIBOR USD 1 Month + 1.1000%, 1.2060%, 3/15/38 (144A)‡

 

4,272,000

  

4,274,222

 
 

Mercury Financial Credit Card Master Trust 2021-1A A,

      
 

1.5400%, 3/20/26 (144A)

 

3,873,000

  

3,869,512

 
 

Morgan Stanley Capital I Trust 2016-UB11, 2.7820%, 8/15/49

 

2,782,000

  

2,922,099

 
 

Morgan Stanley Capital I Trust 2019-H6, 3.4170%, 6/15/52

 

1,423,916

  

1,534,672

 
 

Morgan Stanley Capital I Trust 2015-UBS8, 3.8090%, 12/15/48

 

2,221,000

  

2,430,613

 
 

Morgan Stanley Capital I Trust 2018-H3, 4.1770%, 7/15/51

 

2,249,599

  

2,541,112

 
 

Morgan Stanley Capital I Trust 2018-H4, 4.3100%, 12/15/51

 

3,365,443

  

3,825,792

 
 

New Residential Mortgage Loan Trust 2018-2,

      
 

ICE LIBOR USD 6 Month + 0.6800%, 4.5000%, 2/25/58 (144A)‡

 

776,002

  

832,619

 
 

Newday Funding Master Issuer PLC 2021-1A A2,

      
 

SOFR + 1.1000%, 1.1500%, 3/15/29 (144A)‡

 

3,636,000

  

3,649,915

 
 

NRZ Excess Spread Collateralized Notes 2020-PLS1 A,

      
 

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

 

1,944,368

  

1,964,335

 
 

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

      
 

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

 

3,739,137

  

3,757,097

 
 

Oak Street Investment Grade Net Lease Fund 2020-1A A5,

      
 

3.3900%, 11/20/50 (144A)

 

5,424,000

  

5,536,225

 
 

OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A)

 

570,000

  

580,043

 
 

OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A)

 

566,000

  

576,573

 
 

Planet Fitness Master Issuer LLC 2018-1A, 4.2620%, 9/5/48 (144A)

 

2,659,800

  

2,708,127

 
 

Planet Fitness Master Issuer LLC 2019-1A, 3.8580%, 12/5/49 (144A)

 

3,364,413

  

3,173,871

 
 

Preston Ridge Partners Mortgage Trust 2020-1A, 2.9810%, 2/25/25 (144A)Ç

 

931,627

  

940,670

 
 

Preston Ridge Partners Mortgage Trust 2020-3, 2.8570%, 9/25/25 (144A)Ç

 

5,588,023

  

5,637,405

 
 

Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)Ç

 

3,560,105

  

3,576,426

 
 

Preston Ridge Partners Mortgage Trust 2020-5 A1, 3.1040%, 11/25/25 (144A)Ç

 

1,846,346

  

1,851,540

 
 

Santander Drive Auto Receivables Trust 2020-1 A2A, 2.0700%, 1/17/23

 

549,223

  

550,475

 
 

Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26

 

7,470,000

  

7,564,320

 
 

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

 

1,200,496

  

1,218,193

 
 

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

 

602,052

  

616,333

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A1,

      
 

ICE LIBOR USD 12 Month + 0.9500%, 2.5210%, 1/28/50 (144A)‡

 

511,436

  

517,241

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A2,

      
 

ICE LIBOR USD 12 Month + 1.0500%, 2.6240%, 1/28/50 (144A)‡

 

1,272,659

  

1,282,271

 
 

Spruce Hill Mortgage Loan Trust 2020-SH2, 3.4070%, 6/25/55 (144A)‡

 

4,153,487

  

4,194,356

 
 

Taco Bell Funding LLC 2016-1A A23, 4.9700%, 5/25/46 (144A)

 

2,258,025

  

2,436,086

 
 

Taco Bell Funding LLC 2018-1A A2I, 4.3180%, 11/25/48 (144A)

 

2,951,073

  

2,964,524

 
 

Taco Bell Funding LLC 2018-1A A2II, 4.9400%, 11/25/48 (144A)

 

2,172,983

  

2,351,498

 
 

United Auto Credit Securitization Trust 2019-1 C, 3.1600%, 8/12/24 (144A)

 

635,021

  

636,060

 
 

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

 

7,100,000

  

7,093,541

 
 

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

 

3,097,000

  

2,991,629

 
 

VCAT Asset Securitization LLC 2020-NPL1, 3.6710%, 8/25/50 (144A)Ç

 

1,913,085

  

1,944,546

 
 

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

 

1,814,058

  

1,813,007

 
 

Wells Fargo Commercial Mortgage Trust 2021-SAVE A,

      
 

ICE LIBOR USD 1 Month + 1.1500%, 1.2560%, 2/15/40 (144A)‡

 

2,510,000

  

2,516,312

 
 

Wendy's Funding LLC, 3.5730%, 3/15/48 (144A)

 

1,131,008

  

1,172,962

 
 

Wendy's Funding LLC, 3.8840%, 3/15/48 (144A)

 

323,145

  

339,193

 
 

Wendy's Funding LLC, 3.7830%, 6/15/49 (144A)

 

2,050,008

  

2,168,380

 
 

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

 

3,399,000

  

3,520,094

 
 

Wingstop Funding LLC 2020-1A A2, 2.8410%, 12/5/50 (144A)

 

3,624,000

  

3,660,143

 

Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $405,453,758)

 

409,508,429

 

3

        

Shares or
Principal Amounts

  

Value

 

Bank Loans and Mezzanine Loans– 0.2%

   

Basic Industry – 0.1%

   
 

Alpha 3 BV, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 3/18/28ƒ,‡

 

$4,325,000

  

$4,308,781

 

Consumer Non-Cyclical – 0.1%

   
 

Elanco Animal Health Inc, ICE LIBOR USD 1 Month + 1.7500%, 1.8651%, 8/1/27‡

 

9,209,597

  

9,081,307

 

Total Bank Loans and Mezzanine Loans (cost $13,513,070)

 

13,390,088

 

Corporate Bonds– 13.9%

   

Banking – 2.8%

   
 

Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡

 

7,355,000

  

8,044,863

 
 

Bank of America Corp, ICE LIBOR USD 3 Month + 1.0700%, 3.9700%, 3/5/29‡

 

3,294,000

  

3,629,545

 
 

Bank of America Corp, SOFR + 2.1500%, 2.5920%, 4/29/31‡

 

14,103,000

  

14,073,556

 
 

Bank of America Corp, ICE LIBOR USD 3 Month + 3.1350%, 5.2000%‡,µ

 

2,002,000

  

2,092,090

 
 

Bank of America Corp, ICE LIBOR USD 3 Month + 3.7050%, 6.2500%‡,µ

 

5,841,000

  

6,464,819

 
 

Bank of New York Mellon Corp,

      
 

US Treasury Yield Curve Rate 5 Year + 4.3580%, 4.7000%‡,µ

 

8,577,000

  

9,292,751

 
 

BNP Paribas SA, ICE LIBOR USD 3 Month + 2.2350%, 4.7050%, 1/10/25 (144A)‡

 

3,042,000

  

3,344,466

 
 

BNP Paribas SA, ICE LIBOR USD 3 Month + 1.1110%, 2.8190%, 11/19/25 (144A)‡

 

2,067,000

  

2,175,841

 
 

BNP Paribas SA,

      
 

US Treasury Yield Curve Rate 5 Year + 2.0500%, 2.5880%, 8/12/35 (144A)‡

 

7,787,000

  

7,323,681

 
 

Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28‡

 

9,899,000

  

10,880,814

 
 

Citigroup Inc, SOFR + 3.9140%, 4.4120%, 3/31/31‡

 

6,795,000

  

7,754,536

 
 

Citigroup Inc, ICE LIBOR USD 3 Month + 4.0680%, 5.9500%‡,µ

 

3,565,000

  

3,740,151

 
 

Citigroup Inc, ICE LIBOR USD 3 Month + 3.4660%, 5.3500%‡,µ

 

2,436,000

  

2,506,035

 
 

Citigroup Inc, ICE LIBOR USD 3 Month + 3.4230%, 6.3000%‡,µ

 

555,000

  

589,582

 
 

Citigroup Inc, ICE LIBOR USD 3 Month + 3.9050%, 5.9500%‡,µ

 

2,339,000

  

2,520,273

 
 

Citigroup Inc, SOFR + 3.8130%, 5.0000%‡,µ

 

3,727,000

  

3,839,928

 
 

Citizens Financial Group Inc, 2.6380%, 9/30/32 (144A)

 

3,680,000

  

3,523,601

 
 

Credit Agricole SA/London, SOFR + 1.6760%, 1.9070%, 6/16/26 (144A)‡

 

1,778,000

  

1,802,654

 
 

Credit Suisse Group AG,

      
 

US Treasury Yield Curve Rate 5 Year + 3.5540%, 4.5000% (144A)‡,µ

 

6,542,000

  

6,133,125

 
 

First Republic Bank/CA, 4.6250%, 2/13/47

 

1,653,000

  

1,968,081

 
 

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

 

10,761,000

  

11,658,603

 
 

Goldman Sachs Group Inc,

      
 

US Treasury Yield Curve Rate 5 Year + 3.2240%, 4.9500%‡,µ

 

1,666,000

  

1,762,295

 
 

HSBC Holdings PLC, SOFR + 1.5380%, 1.6450%, 4/18/26‡

 

3,742,000

  

3,744,296

 
 

HSBC Holdings PLC, SOFR + 1.2900%, 1.5890%, 5/24/27‡

 

7,498,000

  

7,378,933

 
 

JPMorgan Chase & Co, SOFR + 1.8500%, 2.0830%, 4/22/26‡

 

2,623,000

  

2,693,990

 
 

JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡

 

6,655,000

  

7,360,144

 
 

JPMorgan Chase & Co, SOFR + 2.5150%, 2.9560%, 5/13/31‡

 

13,078,000

  

13,319,830

 
 

JPMorgan Chase & Co, SOFR + 3.3800%, 5.0000%, 7/31/69‡

 

2,000,000

  

2,067,500

 
 

JPMorgan Chase & Co, SOFR + 3.1250%, 4.6000%, 1/23/70‡

 

2,111,000

  

2,134,749

 
 

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

 

6,824,000

  

7,050,777

 
 

Morgan Stanley, 4.3500%, 9/8/26

 

3,985,000

  

4,502,473

 
 

Morgan Stanley, 3.9500%, 4/23/27

 

6,273,000

  

6,941,546

 
 

Morgan Stanley, SOFR + 1.0340%, 1.7940%, 2/13/32‡

 

5,529,000

  

5,160,541

 
 

Natwest Group PLC,

      
 

US Treasury Yield Curve Rate 5 Year + 2.3500%, 3.0320%, 11/28/35‡

 

5,500,000

  

5,247,440

 
 

SVB Financial Group, 1.8000%, 2/2/31

 

2,878,000

  

2,653,566

 
 

SVB Financial Group,

      
 

US Treasury Yield Curve Rate 10 Year + 3.0640%, 4.1000%‡,µ

 

6,329,000

  

6,344,822

 
 

Westpac Banking Corp,

      
 

US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35‡

 

5,490,000

  

5,209,461

 
  

196,931,358

 

Basic Industry – 0.4%

   
 

Allegheny Technologies Inc, 5.8750%, 12/1/27

 

4,100,000

  

4,243,500

 
 

Axalta Coating Systems Ltd, 3.3750%, 2/15/29 (144A)

 

7,654,000

  

7,464,181

 
 

Constellium NV, 5.7500%, 5/15/24 (144A)

 

4,159,000

  

4,210,988

 
 

Element Solutions Inc, 3.8750%, 9/1/28 (144A)

 

5,787,000

  

5,710,322

 
 

Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A)

 

3,657,000

  

3,702,896

 
 

Reliance Steel & Aluminum Co, 4.5000%, 4/15/23

 

2,242,000

  

2,391,057

 
  

27,722,944

 

Brokerage – 0.3%

   
 

Charles Schwab Corp,

      
 

US Treasury Yield Curve Rate 5 Year + 4.9710%, 5.3750%‡,µ

 

15,360,000

  

16,967,731

 
 

Charles Schwab Corp,

      
 

US Treasury Yield Curve Rate 10 Year + 3.0790%, 4.0000%‡,µ

 

4,388,000

  

4,313,404

 
 

Raymond James Financial Inc, 5.6250%, 4/1/24

 

1,553,000

  

1,774,343

 
  

23,055,478

 

Capital Goods – 0.8%

   
 

Boeing Co, 4.5080%, 5/1/23

 

6,065,000

  

6,491,878

 
 

Boeing Co, 4.8750%, 5/1/25

 

1,957,000

  

2,179,018

 
 

Boeing Co, 2.1960%, 2/4/26

 

1,978,000

  

1,971,866

 
 

Boeing Co, 3.2500%, 2/1/28

 

2,110,000

  

2,182,500

 
 

Boeing Co, 3.6250%, 2/1/31

 

4,560,000

  

4,770,692

 

4

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Capital Goods– (continued)

   
 

Boeing Co, 3.6000%, 5/1/34

 

$5,168,000

  

$5,168,273

 
 

Boeing Co, 3.9500%, 8/1/59

 

2,752,000

  

2,645,527

 
 

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

 

2,033,000

  

2,243,509

 
 

General Electric Co, 6.7500%, 3/15/32

 

2,026,000

  

2,713,555

 
 

TransDigm Inc, 4.6250%, 1/15/29 (144A)

 

9,491,000

  

9,358,601

 
 

Wabtec Corp, 4.4000%, 3/15/24

 

3,516,000

  

3,822,792

 
 

Wabtec Corp, 3.4500%, 11/15/26

 

975,000

  

1,050,807

 
 

Wabtec Corp, 4.9500%, 9/15/28

 

3,028,000

  

3,449,987

 
 

Westinghouse Air Brake Technologies Corp, 3.2000%, 6/15/25

 

4,854,000

  

5,135,165

 
  

53,184,170

 

Communications – 1.8%

   
 

AT&T Inc, 3.5000%, 9/15/53 (144A)

 

1,680,000

  

1,552,548

 
 

AT&T Inc, 3.5500%, 9/15/55 (144A)

 

2,407,000

  

2,202,661

 
 

AT&T Inc, 3.8000%, 12/1/57 (144A)

 

3,657,000

  

3,479,221

 
 

AT&T Inc, 3.6500%, 9/15/59 (144A)

 

604,000

  

552,097

 
 

CCO Holdings LLC / CCO Holdings Capital Corp, 4.2500%, 2/1/31 (144A)

 

6,601,000

  

6,615,654

 
 

CCO Holdings LLC / CCO Holdings Capital Corp, 4.5000%, 5/1/32 (144A)

 

9,894,000

  

10,017,675

 
 

CenturyLink Inc, 6.4500%, 6/15/21

 

2,658,000

  

2,677,271

 
 

CenturyLink Inc, 5.8000%, 3/15/22

 

1,479,000

  

1,530,913

 
 

Charter Communications Operating LLC / Charter Communications Operating

      
 

Capital, 2.8000%, 4/1/31

 

4,500,000

  

4,440,997

 
 

Charter Communications Operating LLC / Charter Communications Operating

      
 

Capital, 6.4840%, 10/23/45

 

936,000

  

1,218,683

 
 

Charter Communications Operating LLC / Charter Communications Operating

      
 

Capital, 5.3750%, 5/1/47

 

1,778,000

  

2,063,906

 
 

Charter Communications Operating LLC / Charter Communications Operating

      
 

Capital, 4.8000%, 3/1/50

 

2,585,000

  

2,772,969

 
 

Charter Communications Operating LLC / Charter Communications Operating

      
 

Capital, 3.7000%, 4/1/51

 

2,337,000

  

2,185,806

 
 

Comcast Corp, 3.7500%, 4/1/40

 

1,775,000

  

1,947,538

 
 

Crown Castle International Corp, 3.6500%, 9/1/27

 

1,958,000

  

2,133,702

 
 

Crown Castle International Corp, 4.3000%, 2/15/29

 

1,204,000

  

1,349,578

 
 

Crown Castle International Corp, 3.1000%, 11/15/29

 

3,265,000

  

3,370,129

 
 

CSC Holdings LLC, 4.1250%, 12/1/30 (144A)

 

5,750,000

  

5,711,360

 
 

CSC Holdings LLC, 4.6250%, 12/1/30 (144A)

 

6,461,000

  

6,355,137

 
 

CSC Holdings LLC, 3.3750%, 2/15/31 (144A)

 

4,001,000

  

3,770,943

 
 

Fox Corp, 4.0300%, 1/25/24

 

2,592,000

  

2,815,491

 
 

GCI LLC, 4.7500%, 10/15/28 (144A)

 

9,592,000

  

9,819,810

 
 

Level 3 Financing Inc, 3.8750%, 11/15/29 (144A)

 

4,402,000

  

4,638,608

 
 

SBA Communications Corp, 3.1250%, 2/1/29 (144A)

 

5,651,000

  

5,431,459

 
 

Sirius XM Radio Inc, 4.1250%, 7/1/30 (144A)

 

6,938,000

  

6,945,979

 
 

T-Mobile USA Inc, 3.5000%, 4/15/25 (144A)

 

3,170,000

  

3,420,050

 
 

T-Mobile USA Inc, 2.2500%, 2/15/26

 

2,963,000

  

2,984,304

 
 

T-Mobile USA Inc, 3.7500%, 4/15/27 (144A)

 

4,405,000

  

4,815,370

 
 

T-Mobile USA Inc, 2.6250%, 2/15/29

 

7,441,000

  

7,225,509

 
 

T-Mobile USA Inc, 3.0000%, 2/15/41 (144A)

 

3,014,000

  

2,797,444

 
 

Verizon Communications Inc, 3.0000%, 3/22/27

 

2,200,000

  

2,354,050

 
 

Verizon Communications Inc, 2.1000%, 3/22/28

 

1,798,000

  

1,805,534

 
 

Verizon Communications Inc, 3.4000%, 3/22/41

 

2,155,000

  

2,187,724

 
 

Verizon Communications Inc, 4.8620%, 8/21/46

 

1,321,000

  

1,584,732

 
 

Verizon Communications Inc, 3.5500%, 3/22/51

 

3,036,000

  

3,031,740

 
  

127,806,592

 

Consumer Cyclical – 1.4%

   
 

1011778 BC ULC / New Red Finance Inc, 4.0000%, 10/15/30 (144A)

 

10,521,000

  

10,152,765

 
 

Booking Holdings Inc, 4.1000%, 4/13/25

 

11,477,000

  

12,788,545

 
 

Choice Hotels International Inc, 3.7000%, 12/1/29

 

4,189,000

  

4,389,904

 
 

Choice Hotels International Inc, 3.7000%, 1/15/31

 

1,267,000

  

1,332,174

 
 

Dollar General Corp, 4.1250%, 4/3/50

 

3,153,000

  

3,492,582

 
 

Experian Finance PLC, 2.7500%, 3/8/30 (144A)

 

5,895,000

  

5,986,849

 
 

Ford Motor Credit Co LLC, 3.3750%, 11/13/25

 

7,879,000

  

8,012,943

 
 

Ford Motor Credit Co LLC, 4.0000%, 11/13/30

 

3,134,000

  

3,108,897

 
 

General Motors Co, 4.2000%, 10/1/27

 

1,542,000

  

1,692,277

 
 

General Motors Co, 5.0000%, 10/1/28

 

4,428,000

  

5,074,524

 
 

General Motors Co, 5.4000%, 4/1/48

 

1,505,000

  

1,784,075

 
 

General Motors Financial Co Inc, 4.3500%, 4/9/25

 

2,570,000

  

2,818,826

 
 

General Motors Financial Co Inc, 4.3000%, 7/13/25

 

790,000

  

868,694

 
 

General Motors Financial Co Inc, 4.3500%, 1/17/27

 

2,216,000

  

2,460,888

 
 

GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25

 

1,284,000

  

1,439,467

 
 

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

 

2,597,000

  

2,916,041

 
 

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

 

344,000

  

385,607

 
 

GLP Capital LP / GLP Financing II Inc, 4.0000%, 1/15/30

 

4,670,000

  

4,857,967

 
 

GoDaddy Operating Co LLC / GD Finance Co Inc, 3.5000%, 3/1/29 (144A)

 

7,625,000

  

7,491,562

 
 

IHS Markit Ltd, 5.0000%, 11/1/22 (144A)

 

1,475,000

  

1,553,731

 

5

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Consumer Cyclical– (continued)

   
 

IHS Markit Ltd, 4.7500%, 2/15/25 (144A)

 

$2,588,000

  

$2,897,784

 
 

MDC Holdings Inc, 5.5000%, 1/15/24

 

2,249,000

  

2,479,523

 
 

MGM Resorts International, 7.7500%, 3/15/22

 

544,000

  

573,050

 
 

Nordstrom Inc, 4.3750%, 4/1/30

 

3,998,000

  

4,092,897

 
 

Service Corp International/US, 3.3750%, 8/15/30

 

2,052,000

  

2,002,855

 
 

Yum! Brands Inc, 4.6250%, 1/31/32

 

5,533,000

  

5,643,688

 
  

100,298,115

 

Consumer Non-Cyclical – 2.0%

   
 

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc,

      
 

4.9000%, 2/1/46

 

4,540,000

  

5,423,229

 
 

Anheuser-Busch InBev Worldwide Inc, 4.3500%, 6/1/40

 

3,603,000

  

4,073,530

 
 

Aramark Services Inc, 6.3750%, 5/1/25 (144A)

 

7,110,000

  

7,536,600

 
 

Avantor Funding Inc, 4.6250%, 7/15/28 (144A)

 

3,985,000

  

4,161,775

 
 

Catalent Pharma Solutions Inc, 3.1250%, 2/15/29 (144A)

 

1,325,000

  

1,272,000

 
 

Coca-Cola Femsa SAB de CV, 2.7500%, 1/22/30

 

2,607,000

  

2,617,845

 
 

CVS Health Corp, 5.0500%, 3/25/48

 

2,563,000

  

3,146,441

 
 

CVS Health Corp, 4.2500%, 4/1/50

 

1,209,000

  

1,357,107

 
 

DaVita Inc, 4.6250%, 6/1/30 (144A)

 

4,493,000

  

4,577,738

 
 

DaVita Inc, 3.7500%, 2/15/31 (144A)

 

6,903,000

  

6,583,598

 
 

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

 

3,173,000

  

3,202,462

 
 

Diageo Capital PLC, 2.0000%, 4/29/30

 

2,989,000

  

2,922,472

 
 

Diageo Capital PLC, 2.1250%, 4/29/32

 

2,398,000

  

2,315,560

 
 

Elanco Animal Health Inc, 5.2720%, 8/28/23

 

5,460,000

  

5,876,325

 
 

Hasbro Inc, 3.9000%, 11/19/29

 

8,515,000

  

9,157,546

 
 

Hasbro Inc, 6.3500%, 3/15/40

 

922,000

  

1,178,229

 
 

Hasbro Inc, 5.1000%, 5/15/44

 

1,990,000

  

2,213,578

 
 

HCA Inc, 4.7500%, 5/1/23

 

3,958,000

  

4,266,100

 
 

HCA Inc, 5.3750%, 2/1/25

 

2,189,000

  

2,441,862

 
 

HCA Inc, 5.8750%, 2/15/26

 

1,152,000

  

1,320,480

 
 

HCA Inc, 5.3750%, 9/1/26

 

883,000

  

995,583

 
 

HCA Inc, 5.6250%, 9/1/28

 

2,351,000

  

2,703,650

 
 

HCA Inc, 5.8750%, 2/1/29

 

1,902,000

  

2,215,830

 
 

HCA Inc, 3.5000%, 9/1/30

 

9,956,000

  

10,040,325

 
 

HCA Inc, 5.5000%, 6/15/47

 

1,035,000

  

1,287,327

 
 

HCA Inc, 5.2500%, 6/15/49

 

1,552,000

  

1,899,134

 
 

JBS USA LUX SA / JBS USA Finance Inc, 6.7500%, 2/15/28 (144A)

 

2,573,000

  

2,817,435

 
 

JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc,

      
 

6.5000%, 4/15/29 (144A)

 

5,393,000

  

6,091,393

 
 

JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc,

      
 

5.5000%, 1/15/30 (144A)

 

5,277,000

  

5,840,293

 
 

Kraft Heinz Foods Co, 5.0000%, 6/4/42

 

2,892,000

  

3,254,661

 
 

Kraft Heinz Foods Co, 4.3750%, 6/1/46

 

833,000

  

870,792

 
 

Kraft Heinz Foods Co, 4.8750%, 10/1/49

 

1,946,000

  

2,182,658

 
 

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

 

720,000

  

735,075

 
 

Pilgrim's Pride Corp, 4.2500%, 4/15/31 (144A)

 

8,793,000

  

8,759,850

 
 

Royalty Pharma PLC, 1.7500%, 9/2/27 (144A)

 

2,033,000

  

1,974,226

 
 

Royalty Pharma PLC, 3.5500%, 9/2/50 (144A)

 

3,923,000

  

3,738,422

 
 

Sysco Corp, 2.5000%, 7/15/21

 

629,000

  

631,555

 
 

Sysco Corp, 6.6000%, 4/1/40

 

3,303,000

  

4,607,788

 
 

Sysco Corp, 6.6000%, 4/1/50

 

1,572,000

  

2,270,551

 
  

138,561,025

 

Electric – 0.5%

   
 

Ameren Corp, 3.5000%, 1/15/31

 

4,387,000

  

4,655,710

 
 

Dominion Energy Inc, 3.3750%, 4/1/30

 

5,928,000

  

6,311,657

 
 

East Ohio Gas Co/The, 2.0000%, 6/15/30 (144A)

 

648,000

  

623,493

 
 

NextEra Energy Capital Holdings Inc, 2.7500%, 5/1/25

 

2,601,000

  

2,748,591

 
 

NRG Energy Inc, 7.2500%, 5/15/26

 

4,447,000

  

4,624,880

 
 

NRG Energy Inc, 6.6250%, 1/15/27

 

4,756,000

  

4,946,240

 
 

NRG Energy Inc, 3.3750%, 2/15/29 (144A)

 

4,783,000

  

4,669,404

 
 

NRG Energy Inc, 3.6250%, 2/15/31 (144A)

 

5,400,000

  

5,265,000

 
  

33,844,975

 

Energy – 0.7%

   
 

Cheniere Corpus Christi Holdings LLC, 3.7000%, 11/15/29

 

4,749,000

  

5,005,250

 
 

Cheniere Energy Inc, 4.6250%, 10/15/28 (144A)

 

10,717,000

  

11,130,033

 
 

Cheniere Energy Partners LP, 4.0000%, 3/1/31 (144A)

 

3,621,000

  

3,684,368

 
 

Continental Resources Inc, 5.7500%, 1/15/31 (144A)

 

5,520,000

  

6,236,827

 
 

Energy Transfer Operating LP, 5.8750%, 1/15/24

 

1,589,000

  

1,768,834

 
 

Energy Transfer Operating LP, 5.5000%, 6/1/27

 

1,185,000

  

1,366,574

 
 

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

 

184,000

  

205,907

 
 

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

 

6,466,000

  

6,537,126

 
 

Kinder Morgan Inc/DE, 4.3000%, 3/1/28

 

1,871,000

  

2,091,920

 
 

NGPL PipeCo LLC, 4.3750%, 8/15/22 (144A)

 

3,174,000

  

3,294,620

 
 

ONEOK Inc, 5.8500%, 1/15/26

 

1,593,000

  

1,864,869

 
 

ONEOK Inc, 6.3500%, 1/15/31

 

3,407,000

  

4,277,842

 

6

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Energy– (continued)

   
 

ONEOK Inc, 7.1500%, 1/15/51

 

$890,000

  

$1,199,986

 
  

48,664,156

 

Finance Companies – 0.2%

   
 

Quicken Loans LLC, 3.6250%, 3/1/29 (144A)

 

4,435,000

  

4,268,688

 
 

Quicken Loans LLC, 3.8750%, 3/1/31 (144A)

 

6,482,000

  

6,238,925

 
  

10,507,613

 

Financial Institutions – 0.1%

   
 

Jones Lang LaSalle Inc, 4.4000%, 11/15/22

 

2,938,000

  

3,076,560

 

Industrial Conglomerates – 0.1%

   
 

General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 3.5139%‡,µ

 

5,540,000

  

5,235,300

 

Information Technology Services – 0.1%

   
 

Booz Allen Hamilton Inc, 3.8750%, 9/1/28 (144A)

 

5,412,000

  

5,440,413

 

Insurance – 0.7%

   
 

Brown & Brown Inc, 4.5000%, 3/15/29

 

2,493,000

  

2,800,570

 
 

Brown & Brown Inc, 2.3750%, 3/15/31

 

955,000

  

918,156

 
 

Centene Corp, 5.3750%, 6/1/26 (144A)

 

6,910,000

  

7,225,787

 
 

Centene Corp, 4.2500%, 12/15/27

 

5,363,000

  

5,641,213

 
 

Centene Corp, 4.6250%, 12/15/29

 

8,060,000

  

8,723,378

 
 

Centene Corp, 3.3750%, 2/15/30

 

1,163,000

  

1,173,897

 
 

Centene Corp, 3.0000%, 10/15/30

 

2,372,000

  

2,368,062

 
 

Molina Healthcare Inc, 4.3750%, 6/15/28 (144A)

 

13,333,000

  

13,719,124

 
 

Prudential Financial Inc,

      
 

US Treasury Yield Curve Rate 5 Year + 3.0350%, 3.7000%, 10/1/50‡

 

7,720,000

  

7,806,464

 
  

50,376,651

 

Real Estate Investment Trusts (REITs) – 0.1%

   
 

Agree LP, 2.9000%, 10/1/30

 

2,058,000

  

2,072,775

 
 

MPT Operating Partnership LP/MPT Finance Corp, 3.5000%, 3/15/31

 

6,550,000

  

6,427,646

 
  

8,500,421

 

Technology – 1.9%

   
 

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

 

2,815,000

  

2,991,629

 
 

Broadcom Inc, 4.1500%, 11/15/30

 

5,187,000

  

5,598,641

 
 

Broadcom Inc, 4.3000%, 11/15/32

 

4,150,000

  

4,518,256

 
 

Broadcom Inc, 3.5000%, 2/15/41 (144A)

 

5,667,000

  

5,427,531

 
 

Broadcom Inc, 3.7500%, 2/15/51 (144A)

 

4,721,000

  

4,514,295

 
 

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

 

6,989,000

  

6,833,131

 
 

CrowdStrike Holdings Inc, 3.0000%, 2/15/29

 

5,565,000

  

5,440,900

 
 

Dell International LLC / EMC Corp, 5.8750%, 6/15/21 (144A)

 

2,422,000

  

2,425,028

 
 

Equifax Inc, 2.6000%, 12/15/25

 

4,708,000

  

4,935,384

 
 

Equinix Inc, 2.1500%, 7/15/30

 

2,665,000

  

2,533,725

 
 

Gartner Inc, 3.7500%, 10/1/30 (144A)

 

1,038,000

  

1,029,416

 
 

Global Payments Inc, 3.2000%, 8/15/29

 

1,143,000

  

1,203,821

 
 

Marvell Technology Group Ltd, 4.2000%, 6/22/23

 

1,361,000

  

1,456,251

 
 

Marvell Technology Group Ltd, 4.8750%, 6/22/28

 

4,065,000

  

4,659,714

 
 

Microchip Technology Inc, 2.6700%, 9/1/23 (144A)

 

6,452,000

  

6,719,320

 
 

Microchip Technology Inc, 4.2500%, 9/1/25 (144A)

 

5,055,000

  

5,281,199

 
 

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

 

422,000

  

434,010

 
 

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

 

7,118,000

  

7,237,938

 
 

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

 

6,019,000

  

6,146,904

 
 

PayPal Holdings Inc, 1.6500%, 6/1/25

 

2,243,000

  

2,284,279

 
 

Qorvo Inc, 3.3750%, 4/1/31 (144A)

 

5,951,000

  

5,831,325

 
 

Sensata Technologies Inc, 3.7500%, 2/15/31 (144A)

 

5,928,000

  

5,844,652

 
 

SK Hynix Inc, 1.5000%, 1/19/26 (144A)

 

4,696,000

  

4,621,240

 
 

SK Hynix Inc, 2.3750%, 1/19/31 (144A)

 

3,075,000

  

2,907,708

 
 

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

 

3,189,000

  

3,646,685

 
 

Trimble Inc, 4.7500%, 12/1/24

 

5,510,000

  

6,166,498

 
 

Trimble Inc, 4.9000%, 6/15/28

 

6,348,000

  

7,322,857

 
 

Twilio Inc, 3.6250%, 3/15/29

 

2,158,000

  

2,184,608

 
 

Twilio Inc, 3.8750%, 3/15/31

 

2,158,000

  

2,204,095

 
 

VMware Inc, 4.5000%, 5/15/25

 

5,017,000

  

5,595,669

 
 

VMware Inc, 4.6500%, 5/15/27

 

5,629,000

  

6,380,554

 
  

134,377,263

 

Total Corporate Bonds (cost $940,679,216)

 

967,583,034

 

Inflation-Indexed Bonds– 1.4%

   
 

United States Treasury Inflation Indexed Bonds, 0.6250%, 4/15/23ÇÇ

 

79,429,014

  

84,505,025

 
 

United States Treasury Inflation Indexed Bonds, 0.1250%, 1/15/31ÇÇ

 

15,964,211

  

17,183,768

 

Total Inflation-Indexed Bonds (cost $101,741,129)

 

101,688,793

 

Mortgage-Backed Securities– 5.2%

   

  Fannie Mae:

   
 

1.5000%, TBA, 15 Year Maturity

 

1,180,441

  

1,185,422

 
 

2.0000%, TBA, 15 Year Maturity

 

10,750,785

  

11,032,026

 
 

2.0000%, TBA, 30 Year Maturity

 

60,207,245

  

60,084,302

 
 

2.5000%, TBA, 15 Year Maturity

 

8,099,200

  

8,428,270

 
 

3.5000%, TBA, 30 Year Maturity

 

10,171,300

  

10,745,368

 

7

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

   Fannie Mae– (continued)

   
 

2.5000%, TBA, 30 Year Maturity

 

$8,643,153

  

$8,868,739

 
  

100,344,127

 

  Fannie Mae Pool:

   
 

3.0000%, 10/1/34

 

593,561

  

631,808

 
 

2.5000%, 11/1/34

 

397,476

  

416,456

 
 

3.0000%, 11/1/34

 

236,230

  

253,083

 
 

3.0000%, 12/1/34

 

241,143

  

257,959

 
 

6.0000%, 2/1/37

 

85,406

  

99,571

 
 

4.5000%, 11/1/42

 

478,238

  

535,751

 
 

3.0000%, 1/1/43

 

260,978

  

276,685

 
 

3.0000%, 2/1/43

 

74,364

  

79,327

 
 

3.0000%, 5/1/43

 

2,494,954

  

2,633,923

 
 

3.0000%, 5/1/43

 

592,433

  

633,494

 
 

5.0000%, 7/1/44

 

62,095

  

70,480

 
 

4.5000%, 10/1/44

 

1,184,108

  

1,323,585

 
 

4.5000%, 3/1/45

 

1,832,494

  

2,048,345

 
 

4.5000%, 6/1/45

 

1,061,553

  

1,186,774

 
 

3.5000%, 12/1/45

 

798,461

  

854,918

 
 

3.0000%, 1/1/46

 

95,969

  

101,314

 
 

4.5000%, 2/1/46

 

2,225,597

  

2,493,248

 
 

3.5000%, 7/1/46

 

1,241,841

  

1,338,771

 
 

3.0000%, 9/1/46

 

6,310,464

  

6,685,728

 
 

3.0000%, 2/1/47

 

20,689,075

  

21,919,393

 
 

3.0000%, 3/1/47

 

2,209,909

  

2,338,926

 
 

3.5000%, 3/1/47

 

686,429

  

734,964

 
 

3.5000%, 7/1/47

 

579,965

  

620,972

 
 

3.5000%, 8/1/47

 

499,049

  

529,164

 
 

3.5000%, 8/1/47

 

373,130

  

405,510

 
 

3.5000%, 12/1/47

 

178,083

  

193,537

 
 

3.5000%, 12/1/47

 

106,284

  

115,507

 
 

3.5000%, 1/1/48

 

1,287,563

  

1,370,549

 
 

4.0000%, 1/1/48

 

4,709,705

  

5,088,840

 
 

4.0000%, 1/1/48

 

4,443,328

  

4,802,909

 
 

3.0000%, 2/1/48

 

1,078,549

  

1,141,337

 
 

3.5000%, 3/1/48

 

168,360

  

183,066

 
 

4.0000%, 3/1/48

 

1,594,061

  

1,721,608

 
 

4.5000%, 3/1/48

 

59,570

  

64,878

 
 

3.0000%, 5/1/48

 

495,096

  

521,388

 
 

5.0000%, 5/1/48

 

1,305,357

  

1,444,886

 
 

3.5000%, 7/1/48

 

16,617,135

  

17,724,676

 
 

4.5000%, 8/1/48

 

33,586

  

36,579

 
 

3.0000%, 11/1/48

 

2,454,727

  

2,580,930

 
 

4.0000%, 2/1/49

 

852,866

  

915,654

 
 

3.0000%, 8/1/49

 

1,334,726

  

1,411,109

 
 

3.0000%, 9/1/49

 

248,104

  

260,416

 
 

2.5000%, 1/1/50

 

636,494

  

655,788

 
 

2.5000%, 10/1/50

 

1,175,550

  

1,207,446

 
 

2.5000%, 1/1/51

 

2,139,903

  

2,195,990

 
 

3.5000%, 8/1/56

 

4,135,272

  

4,505,196

 
 

3.0000%, 2/1/57

 

3,982,520

  

4,280,993

 
 

3.0000%, 6/1/57

 

74,394

  

79,938

 
  

100,973,369

 

  Freddie Mac Gold Pool:

   
 

3.5000%, 1/1/47

 

485,488

  

526,940

 

  Freddie Mac Pool:

   
 

3.0000%, 5/1/31

 

5,235,105

  

5,569,459

 
 

3.0000%, 9/1/32

 

1,147,240

  

1,223,355

 
 

3.0000%, 10/1/32

 

571,913

  

605,345

 
 

3.0000%, 1/1/33

 

650,881

  

694,064

 
 

2.5000%, 12/1/33

 

5,568,091

  

5,816,083

 
 

3.0000%, 10/1/34

 

1,175,033

  

1,254,206

 
 

3.0000%, 10/1/34

 

475,405

  

506,033

 
 

2.5000%, 11/1/34

 

1,649,589

  

1,728,472

 
 

2.5000%, 11/1/34

 

333,134

  

349,064

 
 

6.0000%, 4/1/40

 

1,388,803

  

1,622,389

 
 

3.5000%, 7/1/42

 

223,924

  

243,052

 
 

3.5000%, 8/1/42

 

306,997

  

333,222

 
 

3.5000%, 8/1/42

 

237,734

  

258,042

 
 

3.5000%, 2/1/43

 

839,954

  

914,574

 
 

3.0000%, 3/1/43

 

2,353,547

  

2,494,404

 
 

3.0000%, 6/1/43

 

167,940

  

173,817

 
 

3.5000%, 2/1/44

 

818,151

  

890,834

 
 

4.5000%, 5/1/44

 

416,528

  

465,614

 
 

3.5000%, 12/1/44

 

4,984,605

  

5,389,845

 

8

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

   Freddie Mac Pool– (continued)

   
 

3.0000%, 1/1/45

 

$1,280,849

  

$1,354,916

 
 

3.0000%, 1/1/46

 

185,619

  

197,945

 
 

3.5000%, 7/1/46

 

6,024,392

  

6,510,970

 
 

3.5000%, 7/1/46

 

1,097,690

  

1,169,868

 
 

3.0000%, 8/1/46

 

345,895

  

363,650

 
 

3.0000%, 10/1/46

 

2,512,781

  

2,648,005

 
 

4.0000%, 3/1/47

 

518,222

  

566,710

 
 

3.0000%, 4/1/47

 

475,508

  

499,916

 
 

3.5000%, 4/1/47

 

195,810

  

211,211

 
 

3.5000%, 9/1/47

 

1,864,165

  

1,976,908

 
 

3.5000%, 11/1/47

 

1,562,571

  

1,665,070

 
 

3.5000%, 12/1/47

 

2,808,313

  

3,025,290

 
 

3.5000%, 12/1/47

 

1,242,587

  

1,324,096

 
 

3.5000%, 2/1/48

 

1,328,201

  

1,414,409

 
 

3.5000%, 2/1/48

 

1,047,742

  

1,113,770

 
 

4.0000%, 3/1/48

 

1,326,059

  

1,432,336

 
 

4.5000%, 3/1/48

 

61,513

  

66,995

 
 

4.0000%, 4/1/48

 

1,877,824

  

2,011,202

 
 

4.0000%, 4/1/48

 

1,171,556

  

1,267,399

 
 

4.0000%, 5/1/48

 

2,180,557

  

2,341,353

 
 

4.5000%, 7/1/48

 

423,356

  

461,080

 
 

5.0000%, 9/1/48

 

151,010

  

167,692

 
 

4.5000%, 12/1/48

 

993,394

  

1,091,202

 
 

3.0000%, 8/1/49

 

1,077,880

  

1,135,122

 
 

3.0000%, 8/1/49

 

397,355

  

420,088

 
 

3.0000%, 12/1/49

 

719,332

  

748,388

 
 

3.0000%, 12/1/49

 

657,801

  

684,372

 
 

2.5000%, 1/1/50

 

261,488

  

269,415

 
 

3.0000%, 3/1/50

 

803,970

  

841,145

 
 

3.5000%, 3/1/50

 

380,058

  

404,991

 
  

67,917,388

 

  Ginnie Mae:

   
 

2.0000%, TBA, 30 Year Maturity

 

44,216,122

  

44,629,985

 
 

2.5000%, TBA, 30 Year Maturity

 

20,540,500

  

21,191,223

 
  

65,821,208

 

  Ginnie Mae I Pool:

   
 

4.0000%, 1/15/45

 

4,665,763

  

5,172,248

 
 

4.5000%, 8/15/46

 

4,715,355

  

5,353,679

 
 

4.0000%, 7/15/47

 

1,367,914

  

1,488,589

 
 

4.0000%, 8/15/47

 

267,766

  

291,388

 
 

4.0000%, 11/15/47

 

481,317

  

523,778

 
 

4.0000%, 12/15/47

 

630,019

  

685,598

 
  

13,515,280

 

  Ginnie Mae II Pool:

   
 

4.0000%, 8/20/47

 

546,724

  

596,182

 
 

4.0000%, 8/20/47

 

143,800

  

158,400

 
 

4.0000%, 8/20/47

 

89,877

  

98,008

 
 

4.5000%, 2/20/48

 

713,799

  

777,387

 
 

4.0000%, 5/20/48

 

357,391

  

384,215

 
 

4.5000%, 5/20/48

 

1,874,610

  

2,063,907

 
 

4.5000%, 5/20/48

 

234,709

  

258,410

 
 

4.0000%, 6/20/48

 

3,574,915

  

3,843,239

 
 

5.0000%, 8/20/48

 

2,731,799

  

2,982,828

 
  

11,162,576

 

Total Mortgage-Backed Securities (cost $353,690,371)

 

360,260,888

 

United States Treasury Notes/Bonds– 6.9%

   
 

0.1250%, 2/28/23

 

1,512,000

  

1,511,055

 
 

0.3750%, 1/31/26

 

46,025,100

  

44,885,260

 
 

0.5000%, 2/28/26

 

125,428,000

  

122,978,234

 
 

1.1250%, 2/29/28

 

9,193,400

  

9,032,515

 
 

0.8750%, 11/15/30

 

67,662,900

  

62,577,610

 
 

1.1250%, 2/15/31

 

91,639,100

  

86,584,631

 
 

1.1250%, 5/15/40

 

3,805,000

  

3,104,642

 
 

1.3750%, 11/15/40

 

13,566,000

  

11,539,579

 
 

1.8750%, 2/15/41

 

19,479,000

  

18,136,775

 
 

2.7500%, 8/15/42

 

29,504,500

  

31,648,186

 
 

1.3750%, 8/15/50

 

46,677,000

  

36,422,647

 
 

1.6250%, 11/15/50

 

63,932,500

  

53,273,754

 

Total United States Treasury Notes/Bonds (cost $502,488,565)

 

481,694,888

 

Common Stocks– 64.3%

   

Aerospace & Defense – 1.1%

   
 

General Dynamics Corp

 

264,075

  

47,945,457

 

9

        

Shares or
Principal Amounts

  

Value

 

Common Stocks– (continued)

   

Aerospace & Defense– (continued)

   
 

L3Harris Technologies Inc

 

135,556

  

$27,474,490

 
  

75,419,947

 

Air Freight & Logistics – 0.7%

   
 

United Parcel Service Inc

 

301,765

  

51,297,032

 

Airlines – 0.5%

   
 

Southwest Airlines Co*

 

564,529

  

34,470,141

 

Auto Components – 0.3%

   
 

Aptiv PLC*

 

168,294

  

23,207,743

 

Banks – 1.5%

   
 

Bank of America Corp

 

2,700,849

  

104,495,848

 

Beverages – 0.7%

   
 

Monster Beverage Corp*

 

565,841

  

51,542,457

 

Biotechnology – 0.9%

   
 

AbbVie Inc

 

590,496

  

63,903,477

 

Capital Markets – 2.4%

   
 

CME Group Inc

 

284,290

  

58,060,547

 
 

Morgan Stanley

 

1,199,153

  

93,126,222

 
 

S&P Global Inc

 

52,437

  

18,503,444

 
  

169,690,213

 

Chemicals – 0.4%

   
 

Sherwin-Williams Co

 

42,029

  

31,017,822

 

Communications Equipment – 0.5%

   
 

Motorola Solutions Inc

 

167,647

  

31,526,018

 

Consumer Finance – 1.0%

   
 

American Express Co

 

494,739

  

69,975,884

 

Electrical Equipment – 0.3%

   
 

Rockwell Automation Inc

 

70,888

  

18,816,511

 

Electronic Equipment, Instruments & Components – 0.4%

   
 

Corning Inc

 

670,558

  

29,175,979

 

Entertainment – 1.8%

   
 

Activision Blizzard Inc

 

417,373

  

38,815,689

 
 

Netflix Inc*

 

39,030

  

20,360,390

 
 

Walt Disney Co*

 

348,852

  

64,370,171

 
  

123,546,250

 

Food & Staples Retailing – 1.5%

   
 

Costco Wholesale Corp

 

222,950

  

78,585,416

 
 

Sysco Corp

 

349,143

  

27,491,520

 
  

106,076,936

 

Food Products – 0.5%

   
 

Hershey Co

 

205,677

  

32,529,874

 

Health Care Equipment & Supplies – 2.7%

   
 

Abbott Laboratories

 

589,503

  

70,646,040

 
 

Edwards Lifesciences Corp*

 

340,014

  

28,438,771

 
 

Intuitive Surgical Inc*

 

30,428

  

22,484,466

 
 

Medtronic PLC

 

336,626

  

39,765,629

 
 

Stryker Corp

 

113,336

  

27,606,383

 
  

188,941,289

 

Health Care Providers & Services – 2.2%

   
 

UnitedHealth Group Inc

 

402,736

  

149,845,984

 

Hotels, Restaurants & Leisure – 2.8%

   
 

Hilton Worldwide Holdings Inc*

 

391,292

  

47,315,029

 
 

McDonald's Corp

 

445,029

  

99,748,800

 
 

Starbucks Corp

 

453,092

  

49,509,363

 
  

196,573,192

 

Household Products – 1.1%

   
 

Clorox Co

 

70,945

  

13,683,872

 
 

Procter & Gamble Co

 

471,857

  

63,903,594

 
  

77,587,466

 

Industrial Conglomerates – 1.2%

   
 

Honeywell International Inc

 

382,899

  

83,115,886

 

Information Technology Services – 3.6%

   
 

Accenture PLC

 

170,218

  

47,022,722

 
 

Fidelity National Information Services Inc

 

212,995

  

29,949,227

 
 

Mastercard Inc

 

493,995

  

175,886,920

 
  

252,858,869

 

Insurance – 1.2%

   
 

Progressive Corp

 

861,723

  

82,389,336

 

Interactive Media & Services – 3.0%

   
 

Alphabet Inc - Class C*

 

102,563

  

212,164,899

 

Internet & Direct Marketing Retail – 3.6%

   
 

Amazon.com Inc*

 

64,998

  

201,109,012

 
 

Booking Holdings Inc*

 

20,700

  

48,227,688

 
  

249,336,700

 

10

        

Shares or
Principal Amounts

  

Value

 

Common Stocks– (continued)

   

Leisure Products – 0.5%

   
 

Hasbro Inc

 

381,563

  

$36,675,836

 

Life Sciences Tools & Services – 1.2%

   
 

Illumina Inc*

 

65,543

  

25,172,445

 
 

Thermo Fisher Scientific Inc

 

124,738

  

56,927,928

 
  

82,100,373

 

Machinery – 1.4%

   
 

Deere & Co

 

227,671

  

85,180,828

 
 

Trane Technologies PLC

 

54,379

  

9,002,987

 
  

94,183,815

 

Media – 1.4%

   
 

Comcast Corp

 

1,845,387

  

99,853,891

 

Multiline Retail – 1.0%

   
 

Dollar General Corp

 

329,085

  

66,679,203

 

Personal Products – 0.3%

   
 

Estee Lauder Cos Inc

 

65,219

  

18,968,946

 

Pharmaceuticals – 2.9%

   
 

Bristol-Myers Squibb Co

 

481,222

  

30,379,545

 
 

Eli Lilly & Co

 

442,254

  

82,621,892

 
 

Merck & Co Inc

 

1,134,069

  

87,425,379

 
  

200,426,816

 

Real Estate Management & Development – 0.4%

   
 

CBRE Group Inc*

 

338,616

  

26,787,912

 

Road & Rail – 0.7%

   
 

CSX Corp

 

477,968

  

46,085,675

 

Semiconductor & Semiconductor Equipment – 4.6%

   
 

Advanced Micro Devices Inc*

 

243,385

  

19,105,722

 
 

Lam Research Corp

 

204,369

  

121,648,604

 
 

NVIDIA Corp

 

147,179

  

78,583,283

 
 

QUALCOMM Inc

 

235,723

  

31,254,513

 
 

Texas Instruments Inc

 

382,653

  

72,317,590

 
  

322,909,712

 

Software – 8.0%

   
 

Adobe Inc*

 

271,710

  

129,162,783

 
 

Autodesk Inc*

 

60,648

  

16,808,593

 
 

Cadence Design Systems Inc*

 

139,908

  

19,165,997

 
 

Microsoft Corp

 

1,462,195

  

344,778,565

 
 

salesforce.com Inc*

 

231,034

  

48,949,174

 
  

558,865,112

 

Specialty Retail – 1.9%

   
 

Home Depot Inc

 

425,500

  

129,883,875

 

Technology Hardware, Storage & Peripherals – 3.2%

   
 

Apple Inc

 

1,847,428

  

225,663,330

 

Textiles, Apparel & Luxury Goods – 0.9%

   
 

NIKE Inc

 

494,728

  

65,744,404

 

Total Common Stocks (cost $2,647,899,303)

 

4,484,334,653

 

Preferred Stocks– 0.2%

   

Banks – 0.2%

   
 

First Republic Bank/CA, 4.1250%µ

 

286,925

  

7,173,125

 
 

Truist Financial Corp, 4.7500%µ

 

328,875

  

8,468,531

 

Total Preferred Stocks (cost $15,395,000)

 

15,641,656

 

Investment Companies– 4.6%

   

Money Markets – 4.6%

   
 

Janus Henderson Cash Liquidity Fund LLC, 0.0652%ºº,£((cost $320,819,965)

 

320,793,152

  

320,825,231

 

Total Investments (total cost $5,301,680,377) – 102.6%

 

7,154,927,660

 

Liabilities, net of Cash, Receivables and Other Assets – (2.6)%

 

(184,528,191)

 

Net Assets – 100%

 

$6,970,399,469

 

11

      

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

 
    

% of

 
    

Investment

 

Country

 

Value

 

Securities

 

United States

 

$7,060,385,407

 

98.7

%

United Kingdom

 

38,756,708

 

0.5

 

France

 

14,646,642

 

0.2

 

Canada

 

10,152,765

 

0.2

 

Belgium

 

9,496,759

 

0.1

 

South Korea

 

7,528,948

 

0.1

 

Switzerland

 

6,133,125

 

0.1

 

Australia

 

5,209,461

 

0.1

 

Mexico

 

2,617,845

 

0.0

 
      
      

Total

 

$7,154,927,660

 

100.0

%

 

Schedules of Affiliated Investments – (% of Net Assets)

           
 

Dividend

Income

Realized

Gain/(Loss)

Change in

Unrealized

Appreciation/

Depreciation

Value

at 3/31/21

Investment Companies - 4.6%

Money Markets - 4.6%

 

Janus Henderson Cash Liquidity Fund LLC, 0.0652%ºº

$

32,338

$

-

$

-

$

320,825,231

 
           
 

Value

at 12/31/20

Purchases

Sales Proceeds

Value

at 3/31/21

Investment Companies - 4.6%

Money Markets - 4.6%

 

Janus Henderson Cash Liquidity Fund LLC, 0.0652%ºº

 

182,258,962

 

385,765,734

 

(247,199,465)

 

320,825,231

12

Notes to Schedule of Investments (unaudited)

  

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, 2021 is $651,459,181, which represents 9.3% 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. See Notes to Financial Statements.

  

‡

Variable or floating rate security. Rate shown is the current rate as of March 31, 2021. 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.

  

ÇÇ

Security is a U.S. Treasury Inflation-Protected Security (TIPS).

  

ºº

Rate shown is the 7-day yield as of March 31, 2021.

  

µ

Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date.

  

Ç

Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate.

  

£

The Portfolio 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 Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control.

             

The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of March 31, 2021.

 

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

$

-

$

409,508,429

$

-

Bank Loans and Mezzanine Loans

 

-

 

13,390,088

 

-

Corporate Bonds

 

-

 

967,583,034

 

-

Inflation-Indexed Bonds

 

-

 

101,688,793

 

-

Mortgage-Backed Securities

 

-

 

360,260,888

 

-

United States Treasury Notes/Bonds

 

-

 

481,694,888

 

-

Common Stocks

 

4,484,334,653

 

-

 

-

Preferred Stocks

 

-

 

15,641,656

 

-

Investment Companies

 

-

 

320,825,231

 

-

Total Assets

$

4,484,334,653

$

2,670,593,007

$

-

       

13

Investment Valuation

Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are 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. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more 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 under the Valuation Procedures. Circumstances in which fair value pricing 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 Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.

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 Portfolio 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 Portfolio’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 Portfolio’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 Portfolio since the beginning of the fiscal year.

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, 2021 to fair value the Portfolio’s investments

14

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

15

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

         
     
     
    

109-25-70300 05-21