Janus Henderson Global Bond Fund
Schedule of Investments (unaudited)
September 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– 1.0% | | | |
| | JP Morgan Mortgage Trust 2019-1 A15, 4.0000%, 5/25/49 (144A)‡ | | $92,624 | | | $83,071 | |
| | JP Morgan Mortgage Trust 2019-LTV2, 3.5000%, 12/25/49 (144A)‡ | | 1,440 | | | 1,429 | |
| | RMAC Securities No 1 2006-NS3X PLC, | | | | | | |
| | SONIA Interest Rate Benchmark + 0.2693%, 5.4546%, 6/12/44‡ | | 513,296 | GBP | | 602,308 | |
| | RMAC Securities No 1 2006-NS4X PLC, | | | | | | |
| | SONIA Interest Rate Benchmark + 0.2893%, 4.5102%, 6/12/44‡ | | 501,004 | GBP | | 587,934 | |
| | RMAC Securities No 1 PLC, | | | | | | |
| | SONIA Interest Rate Benchmark + 0.2693%, 5.4882%, 6/12/44‡ | | 143,963 | GBP | | 169,871 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $1,562,147) | | 1,444,613 | |
Corporate Bonds– 17.5% | | | |
Banking – 4.5% | | | |
| | American Express Co, 4.0500%, 5/3/29 | | 467,000 | | | 434,640 | |
| | Bank of America Corp, EURIBOR 3 Month + 3.6700%, 3.6480%, 3/31/29‡ | | 515,000 | EUR | | 525,700 | |
| | BNP Paribas SA, 2.8750%, 2/24/29 | | 400,000 | GBP | | 415,014 | |
| | Credit Agricole SA/London, SOFR + 1.6760%, 1.9070%, 6/16/26 (144A)‡ | | 372,000 | | | 345,819 | |
| | Goldman Sachs Group Inc, 0.2500%, 1/26/28 | | 341,000 | EUR | | 304,398 | |
| | HSBC Holdings PLC, SOFR + 1.9290%, 2.0990%, 6/4/26‡ | | 1,100,000 | | | 1,025,274 | |
| | ING Groep NV, EURIBOR 3 Month + 0.8500%, 1.2500%, 2/16/27‡ | | 200,000 | EUR | | 195,766 | |
| | JPMorgan Chase & Co, EURIBOR 3 Month + 0.7600%, 1.0900%, 3/11/27‡ | | 600,000 | EUR | | 585,952 | |
| | JPMorgan Chase & Co, CME Term SOFR 3 Month + 3.7900%, 4.4930%, 3/24/31‡ | | 666,000 | | | 609,804 | |
| | Morgan Stanley, SOFR + 0.9400%, 2.6300%, 2/18/26‡ | | 791,000 | | | 752,897 | |
| | Royal Bank of Scotland Group PLC, | | | | | | |
| | UK Govt Bonds 5 Year Note Generic Bid Yield + 3.5500%, 3.6220%, 8/14/30‡ | | 222,000 | GBP | | 254,118 | |
| | Santander UK PLC, 3.8750%, 10/15/29 | | 400,000 | GBP | | 441,750 | |
| | UBS AG/London, 0.0100%, 3/31/26 | | 500,000 | EUR | | 475,700 | |
| | | 6,366,832 | |
Capital Goods – 0.6% | | | |
| | Signify NV, 2.3750%, 5/11/27 | | 837,000 | EUR | | 820,824 | |
Communications – 1.7% | | | |
| | Crown Castle International Corp, 2.2500%, 1/15/31 | | 470,000 | | | 364,752 | |
| | Netflix Inc, 4.6250%, 5/15/29 | | 972,000 | EUR | | 1,036,034 | |
| | Verizon Communications Inc, 3.0000%, 3/22/27 | | 289,000 | | | 265,157 | |
| | Walt Disney Co, 2.6500%, 1/13/31 | | 946,000 | | | 783,307 | |
| | | 2,449,250 | |
Consumer Cyclical – 0.8% | | | |
| | Amazon.com Inc, 2.7000%, 6/3/60 | | 606,000 | | | 342,893 | |
| | NIKE Inc, 3.3750%, 3/27/50# | | 490,000 | | | 349,627 | |
| | Rentokil Initial Finance Ltd, 3.8750%, 6/27/27 | | 447,000 | EUR | | 468,909 | |
| | | 1,161,429 | |
Consumer Non-Cyclical – 3.0% | | | |
| | Agilent Technologies Inc, 2.1000%, 6/4/30 | | 902,000 | | | 719,342 | |
| | Amgen Inc, 3.0000%, 2/22/29# | | 577,000 | | | 512,735 | |
| | Dentsply Sirona Inc, 3.2500%, 6/1/30 | | 642,000 | | | 537,349 | |
| | HCA Inc, 3.5000%, 9/1/30 | | 515,000 | | | 435,703 | |
| | Kraft Heinz Foods Co, 4.8750%, 10/1/49 | | 361,000 | | | 301,340 | |
| | Mars Inc, 4.1250%, 4/1/54 (144A) | | 290,000 | | | 215,300 | |
| | McCormick & Co Inc/MD, 2.5000%, 4/15/30 | | 194,000 | | | 158,372 | |
| | PepsiCo Inc, 3.2000%, 7/22/29 | | 595,000 | GBP | | 657,248 | |
| | Sysco Corp, 5.9500%, 4/1/30 | | 136,000 | | | 137,126 | |
| | Takeda Pharmaceutical Co Ltd, 2.0000%, 7/9/40 | | 251,000 | EUR | | 186,612 | |
| | Zoetis Inc, 3.9000%, 8/20/28 | | 399,000 | | | 374,892 | |
| | | 4,236,019 | |
Electric – 0.4% | | | |
| | AEP Transmission Co LLC, 3.6500%, 4/1/50 | | 192,000 | | | 136,064 | |
| | IE2 Holdco SAU, 2.8750%, 6/1/26 | | 400,000 | EUR | | 408,977 | |
| | | 545,041 | |
Government Sponsored – 0.7% | | | |
| | China Development Bank, 3.3400%, 7/14/25 | | 7,660,000 | CNY | | 1,064,181 | |
Insurance – 1.7% | | | |
| | Anthem Inc, 2.2500%, 5/15/30 | | 462,000 | | | 375,865 | |
| | Aviva PLC, | | | | | | |
| | UK Govt Bonds 5 Year Note Generic Bid Yield + 4.7000%, 4.0000%, 6/3/55‡ | | 150,000 | GBP | | 137,117 | |
| | Centene Corp, 2.4500%, 7/15/28 | | 1,167,000 | | | 985,933 | |
| | Health Care Service Corp, 2.2000%, 6/1/30 (144A) | | 572,000 | | | 458,608 | |
| | New York Life Global Funding, 0.7500%, 12/14/28 | | 452,000 | GBP | | 441,029 | |
| | | 2,398,552 | |
Technology – 4.1% | | | |
| | Apple Inc, 2.3750%, 2/8/41 | | 940,000 | | | 628,425 | |
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Corporate Bonds– (continued) | | | |
Technology– (continued) | | | |
| | Apple Inc, 2.6500%, 5/11/50 | | $539,000 | | | $330,104 | |
| | Equinix Inc, 2.1500%, 7/15/30 | | 892,000 | | | 700,605 | |
| | Fiserv Inc, 1.6250%, 7/1/30 | | 232,000 | EUR | | 205,461 | |
| | Global Payments Inc, 2.9000%, 5/15/30 | | 613,000 | | | 502,554 | |
| | Oracle Corp, 2.9500%, 4/1/30 | | 449,000 | | | 377,827 | |
| | Oracle Corp, 4.9000%, 2/6/33 | | 883,000 | | | 813,888 | |
| | PayPal Holdings Inc, 2.3000%, 6/1/30 | | 301,000 | | | 245,989 | |
| | Sage Group PLC/The, 1.6250%, 2/25/31 | | 719,000 | GBP | | 659,851 | |
| | Salesforce.com Inc, 1.9500%, 7/15/31 | | 456,000 | | | 361,129 | |
| | VMware Inc, 4.6500%, 5/15/27 | | 979,000 | | | 944,120 | |
| | | 5,769,953 | |
Total Corporate Bonds (cost $28,642,353) | | 24,812,081 | |
Foreign Government Bonds– 46.2% | | | |
| | Australia Government Bond, 1.2500%, 5/21/32 | | 1,500,000 | AUD | | 745,267 | |
| | Australia Government Bond, 1.7500%, 6/21/51 | | 916,000 | AUD | | 311,212 | |
| | Canadian Government Bond, 2.2500%, 6/1/29 | | 2,565,000 | CAD | | 1,715,477 | |
| | Canadian Government Bond, 1.5000%, 12/1/31 | | 2,007,000 | CAD | | 1,215,653 | |
| | China Government Bond, 2.0000%, 6/15/25 | | 33,360,000 | CNY | | 4,549,510 | |
| | China Government Bond, 3.2900%, 5/23/29 | | 27,060,000 | CNY | | 3,849,551 | |
| | China Government Bond, 2.6800%, 5/21/30 | | 34,330,000 | CNY | | 4,687,103 | |
| | China Government Bond, 3.8600%, 7/22/49 | | 9,010,000 | CNY | | 1,403,293 | |
| | European Union, 0%, 10/4/30 | | 1,910,000 | EUR | | 1,605,738 | |
| | European Union, 0%, 7/4/31 | | 2,085,325 | EUR | | 1,699,951 | |
| | European Union, 0.1000%, 10/4/40 | | 1,043,000 | EUR | | 607,797 | |
| | Federal Republic of Germany Bond, 0%, 8/15/29 | | 757,028 | EUR | | 683,972 | |
| | Federal Republic of Germany Bond, 0%, 2/15/32 | | 1,039,456 | EUR | | 875,810 | |
| | Federal Republic of Germany Bond, 1.7000%, 8/15/32 | | 3,691,900 | EUR | | 3,578,955 | |
| | Federal Republic of Germany Bond, 1.8000%, 8/15/53 | | 1,624,650 | EUR | | 1,308,781 | |
| | French Republic Government Bond OAT, 0%, 11/25/30 | | 3,354,226 | EUR | | 2,830,559 | |
| | French Republic Government Bond OAT, 0%, 5/25/32 | | 2,571,051 | EUR | | 2,053,653 | |
| | French Republic Government Bond OAT, 4.0000%, 4/25/60 | | 230,416 | EUR | | 249,013 | |
| | Italy Buoni Poliennali Del Tesoro, 1.8500%, 7/1/25 (144A) | | 3,406,000 | EUR | | 3,475,562 | |
| | Italy Buoni Poliennali Del Tesoro, 3.4500%, 3/1/48 (144A) | | 880,000 | EUR | | 725,262 | |
| | Japan Government Forty Year Bond, 0.8000%, 3/20/58 | | 29,800,000 | JPY | | 153,898 | |
| | Japan Government Ten Year Bond, 0.4000%, 6/20/25 | | 606,100,000 | JPY | | 4,083,204 | |
| | Japan Government Ten Year Bond, 0.1000%, 6/20/29 | | 867,050,000 | JPY | | 5,709,926 | |
| | Japan Government Ten Year Bond, 0.1000%, 6/20/31 | | 529,750,000 | JPY | | 3,416,426 | |
| | Japan Government Ten Year Bond, 0.2000%, 9/20/32 | | 528,400,000 | JPY | | 3,381,519 | |
| | Japan Government Thirty Year Bond, 0.5000%, 9/20/46 | | 72,000,000 | JPY | | 386,396 | |
| | Japan Government Thirty Year Bond, 0.7000%, 6/20/48 | | 205,500,000 | JPY | | 1,131,171 | |
| | Kingdom of Belgium Government Bond, 1.0000%, 6/22/26 (144A) | | 1,442,365 | EUR | | 1,438,578 | |
| | Kingdom of Belgium Government Bond, 2.1500%, 6/22/66 (144A) | | 1,176,268 | EUR | | 813,015 | |
| | Mexican Bonos, 8.0000%, 11/7/47 | | 136,200 | MXN | | 642,796 | |
| | Spain Government Bond, 1.2500%, 10/31/30 (144A) | | 1,497,000 | EUR | | 1,349,769 | |
| | United Kingdom Gilt, 1.2500%, 7/22/27 | | 750,703 | GBP | | 817,189 | |
| | United Kingdom Gilt, 1.6250%, 10/22/28 | | 2,795,255 | GBP | | 3,004,633 | |
| | United Kingdom Gilt, 4.2500%, 6/7/32 | | 130,524 | GBP | | 158,413 | |
| | United Kingdom Gilt, 1.5000%, 7/22/47 | | 1,587,380 | GBP | | 1,023,255 | |
Total Foreign Government Bonds (cost $78,253,565) | | 65,682,307 | |
Mortgage-Backed Securities– 20.5% | | | |
Fannie Mae: | | | |
| | 2.5000%, TBA, 30 Year Maturity | | 18,453 | | | 14,639 | |
| | 4.0000%, TBA, 30 Year Maturity | | 152,246 | | | 135,532 | |
| | 5.5000%, TBA, 30 Year Maturity | | 65,430 | | | 63,214 | |
| | | 213,385 | |
Fannie Mae Pool: | | | |
| | 2.5000%, 11/1/34 | | 180,243 | | | 159,980 | |
| | 4.5000%, 11/1/42 | | 13,963 | | | 13,180 | |
| | 3.0000%, 1/1/43 | | 6,466 | | | 5,533 | |
| | 4.5000%, 10/1/44 | | 32,682 | | | 30,858 | |
| | 4.5000%, 3/1/45 | | 48,943 | | | 46,212 | |
| | 4.5000%, 6/1/45 | | 24,191 | | | 22,658 | |
| | 4.5000%, 2/1/46 | | 47,623 | | | 44,948 | |
| | 3.0000%, 3/1/46 | | 1,039,893 | | | 878,745 | |
| | 3.0000%, 2/1/47 | | 1,619,520 | | | 1,384,521 | |
| | 4.0000%, 1/1/48 | | 604,486 | | | 547,405 | |
| | 4.5000%, 6/1/48 | | 63,161 | | | 59,012 | |
| | 4.0000%, 8/1/48 | | 406,370 | | | 367,429 | |
| | 4.0000%, 9/1/48 | | 967,632 | | | 876,260 | |
| | 4.0000%, 10/1/48 | | 31,971 | | | 28,985 | |
| | 4.0000%, 6/1/49 | | 12,712 | | | 11,484 | |
| | 4.5000%, 6/1/49 | | 5,527 | | | 5,147 | |
| | 4.5000%, 8/1/49 | | 7,838 | | | 7,300 | |
2
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Fannie Mae Pool– (continued) | | | |
| | 3.0000%, 9/1/49 | | $5,635 | | | $4,717 | |
| | 3.0000%, 9/1/49 | | 2,130 | | | 1,796 | |
| | 4.0000%, 11/1/49 | | 208,551 | | | 188,567 | |
| | 4.0000%, 11/1/49 | | 18,299 | | | 16,569 | |
| | 3.5000%, 12/1/49 | | 531,792 | | | 464,739 | |
| | 4.5000%, 1/1/50 | | 161,330 | | | 150,733 | |
| | 4.5000%, 1/1/50 | | 10,622 | | | 9,892 | |
| | 4.0000%, 3/1/50 | | 301,432 | | | 273,277 | |
| | 4.0000%, 3/1/50 | | 162,573 | | | 146,994 | |
| | 4.0000%, 3/1/50 | | 62,126 | | | 56,173 | |
| | 4.0000%, 9/1/50 | | 321,122 | | | 290,097 | |
| | 4.0000%, 10/1/50 | | 328,234 | | | 297,206 | |
| | 4.5000%, 10/1/50 | | 198,614 | | | 185,568 | |
| | 4.5000%, 12/1/50 | | 262,533 | | | 244,488 | |
| | 3.5000%, 2/1/51 | | 59,887 | | | 52,162 | |
| | 4.0000%, 3/1/51 | | 1,589,105 | | | 1,435,575 | |
| | 4.0000%, 3/1/51 | | 16,449 | | | 14,860 | |
| | 4.0000%, 3/1/51 | | 8,291 | | | 7,496 | |
| | 4.0000%, 10/1/51 | | 3,102,974 | | | 2,803,184 | |
| | 3.0000%, 12/1/51 | | 80,834 | | | 67,558 | |
| | 3.5000%, 3/1/52 | | 925,125 | | | 807,465 | |
| | 3.0000%, 4/1/52 | | 7,408 | | | 6,188 | |
| | 3.5000%, 4/1/52 | | 118,383 | | | 103,085 | |
| | 4.0000%, 4/1/52 | | 128,304 | | | 114,929 | |
| | 4.5000%, 4/1/52 | | 23,544 | | | 21,617 | |
| | 4.5000%, 4/1/52 | | 19,915 | | | 18,285 | |
| | 4.5000%, 4/1/52 | | 11,419 | | | 10,484 | |
| | 4.5000%, 4/1/52 | | 10,368 | | | 9,520 | |
| | 4.5000%, 4/1/52 | | 9,065 | | | 8,323 | |
| | 4.5000%, 4/1/52 | | 5,837 | | | 5,358 | |
| | 3.5000%, 5/1/52 | | 145,807 | | | 126,614 | |
| | 4.5000%, 5/1/52 | | 31,597 | | | 29,012 | |
| | 3.5000%, 6/1/52 | | 292,536 | | | 255,059 | |
| | 3.5000%, 7/1/52 | | 26,646 | | | 23,224 | |
| | 4.5000%, 7/1/52 | | 135,261 | | | 124,391 | |
| | 3.5000%, 8/1/52 | | 128,861 | | | 111,819 | |
| | 3.5000%, 8/1/52 | | 48,497 | | | 42,170 | |
| | 4.5000%, 8/1/52 | | 499,898 | | | 459,726 | |
| | 3.5000%, 9/1/52 | | 239,848 | | | 208,277 | |
| | 5.5000%, 9/1/52 | | 605,308 | | | 586,261 | |
| | 5.5000%, 10/1/52 | | 1,348,968 | | | 1,312,398 | |
| | 5.0000%, 11/1/52 | | 224,471 | | | 212,431 | |
| | 5.0000%, 1/1/53 | | 180,082 | | | 170,154 | |
| | 5.0000%, 3/1/53 | | 51,678 | | | 48,740 | |
| | 5.5000%, 3/1/53 | | 69,370 | | | 67,220 | |
| | 5.0000%, 4/1/53 | | 67,160 | | | 63,341 | |
| | 5.0000%, 4/1/53 | | 16,086 | | | 15,171 | |
| | 5.0000%, 4/1/53 | | 13,494 | | | 12,727 | |
| | 5.5000%, 4/1/53 | | 33,086 | | | 32,060 | |
| | 5.5000%, 5/1/53 | | 61,743 | | | 59,829 | |
| | 5.5000%, 5/1/53 | | 32,086 | | | 31,091 | |
| | 5.0000%, 6/1/53 | | 22,062 | | | 20,839 | |
| | 4.5000%, 8/1/53 | | 85,544 | | | 79,401 | |
| | 5.5000%, 9/1/53 | | 174,120 | | | 169,261 | |
| | 3.0000%, 2/1/57 | | 24,345 | | | 20,045 | |
| | | 16,587,823 | |
Freddie Mac Pool: | | | |
| | 3.0000%, 5/1/31 | | 161,927 | | | 151,687 | |
| | 3.0000%, 9/1/32 | | 886 | | | 809 | |
| | 3.0000%, 10/1/32 | | 1,268 | | | 1,157 | |
| | 3.0000%, 12/1/32 | | 176,414 | | | 159,856 | |
| | 2.5000%, 4/1/33 | | 193,530 | | | 175,954 | |
| | 2.5000%, 11/1/34 | | 192,957 | | | 171,264 | |
| | 3.0000%, 6/1/43 | | 240 | | | 203 | |
| | 4.5000%, 5/1/44 | | 22,210 | | | 20,807 | |
| | 4.0000%, 4/1/48 | | 1,669,449 | | | 1,509,474 | |
| | 4.5000%, 7/1/48 | | 14,253 | | | 13,317 | |
| | 4.0000%, 12/1/48 | | 106,556 | | | 96,331 | |
| | 4.5000%, 6/1/49 | | 6,138 | | | 5,714 | |
| | 4.5000%, 7/1/49 | | 52,082 | | | 48,490 | |
| | 4.5000%, 7/1/49 | | 7,789 | | | 7,253 | |
| | 4.5000%, 8/1/49 | | 46,572 | | | 43,360 | |
| | 3.0000%, 11/1/49 | | 2,862,782 | | | 2,408,994 | |
| | 3.0000%, 12/1/49 | | 39,013 | | | 32,660 | |
3
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Freddie Mac Pool– (continued) | | | |
| | 3.0000%, 12/1/49 | | $3,168 | | | $2,652 | |
| | 4.5000%, 1/1/50 | | 31,187 | | | 29,036 | |
| | 4.5000%, 1/1/50 | | 8,611 | | | 8,019 | |
| | 4.0000%, 6/1/50 | | 170,023 | | | 154,325 | |
| | 4.5000%, 9/1/50 | | 306,892 | | | 286,734 | |
| | 4.0000%, 10/1/50 | | 30,271 | | | 27,347 | |
| | 4.5000%, 10/1/50 | | 152,484 | | | 142,004 | |
| | 2.5000%, 6/1/51 | | 35,245 | | | 28,430 | |
| | 4.5000%, 3/1/52 | | 4,907 | | | 4,505 | |
| | 3.0000%, 6/1/52 | | 876,598 | | | 734,646 | |
| | 3.5000%, 6/1/52 | | 1,164,032 | | | 1,016,480 | |
| | 3.5000%, 7/1/52 | | 1,048,243 | | | 909,941 | |
| | 4.5000%, 8/1/52 | | 1,099,594 | | | 1,011,228 | |
| | 4.5000%, 8/1/52 | | 473,817 | | | 435,398 | |
| | 4.5000%, 8/1/52 | | 246,482 | | | 226,675 | |
| | 5.5000%, 9/1/52 | | 151,906 | | | 147,738 | |
| | 5.0000%, 3/1/53 | | 81,748 | | | 77,099 | |
| | 5.0000%, 3/1/53 | | 15,178 | | | 14,315 | |
| | 5.0000%, 5/1/53 | | 274,923 | | | 259,688 | |
| | 5.0000%, 5/1/53 | | 111,763 | | | 105,570 | |
| | 5.0000%, 5/1/53 | | 63,131 | | | 59,632 | |
| | 5.5000%, 5/1/53 | | 143,248 | | | 138,807 | |
| | 5.5000%, 5/1/53 | | 99,163 | | | 96,398 | |
| | 5.0000%, 6/1/53 | | 286,172 | | | 270,313 | |
| | 5.5000%, 6/1/53 | | 317,354 | | | 307,517 | |
| | | 11,341,827 | |
Ginnie Mae: | | | |
| | 4.5000%, TBA, 30 Year Maturity | | 134,500 | | | 124,198 | |
| | 5.0000%, TBA, 30 Year Maturity | | 107,800 | | | 102,125 | |
| | 5.5000%, TBA, 30 Year Maturity | | 67,500 | | | 65,481 | |
| | | 291,804 | |
Ginnie Mae II Pool: | | | |
| | 4.0000%, 5/20/48 | | 245,031 | | | 223,866 | |
| | 4.0000%, 6/20/48 | | 573,472 | | | 523,937 | |
| | | 747,803 | |
Total Mortgage-Backed Securities (cost $32,137,945) | | 29,182,642 | |
United States Treasury Notes/Bonds– 10.2% | | | |
| | 3.8750%, 12/31/27 | | 1,185,200 | | | 1,148,672 | |
| | 4.3750%, 8/31/28 | | 2,000,000 | | | 1,980,156 | |
| | 4.0000%, 2/28/30 | | 1,732,300 | | | 1,670,587 | |
| | 2.8750%, 5/15/32 | | 3,857,700 | | | 3,386,187 | |
| | 3.8750%, 8/15/33 | | 1,493,000 | | | 1,410,652 | |
| | 1.3750%, 11/15/40 | | 1,778,900 | | | 1,052,817 | |
| | 3.3750%, 5/15/44 | | 1,030,500 | | | 822,307 | |
| | 3.3750%, 11/15/48 | | 971,600 | | | 762,061 | |
| | 3.0000%, 2/15/49 | | 1,064,700 | | | 778,271 | |
| | 2.2500%, 2/15/52 | | 1,946,100 | | | 1,194,267 | |
| | 3.6250%, 2/15/53 | | 409,500 | | | 338,669 | |
Total United States Treasury Notes/Bonds (cost $16,371,164) | | 14,544,646 | |
Investment Companies– 4.1% | | | |
Money Markets – 4.1% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.3601%ºº,£((cost $5,816,593) | | 5,815,430 | | | 5,817,175 | |
Investments Purchased with Cash Collateral from Securities Lending– 0.1% | | | |
Investment Companies – 0.1% | | | |
| | Janus Henderson Cash Collateral Fund LLC, 5.2832%ºº,£ | | 98,898 | | | 98,898 | |
Time Deposits – 0% | | | |
| | Royal Bank of Canada, 5.3100%, 10/2/23 | | $24,725 | | | 24,725 | |
Total Investments Purchased with Cash Collateral from Securities Lending (cost $123,623) | | 123,623 | |
Total Investments (total cost $162,907,390) – 99.6% | | 141,607,087 | |
Liabilities, net of Cash, Receivables and Other Assets – 0.4% | | 484,213 | |
Net Assets – 100% | | $142,091,300 | |
4
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $67,664,755 | | 47.8 | % |
Japan | | 18,449,152 | | 13.0 | |
China | | 15,553,638 | | 11.0 | |
United Kingdom | | 9,350,622 | | 6.6 | |
Germany | | 6,447,518 | | 4.5 | |
France | | 5,894,058 | | 4.2 | |
Italy | | 4,200,824 | | 3.0 | |
Supranational | | 3,913,486 | | 2.8 | |
Canada | | 2,931,130 | | 2.1 | |
Belgium | | 2,251,593 | | 1.6 | |
Spain | | 1,758,746 | | 1.2 | |
Australia | | 1,056,479 | | 0.7 | |
Netherlands | | 1,016,590 | | 0.7 | |
Mexico | | 642,796 | | 0.5 | |
Switzerland | | 475,700 | | 0.3 | |
| | | | | | |
| | | | | | |
Total | | $141,607,087 | | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 9/30/23 |
Investment Companies - 4.1% |
Money Markets - 4.1% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.3601%ºº | $ | 84,145 | $ | 1,144 | $ | (542) | $ | 5,817,175 |
Investments Purchased with Cash Collateral from Securities Lending - 0.1% |
Investment Companies - 0.1% | |
| | Janus Henderson Cash Collateral Fund LLC, 5.2832%ºº | | 63∆ | | - | | - | | 98,898 |
Total Affiliated Investments - 4.2% | $ | 84,208 | $ | 1,144 | $ | (542) | $ | 5,916,073 |
| | | | | | | | | | | |
| | Value at 6/30/23 | Purchases | Sales Proceeds | Value at 9/30/23 |
Investment Companies - 4.1% |
Money Markets - 4.1% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.3601%ºº | | 9,894,022 | | 11,178,398 | | (15,255,847) | | 5,817,175 |
Investments Purchased with Cash Collateral from Securities Lending - 0.1% |
Investment Companies - 0.1% | |
| | Janus Henderson Cash Collateral Fund LLC, 5.2832%ºº | | 232,500 | | 286,142 | | (419,744) | | 98,898 |
5
| | | | | | | |
Schedule of Forward Foreign Currency Exchange Contracts | | | | | | |
| | | | | | | | | |
Counterparty/ Foreign Currency | Settlement Date | Foreign Currency Amount (Sold)/ Purchased | | USD Currency Amount (Sold)/ Purchased | | Market Value and Unrealized Appreciation/ (Depreciation) | |
Bank of America, National Association: | | | | | | | | |
Hungary Forint | 12/11/23 | 9,373,500 | $ | (25,747) | $ | (562) | | |
Japanese Yen | 12/11/23 | 186,286,148 | | (1,284,000) | | (21,970) | | |
Japanese Yen | 12/11/23 | (553,473,500) | | 3,815,094 | | 65,485 | | |
| | | | | | | | | |
| | | | | | | 42,953 | | |
Barclays Capital, Inc.: | | | | | | | | |
British Pound | 12/11/23 | (232,609) | | 290,000 | | 6,105 | | |
Euro | 12/11/23 | (1,494,543) | | 1,610,000 | | 24,793 | | |
| | | | | | | | | |
| | | | | | | 30,898 | | |
BNP Paribas: | | | | | | | | |
Korean Won | 12/11/23 | 2,220,592,300 | | (1,680,002) | | (24,770) | | |
Polish Zloty | 12/11/23 | 2,993,000 | | (686,655) | | (2,793) | | |
Singapore Dollar | 12/11/23 | 2,520,379 | | (1,858,164) | | (7,795) | | |
| | | | | | | | | |
| | | | | | | (35,358) | | |
HSBC Securities (USA), Inc.: | | | | | | | | |
Australian Dollar | 12/11/23 | 2,691,637 | | (1,734,938) | | (382) | | |
Australian Dollar | 12/11/23 | (186,639) | | 120,000 | | (275) | | |
Canadian Dollar | 12/11/23 | 6,933,535 | | (5,122,244) | | (11,011) | | |
Chinese Renminbi | 12/11/23 | (18,574,505) | | 2,551,338 | | (2,582) | | |
Danish Krone | 12/11/23 | (206,000) | | 29,784 | | 447 | | |
Euro | 12/11/23 | (217,867) | | 230,398 | | (685) | | |
Japanese Yen | 12/11/23 | (34,228,629) | | 231,795 | | (94) | | |
New Zealand Dollar | 12/11/23 | (382,500) | | 225,820 | | (3,335) | | |
Swedish Krona | 12/11/23 | 5,797,100 | | (524,230) | | 8,449 | | |
Swedish Krona | 12/11/23 | (1,454,236) | | 131,500 | | (2,126) | | |
Swiss Franc | 12/11/23 | 687,500 | | (778,704) | | (21,201) | | |
| | | | | | | | | |
| | | | | | | (32,795) | | |
JPMorgan Chase Bank, National Association: | | | | | | | | |
British Pound | 12/11/23 | 1,136,415 | | (1,419,468) | | (32,497) | | |
British Pound | 12/11/23 | (3,923,600) | | 4,895,696 | | 107,022 | | |
Canadian Dollar | 12/11/23 | (5,378,400) | | 3,973,570 | | 8,746 | | |
Euro | 12/11/23 | 6,423,372 | | (6,921,345) | | (108,308) | | |
Mexican Peso | 12/11/23 | 4,309,400 | | (245,831) | | (1,498) | | |
Norwegian Krone | 12/11/23 | 1,461,000 | | (137,031) | | (110) | | |
| | | | | | | | | |
| | | | | | | (26,645) | | |
Morgan Stanley London FX: | | | | | | | | |
Canadian Dollar | 12/11/23 | (270,882) | | 200,000 | | 313 | | |
Japanese Yen | 12/11/23 | (117,706,778) | | 810,000 | | 12,574 | | |
| | | | | | | | | |
| | | | | | | 12,887 | | |
State Street Bank and Trust Company: | | | | | | | | |
Euro | 12/11/23 | (1,899,600) | | 2,045,712 | | 30,875 | | |
Indonesian Rupiah | 12/11/23 | 10,341,960,000 | | (672,185) | | (8,260) | | |
Israeli Shekel | 12/11/23 | 728,400 | | (192,042) | | (221) | | |
Japanese Yen | 12/11/23 | 145,617,172 | | (1,002,017) | | (15,507) | | |
Singapore Dollar | 12/11/23 | (617,655) | | 454,900 | | 1,440 | | |
| | | | | | | | | |
6
| | | | | | | | | |
Counterparty/ Foreign Currency | Settlement Date | Foreign Currency Amount (Sold)/ Purchased | | USD Currency Amount (Sold)/ Purchased | | Market Value and Unrealized Appreciation/ (Depreciation) | |
| | | | | | $ | 8,327 | | |
Total | | | | | $ | 267 | | |
Schedule of Futures
| | | | | | | | | | | | | | |
Description | | Number of Contracts | | Expiration Date | | Notional Amount | | Value and Unrealized Appreciation/(Depreciation) | |
Futures Long: | | | | | | | | | |
10-Year Australian Bond | | 36 | | 12/15/23 | $ | 2,591,146 | $ | (66,689) | | |
5 Year US Treasury Note | | 182 | | 1/4/24 | | 19,175,406 | | (150,719) | | |
Euro-Bobl | | 17 | | 12/11/23 | | 2,080,118 | | 748 | | |
Euro-BTP | | 7 | | 12/11/23 | | 811,973 | | (39,758) | | |
Euro-Buxl | | 8 | | 12/11/23 | | 1,034,779 | | (84,287) | | |
Long Gilt | | 34 | | 12/29/23 | | 3,905,433 | | (33,467) | | |
Total | | | | | | | $ | (374,172) | |
| | | | | | | | | | | | | | |
Schedule of Centrally Cleared Interest Rate Swaps |
Payments made by Fund | Payments received by Fund | Payment Frequency | | Maturity Date | | Notional Amount | | | Premiums Paid/ (Received) | | Unrealized Appreciation/ (Depreciation) | | Value |
STIBOR 3M | 3.2045% Fixed Rate | Quarterly | | 10/21/32 | | 33,100,000 | SEK | $ | 750 | $ | 9,458 | $ | 10,208 |
| | | | | | | | | | |
Schedule of OTC Credit Default Swaps - Buy Protection |
Counterparty/ Reference Asset | Maturity Date | Notional Amount | | | Premiums Paid/(Received) | | Unrealized Appreciation/ (Depreciation) | | Swap Contracts, at Value Asset/(Liability) |
Bank of America, National Association:
| | | | | | | | | | |
CNHIND 3.85 15Nov27, Fixed Rate 5.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | $ | (74,072) | $ | 8,035 | $ | (66,037) |
NXT 3.625 18May28, Fixed Rate 1.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | 9,170 | | (9,059) | | 111 |
WENL 1.375 26Apr26, Fixed Rate 5.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | (74,986) | | 3,733 | | (71,253) |
Total | | | | | (139,888) | | 2,709 | | (137,179) |
BNP Paribas:
| | | | | | | | | | |
AACAP 1.625 11Mar26, Fixed Rate 5.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | (59,840) | | (165) | | (60,005) |
AKZO 1.75 07Nov24, Fixed Rate 1.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | 896 | | (3,136) | | (2,240) |
ALSTOM .25 14Oct26, Fixed Rate 1.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | 11,485 | | (6,292) | | 5,193 |
DAMLR 1.4 12Jan24, Fixed Rate 1.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | (5,435) | | (555) | | (5,990) |
PUBFP .5 03Nov23, Fixed Rate 1.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | (3,812) | | (2,147) | | (5,959) |
WPPF 2.25 22Sep26, Fixed Rate 1.00%, Paid Quarterly | 6/20/28 | (390,000) | EUR | | (1,597) | | (1,895) | | (3,492) |
Total | | | | | (58,303) | | (14,190) | | (72,493) |
Total | | | | $ | (198,191) | $ | (11,481) | $ | (209,672) |
7
| | |
Average Ending Monthly Value of Derivative Instruments During the Period Ended September 30, 2023 |
| |
| |
Credit default swaps: | |
Average notional amount - buy protection | $3,510,000 |
Forward foreign currency exchange contracts: | |
Average amounts purchased - in USD | 18,876,681 |
Average amounts sold - in USD | 20,195,227 |
Futures contracts: | |
Average notional amount of contracts - long | 31,971,137 |
Interest rate swaps: | |
Average notional amount - receive fixed rate/pay floating rate | 33,100,000 |
| | |
| |
| |
| |
8
Notes to Schedule of Investments (unaudited)
| | |
EURIBOR | Euro Interbank Offered Rate |
LLC | Limited Liability Company |
PLC | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
STIBOR | Stockholm Interbank Offered 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 September 30, 2023 is $8,906,413, which represents 6.3% of net assets. |
| | |
‡ | Variable or floating rate security. Rate shown is the current rate as of September 30, 2023. 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 September 30, 2023. |
| | |
# | Loaned security; a portion of the security is on loan at September 30, 2023. |
| | |
£ | 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 |
9
| | | | | | | | | | | | | | |
financial instruments as of September 30, 2023. |
| |
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 | $ | - | $ | 1,444,613 | $ | - |
Corporate Bonds | | - | | 24,812,081 | | - |
Foreign Government Bonds | | - | | 65,682,307 | | - |
Mortgage-Backed Securities | | - | | 29,182,642 | | - |
United States Treasury Notes/Bonds | | - | | 14,544,646 | | - |
Investment Companies | | - | | 5,817,175 | | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 123,623 | | - |
Total Investments in Securities | $ | - | $ | 141,607,087 | $ | - |
Other Financial Instruments(a): | | | | | | |
OTC Swaps | | - | | 11,768 | | - |
Forward Foreign Currency Exchange Contracts | | - | | 266,249 | | - |
Futures Contracts | | 748 | | - | | - |
Centrally Cleared Swaps | | - | | 9,458 | | - |
Total Assets | $ | 748 | $ | 141,894,562 | $ | - |
Liabilities | | | | | | |
Other Financial Instruments(a): | | | | | | |
OTC Swaps | $ | - | $ | 23,249 | $ | - |
Forward Foreign Currency Exchange Contracts | | - | | 265,982 | | - |
Futures Contracts | | 374,920 | | - | | - |
Total Liabilities | $ | 374,920 | $ | 289,231 | $ | - |
| | | | | | | |
(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. |
10
Investment Valuation
Fund holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The value of the securities of other mutual funds held by the Fund, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Fund, if any, will be calculated using the NAV of such funds.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Fund has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Fund’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Fund since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of September 30, 2023 to fair value the Fund’s
11
investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments.
12
For additional information on the Fund, please refer to the Fund’s most recent semiannual or annual shareholder report.
