NPORT-EX 2 nportex-133.htm JIF - VALUE PLUS INCOME 133 Untitled Document

Janus Henderson Value Plus Income Fund

Schedule of Investments (unaudited)

March 31, 2020

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities – 12.4%

   
 

American Credit Acceptance Receivables Trust 2018-3,

      
 

5.1700%, 10/15/24 (144A)

 

$100,000

  

$96,905

 
 

Angel Oak Mortgage Trust I LLC 2018-2, 3.6740%, 7/27/48 (144A)‡

 

25,451

  

24,440

 
 

Applebee's Funding LLC / IHOP Funding LLC, 4.1940%, 6/7/49 (144A)

 

80,000

  

79,281

 
 

Aqua Finance Trust 2019-A, 3.1400%, 7/16/40 (144A)

 

104,201

  

106,265

 
 

Arroyo Mortgage Trust 2019-2, 4.7600%, 4/25/49 (144A)‡

 

140,000

  

98,629

 
 

BBCMS Trust 2015-SRCH, 4.1970%, 8/10/35 (144A)

 

100,000

  

109,723

 
 

BlueMountain CLO XXIV Ltd,

      
 

ICE LIBOR USD 3 Month + 2.7000%, 4.5191%, 4/20/31 (144A)‡

 

250,000

  

209,025

 
 

Business Jet Securities LLC 2017-1, 7.7480%, 2/15/33 (144A)

 

43,815

  

31,631

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.7046%, 10/15/36 (144A)‡

 

95,540

  

82,230

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

ICE LIBOR USD 1 Month + 2.3000%, 3.0046%, 10/15/36 (144A)‡

 

344,900

  

289,151

 
 

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

 

41,000

  

43,648

 
 

CGDB Commercial Mortgage Trust 2019-MOB,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.7046%, 11/15/36 (144A)‡

 

100,000

  

78,227

 
 

CGDB Commercial Mortgage Trust 2019-MOB,

      
 

ICE LIBOR USD 1 Month + 2.5500%, 3.2546%, 11/15/36 (144A)‡

 

100,000

  

70,787

 
 

CIFC Funding 2016-I Ltd,

      
 

ICE LIBOR USD 3 Month + 2.8000%, 4.6191%, 10/21/31 (144A)‡

 

250,000

  

215,000

 
 

Connecticut Avenue Securities Trust 2019-R02,

      
 

ICE LIBOR USD 1 Month + 2.3000%, 3.2466%, 8/25/31 (144A)‡

 

17,428

  

14,037

 
 

Connecticut Avenue Securities Trust 2019-R03,

      
 

ICE LIBOR USD 1 Month + 2.1500%, 3.0966%, 9/25/31 (144A)‡

 

235,112

  

171,578

 
 

Connecticut Avenue Securities Trust 2019-R05,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.9466%, 7/25/39 (144A)‡

 

82,314

  

66,419

 
 

Connecticut Avenue Securities Trust 2020-R02,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.9466%, 1/25/40 (144A)‡

 

107,000

  

78,455

 
 

Conn's Receivables Funding 2019-A LLC, 4.3600%, 10/16/23 (144A)

 

100,000

  

97,014

 
 

Conn's Receivables Funding 2019-A LLC, 5.2900%, 10/16/23 (144A)

 

100,000

  

96,096

 
 

Driven Brands Funding LLC, 3.9810%, 10/20/49 (144A)

 

151,703

  

139,881

 
 

Exeter Automobile Receivables Trust 2018-4, 5.3800%, 7/15/25 (144A)

 

130,000

  

118,283

 
 

Exeter Automobile Receivables Trust 2019-1, 5.2000%, 1/15/26 (144A)

 

80,000

  

73,955

 
 

Fannie Mae Connecticut Avenue Securities,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 2.9466%, 3/25/31‡

 

338,683

  

284,214

 
 

Fannie Mae REMICS, ICE LIBOR USD 1 Month + 55.0000%, 37.6076%, 10/25/40‡

 

23,689

  

113,817

 
 

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

 

31,422

  

32,813

 
 

First Investors Auto Owner Trust 2018-1, 7.1600%, 8/15/25 (144A)

 

303,000

  

297,051

 
 

Hertz Fleet Lease Funding LP, 5.5500%, 5/10/32 (144A)

 

130,000

  

131,475

 
 

InSite Issuer LLC, 6.1150%, 12/15/48 (144A)

 

139,831

  

114,499

 
 

LoanMe Trust SBL 2019-1, 5.2500%, 8/15/30 (144A)

 

68,089

  

65,671

 
 

Magnetite XXII Ltd,

      
 

ICE LIBOR USD 3 Month + 3.6500%, 5.4813%, 4/15/31 (144A)‡

 

250,000

  

191,500

 
 

New Residential Mortgage Loan Trust 2019-NQM2, 4.2671%, 4/25/49 (144A)‡

 

100,000

  

86,739

 
 

Octagon Investment Partners 41 Ltd,

      
 

ICE LIBOR USD 3 Month + 3.6500%, 5.4813%, 4/15/31 (144A)‡

 

250,000

  

185,325

 
 

Octagon Investment Partners XXI Ltd,

      
 

ICE LIBOR USD 3 Month + 2.5500%, 4.3813%, 7/15/27 (144A)‡

 

250,000

  

200,925

 
 

Octagon Investment Partners XXI Ltd,

      
 

ICE LIBOR USD 3 Month + 3.9500%, 5.6538%, 2/14/31 (144A)‡

 

250,000

  

187,525

 
 

OneMain Direct Auto Receivables Trust 2019-1, 4.6800%, 4/14/31 (144A)

 

248,000

  

204,202

 
 

Palmer Square Loan Funding 2019-4 Ltd,

      
 

ICE LIBOR USD 3 Month + 3.2500%, 5.1860%, 10/24/27 (144A)‡

 

250,000

  

202,900

 
 

Pawnee Equipment Receivables Series 2019-1 LLC, 3.8000%, 1/15/26 (144A)

 

100,000

  

98,837

 
 

Prosper Pass-Thru Trust II Series 2019-St1, 0%, 7/15/25 (144A)

 

520,000

  

115,752

 
 

PRPM 2019-3 LLC, 4.4580%, 7/25/24 (144A)Ç

 

165,000

  

143,796

 
 

PRPM 2019-GS1, 4.7500%, 10/25/24 (144A)‡

 

102,055

  

101,930

 
 

Raptor Aircraft Finance I LLC, 4.2130%, 8/23/44 (144A)

 

277,565

  

208,076

 
 

Sequoia Mortgage Trust 2018-8, 0.3042%, 11/25/48 (144A)‡,¤

 

10,798,934

  

48,289

 
 

Sierra Timeshare 2019-2 Receivables Funding LLC, 4.5400%, 5/20/36 (144A)

 

416,410

  

407,533

 
 

SoFi Consumer Loan Program 2019-1 Trust, 4.4200%, 2/25/28 (144A)

 

140,000

  

146,098

 
 

SoFi Consumer Loan Program 2019-2 Trust, 4.2000%, 4/25/28 (144A)

 

100,000

  

104,786

 
 

SoFi Professional Loan Program 2018-D Trust, 0%, 2/25/48 (144A)

 

10,000

  

273,700

 
 

Station Place Securitization Trust Series 2019-WL1,

      
 

ICE LIBOR USD 1 Month + 1.6000%, 2.5466%, 8/25/52 (144A)‡

 

100,000

  

98,609

 
 

VB-S1 Issuer LLC, 3.4130%, 2/15/48 (144A)

 

250,000

  

213,091

 
 

Verus Securitization Trust 2019-1, 4.4610%, 2/25/59 (144A)‡

 

140,000

  

121,906

 
 

Vx Cargo 2018-1 Trust, 5.4380%, 12/15/33 (144A)

 

226,752

  

231,119

 

        

Shares or
Principal Amounts

  

Value

 

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

   
 

Willis Engine Securitization Trust 2020-A B, 4.2120%, 3/15/45 (144A)

 

$100,000

  

$51,660

 
 

Z Capital Credit Partners CLO 2018-1A A2 Ltd,

      
 

ICE LIBOR USD 3 Month + 1.5600%, 3.4026%, 1/16/31 (144A)‡

 

250,000

  

235,650

 
 

Z Capital Credit Partners CLO 2019-1 Ltd,

      
 

ICE LIBOR USD 3 Month + 1.6400%, 3.4826%, 7/16/31 (144A)‡

 

250,000

  

240,975

 
 

Zephyrus Capital Aviation Partners 2018-1 Ltd, 4.6050%, 10/15/38 (144A)

 

74,140

  

75,623

 

Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $8,795,294)

 

7,606,746

 

Bank Loans and Mezzanine Loans – 4.0%

   

Capital Goods – 0.4%

   
 

DynCorp International Inc,

      
 

ICE LIBOR USD 1 Month + 6.0000%, 7.0000%, 8/18/25‡

 

126,400

  

104,280

 
 

Mauser Packaging Solutions Holding Co,

      
 

ICE LIBOR USD 3 Month + 3.2500%, 5.0840%, 4/3/24‡

 

62,679

  

50,809

 
 

Tamko Building Products Inc,

      
 

ICE LIBOR USD 1 Month + 3.2500%, 4.2411%, 5/29/26‡

 

66,833

  

62,154

 
  

217,243

 

Capital Markets – 0%

   
 

LPL Holdings Inc, ICE LIBOR USD 1 Month + 1.7500%, 2.7091%, 11/12/26‡

 

15,000

  

14,063

 

Communications – 0.4%

   
 

Entravision Communications Corp,

      
 

ICE LIBOR USD 1 Month + 2.7500%, 3.7394%, 11/29/24‡

 

109,950

  

87,960

 
 

GCI Holdings LLC, ICE LIBOR USD 1 Month + 2.5000%, 3.2394%, 2/2/22ƒ,‡

 

26,985

  

22,938

 
 

Level 3 Financing Inc, ICE LIBOR USD 1 Month + 1.7500%, 2.7394%, 3/1/27‡

 

98,500

  

91,605

 
 

Lions Gate Capital Holdings LLC,

      
 

ICE LIBOR USD 1 Month + 1.7500%, 2.7394%, 3/22/23‡

 

68,461

  

60,702

 
  

263,205

 

Consumer Cyclical – 1.7%

   
 

18 Fremont Street Acquisition LLC,

      
 

ICE LIBOR USD 1 Month + 8.0000%, 9.5000%, 8/9/25‡

 

330,000

  

267,300

 
 

Boardriders Inc, ICE LIBOR USD 3 Month + 6.5000%, 8.2771%, 4/23/24‡

 

110,872

  

79,135

 
 

Hilton Worldwide Finance LLC,

      
 

ICE LIBOR USD 1 Month + 1.7500%, 2.6966%, 6/22/26‡

 

50,510

  

47,732

 
 

Mohegan Gaming & Entertainment,

      
 

ICE LIBOR USD 1 Month + 4.1250%, 5.1144%, 10/13/21‡

 

122,726

  

92,453

 
 

Playtika Holding Corp, ICE LIBOR USD 3 Month + 6.0000%, 7.0720%, 12/10/24‡

 

232,000

  

215,373

 
 

Spectacle Gary Holdings LLC,

      
 

ICE LIBOR USD 1 Month + 11.0000%, 11.0000%, 12/23/25‡

 

4,346

  

3,607

 
 

Spectacle Gary Holdings LLC,

      
 

ICE LIBOR USD 3 Month + 9.0000%, 11.0000%, 12/23/25‡

 

59,978

  

49,782

 
 

Stars Group Holdings BV, ICE LIBOR USD 3 Month + 3.5000%, 4.9501%, 7/10/25‡

 

116,946

  

111,196

 
 

Tacala Investment Corp, ICE LIBOR USD 1 Month + 3.5000%, 4.4894%, 2/5/27‡

 

168,220

  

133,175

 
 

Tacala Investment Corp, ICE LIBOR USD 1 Month + 7.5000%, 8.4894%, 2/4/28‡

 

75,585

  

56,783

 
  

1,056,536

 

Consumer Non-Cyclical – 0.6%

   
 

Chobani LLC, ICE LIBOR USD 1 Month + 3.5000%, 4.5000%, 10/10/23‡

 

113,827

  

101,022

 
 

CryoLife Inc, ICE LIBOR USD 3 Month + 3.2500%, 4.7001%, 12/2/24‡

 

89,316

  

75,919

 
 

FC Compassus LLC, ICE LIBOR USD 3 Month + 5.0000%, 6.0720%, 12/31/26‡

 

100,607

  

85,516

 
 

IQVIA Inc, ICE LIBOR USD 1 Month + 1.7500%, 2.7394%, 3/7/24‡

 

23,193

  

21,251

 
 

Jaguar Holding Co II, ICE LIBOR USD 1 Month + 2.5000%, 3.5000%, 8/18/22‡

 

64,830

  

61,705

 
 

Surgery Center Holdings Inc,

      
 

ICE LIBOR USD 1 Month + 3.2500%, 4.2500%, 9/2/24‡

 

39,000

  

29,718

 
  

375,131

 

Insurance – 0%

   
 

USI Inc/NY, 4.9929%, 12/2/26ƒ,‡

 

8,000

  

7,147

 

Technology – 0.6%

   
 

Camelot Finance SA, ICE LIBOR USD 1 Month + 3.2500%, 4.2394%, 10/30/26‡

 

57,000

  

53,580

 
 

II-VI Inc, ICE LIBOR USD 1 Month + 3.5000%, 4.4894%, 9/24/26‡

 

149,625

  

123,191

 
 

McAfee LLC, ICE LIBOR USD 1 Month + 8.5000%, 9.4409%, 9/29/25‡

 

127,750

  

119,446

 
 

Refinitiv US Holdings Inc,

      
 

ICE LIBOR USD 1 Month + 3.2500%, 4.2394%, 10/1/25ƒ,‡

 

93,468

  

89,340

 
  

385,557

 

Transportation – 0.3%

   
 

Hanjin International Corp,

      
 

ICE LIBOR USD 1 Month + 2.5000%, 3.4894%, 10/19/20‡

 

195,000

  

152,100

 

Total Bank Loans and Mezzanine Loans (cost $2,889,008)

 

2,470,982

 

Corporate Bonds – 21.9%

   

Banking – 1.3%

   
 

Banco La Hipotecaria SA, 5.5000%, 9/15/23 (144A)

 

300,000

  

297,000

 
 

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

 

53,000

  

53,795

 
 

CIT Group Inc, 4.7500%, 2/16/24

 

88,000

  

86,020

 
 

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

 

65,000

  

62,969

 
 

Citizens Financial Group Inc, 3.7500%, 7/1/24

 

14,000

  

13,950

 
 

Synchrony Financial, 4.3750%, 3/19/24

 

45,000

  

44,565

 

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds – (continued)

   

Banking – (continued)

   
 

Synchrony Financial, 3.9500%, 12/1/27

 

$15,000

  

$13,341

 
 

Synchrony Financial, 5.1500%, 3/19/29

 

155,000

  

153,509

 
 

Wells Fargo & Co, ICE LIBOR USD 3 Month + 3.9900%, 5.8750%‡,µ

 

64,000

  

64,960

 
  

790,109

 

Basic Industry – 2.8%

   
 

Albemarle Wodgina Pty Ltd, 3.4500%, 11/15/29 (144A)

 

100,000

  

98,138

 
 

Aleris International Inc, 10.7500%, 7/15/23 (144A)

 

371,000

  

359,870

 
 

Allegheny Technologies Inc, 7.8750%, 8/15/23

 

53,000

  

51,130

 
 

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

 

113,000

  

94,073

 
 

Arconic Rolled Products, 6.1250%, 2/15/28 (144A)

 

7,000

  

7,158

 
 

Braskem Netherlands Finance BV, 4.5000%, 1/31/30

 

200,000

  

155,800

 
 

CF Industries Inc, 5.3750%, 3/15/44

 

86,000

  

81,918

 
 

Ecolab Inc, 4.8000%, 3/24/30

 

9,000

  

10,246

 
 

Element Solutions Inc, 5.8750%, 12/1/25 (144A)

 

43,000

  

42,140

 
 

First Quantum Minerals Ltd, 7.2500%, 4/1/23 (144A)

 

400,000

  

342,500

 
 

Glencore Finance Canada Ltd, 4.9500%, 11/15/21 (144A)

 

17,000

  

16,836

 
 

Glencore Funding LLC, 4.1250%, 3/12/24 (144A)

 

144,000

  

132,393

 
 

Hudbay Minerals Inc, 7.2500%, 1/15/23 (144A)

 

164,000

  

142,680

 
 

Infrabuild Australia Pty Ltd, 12.0000%, 10/1/24 (144A)

 

67,000

  

53,265

 
 

Novelis Corp, 4.7500%, 1/30/30 (144A)

 

65,000

  

57,850

 
 

Teck Resources Ltd, 4.5000%, 1/15/21

 

5,000

  

4,888

 
 

Univar Solutions USA Inc, 5.1250%, 12/1/27 (144A)

 

53,000

  

48,230

 
  

1,699,115

 

Brokerage – 0.1%

   
 

Ameriprise Financial Inc, 3.0000%, 4/2/25

 

49,000

  

48,793

 

Capital Goods – 1.6%

   
 

ARD Finance SA, 6.5000%, 6/30/27 (144A)

 

200,000

  

171,780

 
 

BWAY Holding Co, 7.2500%, 4/15/25 (144A)

 

154,000

  

116,664

 
 

Huntington Ingalls Industries Inc, 3.8440%, 5/1/25 (144A)

 

52,000

  

53,542

 
 

Huntington Ingalls Industries Inc, 4.2000%, 5/1/30 (144A)

 

34,000

  

35,201

 
 

LABL Escrow Issuer LLC, 6.7500%, 7/15/26 (144A)

 

164,000

  

150,880

 
 

LABL Escrow Issuer LLC, 10.5000%, 7/15/27 (144A)

 

211,000

  

196,758

 
 

Trivium Packaging Finance BV, 5.5000%, 8/15/26 (144A)

 

209,000

  

207,955

 
 

Victoria PLC, 5.2500%, 7/15/24 (144A)

 

100,000

EUR

 

81,592

 
  

1,014,372

 

Communications – 3.3%

   
 

Altice Financing SA, 5.0000%, 1/15/28 (144A)

 

362,000

  

320,370

 
 

Altice France Holding SA, 6.0000%, 2/15/28 (144A)

 

200,000

  

175,936

 
 

Block Communications Inc, 4.8750%, 3/1/28 (144A)

 

55,000

  

51,150

 
 

CCO Holdings LLC / CCO Holdings Capital Corp, 5.8750%, 4/1/24 (144A)

 

65,000

  

66,463

 
 

CCO Holdings LLC / CCO Holdings Capital Corp, 5.5000%, 5/1/26 (144A)

 

68,000

  

68,857

 
 

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

 

42,000

  

40,958

 
 

Connect Finco SARL / Connect US Finco LLC, 6.7500%, 10/1/26 (144A)

 

164,000

  

135,505

 
 

Crown Castle International Corp, 4.1500%, 7/1/50

 

12,000

  

11,868

 
 

CSC Holdings LLC, 7.5000%, 4/1/28 (144A)

 

246,000

  

262,093

 
 

Diamond Sports Group LLC / Diamond Sports Finance Co,

      
 

5.3750%, 8/15/26 (144A)

 

70,000

  

56,876

 
 

GCI LLC, 6.8750%, 4/15/25

 

24,000

  

23,760

 
 

Level 3 Financing Inc, 3.4000%, 3/1/27 (144A)

 

67,000

  

63,774

 
 

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

 

126,000

  

118,256

 
 

Liberty Interactive LLC, 8.5000%, 7/15/29

 

80,000

  

59,600

 
 

Omnicom Group Inc, 4.2000%, 6/1/30

 

61,000

  

62,903

 
 

Sable International Finance Ltd, 5.7500%, 9/7/27 (144A)

 

237,000

  

213,300

 
 

Terrier Media Buyer Inc, 8.8750%, 12/15/27 (144A)

 

76,000

  

63,840

 
 

T-Mobile USA Inc, 6.5000%, 1/15/24

 

26,000

  

26,390

 
 

Ziggo BV, 5.1250%, 2/28/30 (144A)

 

222,000

  

217,560

 
  

2,039,459

 

Consumer Cyclical – 3.3%

   
 

1011778 BC ULC / New Red Finance Inc, 4.2500%, 5/15/24 (144A)

 

159,000

  

158,601

 
 

American Axle & Manufacturing Inc, 6.6250%, 10/15/22

 

67,000

  

55,610

 
 

Downstream Development Authority of the Quapaw Tribe of Oklahoma,

      
 

10.5000%, 2/15/23 (144A)

 

130,000

  

104,000

 
 

eG Global Finance PLC, 6.7500%, 2/7/25 (144A)

 

200,000

  

164,000

 
 

Enterprise Development Authority, 12.0000%, 7/15/24 (144A)

 

175,000

  

152,250

 
 

Forestar Group Inc, 5.0000%, 3/1/28 (144A)

 

47,000

  

39,027

 
 

General Motors Financial Co Inc, 3.2000%, 7/6/21

 

64,000

  

61,114

 
 

General Motors Financial Co Inc, 2.9000%, 2/26/25

 

72,000

  

62,230

 
 

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

 

121,000

  

107,254

 
 

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

 

50,000

  

42,040

 
 

Golden Entertainment Inc, 7.6250%, 4/15/26 (144A)

 

159,000

  

104,940

 
 

Golden Nugget Inc, 6.7500%, 10/15/24 (144A)

 

72,000

  

45,352

 
 

Golden Nugget Inc, 8.7500%, 10/1/25 (144A)

 

57,000

  

29,426

 
 

Home Depot Inc, 2.7000%, 4/15/30

 

48,000

  

48,919

 

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds – (continued)

   

Consumer Cyclical – (continued)

   
 

IHO Verwaltungs GmbH, 3.8750%, 5/15/27 (144A)

 

100,000

EUR

 

$83,797

 
 

KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC,

      
 

5.2500%, 6/1/26 (144A)

 

$169,000

  

168,763

 
 

McDonald's Corp, 3.3000%, 7/1/25

 

47,000

  

48,652

 
 

MGM Resorts International, 6.0000%, 3/15/23

 

5,000

  

4,825

 
 

Mohegan Gaming & Entertainment, 7.8750%, 10/15/24 (144A)

 

173,000

  

128,020

 
 

NIKE Inc, 2.4000%, 3/27/25

 

35,000

  

36,282

 
 

Scientific Games International Inc, 7.0000%, 5/15/28 (144A)

 

124,000

  

76,260

 
 

Six Flags Entertainment Corp, 5.5000%, 4/15/27 (144A)

 

41,000

  

34,543

 
 

Station Casinos LLC, 4.5000%, 2/15/28 (144A)

 

129,000

  

104,490

 
 

Target Corp, 2.6500%, 9/15/30

 

22,000

  

22,526

 
 

Twin River Worldwide Holdings Inc, 6.7500%, 6/1/27 (144A)

 

148,000

  

111,000

 
 

Visa Inc, 2.0500%, 4/15/30

 

27,000

  

26,961

 
  

2,020,882

 

Consumer Non-Cyclical – 3.3%

   
 

AbbVie Inc, 2.9500%, 11/21/26 (144A)

 

30,000

  

30,566

 
 

AMN Healthcare Inc, 4.6250%, 10/1/27 (144A)

 

64,000

  

60,637

 
 

Aramark Services Inc, 5.0000%, 2/1/28 (144A)#

 

70,000

  

65,143

 
 

Avantor Inc, 6.0000%, 10/1/24 (144A)

 

145,000

  

151,917

 
 

Bausch Health Cos Inc, 7.0000%, 3/15/24 (144A)

 

140,000

  

143,500

 
 

CHS/Community Health Systems Inc, 6.6250%, 2/15/25 (144A)

 

90,000

  

83,250

 
 

Cigna Corp, 2.4000%, 3/15/30

 

29,000

  

27,432

 
 

Conagra Brands Inc, 4.8500%, 11/1/28

 

109,000

  

116,815

 
 

CVS Health Corp, 3.7500%, 4/1/30

 

132,000

  

136,579

 
 

Dole Food Co Inc, 7.2500%, 6/15/25 (144A)

 

140,000

  

110,600

 
 

Elanco Animal Health Inc, 5.6500%, 8/28/28Ç

 

65,000

  

68,595

 
 

General Mills Inc, 2.8750%, 4/15/30

 

10,000

  

9,980

 
 

Hadrian Merger Sub Inc, 8.5000%, 5/1/26 (144A)

 

104,000

  

77,480

 
 

Hasbro Inc, 3.9000%, 11/19/29

 

114,000

  

102,676

 
 

HCA Inc, 4.1250%, 6/15/29

 

155,000

  

156,108

 
 

HCA Inc, 3.5000%, 9/1/30

 

141,000

  

128,011

 
 

HLF Financing Sarl LLC / Herbalife International Inc,

      
 

7.2500%, 8/15/26 (144A)

 

72,000

  

61,200

 
 

Kraft Heinz Foods Co, 3.7500%, 4/1/30 (144A)

 

64,000

  

61,040

 
 

Mylan Inc, 4.5500%, 4/15/28

 

86,000

  

84,194

 
 

Ortho-Clinical Diagnostics Inc / Ortho-Clinical Diagnostics SA,

      
 

7.2500%, 2/1/28 (144A)

 

16,000

  

13,758

 
 

Safeway Inc , 3.9500%, 8/15/20

 

26,000

  

25,513

 
 

Sysco Corp, 5.9500%, 4/1/30

 

43,000

  

45,278

 
 

Teva Pharmaceutical Finance Netherlands III BV, 2.8000%, 7/21/23

 

96,000

  

87,599

 
 

Teva Pharmaceutical Finance Netherlands III BV, 3.1500%, 10/1/26

 

126,000

  

106,136

 
 

Valvoline Inc, 4.2500%, 2/15/30 (144A)

 

59,000

  

54,870

 
  

2,008,877

 

Electric – 1.1%

   
 

AEP Transmission Co LLC, 3.6500%, 4/1/50

 

12,000

  

12,378

 
 

Ameren Corp, 3.5000%, 1/15/31

 

45,000

  

45,123

 
 

Black Hills Corp, 3.0500%, 10/15/29

 

125,000

  

120,027

 
 

Calpine Corp, 5.1250%, 3/15/28 (144A)

 

105,000

  

96,600

 
 

Duke Energy Florida LLC, 2.5000%, 12/1/29

 

65,000

  

63,881

 
 

Edison International, 4.9500%, 4/15/25

 

30,000

  

29,931

 
 

Exelon Corp, 4.7000%, 4/15/50

 

150,000

  

156,682

 
 

Oncor Electric Delivery Co LLC, 3.7000%, 5/15/50 (144A)

 

55,000

  

64,951

 
 

Vistra Operations Co LLC, 5.0000%, 7/31/27 (144A)

 

20,000

  

20,300

 
 

Xcel Energy Inc, 3.4000%, 6/1/30

 

61,000

  

61,831

 
  

671,704

 

Energy – 1.2%

   
 

Antero Resources Corp, 5.3750%, 11/1/21

 

170,000

  

123,675

 
 

Cheniere Corpus Christi Holdings LLC, 3.7000%, 11/15/29 (144A)

 

70,000

  

52,348

 
 

Continental Resources Inc/OK, 5.0000%, 9/15/22

 

25,000

  

15,498

 
 

DCP Midstream Operating LP, 5.6000%, 4/1/44

 

93,000

  

41,169

 
 

Energy Transfer Operating LP, 2.9000%, 5/15/25

 

30,000

  

25,332

 
 

Energy Transfer Operating LP, 3.7500%, 5/15/30

 

91,000

  

71,275

 
 

EnLink Midstream LLC, 5.3750%, 6/1/29#

 

41,000

  

21,320

 
 

EnLink Midstream Partners LP, ICE LIBOR USD 3 Month + 4.1100%, 6.0000%‡,µ

 

145,000

  

29,000

 
 

EQM Midstream Partners LP, 4.7500%, 7/15/23

 

5,000

  

3,619

 
 

EQM Midstream Partners LP, 4.0000%, 8/1/24

 

18,000

  

12,559

 
 

EQM Midstream Partners LP, 5.5000%, 7/15/28

 

78,000

  

43,345

 
 

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

 

59,000

  

41,465

 
 

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

 

8,000

  

7,633

 
 

NGPL PipeCo LLC, 7.7680%, 12/15/37 (144A)

 

69,000

  

68,744

 
 

QEP Resources Inc, 6.8750%, 3/1/21

 

201,000

  

102,510

 
 

Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp,

      
 

4.7500%, 10/1/23 (144A)

 

20,000

  

12,351

 

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds – (continued)

   

Energy – (continued)

   
 

USA Compression Partners LP / USA Compression Finance Corp, 6.8750%, 9/1/27

 

$50,000

  

$31,000

 
 

Western Midstream Operating LP, 4.0500%, 2/1/30

 

40,000

  

17,605

 
 

Western Midstream Operating LP, 5.2500%, 2/1/50

 

54,000

  

22,147

 
  

742,595

 

Finance Companies – 0.1%

   
 

Global Aircraft Leasing Co Ltd, 6.5000%, 9/15/24 (144A)

 

2,000

  

1,288

 
 

Springleaf Finance Corp, 6.8750%, 3/15/25

 

38,000

  

38,271

 
  

39,559

 

Financial Institutions – 0.3%

   
 

CPI Property Group SA, EUR SWAP ANNUAL 5 YR + 4.9440%, 4.8750%‡,µ

 

166,000

EUR

 

159,776

 

Industrial – 0.6%

   
 

AT Securities BV, USD SWAP SEMI 30/360 5YR + 3.5460%, 5.2500%‡,µ

 

250,000

  

226,640

 
 

Great Lakes Dredge & Dock Corp, 8.0000%, 5/15/22

 

135,000

  

132,131

 
  

358,771

 

Industrial Conglomerates – 0.5%

   
 

General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 5.0000%‡,µ

 

410,000

  

338,250

 

Insurance – 0.9%

   
 

Assurant Inc, 3.7000%, 2/22/30

 

143,000

  

139,734

 
 

Athene Holding Ltd, 6.1500%, 4/3/30

 

154,000

  

153,704

 
 

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

 

137,000

  

147,645

 
 

Magellan Health Inc, 4.9000%, 9/22/24

 

151,000

  

138,920

 
  

580,003

 

Real Estate Investment Trusts (REITs) – 0.5%

   
 

American Homes 4 Rent LP, 4.2500%, 2/15/28

 

153,000

  

151,755

 
 

EPR Properties, 3.7500%, 8/15/29

 

170,000

  

127,239

 
 

Senior Housing Properties Trust, 6.7500%, 12/15/21

 

27,000

  

26,918

 
  

305,912

 

Technology – 0.5%

   
 

Alliance Data Systems Corp, 4.7500%, 12/15/24 (144A)

 

104,000

  

79,040

 
 

Dell International LLC / EMC Corp, 5.3000%, 10/1/29 (144A)

 

99,000

  

96,295

 
 

Entegris Inc, 4.6250%, 2/10/26 (144A)

 

10,000

  

9,500

 
 

NVIDIA Corp, 2.8500%, 4/1/30

 

67,000

  

69,636

 
 

Oracle Corp, 3.6000%, 4/1/50

 

38,000

  

37,847

 
  

292,318

 

Transportation – 0.5%

   
 

Autostrade per l'Italia SpA, 4.3750%, 9/16/25

 

50,000

EUR

 

53,200

 
 

Cargo Aircraft Management Inc, 4.7500%, 2/1/28 (144A)

 

184,000

  

170,660

 
 

Watco Cos LLC / Watco Finance Corp, 6.3750%, 4/1/23 (144A)

 

60,000

  

58,500

 
  

282,360

 

Total Corporate Bonds (cost $15,228,762)

 

13,392,855

 

Mortgage-Backed Securities – 13.1%

   

Fannie Mae:

   
 

3.5000%, 7/25/33

 

156,928

  

165,168

 
 

3.0000%, 11/25/33

 

5,656

  

5,922

 
 

2.5000%, 8/25/34

 

3,284,000

  

3,408,299

 
 

4.0000%, 12/25/34

 

44,862

  

47,208

 
 

4.0000%, 8/25/48

 

34,000

  

36,294

 
  

3,662,891

 

Fannie Mae Pool:

   
 

3.0000%, 11/1/34

 

4,853

  

5,109

 
 

3.0000%, 12/1/34

 

4,924

  

5,182

 
 

6.0000%, 2/1/37

 

1,162

  

1,369

 
 

3.5000%, 10/1/42

 

10,075

  

10,788

 
 

3.5000%, 12/1/42

 

22,527

  

24,122

 
 

3.0000%, 2/1/43

 

1,648

  

1,745

 
 

3.5000%, 2/1/43

 

17,466

  

18,652

 
 

3.5000%, 4/1/43

 

18,220

  

19,458

 
 

3.0000%, 5/1/43

 

167,342

  

176,094

 
 

3.0000%, 5/1/43

 

3,238

  

3,425

 
 

3.5000%, 11/1/43

 

14,421

  

15,442

 
 

3.5000%, 4/1/44

 

19,303

  

20,717

 
 

5.0000%, 7/1/44

 

13,274

  

14,639

 
 

4.5000%, 10/1/44

 

6,937

  

7,603

 
 

3.5000%, 2/1/45

 

28,082

  

29,990

 
 

3.5000%, 2/1/45

 

3,876

  

4,139

 
 

4.5000%, 3/1/45

 

10,801

  

11,839

 
 

3.5000%, 12/1/45

 

6,846

  

7,345

 
 

4.5000%, 2/1/46

 

18,893

  

20,817

 
 

3.5000%, 7/1/46

 

26,827

  

28,697

 
 

3.5000%, 7/1/46

 

11,269

  

12,016

 
 

3.5000%, 8/1/46

 

17,293

  

18,408

 
 

3.0000%, 2/1/47

 

22,989

  

24,345

 

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities – (continued)

   

Fannie Mae Pool – (continued)

   
 

4.0000%, 5/1/47

 

$71,676

  

$77,970

 
 

4.5000%, 5/1/47

 

3,487

  

3,789

 
 

4.5000%, 5/1/47

 

2,918

  

3,164

 
 

4.5000%, 5/1/47

 

2,593

  

2,809

 
 

4.5000%, 5/1/47

 

2,216

  

2,400

 
 

4.5000%, 5/1/47

 

2,174

  

2,363

 
 

4.5000%, 5/1/47

 

2,029

  

2,200

 
 

4.5000%, 5/1/47

 

1,782

  

1,932

 
 

4.5000%, 5/1/47

 

1,337

  

1,453

 
 

4.5000%, 5/1/47

 

1,102

  

1,197

 
 

4.0000%, 6/1/47

 

2,931

  

3,146

 
 

4.0000%, 6/1/47

 

1,636

  

1,754

 
 

4.5000%, 6/1/47

 

10,363

  

11,223

 
 

4.5000%, 6/1/47

 

2,085

  

2,265

 
 

4.0000%, 7/1/47

 

2,656

  

2,851

 
 

4.0000%, 7/1/47

 

2,397

  

2,572

 
 

4.0000%, 7/1/47

 

1,873

  

2,007

 
 

4.0000%, 7/1/47

 

1,221

  

1,310

 
 

4.5000%, 7/1/47

 

7,477

  

8,097

 
 

4.5000%, 7/1/47

 

5,325

  

5,767

 
 

4.5000%, 7/1/47

 

4,643

  

5,028

 
 

3.5000%, 8/1/47

 

8,457

  

8,978

 
 

3.5000%, 8/1/47

 

6,317

  

6,723

 
 

4.0000%, 8/1/47

 

4,677

  

5,019

 
 

4.0000%, 8/1/47

 

2,676

  

2,872

 
 

4.5000%, 8/1/47

 

7,619

  

8,251

 
 

4.5000%, 8/1/47

 

982

  

1,063

 
 

4.0000%, 9/1/47

 

2,565

  

2,761

 
 

4.5000%, 9/1/47

 

9,041

  

9,790

 
 

4.5000%, 9/1/47

 

5,486

  

5,941

 
 

4.5000%, 9/1/47

 

4,496

  

4,869

 
 

4.0000%, 10/1/47

 

6,373

  

6,839

 
 

4.0000%, 10/1/47

 

5,887

  

6,338

 
 

4.0000%, 10/1/47

 

5,516

  

5,938

 
 

4.0000%, 10/1/47

 

3,506

  

3,774

 
 

4.0000%, 10/1/47

 

3,040

  

3,263

 
 

4.5000%, 10/1/47

 

2,288

  

2,477

 
 

4.5000%, 10/1/47

 

1,162

  

1,258

 
 

4.0000%, 11/1/47

 

2,123

  

2,278

 
 

4.5000%, 11/1/47

 

5,976

  

6,471

 
 

3.5000%, 12/1/47

 

11,742

  

12,496

 
 

3.5000%, 12/1/47

 

5,065

  

5,375

 
 

3.5000%, 1/1/48

 

8,319

  

8,853

 
 

3.5000%, 1/1/48

 

7,841

  

8,339

 
 

4.0000%, 1/1/48

 

28,940

  

31,139

 
 

4.0000%, 1/1/48

 

17,066

  

18,242

 
 

3.0000%, 2/1/48

 

24,459

  

25,858

 
 

3.5000%, 3/1/48

 

5,244

  

5,578

 
 

4.0000%, 3/1/48

 

11,369

  

12,223

 
 

4.5000%, 3/1/48

 

8,599

  

9,306

 
 

4.5000%, 4/1/48

 

8,283

  

8,964

 
 

4.0000%, 5/1/48

 

28,115

  

30,063

 
 

4.5000%, 5/1/48

 

5,692

  

6,161

 
 

4.5000%, 5/1/48

 

5,587

  

6,047

 
 

4.5000%, 6/1/48

 

6,035

  

6,531

 
 

4.5000%, 1/1/49

 

82,943

  

89,236

 
 

3.0000%, 8/1/49

 

47,972

  

50,625

 
 

3.0000%, 9/1/49

 

177,531

  

186,773

 
 

3.0000%, 9/1/49

 

77,005

  

81,020

 
 

3.0000%, 9/1/49

 

76,236

  

80,112

 
 

3.0000%, 9/1/49

 

27,297

  

28,774

 
 

3.0000%, 12/1/49

 

63,764

  

66,949

 
 

2.5000%, 1/1/50

 

58,590

  

60,901

 
 

3.0000%, 1/1/50

 

130,651

  

137,263

 
 

3.5000%, 1/1/50

 

81,948

  

87,191

 
 

3.0000%, 3/1/50

 

54,686

  

57,474

 
 

3.0000%, 3/1/50

 

34,212

  

35,946

 
 

3.5000%, 2/1/57

 

131,659

  

144,117

 
 

3.0000%, 6/1/57

 

1,120

  

1,203

 
  

2,024,900

 

Freddie Mac Gold Pool:

   
 

6.0000%, 4/1/40

 

26,872

  

31,736

 
 

3.0000%, 6/1/43

 

22,095

  

23,149

 
 

4.5000%, 5/1/44

 

6,603

  

7,241

 

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities – (continued)

   

Freddie Mac Gold Pool – (continued)

   
 

3.5000%, 9/1/47

 

$30,547

  

$32,570

 
 

3.5000%, 9/1/47

 

22,724

  

24,130

 
 

3.5000%, 9/1/47

 

12,808

  

13,587

 
 

3.5000%, 12/1/47

 

32,056

  

34,288

 
 

3.5000%, 3/1/48

 

5,848

  

6,234

 
 

3.5000%, 4/1/48

 

2,623

  

2,796

 
 

3.5000%, 8/1/48

 

23,107

  

24,630

 
 

3.5000%, 11/1/48

 

30,120

  

32,116

 
  

232,477

 

Freddie Mac Pool:

   
 

3.0000%, 1/1/33

 

5,730

  

6,020

 
 

2.5000%, 11/1/34

 

178,514

  

185,993

 
 

3.5000%, 2/1/43

 

9,557

  

10,207

 
 

3.0000%, 3/1/43

 

33,113

  

35,067

 
 

3.5000%, 2/1/44

 

10,760

  

11,491

 
 

3.5000%, 12/1/44

 

29,086

  

31,062

 
 

3.0000%, 1/1/45

 

7,841

  

8,290

 
 

3.5000%, 7/1/46

 

7,096

  

7,572

 
 

3.0000%, 10/1/46

 

35,010

  

36,882

 
 

4.0000%, 3/1/47

 

3,060

  

3,293

 
 

3.5000%, 11/1/47

 

22,309

  

23,854

 
 

3.5000%, 11/1/47

 

10,327

  

10,990

 
 

3.5000%, 12/1/47

 

22,453

  

24,008

 
 

3.5000%, 12/1/47

 

7,750

  

8,248

 
 

3.5000%, 2/1/48

 

7,434

  

7,909

 
 

3.5000%, 2/1/48

 

7,409

  

7,874

 
 

3.5000%, 3/1/48

 

23,058

  

24,655

 
 

4.0000%, 4/1/48

 

4,528

  

4,862

 
 

4.5000%, 1/1/49

 

52,156

  

56,112

 
 

4.5000%, 4/1/49

 

127,100

  

137,593

 
 

4.0000%, 5/1/49

 

37,734

  

40,402

 
 

4.5000%, 6/1/49

 

85,280

  

91,712

 
 

3.5000%, 7/1/49

 

189,376

  

201,295

 
 

3.0000%, 8/1/49

 

46,927

  

49,439

 
 

3.0000%, 8/1/49

 

15,302

  

16,148

 
 

3.5000%, 8/1/49

 

23,231

  

24,700

 
 

3.0000%, 9/1/49

 

9,969

  

10,467

 
 

3.5000%, 9/1/49

 

70,300

  

74,790

 
 

3.0000%, 10/1/49

 

62,423

  

65,628

 
 

3.0000%, 10/1/49

 

21,426

  

22,486

 
 

3.0000%, 10/1/49

 

19,255

  

20,207

 
 

3.0000%, 10/1/49

 

7,788

  

8,177

 
 

3.0000%, 10/1/49

 

6,869

  

7,212

 
 

3.0000%, 11/1/49

 

29,789

  

31,262

 
 

3.0000%, 11/1/49

 

8,238

  

8,645

 
 

3.0000%, 12/1/49

 

144,785

  

151,947

 
 

3.0000%, 12/1/49

 

87,466

  

91,793

 
 

3.0000%, 12/1/49

 

15,933

  

16,722

 
 

2.5000%, 1/1/50

 

27,334

  

28,412

 
 

3.0000%, 1/1/50

 

24,523

  

25,756

 
 

3.5000%, 1/1/50

 

54,208

  

57,676

 
 

3.0000%, 2/1/50

 

34,879

  

36,588

 
 

3.0000%, 2/1/50

 

21,753

  

22,847

 
 

3.0000%, 3/1/50

 

46,923

  

49,427

 
 

3.0000%, 3/1/50

 

45,934

  

48,277

 
 

3.0000%, 3/1/50

 

32,951

  

34,599

 
  

1,878,596

 

Ginnie Mae:

   
 

3.5000%, 5/20/49

 

27,125

  

28,621

 

Ginnie Mae I Pool:

   
 

4.5000%, 8/15/46

 

26,019

  

28,986

 
 

4.0000%, 7/15/47

 

11,204

  

12,065

 
 

4.0000%, 8/15/47

 

2,106

  

2,267

 
 

4.0000%, 11/15/47

 

6,375

  

6,865

 
 

4.0000%, 12/15/47

 

8,631

  

9,294

 
  

59,477

 

Ginnie Mae II Pool:

   
 

4.5000%, 2/20/48

 

10,984

  

11,668

 
 

4.5000%, 5/20/48

 

18,109

  

19,249

 
 

4.5000%, 5/20/48

 

4,383

  

4,659

 
 

5.0000%, 4/20/49

 

112,613

  

119,689

 
  

155,265

 

Total Mortgage-Backed Securities (cost $7,803,156)

 

8,042,227

 

        

Shares or
Principal Amounts

  

Value

 

Common Stocks – 49.3%

   

Aerospace & Defense – 1.5%

   
 

BWX Technologies Inc

 

11,598

  

$564,939

 
 

United Technologies Corp*

 

3,550

  

334,872

 
  

899,811

 

Banks – 4.0%

   
 

Citigroup Inc

 

7,918

  

333,506

 
 

Citizens Financial Group Inc

 

22,187

  

417,337

 
 

First Horizon National Corp

 

51,560

  

415,574

 
 

Pinnacle Financial Partners Inc

 

3,758

  

141,075

 
 

Regions Financial Corp

 

31,030

  

278,339

 
 

US Bancorp

 

12,075

  

415,984

 
 

Wells Fargo & Co

 

16,539

  

474,669

 
  

2,476,484

 

Beverages – 1.3%

   
 

PepsiCo Inc

 

6,633

  

796,623

 

Biotechnology – 1.3%

   
 

Gilead Sciences Inc

 

10,559

  

789,391

 

Capital Markets – 0.9%

   
 

Charles Schwab Corp

 

8,422

  

283,148

 
 

Cohen & Steers Inc

 

5,740

  

260,883

 
  

544,031

 

Chemicals – 2.5%

   
 

Corteva Inc

 

23,085

  

542,497

 
 

NewMarket Corp

 

1,401

  

536,401

 
 

WR Grace & Co

 

12,070

  

429,692

 
  

1,508,590

 

Commercial Services & Supplies – 1.1%

   
 

Republic Services Inc

 

3,600

  

270,216

 
 

UniFirst Corp/MA

 

2,549

  

385,128

 
  

655,344

 

Communications Equipment – 0.8%

   
 

Cisco Systems Inc

 

13,247

  

520,740

 

Consumer Finance – 0.8%

   
 

Discover Financial Services

 

8,588

  

306,334

 
 

Synchrony Financial

 

12,420

  

199,838

 
  

506,172

 

Containers & Packaging – 0.4%

   
 

Graphic Packaging Holding Co

 

18,863

  

230,129

 

Diversified Telecommunication Services – 0.8%

   
 

Singapore Telecommunications Ltd

 

260,100

  

465,258

 

Electric Utilities – 2.8%

   
 

Entergy Corp

 

1,965

  

184,651

 
 

Evergy Inc

 

8,150

  

448,658

 
 

Exelon Corp

 

15,608

  

574,530

 
 

PPL Corp

 

20,489

  

505,669

 
  

1,713,508

 

Energy Equipment & Services – 0.3%

   
 

Schlumberger Ltd

 

12,396

  

167,222

 

Equity Real Estate Investment Trusts (REITs) – 5.3%

   
 

Americold Realty Trust

 

19,628

  

668,137

 
 

Equity LifeStyle Properties Inc

 

10,438

  

599,976

 
 

Lamar Advertising Co

 

12,480

  

639,974

 
 

Public Storage

 

2,866

  

569,216

 
 

STAG Industrial Inc

 

13,634

  

307,038

 
 

Sunstone Hotel Investors Inc

 

14,488

  

126,190

 
 

Weyerhaeuser Co

 

19,262

  

326,491

 
  

3,237,022

 

Food & Staples Retailing – 0.6%

   
 

Casey's General Stores Inc

 

2,996

  

396,940

 

Food Products – 0.9%

   
 

Lamb Weston Holdings Inc

 

10,131

  

578,480

 

Gas Utilities – 0.3%

   
 

Southwest Gas Holdings Inc

 

2,706

  

188,229

 

Health Care Equipment & Supplies – 1.1%

   
 

Medtronic PLC

 

5,702

  

514,206

 
 

Stryker Corp

 

1,142

  

190,132

 
  

704,338

 

Health Care Providers & Services – 2.7%

   
 

Humana Inc

 

1,992

  

625,528

 
 

Quest Diagnostics Inc

 

12,707

  

1,020,372

 
  

1,645,900

 

Health Care Technology – 0.2%

   
 

Cerner Corp

 

1,493

  

94,044

 

        

Shares or
Principal Amounts

  

Value

 

Common Stocks – (continued)

   

Household Products – 1.2%

   
 

Colgate-Palmolive Co

 

11,039

  

$732,548

 

Industrial Conglomerates – 0.6%

   
 

Honeywell International Inc

 

2,608

  

348,924

 

Information Technology Services – 1.0%

   
 

Cognizant Technology Solutions Corp

 

13,624

  

633,107

 

Insurance – 2.4%

   
 

Axis Capital Holdings Ltd

 

4,046

  

156,378

 
 

Chubb Ltd

 

6,714

  

749,887

 
 

Hartford Financial Services Group Inc

 

12,177

  

429,117

 
 

RenaissanceRe Holdings Ltd

 

960

  

143,347

 
  

1,478,729

 

Life Sciences Tools & Services – 0.3%

   
 

Agilent Technologies Inc

 

2,260

  

161,861

 

Machinery – 1.0%

   
 

ANDRITZ AG*

 

8,867

  

278,930

 
 

Lincoln Electric Holdings Inc

 

5,059

  

349,071

 
  

628,001

 

Mortgage Real Estate Investment Trusts (REITs) – 0.3%

   
 

Anworth Mortgage Asset Corp

 

166,342

  

187,966

 

Multi-Utilities – 0.3%

   
 

CenterPoint Energy Inc

 

11,670

  

180,302

 

Oil, Gas & Consumable Fuels – 1.3%

   
 

Brigham Minerals Inc

 

22,347

  

184,810

 
 

Royal Dutch Shell PLC

 

27,733

  

485,206

 
 

Valero Energy Corp

 

3,342

  

151,593

 
  

821,609

 

Personal Products – 0.5%

   
 

Unilever NV

 

6,510

  

320,660

 

Pharmaceuticals – 4.8%

   
 

Johnson & Johnson

 

6,164

  

808,285

 
 

Merck & Co Inc

 

6,907

  

531,425

 
 

Pfizer Inc

 

32,021

  

1,045,086

 
 

Sanofi

 

5,977

  

526,075

 
  

2,910,871

 

Real Estate Management & Development – 0.5%

   
 

Bridgemarq Real Estate Services

 

47,374

  

283,820

 

Road & Rail – 0.5%

   
 

Union Pacific Corp

 

2,389

  

336,945

 

Semiconductor & Semiconductor Equipment – 2.0%

   
 

Analog Devices Inc

 

5,237

  

469,497

 
 

Maxim Integrated Products Inc

 

10,598

  

515,169

 
 

MKS Instruments Inc

 

2,656

  

216,331

 
  

1,200,997

 

Software – 2.6%

   
 

Citrix Systems Inc

 

5,650

  

799,757

 
 

Microsoft Corp

 

688

  

108,504

 
 

Oracle Corp

 

14,575

  

704,410

 
  

1,612,671

 

Specialty Retail – 0.2%

   
 

Lookers PLC

 

497,725

  

99,374

 

Textiles, Apparel & Luxury Goods – 0.2%

   
 

Kontoor Brands Inc

 

7,826

  

150,024

 

Total Common Stocks (cost $33,783,893)

 

30,206,665

 

Preferred Stocks – 0.7%

   

Consumer Finance – 0.1%

   
 

Synchrony Financial, 5.6250%µ

 

5,300

  

90,418

 

Electric Utilities – 0.3%

   
 

NextEra Energy Inc, 5.2790%, 3/1/23

 

3,833

  

168,516

 

Equity Real Estate Investment Trusts (REITs) – 0.3%

   
 

Crown Castle International Corp, 6.8750%, 8/1/20

 

140

  

180,998

 

Total Preferred Stocks (cost $459,359)

 

439,932

 

Investment Companies – 4.0%

   

Money Markets – 4.0%

   
 

Janus Henderson Cash Liquidity Fund LLC, 1.0691%ºº,£ (cost $2,430,000)

 

2,429,514

  

2,430,000

 

Investments Purchased with Cash Collateral from Securities Lending – 0.2%

   

Investment Companies – 0.2%

   
 

Janus Henderson Cash Collateral Fund LLC, 0.5667%ºº,£

 

91,236

  

91,236

 

        

Shares or
Principal Amounts

  

Value

 

Investments Purchased with Cash Collateral from Securities Lending – (continued)

   

Time Deposits – 0%

   
 

Canadian Imperial Bank of Commerce, 0.0200%, 4/1/20

 

$22,809

  

$22,809

 

Total Investments Purchased with Cash Collateral from Securities Lending (cost $114,045)

 

114,045

 

Total Investments (total cost $71,503,517) – 105.6%

 

64,703,452

 

Liabilities, net of Cash, Receivables and Other Assets – (5.6)%

 

(3,452,467)

 

Net Assets – 100%

 

$61,250,985

 
      

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

 
    

% of

 
    

Investment

 

Country

 

Value

 

Securities

 

United States

 

$56,331,212

 

87.1

%

Cayman Islands

 

2,078,189

 

3.2

 

United Kingdom

 

965,677

 

1.5

 

Netherlands

 

746,175

 

1.2

 

Canada

 

701,185

 

1.1

 

Luxembourg

 

668,086

 

1.0

 

France

 

526,075

 

0.8

 

Singapore

 

465,258

 

0.7

 

Zambia

 

342,500

 

0.5

 

Germany

 

310,437

 

0.5

 

Panama

 

297,000

 

0.5

 

Austria

 

278,930

 

0.4

 

Israel

 

193,735

 

0.3

 

Czech Republic

 

159,776

 

0.3

 

Brazil

 

155,800

 

0.2

 

South Korea

 

152,100

 

0.2

 

Switzerland

 

149,229

 

0.2

 

Ireland

 

75,623

 

0.1

 

Australia

 

53,265

 

0.1

 

Italy

 

53,200

 

0.1

 
      
      

Total

 

$64,703,452

 

100.0

%

 

Schedules of Affiliated Investments – (% of Net Assets)

           
 

Dividend

Income

Realized

Gain/(Loss)

Change in

Unrealized

Appreciation/

Depreciation

Value

at 3/31/20

Investment Companies - 4.0%

Money Markets - 4.0%

 

Janus Henderson Cash Liquidity Fund LLC, 1.0691%ºº

$

33,250

$

333

$

-

$

2,430,000

Investments Purchased with Cash Collateral from Securities Lending - 0.2%

Investment Companies - 0.2%

 

Janus Henderson Cash Collateral Fund LLC, 0.5667%ºº

 

64∆

 

-

 

-

 

91,236

Total Affiliated Investments - 4.2%

$

33,314

$

333

$

-

$

2,521,236

           
 

Value

at 6/30/19

Purchases

Sales Proceeds

Value

at 3/31/20

Investment Companies - 4.0%

Money Markets - 4.0%

 

Janus Henderson Cash Liquidity Fund LLC, 1.0691%ºº

 

717,149

 

36,649,615

 

(34,937,097)

 

2,430,000

           

Investments Purchased with Cash Collateral from Securities Lending - 0.2%

Investment Companies - 0.2%

 

Janus Henderson Cash Collateral Fund LLC, 0.5667%ºº

 

-

 

314,804

 

(223,568)

 

91,236

       

Schedule of Forward Foreign Currency Exchange Contracts, Open

      
         

Counterparty/

Foreign Currency

Settlement

Date

Foreign Currency

Amount (Sold)/

Purchased

 

USD Currency

Amount (Sold)/

Purchased

 

Market Value and

Unrealized

Appreciation/

(Depreciation)

 

Bank of America, National Association:

       

British Pound

4/28/20

16,590

$

(21,339)

$

(726)

 

Canadian Dollar

4/28/20

20,070

 

(14,200)

 

70

 

Euro

4/28/20

(34,000)

 

37,573

 

45

 

Euro

4/28/20

(308,830)

 

337,550

 

(3,328)

 

Singapore Dollar

4/28/20

12,850

 

(9,032)

 

17

 
        
      

(3,922)

 

Barclays Capital, Inc.:

       

British Pound

4/28/20

(6,080)

 

7,901

 

347

 

Canadian Dollar

4/28/20

10,600

 

(8,001)

 

(465)

 

Euro

4/28/20

(29,100)

 

31,805

 

(315)

 

Singapore Dollar

4/28/20

34,800

 

(25,116)

 

(609)

 
        
      

(1,042)

 

Citibank, National Association:

       

British Pound

4/28/20

(103,700)

 

134,257

 

5,408

 

British Pound

4/28/20

(164,450)

 

195,759

 

(8,574)

 

Canadian Dollar

4/28/20

(318,870)

 

236,403

 

9,686

 

Canadian Dollar

4/28/20

(127,280)

 

88,657

 

(1,839)

 

Euro

4/28/20

11,850

 

(12,699)

 

381

 

Euro

4/28/20

18,510

 

(20,651)

 

(221)

 

Singapore Dollar

4/28/20

(447,110)

 

322,427

 

7,565

 

Singapore Dollar

4/28/20

(250,120)

 

173,879

 

(2,260)

 
        
      

10,146

 

JPMorgan Chase Bank, National Association:

       

British Pound

4/28/20

(215,500)

 

279,913

 

12,151

 

Canadian Dollar

4/28/20

26,600

 

(20,020)

 

(1,107)

 

Euro

4/28/20

(1,031,000)

 

1,126,723

 

(11,266)

 

Singapore Dollar

4/28/20

(11,100)

 

8,008

 

191

 
        
      

(31)

 

Total

    

$

5,151

 

Schedule of Futures

              

Description

 

Number of

Contracts

 

Expiration

Date

 

Value and

Notional

Amount

 

Unrealized

Appreciation/

(Depreciation)

 

Variation Margin

Asset/(Liability)

 

Futures Purchased:

           

2-Year US Treasury Note

 

15

 

7/6/20

$

3,305,742

$

44,531

$

(469)

 

5-Year US Treasury Note

 

53

 

7/6/20

 

6,644,047

 

139,641

 

(2,484)

 

90 Day Euro

 

4

 

6/15/20

 

994,750

 

26,900

 

350

 

90 Day Euro

 

4

 

9/14/20

 

996,450

 

28,550

 

250

 

Ultra 10-Year Treasury Note

 

23

 

6/30/20

 

3,588,719

 

101,367

 

(7,547)

 

              

US Treasury Long Bond

 

7

 

6/30/20

 

1,253,438

 

84,055

 

(11,594)

 

Total - Futures Purchased

       

425,044

 

(21,494)

 

Futures Sold:

           

10-Year US Treasury Note

 

2

 

6/30/20

 

(277,375)

 

(7,931)

 

281

 

Total

      

$

417,113

$

(21,213)

 
  

Average Ending Monthly Market Value of Derivative Instruments During the Period Ended March 31, 2020

  

 

Market Value(a)

Credit default swaps, buy protection

$ (37,176)

Forward foreign currency exchange contracts, purchased

85,438

Forward foreign currency exchange contracts, sold

3,385,443

Futures contracts, purchased

13,376,322

Futures contracts, sold

1,138,205

  

(a) Forward foreign currency exchange contracts are reported as the average ending monthly currency amount purchased or sold.

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

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, 2020 is $14,841,377, which represents 24.2% 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, 2020. 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, 2020.

  

#

Loaned security; a portion of the security is on loan at March 31, 2020.

  

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.

  

¤

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.

 

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, 2020.

 

              

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

$

-

$

7,606,746

$

-

Bank Loans and Mezzanine Loans

 

-

 

2,470,982

 

-

Corporate Bonds

 

-

 

13,392,855

 

-

Mortgage-Backed Securities

 

-

 

8,042,227

 

-

Common Stocks

      

Diversified Telecommunication Services

 

-

 

465,258

 

-

Machinery

 

349,071

 

278,930

 

-

Oil, Gas & Consumable Fuels

 

336,403

 

485,206

 

-

Personal Products

 

-

 

320,660

 

-

Pharmaceuticals

 

2,384,796

 

526,075

 

-

Specialty Retail

 

-

 

99,374

 

-

All Other

 

24,960,892

 

-

 

-

Preferred Stocks

 

-

 

439,932

 

-

Investment Companies

 

-

 

2,430,000

 

-

Investments Purchased with Cash Collateral from Securities Lending

 

-

 

114,045

 

-

Total Investments in Securities

$

28,031,162

$

36,672,290

$

-

Other Financial Instruments(a):

      

Forward Foreign Currency Exchange Contracts

 

-

 

35,861

 

-

Variation Margin Receivable

 

881

 

-

 

-

Total Assets

$

28,032,043

$

36,708,151

$

-

Liabilities

      

Other Financial Instruments(a):

      

Forward Foreign Currency Exchange Contracts

$

-

$

30,710

$

-

Variation Margin Payable

 

22,094

 

-

 

-

Total Liabilities

$

22,094

$

30,710

$

-

       

(a)

Other financial instruments include forward foreign currency exchange, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures, certain written options on futures, and centrally cleared swap contracts are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Written options, written swaptions, and other swap contracts are reported at their market value at measurement date.

Investment Valuation

Securities held by the Fund 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 Fund 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 Fund 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 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 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, 2020 to fair value the Fund’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments.

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