AAF First Priority CLO Bond ETF

C000218353 Fund Overview

AAF First Priority CLO Bond ETF is a US ETF managed by Listed Funds Trust, categorised as Developed ex-US Blend / Core Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US ETF
• Manager: Listed Funds Trust
• Category: Developed ex-US Blend / Core Equity
• Assets under management: $7.32M
• 1-year return: -1.6%
• SEC CIK: 0001683471
• SEC series ID: S000068195
• Share class ID: C000218353

C000218353 Investment Objective and Strategy

AAF First Priority CLO Bond ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Listed Funds Trust.

Investment objective

The AAF First Priority CLO Bond ETF (the Fund) seeks capital preservation and income.

Principal investment strategy

The Fund is an actively-managed exchange-traded fund (ETF) that pursues its investment objective by investing, under normal circumstances, at least 80% of its net assets (plus any borrowings made for investment purposes) in AAA rated first priority debt tranches of U.S. dollar-dominated collateralized loan obligations (CLOs). CLOs are trusts that are typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The Fund may invest in CLOs of any maturity. The Fund is actively managed and does not seek to track the performance of any particular index. The Fund principally invests in CLOs with the following criteria: Rated AAA No CLO, at the time of purchase by the Fund, will have a rating that is below AAA (or equivalent by a nationally recognized statistical rating organization (NRSRO)).

An NRSRO is a credit rating agency that issues credit ratings that the SEC permits other financial firms to use for certain regulatory purposes. After purchase, a CLOs rating may decline below the minimum rating required by the Fund for purchase. In such cases, Alternative Access Funds, LLC (the Adviser), the Funds investment adviser, will consider whether continuing to hold the CLO is in the best interest of the Fund. Broadly Syndicated Senior-Secured Loans The underlying collateral pool for each CLO must be comprised primarily (typically 90%) of broadly syndicated senior-secured first lien loans. A Broadly Syndicated Loan CLO (BSL CLO) is a CLO that limits the amount of loan collateral whose offering size is typically less than $250MM to a maximum of approximately 5% of the portfolio. No investments will be made in middle market CLOs, CBOs, ABS CDOs and synthetic CLOs.

First Priority Tranches Only The Fund will invest only in the senior-most tranches of CLOs. The cash flows from a CLO trust are generally split into two or more portions, called tranches, varying in risk and yield. Senior tranches are paid from the cash flows of the underlying assets before the junior tranches and equity, or first loss, tranches. Losses are first borne by the equity tranches, then by the junior tranches, and finally by the senior tranches. Senior tranches pay the lowest interest rates but are generally safer investments than more junior tranches because, should there be any default, senior tranches are typically paid first. For the avoidance of doubt, the CLOs that the Fund purchases will be the senior-most tranches, consisting of floating rate bonds that rank first in priority of payments, at the time the CLO is issued.

The Fund will not purchase CLO tranches that have subsequently become the senior-most tranches due to amortization of previously more senior tranches. Minimum Offering and Tranche Size The Fund will only invest in a CLO with a minimum initial total deal size of $300 million and minimum initial AAA tranche size of $150 million. Maximum Positions Size The Fund will not invest more than 5% of its total assets in any single security. Maximum CLO Manager Exposure The Fund will not invest more than 10% of its total assets in any single CLO manager. Maximum Weighted Average Rating Factor Each CLO will have a maximum Weighted Average Rating Factor (the WARF) (the Maximum WARF), at the time of purchase, of less than the greater of: a) 3,000, and b) the median WARF value of all outstanding broadly syndicated CLOs (as determined by the Adviser).

WARF is a measure that is used by credit rating companies to indicate the quality of a CLO by aggregating the credit ratings of the CLOs holdings into a single numerical value. If no WARF is calculated by the trustee of a particular CLO, the Adviser will at its discretion invest only in a CLO that it believes would not exceed the Maximum WARF. After purchase, a CLOs WARF may exceed the Maximum WARF. In such cases, the Adviser will consider whether to continue to hold the CLO. Additional information about the WARF is located in the Additional Information About the Fund section.

C000218353 Performance

Total returns for C000218353 (as of 2026-10-01), from SEC filings.

C000218353 Risk Information

Risk metrics for C000218353, derived from monthly returns in SEC filings.

• 1-year volatility (annualised): 1.3%

C000218353 Costs and Fees

C000218353 costs about $25 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.25%
• Gross expense ratio: 0.25%
• Portfolio turnover: 34%
• Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)

C000218353 Cashflows

Over the 12 months to 2022-07, AAF First Priority CLO Bond ETF had net inflows of $2.43M, from monthly SEC N-PORT filings.

C000218353 Debt Constituents

No individual debt constituents are reported in AAF First Priority CLO Bond ETF's latest SEC N-PORT filing.

C000218353 Prospectus and SEC Filings

Official AAF First Priority CLO Bond ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2021-11-24
• Prospectus (485BPOS) — filed 2020-08-14
• Portfolio holdings (N-PORT) — filed 2022-09-26
• Portfolio holdings (N-PORT) — filed 2022-06-23
• Portfolio holdings (N-PORT) — filed 2022-03-29
• Annual census (N-CEN) — filed 2022-10-13
• Annual census (N-CEN) — filed 2021-10-06

Related Funds

Other Developed ex-US Blend / Core Equity funds tracked on ABC INVEST:

• State Street International Stock Selection Fund (SSAIX)
• Columbia Pyrford International Stock Fund (PISJX)
• Core Market Neutral Fund (STTKX)
• Long Cramer Tracker ETF (LJIM)
• Baillie Gifford International Smaller Companies Fund (BICKX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.