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ProShares Trust II - Quarter Report: 2013 September (Form 10-Q)

10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

x Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the quarterly period ended September 30, 2013.

OR

 

¨ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from                      to                     .

 

 

Commission file number: 001-34200

 

 

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

 

 

 

Delaware   87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

 

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    x  Yes    ¨  No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    x  Yes    ¨  No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer   x    Accelerated filer   ¨
Non-accelerated filer   ¨  (Do not check if a smaller reporting company)    Smaller reporting company   ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    ¨  Yes    x  No

 

 

 


Table of Contents

PROSHARES TRUST II

Table of Contents

 

     Page  
Part I. FINANCIAL INFORMATION   

Item 1. Condensed Financial Statements.

     1   

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

     189   

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

     246   

Item 4. Controls and Procedures.

     266   
Part II. OTHER INFORMATION   

Item 1. Legal Proceedings.

     267   

Item 1A. Risk Factors.

     267   

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

     267   

Item 3. Defaults Upon Senior Securities.

     270   

Item 4. Mine Safety Disclosures.

     270   

Item 5. Other Information.

     270   

Item 6. Exhibits.

     270   


Table of Contents

Part I. FINANCIAL INFORMATION

 

Item 1. Condensed Financial Statements.

Index

 

Documents

   Page  

Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:

  

ProShares UltraShort DJ-UBS Commodity

     2   

ProShares UltraShort DJ-UBS Crude Oil

     7   

ProShares UltraShort DJ-UBS Natural Gas

     12   

ProShares UltraShort Gold

     17   

ProShares UltraShort Silver

     22   

ProShares Short Euro

     27   

ProShares UltraShort Australian Dollar

     32   

ProShares UltraShort Euro

     37   

ProShares UltraShort Yen

     42   

ProShares Ultra DJ-UBS Commodity

     47   

ProShares Ultra DJ-UBS Crude Oil

     52   

ProShares Ultra DJ-UBS Natural Gas

     57   

ProShares Ultra Gold

     62   

ProShares Ultra Silver

     67   

ProShares Ultra Australian Dollar

     72   

ProShares Ultra Euro

     77   

ProShares Ultra Yen

     82   

ProShares VIX Short-Term Futures ETF

     87   

ProShares VIX Mid-Term Futures ETF

     92   

ProShares Ultra VIX Short-Term Futures ETF

     97   

ProShares Short VIX Short-Term Futures ETF

     102   

ProShares Trust II

     107   

Notes to Financial Statements

     111   

 

1


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 352,169       $ 296,119   

Short-term U.S. government and agency obligations (Note 3) (cost $3,196,929 and $2,803,598, respectively)

     3,196,967         2,803,904   

Unrealized appreciation on swap agreements

     200,128         148,502   
  

 

 

    

 

 

 

Total assets

     3,749,264         3,248,525   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,836         2,560   
  

 

 

    

 

 

 

Total liabilities

     2,836         2,560   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,746,428         3,245,965   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,749,264       $ 3,248,525   
  

 

 

    

 

 

 

Shares outstanding

     59,997         59,997   
  

 

 

    

 

 

 

Net asset value per share

   $ 62.44       $ 54.10   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 57.37       $ 51.64   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

2


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(85% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.051% due 10/03/13†

   $ 2,420,000       $ 2,419,998   

0.034% due 10/31/13†

     289,000         288,992   

0.047% due 12/12/13†

     139,000         138,996   

0.035% due 02/06/14

     349,000         348,981   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,196,929)

      $ 3,196,967   
     

 

 

 

Swap Agreements^

 

     Termination Date    Notional Amount
at Value*
    Unrealized
Appreciation
(Depreciation)
 

Swap agreement with Deutsche Bank AG based on Dow Jones-UBS Commodity Index

   10/07/13    $ (2,645,772   $ 71,108   

Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index

   10/07/13      (3,749,305     100,420   

Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index

   10/07/13      (1,095,198     28,600   
       

 

 

 
        $ 200,128   
       

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

3


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
    Three months
ended
September 30,
    Nine months
ended
September 30,
    Nine months
ended
September 30,
 
     2013     2012     2013     2012  

Investment Income

        

Interest

   $ 416      $ 568      $ 1,651      $ 2,227   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,866        7,390        24,901        43,386   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     8,866        7,390        24,901        43,386   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,450     (6,822     (23,250     (41,159
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     13,664        (861,786     472,331        653,141   

Short-term U.S. government and agency obligations

     22        —          24        62   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     13,686        (861,786     472,355        653,203   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     (212,120     206,641        51,626        (684,284

Short-term U.S. government and agency obligations

     91        (71     (268     235   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (212,029     206,570        51,358        (684,049
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (198,343     (655,216     523,713        (30,846
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (206,793   $ (662,038   $ 500,463      $ (72,005
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (3.45   $ (11.03   $ 8.34      $ (0.65
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     59,997        59,997        59,997        110,544   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,245,965   

Net investment income (loss)

     (23,250

Net realized gain (loss)

     472,355   

Change in net unrealized appreciation/depreciation

     51,358   
  

 

 

 

Net income (loss)

     500,463   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 3,746,428   
  

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended     Nine months ended  
     September 30, 2013     September 30, 2012  

Cash flow from operating activities

    

Net income (loss)

   $ 500,463      $ (72,005

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Net sale (purchase) of short-term U.S. government and agency obligations

     (393,331     5,834,957   

Change in unrealized appreciation/depreciation on investments

     (51,358     684,049   

Increase (Decrease) in management fee payable

     276        (5,076
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     56,050        6,441,925   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     —          (6,153,645
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     —          (6,153,645
  

 

 

   

 

 

 

Net increase (decrease) in cash

     56,050        288,280   

Cash, beginning of period

     296,119        9,060   
  

 

 

   

 

 

 

Cash, end of period

   $ 352,169      $ 297,340   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 3,166,122       $ 658,676   

Segregated cash balances with brokers for futures contracts

     17,043,290         4,401,374   

Short-term U.S. government and agency obligations (Note 3) (cost $418,999,833 and $87,042,320, respectively)

     419,011,935         87,046,389   

Unrealized appreciation on swap agreements

     34,688,207         —     

Receivable from capital shares sold

     —           4,031,477   

Receivable on open futures contracts

     2,100,651         —     
  

 

 

    

 

 

 

Total assets

     476,010,205         96,137,916   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     33,181,570         —     

Payable on open futures contracts

     —           979,336   

Management fee payable

     367,607         70,254   

Unrealized depreciation on swap agreements

     —           5,607,060   
  

 

 

    

 

 

 

Total liabilities

     33,549,177         6,656,650   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     442,461,028         89,481,266   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 476,010,205       $ 96,137,916   
  

 

 

    

 

 

 

Shares outstanding

     14,619,944         2,219,944   
  

 

 

    

 

 

 

Net asset value per share

   $ 30.26       $ 40.31   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 30.25       $ 40.44   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(95% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.034% due 10/03/13

   $ 18,453,000       $ 18,452,985   

0.030% due 10/31/13

     67,087,000         67,085,041   

0.020% due 11/21/13

     86,164,000         86,161,561   

0.024% due 12/05/13†

     38,478,000         38,477,654   

0.046% due 12/12/13†

     12,524,000         12,523,624   

0.040% due 12/19/13†

     41,248,000         41,246,643   

0.034% due 12/26/13

     17,504,000         17,503,582   

0.029% due 02/06/14†

     124,865,000         124,858,345   

0.038% due 03/20/14†

     12,704,000         12,702,500   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $418,999,833)

      $ 419,011,935   
     

 

 

 

Futures Contracts Sold††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Crude Oil - NYMEX, expires November 2013

     3,779       $ 386,705,070       $ 8,716,596   

Swap Agreements^

 

     Termination Date    Notional Amount
at Value*
    Unrealized
Appreciation
(Depreciation)
 

Swap agreement with Deutsche Bank AG based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13    $ (138,285,284   $ 10,374,607   

Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13      (141,900,040     8,780,104   

Swap agreement with Societe Generale S.A. based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13      (85,110,010     5,485,866   

Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13      (132,930,537     10,047,630   
       

 

 

 
        $ 34,688,207   
       

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
†† Cash collateral in the amount of $17,043,290 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
    Three months
ended
September 30,
    Nine months
ended
September 30,
    Nine months
ended
September 30,
 
     2013     2012     2013     2012  

Investment Income

        

Interest

   $ 34,116      $ 19,218      $ 82,626      $ 49,995   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,047,511        252,685        1,830,070        871,751   

Brokerage commissions

     23,477        8,254        49,006        24,596   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,070,988        260,939        1,879,076        896,347   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,036,872     (241,721     (1,796,450     (846,352
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (25,209,929     (11,352,523     (28,442,320     9,297,036   

Swap agreements

     (60,974,182     (13,102,901     (62,841,295     16,747,909   

Short-term U.S. government and agency obligations

     3,458        1,654        11,757        3,424   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (86,180,653     (24,453,770     (91,271,858     26,048,369   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     9,595,093        5,021,020        12,746,317        1,679,430   

Swap agreements

     35,068,228        5,012,876        40,295,267        2,763,277   

Short-term U.S. government and agency obligations

     11,054        1,235        8,033        6,556   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     44,674,375        10,035,131        53,049,617        4,449,263   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (41,506,278     (14,418,639     (38,222,241     30,497,632   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (42,543,150   $ (14,660,360   $ (40,018,691   $ 29,651,280   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (2.84   $ (5.67   $ (5.04   $ 9.23   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     14,997,661        2,585,500        7,941,189        3,213,878   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 89,481,266   

Addition of 22,350,000 shares

     734,161,837   

Redemption of 9,950,000 shares

     (341,163,384
  

 

 

 

Net addition (redemption) of 12,400,000 shares

     392,998,453   
  

 

 

 

Net investment income (loss)

     (1,796,450

Net realized gain (loss)

     (91,271,858

Change in net unrealized appreciation/depreciation

     53,049,617   
  

 

 

 

Net income (loss)

     (40,018,691
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 442,461,028   
  

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended     Nine months ended  
     September 30, 2013     September 30, 2012  

Cash flow from operating activities

    

Net income (loss)

   $ (40,018,691   $ 29,651,280   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (12,641,916     4,325,029   

Net sale (purchase) of short-term U.S. government and agency obligations

     (331,957,513     25,706,108   

Change in unrealized appreciation/depreciation on investments

     (40,303,300     (2,769,833

Decrease (Increase) in receivable on futures contracts

     (2,100,651     576,597   

Increase (Decrease) in management fee payable

     297,353        (18,181

Increase (Decrease) in payable on futures contracts

     (979,336     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (427,704,054     57,471,000   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     738,193,314        204,359,211   

Payment on shares redeemed

     (307,981,814     (261,883,622
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     430,211,500        (57,524,411
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,507,446        (53,411

Cash, beginning of period

     658,676        265,258   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,166,122      $ 211,847   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 262,113       $ 310,060   

Segregated cash balances with brokers for futures contracts

     2,081,310         1,795,030   

Short-term U.S. government and agency obligations (Note 3) (cost $13,658,395 and $10,042,198, respectively)

     13,658,585         10,042,731   

Receivable on open futures contracts

     45,312         632,777   
  

 

 

    

 

 

 

Total assets

     16,047,320         12,780,598   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     12,293         12,258   
  

 

 

    

 

 

 

Total liabilities

     12,293         12,258   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     16,035,027         12,768,340   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 16,047,320       $ 12,780,598   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     174,952         125,008   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 91.65       $ 102.14   
  

 

 

    

 

 

 

Market value per share (Note 1) (Note 2)

   $ 91.86       $ 101.64   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(85% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.013% due 10/03/13

   $ 362,000       $ 362,000   

0.037% due 10/31/13

     6,728,000         6,727,804   

0.019% due 12/05/13

     4,006,000         4,005,964   

0.044% due 12/12/13

     194,000         193,994   

0.045% due 12/19/13

     345,000         344,989   

0.037% due 12/26/13

     37,000         36,999   

0.015% due 02/06/14

     1,082,000         1,081,942   

0.034% due 03/20/14

     905,000         904,893   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $13,658,395)

      $ 13,658,585   
     

 

 

 

Futures Contracts Sold††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Natural Gas - NYMEX, expires November 2013

     901       $ 32,075,600       $ 467,284   

 

†† Cash collateral in the amount of $2,081,310 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
    Three months
ended
September 30,
    Nine months
ended
September 30,
    Nine months
ended
September 30,
 
     2013     2012     2013     2012  

Investment Income

        

Interest

   $ 1,267      $ 1,854      $ 7,217      $ 4,883   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     40,159        14,762        137,353        39,735   

Brokerage commissions

     9,143        10,986        36,055        52,462   

Offering costs

     —          17,694        —          63,342   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     49,302        43,442        173,408        155,539   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (48,035     (41,588     (166,191     (150,656
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     2,862,705        (4,766,026     254,565        1,537,148   

Short-term U.S. government and agency obligations

     418        185        1,419        27   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     2,863,123        (4,765,841     255,984        1,537,175   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (1,862,190     1,018,440        58,149        (4,183,090

Short-term U.S. government and agency obligations

     648        259        (343     723   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (1,861,542     1,018,699        57,806        (4,182,367
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     1,001,581        (3,747,142     313,790        (2,645,192
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 953,546      $ (3,788,730   $ 147,599      $ (2,795,848
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 1)

   $ 4.97      $ (30.64   $ 0.60      $ (26.12
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     191,799        123,649        244,171        107,033   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 12,768,340   

Addition of 387,500 shares (Note 1)

     30,364,906   

Redemption of 337,556 shares (Note 1)

     (27,245,818
  

 

 

 

Net addition (redemption) of 49,944 shares (Note 1)

     3,119,088   
  

 

 

 

Net investment income (loss)

     (166,191

Net realized gain (loss)

     255,984   

Change in net unrealized appreciation/depreciation

     57,806   
  

 

 

 

Net income (loss)

     147,599   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 16,035,027   
  

 

 

 

 

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 and 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 147,599      $ (2,795,848

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (286,280     (760,225

Net sale (purchase) of short-term U.S. government and agency obligations

     (3,616,197     (7,368,751

Change in unrealized appreciation/depreciation on investments

     343        (723

Decrease (Increase) in receivable on futures contracts

     587,465        123,128   

Change in offering cost

     —          19,574   

Increase (Decrease) in management fee payable

     35        6,661   

Increase (Decrease) in payable on futures contracts

     —          312,649   

Increase (Decrease) in payable for offering costs

     —          (26,624
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (3,167,035     (10,490,159
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     30,364,906        28,130,004   

Payment on shares redeemed

     (27,245,818     (20,300,520
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     3,119,088        7,829,484   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (47,947     (2,660,675

Cash, beginning of period

     310,060        2,969,266   
  

 

 

   

 

 

 

Cash, end of period

   $ 262,113      $ 308,591   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 273,407       $ 175,194   

Segregated cash balances with brokers for futures contracts

     17,600         14,850   

Short-term U.S. government and agency obligations (Note 3) (cost $137,129,482 and $88,573,928, respectively)

     137,129,907         88,575,398   

Unrealized appreciation on forward agreements

     7,782,450         3,729,856   

Receivable on open futures contracts

     2,440         —     
  

 

 

    

 

 

 

Total assets

     145,205,804         92,495,298   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           3,980   

Management fee payable

     92,394         74,576   
  

 

 

    

 

 

 

Total liabilities

     92,394         78,556   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     145,113,410         92,416,742   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 145,205,804       $ 92,495,298   
  

 

 

    

 

 

 

Shares outstanding

     1,646,978         1,446,978   
  

 

 

    

 

 

 

Net asset value per share

   $ 88.11       $ 63.87   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 87.88       $ 62.60   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(94% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.052% due 10/03/13†

   $ 44,388,000       $ 44,387,965   

0.032% due 10/31/13†

     28,810,000         28,809,159   

0.019% due 12/05/13†

     20,905,000         20,904,812   

0.047% due 12/12/13†

     4,824,000         4,823,855   

0.018% due 02/06/14†

     25,134,000         25,132,660   

0.013% due 03/20/14

     13,073,000         13,071,456   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $137,129,482)

      $ 137,129,907   
     

 

 

 

Futures Contracts Sold††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Gold Futures - COMEX, expires December 2013

     2       $ 265,400       $ (9,400

Forward Agreements^

 

     Settlement Date    Commitment to
(Deliver)/Receive
    Notional Amount
at Value*
    Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold

   10/07/13    $ (121,700   $ (161,438,701   $ 4,474,464   

Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold

   10/07/13      (58,998     (78,262,617     1,765,604   

Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold

   10/07/13      (30,000     (39,795,900     935,071   

Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold

   10/07/13      (7,850     (10,413,261     607,311   
         

 

 

 
          $ 7,782,450   
         

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $17,600 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 13,065      $ 21,407      $ 48,373      $ 52,562   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     296,972        277,898        892,226        954,699   

Brokerage commissions

     8        8        32        33   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     296,980        277,906        892,258        954,732   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (283,915     (256,499     (843,885     (902,170
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     30,380        (1,600     95,800        38,100   

Forward agreements

     5,990,767        (10,988,696     39,666,864        (9,316,144

Short-term U.S. government and agency obligations

     2,788        383        3,993        1,226   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     6,023,935        (10,989,913     39,766,657        (9,276,818
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (50,640     (31,480     (24,640     (77,000

Forward agreements

     (44,003,240     (13,858,647     4,052,594        (42,496,500

Short-term U.S. government and agency obligations

     982        2,461        (1,045     8,985   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (44,052,898     (13,887,666     4,026,909        (42,564,515
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (38,028,963     (24,877,579     43,793,566        (51,841,333
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (38,312,878   $ (25,134,078   $ 42,949,681      $ (52,743,503
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 1)

   $ (27.99   $ (14.32   $ 27.46      $ (26.76
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     1,368,717        1,754,812        1,564,194        1,970,970   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 92,416,742   

Addition of 1,750,000 shares

     148,082,137   

Redemption of 1,550,000 shares

     (138,335,150
  

 

 

 

Net addition (redemption) of 200,000 shares

     9,746,987   
  

 

 

 

Net investment income (loss)

     (843,885

Net realized gain (loss)

     39,766,657   

Change in net unrealized appreciation/depreciation

     4,026,909   
  

 

 

 

Net income (loss)

     42,949,681   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 145,113,410   
  

 

 

 

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 42,949,681      $ (52,743,503

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (2,750     (455

Net sale (purchase) of short-term U.S. government and agency obligations

     (48,555,554     62,844,243   

Change in unrealized appreciation/depreciation on investments

     (4,051,549     42,487,515   

Decrease (Increase) in receivable on futures contracts

     (2,440     (1,320

Increase (Decrease) in management fee payable

     17,818        (47,596

Increase (Decrease) in payable on futures contracts

     (3,980     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (9,648,774     52,538,884   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     148,082,137        —     

Payment on shares redeemed

     (138,335,150     (52,764,851
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     9,746,987        (52,764,851
  

 

 

   

 

 

 

Net increase (decrease) in cash

     98,213        (225,967

Cash, beginning of period

     175,194        330,841   
  

 

 

   

 

 

 

Cash, end of period

   $ 273,407      $ 104,874   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 428,378       $ 344,378   

Segregated cash balances with brokers for futures contracts

     24,750         24,200   

Short-term U.S. government and agency obligations (Note 3) (cost $106,046,820 and $86,199,868, respectively)

     106,048,955         86,206,701   

Unrealized appreciation on forward agreements

     9,083,114         19,307,685   

Receivable on open futures contracts

     580         —     
  

 

 

    

 

 

 

Total assets

     115,585,777         105,882,964   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           5,138,116   

Payable on open futures contracts

     —           2,520   

Management fee payable

     84,701         85,625   
  

 

 

    

 

 

 

Total liabilities

     84,701         5,226,261   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     115,501,076         100,656,703   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 115,585,777       $ 105,882,964   
  

 

 

    

 

 

 

Shares outstanding

     1,508,489         1,958,489   
  

 

 

    

 

 

 

Net asset value per share

   $ 76.57       $ 51.40   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 76.49       $ 50.07   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(92% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.043% due 10/03/13

   $ 6,755,000       $ 6,754,994   

0.033% due 10/31/13†

     45,457,000         45,455,673   

0.047% due 12/12/13†

     7,370,000         7,369,779   

0.040% due 12/19/13†

     7,123,000         7,122,766   

0.033% due 12/26/13†

     6,031,000         6,030,856   

0.026% due 02/06/14†

     29,233,000         29,231,442   

0.025% due 03/13/14†

     4,084,000         4,083,445   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $106,046,820)

      $ 106,048,955   
     

 

 

 

Futures Contracts Sold††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Silver Futures - COMEX, expires December 2013

     2       $ 217,080       $ (2,180

Forward Agreements^

 

     Settlement Date    Commitment to
(Deliver)/Receive
    Notional Amount
at Value*
    Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver

   10/07/13    $ (5,467,000   $ (118,539,868   $ 5,461,114   

Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver

   10/07/13      (3,016,500     (65,406,166     1,249,680   

Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver

   10/07/13      (1,749,000     (37,923,217     1,810,591   

Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver

   10/07/13      (411,000     (8,911,631     561,729   
         

 

 

 
          $ 9,083,114   
         

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $24,750 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

 

23


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 8,580      $ 25,338      $ 47,626      $ 69,765   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     219,042        315,479        759,657        1,219,073   

Brokerage commissions

     8        8        32        33   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     219,050        315,487        759,689        1,219,106   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (210,470     (290,149     (712,063     (1,149,341
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     3,700        8,100        129,440        61,500   

Forward agreements

     5,999,781        (30,594,433     86,693,880        (27,269,372

Short-term U.S. government and agency obligations

     4,502        911        7,599        869   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     6,007,983        (30,585,422     86,830,919        (27,207,003
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (25,580     (77,050     (42,200     (125,870

Forward agreements

     (32,063,071     (36,484,084     (10,224,571     (57,492,979

Short-term U.S. government and agency obligations

     3,530        (270     (4,698     8,702   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (32,085,121     (36,561,404     (10,271,469     (57,610,147
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (26,077,138     (67,146,826     76,559,450        (84,817,150
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (26,287,608   $ (67,436,975   $ 75,847,387      $ (85,966,491
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 1)

   $ (23.75   $ (29.10   $ 46.96      $ (28.59
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     1,106,858        2,317,728        1,615,265        3,006,900   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 100,656,703   

Addition of 3,050,000 shares

     220,175,462   

Redemption of 3,500,000 shares

     (281,178,476
  

 

 

 

Net addition (redemption) of (450,000) shares

     (61,003,014
  

 

 

 

Net investment income (loss)

     (712,063

Net realized gain (loss)

     86,830,919   

Change in net unrealized appreciation/depreciation

     (10,271,469
  

 

 

 

Net income (loss)

     75,847,387   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 115,501,076   
  

 

 

 

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 75,847,387      $ (85,966,491

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (550     15,760   

Net sale (purchase) of short-term U.S. government and agency obligations

     (19,846,952     85,371,648   

Change in unrealized appreciation/depreciation on investments

     10,229,269        57,484,277   

Decrease (Increase) in receivable on futures contracts

     (580     —     

Increase (Decrease) in management fee payable

     (924     (94,337

Increase (Decrease) in payable on futures contracts

     (2,520     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     66,225,130        56,810,857   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     220,175,462        296,567,192   

Payment on shares redeemed

     (286,316,592     (353,503,290
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (66,141,130     (56,936,098
  

 

 

   

 

 

 

Net increase (decrease) in cash

     84,000        (125,241

Cash, beginning of period

     344,378        648,166   
  

 

 

   

 

 

 

Cash, end of period

   $ 428,378      $ 522,925   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 501,333       $ 302,359   

Segregated cash balances with brokers for futures contracts

     118,250         63,250   

Short-term U.S. government and agency obligations (Note 3) (cost $6,666,802 and $3,409,716, respectively)

     6,666,790         3,409,904   

Receivable on open futures contracts

     —           6,612   

Offering costs (Note 5)

     —           19,770   

Limitation by Sponsor

     —           2,145   
  

 

 

    

 

 

 

Total assets

     7,286,373         3,804,040   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     3,225         —     

Management fee payable

     5,758         —     

Payable for offering costs

     —           41,000   
  

 

 

    

 

 

 

Total liabilities

     8,983         41,000   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     7,277,390         3,763,040   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 7,286,373       $ 3,804,040   
  

 

 

    

 

 

 

Shares outstanding

     200,005         100,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 36.39       $ 37.63   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 36.41       $ 37.64   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(92% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.050% due 10/03/13

   $ 45,000       $ 45,000   

0.014% due 10/31/13

     2,884,000         2,883,916   

0.014% due 12/12/13

     3,136,000         3,135,906   

0.037% due 02/06/14

     602,000         601,968   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $6,666,802)

      $ 6,666,790   
     

 

 

 

Futures Contracts Sold††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Euro Fx Currency Futures - CME, expires December 2013

     43       $ 7,270,763       $ (141,094

 

†† Cash collateral in the amount of $118,250 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013, THE THREE MONTHS ENDED SEPTEMBER 30, 2012 AND THE PERIOD FROM JUNE 26, 2012 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO SEPTEMBER 30, 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    June 26, 2012
to
September 30,
2012
 

Investment Income

        

Interest

   $ 338      $ 641      $ 1,363      $ 641   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     16,080        —          16,573        —     

Brokerage commissions

     287        134        517        197   

Offering costs

     —          10,334        45,511        10,896   

Limitation by Sponsor

     —          (816     (28,232     (964
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     16,367        9,652        34,369        10,129   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (16,029     (9,011     (33,006     (9,488
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (39,024     (102,555     (114,962     (104,555

Short-term U.S. government and agency obligations

     15        (1     162        (1
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (39,009     (102,556     (114,800     (104,556
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (208,707     36,694        (86,038     (13,619

Short-term U.S. government and agency obligations

     (93     18        (200     18   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (208,800     36,712        (86,238     (13,601
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (247,809     (65,844     (201,038     (118,157
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (263,838   $ (74,855   $ (234,044   $ (127,645
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (1.46   $ (0.75   $ (1.84   $ (1.29
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     180,983        100,005        127,294        98,974   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,763,040   

Addition of 100,000 shares

     3,748,394   
  

 

 

 

Net investment income (loss)

     (33,006

Net realized gain (loss)

     (114,800

Change in net unrealized appreciation/depreciation

     (86,238
  

 

 

 

Net income (loss)

     (234,044
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 7,277,390   
  

 

 

 

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND THE PERIOD FROM JUNE 26, 2012 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO SEPTEMBER 30, 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    June 26, 2012 to
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (234,044   $ (127,645

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (55,000     (79,200

Net sale (purchase) of short-term U.S. government and agency obligations

     (3,257,086     (3,446,976

Change in unrealized appreciation/depreciation on investments

     200        (18

Decrease (Increase) in receivable on futures contracts

     6,612        (19,500

Decrease (Increase) in Limitation by Sponsor

     2,145        (964

Change in offering cost

     19,770        10,896   

Increase (Decrease) in management fee payable

     5,758        —     

Increase (Decrease) in payable on futures contracts

     3,225        —     

Increase (Decrease) in payable for offering costs

     (41,000     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (3,549,420     (3,663,407
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,748,394        4,000,000   
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     3,748,394        4,000,000   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     198,974        336,593   

Cash, beginning of period

     302,359        200   
  

 

 

   

 

 

 

Cash, end of period

   $ 501,333      $ 336,793   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 972,741       $ 361,157   

Segregated cash balances with brokers for futures contracts

     1,044,747         144,540   

Short-term U.S. government and agency obligations (Note 3) (cost $22,015,646 and $3,302,725, respectively)

     22,016,137         3,302,907   

Offering costs (Note 5)

     —           22,129   

Limitation by Sponsor

     —           2,216   
  

 

 

    

 

 

 

Total assets

     24,033,625         3,832,949   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     36,330         10,950   

Management fee payable

     19,068         —     

Payable for offering costs

     —           41,000   
  

 

 

    

 

 

 

Total liabilities

     55,398         51,950   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     23,978,227         3,780,999   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 24,033,625       $ 3,832,949   
  

 

 

    

 

 

 

Shares outstanding

     550,005         100,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 43.60       $ 37.81   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 43.54       $ 37.74   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(92% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.030% due 10/03/13

   $ 1,343,000       $ 1,342,999   

0.036% due 10/31/13

     620,000         619,982   

0.019% due 12/12/13

     10,660,000         10,659,680   

0.040% due 12/19/13

     2,583,000         2,582,915   

0.037% due 12/26/13

     1,980,000         1,979,953   

0.034% due 02/06/14

     3,200,000         3,199,829   

0.018% due 03/13/14

     1,631,000         1,630,779   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $22,015,646)

      $ 22,016,137   
     

 

 

 

Futures Contracts Sold††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Australian Dollar Fx Currency Futures - CME, expires December 2013

     519       $ 48,158,010       $ (466,612

 

†† Cash collateral in the amount of $1,044,747 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND THE PERIOD FROM JULY 17, 2012 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO SEPTEMBER 30, 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2013
    July 17, 2012
to
September 30,
2012*
 

Investment Income

      

Interest

   $ 1,790      $ 3,399      $ 586   
  

 

 

   

 

 

   

 

 

 

Expenses

      

Management fee

     47,611        47,611        —     

Brokerage commissions

     4,057        7,836        605   

Offering costs

     2,926        47,870        8,537   

Limitation by Sponsor

     —          (1,259     (1,012

Reduction to Limitation by Sponsor

     6,817        —          —     
  

 

 

   

 

 

   

 

 

 

Total expenses

     61,411        102,058        8,130   
  

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (59,621     (98,659     (7,544
  

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

      

Net realized gain (loss) on

      

Futures contracts

     389,254        2,294,351        (123,485

Short-term U.S. government and agency obligations

     156        317        (2
  

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     389,410        2,294,668        (123,487
  

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

      

Futures contracts

     (1,865,253     (552,202     1,140   

Short-term U.S. government and agency obligations

     535        309        17   
  

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (1,864,718     (551,893     1,157   
  

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (1,475,308     1,742,775        (122,330
  

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (1,534,929   $ 1,644,116      $ (129,874
  

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (2.94   $ 5.43      $ (1.32
  

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     522,831        302,935        98,689   
  

 

 

   

 

 

   

 

 

 

 

* Since the Fund commenced investment operations on July 17, 2012, the Statement of Operations for the nine months ended September 30, 2012 has not been provided.

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,780,999   

Addition of 450,000 shares

     18,553,112   
  

 

 

 

Net investment income (loss)

     (98,659

Net realized gain (loss)

     2,294,668   

Change in net unrealized appreciation/depreciation

     (551,893
  

 

 

 

Net income (loss)

     1,644,116   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 23,978,227   
  

 

 

 

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND THE PERIOD FROM JULY 17, 2012 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO SEPTEMBER 30, 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    July 17, 2012 to
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 1,644,116      $ (129,874

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (900,207     (206,250

Net sale (purchase) of short-term U.S. government and agency obligations

     (18,712,921     (3,302,978

Change in unrealized appreciation/depreciation on investments

     (309     (17

Decrease (Increase) in receivable on futures contracts

     —          (51,288

Decrease (Increase) in Limitation by Sponsor

     2,216        (1,012

Change in offering cost

     22,129        8,537   

Increase (Decrease) in management fee payable

     19,068        —     

Increase (Decrease) in payable on futures contracts

     25,380        —     

Increase (Decrease) in payable for offering costs

     (41,000     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (17,941,528     (3,682,882
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     18,553,112        4,000,000   
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     18,553,112        4,000,000   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     611,584        317,118   

Cash, beginning of period

     361,157        200   
  

 

 

   

 

 

 

Cash, end of period

   $ 972,741      $ 317,318   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 241,121       $ 276,372   

Short-term U.S. government and agency obligations (Note 3) (cost $482,813,582 and $553,417,216, respectively)

     482,820,998         553,430,562   

Unrealized appreciation on foreign currency forward contracts

     1,643,765         251,047   
  

 

 

    

 

 

 

Total assets

     484,705,884         553,957,981   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           13,282,209   

Management fee payable

     370,009         499,127   

Unrealized depreciation on foreign currency forward contracts

     27,575,831         13,398,619   
  

 

 

    

 

 

 

Total liabilities

     27,945,840         27,179,955   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     456,760,044         526,778,026   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 484,705,884       $ 553,957,981   
  

 

 

    

 

 

 

Shares outstanding

     25,750,014         27,700,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 17.74       $ 19.02   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 17.75       $ 19.01   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(106% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.049% due 10/03/13

   $ 22,750,000       $ 22,749,982   

0.041% due 10/31/13†

     207,300,000         207,293,947   

0.019% due 12/05/13†

     232,904,000         232,901,904   

0.019% due 12/12/13†

     9,649,000         9,648,710   

0.021% due 02/06/14†

     10,227,000         10,226,455   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $482,813,582)

      $ 482,820,998   
     

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date    Local Currency     Notional Amount
at Value (USD)
    Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

         

Euro with Goldman Sachs International

   10/04/13      59,619,300      $ 80,653,379      $ 1,060,483   

Euro with UBS AG

   10/04/13      44,376,200        60,032,413        583,282   
         

 

 

 
          $ 1,643,765   
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

   10/04/13      (395,033,825   $ (534,404,339   $ (13,695,213

Euro with UBS AG

   10/04/13      (385,179,200     (521,072,938     (13,880,618
         

 

 

 
          $ (27,575,831
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 39,032      $ 160,447      $ 179,135      $ 359,466   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,169,113        2,052,823        3,553,447        6,345,979   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,169,113        2,052,823        3,553,447        6,345,979   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,130,081     (1,892,376     (3,374,312     (5,986,513
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (8,625,860     (14,572,815     (19,722,590     106,381,285   

Short-term U.S. government and agency obligations

     2,718        (442     7,137        (877
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (8,623,142     (14,573,257     (19,715,453     106,380,408   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (30,678,790     (12,582,909     (12,784,494     (102,605,174

Short-term U.S. government and agency obligations

     17,665        744        (5,930     50,098   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (30,661,125     (12,582,165     (12,790,424     (102,555,076
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (39,284,267     (27,155,422     (32,505,877     3,825,332   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (40,414,348   $ (29,047,798   $ (35,880,189   $ (2,161,181
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (1.53   $ (0.72   $ (1.36   $ (0.05
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     26,331,536        40,283,166        26,459,721        43,594,175   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 526,778,026   

Addition of 6,250,000 shares

     119,076,233   

Redemption of 8,200,000 shares

     (153,214,026
  

 

 

 

Net addition (redemption) of (1,950,000) shares

     (34,137,793
  

 

 

 

Net investment income (loss)

     (3,374,312

Net realized gain (loss)

     (19,715,453

Change in net unrealized appreciation/depreciation

     (12,790,424
  

 

 

 

Net income (loss)

     (35,880,189
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 456,760,044   
  

 

 

 

See accompanying notes to financial statements.

 

40


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (35,880,189   $ (2,161,181

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Net sale (purchase) of short-term U.S. government and agency obligations

     70,603,634        220,067,988   

Change in unrealized appreciation/depreciation on investments

     12,790,424        102,555,076   

Increase (Decrease) in management fee payable

     (129,118     (242,729
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     47,384,751        320,219,154   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     119,076,233        254,964,609   

Payment on shares redeemed

     (166,496,235     (574,890,311
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (47,420,002     (319,925,702
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (35,251     293,452   

Cash, beginning of period

     276,372        102,088   
  

 

 

   

 

 

 

Cash, end of period

   $ 241,121      $ 395,540   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 475,539       $ 363,826   

Short-term U.S. government and agency obligations (Note 3) (cost $475,703,032 and $362,731,936, respectively)

     475,704,411         362,743,231   

Unrealized appreciation on foreign currency forward contracts

     793,507         38,346,817   

Receivable from capital shares sold

     —           7,613,633   
  

 

 

    

 

 

 

Total assets

     476,973,457         409,067,507   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     378,269         271,235   

Unrealized depreciation on foreign currency forward contracts

     13,313,050         232,642   
  

 

 

    

 

 

 

Total liabilities

     13,691,319         503,877   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     463,282,138         408,563,630   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 476,973,457       $ 409,067,507   
  

 

 

    

 

 

 

Shares outstanding

     7,449,294         8,049,294   
  

 

 

    

 

 

 

Net asset value per share

   $ 62.19       $ 50.76   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 62.23       $ 50.77   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(103% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.044% due 10/03/13

   $ 83,949,000       $ 83,948,933   

0.039% due 10/31/13†

     23,268,000         23,267,320   

0.016% due 12/12/13†

     334,713,000         334,702,959   

0.021% due 02/06/14†

     33,787,000         33,785,199   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $475,703,032)

      $ 475,704,411   
     

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date    Local Currency     Notional Amount
at Value (USD)
    Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

         

Yen with Goldman Sachs International

   10/04/13      10,842,832,400      $ 110,305,446      $ 718,095   

Yen with UBS AG

   10/04/13      4,202,410,900        42,751,635        75,412   
         

 

 

 
          $ 793,507   
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

   10/04/13      (56,007,835,200   $ (569,774,484   $ (7,048,993

Yen with UBS AG

   10/04/13      (50,043,376,200     (509,097,321     (6,264,057
         

 

 

 
          $ (13,313,050
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 40,839      $ 41,475      $ 171,429      $ 104,677   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,205,676        537,172        3,450,237        1,699,389   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,205,676        537,172        3,450,237        1,699,389   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,164,837     (495,697     (3,278,808     (1,594,712
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (5,693,424     (4,756,665     139,331,278        5,696,143   

Short-term U.S. government and agency obligations

     1,031        205        5,849        897   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (5,692,393     (4,756,460     139,337,127        5,697,040   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (8,391,457     (6,717,569     (50,633,718     1,720,295   

Short-term U.S. government and agency obligations

     (44     1,760        (9,916     9,826   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (8,391,501     (6,715,809     (50,643,634     1,730,121   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (14,083,894     (11,472,269     88,693,493        7,427,161   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (15,248,731   $ (11,967,966   $ 85,414,685      $ 5,832,449   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (1.92   $ (2.24   $ 10.85      $ 1.05   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     7,957,990        5,349,294        7,874,019        5,542,177   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 408,563,630   

Addition of 4,300,000 shares

     272,070,096   

Redemption of 4,900,000 shares

     (302,766,273
  

 

 

 

Net addition (redemption) of (600,000) shares

     (30,696,177
  

 

 

 

Net investment income (loss)

     (3,278,808

Net realized gain (loss)

     139,337,127   

Change in net unrealized appreciation/depreciation

     (50,643,634
  

 

 

 

Net income (loss)

     85,414,685   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 463,282,138   
  

 

 

 

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 85,414,685      $ 5,832,449   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Net sale (purchase) of short-term U.S. government and agency obligations

     (112,971,096     (12,529,606

Change in unrealized appreciation/depreciation on investments

     50,643,634        (1,730,121

Increase (Decrease) in management fee payable

     107,034        (1,421
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     23,194,257        (8,428,699
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     279,683,729        146,771,879   

Payment on shares redeemed

     (302,766,273     (138,310,736
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (23,082,544     8,461,143   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     111,713        32,444   

Cash, beginning of period

     363,826        22,338   
  

 

 

   

 

 

 

Cash, end of period

   $ 475,539      $ 54,782   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 124,557       $ 167,546   

Short-term U.S. government and agency obligations (Note 3) (cost $4,107,812 and $6,240,818, respectively)

     4,107,868         6,240,951   
  

 

 

    

 

 

 

Total assets

     4,232,425         6,408,497   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     3,225         5,018   

Unrealized depreciation on swap agreements

     237,372         306,268   
  

 

 

    

 

 

 

Total liabilities

     240,597         311,286   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,991,828         6,097,211   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 4,232,425       $ 6,408,497   
  

 

 

    

 

 

 

Shares outstanding

     200,014         250,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 19.96       $ 24.39   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 19.92       $ 23.93   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(103% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.050% due 10/03/13†

   $ 520,000       $ 520,000   

0.050% due 10/31/13†

     1,396,000         1,395,959   

0.014% due 12/12/13†

     1,115,000         1,114,966   

0.026% due 02/06/14

     1,077,000         1,076,943   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $4,107,812)

      $ 4,107,868   
     

 

 

 

Swap Agreements^

 

     Termination Date    Notional Amount
at Value*
     Unrealized
Appreciation
(Depreciation)
 

Swap agreement with Deutsche Bank AG based on Dow Jones-UBS Commodity Index

   10/07/13    $ 2,467,834       $ (73,556

Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index

   10/07/13      3,803,041         (113,209

Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index

   10/07/13      1,697,422         (50,607
        

 

 

 
         $ (237,372
        

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 395      $ 1,472      $ 1,809      $ 3,401   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     9,770        21,020        32,386        62,966   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     9,770        21,020        32,386        62,966   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (9,375     (19,548     (30,577     (59,565
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     (85,078     1,946,086        (868,053     (234,500

Short-term U.S. government and agency obligations

     11        (7     41        (7
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (85,067     1,946,079        (868,012     (234,507
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     233,903        (418,834     68,896        974,662   

Short-term U.S. government and agency obligations

     40        278        (77     586   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     233,943        (418,556     68,819        975,248   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     148,876        1,527,523        (799,193     740,741   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 139,501      $ 1,507,975      $ (829,770   $ 681,176   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 0.70      $ 4.53      $ (4.03   $ 1.98   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     200,014        333,166        205,692        344,357   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 6,097,211   

Redemption of 50,000 shares

     (1,275,613
  

 

 

 

Net investment income (loss)

     (30,577

Net realized gain (loss)

     (868,012

Change in net unrealized appreciation/depreciation

     68,819   
  

 

 

 

Net income (loss)

     (829,770
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 3,991,828   
  

 

 

 

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (829,770   $ 681,176   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Net sale (purchase) of short-term U.S. government and agency obligations

     2,133,006        1,812,451   

Change in unrealized appreciation/depreciation on investments

     (68,819     (975,248

Increase (Decrease) in management fee payable

     (1,793     (958
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,232,624        1,517,421   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     (1,275,613     (1,338,727
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,275,613     (1,338,727
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (42,989     178,694   

Cash, beginning of period

     167,546        59,453   
  

 

 

   

 

 

 

Cash, end of period

   $ 124,557      $ 238,147   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 685,206       $ 2,198,932   

Segregated cash balances with brokers for futures contracts

     4,929,430         23,356,627   

Short-term U.S. government and agency obligations (Note 3) (cost $136,392,465 and $437,644,628, respectively)

     136,394,297         437,662,650   

Unrealized appreciation on swap agreements

     —           33,333,620   

Receivable from capital shares sold

     6,943,327         —     

Receivable on open futures contracts

     —           3,430,415   
  

 

 

    

 

 

 

Total assets

     148,952,260         499,982,244   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           16,071,243   

Payable on open futures contracts

     772,970         —     

Management fee payable

     109,485         402,037   

Unrealized depreciation on swap agreements

     10,995,019         —     
  

 

 

    

 

 

 

Total liabilities

     11,877,474         16,473,280   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     137,074,786         483,508,964   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 148,952,260       $ 499,982,244   
  

 

 

    

 

 

 

Shares outstanding

     3,949,170         16,449,170   
  

 

 

    

 

 

 

Net asset value per share

   $ 34.71       $ 29.39   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 34.73       $ 29.32   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(100% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.038% due 10/03/13†

   $ 8,765,000       $ 8,764,993   

0.019% due 10/31/13†

     4,253,000         4,252,876   

0.021% due 11/21/13†

     71,041,000         71,038,990   

0.025% due 12/05/13†

     2,257,000         2,256,980   

0.045% due 12/12/13†

     1,266,000         1,265,962   

0.045% due 12/19/13

     1,725,000         1,724,943   

0.033% due 12/26/13†

     2,164,000         2,163,948   

0.023% due 02/06/14†

     44,928,000         44,925,605   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $136,392,465)

      $ 136,394,297   
     

 

 

 

Futures Contracts Purchased††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Crude Oil - NYMEX, expires November 2013

     1,093       $ 111,846,690       $ (2,710,766

Swap Agreements^

 

     Termination Date    Notional Amount
at Value*
     Unrealized
Appreciation
(Depreciation)
 

Swap agreement with Deutsche Bank AG based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13    $ 46,973,928       $ (2,428,302

Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13      45,742,000         (3,504,152

Swap agreement with Societe Generale S.A. based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13      25,106,915         (1,910,928

Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index

   10/07/13      44,514,417         (3,151,637
        

 

 

 
         $ (10,995,019
        

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
†† Cash collateral in the amount of $4,929,430 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index

See accompanying notes to financial statements.

 

53


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 13,828      $ 63,544      $ 115,731      $ 126,796   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     391,381        914,474        1,902,343        2,267,600   

Brokerage commissions

     5,957        17,756        44,268        51,677   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     397,338        932,230        1,946,611        2,319,277   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (383,510     (868,686     (1,830,880     (2,192,481
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     14,935,152        39,863,006        58,472,792        (3,106,383

Swap agreements

     38,653,932        53,732,254        82,414,286        85,922   

Short-term U.S. government and agency obligations

     2,220        1,157        11,070        3,970   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     53,591,304        93,596,417        140,898,148        (3,016,491
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (3,023,114     (15,276,450     (24,671,176     (3,775,100

Swap agreements

     (15,181,493     (17,443,924     (44,328,639     (3,473,334

Short-term U.S. government and agency obligations

     (157     (123     (16,190     19,991   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (18,204,764     (32,720,497     (69,016,005     (7,228,443
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     35,386,540        60,875,920        71,882,143        (10,244,934
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 35,003,030      $ 60,007,234      $ 70,051,263      $ (12,437,415
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 7.77      $ 4.94      $ 8.11      $ (1.35
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     4,506,235        12,151,344        8,637,082        9,201,542   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 483,508,964   

Addition of 7,700,000 shares

     219,201,551   

Redemption of 20,200,000 shares

     (635,686,992
  

 

 

 

Net addition (redemption) of (12,500,000) shares

     (416,485,441
  

 

 

 

Net investment income (loss)

     (1,830,880

Net realized gain (loss)

     140,898,148   

Change in net unrealized appreciation/depreciation

     (69,016,005
  

 

 

 

Net income (loss)

     70,051,263   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 137,074,786   
  

 

 

 

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 70,051,263      $ (12,437,415

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     18,427,197        (3,115,277

Net sale (purchase) of short-term U.S. government and agency obligations

     301,252,163        (119,232,604

Change in unrealized appreciation/depreciation on investments

     44,344,829        3,453,343   

Decrease (Increase) in receivable on futures contracts

     3,430,415        (1,043,668

Increase (Decrease) in management fee payable

     (292,552     51,287   

Increase (Decrease) in payable on futures contracts

     772,970        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     437,986,285        (132,324,334
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     212,258,224        591,617,005   

Payment on shares redeemed

     (651,758,235     (459,048,365
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (439,500,011     132,568,640   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,513,726     244,306   

Cash, beginning of period

     2,198,932        495,671   
  

 

 

   

 

 

 

Cash, end of period

   $ 685,206      $ 739,977   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 3,961,056       $ 3,385,764   

Segregated cash balances with brokers for futures contracts

     12,222,210         10,264,090   

Short-term U.S. government and agency obligations (Note 3) (cost $75,236,739 and $64,312,441, respectively)

     75,238,008         64,313,224   

Receivable from capital shares sold

     4,838,992         —     
  

 

 

    

 

 

 

Total assets

     96,260,266         77,963,078   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,999,143         4,891,783   

Management fee payable

     71,955         51,925   
  

 

 

    

 

 

 

Total liabilities

     2,071,098         4,943,708   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     94,189,168         73,019,370   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 96,260,266       $ 77,963,078   
  

 

 

    

 

 

 

Shares outstanding

     2,919,941         1,869,941   
  

 

 

    

 

 

 

Net asset value per share

   $ 32.26       $ 39.05   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 32.18       $ 39.24   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(80% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.039% due 10/03/13

   $ 5,406,000       $ 5,405,996   

0.030% due 10/31/13

     28,257,000         28,256,175   

0.025% due 12/05/13

     1,984,000         1,983,982   

0.045% due 12/12/13

     6,718,000         6,717,798   

0.036% due 12/19/13

     4,966,000         4,965,837   

0.034% due 12/26/13

     3,632,000         3,631,913   

0.026% due 02/06/14

     19,439,000         19,437,964   

0.018% due 03/13/14

     4,839,000         4,838,343   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $75,236,739)

      $ 75,238,008   
     

 

 

 

Futures Contracts Purchased ††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Natural Gas - NYMEX, expires November 2013

     5,291       $ 188,359,600       $ 3,434,395   

 

†† Cash collateral in the amount of $12,222,210 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

58


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 5,794      $ 9,896      $ 22,420      $ 18,894   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     188,763        137,754        458,553        260,956   

Brokerage commissions

     31,168        31,584        87,565        90,703   

Offering costs

     —          17,694        —          63,342   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     219,931        187,032        546,118        415,001   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (214,137     (177,136     (523,698     (396,107
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (14,491,916     20,880,016        410,025        (5,782,759

Short-term U.S. government and agency obligations

     1,729        451        5,506        1,705   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (14,490,187     20,880,467        415,531        (5,781,054
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     9,380,633        (5,822,190     7,251,345        13,594,580   

Short-term U.S. government and agency obligations

     2,201        (319     486        1,575   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     9,382,834        (5,822,509     7,251,831        13,596,155   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (5,107,353     15,057,958        7,667,362        7,815,101   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (5,321,490   $ 14,880,822      $ 7,143,664      $ 7,418,994   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 1)

   $ (2.33   $ 10.27      $ 4.27      $ 7.15   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     2,285,158        1,448,274        1,671,223        1,037,473   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 73,019,370   

Addition of 3,750,000 shares

     134,247,069   

Redemption of 2,700,000 shares

     (120,220,935
  

 

 

 

Net addition (redemption) of 1,050,000 shares

     14,026,134   
  

 

 

 

Net investment income (loss)

     (523,698

Net realized gain (loss)

     415,531   

Change in net unrealized appreciation/depreciation

     7,251,831   
  

 

 

 

Net income (loss)

     7,143,664   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 94,189,168   
  

 

 

 

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 7,143,664      $ 7,418,994   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (1,958,120     (10,458,841

Net sale (purchase) of short-term U.S. government and agency obligations

     (10,924,298     (65,921,169

Change in unrealized appreciation/depreciation on investments

     (486     (1,575

Decrease (Increase) in receivable on futures contracts

     —          (2,218,701

Change in offering cost

     —          19,574   

Increase (Decrease) in management fee payable

     20,030        54,666   

Increase (Decrease) in payable on futures contracts

     (2,892,640     —     

Increase (Decrease) in payable for offering costs

     —          (26,624
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (8,611,850     (71,133,676
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     129,408,077        97,320,934   

Payment on shares redeemed

     (120,220,935     (26,076,573
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     9,187,142        71,244,361   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     575,292        110,685   

Cash, beginning of period

     3,385,764        3,361,868   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,961,056      $ 3,472,553   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 191,886       $ 342,345   

Segregated cash balances with brokers for futures contracts

     17,600         14,850   

Short-term U.S. government and agency obligations (Note 3) (cost $189,665,568 and $350,608,755, respectively)

     189,669,408         350,624,904   

Receivable on open futures contracts

     —           3,980   
  

 

 

    

 

 

 

Total assets

     189,878,894         350,986,079   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     2,440         —     

Management fee payable

     140,211         279,269   

Unrealized depreciation on forward agreements

     17,189,960         15,652,058   
  

 

 

    

 

 

 

Total liabilities

     17,332,611         15,931,327   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     172,546,283         335,054,752   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 189,878,894       $ 350,986,079   
  

 

 

    

 

 

 

Shares outstanding

     3,400,014         4,000,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 50.75       $ 83.76   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 50.86       $ 85.34   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(110% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.045% due 10/03/13†

   $ 58,602,000       $ 58,601,953   

0.048% due 10/31/13†

     39,951,000         39,949,834   

0.043% due 11/21/13†

     10,530,000         10,529,702   

0.014% due 12/12/13†

     2,804,000         2,803,916   

0.045% due 12/19/13

     15,428,000         15,427,492   

0.023% due 02/06/14†

     59,813,000         59,809,812   

0.042% due 03/20/14†

     2,547,000         2,546,699   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $189,665,568)

      $ 189,669,408   
     

 

 

 

Futures Contracts Purchased††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Gold Futures - COMEX, expires December 2013

     2       $ 265,400       $ 9,420   

Forward Agreements^

 

     Settlement Date    Commitment to
(Deliver)/Receive
     Notional Amount
at Value*
     Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold

   10/07/13    $ 142,200       $ 188,632,566       $ (9,410,748

Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold

   10/07/13      66,620         88,373,429         (4,079,114

Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold

   10/07/13      34,900         46,295,897         (2,180,790

Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold

   10/07/13      16,200         21,489,786         (1,519,308
           

 

 

 
            $ (17,189,960
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $17,600 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

 

63


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 18,099      $ 62,437      $ 118,967      $ 151,337   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     409,677        825,270        1,692,282        2,546,445   

Brokerage commissions

     8        8        32        33   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     409,685        825,278        1,692,314        2,546,478   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (391,586     (762,841     (1,573,347     (2,395,141
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (30,400     1,600        (95,940     (37,880

Forward agreements

     (5,880,490     23,187,603        (124,238,804     (27,034,257

Short-term U.S. government and agency obligations

     3,048        1,030        11,545        1,664   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (5,907,842     23,190,233        (124,323,199     (27,070,473
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     50,680        31,360        24,660        76,780   

Forward agreements

     36,515,444        47,286,260        (1,537,902     111,479,069   

Short-term U.S. government and agency obligations

     6,673        5,738        (12,309     17,402   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     36,572,797        47,323,358        (1,525,551     111,573,251   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     30,664,955        70,513,591        (125,848,750     84,502,778   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 30,273,369      $ 69,750,750      $ (127,422,097   $ 82,107,637   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 9.07      $ 17.08      $ (34.81   $ 19.69   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     3,338,057        4,083,166        3,661,003        4,169,722   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 335,054,752   

Addition of 550,000 shares

     30,696,013   

Redemption of 1,150,000 shares

     (65,782,385
  

 

 

 

Net addition (redemption) of (600,000) shares

     (35,086,372
  

 

 

 

Net investment income (loss)

     (1,573,347

Net realized gain (loss)

     (124,323,199

Change in net unrealized appreciation/depreciation

     (1,525,551
  

 

 

 

Net income (loss)

     (127,422,097
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 172,546,283   
  

 

 

 

See accompanying notes to financial statements.

 

65


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (127,422,097   $ 82,107,637   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (2,750     6,045   

Net sale (purchase) of short-term U.S. government and agency obligations

     160,943,187        41,103,492   

Change in unrealized appreciation/depreciation on investments

     1,550,211        (111,496,471

Decrease (Increase) in receivable on futures contracts

     3,980        540   

Increase (Decrease) in management fee payable

     (139,058     (12,934

Increase (Decrease) in payable on futures contracts

     2,440        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     34,935,913        11,708,309   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     30,696,013        57,677,607   

Payment on shares redeemed

     (65,782,385     (69,697,699
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (35,086,372     (12,020,092
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (150,459     (311,783

Cash, beginning of period

     342,345        400,533   
  

 

 

   

 

 

 

Cash, end of period

   $ 191,886      $ 88,750   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 635,419       $ 890,051   

Segregated cash balances with brokers for futures contracts

     24,750         24,200   

Short-term U.S. government and agency obligations (Note 3) (cost $633,826,597 and $891,006,493, respectively)

     633,827,603         891,057,386   

Receivable from capital shares sold

     —           2,148,957   

Receivable on open futures contracts

     —           2,520   
  

 

 

    

 

 

 

Total assets

     634,487,772         894,123,114   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,780         —     

Management fee payable

     473,214         657,008   

Unrealized depreciation on forward agreements

     80,087,349         145,740,706   
  

 

 

    

 

 

 

Total liabilities

     80,562,343         146,397,714   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     553,925,429         747,725,400   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 634,487,772       $ 894,123,114   
  

 

 

    

 

 

 

Shares outstanding

     27,600,028         17,400,028   
  

 

 

    

 

 

 

Net asset value per share

   $ 20.07       $ 42.97   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 20.05       $ 44.10   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(114% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.045% due 10/03/13

   $ 198,112,000       $ 198,111,841   

0.045% due 10/31/13

     102,670,000         102,667,002   

0.022% due 11/21/13†

     122,401,000         122,397,536   

0.025% due 12/05/13†

     3,352,000         3,351,970   

0.043% due 12/19/13†

     18,706,000         18,705,385   

0.033% due 12/26/13

     1,299,000         1,298,969   

0.012% due 02/06/14†

     185,512,000         185,502,112   

0.042% due 03/20/14

     1,793,000         1,792,788   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $633,826,597)

      $ 633,827,603   
     

 

 

 

Futures Contracts Purchased††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Silver Futures - COMEX, expires December 2013

     2       $ 217,080       $ 2,180   

Forward Agreements^

 

     Settlement
Date
   Commitment to
(Deliver)/Receive
     Notional Amount
at Value*
     Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver

   10/07/13    $ 27,698,000       $ 600,570,194       $ (40,058,378

Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver

   10/07/13      12,282,800         266,325,496         (24,037,958

Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver

   10/07/13      8,168,000         177,105,110         (11,898,455

Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver

   10/07/13      2,935,000         63,639,018         (4,092,558
           

 

 

 
            $ (80,087,349
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $24,750 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

 

68


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 51,513      $ 136,002      $ 313,406      $ 313,266   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,317,246        1,795,410        4,410,160        5,416,759   

Brokerage commissions

     8        9        28        38   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,317,254        1,795,419        4,410,188        5,416,797   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,265,741     (1,659,417     (4,096,782     (5,103,531
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (3,850     (8,250     (129,994     (66,550

Forward agreements

     28,403,922        159,551,951        (509,769,205     (51,676,872

Short-term U.S. government and agency obligations

     5,757        167        28,868        3,218   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     28,405,829        159,543,868        (509,870,331     (51,740,204
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     25,680        77,050        42,200        125,770   

Forward agreements

     96,463,510        205,570,169        65,653,357        269,567,970   

Short-term U.S. government and agencyobligations

     4,593        7,110        (49,887     33,736   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealizedappreciation/depreciation

     96,493,783        205,654,329        65,645,670        269,727,476   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     124,899,612        365,198,197        (444,224,661     217,987,272   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 123,633,871      $ 363,538,780      $ (448,321,443   $ 212,883,741   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 4.48      $ 21.31      $ (19.74   $ 13.40   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     27,610,354        17,063,071        22,709,918        15,891,269   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

69


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 747,725,400   

Addition of 13,550,000 shares

     333,745,816   

Redemption of 3,350,000 shares

     (79,224,344
  

 

 

 

Net addition (redemption) of 10,200,000 shares

     254,521,472   
  

 

 

 

Net investment income (loss)

     (4,096,782

Net realized gain (loss)

     (509,870,331

Change in net unrealized appreciation/depreciation

     65,645,670   
  

 

 

 

Net income (loss)

     (448,321,443
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 553,925,429   
  

 

 

 

See accompanying notes to financial statements.

 

70


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (448,321,443   $ 212,883,741   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (550     18,210   

Net sale (purchase) of short-term U.S. government and agency obligations

     257,179,896        (128,635,476

Change in unrealized appreciation/depreciation on investments

     (65,603,470     (269,601,706

Decrease (Increase) in receivable on futures contracts

     2,520        6,000   

Increase (Decrease) in management fee payable

     (183,794     142,746   

Increase (Decrease) in payable on futures contracts

     1,780        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (256,925,061     (185,186,485
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     335,894,773        373,543,705   

Payment on shares redeemed

     (79,224,344     (188,772,194
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     256,670,429        184,771,511   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (254,632     (414,974

Cash, beginning of period

     890,051        772,442   
  

 

 

   

 

 

 

Cash, end of period

   $ 635,419      $ 357,468   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

71


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 277,991       $ 426,634   

Segregated cash balances with brokers for futures contracts

     148,962         158,400   

Short-term U.S. government and agency obligations (Note 3) (cost $2,999,882 and $3,570,687, respectively)

     2,999,904         3,570,894   

Receivable on open futures contracts

     5,180         12,000   

Offering costs (Note 5)

     —           22,128   

Limitation by Sponsor

     —           1,012   
  

 

 

    

 

 

 

Total assets

     3,432,037         4,191,068   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,639         —     

Payable for offering costs

     —           41,000   
  

 

 

    

 

 

 

Total liabilities

     2,639         41,000   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,429,398         4,150,068   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,432,037       $ 4,191,068   
  

 

 

    

 

 

 

Shares outstanding

     100,005         100,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 34.29       $ 41.50   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 34.35       $ 41.45   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

72


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(87% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.032% due 10/31/13

   $ 234,000       $ 233,993   

0.019% due 12/12/13

     2,509,000         2,508,925   

0.018% due 02/06/14

     257,000         256,986   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $2,999,882)

      $ 2,999,904   
     

 

 

 

Futures Contracts Purchased††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

Australian Dollar Fx Currency Futures - CME, expires December 2013

     74       $ 6,866,460       $ 70,124   

 

†† Cash collateral in the amount of $148,962 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

73


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND THE PERIOD FROM JULY 17, 2012 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO SEPTEMBER 30, 2012

(unaudited)

 

     Three months
ended
September 30,

2013
    Nine months
ended
September 30,
2013
    July 17, 2012 to
September 30,
2012*
 

Investment Income

      

Interest

   $ 242      $ 1,312      $ 618   
  

 

 

   

 

 

   

 

 

 

Expenses

      

Management fee

     6,535        6,535        —     

Brokerage commissions

     394        1,171        556   

Offering costs

     2,926        47,870        8,537   

Limitation by Sponsor

     (1,572     (27,636     (522
  

 

 

   

 

 

   

 

 

 

Total expenses

     8,283        27,940        8,571   
  

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,041     (26,628     (7,953
  

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

      

Net realized gain (loss) on

      

Futures contracts

     (123,128     (863,033     99,030   

Short-term U.S. government and agency obligations

     7        22        (1
  

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (123,121     (863,011     99,029   
  

 

 

   

 

 

   

 

 

 

Change in net unrealizedappreciation/depreciation on

      

Futures contracts

     277,231        169,154        (1,930

Short-term U.S. government and agency obligations

     (67     (185     27   
  

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     277,164        168,969        (1,903
  

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     154,043        (694,042     97,126   
  

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 146,002      $ (720,670   $ 89,173   
  

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 1.46      $ (7.21   $ 0.90   
  

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     100,005        100,005        98,689   
  

 

 

   

 

 

   

 

 

 

 

* Since the Fund commenced investment operations on July 17, 2012, the Statement of Operations for the nine months ended September 30, 2012 has not been provided.

See accompanying notes to financial statements.

 

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PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 4,150,068   

Net investment income (loss)

     (26,628

Net realized gain (loss)

     (863,011

Change in net unrealized appreciation/depreciation

     168,969   
  

 

 

 

Net income (loss)

     (720,670
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 3,429,398   
  

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND THE PERIOD FROM JULY 17, 2012

(COMMENCEMENT OF INVESTMENT OPERATIONS) TO SEPTEMBER 30, 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    July 17, 2012 to
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (720,670   $ 89,173   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     9,438        (217,250

Net sale (purchase) of short-term U.S. government and agency obligations

     570,805        (3,463,947

Change in unrealized appreciation/depreciation on investments

     185        (27

Decrease (Increase) in receivable on futures contracts

     6,820        —     

Decrease (Increase) in Limitation by Sponsor

     1,012        (522

Change in offering cost

     22,128        8,537   

Increase (Decrease) in management fee payable

     2,639        —     

Increase (Decrease) in payable on futures contracts

     —          55,632   

Increase (Decrease) in payable for offering costs

     (41,000     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (148,643     (3,528,404
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          4,000,000   
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     —          4,000,000   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (148,643     471,596   

Cash, beginning of period

     426,634        200   
  

 

 

   

 

 

 

Cash, end of period

   $ 277,991      $ 471,796   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 46,708       $ 240,086   

Short-term U.S. government and agency obligations (Note 3) (cost $2,290,867 and $4,546,872, respectively)

     2,290,933         4,546,944   

Unrealized appreciation on foreign currency forward contracts

     198,744         89,473   
  

 

 

    

 

 

 

Total assets

     2,536,385         4,876,503   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,654         3,873   

Unrealized depreciation on foreign currency forward contracts

     8,271         2,314   
  

 

 

    

 

 

 

Total liabilities

     10,925         6,187   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     2,525,460         4,870,316   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 2,536,385       $ 4,876,503   
  

 

 

    

 

 

 

Shares outstanding

     100,014         200,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 25.25       $ 24.35   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 25.30       $ 24.32   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(91% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.050% due 10/03/13†

   $ 848,000       $ 847,999   

0.030% due 10/31/13

     114,000         113,997   

0.039% due 12/12/13†

     335,000         334,990   

0.029% due 02/06/14

     994,000         993,947   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $2,290,867)

      $ 2,290,933   
     

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date    Local Currency     Notional Amount
at Value (USD)
    Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

         

Euro with Goldman Sachs International

   10/04/13      1,573,025      $ 2,127,999      $ 55,456   

Euro with UBS AG

   10/04/13      4,058,700        5,490,636        143,288   
         

 

 

 
          $ 198,744   
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

   10/04/13      (1,867,300   $ (2,526,096   $ (6,697

Euro with UBS AG

   10/04/13      (38,400     (51,948     (1,574
         

 

 

 
          $ (8,271
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months     Three months     Nine months     Nine months  
     ended     ended     ended     ended  
     September 30,     September 30,     September 30,     September 30,  
     2013     2012     2013     2012  

Investment Income

        

Interest

   $ 371      $ 975      $ 1,468      $ 2,550   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,494        13,183        28,458        52,001   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     8,494        13,183        28,458        52,001   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,123     (12,208     (26,990     (49,451
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     41,105        55,097        12,734        (811,701

Short-term U.S. government and agency obligations

     9        2        18        45   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     41,114        55,099        12,752        (811,656
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     227,504        100,337        103,314        740,490   

Short-term U.S. government and agency obligations

     90        87        (6     540   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     227,594        100,424        103,308        741,030   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     268,708        155,523        116,060        (70,626
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 260,585      $ 143,315      $ 89,070      $ (120,077
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 1.78      $ 0.57      $ 0.54      $ (0.39
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     146,210        250,014        166,131        310,963   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 4,870,316   

Redemption of 100,000 shares

     (2,433,926
  

 

 

 

Net investment income (loss)

     (26,990

Net realized gain (loss)

     12,752   

Change in net unrealized appreciation/depreciation

     103,308   
  

 

 

 

Net income (loss)

     89,070   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 2,525,460   
  

 

 

 

See accompanying notes to financial statements.

 

80


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PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended     Nine months ended  
     September 30, 2013     September 30, 2012  

Cash flow from operating activities

    

Net income (loss)

   $ 89,070      $ (120,077

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Net sale (purchase) of short-term U.S. government and agency obligations

     2,256,005        4,760,401   

Change in unrealized appreciation/depreciation on investments

     (103,308     (741,030

Increase (Decrease) in management fee payable

     (1,219     (1,684
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,240,548        3,897,610   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          1,209,580   

Payment on shares redeemed

     (2,433,926     (4,841,780
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,433,926     (3,632,200
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (193,378     265,410   

Cash, beginning of period

     240,086        10,469   
  

 

 

   

 

 

 

Cash, end of period

   $ 46,708      $ 275,879   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 29,162       $ 138,033   

Short-term U.S. government and agency obligations (Note 3) (cost $3,118,815 and $4,587,701, respectively)

     3,118,885         4,587,918   

Unrealized appreciation on foreign currency forward contracts

     78,715         13,523   
  

 

 

    

 

 

 

Total assets

     3,226,762         4,739,474   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,480         3,660   

Unrealized depreciation on foreign currency forward contracts

     3,220         507,819   
  

 

 

    

 

 

 

Total liabilities

     5,700         511,479   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,221,062         4,227,995   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,226,762       $ 4,739,474   
  

 

 

    

 

 

 

Shares outstanding

     150,014         150,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 21.47       $ 28.18   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 21.70       $ 28.28   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

82


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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(97% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.030% due 10/31/13†

   $ 117,000       $ 116,997   

0.019% due 12/12/13†

     2,087,000         2,086,937   

0.032% due 02/06/14

     915,000         914,951   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,118,815)

      $ 3,118,885   
     

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date    Local Currency     Notional Amount
at Value (USD)
    Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

         

Yen with Goldman Sachs International

   10/04/13      317,266,000      $ 3,227,585      $ 37,892   

Yen with UBS AG

   10/04/13      339,056,000        3,449,258        40,823   
         

 

 

 
          $ 78,715   
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

   10/04/13      (18,973,500   $ (193,020   $ (2,496

Yen with UBS AG

   10/04/13      (3,870,100     (39,371     (724
         

 

 

 
          $ (3,220
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2013. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

83


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PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months     Three months     Nine months     Nine months  
     ended     ended     ended     ended  
     September 30,     September 30,     September 30,     September 30,  
     2013     2012     2013     2012  

Investment Income

        

Interest

   $ 295      $ 1,009      $ 1,538      $ 2,253   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     7,652        12,368        26,182        36,387   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     7,652        12,368        26,182        36,387   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (7,357     (11,359     (24,644     (34,134
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (20,255     90,137        (1,694,827     (131,047

Short-term U.S. government and agency obligations

     19        —          72        16   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (20,236     90,137        (1,694,755     (131,031
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     65,431        146,755        569,791        (56,350

Short-term U.S. government and agency obligations

     (55     65        (147     306   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     65,376        146,820        569,644        (56,044
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     45,140        236,957        (1,125,111     (187,075
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 37,783      $ 225,598      $ (1,149,755   $ (221,209
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 0.25      $ 1.50      $ (7.08   $ (1.47
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     150,014        150,014        162,285        150,014   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

84


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PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 4,227,995   

Addition of 50,000 shares

     1,323,474   

Redemption of 50,000 shares

     (1,180,652
  

 

 

 

Net addition (redemption) of 0 shares

     142,822   
  

 

 

 

Net investment income (loss)

     (24,644

Net realized gain (loss)

     (1,694,755

Change in net unrealized appreciation/depreciation

     569,644   
  

 

 

 

Net income (loss)

     (1,149,755
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 3,221,062   
  

 

 

 

See accompanying notes to financial statements.

 

85


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended     Nine months ended  
     September 30, 2013     September 30, 2012  

Cash flow from operating activities

    

Net income (loss)

   $ (1,149,755   $ (221,209

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Net sale (purchase) of short-term U.S. government and agency obligations

     1,468,886        286,975   

Change in unrealized appreciation/depreciation on investments

     (569,644     56,044   

Increase (Decrease) in management fee payable

     (1,180     (249
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (251,693     121,561   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,323,474        —     

Payment on shares redeemed

     (1,180,652     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     142,822        —     
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (108,871     121,561   

Cash, beginning of period

     138,033        5,798   
  

 

 

   

 

 

 

Cash, end of period

   $ 29,162      $ 127,359   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

86


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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013         
     (unaudited)      December 31, 2012  

Assets

     

Cash

   $ 2,371,337       $ 2,989,958   

Segregated cash balances with brokers for futures contracts

     29,359,000         34,109,998   

Short-term U.S. government and agency obligations (Note 3) (cost $130,222,456 and $144,057,296, respectively)

     130,224,349         144,060,921   

Receivable from capital shares sold

     7,317,344         2,518,068   

Receivable on open futures contracts

     7,590,541         —     
  

 

 

    

 

 

 

Total assets

     176,862,571         183,678,945   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     9,658,307         14,374,851   

Payable on open futures contracts

     —           31,540,181   

Management fee payable

     118,636         106,449   
  

 

 

    

 

 

 

Total liabilities

     9,776,943         46,021,481   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     167,085,628         137,657,464   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 176,862,571       $ 183,678,945   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     4,224,812         1,640,001   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 39.55       $ 83.94   
  

 

 

    

 

 

 

Market value per share (Note 1) (Note 2)

   $ 39.45       $ 85.05   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(78% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.030% due 10/03/13

   $ 57,588,000       $ 57,587,954   

0.036% due 10/31/13

     184,000         183,995   

0.043% due 11/21/13

     2,058,000         2,057,942   

0.029% due 12/05/13

     10,100,000         10,099,909   

0.041% due 12/12/13

     26,175,000         26,174,215   

0.032% due 12/19/13

     1,142,000         1,141,962   

0.018% due 12/26/13

     5,178,000         5,177,876   

0.015% due 02/06/14

     14,330,000         14,329,236   

0.019% due 03/13/14

     8,413,000         8,411,858   

0.036% due 03/20/14

     5,060,000         5,059,402   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $130,222,456)

      $ 130,224,349   
     

 

 

 

Futures Contracts Purchased††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

VIX Futures - CBOE, expires October 2013

     5,549       $ 89,893,800       $ (96,120

VIX Futures - CBOE, expires November 2013

     4,540         76,726,000         3,316,326   
        

 

 

 
         $ 3,220,206   
        

 

 

 

 

†† Cash collateral in the amount of $29,359,000 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

88


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months     Three months     Nine months     Nine months  
     ended     ended     ended     ended  
     September 30,     September 30,     September 30,     September 30,  
     2013     2012     2013     2012  

Investment Income

        

Interest

   $ 10,711      $ 21,142      $ 54,250      $ 47,219   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     365,398        315,055        1,171,508        788,072   

Offering costs

     —          —          —          1,090   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     365,398        315,055        1,171,508        789,162   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (354,687     (293,913     (1,117,258     (741,943
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (58,627,489     (85,611,502     (102,880,094     (137,705,726

Short-term U.S. government and agency obligations

     5,723        (782     8,753        365   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (58,621,766     (85,612,284     (102,871,341     (137,705,361
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     1,983,669        13,014,580        3,441,625        (3,298,001

Short-term U.S. government and agency obligations

     7,646        1,910        (1,732     5,216   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     1,991,315        13,016,490        3,439,893        (3,292,785
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (56,630,451     (72,595,794     (99,431,448     (140,998,146
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (56,985,138   $ (72,889,707   $ (100,548,706   $ (141,740,089
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 1)

   $ (14.03   $ (59.55   $ (27.74   $ (184.59
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     4,060,410        1,224,023        3,624,196        767,866   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 137,657,464   

Addition of 8,170,000 shares (Note 1)

     428,238,793   

Redemption of 5,585,189 shares (Note 1)

     (298,261,923
  

 

 

 

Net addition (redemption) of 2,584,811 shares (Note 1)

     129,976,870   
  

 

 

 

Net investment income (loss)

     (1,117,258

Net realized gain (loss)

     (102,871,341

Change in net unrealized appreciation/depreciation

     3,439,893   
  

 

 

 

Net income (loss)

     (100,548,706
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 167,085,628   
  

 

 

 

See accompanying notes to financial statements.

 

90


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (100,548,706   $ (141,740,089

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     4,750,998        (40,524,749

Net sale (purchase) of short-term U.S. government and agency obligations

     13,834,840        (94,356,539

Change in unrealized appreciation/depreciation on investments

     1,732        (5,216

Decrease (Increase) in receivable on futures contracts

     (7,590,541     (2,426,098

Change in offering cost

     —          1,090   

Increase (Decrease) in management fee payable

     12,187        87,730   

Increase (Decrease) in payable on futures contracts

     (31,540,181     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (121,079,671     (278,963,871
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     423,439,517        676,632,747   

Payment on shares redeemed

     (302,978,467     (395,694,365
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     120,461,050        280,938,382   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (618,621     1,974,511   

Cash, beginning of period

     2,989,958        563,350   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,371,337      $ 2,537,861   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

91


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 1,626,981       $ 2,063,715   

Segregated cash balances with brokers for futures contracts

     14,112,900         7,830,000   

Short-term U.S. government and agency obligations (Note 3) (cost $77,779,005 and $79,927,870, respectively)

     77,780,701         79,930,866   

Receivable from capital shares sold

     1,691,288         —     

Receivable on open futures contracts

     1,619,391         —     
  

 

 

    

 

 

 

Total assets

     96,831,261         89,824,581   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           50,571,549   

Payable on open futures contracts

     —           1,890,675   

Management fee payable

     66,110         59,365   
  

 

 

    

 

 

 

Total liabilities

     66,110         52,521,589   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     96,765,151         37,302,992   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 96,831,261       $ 89,824,581   
  

 

 

    

 

 

 

Shares outstanding

     4,175,005         1,075,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 23.18       $ 34.70   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 23.02       $ 34.22   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

92


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(80% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.038% due 10/03/13

   $ 20,632,000       $ 20,631,983   

0.040% due 10/31/13

     13,992,000         13,991,591   

0.043% due 11/21/13

     2,233,000         2,232,937   

0.025% due 12/05/13

     1,243,000         1,242,989   

0.044% due 12/12/13

     14,079,000         14,078,578   

0.038% due 12/19/13

     4,087,000         4,086,865   

0.033% due 12/26/13

     5,457,000         5,456,870   

0.015% due 02/06/14

     12,156,000         12,155,352   

0.025% due 03/13/14

     166,000         165,977   

0.034% due 03/20/14

     3,738,000         3,737,559   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $77,779,005)

      $ 77,780,701   
     

 

 

 

Futures Contracts Purchased††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

VIX Futures - CBOE, expires January 2014

     943       $ 17,021,150       $ (125,230

VIX Futures - CBOE, expires February 2014

     1,715         31,984,750         (290,520

VIX Futures - CBOE, expires March 2014

     1,716         32,775,600         (586,860

VIX Futures - CBOE, expires April 2014

     772         14,976,800         271,990   
        

 

 

 
         $ (730,620
        

 

 

 

 

†† Cash collateral in the amount of $14,112,900 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

93


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013 
    Nine months
ended
September 30,
2012 
 

Investment Income

        

Interest

   $ 6,721      $ 12,846      $ 20,472      $ 31,096   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     172,413        202,688        410,433        634,119   

Offering costs

     —          —          —          682   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     172,413        202,688        410,433        634,801   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (165,692     (189,842     (389,961     (603,705
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (6,929,719     (19,925,729     (19,676,804     (45,669,199

Short-term U.S. government and agency obligations

     1,962        188        3,272        (1,822
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (6,927,757     (19,925,541     (19,673,532     (45,671,021
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (6,313,054     (7,586,879     739,790        (7,611,689

Short-term U.S. government and agency obligations

     3,772        (1,753     (1,300     6,800   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (6,309,282     (7,588,632     738,490        (7,604,889
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (13,237,039     (27,514,173     (18,935,042     (53,275,910
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (13,402,731   $ (27,704,015   $ (19,325,003   $ (53,879,615
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (4.01   $ (14.21   $ (7.65   $ (30.91
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     3,342,125        1,950,005        2,527,569        1,743,162   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

94


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 37,302,992   

Addition of 5,200,000 shares

     132,906,931   

Redemption of 2,100,000 shares

     (54,119,769
  

 

 

 

Net addition (redemption) of 3,100,000 shares

     78,787,162   
  

 

 

 

Net investment income (loss)

     (389,961

Net realized gain (loss)

     (19,673,532

Change in net unrealized appreciation/depreciation

     738,490   
  

 

 

 

Net income (loss)

     (19,325,003
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 96,765,151   
  

 

 

 

See accompanying notes to financial statements.

 

95


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (19,325,003   $ (53,879,615

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (6,282,900     (18,471,651

Net sale (purchase) of short-term U.S. government and agency obligations

     2,148,865        13,635,156   

Change in unrealized appreciation/depreciation on investments

     1,300        (6,800

Decrease (Increase) in receivable on futures contracts

     (1,619,391     798,319   

Decrease (Increase) in Limitation by Sponsor

     —          2,481   

Change in offering cost

     —          682   

Increase (Decrease) in management fee payable

     6,745        70,197   

Increase (Decrease) in payable on futures contracts

     (1,890,675     626,539   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (26,961,059     (57,224,692
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     131,215,643        100,824,264   

Payment on shares redeemed

     (104,691,318     (42,277,853
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     26,524,325        58,546,411   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (436,734     1,321,719   

Cash, beginning of period

     2,063,715        627,557   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,626,981      $ 1,949,276   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

96


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 3,012,817       $ 1,790,825   

Segregated cash balances with brokers for futures contracts

     100,757,800         38,727,007   

Short-term U.S. government and agency obligations (Note 3) (cost $197,515,581 and $97,445,279, respectively)

     197,516,820         97,440,843   

Unrealized appreciation on swap agreements

     —           301,351   

Receivable from capital shares sold

     —           18,127,289   

Receivable on open futures contracts

     30,450,046         —     
  

 

 

    

 

 

 

Total assets

     331,737,483         156,387,315   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     45,326,425         35,907,787   

Payable on open futures contracts

     —           35,666,735   

Management fee payable

     210,425         96,661   
  

 

 

    

 

 

 

Total liabilities

     45,536,850         71,671,183   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     286,200,633         84,716,132   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 331,737,483       $ 156,387,315   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     8,289,557         420,808   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 34.53       $ 201.32   
  

 

 

    

 

 

 

Market value per share (Note 1) (Note 2)

   $ 34.34       $ 209.00   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(69% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.035% due 10/03/13

   $ 3,745,000       $ 3,744,997   

0.041% due 10/31/13

     6,849,000         6,848,800   

0.028% due 11/21/13

     21,125,000         21,124,402   

0.025% due 12/05/13

     274,000         273,997   

0.045% due 12/12/13

     14,776,000         14,775,557   

0.037% due 12/19/13

     3,300,000         3,299,891   

0.018% due 12/26/13

     12,780,000         12,779,695   

0.014% due 02/06/14

     89,820,000         89,815,213   

0.018% due 03/13/14

     24,506,000         24,502,672   

0.038% due 03/20/14

     20,354,000         20,351,596   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $197,515,581)

      $ 197,516,820   
     

 

 

 

Futures Contracts Purchased††

 

     Number of
Contracts
     Notional Amount
at Value
     Unrealized
Appreciation
(Depreciation)
 

VIX Futures - CBOE, expires October 2013

     19,039       $ 308,431,800       $ 1,573,538   

VIX Futures - CBOE, expires November 2013

     15,586         263,403,400         11,419,156   
        

 

 

 
         $ 12,992,694   
        

 

 

 

 

†† Cash collateral in the amount of $100,757,800 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

98


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,

2013
    Nine months
ended
September 30,

2012
 

Investment Income

        

Interest

   $ 10,797      $ 22,293      $ 46,863      $ 40,074   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     667,541        586,150        1,944,995        1,216,603   

Brokerage commissions

     602,808        462,005        1,824,624        1,074,133   

Offering costs

     —          19,313        —          69,341   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,270,349        1,067,468        3,769,619        2,360,077   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,259,552     (1,045,175     (3,722,756     (2,320,003
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (197,375,157     (282,640,076     (297,848,329     (461,102,812

Swap agreements

     —          (16,548,798     (4,453,107     (16,817,661

Short-term U.S. government and agency obligations

     13,868        2,865        34,128        9,728   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (197,361,289     (299,186,009     (302,267,308     (477,910,745
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     9,751,723        33,721,060        10,935,632        (18,009,952

Swap agreements

     —          5,869,689        (301,351     (1,826,122

Short-term U.S. government and agency obligations

     5,260        (1,578     5,675        1,763   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     9,756,983        39,589,171        10,639,956        (19,834,311
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (187,604,306     (259,596,838     (291,627,352     (497,745,056
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (188,863,858   $ (260,642,013   $ (295,350,108   $ (500,065,059
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 1)

   $ (26.62   $ (545.19   $ (62.27   $ (2,302.64
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     7,094,448        478,073        4,743,317        217,170   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

99


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 84,716,132   

Addition of 24,400,000 shares (Note 1)

     1,605,278,513   

Redemption of 16,531,251 shares (Note 1)

     (1,108,443,904
  

 

 

 

Net addition (redemption) of 7,868,749 shares (Note 1)

     496,834,609   
  

 

 

 

Net investment income (loss)

     (3,722,756

Net realized gain (loss)

     (302,267,308

Change in net unrealized appreciation/depreciation

     10,639,956   
  

 

 

 

Net income (loss)

     (295,350,108
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 286,200,633   
  

 

 

 

See accompanying notes to financial statements.

 

100


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended     Nine months ended  
     September 30, 2013     September 30, 2012  

Cash flow from operating activities

    

Net income (loss)

   $ (295,350,108   $ (500,065,059

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (62,030,793     (84,191,092

Net sale (purchase) of short-term U.S. government and agency obligations

     (100,070,302     (111,374,656

Change in unrealized appreciation/depreciation on investments

     295,676        1,824,359   

Decrease (Increase) in receivable on futures contracts

     (30,450,046     (2,955,509

Change in offering cost

     —          21,270   

Increase (Decrease) in management fee payable

     113,764        166,745   

Increase (Decrease) in payable on futures contracts

     (35,666,735     (1,852,966

Increase (Decrease) in payable for offering costs

     —          (28,764
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (523,158,544     (698,455,672
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,623,405,802        1,242,185,498   

Payment on shares redeemed

     (1,099,025,266     (544,434,491
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     524,380,536        697,751,007   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,221,992        (704,665

Cash, beginning of period

     1,790,825        2,972,032   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,012,817      $ 2,267,367   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

101


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013         
     (unaudited)      December 31, 2012  

Assets

     

Cash

   $ 254,640       $ 2,236,726   

Segregated cash balances with brokers for futures contracts

     16,724,300         20,731,497   

Short-term U.S. government and agency obligations (Note 3) (cost $62,305,766 and $53,683,800, respectively)

     62,307,511         53,686,352   

Receivable from capital shares sold

     21,007,069         13,232,678   

Receivable on open futures contracts

     —           5,524,721   
  

 

 

    

 

 

 

Total assets

     100,293,520         95,411,974   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           12,699,384   

Payable on open futures contracts

     5,707,549         —     

Management fee payable

     69,893         48,957   
  

 

 

    

 

 

 

Total liabilities

     5,777,442         12,748,341   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     94,516,078         82,663,633   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 100,293,520       $ 95,411,974   
  

 

 

    

 

 

 

Shares outstanding

     900,020         1,250,020   
  

 

 

    

 

 

 

Net asset value per share

   $ 105.02       $ 66.13   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 105.14       $ 65.45   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

102


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(66% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.013% due 10/03/13

   $ 202,000       $ 202,000   

0.036% due 10/31/13

     1,004,000         1,003,971   

0.019% due 12/12/13

     4,952,000         4,951,851   

0.037% due 12/19/13

     3,213,000         3,212,894   

0.022% due 12/26/13

     8,776,000         8,775,790   

0.023% due 02/06/14

     34,849,000         34,847,143   

0.022% due 03/13/14

     2,159,000         2,158,707   

0.038% due 03/20/14

     7,156,000         7,155,155   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $62,305,766)

      $ 62,307,511   
     

 

 

 

Futures Contracts Sold††

 

                   Unrealized  
     Number of      Notional Amount      Appreciation  
     Contracts      at Value      (Depreciation)  

VIX Futures - CBOE, expires October 2013

     3,153       $ 51,078,600       $ (1,909,079

VIX Futures - CBOE, expires November 2013

     2,585         43,686,500         (1,540,850
        

 

 

 
         $ (3,449,929
        

 

 

 

 

†† Cash collateral in the amount of $16,724,300 was pledged to cover margin requirements for open futures contracts as of September 30, 2013.

See accompanying notes to financial statements.

 

103


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 6,018      $ 4,522      $ 22,651      $ 8,717   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     212,926        37,125        535,989        73,103   

Brokerage commissions

     132,363        71,818        335,552        139,690   

Offering costs

     —          19,314        —          69,342   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     345,289        128,257        871,541        282,135   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (339,271     (123,735     (848,890     (273,418
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     37,631,293        10,269,196        58,706,439        14,345,508   

Short-term U.S. government and agency obligations

     4,416        1,435        6,470        2,221   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     37,635,709        10,270,631        58,712,909        14,347,729   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (2,816,258     (146,485     (2,062,754     439,437   

Short-term U.S. government and agency obligations

     3,113        91        (807     515   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (2,813,145     (146,394     (2,063,561     439,952   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     34,822,564        10,124,237        56,649,348        14,787,681   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 34,483,293      $ 10,000,502      $ 55,800,458      $ 14,514,263   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 1)

   $ 38.81      $ 23.35      $ 66.80      $ 32.15   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     888,607        428,281        835,368        451,480   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

104


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 82,663,633   

Addition of 4,600,000 shares

     402,441,178   

Redemption of 4,950,000 shares

     (446,389,191
  

 

 

 

Net addition (redemption) of (350,000) shares

     (43,948,013
  

 

 

 

Net investment income (loss)

     (848,890

Net realized gain (loss)

     58,712,909   

Change in net unrealized appreciation/depreciation

     (2,063,561
  

 

 

 

Net income (loss)

     55,800,458   
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 94,516,078   
  

 

 

 

See accompanying notes to financial statements.

 

105


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 55,800,458      $ 14,514,263   

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     4,007,197        (10,923,896

Net sale (purchase) of short-term U.S. government and agency obligations

     (8,621,966     (35,052,708

Change in unrealized appreciation/depreciation on investments

     807        (515

Decrease (Increase) in receivable on futures contracts

     5,524,721        —     

Change in offering cost

     —          21,270   

Increase (Decrease) in management fee payable

     20,936        19,033   

Increase (Decrease) in payable on futures contracts

     5,707,549        2,031,024   

Increase (Decrease) in payable for offering costs

     —          (28,764
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     62,439,702        (29,420,293
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     394,666,787        436,938,792   

Payment on shares redeemed

     (459,088,575     (411,577,821
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (64,421,788     25,360,971   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,982,086     (4,059,322

Cash, beginning of period

     2,236,726        5,521,055   
  

 

 

   

 

 

 

Cash, end of period

   $ 254,640      $ 1,461,733   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

106


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 19,890,683       $ 19,959,356   

Segregated cash balances with brokers for futures contracts

     198,626,899         141,659,913   

Short-term U.S. government and agency obligations (Note 3) (cost $3,181,692,074 and $3,335,156,145, respectively)

     3,181,730,972         3,335,285,580   

Unrealized appreciation on swap agreements

     34,888,335         33,783,473   

Unrealized appreciation on forward agreements

     16,865,564         23,037,541   

Unrealized appreciation on foreign currency forward contracts

     2,714,731         38,700,860   

Receivable from capital shares sold

     41,798,020         47,672,102   

Receivable on open futures contracts

     41,814,141         9,613,025   

Offering costs (Note 5)

     —           257,927   

Limitation by Sponsor

     —           5,373   
  

 

 

    

 

 

 

Total assets

     3,538,329,345         3,649,975,150   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     88,166,302         148,045,139   

Payable on open futures contracts

     8,523,437         74,986,160   

Management fee payable

     2,603,862         2,729,857   

Payable for offering costs

     —           316,900   

Unrealized depreciation on swap agreements

     11,232,391         5,913,328   

Unrealized depreciation on forward agreements

     97,277,309         161,392,764   

Unrealized depreciation on foreign currency forward contracts

     40,900,372         14,141,394   
  

 

 

    

 

 

 

Total liabilities

     248,703,673         407,525,542   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,289,625,672         3,242,449,608   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,538,329,345       $ 3,649,975,150   
  

 

 

    

 

 

 

Shares outstanding

     107,968,272         86,564,783   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

107


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Three months
ended
September 30,
2013
    Three months
ended
September 30,
2012
    Nine months
ended
September 30,
2013
    Nine months
ended
September 30,
2012
 

Investment Income

        

Interest

   $ 264,227      $ 608,290      $ 1,263,706      $ 1,391,023   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     7,808,826        8,318,706        23,331,899        24,529,023   

Brokerage commissions

     809,686        603,731        2,386,718        1,434,756   

Offering costs

     5,852        101,423        141,251        295,109   

Limitation by Sponsor

     (1,572     (2,350     (57,127     (2,498

Reduction in Limitation by Sponsor

     6,817        —          —          —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     8,629,609        9,021,510        25,802,741        26,256,390   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,365,382     (8,413,220     (24,539,035     (24,865,367
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (246,978,128     (333,410,798     (329,688,064     (628,321,027

Swap agreements

     (22,391,664     25,164,855        14,724,162        434,811   

Forward agreements

     34,513,980        141,156,425        (507,647,265     (115,296,645

Foreign currency forward contracts

     (14,298,434     (19,184,246     117,926,595        111,134,680   

Short-term U.S. government and agency obligations

     53,877        9,398        148,022        26,727   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (249,100,369     (186,264,366     (704,536,550     (632,021,454
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     14,899,913        23,978,880        7,969,862        (21,179,114

Swap agreements

     19,908,518        (6,773,552     (4,214,201     (2,245,801

Forward agreements

     56,912,643        202,513,698        57,943,478        281,057,560   

Foreign currency forward contracts

     (38,777,312     (19,053,386     (62,745,107     (100,200,739

Short-term U.S. government and agency obligations

     67,477        17,686        (90,537     173,617   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     53,011,239        200,683,326        (1,136,505     157,605,523   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (196,089,130     14,418,960        (705,673,055     (474,415,931
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (204,454,512   $ 6,005,740      $ (730,212,090   $ (499,281,298
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

108


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,242,449,608   

Addition of 106,607,500 shares

     4,834,311,515   

Redemption of 85,204,011* shares

     (4,056,923,361
  

 

 

 

Net addition (redemption) of 21,403,489 shares

     777,388,154   
  

 

 

 

Net investment income (loss)

     (24,539,035

Net realized gain (loss)

     (704,536,550

Change in net unrealized appreciation/depreciation

     (1,136,505
  

 

 

 

Net income (loss)

     (730,212,090
  

 

 

 

Shareholders’ equity, at September 30, 2013

   $ 3,289,625,672   
  

 

 

 

 

* Amount includes $600 of redemptions related to the termination of offerings of the New Funds. See Note 1.

See accompanying notes to financial statements.

 

109


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

     Nine months ended
September 30, 2013
    Nine months ended
September 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (730,212,090   $ (499,281,298

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

    

Decrease (Increase) in segregated cash balances with brokers for futures contracts

     (56,966,986     (164,583,842

Net sale (purchase) of short-term U.S. government and agency obligations

     153,464,071        (123,261,991

Change in unrealized appreciation/depreciation on investments

     9,106,367        (178,784,637

Decrease (Increase) in receivable on futures contracts

     (32,201,116     (7,211,500

Decrease (Increase) in receivable from Sponsor

     5,373        (17

Change in offering cost

     64,027        111,430   

Increase (Decrease) in management fee payable

     (125,995     173,900   

Increase (Decrease) in payable on futures contracts

     (66,462,723     1,172,878   

Increase (Decrease) in payable for offering costs

     (123,000     (110,776
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (723,452,072     (971,775,853
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     4,840,185,597        4,520,743,027   

Payment on shares redeemed*

     (4,116,802,198     (3,551,573,443
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     723,383,399        969,169,584   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (68,673     (2,606,269

Cash, beginning of period

     19,959,356        19,145,045   
  

 

 

   

 

 

 

Cash, end of period

   $ 19,890,683      $ 16,538,776   
  

 

 

   

 

 

 

 

* Amount includes $600 of redemptions related to the termination of offerings of the New Funds. See Note 1.

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2013

(unaudited)

NOTE 1 – ORGANIZATION

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2013, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

The Trust also registered shares for three additional series; ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy, collectively referred to as the “New Funds” in these Notes to Financial Statements. On April 24, 2013, the registered offerings for each of the New Funds, which had never been publicly offered, were terminated.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

Eight of the Funds, ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Euro and ProShares Ultra Yen, commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver, commenced trading on the NYSE Arca on December 3, 2008. Two of the Funds, ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF, commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares UltraShort DJ-UBS Natural Gas and ProShares Ultra DJ-UBS Natural Gas, commenced trading on the NYSE Arca on October 4, 2011. One of the Funds, ProShares Short Euro, commenced trading on the NYSE Arca on June 26, 2012. Two of the Funds, ProShares UltraShort Australian Dollar and ProShares Ultra Australian Dollar, commenced trading on the NYSE Arca on July 17, 2012.

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks.

 

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References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the commodity futures index, commodity, currency or exchange rate, equity volatility index or applicable commodity or financial futures contracts. Financial Instruments also are used to produce economically “leveraged,” “inverse” or “inverse leveraged” investment results for the Geared Funds. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -1x, -2x or 2x) of the period return of the corresponding benchmark and will likely differ significantly. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil and ProShares Ultra DJ-UBS Natural Gas each have a benchmark that is an index designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexes and the corresponding Funds will likely be very different from the daily performance of the price of the related physical commodities.

Renaming of Index

Effective as of January 2, 2012, the official name for the Dow Jones-UBS Crude Oil SubindexSM (Ticker: DJUBSCL) changed to the Dow Jones-UBS WTI Crude Oil SubindexSM. The ticker did not change as a result of the name change.

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the nine months ended September 30, 2013 and year ended December 31, 2012. The ticker symbols for these Funds did not change and each Fund continues to trade on the NYSE Arca.

 

Fund  

Execution Date

(Prior to Opening

of Trading)

     Type of Split     

Date Trading

Resumed at Post-

Split Price

ProShares UltraShort DJ-UBS Natural Gas   May 11, 2012      3-for-1 Share split      May 11, 2012
ProShares UltraShort DJ-UBS Natural Gas   June 10, 2013      1-for-4 reverse Share split      June 10, 2013
ProShares UltraShort Gold   October 5, 2012      1-for-4 reverse Share split      October 5, 2012
ProShares UltraShort Silver   May 11, 2012      1-for-5 reverse Share split      May 11, 2012
ProShares Ultra DJ-UBS Natural Gas   May 11, 2012      1-for-5 reverse Share split      May 11, 2012
ProShares VIX Short-Term Futures ETF   June 10, 2013      1-for-5 reverse Share split      June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF   March 8, 2012      1-for-6 reverse Share split      March 8, 2012
ProShares Ultra VIX Short-Term Futures ETF   September 7, 2012      1-for-10 reverse Share split      September 7, 2012
ProShares Ultra VIX Short-Term Futures ETF   June 10, 2013      1-for-10 reverse Share split      June 10, 2013
ProShares Short VIX Short-Term Futures ETF   October 5, 2012      2-for-1 Share split      October 5, 2012

 

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The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of ProShares UltraShort DJ-UBS Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra DJ-UBS Natural Gas, ProShares VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for ProShares UltraShort DJ-UBS Natural Gas and ProShares Short VIX Short-Term Futures ETF, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior year amounts have been reclassified to conform to the current year presentation.

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2012, as filed with the SEC on March 1, 2013.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in these financial statements. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the SEC, financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of one Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.

 

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Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2013, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ final net asset value for creation and redemption of fund Shares for the three months and nine months ended September 30, 2013 were as follows. All times are Eastern Standard Time:

 

     NAV Calculation Time      NAV Calculation Date  

UltraShort Silver, Ultra Silver

     7:00 A.M.         September 30   

UltraShort Gold, Ultra Gold

     10:00 A.M.         September 30   

UltraShort DJ-UBS Crude Oil, Ultra DJ-UBS Crude Oil

     2:30 P.M.         September 30   

UltraShort DJ-UBS Natural Gas, Ultra DJ-UBS Natural Gas

     2:30 P.M.         September 30   

UltraShort DJ-UBS Commodity, Ultra DJ-UBS Commodity

     3:00 P.M.         September 30   

UltraShort Australian Dollar, Ultra Australian Dollar

     4:00 P.M.         September 30   

Short Euro, UltraShort Euro, Ultra Euro

     4:00 P.M.         September 30   

UltraShort Yen, Ultra Yen

     4:00 P.M.         September 30   

VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF

     4:15 P.M.         September 30   

VIX Mid-Term Futures ETF

     4:15 P.M.         September 30   

Although the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ Shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months and nine months ended September 30, 2013.

Market value per Share is determined at the close of the NYSE Arca and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund, and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three months and nine months ended September 30, 2013.

Investment Valuation

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable

 

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so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Leveraged Funds’, the Short Euro Fund’s and the VIX Funds’ policies are intended to result in a calculation of a Leveraged Fund’s, the Short Euro Fund’s or a VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, a Leveraged Fund, the Short Euro Fund or a VIX Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Leveraged Fund, the Short Euro Fund or a VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

 

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The following table summarizes the valuation of investments at September 30, 2013 using the fair value hierarchy:

 

     Level I - Quoted Prices     Level II - Other Significant Observable Inputs        
     Short-Term U.S.
Government and
Agencies
     Futures
Contracts*
    Forward
Agreements
    Foreign
Currency
Forward
Contracts
    Swap
Agreements
    Total  

UltraShort DJ-UBS Commodity

   $ 3,196,967       $ —        $ —        $ —        $ 200,128      $ 3,397,095   

UltraShort DJ-UBS Crude Oil

     419,011,935         8,716,596        —          —          34,688,207        462,416,738   

UltraShort DJ-UBS Natural Gas

     13,658,585         467,284        —          —          —          14,125,869   

UltraShort Gold

     137,129,907         (9,400     7,782,450        —          —          144,902,957   

UltraShort Silver

     106,048,955         (2,180     9,083,114        —          —          115,129,889   

Short Euro

     6,666,790         (141,094     —          —          —          6,525,696   

UltraShort Australian Dollar

     22,016,137         (466,612     —          —          —          21,549,525   

UltraShort Euro

     482,820,998         —          —          (25,932,066     —          456,888,932   

UltraShort Yen

     475,704,411         —          —          (12,519,543     —          463,184,868   

Ultra DJ-UBS Commodity

     4,107,868         —          —          —          (237,372     3,870,496   

Ultra DJ-UBS Crude Oil

     136,394,297         (2,710,766     —          —          (10,995,019     122,688,512   

Ultra DJ-UBS Natural Gas

     75,238,008         3,434,395        —          —          —          78,672,403   

Ultra Gold

     189,669,408         9,420        (17,189,960     —          —          172,488,868   

Ultra Silver

     633,827,603         2,180        (80,087,349     —          —          553,742,434   

Ultra Australian Dollar

     2,999,904         70,124        —          —          —          3,070,028   

Ultra Euro

     2,290,933         —          —          190,473        —          2,481,406   

Ultra Yen

     3,118,885         —          —          75,495        —          3,194,380   

VIX Short-Term Futures ETF

     130,224,349         3,220,206        —          —          —          133,444,555   

VIX Mid-Term Futures ETF

     77,780,701         (730,620     —          —          —          77,050,081   

Ultra VIX Short-Term Futures ETF

     197,516,820         12,992,694        —          —          —          210,509,514   

Short VIX Short-Term Futures ETF

     62,307,511         (3,449,929     —          —          —          58,857,582   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

     3,181,730,972         21,402,298        (80,411,745     (38,185,641     23,655,944        3,108,191,828   

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.

At September 30, 2013, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

 

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The following table summarizes the valuation of investments at December 31, 2012 using the fair value hierarchy:

 

     Level I - Quoted Prices     Level II - Other Significant Observable Inputs        
     Short-Term U.S.
Government and
Agencies
     Futures
Contracts*
    Forward
Agreements
    Foreign
Currency
Forward
Contracts
    Swap
Agreements
    Total  

UltraShort DJ-UBS Commodity

   $ 2,803,904       $ —        $ —        $ —        $ 148,502      $ 2,952,406   

UltraShort DJ-UBS Crude Oil

     87,046,389         (4,029,721     —          —          (5,607,060     77,409,608   

UltraShort DJ-UBS Natural Gas

     10,042,731         409,135        —          —          —          10,451,866   

UltraShort Gold

     88,575,398         15,240        3,729,856        —          —          92,320,494   

UltraShort Silver

     86,206,701         40,020        19,307,685        —          —          105,554,406   

Short Euro

     3,409,904         (55,056     —          —          —          3,354,848   

UltraShort Australian Dollar

     3,302,907         85,590        —          —          —          3,388,497   

UltraShort Euro

     553,430,562         —          —          (13,147,572     —          540,282,990   

UltraShort Yen

     362,743,231         —          —          38,114,175        —          400,857,406   

Ultra DJ-UBS Commodity

     6,240,951         —          —          —          (306,268     5,934,683   

Ultra DJ-UBS Crude Oil

     437,662,650         21,960,410        —          —          33,333,620        492,956,680   

Ultra DJ-UBS Natural Gas

     64,313,224         (3,816,950     —          —          —          60,496,274   

Ultra Gold

     350,624,904         (15,240     (15,652,058     —          —          334,957,606   

Ultra Silver

     891,057,386         (40,020     (145,740,706     —          —          745,276,660   

Ultra Australian Dollar

     3,570,894         (99,030     —          —          —          3,471,864   

Ultra Euro

     4,546,944         —          —          87,159        —          4,634,103   

Ultra Yen

     4,587,918         —          —          (494,296     —          4,093,622   

VIX Short-Term Futures ETF

     144,060,921         (221,419     —          —          —          143,839,502   

VIX Mid-Term Futures ETF

     79,930,866         (1,470,410     —          —          —          78,460,456   

Ultra VIX Short-Term Futures ETF

     97,440,843         2,057,062        —          —          301,351        99,799,256   

Short VIX Short-Term Futures ETF

     53,686,352         (1,387,175     —          —          —          52,299,177   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 3,335,285,580       $ 13,432,436      $ (138,355,223   $ 24,559,466      $ 27,870,145      $ 3,262,792,404   

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.

At December 31, 2012, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation/depreciation on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciation between periods are reflected in the Statements of Operations. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

 

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Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). For the nine months ended September 30, 2013 and 2012, the Sponsor paid, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds.

Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements and/or used as collateral for a Fund’s trading in futures and forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.

All open derivative positions at period-end for each Fund are disclosed in the Schedule of Investments and the notional value of these open positions relative to the shareholders’ equity of each Fund is generally representative of the notional value of open positions to shareholders’ equity throughout the reporting period for each respective Fund. The volume associated with derivative positions varies on a daily basis as each Fund transacts derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ equity consistent with each Fund’s investment objective.

Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

 

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Futures Contracts

The Funds enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as cash balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap and forward transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. In the case of futures contracts based indices, such as those used by the Commodity Index Funds and the VIX Funds, the reference interest rate is zero. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or an Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the benchmark increases and would be required to make payments to the swap counterparties in the event the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the benchmark increases and would be entitled to settlement payments in the event the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

 

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The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Fund’s Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk (commodity price risk) and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2013 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with uncleared derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2013, the collateral posted by counterparties consisted of cash and U.S. Treasury Securities.

 

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The counterparty/credit risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Forward Contracts

Certain of the Funds enter into forward contracts for purposes of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in the OTC markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. However, the Dodd-Frank Act provides for significant reforms of the OTC derivatives markets, including a requirement to execute most forward contracts on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. The Funds may collateralize uncleared forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes a Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2013, the collateral posted by counterparties consisted of cash and U.S. Treasury Securities.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.

A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

The counterparty/credit risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

 

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Fair Value of Derivative Instruments

as of September 30, 2013

 

    

Asset Derivatives

   

Liability Derivatives

 

Derivatives not accounted
for as hedging instruments

  

Statements

of

Financial
Condition
Location

  

Fund

   Unrealized
Appreciation
   

Statements of
Financial
Condition
Location

  

Fund

   Unrealized
Depreciation
 

Commodities Contracts

  

Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements

   ProShares UltraShort DJ-UBS Commodity    $ 200,128     

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

  

ProShares UltraShort Gold

   $ 9,400
     

 

ProShares UltraShort DJ-UBS Crude Oil

  

 

 

 

43,404,803

 

    

ProShares UltraShort Silver

  

 

2,180

     

ProShares UltraShort DJ-UBS Natural Gas

     467,284     

ProShares Ultra DJ-UBS Commodity

  

 

237,372

  

     

ProShares UltraShort Gold

     7,782,450        

ProShares Ultra DJ-UBS Crude Oil

  

 

13,705,785

      ProShares UltraShort Silver      9,083,114        

ProShares Ultra Gold

  

 

17,189,960

  

      ProShares Ultra DJ-UBS Natural Gas      3,434,395     

ProShares Ultra Silver

  

 

80,087,349

  

      ProShares Ultra Gold      9,420        
     

ProShares Ultra Silver

    
2,180

       

Foreign Exchange Contracts

  

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

  

ProShares UltraShort Euro

  

 

1,643,765

  

 

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

   ProShares Short Euro   

 

141,094

      ProShares UltraShort Yen      793,507         ProShares UltraShort Australian Dollar      466,612
      ProShares Ultra Australian Dollar      70,124      ProShares UltraShort Euro      27,575,831   
     

 

ProShares Ultra Euro

  

 

 

 

198,744

 

  

     ProShares UltraShort Yen      13,313,050   
      ProShares Ultra Yen      78,715         ProShares Ultra Euro      8,271   
              ProShares Ultra Yen      3,220   

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares VIX Short-Term

Futures ETF

     3,316,326   Payable on open futures contracts    ProShares VIX Short-Term Futures ETF     
96,120

      ProShares VIX Mid-Term Futures ETF      271,990      ProShares VIX Mid-Term Futures ETF     
1,002,610

      ProShares Ultra VIX Short-Term Futures ETF      12,992,694      ProShares Short VIX Short-Term Futures ETF   

 

3,449,929

        

 

 

         

 

 

 
      Total Trust    $ 83,749,639*         Total Trust    $ 157,288,783*   

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.

 

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Fair Value of Derivative Instruments

as of December 31, 2012

 

    

Asset Derivatives

   

Liability Derivatives

 

Derivatives not accounted
for as hedging instruments

  

Statements

of

Financial
Condition
Location

  

Fund

   Unrealized
Appreciation
   

Statements of
Financial
Condition
Location

  

Fund

   Unrealized
Depreciation
 

Commodities Contracts

   Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements   

ProShares UltraShort DJ-UBS Commodity

   $ 148,502     

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

  

ProShares UltraShort DJ-UBS Crude Oil

   $ 9,636,781*   
      ProShares UltraShort DJ-UBS Natural Gas      409,135      ProShares Ultra DJ-UBS Commodity      306,268   
      ProShares UltraShort Gold      3,745,096      ProShares Ultra DJ-UBS Natural Gas      3,816,950
      ProShares UltraShort Silver      19,347,705      ProShares Ultra Gold      15,667,298
      ProShares Ultra DJ-UBS Crude Oil      55,294,030      ProShares Ultra Silver      145,780,726

Foreign Exchange Contracts

   Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts   

ProShares UltraShort

Australian Dollar

     85,590 *     Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts   

ProShares Short Euro

     55,056 *  
      ProShares UltraShort Euro      251,047         ProShares UltraShort Euro      13,398,619   
      ProShares UltraShort Yen      38,346,817         ProShares UltraShort Yen      232,642   
      ProShares Ultra Euro      89,473         ProShares Ultra Australian Dollar      99,030
      ProShares Ultra Yen      13,523         ProShares Ultra Euro      2,314   
              ProShares Ultra Yen      507,819   

VIX Futures Contracts

   Receivables on open futures contracts, unrealized appreciation on swap agreements   

ProShares VIX Short-Term Futures ETF

     2,368,824 *     Payable on open futures contracts, unrealized depreciation on swap agreements   

ProShares VIX Short-Term Futures ETF

     2,590,243 *  
      ProShares VIX Mid-Term Futures ETF      233,160      ProShares VIX Mid-Term Futures ETF      1,703,570
     

ProShares Ultra VIX Short-Term Futures ETF

     4,034,873      ProShares Ultra VIX Short-Term Futures ETF      1,676,460
      ProShares Short VIX Short-Term Futures ETF      627,059      ProShares Short VIX Short-Term Futures ETF      2,014,234
        

 

 

         

 

 

 
     

Total Trust

   $ 124,994,834      Total Trust    $ 197,488,010

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2013

 

Derivatives not accounted for as
hedging instruments

  

Location of Gain or

(Loss) on Derivatives
Recognized in Income

  

Fund

   Realized Gain or (Loss)
on Derivatives
Recognized in Income
    Change in Unrealized
Appreciation or
Depreciation on
Derivatives Recognized in
Income
 

Commodity Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in

unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

   ProShares UltraShort DJ-UBS Commodity    $ 13,664      $ (212,120
      ProShares UltraShort DJ-UBS Crude Oil      (86,184,111     44,663,321   
      ProShares UltraShort DJ-UBS Natural Gas      2,862,705        (1,862,190
      ProShares UltraShort Gold      6,021,147        (44,053,880
      ProShares UltraShort Silver      6,003,481        (32,088,651
      ProShares Ultra DJ-UBS Commodity      (85,078     233,903   
      ProShares Ultra DJ-UBS Crude Oil      53,589,084        (18,204,607
      ProShares Ultra DJ-UBS Natural Gas      (14,491,916     9,380,633   
      ProShares Ultra Gold      (5,910,890     36,566,124   
      ProShares Ultra Silver      28,400,072        96,489,190   

Foreign Exchange Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in

unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

   ProShares Short Euro      (39,024     (208,707
      ProShares UltraShort Australian Dollar      389,254        (1,865,253
      ProShares UltraShort Euro      (8,625,860     (30,678,790
      ProShares UltraShort Yen      (5,693,424     (8,391,457
      ProShares Ultra Australian Dollar      (123,128     277,231   
      ProShares Ultra Euro      41,105        227,504   
      ProShares Ultra Yen      (20,255     65,431   

VIX Futures Contracts

   Net realized gain (loss) on futures contracts/changes in unrealized appreciation/depreciation on futures contracts    ProShares VIX Short-Term Futures ETF      (58,627,489     1,983,669   
      ProShares VIX Mid-Term Futures ETF      (6,929,719     (6,313,054
      ProShares Ultra VIX Short-Term Futures ETF      (197,375,157     9,751,723   
      ProShares Short VIX Short-Term Futures ETF      37,631,293        (2,816,258
        

 

 

   

 

 

 
      Total Trust    $ (249,154,246   $ 52,943,762   

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2012

 

Derivatives not accounted for as
hedging instruments

  

Location of Gain or

(Loss) on Derivatives
Recognized in Income

  

Fund

   Realized Gain or (Loss)
on Derivatives
Recognized in Income
    Change in Unrealized
Appreciation or
Depreciation on
Derivatives Recognized in
Income
 

Commodity Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in

unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

   ProShares UltraShort DJ-UBS Commodity    $ (861,786   $ 206,641   
      ProShares UltraShort DJ-UBS Crude Oil      (24,455,424     10,033,896   
      ProShares UltraShort DJ-UBS Natural Gas      (4,766,026     1,018,440   
      ProShares UltraShort Gold      (10,990,296     (13,890,127
      ProShares UltraShort Silver      (30,586,333     (36,561,134
      ProShares Ultra DJ-UBS Commodity      1,946,086        (418,834
      ProShares Ultra DJ-UBS Crude Oil      93,595,260        (32,720,374
      ProShares Ultra DJ-UBS Natural Gas      20,880,016        (5,822,190
      ProShares Ultra Gold      23,189,203        47,317,620   
     

 

ProShares Ultra Silver

  

 

 

 

159,543,701

 

  

 

 

 

 

205,647,219

 

  

Foreign Exchange Contracts

  

Net realized gain (loss) on foreign currency forward and futures contracts/changes in

unrealized appreciation/ depreciation on foreign

currency forward and futures contracts

   ProShares Short Euro      (102,555     36,694   
     

ProShares UltraShort

Australian Dollar

     (123,485     1,140   
      ProShares UltraShort Euro      (14,572,815     (12,582,909
      ProShares UltraShort Yen      (4,756,665     (6,717,569
     

ProShares Ultra

Australian Dollar

     99,030        (1,930
      ProShares Ultra Euro      55,097        100,337   
     

 

ProShares Ultra Yen

  

 

 

 

90,137

 

  

 

 

 

 

146,755

 

  

VIX Futures Contracts

   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and swap agreements    ProShares VIX Short-Term Futures ETF      (85,611,502     13,014,580   
      ProShares VIX Mid-Term Futures ETF      (19,925,729     (7,586,879
      ProShares Ultra VIX Short-Term Futures ETF      (299,188,874     39,590,749   
      ProShares Short VIX Short-Term Futures ETF      10,269,196        (146,485
        

 

 

   

 

 

 
      Total Trust    $ (186,273,764   $ 200,665,640   

 

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The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2013

 

Derivatives not accounted for as
hedging instruments

  

Location of Gain or
(Loss) on Derivatives
Recognized in Income

  

Fund

   Realized Gain or (Loss)
on Derivatives
Recognized in Income
    Change in Unrealized
Appreciation or
Depreciation on
Derivatives Recognized in
Income
 

Commodity Contracts

   Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/depreciation on futures contracts, swap and/or forward agreements    ProShares UltraShort DJ-UBS Commodity    $ 472,331      $ 51,626   
      ProShares UltraShort DJ-UBS Crude Oil      (91,283,615     53,041,584   
      ProShares UltraShort DJ-UBS Natural Gas      254,565        58,149   
      ProShares UltraShort Gold      39,762,664        4,027,954   
      ProShares UltraShort Silver      86,823,320        (10,266,771
      ProShares Ultra DJ-UBS Commodity      (868,053     68,896   
      ProShares Ultra DJ-UBS Crude Oil      140,887,078        (68,999,815
      ProShares Ultra DJ-UBS Natural Gas      410,025        7,251,345   
      ProShares Ultra Gold      (124,334,744     (1,513,242
     

 

ProShares Ultra Silver

  

 

 

 

(509,899,199

 

 

 

 

 

65,695,557

 

  

Foreign Exchange Contracts

   Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements    ProShares Short Euro      (114,962     (86,038
     

 

ProShares UltraShort Australian Dollar

  

 

 

 

2,294,351

 

  

 

 

 

 

(552,202

 

      ProShares UltraShort Euro      (19,722,590     (12,784,494
      ProShares UltraShort Yen      139,331,278        (50,633,718
     

 

ProShares Ultra Australian Dollar

  

 

 

 

(863,033

 

 

 

 

 

169,154

 

  

      ProShares Ultra Euro      12,734        103,314   
     

 

ProShares Ultra Yen

  

 

 

 

(1,694,827

 

 

 

 

 

569,791

 

  

VIX Futures Contracts

   Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation/depreciation on futures contracts    ProShares VIX Short-Term Futures ETF      (102,880,094     3,441,625   
      ProShares VIX Mid-Term Futures ETF      (19,676,804     739,790   
      ProShares Ultra VIX Short-Term Futures ETF      (302,301,436     10,634,281   
      ProShares Short VIX Short-Term Futures ETF      58,706,439        (2,062,754
        

 

 

   

 

 

 
      Total Trust    $ (704,684,572   $ (1,045,968

 

126


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2012

 

Derivatives not accounted for as
hedging instruments

  

Location of Gain or
(Loss) on Derivatives
Recognized in Income

  

Fund

   Realized Gain or (Loss)
on Derivatives
Recognized in Income
    Change in Unrealized
Appreciation or
Depreciation on
Derivatives Recognized in
Income
 

Commodity Contracts

   Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/depreciation on futures contracts, swap and/or forward agreements    ProShares UltraShort DJ-UBS Commodity    $ 653,141      $ (684,284
      ProShares UltraShort DJ-UBS Crude Oil      26,044,945        4,442,707   
      ProShares UltraShort DJ-UBS Natural Gas      1,537,148        (4,183,090
      ProShares UltraShort Gold      (9,278,044     (42,573,500
      ProShares UltraShort Silver      (27,207,872     (57,618,849
      ProShares Ultra DJ-UBS Commodity      (234,500     974,662   
      ProShares Ultra DJ-UBS Crude Oil      (3,020,461     (7,248,434
      ProShares Ultra DJ-UBS Natural Gas      (5,782,759     13,594,580   
      ProShares Ultra Gold      (27,072,137     111,555,849   
     

 

ProShares Ultra Silver

  

 

 

 

(51,743,422

 

 

 

 

 

269,693,740

 

  

Foreign Exchange Contracts

   Net realized gain (loss) on foreign currency forward and futures contracts/changes in unrealized appreciation/depreciation on foreign currency forward and futures contracts    ProShares Short Euro      (104,555     (13,619
     

 

ProShares UltraShort

Australian Dollar

  

 

 

 

(123,485

 

 

 

 

 

1,140

 

  

      ProShares UltraShort Euro      106,381,285        (102,605,174
      ProShares UltraShort Yen      5,696,143        1,720,295   
     

 

ProShares Ultra

Australian Dollar

  

 

 

 

99,030

 

  

 

 

 

 

(1,930

 

      ProShares Ultra Euro      (811,701     740,490   
     

 

ProShares Ultra Yen

  

 

 

 

(131,047

 

 

 

 

 

(56,350

 

VIX Futures Contracts

   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and swap agreements    ProShares VIX Short-Term Futures ETF      (137,705,726     (3,298,001
      ProShares VIX Mid-Term Futures ETF      (45,669,199     (7,611,689
      ProShares Ultra VIX Short-Term Futures ETF      (477,920,473     (19,836,074
      ProShares Short VIX Short-Term Futures ETF      14,345,508        439,437   
        

 

 

   

 

 

 
      Total Trust    $ (632,048,181   $ 157,431,906   

Offsetting Assets and Liabilities

Effective January 1, 2013, the Funds adopted Accounting Standards Update (“ASU”) No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” which was subsequently clarified in ASU 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities”. The amended standard requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.

 

127


Table of Contents

As described in Note 3, the Funds utilize derivative instruments to achieve each Fund’s investment objective. The amounts shown in the Statement of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements. The following tables present the gross and net amounts of these assets and liabilities with any offsets to reflect the Funds’ ability to reflect the master netting agreements at September 30, 2013 and December 31, 2012:

ProShares UltraShort DJ-UBS Commodity

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ 200,128       $ —         $ 200,128   
  

 

 

    

 

 

    

 

 

 

Total

   $ 200,128       $ —         $ 200,128   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Deutsche Bank AG

   $ 71,108       $ —         $ —         $ 71,108   

Goldman Sachs International

   $ 100,420         —           —           100,420   

UBS AG

     28,600         —           —           28,600   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 200,128       $ —         $ —         $ 200,128   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

128


Table of Contents

ProShares UltraShort DJ-UBS Crude Oil

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 2,100,651       $ —         $ 2,100,651   

Swap agreements

     34,688,207         —           34,688,207   
  

 

 

    

 

 

    

 

 

 

Total

   $ 36,788,858       $ —         $ 36,788,858   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
 
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
    Cash Collateral
Received
    Net Amount  

Deutsche Bank AG

   $ 10,374,607       $ —        $ (9,400,000   $ 974,607   

Goldman Sachs & Co.

     2,100,651         —          —          2,100,651   

Goldman Sachs International

     8,780,104         (7,893,840     —          886,264   

Societe Generale S.A.

     5,485,866         (5,485,866     —          —     

UBS AG

     10,047,630         (9,268,674     —          778,956   
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 36,788,858       $ (22,648,380   $ (9,400,000   $ 4,740,478   
  

 

 

    

 

 

   

 

 

   

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     

Swap agreements

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement of
Financial Condition
 
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

129


Table of Contents

ProShares UltraShort DJ-UBS Natural Gas

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 45,312       $ —         $ 45,312   
  

 

 

    

 

 

    

 

 

 

Total

   $ 45,312       $ —         $ 45,312   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs & Co.

   $ 45,312       $ —         $ —         $ 45,312   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 45,312       $ —         $ —         $ 45,312   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

130


Table of Contents

ProShares UltraShort Gold

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 7,782,450      $ —         $ 7,782,450   

Futures contracts*

     2,440         —           2,440   
  

 

 

    

 

 

    

 

 

 

Total

   $ 7,784,890       $ —         $ 7,784,890   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
    Cash Collateral
Received
    Net Amount  

Deutsche Bank AG

   $ 4,474,464       $ —        $ (2,850,000   $ 1,624,464   

Goldman Sachs & Co.

     2,440         —          —          2,440   

Goldman Sachs International

     1,765,604         (1,411,185     —          354,419   

Societe Generale S.A.

     935,071         (935,071     —          —     

UBS AG

     607,311         (607,311     —          —     
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 7,784,890       $ (2,953,567   $ (2,850,000   $ 1,981,323   
  

 

 

    

 

 

   

 

 

   

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —         $ —         $ —     

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

131


Table of Contents

ProShares UltraShort Silver

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 9,083,114       $ —         $ 9,083,114   

Futures contracts*

     580         —           580   
  

 

 

    

 

 

    

 

 

 

Total

   $ 9,083,694       $ —         $ 9,083,694   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
    Cash Collateral
Received
    Net Amount  

Deutsche Bank AG

   $ 5,461,114       $ —        $ (5,461,114   $ —     

Goldman Sachs & Co.

     580         —          —          580   

Goldman Sachs International

     1,249,680         (1,249,680     —          —     

Societe Generale S.A.

     1,810,591         (1,810,591     —          —     

UBS AG

     561,729         (561,729     —          —     
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 9,083,694       $ (3,622,000   $ (5,461,114   $ 580   
  

 

 

    

 

 

   

 

 

   

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —         $ —         $ —     

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

132


Table of Contents

ProShares Short Euro

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in
the Statement
of Financial
Condition
 

Futures contracts*

   $ 3,225       $ —         $ 3,225   
  

 

 

    

 

 

    

 

 

 

Total

   $ 3,225       $ —         $ 3,225   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net Amount  

RBC Capital Markets

   $ 3,225       $ —         $ (3,225   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 3,225       $ —         $ (3,225   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

133


Table of Contents

ProShares UltraShort Australian Dollar

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 36,330       $ —         $ 36,330   
  

 

 

    

 

 

    

 

 

 

Total

   $ 36,330       $ —         $ 36,330   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net Amount  

RBC Capital Markets

   $ 36,330       $ —         $ (36,330   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 36,330       $ —         $ (36,330   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

134


Table of Contents

ProShares UltraShort Euro

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 1,643,765       $ —         $ 1,643,765   
  

 

 

    

 

 

    

 

 

 

Total

   $ 1,643,765       $ —         $ 1,643,765   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 1,060,483       $ —         $ —         $ 1,060,483   

UBS AG

     583,282         —           —           583,282   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 1,643,765       $ —         $ —         $ 1,643,765   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 27,575,831       $ —         $ 27,575,831   
  

 

 

    

 

 

    

 

 

 

Total

   $ 27,575,831       $ —         $ 27,575,831   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Goldman Sachs International

   $ 13,695,213       $ (13,695,213   $ —         $ —     

UBS AG

     13,880,618         (13,880,618     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 27,575,831       $ (27,575,831   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

135


Table of Contents

ProShares UltraShort Yen

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 793,507       $ —         $ 793,507   
  

 

 

    

 

 

    

 

 

 

Total

   $ 793,507       $ —         $ 793,507   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 718,095       $ —         $ —         $ 718,095   

UBS AG

     75,412         —           —           75,412   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 793,507       $ —         $ —         $ 793,507   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 13,313,050       $ —         $ 13,313,050   
  

 

 

    

 

 

    

 

 

 

Total

   $ 13,313,050       $ —         $ 13,313,050   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Goldman Sachs International

   $ 7,048,993       $ (7,048,993   $ —         $ —     

UBS AG

     6,264,057         (6,264,057     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 13,313,050       $ (13,313,050   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

136


Table of Contents

ProShares Ultra DJ-UBS Commodity

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ 237,372       $ —         $ 237,372   
  

 

 

    

 

 

    

 

 

 

Total

   $ 237,372       $ —         $ 237,372   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Deutsche Bank AG

   $ 73,556       $ (73,556   $ —         $ —     

Goldman Sachs International

     113,209         (113,209     —           —     

UBS AG

     50,607         (50,607     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 237,372       $ (237,372   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

137


Table of Contents

ProShares Ultra DJ-UBS Crude Oil

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     

Swap agreements

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 772,970       $ —         $ 772,970   

Swap agreements

     10,995,019         —           10,995,019   
  

 

 

    

 

 

    

 

 

 

Total

   $ 11,767,989       $ —         $ 11,767,989   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
    Net Amount  

Deutsche Bank AG

   $ 2,428,302       $ (2,428,302   $ —        $ —     

Goldman Sachs & Co.

     772,970         —          (772,970     —     

Goldman Sachs International

     3,504,152         (3,504,152     —          —     

Societe Generale S.A.

     1,910,928         (1,910,928     —          —     

UBS AG

     3,151,637         (3,151,637     —          —     
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 11,767,989       $ (10,995,019   $ (772,970   $ —     
  

 

 

    

 

 

   

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

138


Table of Contents

ProShares Ultra DJ-UBS Natural Gas

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 1,999,143       $ —         $ 1,999,143   
  

 

 

    

 

 

    

 

 

 

Total

   $ 1,999,143       $ —         $ 1,999,143   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net Amount  

Goldman Sachs & Co.

   $ 1,999,143       $ —         $ (1,999,143   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 1,999,143       $ —         $ (1,999,143   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

139


Table of Contents

ProShares Ultra Gold

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —         $ —         $ —     

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 17,189,960       $ —         $ 17,189,960   

Futures contracts*

     2,440         —           2,440   
  

 

 

    

 

 

    

 

 

 

Total

   $ 17,192,400       $ —         $ 17,192,400   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
    Net Amount  

Deutsche Bank AG

   $ 9,410,748       $ (9,410,748   $ —        $ —     

Goldman Sachs & Co.

   $ 2,440         —          (2,440     —     

Goldman Sachs International

     4,079,114         (4,079,114     —          —     

Societe Generale S.A.

     2,180,790         (2,180,790     —          —     

UBS AG

     1,519,308         (1,519,308     —          —     
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 17,192,400       $ (17,189,960   $ (2,440   $ —     
  

 

 

    

 

 

   

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

140


Table of Contents

ProShares Ultra Silver

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —         $ —         $ —     

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement of
Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 80,087,349       $ —         $ 80,087,349   

Futures contracts*

     1,780         —           1,780   
  

 

 

    

 

 

    

 

 

 

Total

   $ 80,089,129       $ —         $ 80,089,129   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement of
Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
    Net Amount  

Deutsche Bank AG

   $ 40,058,378       $ (40,058,378   $ —        $ —     

Goldman Sachs & Co.

     1,780         —          (1,780     —     

Goldman Sachs International

     24,037,958         (24,037,958     —          —     

Societe Generale S.A.

     11,898,455         (11,898,455     —          —     

UBS AG

     4,092,558         (4,092,558     —          —     
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 80,089,129       $ (80,087,349   $ (1,780   $ —     
  

 

 

    

 

 

   

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

141


Table of Contents

ProShares Ultra Australian Dollar

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 5,180       $ —         $ 5,180   
  

 

 

    

 

 

    

 

 

 

Total

   $ 5,180       $ —         $ 5,180   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

RBC Capital Markets

   $ 5,180       $ —         $ —         $ 5,180   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 5,180       $ —         $ —         $ 5,180   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

142


Table of Contents

ProShares Ultra Euro

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 198,744       $ —         $ 198,744   
  

 

 

    

 

 

    

 

 

 

Total

   $ 198,744       $ —         $ 198,744   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 55,456       $ —         $ —         $ 55,456   

UBS AG

     143,288         —           —           143,288   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 198,744       $ —         $ —         $ 198,744   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 8,271       $ —         $ 8,271   
  

 

 

    

 

 

    

 

 

 

Total

   $ 8,271       $ —         $ 8,271   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Goldman Sachs International

   $ 6,697       $ (6,697   $ —         $ —     

UBS AG

     1,574         (1,574     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 8,271       $ (8,271   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

143


Table of Contents

ProShares Ultra Yen

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 78,715       $ —         $ 78,715   
  

 

 

    

 

 

    

 

 

 

Total

   $ 78,715       $ —         $ 78,715   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement of
Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 37,892       $ —         $ —         $ 37,892   

UBS AG

     40,823         —           —           40,823   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 78,715       $ —         $ —         $ 78,715   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 3,220       $ —         $ 3,220   
  

 

 

    

 

 

    

 

 

 

Total

   $ 3,220       $ —         $ 3,220   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013:

 

            Gross Amounts Not Offset in the Statement of
Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Goldman Sachs International

   $ 2,496       $ (2,496   $ —         $ —     

UBS AG

     724         (724     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 3,220       $ (3,220   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

144


Table of Contents

ProShares VIX Short-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 7,590,541       $ —         $ 7,590,541   
  

 

 

    

 

 

    

 

 

 

Total

   $ 7,590,541       $ —         $ 7,590,541   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

RBC Capital Markets

   $ 7,590,541       $ —         $ —         $ 7,590,541   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 7,590,541       $ —         $ —         $ 7,590,541   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

145


Table of Contents

ProShares VIX Mid-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 1,619,391       $ —         $ 1,619,391   
  

 

 

    

 

 

    

 

 

 

Total

   $ 1,619,391       $ —         $ 1,619,391   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

RBC Capital Markets

   $ 1,619,391       $ —         $ —         $ 1,619,391   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 1,619,391       $ —         $ —         $ 1,619,391   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

146


Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 30,450,046       $ —         $ 30,450,046   
  

 

 

    

 

 

    

 

 

 

Total

   $ 30,450,046       $ —         $ 30,450,046   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement of
Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

RBC Capital Markets

   $ 30,450,046       $ —         $ —         $ 30,450,046   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 30,450,046       $ —         $ —         $ 30,450,046   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement of
Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

147


Table of Contents

ProShares Short VIX Short-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of September 30, 2013

 

Assets    Gross
Amounts of
Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial
Condition
     Net Amounts
of Assets
Presented in
the
Statement of
Financial
Condition
 

Futures contracts*

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
        
     Net Amounts of
Assets Presented
in the Statement
of Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2013

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 5,707,549       $ —         $ 5,707,549   
  

 

 

    

 

 

    

 

 

 

Total

   $ 5,707,549       $ —         $ 5,707,549   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of September 30, 2013

 

            Gross Amounts Not Offset in the Statement
of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net Amount  

RBC Capital Markets

   $ 5,707,549       $ —         $ (5,707,549   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 5,707,549       $ —         $ (5,707,549   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

148


Table of Contents

ProShares UltraShort DJ-UBS Commodity

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ 148,502       $ —        $ 148,502   
  

 

 

    

 

 

    

 

 

 

Total

   $ 148,502       $ —        $ 148,502   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net
Amount
 

Goldman Sachs International

   $ 104,181       $ —        $ —        $ 104,181   

UBS AG

     44,321         —          —          44,321   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 148,502       $ —        $ —        $ 148,502   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —         $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

149


Table of Contents

ProShares UltraShort DJ-UBS Crude Oil

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    

Swap agreements

     —          —          —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 979,336       $ —        $ 979,336   

Swap agreements

     5,607,060         —          5,607,060   
  

 

 

    

 

 

    

 

 

 

Total

   $ 6,586,396       $ —        $ 6,586,396   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
    Net
Amount
 

Goldman Sachs & Co.

   $ 979,336       $ —        $ (979,336 )   $ —    

Goldman Sachs International

     1,880,292         (1,880,292 )     —          —    

Societe Generale S.A.

     1,730,366         (1,730,366 )     —          —    

UBS AG

     1,996,402         (1,996,402 )     —          —    
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 6,586,396       $ (5,607,060 )   $ (979,336 )   $ —    
  

 

 

    

 

 

   

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

150


Table of Contents

ProShares UltraShort DJ-UBS Natural Gas

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 632,777       $ —        $ 632,777   
  

 

 

    

 

 

    

 

 

 

Total

   $ 632,777       $ —        $ 632,777   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net
Amount
 

Goldman Sachs & Co.

   $ 632,777       $ —        $ —        $ 632,777   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 632,777       $ —        $ —        $ 632,777   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —         $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

151


Table of Contents

ProShares UltraShort Gold

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 3,729,856       $ —        $ 3,729,856   

Futures contracts*

     —          —          —    
  

 

 

    

 

 

    

 

 

 

Total

   $ 3,729,856       $ —        $ 3,729,856   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Received
    Net Amount  

Deutsche Bank AG

   $ 2,389,236       $ —       $ (2,389,236   $ —    

Goldman Sachs International

     452,059         (452,059     —         —    

Societe Generale S.A.

     499,264         —         (499,264     —    

UBS AG

     389,297         (347,541     —         41,756   
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 3,729,856       $ (799,600   $ (2,888,500   $ 41,756   
  

 

 

    

 

 

   

 

 

   

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —        $ —        $ —    

Futures contracts*

     3,980         —          3,980   
  

 

 

    

 

 

    

 

 

 

Total

   $ 3,980       $ —        $ 3,980   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net Amount  

Goldman Sachs & Co.

   $ 3,980       $ —        $ (3,980 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 3,980       $ —        $ (3,980 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

152


Table of Contents

ProShares UltraShort Silver

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 19,307,685       $ —        $ 19,307,685   

Futures contracts*

     —          —          —    
  

 

 

    

 

 

    

 

 

 

Total

   $ 19,307,685       $ —        $ 19,307,685   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Received
    Net Amount  

Deutsche Bank AG

   $ 10,786,801       $ —       $ (10,300,000   $ 486,801   

Goldman Sachs International

     3,141,119         (3,141,119     —         —    

Societe Generale S.A.

     3,255,649         —         (3,255,649     —    

UBS AG

     2,124,116         (2,065,937     —         58,179   
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 19,307,685       $ (5,207,056   $ (13,555,649   $ 544,980   
  

 

 

    

 

 

   

 

 

   

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —        $ —        $ —    

Futures contracts*

     2,520         —          2,520   
  

 

 

    

 

 

    

 

 

 

Total

   $ 2,520       $ —        $ 2,520   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net Amount  

Goldman Sachs & Co.

   $ 2,520       $ —        $ (2,520 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 2,520       $ —        $ (2,520 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

153


Table of Contents

ProShares Short Euro

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 6,612       $ —        $ 6,612   
  

 

 

    

 

 

    

 

 

 

Total

   $ 6,612       $ —        $ 6,612   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

RBC Capital Markets

   $ 6,612       $ —        $ —        $ 6,612   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 6,612       $ —        $ —        $ 6,612   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

154


Table of Contents

ProShares UltraShort Australian Dollar

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —         $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 10,950       $ —         $ 10,950   
  

 

 

    

 

 

    

 

 

 

Total

   $ 10,950       $ —        $ 10,950   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net Amount  

RBC Capital Markets

   $ 10,950       $ —        $ (10,950 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 10,950       $ —        $ (10,950 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

155


Table of Contents

ProShares UltraShort Euro

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 251,047       $ —        $ 251,047   
  

 

 

    

 

 

    

 

 

 

Total

   $ 251,047       $ —        $ 251,047   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 251,047       $ —        $ —        $ 251,047   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 251,047       $ —        $ —        $ 251,047   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 13,398,619       $ —        $ 13,398,619   
  

 

 

    

 

 

    

 

 

 

Total

   $ 13,398,619       $ —        $ 13,398,619   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net
Amount
 

Goldman Sachs International

   $ 6,048,832       $ (6,048,832 )   $ —        $ —    

UBS AG

     7,349,787         (7,349,787 )     —          —    
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 13,398,619       $ (13,398,619 )   $ —        $ —    
  

 

 

    

 

 

   

 

 

    

 

 

 

 

156


Table of Contents

ProShares UltraShort Yen

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 38,346,817       $ —        $ 38,346,817   
  

 

 

    

 

 

    

 

 

 

Total

   $ 38,346,817       $ —        $ 38,346,817   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 18,518,532       $ (14,958,352   $ —        $ 3,560,180   

UBS AG

     19,828,285         (17,590,896 )     —          2,237,389   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 38,346,817       $ (32,549,248 )   $ —        $ 5,797,569   
  

 

 

    

 

 

   

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 232,642       $ —        $ 232,642   
  

 

 

    

 

 

    

 

 

 

Total

   $ 232,642       $ —        $ 232,642   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net
Amount
 

UBS AG

   $ 232,642       $ (232,642 )   $ —        $ —    
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 232,642       $ (232,642 )   $ —        $ —    
  

 

 

    

 

 

   

 

 

    

 

 

 

 

157


Table of Contents

ProShares Ultra DJ-UBS Commodity

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Swap agreements

   $ 306,268       $ —        $ 306,268   
  

 

 

    

 

 

    

 

 

 

Total

   $ 306,268       $ —        $ 306,268   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net
Amount
 

Goldman Sachs International

   $ 198,117       $ (198,117 )   $ —        $ —    

UBS AG

     108,151         (108,151 )     —          —    
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 306,268       $ (306,268 )   $ —        $ —    
  

 

 

    

 

 

   

 

 

    

 

 

 

 

158


Table of Contents

ProShares Ultra DJ-UBS Crude Oil

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 3,430,415       $ —        $ 3,430,415   

Swap agreements

     33,333,620         —          33,333,620   
  

 

 

    

 

 

    

 

 

 

Total

   $ 36,764,035       $ —        $ 36,764,035   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in
the Statement of Financial
Condition
       
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Received
    Net Amount  

Goldman Sachs & Co.

   $ 3,430,415       $ —       $ —       $ 3,430,415   

Goldman Sachs International

     14,334,730         (11,924,574     —         2,410,156   

Societe Generale S.A.

     8,989,866         —         (8,989,866     —    

UBS AG

     10,009,024         (8,589,406     —         1,419,618   
  

 

 

    

 

 

   

 

 

   

 

 

 

Total

   $ 36,764,035       $ (20,513,980   $ (8,989,866   $ 7,260,189   
  

 

 

    

 

 

   

 

 

   

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    

Swap agreements

     —          —          —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

159


Table of Contents

ProShares Ultra DJ-UBS Natural Gas

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 4,891,783       $ —        $ 4,891,783   
  

 

 

    

 

 

    

 

 

 

Total

   $ 4,891,783       $ —        $ 4,891,783   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net
Amount
 

Goldman Sachs & Co.

   $ 4,891,783       $ —        $ (4,891,783 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 4,891,783       $ —        $ (4,891,783 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

160


Table of Contents

ProShares Ultra Gold

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —        $ —         $ —    

Futures contracts*

     3,980         —           3,980   
  

 

 

    

 

 

    

 

 

 

Total

   $ 3,980       $ —        $ 3,980   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs & Co.

   $ 3,980       $ —        $ —        $ 3,980   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 3,980       $ —        $ —        $ 3,980   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 15,652,058       $ —        $ 15,652,058   

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 15,652,058       $ —        $ 15,652,058   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net
Amount
 

Deutsche Bank AG

   $ 4,622,873       $ (4,622,873 )   $ —        $ —    

Goldman Sachs International

     3,678,367         (3,678,367 )     —           —     

Societe Generale S.A.

     3,715,989         (3,715,989 )     —           —     

UBS AG

     3,634,829         (3,634,829 )     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 15,652,058       $ (15,652,058 )   $ —        $ —    
  

 

 

    

 

 

   

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

161


Table of Contents

ProShares Ultra Silver

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ —        $ —        $ —    

Futures contracts*

     2,520         —           2,520   
  

 

 

    

 

 

    

 

 

 

Total

   $ 2,520       $ —        $ 2,520   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs & Co.

   $ 2,520       $ —        $ —        $ 2,520   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,520       $ —        $ —        $ 2,520   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Forward agreements

   $ 145,740,706       $ —        $ 145,740,706   

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 145,740,706       $ —        $ 145,740,706   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Deutsche Bank AG

   $ 44,873,116       $ (42,756,218 )   $ —        $ 2,116,898   

Goldman Sachs International

     34,491,042         (34,491,042 )     —           —     

Societe Generale S.A.

     34,802,217         (34,802,217 )     —           —     

UBS AG

     31,574,331         (31,574,331 )     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 145,740,706       $ (143,623,808 )   $ —        $ 2,116,898   
  

 

 

    

 

 

   

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

162


Table of Contents

ProShares Ultra Australian Dollar

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 12,000       $ —        $ 12,000   
  

 

 

    

 

 

    

 

 

 

Total

   $ 12,000       $ —        $ 12,000   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

RBC Capital Markets

   $ 12,000       $ —        $ —        $ 12,000   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 12,000       $ —        $ —        $ 12,000   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

163


Table of Contents

ProShares Ultra Euro

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 89,473       $ —        $ 89,473   
  

 

 

    

 

 

    

 

 

 

Total

   $ 89,473       $ —        $ 89,473   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 38,327       $ —        $ —        $ 38,327   

UBS AG

     51,146         —          —          51,146   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 89,473       $ —        $ —        $ 89,473   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 2,314       $ —        $ 2,314   
  

 

 

    

 

 

    

 

 

 

Total

   $ 2,314       $ —        $ 2,314   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Goldman Sachs International

   $ 635       $ (635 )   $ —        $ —    

UBS AG

     1,679         (1,679 )     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 2,314       $ (2,314 )   $ —        $ —    
  

 

 

    

 

 

   

 

 

    

 

 

 

 

164


Table of Contents

ProShares Ultra Yen

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 13,523       $ —        $ 13,523   
  

 

 

    

 

 

    

 

 

 

Total

   $ 13,523       $ —        $ 13,523   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Goldman Sachs International

   $ 7,325       $ —        $ —        $ 7,325   

UBS AG

     6,198         —           —           6,198   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 13,523       $ —        $ —        $ 13,523   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts
of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Foreign currency forward contracts

   $ 507,819       $ —        $ 507,819   
  

 

 

    

 

 

    

 

 

 

Total

   $ 507,819       $ —        $ 507,819   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
    Cash Collateral
Pledged
     Net Amount  

Goldman Sachs International

   $ 231,047       $ (231,047 )   $ —        $ —    

UBS AG

     276,772         (178,999 )     —           97,773   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 507,819       $ (410,046 )   $ —        $ 97,773   
  

 

 

    

 

 

   

 

 

    

 

 

 

 

165


Table of Contents

ProShares VIX Short-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 31,540,181       $ —        $ 31,540,181   
  

 

 

    

 

 

    

 

 

 

Total

   $ 31,540,181       $ —        $ 31,540,181   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net
Amount
 

RBC Capital Markets

   $ 31,540,181       $ —        $ (31,540,181 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 31,540,181       $ —        $ (31,540,181 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

166


Table of Contents

ProShares VIX Mid-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 1,890,675       $ —        $ 1,890,675   
  

 

 

    

 

 

    

 

 

 

Total

   $ 1,890,675       $ —        $ 1,890,675   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net
Amount
 

RBC Capital Markets

   $ 1,890,675       $ —        $ (1,890,675 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 1,890,675       $ —        $ (1,890,675 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

167


Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    

Swap agreements

     301,351         —           301,351   
  

 

 

    

 

 

    

 

 

 

Total

   $ 301,351       $ —        $ 301,351   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

Societe Generale S.A.

   $ 301,351       $ —        $ 301,351       $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 301,351       $ —        $ 301,351       $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 35,666,735       $ —        $ 35,666,735   

Swap agreements

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 35,666,735       $ —        $ 35,666,735   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
       
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
    Net
Amount
 

RBC Capital Markets

   $ 35,666,735       $ —        $ (35,666,735 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 35,666,735       $ —        $ (35,666,735 )   $ —    
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

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ProShares Short VIX Short-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of December 31, 2012:

 

Assets    Gross Amounts
of Recognized
Assets
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ 5,524,721       $ —        $ 5,524,721   
  

 

 

    

 

 

    

 

 

 

Total

   $ 5,524,721       $ —        $ 5,524,721   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Received
     Net Amount  

RBC Capital Markets

   $ 5,524,721       $ —        $ —        $ 5,524,721   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 5,524,721       $ —        $ —        $ 5,524,721   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

Liabilities    Gross Amounts
of Recognized
Liabilities
     Gross Amounts
Offset in the
Statement of
Financial Condition
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
 

Futures contracts*

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of December 31, 2012:

 

            Gross Amounts Not Offset in the
Statement of Financial Condition
        
     Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition
     Financial
Instruments
     Cash Collateral
Pledged
     Net Amount  
   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

 

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Table of Contents

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Sponsor did not and will not charge its fee in the first year of operation of each Fund in an amount equal to the organization and offering costs. The Sponsor reimbursed or will reimburse each Fund to the extent that its offering costs exceed the Management Fee for the first year of operations. The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays the fees and expenses of the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent and any index licensors for the Funds , the routine operational, administrative and other ordinary expenses of each Fund, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses. For the nine months ended September 30, 2013 and 2012, the Sponsor paid and is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds. Each Fund incurs and pays its non-recurring and unusual fees and expenses.

The Administrator

The Sponsor and the Trust, for itself and on behalf of each Fund, has appointed Brown Brothers Harriman & Co. (“BBH&Co.”) as the Administrator of the Funds, and the Sponsor, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into an Administrative Agency Agreement (the “Administration Agreement”) in connection therewith. Pursuant to the terms of the Administration Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co. prepares and files certain regulatory filings on behalf of the Funds. BBH&Co. may also perform other services for the Funds pursuant to the Administration Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co. from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BBH&Co. serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into a Custodian Agreement in connection therewith. Pursuant to the terms of the Custodian Agreement, BBH&Co. is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BBH&Co. by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI.

 

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Table of Contents

Routine Operational, Administrative and Other Ordinary Expenses

The Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund generally, as determined by the Sponsor including, but not limited to, fees and expenses of the Administrator, Custodian, Distributor, PDI, Transfer Agent, accounting and auditing fees and expenses, tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund, FINRA filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the NAV of a Fund, and report preparation and mailing expenses.

Non-Recurring Fees and Expenses

Each Fund pays all non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor did not charge its Management Fee in the first year of operations of the UltraShort DJ-UBS Natural Gas Fund, Ultra DJ-UBS Natural Gas Fund, Ultra Australian Dollar Fund, UltraShort Australian Dollar Fund, Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, with the exception of each Matching VIX Fund, to the extent that its offering costs exceeded 0.95% of its average daily NAV for the first year of operations. The Sponsor reimbursed each Matching VIX Fund to the extent its offering costs exceeded 0.85% of its average daily NAV for the first year of operations.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems Shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the share splits and reverse share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements, such as references to the Transaction Fees imposed on purchases and redemptions, is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

 

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Table of Contents

Transaction fees for the three and nine months ended September 30, 2013, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

Fund    Three Months Ended
September 30, 2013
     Nine Months Ended
September 30, 2013
 

UltraShort DJ-UBS Commodity

   $ —        $ —    

UltraShort DJ-UBS Crude Oil

     119,865         237,750   

UltraShort DJ-UBS Natural Gas

     1,251         5,700   

UltraShort Gold

     19,262         62,352   

UltraShort Silver

     43,020         111,025   

Short Euro

     —           —     

UltraShort Australian Dollar

     —           —     

UltraShort Euro

     —           —     

UltraShort Yen

     —           —     

Ultra DJ-UBS Commodity

     —           283   

Ultra DJ-UBS Crude Oil

     41,709         188,267   

Ultra DJ-UBS Natural Gas

     8,303         25,719   

Ultra Gold

     7,284         21,066   

Ultra Silver

     25,625         91,299   

Ultra Australian Dollar

     —           —     

Ultra Euro

     —           —     

Ultra Yen

     —           —     

VIX Short-Term Futures ETF

     —           —     

VIX Mid-Term Futures ETF

     —           —     

Ultra VIX Short-Term Futures ETF

     182,504         659,703   

Short VIX Short-Term Futures ETF

     25,366         101,646   
  

 

 

    

 

 

 

Total Trust

   $ 474,189       $ 1,504,810   

 

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Table of Contents

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended September 30, 2013:

 

For the Three Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

   UltraShort DJ-
UBS
Commodity
    UltraShort DJ-
UBS Crude Oil
    UltraShort DJ-
UBS Natural
Gas
    UltraShort Gold     UltraShort
Silver
    Short Euro     UltraShort
Australian
Dollar
 

Net asset value, at June 30, 2013

   $ 65.8903      $ 36.3393      $ 88.5724      $ 114.0985      $ 110.5972      $ 37.9264      $ 46.4112   

Net investment income (loss)

     (0.1408     (0.0691     (0.2504     (0.2074     (0.1902     (0.0886     (0.1140

Net realized and unrealized gain (loss)

     (3.3059     (6.0060     3.3319        (25.7822     (33.8396     (1.4518     (2.7008

Change in net asset value from operations

     (3.4467     (6.0751     3.0815        (25.9896     (34.0298     (1.5404     (2.8148

Net asset value, at September 30, 2013

   $ 62.4436      $ 30.2642      $ 91.6539      $ 88.1089      $ 76.5674      $ 36.3860      $ 43.5964   

Market value per share, at June 30, 2013†

   $ 64.97      $ 36.45      $ 88.00      $ 106.50      $ 101.27      $ 38.01      $ 46.54   

Market value per share, at September 30, 2013†

   $ 57.37      $ 30.25      $ 91.86      $ 87.88      $ 76.49      $ 36.41      $ 43.54   

Total Return, at net asset value^

     (5.2 )%      (16.7 )%      3.5     (22.8 )%      (30.8 )%      (4.1 )%      (6.1 )% 

Total Return, at market value^

     (11.7 )%      (17.0 )%      4.4     (17.5 )%      (24.5 )%      (4.2 )%      (6.4 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.97 )%      (1.17 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.02 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.91 )%      (0.94 )%      (1.14 )%      (0.91 )%      (0.91 )%      (0.95 )%      (0.99 )% 

 

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2013.
** Percentages are annualized.

 

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Table of Contents

For the Three Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

  UltraShort Euro     UltraShort Yen     Ultra DJ-UBS
Commodity
    Ultra DJ-UBS
Crude Oil
    Ultra DJ-UBS
Natural Gas
    Ultra Gold     Ultra Silver  

Net asset value, at June 30, 2013

  $ 19.2890      $ 64.1071      $ 19.2603      $ 30.1614      $ 36.0214      $ 41.6758      $ 15.7433   

Net investment income (loss)

    (0.0429     (0.1464     (0.0469     (0.0851     (0.0937     (0.1173     (0.0458

Net realized and unrealized gain (loss)

    (1.5079     (1.7693     0.7443        4.6335        (3.6705     9.1902        4.3722   

Change in net asset value from operations

    (1.5508     (1.9157     0.6974        4.5484        (3.7642     9.0729        4.3264   

Net asset value, at September 30, 2013

  $ 17.7382      $ 62.1914      $ 19.9577      $ 34.7098      $ 32.2572      $ 50.7487      $ 20.0697   

Market value per share, at June 30, 2013†

  $ 19.29      $ 64.08      $ 18.96      $ 30.11      $ 36.26      $ 44.63      $ 17.00   

Market value per share, at September 30, 2013†

  $ 17.75      $ 62.23      $ 19.92      $ 34.73      $ 32.18      $ 50.86      $ 20.05   

Total Return, at net asset value^

    (8.0 )%      (3.0 )%      3.6     15.1     (10.4 )%      21.8     27.5

Total Return, at market value^

    (8.0 )%      (2.9 )%      5.1     15.3     (11.3 )%      14.0     17.9

Ratios to Average Net Assets**

             

Expense ratio

    (0.95 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.11 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.92 )%      (0.92 )%      (0.91 )%      (0.93 )%      (1.08 )%      (0.91 )%      (0.91 )% 

 

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2013.
** Percentages are annualized.

 

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Table of Contents

For the Three Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

  Ultra Australian
Dollar
    Ultra Euro     Ultra Yen     VIX Short-
Term Futures
ETF
    VIX Mid-Term
Futures ETF
    Ultra VIX
Short-Term
Futures ETF
    Short VIX
Short-Term
Futures ETF
 

Net asset value, at June 30, 2013

  $ 32.8323      $ 23.4744      $ 21.2199      $ 55.9419      $ 28.2875      $ 71.9959      $ 78.2628   

Net investment income (loss)

    (0.0804     (0.0556     (0.0490     (0.0874     (0.0496     (0.1775     (0.3818

Net realized and unrealized gain (loss)

    1.5404        1.8323        0.3008        (16.3058     (5.0606     (37.2930     27.1345   

Change in net asset value from operations

    1.4600        1.7767        0.2518        (16.3932     (5.1102     (37.4705     26.7527   

Net asset value, at September 30, 2013

  $ 34.2923      $ 25.2511      $ 21.4717      $ 39.5487      $ 23.1773      $ 34.5254      $ 105.0155   

Market value per share, at June 30, 2013†

  $ 33.96      $ 23.25      $ 21.10      $ 55.91      $ 28.25      $ 71.69      $ 78.45   

Market value per share, at September 30, 2013†

  $ 34.35      $ 25.30      $ 21.70      $ 39.45      $ 23.02      $ 34.34      $ 105.14   

Total Return, at net asset value^

    4.4     7.6     1.2     (29.3 )%      (18.1 )%      (52.0 )%      34.2

Total Return, at market value^

    1.1     8.8     2.8     (29.4 )%      (18.5 )%      (52.1 )%      34.0

Ratios to Average Net Assets**

             

Expense ratio

    (1.00 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.81 )%      (1.54 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.97 )%      (0.91 )%      (0.91 )%      (0.83 )%      (0.82 )%      (1.79 )%      (1.51 )% 

 

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2013.
** Percentages are annualized.

 

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Table of Contents

Selected data for a Share outstanding throughout the three months ended September 30, 2012:

 

For the Three Months Ended September 30, 2012 (unaudited)

 

Per Share Operating Performance

  UltraShort DJ-
UBS
Commodity
    UltraShort DJ-
UBS Crude Oil
    UltraShort DJ-
UBS Natural
Gas*
    UltraShort
Gold*
    UltraShort
Silver
    Short Euro     UltraShort
Australian
Dollar+
 

Net asset value, at June 30, 2012

  $ 59.0619      $ 49.2304      $ 121.2686      $ 70.9895      $ 69.9250      $ 39.4721      $ 40.0000   

Net investment income (loss)

    (0.1137     (0.0935     (0.3363     (0.1462     (0.1252     (0.0901     (0.0764

Net realized and unrealized gain (loss)

    (10.9209     (8.5379     (32.3842     (14.5206     (29.9239     (0.6584     (1.2223

Change in net asset value from operations

    (11.0346     (8.6314     (32.7205     (14.6668     (30.0491     (0.7485     (1.2987

Net asset value, at September 30, 2012

  $ 48.0273      $ 40.5990      $ 88.5481      $ 56.3227      $ 39.8759      $ 38.7236      $ 38.7013   

Market value per share, at June 30, 2012†

  $ 58.64      $ 49.42      $ 120.52      $ 70.92      $ 67.82      $ 39.49      $ 40.00   

Market value per share, at September 30, 2012†

  $ 48.25      $ 40.72      $ 88.56      $ 56.48      $ 40.14      $ 38.64      $ 38.62   

Total Return, at net asset value^

    (18.7 )%      (17.5 )%      (27.0 )%      (20.7 )%      (43.0 )%      (1.9 )%      (3.2 )% 

Total Return, at market value^

    (17.7 )%      (17.6 )%      (26.5 )%      (20.4 )%      (40.8 )%      (2.2 )%      (3.5 )% 

Ratios to Average Net Assets**

             

Expense ratio

    (0.95 )%      (0.98 )%      (1.27 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.03 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.88 )%      (0.91 )%      (1.22 )%      (0.88 )%      (0.87 )%      (0.90 )%      (0.95 )% 

 

* See Note 1 of these Notes to Financial Statements.
+ From commencement of investment operations, July 17, 2012 through September 30, 2012.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2012.
** Percentages are annualized.

 

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Table of Contents

For the Three Months Ended September 30, 2012 (unaudited)

 

Per Share Operating Performance

  UltraShort Euro     UltraShort Yen     Ultra DJ-UBS
Commodity
    Ultra DJ-UBS
Crude Oil
    Ultra DJ-UBS
Natural Gas
    Ultra Gold     Ultra Silver  

Net asset value, at June 30, 2012

  $ 20.9071      $ 43.5348      $ 23.5183      $ 27.7130      $ 45.6921      $ 79.7618      $ 37.0313   

Net investment income (loss)

    (0.0470     (0.0927     (0.0587     (0.0715     (0.1223     (0.1868     (0.0973

Net realized and unrealized gain (loss)

    (0.7332     (2.1433     4.5424        3.6700        5.5731        17.5971        21.8640   

Change in net asset value from operations

    (0.7802     (2.2360     4.4837        3.5985        5.4508        17.4103        21.7667   

Net asset value, at September 30, 2012

  $ 20.1269      $ 41.2988      $ 28.0020      $ 31.3115      $ 51.1429      $ 97.1721      $ 58.7980   

Market value per share, at June 30, 2012†

  $ 20.90      $ 43.51      $ 23.66      $ 27.54      $ 45.75      $ 79.74      $ 38.13   

Market value per share, at September 30, 2012†

  $ 20.12      $ 41.33      $ 27.71      $ 31.21      $ 51.09      $ 96.92      $ 58.35   

Total Return, at net asset value^

    (3.7 )%      (5.1 )%      19.1     13.0     11.9     21.8     58.8

Total Return, at market value^

    (3.7 )%      (5.0 )%      17.1     13.3     11.7     21.5     53.0

Ratios to Average Net Assets**

             

Expense ratio

    (0.95 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.14 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.88 )%      (0.88 )%      (0.88 )%      (0.90 )%      (1.08 )%      (0.88 )%      (0.88 )% 

 

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2012.
** Percentages are annualized.

 

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Table of Contents

For the Three Months Ended September 30, 2012 (unaudited)

 

Per Share Operating Performance

  Ultra Australian
Dollar+
    Ultra Euro     Ultra Yen     VIX Short-
Term Futures
ETF*
    VIX Mid-Term
Futures ETF
    Ultra VIX
Short-Term
Futures ETF*
    Short VIX
Short-Term
Futures ETF*
 

Net asset value, at June 30, 2012

  $ 40.0000      $ 22.6354      $ 33.4920      $ 160.0441      $ 55.0359      $ 962.1056      $ 45.2817   

Net investment income (loss)

    (0.0806     (0.0488     (0.0757     (0.2401     (0.0974     (2.1862     (0.2889

Net realized and unrealized gain (loss)

    0.9723        0.6220        1.5795        (64.7877     (13.4312     (656.0164     23.0577   

Change in net asset value from operations

    0.8917        0.5732        1.5038        (65.0278     (13.5286     (658.2026     22.7688   

Net asset value, at September 30, 2012

  $ 40.8917      $ 23.2086      $ 34.9958      $ 95.0163      $ 41.5073      $ 303.9030      $ 68.0505   

Market value per share, at June 30, 2012†

  $ 40.00      $ 22.62      $ 33.39      $ 161.60      $ 55.08      $ 984.00      $ 44.92   

Market value per share, at September 30, 2012†

  $ 40.90      $ 23.18      $ 35.28      $ 96.10      $ 41.66      $ 309.20      $ 67.37   

Total Return, at net asset value^

    2.2     2.5     4.5     (40.6 )%      (24.6 )%      (68.4 )%      50.3

Total Return, at market value^

    2.3     2.5     5.7     (40.5 )%      (24.4 )%      (68.6 )%      50.0

Ratios to Average Net Assets**

             

Expense ratio

    (1.02 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.67 )%      (2.16 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.94 )%      (0.88 )%      (0.87 )%      (0.79 )%      (0.80 )%      (1.64 )%      (2.08 )% 

 

+ From commencement of investment operations, July 17, 2012 through September 30, 2012.
* See Note 1 of these Notes to Financial Statements.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2012.
** Percentages are annualized.

 

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Table of Contents

Selected data for a Share outstanding throughout the nine months ended September 30, 2013:

 

For the Nine Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

   UltraShort
DJ-UBS
Commodity
    UltraShort
DJ-UBS
Crude Oil
    UltraShort DJ-
UBS Natural
Gas*
    UltraShort
Gold
    UltraShort
Silver
    Short Euro     UltraShort
Australian
Dollar
 

Net asset value, at December 31, 2012

   $ 54.1021      $ 40.3079      $ 102.1402      $ 63.8688      $ 51.3951      $ 37.6285      $ 37.8081   

Net investment income (loss)

     (0.3875     (0.2262     (0.6806     (0.5395     (0.4408     (0.2593     (0.3257

Net realized and unrealized gain (loss)#

     8.7290        (9.8175     (9.8057     24.7796        25.6131        (0.9832     6.1140   

Change in net asset value from operations

     8.3415        (10.0437     (10.4863     24.2401        25.1723        (1.2425     5.7883   

Net asset value, at September 30, 2013

   $ 62.4436      $ 30.2642      $ 91.6539      $ 88.1089      $ 76.5674      $ 36.3860      $ 43.5964   

Market value per share, at December 31, 2012†

   $ 51.64      $ 40.44      $ 101.64      $ 62.60      $ 50.07      $ 37.64      $ 37.74   

Market value per share, at September 30, 2013†

   $ 57.37      $ 30.25      $ 91.86      $ 87.88      $ 76.49      $ 36.41      $ 43.54   

Total Return, at net asset value^

     15.4     (24.9 )%      (10.3 )%      38.0     49.0     (3.3 )%      15.3

Total Return, at market value^

     11.1     (25.2 )%      (9.6 )%      40.4     52.8     (3.3 )%      15.4

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.98 )%      (1.20 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.03 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.89 )%      (0.93 )%      (1.15 )%      (0.90 )%      (0.89 )%      (0.93 )%      (0.99 )% 

 

* See Note 1 of these Notes to Financial Statements.
# The amount shown for a Share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2013.
** Percentages are annualized.

 

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Table of Contents

For the Nine Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

   UltraShort
Euro
    UltraShort
Yen
    Ultra DJ-UBS
Commodity
    Ultra DJ-UBS
Crude Oil
    Ultra DJ-UBS
Natural Gas
    Ultra Gold     Ultra Silver  

Net asset value, at December 31, 2012

   $ 19.0172      $ 50.7577      $ 24.3875      $ 29.3941      $ 39.0490      $ 83.7634      $ 42.9727   

Net investment income (loss)

     (0.1275     (0.4164     (0.1487     (0.2120     (0.3134     (0.4298     (0.1804

Net realized and unrealized gain (loss)#

     (1.1515     11.8501        (4.2811     5.5277        (6.4784     (32.5849     (22.7226

Change in net asset value from operations

     (1.2790     11.4337        (4.4298     5.3157        (6.7918     (33.0147     (22.9030

Net asset value, at September 30, 2013

   $ 17.7382      $ 62.1914      $ 19.9577      $ 34.7098      $ 32.2572      $ 50.7487      $ 20.0697   

Market value per share, at December 31, 2012†

   $ 19.01      $ 50.77      $ 23.93      $ 29.32      $ 39.24      $ 85.34      $ 44.10   

Market value per share, at September 30, 2013†

   $ 17.75      $ 62.23      $ 19.92      $ 34.73      $ 32.18      $ 50.86      $ 20.05   

Total Return, at net asset value^

     (6.7 )%      22.5     (18.2 )%      18.1     (17.4 )%      (39.4 )%      (53.3 )% 

Total Return, at market value^

     (6.6 )%      22.6     (16.8 )%      18.5     (18.0 )%      (40.4 )%      (54.5 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.13 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.90 )%      (0.90 )%      (0.90 )%      (0.91 )%      (1.08 )%      (0.88 )%      (0.88 )% 

 

# The amount shown for a Share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2013.
** Percentages are annualized.

 

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Table of Contents

For the Nine Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

   Ultra
Australian
Dollar
    Ultra Euro     Ultra Yen     VIX Short-
Term Futures
ETF*
    VIX Mid-
Term Futures
ETF
    Ultra VIX
Short-Term
Futures ETF*
    Short VIX
Short-Term
Futures ETF
 

Net asset value, at December 31, 2012

   $ 41.4986      $ 24.3499      $ 28.1840      $ 83.9374      $ 34.7003      $ 201.3178      $ 66.1298   

Net investment income (loss)

     (0.2663     (0.1625     (0.1519     (0.3083     (0.1543     (0.7848     (1.0162

Net realized and unrealized gain (loss)

     (6.9400     1.0637        (6.5604     (44.0804     (11.3687     (166.0076     39.9019   

Change in net asset value from operations

     (7.2063     0.9012        (6.7123     (44.3887     (11.5230     (166.7924     38.8857   

Net asset value, at September 30, 2013

   $ 34.2923      $ 25.2511      $ 21.4717      $ 39.5487      $ 23.1773      $ 34.5254      $ 105.0155   

Market value per share, at December 31, 2012†

   $ 41.45      $ 24.32      $ 28.28      $ 85.05      $ 34.22      $ 209.00      $ 65.45   

Market value per share, at September 30, 2013†

   $ 34.35      $ 25.30      $ 21.70      $ 39.45      $ 23.02      $ 34.34      $ 105.14   

Total Return, at net asset value^

     (17.4 )%      3.7     (23.8 )%      (52.9 )%      (33.2 )%      (82.9 )%      58.8

Total Return, at market value^

     (17.1 )%      4.0     (23.3 )%      (53.6 )%      (32.7 )%      (83.6 )%      60.6

Ratios to Average Net Assets**

              

Expense ratio

     (0.99 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.84 )%      (1.54 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.95 )%      (0.90 )%      (0.89 )%      (0.81 )%      (0.81 )%      (1.82 )%      (1.50 )% 

 

* See Note 1 of these Notes to Financial Statements.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2013.
** Percentages are annualized.

 

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Table of Contents

Selected data for a Share outstanding throughout the nine months ended September 30, 2012:

 

For the Nine Months Ended September 30, 2012 (unaudited)

 

Per Share Operating Performance

   UltraShort
DJ-UBS
Commodity
    UltraShort
DJ-UBS
Crude Oil
    UltraShort
DJ-UBS
Natural Gas*
    UltraShort
Gold*
    UltraShort
Silver*
    Short Euro+     UltraShort
Australian
Dollar++
 

Net asset value, at December 31, 2011

   $ 56.9207      $ 38.8151      $ 95.2206      $ 82.7114      $ 76.6771      $ 40.0000      $ 40.0000   

Net investment income (loss)

     (0.3723     (0.2633     (1.4076     (0.4577     (0.3822     (0.0959     (0.0764

Net realized and unrealized gain (loss)

     (8.5211     2.0472        (5.2649     (25.9310     (36.4190     (1.1805     (1.2223

Change in net asset value from operations

     (8.8934     1.7839        (6.6725     (26.3887     (36.8012     (1.2764     (1.2987

Net asset value, at September 30, 2012

   $ 48.0273      $ 40.5990      $ 88.5481      $ 56.3227      $ 39.8759      $ 38.7236      $ 38.7013   

Market value per share, at December 31, 2011†

   $ 56.19      $ 38.69      $ 95.84      $ 79.24      $ 79.35      $ 40.00      $ 40.00   

Market value per share, at September 30, 2012†

   $ 48.25      $ 40.72      $ 88.56      $ 56.48      $ 40.14      $ 38.64      $ 38.62   

Total Return, at net asset value^

     (15.6 )%      4.6     (7.0 )%      (31.9 )%      (48.0 )%      (3.2 )%      (3.2 )% 

Total Return, at market value^

     (14.1 )%      5.2     (7.6 )%      (28.7 )%      (49.4 )%      (3.4 )%      (3.5 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.98 )%      (1.43 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.03 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.90 )%      (0.92 )%      (1.39 )%      (0.90 )%      (0.90 )%      (0.91 )%      (0.95 )% 

 

* See Note 1 of these Notes to Financial Statements.
+ From commencement of investment operations, June 26, 2012 through September 30, 2012.
++ From commencement of investment operations, July 17, 2012, through September 30, 2012.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2012.
** Percentages are annualized.

 

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Table of Contents

For the Nine Months Ended September 30, 2012 (unaudited)

 

Per Share Operating Performance

   UltraShort
Euro
    UltraShort
Yen
    Ultra DJ-UBS
Commodity
    Ultra DJ-UBS
Crude Oil
    Ultra DJ-UBS
Natural Gas*
    Ultra Gold     Ultra Silver  

Net asset value, at December 31, 2011

   $ 20.3357      $ 40.9557      $ 25.8805      $ 40.8828      $ 101.9786      $ 75.9066      $ 43.1903   

Net investment income (loss)

     (0.1373     (0.2877     (0.1730     (0.2383     (0.3818     (0.5744     (0.3212

Net realized and unrealized gain (loss)#

     (0.0715     0.6308        2.2945        9.3330        (50.4539     21.8399        15.9289   

Change in net asset value from operations

     (0.2088     0.3431        2.1215        (9.5713     (50.8357     21.2655        15.6077   

Net asset value, at September 30, 2012

   $ 20.1269      $ 41.2988      $ 28.0020      $ 31.3115      $ 51.1429      $ 97.1721      $ 58.7980   

Market value per share, at December 31, 2011†

   $ 20.35      $ 40.95      $ 25.64      $ 40.94      $ 101.35      $ 79.01      $ 41.65   

Market value per share, at September 30, 2012†

   $ 20.12      $ 41.33      $ 27.71      $ 31.21      $ 51.09      $ 96.92      $ 58.35   

Total Return, at net asset value^

     (1.0 )%      0.8     8.2     (23.4 )%      (49.8 )%      28.0     36.1

Total Return, at market value^

     (1.1 )%      0.9     8.1     (23.8 )%      (49.6 )%      22.7     40.1

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.22 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.90 )%      (0.89 )%      (0.90 )%      (0.92 )%      (1.16 )%      (0.89 )%      (0.90 )% 

 

* See Note 1 of these Notes to Financial Statements.
# The amount shown for a Share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2012.
** Percentages are annualized.

 

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Table of Contents

For the Nine Months Ended September 30, 2012 (unaudited)

 

Per Share Operating Performance

   Ultra
Australian
Dollar++
    Ultra Euro     Ultra Yen     VIX Short-
Term Futures
ETF*
    VIX Mid-
Term Futures
ETF
    Ultra VIX
Short-Term
Futures ETF*
    Short VIX
Short-Term
Futures ETF*
 

Net asset value, at December 31, 2011

   $ 40.0000      $ 23.8860      $ 36.4704      $ 381.8690      $ 74.1396      $ 7,412.6879      $ 25.8664   

Net investment income (loss)

     (0.0806     (0.1590     (0.2275     (0.9662     (0.3463     (10.6829     (0.6056

Net realized and unrealized gain (loss)

     0.9723        (0.5184     (1.2471     (285.8865     (32.2860     (7,098.1020     42.7897   

Change in net asset value from operations

     0.8917        (0.6774     (1.4746     (286.8527     (32.6323     (7,108.7849     42.1841   

Net asset value, at September 30, 2012

   $ 40.8917      $ 23.2086      $ 34.9958      $ 95.0163      $ 41.5073      $ 303.9030      $ 68.0505   

Market value per share, at December 31, 2011†

   $ 40.00      $ 23.87      $ 36.50      $ 378.70      $ 74.13      $ 7,296.00      $ 26.14   

Market value per share, at September 30, 2012†

   $ 40.90      $ 23.18      $ 35.28      $ 96.10      $ 41.66      $ 309.20      $ 67.37   

Total Return, at net asset value^

     2.2     (2.8 )%      (4.0 )%      (75.1 )%      (44.0 )%      (95.9 )%      163.1

Total Return, at market value^

     2.3     (2.9 )%      (3.3 )%      (74.6 )%      (43.8 )%      (95.8 )%      157.7

Ratios to Average Net Assets**

              

Expense ratio

     (1.02 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.74 )%      (1.88 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.94 )%      (0.90 )%      (0.89 )%      (0.80 )%      (0.81 )%      (1.71 )%      (1.82 )% 

 

* See Note 1 of these Notes to Financial Statements.
++ From commencement of operations, July 17, 2012, through September 30, 2012.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2012.
** Percentages are annualized.

 

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Table of Contents

NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the inverse (-1x), two times the inverse (-2x), or two times (2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 2x multiple should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of a Short or UltraShort Fund is designed to return the inverse (-1x) or two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present different risks than other funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective geared funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmarks; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; and (10) accounting standards.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. In addition, unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

 

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Counterparty Risk

Certain of the Funds will use swap agreements and/or forward contracts as a means to achieve their respective investment objectives. Such Funds will use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tend to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.

Swap agreements and forward contracts are generally traded in OTC markets and have only recently become subject to regulation by the CFTC. CFTC rules, however, do not cover all types of swap agreements and forward contracts. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

The Funds will be subject to credit risk with respect to the counterparties to the derivative contracts (whether a clearing corporation in the case of cleared instruments or another third party in the case of OTC uncleared instruments). Unlike in futures contracts, the counterparty to uncleared swap agreements or forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, a Fund is subject to credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contracts entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however there are no limitations on the percentage of its assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC swaps or forward contracts are less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. If the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap agreement or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from such protections. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund.

 

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The counterparty risk for cleared derivative transactions is generally lower than for uncleared over-the-counter derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions could result in the total loss of an investor’s investment.

For example, because the UltraShort Funds and Ultra Funds include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day (for an UltraShort Fund or an UltraShort Fund) could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in August 2012 may specify an October 2012 expiration. For an Ultra Fund and a Matching VIX Fund, as that contract nears expiration, it may be replaced by selling the October 2012 contract and purchasing the contract expiring in December 2012. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the October 2012 contract would take place at a price that is higher than the price at which the December 2012 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

 

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Gold and silver historically exhibit persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is because the market needs to build inventories for most of the year in order to have enough storage to make it through a normal winter. Periods of backwardation are typically thought to be caused by demand shocks or supply shortages such as an unusually cold winter or a hurricane.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

 

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor or the Trustee (as each term is defined below) assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor or the Trustee is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2013, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

The Trust also registered shares for three additional series; ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy, collectively referred to as the “New Funds”. On April 24, 2013, the registered offerings for each of the New Funds, which had never been publicly offered, were terminated.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

Eight of the Funds, ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Euro and ProShares Ultra Yen commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver, commenced trading on the NYSE Arca on December 3, 2008. Two of the Funds, ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF, commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares UltraShort DJ-UBS Natural Gas and ProShares Ultra DJ-UBS Natural Gas, commenced trading on the NYSE Arca

 

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on October 4, 2011. One of the Funds, ProShares Short Euro, commenced trading on the NYSE Arca on June 26, 2012. Two of the Funds, ProShares UltraShort Australian Dollar and ProShares Ultra Australian Dollar, commenced trading on the NYSE Arca on July 17, 2012.

ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”) and commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the CEA and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the commodity futures index, commodity, currency or exchange rate equity volatility index or applicable commodity or financial futures contracts. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds are riskier than similarly benchmarked exchange-traded funds that are not geared. Accordingly, these funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil and ProShares Ultra DJ-UBS Natural Gas each have a benchmark that is an index designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexes and the corresponding Funds will likely be very different from the daily performance of the price of the related physical commodities.

 

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Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury Securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2013 and 2012, each of the Funds earned interest income as follows:

 

Fund

   Interest Income
Three Months
Ended

September 30,
2013
     Interest Income
Three Months
Ended

September 30,
2012
     Interest Income
Nine Months
Ended

September 30,
2013
     Interest Income
Nine Months
Ended

September 30,
2012
 

ProShares UltraShort DJ-UBS Commodity

   $ 416       $ 568       $ 1,651       $ 2,227   

ProShares UltraShort DJ-UBS Crude Oil

     34,116         19,218         82,626         49,995   

ProShares UltraShort DJ-UBS Natural Gas

     1,267         1,854         7,217         4,883   

ProShares UltraShort Gold

     13,065         21,407         48,373         52,562   

ProShares UltraShort Silver

     8,580         25,338         47,626         69,765   

ProShares Short Euro

     338         641         1,363         641   

ProShares UltraShort Australian Dollar

     1,790         586         3,399         586   

ProShares UltraShort Euro

     39,032         160,447         179,135         359,466   

ProShares UltraShort Yen

     40,839         41,475         171,429         104,677   

ProShares Ultra DJ-UBS Commodity

     395         1,472         1,809         3,401   

ProShares Ultra DJ-UBS Crude Oil

     13,828         63,544         115,731         126,796   

ProShares Ultra DJ-UBS Natural Gas

     5,794         9,896         22,420         18,894   

ProShares Ultra Gold

     18,099         62,437         118,967         151,337   

ProShares Ultra Silver

     51,513         136,002         313,406         313,266   

ProShares Ultra Australian Dollar

     242         618         1,312         618   

ProShares Ultra Euro

     371         975         1,468         2,550   

ProShares Ultra Yen

     295         1,009         1,538         2,253   

ProShares VIX Short-Term Futures ETF

     10,711         21,142         54,250         47,219   

ProShares VIX Mid-Term Futures ETF

     6,721         12,846         20,472         31,096   

ProShares Ultra VIX Short-Term Futures ETF

     10,797         22,293         46,863         40,074   

ProShares Short VIX Short-Term Futures ETF

     6,018         4,522         22,651         8,717   

 

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Each Fund’s underlying swaps, futures and forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Trading in futures contracts involves each Fund entering into contractual commitments to purchase or sell a commodity or currency underlying the Fund’s benchmark at a specified date and price, should it hold such futures contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity or currency, it would be required to make delivery of that commodity or currency at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity or currency can rise is unlimited, entering into commitments to sell commodities or currencies would expose a Fund to theoretically unlimited risk.

Each Fund’s exposure to market risk is influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

 

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Swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to a swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovery collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

 

    executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

 

    limiting the outstanding amounts due from counterparties to the Funds;

 

    not posting margin directly with a counterparty;

 

    generally requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily;

 

    limiting the amount of margin or premium posted at a futures commission merchant (“FCM”); and

 

    ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

The FCM for each Fund, in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund, all assets of the Fund relating to domestic futures trading, and the FCM is not allowed to commingle such assets with other assets of the FCM. In addition, CFTC regulations also require the FCM to hold in a secure account assets of each Fund related to foreign futures trading.

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 12, 2013, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of payments that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. One officer of the Trust also serves as an officer and owner of the Sponsor.

 

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Critical Accounting Policies

The Trust’s and the Funds’ critical accounting policies are as follows:

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures or forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2013.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures, swaps and forward agreements) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

Fair value pricing may require subjective determinations about the value of an investment. While each Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or the VIX Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Leveraged or the VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

 

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Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying the brokerage commissions on the VIX futures contracts for the Matching VIX Funds.

Results of Operations for the Three Months Ended September 30, 2013 Compared to the Three Months Ended September 30, 2012

ProShares UltraShort DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 3,953,221      $ 3,543,535   

NAV end of period

   $ 3,746,428      $ 2,881,496   

Percentage change in NAV

     (5.2 )%      (18.7 )% 

Shares outstanding beginning of period

     59,997        59,997   

Shares outstanding end of period

     59,997        59,997   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 65.89      $ 59.06   

Per share NAV end of period

   $ 62.44      $ 48.03   

Percentage change in per share NAV

     (5.2 )%      (18.7 )% 

Percentage change in benchmark

     2.1     9.7

Benchmark annualized volatility

     10.4     15.7

During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in outstanding Shares from June 30, 2012 to September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.2% for the three months ended September 30, 2013, as compared to the decrease of 18.7% for the three months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 7, 2013 at $66.37 per Share and reached its low for the period on August 28, 2013 at $57.81 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 2, 2012 at $58.83 per Share and reached its low for the period on September 14, 2012 at $46.01 per Share.

 

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The benchmark’s rise of 2.1% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 9.7% for the three months ended September 30, 2012, can be attributed to lesser appreciation of the underlying components of the index during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (8,450   $ (6,822

Management fee

     8,866        7,390   

Net realized gain (loss)

     13,686        (861,786

Change in net unrealized appreciation/depreciation

     (212,029     206,570   

Net income (loss)

   $ (206,793   $ (662,038

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser increase in the Fund’s benchmark index from the three months ended September 30, 2012 to the three months ended September 30, 2013.

ProShares UltraShort DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 251,466,116      $ 82,211,941   

NAV end of period

   $ 442,461,028      $ 116,516,762   

Percentage change in NAV

     76.0     41.7

Shares outstanding beginning of period

     6,919,944        1,669,944   

Shares outstanding end of period

     14,619,944        2,869,944   

Percentage change in shares outstanding

     111.3     71.9

Shares created

     12,900,000        1,650,000   

Shares redeemed

     5,200,000        450,000   

Per share NAV beginning of period

   $ 36.34      $ 49.23   

Per share NAV end of period

   $ 30.26      $ 40.60   

Percentage change in per share NAV

     (16.7 )%      (17.5 )% 

Percentage change in benchmark

     7.9     7.3

Benchmark annualized volatility

     19.0     25.5

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 6,919,944 outstanding Shares at June 30, 2013 to 14,619,944 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 1,669,944 outstanding Shares at June 30, 2012 to 2,869,944 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.7% for the three months ended September 30, 2013, as compared to the decrease of 17.5% for the three months ended September 30, 2012, was primarily due to lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

 

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During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $35.25 per Share and reached its low for the period on September 6, 2013 at $26.59 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 2, 2012 at $50.63 per Share and reached its low for the period on September 14, 2012 at $35.28 per Share.

The benchmark’s rise of 7.9% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 7.3% for the three months ended September 30, 2012, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (1,036,872   $ (241,721

Management fee

     1,047,511        252,685   

Brokerage commissions

     23,477        8,254   

Net realized gain (loss)

     (86,180,653     (24,453,770

Change in net unrealized appreciation/depreciation

     44,674,375        10,035,131   

Net income (loss)

   $ (42,543,150   $ (14,660,360

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a greater increase in the Fund’s benchmark index.

ProShares UltraShort DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 19,924,537      $ 13,643,687   

NAV end of period

   $ 16,035,027      $ 13,282,921   

Percentage change in NAV

     (19.5 )%      (2.6 )% 

Shares outstanding beginning of period

     224,952        112,508   

Shares outstanding end of period

     174,952        150,008   

Percentage change in shares outstanding

     (22.2 )%      33.3

Shares created

     50,000        37,500   

Shares redeemed

     100,000        —     

Per share NAV beginning of period

   $ 88.57      $ 121.27   

Per share NAV end of period

   $ 91.65      $ 88.55   

Percentage change in per share NAV

     3.5     (27.0 )% 

Percentage change in benchmark

     (4.4 )%      8.6

Benchmark annualized volatility

     26.5     44.6

During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,952 outstanding Shares at June 30, 2013 to 174,952 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results

 

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(before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS Natural Gas Sub-indexSM. The decrease in the Fund’s NAV was offset by an increase from 112,508 outstanding Shares at June 30, 2012 to 150,008 outstanding Shares at September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.5% for the three months ended September 30, 2013, as compared to the decrease of 27.0% for the three months ended September 30, 2012, was primarily due to appreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 9, 2013 at $103.75 per Share and reached its low for the period on July 18, 2013 at $75.90 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per share NAV reached its high for the period on August 28, 2012 at $128.81 per Share and reached its low for the period on July 30, 2012 at $88.10 per Share.

The benchmark’s decline of 4.4% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 8.6% for the three months ended September 30, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (48,035   $ (41,588

Management fee

     40,159        14,762   

Brokerage commissions

     9,143        10,986   

Offering costs

     —          17,694   

Net realized gain (loss)

     2,863,123        (4,765,841

Change in net unrealized appreciation/depreciation

     (1,861,542     1,018,699   

Net income (loss)

   $ 953,546      $ (3,788,730

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split and the reverse Share split for the ProShares UltraShort DJ-UBS Natural Gas Fund.

ProShares UltraShort Gold*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 170,802,997      $ 129,376,591   

NAV end of period

   $ 145,113,410      $ 92,790,217   

Percentage change in NAV

     (15.0 )%      (28.3 )% 

Shares outstanding beginning of period

     1,496,978        1,822,475   

Shares outstanding end of period

     1,646,978        1,647,475   

Percentage change in shares outstanding

     10.0     (9.6 )% 

Shares created

     550,000        —     

Shares redeemed

     400,000        175,000   

Per share NAV beginning of period

   $ 114.10      $ 70.99   

Per share NAV end of period

   $ 88.11      $ 56.32   

Percentage change in per share NAV

     (22.8 )%      (20.7 )% 

Percentage change in benchmark

     11.3     11.1

Benchmark annualized volatility

     22.7     14.8

 

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During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 1,496,978 outstanding Shares at June 30, 2013 to 1,646,978 outstanding Shares at September 30, 2013. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,822,475 outstanding Shares at June 30, 2012 to 1,647,475 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.8% for the three months ended September 30, 2013, as compared to the decrease of 20.7% for the three months ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 5, 2013 at $109.28 per Share and reached its low for the period on August 28, 2013 at $78.23 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per share NAV reached its high for the period on July 12, 2012 at $74.67 per Share and reached its low for the period on September 21, 2012 at $55.89 per Share.

The benchmark’s rise of 11.3% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 11.1% for the three months ended September 30, 2012, can be attributed to a greater increase in the price of spot gold in U.S. Dollar terms during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (283,915   $ (256,499

Management fee

     296,972        277,898   

Brokerage commissions

     8        8   

Net realized gain (loss)

     6,023,935        (10,989,913

Change in net unrealized appreciation/depreciation

     (44,052,898     (13,887,666

Net income (loss)

   $ (38,312,878   $ (25,134,078

 

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The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a greater increase in the price of spot gold in U.S. Dollar terms during the three months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares UltraShort Gold Fund.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 83,886,747      $ 161,421,100   

NAV end of period

   $ 115,501,076      $ 125,947,671   

Percentage change in NAV

     37.7     (22.0 )% 

Shares outstanding beginning of period

     758,489        2,308,489   

Shares outstanding end of period

     1,508,489        3,158,489   

Percentage change in shares outstanding

     98.9     36.8

Shares created

     1,550,000        1,500,000   

Shares redeemed

     800,000        650,000   

Per share NAV beginning of period

   $ 110.60      $ 69.93   

Per share NAV end of period

   $ 76.57      $ 39.88   

Percentage change in per share NAV

     (30.8 )%      (43.0 )% 

Percentage change in benchmark

     15.0     28.0

Benchmark annualized volatility

     33.4     28.3

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 758,489 outstanding Shares at June 30, 2013 to 1,508,489 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 2,308,489 outstanding Shares at June 30, 2012 to 3,158,489 outstanding Shares at September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 30.8% for the three months ended September 30, 2013, as compared to the decrease of 43.0% for the three months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $107.42 per Share and reached its low for the period on August 28, 2013 at $61.41 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 12, 2012 at $71.45 per Share and reached its low for the period on September 28, 2012 at $39.88 per Share.

The benchmark’s rise of 15.0% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 28.0% for the three months ended September 30, 2012, can be attributed to a lesser increase in the price of spot silver in U.S. Dollar terms during the three months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (210,470   $ (290,149

Management fee

     219,042        315,479   

Brokerage commissions

     8        8   

Net realized gain (loss)

     6,007,983        (30,585,422

Change in net unrealized appreciation/depreciation

     (32,085,121     (36,561,404

Net income (loss)

   $ (26,287,608   $ (67,436,975

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser increase in the price of spot silver in U.S. Dollar terms during the three months ended September 30, 2013.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 3,792,834      $ 3,947,410   

NAV end of period

   $ 7,277,390      $ 3,872,555   

Percentage change in NAV

     91.9     (1.9 )% 

Shares outstanding beginning of period

     100,005        100,005   

Shares outstanding end of period

     200,005        100,005   

Percentage change in shares outstanding

     100.0     0.0

Shares created

     100,000        —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 37.93      $ 39.47   

Per share NAV end of period

   $ 36.39      $ 38.72   

Percentage change in per share NAV

     (4.1 )%      (1.9 )% 

Percentage change in benchmark

     3.9     1.6

Benchmark annualized volatility

     7.6     9.0

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at June 30, 2013 to 200,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2012 to September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.1% for the three months ended September 30, 2013, as compared to the decrease of 1.9% for the period ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2013.

 

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During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $38.60 per Share and reached its low for the period on September 25, 2013 at $36.38 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 24, 2012 at $41.33 per Share and reached its low for the period on September 14, 2012 at $37.95 per Share.

The benchmark’s rise of 3.9% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 1.6% for the three months ended September 30, 2012, can be attributed to a greater increase in the value of the Euro versus the U.S. Dollar during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (16,029   $ (9,011

Management fee

     16,080        —     

Brokerage commissions

     287        134   

Offering costs

     —          10,334   

Limitation by Sponsor

     —          (816

Net realized gain (loss)

     (39,009     (102,556

Change in net unrealized appreciation/depreciation

     (208,800     36,712   

Net income (loss)

   $ (263,838   $ (74,855

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a greater increase in the value of the Euro versus the U.S. Dollar during the three month ended September 30, 2013.

ProShares UltraShort Australian Dollar

Since the Fund commenced investment operations on July 17, 2012, the Fund’s results of operations for the period ended September 30, 2012 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

     Three Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

NAV beginning of period

   $ 23,205,856      $ 200   

NAV end of period

   $ 23,978,227      $ 3,870,326   

Percentage change in NAV

     3.3     1,935,063.0

Shares outstanding beginning of period

     500,005        5   

Shares outstanding end of period

     550,005        100,005   

Percentage change in shares outstanding

     10.0     2,000,000.0

Shares created

     50,000        100,000   

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 46.41      $ 40.00   

Per share NAV end of period

   $ 43.60      $ 38.70   

Percentage change in per share NAV

     (6.1 )%      (3.2 )% 

Percentage change in benchmark

     2.0     0.6

Benchmark annualized volatility

     12.1     8.6

 

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During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 500,005 outstanding Shares at June 30, 2013 to 550,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. By comparison, during the period ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at June 30, 2012 to 100,005 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar

For the three months ended September 30, 2013 and the period ended September 30, 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2013, as compared to the decrease of 3.2% for the period ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 2, 2013 at $48.58 per Share and reached its low for the period on September 18, 2013 at $42.08 per Share. By comparison, during the period ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 5, 2012 at $40.44 per Share and reached its low for the period on September 14, 2012 at $37.52 per Share.

The benchmark’s rise of 2.0% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 0.6% for the period ended September 30, 2012, can be attributed to a greater increase in the value of the Australian Dollar versus the U.S. Dollar during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

     Three Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

Net investment income (loss)

   $ (59,621   $ (7,544

Management fee

     47,611        —     

Brokerage commissions

     4,057        605   

Offering costs

     2,926        8,537   

Limitation by Sponsor

     —          (1,012

Reduction to Limitation by Sponsor

     6,817        —     

Net realized gain (loss)

     389,410        (123,487

Change in net unrealized appreciation/depreciation

     (1,864,718     1,157   

Net income (loss)

   $ (1,534,929   $ (129,874

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the period ended September 30, 2012, primarily due to a greater increase in the value of the Australian Dollar versus the U.S. Dollar during the three month ended September 30, 2013.

 

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 509,228,804      $ 896,915,348   

NAV end of period

   $ 456,760,044      $ 770,862,313   

Percentage change in NAV

     (10.3 )%      (14.1 )% 

Shares outstanding beginning of period

     26,400,014        42,900,014   

Shares outstanding end of period

     25,750,014        38,300,014   

Percentage change in shares outstanding

     (2.5 )%      (10.7 )% 

Shares created

     1,400,000        1,750,000   

Shares redeemed

     2,050,000        6,350,000   

Per share NAV beginning of period

   $ 19.29      $ 20.91   

Per share NAV end of period

   $ 17.74      $ 20.13   

Percentage change in per share NAV

     (8.0 )%      (3.7 )% 

Percentage change in benchmark

     3.9     1.6

Benchmark annualized volatility

     7.6     9.0

During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 26,400,014 outstanding shares at June 30, 2013 to 25,750,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 42,900,014 outstanding Shares at June 30, 2012 to 38,300,014 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.0% for the three months ended September 30, 2013, as compared to the per Share NAV decrease of 3.7% for the three months ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $19.97 per Share and reached its low for the period on September 30, 2013 at $17.74 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 24, 2012 at $22.94 per Share and reached its low for the period on September 14, 2012 at $19.33 per Share.

The benchmark’s rise of 3.9% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 1.6% for the three months ended September 30, 2012, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (1,130,081   $ (1,892,376

Management fee

     1,169,113        2,052,823   

Net realized gain (loss)

     (8,623,142     (14,573,257

Change in net unrealized appreciation/depreciation

     (30,661,125     (12,582,165

Net income (loss)

   $ (40,414,348   $ (29,047,798

 

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The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a greater increase in the value of the Euro versus the U.S. Dollar for the three months ended September 30, 2013.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 525,633,184      $ 230,703,599   

NAV end of period

   $ 463,282,138      $ 249,828,407   

Percentage change in NAV

     (11.9 )%      8.3

Shares outstanding beginning of period

     8,199,294        5,299,294   

Shares outstanding end of period

     7,449,294        6,049,294   

Percentage change in shares outstanding

     (9.1 )%      14.2

Shares created

     100,000        1,450,000   

Shares redeemed

     850,000        700,000   

Per share NAV beginning of period

   $ 64.11      $ 43.53   

Per share NAV end of period

   $ 62.19      $ 41.30   

Percentage change in per share NAV

     (3.0 )%      (5.1 )% 

Percentage change in benchmark

     0.9     2.5

Benchmark annualized volatility

     11.5     6.1

During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,199,294 outstanding Shares at June 30, 2013 to 7,449,294 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 5,299,294 outstanding Shares at June 30, 2012 to 6,049,294 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2013, as compared to the the per Share NAV decrease of 5.1% for the three months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 5, 2013 at $66.69 per Share and reached its low for the period on August 9, 2013 at $59.91 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 5, 2012 at $43.48 per Share and reached its low for the period on September 13, 2012 at $40.82 per Share.

The benchmark’s rise of 0.9% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 2.5% for the three months ended September 30, 2012, can be attributed to a lesser increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (1,164,837   $ (495,697

Management fee

     1,205,676        537,172   

Net realized gain (loss)

     (5,692,393     (4,756,460

Change in net unrealized appreciation/depreciation

     (8,391,501     (6,715,809

Net income (loss)

   $ (15,248,731   $ (11,967,966

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser increase in the value of the Japanese Yen versus the U.S. Dollar in conjunction with a decrease in outstanding shares during the three months ended September 30, 2013.

ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 3,852,327      $ 8,231,730   

NAV end of period

   $ 3,991,828      $ 8,400,978   

Percentage change in NAV

     3.6     2.1

Shares outstanding beginning of period

     200,014        350,014   

Shares outstanding end of period

     200,014        300,014   

Percentage change in shares outstanding

     0.0     (14.3 )% 

Shares created

     —          —     

Shares redeemed

     —          50,000   

Per share NAV beginning of period

   $ 19.26      $ 23.52   

Per share NAV end of period

   $ 19.96      $ 28.00   

Percentage change in per share NAV

     3.6     19.1

Percentage change in benchmark

     2.1     9.7

Benchmark annualized volatility

     10.4     15.7

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Commodity Index. The increase in the Fund’s NAV was offset by a decrease from 350,014 outstanding Shares at June 30, 2012 to 300,014 outstanding Shares at September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.6% for the three months ended September 30, 2013, as compared to the increase of 19.1% for the period ended September 30, 2012, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $21.69 per Share and reached its low for the period on August 7, 2013 at $18.99 per Share. By

 

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comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 14, 2012 at $29.39 per Share and reached its low for the period on July 2, 2012 at $23.60 per Share.

The benchmark’s rise of 2.1% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 9.7% for the three months ended September 30, 2012, can be attributed to lesser appreciation of the underlying components of the index during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (9,375   $ (19,548

Management fee

     9,770        21,020   

Net realized gain (loss)

     (85,067     1,946,079   

Change in net unrealized appreciation/depreciation

     233,943        (418,556

Net income (loss)

   $ 139,501      $ 1,507,975   

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser increase in the Fund’s benchmark index.

ProShares Ultra DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 218,645,114      $ 489,111,964   

NAV end of period

   $ 137,074,786      $ 381,973,929   

Percentage change in NAV

     (37.3 )%      (21.9 )% 

Shares outstanding beginning of period

     7,249,170        17,649,170   

Shares outstanding end of period

     3,949,170        12,199,170   

Percentage change in shares outstanding

     (45.5 )%      (30.9 )% 

Shares created

     1,000,000        3,400,000   

Shares redeemed

     4,300,000        8,850,000   

Per share NAV beginning of period

   $ 30.16      $ 27.71   

Per share NAV end of period

   $ 34.71      $ 31.31   

Percentage change in per share NAV

     15.1     13.0

Percentage change in benchmark

     7.9     7.3

Benchmark annualized volatility

     19.0     25.5

During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,249,170 outstanding shares at June 30, 2013 to 3,949,170 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 17,649,170 outstanding Shares at June 30, 2012 to 12,199,170 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

 

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For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.1% for the three months ended September 30, 2013, as compared to the increase of 13.0% for the three months ended September 30, 2012, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 6, 2013 at $39.87 per Share and reached its low for the period on July 1, 2013 at $31.06 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 14, 2012 at $36.47 per Share and reached its low for the period on July 10, 2012 at $26.90 per Share.

The benchmark’s rise of 7.9% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 7.3% for the three months ended September 30, 2012, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (383,510   $ (868,686

Management fee

     391,381        914,474   

Brokerage commissions

     5,957        17,756   

Net realized gain (loss)

     53,591,304        93,596,417   

Change in net unrealized appreciation/depreciation

     (18,204,764     (32,720,497

Net income (loss)

   $ 35,003,030      $ 60,007,234   

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a greater increase in the price of WTI Crude Oil during the three months ended September 30, 2013 in conjunction with a significant decrease in outstanding shares.

ProShares Ultra DJ-UBS Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 42,142,901      $ 62,595,441   

NAV end of period

   $ 94,189,168      $ 67,505,640   

Percentage change in NAV

     123.5     7.8

Shares outstanding beginning of period

     1,169,941        1,369,941   

Shares outstanding end of period

     2,919,941        1,319,941   

Percentage change in shares outstanding

     149.6     (3.6 )% 

Shares created

     2,100,000        700,000   

Shares redeemed

     350,000        750,000   

Per share NAV beginning of period

   $ 36.02      $ 45.69   

Per share NAV end of period

   $ 32.26      $ 51.14   

Percentage change in per share NAV

     (10.4 )%      11.9

Percentage change in benchmark

     (4.4 )%      8.6

Benchmark annualized volatility

     26.5     44.6

 

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During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from the increase from 1,169,941 outstanding shares at June 30, 2013 to 2,919,941 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,369,941 outstanding Shares at June 30, 2012 to 1,319,941 outstanding Shares at September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.4% for the three months ended September 30, 2013, as compared to the increase of 11.9% for the three months ended September, 2012, was primarily due to depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 18, 2013 at $41.04 per Share and reached its low for the period on August 9, 2013 at $29.45 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period July 30, 2012 at $57.51 per Share and reached its low for the period on August 28, 2012 at $37.17 per Share.

The benchmark’s decline of 4.4% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 8.6% for the three months ended September 30, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (214,137   $ (177,136

Management fee

     188,763        137,754   

Brokerage commissions

     31,168        31,584   

Offering costs

     —          17,694   

Net realized gain (loss)

     (14,490,187     20,880,467   

Change in net unrealized appreciation/depreciation

     9,382,834        (5,822,509

Net income (loss)

   $ (5,321,490   $ 14,880,822   

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2013.

 

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ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 139,614,500      $ 331,012,682   

NAV end of period

   $ 172,546,283      $ 388,689,908   

Percentage change in NAV

     23.6     17.4

Shares outstanding beginning of period

     3,350,014        4,150,014   

Shares outstanding end of period

     3,400,014        4,000,014   

Percentage change in shares outstanding

     1.5     (3.6 )% 

Shares created

     350,000        100,000   

Shares redeemed

     300,000        250,000   

Per share NAV beginning of period

   $ 41.68      $ 79.76   

Per share NAV end of period

   $ 50.75      $ 97.17   

Percentage change in per share NAV

     21.8     21.8

Percentage change in benchmark

     11.3     11.1

Benchmark annualized volatility

     22.7     14.8

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 3,350,014 outstanding shares at June 30, 2013 to 3,400,014 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 4,150,014 outstanding Shares at June 30, 2012 to 4,000,014 outstanding Shares at September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.8% for the three months ended September 30, 2013, as compared to the increase of 21.8% for the three months ended September 30, 2012, was primarily due to the comparable appreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $58.48 per Share and reached its low for the period on July 5, 2013 at $43.01 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period September 21, 2012 at $98.22 per Share and reached its low for the period on July 12, 2012 at $75.46 per Share.

The benchmark’s rise of 11.3% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 11.1% the three months ended September 30, 2012, can be attributed to a greater increase in the price of spot gold in U.S. Dollar terms during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (391,586   $ (762,841

Management fee

     409,677        825,270   

Brokerage commissions

     8        8   

Net realized gain (loss)

     (5,907,842     23,190,233   

Change in net unrealized appreciation/depreciation

     36,572,797        47,323,358   

Net income (loss)

   $ 30,273,369      $ 69,750,750   

 

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The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a greater increase in the price of spot gold in U.S. Dollar terms in conjunction with a significant decrease in outstanding shares during the three months ended September 30, 2013.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

     Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

NAV beginning of period

   $ 425,855,952      $ 661,009,190   

NAV end of period

   $ 553,925,429      $ 978,987,907   

Percentage change in NAV

     30.1     48.1

Shares outstanding beginning of period

     27,050,028        17,850,028   

Shares outstanding end of period

     27,600,028        16,650,028   

Percentage change in shares outstanding

     2.0     (6.7 )% 

Shares created

     3,000,000        1,000,000   

Shares redeemed

     2,450,000        2,200,000   

Per share NAV beginning of period

   $ 15.74      $ 37.03   

Per share NAV end of period

   $ 20.07      $ 58.80   

Percentage change in per share NAV

     27.5     58.8

Percentage change in benchmark

     15.0     28.0

Benchmark annualized volatility

     33.4     28.3

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 27,050,028 outstanding shares at June 30, 2013 to 27,600,028 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 17,850,028 outstanding Shares at June 30, 2012 to 16,650,028 outstanding Shares at September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.5% for the three months ended September 30, 2013, as compared to the increase of 58.8% for the three months ended September 30, 2012, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $26.58 per Share and reached its low for the period on July 9, 2013 at $16.11 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 14, 2012 at $59.23 per Share and reached its low for the period on July 12, 2012 at $35.76 per Share.

The benchmark’s rise of 15.0% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 28.0% for the three months ended September 30, 2012, can be attributed to a lesser increase in the price of spot silver in U.S. Dollar terms during the three months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (1,265,741   $ (1,659,417

Management fee

    1,317,246        1,795,410   

Brokerage commissions

    8        9   

Net realized gain (loss)

    28,405,829        159,543,868   

Change in net unrealized appreciation/depreciation

    96,493,783        205,654,329   

Net income (loss)

  $ 123,633,871      $ 363,538,780   

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser increase in the price of spot silver in U.S. Dollar terms during the three months ended September 30, 2013.

ProShares Ultra Australian Dollar

Since the Fund commenced investment operations on July 17, 2012, the Fund’s results of operations for the period ended September 30, 2012 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

    Three Months
Ended September 30,
2013
    Period Ended
September 30,
2012
 

NAV beginning of period

  $ 3,283,396      $ 200   

NAV end of period

  $ 3,429,398      $ 4,089,373   

Percentage change in NAV

    4.4     2,044,586.5

Shares outstanding beginning of period

    100,005        5   

Shares outstanding end of period

    100,005        100,005   

Percentage change in shares outstanding

    0.0     2,000,000.0

Shares created

    —          100,000   

Shares redeemed

    —          —     

Per share NAV beginning of period

  $ 32.83      $ 40.00   

Per share NAV end of period

  $ 34.29      $ 40.89   

Percentage change in per share NAV

    4.4     2.2

Percentage change in benchmark

    2.0     0.6

Benchmark annualized volatility

    12.1     8.6

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. There was no net change in outstanding Shares from June 30, 2013 to September 30, 2013. By comparison, during the period ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at June 30, 2012 to 100,005 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar

For the three months ended September 30, 2013 and the period ended September 30, 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.4% for the three months ended September 30, 2013, as compared to the increase of 2.2% for the period ended September 30, 2012, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

 

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During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $35.56 per Share and reached its low for the period on August 2, 2013 at $31.10 per Share. By comparison, during the period ended September 30, 2012, the Fund’s per Share NAV reached its high for the period September 14, 2012 at $42.25 per Share and reached its low for the period on September 5, 2012 at $39.29 per Share.

The benchmark’s rise of 2.0% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 0.6% for the period ended September 30, 2012, can be attributed to a greater increase in the value of the Australian Dollar versus the U.S. Dollar during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

    Three Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

Net investment income (loss)

  $ (8,041   $ (7,953

Management fee

    6,535        —     

Brokerage commissions

    394        556   

Offering costs

    2,926        8,537   

Limitation by Sponsor

    (1,572     (522

Net realized gain (loss)

    (123,121     99,029   

Change in net unrealized appreciation/depreciation

    277,164        (1,903

Net income (loss)

  $ 146,002      $ 89,173   

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the period ended September 30, 2012, primarily due to a greater rise in the value of the Australian Dollar versus the U.S. Dollar during the three month ended September 30, 2013.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months
Ended September 30,
2013
    Three Months
Ended September 30,
2012
 

NAV beginning of period

  $ 3,521,494      $ 5,659,156   

NAV end of period

  $ 2,525,460      $ 5,802,471   

Percentage change in NAV

    (28.3 )%      2.5

Shares outstanding beginning of period

    150,014        250,014   

Shares outstanding end of period

    100,014        250,014   

Percentage change in shares outstanding

    (33.3 )%      0.0

Shares created

    —          —     

Shares redeemed

    50,000        —     

Per share NAV beginning of period

  $ 23.47      $ 22.64   

Per share NAV end of period

  $ 25.25      $ 23.21   

Percentage change in per share NAV

    7.6     2.5

Percentage change in benchmark

    3.9     1.6

Benchmark annualized volatility

    7.6     9.0

 

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During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 150,014 outstanding Shares at June 30, 2013 to 100,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Euro versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2012 to September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2013, as compared to the increase of 2.5% for the three months ended September 30, 2012, was primarily due to a greater increase in the value of the assets held by the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 19, 2013 at $25.25 per Share and reached its low for the period on July 9, 2013 at $22.64 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period September 14, 2012 at $24.20 per Share and reached its low for the period on July 24, 2012 at $20.56 per Share.

The benchmark’s rise of 3.9% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 1.6% for the three months ended September 30, 2012, can be attributed to a greater increase in the value of the Euro versus the U.S. Dollar during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (8,123   $ (12,208

Management fee

    8,494        13,183   

Net realized gain (loss)

    41,114        55,099   

Change in net unrealized appreciation/depreciation

    227,594        100,424   

Net income (loss)

  $ 260,585      $ 143,315   

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a greater increase in the value of the Euro versus the U.S. Dollar during the three months ended September 30, 2013.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months
Ended September 30,
2013
    Three Months
Ended September 30,
2012
 

NAV beginning of period

  $ 3,183,279      $ 5,024,268   

NAV end of period

  $ 3,221,062      $ 5,249,866   

Percentage change in NAV

    1.2     4.5

Shares outstanding beginning of period

    150,014        150,014   

Shares outstanding end of period

    150,014        150,014   

 

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    Three Months
Ended September 30,
2013
    Three Months
Ended September 30,
2012
 

Percentage change in shares outstanding

    0 .0     0 .0

Shares created

    —          —     

Shares redeemed

    —          —     

Per share NAV beginning of period

  $ 21.22      $ 33.49   

Per share NAV end of period

  $ 21.47      $ 35.00   

Percentage change in per share NAV

    1.2     4.5

Percentage change in benchmark

    0.9     2.5

Benchmark annualized volatility

    11.5     6.1

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2012 to September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.2% for the three months ended September 30, 2013, as compared to the increase of 4.5% for the three months ended September 30, 2012, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 9, 2013 at $22.50 per Share and reached its low for the period on July 5, 2013 at $20.37 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 13, 2012 at $35.47 per Share and reached its low for the period on July 5, 2012 at $33.52 per Share.

The benchmark’s rise of 0.9% for the three months ended September 30, 2013, as compared to the benchmark’s rise of 2.5% for the three months ended September 30, 2012, can be attributed to a lesser increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (7,357   $ (11,359

Management fee

    7,652        12,368   

Net realized gain (loss)

    (20,236     90,137   

Change in net unrealized appreciation/depreciation

    65,376        146,820   

Net income (loss)

  $ 37,783      $ 225,598   

The Fund’s net income decreased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended September 30, 2013.

 

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ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months
Ended September 30,
2013
    Three Months
Ended September 30,
2012
 

NAV beginning of period

  $ 174,808,019      $ 137,638,067   

NAV end of period

  $ 167,085,628      $ 165,803,550   

Percentage change in NAV

    (4.4 )%      20.5

Shares outstanding beginning of period

    3,124,812        860,001   

Shares outstanding end of period

    4,224,812        1,745,001   

Percentage change in shares outstanding

    35.2     102.9

Shares created

    2,900,000        2,245,000   

Shares redeemed

    1,800,000        1,360,000   

Per share NAV beginning of period

  $ 55.94      $ 160.04   

Per share NAV end of period

  $ 39.55      $ 95.02   

Percentage change in per share NAV

    (29.3 )%      (40.6 )% 

Percentage change in benchmark

    (28.9 )%      (40.6 )% 

Benchmark annualized volatility

    40.8     64.1

During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 3,124,812 outstanding Shares at June 30, 2013 to 4,224,812 outstanding Shares at September 30, 2013. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 860,001 outstanding Shares at June 30, 2012 to 1,745,001 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the daily performance of its benchmark. The Fund’s per Share NAV decrease of 29.3% for the three months ended September 30, 2013, as compared to the decrease of 40.6% for the three months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $54.66 per Share and reached its low for the period on September 18, 2013 at $36.35 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 24, 2012 at $158.59 per Share and reached its low for the period on September 24, 2012 at $91.92 per Share.

The benchmark’s decline of 28.9% for the three months ended September 30, 2013, as compared to the benchmark’s decline of 40.6% for the three months ended September 30, 2012, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (354,687   $ (293,913

Management fee

    365,398        315,055   

Net realized gain (loss)

    (58,621,766     (85,612,284

Change in net unrealized appreciation/depreciation

    1,991,315        13,016,490   

Net income (loss)

  $ (56,985,138   $ (72,889,707

 

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The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser decline in the Fund’s benchmark during the three months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months
Ended September 30,
2013
    Three Months
Ended September 30,
2012
 

NAV beginning of period

  $ 72,133,381      $ 85,305,861   

NAV end of period

  $ 96,765,151      $ 100,655,318   

Percentage change in NAV

    34.1     18.0

Shares outstanding beginning of period

    2,550,005        1,550,005   

Shares outstanding end of period

    4,175,005        2,425,005   

Percentage change in shares outstanding

    63.7     56.5

Shares created

    2,500,000        975,000   

Shares redeemed

    875,000        100,000   

Per share NAV beginning of period

  $ 28.29      $ 55.04   

Per share NAV end of period

  $ 23.18      $ 41.51   

Percentage change in per share NAV

    (18.1 )%      (24.6 )% 

Percentage change in benchmark

    (17.9 )%      (24.4 )% 

Benchmark annualized volatility

    24.3     25.9

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 2,550,005 outstanding Shares at June 30, 2013 to 4,175,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 1,550,005 outstanding Shares at June 30, 2012 to 2,425,005 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.1% for the three months ended September 30, 2013, as compared to the decrease of 24.6% for the three months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 2, 2013 at $28.05 per Share and reached its low for the period on September 18, 2013 at $22.11 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period July 2, 2012 at $53.90 per Share and reached its low for the period on September 27, 2012 at $41.30 per Share.

The benchmark’s decline of 17.9% for the three months ended September 30, 2013, as compared to the benchmark’s decline of 24.4% for the three months ended September 30, 2012, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (165,692   $ (189,842

Management fee

    172,413        202,688   

Net realized gain (loss)

    (6,927,757     (19,925,541

Change in net unrealized appreciation/depreciation

    (6,309,282     (7,588,632

Net income (loss)

  $ (13,402,731   $ (27,704,015

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser decline in the Fund’s benchmark during the three months ended September 30, 2013.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months
Ended September 30,
2013
    Three Months
Ended September 30,
2012
 

NAV beginning of period

  $ 215,235,917      $ 299,133,075   

NAV end of period

  $ 286,200,633      $ 193,256,492   

Percentage change in NAV

    33.0     (35.4 )% 

Shares outstanding beginning of period

    2,989,557        310,915   

Shares outstanding end of period

    8,289,557        635,915   

Percentage change in shares outstanding

    177.3     104.5

Shares created

    11,050,000        639,000   

Shares redeemed

    5,750,000        314,000   

Per share NAV beginning of period

  $ 72.00      $ 962.11   

Per share NAV end of period

  $ 34.53      $ 303.90   

Percentage change in per share NAV

    (52.0 )%      (68.4 )% 

Percentage change in benchmark

    (28.9 )%      (40.6 )% 

Benchmark annualized volatility

    40.8     64.1

During the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 2,989,557 outstanding Shares at June 30, 2013 to 8,289,557 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2012, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 310,915 outstanding Shares at June 30, 2012 to 635,915 outstanding Shares at September 30, 2012.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.0% for the three months ended September 30, 2013, as compared to the decrease of 68.4% for the three months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2013.

 

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During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $68.70 per Share and reached its low for the period on September 18, 2013 at $29.28 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 24, 2012 at $920.02 per Share and reached its low for the period on September 24, 2012 at $288.50 per Share.

The benchmark’s decline of 28.9% for the three months ended September 30, 2013, as compared to the benchmark’s decline of 40.6% for the three months ended September 30, 2012, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (1,259,552   $ (1,045,175

Management fee

    667,541        586,150   

Brokerage commissions

    602,808        462,005   

Offering costs

    —          19,313   

Net realized gain (loss)

    (197,361,289     (299,186,009

Change in net unrealized appreciation/depreciation

    9,756,983        39,589,171   

Net income (loss)

  $ (188,863,858   $ (260,642,013

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a lesser decline in the fund’s benchmark during the three months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months
Ended September 30,
2013
    Three Months
Ended September 30,
2012
 

NAV beginning of period

  $ 117,395,722      $ 13,585,406   

NAV end of period

  $ 94,516,078      $ 54,441,724   

Percentage change in NAV

    (19.5 )%      300.7

Shares outstanding beginning of period

    1,500,020        300,020   

Shares outstanding end of period

    900,020        800,020   

Percentage change in shares outstanding

    (40.0 )%      166.7

Shares created

    750,000        4,400,000   

Shares redeemed

    1,350,000        3,900,000   

Per share NAV beginning of period

  $ 78.26      $ 45.28   

Per share NAV end of period

  $ 105.02      $ 68.05   

Percentage change in per share NAV

    34.2     50.3

Percentage change in benchmark

    (28.9 )%      (40.6 )% 

Benchmark annualized volatility

    40.8     64.1

 

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During the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,500,020 outstanding Shares at June 30, 2013 to 900,020 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 300,020 outstanding Shares at June 30, 2012 to 800,020 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.2% for the three months ended September 30, 2013, as compared to the increase of 50.3% for the three months ended September 30, 2012, was primarily due to lesser appreciation in the value of the assets of the fund during the three months ended September 30, 2013.

During the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $114.88 per Share and reached its low for the period on July 1, 2013 at $80.05 per Share. By comparison, during the three months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 24, 2012 at $71.25 per Share and reached its low for the period on July 24, 2012 at $44.11 per Share.

The benchmark’s decline of 28.9% for the three months ended September 30, 2013, as compared to the benchmark’s decline of 40.6% for the three months ended September 30, 2012, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX Futures curve during the three months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2013 and 2012:

 

    Three Months Ended
September 30, 2013
    Three Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (339,271   $ (123,735

Management fee

    212,926        37,125   

Brokerage commissions

    132,363        71,818   

Offering costs

    —          19,314   

Net realized gain (loss)

    37,635,709        10,270,631   

Change in net unrealized appreciation/depreciation

    (2,813,145     (146,394

Net income (loss)

  $ 34,483,293      $ 10,000,502   

The Fund’s net income increased for the three months ended September 30, 2013, as compared to the three months ended September 30, 2012, primarily due to a decline in the Fund’s benchmark during the three months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares Short VIX Short-Term Futures ETF.

 

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Results of Operations for the Nine Months Ended September 30, 2013 Compared to the Nine Months Ended September 30, 2012

ProShares UltraShort DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

  $ 3,245,965      $ 9,107,146   

NAV end of period

  $ 3,746,428      $ 2,881,496   

Percentage change in NAV

    15.4     (68.4 )% 

Shares outstanding beginning of period

    59,997        159,997   

Shares outstanding end of period

    59,997        59,997   

Percentage change in shares outstanding

    0.0     (62.5 )% 

Shares created

    —          —     

Shares redeemed

    —          100,000   

Per share NAV beginning of period

  $ 54.10      $ 56.92   

Per share NAV end of period

  $ 62.44      $ 48.03   

Percentage change in per share NAV

    15.4     (15.6 )% 

Percentage change in benchmark

    (8.6 )%      5.6

Benchmark annualized volatility

    10.8     14.8

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index during the nine months ended September 30, 2013. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to September 30, 2013. By comparison, during the nine months ended September 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 159,997 outstanding Shares at December 31, 2011 to 59,997 Shares at September 30, 2012. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.4% for the nine months ended September 30, 2013, as compared to the decrease of 15.6% for the nine months ended September 30, 2012, was primarily due to appreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 7, 2013 at $66.37 per Share and reached its low for the period on January 30, 2013 at $51.04 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on June 1, 2012 at $68.06 per Share and reached its low for the period on September 14, 2012 at $46.01 per Share.

The benchmark’s decline of 8.6% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 5.6% for the nine months ended September 30, 2012, can be attributed to depreciation of the underlying components of the index during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (23,250   $ (41,159

Management fee

    24,901        43,386   

Net realized gain (loss)

    472,355        653,203   

Change in net unrealized appreciation/depreciation

    51,358        (684,049

Net income (loss)

  $ 500,463      $ (72,005

 

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The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decrease in the Fund’s benchmark index from the nine months ended September 30, 2012 to the nine months ended September 30, 2013.

ProShares UltraShort DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

  $ 89,481,266      $ 144,389,893   

NAV end of period

  $ 442,461,028      $ 116,516,762   

Percentage change in NAV

    394.5     (19.3 )% 

Shares outstanding beginning of period

    2,219,944        3,719,944   

Shares outstanding end of period

    14,619,944        2,869,944   

Percentage change in shares outstanding

    558.6     (22.8 )% 

Shares created

    22,350,000        5,250,000   

Shares redeemed

    9,950,000        6,100,000   

Per share NAV beginning of period

  $ 40.31      $ 38.82   

Per share NAV end of period

  $ 30.26      $ 40.60   

Percentage change in per share NAV

    (24.9 )%      4.6

Percentage change in benchmark

    10.6     (9.8 )% 

Benchmark annualized volatility

    18.6     26.0

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 2,219,944 outstanding Shares at December 31, 2012 to 14,619,944 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 3,719,944 outstanding Shares at December 31, 2011 to 2,869,944 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 24.9% for the nine months ended September 30, 2013, as compared to the increase of 4.6% for the nine months ended September 30, 2012, was primarily due to depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 17, 2013 at $45.45 per Share and reached its low for the period on September 6, 2013 at $26.59 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on June 28, 2012 at $60.49 per Share and reached its low for the period on February 24, 2012 at $31.27 per Share.

The benchmark’s rise of 10.6% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 9.8% for the nine months ended September 30, 2012, can be attributed to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (1,796,450   $ (846,352

Management fee

    1,830,070        871,751   

Brokerage commission

    49,006        24,596   

Net realized gain (loss)

    (91,271,858     26,048,369   

Change in net unrealized appreciation/depreciation

    53,049,617        4,449,263   

Net income (loss)

  $ (40,018,691   $ 29,651,280   

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to an increase in the price of WTI Crude Oil.

ProShares UltraShort DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

  $ 12,768,340      $ 7,142,310   

NAV end of period

  $ 16,035,027      $ 13,282,921   

Percentage change in NAV

    25.6     86.0

Shares outstanding beginning of period

    125,008        75,008   

Shares outstanding end of period

    174,952        150,008   

Percentage change in shares outstanding

    40.0     100.0

Shares created

    387,500        212,500   

Shares redeemed

    337,556        137,500   

Per share NAV beginning of period

  $ 102.14      $ 95.22   

Per share NAV end of period

  $ 91.65      $ 88.55   

Percentage change in per share NAV

    (10.3 )%      (7.0 )% 

Percentage change in benchmark

    (5.4 )%      (21.9 )% 

Benchmark annualized volatility

    30.8     49.5

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 125,008 outstanding Shares at December 31, 2012 to 174,952 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 75,008 outstanding Shares at December 31, 2011 to 150,008 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.3% for the nine months ended September 30, 2013, as compared to the decrease of 7.0% for the nine months ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 9, 2013 at $116.81 per Share and reached its low for the period on April 19, 2013 at $59.27 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period April 19, 2012 at $245.67 per Share and reached its low for the period on July 30, 2012 at $88.10 per Share.

 

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The benchmark’s decline of 5.4% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 21.9% for the nine months ended September 30, 2012, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (166,191   $ (150,656

Management fee

    137,353        39,735   

Brokerage commission

    36,055        52,462   

Offering costs

    —          63,342   

Net realized gain (loss)

    255,984        1,537,175   

Change in net unrealized appreciation/depreciation

    57,806        (4,182,367

Net income (loss)

  $ 147,599      $ (2,795,848

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decrease in the price of Henry Hub Natural Gas in conjunction with an increase in shares outstanding during the nine months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split and the reverse Share split for the ProShares UltraShort DJ-UBS Natural Gas Fund.

ProShares UltraShort Gold*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

  $ 92,416,742      $ 198,298,571   

NAV end of period

  $ 145,113,410      $ 92,790,217   

Percentage change in NAV

    57.0     (53.2 )% 

Shares outstanding beginning of period

    1,446,978        2,397,475   

Shares outstanding end of period

    1,646,978        1,647,475   

Percentage change in shares outstanding

    13.8     (31.3 )% 

Shares created

    1,750,000        —     

Shares redeemed

    1,550,000        750,000   

Per share NAV beginning of period

  $ 63.87      $ 82.71   

Per share NAV end of period

  $ 88.11      $ 56.32   

Percentage change in per share NAV

    38 .0     (31.9 )% 

Percentage change in benchmark

    (20.0 )%      16.0

Benchmark annualized volatility

    22.5     18.1

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,446,978 outstanding Shares at December 31, 2012 to 1,646,978 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. By comparison, during the nine months ended September 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,397,475

 

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outstanding Shares at December 31, 2011 to 1,647,475 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 38.0% for the nine months ended September 30, 2013, as compared to the decrease of 31.9% for the nine months ended September 30, 2012, was primarily due to appreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on June 28, 2013 at $114.11 per Share and reached its low for the period on January 2, 2013 at $61.07 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on May 30, 2012 at $77.48 per Share and reached its low for the period on September 21, 2012 at $55.89 per Share.

The benchmark’s decline of 20.0% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 16.0% for the nine months ended September 30, 2012, can be attributed to a decrease in the price of spot gold in U.S. Dollar terms during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (843,885   $ (902,170

Management fee

    892,226        954,699   

Brokerage commission

    32        33   

Net realized gain (loss)

    39,766,657        (9,276,818

Change in net unrealized appreciation/depreciation

    4,026,909        (42,564,515

Net income (loss)

  $ 42,949,681      $ (52,743,503

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decrease in the price of spot gold in U.S. Dollar terms during the nine months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares UltraShort Gold Fund.

ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

  $ 100,656,703      $ 246,813,921   

NAV end of period

  $ 115,501,076      $ 125,947,671   

Percentage change in NAV

    14.7     (49.0 )% 

Shares outstanding beginning of period

    1,958,489        3,218,874   

Shares outstanding end of period

    1,508,489        3,158,489   

 

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    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Percentage change in shares outstanding

    (23.0 )%      (1.9 )% 

Shares created

    3,050,000        5,660,000   

Shares redeemed

    3,500,000        5,720,385   

Per share NAV beginning of period

  $ 51.40      $ 76.68   

Per share NAV end of period

  $ 76.57      $ 39.88   

Percentage change in per share NAV

    49.0     (48.0 )% 

Percentage change in benchmark

    (27.6 )%      23.0

Benchmark annualized volatility

    33.1     31.0

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 1,958,489 outstanding Shares at December 31, 2012 to 1,508,489 outstanding Shares at September 30, 2013. By comparison, during the nine months ended September 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 3,218,874 outstanding Shares at December 31, 2011 to 3,158,489 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 49.0% for the nine months ended September 30, 2013, as compared to the decrease of 48.0% for the nine months ended September 30, 2012, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on June 27, 2013 at $113.67 per Share and reached its low for the period on January 23, 2013 at $43.72 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on January 3, 2012 at $73.38 per Share and reached its low for the period on September 28, 2012 at $39.88 per Share.

The benchmark’s decline of 27.6% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 23.0% for the nine months ended September 30, 2012, can be attributed to a decrease in the price of spot silver in U.S. Dollar terms during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

    Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

  $ (712,063   $ (1,149,341

Management fee

    759,657        1,219,073   

Brokerage commission

    32        33   

Net realized gain (loss)

    86,830,919        (27,207,003

Change in net unrealized appreciation/depreciation

    (10,271,469     (57,610,147

Net income (loss)

  $ 75,847,387      $ (85,966,491

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decrease in the price of spot silver in U.S. Dollar terms during the nine months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares UltraShort Silver Fund.

 

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ProShares Short Euro

Since the Fund commenced investment operations on June 26, 2012, the Fund’s results of operations for the period ended September 30, 2012 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

    Nine Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

NAV beginning of period

  $ 3,763,040      $ 200   

NAV end of period

  $ 7,277,390      $ 3,872,555   

Percentage change in NAV

    93.4     1,936,177.5

Shares outstanding beginning of period

    100,005        5   

Shares outstanding end of period

    200,005        100,005   

Percentage change in shares outstanding

    100.0     2,000,000.0

Shares created

    100,000        100,000   

Shares redeemed

    —          —     

Per share NAV beginning of period

  $ 37.63      $ 40.00   

Per share NAV end of period

  $ 36.39      $ 38.72   

Percentage change in per share NAV

    (3.3 )%      (3.2 )% 

Percentage change in benchmark

    2.5     2.9

Benchmark annualized volatility

    8.0     9.4

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 200,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the period ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at June 26, 2012 to 100,005 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the nine months ended September 30, 2013 and the period ended September 30, 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.3% for the nine months ended September 30, 2013, as compared to the decrease of 3.2% for the period ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $38.76 per Share and reached its low for the period on February 1, 2013 at $36.34 per Share. By comparison, during the period ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 24, 2012 at $41.33 per Share and reached its low for the period on September 14, 2012 at $37.95 per Share.

The benchmark’s rise of 2.5% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 2.9% for the period ended September 30, 2012, can be attributed to a lesser increase in the value of the Euro versus the U.S. Dollar during the nine months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (33,006   $ (9,488

Management fee

     16,573        —     

Brokerage commission

     517        197   

Offering costs

     45,511        10,896   

Limitation by Sponsor

     (28,232     (964

Net realized gain (loss)

     (114,800     (104,556

Change in net unrealized appreciation/depreciation

     (86,238     (13,601

Net income (loss)

   $ (234,044   $ (127,645

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the period ended September 30, 2012, primarily due to an increase in the value of the Euro versus the U.S. Dollar in conjunction with an increase in outstanding shares during the nine months ended September 30, 2013.

ProShares UltraShort Australian Dollar

Since the Fund commenced investment operations on July 17, 2012, a comparison of the Fund’s results of investment operations for the period ended September 30, 2012, may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and from commencement of investment operations to September 30, 2012.

 

     Nine Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

NAV beginning of period

   $ 3,780,999      $ 200   

NAV end of period

   $ 23,978,227      $ 3,870,326   

Percentage change in NAV

     534.2     1,935,063.0

Shares outstanding beginning of period

     100,005        5   

Shares outstanding end of period

     550,005        100,005   

Percentage change in shares outstanding

     450.0     2,000,000.0

Shares created

     450,000        100,000   

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 37.81      $ 40.00   

Per share NAV end of period

   $ 43.60      $ 38.70   

Percentage change in per share NAV

     15.3     (3.2 )% 

Percentage change in benchmark

     (10.3 )%      0.6

Benchmark annualized volatility

     10.6     8.6

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 550,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. By comparison, during the period ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at December 31, 2011 to 100,005 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar.

For the nine months ended September 30, 2013 and the period ended September 30, 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.3% for the nine months ended September 30, 2013, as compared to the decrease of 3.2% for the period ended September 30, 2012, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

 

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During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 2, 2013 at $48.58 per Share and reached its low for the period on April 11, 2013 at $35.89 per Share. By comparison, during period ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 5, 2012 at $40.44 per Share and reached its low for the period on September 14, 2012 at $37.52 per Share.

The benchmark’s decline of 10.3% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 0.6% for the period ended September 30, 2012, can be attributed to a decrease in the value of the Australian Dollar versus the U.S. Dollar during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

     Nine Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

Net investment income (loss)

   $ (98,659   $ (7,544

Management fee

     47,611        —     

Brokerage commission

     7,836        605   

Offering costs

     47,870        8,537   

Limitation by Sponsor

     (1,259     (1,012

Net realized gain (loss)

     2,294,668        (123,487

Change in net unrealized appreciation/depreciation

     (551,893     1,157   

Net income (loss)

   $ 1,644,116      $ (129,874

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the period ended September 30, 2012, primarily due to a decrease in the value of the Australian Dollar versus the U.S. Dollar during the nine months ended September 30, 2013.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 526,778,026      $ 1,100,159,546   

NAV end of period

   $ 456,760,044      $ 770,862,313   

Percentage change in NAV

     (13.3 )%      (29.9 )% 

Shares outstanding beginning of period

     27,700,014        54,100,014   

Shares outstanding end of period

     25,750,014        38,300,014   

Percentage change in shares outstanding

     (7.0 )%      (29.2 )% 

Shares created

     6,250,000        12,100,000   

Shares redeemed

     8,200,000        27,900,000   

Per share NAV beginning of period

   $ 19.02      $ 20.34   

Per share NAV end of period

   $ 17.74      $ 20.13   

Percentage change in per share NAV

     (6.7 )%      (1.0 )% 

Percentage change in benchmark

     2.5     (0.7 )% 

Benchmark annualized volatility

     8.0     8.9

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 27,700,014 outstanding Shares at December 31, 2012 to 25,750,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the nine months ended September 30, 2012, the decrease in the

 

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Fund’s NAV resulted from a decrease from 54,100,014 outstanding Shares at December 31, 2011 to 38,300,014 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.7% for the nine months ended September 30, 2013, as compared to the per Share NAV decrease of 1.0% for the nine months ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $20.16 per Share and reached its low for the period on February 1, 2013 at $17.72 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 24, 2012 at $22.94 per Share and reached its low for the period on February 24, 2012 at $18.67 per Share.

The benchmark’s rise of 2.5% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 0.7% for the nine months ended September 30, 2012, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (3,374,312   $ (5,986,513

Management fee

     3,553,447        6,345,979   

Net realized gain (loss)

     (19,715,453     106,380,408   

Change in net unrealized appreciation/depreciation

     (12,790,424     (102,555,076

Net income (loss)

   $ (35,880,189   $ (2,161,181

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to an increase in the value of the Euro versus the U.S. Dollar for the nine months ended September 30, 2013.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 408,563,630      $ 221,131,994   

NAV end of period

   $ 463,282,138      $ 249,828,407   

Percentage change in NAV

     13.4     13.0

Shares outstanding beginning of period

     8,049,294        5,399,294   

Shares outstanding end of period

     7,449,294        6,049,294   

Percentage change in shares outstanding

     (7.5 )%      12.0

Shares created

     4,300,000        3,750,000   

Shares redeemed

     4,900,000        3,100,000   

Per share NAV beginning of period

   $ 50.76      $ 40.96   

Per share NAV end of period

   $ 62.19      $ 41.30   

Percentage change in per share NAV

     22.5     0.8

Percentage change in benchmark

     (11.8 )%      (1.4 )% 

Benchmark annualized volatility

     13.4     7.8

 

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During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. The increase in the Fund’s NAV was offset by a decrease from 8,049,294 outstanding Shares at December 31, 2012 to 7,449,294 outstanding Shares at September 30, 2013. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 5,399,294 outstanding Shares at December 31, 2011 to 6,049,294 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 22.5% for the nine months ended September 30, 2013, as compared to the increase of 0.8% for the nine months ended September 30, 2012, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on May 17, 2013 at $70.23 per Share and reached its low for the period on January 8, 2013 at $51.09 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on March 14, 2012 at $48.20 per Share and reached its low for the period on February 2, 2012 at $40.08 per Share.

The benchmark’s decline of 11.8% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 1.4% for the nine months ended September 30, 2012, can be attributed to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (3,278,808   $ (1,594,712

Management fee

     3,450,237        1,699,389   

Net realized gain (loss)

     139,337,127        5,697,040   

Change in net unrealized appreciation/depreciation

     (50,643,634     1,730,121   

Net income (loss)

   $ 85,414,685      $ 5,832,449   

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the nine months ended September 30, 2013.

 

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ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 6,097,211      $ 9,058,529   

NAV end of period

   $ 3,991,828      $ 8,400,978   

Percentage change in NAV

     (34.5 )%      (7.3 )% 

Shares outstanding beginning of period

     250,014        350,014   

Shares outstanding end of period

     200,014        300,014   

Percentage change in shares outstanding

     (20.0 )%      (14.3 )% 

Shares created

     —          —     

Shares redeemed

     50,000        50,000   

Per share NAV beginning of period

   $ 24.39      $ 25.88   

Per share NAV end of period

   $ 19.96      $ 28.00   

Percentage change in per share NAV

     (18.2 )%      8.2

Percentage change in benchmark

     (8.6 )%      5.6

Benchmark annualized volatility

     10.8     14.8

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 250,014 outstanding shares at December 31, 2012 to 200,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Commodity Index. By comparison, during the nine months ended September 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 350,014 outstanding Shares at December 31, 2011 to 300,014 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Commodity Index.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.2% for the nine months ended September 30, 2013, as compared to the increase of 8.2% for the nine months ended September 30, 2012, was primarily due to depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $25.72 per Share and reached its low for the period on August 7, 2013 at $18.99 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 14, 2012 at $29.39 per Share and reached its low for the period on June 1, 2012 at $20.71 per Share.

The benchmark’s decline of 8.6% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 5.6% for the nine months ended September 30, 2012, can be attributed to depreciation of the underlying components of the index during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (30,577   $ (59,565

Management fee

     32,386        62,966   

Net realized gain (loss)

     (868,012     (234,507

Change in net unrealized appreciation/depreciation

     68,819        975,248   

Net income (loss)

   $ (829,770   $ 681,176   

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decrease in the Fund’s benchmark index from the nine months ended September 30, 2012 to the nine months ended September 30, 2013.

 

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ProShares Ultra DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 483,508,964      $ 251,395,322   

NAV end of period

   $ 137,074,786      $ 381,973,929   

Percentage change in NAV

     (71.7 )%      51.9

Shares outstanding beginning of period

     16,449,170        6,149,170   

Shares outstanding end of period

     3,949,170        12,199,170   

Percentage change in shares outstanding

     (76.0 )%      98.4

Shares created

     7,700,000        19,300,000   

Shares redeemed

     20,200,000        13,250,000   

Per share NAV beginning of period

   $ 29.39      $ 40.88   

Per share NAV end of period

   $ 34.71      $ 31.31   

Percentage change in per share NAV

     18.1     (23.4 )% 

Percentage change in benchmark

     10.6     (9.8 )% 

Benchmark annualized volatility

     18.6     26.0

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,449,170 outstanding Shares at December 31, 2012 to 3,949,170 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 6,149,170 outstanding Shares at December 31, 2011 to 12,199,170 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.1% for the nine months ended September 30, 2013, as compared to the decrease of 23.4% for the nine months ended September 30, 2012, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 6, 2013 at $39.87 per Share and reached its low for the period on April 17, 2013 at $25.06 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on July 19, 2012 at $49.25 per Share and reached its low for the period on June 28, 2012 at $23.36 per Share.

The benchmark’s rise of 10.6% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 9.8% for the nine months ended September 30, 2012, can be attributed to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (1,830,880   $ (2,192,481

Management fee

     1,902,343        2,267,600   

Brokerage commission

     44,268        51,677   

Net realized gain (loss)

     140,898,148        (3,016,491

Change in net unrealized appreciation/depreciation

     (69,016,005     (7,228,443

Net income (loss)

   $ 70,051,263      $ (12,437,415

 

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The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2013.

ProShares Ultra DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 73,019,370      $ 4,079,349   

NAV end of period

   $ 94,189,168      $ 67,505,640   

Percentage change in NAV

     29.0     1,554.8

Shares outstanding beginning of period

     1,869,941        40,002   

Shares outstanding end of period

     2,919,941        1,319,941   

Percentage change in shares outstanding

     56.2     3,199.7

Shares created

     3,750,000        2,080,000   

Shares redeemed

     2,700,000        800,061   

Per share NAV beginning of period

   $ 39.05      $ 101.98   

Per share NAV end of period

   $ 32.26      $ 51.14   

Percentage change in per share NAV

     (17.4 )%      (49.8 )% 

Percentage change in benchmark

     (5.4 )%      (21.9 )% 

Benchmark annualized volatility

     30.8     49.5

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,869,941 outstanding Shares at December 31, 2012 to 2,919,941 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, nine months ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 40,002 outstanding Shares at December 31, 2011 to 1,319,941 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the Dow Jones-UBS Natural Gas SubindexSM.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.4% for the nine months ended September 30, 2013, as compared to the decrease of 49.8% for the nine months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 19, 2013 at $59.32 per Share and reached its low for the period on August 9, 2013 at $29.45 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on January 4, 2012 at $109.49 per Share and reached its low for the period on April 19, 2012 at $29.42 per Share.

The benchmark’s decline of 5.4% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 21.9% for the nine months ended September 30, 2012, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (523,698   $ (396,107

Management fee

     458,553        260,956   

Brokerage commission

     87,565        90,703   

Offering costs

     —          63,342   

Net realized gain (loss)

     415,531        (5,781,054

Change in net unrealized appreciation/depreciation

     7,251,831        13,596,155   

Net income (loss)

   $ 7,143,664      $ 7,418,994   

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a lesser decrease in the price of Henry Hub Natural Gas in conjunction with capital shares transactions during the nine months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra DJ-UBS Natural Gas Fund.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 335,054,752      $ 326,399,360   

NAV end of period

   $ 172,546,283      $ 388,689,908   

Percentage change in NAV

     (48.5 )%      19.1

Shares outstanding beginning of period

     4,000,014        4,300,014   

Shares outstanding end of period

     3,400,014        4,000,014   

Percentage change in shares outstanding

     (15.0 )%      (7.0 )% 

Shares created

     550,000        500,000   

Shares redeemed

     1,150,000        800,000   

Per share NAV beginning of period

   $ 83.76      $ 75.91   

Per share NAV end of period

   $ 50.75      $ 97.17   

Percentage change in per share NAV

     (39.4 )%      28.0

Percentage change in benchmark

     (20.0 )%      16.0

Benchmark annualized volatility

     22.5     18.1

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 4,000,014 outstanding Shares at December 31, 2012 to 3,400,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 4,300,014 outstanding Shares at December 31, 2011 to 4,000,014 outstanding Shares at September 30, 2012.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 39.4% for the nine months ended September 30, 2013, as compared to the increase of 28.0% for the nine months ended September 30, 2012, was primarily due to the depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

 

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During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 2, 2013 at $87.40 per Share and reached its low for the period on June 28, 2013 at $41.68 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on February 28, 2012 at $101.40 per Share and reached its low for the period on May 30, 2012 at $74.51 per Share.

The benchmark’s decline of 20.0% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 16.0% for the nine months ended September 30, 2012, can be attributed to a decrease in the price of spot gold in U.S. Dollar terms during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (1,573,347   $ (2,395,141

Management fee

     1,692,282        2,546,445   

Brokerage commission

     32        33   

Net realized gain (loss)

     (124,323,199     (27,070,473

Change in net unrealized appreciation/depreciation

     (1,525,551     111,573,251   

Net income (loss)

   $ (127,422,097   $ 82,107,637   

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decrease in the price of spot gold in U.S. Dollar terms during the nine months ended September 30, 2013.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 747,725,400      $ 606,824,420   

NAV end of period

   $ 553,925,429      $ 978,987,907   

Percentage change in NAV

     (25.9 )%      61.3

Shares outstanding beginning of period

     17,400,028        14,050,028   

Shares outstanding end of period

     27,600,028        16,650,028   

Percentage change in shares outstanding

     58.6     18.5

Shares created

     13,550,000        6,800,000   

Shares redeemed

     3,350,000        4,200,000   

Per share NAV beginning of period

   $ 42.97      $ 43.19   

Per share NAV end of period

   $ 20.07      $ 58.80   

Percentage change in per share NAV

     (53.3 )%      36.1

Percentage change in benchmark

     (27.6 )%      23.0

Benchmark annualized volatility

     33.1     31.0

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in

 

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the Fund’s NAV was offset by an increase from 17,400,028 outstanding Shares at December 31, 2012 to 27,600,028 outstanding Shares at September 30, 2013. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 14,050,028 outstanding Shares at December 31, 2011 to 16,650,028 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 53.3% for the nine months ended September 30, 2013, as compared to the increase of 36.1% for the nine months ended September 30, 2012, was primarily due to depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 23, 2013 at $49.39 per Share and reached its low for the period on June 27, 2013 at $15.33 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on February 29, 2012 at $73.52 per Share and reached its low for the period on July 12, 2012 at $35.76 per Share.

The benchmark’s decline of 27.6% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 23.0% for the nine months ended September 30, 2012, can be attributed to a decrease in the price of spot silver in U.S. Dollar terms during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (4,096,782   $ (5,103,531

Management fee

     4,410,160        5,416,759   

Brokerage commission

     28        38   

Net realized gain (loss)

     (509,870,331     (51,740,204

Change in net unrealized appreciation/depreciation

     65,645,670        269,727,476   

Net income (loss)

   $ (448,321,443   $ 212,883,741   

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decrease in the price of spot silver in U.S. Dollar terms during the nine months ended September 30, 2013.

ProShares Ultra Australian Dollar

Since the Fund commenced investment operations on July 17, 2012, a comparison of the Fund’s results of operations for the period ended September 30, 2012, may not be meaningful.

 

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Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

     Nine Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

NAV beginning of period

   $ 4,150,068      $ 200   

NAV end of period

   $ 3,429,398      $ 4,089,373   

Percentage change in NAV

     (17.4 )%      2,044,586.5

Shares outstanding beginning of period

     100,005        5   

Shares outstanding end of period

     100,005        100,005   

Percentage change in shares outstanding

     0.0     2,000,000.0

Shares created

     —          100,000   

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 41.50      $ 40.00   

Per share NAV end of period

   $ 34.29      $ 40.89   

Percentage change in per share NAV

     (17.4 )%      2.2

Percentage change in benchmark

     (10.3 )%      0.6

Benchmark annualized volatility

     10.6     8.6

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. There was no net change in outstanding Shares from December 31, 2012 to September 30, 2013. By comparison, during the period ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at December 31, 2011 to 100,005 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.4% for the nine months ended September 30, 2013, as compared to the increase of 2.2% for the nine months ended September 30, 2012, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 11, 2013 at $43.27 per Share and reached its low for the period on August 2, 2013 at $31.10 per Share. By comparison, during the period ended September 30, 2012, the Fund’s per Share NAV reached its high for the period September 14, 2012 at $42.25 per Share and reached its low for the period on September 5, 2012 at $39.29 per Share

The benchmark’s decline of 10.3% for the nine months ended September 30, 2013, as compared to the benchmark’s rise of 0.6% for the period ended September 30, 2012, can be attributed to a decrease in the value of the Australian Dollar versus the U.S. Dollar during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and from commencement of investment operations to September 30, 2012:

 

     Nine Months Ended
September 30, 2013
    Period Ended
September 30, 2012
 

Net investment income (loss)

   $ (26,628   $ (7,953

Management fee

     6,535        —     

Brokerage commission

     1,171        556   

Offering costs

     47,870        8,537   

Limitation by Sponsor

     (27,636     (522

Net realized gain (loss)

     (863,011     99,029   

Change in net unrealized appreciation/depreciation

     168,969        (1,903

Net income (loss)

   $ (720,670   $ 89,173   

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the period ended September 30, 2012, primarily due to a decrease in the value of the Australian Dollar versus the U.S. Dollar during the nine months ended September 30, 2013.

 

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 4,870,316      $ 9,554,748   

NAV end of period

   $ 2,525,460      $ 5,802,471   

Percentage change in NAV

     (48.1 )%      (39.3 )% 

Shares outstanding beginning of period

     200,014        400,014   

Shares outstanding end of period

     100,014        250,014   

Percentage change in shares outstanding

     (50.0 )%      (37.5 )% 

Shares created

     —          50,000   

Shares redeemed

     100,000        200,000   

Per share NAV beginning of period

   $ 24.35      $ 23.89   

Per share NAV end of period

   $ 25.25      $ 23.21   

Percentage change in per share NAV

     3.7     (2.8 )% 

Percentage change in benchmark

     2.5     (0.7 )% 

Benchmark annualized volatility

     8.0     8.9

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 200,014 outstanding Shares at December 31, 2012 to 100,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the nine months ended September 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,014 outstanding Shares at December 31, 2011 to 250,014 outstanding Shares at September 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2013, as compared to the decrease of 2.8% for the nine months ended September 30, 2012, was primarily due to an increase in the value of the assets held by the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on February 1, 2013 at $26.03 per Share and reached its low for the period on July 9, 2013 at $22.64 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on February 24, 2012 at $25.78 per Share and reached its low for the period on July 24, 2012 at $20.56 per Share.

The benchmark’s rise of 2.5% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 0.7% for the nine months ended September 30, 2012, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (26,990   $ (49,451

Management fee

     28,458        52,001   

Net realized gain (loss)

     12,752        (811,656

Change in net unrealized appreciation/depreciation

     103,308        741,030   

Net income (loss)

   $ 89,070      $ (120,077

 

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The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to an increase in the value of the Euro versus the U.S. Dollar during the nine months ended September 30, 2013.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 4,227,995      $ 5,471,075   

NAV end of period

   $ 3,221,062      $ 5,249,866   

Percentage change in NAV

     (23.8 )%      (4.0 )% 

Shares outstanding beginning of period

     150,014        150,014   

Shares outstanding end of period

     150,014        150,014   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     50,000        —     

Shares redeemed

     50,000        —     

Per share NAV beginning of period

   $ 28.18      $ 36.47   

Per share NAV end of period

   $ 21.47      $ 35.00   

Percentage change in per share NAV

     (23.8 )%      (4.0 )% 

Percentage change in benchmark

     (11.8 )%      (1.4 )% 

Benchmark annualized volatility

     13.4     7.8

During the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to September 30, 2013. By comparison, during the nine months ended September 30, 2012, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2011 to September 30, 2012.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.8% for the nine months ended September 30, 2013, as compared to the decrease of 4.0% for the nine months ended September 30, 2012, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 8, 2013 at $27.97 per Share and reached its low for the period on May 17, 2013 at $19.65 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on February 2, 2012 at $37.15 per Share and reached its low for the period on March 14, 2012 at $30.68 per Share.

The benchmark’s decline of 11.8% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 1.4% for the nine months ended September 30, 2012, can be attributed to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the nine months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (24,644   $ (34,134

Management fee

     26,182        36,387   

Net realized gain (loss)

     (1,694,755     (131,031

Change in net unrealized appreciation/depreciation

     569,644        (56,044

Net income (loss)

   $ (1,149,755   $ (221,209

The Fund’s net income decreased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the nine months ended September 30, 2013.

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 137,657,464      $ 30,549,903   

NAV end of period

   $ 167,085,628      $ 165,803,550   

Percentage change in NAV

     21.4     442.7

Shares outstanding beginning of period

     1,640,001        80,001   

Shares outstanding end of period

     4,224,812        1,745,001   

Percentage change in shares outstanding

     157.6     2,081.2

Shares created

     8,170,000        4,145,000   

Shares redeemed

     5,585,189        2,480,000   

Per share NAV beginning of period

   $ 83.94      $ 381.87   

Per share NAV end of period

   $ 39.55      $ 95.02   

Percentage change in per share NAV

     (52.9 )%      (75.1 )% 

Percentage change in benchmark

     (52.8 )%      (75.0 )% 

Benchmark annualized volatility

     60.3     72.7

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,640,001 outstanding Shares at December 31, 2012 to 4,224,812 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 80,001 outstanding Shares at December 31, 2011 to 1,745,001 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.9% for the nine months ended September 30, 2013, as compared to the decrease of 75.1% for the nine months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

 

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During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $76.11 per Share and reached its low for the period on September 18, 2013 at $36.35 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on January 3, 2012 at $358.13 per Share and reached its low for the period on September 24, 2012 at $91.92 per Share.

The benchmark’s decline of 52.8% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 75.0% for the nine months ended September 30, 2012, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (1,117,258   $ (741,943

Management fee

     1,171,508        788,072   

Offering costs

     —          1,090   

Net realized gain (loss)

     (102,871,341     (137,705,361

Change in net unrealized appreciation/depreciation

     3,439,893        (3,292,785

Net income (loss)

   $ (100,548,706   $ (141,740,089

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to the lesser decline in the Fund’s benchmark during the nine months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 37,302,992      $ 90,821,428   

NAV end of period

   $ 96,765,151      $ 100,655,318   

Percentage change in NAV

     159.4     10.8

Shares outstanding beginning of period

     1,075,005        1,225,005   

Shares outstanding end of period

     4,175,005        2,425,005   

Percentage change in shares outstanding

     288.4     98.0

Shares created

     5,200,000        1,900,000   

Shares redeemed

     2,100,000        700,000   

Per share NAV beginning of period

   $ 34.70      $ 74.14   

Per share NAV end of period

   $ 23.18      $ 41.51   

Percentage change in per share NAV

     (33.2 )%      (44.0 )% 

Percentage change in benchmark

     (32.8 )%      (43.8 )% 

Benchmark annualized volatility

     25.8     32.3

 

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During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,075,005 outstanding Shares at December 31, 2012 to 4,175,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 1,225,005 outstanding Shares at December 31, 2011 to 2,425,005 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the daily performance of its benchmark. The Fund’s per Share NAV decrease of 33.2% for the nine months ended September 30, 2013, as compared to the decrease of 44.0% for the nine months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $32.37 per Share and reached its low for the period on September 18, 2013 at $22.11 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on January 3, 2012 at $71.93 per Share and reached its low for the period on September 27, 2012 at $41.30 per Share.

The benchmark’s decline of 32.8% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 43.8% for the nine months ended September 30, 2012, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (389,961   $ (603,705

Management fee

     410,433        634,119   

Offering costs

     —          682   

Net realized gain (loss)

     (19,673,532     (45,671,021

Change in net unrealized appreciation/depreciation

     738,490        (7,604,889

Net income (loss)

   $ (19,325,003   $ (53,879,615

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a lesser decline in the Fund’s benchmark during the nine months ended September 30, 2013.

 

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ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 84,716,132      $ 9,881,113   

NAV end of period

   $ 286,200,633      $ 193,256,492   

Percentage change in NAV

     237.8     1,855.8

Shares outstanding beginning of period

     420,808        1,333   

Shares outstanding end of period

     8,289,557        635,915   

Percentage change in shares outstanding

     1,869.9     47,605.6

Shares created

     24,400,000        1,183,750   

Shares redeemed

     16,531,251        549,168   

Per share NAV beginning of period

   $ 201.32      $ 7,412.69   

Per share NAV end of period

   $ 34.53      $ 303.90   

Percentage change in per share NAV

     (82.9 )%      (95.9 )% 

Percentage change in benchmark

     (52.8 )%      (75.0 )% 

Benchmark annualized volatility

     60.3     72.7

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 420,808 outstanding Shares at December 31, 2012 to 8,289,557 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted from an increase from 1,333 outstanding Shares at December 31, 2011 to 635,915 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 to 2x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 82.9% for the nine months ended September 30, 2013, as compared to the decrease of 95.9% for the nine months ended September 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $163.06 per Share and reached its low for the period on September 18, 2013 at $29.28 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on January 3, 2012 at $6490.23 per Share and reached its low for the period on September 24, 2012 at $288.50 per Share.

The benchmark’s decline of 52.8% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 75.0% for the nine months ended September 30, 2012, can be attributed to a lesser decrease in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (3,722,756   $ (2,320,003

Management fee

     1,944,995        1,216,603   

Brokerage commission

     1,824,624        1,074,133   

Offering costs

     —          69,341   

Net realized gain (loss)

     (302,267,308     (477,910,745

Change in net unrealized appreciation/depreciation

     10,639,956        (19,834,311

Net income (loss)

   $ (295,350,108   $ (500,065,059

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a lesser decline in the fund’s benchmark during the nine months ended September 30, 2013.

 

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* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

NAV beginning of period

   $ 82,663,633      $ 7,760,424   

NAV end of period

   $ 94,516,078      $ 54,441,724   

Percentage change in NAV

     14.3     601.5

Shares outstanding beginning of period

     1,250,020        300,020   

Shares outstanding end of period

     900,020        800,020   

Percentage change in shares outstanding

     (28.0 )%      166.7

Shares created

     4,600,000        9,100,000   

Shares redeemed

     4,950,000        8,600,000   

Per share NAV beginning of period

   $ 66.13      $ 25.87   

Per share NAV end of period

   $ 105.02      $ 68.05   

Percentage change in per share NAV

     58.8     163.1

Percentage change in benchmark

     (52.8 )%      (75.0 )% 

Benchmark annualized volatility

     60.3     72.7

During the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 1,250,020 outstanding Shares at December 31, 2012 to 900,020 outstanding Shares at September 30, 2013. By comparison, during the nine months ended September 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 300,020 outstanding Shares at December 31, 2011 to 800,020 outstanding Shares at September 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation of over 0.99 the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 58.8% for the nine months ended September 30, 2013, as compared to the increase of 163.1% for the nine months ended September 30, 2012, was primarily due to a lesser appreciation in the value of the assets of the fund during the nine months ended September 30, 2013.

During the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $114.88 per Share and reached its low for the period on June 24, 2013 at $71.01 per Share. By comparison, during the nine months ended September 30, 2012, the Fund’s per Share NAV reached its high for the period on September 24, 2012 at $71.25 per Share and reached its low for the period on January 3, 2012 at $27.48 per Share.

The benchmark’s decline of 52.8% for the nine months ended September 30, 2013, as compared to the benchmark’s decline of 75.0% for the nine months ended September 30, 2012, can be attributed to a lesser decrease in the prices of the near-term futures contracts on the VIX Futures curve during the nine months ended September 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2013 and 2012:

 

     Nine Months Ended
September 30, 2013
    Nine Months Ended
September 30, 2012
 

Net investment income (loss)

   $ (848,890   $ (273,418

Management fee

     535,989        73,103   

Brokerage commission

     335,552        139,690   

Offering costs

     —          69,342   

Net realized gain (loss)

     58,712,909        14,347,729   

Change in net unrealized appreciation/depreciation

     (2,063,561     439,952   

Net income (loss)

   $ 55,800,458      $ 14,514,263   

The Fund’s net income increased for the nine months ended September 30, 2013, as compared to the nine months ended September 30, 2012, primarily due to a decline in the Fund’s benchmark during the nine months ended September 30, 2013.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares Short VIX Short-Term Futures ETF.

 

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Since ProShares UltraShort Australian Dollar and ProShares Ultra Australian Dollar commenced investment operations on July 17, 2012 and ProShares Short Euro commenced investment operations on June 26, 2012, comparisons of positions in certain Financial Instruments held by each of ProShares UltraShort Australian Dollar, ProShares Ultra Australian Dollar and ProShares Short Euro for the nine months ended September 30, 2012 may not be meaningful.

Quantitative Disclosure

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2013 and 2012, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort DJ-UBS Commodity:

As of September 30, 2013 and 2012, the ProShares UltraShort DJ-UBS Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following tables provide information about the Fund’s short swap positions as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2013

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Deutsche Bank AG    Short    $ 127.1103       $ (2,645,772

Dow Jones-UBS Commodity Index

   Goldman Sachs International    Short      127.1103         (3,749,305

Dow Jones-UBS Commodity Index

   UBS AG    Short      127.1103         (1,095,198

 

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Swap Agreements as of September 30, 2012

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Goldman Sachs International    Short    $ 148.5061       $ (4,448,127

Dow Jones-UBS Commodity Index

   UBS AG    Short      148.5061         (1,319,410

The September 30, 2013 and 2012 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2012 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 1, 2013 (the “Form 10-K”), for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort DJ-UBS Crude Oil:

As of September 30, 2013 and 2012, the ProShares UltraShort DJ-UBS Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

   Short    November 2013      3,779       $ 102.33         1,000       $ (386,705,070

Swap Agreements as of September 30, 2013

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS WTI Crude Oil Sub-index

   Deutsche Bank AG    Short    $ 253.0597       $ (138,285,284

Dow Jones-UBS WTI Crude Oil Sub-index

   Goldman Sachs International    Short      235.0597         (141,900,040

Dow Jones-UBS WTI Crude Oil Sub-index

   Societe Generale S.A.    Short      235.0597         (85,110,010

Dow Jones-UBS WTI Crude Oil Sub-index

   UBS AG    Short      235.0597         (132,930,537

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

   Short    November 2012      899       $ 92.19         1,000       $ (82,878,810

 

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Swap Agreements as of September 30, 2012

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS WTI Crude Oil Subindex

   Goldman Sachs International    Short    $ 233.9973       $ (60,694,381

Dow Jones-UBS WTI Crude Oil Subindex

   Societe Generale S.A.    Short      233.9973         (54,129,361

Dow Jones-UBS WTI Crude Oil Subindex

   UBS AG    Short      233.9973         (35,377,663

The September 30, 2013 and 2012 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2013 and 2012 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort DJ-UBS Natural Gas:

As of September 30, 2013 and 2012, the ProShares UltraShort DJ-UBS Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Natural Gas (NYMEX)

   Short    November 2013      901       $ 3.56         10,000       $ (32,075,600

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Natural Gas (NYMEX)

   Short    November 2012      800       $ 3.32         10,000       $ (26,560,000

The September 30, 2013 and 2012 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net

 

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assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares UltraShort Gold:

As of September 30, 2013 and 2012, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Gold Futures (COMEX)

   Short    December 2013      2       $ 1,327.00         100       $ (265,400

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,326.53       $ (161,438,701

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Short    $ 1,326.53       $ (78,262,617

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,326.53         (39,795,900

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,326.53         (10,413,261

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Gold Futures (COMEX)

   Short    December 2012      2       $ 1,773.90         100       $ (354,780

Forward Agreements as of September 30, 2012

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,776.20       $ (119,717,228

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Short      1,776.20         (24,153,040

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,776.20         (26,110,434

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,776.20         (15,186,681

The September 30, 2013 and 2012 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2013 and 2012 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and

 

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expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of September 30, 2013 and 2012, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Silver Futures (COMEX)

   Short    December 2013      2       $ 21.708         5,000       $ (217,080

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 21.6828       $ (118,539,868

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Short      21.6828         (65,406,166

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      21.6828         (37,923,217

0.999 Fine Troy Ounce Silver

   UBS AG    Short      21.6828         (8,911,631

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Silver Futures (COMEX)

   Short    December 2012      2       $ 34.577         5,000       $ (345,770

Forward Agreements as of September 30, 2012

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 34.6566       $ (95,201,680

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Short      34.6566         (46,318,546

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      34.6566         (59,540,039

0.999 Fine Troy Ounce Silver

   UBS AG    Short      34.6566         (50,494,666

The September 30, 2013 and 2012 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2013 and 2012 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with (decreases) increases in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer

 

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periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra DJ-UBS Commodity:

As of September 30, 2013 and 2012, the ProShares Ultra DJ-UBS Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following tables provide information about the Fund’s swap positions as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2013

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Deutsche Bank AG    Long    $ 127.1103       $   2,467,834   

Dow Jones-UBS Commodity Index

   Goldman Sachs International    Long      127.1103         3,803,041   

Dow Jones-UBS Commodity Index

   UBS AG    Long      127.1103         1,697,422   

Swap Agreements as of September 30, 2012

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Goldman Sachs International    Long    $ 148.5061       $ 11,686,812   

Dow Jones-UBS Commodity Index

   UBS AG    Long      148.5061         5,108,198   

The September 30, 2013 and 2012 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra DJ-UBS Crude Oil:

As of September 30, 2013 and 2012, the ProShares Ultra DJ-UBS Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

   Long    November 2013      1,093       $ 102.33         1,000       $ 111,846,690   

 

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Swap Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS WTI Crude Oil Subindex

   Deutsche Bank AG    Long    $ 253.0597       $ 46,973,928   

Dow Jones-UBS WTI Crude Oil Subindex

   Goldman Sachs
International
   Long      253.0597         45,742,000   

Dow Jones-UBS WTI Crude Oil Subindex

   Societe Generale S.A.    Long      253.0597         25,106,915   

Dow Jones-UBS WTI Crude Oil Subindex

   UBS AG    Long      253.0597         44,514,417   

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

   Long    November 2012      3,087       $ 92.19         1,000       $ 284,590,530   

Swap Agreements as of September 30, 2012

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS WTI Crude Oil Subindex

   Goldman Sachs
International
   Long    $ 233.9973       $ 184,858,973   

Dow Jones-UBS WTI Crude Oil Subindex

   Societe Generale S.A    Long      233.9973         148,481,998   

Dow Jones-UBS WTI Crude Oil Subindex

   UBS AG    Long      233.9973         146,064,844   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2013 and 2012 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra DJ-UBS Natural Gas:

As of September 30, 2013 and 2012, the ProShares Ultra DJ-UBS Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Natural Gas (NYMEX)

   Long    November 2013      5,291       $ 3.56         10,000       $ 188,359,600   

 

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Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Natural Gas (NYMEX)

   Long    November 2012      4,067       $ 3.32         10,000       $ 135,024,400   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares Ultra Gold:

As of September 30, 2013 and 2012, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Gold Futures (COMEX)

   Long    December 2013      2       $ 1,327.00         100       $ 265,400   

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,326.53       $ 188,632,566   

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Long      1,326.53         88,373,429   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,326.53         46,295,897   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,326.53         21,489,786   

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Gold Futures (COMEX)

   Long    December 2012      2       $ 1,773.90         100       $ 354,780   

 

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Forward Agreements as of September 30, 2012

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,776.20       $ 130,552,170   

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Long      1,776.20         210,162,350   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,776.20         211,014,936   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,776.20         225,224,696   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2013 and 2012 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of September 30, 2013 and 2012, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Silver Futures (COMEX)

   Long    December 2013      2       $ 21.708         5,000       $ 217,080   

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 21.6828       $ 600,570,194   

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Long      21.6828         266,325,496   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      21.6828         177,105,110   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      21.6828         63,639,018   

 

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Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Silver Futures (COMEX)

   Long    December 2012      2       $ 34.577         5,000       $ 345,770   

Forward Agreements as of September 30, 2012

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 34.6566       $ 118,179,006   

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Long      34.6566         662,661,917   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      34.6566         746,745,760   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      34.6566         430,088,406   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2013 and 2012 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2013 and 2012, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2013 and 2012, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Euro Fx Currency Futures (CME)

   Short    December 2013      43       $ 1.3527         125,000       $ (7,270,763

 

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Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Euro Fx Currency Futures (CME)

   Short    December 2012      24       $ 1.2862         125,000       $ 3,858,600   

The September 30, 2013 and 2012 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares UltraShort Australian Dollar:

As of September 30, 2013 and 2012, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2013      519       $ 92.79         1,000       $ (48,158,010

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2012      75       $ 103.03         1,000       $ 7,727,250   

The September 30, 2013 and 2012 short futures notional value is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional value will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian Dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian Dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

 

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ProShares UltraShort Euro:

As of September 30, 2013 and 2012, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2013

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    10/04/13      59,619,300        1.3528       $ 80,653,379   

Euro

   UBS AG    Long    10/04/13      44,376,200        1.3528         60,032,413   

Euro

   Goldman Sachs
International
   Short    10/04/13      (395,033,825     1.3528         (534,404,339

Euro

   UBS AG    Short    10/04/13      (385,179,200     1.3528         (521,072,938

Foreign Currency Forward Contracts as of September 30, 2012

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    10/05/12      121,663,800        1.2852       $ 156,366,739   

Euro

   UBS AG    Long    10/05/12      146,354,700        1.2852         188,100,383   

Euro

   Goldman Sachs
International
   Short    10/05/12      (700,644,925     1.2852         (900,494,334

Euro

   UBS AG    Short    10/05/12      (767,109,200     1.2852         (985,916,637

The September 30, 2013 and 2012 USD market values equal the number of Euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of September 30, 2013 and 2012, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2013

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long    10/04/13      10,842,832,400        0.010173       $ 110,305,446   

Yen

   UBS AG    Long    10/04/13      4,202,410,900        0.010173         42,751,635   

Yen

   Goldman Sachs
International
   Short    10/04/13      (56,007,835,200     0.010173         (569,774,484

Yen

   UBS AG    Short    10/04/13      (50,043,376,200     0.010173         (509,097,321

 

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Foreign Currency Forward Contracts as of September 30, 2012

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long    10/05/12      2,209,153,600        0.012817       $ 28,315,328   

Yen

   UBS AG    Long    10/05/12      1,869,997,800        0.012817         23,968,275   

Yen

   Goldman Sachs
International
   Short    10/05/12      (16,016,951,000     0.012817         (205,293,657

Yen

   UBS AG    Short    10/05/12      (27,086,156,900     0.012817         (347,170,708

The September 30, 2013 and 2012 USD market values equal the number of Yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Australian Dollar:

As of September 30, 2013 and 2012, the ProShares Ultra Australian Dollar Fund was exposed to exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Long    December 2013      74       $   92.79         1,000       $ 6,866,460   

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Long    December 2012      79       $ 103.03         1,000       $ 8,139,370   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for

 

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spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Australian Dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian Dollar and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares Ultra Euro:

As of September 30, 2013 and 2012, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2013

 

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    10/04/13      1,573,025        1.3528       $ 2,127,999   

Euro

   UBS AG    Long    10/04/13      4,058,700        1.3528         5,490,636   

Euro

   Goldman Sachs
International
   Short    10/04/13      (1,867,300     1.3528         (2,526,096

Euro

   UBS AG    Short    10/04/13      (38,400     1.3528         (51,948

Foreign Currency Forward Contracts as of September 30, 2012

 

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    10/05/12      3,181,525        1.2852       $ 4,089,012   

Euro

   UBS AG    Long    10/05/12      6,105,000        1.2852         7,846,368   

Euro

   Goldman Sachs
International
   Short    10/05/12      (179,800     1.2852         (231,086

Euro

   UBS AG    Short    10/05/12      (77,600     1.2852         (99,734

The September 30, 2013 and 2012 USD market value equals the number of Euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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ProShares Ultra Yen:

As of September 30, 2013 and 2012, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2013

 

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs

International

   Long    10/04/13      317,266,000        0.010173       $ 3,227,585   

Yen

   UBS AG    Long    10/04/13      339,056,000        0.010173         3,449,258   

Yen

   Goldman Sachs

International

   Short    10/04/13      (18,973,500     0.010173         (193,020

Yen

   UBS AG    Short    10/04/13      (3,870,100     0.010173         (39,371

Foreign Currency Forward Contracts as of September 30, 2012

 

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs

International

   Long    10/05/12      387,568,100        0.012817       $ 4,967,567   

Yen

   UBS AG    Long    10/05/12      453,633,300        0.012817         5,814,342   

Yen

   Goldman Sachs

International

   Short    10/05/12      (6,526,600     0.012817         (83,653

Yen

   UBS AG    Short    10/05/12      (15,729,000     0.012817         (201,603

The September 30, 2013 and 2012 USD market values equal the number of Yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of September 30, 2013 and 2012, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of September 30, 2013 and 2012, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2013 and 2012, which were sensitive to equity market volatility risk.

 

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Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts    Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2013    5,549    $ 16.20         1,000       $ 89,893,800   

VIX Futures (CBOE)

   Long    November 2013    4,540      16.90         1,000         76,726,000   

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2012      5,861       $ 16.40         1,000       $ 96,120,400   

VIX Futures (CBOE)

   Long    November 2012      3,904         18.05         1,000         70,467,200   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares VIX Mid-Term Futures ETF

As of September 30, 2013 and 2012, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2013 and 2012, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2014      943       $ 18.05         1,000       $ 17,021,150   

VIX Futures (CBOE)

   Long    February 2014      1,715       $ 18.65         1,000       $ 31,984,750   

VIX Futures (CBOE)

   Long    March 2014      1,716         19.10         1,000         32,775,600   

VIX Futures (CBOE)

   Long    April 2014      772         19.40         1,000         14,976,800   

 

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Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2013      890       $ 20.90         1,000       $ 18,601,000   

VIX Futures (CBOE)

   Long    February 2013      1,484         22.15         1,000         32,870,600   

VIX Futures (CBOE)

   Long    March 2013      1,484         23.35         1,000         34,651,400   

VIX Futures (CBOE)

   Long    April 2013      593         24.50         1,000         14,528,500   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2013 and 2012, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to the S&P 500 VIX Short-Term Futures Index. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2013 and 2012, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2013      19,039       $ 16.20         1,000       $ 308,431,800   

VIX Futures (CBOE)

   Long    November 2013      15,586         16.90         1,000         263,403,400   

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2012      13,083       $ 16.40         1,000       $ 214,561,200   

VIX Futures (CBOE)

   Long    November 2012      8,723         18.05         1,000         157,450,150   

Swap Agreements as of September 30, 2012

 

Reference Index

   Counterparty    Long or
Short
     Index
Close
     Notional
Amount at Value
 

S&P 500 VIX Short-Term Futures Index

   Societe Generale

S.A

     Long       $ 3,233.77       $ 15,386,719   

The September 30, 2013 and 2012 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2013 and 2012 swap notional value is calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the

 

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Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2013 and 2012, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2013 and 2012, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2013      3,153       $ 16.20         1,000       $ (51,078,600

VIX Futures (CBOE)

   Short    November 2013      2,585         16.90         1,000         (43,686,500

Futures Positions as of September 30, 2012

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2012      1,908       $ 16.40         1,000       $ (31,291,200

VIX Futures (CBOE)

   Short    November 2012      1,267         18.05         1,000         (22,869,350

The September 30, 2013 and 2012 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees

 

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and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort DJ-UBS Crude Oil and the ProShares Ultra DJ-UBS Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Dow Jones-UBS Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund

 

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and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. Dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the Index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds, UltraShort Funds will generally decrease when the Index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s, an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in a non-interest bearing demand deposit account. The Funds also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

 

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Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of September 30, 2013, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2013, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

 

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Part II. OTHER INFORMATION

 

Item 1. Legal Proceedings.

None.

 

Item 1A. Risk Factors.

Except as noted below, there has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2012, filed on March 1, 2013, as amended.

If a Commodity Index Fund establishes its positions through the use of sampling, such Fund may experience additional tracking error.

Tracking error is the difference between the performance of an index tracking fund and its applicable benchmark index. While each Commodity Index Fund seeks to provide investment results that correspond (before fees and expenses) to the performance of, or a multiple, the inverse or an inverse multiple of the daily performance of its corresponding index, as applicable, it is possible that tracking error may increase because of the differences between the proportion of exposure Financial Instruments held by a Commodity Index have to components included in the applicable benchmark index and the proportional weight that such components carry within the index.

A Commodity Index may obtain exposure through Financial Instruments to a representative sample of the components in its underlying index, which have aggregate characteristics similar to those of the underlying index. This “sampling” process typically involves selecting a representative sample of components in an index principally to enhance liquidity and reduce transaction costs while seeking to maintain high correlation with, and similar aggregate characteristics (e.g., underlying commodities and valuations) to, the underlying index. In addition, a Commodity Index Fund may obtain exposure to components not included in its underlying index, invest in assets that are not included in the underlying index or may overweight or underweight certain components contained in the underlying index. Index tracking funds that use sampling may experience greater tracking error than index tracking funds that fully replicate an underlying index by obtaining exposure on a proportionate basis to all components of that index.

 

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

 

  (a) None.

 

  (b) The Trust initially registered Shares on its Registration Statement on Form S-1 (No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (No. 333-193672) and Form S-3 Registration Statement (No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (333-187820) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares

 

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  UltraShort Euro, ProShares UltraShort Yen, ProShares UltraVIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (333-188215) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Natural Gas, ProShares UltraShort DJ-UBS Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (No. 333-189967) was declared effective, which registered additional Shares for ProShares DJ-UBS Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (No. 333-187820). Thus, as of September 30, 2013, the Trust had two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-188215); and 2) a Form S-3 Registration Statement (No. 333-189967).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury Securities or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may be used to collateralize swap agreements or forward contracts or deposited with FCMs as margin in connection with any futures transactions. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

 

Title of Securities Registered

  Amount
Registered
As of
September 30, 2013
    Shares Sold
For the
Three Months
Ended

September 30, 2013
    Sale Price of Shares
Sold For the

Three Months Ended
September 30, 2013
 

ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest

  $ 500,000,000        —        $ —     

ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest1

  $ 3,275,000,000        12,900,000      $ 387,033,249   

ProShares UltraShort DJ-UBS Natural Gas Common Units of Beneficial Interest

  $ 570,000,000        50,000      $ 4,055,648   

ProShares UltraShort Gold Common Units of Beneficial Interest

  $ 1,000,000,000        550,000      $ 50,022,858   

ProShares UltraShort Silver Common Units of Beneficial Interest1

  $ 2,700,000,000        1,550,000      $ 125,090,215   

ProShares Short Euro Common Units of Beneficial Interest

  $ 200,000,000        100,000      $ 3,748,394   

ProShares UltraShort Australian Dollar Common Units of Beneficial Interest

  $ 200,000,000        50,000      $ 2,307,300   

ProShares UltraShort Euro Common Units of Beneficial Interest1

  $ 2,753,506,872        1,400,000      $ 25,972,358   

ProShares UltraShort Yen Common Units of Beneficial Interest1

  $ 1,800,000,000        100,000      $ 6,400,972   

ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest

  $ 300,000,000        —        $ —     

ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest1

  $ 4,408,246,073        1,000,000      $ 36,524,456   

ProShares Ultra DJ-UBS Natural Gas Common Units of Beneficial Interest

  $ 680,000,000        2,100,000      $ 70,000,461   

ProShares Ultra Gold Common Units of Beneficial Interest

  $ 1,000,000,000        350,000      $ 18,127,975   

ProShares Ultra Silver Common Units of Beneficial Interest1

  $ 3,300,000,000        3,000,000      $ 61,310,060   

ProShares Ultra Australian Dollar Common Units of Beneficial Interest

  $ 200,000,000        —        $ —     

ProShares Ultra Euro Common Units of Beneficial Interest

  $ 500,000,000        —        $ —     

ProShares Ultra Yen Common Units of Beneficial Interest

  $ 500,000,000        —        $ —     

ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest1

  $ 3,250,000,000        2,900,000      $ 125,078,484   

ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest

  $ 1,300,000,000        2,500,000      $ 59,118,174   

ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest

  $ 8,000,000,000        11,050,000      $ 503,970,015   

ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest

  $ 2,750,000,000        750,000      $ 77,434,700   

Total:

  $ 39,186,752,945        40,350,000      $ 1,556,195,319   

 

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(c) From July 1, 2013 to September 30, 2013, the number of Shares redeemed and average price per Share for each Fund were as follows:

 

Fund

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

ProShares UltraShort DJ-UBS Commodity

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     —         $ —     

ProShares UltraShort DJ-UBS Crude Oil

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     1,950,000       $ 29.62   

09/01/13 to 09/30/13

     3,250,000       $ 29.46   

ProShares UltraShort DJ-UBS Natural Gas

     

07/01/13 to 07/31/13

     50,000       $ 86.22   

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     50,000       $ 91.76   

ProShares UltraShort Gold

     

07/01/13 to 07/31/13

     200,000       $ 99.41   

08/01/13 to 08/30/13

     200,000       $ 87.59   

09/01/13 to 09/30/13

     —         $ —     

ProShares UltraShort Silver

     

07/01/13 to 07/31/13

     250,000       $ 101.14   

08/01/13 to 08/30/13

     250,000       $ 82.04   

09/01/13 to 09/30/13

     300,000       $ 71.31   

ProShares Short Euro

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     —         $ —     

ProShares UltraShort Australian Dollar

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     —         $ —     

ProShares UltraShort Euro

     

07/01/13 to 07/31/13

     500,000       $ 19.41   

08/01/13 to 08/30/13

     950,000       $ 18.21   

09/01/13 to 09/30/13

     600,000       $ 18.38   

ProShares UltraShort Yen

     

07/01/13 to 07/31/13

     150,000       $ 62.21   

08/01/13 to 08/30/13

     350,000       $ 62.55   

09/01/13 to 09/30/13

     350,000       $ 63.66   

ProShares Ultra DJ-UBS Commodity

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     —         $ —     

ProShares Ultra DJ-UBS Crude Oil

     

07/01/13 to 07/31/13

     3,500,000       $ 35.43   

08/01/13 to 08/30/13

     600,000       $ 36.60   

09/01/13 to 09/30/13

     200,000       $ 35.57   

ProShares Ultra DJ-UBS Natural Gas

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     100,000       $ 34.57   

09/01/13 to 09/30/13

     250,000       $ 36.70   

ProShares Ultra Gold

     

07/01/13 to 07/31/13

     100,000       $ 46.77   

08/01/13 to 08/30/13

     150,000       $ 54.93   

09/01/13 to 09/30/13

     50,000       $ 51.06   

ProShares Ultra Silver

     

07/01/13 to 07/31/13

     300,000       $ 17.01   

08/01/13 to 08/30/13

     1,350,000       $ 23.79   

09/01/13 to 09/30/13

     800,000       $ 24.57   

ProShares Ultra Australian Dollar

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     —         $ —     

ProShares Ultra Euro

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     50,000       $ 25.13   

ProShares Ultra Yen

     

07/01/13 to 07/31/13

     —         $ —     

08/01/13 to 08/30/13

     —         $ —     

09/01/13 to 09/30/13

     —         $ —     

ProShares VIX Short-Term Futures ETF

     

07/01/13 to 07/31/13

     450,000       $ 45.67   

08/01/13 to 08/30/13

     825,000       $ 42.31   

09/01/13 to 09/30/13

     525,000       $ 38.78   

ProShares VIX Mid-Term Futures ETF

     

07/01/13 to 07/31/13

     275,000       $ 25.25   

08/01/13 to 08/30/13

     150,000       $ 24.78   

09/01/13 to 09/30/13

     450,000       $ 23.16   

ProShares Ultra VIX Short-Term Futures ETF

     

07/01/13 to 07/31/13

     950,000       $ 56.18   

08/01/13 to 08/30/13

     3,400,000       $ 42.31   

09/01/13 to 09/30/13

     1,400,000       $ 33.51   

ProShares Short VIX Short-Term Futures ETF

     

07/01/13 to 07/31/13

     750,000       $ 91,80   

08/01/13 to 08/30/13

     250,000       $ 109.62   

09/01/13 to 09/30/13

     350,000       $ 110.13   

Total:

     26,625,000       $ 40.33   

 

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Item 3. Defaults Upon Senior Securities.

None.

 

Item 4. Mine Safety Disclosures.

Not applicable.

 

Item 5. Other Information.

None.

 

Item 6. Exhibits.

 

Exhibit
No.

  

Description of Document

  31.1    Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  31.2    Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  32.1    Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2)
  32.2    Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2)
101.INS    XBRL Instance Document(3)
101.SCH    XBRL Taxonomy Extension Schema(3)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase(3)
101.DEF    XBRL Taxonomy Extension Definition Linkbase(3)
101.LAB    XBRL Taxonomy Extension Label Linkbase(3)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase(3)

 

(1) Filed herewith.
(2) Furnished herewith.
(3) In accordance with Rule 406T of Regulation S-T, the information in these exhibits is furnished and deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 and 12 of the Securities Act of 1933, is deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, and otherwise is not subject to liability under these sections.

 

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

PROSHARES TRUST II

/s/ Louis Mayberg

By: Louis Mayberg
Principal Executive Officer
Date: November 12, 2013

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial Officer
Date: November 12, 2013