Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
1
Shares/
Principal
Amounts
Value
Asset-Backed
Securities
-
6.7%
ACM
Auto
Trust,
3.2300%,
4/20/29
(144A)
$
113,016
$
112,829
American
Credit
Acceptance
Receivables
Trust,
4.1200%,
2/13/26
(144A)
2,585,693
2,568,435
Consumer
Loan
Underlying
Bond
Club
Certificate
Issuer
Trust
I,
4.7000%,
12/15/26
(144A)
1,423,015
1,417,888
Consumer
Loan
Underlying
Bond
CLUB
Credit
Trust,
4.4100%,
10/15/26
(144A)
1,540,719
1,533,310
FREED
ABS
Trust,
6.9600%,
9/20/27
(144A)
1,907,062
1,907,143
FREED
ABS
Trust,
1.0300%,
6/19/28
(144A)
81,518
81,329
FREED
ABS
Trust,
4.5000%,
8/20/29
(144A)
4,281,847
4,270,718
Lendbuzz
Securitization
Trust,
4.2200%,
5/17/27
(144A)
1,788,951
1,726,160
Lendingpoint
Asset
Securitization
Trust,
1.4600%,
12/15/28
(144A)
6,333,802
6,280,125
Lendingpoint
Asset
Securitization
Trust,
1.6800%,
6/15/29
(144A)
542,060
537,471
NRZ
Excess
Spread-Collateralized
Notes,
3.8440%,
12/25/25
(144A)
1,577,257
1,445,338
NRZ
Excess
Spread-Collateralized
Notes,
3.1040%,
7/25/26
(144A)
4,716,007
4,351,227
Pagaya
AI
Debt
Trust,
2.0300%,
10/15/29
(144A)
1,382,547
1,336,667
Pawneee
Equipment
Receivables
LLC,
3.8090%,
8/15/23
(144A)
432,359
432,071
Point
Securitization
Trust,
3.2282%,
2/25/52
(144A)
‡
2,061,350
1,950,574
Santander
Bank
Auto
Credit-Linked
Notes,
5.7210%,
8/16/32
(144A)
10,938,734
10,889,647
SoFi
Consumer
Loan
Program
Trust,
6.2100%,
4/15/31
(144A)
9,112,416
9,101,298
Tesla
Auto
Lease
Trust,
2.3300%,
2/20/24
(144A)
2,000,000
1,989,725
Upstart
Securitization
Trust,
3.0140%,
11/20/30
(144A)
815,670
811,838
Upstart
Securitization
Trust,
0.8700%,
3/20/31
(144A)
15,533
15,488
Upstart
Securitization
Trust,
1.3100%,
11/20/31
(144A)
2,840,733
2,760,447
US
Auto
Funding,
2.2000%,
5/15/26
(144A)
7,000,000
6,761,748
Total
Asset-Backed
Securities
(cost
$62,858,456)
62,281,476
Mortgage-Backed
Securities
-
168.3%
Chase
Mortgage
Finance
Corp.
SOFR30A
+
1.2000%,
5.5101%, 2/25/50
(144A)
‡
3,679,499
3,371,488
SOFR30A
+
1.3500%,
5.6601%, 2/25/50
(144A)
‡
2,023,725
1,775,389
SOFR30A
+
1.5500%,
5.8601%, 2/25/50
(144A)
‡
2,399,647
2,069,061
CIM
Trust
,
2.5690
%
,
7/25/55
(144A)
Ç
1,303,024
1,233,503
Connecticut
Avenue
Securities
Trust
ICE
LIBOR
USD
1
Month
+
2.4000%,
6.9059%, 4/25/31
(144A)
‡
139,650
139,838
ICE
LIBOR
USD
1
Month
+
2.4500%,
6.9559%, 7/25/31
(144A)
‡
89,162
89,273
ICE
LIBOR
USD
1
Month
+
2.1500%,
6.6559%, 9/25/31
(144A)
‡
1,278,853
1,278,853
ICE
LIBOR
USD
1
Month
+
2.0000%,
6.5059%, 1/25/40
(144A)
‡
2,069,777
2,059,429
SOFR30A
+
1.5500%,
5.8601%, 10/25/41
(144A)
‡
4,507,308
4,437,444
SOFR30A
+
1.0000%,
5.3101%, 12/25/41
(144A)
‡
1,365,498
1,349,625
SOFR30A
+
1.2000%,
5.5101%, 1/25/42
(144A)
‡
9,844,901
9,738,970
SOFR30A
+
2.0000%,
6.3101%, 3/25/42
(144A)
‡
1,384,344
1,387,132
SOFR30A
+
2.1000%,
6.4101%, 3/25/42
(144A)
‡
5,300,970
5,318,010
Extended
Stay
America
Trust
,
ICE
LIBOR
USD
1
Month
+
2.2500%
,
6.7090
%
,
7/15/38
(144A)
‡
2,928,577
2,849,452
FHLMC
Gold
Pools,
Other
3.5000%, 8/1/42
61,793
59,615
3.5000%, 8/1/42
56,639
54,642
3.0000%, 3/1/43
3,152
2,951
3.0000%, 6/1/43
67,099
61,953
3.0000%, 11/1/43
1,084,286
1,015,804
FHLMC
Multifamily
Structured
Credit
Risk
,
SOFR30A
+
2.0000%
,
6.3101
%
,
1/25/51
(144A)
‡
1,340,239
1,239,689
FHLMC
STACR
Debt
Notes
SOFR30A
+
2.3000%,
6.6101%, 8/25/33
(144A)
‡
13,990,000
14,042,964
SOFR30A
+
2.6500%,
6.9601%, 7/25/42
(144A)
‡
332,823
336,217
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
2
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FHLMC
STACR
REMIC
Trust
SOFR30A
+
1.8000%,
6.1101%, 11/25/41
(144A)
‡
$
12,000,000
$
11,530,775
SOFR30A
+
1.3000%,
5.6101%, 2/25/42
(144A)
‡
2,147,280
2,129,395
SOFR30A
+
2.1500%,
6.4601%, 9/25/42
(144A)
‡
2,307,813
2,324,079
ICE
LIBOR
USD
1
Month
+
5.1000%,
9.6059%, 6/25/50
(144A)
‡
1,784,193
1,873,612
SOFR30A
+
2.0000%,
6.3101%, 12/25/50
(144A)
‡
1,733,698
1,729,739
SOFR30A
+
1.8000%,
6.1101%, 1/25/51
(144A)
‡
1,329,246
1,307,267
FHLMC
STACR
Trust
,
ICE
LIBOR
USD
1
Month
+
1.9500%
,
6.4559
%
,
10/25/49
(144A)
‡
1,918,579
1,918,579
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
ICE
LIBOR
USD
1
Month
+
3.6000%
,
8.1059
%
,
4/25/24
‡
2,633,351
2,697,317
FHLMC
UMBS
3.0000%, 5/1/31
102,170
98,754
2.5000%, 12/1/31
13,030
12,376
3.0000%, 9/1/32
92,858
89,766
3.0000%, 1/1/33
55,038
53,205
2.5000%, 12/1/33
439,082
417,027
2.5000%, 11/1/34
911,327
857,543
3.0000%, 3/1/43
2,740,050
2,565,820
3.5000%, 12/1/44
546,070
526,695
3.0000%, 10/1/46
2,471,312
2,320,187
3.0000%, 12/1/46
16,606
15,558
4.0000%, 3/1/47
154,191
152,847
3.0000%, 4/1/47
1,321,246
1,227,673
4.0000%, 11/1/47
417,705
415,017
3.0000%, 12/1/47
23,236
21,815
4.5000%, 8/1/48
127,295
127,621
4.0000%, 9/1/48
1,229,613
1,206,187
5.0000%, 9/1/48
82,835
84,600
4.0000%, 11/1/48
214,329
210,245
4.0000%, 12/1/48
2,646,007
2,595,594
4.5000%, 12/1/48
4,701,311
4,713,369
4.5000%, 12/1/48
375,143
376,214
4.5000%, 12/1/48
31,430
31,935
4.0000%, 5/1/49
480,006
468,851
4.0000%, 6/1/49
1,589,777
1,555,081
4.5000%, 6/1/49
173,028
173,396
4.0000%, 7/1/49
1,670,897
1,634,430
4.5000%, 7/1/49
1,538,898
1,542,170
4.5000%, 7/1/49
264,093
264,655
3.0000%, 8/1/49
2,432,215
2,259,659
3.0000%, 8/1/49
124,650
114,678
3.5000%, 8/1/49
335,752
318,754
4.5000%, 8/1/49
1,322,855
1,325,668
4.5000%, 12/1/49
351,905
352,653
4.5000%, 1/1/50
894,160
896,062
4.5000%, 1/1/50
259,633
260,185
4.5000%, 2/1/50
817,528
819,266
3.5000%, 3/1/50
412,346
388,535
4.0000%, 3/1/50
2,521,946
2,473,898
4.0000%, 6/1/50
4,189,995
4,141,737
4.5000%, 9/1/50
15,375,862
15,415,299
4.0000%, 10/1/50
762,988
746,336
3.0000%, 2/1/52
1,063,908
978,322
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
3
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FHLMC
UMBS
-
(continued)
3.0000%, 3/1/52
$
1,827,897
$
1,680,213
4.5000%, 3/1/52
113,583
112,357
3.5000%, 4/1/52
3,141,714
2,968,124
3.5000%, 4/1/52
3,016,795
2,850,107
3.5000%, 4/1/52
1,017,004
960,620
3.5000%, 4/1/52
907,505
857,080
3.5000%, 6/1/52
13,368,486
12,690,329
3.5000%, 7/1/52
5,002,341
4,745,473
4.0000%, 7/1/52
4,463,119
4,312,797
5.5000%, 7/1/52
4,650,191
4,778,315
4.0000%, 8/1/52
5,080,155
4,912,273
4.5000%, 8/1/52
5,440,400
5,384,398
5.0000%, 8/1/52
43,320,632
44,363,062
5.0000%, 8/1/52
8,933,420
9,073,418
5.5000%, 8/1/52
4,040,622
4,151,951
4.0000%, 9/1/52
6,370,254
6,163,779
5.5000%, 9/1/52
3,747,065
3,850,306
5.0000%, 10/1/52
4,889,929
4,975,841
5.0000%, 10/1/52
148,046
150,647
5.0000%, 10/1/52
7,535,285
7,667,674
5.5000%, 11/1/52
16,936,896
17,496,781
5.0000%, 12/1/52
19,903,462
20,070,377
FHLMC,
REMIC
ICE
LIBOR
USD
1
Month
+
0.3500%,
4.8090%, 2/15/32
‡
22,975
22,917
ICE
LIBOR
USD
1
Month
+
0.6500%,
5.1090%, 3/15/32
‡
34,049
34,044
ICE
LIBOR
USD
1
Month
+
0.5000%,
4.9590%, 7/15/32
‡
17,999
18,097
ICE
LIBOR
USD
1
Month
+
0.4000%,
4.8590%, 1/15/33
‡
22,338
22,161
ICE
LIBOR
USD
1
Month
+
0.2500%,
4.7090%, 9/15/35
‡
19,340
19,236
ICE
LIBOR
USD
1
Month
+
0.5900%,
5.0490%, 10/15/37
‡
65,768
65,046
ICE
LIBOR
USD
1
Month
+
0.3000%,
4.7590%, 8/15/40
‡
26,981
27,032
ICE
LIBOR
USD
1
Month
+
0.5000%,
4.9590%, 9/15/40
‡
66,090
65,525
ICE
LIBOR
USD
1
Month
+
0.5500%,
5.0090%, 4/15/41
‡
215,495
213,425
FNMA
Connecticut
Avenue
Securities
ICE
LIBOR
USD
1
Month
+
4.9000%,
9.4059%, 11/25/24
‡
621,040
645,106
ICE
LIBOR
USD
1
Month
+
4.0000%,
8.5059%, 5/25/25
‡
5,635,469
5,748,178
ICE
LIBOR
USD
1
Month
+
5.0000%,
9.5059%, 7/25/25
‡
2,490,768
2,602,853
SOFR30A
+
2.0000%,
6.3101%, 11/25/41
(144A)
‡
2,386,000
2,236,875
FNMA
UMBS
2.5000%, 8/1/31
14,956
14,204
2.5000%, 10/1/31
17,189
16,325
2.5000%, 2/1/32
15,649
14,862
3.0000%, 11/1/34
66,729
64,309
3.0000%, 12/1/34
72,118
69,503
3.0000%, 1/1/43
207,155
194,053
3.0000%, 5/1/43
1,527,187
1,430,079
3.0000%, 5/1/43
1,177,468
1,107,020
3.0000%, 10/1/44
946,199
886,353
3.5000%, 12/1/45
519,671
496,836
3.0000%, 1/1/46
17,998
16,722
3.5000%, 1/1/46
48,015
45,905
3.0000%, 3/1/46
1,887,147
1,753,499
3.0000%, 9/1/46
44,509
41,679
3.0000%, 1/1/47
88,810
83,379
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
4
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
UMBS
-
(continued)
3.0000%, 1/1/47
$
340,278
$
318,641
3.0000%, 1/1/47
394,966
366,994
3.5000%, 3/1/47
455,677
435,654
4.0000%, 5/1/47
329,851
328,279
3.5000%, 7/1/47
403,991
386,239
3.5000%, 8/1/47
150,861
146,590
4.0000%, 10/1/47
1,660,378
1,629,297
3.5000%, 12/1/47
161,241
156,677
3.0000%, 2/1/48
548,620
515,788
5.0000%, 5/1/48
1,598,477
1,632,561
4.5000%, 6/1/48
1,845,255
1,849,984
3.5000%, 7/1/48
10,274,153
9,814,826
4.0000%, 7/1/48
2,043,174
2,004,247
4.0000%, 10/1/48
778,580
768,404
4.0000%, 11/1/48
2,374,818
2,329,572
4.0000%, 12/1/48
378,548
371,336
4.0000%, 2/1/49
1,372,663
1,346,511
4.0000%, 2/1/49
1,198,272
1,175,442
4.0000%, 6/1/49
317,334
310,406
4.5000%, 6/1/49
163,217
163,565
4.5000%, 7/1/49
6,490
6,504
3.0000%, 8/1/49
123,050
113,204
3.0000%, 8/1/49
116,516
107,192
4.5000%, 8/1/49
238,094
238,600
4.5000%, 8/1/49
66,543
66,685
3.0000%, 9/1/49
237,694
221,936
4.5000%, 9/1/49
245,266
245,788
4.0000%, 11/1/49
459,431
452,679
4.0000%, 11/1/49
5,122,271
5,024,680
4.5000%, 12/1/49
295,866
296,495
4.5000%, 1/1/50
8,242,714
8,263,838
4.5000%, 1/1/50
326,104
326,799
4.0000%, 3/1/50
4,055,462
3,978,196
4.0000%, 3/1/50
1,545,975
1,516,520
4.0000%, 3/1/50
7,474,986
7,377,289
3.0000%, 5/1/50
2,682,605
2,487,051
3.0000%, 9/1/50
4,847,270
4,450,385
4.0000%, 9/1/50
8,636,570
8,448,043
4.0000%, 10/1/50
8,202,714
8,082,169
4.5000%, 10/1/50
5,097,784
5,110,848
4.5000%, 12/1/50
1,650,368
1,652,350
4.0000%, 3/1/51
198,808
195,021
4.0000%, 3/1/51
20,804,152
20,350,020
4.0000%, 3/1/51
409,096
400,165
4.0000%, 10/1/51
2,913,587
2,849,987
3.0000%, 12/1/51
49,009,095
45,024,798
3.5000%, 3/1/52
5,666,292
5,380,536
3.0000%, 4/1/52
4,504,864
4,139,282
3.5000%, 4/1/52
1,302,291
1,230,316
3.5000%, 4/1/52
1,243,973
1,174,834
3.5000%, 4/1/52
3,825,596
3,614,162
3.5000%, 4/1/52
4,330,328
4,089,653
3.5000%, 4/1/52
5,532,708
5,266,008
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
5
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
UMBS
-
(continued)
3.5000%, 4/1/52
$
1,572,125
$
1,484,942
4.0000%, 4/1/52
2,936,080
2,871,313
4.5000%, 4/1/52
209,653
207,390
4.5000%, 4/1/52
598,274
591,815
4.5000%, 4/1/52
460,502
455,531
4.5000%, 4/1/52
264,099
261,248
4.5000%, 4/1/52
134,996
133,301
4.5000%, 4/1/52
239,700
237,112
3.5000%, 5/1/52
24,737,595
23,537,453
3.5000%, 5/1/52
3,254,865
3,088,696
3.5000%, 5/1/52
4,245,350
4,010,059
4.5000%, 5/1/52
730,565
722,677
3.5000%, 6/1/52
23,161,594
22,023,515
3.5000%, 6/1/52
13,442,753
12,816,288
3.5000%, 6/1/52
2,389,044
2,266,335
4.0000%, 6/1/52
1,244,944
1,203,015
4.0000%, 6/1/52
4,645,770
4,489,306
3.5000%, 7/1/52
596,186
568,217
3.5000%, 7/1/52
3,367,042
3,201,597
3.5000%, 7/1/52
11,822,838
11,215,579
4.0000%, 7/1/52
1,986,024
1,919,137
4.5000%, 7/1/52
2,356,094
2,331,837
3.5000%, 8/1/52
2,911,305
2,760,866
3.5000%, 8/1/52
1,077,563
1,024,281
4.5000%, 8/1/52
22,310,560
22,080,870
5.0000%, 8/1/52
20,368,040
20,687,453
5.5000%, 8/1/52
7,605,690
7,815,289
5.0000%, 9/1/52
17,282,799
17,430,097
5.5000%, 9/1/52
14,840,865
15,150,758
5.0000%, 10/1/52
2,452,014
2,495,123
5.0000%, 10/1/52
1,096,226
1,115,499
5.5000%, 10/1/52
22,414,753
23,155,875
5.5000%, 10/1/52
23,396,225
23,814,201
4.5000%, 11/1/52
7,890,102
7,914,029
5.0000%, 11/1/52
6,192,219
6,301,085
5.0000%, 11/1/52
12,179,530
12,281,752
5.5000%, 11/1/52
5,442,673
5,622,630
5.5000%, 11/1/52
16,134,778
16,579,423
5.5000%, 11/1/52
6,299,949
6,429,359
4.5000%, 12/1/52
3,836,597
3,817,777
5.0000%, 1/1/53
11,894,578
11,994,408
FNMA,
Other
3.0000%, 4/1/38
181,457
169,919
3.0000%, 9/1/42
259,283
242,884
3.0000%, 10/1/42
199,283
186,679
3.0000%, 1/1/43
343,082
321,383
3.0000%, 3/1/43
431,957
404,491
3.0000%, 5/1/43
99,705
93,365
3.0000%, 6/1/46
376,996
348,009
3.0000%, 11/1/46
78,219
72,680
3.0000%, 2/1/57
1,717,618
1,584,272
FNMA,
REMIC
ICE
LIBOR
USD
1
Month
+
0.4000%,
4.9059%, 4/25/32
‡
30,545
30,347
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
6
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA,
REMIC
-
(continued)
ICE
LIBOR
USD
1
Month
+
0.5500%,
5.0559%, 4/25/32
‡
$
19,210
$
19,221
ICE
LIBOR
USD
1
Month
+
0.5000%,
5.0059%, 9/25/33
‡
29,121
29,171
ICE
LIBOR
USD
1
Month
+
0.3000%,
4.8059%, 10/25/35
‡
24,513
24,206
ICE
LIBOR
USD
1
Month
+
0.3500%,
4.8559%, 4/25/36
‡
83,498
82,520
ICE
LIBOR
USD
1
Month
+
0.5200%,
5.0259%, 9/25/37
‡
25,764
25,601
ICE
LIBOR
USD
1
Month
+
0.4000%,
4.9059%, 9/25/40
‡
14,769
14,711
ICE
LIBOR
USD
1
Month
+
55.0000%,
6.9442%, 10/25/40
‡
41,248
74,169
ICE
LIBOR
USD
1
Month
+
0.4300%,
4.9359%, 11/25/40
‡
16,223
15,921
ICE
LIBOR
USD
1
Month
+
0.4000%,
4.9059%, 9/25/42
‡
10,482
10,305
ICE
LIBOR
USD
1
Month
+
0.3500%,
4.8559%, 10/25/42
‡
139,034
136,776
ICE
LIBOR
USD
1
Month
+
4.0000%,
0.0000%, 11/25/42
‡
473,554
279,004
ICE
LIBOR
USD
1
Month
+
0.5000%,
5.0059%, 2/25/43
‡
44,124
43,757
3.5000%, 1/25/61
(a)
24,106,135
4,421,699
FNMA/FHLMC
UMBS,
15
Year,
Single
Family
3.0000%,
TBA, 15
Year
Maturity
(b)
11,027,503
10,573,104
3.5000%,
TBA, 15
Year
Maturity
(b)
39,895,329
38,926,431
4.0000%,
TBA, 15
Year
Maturity
(b)
36,067,500
35,835,983
FNMA/FHLMC
UMBS,
30
Year,
Single
Family
2.5000%,
TBA, 30
Year
Maturity
(b)
304,637,700
266,767,578
3.0000%,
TBA, 30
Year
Maturity
(b)
6,544,914
5,942,383
FREMF
Mortgage
Trust
,
ICE
LIBOR
USD
1
Month
+
6.0000%
,
10.3916
%
,
9/25/29
(144A)
‡
1,109,388
1,029,008
GNMA
ICE
LIBOR
USD
1
Month
+
0.4000%,
4.8590%, 8/16/29
‡
17,467
17,512
ICE
LIBOR
USD
1
Month
+
0.4000%,
4.8857%, 7/20/34
‡
42,328
41,865
ICE
LIBOR
USD
1
Month
+
0.3000%,
4.7590%, 8/16/34
‡
32,568
32,112
ICE
LIBOR
USD
1
Month
+
0.2000%,
4.6857%, 6/20/35
‡
24,530
24,051
ICE
LIBOR
USD
1
Month
+
0.1500%,
4.6357%, 8/20/35
‡
30,705
30,046
ICE
LIBOR
USD
1
Month
+
0.3000%,
4.7857%, 4/20/37
‡
10,329
10,155
ICE
LIBOR
USD
1
Month
+
0.3100%,
4.7957%, 6/20/37
‡
28,352
27,904
ICE
LIBOR
USD
1
Month
+
0.3200%,
4.8057%, 7/20/37
‡
45,426
44,607
ICE
LIBOR
USD
1
Month
+
0.5000%,
4.9857%, 10/20/37
‡
14,526
14,369
ICE
LIBOR
USD
1
Month
+
0.5000%,
4.9857%, 10/20/37
‡
34,878
34,152
ICE
LIBOR
USD
1
Month
+
0.5000%,
4.9857%, 2/20/38
‡
57,560
57,094
ICE
LIBOR
USD
1
Month
+
0.5000%,
4.9857%, 2/20/38
‡
28,424
28,204
ICE
LIBOR
USD
1
Month
+
0.6000%,
5.0590%, 1/16/40
‡
9,549
9,509
ICE
LIBOR
USD
1
Month
+
0.3500%,
4.8357%, 6/20/40
‡
640
634
ICE
LIBOR
USD
1
Month
+
0.4300%,
4.8890%, 10/16/40
‡
44,129
43,717
0.0000%, 5/16/41
¤
4,497,526
3,545,084
ICE
LIBOR
USD
1
Month
+
0.3000%,
4.7857%, 7/20/41
‡
20,382
20,203
GNMA
II,
30
Year
4.5000%, 2/20/48
1,297,414
1,304,863
4.5000%, 7/20/48
311,033
310,632
4.5000%, 11/20/48
172,227
173,208
5.0000%, 1/20/49
10,218
10,381
GNMA
II,
30
Year,
Single
Family
4.0000%, 5/20/48
293,470
288,514
4.0000%, 6/20/48
985,279
968,021
2.5000%,
TBA, 30
Year
Maturity
(b)
21,077,414
18,807,840
3.0000%,
TBA, 30
Year
Maturity
(b)
54,920,876
50,478,821
3.5000%,
TBA, 30
Year
Maturity
(b)
28,311,337
26,792,604
4.0000%,
TBA, 30
Year
Maturity
(b)
61,517,249
59,777,357
4.5000%,
TBA, 30
Year
Maturity
(b)
122,000,000
121,126,968
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
7
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
GNMA
II,
30
Year,
Single
Family
-
(continued)
5.0000%,
TBA, 30
Year
Maturity
(b)
$
85,500,000
$
86,063,445
GNMA
II,
Other
4.0000%, 2/20/49
179,673
175,203
4.0000%, 4/20/49
157,425
153,508
JPMorgan
Chase
Bank
NA-CHASE
,
ICE
LIBOR
USD
1
Month
+
2.2500%
,
6.7559
%
,
10/25/57
(144A)
‡
10,306,448
10,103,152
JPMorgan
Mortgage
Trust
,
3.0000
%
,
6/25/45
(144A)
‡
606,039
546,064
PRPM
LLC
2.2370%, 10/25/51
(144A)
‡
2,000,000
1,618,709
2.4850%, 10/25/51
(144A)
‡
2,600,000
2,088,581
Sequoia
Mortgage
Trust
2.5000%, 5/25/43
(144A)
‡
834,606
734,450
4.0000%, 9/25/49
(144A)
‡
116,871
107,751
TPI
RE-REMIC
Trust
0.0000%, 7/25/46
(144A)
¤
5,274,000
5,103,266
0.0000%, 8/25/46
(144A)
¤
3,230,000
3,106,599
Total
Mortgage-Backed
Securities
(cost
$1,564,117,650)
1,563,709,809
Preferred
Stock
-
0.1%
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.1%
Rithm
Capital
Corp.,
7.0000%, 11/15/26
(cost
$991,600)
40,000
846,400
Investment
Companies
-
3.6%
Money
Market
Funds
-
3.6%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
4.3380%
£,∞
(cost
$33,543,453)
33,539,118
33,545,826
Total
Investments
(total
cost
$1,661,511,159
)
-
178.7%
1,660,383,511
Liabilities,
net
of
Cash,
Receivables
and
Other
Assets
-
(78.7%)
(731,106,409)
Net
Assets
-
100.0%
$929,277,102
Summary
of
Investments
by
Country
-
(Long
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
1,660,383,511
100.0%
Schedule
of
TBA
sales
commitments
-
(%
of
Net
Assets)
Principal
Amounts
Value
Securities
Sold
Short
-
(48.3)%
Mortgage-Backed
Securities
-
(48.3)%
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
3.5000%,
TBA,
30
Year
Maturity
(b)
$
(56,743,599)
$
(53,253,697)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
4.0000%,
TBA,
30
Year
Maturity
(b)
(111,850,449)
(107,957,494)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
4.5000%,
TBA,
30
Year
Maturity
(b)
(168,232,382)
(166,135,197)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
5.0000%,
TBA,
30
Year
Maturity
(b)
(90,426,697)
(90,755,850)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
5.5000%,
TBA,
30
Year
Maturity
(b)
(30,026,526)
(30,501,846)
Total
Securities
Sold
Short
(proceeds
$443,329,156)
$
(448,604,084)
Summary
of
Investments
by
Country
-
(Short
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
(448,604,084)
100.0%
$–
–
%
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
January
31,
2023
8
Schedule
of
Affiliated
Investments
-
(%
of
Net
Assets)
Dividend
Income
Realized
Gain/(Loss)
Change
in
Unrealized
Appreciatio
n/
(Depreciation)
Value
at
1/31/23
Investment
Company
-
3.6%
Money
Market
Funds
-
3.6%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
4.3380%
∞
$
241,453
$
(1,344)
$
2,373
$
33,545,826
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
N/A
Investment
Companies
-
N/A
Janus
Henderson
Cash
Collateral
Fund
LLC,
3.0191%
∞
59
Δ
–
–
–
Total
Affiliated
Investments
-
3.6%
$
241,512
$
(1,344)
$
2,373
$
33,545,826
Market
Value
at
10/31/22
Purchases
Sales
Market
Value
at
1/31/23
Investment
Company
-
3.6%
Money
Market
Funds
-
3.6%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
4.3380%
∞
$
7,789,100
$
267,374,938
$
(241,619,185)
$
33,545,826
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
N/A
Investment
Companies
-
N/A
Janus
Henderson
Cash
Collateral
Fund
LLC,
3.0191%
∞
–
72,508
(72,508)
–
Total
Affiliated
Investments
-
3.6%
$
7,789,100
$
267,447,446
$
(241,691,693)
$
33,545,826
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
Bonds
124
3/22/23
$
15,029,188
$
178,101
U.S.
Treasury
Ultra
Bonds
113
3/22/23
16,017,750
631,705
Total
-
Futures
Long
809,806
Futures
Short:
U.S.
Treasury
10
Year
Notes
471
3/22/23
(53,936,859)
130,886
U.S.
Treasury
2
Year
Notes
169
3/31/23
(34,754,586)
(117,668)
Total
-
Futures
Short
13,218
Total
$823,024
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.39-V1,
Fixed
Rate
of
1.00%
Paid
Quarterly
12/20/27
$
36,450,000
$
(494,520)
$
(142,077)
$
(636,597)
Average
ending
Monthly
Value
of
Derivative
Instruments
During
the
Period
Ended
January
31,
2023
Futures
contracts:
Average
notional
amount
of
contracts
-
long
$28,704,188
Average
notional
amount
of
contracts
-
short
52,685,128
Credit
default
swaps:
Average
notional
amount
-
buy
protection
60,016,667
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
(unaudited)
January
31,
2023
9
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
January
31,
2023.
£
The
Fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
Investment
Company
Act
of
1940,
as
amended,
an
affiliated
company
is
one
in
which
the
Fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
which
is
under
common
ownership
or
control.
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
January
31,
2023.
¤
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
January
31,
2023
is
$164,485,714
which
represents
17.7%
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)
January
31,
2023
10
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
January
31,
2023
.
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
$
—
$
62,281,476
$
—
Mortgage-Backed
Securities
—
1,563,709,809
—
Preferred
Stock
846,400
—
—
Investment
Companies
—
33,545,826
—
Total
Investments
in
Securities
$
846,400
$
1,659,537,111
$
—
Other
Financial
Instruments
(a)
:
Futures
Contracts
$
940,692
$
—
$
—
Total
Assets
$
1,787,092
$
1,659,537,111
$
—
Liabilities
TBA
sales
commitments:
Mortgage-Backed
Securities
$
—
$
448,604,084
$
—
Other
Financial
Instruments
(a)
:
Centrally
Cleared
Swaps
$
—
$
636,598
$
—
Futures
Contracts
117,668
—
—
Total
Liabilities
$
117,668
$
449,240,682
$
—
(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.
11
Investment
Valuation
Fund holdings
are
valued
in
accordance
with
policies
and
procedures
established
by
the
Adviser
pursuant
to
Rule
2a-5
under
the
1940
Act
and
approved
by
and
subject
to
the
oversight
of
the
Trustees
(the
“Valuation
Procedures”).
Equity
securities,
including
shares
of
exchange-traded
funds,
traded
on
a
domestic
securities
exchange
are
generally
valued
at
readily
available
market
quotations,
which
are
(i)
the
official
close
prices
or
(ii)
last
sale
prices
on
the
primary
market
or
exchange
in
which
the
securities
trade.
If
such
price
is
lacking
for
the
trading
period
immediately
preceding
the
time
of
determination,
such
securities
are
generally
valued
at
their
current
bid
price.
Equity
securities
that
are
traded
on
a
foreign
exchange
are
generally
valued
at
the
closing
prices
on
such
markets.
In
the
event
that
there
is
no
current
trading
volume
on
a
particular
security
in
such
foreign
exchange,
the
bid
price
from
the
primary
exchange
is
generally
used
to
value
the
security.
Foreign
securities
and
currencies
are
converted
to
U.S.
dollars
using
the
current
spot
USD
dollar
exchange
rate
in
effect
at
the
close
of
the
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
Adviser-approved
pricing
service
that
is
intended
to
reflect
market
value.
The
evaluated
bid
price
supplied
by
the
pricing
service
is
an
evaluation
that
may
consider
factors
such
as
security
prices,
yields,
maturities
and
ratings.
Certain
short-term
securities
maturing
within
60
days
or
less
may
be
evaluated
and
valued
on
an
amortized
cost
basis
provided
that
the
amortized
cost
determined
approximates
market
value.
Securities
for
which
market
quotations
or
evaluated
prices
are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
determined
in
good
faith
by
the
Adviser
pursuant
to
the
Valuation
Procedures.
Circumstances
in
which
fair
valuation
may
be
utilized
include,
but
are
not
limited
to:
(i)
a
significant
event
that
may
affect
the
securities
of
a
single
issuer,
such
as
a
merger,
bankruptcy,
or
significant
issuer-specific
development;
(ii)
an
event
that
may
affect
an
entire
market,
such
as
a
natural
disaster
or
significant
governmental
action;
(iii)
a
nonsignificant
event
such
as
a
market
closing
early
or
not
opening,
or
a
security
trading
halt;
and
(iv)
pricing
of
a
non-valued
security
and
a
restricted
or
nonpublic
security.
Special
valuation
considerations
may
apply
with
respect
to
“odd-lot”
fixed-income
transactions
which,
due
to
their
small
size,
may
receive
evaluated
prices
by
pricing
services
which
reflect
a
large
block
trade
and
not
what
actually
could
be
obtained
for
the
odd-
lot
position.
The
value
of
the
securities
of
other
mutual
funds
held
by
a
Fund,
if
any,
will
be
calculated
using
the
NAV
of
such
mutual
funds.
Valuation
Inputs
Summary
FASB
ASC
820,
Fair
Value
Measurements
and
Disclosures
(“ASC
820”),
defines
fair
value,
establishes
a
framework
for
measuring
fair
value,
and
expands
disclosure
requirements
regarding
fair
value
measurements.
This
standard
emphasizes
that
fair
value
is
a
market-based
measurement
that
should
be
determined
based
on
the
assumptions
that
market
participants
would
use
in
pricing
an
asset
or
liability
and
establishes
a
hierarchy
that
prioritizes
inputs
to
valuation
techniques
used
to
measure
fair
value.
These
inputs
are
summarized
into
three
broad
levels:
Level
1
–
Unadjusted
quoted
prices
in
active
markets
the
Fund
has
the
ability
to
access
for
identical
assets
or
liabilities.
Level
2
–
Observable
inputs
other
than
unadjusted
quoted
prices
included
in
Level
1
that
are
observable
for
the
asset
or
liability
either
directly
or
indirectly.
These
inputs
may
include
quoted
prices
for
the
identical
instrument
on
an
inactive
market,
prices
for
similar
instruments,
interest
rates,
prepayment
speeds,
credit
risk,
yield
curves,
default
rates
and
similar
data.
Assets
or
liabilities
categorized
as
Level
2
in
the
hierarchy
generally
include:
debt
securities
fair
valued
in
accordance
with
the
evaluated
bid
or
ask
prices
supplied
by
a
pricing
service;
securities
traded
on
OTC
markets
and
listed
securities
for
which
no
sales
are
reported
that
are
fair
valued
at
the
latest
bid
price
(or
yield
equivalent
thereof)
obtained
from
one
or
more
dealers
transacting
in
a
market
for
such
securities
or
by
a
pricing
service
approved
by
the
Fund’s
Trustees;
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.
12
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
January
31,
2023 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.
125-25-70334
03-23