Investment Grade—Interest Rate Hedged - IGHG Investment Grade—Interest Rate Hedged

ProShares Investment Grade—Interest Rate Hedged seeks investment results, before fees and expenses, that track the performance of the FTSE Corporate Investment Grade (Treasury Rate-Hedged) Index.

  • Provides the return potential of a diversified portfolio of investment grade corporate bonds
  • Targets zero interest rate risk by including a built-in hedge against rising rates that uses short positions in U.S. Treasury futures
  • Offers even less interest rate sensitivity than short-term bonds by targeting a duration of zero

Index/Benchmark Summary

The index is comprised of (a) long positions in USD-denominated investment grade corporate bonds issued by both U.S. and foreign domiciled companies; and (b) short positions in U.S. Treasury notes or bonds ("Treasury Securities") of, in aggregate, approximate equivalent duration to the investment grade bonds. In entering these positions, the index seeks to achieve an overall effective duration of zero.

By taking short Treasury Security positions (of an aggregate dollar value not exceeding the aggregate dollar value of the fund's assets), the index seeks to mitigate the potential negative impact of rising Treasury interest rates ("interest rates") on the performance of investment grade bonds (conversely limiting the potential positive impact of falling interest rates). The short positions are not intended to mitigate other factors influencing the price of investment grade bonds, such as credit risk, which may have a greater impact than rising or falling interest rates.

The long investment grade bond positions included in the index are designed to represent the more liquid universe of investment grade bonds offered within the United States. Currently, the bonds eligible for inclusion in the index include all investment grade bonds that are issued by U.S. and internationally domiciled companies that are: fixed rate; have a minimum rating of Baa3/BBB- by both Moody's Investors Service, Inc. ("Moody's") and Standard and Poor's Financial Services, LLC ("S&P"); have a minimum face amount outstanding of $1 billion; and have at least five and a half (5.5) years until maturity.

The index is reconstituted and rebalanced (including a reset of the interest rate hedge) on a monthly basis.

Yield as of 5/1/18

Weighted Average Yield to Maturity 3.31%

Fundamentals as of 5/1/18

Total Number of Issues 346
Weighted Average Maturity 15.98 Years
Weighted Average Coupon * 4.81%
Weighted Average Price $105.99
Effective Duration -0.10

* = Derivative contracts are priced to reflect the underlying index yield but may generate interest income.

Index Quality Breakdown as of 5/1/18

AAA 0.44%
AA+ 2.88%
AA 3.78%
AA- 5.39%
A+ 10.15%
A 12.50%
A- 18.64%
BBB+ 24.53%
BBB 12.00%
BBB- 9.70%

Sector Breakdown as of 5/1/18

Finance - Bank 35.60%
Industrial - Manufacturing 16.22%
Industrial - Energy 11.12%
Utility - Telecom 7.17%
Industrial - Consumer 4.58%
Finance - Insurance 3.20%
Utility - Electric 1.93%
Finance - Independent 1.48%
Finance - Other 0.98%
Industrial - Transportation 0.37%
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