High Yield—Interest Rate Hedged - HYHG High Yield—Interest Rate Hedged

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

  • Provides the return potential of a diversified portfolio of high-yield 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
  • Generally offers lower 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 high yield corporate bonds ("high yield bonds") and (b) short positions in U.S. Treasury notes or bonds ("Treasury Securities") of, in aggregate, approximate equivalent duration. In entering these positions, the index seeks to achieve an overall effective duration of zero.

By taking such short positions, the index seeks to mitigate the potential negative impact of rising Treasury interest rates ("interest rates") on the performance of high yield 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 high yield bonds, such as credit risk, which may have a greater impact than rising or falling interest rates.

The long high yield corporate bond positions included in the index are designed to represent the more liquid universe of high yield bonds for sale within the United States. Currently, the bonds eligible for inclusion in the index include high yield bonds that are issued by companies domiciled in the U.S. and Canada, and that are: fixed rate (including callable bonds); have a maximum rating of Ba1/BB+ by both Moody's Investors Service, Inc. ("Moody's") and Standard and Poor's Financial Services, LLC ("S&P"); and are subject to minimum issue outstanding, minimum time to maturity and maximum time from issuance criteria. Pay-in-kind bonds (which allow issuers the option of paying bondholders interest in additional securities or cash) are excluded. No more than two issues from each issuer are allowed, and no more than 2% of the index is allocated to any single issuer.

The index is reconstituted and rebalanced (including a reset of the duration-equivalent short position in Treasury Securities) on a monthly basis.

Fundamentals as of 6/30/20

Total Number of Issues 173
Weighted Average Maturity 6.1 Years
Weighted Average Coupon * 6.21%
Weighted Average Price $98.08
Effective Duration 0.31

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

Index Quality Breakdown as of 6/30/20

BBB- 3.02%
BB 22.13%
B 11.67%

Sector Breakdown as of 6/30/20

Industrial - Service 50.53%
Industrial - Manufacturing 24.22%
Utility - Telecom 5.61%
Finance - Other 4.99%
Industrial - Consumer 4.59%
Industrial - Energy 3.86%
Utility - Other 1.67%
Finance - Independent 1.37%
Utility - Electric 1.14%
Industrial - Transportation 0.96%
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