SPDR Portfolio Treasury ETF (SPTB US) – Portfolio Construction Methodology

The underlying Bloomberg U.S. Treasury Index provides market-value-weighted exposure to USD-denominated, fixed-rate, nominal U.S. Treasury debt with remaining maturity of at least one year. Eligible securities must have at least USD 300 million outstanding after deduction of Federal Reserve SOMA holdings, be investment grade, and be public obligations of the U.S. Treasury; Treasury bills, floating-rate notes, inflation-linked issues, STRIPS and SLGS are excluded. Bullet, callable, putable and amortizing bonds are eligible. Constituents enter at issuance once size and maturity tests are met and leave when remaining life falls below one year. Each bond’s weight equals its float-adjusted amount outstanding, so the index concentrates in recently issued Treasury notes and bonds. The index reconstitutes and rebalances monthly at month-end, with changes effective on the first business day of the next month.

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