WisdomTree Floating Rate Treasury Fund (USFR US) – Portfolio Construction Methodology

The underlying Bloomberg U.S. Treasury Floating Rate Bond Index delivers market-value-weighted exposure to U.S. Treasury floating-rate notes (FRNs). Eligibility is limited to USD-denominated Treasury FRNs with ≥1 year remaining maturity and a minimum par amount outstanding of USD 250 million; amounts held in the Federal Reserve’s SOMA are deducted from outstanding for capacity and weights. Index coupons float off the most recent 13-week T-bill auction rate plus security-specific spreads; interest accrues daily and pays quarterly. New and seasoned FRNs are included subject to eligibility; no credit screens apply. Weights are set by beginning-of-month market value and held static for the month. The composition reconstitutes monthly at month-end (returns universe fixed for the following month), with a forward “projected” universe updated intra-month to reflect issuance and maturities.

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