CCM Affordable Housing MBS ETF (OWNS US) – Portfolio Construction Methodology

The investment process governing the actively managed CCM Affordable Housing MBS ETF focuses on agency mortgage-backed securities collateralized by U.S. residential loans that advance affordable-housing outcomes. Under normal conditions ≥80% of assets are in agency MBS backed by pools meeting impact criteria such as loans to low-/moderate-income borrowers, majority-minority census tracts, racially/ethnically concentrated areas of poverty, or persistent-poverty counties; ≥51% of assets are in MBS the adviser believes qualify for CRA investment-test consideration. Security selection emphasizes specified pools and TBA exposures with favorable amortization, prepayment, and convexity characteristics, and attention to geography, borrower profiles, coupon/vintage, and pool seasoning. Portfolio construction targets diversified coupon and maturity stacks within liquidity and capacity constraints of the agency market; the fund is non-diversified but managed to RIC diversification limits. Rebalancing is ongoing as cash flows, TBAs roll, and impact/CRA eligibility, relative value, or prepayment risk change.

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