iShares Commodity Curve Carry Strategy ETF (CCRV US) – Portfolio Construction Methodology

The underlying ICE BofA Commodity Enhanced Carry Total Return Index provides exposure to a concentrated basket of commodity futures chosen to maximize positive roll yield. Starting from a universe of 22 futures on agricultural, energy, industrial metals and precious metals commodities, the index selects 10 contracts representing commodities with the largest global production value. Within this set, contract months are ranked by roll yield, favoring markets in backwardation and avoiding those in steep contango. Weights tilt toward contracts with stronger positive carry while maintaining diversification across the commodity complex. The index is calculated on a total return basis. It is reconstituted and rebalanced monthly as roll-yield rankings are refreshed within the 22-contract universe and may temporarily hold more than 10 contracts during the transition between rebalance dates.

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