NPORT-EX 2 JHI_AAA_CLO.htm
Janus
Henderson
AAA
CLO
ETF
Schedule
of
Investments
(unaudited)
July
31,
2021
Janus
Detroit
Street
Trust
1
Shares/
Principal
Amounts
Value
Collateralized
Loan
Obligations
-
98.9%
AB
BSL
CLO
1
Ltd.
2020-1A
A1A,
ICE
LIBOR
USD
3
Month
+
1.5000%,
1.6261%,
1/15/33
(144A)
‡
$
3,780,000
$
3,786,097
AIG
CLO
Ltd.
2021-1A
A,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2837%,
4/22/34
(144A)
‡
1,000,000
1,001,098
AIMCO
CLO
Ltd.
2017-AA
AR,
ICE
LIBOR
USD
3
Month
+
1.0500%,
1.1842%,
4/20/34
(144A)
‡
1,300,000
1,299,999
Allegro
CLO
IX
Ltd.
2018-3A
A,
ICE
LIBOR
USD
3
Month
+
1.1650%,
1.2914%,
10/16/31
(144A)
‡
1,000,000
999,458
Apidos
CLO
XXIX
Ltd.
2018-29A
A1B,
ICE
LIBOR
USD
3
Month
+
1.3000%,
1.4253%,
7/25/30
(144A)
‡
2,000,000
2,000,336
Assurant
CLO
Ltd.
2018-2A
A,
ICE
LIBOR
USD
3
Month
+
1.0400%,
1.1743%,
4/20/31
(144A)
‡
1,500,000
1,500,783
Atrium
XIV
LLC
14A
A2A,
ICE
LIBOR
USD
3
Month
+
1.4500%,
1.5764%,
8/23/30
(144A)
‡
2,000,000
2,000,974
Benefit
Street
Partners
CLO
VIII
Ltd.
2015-8A
A1AR,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2342%,
1/20/31
(144A)
‡
3,000,000
3,001,086
Canyon
Capital
CLO
Ltd.
2014-1A
A1BR,
ICE
LIBOR
USD
3
Month
+
1.1700%,
1.2985%,
1/30/31
(144A)
‡
3,010,000
3,004,483
Carlyle
US
CLO
Ltd.
2016-4A
BR,
ICE
LIBOR
USD
3
Month
+
2.1000%,
2.2343%,
10/20/27
(144A)
‡
1,000,000
1,000,132
CBAM
Ltd.
2018-5A
A,
ICE
LIBOR
USD
3
Month
+
1.0200%,
1.1539%,
4/17/31
(144A)
‡
5,900,000
5,900,254
CIFC
Funding
Ltd.
2018-3A
A,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2339%,
7/18/31
(144A)
‡
2,500,000
2,501,432
CIFC
Funding
Ltd.
2014-3A
CR2,
ICE
LIBOR
USD
3
Month
+
2.3500%,
2.4883%,
10/22/31
(144A)
‡
1,250,000
1,249,995
CIFC
Funding
Ltd.
2019-6A
C,
ICE
LIBOR
USD
3
Month
+
2.7000%,
2.8264%,
1/16/33
(144A)
‡
1,500,000
1,502,904
Deer
Creek
CLO
Ltd.
2017-1A
A,
ICE
LIBOR
USD
3
Month
+
1.1800%,
1.3142%,
10/20/30
(144A)
‡
3,000,000
3,001,701
Dryden
37
Senior
Loan
Fund
2015-37A
AR,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2261%,
1/15/31
(144A)
‡
3,000,000
3,000,186
Dryden
53
CLO
Ltd.
2017-53A
A,
ICE
LIBOR
USD
3
Month
+
1.1200%,
1.2461%,
1/15/31
(144A)
‡
4,002,000
4,000,795
Dryden
57
CLO
Ltd.
2018-57A
A,
ICE
LIBOR
USD
3
Month
+
1.0100%,
1.1659%,
5/15/31
(144A)
‡
1,000,000
1,000,159
Eaton
Vance
CLO
Ltd.
2014-1RA
C,
ICE
LIBOR
USD
3
Month
+
2.1000%,
2.2261%,
7/15/30
(144A)
‡
3,077,215
3,078,643
Fillmore
Park
CLO
Ltd.
2018-1A
A2,
ICE
LIBOR
USD
3
Month
+
1.3400%,
1.4661%,
7/15/30
(144A)
‡
3,000,000
3,000,057
Galaxy
XVIII
CLO
Ltd.
2018-28A
A1,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2261%,
7/15/31
(144A)
‡
1,000,000
1,001,773
Galaxy
XX
CLO
Ltd.
2015-20A
AR,
ICE
LIBOR
USD
3
Month
+
1.0000%,
1.1342%,
4/20/31
(144A)
‡
4,000,000
4,000,268
Gallatin
CLO
VIII
Ltd.
2017-1A
A,
ICE
LIBOR
USD
3
Month
+
1.3000%,
1.4261%,
7/15/27
(144A)
‡
1,693,218
1,694,298
GoldenTree
Loan
Management
US
CLO
1
Ltd.
2017-1A
A1R2,
ICE
LIBOR
USD
3
Month
+
1.0200%,
1.1543%,
4/20/34
(144A)
‡
2,000,000
2,000,688
GREYWOLF
CLO
VII
Ltd.
2018-2A
A1,
ICE
LIBOR
USD
3
Month
+
1.1800%,
1.3142%,
10/20/31
(144A)
‡
2,000,000
2,001,724
HPS
Loan
Management
Ltd.
14A-19
A1R,
ICE
LIBOR
USD
3
Month
+
1.0200%,
1.1453%,
1/25/34
(144A)
‡
3,950,000
3,921,027
Kayne
CLO
10
Ltd.
2021-10A
A,
ICE
LIBOR
USD
3
Month
+
1.1700%,
1.3596%,
4/23/34
(144A)
‡
5,000,000
5,011,210
Janus
Henderson
AAA
CLO
ETF
Schedule
of
Investments
(unaudited)
July
31,
2021
2
July
31,
2021
Shares/
Principal
Amounts
Value
Collateralized
Loan
Obligations
-
(continued)
KKR
CLO
23
Ltd.
23
A1,
ICE
LIBOR
USD
3
Month
+
1.1500%,
1.2843%,
10/20/31
(144A)
‡
$
1,000,000
$
1,001,250
KKR
CLO
Ltd.
22A
A,
ICE
LIBOR
USD
3
Month
+
1.1500%,
1.2843%,
7/20/31
(144A)
‡
3,000,000
3,000,951
LCM
XVIII
LP
19A
AR,
ICE
LIBOR
USD
3
Month
+
1.2400%,
1.3661%,
7/15/27
(144A)
‡
1,062,448
1,063,263
Madison
Park
Funding
XI
Ltd.
2013-11A
CR2,
ICE
LIBOR
USD
3
Month
+
1.9500%,
2.0879%,
7/23/29
(144A)
‡
1,500,000
1,500,069
Madison
Park
Funding
XVIII
Ltd.
2015-18A
A1R,
ICE
LIBOR
USD
3
Month
+
1.1900%,
1.3242%,
10/21/30
(144A)
‡
3,400,000
3,404,121
Madison
Park
Funding
XXVI
Ltd.
2017-26A
AR,
ICE
LIBOR
USD
3
Month
+
1.2000%,
1.3296%,
7/29/30
(144A)
‡
5,000,000
5,004,860
Madison
Park
Funding
XXX
Ltd.
2018-30A
A,
ICE
LIBOR
USD
3
Month
+
0.7500%,
0.8761%,
4/15/29
(144A)
‡
4,985,618
4,986,356
Magnetite
XVII
Ltd.
2016-17A
AR,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2342%,
7/20/31
(144A)
‡
1,650,000
1,652,965
Marble
Point
CLO
XI
Ltd.
2017-2A
A,
ICE
LIBOR
USD
3
Month
+
1.1800%,
1.3139%,
12/18/30
(144A)
‡
3,000,000
3,000,393
MP
CLO
III
Ltd.
2013-1A
AR,
ICE
LIBOR
USD
3
Month
+
1.2500%,
1.3843%,
10/20/30
(144A)
‡
2,250,000
2,252,639
Nassau
Ltd.
2018-IIA
A,
ICE
LIBOR
USD
3
Month
+
1.2800%,
1.4061%,
10/15/31
(144A)
‡
1,000,000
997,518
Neuberger
Berman
Loan
Advisers
CLO
29
Ltd.
2018-29A
A1,
ICE
LIBOR
USD
3
Month
+
1.1300%,
1.2639%,
10/19/31
(144A)
‡
1,000,000
1,000,515
OCP
CLO
Ltd.
2014-5A
A1R,
ICE
LIBOR
USD
3
Month
+
1.0800%,
1.2053%,
4/26/31
(144A)
‡
1,250,000
1,251,158
Octagon
Investment
Partners
34
Ltd.
2017-1A
A2,
ICE
LIBOR
USD
3
Month
+
1.2500%,
1.3843%,
1/20/30
(144A)
‡
2,000,000
1,997,280
Octagon
Investment
Partners
XVII
Ltd.
2013-1A
A1R2,
ICE
LIBOR
USD
3
Month
+
1.0000%,
1.1252%,
1/25/31
(144A)
‡
5,900,000
5,905,977
Octagon
Loan
Funding
Ltd.
2014-1A
ARR,
ICE
LIBOR
USD
3
Month
+
1.1800%,
1.3351%,
11/18/31
(144A)
‡
6,000,000
6,000,432
OHA
Credit
Funding
5
Ltd.
2020-5A
A2A,
ICE
LIBOR
USD
3
Month
+
1.4500%,
1.5839%,
4/18/33
(144A)
‡
1,350,000
1,353,220
OHA
Credit
Partners
XIV
Ltd.
2017-14A
C,
ICE
LIBOR
USD
3
Month
+
1.8000%,
1.9343%,
1/21/30
(144A)
‡
1,000,000
1,000,158
Palmer
Square
CLO
Ltd.
2018-2A
A1A,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2264%,
7/16/31
(144A)
‡
5,000,000
5,008,210
Palmer
Square
Loan
Funding
Ltd.
2020-1A
A1,
ICE
LIBOR
USD
3
Month
+
0.8000%,
0.9552%,
2/20/28
(144A)
‡
4,010,447
4,010,487
Recette
CLO
Ltd.
2015-1A
ARR,
ICE
LIBOR
USD
3
Month
+
1.0800%,
1.2143%,
4/20/34
(144A)
‡
4,000,000
4,004,136
Riserva
CLO
Ltd.
2016-3A
ARR,
ICE
LIBOR
USD
3
Month
+
1.0600%,
1.1939%,
1/18/34
(144A)
‡
1,000,000
1,000,146
Rockford
Tower
CLO
Ltd.
2018-1A
A,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2553%,
5/20/31
(144A)
‡
2,000,000
2,000,604
Signal
Peak
CLO
8
Ltd.
2020-8A
C,
ICE
LIBOR
USD
3
Month
+
2.0000%,
2.1342%,
4/20/33
(144A)
‡
2,000,000
2,000,138
Sound
Point
CLO
VI-R
Ltd.
2014-2RA
A,
ICE
LIBOR
USD
3
Month
+
1.2500%,
1.3843%,
10/20/31
(144A)
‡
4,000,000
3,999,992
Sound
Point
CLO
XIX
Ltd.
2018-1A
A,
ICE
LIBOR
USD
3
Month
+
1.0000%,
1.1261%,
4/15/31
(144A)
‡
3,000,000
3,002,367
Sounds
Point
CLO
IV-R
Ltd.
2013-3RA
A,
ICE
LIBOR
USD
3
Month
+
1.1500%,
1.2839%,
4/18/31
(144A)
‡
5,000,000
5,001,765
Janus
Henderson
AAA
CLO
ETF
Schedule
of
Investments
(unaudited)
July
31,
2021
Janus
Detroit
Street
Trust
3
Shares/
Principal
Amounts
Value
Collateralized
Loan
Obligations
-
(continued)
Symphony
CLO
XXII
Ltd.
2020-22A
A1A,
ICE
LIBOR
USD
3
Month
+
1.2900%,
1.4239%,
4/18/33
(144A)
‡
$
2,650,000
$
2,655,557
THL
Credit
Wind
River
CLO
Ltd.
2014-2A
AR,
ICE
LIBOR
USD
3
Month
+
1.1400%,
1.2661%,
1/15/31
(144A)
‡
1,000,000
1,000,474
THL
Credit
Wind
River
CLO
Ltd.
2019-2A
C,
ICE
LIBOR
USD
3
Month
+
2.6500%,
2.7761%,
1/15/33
(144A)
‡
1,500,000
1,501,623
THL
Credit
Wind
River
CLO
Ltd.
2017-1A
ARR,
ICE
LIBOR
USD
3
Month
+
1.0600%,
1.1939%,
4/18/36
(144A)
‡
2,500,000
2,495,502
Venture
32
CLO
Ltd.
2018-32A
A1,
ICE
LIBOR
USD
3
Month
+
1.1000%,
1.2339%,
7/18/31
(144A)
‡
3,766,000
3,763,386
Venture
XXVIII
CLO
Ltd.
2017-28A
A2,
ICE
LIBOR
USD
3
Month
+
1.1100%,
1.2443%,
7/20/30
(144A)
‡
1,000,000
999,230
Voya
CLO
Ltd.
2014-2A
A1RR,
ICE
LIBOR
USD
3
Month
+
1.0200%,
1.1539%,
4/17/30
(144A)
‡
4,376,418
4,378,646
Voya
CLO
Ltd.
2019-1A
AR,
ICE
LIBOR
USD
3
Month
+
1.0600%,
1.1861%,
4/15/31
(144A)
‡
1,000,000
1,000,639
Voya
CLO
Ltd.
2013-3A
A1RR,
ICE
LIBOR
USD
3
Month
+
1.1500%,
1.2839%,
10/18/31
(144A)
‡
1,993,114
1,993,552
Wind
River
CLO
Ltd.
2016-1A
AR,
ICE
LIBOR
USD
3
Month
+
1.0500%,
1.1761%,
7/15/28
(144A)
‡
559,096
559,226
York
CLO-2
Ltd.
2015-1A
AR,
ICE
LIBOR
USD
3
Month
+
1.1500%,
1.2882%,
1/22/31
(144A)
‡
2,000,000
2,002,234
Zais
CLO
8
Ltd.
2018-1A
A,
ICE
LIBOR
USD
3
Month
+
0.9500%,
1.0761%,
4/15/29
(144A)
‡
923,848
917,697
Total
Collateralized
Loan
Obligations
(cost
$166,387,978)
167,130,296
Investment
Companies
-
4.0%
Money
Market
Funds
-
4.0%
Federated
Hermes
Government
Obligations
Tax-Managed
Fund,
0.0100%
∞
(cost
$6,817,369)
6,817,369
6,817,369
Total
Investments
(total
cost
$173,205,347)
-
102.9%
173,947,665
Liabilities,
net
of
Cash,
Receivables
and
Other
Assets
-
(2.9%)
(4,897,500)
Net
Assets
-
100.0%
$169,050,165
Summary
of
Investments
by
Country
-
(Long
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
Cayman
Islands
$
167,130,296
96.1
%
United
States
6,817,369
3.9
Total
$
173,947,665
100.0
%
Notes
to
Schedule
of
Investments
and
Other
Information
(unaudited)
4
July
31,
2021
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
∞
Rate
shown
is
the
7-day
yield
as
of
July
31,
2021.
‡
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,
2021
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,
2021
is
$167,130,296
which
represents
98.9%
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,
2021
.
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:
Collateralized
Loan
Obligations
$
—
$
167,130,296
$
—
Investment
Companies
6,817,369
—
—
Total
Assets
$
6,817,369
$
167,130,296
$
—
Janus
Detroit
Street
Trust
5
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
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
by
Janus
Capital
to
be
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.
6
July
31,
2021
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,
2021 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.