United States Brent Oil Fund LP (BNO US) – Portfolio Construction Methodology

The investment strategy guiding the actively managed United States Brent Oil Fund LP seeks daily percentage exposure to Brent crude oil by holding exchange-traded Brent crude oil futures and cash equivalents, with the portfolio focused on front-month and second-month ICE Brent contracts and rolling positions systematically ahead of expiry to maintain continuous exposure. The fund is a commodity pool and is unlevered; exposure is set near 1× spot-related futures sensitivity, with cash collateral maintained in short-duration USD instruments. Position sizing is constrained by exchange-set accountability limits and internal risk controls; if front maturities approach limits or liquidity deteriorates, exposure can be diversified across later-dated Brent futures or economically similar instruments. Rebalancing occurs through creations/redemptions and the scheduled roll calendar; the sell discipline reflects contract expiration and risk management rather than discretionary commodity views. Capacity is linked to listed Brent futures liquidity and open interest.

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