Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
March 31, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– 17.4% | |||||||
208 Park Avenue Mortgage Trust 2017-280P, | |||||||
ICE LIBOR USD 1 Month + 0.8800%, 0.9860%, 9/15/34 (144A)‡ | $629,029 | $629,203 | |||||
Affirm Asset Securitization Trust 2020-Z2 A, 1.9000%, 1/15/25 (144A) | 413,080 | 416,441 | |||||
Affirm Asset Securitization Trust 2021-A A, 0.8800%, 8/15/25 (144A) | 723,000 | 723,290 | |||||
Angel Oak Mortgage Trust I LLC 2018-2, | |||||||
ICE LIBOR USD 12 Month + 0.7600%, 3.6740%, 7/27/48 (144A)‡ | 106,305 | 106,917 | |||||
Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)‡ | 377,168 | 379,966 | |||||
Angel Oak Mortgage Trust I LLC 2019-6, | |||||||
ICE LIBOR USD 12 Month + 0.9500%, 2.6200%, 11/25/59 (144A)‡ | 364,215 | 367,343 | |||||
Angel Oak Mortgage Trust I LLC 2020-3, | |||||||
ICE LIBOR USD 12 Month + 1.0000%, 2.4100%, 4/25/65 (144A)‡ | 573,965 | 579,758 | |||||
Angel Oak Mortgage Trust I LLC2020-2, | |||||||
ICE LIBOR USD 12 Month + 2.2000%, 2.5310%, 1/26/65 (144A)‡ | 621,867 | 625,155 | |||||
Arbys Funding LLC 2020-1A, 3.2370%, 7/30/50 (144A) | 1,795,975 | 1,792,085 | |||||
Arroyo Mortgage Trust 2018-1, | |||||||
ICE LIBOR USD 12 Month + 0.8500%, 3.7630%, 4/25/48 (144A)‡ | 265,645 | 266,130 | |||||
Bank 2018-BN12 A4, 4.2550%, 5/15/61‡ | 260,123 | 295,143 | |||||
Bank 2019-BN17, 3.7140%, 4/15/52 | 569,676 | 627,248 | |||||
Bank 2019-BN18, 3.5840%, 5/15/62 | 978,130 | 1,069,626 | |||||
Bank 2019-BN20, 3.0110%, 9/15/62 | 466,163 | 489,033 | |||||
Bank 2019-BN23, 2.9200%, 12/15/52 | 838,600 | 875,846 | |||||
Bank 2019-BNK24, 2.9600%, 11/15/62 | 236,800 | 247,931 | |||||
Barclays Comercial Mortgage Securities LLC 2015-SRCH, | |||||||
4.1970%, 8/10/35 (144A) | 1,447,000 | 1,615,381 | |||||
Barclays Comercial Mortgage Securities LLC 2017-DELC, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 0.9560%, 8/15/36 (144A)‡ | 443,000 | 442,733 | |||||
Benchmark Mortgage Trust 2020-B16, 2.7320%, 2/15/53 | 565,000 | 581,776 | |||||
BVRT Financing Trust, 1.8560%, 7/10/32‡ | 529,572 | 529,572 | |||||
BVRT Financing Trust 2021-1F M1, 1.6100%, 7/1/33‡ | 679,000 | 679,000 | |||||
BVRT Financing Trust 2021-CRT1 M2, 2.3560%, 1/10/33‡ | 662,000 | 662,000 | |||||
BVRT Financing Trust 2021-CRT2 M1, 1.8560%, 11/10/32‡ | 1,043,743 | 1,043,743 | |||||
BX Commercial Mortgage Trust 2018-IND, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 0.8560%, 11/15/35 (144A)‡ | 752,752 | 752,673 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 0.9200%, 1.0260%, 10/15/36 (144A)‡ | 1,300,727 | 1,301,911 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 1.0800%, 1.1860%, 10/15/36 (144A)‡ | 216,318 | 216,396 | |||||
BX Commercial Mortgage Trust 2020-FOX A, | |||||||
ICE LIBOR USD 1 Month + 1.0000%, 1.1060%, 11/15/32 (144A)‡ | 1,788,000 | 1,790,736 | |||||
BX Commercial Mortgage Trust 2020-FOX B, | |||||||
ICE LIBOR USD 1 Month + 1.3500%, 1.4560%, 11/15/32 (144A)‡ | 320,000 | 320,575 | |||||
BX Commercial Mortgage Trust 2020-FOX C, | |||||||
ICE LIBOR USD 1 Month + 1.5500%, 1.6560%, 11/15/32 (144A)‡ | 320,000 | 320,689 | |||||
BX Commercial Mortgage Trust 2021-LBA AJV, | |||||||
ICE LIBOR USD 1 Month + 0.8000%, 0.9060%, 2/15/36 (144A)‡ | 848,000 | 847,796 | |||||
BX Commercial Mortgage Trust 2021-LBA AV, | |||||||
ICE LIBOR USD 1 Month + 0.8000%, 0.9060%, 2/15/36 (144A)‡ | 964,000 | 963,321 | |||||
BX Trust 2019-OC11, 3.2020%, 12/9/41 (144A) | 614,000 | 643,652 | |||||
BX Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | 309,000 | 329,828 | |||||
BX Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | 614,000 | 647,716 | |||||
BX Trust 2019-OC11, 4.0755%, 12/9/41 (144A)‡ | 920,000 | 945,935 | |||||
BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 696,000 | 749,058 | |||||
CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A) | 1,202,000 | 1,197,611 | |||||
CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A) | 441,000 | 439,675 | |||||
CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)Ç | 1,206,666 | 1,206,240 | |||||
Cold Storage Trust 2020-ICE5 A, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 1.0060%, 11/15/37 (144A)‡ | 1,740,876 | 1,742,256 | |||||
Cold Storage Trust 2020-ICE5 B, | |||||||
ICE LIBOR USD 1 Month + 1.3000%, 1.4060%, 11/15/37 (144A)‡ | 774,597 | 775,478 | |||||
Cold Storage Trust 2020-ICE5 C, | |||||||
ICE LIBOR USD 1 Month + 1.6500%, 1.7560%, 11/15/37 (144A)‡ | 777,546 | 778,261 | |||||
COLT Funding LLC 2020-2, | |||||||
ICE LIBOR USD 12 Month + 1.5000%, 1.8530%, 3/25/65 (144A)‡ | 309,095 | 312,487 | |||||
COLT Funding LLC 2020-3, | |||||||
ICE LIBOR USD 12 Month + 1.2000%, 1.5060%, 4/27/65 (144A)‡ | 326,608 | 326,881 | |||||
Connecticut Avenue Securities Trust 2014-C04, | |||||||
ICE LIBOR USD 1 Month + 4.9000%, 5.0086%, 11/25/24‡ | 78,947 | 79,858 | |||||
Connecticut Avenue Securities Trust 2015-C02 1M2, | |||||||
ICE LIBOR USD 1 Month + 4.0000%, 4.1086%, 5/25/25‡ | 251,042 | 251,042 |
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Connecticut Avenue Securities Trust 2016-C03, | |||||||
ICE LIBOR USD 1 Month + 5.9000%, 6.0086%, 10/25/28‡ | $141,605 | $149,588 | |||||
Connecticut Avenue Securities Trust 2016-C04, | |||||||
ICE LIBOR USD 1 Month + 4.2500%, 4.3586%, 1/25/29‡ | 350,443 | 364,637 | |||||
Connecticut Avenue Securities Trust 2016-C06 1M2, | |||||||
ICE LIBOR USD 1 Month + 4.2500%, 4.3586%, 4/25/29‡ | 398,449 | 412,993 | |||||
Connecticut Avenue Securities Trust 2017-C01, | |||||||
ICE LIBOR USD 1 Month + 3.5500%, 3.6586%, 7/25/29‡ | 620,520 | 636,728 | |||||
Connecticut Avenue Securities Trust 2017-C04 2M2C, | |||||||
ICE LIBOR USD 1 Month + 2.8500%, 2.9586%, 11/25/29‡ | 771,000 | 775,088 | |||||
Connecticut Avenue Securities Trust 2017-C05 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.2000%, 2.3086%, 1/25/30‡ | 873,029 | 881,307 | |||||
Connecticut Avenue Securities Trust 2017-C06 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.6500%, 2.7586%, 2/25/30‡ | 745,511 | 751,537 | |||||
Connecticut Avenue Securities Trust 2017-C07 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.4000%, 2.5086%, 5/25/30‡ | 850,594 | 851,637 | |||||
Connecticut Avenue Securities Trust 2018-C01 1M2C, | |||||||
ICE LIBOR USD 1 Month + 2.2500%, 2.3586%, 7/25/30‡ | 507,119 | 502,228 | |||||
Connecticut Avenue Securities Trust 2018-C03 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 2.2586%, 10/25/30‡ | 865,029 | 861,240 | |||||
Connecticut Avenue Securities Trust 2018-C05, | |||||||
ICE LIBOR USD 1 Month + 2.3500%, 2.4586%, 1/25/31‡ | 661,297 | 660,739 | |||||
Connecticut Avenue Securities Trust 2018-R07, | |||||||
ICE LIBOR USD 1 Month + 2.4000%, 2.5086%, 4/25/31 (144A)‡ | 271,228 | 271,601 | |||||
Connecticut Avenue Securities Trust 2019-R02, | |||||||
ICE LIBOR USD 1 Month + 2.3000%, 2.4086%, 8/25/31 (144A)‡ | 817,673 | 818,623 | |||||
Connecticut Avenue Securities Trust 2019-R03, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 2.2586%, 9/25/31 (144A)‡ | 714,203 | 715,833 | |||||
Connecticut Avenue Securities Trust 2019-R04, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 2.2086%, 6/25/39 (144A)‡ | 661,342 | 662,644 | |||||
Connecticut Avenue Securities Trust 2019-R05, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 2.1086%, 7/25/39 (144A)‡ | 656,431 | 657,610 | |||||
Connecticut Avenue Securities Trust 2019-R06, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 2.2086%, 9/25/39 (144A)‡ | 529,368 | 529,870 | |||||
Connecticut Avenue Securities Trust 2019-R07, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 2.2086%, 10/25/39 (144A)‡ | 917,520 | 917,986 | |||||
Connecticut Avenue Securities Trust 2020-R01, | |||||||
ICE LIBOR USD 1 Month + 0.8000%, 0.9086%, 1/25/40 (144A)‡ | 19,182 | 19,182 | |||||
Connecticut Avenue Securities Trust 2020-R01 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.0500%, 2.1586%, 1/25/40 (144A)‡ | 720,557 | 719,421 | |||||
Connecticut Avenue Securities Trust 2020-R02, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 2.1086%, 1/25/40 (144A)‡ | 1,522,717 | 1,518,236 | |||||
Cosmopolitan Hotel Trust 2017, | |||||||
ICE LIBOR USD 1 Month + 0.9300%, 1.0360%, 11/15/36 (144A)‡ | 552,036 | 552,435 | |||||
Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A) | 563,000 | 567,993 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4, | |||||||
ICE LIBOR USD 1 Month + 0.9800%, 1.0860%, 5/15/36 (144A)‡ | 1,570,000 | 1,570,732 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4 C, | |||||||
ICE LIBOR USD 1 Month + 1.4300%, 1.5360%, 5/15/36 (144A)‡ | 831,000 | 831,350 | |||||
Credit Suisse Commercial Mortgage Trust 2020-UNFI, 4.1682%, 12/6/22‡ | 453,000 | 452,454 | |||||
DB Master Finance LLC 2019-1A A23, 4.3520%, 5/20/49 (144A) | 458,025 | 491,009 | |||||
DB Master Finance LLC 2019-1A A2I, 3.7870%, 5/20/49 (144A) | 572,285 | 581,610 | |||||
DB Master Finance LLC 2019-1A A2II, 4.0210%, 5/20/49 (144A) | 231,475 | 243,296 | |||||
Domino's Pizza Master Issuer LLC, 3.0820%, 7/25/47 (144A) | 229,890 | 229,890 | |||||
Domino's Pizza Master Issuer LLC, 4.1180%, 7/25/47 (144A) | 360,840 | 384,383 | |||||
Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 1,068,408 | 1,120,436 | |||||
Domino's Pizza Master Issuer LLC, 4.3280%, 7/25/48 (144A) | 555,220 | 595,048 | |||||
Domino's Pizza Master Issuer LLC, 3.6680%, 10/25/49 (144A) | 1,985,940 | 2,074,434 | |||||
Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24 | 1,590,000 | 1,632,171 | |||||
Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24 | 1,400,000 | 1,447,634 | |||||
Drive Auto Receivables Trust 2017-3, 3.5300%, 12/15/23 (144A) | 78,649 | 79,581 | |||||
Drive Auto Receivables Trust 2017-A, 4.1600%, 5/15/24 (144A) | 226,953 | 228,362 | |||||
Exeter Automobile Receivables Trust 2018-1A C, 3.0300%, 1/17/23 (144A) | 20,874 | 20,888 | |||||
Exeter Automobile Receivables Trust 2021-1A C, 0.7400%, 1/15/26 | 181,000 | 180,079 | |||||
Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26 | 580,000 | 574,815 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 5.0000%, 5.1086%, 7/25/25‡ | 476,374 | 487,309 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 5.7000%, 5.8086%, 4/25/28‡ | 309,436 | 327,415 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 2.1086%, 3/25/31‡ | 1,091,520 | 1,086,626 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 1,508,843 | 1,603,181 | |||||
Fannie Mae REMICS, 3.0000%, 11/25/49 | 1,769,912 | 1,872,909 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, | |||||||
ICE LIBOR USD 1 Month + 5.5500%, 5.6586%, 7/25/28‡ | 379,612 | 398,470 |
2
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA2 M2, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 2.2586%, 12/25/30 (144A)‡ | $550,000 | $548,619 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2, | |||||||
ICE LIBOR USD 1 Month + 1.9500%, 2.0586%, 10/25/49 (144A)‡ | 192,490 | 192,179 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA1 M2, | |||||||
ICE LIBOR USD 1 Month + 1.7000%, 1.8086%, 1/25/50 (144A)‡ | 1,009,878 | 1,005,705 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2, | |||||||
US 30 Day Average SOFR + 2.0000%, 2.0167%, 12/25/50 (144A)‡ | 910,000 | 906,025 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2, | |||||||
ICE LIBOR USD 1 Month + 3.1500%, 3.2586%, 9/25/50 (144A)‡ | 500,000 | 503,658 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, | |||||||
US 30 Day Average SOFR + 2.6000%, 2.6167%, 11/25/50 (144A)‡ | 1,481,000 | 1,487,478 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, | |||||||
US 30 Day Average SOFR + 2.3000%, 2.3167%, 8/25/33 (144A)‡ | 787,000 | 787,315 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, | |||||||
US 30 Day Average SOFR + 2.2500%, 2.2667%, 8/25/33 (144A)‡ | 694,000 | 687,046 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.0340%, 1.1400%, 12/15/36 (144A)‡ | 293,000 | 292,909 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.3340%, 1.4400%, 12/15/36 (144A)‡ | 328,000 | 326,245 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.6330%, 1.7390%, 12/15/36 (144A)‡ | 365,000 | 361,470 | |||||
GS Mortgage Securities Trust 2018-GS10, 4.1550%, 7/10/51‡ | 371,605 | 419,244 | |||||
GS Mortgage Securities Trust 2018-GS9, 3.9920%, 3/10/51‡ | 618,450 | 691,747 | |||||
GS Mortgage Securities Trust 2020-GC45, 2.9106%, 2/13/53 | 580,000 | 606,001 | |||||
GS Mortgage Securities Trust 2020-GC47, 2.3772%, 5/12/53 | 663,000 | 664,381 | |||||
Jack in the Box Funding LLC 2019-1A A23, 4.9700%, 8/25/49 (144A) | 1,182,068 | 1,263,859 | |||||
Jack in the Box Funding LLC 2019-1A A2I, 3.9820%, 8/25/49 (144A) | 1,182,068 | 1,211,295 | |||||
Jack in the Box Funding LLC 2019-1A A2II, 4.4760%, 8/25/49 (144A) | 1,182,068 | 1,233,893 | |||||
Life Financial Services Trust 2021-BMR A, | |||||||
ICE LIBOR USD 1 Month + 0.7000%, 0.8060%, 3/15/38 (144A)‡ | 2,198,000 | 2,198,841 | |||||
Life Financial Services Trust 2021-BMR C, | |||||||
ICE LIBOR USD 1 Month + 1.1000%, 1.2060%, 3/15/38 (144A)‡ | 1,052,000 | 1,052,547 | |||||
Mercury Financial Credit Card Master Trust 2021-1A A, | |||||||
1.5400%, 3/20/26 (144A) | 985,000 | 984,113 | |||||
Morgan Stanley Capital I Trust 2016-UB11, 2.7820%, 8/15/49 | 594,000 | 623,913 | |||||
Morgan Stanley Capital I Trust 2019-H6, 3.4170%, 6/15/52 | 324,754 | 350,014 | |||||
Morgan Stanley Capital I Trust 2015-UBS8, 3.8090%, 12/15/48 | 447,000 | 489,187 | |||||
Morgan Stanley Capital I Trust 2018-H3, 4.1770%, 7/15/51 | 590,372 | 666,875 | |||||
Morgan Stanley Capital I Trust 2018-H4, 4.3100%, 12/15/51 | 883,008 | 1,003,792 | |||||
New Residential Mortgage Loan Trust 2018-2, | |||||||
ICE LIBOR USD 6 Month + 0.6800%, 4.5000%, 2/25/58 (144A)‡ | 374,816 | 402,162 | |||||
Newday Funding Master Issuer PLC 2021-1A A2, | |||||||
SOFR + 1.1000%, 1.1500%, 3/15/29 (144A)‡ | 693,000 | 695,652 | |||||
NRZ Excess Spread Collateralized Notes 2020-PLS1 A, | |||||||
3.8440%, 12/25/25 (144A) | 381,053 | 384,966 | |||||
Oak Street Investment Grade Net Lease Fund 2020-1A A1, | |||||||
1.8500%, 11/20/50 (144A) | 767,512 | 771,199 | |||||
Oak Street Investment Grade Net Lease Fund 2020-1A A5, | |||||||
3.3900%, 11/20/50 (144A) | 1,082,000 | 1,104,387 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | 254,000 | 258,475 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | 252,000 | 256,707 | |||||
Planet Fitness Master Issuer LLC 2018-1A, 4.2620%, 9/5/48 (144A) | 552,825 | 562,870 | |||||
Planet Fitness Master Issuer LLC 2019-1A, 3.8580%, 12/5/49 (144A) | 947,013 | 893,379 | |||||
Preston Ridge Partners Mortgage Trust 2020-1A, 2.9810%, 2/25/25 (144A)Ç | 235,916 | 238,206 | |||||
Preston Ridge Partners Mortgage Trust 2020-3, 2.8570%, 9/25/25 (144A)Ç | 1,136,379 | 1,146,421 | |||||
Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)Ç | 707,420 | 710,663 | |||||
Preston Ridge Partners Mortgage Trust 2020-5 A1, 3.1040%, 11/25/25 (144A)Ç | 377,170 | 378,231 | |||||
Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26 | 1,414,000 | 1,431,854 | |||||
Santander Drive Auto Receivables Trust 2021-1 D, 1.1300%, 11/16/26 | 2,418,000 | 2,401,206 | |||||
Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)‡ | 184,491 | 187,211 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A1, | |||||||
ICE LIBOR USD 12 Month + 0.9500%, 2.5210%, 1/28/50 (144A)‡ | 127,859 | 129,310 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A2, | |||||||
ICE LIBOR USD 12 Month + 1.0500%, 2.6240%, 1/28/50 (144A)‡ | 254,532 | 256,454 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH2, 3.4070%, 6/25/55 (144A)‡ | 832,517 | 840,709 | |||||
Taco Bell Funding LLC 2016-1A A23, 4.9700%, 5/25/46 (144A) | 605,413 | 653,154 | |||||
Taco Bell Funding LLC 2018-1A A2I, 4.3180%, 11/25/48 (144A) | 596,275 | 598,993 | |||||
Taco Bell Funding LLC 2018-1A A2II, 4.9400%, 11/25/48 (144A) | 507,323 | 549,000 | |||||
UNIFY Auto Receivables Trust 2021-1A A4, 0.9800%, 7/15/26 (144A) | 610,000 | 611,364 | |||||
Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A) | 1,453,000 | 1,451,678 | |||||
Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A) | 634,000 | 612,429 | |||||
VCAT Asset Securitization LLC 2020-NPL1, 3.6710%, 8/25/50 (144A)Ç | 387,787 | 394,165 | |||||
VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A) | 346,135 | 345,935 | |||||
3
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Wells Fargo Commercial Mortgage Trust 2021-SAVE A, | |||||||
ICE LIBOR USD 1 Month + 1.1500%, 1.2560%, 2/15/40 (144A)‡ | $479,000 | $480,205 | |||||
Wendy's Funding LLC, 3.5730%, 3/15/48 (144A) | 384,098 | 398,346 | |||||
Wendy's Funding LLC, 3.8840%, 3/15/48 (144A) | 104,490 | 109,679 | |||||
Wendy's Funding LLC, 3.7830%, 6/15/49 (144A) | 554,393 | 586,405 | |||||
Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A) | 637,000 | 659,694 | |||||
Wingstop Funding LLC 2020-1A A2, 2.8410%, 12/5/50 (144A) | 915,000 | 924,126 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $106,099,034) | 107,282,219 | ||||||
Bank Loans and Mezzanine Loans– 0.6% | |||||||
Basic Industry – 0.2% | |||||||
Alpha 3 BV, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 3/18/28ƒ,‡ | 1,140,000 | 1,135,725 | |||||
Consumer Non-Cyclical – 0.4% | |||||||
Elanco Animal Health Inc, ICE LIBOR USD 1 Month + 1.7500%, 1.8651%, 8/1/27‡ | 2,483,337 | 2,448,744 | |||||
Total Bank Loans and Mezzanine Loans (cost $3,617,663) | 3,584,469 | ||||||
Corporate Bonds– 40.9% | |||||||
Banking – 7.7% | |||||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.0600%, 3.5590%, 4/23/27‡ | 1,129,000 | 1,228,547 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡ | 1,965,000 | 2,149,307 | |||||
Bank of America Corp, SOFR + 2.1500%, 2.5920%, 4/29/31‡ | 1,748,000 | 1,744,351 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 3.1350%, 5.2000%‡,µ | 522,000 | 545,490 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 3.7050%, 6.2500%‡,µ | 1,230,000 | 1,361,364 | |||||
Bank of New York Mellon Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.3580%, 4.7000%‡,µ | 2,095,000 | 2,269,828 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 2.2350%, 4.7050%, 1/10/25 (144A)‡ | 835,000 | 918,024 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 1.1110%, 2.8190%, 11/19/25 (144A)‡ | 567,000 | 596,856 | |||||
BNP Paribas SA, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.0500%, 2.5880%, 8/12/35 (144A)‡ | 1,945,000 | 1,829,274 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28‡ | 1,461,000 | 1,605,907 | |||||
Citigroup Inc, SOFR + 1.4220%, 2.9760%, 11/5/30‡ | 535,000 | 553,290 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 4.0680%, 5.9500%‡,µ | 1,238,000 | 1,298,824 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.4660%, 5.3500%‡,#,µ | 636,000 | 654,285 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.4230%, 6.3000%‡,µ | 145,000 | 154,035 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.9050%, 5.9500%‡,µ | 614,000 | 661,585 | |||||
Citigroup Inc, SOFR + 3.8130%, 5.0000%‡,µ | 661,000 | 681,028 | |||||
Citizens Financial Group Inc, 2.6380%, 9/30/32 (144A) | 949,000 | 908,668 | |||||
Credit Agricole SA, 4.3750%, 3/17/25 (144A) | 771,000 | 846,178 | |||||
Credit Agricole SA, 3.2500%, 1/14/30 (144A) | 1,189,000 | 1,222,306 | |||||
Credit Agricole SA/London, SOFR + 1.6760%, 1.9070%, 6/16/26 (144A)‡ | 261,000 | 264,619 | |||||
Credit Suisse Group AG, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.5540%, 4.5000% (144A)‡,µ | 1,571,000 | 1,472,812 | |||||
Goldman Sachs Group Inc, 3.5000%, 4/1/25 | 1,682,000 | 1,822,300 | |||||
Goldman Sachs Group Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.2240%, 4.9500%‡,µ | 435,000 | 460,143 | |||||
HSBC Holdings PLC, SOFR + 1.5380%, 1.6450%, 4/18/26‡ | 1,415,000 | 1,415,868 | |||||
HSBC Holdings PLC, SOFR + 1.2900%, 1.5890%, 5/24/27‡ | 1,873,000 | 1,843,257 | |||||
JPMorgan Chase & Co, SOFR + 1.8500%, 2.0830%, 4/22/26‡ | 601,000 | 617,266 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | 1,662,000 | 1,838,101 | |||||
JPMorgan Chase & Co, SOFR + 2.5150%, 2.9560%, 5/13/31‡ | 3,058,000 | 3,114,546 | |||||
JPMorgan Chase & Co, SOFR + 3.3800%, 5.0000%, 7/31/69‡ | 522,000 | 539,618 | |||||
JPMorgan Chase & Co, SOFR + 3.1250%, 4.6000%, 1/23/70‡ | 551,000 | 557,199 | |||||
Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26‡ | 1,777,000 | 1,836,054 | |||||
Morgan Stanley, 3.9500%, 4/23/27 | 1,799,000 | 1,990,729 | |||||
Morgan Stanley, SOFR + 1.0340%, 1.7940%, 2/13/32‡ | 1,442,000 | 1,345,903 | |||||
Natwest Group PLC, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.3500%, 3.0320%, 11/28/35‡ | 1,418,000 | 1,352,885 | |||||
SVB Financial Group, 3.1250%, 6/5/30 | 1,943,000 | 2,018,227 | |||||
SVB Financial Group, 1.8000%, 2/2/31 | 659,000 | 607,610 | |||||
SVB Financial Group, | |||||||
US Treasury Yield Curve Rate 10 Year + 3.0640%, 4.1000%‡,µ | 1,669,000 | 1,673,172 | |||||
Westpac Banking Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35‡ | 1,432,000 | 1,358,825 | |||||
47,358,281 | |||||||
Basic Industry – 1.2% | |||||||
Axalta Coating Systems Ltd, 3.3750%, 2/15/29 (144A) | 1,996,000 | 1,946,499 | |||||
Constellium NV, 5.7500%, 5/15/24 (144A) | 847,000 | 857,588 | |||||
Element Solutions Inc, 3.8750%, 9/1/28 (144A) | 1,501,000 | 1,481,112 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 900,000 | 911,295 | |||||
Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 1,847,000 | 1,969,795 | |||||
7,166,289 | |||||||
Brokerage – 0.8% | |||||||
Charles Schwab Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.9710%, 5.3750%‡,µ | 2,750,000 | 3,037,842 | |||||
4
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Brokerage– (continued) | |||||||
Charles Schwab Corp, | |||||||
US Treasury Yield Curve Rate 10 Year + 3.0790%, 4.0000%‡,µ | $1,115,000 | $1,096,045 | |||||
Raymond James Financial Inc, 5.6250%, 4/1/24 | 516,000 | 589,544 | |||||
4,723,431 | |||||||
Capital Goods – 2.2% | |||||||
Boeing Co, 4.5080%, 5/1/23 | 1,379,000 | 1,476,059 | |||||
Boeing Co, 4.8750%, 5/1/25 | 1,023,000 | 1,139,057 | |||||
Boeing Co, 2.1960%, 2/4/26 | 519,000 | 517,391 | |||||
Boeing Co, 3.2500%, 2/1/28 | 554,000 | 573,036 | |||||
Boeing Co, 3.6250%, 2/1/31 | 1,193,000 | 1,248,122 | |||||
Boeing Co, 3.6000%, 5/1/34 | 1,447,000 | 1,447,076 | |||||
Boeing Co, 3.9500%, 8/1/59 | 726,000 | 697,911 | |||||
General Electric Co, 6.7500%, 3/15/32 | 464,000 | 621,466 | |||||
TransDigm Inc, 4.6250%, 1/15/29 (144A) | 2,438,000 | 2,403,990 | |||||
Wabtec Corp, 4.4000%, 3/15/24 | 558,000 | 606,689 | |||||
Wabtec Corp, 3.4500%, 11/15/26 | 861,000 | 927,943 | |||||
Wabtec Corp, 4.9500%, 9/15/28 | 778,000 | 886,423 | |||||
Westinghouse Air Brake Technologies Corp, 3.2000%, 6/15/25 | 1,183,000 | 1,251,525 | |||||
13,796,688 | |||||||
Communications – 5.0% | |||||||
AT&T Inc, 3.5000%, 9/15/53 (144A) | 436,000 | 402,923 | |||||
AT&T Inc, 3.5500%, 9/15/55 (144A) | 625,000 | 571,942 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp, 4.2500%, 2/1/31 (144A) | 1,644,000 | 1,647,650 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp, 4.5000%, 5/1/32 (144A) | 2,596,000 | 2,628,450 | |||||
CenturyLink Inc, 6.4500%, 6/15/21 | 928,000 | 934,728 | |||||
CenturyLink Inc, 5.8000%, 3/15/22 | 516,000 | 534,112 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 6.4840%, 10/23/45 | 302,000 | 393,207 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 5.3750%, 5/1/47 | 242,000 | 280,914 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 4.8000%, 3/1/50 | 592,000 | 635,047 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 3.7000%, 4/1/51 | 613,000 | 573,342 | |||||
Comcast Corp, 3.7500%, 4/1/40 | 184,000 | 201,886 | |||||
Crown Castle International Corp, 3.6500%, 9/1/27 | 653,000 | 711,597 | |||||
Crown Castle International Corp, 4.3000%, 2/15/29 | 276,000 | 309,372 | |||||
Crown Castle International Corp, 3.1000%, 11/15/29 | 897,000 | 925,882 | |||||
CSC Holdings LLC, 4.1250%, 12/1/30 (144A) | 1,320,000 | 1,311,130 | |||||
CSC Holdings LLC, 4.6250%, 12/1/30 (144A) | 1,356,000 | 1,333,782 | |||||
CSC Holdings LLC, 3.3750%, 2/15/31 (144A) | 1,043,000 | 983,028 | |||||
GCI LLC, 4.7500%, 10/15/28 (144A) | 2,474,000 | 2,532,757 | |||||
Level 3 Financing Inc, 3.8750%, 11/15/29 (144A) | 1,152,000 | 1,213,920 | |||||
Netflix Inc, 3.6250%, 6/15/25 (144A) | 3,058,000 | 3,259,293 | |||||
SBA Communications Corp, 3.1250%, 2/1/29 (144A) | 1,451,000 | 1,394,629 | |||||
Sirius XM Radio Inc, 4.1250%, 7/1/30 (144A) | 1,837,000 | 1,839,113 | |||||
T-Mobile USA Inc, 2.2500%, 2/15/26 | 699,000 | 704,026 | |||||
T-Mobile USA Inc, 2.6250%, 2/15/29 | 1,755,000 | 1,704,175 | |||||
T-Mobile USA Inc, 3.0000%, 2/15/41 (144A) | 776,000 | 720,244 | |||||
Verizon Communications Inc, 3.0000%, 3/22/27 | 471,000 | 503,981 | |||||
Verizon Communications Inc, 2.1000%, 3/22/28 | 462,000 | 463,936 | |||||
Verizon Communications Inc, 3.4000%, 3/22/41 | 554,000 | 562,413 | |||||
Verizon Communications Inc, 4.8620%, 8/21/46 | 479,000 | 574,630 | |||||
Verizon Communications Inc, 3.5500%, 3/22/51 | 781,000 | 779,904 | |||||
30,632,013 | |||||||
Consumer Cyclical – 4.7% | |||||||
1011778 BC ULC / New Red Finance Inc, 4.0000%, 10/15/30 (144A) | 2,758,000 | 2,661,470 | |||||
Booking Holdings Inc, 4.1000%, 4/13/25 | 2,604,000 | 2,901,574 | |||||
Choice Hotels International Inc, 3.7000%, 12/1/29 | 1,179,000 | 1,235,545 | |||||
Choice Hotels International Inc, 3.7000%, 1/15/31 | 315,000 | 331,204 | |||||
Experian Finance PLC, 2.7500%, 3/8/30 (144A) | 1,500,000 | 1,523,371 | |||||
Ford Motor Credit Co LLC, 3.3750%, 11/13/25 | 2,130,000 | 2,166,210 | |||||
Ford Motor Credit Co LLC, 4.0000%, 11/13/30 | 901,000 | 893,783 | |||||
General Motors Co, 4.2000%, 10/1/27 | 438,000 | 480,686 | |||||
General Motors Co, 5.0000%, 10/1/28 | 1,113,000 | 1,275,507 | |||||
General Motors Co, 5.4000%, 4/1/48 | 464,000 | 550,040 | |||||
General Motors Financial Co Inc, 4.3500%, 4/9/25 | 319,000 | 349,885 | |||||
General Motors Financial Co Inc, 4.3000%, 7/13/25 | 276,000 | 303,493 | |||||
General Motors Financial Co Inc, 4.3500%, 1/17/27 | 748,000 | 830,661 | |||||
GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | 440,000 | 493,275 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 1,083,000 | 1,216,047 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29 | 90,000 | 100,886 | |||||
GLP Capital LP / GLP Financing II Inc, 4.0000%, 1/15/30 | 1,539,000 | 1,600,945 |
5
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Consumer Cyclical– (continued) | |||||||
GoDaddy Operating Co LLC / GD Finance Co Inc, 3.5000%, 3/1/29 (144A) | $1,967,000 | $1,932,577 | |||||
IHS Markit Ltd, 5.0000%, 11/1/22 (144A) | 1,034,000 | 1,089,191 | |||||
IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | 1,793,000 | 2,007,622 | |||||
IHS Markit Ltd, 4.0000%, 3/1/26 (144A) | 559,000 | 615,739 | |||||
MDC Holdings Inc, 5.5000%, 1/15/24 | 1,101,000 | 1,213,852 | |||||
MGM Resorts International, 7.7500%, 3/15/22 | 281,000 | 296,005 | |||||
Nordstrom Inc, 4.3750%, 4/1/30# | 1,033,000 | 1,057,519 | |||||
Service Corp International/US, 3.3750%, 8/15/30 | 550,000 | 536,828 | |||||
Yum! Brands Inc, 4.6250%, 1/31/32 | 1,394,000 | 1,421,887 | |||||
29,085,802 | |||||||
Consumer Non-Cyclical – 4.4% | |||||||
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc, | |||||||
4.9000%, 2/1/46 | 1,440,000 | 1,720,143 | |||||
Anheuser-Busch InBev Worldwide Inc, 4.3500%, 6/1/40 | 735,000 | 830,987 | |||||
Aramark Services Inc, 6.3750%, 5/1/25 (144A) | 1,527,000 | 1,618,620 | |||||
Avantor Funding Inc, 4.6250%, 7/15/28 (144A) | 992,000 | 1,036,005 | |||||
Catalent Pharma Solutions Inc, 3.1250%, 2/15/29 (144A) | 346,000 | 332,160 | |||||
Coca-Cola Femsa SAB de CV, 2.7500%, 1/22/30 | 691,000 | 693,875 | |||||
CVS Health Corp, 4.2500%, 4/1/50 | 169,000 | 189,703 | |||||
DaVita Inc, 4.6250%, 6/1/30 (144A) | 1,081,000 | 1,101,388 | |||||
DaVita Inc, 3.7500%, 2/15/31 (144A) | 1,438,000 | 1,371,464 | |||||
Elanco Animal Health Inc, 5.2720%, 8/28/23 | 1,085,000 | 1,167,731 | |||||
Hasbro Inc, 3.9000%, 11/19/29 | 2,398,000 | 2,578,954 | |||||
Hasbro Inc, 6.3500%, 3/15/40 | 214,000 | 273,472 | |||||
Hasbro Inc, 5.1000%, 5/15/44 | 1,316,000 | 1,463,854 | |||||
HCA Inc, 5.3750%, 2/1/25 | 573,000 | 639,190 | |||||
HCA Inc, 3.5000%, 9/1/30 | 880,000 | 887,453 | |||||
HCA Inc, 5.5000%, 6/15/47 | 267,000 | 332,093 | |||||
HCA Inc, 5.2500%, 6/15/49 | 401,000 | 490,691 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 6.7500%, 2/15/28 (144A) | 657,000 | 719,415 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
6.5000%, 4/15/29 (144A) | 1,396,000 | 1,576,782 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
5.5000%, 1/15/30 (144A) | 1,361,000 | 1,506,280 | |||||
Kraft Heinz Foods Co, 5.0000%, 6/4/42 | 753,000 | 847,427 | |||||
Kraft Heinz Foods Co, 4.3750%, 6/1/46 | 217,000 | 226,845 | |||||
Kraft Heinz Foods Co, 4.8750%, 10/1/49 | 507,000 | 568,658 | |||||
Pilgrim's Pride Corp, 4.2500%, 4/15/31 (144A) | 2,266,000 | 2,257,457 | |||||
Royalty Pharma PLC, 1.7500%, 9/2/27 (144A) | 524,000 | 508,851 | |||||
Royalty Pharma PLC, 3.5500%, 9/2/50 (144A) | 1,011,000 | 963,432 | |||||
Sysco Corp, 6.6000%, 4/1/40 | 428,000 | 597,073 | |||||
Sysco Corp, 6.6000%, 4/1/50 | 408,000 | 589,303 | |||||
27,089,306 | |||||||
Electric – 2.0% | |||||||
Ameren Corp, 3.5000%, 1/15/31 | 1,148,000 | 1,218,317 | |||||
CMS Energy Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.1160%, 4.7500%, 6/1/50‡ | 1,249,000 | 1,348,920 | |||||
Dominion Energy Inc, 3.3750%, 4/1/30 | 898,000 | 956,118 | |||||
East Ohio Gas Co/The, 2.0000%, 6/15/30 (144A) | 148,000 | 142,403 | |||||
IPALCO Enterprises Inc, 4.2500%, 5/1/30 (144A) | 2,653,000 | 2,890,071 | |||||
NextEra Energy Capital Holdings Inc, 2.7500%, 5/1/25 | 596,000 | 629,820 | |||||
NRG Energy Inc, 7.2500%, 5/15/26 | 2,024,000 | 2,104,960 | |||||
NRG Energy Inc, 6.6250%, 1/15/27 | 758,000 | 788,320 | |||||
NRG Energy Inc, 3.3750%, 2/15/29 (144A) | 1,246,000 | 1,216,407 | |||||
NRG Energy Inc, 3.6250%, 2/15/31 (144A) | 1,408,000 | 1,372,800 | |||||
12,668,136 | |||||||
Energy – 2.4% | |||||||
Cheniere Corpus Christi Holdings LLC, 3.7000%, 11/15/29 | 1,348,000 | 1,420,736 | |||||
Cheniere Energy Inc, 4.6250%, 10/15/28 (144A) | 2,763,000 | 2,869,486 | |||||
Cheniere Energy Partners LP, 4.0000%, 3/1/31 (144A) | 931,000 | 947,293 | |||||
Continental Resources Inc, 5.7500%, 1/15/31 (144A) | 1,432,000 | 1,617,960 | |||||
Energy Transfer Operating LP, 5.8750%, 1/15/24 | 763,000 | 849,352 | |||||
Energy Transfer Operating LP, 5.5000%, 6/1/27 | 106,000 | 122,242 | |||||
Energy Transfer Operating LP, 4.9500%, 6/15/28 | 172,000 | 192,478 | |||||
Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | 1,974,000 | 1,995,714 | |||||
Kinder Morgan Inc/DE, 4.3000%, 3/1/28 | 378,000 | 422,633 | |||||
NGPL PipeCo LLC, 4.3750%, 8/15/22 (144A) | 2,001,000 | 2,077,043 | |||||
ONEOK Inc, 5.8500%, 1/15/26 | 344,000 | 402,709 | |||||
ONEOK Inc, 6.3500%, 1/15/31 | 736,000 | 924,124 | |||||
ONEOK Inc, 7.1500%, 1/15/51 | 192,000 | 258,873 | |||||
Transcontinental Gas Pipe Line Co LLC, 3.9500%, 5/15/50 | 665,000 | 679,781 | |||||
14,780,424 |
6
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Finance Companies – 0.4% | |||||||
Quicken Loans LLC, 3.6250%, 3/1/29 (144A) | $1,146,000 | $1,103,025 | |||||
Quicken Loans LLC, 3.8750%, 3/1/31 (144A) | 1,675,000 | 1,612,187 | |||||
2,715,212 | |||||||
Financial Institutions – 0.2% | |||||||
Jones Lang LaSalle Inc, 4.4000%, 11/15/22 | 1,319,000 | 1,381,206 | |||||
Industrial Conglomerates – 0.3% | |||||||
General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 3.5139%‡,µ | 1,723,000 | 1,628,235 | |||||
Information Technology Services – 0.2% | |||||||
Booz Allen Hamilton Inc, 3.8750%, 9/1/28 (144A) | 1,412,000 | 1,419,413 | |||||
Insurance – 2.1% | |||||||
Brown & Brown Inc, 4.5000%, 3/15/29 | 837,000 | 940,264 | |||||
Brown & Brown Inc, 2.3750%, 3/15/31 | 142,000 | 136,522 | |||||
Centene Corp, 4.2500%, 12/15/27 | 1,501,000 | 1,578,866 | |||||
Centene Corp, 4.6250%, 12/15/29 | 2,256,000 | 2,441,680 | |||||
Centene Corp, 3.3750%, 2/15/30 | 299,000 | 301,802 | |||||
Centene Corp, 3.0000%, 10/15/30 | 2,329,000 | 2,325,134 | |||||
Molina Healthcare Inc, 4.3750%, 6/15/28 (144A) | 3,025,000 | 3,112,604 | |||||
Prudential Financial Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.0350%, 3.7000%, 10/1/50‡ | 1,989,000 | 2,011,277 | |||||
12,848,149 | |||||||
Real Estate Investment Trusts (REITs) – 1.5% | |||||||
Agree LP, 2.9000%, 10/1/30 | 1,823,000 | 1,836,087 | |||||
Lexington Realty Trust, 2.7000%, 9/15/30 | 1,694,000 | 1,653,476 | |||||
MPT Operating Partnership LP/MPT Finance Corp, 3.5000%, 3/15/31 | 1,593,000 | 1,563,243 | |||||
Omega Healthcare Investors Inc, 3.2500%, 4/15/33 | 3,022,000 | 2,895,062 | |||||
Rexford Industrial Realty Inc, 2.1250%, 12/1/30 | 1,405,000 | 1,313,131 | |||||
9,260,999 | |||||||
Technology – 5.8% | |||||||
Broadcom Inc, 4.1500%, 11/15/30 | 1,419,000 | 1,531,612 | |||||
Broadcom Inc, 4.3000%, 11/15/32 | 921,000 | 1,002,726 | |||||
Broadcom Inc, 3.5000%, 2/15/41 (144A) | 1,494,000 | 1,430,869 | |||||
Broadcom Inc, 3.7500%, 2/15/51 (144A) | 1,275,000 | 1,219,175 | |||||
Cadence Design Systems Inc, 4.3750%, 10/15/24 | 2,887,000 | 3,203,271 | |||||
CoStar Group Inc, 2.8000%, 7/15/30 (144A) | 1,475,000 | 1,442,105 | |||||
CrowdStrike Holdings Inc, 3.0000%, 2/15/29 | 1,433,000 | 1,401,044 | |||||
Equifax Inc, 2.6000%, 12/15/25 | 1,325,000 | 1,388,994 | |||||
Gartner Inc, 3.7500%, 10/1/30 (144A) | 268,000 | 265,784 | |||||
Global Payments Inc, 3.2000%, 8/15/29 | 389,000 | 409,699 | |||||
Marvell Technology Group Ltd, 4.2000%, 6/22/23 | 619,000 | 662,321 | |||||
Marvell Technology Group Ltd, 4.8750%, 6/22/28 | 1,064,000 | 1,219,664 | |||||
Microchip Technology Inc, 2.6700%, 9/1/23 (144A) | 1,729,000 | 1,800,636 | |||||
Microchip Technology Inc, 4.2500%, 9/1/25 (144A) | 1,119,000 | 1,169,072 | |||||
MSCI Inc, 3.6250%, 9/1/30 (144A) | 975,000 | 991,429 | |||||
MSCI Inc, 3.8750%, 2/15/31 (144A) | 2,034,000 | 2,077,222 | |||||
Qorvo Inc, 3.3750%, 4/1/31 (144A) | 1,535,000 | 1,504,131 | |||||
Sensata Technologies Inc, 3.7500%, 2/15/31 (144A) | 1,281,000 | 1,262,989 | |||||
SK Hynix Inc, 1.5000%, 1/19/26 (144A) | 1,252,000 | 1,232,068 | |||||
SK Hynix Inc, 2.3750%, 1/19/31 (144A) | 872,000 | 824,560 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 2,691,000 | 3,077,212 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 1,638,000 | 1,833,162 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 1,586,000 | 1,829,561 | |||||
Twilio Inc, 3.6250%, 3/15/29 | 554,000 | 560,831 | |||||
Twilio Inc, 3.8750%, 3/15/31 | 554,000 | 565,833 | |||||
VMware Inc, 4.5000%, 5/15/25 | 730,000 | 814,199 | |||||
VMware Inc, 4.6500%, 5/15/27 | 819,000 | 928,349 | |||||
35,648,518 | |||||||
Total Corporate Bonds (cost $245,703,807) | 252,202,102 | ||||||
Inflation-Indexed Bonds– 4.2% | |||||||
United States Treasury Inflation Indexed Bonds, 0.6250%, 4/15/23ÇÇ | 20,161,600 | 21,450,052 | |||||
United States Treasury Inflation Indexed Bonds, 0.1250%, 1/15/31ÇÇ | 4,114,902 | 4,429,252 | |||||
Total Inflation-Indexed Bonds (cost $25,892,503) | 25,879,304 | ||||||
Mortgage-Backed Securities– 14.8% | |||||||
Fannie Mae: | |||||||
2.0000%, TBA, 15 Year Maturity | 2,562,198 | 2,629,225 | |||||
2.0000%, TBA, 30 Year Maturity | 16,215,548 | 16,182,436 | |||||
2.5000%, TBA, 15 Year Maturity | 1,232,300 | 1,282,368 | |||||
3.5000%, TBA, 30 Year Maturity | 2,319,600 | 2,450,518 | |||||
2.5000%, TBA, 30 Year Maturity | 3,496,782 | 3,588,048 | |||||
26,132,595 | |||||||
Fannie Mae Pool: | |||||||
3.0000%, 10/1/34 | 182,710 | 194,483 | |||||
2.5000%, 11/1/34 | 251,261 | 263,260 | |||||
3.0000%, 11/1/34 | 40,511 | 43,401 |
7
Shares or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Fannie Mae Pool– (continued) | |||||||
3.0000%, 12/1/34 | $41,513 | $44,408 | |||||
6.0000%, 2/1/37 | 97,313 | 113,453 | |||||
4.5000%, 11/1/42 | 71,313 | 79,889 | |||||
3.0000%, 1/1/43 | 28,429 | 30,140 | |||||
3.0000%, 2/1/43 | 35,525 | 37,896 | |||||
3.0000%, 5/1/43 | 380,671 | 401,874 | |||||
3.0000%, 5/1/43 | 205,934 | 220,207 | |||||
5.0000%, 7/1/44 | 600,505 | 681,595 | |||||
4.5000%, 10/1/44 | 164,417 | 183,784 | |||||
4.5000%, 3/1/45 | 254,404 | 284,370 | |||||
4.5000%, 6/1/45 | 143,370 | 160,282 | |||||
3.5000%, 12/1/45 | 209,390 | 224,195 | |||||
4.5000%, 2/1/46 | 258,006 | 289,034 | |||||
3.5000%, 7/1/46 | 859,267 | 926,336 | |||||
3.0000%, 9/1/46 | 647,550 | 686,058 | |||||
3.0000%, 2/1/47 | 8,573,698 | 9,083,551 | |||||
3.5000%, 3/1/47 | 180,216 | 192,959 | |||||
3.5000%, 7/1/47 | 152,172 | 162,932 | |||||
3.5000%, 8/1/47 | 294,350 | 312,113 | |||||
3.5000%, 1/1/48 | 208,533 | 221,973 | |||||
4.0000%, 1/1/48 | 1,445,127 | 1,562,075 | |||||
3.0000%, 2/1/48 | 138,894 | 146,980 | |||||
4.0000%, 3/1/48 | 537,456 | 580,460 | |||||
3.0000%, 5/1/48 | 63,693 | 67,075 | |||||
5.0000%, 5/1/48 | 154,160 | 170,638 | |||||
3.5000%, 7/1/48 | 4,356,433 | 4,646,792 | |||||
3.0000%, 11/1/48 | 1,426,003 | 1,499,318 | |||||
3.0000%, 8/1/49 | 253,430 | 267,933 | |||||
3.0000%, 9/1/49 | 61,031 | 64,060 | |||||
2.5000%, 1/1/50 | 157,417 | 162,188 | |||||
2.5000%, 10/1/50 | 369,486 | 379,511 | |||||
2.5000%, 1/1/51 | 865,747 | 888,438 | |||||
3.5000%, 8/1/56 | 2,273,621 | 2,477,009 | |||||
3.0000%, 2/1/57 | 1,517,833 | 1,631,588 | |||||
3.0000%, 6/1/57 | 7,444 | 7,998 | |||||
29,390,256 | |||||||
Freddie Mac Gold Pool: | |||||||
3.5000%, 1/1/47 | 127,401 | 138,279 | |||||
Freddie Mac Pool: | |||||||
3.0000%, 5/1/31 | 1,452,577 | 1,545,350 | |||||
3.0000%, 9/1/32 | 294,993 | 314,565 | |||||
3.0000%, 10/1/32 | 91,539 | 96,890 | |||||
3.0000%, 1/1/33 | 164,153 | 175,044 | |||||
2.5000%, 12/1/33 | 1,772,860 | 1,851,820 | |||||
3.0000%, 10/1/34 | 353,894 | 377,740 | |||||
3.0000%, 10/1/34 | 146,335 | 155,763 | |||||
2.5000%, 11/1/34 | 210,195 | 220,246 | |||||
2.5000%, 11/1/34 | 194,709 | 204,020 | |||||
6.0000%, 4/1/40 | 153,269 | 179,048 | |||||
3.5000%, 7/1/42 | 9,004 | 9,773 | |||||
3.5000%, 8/1/42 | 12,344 | 13,399 | |||||
3.5000%, 8/1/42 | 9,559 | 10,376 | �� | ||||
3.5000%, 2/1/43 | 406,479 | 442,590 | |||||
3.0000%, 3/1/43 | 303,087 | 321,226 | |||||
3.0000%, 6/1/43 | 26,880 | 27,821 | |||||
3.5000%, 2/1/44 | 541,591 | 589,705 | |||||
4.5000%, 5/1/44 | 129,341 | 144,584 | |||||
3.0000%, 1/1/45 | 529,819 | 560,457 | |||||
4.0000%, 2/1/46 | 433,092 | 480,450 | |||||
3.5000%, 7/1/46 | 1,684,972 | 1,821,064 | |||||
3.5000%, 7/1/46 | 374,909 | 399,561 | |||||
3.0000%, 8/1/46 | 200,938 | 211,252 | |||||
4.0000%, 3/1/47 | 116,362 | 127,250 | |||||
3.0000%, 4/1/47 | 276,233 | 290,412 | |||||
3.5000%, 11/1/47 | 542,538 | 578,127 | |||||
3.5000%, 12/1/47 | 423,963 | 451,774 | |||||
3.5000%, 2/1/48 | 215,449 | 229,433 | |||||
3.5000%, 2/1/48 | 170,281 | 181,012 | |||||
4.0000%, 4/1/48 | 425,978 | 460,826 | |||||
4.5000%, 7/1/48 | 123,187 | 134,164 | |||||
5.0000%, 9/1/48 | 56,539 | 62,785 | |||||
3.0000%, 8/1/49 | 75,454 | 79,771 | |||||
3.0000%, 12/1/49 | 243,899 | 253,751 | |||||
3.0000%, 12/1/49 | 177,814 | 184,997 |
8
Shares or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Freddie Mac Pool– (continued) | |||||||
2.5000%, 1/1/50 | $64,671 | $66,631 | |||||
3.0000%, 3/1/50 | 79,043 | 82,698 | |||||
13,336,375 | |||||||
Ginnie Mae: | |||||||
2.0000%, TBA, 30 Year Maturity | 10,811,000 | 10,912,191 | |||||
2.5000%, TBA, 30 Year Maturity | 2,582,319 | 2,664,127 | |||||
13,576,318 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 1/15/45 | 1,697,008 | 1,881,224 | |||||
4.5000%, 8/15/46 | 1,980,038 | 2,248,078 | |||||
4.0000%, 8/15/47 | 160,286 | 174,426 | |||||
4.0000%, 11/15/47 | 224,998 | 244,847 | |||||
4.0000%, 12/15/47 | 309,247 | 336,528 | |||||
4,885,103 | |||||||
Ginnie Mae II Pool: | |||||||
4.0000%, 8/20/47 | 196,522 | 214,300 | |||||
4.0000%, 8/20/47 | 57,605 | 62,816 | |||||
4.0000%, 8/20/47 | 33,207 | 36,579 | |||||
4.5000%, 2/20/48 | 404,761 | 440,819 | |||||
4.0000%, 5/20/48 | 505,822 | 543,788 | |||||
4.5000%, 5/20/48 | 657,806 | 724,231 | |||||
4.5000%, 5/20/48 | 107,069 | 117,880 | |||||
4.0000%, 6/20/48 | 743,403 | 799,201 | |||||
5.0000%, 8/20/48 | 721,596 | 787,905 | |||||
3,727,519 | |||||||
Total Mortgage-Backed Securities (cost $89,555,479) | 91,186,445 | ||||||
United States Treasury Notes/Bonds– 18.0% | |||||||
0.1250%, 2/28/23 | 408,000 | 407,745 | |||||
0.3750%, 1/31/26 | 6,697,200 | 6,531,340 | |||||
0.5000%, 2/28/26 | 29,728,000 | 29,157,599 | |||||
1.1250%, 2/29/28 | 2,609,400 | 2,563,735 | |||||
0.8750%, 11/15/30 | 10,825,500 | 10,011,896 | |||||
1.1250%, 2/15/31# | 25,534,500 | 24,126,113 | |||||
1.1250%, 5/15/40 | 2,189,000 | 1,786,087 | |||||
1.3750%, 11/15/40 | 3,035,000 | 2,581,647 | |||||
1.8750%, 2/15/41 | 2,747,000 | 2,557,715 | |||||
2.7500%, 8/15/42 | 9,057,400 | 9,715,477 | |||||
1.3750%, 8/15/50 | 12,314,500 | 9,609,158 | |||||
1.6250%, 11/15/50 | 14,833,700 | 12,360,644 | |||||
Total United States Treasury Notes/Bonds (cost $116,336,034) | 111,409,156 | ||||||
Preferred Stocks– 0.6% | |||||||
Banks – 0.6% | |||||||
First Republic Bank/CA, 4.1250%µ | 73,250 | 1,831,250 | |||||
Truist Financial Corp, 4.7500%µ | 85,750 | 2,208,062 | |||||
Total Preferred Stocks (cost $3,975,000) | 4,039,312 | ||||||
Investment Companies– 10.0% | |||||||
Money Markets – 10.0% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0652%ºº,£((cost $61,503,195) | 61,498,156 | 61,504,306 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 0.8% | |||||||
Investment Companies – 0.6% | |||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº,£ | 3,784,898 | 3,784,898 | |||||
Time Deposits – 0.2% | |||||||
Royal Bank of Canada, 0.0300%, 4/1/21 | $943,970 | 943,970 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $4,728,868) | 4,728,868 | ||||||
Total Investments (total cost $657,411,583) – 107.3% | 661,816,181 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (7.3)% | (44,781,717) | ||||||
Net Assets – 100% | $617,034,464 |
9
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $637,377,426 | 96.3 | % | ||
United Kingdom | 7,966,758 | 1.2 | |||
France | 5,677,257 | 0.9 | |||
Canada | 2,661,470 | 0.4 | |||
Belgium | 2,551,130 | 0.4 | |||
South Korea | 2,056,628 | 0.3 | |||
Switzerland | 1,472,812 | 0.2 | |||
Australia | 1,358,825 | 0.2 | |||
Mexico | 693,875 | 0.1 |
Total | $661,816,181 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 3/31/21 | |||||||
Investment Companies - 10.0% | ||||||||||
Money Markets - 10.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0652%ºº | $ | 6,690 | $ | 200 | $ | (200) | $ | 61,504,306 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.6% | ||||||||||
Investment Companies - 0.6% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 5,382∆ | - | - | 3,784,898 | ||||||
Total Affiliated Investments - 10.6% | $ | 12,072 | $ | 200 | $ | (200) | $ | 65,289,204 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 3/31/21 | |||||||
Investment Companies - 10.0% | ||||||||||
Money Markets - 10.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0652%ºº | 33,622,864 | 88,797,802 | (60,916,360) | 61,504,306 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.6% | ||||||||||
Investment Companies - 0.6% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 113,710 | 49,760,955 | (46,089,767) | 3,784,898 |
10
Schedule of Futures
Description | Number of Contracts | Expiration Date | Value and Notional Amount | Unrealized Appreciation/ (Depreciation) | Variation Margin Asset/(Liability) | ||||||||
Futures Purchased: | |||||||||||||
5 Year US Treasury Note | 7 | 7/6/21 | $ | 863,789 | $ | (10,555) | $ | (1,148) | |||||
Ultra 10-Year Treasury Note | 1 | 6/30/21 | 143,688 | (5,055) | (344) | ||||||||
Total - Futures Purchased | (15,610) | (1,492) | |||||||||||
Futures Sold: | |||||||||||||
2 Year US Treasury Note | 1 | 7/6/21 | (220,727) | 219 | 47 | ||||||||
Total | $ | (15,391) | $ | (1,445) |
Average Ending Monthly Market Value of Derivative Instruments During the Period Ended March 31, 2021 | |
|
|
| Market Value |
Futures contracts, purchased | $ 1,024,266 |
Futures contracts, sold | 220,861 |
11
Notes to Schedule of Investments (unaudited)
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
TBA | (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when specific mortgage pools are assigned. |
ULC | Unlimited Liability Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended March 31, 2021 is $169,507,754, which represents 27.5% of net assets. |
ƒ | All or a portion of this position is not funded, or has been purchased on a delayed delivery or when-issued basis. If applicable, interest rates will be determined and interest will begin to accrue at a future date. |
‡ | Variable or floating rate security. Rate shown is the current rate as of March 31, 2021. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ÇÇ | Security is a U.S. Treasury Inflation-Protected Security (TIPS). |
ºº | Rate shown is the 7-day yield as of March 31, 2021. |
# | Loaned security; a portion of the security is on loan at March 31, 2021. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date. |
Ç | Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
12
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of March 31, 2021. | |||||||||||||
Valuation Inputs Summary | |||||||||||||
Level 2 - | Level 3 - | ||||||||||||
Level 1 - | Other Significant | Significant | |||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||||
Assets | |||||||||||||
Investments In Securities: | |||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 107,282,219 | $ | - | |||||||
Bank Loans and Mezzanine Loans | - | 3,584,469 | - | ||||||||||
Corporate Bonds | - | 252,202,102 | - | ||||||||||
Inflation-Indexed Bonds | - | 25,879,304 | - | ||||||||||
Mortgage-Backed Securities | - | 91,186,445 | - | ||||||||||
United States Treasury Notes/Bonds | - | 111,409,156 | - | ||||||||||
Preferred Stocks | - | 4,039,312 | - | ||||||||||
Investment Companies | - | 61,504,306 | - | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 4,728,868 | - | ||||||||||
Total Investments in Securities | $ | - | $ | 661,816,181 | $ | - | |||||||
Other Financial Instruments(a): | |||||||||||||
Variation Margin Receivable | 47 | - | - | ||||||||||
Total Assets | $ | 47 | $ | 661,816,181 | $ | - | |||||||
Liabilities | |||||||||||||
Other Financial Instruments(a): | |||||||||||||
Variation Margin Payable | $ | 1,492 | $ | - | $ | - | |||||||
(a) | Other financial instruments include forward foreign currency exchange, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures, certain written options on futures, and centrally cleared swap contracts are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Written options, written swaptions, and other swap contracts are reported at their market value at measurement date. |
13
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of March 31, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments.
14
For additional information on the Portfolio, please refer to the Portfolio’s most recent semiannual or annual shareholder report.
109-25-70304 05-21 |