JPMorgan BetaBuilders U.S. Treasury Bond 1-3 Year ETF (BBSB US) – Portfolio Construction Methodology

The underlying ICE U.S. Treasury 1-3 Year Bond Index targets short-maturity exposure to the U.S. Treasury curve by measuring the performance of USD-denominated, fixed-rate Treasury securities with remaining term to final maturity greater than one year and less than or equal to three years. The index is a maturity-defined subset of the broader ICE U.S. Treasury Bond Index Series and includes only direct obligations of the U.S. Treasury; it excludes inflation-linked securities, floating-rate notes, cash-management Treasuries and Treasury bills, and all government-agency debt, whether or not explicitly guaranteed. Securities are included and removed as their remaining term migrates into or out of the 1–3-year window, so the universe is refreshed monthly as new issues come to market and older issues roll down the curve. Constituents are weighted by market value based on outstanding principal, and the index is rebalanced on a monthly schedule aligned with its parent series.

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