0001752724-22-212584.txt : 20220922 0001752724-22-212584.hdr.sgml : 20220922 20220922115931 ACCESSION NUMBER: 0001752724-22-212584 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220731 FILED AS OF DATE: 20220922 DATE AS OF CHANGE: 20220922 PERIOD START: 20221031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Janus Detroit Street Trust CENTRAL INDEX KEY: 0001500604 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23112 FILM NUMBER: 221258573 BUSINESS ADDRESS: STREET 1: 151 DETROIT STREET CITY: DENVER STATE: CO ZIP: 80206 BUSINESS PHONE: 303-333-3863 MAIL ADDRESS: STREET 1: 151 DETROIT STREET CITY: DENVER STATE: CO ZIP: 80206 FORMER COMPANY: FORMER CONFORMED NAME: Janus ETF Trust DATE OF NAME CHANGE: 20100902 0001500604 S000063007 Janus Henderson Mortgage-Backed Securities ETF C000204446 Janus Henderson Mortgage-Backed Securities ETF JMBS NPORT-P 1 primary_doc.xml NPORT-P false 0001500604 XXXXXXXX S000063007 C000204446 Janus Detroit Street Trust 811-23112 0001500604 5493003MM7OCK5UJW595 151 Detroit Street Denver 80206 303-333-3863 Janus Henderson Mortgage-Backed Securities ETF S000063007 549300V6TVE4ZJCDWY16 2022-10-31 2022-07-31 N 1885445882.13 1059947580.98 825498301.15 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 701753881.55999994 0.00000000 0.00000000 26711573.46999999 USD N TPI Re-Remic Trust N/A TPI RE-REMIC Trust, Series 2022-FRR1, Class AK35 872659AE7 3230000.00000000 PA USD 3037339.22000000 0.367940093367 Long ABS-MBS CORP US Y 2 2046-08-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140XGZ85 25666979.54000000 PA USD 25740191.52000000 3.118139853727 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 15 Year 3132CWBH6 483363.64000000 PA USD 479111.58000000 0.058039075226 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 2.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 3132A5AL9 2888613.92000000 PA USD 2846377.62000000 0.344807205058 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 3131YAV98 391622.18000000 PA USD 405760.14000000 0.049153358575 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2002-53, Class FK 31392EHN3 33372.56000000 PA USD 33373.11000000 0.004042783607 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 2.65899960 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 31334YHQ3 2686067.04000000 PA USD 2604783.86000000 0.315540789892 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N FREMF Mortgage Trust N/A FREMF Mortgage Trust, Series 2019-KF70, Class C 30298UAJ0 1249211.21000000 PA USD 1204372.02000000 0.145896365664 Long ABS-MBS USGSE US Y 2 2029-09-25 Floating 7.78671000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, 30 Year 36179WLQ9 32925509.18000000 PA USD 32195498.29000000 3.900128957885 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 3.00000000 N N N N N N PRPM LLC N/A PRPM LLC, Series 2021-RPL2, Class A2 69357QAB2 2000000.00000000 PA USD 1816903.00000000 0.220097727332 Long ABS-MBS CORP US Y 2 2051-10-25 Variable 2.23700040 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140MJ6S9 4113781.06000000 PA USD 3974848.14000000 0.481508942473 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140JMBK7 1261622.45000000 PA USD 1281970.50000000 0.155296564295 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140E9H66 18280.74000000 PA USD 17879.11000000 0.002165856668 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.00000000 N N N N N N Chase Mortgage Finance Corp. 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19912582.80000000 2.412189434219 Long ABS-MBS USGSE US N 2 2037-08-25 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-100, Class FG 3136A8QW3 11485.64000000 PA USD 11424.57000000 0.001383960449 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 2.65899960 N N N N N N Affirm Asset Securitization Trust N/A Affirm Asset Securitization Trust, Series 2021-A, Class C 00833MAC8 2150000.00000000 PA USD 2050480.11000000 0.248393013909 Long ABS-O CORP US Y 2 2025-08-15 Fixed 1.66000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140QNLZ3 16999503.68000000 PA USD 15927955.61000000 1.929495867866 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, Single Family, 30 Year 21H030682 2920876.00000000 PA USD 2843899.23000000 0.344506975488 Long ABS-MBS USGA US N 2 2052-08-15 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, 30 Year 36179TSJ5 1417384.81000000 PA USD 1463948.14000000 0.177341145095 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 4.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 3133BGBH0 4502735.01000000 PA USD 4541194.00000000 0.550115487054 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N Mello Warehouse Securitization Trust N/A Mello Warehouse Securitization Trust, Series 2021-1, Class F 58550LAF2 3489000.00000000 PA USD 3309005.63000000 0.400849477871 Long ABS-MBS CORP US Y 2 2055-02-25 Floating 5.00900040 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140QNSU7 23742225.58000000 PA USD 22883343.21000000 2.772064240243 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 31339SSN6 4730640.36000000 PA USD 4591401.25000000 0.556197540758 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3138WGR97 2072920.01000000 PA USD 2026803.26000000 0.245524825087 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140QCEU6 539495.38000000 PA USD 527642.72000000 0.063918086719 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2007-18, Class FD 38375JC86 11262.09000000 PA USD 11188.86000000 0.001355406786 Long ABS-MBS USGA US N 2 2037-04-20 Floating 2.42642880 N N N N N N FNMA or FHLMC N/A UMBS, Single Family, 15 Year 01F020489 40833003.00000000 PA USD 38856236.49000000 4.707003810409 Long ABS-MBS USGSE US N 2 2037-08-25 Fixed 2.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2469, Class FE 31392RC58 22520.36000000 PA USD 22647.52000000 0.002743496863 Long ABS-MBS USGSE US N 2 2032-07-15 Floating 2.49914160 N N N N N N NRZ Excess Spread-Collateralized Notes N/A NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A 62955MAB2 5254452.07000000 PA USD 4676148.65000000 0.566463752073 Long ABS-O CORP US Y 2 2026-07-25 Fixed 3.10400000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3138WJTF5 407980.29000000 PA USD 398903.85000000 0.048322794782 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, 30 Year 36179TXV2 321343.22000000 PA USD 327093.98000000 0.039623822307 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2010-133, Class FD 38377MHV1 50067.71000000 PA USD 50075.88000000 0.006066139679 Long ABS-MBS USGA US N 2 2040-10-16 Floating 2.58599880 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138ETLU8 0.01000000 PA USD 0.01000000 0.000000001211 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.00000000 N N N N N N NRZ Excess Spread-Collateralized Notes N/A NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A 433674AA6 1861983.88000000 PA USD 1726850.96000000 0.209188917481 Long ABS-O CORP US Y 2 2025-12-25 Fixed 3.84400000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 3133BAFN6 936364.46000000 PA USD 932449.08000000 0.112955905384 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140K8U25 3121240.61000000 PA USD 3030248.36000000 0.367081114010 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2005-65, Class FA 38374LL25 32690.36000000 PA USD 32303.64000000 0.003913229131 Long ABS-MBS USGA US N 2 2035-08-20 Floating 2.27643120 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140XF5Z0 14626137.22000000 PA USD 14113013.13000000 1.709635635874 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-126, Class SY 3136A9ZR2 473554.30000000 PA USD 356115.15000000 0.043139416459 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 1.74099960 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 3133KNAK9 11677399.85000000 PA USD 11568705.56000000 1.401420880440 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 3131YDFA7 485208.51000000 PA USD 493012.70000000 0.059723042350 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 30 Year 3133APYB9 0.01000000 PA USD 0.01000000 0.000000001211 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS, 15 Year 3131XC5X1 101367.05000000 PA USD 101827.32000000 0.012335254943 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.00000000 N N N N N N Connecticut Avenue Securities Trust N/A Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1 20753YCH3 1571478.24000000 PA USD 1554929.69000000 0.188362554814 Long ABS-MBS CORP US Y 2 2042-03-25 Floating 3.51421920 N N N N N N FNMA or FHLMC N/A UMBS, Single Family, 30 Year 01F040685 82638293.00000000 PA USD 83048178.93000000 10.06036945373 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 15 Year 3140K1TP1 76547.95000000 PA USD 76280.74000000 0.009240568986 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.00000000 N N N N N N FNMA or FHLMC N/A UMBS, Single Family, 30 Year 01F022683 44336481.00000000 PA USD 41298323.64000000 5.002835691177 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS, 30 Year 3140MGJG7 383780.96000000 PA USD 359678.27000000 0.043571049086 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2004-69, Class CF 38374JAT3 46379.68000000 PA USD 46326.67000000 0.005611964305 Long ABS-MBS USGA US N 2 2034-07-20 Floating 2.52642960 N N N N N N 2022-08-30 Janus Detroit Street Trust Jesper Nergaard Jesper Nergaard VP, CFO, Treasurer, and Principal Accounting Officer XXXX NPORT-EX 2 JH_Mor_Back_Sec_ETF.htm 7.31 PART F
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
1
Shares/
Principal
Amounts
Value
Asset-Backed
Securities
-
3.7%
Affirm
Asset
Securitization
Trust,
1.6600%,
8/15/25
(144A)
$
2,150,000
$
2,050,480
FREED
ABS
Trust,
6.9600%,
9/20/27
(144A)
3,423,626
3,434,662
Lendbuzz
Securitization
Trust,
4.2200%,
5/17/27
(144A)
2,278,043
2,248,685
Lendingpoint
Asset
Securitization
Trust,
1.6800%,
6/15/29
(144A)
1,575,598
1,543,404
NRZ
Excess
Spread-Collateralized
Notes,
3.8440%,
12/25/25
(144A)
1,861,984
1,726,851
NRZ
Excess
Spread-Collateralized
Notes,
3.1040%,
7/25/26
(144A)
5,254,452
4,676,149
Pagaya
AI
Debt
Trust,
2.0300%,
10/15/29
(144A)
1,870,007
1,783,258
Pawneee
Equipment
Receivables
LLC,
3.8090%,
8/15/23
(144A)
4,000,000
3,997,991
Point
Securitization
Trust,
3.2282%,
2/25/52
(144A)
‡
2,260,866
2,148,108
PRET
LLC,
2.4871%,
10/25/51
(144A)
‡
4,085,080
3,828,919
Sunnova
Helios
II
Issuer
LLC,
2.0100%,
7/20/48
(144A)
2,009,735
1,748,813
Upstart
Securitization
Trust,
0.8700%,
3/20/31
(144A)
1,233,740
1,221,789
Total
Asset-Backed
Securities
(cost
$31,965,792)
30,409,109
Mortgage-Backed
Securities
-
161.4%
Chase
Mortgage
Finance
Corp.
SOFR30A
+
1.3500%,
2.8642%, 2/25/50
(144A)
‡
2,144,506
2,017,832
SOFR30A
+
1.5500%,
3.0642%, 2/25/50
(144A)
‡
2,542,865
2,388,385
CIM
Trust
,
2.5690
%
,
7/25/55
(144A)
Ç
1,679,661
1,599,873
Connecticut
Avenue
Securities
Trust
ICE
LIBOR
USD
1
Month
+
2.4000%,
4.6590%, 4/25/31
(144A)
‡
221,086
220,444
ICE
LIBOR
USD
1
Month
+
2.4500%,
4.7090%, 7/25/31
(144A)
‡
123,971
123,778
ICE
LIBOR
USD
1
Month
+
2.1500%,
4.4090%, 9/25/31
(144A)
‡
2,591,370
2,588,778
SOFR30A
+
1.0000%,
2.5142%, 12/25/41
(144A)
‡
1,636,425
1,593,523
SOFR30A
+
1.2000%,
2.7142%, 1/25/42
(144A)
‡
11,879,081
11,657,228
SOFR30A
+
2.0000%,
3.5142%, 3/25/42
(144A)
‡
1,571,478
1,554,930
SOFR30A
+
2.1000%,
3.6142%, 3/25/42
(144A)
‡
3,904,089
3,868,905
SOFR30A
+
2.7500%,
4.2642%, 5/25/42
(144A)
‡
1,885,456
1,895,455
Eagle
RE
Ltd.
,
ICE
LIBOR
USD
1
Month
+
0.9000%
,
3.1590
%
,
1/25/30
(144A)
‡
414,509
412,118
Extended
Stay
America
Trust
,
ICE
LIBOR
USD
1
Month
+
2.2500%
,
4.2500
%
,
7/15/38
(144A)
‡
2,981,649
2,893,880
FHLMC
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.3491%, 2/15/32
‡
26,786
26,758
ICE
LIBOR
USD
1
Month
+
0.6500%,
2.6491%, 3/15/32
‡
38,395
38,688
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.4991%, 7/15/32
‡
22,520
22,647
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.3991%, 1/15/33
‡
24,418
24,419
ICE
LIBOR
USD
1
Month
+
0.2500%,
2.2491%, 9/15/35
‡
22,170
22,214
ICE
LIBOR
USD
1
Month
+
0.5900%,
2.5891%, 10/15/37
‡
71,992
72,438
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.2991%, 8/15/40
‡
32,926
33,014
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.4991%, 9/15/40
‡
71,272
71,245
ICE
LIBOR
USD
1
Month
+
0.5500%,
2.5491%, 4/15/41
‡
236,343
235,795
3.5000%, 8/1/42
67,596
68,257
3.5000%, 8/1/42
64,259
64,887
3.0000%, 3/1/43
641
631
3.0000%, 6/1/43
68,904
67,088
3.0000%, 11/1/43
1,132,315
1,115,918
FHLMC
Multifamily
Structured
Credit
Risk
,
SOFR30A
+
2.0000%
,
3.5142
%
,
1/25/51
(144A)
‡
1,480,760
1,376,124
FHLMC
STACR
REMIC
Trust
SOFR30A
+
1.3000%,
2.8142%, 2/25/42
(144A)
‡
2,484,387
2,446,168
ICE
LIBOR
USD
1
Month
+
5.1000%,
7.3590%, 6/25/50
(144A)
‡
1,963,644
2,022,553
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
2
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FHLMC
STACR
Trust
,
ICE
LIBOR
USD
1
Month
+
1.9500%
,
4.2090
%
,
10/25/49
(144A)
‡
$
3,114,690
$
3,105,986
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
SOFR30A
+
2.6500%
,
4.1739
%
,
7/25/42
(144A)
‡
2,628,000
2,634,801
FHLMC
UMBS
3.0000%, 5/1/31
113,942
114,217
2.5000%, 12/1/31
14,406
14,280
3.0000%, 9/1/32
101,367
101,827
3.0000%, 1/1/33
60,746
61,022
2.5000%, 12/1/33
483,364
479,112
2.5000%, 11/1/34
1,010,344
987,888
3.0000%, 3/1/43
2,888,614
2,846,378
3.0000%, 4/1/43
60,013
59,135
3.5000%, 12/1/44
580,912
585,940
3.0000%, 10/1/46
2,631,852
2,573,389
3.0000%, 12/1/46
17,263
16,880
4.0000%, 3/1/47
162,183
165,443
3.0000%, 4/1/47
1,337,929
1,308,209
4.0000%, 11/1/47
465,907
476,690
3.0000%, 12/1/47
24,918
24,364
4.5000%, 8/1/48
133,461
137,422
5.0000%, 9/1/48
83,662
86,598
4.5000%, 12/1/48
391,622
405,760
4.5000%, 12/1/48
32,723
33,970
4.0000%, 5/1/49
485,209
493,013
3.0000%, 8/1/49
126,419
122,698
3.0000%, 8/1/49
2,686,067
2,604,784
3.0000%, 8/1/49
103,521
100,474
3.5000%, 8/1/49
369,526
368,990
3.0000%, 10/1/49
4,151,747
4,029,547
3.0000%, 10/1/49
4,730,640
4,591,401
3.0000%, 11/1/49
5,791,380
5,620,920
3.0000%, 11/1/49
4,014,024
3,895,877
3.0000%, 11/1/49
3,695,410
3,586,641
3.0000%, 12/1/49
5,535,325
5,372,401
3.0000%, 3/1/50
330,767
320,853
3.5000%, 3/1/50
416,360
413,662
2.0000%, 9/1/51
996,111
897,246
2.0000%, 9/1/51
1,062,681
957,208
2.5000%, 2/1/52
2,981,753
2,793,849
3.0000%, 2/1/52
1,475,859
1,426,557
3.0000%, 2/1/52
1,122,720
1,085,901
3.5000%, 2/1/52
4,256,209
4,218,864
2.5000%, 3/1/52
965,160
903,752
3.0000%, 3/1/52
1,900,363
1,837,693
3.5000%, 4/1/52
936,364
932,449
3.5000%, 4/1/52
3,356,903
3,344,244
3.5000%, 4/1/52
3,048,260
3,036,765
3.5000%, 4/1/52
1,118,216
1,113,608
3.5000%, 5/1/52
11,677,400
11,568,706
3.5000%, 6/1/52
13,783,721
13,773,205
3.5000%, 7/1/52
5,053,791
5,048,366
4.0000%, 7/1/52
4,502,735
4,541,194
4.0000%, 8/1/52
5,140,106
5,192,676
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
3
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FHLMC
UMBS
-
(continued)
5.0000%, 8/1/52
$
45,000,000
$
47,411,288
FNMA
ICE
LIBOR
USD
1
Month
+
2.6000%,
4.8590%, 5/25/24
‡
1,903,865
1,913,385
ICE
LIBOR
USD
1
Month
+
4.9000%,
7.1590%, 11/25/24
‡
607,281
625,319
ICE
LIBOR
USD
1
Month
+
4.0000%,
6.2590%, 5/25/25
‡
6,445,834
6,445,834
ICE
LIBOR
USD
1
Month
+
5.0000%,
7.2590%, 7/25/25
‡
2,430,932
2,430,932
ICE
LIBOR
USD
1
Month
+
5.7000%,
7.9590%, 4/25/28
‡
1,044,530
1,092,698
ICE
LIBOR
USD
1
Month
+
2.5000%,
4.7590%, 5/25/30
‡
5,202,633
5,257,056
ICE
LIBOR
USD
1
Month
+
2.0000%,
4.2590%, 3/25/31
‡
2,802,826
2,800,386
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.6590%, 4/25/32
‡
33,373
33,373
ICE
LIBOR
USD
1
Month
+
0.5500%,
2.8090%, 4/25/32
‡
23,726
23,807
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.7590%, 9/25/33
‡
33,353
33,411
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.5590%, 10/25/35
‡
27,279
27,098
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.6090%, 4/25/36
‡
91,727
91,300
ICE
LIBOR
USD
1
Month
+
0.5200%,
2.7790%, 9/25/37
‡
28,094
28,132
3.0000%, 4/1/38
235,073
231,633
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.6590%, 9/25/40
‡
17,261
17,362
ICE
LIBOR
USD
1
Month
+
55.0000%,
36.1555%, 10/25/40
‡
41,248
108,977
ICE
LIBOR
USD
1
Month
+
0.4300%,
2.6890%, 11/25/40
‡
17,952
17,919
SOFR30A
+
2.0000%,
3.5142%, 11/25/41
(144A)
‡
2,386,000
2,201,202
3.0000%, 9/1/42
265,690
261,841
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.6590%, 9/25/42
‡
11,486
11,425
3.0000%, 10/1/42
208,924
205,897
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.6090%, 10/25/42
‡
151,302
150,756
ICE
LIBOR
USD
1
Month
+
4.0000%,
1.7410%, 11/25/42
‡
473,554
356,115
3.0000%, 1/1/43
364,716
359,433
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.7590%, 2/25/43
‡
49,272
49,224
3.0000%, 3/1/43
451,631
445,022
3.0000%, 5/1/43
106,583
105,023
3.0000%, 8/1/43
196,882
197,470
3.0000%, 6/1/46
392,132
381,041
3.0000%, 11/1/46
79,384
77,970
3.0000%, 2/1/57
1,830,718
1,775,885
3.5000%, 1/25/61
(a)
25,873,448
4,306,578
FNMA
UMBS
2.5000%, 8/1/31
16,587
16,441
2.5000%, 10/1/31
18,945
18,778
2.5000%, 2/1/32
17,292
17,140
3.0000%, 11/1/34
69,835
69,591
3.0000%, 12/1/34
76,548
76,281
3.0000%, 1/1/43
221,780
218,568
3.0000%, 5/1/43
1,689,563
1,664,839
3.0000%, 5/1/43
1,248,126
1,229,863
3.0000%, 10/1/44
1,006,785
992,201
3.5000%, 12/1/45
553,521
556,531
3.0000%, 1/1/46
18,281
17,879
3.5000%, 1/1/46
50,611
50,886
3.0000%, 3/1/46
2,072,920
2,026,803
3.0000%, 9/1/46
46,857
46,172
3.0000%, 10/1/46
1,506,110
1,472,603
3.0000%, 1/1/47
358,626
353,378
3.0000%, 1/1/47
94,686
92,579
3.0000%, 1/1/47
407,980
398,904
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
4
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
UMBS
-
(continued)
3.5000%, 3/1/47
$
482,299
$
484,922
4.0000%, 5/1/47
348,154
356,738
3.5000%, 7/1/47
427,413
429,738
3.5000%, 8/1/47
161,760
163,103
3.5000%, 12/1/47
170,924
172,342
3.0000%, 2/1/48
539,495
527,643
3.0000%, 4/1/48
28,722,897
28,302,595
5.0000%, 5/1/48
1,748,754
1,810,142
3.5000%, 7/1/48
11,027,312
11,067,882
4.0000%, 2/1/49
1,261,622
1,281,970
3.0000%, 8/1/49
132,690
128,784
3.0000%, 8/1/49
127,627
123,869
3.0000%, 9/1/49
247,104
240,005
3.0000%, 5/1/50
3,121,241
3,030,248
2.5000%, 10/1/50
702,824
659,113
2.5000%, 6/1/51
14,301,066
13,466,468
2.0000%, 9/1/51
977,047
880,072
3.0000%, 9/1/51
3,970,329
3,833,371
2.5000%, 12/1/51
25,853,103
24,256,251
2.5000%, 1/1/52
6,735,999
6,317,139
2.5000%, 2/1/52
6,585,497
6,173,191
2.5000%, 2/1/52
32,680,119
30,620,158
3.0000%, 2/1/52
12,990,112
12,533,707
2.5000%, 3/1/52
1,164,130
1,089,539
2.5000%, 3/1/52
16,999,504
15,927,956
2.5000%, 3/1/52
6,301,883
5,907,388
2.5000%, 3/1/52
383,781
359,678
2.5000%, 3/1/52
18,574,222
17,392,017
2.5000%, 3/1/52
1,912,194
1,791,661
2.5000%, 3/1/52
1,103,882
1,033,622
3.0000%, 3/1/52
5,547,405
5,361,094
3.0000%, 3/1/52
23,742,226
22,883,343
3.0000%, 3/1/52
14,626,137
14,113,013
3.5000%, 3/1/52
5,928,802
5,925,201
3.0000%, 4/1/52
4,684,861
4,529,545
3.0000%, 4/1/52
4,113,781
3,974,848
3.0000%, 4/1/52
14,743,960
14,207,731
3.5000%, 4/1/52
5,773,758
5,791,123
3.5000%, 4/1/52
1,659,817
1,652,977
3.5000%, 4/1/52
4,470,337
4,451,642
3.5000%, 4/1/52
4,026,010
4,010,825
3.5000%, 4/1/52
1,290,460
1,285,063
3.5000%, 4/1/52
1,385,894
1,380,667
3.0000%, 5/1/52
8,714,343
8,397,407
3.5000%, 5/1/52
25,666,980
25,740,192
3.5000%, 5/1/52
4,490,349
4,473,065
3.5000%, 6/1/52
23,939,888
24,000,739
3.5000%, 6/1/52
13,828,543
13,895,439
3.5000%, 6/1/52
2,412,819
2,410,230
3.5000%, 6/1/52
4,620,565
4,574,208
3.5000%, 6/1/52
14,828,386
14,678,351
4.0000%, 6/1/52
4,683,883
4,723,892
4.0000%, 6/1/52
1,313,188
1,324,405
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
5
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
UMBS
-
(continued)
3.5000%, 7/1/52
$
12,057,973
$
12,045,032
3.5000%, 7/1/52
3,431,771
3,440,494
4.0000%, 7/1/52
2,001,372
2,018,467
4.5000%, 7/1/52
2,373,517
2,425,086
5.0000%, 7/1/52
45,988,849
47,591,749
4.5000%, 8/1/52
23,734,540
24,231,949
FNMA/FHLMC
UMBS,
15
Year,
Single
Family
2.0000%,
TBA, 15
Year
Maturity
(b)
40,833,003
38,856,236
2.5000%,
TBA, 15
Year
Maturity
(b)
20,449,526
19,912,583
3.0000%,
TBA, 15
Year
Maturity
(b)
62,427,503
61,987,701
3.5000%,
TBA, 15
Year
Maturity
(b)
49,447,329
49,813,239
4.0000%,
TBA, 15
Year
Maturity
(b)
1,501,500
1,526,095
FNMA/FHLMC
UMBS,
30
Year,
Single
Family
2.5000%,
TBA, 30
Year
Maturity
(b)
44,336,481
41,298,324
4.0000%,
TBA, 30
Year
Maturity
(b)
82,638,293
83,048,179
4.5000%,
TBA, 30
Year
Maturity
(b)
110,798,439
112,691,984
5.5000%,
TBA, 30
Year
Maturity
(b)
40,000,000
41,260,000
FREMF
Mortgage
Trust
,
ICE
LIBOR
USD
1
Month
+
6.0000%
,
7.7867
%
,
9/25/29
(144A)
‡
1,249,211
1,204,372
GNMA
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.5560%, 8/16/29
‡
21,001
21,018
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.5264%, 7/20/34
‡
46,380
46,327
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.4560%, 8/16/34
‡
35,224
35,132
ICE
LIBOR
USD
1
Month
+
0.2000%,
2.3264%, 6/20/35
‡
26,962
26,724
ICE
LIBOR
USD
1
Month
+
0.1500%,
2.2764%, 8/20/35
‡
32,690
32,304
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.4264%, 4/20/37
‡
11,262
11,189
ICE
LIBOR
USD
1
Month
+
0.3100%,
2.4364%, 6/20/37
‡
30,940
30,779
ICE
LIBOR
USD
1
Month
+
0.3200%,
2.4464%, 7/20/37
‡
49,555
49,401
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 10/20/37
‡
37,320
37,499
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 10/20/37
‡
15,501
15,576
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 2/20/38
‡
30,656
30,725
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 2/20/38
‡
62,013
62,201
ICE
LIBOR
USD
1
Month
+
0.6000%,
2.7560%, 1/16/40
‡
10,148
10,227
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.4764%, 6/20/40
‡
725
723
ICE
LIBOR
USD
1
Month
+
0.4300%,
2.5860%, 10/16/40
‡
50,068
50,076
0.0000%, 5/16/41
¤
4,839,263
4,020,968
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.4264%, 7/20/41
‡
22,583
22,522
4.5000%, 2/20/48
1,417,385
1,463,948
4.0000%, 5/20/48
321,343
327,094
4.0000%, 6/20/48
1,072,269
1,091,459
4.5000%, 7/20/48
314,382
321,430
4.5000%, 11/20/48
203,645
209,566
5.0000%, 1/20/49
10,411
10,881
4.0000%, 2/20/49
216,446
218,842
4.0000%, 4/20/49
166,397
168,239
3.0000%, 7/20/51
19,873,855
19,438,737
3.0000%, 8/20/51
32,925,509
32,195,498
2.5000%,
TBA, 30
Year
Maturity
(b)
21,077,414
19,942,290
3.0000%,
TBA, 30
Year
Maturity
(b)
2,920,876
2,843,899
3.5000%,
TBA, 30
Year
Maturity
(b)
28,311,337
28,180,284
4.0000%,
TBA, 30
Year
Maturity
(b)
18,017,249
18,204,088
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
6
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
JPMorgan
Mortgage
Trust
,
3.0000
%
,
6/25/45
(144A)
‡
$
644,229
$
607,070
Mello
Warehouse
Securitization
Trust
,
ICE
LIBOR
USD
1
Month
+
2.7500%
,
5.0090
%
,
2/25/55
(144A)
‡
3,489,000
3,309,006
Multifamily
Connecticut
Avenue
Securities
Trust
,
ICE
LIBOR
USD
1
Month
+
3.7500%
,
6.0090
%
,
3/25/50
(144A)
‡
2,500,000
2,311,309
PRPM
LLC
2.3630%, 10/25/26
(144A)
Ç
6,127,386
5,749,667
2.4870%, 10/25/26
(144A)
Ç
11,812,225
11,199,571
2.2370%, 10/25/51
(144A)
‡
2,000,000
1,816,903
2.4850%, 10/25/51
(144A)
‡
2,600,000
2,367,921
Sequoia
Mortgage
Trust
2.5000%, 5/25/43
(144A)
‡
892,869
812,289
4.0000%, 9/25/49
(144A)
‡
133,413
131,652
TPI
RE-REMIC
Trust
0.0000%, 7/25/46
(144A)
¤
5,274,000
4,983,063
0.0000%, 8/25/46
(144A)
¤
3,230,000
3,037,339
Total
Mortgage-Backed
Securities
(cost
$1,336,560,477)
1,332,674,295
Preferred
Stock
-
0.1%
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.1%
New
Residential
Investment
Corp.,
7.0000%, 11/15/26
(cost
$991,600)
40,000
887,600
Investment
Companies
-
7.8%
Money
Market
Funds
-
7.8%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
1.9375%
£,∞
(cost
$64,061,650)
64,061,650
64,068,056
Total
Investments
(total
cost
$1,433,579,519
)
-
173.0%
1,428,039,060
Liabilities,
net
of
Cash,
Receivables
and
Other
Assets
-
(73.0%)
(602,552,969)
Net
Assets
-
100.0%
$825,486,091
Summary
of
Investments
by
Country
-
(Long
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
1,427,626,942
100.0
%
Bermuda
412,118
0.0
Total
$
1,428,039,060
100.0
%
Schedule
of
TBA
sales
commitments
-
(%
of
Net
Assets)
Principal
Amounts
Value
Securities
Sold
Short
-
(23.8)%
Mortgage-Backed
Securities
-
(23.8)%
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
3.0000%,
TBA,
30
Year
Maturity
(b)
$
(123,608,802)
$
(119,033,175)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
3.5000%,
TBA,
30
Year
Maturity
(b)
(30,305,863)
(29,940,636)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
5.0000%,
TBA,
30
Year
Maturity
(b)
(46,000,000)
(47,171,840)
Total
Securities
Sold
Short
(proceeds
$191,357,364)
$
(196,145,651)
Summary
of
Investments
by
Country
-
(Short
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
(196,145,651)
100.0%
$–
–
%
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
7
Schedule
of
Affiliated
Investments
-
(%
of
Net
Assets)
Dividend
Income
Realized
Gain/(Loss)
Change
in
Unrealized
Appreciatio
n/
(Depreciation)
Value
at
7/31/22
Investment
Company
-
7.8%
Money
Market
Funds
-
7.8%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
1.9375%
∞
$
379,010
$
10,678
$
896
$
64,068,056
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
N/A
Investment
Companies
-
N/A
Janus
Henderson
Cash
Collateral
Fund
LLC,
1.8180%
∞
267
Δ
–
–
–
Total
Affiliated
Investments
-
7.8%
$
379,277
$
10,678
$
896
$
64,068,056
Market
Value
at
10/31/21
Purchases
Sales
Market
Value
at
7/31/22
Investment
Company
-
7.8%
Money
Market
Funds
-
7.8%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
1.9375%
∞
$
484,064,930
$
1,010,986,159
$
(1,430,994,607)
$
64,068,056
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
N/A
Investment
Companies
-
N/A
Janus
Henderson
Cash
Collateral
Fund
LLC,
1.8180%
∞
22,880
150,640
(173,520)
–
Total
Affiliated
Investments
-
7.8%
$
484,087,810
$
1,011,136,799
$
(1,431,168,127)
$
64,068,056
Schedule
of
Futures
Contracts
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation
(Depreciation)
Futures
Long:
U.S.
Treasury
10
Year
Ultra
Bond
106
9/21/22
$
13,912,500
$
882,107
U.S.
Treasury
Ultra
Bond
29
9/21/22
4,591,063
299,028
Total
-
Futures
Long
1,181,135
Futures
Short:
U.S.
Treasury
10
Year
Note
636
9/21/22
(77,045,438)
(1,795,793)
U.S.
Treasury
2
Year
Note
1,402
9/30/22
(295,066,235)
(429,232)
Total
-
Futures
Short
(2,225,025)
Total
$(1,043,890)
Schedule
of
Centrally
Cleared
Credit
Default
Swaps
-
Buy
Protection
Referenced
Asset
Maturity
Date
Notional
Amount
Value
Premiums
Paid/
(Received)
Unrealized
Appreciation
(Depreciation)
CDX.NA.HY.38-V2,
Fixed
Rate
of
5.00%
Paid
Quarterly
6/20/27
$
8,350,000
$
(146,175)
$
(159,450)
$
(305,625)
CDX.NA.IG.38-V1,
Fixed
Rate
of
1.00%
Paid
Quarterly
6/20/27
20,850,000
(210,400)
318,520
108,120
Total
(356,575)
159,070
$(197,505)
Average
ending
Monthly
Value
of
Derivative
Instruments
During
the
Period
Ended
July
31,
2022
Futures
contracts:
Average
notional
amount
of
contracts
-
long
$32,875,804
Average
notional
amount
of
contracts
-
short
85,064,339
Credit
default
swaps:
Average
notional
amount
-
buy
protection
56,211,111
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
(unaudited)
July
31,
2022
8
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
GNMA
Government
National
Mortgage
Association
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
SOFR30A
Secured
Overnight
Financing
Rate
30
Day
Average
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.
UMBS
Uniform
Mortgage-Backed
Securities
∞
Rate
shown
is
the
7-day
yield
as
of
July
31,
2022.
£
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.
Δ
Net
of
income
paid
to
the
securities
lending
agent
and
rebates
paid
to
the
borrowing
counterparties.
Ç
Step
bond.
The
coupon
rate
will
increase
or
decrease
periodically
based
upon
a
predetermined
schedule.
The
rate
shown
reflects
the
current
rate.
‡
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
¤
Zero
coupon
bond.
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
$114,541,234
which
represents
13.9%
of
net
assets.
(a)
IO
–
Interest
Only
(b)
Settlement
is
on
a
delayed
delivery
or
when-issued
basis
with
final
maturity
TBA
in
the
future.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
(unaudited)
July
31,
2022
9
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:
Asset-Backed
Securities
$
—
$
30,409,109
$
—
Mortgage-Backed
Securities
—
1,332,674,295
—
Preferred
Stock
887,600
—
—
Investment
Companies
64,068,056
—
—
Total
Investments
in
Securities
$
64,955,656
$
1,363,083,404
$
—
Other
Financial
Instruments
(a)
:
Centrally
Cleared
Swaps
$
—
$
108,120
$
—
Futures
Contracts
1,181,135
—
—
Total
Other
Financial
Instruments
$
1,181,135
$
108,120
$
—
Total
Assets
$
66,136,791
$
1,363,191,524
$
—
Liabilities
TBA
sales
commitments:
Mortgage-Backed
Securities
$
—
$
196,145,651
$
—
Other
Financial
Instruments
(a)
:
Centrally
Cleared
Swaps
$
—
$
305,625
$
—
Futures
Contracts
2,225,025
—
—
Total
Liabilities
$
2,225,025
$
196,451,276
$
—
(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.
10
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.
11
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.
125-35-70335
09-22