TCW AAA CLO ETF (ACLO US) – Portfolio Construction Methodology

The investment strategy underpinning the actively managed TCW AAA CLO ETF targets capital preservation and current income by concentrating in U.S. dollar-denominated, floating-rate CLO securities rated AAA at purchase, sourced in the primary and secondary markets under Rule 144A. Eligibility focuses on broadly syndicated loan CLO structures with strong protections (robust OC/IC tests, short weighted-average lives, conservative collateral quality) and reputable collateral managers; investability emphasizes tranche size, seasoning, and dealer support to maintain liquidity in a negotiated market. Portfolio construction diversifies by vintage, manager, deal platform, reinvestment profile, and collateral mix, with issuer/trust and manager exposure bands to avoid concentration. Position sizing incorporates tranche subordination, stress-test loss assumptions, WAL, and spread/liquidity premia. Rebalancing is event-driven: downgrades or watchlist actions, failing tests, collateral deterioration, extension risk, or relative-value shifts prompt trims or exits; tight spread compression, approaching reinvestment end dates, or better carry/quality opportunities can also trigger rotation.

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