February 2026
JAAA Transparency Report
By Delta Y
Highlights
JAAA is a USD-denominated Vault tracking an onchain CLO (Collateralized Loan Obligation) fund, managed by Janus Henderson Investors US LLC and Anemoy Capital. The vault was deployed on September 27, 2025, with regular price updates beginning on September 29, 2025, and data on protocols' allocations available since March 2, 2026.
During February 2026, JAAA's AUM increased from $727.37M to $732.17M. The inception-to-date return (net of fees) now amounts to 4.75% annualized.
Other relevant indicators can be seen in Table 1 below:
Jan 2026 | Feb 2026 (Δ) | |
|---|---|---|
Avg. NAV | $831.76M | $725.56M (-12.77%) |
Avg. APY | N/A | 2.80% N/A |
Net Deposits | -$297.82M | $2.59M (N/A) |
Performance
JAAA reached a price of $1.0276 in its latest oracle update, reflecting a 0.31% return for the month of February. The trailing (7 days minimum) APY peaked at 4.43% during this period, with a minimum of -0.97%.
Table 2 displays the vault's performance against other comparable yield strategies:
Jan 2026 | Feb 2026 | |
|---|---|---|
JAAA sUSDe | JAAA sUSDe | |
Avg. APY | N/A N/A | 2.36% 3.82% |
Std. Dev. APY | N/A N/A | 1.73% 0.48% |
Sharpe Ratio 1 | N/A N/A | -0.80 0.33 |
1 Considered the 30D Avg. Secured Overnight Financing Rate (SOFR) as the risk-free rate for calculation purposes.
Activity
During February 2026, the vault processed $9.21M in deposits and $6.63M in withdrawals, resulting in $2.59M of net deposits over a total of 112 transactions.
As of period end, the JAAA vault had 9 holder addresses, representing no variation from the start of the month.
Other relevant indicators can be seen in Table 3 below:
Jan 2026 | Feb 2026 (Δ) | |
|---|---|---|
Deposits | $3.00M | $9.21M (206.71%) |
Withdrawals | $300.83M | $6.63M (-97.80%) |
Net Deposits | -$297.82M | $2.59M (N/A) |
Avg. Holders NAV | $88.30M | $80.62M (-8.70%) |
Median Holders NAV | $1.01M | $1.02M (0.16%) |
Disclosures
Security: Centrifuge smart contracts have been audited by Sherlock, Cantina, yAudit, Blackthorn, BurraSec, Macro, SRLabs, Code4rena, Recon, Alex the Entreprenerd and xmxanuel.
Fees: Centrifuge vaults may be subject to management and performance fees, which are automatically deducted and reflected in net returns.
Accounting: JAAA's price is updated periodically onchain. Price increases stepwise rather than reflecting real-time mark-to-market.
Risks: Smart contract risk (potential total loss), market risk (depegs, rate volatility), and counterparty risk (centralized components in some protocols).
Data Sources: Unless otherwise stated, all data presented in the report is obtained from on-chain sources. Any supplementary sources are explicitly noted where applicable.
Disclaimer
This report is for informational purposes only and does not constitute financial, investment, legal, or tax advice. The information contained herein is not an offer to sell or a solicitation of an offer to buy any security, nor shall any securities be offered or sold to any person in any jurisdiction in which such offer, solicitation, purchase, or sale would be unlawful.
Investing in decentralized finance (DeFi) products, including JAAA, involves significant risks, including but not limited to smart contract vulnerabilities, market volatility, and regulatory uncertainty. Past performance is not indicative of future results, and investors may lose some or all of their principal.
The data and analyses presented in this report are based on information believed to be reliable, but their accuracy, completeness, and timeliness are not guaranteed. The strategies and allocations described are subject to change without notice. All investment decisions should be made with the help of a qualified professional and based on your own research and risk tolerance.