Swap
Agreements
Inflation
Expectations
ETF
had
the
following
open
non-exchange
traded
total
return
swap
agreements
as
of
February
28,
2026:
Notional
Amount
($)
Termination
Date
a
Counterparty
Rate
Paid
(Received)
b
Reference
Instrument
Value
and
Unrealized
Appreciation
/
(Depreciation)
($)
2,672,146
11/4/2026
Citibank
NA
3.38%
FTSE
30-Year
TIPS
(Treasury
Rate-Hedged)
Index
(long
exposure
to
30-year
Treasury
Inflation-Protected
Securities
(TIPS)
bond)
c
56,555
3,431,595
11/4/2026
Citibank
NA
3.29%
FTSE
30-Year
TIPS
(Treasury
Rate-Hedged)
Index
(long
exposure
to
30-year
Treasury
Bond
inverse
index)
c
(
101,913
)
6,103,741
(
45,358
)
14,505,171
11/4/2026
Societe
Generale
3.73%
FTSE
30-Year
TIPS
(Treasury
Rate-Hedged)
Index
(long
exposure
to
30-year
Treasury
Inflation-Protected
Securities
(TIPS)
bond)
c
114,512
20,022,515
11/4/2026
Societe
Generale
3.18%
FTSE
30-Year
TIPS
(Treasury
Rate-Hedged)
Index
(long
exposure
to
30-year
Treasury
Bond
inverse
index)
c
(
421,413
)
34,527,686
(
306,901
)
40,631,427
(
352,259
)
Total
Unrealized
Appreciation
171,067
Total
Unrealized
Depreciation
(
523,326
)
a
Agreements
may
be
terminated
at
will
by
either
party
without
penalty.
Payment
is
due
at
termination/maturity.
b
Reflects
the
floating
financing
rate,
as
of
February
28,
2026,
on
the
notional
amount
of
the
swap
agreement
paid
to
the
counterparty
or
received
from
the
counterparty,
excluding
any
commissions.
This
amount
is
included
as
part
of
the
unrealized
appreciation/(depreciation).
c
Certain
underlying
component
disclosures
related
to
this
index
may
be
found
on
the
website
at
www.proshares.com/media/FTSE30-Year_
TIPS_February.pdf.