NPORT-EX 2 JH_Sust_Cor_Bond_ETF.htm 7.31 PART F
Janus
Henderson
Sustainable
Corporate
Bond
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
1
Shares/
Principal
Amounts
Value
Corporate
Bonds
-
94.5%
Basic
Materials
-
1.2%
Ecolab,
Inc.,
2.7000%, 11/1/26
$
410,000
$
403,171
Communications
-
2.8%
Amazon.com,
Inc.,
3.0000%, 4/13/25
117,000
117,282
Comcast
Corp.,
4.1500%, 10/15/28
87,000
89,194
Comcast
Corp.,
3.9990%, 11/1/49
227,000
205,266
FactSet
Research
Systems,
Inc.,
2.9000%, 3/1/27
73,000
70,212
FactSet
Research
Systems,
Inc.,
3.4500%, 3/1/32
132,000
119,671
Netflix,
Inc.,
3.6250%, 6/15/25
(144A)
101,000
99,418
Netflix,
Inc.,
4.8750%, 6/15/30
(144A)
206,000
203,218
904,261
Consumer,
Cyclical
-
5.8%
Aptiv
plc,
4.3500%, 3/15/29
78,000
75,249
General
Motors
Financial
Co.,
Inc.,
3.1000%, 1/12/32
77,000
64,463
Hasbro,
Inc.,
3.5000%, 9/15/27
209,000
201,441
Hasbro,
Inc.,
5.1000%, 5/15/44
205,000
190,883
Home
Depot,
Inc.
(The),
2.7000%, 4/1/23
368,000
366,759
Home
Depot,
Inc.
(The),
2.8750%, 4/15/27
27,000
26,747
Home
Depot,
Inc.
(The),
3.2500%, 4/15/32
46,000
44,824
Lithia
Motors,
Inc.,
3.8750%, 6/1/29
(144A)
55,000
48,936
Lithia
Motors,
Inc.,
4.3750%, 1/15/31
(144A)
226,000
205,095
Lowe's
Cos.,
Inc.,
3.7500%, 4/1/32
34,000
32,997
Lowe's
Cos.,
Inc.,
4.2500%, 4/1/52
96,000
86,895
Marriott
International,
Inc.,
4.1500%, 12/1/23
95,000
95,569
Marriott
International,
Inc.,
4.0000%, 4/15/28
93,000
90,293
Whirlpool
Corp.,
4.0000%, 3/1/24
152,000
152,781
Whirlpool
Corp.,
4.6000%, 5/15/50
213,000
190,181
1,873,113
Consumer,
Non-cyclical
-
25.2%
Abbott
Laboratories,
2.9500%, 3/15/25
261,000
260,166
Abbott
Laboratories,
6.1500%, 11/30/37
93,000
114,557
AbbVie,
Inc.,
2.9000%, 11/6/22
27,000
26,977
AbbVie,
Inc.,
2.9500%, 11/21/26
114,000
111,223
AbbVie,
Inc.,
3.2000%, 11/21/29
113,000
107,826
AbbVie,
Inc.,
4.2500%, 11/21/49
120,000
112,692
Amgen,
Inc.,
2.3000%, 2/25/31
100,000
88,636
Amgen,
Inc.,
2.7700%, 9/1/53
151,000
107,339
Boston
Scientific
Corp.,
1.9000%, 6/1/25
110,000
104,875
Boston
Scientific
Corp.,
2.6500%, 6/1/30
150,000
136,245
Bristol-Myers
Squibb
Co.,
4.5500%, 2/20/48
183,000
186,996
Centene
Corp.,
4.2500%, 12/15/27
81,000
79,584
Centene
Corp.,
2.6250%, 8/1/31
162,000
138,144
Cigna
Corp.,
3.0000%, 7/15/23
79,000
78,639
Cigna
Corp.,
2.3750%, 3/15/31
141,000
124,536
Cigna
Corp.,
3.4000%, 3/15/50
297,000
242,919
Coca-Cola
Co.
(The),
2.9000%, 5/25/27
131,000
129,829
Coca-Cola
Co.
(The),
2.8750%, 5/5/41
200,000
173,164
Coca-Cola
Femsa
SAB
de
CV,
1.8500%, 9/1/32
223,000
183,386
CSL
Finance
plc,
3.8500%, 4/27/27
(144A)
45,000
45,278
CSL
Finance
plc,
4.2500%, 4/27/32
(144A)
112,000
114,211
CSL
Finance
plc,
4.6250%, 4/27/42
(144A)
210,000
210,318
CVS
Health
Corp.,
3.3750%, 8/12/24
154,000
153,911
CVS
Health
Corp.,
3.7500%, 4/1/30
203,000
197,706
CVS
Health
Corp.,
4.1250%, 4/1/40
303,000
279,118
Janus
Henderson
Sustainable
Corporate
Bond
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
2
Shares/
Principal
Amounts
Value
Corporate
Bonds
-
(continued)
Consumer,
Non-cyclical
-
(continued)
Elevance
Health,
Inc.,
1.5000%, 3/15/26
$
80,000
$
74,558
Elevance
Health,
Inc.,
2.5500%, 3/15/31
140,000
125,602
Elevance
Health,
Inc.,
3.6000%, 3/15/51
90,000
77,109
General
Mills,
Inc.,
2.2500%, 10/14/31
206,000
177,813
GlaxoSmithKline
Capital
plc,
3.0000%, 6/1/24
236,000
236,227
GSK
Consumer
Healthcare
Capital
US
LLC,
3.3750%, 3/24/29
(144A)
250,000
241,685
HCA,
Inc.,
5.2500%, 6/15/26
87,000
88,278
HCA,
Inc.,
4.1250%, 6/15/29
92,000
88,537
HCA,
Inc.,
3.5000%, 9/1/30
172,000
156,948
HCA,
Inc.,
5.2500%, 6/15/49
113,000
106,080
Humana,
Inc.,
3.1500%, 12/1/22
349,000
348,986
Humana,
Inc.,
3.1250%, 8/15/29
95,000
88,728
Humana,
Inc.,
3.9500%, 8/15/49
85,000
74,826
Illumina,
Inc.,
0.5500%, 3/23/23
102,000
99,717
Illumina,
Inc.,
2.5500%, 3/23/31
162,000
136,538
JBS
USA
LUX
SA,
3.0000%, 5/15/32
(144A)
74,000
60,339
JBS
USA
LUX
SA,
4.3750%, 2/2/52
(144A)
100,000
75,788
Laboratory
Corp.
of
America
Holdings,
2.7000%, 6/1/31
201,000
178,354
Medtronic,
Inc.,
4.0000%, 4/1/43
71,000
67,624
Novartis
Capital
Corp.,
2.2000%, 8/14/30
106,000
97,833
Novartis
Capital
Corp.,
2.7500%, 8/14/50
139,000
114,347
PayPal
Holdings,
Inc.,
2.6500%, 10/1/26
194,000
188,998
PayPal
Holdings,
Inc.,
3.2500%, 6/1/50
91,000
72,057
PepsiCo,
Inc.,
3.9000%, 7/18/32
160,000
165,428
Pfizer,
Inc.,
2.9500%, 3/15/24
156,000
156,079
Pfizer,
Inc.,
3.6000%, 9/15/28
89,000
91,089
Pfizer,
Inc.,
4.2000%, 9/15/48
127,000
130,037
S&P
Global,
Inc.,
2.7000%, 3/1/29
(144A)
112,000
105,341
S&P
Global,
Inc.,
3.7000%, 3/1/52
(144A)
83,000
75,103
S&P
Global,
Inc.,
2.3000%, 8/15/60
181,000
117,660
Sysco
Corp.,
6.6000%, 4/1/40
147,000
175,317
UnitedHealth
Group,
Inc.,
3.5000%, 2/15/24
155,000
155,883
UnitedHealth
Group,
Inc.,
3.7000%, 5/15/27
79,000
80,678
UnitedHealth
Group,
Inc.,
4.2000%, 5/15/32
79,000
82,526
UnitedHealth
Group,
Inc.,
4.7500%, 5/15/52
79,000
83,726
Verisk
Analytics,
Inc.,
3.6250%, 5/15/50
248,000
200,600
8,104,714
Energy
-
0.6%
Cheniere
Corpus
Christi
Holdings
LLC,
3.7000%, 11/15/29
23,000
21,539
Enbridge,
Inc.,
2.5000%, 8/1/33
193,000
163,655
185,194
Financial
-
36.3%
AerCap
Ireland
Capital
DAC,
1.7500%, 1/30/26
310,000
275,450
Alexandria
Real
Estate
Equities,
Inc.,
3.8000%, 4/15/26
187,000
186,034
Alexandria
Real
Estate
Equities,
Inc.,
2.9500%, 3/15/34
197,000
171,477
American
Express
Co.,
3.3750%, 5/3/24
208,000
207,661
American
Express
Co.,
4.0500%, 5/3/29
208,000
210,020
American
Homes
4
Rent
LP,
3.3750%, 7/15/51
205,000
146,087
American
Tower
Corp.,
2.4000%, 3/15/25
79,000
75,723
American
Tower
Corp.,
3.1000%, 6/15/50
168,000
122,944
Banco
Santander
SA,
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1
Year
+
2.0000%,
4.1750%, 3/24/28
‡
375,000
360,688
Bank
of
America
Corp.,
5.2000%, 6/1/23
μ
228,000
218,474
Janus
Henderson
Sustainable
Corporate
Bond
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
3
Shares/
Principal
Amounts
Value
Corporate
Bonds
-
(continued)
Financial
-
(continued)
Bank
of
America
Corp.,
SOFR
+
1.0600%,
2.0870%, 6/14/29
‡
$
145,000
$
128,072
Bank
of
America
Corp.,
SOFR
+
1.2200%,
2.2990%, 7/21/32
‡
315,000
264,487
Bank
of
America
Corp.,
SOFR
+
1.2100%,
2.5720%, 10/20/32
‡
203,000
174,012
Bank
of
America
Corp.,
SOFR
+
1.3300%,
2.9720%, 2/4/33
‡
197,000
174,517
Berkshire
Hathaway
Finance
Corp.,
3.8500%, 3/15/52
98,000
88,906
BlackRock,
Inc.,
3.2000%, 3/15/27
284,000
284,403
BNP
Paribas
SA,
SOFR
+
1.5610%,
3.1320%, 1/20/33
(144A)
‡
200,000
171,169
Boston
Properties
LP,
4.5000%, 12/1/28
85,000
84,822
Boston
Properties
LP,
2.5500%, 4/1/32
206,000
170,369
Brown
&
Brown,
Inc.,
4.9500%, 3/17/52
95,000
86,808
Charles
Schwab
Corp.
(The),
3.2000%, 3/2/27
92,000
91,025
Charles
Schwab
Corp.
(The),
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
10
Year
+
3.0790%,
4.0000%, 12/1/30
‡,μ
163,000
137,939
Citigroup,
Inc.,
SOFR
+
2.1070%,
2.5720%, 6/3/31
‡
202,000
175,676
Citigroup,
Inc.,
SOFR
+
1.3510%,
3.0570%, 1/25/33
‡
71,000
63,114
Citigroup,
Inc.,
ICE
LIBOR
USD
3
Month
+
1.1680%,
3.8780%, 1/24/39
‡
87,000
78,329
CME
Group,
Inc.,
3.7500%, 6/15/28
272,000
276,167
Commonwealth
Bank
of
Australia,
3.7840%, 3/14/32
(144A)
205,000
184,420
Cooperatieve
Rabobank
UA,
3.7500%, 7/21/26
481,000
468,362
Corebridge
Financial,
Inc.,
3.8500%, 4/5/29
(144A)
34,000
32,300
Crown
Castle
International
Corp.,
2.9000%, 4/1/41
126,000
95,393
Digital
Realty
Trust
LP,
4.4500%, 7/15/28
124,000
123,160
Equinix,
Inc.,
1.5500%, 3/15/28
105,000
91,400
Equinix,
Inc.,
3.4000%, 2/15/52
138,000
104,694
Goldman
Sachs
Group,
Inc.
(The),
2.6400%, 2/24/28
156,000
145,376
Goldman
Sachs
Group,
Inc.
(The),
SOFR
+
1.4100%,
3.1020%, 2/24/33
‡
172,000
153,693
Healthpeak
Properties,
Inc.,
1.3500%, 2/1/27
274,000
244,681
Healthpeak
Properties,
Inc.,
2.8750%, 1/15/31
2,000
1,785
JPMorgan
Chase
&
Co.,
SOFR
+
3.1250%,
4.6000%, 2/1/25
‡,μ
205,000
181,752
JPMorgan
Chase
&
Co.,
SOFR
+
1.8900%,
2.1820%, 6/1/28
‡
228,000
207,853
JPMorgan
Chase
&
Co.,
SOFR
+
2.5150%,
2.9560%, 5/13/31
‡
312,000
278,903
JPMorgan
Chase
&
Co.,
SOFR
+
1.2600%,
2.9630%, 1/25/33
‡
231,000
205,489
Lloyds
Banking
Group
plc,
4.6500%, 3/24/26
483,000
477,069
Mastercard,
Inc.,
3.3750%, 4/1/24
260,000
261,392
Mastercard,
Inc.,
3.5000%, 2/26/28
89,000
89,684
Mitsubishi
UFJ
Financial
Group,
Inc.,
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1
Year
+
1.7000%,
4.7880%, 7/18/25
‡
234,000
236,528
Morgan
Stanley,
SOFR
+
1.2900%,
2.9430%, 1/21/33
‡
313,000
279,578
Morgan
Stanley,
SOFR
+
1.3600%,
2.4840%, 9/16/36
‡
261,000
211,161
Nasdaq,
Inc.,
1.6500%, 1/15/31
222,000
183,082
National
Australia
Bank
Ltd.,
2.9900%, 5/21/31
(144A)
549,000
467,700
NatWest
Group
plc,
3.8750%, 9/12/23
200,000
199,616
NatWest
Group
plc,
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.3500%,
3.0320%, 11/28/35
‡
449,000
365,533
PNC
Financial
Services
Group,
Inc.
(The),
2.6000%, 7/23/26
135,000
129,919
PNC
Financial
Services
Group,
Inc.
(The),
2.5500%, 1/22/30
98,000
87,667
Raymond
James
Financial,
Inc.,
3.7500%, 4/1/51
182,000
152,897
Rocket
Mortgage
LLC,
4.0000%, 10/15/33
(144A)
110,000
88,882
State
Street
Corp.,
ICE
LIBOR
USD
3
Month
+
0.7700%,
3.7760%, 12/3/24
‡
234,000
235,045
Sun
Communities
Operating
LP,
2.7000%, 7/15/31
266,000
221,458
SVB
Financial
Group,
1.8000%, 2/2/31
216,000
170,005
Toronto-Dominion
Bank
(The),
3.5000%, 7/19/23
312,000
312,553
Truist
Bank,
2.2500%, 3/11/30
418,000
358,690
Janus
Henderson
Sustainable
Corporate
Bond
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
4
Shares/
Principal
Amounts
Value
Corporate
Bonds
-
(continued)
Financial
-
(continued)
Visa,
Inc.,
2.8000%, 12/14/22
$
156,000
$
156,027
Visa,
Inc.,
2.0000%, 8/15/50
92,000
64,880
11,693,000
Industrial
-
6.9%
Canadian
Pacific
Railway
Co.,
1.7500%, 12/2/26
207,000
192,346
FedEx
Corp.,
3.2500%, 4/1/26
132,000
131,689
FedEx
Corp.,
3.2500%, 5/15/41
200,000
163,370
Johnson
Controls
International
plc,
1.7500%, 9/15/30
323,000
272,238
Norfolk
Southern
Corp.,
3.1500%, 6/1/27
94,000
91,442
Norfolk
Southern
Corp.,
2.3000%, 5/15/31
23,000
20,514
Otis
Worldwide
Corp.,
2.0560%, 4/5/25
201,000
191,859
Otis
Worldwide
Corp.,
2.5650%, 2/15/30
2,000
1,789
Trane
Technologies
Luxembourg
Finance
SA,
3.5500%, 11/1/24
251,000
248,835
Trimble,
Inc.,
4.9000%, 6/15/28
263,000
264,254
Waste
Management,
Inc.,
2.4000%, 5/15/23
173,000
171,892
Waste
Management,
Inc.,
2.5000%, 11/15/50
96,000
67,483
Westinghouse
Air
Brake
Technologies
Corp.,
3.4500%, 11/15/26
194,000
184,316
Xylem,
Inc.,
1.9500%, 1/30/28
125,000
112,586
Xylem,
Inc.,
4.3750%, 11/1/46
121,000
112,083
2,226,696
Technology
-
12.3%
Adobe,
Inc.,
3.2500%, 2/1/25
358,000
359,379
Advanced
Micro
Devices,
Inc.,
3.9240%, 6/1/32
80,000
81,381
Apple,
Inc.,
3.0000%, 11/13/27
83,000
82,645
Apple,
Inc.,
2.7000%, 8/5/51
254,000
199,429
Apple,
Inc.,
2.8500%, 8/5/61
226,000
175,305
Autodesk,
Inc.,
3.5000%, 6/15/27
187,000
184,407
Autodesk,
Inc.,
2.8500%, 1/15/30
96,000
87,215
Broadcom
Corp.,
3.8750%, 1/15/27
92,000
91,041
Marvell
Technology,
Inc.,
2.9500%, 4/15/31
408,000
352,087
Micron
Technology,
Inc.,
4.1850%, 2/15/27
145,000
144,643
Microsoft
Corp.,
2.3750%, 5/1/23
468,000
465,563
NVIDIA
Corp.,
1.5500%, 6/15/28
207,000
187,780
NXP
BV,
2.7000%, 5/1/25
138,000
132,926
Oracle
Corp.,
2.8750%, 3/25/31
38,000
32,749
Oracle
Corp.,
3.9500%, 3/25/51
125,000
96,814
Salesforce,
Inc.,
2.9000%, 7/15/51
161,000
128,704
Salesforce,
Inc.,
3.0500%, 7/15/61
98,000
76,930
Take-Two
Interactive
Software,
Inc.,
3.3000%, 3/28/24
335,000
333,013
TSMC
Arizona
Corp.,
3.8750%, 4/22/27
200,000
200,371
TSMC
Arizona
Corp.,
4.1250%, 4/22/29
200,000
201,756
VMware,
Inc.,
4.5000%, 5/15/25
167,000
168,805
VMware,
Inc.,
4.7000%, 5/15/30
84,000
82,429
Workday,
Inc.,
3.5000%, 4/1/27
37,000
36,331
Workday,
Inc.,
3.7000%, 4/1/29
28,000
27,014
Workday,
Inc.,
3.8000%, 4/1/32
43,000
41,037
3,969,754
Utilities
-
3.4%
AES
Corp.
(The),
1.3750%, 1/15/26
102,000
92,113
American
Water
Capital
Corp.,
3.8500%, 3/1/24
95,000
95,248
American
Water
Capital
Corp.,
2.3000%, 6/1/31
8,000
7,048
American
Water
Capital
Corp.,
3.2500%, 6/1/51
135,000
108,503
Dominion
Energy,
Inc.,
2.2500%, 8/15/31
213,000
183,329
Janus
Henderson
Sustainable
Corporate
Bond
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
5
Shares/
Principal
Amounts
Value
Corporate
Bonds
-
(continued)
Utilities
-
(continued)
NextEra
Energy
Capital
Holdings,
Inc.,
0.6500%, 3/1/23
$
158,000
$
155,551
NextEra
Energy
Capital
Holdings,
Inc.,
1.9000%, 6/15/28
270,000
241,983
NextEra
Energy
Capital
Holdings,
Inc.,
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.5470%,
3.8000%, 3/15/82
‡
144,000
119,467
Xcel
Energy,
Inc.,
4.6000%, 6/1/32
85,000
88,089
1,091,331
Total
Corporate
Bonds
(cost
$34,349,834)
30,451,234
Investment
Companies
-
3.9%
Money
Market
Funds
-
3.9%
Federated
Hermes
Government
Obligations
Tax-Managed
Fund,
1.4300%
∞
(cost
$1,248,024)
1,248,024
1,248,024
Total
Investments
(total
cost
$35,597,858
)
-
98.4%
31,699,258
Cash,
Receivables
and
Other
Assets,
net
of
Liabilities
-
1.6%
505,317
Net
Assets
-
100.0%
$32,204,575
Summary
of
Investments
by
Country
-
(Long
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
26,577,739
83.8
%
United
Kingdom
1,648,252
5.2
Canada
668,554
2.1
Australia
652,120
2.1
Netherlands
601,288
1.9
Spain
360,688
1.1
Ireland
350,699
1.1
Luxembourg
248,835
0.8
Japan
236,528
0.8
Mexico
183,386
0.6
France
171,169
0.5
Total
$
31,699,258
100.0
%
Schedule
of
Futures
Contracts
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation
(Depreciation)
Futures
Long:
U.S.
Treasury
Long
Bond
26
9/21/22
$
3,744,000
$
87,158
U.S.
Treasury
Ultra
Bond
10
9/21/22
1,583,125
29,996
Total
-
Futures
Long
117,154
Futures
Short:
U.S.
Treasury
10
Year
Note
5
9/21/22
(605,703)
(5,787)
U.S.
Treasury
10
Year
Ultra
Bond
33
9/21/22
(4,331,250)
(76,991)
U.S.
Treasury
2
Year
Note
11
9/30/22
(2,315,070)
(10,542)
U.S.
Treasury
5
Year
Note
34
9/30/22
(3,866,703)
(43,737)
Total
-
Futures
Short
(137,057)
Total
$(19,903)
Janus
Henderson
Sustainable
Corporate
Bond
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
6
Schedule
of
Centrally
Cleared
Credit
Default
Swaps
-
Buy
Protection
Referenced
Asset
Maturity
Date
Notional
Amount
Value
Premiums
Paid/
(Received)
Unrealized
Appreciation
(Depreciation)
CDX.NA.IG.38-V1,
Fixed
Rate
of
1.00%
Paid
Quarterly
6/20/27
$
1,600,000
$
(16,146)
$
9,473
$
(6,673)
Average
ending
Monthly
Value
of
Derivative
Instruments
During
the
Period
Ended
July
31,
2022
Futures
contracts:
Average
notional
amount
of
contracts
-
long
$7,248,885
Average
notional
amount
of
contracts
-
short
9,774,411
Credit
default
swaps:
Average
notional
amount
-
buy
protection
347,222
Janus
Henderson
Sustainable
Corporate
Bond
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
(unaudited)
July
31,
2022
7
ICE
Intercontinental
Exchange
LIBOR
LIBOR
(London
Interbank
Offered
Rate)
is
a
short-term
interest
rate
that
banks
offer
one
another
and
generally
represents
current
cash
rates.
LLC
Limited
Liability
Company
LP
Limited
Partnership
plc
Public
Limited
Company
SOFR
Secured
Overnight
Financing
Rate
∞
Rate
shown
is
the
7-day
yield
as
of
July
31,
2022.
‡
The
interest
rate
on
floating
rate
notes
is
based
on
an
index
or
market
interest
rates
and
is
subject
to
change.
Rate
in
the
security
description
is
as
of
July
31,
2022
μ
Perpetual
security.
Perpetual
securities
have
no
stated
maturity
date,
but
they
may
be
called/redeemed
by
the
issuer.
The
date
indicated,
if
any,
represents
the
next
call
date.
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
1993
Act.
Unless
otherwise
noted,
these
securities
have
been
determined
to
be
liquid
in
accordance
with
the
requirements
of
Rule
22e-4,
under
the
1940
Act.
The
total
value
of
144A
securities
as
of
the
period
ended
July
31,
2022
is
$2,429,201
which
represents
7.5%
of
net
assets.
The
following
is
a
summary
of
the
inputs
that
were
used
to
value
the
Fund's
investments
in
securities
and
other
financial
instruments
as
of
July
31,
2022
.
See
Notes
to
Financial
Statements
for
more
information.
Valuation
Inputs
Summary
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Assets
Investments
in
Securities:
Corporate
Bonds
$
—
$
30,451,234
$
—
Investment
Companies
1,248,024
—
—
Total
Investments
in
Securities
$
1,248,024
$
30,451,234
$
—
Other
Financial
Instruments
(a)
:
Futures
Contracts
$
117,154
$
—
$
—
Total
Assets
$
1,365,178
$
30,451,234
$
—
Liabilities
Other
Financial
Instruments
(a)
:
Centrally
Cleared
Swaps
$
—
$
6,673
$
—
Futures
Contracts
137,057
—
—
Total
Liabilities
$
137,057
$
6,673
$
—
(a)
Other
financial
instruments
include
futures
and
swap
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.
8
Investment
Valuation 
Securities
held
by
the
Fund
are
valued
in
accordance
with
policies
and
procedures
established
by
and
under
the
supervision
of
the
Trustees
(the
“Valuation
Procedures”).
Equity
securities,
including
shares
of
exchange-traded
funds,
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
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.
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
London
Stock
Exchange.
The
Fund
will
determine
the
market
value
of
individual
securities
held
by
it
by
using
prices
provided
by
one
or
more
approved
professional
pricing
services
or,
as
needed,
by
obtaining
market
quotations
from
independent
broker-dealers.
Most
debt
securities
are
valued
in
accordance
with
the
evaluated
bid
price
supplied
by
the
pricing
service
that
is
intended
to
reflect
market
value.
The
evaluated
bid
price
supplied
by
the
pricing
service
is
an
evaluation
that
may
consider
factors
such
as
security
prices,
yields,
maturities
and
ratings.
Certain
short-
term
securities
maturing
within
60
days
or
less
may
be
evaluated
and
valued
on
an
amortized
cost
basis
provided
that
the
amortized
cost
determined
approximates
market
value.
Securities
for
which
market
quotations
or
evaluated
prices
are
not
readily
available,
or
are
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. 
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;
and
certain
short-term
debt
securities
with
maturities
of
60
days
or
less
that
are
fair
valued
at
amortized
cost.
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.
9
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
July
31,
2022 to
fair
value
the
Fund’s
investments
in
securities
and
other
financial
instruments
is
included
in
the
“Valuation
Inputs
Summary”
in
the
Notes
to
Schedule
of
Investments
and
Other
Information.
For
additional
information
on
the
Fund,
please
refer
to
the
Fund's
most
recent
semiannual
or
annual
shareholder
report.
125-35-70443
09-22