USD Covered Bond
ProShares USD Covered Bond seeks investment results, before fees and expenses, that track the performance of the BNP Paribas Diversified USD Covered Bond IndexTM.
The index seeks to track the performance of U.S. dollar-denominated "covered bonds" that are generally rated AAA (or its equivalent). Covered bonds are debt instruments issued by a financial institution that are secured by a segregated pool of financial assets (the "cover pool"), typically mortgages or public-sector loans. Covered bonds differ from other debt instruments, including asset-backed securities, in that bondholders have a senior, unsecured claim against the issuing financial institution, which is secured by the cover pool in the event of default by such issuing financial institution. Further, the issuing financial institution typically maintains the cover pool in order to support the claims of covered bondholders in the event of default by the issuing financial institution. Currently, the index is comprised of covered bonds issued exclusively by non-U.S. institutions.
The index aims to include the universe of U.S. dollar-denominated fixed-rate covered bonds that conform to the eligibility criteria for the index. The covered bonds must be denominated in USD, have a fixed-rate coupon, have at least 18 months to maturity, have USD 1 billion or more of outstanding face amount and a minimum denomination no greater than $250,000, be either registered with the Securities and Exchange Commission or eligible for resale under Rule 144A of the Securities Act of 1933, as amended, and satisfy the liquidity criteria applicable to the index. In addition, the covered bonds must be rated in the highest category by at least one of the following rating agencies: Fitch Investor Services, Moody’s Investor Services and Standard & Poor’s Rating Group. Where the covered bond is rated by all three agencies, two of the agencies must rate the bond AAA (or its equivalent), where the bond is rated by two of such agencies, both agencies must rate the bond AAA (or its equivalent) and where the bond is rated by only one of such rating agency, that agency must rate the bond AAA (or its equivalent). Covered bonds containing puts or calls and bonds that are convertible or have equity-like features are not eligible for inclusion in the index. In addition, the following diversification criteria are applied to the index when it is rebalanced: no single issuer may have a value weight greater than 25% of the value of the index and issuers with a value weight of 5% or more may not constitute more than 50% of the value of the index. For the purpose of the diversification criteria, bonds issued by the affiliated issuers (i.e., issuers under common control) will be treated as having been issued by the same issuer. If a covered bond no longer satisfies the eligibility criteria, it will be removed from the index when the index is rebalanced. The index is rebalanced on the last business day of the following months: January, April, July and October. The index may from time to time include covered bonds issued by BNP Paribas or its affiliates.
Yield as of 5/31/13
|Weighted Average Yield to Maturity||0.99%|
Fundamentals as of 5/31/13
|Total Number of Issues||52|
|Modified Duration||3.19 Years|
|Weighted Average Maturity||3.34 Years|
|Weighted Average Coupon||1.94%|
|Weighted Average Price||$102.54|
|Monthly Index Volatility||1.25%|