JAAA — Janus Henderson Anemoy AAA CLO Fund

Sasha Goldberg

Timofey Kupriyanov

Research

JAAA

RWA

CLO

JAAA is issued through the Janus Henderson Anemoy AAA CLO Fund Segregated Portfolio of Anemoy Capital SPC Limited, a segregated portfolio company incorporated in the British Virgin Islands on 18 August 2023 (the same SPC that issues JTRSY). The offering is governed by the Confidential Information Memorandum dated April 2026, the Portfolio Supplement dated April 2026, and the Memorandum and Articles of Association. Under Sections 144 to 146 of the BVI Business Companies Act, 2004, the assets and liabilities of each segregated portfolio must be identified and segregated: creditors of one portfolio have recourse only to that portfolio's assets, and not to the general account or to any other portfolio, including JTRSY.

The fund is a Professional Fund within the meaning of the BVI Securities and Investment Business Act, 2010 (SIBA), holding a current entry on the FSC's public register. Recognition involves no substantive supervision: the Memorandum expressly cautions that the fund is not subject to FSC supervision and that Public Fund investor protections do not apply. Shares have not been registered under the U.S. Securities Act of 1933 and the offering is made in reliance on Regulation S, to Professional Investors (persons whose ordinary business involves comparable assets, or natural persons declaring net worth above US$1M) who are not U.S. Persons, with subscribers certifying non-U.S. status on a continuing basis. The fund is not registered under the U.S. Investment Company Act of 1940. Subscribers additionally represent on a continuing basis that they are not Sanctions Subjects under OFAC, UN, UK (as extended to the BVI), EU, or BVI measures; dealings with sanctioned persons cease immediately and without notice.

A JAAA token represents a fractional interest in a participating non-voting ordinary share of no par value in the segregated portfolio: 100,000 tokens make up one Share (issuer confirmation, August 2026). Counts in this note refer to tokens, the on-chain unit, unless Shares are named explicitly. Under the Memorandum and Articles, transfer of a tokenized share is treated as transfer of the underlying registered share, with the Fund Administrator's records constituting the official register. There is no intermediating SPV or feeder: Anemoy Capital SPC Limited is the legal owner of the underlying assets held for the Portfolio's account, custody sits with JPMorgan Chase Bank, N.A., and shareholders hold the beneficial interest as a pro-rata claim on the Portfolio's net asset value rather than a direct interest in any individual CLO security. Voting power sits with the management shares, so shareholders hold economic rights without governance rights. The Subscription Agreement provides a paper-share-certificate fallback: if Centrifuge or the smart contracts cease to function or a wallet is impaired, the fund will issue paper certificates on request within a reasonable time. The Memorandum's cover authorizes the offering of up to 49,900 Participating Shares across the SPC's portfolios; at that ratio the 656.8M tokens outstanding amount to 6,568 Shares, well inside the authorized count.

As with JTRSY, the affiliation that matters is Anemoy and Centrifuge sharing common origins; delegation of portfolio management to Janus Henderson and of NAV, registrar, and KYC functions to Trident limits the practical scope of that affiliation to fund sponsorship, governance, and on-chain operations. The Memorandum identifies reliance on Messrs Quensel and Sood as a key-person risk of the manager structure.

Fund assets are insulated at three layers: BVI statutory segregation ring-fences the JAAA portfolio from every other portfolio of the SPC; the underlying CLO and cash positions are held in custody accounts with the fund as owner; and the manager manages but does not hold fund assets. The Memorandum carries the standard caveat that the SPC is a single legal entity and courts outside the BVI may not recognise the statutory segregation, in which case one portfolio's assets could be exposed to another's liabilities, a scenario that has not occurred. The Memorandum also notes that the custody arrangement is not subject to the SEC regulations governing registered investment companies.

None of the suspension powers has been exercised in the fund's operating history. Given the documented side-letter regime, allocators should assume some holders may hold preferential terms.

The investment objective is current income consistent with liquidity and stability of principal. The strategy is to invest 100% of total assets in cash, cash-like instruments (including money market instruments or funds) and AAA-rated collateralized loan obligations, and the Portfolio may engage repurchase arrangements for liquidity management purposes (per the April 2026 Portfolio Supplement). Ratings eligibility follows a middle-of-three, lower-of-two convention across Moody's, S&P, and Fitch, with Kroll and DBRS as fallbacks; where no third-party rating is available, the Manager may assign an internal rating.The strategy is benchmarked to the methodology of the Janus Henderson AAA CLO ETF and run by the same portfolio team; there is no legal relationship between the Portfolio and the ETF. The issuer confirms the Portfolio holds no ETF position: the mandate's cash and funds allowance is used for cash and liquidity management only, with roughly 99% of the book held as direct AAA CLO positions (issuer confirmation, August 2026), consistent with the 3 August 2026 holdings. The concentration regime differs from the ETF's: the ETF prospectus caps any single CLO at 5% and any single manager at 15%; those limits do not apply to this fund, which operates without hard concentration thresholds and intentionally runs a more concentrated book to obtain better execution in block trades (per issuer statements).

The concentration picture is better than the size gap would suggest: the fund is roughly 36x smaller than the ETF, yet its top three manager families account for just under 30% of the CLO book. Positions are grouped by the manager running each deal series (CBAM counts under Carlyle after its 2022 acquisition); manager concentration is its own risk axis because one manager's underwriting runs through all of its deals, and the ETF's 15% per-manager cap does not apply here. The book also breathes with the investor base: position count has ranged from 55 near peak AUM (December 2025) to 20 near the trough (April 2026), concentrating when AUM shrinks and spreading as it grows (per Centrifuge holdings data).

AAA CLO tranches sit at the top of the CLO capital structure: equity, mezzanine, BB, and BBB tranches absorb losses before AAA cash flows are interrupted. No AAA-rated CLO tranche has ever defaulted (per S&P Global and Moody's CLO rating performance studies).The risk that shows up in prices is mark-to-market: AAA CLO spreads widen in liquidity stress even when no credit event occurs. Computed from the ETF's full market-price history (October 2020 launch to 4 August 2026, dividend-adjusted): the worst single-day move is 1.03% down (10 April 2025), and the worst peak-to-trough drawdown is 2.6% on a total-return basis (February to July 2022 in the rate-hiking cycle, recovered by December 2022), or 4.1% on a price basis (August 2021 to November 2022).The longer-history proxy, the Palmer Square CLO Senior Debt Index (CLOSE, daily from June 2015), shows two material episodes across its history (computed from the index series): an 8.33% peak-to-trough drawdown in the COVID liquidity crisis (26 February to 24 March 2020, fully recovered by 12 August 2020, with a worst single day of 1.58% on 23 March 2020) and a 2.36% drawdown in the 2022 rate-hiking cycle (February to July 2022, recovered by December 2022), consistent with the ETF's own history over the same window. The COVID episode ran 5.5 months peak to recovery.

The underlying tranches are floating-rate. The ETF's effective duration has ranged 0.09 to 0.24 years across recent observations, translating a 1 bp parallel SOFR shift to roughly 0.20 bps of NAV. Income tracks policy-rate declines with a lag reflecting the tranches' reset schedules.

How closely does the token track the ETF? It depends on the holding period (computed against the ETF's dividend-adjusted price series over the token's life; small sample at the longest windows). Day to day there is almost no relationship (correlation near 0.1): the token's NAV moves on the administrator's recognition schedule, not on market prints. Over weeks the link stays loose (correlation 0.3 to 0.4). Over months it tightens (0.75), and over a quarter the token moves one-for-one with the ETF: correlation above 0.9 with beta near 1, minus the cost gap. In short, the token behaves like a deposit over days and like the ETF over quarters; the tracking chart below makes the same point visually. Against a Treasury sleeve such as JTRSY, JAAA adds credit spread and mark-to-market variance in exchange for SOFR-plus carry with near-zero duration.

The AAA CLO market is deep: $500 to 600B outstanding across 3,000+ tranches and 135+ managers, with secondary trading reaching a record $84B in Q1 2026 (per Janus Henderson market data). MSCI Liquidity Metrics classifies 100% of the fund's assets as highly liquid, meaning the full portfolio can be liquidated within three business days. Janus Henderson executes block liquidations through banking partners at institutional pricing.

NAV is calculated daily by Trident Trust, the independent fund administrator, using IHS Markit bid prices, so the book is marked to liquidation values; Janus Henderson maintains a formal fair-value procedure for instruments lacking evaluated prices. Two documentary nuances: the Memorandum defines the Valuation Day default as the last Business Day of each calendar month or such other day as the directors determine, so daily NAV is operating practice rather than a documentary obligation; and the Manager's error policy reprocesses individual shareholder accounts only above a materiality threshold. Subscriptions and redemptions are struck at the following day's NAV, eliminating intraday slippage.

The canonical attestation layer is Chronicle's Proof of Asset feed (Ethereum feed contract 0x02cf...8ec0, per the Chronicle dashboard), which publishes NAV, holdings-level data, and fund composition on-chain, sourced from the custodian and administrator. Downstream feeds (Chainlink, and the LlamaGuard dynamic NAV feed used by Aave Horizon at 0xF77f...A03d) consume that publication. The upstream path is issuer-self-attested: NAV originates at Trident, is published through Centrifuge contracts, and is consumed downstream without an independent reconciliation step, so the concentration point for valuation integrity is the Trident-to-publication chain, not the on-chain plumbing. On-chain NAV updates publish at a median of 15:00 UTC (P10 to P90: 09:06 to 19:06) on business days, computed from the update timestamps in the pool series. The issuer confirms the pipeline mirrors JTRSY's: Trident delivers the NAV between 23:00 and 00:00 CET, with the on-chain push targeted around 12:00 CET the following day (issuer confirmation, August 2026); the observed publication runs later than that target, and the actual push timing is being reconfirmed with Centrifuge. Integrators should consume the bounded dynamic feed instead of raw NAV.

Computed from the on-chain NAV series (Centrifuge API pool series, 372 daily observations, 28 July 2025 to 3 August 2026; net of all fund costs, ACT/365):

Against overnight SOFR near 3.6 to 3.65% through 2026 (NY Fed prints of 3.62% in March and 3.65% at end-July), the completed Q2 2026 quarter ran roughly 100 bps over SOFR, while Q1 2026 ran below SOFR during the quarter of the March redemption.Return is realized through NAV appreciation; there are no distributions. CLO income accrues continuously but is recognised in NAV in monthly settlement-cycle batches, which makes raw daily annualized returns spike on settlement days and sit near zero otherwise: across the full series the median daily annualized observation is 2.38% with a 6.7% negative-carry day frequency, while the 30-day moving average shown above is the economically meaningful carry read. The 7-day rolling APR ranges from negative 9.4% to positive 10.2% around a 4.2% mean, a product of the recognition cadence, not economic volatility; the 30-day window smooths this.Over the shared window (28 July 2025 to 3 August 2026), the token returned 4.23% annualized against 4.91% for the ETF on a total-return basis (dividends reinvested, dividend-adjusted market price), a 68 bps observed gap, computed from the token NAV series and the ETF price history.

JAAA uses Centrifuge V3 AsyncVaults (ERC-7540): both legs are asynchronous, request-based, and settled against published NAV, initiated through the Centrifuge UI, SDK, or directly against the contracts. Prospective investors complete AML/KYC with the Fund Administrator, designate a wallet, and are whitelisted; subscriptions are accepted each Business Day and may be paid in USD, USDC, or other permitted stablecoin (USDT and AUSD vaults are live on Ethereum).A redemption request takes the form of a transfer of share tokens to the fund's designated wallet, which constitutes an irrevocable request processed at NAV; proceeds are generally paid in tokenized form and may be paid in USD at the shareholder's request or where the wallet is unavailable. Investors always self-claim; the protocol cannot move funds out of an investor's wallet.

The April 2026 Portfolio Supplement specifies payment within three Business Days, with Business Days defined as BVI and US banking days: that is the contractual bound, not the operating practice. The issuer runs a same-day cycle on both legs, with requests received by 10am ET settling T+0 and requests received by 3pm ET settling T+1 (issuer confirmation, August 2026). If the tokenization infrastructure is suspended or share tokens become inaccessible, settlement falls back to an off-chain wire.Observed across the full transaction history (Centrifuge API investor transactions, 24 July 2025 to 27 July 2026, measured from first request to funds claimable): redemptions settled with a median of 0.3 business days and a P90 of 1.4 across 63 fulfilled requests. The lifetime maximum of 5.8 business days traces to a request lodged on 6 January 2026 during the fund's largest outflow window, and the slowest subscription (8.9 business days) to a 24 December request fulfilled after the holiday period. Since 1 April 2026, redemptions show a P90 of 1.0 business day and a maximum of 1.8 (n = 40) and subscriptions a P90 of 1.2 (n = 61), empirically consistent with the issuer's T+0/T+1 operating cadence.

There are no formal daily redemption limits, and no instant-redemption buffer.Cumulatively the queue has processed $665M of gross redemptions across 63 fulfilled requests since inception (through 27 July 2026, per the Centrifuge API); the anchor allocations entered as direct issuance transfers, not vault deposits, so vault-path subscription figures (about $309M) understate gross inflows. The stress precedent is 11 March 2026, when a single wallet redeemed $318.6M, 42.8% of that day's AUM, with no NAV impairment and no queue congestion; the redemption, its size, and the NAV path through it are verified on-chain.Concurrent redemption requests would be processed pro-rata if operational constraints arose, a scenario that has not occurred.

The holder base is small and concentrated. As of 3 to 4 August 2026 (per rwa.xyz network data, the Centrifuge API, and the Grove and Ethena transparency dashboards): 33 holders across all networks and 662.5M tokens in circulation. Grove holds $391.1M, 375M tokens and 56.6% of supply, split $260.9M on Avalanche (the fund's single largest wallet, 37.7% of supply) and $130.2M on Ethereum, per its own dashboard. Ethena holds some 241M tokens (36.4% of supply) as USDe backing, split $201M on Solana and $50M on Base per its transparency dashboard, at its recommended initial allocation cap of $250M; these correspond to the 10 June and 30 July subscriptions visible in the supply ledger. Together the two anchors hold 93% of supply between them, with the remaining tokens, about $48M, spread across about 30 wallets, mostly on Ethereum.The concentration is a design feature of the fund's history: it launched in June 2025 seeded by a $1B allocation from the Sky ecosystem via Grove, and single-anchor concentration peaked near 95% of AUM during H1 2026. The AUM path traces the anchor's moves: $50M at inception to a $1,022.7M peak on 6 January 2026, down to a $396.8M trough on 31 March after two large exit waves (293.7M tokens redeemed across 6 to 20 January; the 318.6M-token block on 11 March), and back to $686.9M by 3 August, driven by Ethena's onboarding of JAAA as a USDe backing asset (approved June 2026 with a recommended initial cap of $250M, per Ethena governance, and now fully deployed).

deJAAA, a freely transferable ERC-20 wrapper convertible against the permissioned share token via dedicated wrap vaults, trades on Aerodrome (Base) and related venues. Secondary-market depth is trivial relative to institutional size: it supplements small transfers and cannot substitute for primary redemption.

No queues, gates, or swing pricing are in place and no suspension has occurred. The documented Board powers are broad, including the sole-discretion catch-all, per-shareholder AML suspension, and compulsory redemption with or without cause on seven days' notice. These are the tail-risk levers an integration must underwrite: in a severe stress, on-chain redemption is not a contractual guarantee.

Share token addresses, per the Centrifuge deployments registry:

Active subscription/redemption vaults (ERC-7540 entry points), per the deployments registry and verified against the Centrifuge indexer API (all ten vaults Active and Linked, 3 August 2026):

Verified by on-chain inspection (Etherscan, 4 August 2026): the active transfer-restriction hook on the Ethereum share token is 0x3c5e...80a7, and the Root contract (48-hour timelock) holds ward rights on the token (wards query returns 1). The Ethereum share token and USDC vault addresses are additionally confirmed in live subscription and claim transactions (4 August 2026). The hook remains replaceable by a token ward via a file() call, an action that would be observable on-chain and gated behind the Root timelock; hook changes belong in ongoing monitoring.

Transfer eligibility is enforced on-chain via the token's restriction hook: removal from the memberlist locks the affected tokens. The whitelist itself is governed off-chain by the Fund Administrator, and an on-chain transfer may precede its recording on the fund's books. The practical implication for a DeFi integration is that the integrating contract must itself be whitelisted before JAAA can move into or out of it.

The core protocol is immutable, so the admin surface reduces to protocol-level authorization and configuration changes, all gated through Root behind the 48-hour timelock. The table below maps the contract surface and its controls; addresses are identical across all supported networks and shared across Centrifuge V3 pools, including JTRSY and JAAA (per the Centrifuge deployments registry):

Chronicle Proof of Asset is the single official attestation provider, a concentration point at the publication layer whose upstream dependency is Trident's NAV calculation. Because the upstream path is self-attested, integrations are safer on a bounded downstream feed such as the LlamaGuard dynamic feed on Aave Horizon than on raw NAV.

Across its history the Centrifuge protocol reports 24 security reviews including tier-1 firms, with report PDFs published at github.com/centrifuge/protocol/tree/main/docs/audits, an operational security review with OPSEK, and zero exploits since mainnet launch in 2019 (per Centrifuge security documentation). The audit trail covers the EVM protocol: v3.1.0 was verified by Sherlock, BurraSec reviewed v3.3, and a Certora formal verification of the core contracts began on 3 August 2026 (per issuer). The Solana and Stellar issuances have not had a separate independent audit. On Solana the exposure to unaudited code is limited: no custom Centrifuge program sits in the mint path, since JAAA is a standard SPL Token-2022 mint using stock extensions, controlled through Squads, an audited and widely deployed multisig platform. Centrifuge runs an active bug bounty on Cantina with a $250,000 maximum reward.

Cross-chain movement between the EVM spokes relies on Centrifuge's MultiAdapter layer, and the issuer has disclosed the full configuration (August 2026): every route runs two independent adapters at a 2-of-2 threshold, so both must attest before a message executes: Axelar and LayerZero for Base, Arbitrum, Avalanche, and BNB; Chainlink CCIP and LayerZero for Monad and Pharos. The April 2026 rsETH exploit is precedent that forged cross-chain messages can drain bridged RWA positions; under dual attestation, compromising a single adapter network is not enough to forge a message. Solana and Stellar are not spokes and no adapter route reaches them: those balances rest on the escrow model described under Network Availability. Avalanche, at 250M tokens, is the largest adapter-served exposure.