US Treasury 3 Month Bill ETF (TBIL US) – Portfolio Construction Methodology

The underlying Bloomberg US Treasury Bellwether 3M Total Return USD Unhedged Index supplies a single-security representation of the current U.S. 3-month Treasury bill. Each month the index is rebalanced to a hypothetical security that mirrors the most recently issued 13-week bill’s terms, pricing, and accrued carry; if a new bill is auctioned before the index’s month-end cut-off, it becomes the new reference. The index has no issuer, sector, or liquidity caps; by design it holds one on-the-run bill at 100% weight, with returns calculated on a total-return basis (price changes plus accrued discount yield). Eligibility and maintenance are mechanical and tenor-specific; when the Treasury issues a new 13-week bill, the index migrates at month-end, ensuring continuous exposure to the on-the-run 3-month tenor.

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