BondBloxx Bloomberg Six Month Target Duration US Treasury ETF (XHLF US) – Portfolio Construction Methodology

The underlying Bloomberg US Treasury 6 Month Duration Index targets a portfolio of U.S. Treasury bills with an average interest-rate duration of ~0.5 years. It is built from two market-cap-weighted duration buckets drawn from the Bloomberg US Treasury Bill universe: 1–6-month and 6–12-month bills. At each month-end rebalance, Bloomberg computes the blend of the two buckets required to match the 6-month target duration using data as of T-2, then fixes a Returns Universe for the following month; intra-month adds/deletes are reflected only at the next month-end. Securities meet standard Bloomberg US Treasury Bill investability (e.g., minimum amount outstanding), and there are no credit, sector, or issuer caps beyond full-faith-and-credit U.S. Treasury issuance. Weighting is strictly by amount outstanding within each bucket; only the bucket weights change to maintain target duration.

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