iShares Treasury Floating Rate Bond ETF (TFLO US) – Portfolio Construction Methodology

The underlying Bloomberg U.S. Treasury Floating Rate Index offers market-value exposure to U.S. Treasury floating-rate notes (FRNs). Eligibility requires USD denomination; Treasury issuer; floating-rate coupons that reset off the 13-week T-bill auction “High Rate” (simple ACT/360); and a minimum amount outstanding of USD 250 million, with Federal Reserve SOMA holdings deducted from amounts outstanding. There is no minimum remaining maturity; FRNs remain eligible until maturity. Securities are market-value weighted by amount outstanding. Accrued interest is computed daily from the index rate plus auction-set spread, subject to a zero floor, with a two-business-day “lock-out” prior to issue or coupon dates in which newly effective bill rates are ignored. The index rebalances on the last business day of each month to reflect issuance, reopenings, and updated float amounts.

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