JPMorgan BetaBuilders U.S. Treasury Bond 20 Year ETF (BBLB US) – Portfolio Construction Methodology

The underlying ICE U.S. Treasury 20 Year Bond Index provides market-value-weighted exposure to long-dated U.S. Treasury securities. The universe comprises U.S. dollar-denominated, fixed-rate Treasury notes and bonds with more than twenty years remaining to final maturity, issued in the domestic market and backed by the full faith and credit of the U.S. government. Treasury inflation-protected securities, floating-rate notes, bills, STRIPS, and any agency or mortgage-related obligations are excluded. Eligible issues must have at least USD 300 million par amount outstanding to maintain tradability and capacity. Constituents are weighted by their market value based on outstanding principal and clean price, so larger, more liquid issues dominate. The index has no issuer caps, as all securities share the same obligor, and it is reconstituted and rebalanced monthly at month-end, adding new qualifying issues and removing bonds that no longer meet the 20 year maturity band or minimum size.

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