NPORT-EX 2 nportex-08.htm

Janus Henderson Balanced Fund

Schedule of Investments (unaudited)

December 31, 2022

        

Shares or
Principal Amounts

  

Value

 

Asset-Backed/Commercial Mortgage-Backed Securities– 8.7%

   
 

208 Park Avenue Mortgage Trust 2017-280P,

      
 

ICE LIBOR USD 1 Month + 0.8800%, 5.1170%, 9/15/34 (144A)‡

 

$11,417,538

  

$11,138,387

 
 

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

 

7,294,096

  

7,158,261

 
 

ACM Auto Trust 2022-1A A, 3.2300%, 4/20/29 (144A)

 

2,580,245

  

2,567,583

 
 

Affirm Asset Securitization Trust 2021-B A, 1.0300%, 8/17/26 (144A)

 

12,148,000

  

11,516,673

 
 

Aimco 2020-11A AR,

      
 

ICE LIBOR USD 3 Month + 1.1300%, 5.2091%, 10/17/34 (144A)‡

 

5,821,000

  

5,666,214

 
 

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

 

1,562,381

  

1,498,497

 
 

Angel Oak Mortgage Trust I LLC 2019-6,

      
 

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

 

1,349,799

  

1,279,077

 
 

Angel Oak Mortgage Trust I LLC 2020-3,

      
 

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

 

3,272,587

  

2,958,138

 
 

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

 

5,485,031

  

4,925,708

 
 

ARES CLO Ltd 2021-60A A,

      
 

ICE LIBOR USD 3 Month + 1.1200%, 3.8603%, 7/18/34 (144A)‡

 

5,454,000

  

5,305,100

 
 

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

 

6,788,962

  

6,589,238

 
 

Babson CLO Ltd 2018-3A A1,

      
 

ICE LIBOR USD 3 Month + 0.9500%, 5.1926%, 7/20/29 (144A)‡

 

9,817,983

  

9,740,559

 
 

Babson CLO Ltd 2019-3A A1R,

      
 

ICE LIBOR USD 3 Month + 1.0700%, 5.3126%, 4/20/31 (144A)‡

 

22,450,000

  

22,130,536

 
 

Babson CLO Ltd 2020-4A A,

      
 

ICE LIBOR USD 3 Month + 1.2200%, 3.9299%, 1/20/32 (144A)‡

 

7,293,853

  

7,177,815

 
 

Barclays Commercial Mortgage Securities LLC 2015-SRCH,

      
 

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

 

8,386,000

  

7,805,545

 
 

Barclays Commercial Mortgage Securities LLC 2017-DELC,

      
 

ICE LIBOR USD 1 Month + 0.9750%, 5.2929%, 8/15/36 (144A)‡

 

7,553,000

  

7,415,581

 
 

BPR Trust 2022-OANA A,

      
 

CME Term SOFR 1 Month + 1.8980%, 6.2336%, 4/15/37 (144A)‡

 

33,039,000

  

32,533,867

 
 

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

 

4,134,000

  

3,399,026

 
 

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

 

8,218,000

  

6,789,772

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

CME Term SOFR 1 Month + 1.0345%, 5.3701%, 10/15/36 (144A)‡

 

20,264,599

  

20,014,464

 
 

BX Commercial Mortgage Trust 2019-XL,

      
 

CME Term SOFR 1 Month + 1.1945%, 5.5301%, 10/15/36 (144A)‡

 

6,531,400

  

6,411,256

 
 

BX Commercial Mortgage Trust 2020-VKNG A,

      
 

CME Term SOFR 1 Month + 1.0445%, 5.3801%, 10/15/37 (144A)‡

 

3,140,315

  

3,066,011

 
 

BX Commercial Mortgage Trust 2021-LBA AJV,

      
 

ICE LIBOR USD 1 Month + 0.8000%, 5.1180%, 2/15/36 (144A)‡

 

18,764,000

  

17,841,864

 
 

BX Commercial Mortgage Trust 2021-LBA AV,

      
 

ICE LIBOR USD 1 Month + 0.8000%, 5.1180%, 2/15/36 (144A)‡

 

18,857,000

  

17,962,652

 
 

BX Commercial Mortgage Trust 2021-VINO A,

      
 

ICE LIBOR USD 1 Month + 0.6523%, 4.9703%, 5/15/38 (144A)‡

 

18,990,000

  

18,290,303

 
 

BX Commercial Mortgage Trust 2021-VOLT B,

      
 

ICE LIBOR USD 1 Month + 0.9500%, 5.2679%, 9/15/36 (144A)‡

 

15,945,000

  

15,081,438

 
 

BX Commercial Mortgage Trust 2021-VOLT D,

      
 

ICE LIBOR USD 1 Month + 1.6500%, 5.9679%, 9/15/36 (144A)‡

 

16,692,000

  

15,621,452

 
 

BX Commercial Mortgage Trust 2022-FOX2 A2,

      
 

CME Term SOFR 1 Month + 0.7492%, 5.0848%, 4/15/39 (144A)‡

 

19,343,000

  

17,811,702

 
 

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

 

4,190,000

  

3,685,645

 
 

Carvana Auto Receivables Trust 2021-P4 A2, 0.8200%, 4/10/25

 

5,325,373

  

5,256,918

 
 

CBAM CLO Management 2019-11RA A1,

      
 

ICE LIBOR USD 3 Month + 1.1800%, 5.4226%, 1/20/35 (144A)‡

 

16,984,000

  

16,534,603

 
 

CBAM CLO Management 2019-11RA B,

      
 

ICE LIBOR USD 3 Month + 1.7500%, 5.9926%, 1/20/35 (144A)‡

 

6,819,244

  

6,483,076

 
 

Cedar Funding Ltd 2019-11A A1R,

      
 

ICE LIBOR USD 3 Month + 1.0500%, 5.7863%, 5/29/32 (144A)‡

 

21,276,000

  

20,864,012

 
 

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

 

16,024,118

  

13,822,438

 
 

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

 

6,051,039

  

4,966,817

 
 

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

 

21,536,688

  

20,875,941

 
 

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

 

50,336,804

  

47,686,033

 
 

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

 

3,148,941

  

3,022,558

 
 

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

 

7,089,508

  

6,774,383

 
 

Chase Mortgage Finance Corp 2021-CL1 M1,

      
 

US 30 Day Average SOFR + 1.2000%, 5.1277%, 2/25/50 (144A)‡

 

15,647,762

  

14,172,181

 
 

CIFC Funding Ltd 2018-3A A,

      
 

ICE LIBOR USD 3 Month + 1.1000%, 5.2937%, 7/18/31 (144A)‡

 

10,918,000

  

10,742,133

 
 

CIFC Funding Ltd 2021-4A A,

      
 

ICE LIBOR USD 3 Month + 1.0500%, 5.1291%, 7/15/33 (144A)‡

 

19,742,995

  

19,433,287

 
        

        

Shares or
Principal Amounts

  

Value

 

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

   
 

CIFC Funding Ltd 2021-7A B,

      
 

ICE LIBOR USD 3 Month + 1.6000%, 5.9246%, 1/23/35 (144A)‡

 

$5,524,216

  

$5,274,781

 
 

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

 

8,660,674

  

8,154,771

 
 

Cold Storage Trust 2020-ICE5 A,

      
 

ICE LIBOR USD 1 Month + 0.9000%, 5.2179%, 11/15/37 (144A)‡

 

24,568,865

  

23,925,735

 
 

Cold Storage Trust 2020-ICE5 B,

      
 

ICE LIBOR USD 1 Month + 1.3000%, 5.6179%, 11/15/37 (144A)‡

 

10,924,957

  

10,576,954

 
 

Cold Storage Trust 2020-ICE5 C,

      
 

ICE LIBOR USD 1 Month + 1.6500%, 5.9679%, 11/15/37 (144A)‡

 

10,966,242

  

10,606,920

 
 

COLT Funding LLC 2020-2,

      
 

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

 

319,133

  

310,452

 
 

COLT Funding LLC 2020-3,

      
 

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

 

1,167,266

  

1,080,944

 
 

Conn Funding II LP 2021-A A, 1.0500%, 5/15/26 (144A)

 

11,983

  

11,963

 
 

Connecticut Avenue Securities Trust 2014-C04,

      
 

ICE LIBOR USD 1 Month + 4.9000%, 9.2887%, 11/25/24‡

 

693,943

  

713,560

 
 

Connecticut Avenue Securities Trust 2015-C01 1M2,

      
 

ICE LIBOR USD 1 Month + 4.3000%, 8.6887%, 2/25/25‡

 

4,289,154

  

4,372,371

 
 

Connecticut Avenue Securities Trust 2018-R07,

      
 

ICE LIBOR USD 1 Month + 2.4000%, 6.7887%, 4/25/31 (144A)‡

 

1,412,108

  

1,407,925

 
 

Connecticut Avenue Securities Trust 2019-R02,

      
 

ICE LIBOR USD 1 Month + 2.3000%, 6.6887%, 8/25/31 (144A)‡

 

449,169

  

448,304

 
 

Connecticut Avenue Securities Trust 2019-R03,

      
 

ICE LIBOR USD 1 Month + 2.1500%, 6.5387%, 9/25/31 (144A)‡

 

760,467

  

758,323

 
 

Connecticut Avenue Securities Trust 2019-R07,

      
 

ICE LIBOR USD 1 Month + 2.1000%, 6.4887%, 10/25/39 (144A)‡

 

1,011,601

  

1,008,863

 
 

Connecticut Avenue Securities Trust 2021-R02 2M2,

      
 

US 30 Day Average SOFR + 2.0000%, 5.9277%, 11/25/41 (144A)‡

 

32,659,000

  

30,394,078

 
 

Connecticut Avenue Securities Trust 2021-R03 1M2,

      
 

US 30 Day Average SOFR + 1.6500%, 5.5777%, 12/25/41 (144A)‡

 

10,646,000

  

9,885,845

 
 

Connecticut Avenue Securities Trust 2022-R02 2M2,

      
 

US 30 Day Average SOFR + 3.0000%, 6.9277%, 1/25/42 (144A)‡

 

12,368,000

  

11,655,741

 
 

Connecticut Avenue Securities Trust 2022-R03 1M1,

      
 

US 30 Day Average SOFR + 2.1000%, 6.0277%, 3/25/42 (144A)‡

 

22,764,418

  

22,636,811

 
 

Connecticut Avenue Securities Trust 2022-R04 1M1,

      
 

US 30 Day Average SOFR + 2.0000%, 5.9277%, 3/25/42 (144A)‡

 

9,768,597

  

9,745,069

 
 

Connecticut Avenue Securities Trust 2022-R05 2M1,

      
 

US 30 Day Average SOFR + 1.9000%, 5.8277%, 4/25/42 (144A)‡

 

10,759,009

  

10,655,975

 
 

Connecticut Avenue Securities Trust 2022-R05 2M2,

      
 

US 30 Day Average SOFR + 3.0000%, 6.9277%, 4/25/42 (144A)‡

 

9,001,000

  

8,764,026

 
 

Connecticut Avenue Securities Trust 2022-R06 1M1,

      
 

US 30 Day Average SOFR + 2.7500%, 6.6777%, 5/25/42 (144A)‡

 

7,212,428

  

7,278,243

 
 

Connecticut Avenue Securities Trust 2022-R08 1M1,

      
 

US 30 Day Average SOFR + 2.5500%, 6.4777%, 7/25/42 (144A)‡

 

5,814,766

  

5,831,331

 
 

Connecticut Avenue Securities Trust 2022-R09 2M1,

      
 

US 30 Day Average SOFR + 2.5000%, 6.4444%, 9/25/42 (144A)‡

 

21,667,734

  

21,517,608

 
 

Consumer Loan Underlying Bond Credit Trust 2018-P3 C,

      
 

5.5400%, 1/15/26 (144A)

 

288,138

  

287,992

 
 

Consumer Loan Underlying Bond Credit Trust 2019-P2 C,

      
 

4.4100%, 10/15/26 (144A)

 

2,120,147

  

2,107,152

 
 

Consumer Loan Underlying Bond Credit Trust 2020-P1 C,

      
 

4.6100%, 3/15/28 (144A)

 

992,186

  

982,608

 
 

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

 

8,793,973

  

8,650,446

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4,

      
 

ICE LIBOR USD 1 Month + 0.9800%, 5.2980%, 5/15/36 (144A)‡

 

26,562,000

  

26,256,896

 
 

Credit Suisse Commercial Mortgage Trust 2019-ICE4 C,

      
 

ICE LIBOR USD 1 Month + 1.4300%, 5.7480%, 5/15/36 (144A)‡

 

5,508,000

  

5,388,094

 
 

Credit Suisse Commercial Mortgage Trust 2021-WEHO A,

      
 

ICE LIBOR USD 1 Month + 3.9693%, 8.2873%, 4/15/23 (144A)‡

 

12,440,454

  

12,080,182

 
 

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

 

17,354,000

  

14,214,432

 
 

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

 

11,599,680

  

10,941,742

 
 

Dryden Senior Loan Fund 2020-83A A,

      
 

ICE LIBOR USD 3 Month + 1.2200%, 5.4137%, 1/18/32 (144A)‡

 

7,111,119

  

6,995,286

 
 

Elmwood CLO VIII Ltd 2019-2A AR,

      
 

ICE LIBOR USD 3 Month + 1.1500%, 3.8599%, 4/20/34 (144A)‡

 

8,217,000

  

8,022,619

 
 

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

 

8,200,000

  

8,123,171

 
 

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

 

11,355,000

  

10,581,413

 
 

Extended Stay America Trust 2021-ESH A,

      
 

ICE LIBOR USD 1 Month + 1.0800%, 5.3980%, 7/15/38 (144A)‡

 

8,882,373

  

8,624,142

 
 

Extended Stay America Trust 2021-ESH B,

      
 

ICE LIBOR USD 1 Month + 1.3800%, 5.6980%, 7/15/38 (144A)‡

 

5,714,629

  

5,474,586

 
 

Fannie Mae Connecticut Avenue Securities,

      
 

ICE LIBOR USD 1 Month + 5.0000%, 9.3887%, 7/25/25‡

 

3,235,760

  

3,355,924

 
 

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

 

7,974,600

  

7,194,477

 
 

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

 

10,501,743

  

9,323,099

 

2

        

Shares or
Principal Amounts

  

Value

 

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

   
 

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

 

$33,556,302

  

$28,005,153

 
 

Foursight Capital Auto Receivables Trust 2021-1 B, 0.8700%, 1/15/26 (144A)

 

7,165,000

  

6,983,422

 
 

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

      
 

ICE LIBOR USD 1 Month + 1.9500%, 6.3387%, 10/25/49 (144A)‡

 

349,473

  

349,246

 
 

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

      
 

US 30 Day Average SOFR + 2.0000%, 5.9277%, 12/25/50 (144A)‡

 

14,876,627

  

14,759,070

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA2 M2,

      
 

ICE LIBOR USD 1 Month + 3.1000%, 7.4887%, 3/25/50 (144A)‡

 

4,653,282

  

4,689,510

 
 

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

      
 

ICE LIBOR USD 1 Month + 3.1500%, 7.5387%, 9/25/50 (144A)‡

 

73,487

  

73,488

 
 

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

      
 

US 30 Day Average SOFR + 2.6000%, 6.5277%, 11/25/50 (144A)‡

 

16,487,585

  

16,287,097

 
 

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

      
 

US 30 Day Average SOFR + 2.3000%, 6.2277%, 8/25/33 (144A)‡

 

10,269,549

  

10,155,604

 
 

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

      
 

US 30 Day Average SOFR + 0.8500%, 4.7777%, 11/25/41 (144A)‡

 

12,767,291

  

12,498,066

 
 

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

      
 

US 30 Day Average SOFR + 2.2500%, 6.1777%, 8/25/33 (144A)‡

 

23,429,000

  

21,582,039

 
 

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

      
 

US 30 Day Average SOFR + 0.9500%, 4.8777%, 12/25/41 (144A)‡

 

22,530,466

  

21,376,408

 
 

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

      
 

US 30 Day Average SOFR + 1.3000%, 5.2277%, 2/25/42 (144A)‡

 

4,944,795

  

4,871,108

 
 

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

      
 

US 30 Day Average SOFR + 2.0000%, 5.9277%, 4/25/42 (144A)‡

 

4,618,582

  

4,601,305

 
 

Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A,

      
 

US 30 Day Average SOFR + 2.9500%, 6.8777%, 6/25/42 (144A)‡

 

14,550,405

  

14,682,786

 
 

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

      
 

US 30 Day Average SOFR + 2.1500%, 6.0777%, 9/25/42 (144A)‡

 

3,779,924

  

3,766,717

 
 

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

      
 

US 30 Day Average SOFR + 2.1000%, 6.0277%, 3/25/42 (144A)‡

 

10,043,979

  

9,951,770

 
 

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

      
 

US 30 Day Average SOFR + 2.6500%, 6.5777%, 7/25/42 (144A)‡

 

7,416,924

  

7,428,650

 
 

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

      
 

US 30 Day Average SOFR + 2.3000%, 6.2277%, 8/25/42 (144A)‡

 

6,614,921

  

6,587,780

 
 

FREED ABS Trust 2019-2 C, 4.8600%, 11/18/26 (144A)

 

1,420,287

  

1,418,782

 
 

FREED ABS Trust 2022-3FP A, 4.5000%, 8/20/29 (144A)

 

6,815,977

  

6,790,066

 
 

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

 

42,862,605

  

35,303,488

 
 

Great Wolf Trust,

      
 

ICE LIBOR USD 1 Month + 1.0340%, 5.3520%, 12/15/36 (144A)‡

 

19,125,000

  

18,559,531

 
 

Great Wolf Trust,

      
 

ICE LIBOR USD 1 Month + 1.3340%, 5.6520%, 12/15/36 (144A)‡

 

4,405,000

  

4,234,630

 
 

Great Wolf Trust,

      
 

ICE LIBOR USD 1 Month + 1.6330%, 5.9510%, 12/15/36 (144A)‡

 

4,900,000

  

4,700,831

 
 

Highbridge Loan Management Ltd 2021-16A B,

      
 

ICE LIBOR USD 3 Month + 1.7000%, 6.0246%, 1/23/35 (144A)‡

 

5,360,143

  

5,094,891

 
 

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

      
 

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

 

20,581,000

  

18,923,073

 
 

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

      
 

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

 

14,000,000

  

12,836,210

 
 

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

 

6,294,475

  

6,108,676

 
 

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

 

20,863,650

  

20,520,280

 
 

LCM LP 24A AR, ICE LIBOR USD 3 Month + 0.9800%, 5.2226%, 3/20/30 (144A)‡

 

7,095,432

  

6,980,223

 
 

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

 

17,337,211

  

16,655,101

 
 

Life Financial Services Trust 2021-BMR A,

      
 

ICE LIBOR USD 1 Month + 0.7000%, 5.0180%, 3/15/38 (144A)‡

 

26,199,103

  

25,368,749

 
 

Life Financial Services Trust 2021-BMR C,

      
 

ICE LIBOR USD 1 Month + 1.1000%, 5.4180%, 3/15/38 (144A)‡

 

15,119,064

  

14,370,129

 
 

Life Financial Services Trust 2022-BMR2 A1,

      
 

CME Term SOFR 1 Month + 1.2952%, 5.6309%, 5/15/39 (144A)‡

 

36,759,000

  

35,848,519

 
 

Life Financial Services Trust 2022-BMR2 B,

      
 

CME Term SOFR 1 Month + 1.7939%, 6.1295%, 5/15/39 (144A)‡

 

6,155,000

  

5,941,898

 
 

Madison Park Funding Ltd 2019-35A A1R,

      
 

ICE LIBOR USD 3 Month + 0.9900%, 5.2326%, 4/20/32 (144A)‡

 

28,249,000

  

27,763,004

 
 

MED Trust 2021-MDLN C,

      
 

ICE LIBOR USD 1 Month + 1.8000%, 6.1180%, 11/15/38 (144A)‡

 

4,649,000

  

4,408,647

 
 

MED Trust 2021-MDLN D,

      
 

ICE LIBOR USD 1 Month + 2.0000%, 6.3180%, 11/15/38 (144A)‡

 

4,904,000

  

4,642,361

 
 

MED Trust 2021-MDLN E,

      
 

ICE LIBOR USD 1 Month + 3.1500%, 7.4680%, 11/15/38 (144A)‡

 

21,424,000

  

19,885,950

 
 

MED Trust 2021-MDLN F,

      
 

ICE LIBOR USD 1 Month + 4.0000%, 8.3180%, 11/15/38 (144A)‡

 

14,528,000

  

13,379,115

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV2 A11,

      
 

US 30 Day Average SOFR + 0.9500%, 4.4708%, 8/25/51 (144A)‡

 

11,164,410

  

10,067,257

 
 

Mello Mortgage Capital Acceptance Trust 2021-INV3 A11,

      
 

US 30 Day Average SOFR + 0.9500%, 4.4708%, 10/25/51 (144A)‡

 

13,958,171

  

12,602,026

 

3

        

Shares or
Principal Amounts

  

Value

 

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

   
 

Mello Mortgage Capital Acceptance Trust 2021-INV4 A3,

      
 

2.5000%, 12/25/51 (144A)‡

 

$8,460,008

  

$6,756,478

 
 

Mello Mortgage Capital Acceptance Trust 2022-INV1 A2,

      
 

3.0000%, 3/25/52 (144A)‡

 

29,019,108

  

23,796,970

 
 

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

      
 

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

 

14,022,000

  

13,423,423

 
 

MHC Commercial Mortgage Trust 2021-MHC A,

      
 

ICE LIBOR USD 1 Month + 0.8010%, 5.1190%, 4/15/38 (144A)‡

 

27,729,249

  

26,899,372

 
 

MHC Commercial Mortgage Trust 2021-MHC C,

      
 

ICE LIBOR USD 1 Month + 1.3510%, 5.6690%, 4/15/38 (144A)‡

 

15,653,295

  

14,919,252

 
 

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

 

8,554,000

  

7,027,238

 
 

New Residential Mortgage Loan Trust 2018-2,

      
 

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

 

1,442,798

  

1,362,955

 
 

NRZ Excess Spread Collateralized Notes 2020-PLS1 A,

      
 

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

 

3,992,575

  

3,638,725

 
 

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

 

10,193,241

  

8,849,715

 
 

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

      
 

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

 

13,086,621

  

11,634,567

 
 

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

 

6,211,164

  

6,093,209

 
 

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

 

6,417,180

  

6,381,365

 
 

Oceanview Mortgage Trust 2021-5 AF,

      
 

US 30 Day Average SOFR + 0.8500%, 4.3708%, 11/25/51 (144A)‡

 

15,739,799

  

14,136,041

 
 

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

 

17,347,529

  

14,477,749

 
 

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

 

32,273,121

  

26,934,273

 
 

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

 

9,787,910

  

7,825,164

 
 

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

 

32,510,935

  

27,138,454

 
 

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

 

13,785,795

  

10,910,690

 
 

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

 

8,989,056

  

8,571,623

 
 

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

 

9,524,322

  

8,935,751

 
 

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

 

24,448,749

  

21,984,029

 
 

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

 

18,097,404

  

16,392,350

 
 

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

 

24,988,376

  

23,349,965

 
 

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

 

6,416,977

  

6,403,752

 
 

Regatta XXIII Funding Ltd 2021-4A B,

      
 

ICE LIBOR USD 3 Month + 1.7000%, 5.9426%, 1/20/35 (144A)‡

 

5,891,224

  

5,613,588

 
 

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

 

3,623,786

  

3,499,677

 
 

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

 

14,051,070

  

13,605,101

 
 

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

 

5,407,676

  

5,377,769

 
 

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

 

27,434,000

  

26,303,920

 
 

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

 

2,291,663

  

1,977,956

 
 

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

 

953,796

  

831,663

 
 

SMRT 2022-MINI A, CME Term SOFR 1 Month + 1.0000%, 5.3360%, 1/15/39 (144A)‡

 

10,990,000

  

10,609,208

 
 

Sound Point CLO Ltd 2019-1A AR,

      
 

ICE LIBOR USD 3 Month + 1.0800%, 3.7899%, 1/20/32 (144A)‡

 

26,345,000

  

25,783,483

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A1,

      
 

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

 

140,427

  

138,135

 
 

Spruce Hill Mortgage Loan Trust 2020-SH1 A2,

      
 

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

 

740,898

  

726,999

 
 

SREIT Trust 2021-MFP A,

      
 

ICE LIBOR USD 1 Month + 0.7308%, 5.0487%, 11/15/38 (144A)‡

 

2,350,000

  

2,259,848

 
 

Tesla Auto Lease Trust 2021-B A3, 0.6000%, 9/22/25 (144A)

 

8,570,000

  

8,069,983

 
 

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

 

4,395,000

  

4,060,740

 
 

Theorem Funding Trust 2021-1A A, 1.2100%, 12/15/27 (144A)

 

8,607,042

  

8,448,515

 
 

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

      
 

ICE LIBOR USD 3 Month + 1.1600%, 3.8699%, 7/20/34 (144A)‡

 

7,594,000

  

7,364,555

 
 

TPI Re-Remic Trust 2022-FRR1 AK33, 0%, 7/25/46 (144A)◊

 

8,395,000

  

8,071,033

 
 

TPI Re-Remic Trust 2022-FRR1 AK34, 0%, 7/25/46 (144A)◊

 

6,915,000

  

6,648,147

 
 

TPI Re-Remic Trust 2022-FRR1 AK35, 0%, 8/25/46 (144A)◊

 

9,375,000

  

8,958,275

 
 

Tricolor Auto Securitization Trust 2022-1A A, 3.3000%, 2/18/25 (144A)

 

2,087,996

  

2,069,503

 
 

United Wholesale Mortgage LLC 2021-INV1 A9,

      
 

US 30 Day Average SOFR + 0.9000%, 4.4208%, 8/25/51 (144A)‡

 

13,337,306

  

12,009,444

 
 

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

 

6,518,744

  

5,258,754

 
 

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

 

5,565,657

  

5,386,208

 
 

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

 

3,853,349

  

3,709,386

 
 

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

 

16,911,690

  

16,234,595

 
 

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

 

24,587,888

  

23,934,070

 
 

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

 

17,832,000

  

15,697,214

 
 

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

 

11,511,000

  

9,421,979

 
 

VASA Trust 2021-VASA A,

      
 

ICE LIBOR USD 1 Month + 0.9000%, 5.2180%, 7/15/39 (144A)‡

 

8,418,000

  

7,789,905

 
 

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

 

2,925,626

  

2,758,052

 
 

VMC Finance LLC 2021-HT1 A,

      
 

ICE LIBOR USD 1 Month + 1.6500%, 5.9891%, 1/18/37 (144A)‡

 

10,311,722

  

9,953,519

 
        

4

        

Shares or
Principal Amounts

  

Value

 

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

   
 

Wells Fargo Commercial Mortgage Trust 2021-SAVE A,

      
 

ICE LIBOR USD 1 Month + 1.1500%, 5.4680%, 2/15/40 (144A)‡

 

$8,375,727

  

$7,825,527

 
 

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

 

5,242,688

  

4,998,256

 
 

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

 

12,457,000

  

12,169,176

 
 

Woodward Capital Management 2021-3 A21,

      
 

US 30 Day Average SOFR + 0.8000%, 4.3208%, 7/25/51 (144A)‡

 

9,975,292

  

8,939,010

 

Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $2,091,198,525)

 

1,975,036,557

 

Corporate Bonds– 8.1%

   

Banking – 3.5%

   
 

American Express Co, SOFR + 2.2550%, 4.9890%, 5/26/33‡

 

19,419,000

  

18,665,734

 
 

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

 

12,653,000

  

11,709,003

 
 

Bank of America Corp, SOFR + 1.5800%, 4.3760%, 4/27/28‡

 

31,762,000

  

30,374,730

 
 

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

 

29,671,000

  

30,634,468

 
 

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

 

11,944,000

  

11,021,025

 
 

Bank of America Corp, SOFR + 1.0600%, 2.0870%, 6/14/29‡

 

25,438,000

  

21,405,926

 
 

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

 

25,685,000

  

20,918,787

 
 

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

 

21,700,000

  

20,839,831

 
 

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

 

7,250,000

  

7,025,261

 
 

Bank of Montreal,

      
 

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

 

53,212,000

  

40,233,794

 
 

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

 

12,805,000

  

11,262,029

 
 

BNP Paribas SA, SOFR + 1.5610%, 3.1320%, 1/20/33 (144A)‡

 

10,937,000

  

8,635,462

 
 

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

 

36,115,000

  

33,748,307

 
 

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

 

24,901,000

  

22,866,504

 
 

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

 

8,824,000

  

8,598,142

 
 

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

 

8,361,000

  

7,530,753

 
 

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

 

2,012,000

  

1,897,819

 
 

Commonwealth Bank of Australia, 3.7840%, 3/14/32 (144A)

 

22,906,000

  

18,881,033

 
 

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

 

5,767,000

  

4,475,190

 
 

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

 

39,166,000

  

37,663,686

 
 

JPMorgan Chase & Co, SOFR + 1.7500%, 4.5650%, 6/14/30‡

 

17,992,000

  

16,928,030

 
 

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

 

22,144,000

  

18,245,676

 
 

JPMorgan Chase & Co, SOFR + 1.2600%, 2.9630%, 1/25/33‡

 

36,264,000

  

29,515,350

 
 

JPMorgan Chase & Co, SOFR + 2.5800%, 5.7170%, 9/14/33‡

 

39,262,000

  

38,321,811

 
 

JPMorgan Chase & Co, SOFR + 3.3800%, 5.0000%‡,µ

 

7,243,000

  

6,626,843

 
 

JPMorgan Chase & Co, SOFR + 3.1250%, 4.6000%‡,µ

 

7,646,000

  

6,738,038

 
 

Mitsubishi UFJ Financial Group Inc,

      
 

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

 

15,834,000

  

15,676,176

 
 

Mitsubishi UFJ Financial Group Inc,

      
 

US Treasury Yield Curve Rate 1 Year + 1.9500%, 5.0170%, 7/20/28‡

 

25,783,000

  

25,167,429

 
 

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

 

24,836,000

  

23,079,233

 
 

Morgan Stanley, 4.3500%, 9/8/26

 

14,618,000

  

14,183,006

 
 

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

 

11,537,000

  

10,120,654

 
 

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

 

20,010,000

  

15,038,722

 
 

Morgan Stanley, SOFR + 1.1780%, 2.2390%, 7/21/32‡

 

31,595,000

  

24,239,494

 
 

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

 

39,331,000

  

31,817,926

 
 

Morgan Stanley, SOFR + 1.3600%, 2.4840%, 9/16/36‡

 

33,616,000

  

24,376,012

 
 

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

 

28,726,000

  

22,485,979

 
 

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

 

30,280,000

  

30,419,691

 
 

SVB Financial Group,

      
 

US Treasury Yield Curve Rate 5 Year + 3.0740%, 4.2500%‡,µ

 

36,492,000

  

23,940,530

 
 

SVB Financial Group,

      
 

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

 

23,100,000

  

13,220,622

 
 

SVB Financial Group,

      
 

US Treasury Yield Curve Rate 5 Year + 3.2020%, 4.0000%‡,µ

 

4,710,000

  

3,108,694

 
 

US Bancorp, SOFR + 2.1100%, 4.9670%, 7/22/33‡

 

5,612,000

  

5,324,546

 
 

US Bancorp,

      
 

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

 

20,457,000

  

15,567,198

 
 

Westpac Banking Corp,

      
 

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

 

19,870,000

  

14,768,505

 
  

797,297,649

 

Basic Industry – 0%

   
 

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

 

7,932,000

  

7,930,615

 

Brokerage – 0%

   
 

Charles Schwab Corp,

      
 

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

 

10,811,000

  

8,621,232

 

Capital Goods – 0%

   
 

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

 

7,372,000

  

7,043,160

 

Communications – 0.1%

   
 

AT&T Inc, 3.8000%, 12/1/57

 

13,125,000

  

9,055,375

 
 

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

 

2,171,000

  

1,453,117

 
 

Charter Communications Operating LLC / Charter Communications Operating Capital,

      
 

6.4840%, 10/23/45

 

3,584,000

  

3,231,958

 
 

Comcast Corp, 3.7500%, 4/1/40

 

6,795,000

  

5,604,005

 

5

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Communications– (continued)

   
 

Fox Corp, 4.0300%, 1/25/24

 

$8,690,000

  

$8,589,224

 
  

27,933,679

 

Consumer Cyclical – 0.1%

   
 

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

 

9,419,000

  

9,240,671

 
 

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

 

1,226,000

  

1,160,213

 
  

10,400,884

 

Consumer Non-Cyclical – 1.2%

   
 

CSL Finance Ltd, 3.8500%, 4/27/27 (144A)

 

6,306,000

  

6,032,497

 
 

CSL Finance Ltd, 4.0500%, 4/27/29 (144A)

 

12,756,000

  

12,023,000

 
 

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

 

11,362,000

  

10,417,854

 
 

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

 

10,703,000

  

8,791,269

 
 

GE Healthcare Holding LLC, 5.6500%, 11/15/27 (144A)

 

22,545,000

  

22,808,788

 
 

GE Healthcare Holding LLC, 5.8570%, 3/15/30 (144A)

 

26,924,000

  

27,552,991

 
 

GE Healthcare Holding LLC, 5.9050%, 11/22/32 (144A)

 

38,592,000

  

39,988,963

 
 

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

 

10,875,000

  

10,124,144

 
 

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

 

5,546,000

  

4,987,164

 
 

Hasbro Inc, 3.9000%, 11/19/29

 

35,072,000

  

31,167,936

 
 

Hasbro Inc, 6.3500%, 3/15/40

 

7,010,000

  

6,786,630

 
 

Hasbro Inc, 5.1000%, 5/15/44

 

10,090,000

  

8,589,596

 
 

HCA Inc, 5.8750%, 2/15/26

 

4,146,000

  

4,172,162

 
 

HCA Inc, 5.3750%, 9/1/26

 

3,180,000

  

3,144,629

 
 

HCA Inc, 5.6250%, 9/1/28

 

9,208,000

  

9,155,812

 
 

HCA Inc, 5.8750%, 2/1/29

 

6,941,000

  

6,919,313

 
 

Illumina Inc, 5.8000%, 12/12/25

 

11,709,000

  

11,788,564

 
 

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

      
 

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

 

19,216,000

  

18,284,408

 
 

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

      
 

3.6250%, 1/15/32 (144A)

 

9,318,000

  

7,547,580

 
 

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

      
 

3.0000%, 5/15/32 (144A)

 

13,810,000

  

10,590,208

 
 

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

 

1,182,000

  

1,018,829

 
 

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

 

14,211,000

  

9,081,589

 
  

270,973,926

 

Electric – 0.2%

   
 

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

 

15,581,000

  

14,992,407

 
 

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

 

16,995,000

  

13,292,979

 
 

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

 

17,426,000

  

14,056,160

 
  

42,341,546

 

Energy – 0.3%

   
 

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

 

14,575,000

  

14,457,380

 
 

Energy Transfer LP, 5.7500%, 2/15/33

 

14,579,000

  

14,263,510

 
 

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

 

626,000

  

605,333

 
 

EQT Corp, 5.6780%, 10/1/25

 

17,974,000

  

17,886,637

 
 

EQT Corp, 5.7000%, 4/1/28

 

7,749,000

  

7,707,362

 
 

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

 

11,121,000

  

10,283,551

 
 

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

 

12,491,000

  

10,674,684

 
  

75,878,457

 

Finance Companies – 0.6%

   
 

AerCap Ireland Capital DAC / AerCap Global Aviation Trust,

      
 

4.6250%, 10/15/27

 

18,600,000

  

17,274,993

 
 

AerCap Ireland Capital DAC / AerCap Global Aviation Trust,

      
 

3.0000%, 10/29/28

 

12,919,000

  

10,823,219

 
 

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

 

17,148,000

  

14,893,681

 
 

Air Lease Corp, 3.0000%, 2/1/30

 

8,657,000

  

7,219,705

 
 

Ares Capital Corp, 2.8750%, 6/15/27

 

17,055,000

  

14,454,493

 
 

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

 

2,729,000

  

2,460,763

 
 

OWL Rock Core Income Corp, 7.7500%, 9/16/27 (144A)

 

16,398,000

  

16,344,943

 
 

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

 

11,261,000

  

8,923,645

 
 

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

 

12,708,000

  

9,699,704

 
 

Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc,

      
 

2.8750%, 10/15/26 (144A)

 

12,331,000

  

10,569,669

 
 

Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc,

      
 

4.0000%, 10/15/33 (144A)

 

14,597,000

  

10,901,915

 
  

123,566,730

 

Insurance – 0.8%

   
 

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

 

21,681,000

  

17,903,112

 
 

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

 

32,528,000

  

24,849,912

 
 

Brown & Brown Inc, 4.2000%, 3/17/32

 

6,426,000

  

5,571,097

 
 

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

 

18,886,000

  

15,330,218

 
 

Centene Corp, 4.2500%, 12/15/27

 

53,971,000

  

50,617,415

 
 

Centene Corp, 2.4500%, 7/15/28

 

16,998,000

  

14,347,162

 
 

Centene Corp, 3.0000%, 10/15/30

 

18,048,000

  

14,794,834

 
        

6

        

Shares or
Principal Amounts

  

Value

 

Corporate Bonds– (continued)

   

Insurance– (continued)

   
 

Prudential Financial Inc,

      
 

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

 

$27,945,000

  

$23,582,506

 
 

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

 

10,004,000

  

10,226,397

 
  

177,222,653

 

Real Estate Investment Trusts (REITs) – 0.2%

   
 

Agree LP, 2.0000%, 6/15/28

 

11,528,000

  

9,439,485

 
 

Agree LP, 2.9000%, 10/1/30

 

7,437,000

  

6,037,258

 
 

Agree LP, 2.6000%, 6/15/33

 

8,647,000

  

6,508,362

 
 

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

 

21,657,000

  

17,094,308

 
  

39,079,413

 

Technology – 1.0%

   
 

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

 

10,074,000

  

9,689,116

 
 

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

 

12,054,000

  

9,844,377

 
 

Equinix Inc, 2.1500%, 7/15/30

 

9,552,000

  

7,598,991

 
 

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

 

11,282,000

  

9,841,867

 
 

Global Payments Inc, 5.3000%, 8/15/29

 

20,156,000

  

19,486,226

 
 

Global Payments Inc, 2.9000%, 11/15/31

 

16,923,000

  

13,344,942

 
 

Global Payments Inc, 5.4000%, 8/15/32

 

9,144,000

  

8,708,293

 
 

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

 

13,225,000

  

11,680,483

 
 

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

 

14,717,000

  

14,027,020

 
 

Microchip Technology Inc, 2.6700%, 9/1/23

 

23,076,000

  

22,645,754

 
 

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

 

1,532,000

  

1,334,425

 
 

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

 

25,762,000

  

21,414,662

 
 

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

 

21,571,000

  

17,934,669

 
 

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

 

11,686,000

  

11,370,302

 
 

Trimble Inc, 4.7500%, 12/1/24

 

18,923,000

  

18,705,846

 
 

Trimble Inc, 4.9000%, 6/15/28

 

11,312,000

  

10,846,187

 
 

TSMC Arizona Corp, 3.8750%, 4/22/27

 

15,891,000

  

15,276,246

 
 

Workday Inc, 3.5000%, 4/1/27

 

8,410,000

  

7,859,726

 
  

231,609,132

 

Transportation – 0.1%

   
 

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

 

14,940,000

  

12,791,286

 
 

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

 

2,271,000

  

1,676,794

 
  

14,468,080

 

Total Corporate Bonds (cost $2,098,130,370)

 

1,834,367,156

 

Mortgage-Backed Securities– 12.6%

   

  Fannie Mae:

   
 

2.0000%, TBA, 15 Year Maturity

 

47,739,539

  

42,472,101

 
 

2.5000%, TBA, 15 Year Maturity

 

28,461,400

  

26,056,269

 
 

3.0000%, TBA, 15 Year Maturity

 

4,361,241

  

4,084,494

 
 

2.5000%, TBA, 30 Year Maturity

 

5,395,808

  

4,563,796

 
 

3.0000%, TBA, 30 Year Maturity

 

104,533,452

  

91,659,739

 
 

3.5000%, TBA, 30 Year Maturity

 

272,873,070

  

247,700,802

 
 

4.0000%, TBA, 30 Year Maturity

 

33,833,000

  

31,714,242

 
 

4.5000%, TBA, 30 Year Maturity

 

46,089,952

  

44,364,068

 
 

5.0000%, TBA, 30 Year Maturity

 

146,246,723

  

144,065,161

 
 

5.5000%, TBA, 30 Year Maturity

 

128,939,260

  

129,283,528

 
  

765,964,200

 

  Fannie Mae Pool:

   
 

7.5000%, 7/1/28

 

33,809

  

35,050

 
 

3.0000%, 10/1/34

 

1,272,798

  

1,199,813

 
 

2.5000%, 11/1/34

 

926,577

  

852,844

 
 

3.0000%, 11/1/34

 

541,044

  

510,019

 
 

3.0000%, 12/1/34

 

569,180

  

536,542

 
 

6.0000%, 2/1/37

 

213,870

  

223,850

 
 

4.5000%, 11/1/42

 

1,179,097

  

1,167,073

 
 

3.0000%, 1/1/43

 

667,436

  

604,540

 
 

3.0000%, 2/1/43

 

159,913

  

144,844

 
 

3.0000%, 5/1/43

 

1,546,060

  

1,400,105

 
 

5.0000%, 7/1/44

 

125,770

  

127,250

 
 

4.5000%, 10/1/44

 

2,885,079

  

2,878,252

 
 

4.5000%, 3/1/45

 

4,415,823

  

4,405,375

 
 

4.5000%, 6/1/45

 

2,284,977

  

2,260,023

 
 

3.5000%, 12/1/45

 

1,323,141

  

1,225,433

 
 

3.0000%, 1/1/46

 

253,399

  

227,565

 
 

4.5000%, 2/1/46

 

5,177,917

  

5,125,114

 
 

3.5000%, 7/1/46

 

2,974,270

  

2,781,669

 
 

3.0000%, 9/1/46

 

15,382,072

  

13,929,931

 
 

3.0000%, 2/1/47

 

43,644,487

  

39,524,239

 
 

3.0000%, 3/1/47

 

5,214,592

  

4,724,690

 
 

3.5000%, 3/1/47

 

1,161,872

  

1,076,073

 
 

3.5000%, 7/1/47

 

1,029,578

  

953,548

 
 

3.5000%, 8/1/47

 

968,538

  

895,537

 

7

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

   Fannie Mae Pool– (continued)

   
 

3.5000%, 8/1/47

 

$933,162

  

$878,633

 
 

4.0000%, 10/1/47

 

4,322,670

  

4,124,083

 
 

3.5000%, 12/1/47

 

429,860

  

404,741

 
 

3.5000%, 12/1/47

 

271,979

  

256,086

 
 

3.5000%, 1/1/48

 

2,843,531

  

2,654,512

 
 

4.0000%, 1/1/48

 

9,525,204

  

9,231,448

 
 

4.0000%, 1/1/48

 

3,523,097

  

3,398,028

 
 

3.0000%, 2/1/48

 

3,265,879

  

2,969,534

 
 

3.5000%, 3/1/48

 

421,503

  

396,076

 
 

4.0000%, 3/1/48

 

2,742,752

  

2,652,087

 
 

4.5000%, 3/1/48

 

118,510

  

116,031

 
 

5.0000%, 5/1/48

 

2,681,434

  

2,679,300

 
 

4.5000%, 6/1/48

 

4,566,787

  

4,471,257

 
 

3.5000%, 7/1/48

 

26,404,633

  

24,418,087

 
 

4.0000%, 7/1/48

 

5,325,123

  

5,076,070

 
 

4.5000%, 8/1/48

 

67,080

  

65,677

 
 

4.0000%, 10/1/48

 

2,092,471

  

2,007,961

 
 

4.0000%, 11/1/48

 

6,188,091

  

5,898,677

 
 

4.0000%, 12/1/48

 

987,343

  

941,165

 
 

4.0000%, 2/1/49

 

1,436,989

  

1,369,782

 
 

4.0000%, 6/1/49

 

837,819

  

796,917

 
 

4.5000%, 6/1/49

 

429,934

  

420,522

 
 

3.0000%, 8/1/49

 

3,396,320

  

3,015,625

 
 

3.0000%, 8/1/49

 

1,854,900

  

1,646,983

 
 

4.5000%, 8/1/49

 

589,467

  

576,562

 
 

3.0000%, 9/1/49

 

689,120

  

622,158

 
 

4.0000%, 11/1/49

 

13,520,811

  

12,888,448

 
 

4.0000%, 11/1/49

 

1,203,367

  

1,152,819

 
 

3.5000%, 12/1/49

 

34,380,040

  

31,788,710

 
 

4.5000%, 1/1/50

 

10,706,239

  

10,482,281

 
 

4.5000%, 1/1/50

 

825,606

  

807,531

 
 

2.5000%, 3/1/50

 

2,747,410

  

2,351,163

 
 

4.0000%, 3/1/50

 

19,698,521

  

18,902,947

 
 

4.0000%, 3/1/50

 

10,686,061

  

10,186,278

 
 

4.0000%, 3/1/50

 

4,077,669

  

3,886,958

 
 

4.5000%, 7/1/50

 

17,265,737

  

16,619,826

 
 

2.5000%, 8/1/50

 

56,566,571

  

48,690,220

 
 

2.5000%, 8/1/50

 

2,405,356

  

2,074,243

 
 

4.0000%, 9/1/50

 

22,527,038

  

21,427,275

 
 

4.0000%, 10/1/50

 

21,677,600

  

20,767,032

 
 

4.5000%, 10/1/50

 

13,362,574

  

13,083,051

 
 

4.0000%, 3/1/51

 

55,360,155

  

52,657,490

 
 

4.0000%, 3/1/51

 

1,075,980

  

1,023,451

 
 

4.0000%, 3/1/51

 

524,411

  

499,885

 
 

4.0000%, 10/1/51

 

7,702,717

  

7,326,673

 
 

3.0000%, 12/1/51

 

147,983,893

  

131,473,455

 
 

2.5000%, 1/1/52

 

14,266,767

  

12,209,866

 
 

2.5000%, 2/1/52

 

70,438,072

  

60,211,644

 
 

2.5000%, 3/1/52

 

28,926,707

  

24,706,695

 
 

2.5000%, 3/1/52

 

28,287,240

  

24,180,406

 
 

2.5000%, 3/1/52

 

10,426,776

  

8,916,220

 
 

2.5000%, 3/1/52

 

2,507,816

  

2,140,596

 
 

2.5000%, 3/1/52

 

2,356,382

  

2,012,618

 
 

2.5000%, 3/1/52

 

1,990,653

  

1,701,643

 
 

2.5000%, 3/1/52

 

813,519

  

696,255

 
 

3.0000%, 3/1/52

 

13,857,619

  

12,266,460

 
 

3.5000%, 3/1/52

 

19,188,416

  

17,645,702

 
 

3.0000%, 4/1/52

 

11,725,147

  

10,408,138

 
 

3.0000%, 4/1/52

 

10,298,614

  

9,112,956

 
 

3.5000%, 4/1/52

 

10,001,202

  

9,145,833

 
 

3.5000%, 4/1/52

 

7,387,110

  

6,809,927

 
 

3.5000%, 4/1/52

 

5,656,682

  

5,168,926

 
 

3.5000%, 4/1/52

 

3,428,189

  

3,134,988

 
 

3.5000%, 4/1/52

 

2,054,391

  

1,877,501

 
 

3.5000%, 4/1/52

 

1,644,474

  

1,502,676

 
 

4.0000%, 4/1/52

 

8,264,721

  

7,844,645

 
 

4.5000%, 4/1/52

 

1,600,004

  

1,541,446

 
 

4.5000%, 4/1/52

 

1,231,388

  

1,186,321

 
 

4.5000%, 4/1/52

 

706,254

  

680,406

 
 

4.5000%, 4/1/52

 

640,949

  

617,491

 
 

4.5000%, 4/1/52

 

560,637

  

540,118

 
 

4.5000%, 4/1/52

 

360,991

  

347,471

 
 

3.5000%, 5/1/52

 

8,935,382

  

8,211,441

 
 

3.5000%, 5/1/52

 

5,730,095

  

5,239,132

 

8

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

   Fannie Mae Pool– (continued)

   
 

4.5000%, 5/1/52

 

$1,953,496

  

$1,882,000

 
 

3.5000%, 6/1/52

 

30,896,940

  

28,454,046

 
 

3.5000%, 6/1/52

 

17,862,468

  

16,480,891

 
 

4.0000%, 6/1/52

 

6,274,444

  

5,886,569

 
 

4.0000%, 6/1/52

 

1,681,093

  

1,577,171

 
 

3.5000%, 7/1/52

 

39,821,923

  

36,583,194

 
 

3.5000%, 7/1/52

 

4,473,171

  

4,119,496

 
 

3.5000%, 7/1/52

 

1,630,298

  

1,503,696

 
 

4.0000%, 7/1/52

 

2,681,975

  

2,516,180

 
 

4.5000%, 7/1/52

 

7,970,714

  

7,683,525

 
 

3.5000%, 8/1/52

 

7,955,537

  

7,306,039

 
 

3.5000%, 8/1/52

 

2,945,904

  

2,712,068

 
 

4.5000%, 8/1/52

 

30,784,971

  

29,675,772

 
 

5.5000%, 9/1/52

 

38,909,855

  

39,170,732

 
 

5.0000%, 10/1/52

 

6,195,832

  

6,183,399

 
 

5.0000%, 10/1/52

 

2,769,668

  

2,764,110

 
 

5.5000%, 10/1/52

 

6,565,826

  

6,685,581

 
 

4.5000%, 11/1/52

 

20,956,487

  

20,484,925

 
 

5.0000%, 11/1/52

 

15,380,874

  

15,350,011

 
 

5.5000%, 11/1/52

 

13,983,161

  

14,238,203

 
 

4.5000%, 12/1/52

 

9,490,044

  

9,181,145

 
 

3.5000%, 8/1/56

 

10,715,055

  

9,971,308

 
 

3.0000%, 2/1/57

 

10,863,416

  

9,676,191

 
 

3.0000%, 6/1/57

 

200,144

  

178,259

 
  

1,096,309,149

 

  Freddie Mac Gold Pool:

   
 

3.5000%, 1/1/47

 

810,768

  

759,291

 

  Freddie Mac Pool:

   
 

3.0000%, 5/1/31

 

11,577,851

  

10,968,989

 
 

3.0000%, 9/1/32

 

2,635,001

  

2,495,100

 
 

3.0000%, 10/1/32

 

1,284,987

  

1,216,763

 
 

3.0000%, 12/1/32

 

858,897

  

805,153

 
 

3.0000%, 1/1/33

 

1,750,474

  

1,657,535

 
 

2.5000%, 12/1/33

 

11,990,865

  

11,171,829

 
 

3.0000%, 10/1/34

 

2,987,039

  

2,815,652

 
 

3.0000%, 10/1/34

 

1,375,782

  

1,296,845

 
 

2.5000%, 11/1/34

 

3,791,492

  

3,489,727

 
 

2.5000%, 11/1/34

 

940,903

  

866,017

 
 

6.0000%, 4/1/40

 

3,298,555

  

3,457,357

 
 

3.5000%, 7/1/42

 

577,895

  

540,677

 
 

3.5000%, 8/1/42

 

644,847

  

603,317

 
 

3.5000%, 8/1/42

 

591,171

  

553,098

 
 

3.5000%, 2/1/43

 

1,433,958

  

1,340,928

 
 

3.0000%, 3/1/43

 

7,001,620

  

6,340,591

 
 

3.0000%, 6/1/43

 

224,976

  

201,029

 
 

3.5000%, 2/1/44

 

1,783,698

  

1,667,977

 
 

4.5000%, 5/1/44

 

931,366

  

921,186

 
 

3.5000%, 12/1/44

 

10,621,367

  

9,932,288

 
 

3.0000%, 1/1/45

 

2,744,608

  

2,480,325

 
 

4.0000%, 4/1/45

 

23,257

  

22,381

 
 

3.0000%, 1/1/46

 

501,244

  

457,778

 
 

3.5000%, 7/1/46

 

2,015,716

  

1,882,501

 
 

4.0000%, 3/1/47

 

1,065,066

  

1,026,731

 
 

3.0000%, 4/1/47

 

1,221,743

  

1,096,538

 
 

3.5000%, 4/1/47

 

460,995

  

431,159

 
 

3.5000%, 9/1/47

 

3,782,800

  

3,497,627

 
 

3.5000%, 12/1/47

 

6,333,246

  

5,920,729

 
 

3.5000%, 2/1/48

 

2,226,578

  

2,074,594

 
 

4.0000%, 3/1/48

 

2,476,370

  

2,394,515

 
 

4.5000%, 3/1/48

 

104,311

  

102,129

 
 

4.0000%, 4/1/48

 

2,317,247

  

2,230,601

 
 

4.0000%, 4/1/48

 

2,292,210

  

2,185,010

 
 

4.0000%, 5/1/48

 

4,077,444

  

3,886,755

 
 

4.5000%, 7/1/48

 

611,451

  

598,660

 
 

5.0000%, 9/1/48

 

111,405

  

111,316

 
 

4.0000%, 11/1/48

 

558,453

  

532,336

 
 

4.0000%, 12/1/48

 

6,973,402

  

6,647,277

 
 

4.5000%, 12/1/48

 

2,156,766

  

2,130,673

 
 

4.5000%, 6/1/49

 

429,406

  

420,011

 
 

4.5000%, 7/1/49

 

3,807,556

  

3,724,253

 
 

4.5000%, 7/1/49

 

653,536

  

639,238

 
 

3.0000%, 8/1/49

 

1,153,122

  

1,023,860

 
 

4.5000%, 8/1/49

 

3,336,437

  

3,263,441

 
 

3.0000%, 12/1/49

 

1,375,095

  

1,220,951

 

9

        

Shares or
Principal Amounts

  

Value

 

Mortgage-Backed Securities– (continued)

   

   Freddie Mac Pool– (continued)

   
 

3.0000%, 12/1/49

 

$1,142,586

  

$1,014,506

 
 

4.5000%, 1/1/50

 

2,268,534

  

2,218,902

 
 

4.5000%, 1/1/50

 

642,390

  

628,335

 
 

3.5000%, 3/1/50

 

602,569

  

548,995

 
 

4.0000%, 3/1/50

 

6,779,047

  

6,462,012

 
 

4.5000%, 3/1/50

 

7,849,126

  

7,548,014

 
 

4.0000%, 6/1/50

 

11,012,255

  

10,584,802

 
 

2.5000%, 8/1/50

 

1,177,317

  

1,015,618

 
 

2.5000%, 8/1/50

 

419,458

  

361,717

 
 

2.5000%, 9/1/50

 

2,218,792

  

1,912,676

 
 

4.5000%, 9/1/50

 

20,082,903

  

19,662,783

 
 

4.0000%, 10/1/50

 

2,002,406

  

1,904,654

 
 

2.5000%, 6/1/51

 

17,334,183

  

14,888,333

 
 

2.5000%, 11/1/51

 

15,602,657

  

13,392,534

 
 

2.5000%, 1/1/52

 

4,503,342

  

3,860,349

 
 

2.5000%, 1/1/52

 

2,769,048

  

2,370,833

 
 

2.5000%, 2/1/52

 

6,503,839

  

5,559,599

 
 

3.0000%, 2/1/52

 

3,668,253

  

3,248,192

 
 

3.0000%, 2/1/52

 

2,771,446

  

2,462,095

 
 

2.5000%, 3/1/52

 

970,916

  

829,230

 
 

3.0000%, 3/1/52

 

3,859,890

  

3,427,696

 
 

4.5000%, 3/1/52

 

303,758

  

292,645

 
 

3.5000%, 4/1/52

 

4,165,674

  

3,809,417

 
 

3.5000%, 4/1/52

 

4,001,188

  

3,658,999

 
 

3.5000%, 4/1/52

 

1,353,056

  

1,236,559

 
 

3.5000%, 4/1/52

 

1,185,389

  

1,083,182

 
 

3.5000%, 6/1/52

 

17,779,655

  

16,344,756

 
 

3.5000%, 7/1/52

 

64,745,877

  

59,480,361

 
 

4.0000%, 7/1/52

 

6,028,147

  

5,655,601

 
 

4.0000%, 8/1/52

 

6,869,886

  

6,448,220

 
 

4.5000%, 8/1/52

 

68,386,596

  

65,923,590

 
 

4.5000%, 8/1/52

 

29,098,416

  

28,102,896

 
 

4.5000%, 8/1/52

 

14,861,289

  

14,326,046

 
 

5.0000%, 8/1/52

 

15,339,092

  

15,415,040

 
 

5.5000%, 9/1/52

 

9,903,685

  

10,041,322

 
 

4.5000%, 10/1/52

 

13,320,582

  

13,020,957

 
 

5.0000%, 10/1/52

 

19,039,483

  

19,001,277

 
 

5.0000%, 10/1/52

 

12,354,974

  

12,330,182

 
 

5.0000%, 10/1/52

 

373,976

  

373,226

 
 

5.5000%, 11/1/52

 

43,141,768

  

43,928,836

 
  

536,718,434

 

  Ginnie Mae:

   
 

2.5000%, TBA, 30 Year Maturity

 

148,691,910

  

128,432,340

 
 

3.5000%, TBA, 30 Year Maturity

 

60,543,177

  

55,519,365

 
 

4.0000%, TBA, 30 Year Maturity

 

83,118,031

  

78,567,485

 
 

4.5000%, TBA, 30 Year Maturity

 

81,037,738

  

78,528,891

 
  

341,048,081

 

  Ginnie Mae I Pool:

   
 

6.0000%, 1/15/34

 

57,922

  

60,518

 
 

4.0000%, 1/15/45

 

9,885,124

  

9,585,182

 
 

4.5000%, 8/15/46

 

11,917,590

  

11,694,985

 
 

4.0000%, 7/15/47

 

1,981,066

  

1,904,195

 
 

4.0000%, 8/15/47

 

242,724

  

233,305

 
 

4.0000%, 11/15/47

 

317,409

  

305,092

 
 

4.0000%, 12/15/47

 

858,738

  

825,417

 
  

24,608,694

 

  Ginnie Mae II Pool:

   
 

4.0000%, 8/20/47

 

1,194,950

  

1,147,999

 
 

4.0000%, 8/20/47

 

240,832

  

231,370

 
 

4.0000%, 8/20/47

 

186,144

  

178,830

 
 

4.5000%, 2/20/48

 

1,249,220

  

1,225,994

 
 

4.5000%, 5/20/48

 

2,037,741

  

1,999,968

 
 

4.5000%, 5/20/48

 

411,744

  

404,112

 
 

4.0000%, 6/20/48

 

9,535,417

  

9,133,717

 
 

5.0000%, 8/20/48

 

3,691,877

  

3,698,550

 
 

3.0000%, 7/20/51

 

24,526,796

  

21,910,799

 
 

3.0000%, 8/20/51

 

55,313,469

  

49,398,403

 
  

89,329,742

 

Total Mortgage-Backed Securities (cost $2,977,885,082)

 

2,854,737,591

 

United States Treasury Notes/Bonds– 13.9%

   
 

4.3750%, 10/31/24

 

381,202,100

  

380,115,079

 
 

4.5000%, 11/15/25

 

33,630,000

  

33,832,305

 
 

0.3750%, 1/31/26

 

117,038,600

  

104,132,351

 

10

        

Shares or
Principal Amounts

  

Value

 

United States Treasury Notes/Bonds– (continued)

   
 

0.7500%, 4/30/26

 

$164,071,000

  

$146,670,501

 
 

0.8750%, 6/30/26

 

235,686,000

  

210,754,840

 
 

4.1250%, 9/30/27

 

220,895,400

  

221,723,758

 
 

4.1250%, 10/31/27

 

126,335,800

  

126,799,690

 
 

3.8750%, 11/30/27

 

225,972,300

  

224,736,514

 
 

1.1250%, 8/31/28

 

119,582,000

  

102,102,474

 
 

3.8750%, 11/30/29

 

109,129,000

  

108,395,790

 
 

4.1250%, 11/15/32

 

514,057,800

  

524,579,921

 
 

2.3750%, 2/15/42

 

70,057,000

  

53,489,614

 
 

4.0000%, 11/15/42

 

627,683,000

  

614,540,887

 
 

3.0000%, 8/15/52

 

356,406,000

  

293,645,131

 

Total United States Treasury Notes/Bonds (cost $3,245,311,131)

 

3,145,518,855

 

Common Stocks– 56.3%

   

Aerospace & Defense – 1.2%

   
 

General Dynamics Corp

 

751,538

  

186,464,093

 
 

L3Harris Technologies Inc

 

438,904

  

91,384,202

 
  

277,848,295

 

Air Freight & Logistics – 1.4%

   
 

United Parcel Service Inc

 

1,765,015

  

306,830,208

 

Banks – 2.2%

   
 

Bank of America Corp

 

7,743,967

  

256,480,187

 
 

JPMorgan Chase & Co

 

1,874,957

  

251,431,734

 
  

507,911,921

 

Beverages – 1.3%

   
 

Constellation Brands Inc

 

405,460

  

93,965,355

 
 

Monster Beverage Corp*

 

2,054,070

  

208,549,727

 
  

302,515,082

 

Biotechnology – 1.3%

   
 

AbbVie Inc

 

1,864,319

  

301,292,594

 

Building Products – 0.4%

   
 

Trane Technologies PLC

 

562,589

  

94,565,585

 

Capital Markets – 2.6%

   
 

Charles Schwab Corp

 

1,289,360

  

107,352,114

 
 

CME Group Inc

 

852,888

  

143,421,646

 
 

Goldman Sachs Group Inc

 

352,992

  

121,210,393

 
 

Morgan Stanley

 

2,600,379

  

221,084,223

 
  

593,068,376

 

Chemicals – 0.9%

   
 

Corteva Inc

 

2,008,433

  

118,055,692

 
 

Sherwin-Williams Co

 

326,731

  

77,543,068

 
  

195,598,760

 

Consumer Finance – 1.0%

   
 

American Express Co

 

1,541,863

  

227,810,258

 

Electrical Equipment – 0.3%

   
 

Rockwell Automation Inc

 

276,544

  

71,229,438

 

Electronic Equipment, Instruments & Components – 0.7%

   
 

Corning Inc

 

1,394,668

  

44,545,696

 
 

TE Connectivity Ltd

 

958,267

  

110,009,052

 
  

154,554,748

 

Entertainment – 0.8%

   
 

Walt Disney Co*

 

1,967,576

  

170,943,003

 

Food & Staples Retailing – 1.2%

   
 

Costco Wholesale Corp

 

295,411

  

134,855,121

 
 

Sysco Corp

 

1,804,725

  

137,971,226

 
  

272,826,347

 

Food Products – 0.5%

   
 

Hershey Co

 

524,462

  

121,449,665

 

Health Care Equipment & Supplies – 2.1%

   
 

Abbott Laboratories

 

1,818,191

  

199,619,190

 
 

Edwards Lifesciences Corp*

 

724,214

  

54,033,607

 
 

Intuitive Surgical Inc*

 

263,071

  

69,805,890

 
 

Medtronic PLC

 

700,000

  

54,404,000

 
 

Stryker Corp

 

393,844

  

96,290,920

 
  

474,153,607

 

Health Care Providers & Services – 2.2%

   
 

UnitedHealth Group Inc

 

952,834

  

505,173,530

 

Hotels, Restaurants & Leisure – 3.4%

   
 

Booking Holdings Inc*

 

49,550

  

99,857,124

 
 

Hilton Worldwide Holdings Inc

 

1,545,112

  

195,240,352

 
 

McDonald's Corp

 

1,034,743

  

272,685,823

 
 

Starbucks Corp

 

1,930,981

  

191,553,315

 
  

759,336,614

 

Household Products – 1.0%

   
 

Procter & Gamble Co

 

1,412,598

  

214,093,353

 

11

        

Shares or
Principal Amounts

  

Value

 

Common Stocks– (continued)

   

Industrial Conglomerates – 0.8%

   
 

Honeywell International Inc

 

862,953

  

$184,930,828

 

Information Technology Services – 3.3%

   
 

Accenture PLC

 

746,482

  

199,191,257

 
 

Cognizant Technology Solutions Corp

 

1,477,896

  

84,520,872

 
 

Mastercard Inc

 

1,332,999

  

463,523,742

 
  

747,235,871

 

Insurance – 1.4%

   
 

Progressive Corp/The

 

2,441,516

  

316,689,040

 

Interactive Media & Services – 1.9%

   
 

Alphabet Inc - Class C*

 

4,928,591

  

437,313,879

 

Internet & Direct Marketing Retail – 0.7%

   
 

Amazon.com Inc*

 

1,992,483

  

167,368,572

 

Leisure Products – 0.3%

   
 

Hasbro Inc

 

1,093,026

  

66,685,516

 

Life Sciences Tools & Services – 1.0%

   
 

Thermo Fisher Scientific Inc

 

426,243

  

234,727,758

 

Machinery – 1.7%

   
 

Deere & Co

 

709,049

  

304,011,849

 
 

Parker-Hannifin Corp

 

267,226

  

77,762,766

 
  

381,774,615

 

Media – 1.1%

   
 

Comcast Corp

 

6,991,751

  

244,501,532

 

Multiline Retail – 0.9%

   
 

Dollar General Corp

 

847,312

  

208,650,580

 

Oil, Gas & Consumable Fuels – 1.2%

   
 

Chevron Corp

 

231,081

  

41,476,729

 
 

ConocoPhillips

 

1,990,117

  

234,833,806

 
  

276,310,535

 

Personal Products – 0.2%

   
 

Estee Lauder Cos Inc

 

166,580

  

41,330,164

 

Pharmaceuticals – 3.0%

   
 

Eli Lilly & Co

 

883,842

  

323,344,757

 
 

Merck & Co Inc

 

2,372,415

  

263,219,444

 
 

Zoetis Inc

 

674,528

  

98,852,078

 
  

685,416,279

 

Real Estate Management & Development – 0.3%

   
 

CBRE Group Inc*

 

722,557

  

55,607,987

 

Road & Rail – 0.2%

   
 

Union Pacific Corp

 

241,178

  

49,940,728

 

Semiconductor & Semiconductor Equipment – 3.4%

   
 

Advanced Micro Devices Inc*

 

1,235,137

  

79,999,823

 
 

KLA Corp

 

241,447

  

91,032,762

 
 

Lam Research Corp

 

562,283

  

236,327,545

 
 

NVIDIA Corp

 

1,279,366

  

186,966,547

 
 

Texas Instruments Inc

 

1,009,070

  

166,718,545

 
  

761,045,222

 

Software – 4.5%

   
 

Cadence Design Systems Inc*

 

291,847

  

46,882,302

 
 

Microsoft Corp

 

4,086,617

  

980,052,489

 
  

1,026,934,791

 

Specialty Retail – 1.9%

   
 

Home Depot Inc

 

736,121

  

232,511,179

 
 

TJX Cos Inc

 

2,361,306

  

187,959,958

 
  

420,471,137

 

Technology Hardware, Storage & Peripherals – 2.8%

   
 

Apple Inc

 

4,807,611

  

624,652,897

 

Textiles, Apparel & Luxury Goods – 1.2%

   
 

NIKE Inc - Class B

 

2,237,455

  

261,804,610

 

Total Common Stocks (cost $7,416,470,271)

 

12,744,593,925

 

Investment Companies– 5.1%

   

Money Markets – 5.1%

   
 

Janus Henderson Cash Liquidity Fund LLC, 4.2633%ºº,£((cost $1,157,323,406)

 

1,157,231,262

  

1,157,462,708

 

Total Investments (total cost $18,986,318,785) – 104.7%

 

23,711,716,792

 

Liabilities, net of Cash, Receivables and Other Assets – (4.7)%

 

(1,058,906,804)

 

Net Assets – 100%

 

$22,652,809,988

 

12

      

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

 
    

% of

 
    

Investment

 

Country

 

Value

 

Securities

 

United States

 

$23,443,547,616

 

98.9

%

Australia

 

74,191,014

 

0.3

 

Japan

 

40,843,605

 

0.2

 

Canada

 

40,233,794

 

0.2

 

Finland

 

30,419,691

 

0.1

 

Ireland

 

28,098,212

 

0.1

 

France

 

19,897,491

 

0.1

 

United Kingdom

 

19,209,123

 

0.1

 

Taiwan

 

15,276,246

 

0.0

 
      
      

Total

 

$23,711,716,792

 

100.0

%

 

Schedules of Affiliated Investments – (% of Net Assets)

           
 

Dividend

Income

Realized

Gain/(Loss)

Change in

Unrealized

Appreciation/

Depreciation

Value

at 12/31/22

Investment Companies - 5.1%

Money Markets - 5.1%

 
 

Janus Henderson Cash Liquidity Fund LLC, 4.2633%ºº

$

11,021,284

$

553

$

110,525

$

1,157,462,708

 
           
 

Value

at 9/30/22

Purchases

Sales Proceeds

Value

at 12/31/22

Investment Companies - 5.1%

Money Markets - 5.1%

 
 

Janus Henderson Cash Liquidity Fund LLC, 4.2633%ºº

 

1,202,737,581

 

1,491,959,707

 

(1,537,345,658)

 

1,157,462,708

13

Schedule of Futures

               

Description

 

Number of

Contracts

 

Expiration

Date

 

Notional

Amount

 

Value and

Unrealized

Appreciation/(Depreciation)

  

Futures Long:

          

10 Year US Treasury Note

 

1,715

 

3/31/23

$

192,589,141

$

(1,808,790)

 

2 Year US Treasury Note

 

5,516

 

4/5/23

 

1,131,210,943

 

646,409

 

5 Year US Treasury Note

 

3,725

 

4/5/23

 

402,038,088

 

(1,117,842)

 

Ultra Long Term US Treasury Bond

 

1,417

 

3/31/23

 

190,320,813

 

(4,869,358)

 

Total - Futures Long

       

(7,149,581)

 

Futures Short:

          

Ultra 10-Year Treasury Note

 

1,519

 

3/31/23

 

(179,669,219)

 

2,266,634

 

Total

      

$

(4,882,947)

  
  

Average Ending Monthly Value of Derivative Instruments During the Period Ended December 31, 2022

 

 

 

 

Futures contracts:

 

Average notional amount of contracts - long

$1,152,687,566

Average notional amount of contracts - short

(264,947,379)

  

 

 

 

 

 

 

14

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.

  

144A

Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended December 31, 2022 is $2,331,801,227, which represents 10.3% of net assets.

  

*

Non-income producing security.

  

‡

Variable or floating rate security. Rate shown is the current rate as of December 31, 2022. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description.

  

ºº

Rate shown is the 7-day yield as of December 31, 2022.

  

µ

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

  

Ç

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

  

◊

Zero coupon bond.

  

£

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.

15

              

The following is a summary of the inputs that were used to value the Fund’s investments in securities and other financial instruments as of December 31, 2022.

 

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

$

-

$

1,975,036,557

$

-

Corporate Bonds

 

-

 

1,834,367,156

 

-

Mortgage-Backed Securities

 

-

 

2,854,737,591

 

-

United States Treasury Notes/Bonds

 

-

 

3,145,518,855

 

-

Common Stocks

 

12,744,593,925

 

-

 

-

Investment Companies

 

-

 

1,157,462,708

 

-

Total Investments in Securities

$

12,744,593,925

$

10,967,122,867

$

-

Other Financial Instruments(a):

      

Futures Contracts

 

2,913,043

 

-

 

-

Total Assets

$

12,747,506,968

$

10,967,122,867

$

-

Liabilities

      

Other Financial Instruments(a):

      

Futures Contracts

$

7,795,990

$

-

$

-

       

(a)

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

16

Investment Valuation

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

Valuation Inputs Summary

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

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

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

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

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

There have been no significant changes in valuation techniques used in valuing any such positions held by the Fund since the beginning of the fiscal 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 December 31, 2022 to fair value the Fund’s investments

17

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

18

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

      
      
      
   

125-25-70212 03-23