Vanguard 0-3 Month Treasury Bill ETF (VBIL US) – Portfolio Construction Methodology

The underlying Bloomberg U.S. Treasury Bills 0-3 Months Index offers ultra-short exposure to the US Treasury bill market by holding securities inside a rolling 0–3-month maturity window. The index includes publicly issued, fixed-rate US Treasury Bills denominated in USD with remaining maturity of three months or less at each month-end rebalancing. Inflation-protected bonds, floating-rate securities, STRIPS, cash management bills, and other non-bill Treasury or agency issues are excluded. Both newly issued on-the-run bills and earlier issues that have rolled down into the 0–3-month range become eligible once their remaining term falls inside the window and drop out after maturity. Constituents are weighted by market value, so weights reflect outstanding bill size rather than equal allocation across CUSIPs. The index is maintained using the standard Bloomberg projected-and-returns-universe process, with the returns universe formally rebalanced on the last business day of each month.

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