Janus Henderson AAA CLO ETF (JAAA US) – Portfolio Construction Methodology

The investment process guiding the actively managed Janus Henderson AAA CLO ETF seeks capital preservation and current income by holding predominantly floating-rate, senior AAA tranches of broadly syndicated loan CLOs. Security selection is driven by collateral quality, deal structure, and manager underwriting, with emphasis on par build, credit enhancement, OC/IC test cushions, collateral diversification, and WAL control. The team evaluates manager behavior, reinvestment terms, and documentation to mitigate downgrade migration and extension risk. Portfolio construction targets high liquidity within Rule 144A markets, issuer and manager diversification, and controlled exposure to tail-risk features (e.g., CCC buckets, bond haircuts). Duration and spread sensitivity are managed through tranche mix and secondary/new-issue allocations. Rebalancing is ongoing as cash flows, calls, and refis occur, with sells triggered by adverse collateral trends, test pressures, weak manager performance, or inferior relative value versus comparable AAA CLOs.

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