US Treasury 12 Month Bill ETF (OBIL US) – Portfolio Construction Methodology

The underlying Bloomberg US Treasury Bellwether 1Y Total Return USD Unhedged Index offers precise 12-month US Treasury bill exposure via a single-bond, rules-based roll. At each month-end rebalancing, it selects the outstanding US Treasury bill that matures closest to—but not beyond—twelve months from the rebalance date; the bill must have settled by month-end to qualify. The index then holds that security at 100% weight for the full calendar month and replaces it at the next month-end with the newly selected issue, maintaining continuous on-the-run 1-year bill exposure. Returns reflect the price change from rolling down the curve and the bill’s accretion to par; there are no coupons. The methodology follows Bloomberg Fixed Income Indices’ standard monthly rebalancing and corporate-action conventions.

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