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

Form 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 June 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.

     243   

Item 4.

 

Controls and Procedures.

     262   
Part II. OTHER INFORMATION   

Item 1.

 

Legal Proceedings.

     263   

Item 1A.

 

Risk Factors.

     263   

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds.

     263   

Item 3.

 

Defaults Upon Senior Securities.

     268   

Item 4.

 

Mine Safety Disclosures.

     268   

Item 5.

 

Other Information.

     268   

Item 6.

 

Exhibits.

     268   


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

 

     June 30, 2013         
     (unaudited)      December 31, 2012  

Assets

     

Cash

   $ 352,309       $ 296,119   

Short-term U.S. government and agency obligations (Note 3) (cost $3,191,584 and $2,803,598, respectively)

     3,191,531         2,803,904   

Unrealized appreciation on swap agreements

     412,248         148,502   
  

 

 

    

 

 

 

Total assets

     3,956,088         3,248,525   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,867         2,560   
  

 

 

    

 

 

 

Total liabilities

     2,867         2,560   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,953,221         3,245,965   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,956,088       $ 3,248,525   
  

 

 

    

 

 

 

Shares outstanding

     59,997         59,997   
  

 

 

    

 

 

 

Net asset value per share

   $ 65.89       $ 54.10   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 64.97       $ 51.64   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

2


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(81% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.038% due 08/29/13†

   $ 349,000       $ 348,989   

0.051% due 10/03/13†

     2,420,000         2,419,621   

0.050% due 10/31/13

     423,000         422,921   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,191,584)

      $ 3,191,531   
     

 

 

 

Swap Agreements^

 

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

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

   07/08/13    $ (2,097,156   $ 115,736   

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

   07/08/13      (4,702,593     249,202   

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

   07/08/13      (1,097,705     47,310   
       

 

 

 
        $ 412,248   
       

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 510      $ 978      $ 1,235      $ 1,659   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,450        15,812        16,035        35,996   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     8,450        15,812        16,035        35,996   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (7,940     (14,834     (14,800     (34,337
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     150,169        1,440,617        458,667        1,514,927   

Short-term U.S. government and agency obligations

     —          62        2        62   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     150,169        1,440,679        458,669        1,514,989   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     505,167        (529,837     263,746        (890,925

Short-term U.S. government and agency obligations

     (172     (47     (359     306   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     504,995        (529,884     263,387        (890,619
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     655,164        910,795        722,056        624,370   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 647,224      $ 895,961      $ 707,256      $ 590,033   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 10.79      $ 7.99      $ 11.79      $ 4.34   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     59,997        112,195        59,997        136,096   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,245,965   

Net investment income (loss)

     (14,800

Net realized gain (loss)

     458,669   

Change in net unrealized appreciation/depreciation

     263,387   
  

 

 

 

Net income (loss)

     707,256   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 3,953,221   
  

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended     Six months ended  
     June 30, 2013     June 30, 2012  

Cash flow from operating activities

    

Net income (loss)

   $ 707,256      $ 590,033   

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

     (387,986     4,855,078   

Change in unrealized appreciation/depreciation on investments

     (263,387     890,619   

Increase (Decrease) in management fee payable

     307        (2,403
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     56,190        6,333,327   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     —          (6,153,644
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     —          (6,153,644
  

 

 

   

 

 

 

Net increase (decrease) in cash

     56,190        179,683   

Cash, beginning of period

     296,119        9,060   
  

 

 

   

 

 

 

Cash, end of period

   $ 352,309      $ 188,743   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013         
     (unaudited)      December 31, 2012  

Assets

     

Cash

   $ 1,750,237       $ 658,676   

Segregated cash balances with brokers for futures contracts

     8,927,380         4,401,374   

Short-term U.S. government and agency obligations (Note 3) (cost $231,326,272 and $87,042,320, respectively)

     231,327,320         87,046,389   

Receivable from capital shares sold

     9,087,156         4,031,477   

Receivable on open futures contracts

     948,600         —     

Unrealized appreciation on swap agreements

     433,149         —     
  

 

 

    

 

 

 

Total assets

     252,473,842         96,137,916   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           979,336   

Management fee payable

     194,556         70,254   

Unrealized depreciation on swap agreements

     813,170         5,607,060   
  

 

 

    

 

 

 

Total liabilities

     1,007,726         6,656,650   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     251,466,116         89,481,266   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 252,473,842       $ 96,137,916   
  

 

 

    

 

 

 

Shares outstanding

     6,919,944         2,219,944   
  

 

 

    

 

 

 

Net asset value per share

   $ 36.34       $ 40.31   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 36.45       $ 40.44   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(92% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.055% due 07/25/13†

   $ 59,351,000       $ 59,350,209   

0.037% due 08/29/13†

     99,439,000         99,435,740   

0.043% due 10/03/13†

     63,731,000         63,721,015   

0.047% due 10/31/13

     8,822,000         8,820,356   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $231,326,272)

      $ 231,327,320   
     

 

 

 

Futures Contracts Sold††

 

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

Crude Oil - NYMEX, expires September 2013

     2,108       $ 203,295,520       $ (878,497

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

   07/08/13    $ (41,002,905   $ (617,121

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

   07/08/13      (131,067,619     (196,049

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

   07/08/13      (44,714,076     279,982   

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

   07/08/13      (82,852,782     153,167   
       

 

 

 
        $ (380,021
       

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
†† Cash collateral in the amount of $8,927,380 was pledged to cover margin requirements for open futures contracts as of June 30, 2013.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 23,201      $ 20,652      $ 48,510      $ 30,777   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     442,975        278,920        782,559        619,066   

Brokerage commissions

     18,494        10,438        25,529        16,342   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     461,469        289,358        808,088        635,408   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (438,268     (268,706     (759,578     (604,631
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     5,255,578        20,779,796        (3,232,391     20,649,559   

Swap agreements

     (4,229,924     33,552,184        (1,867,113     29,850,810   

Short-term U.S. government and agency obligations

     8,970        2,561        8,299        1,770   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     1,034,624        54,334,541        (5,091,205     50,502,139   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (1,110,021     (2,293,420     3,151,224        (3,341,590

Swap agreements

     10,988,393        (2,396,079     5,227,039        (2,249,599

Short-term U.S. government and agency obligations

     (2,083     (1,708     (3,021     5,321   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     9,876,289        (4,691,207     8,375,242        (5,585,868
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     10,910,913        49,643,334        3,284,037        44,916,271   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 10,472,645      $ 49,374,628      $ 2,524,459      $ 44,311,640   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 2.13      $ 16.64      $ 0.58      $ 12.57   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     4,923,241        2,967,197        4,354,474        3,524,614   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDER’S EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 89,481,266   

Addition of 9,450,000 shares

     347,128,588   

Redemption of 4,750,000 shares

     (187,668,197
  

 

 

 

Net addition (redemption) of 4,700,000 shares

     159,460,391   
  

 

 

 

Net investment income (loss)

     (759,578

Net realized gain (loss)

     (5,091,205

Change in net unrealized appreciation/depreciation

     8,375,242   
  

 

 

 

Net income (loss)

     2,524,459   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 251,466,116   
  

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 2,524,459      $ 44,311,640   

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

     (4,526,006     3,781,688   

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

     (144,283,952     63,699,600   

Change in unrealized appreciation/depreciation on investments

     (5,224,018     2,244,278   

Decrease (Increase) in receivable on futures contracts

     (948,600     576,597   

Increase (Decrease) in management fee payable

     124,302        (43,617

Increase (Decrease) in payable on futures contracts

     (979,336     6,561,280   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (153,313,151     121,131,466   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     342,072,909        122,243,525   

Payment on shares redeemed

     (187,668,197     (243,505,299
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     154,404,712        (121,261,774
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,091,561        (130,308

Cash, beginning of period

     658,676        265,258   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,750,237      $ 134,950   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 509,709       $ 310,060   

Segregated cash balances with brokers for futures contracts

     2,772,000         1,795,030   

Short-term U.S. government and agency obligations (Note 3) (cost $16,504,279 and $10,042,198, respectively)

     16,503,821         10,042,731   

Receivable on open futures contracts

     156,328         632,777   
  

 

 

    

 

 

 

Total assets

     19,941,858         12,780,598   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     17,321         12,258   
  

 

 

    

 

 

 

Total liabilities

     17,321         12,258   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     19,924,537         12,768,340   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 19,941,858       $ 12,780,598   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     224,952         125,008   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 88.57       $ 102.14   
  

 

 

    

 

 

 

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

   $ 88.00       $ 101.64   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(83% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.063% due 07/25/13

   $ 4,447,000       $ 4,446,941   

0.036% due 08/29/13

     310,000         309,990   

0.026% due 10/03/13

     2,703,000         2,702,576   

0.044% due 10/31/13

     9,046,000         9,044,314   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $16,504,279)

      $ 16,503,821   
     

 

 

 

Futures Contracts Sold††

 

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

Natural Gas - NYMEX, expires September 2013

     1,120       $ 39,860,800       $ 2,329,474   

 

†† Cash collateral in the amount of $2,772,000 was pledged to cover margin requirements for open futures contracts as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 3,549      $ 2,166      $ 5,950      $ 3,029   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     61,051        —          97,194        24,973   

Brokerage commissions

     17,088        27,710        26,912        41,476   

Offering costs

     —          39,029        —          45,648   

Limitation by Sponsor

     —          (48     —          —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     78,139        66,691        124,106        112,097   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (74,590     (64,525     (118,156     (109,068
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (834,719     1,866,063        (2,608,140     6,303,174   

Short-term U.S. government and agency obligations

     1,105        9        1,001        (158
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (833,614     1,866,072        (2,607,139     6,303,016   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     5,826,227        (11,132,490     1,920,339        (5,201,530

Short-term U.S. government and agency obligations

     (767     76        (991     464   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     5,825,460        (11,132,414     1,919,348        (5,201,066
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     4,991,846        (9,266,342     (687,791     1,101,950   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 4,917,256      $ (9,330,867   $ (805,947   $ 992,882   
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 13.27      $ (99.01   $ (2.98   $ 10.07   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     370,605        94,238        270,791        98,634   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 12,768,340   

Addition of 337,500 shares (Note 1)

     26,309,258   

Redemption of 237,556 shares (Note 1)

     (18,347,114
  

 

 

 

Net addition (redemption) of 99,944 shares (Note 1)

     7,962,144   
  

 

 

 

Net investment income (loss)

     (118,156

Net realized gain (loss)

     (2,607,139

Change in net unrealized appreciation/depreciation

     1,919,348   
  

 

 

 

Net income (loss)

     (805,947
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 19,924,537   
  

 

 

 

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June  30, 2013
    Six months ended
June  30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (805,947   $ 992,882   

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

     (976,970     (1,160,325

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

     (6,462,081     (8,863,227

Change in unrealized appreciation/depreciation on investments

     991        (464

Decrease (Increase) in receivable on futures contracts

     476,449        123,128   

Decrease (Increase) in Limitation by Sponsor

     —          (13,430

Change in offering cost

     —          1,879   

Increase (Decrease) in management fee payable

     5,063        (5,069

Increase (Decrease) in payable on futures contracts

     —          758,773   

Increase (Decrease) in payable for offering costs

     —          43,768   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (7,762,495     (8,122,085
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     26,309,258        25,809,015   

Payment on shares redeemed

     (18,347,114     (20,300,520
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     7,962,144        5,508,495   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     199,649        (2,613,590

Cash, beginning of period

     310,060        2,969,266   
  

 

 

   

 

 

 

Cash, end of period

   $ 509,709      $ 355,676   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 271,918       $ 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 $135,974,504 and $88,573,928, respectively)

     135,973,947         88,575,398   

Unrealized appreciation on forward agreements

     51,785,690         3,729,856   
  

 

 

    

 

 

 

Total assets

     188,049,155         92,495,298   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     17,112,476         —     

Payable on open futures contracts

     2,420         3,980   

Management fee payable

     131,262         74,576   
  

 

 

    

 

 

 

Total liabilities

     17,246,158         78,556   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     170,802,997         92,416,742   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 188,049,155       $ 92,495,298   
  

 

 

    

 

 

 

Shares outstanding

     1,496,978         1,446,978   
  

 

 

    

 

 

 

Net asset value per share

   $ 114.10       $ 63.87   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 106.50       $ 62.60   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(80% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.052% due 07/25/13†

   $ 20,918,000       $ 20,917,721   

0.038% due 08/29/13†

     31,554,000         31,552,966   

0.050% due 10/03/13†

     61,476,000         61,466,368   

0.050% due 10/31/13†

     22,041,000         22,036,892   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $135,974,504)

      $ 135,973,947   
     

 

 

 

Futures Contracts Sold††

 

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

Gold Futures - COMEX, expires August 2013

     2       $ 244,740       $ 41,240   

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

   07/08/13    $ (160,500   $ (191,319,210   $ 30,994,698   

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

   07/08/13      (47,698     (56,856,970     7,224,251   

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

   07/08/13      (40,400     (48,157,608     7,403,722   

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

   07/08/13      (37,750     (44,998,755     6,163,019   
         

 

 

 
          $ 51,785,690   
         

 

 

 

 

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 June 30, 2013.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June  30,

2013
    Three months
ended June  30,

2012
    Six months
ended June  30,

2013
    Six months
ended June  30,
2012
 

Investment Income

        

Interest

   $ 19,551      $ 24,236      $ 35,308      $ 31,155   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     368,796        327,032        595,254        676,801   

Brokerage commissions

     8        8        24        25   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     368,804        327,040        595,278        676,826   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (349,253     (302,804     (559,970     (645,671
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     32,000        21,860        65,420        39,700   

Forward agreements

     20,826,050        3,236,377        33,676,097        1,672,552   

Short-term U.S. government and agency obligations

     1,604        819        1,205        843   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     20,859,654        3,259,056        33,742,722        1,713,095   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     42,650        (7,820     26,000        (45,520

Forward agreements

     55,031,972        4,392,520        48,055,834        (28,637,853

Short-term U.S. government and agency obligations

     (2,827     (184     (2,027     6,524   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     55,071,795        4,384,516        48,079,807        (28,676,849
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     75,931,449        7,643,572        81,822,529        (26,963,754
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 75,582,196      $ 7,340,768      $ 81,262,559      $ (27,609,425
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 40.80      $ 3.76      $ 48.81      $ (13.30
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     1,852,472        1,949,948        1,664,933        2,076,527   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 92,416,742   

Addition of 1,200,000 shares

     98,059,279   

Redemption of shares 1,150,000

     (100,935,583
  

 

 

 

Net addition (redemption) of 50,000 shares

     (2,876,304
  

 

 

 

Net investment income (loss)

     (559,970

Net realized gain (loss)

     33,742,722   

Change in net unrealized appreciation/depreciation

     48,079,807   
  

 

 

 

Net income (loss)

     81,262,559   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 170,802,997   
  

 

 

 

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 81,262,559      $ (27,609,425

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

     (47,400,576     40,220,663   

Change in unrealized appreciation/depreciation on investments

     (48,053,807     28,631,329   

Increase (Decrease) in management fee payable

     56,686        (21,970

Increase (Decrease) in payable on futures contracts

     (1,560     10,760   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (14,139,448     41,230,902   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     98,059,279        —     

Payment on shares redeemed

     (83,823,107     (41,312,555
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     14,236,172        (41,312,555
  

 

 

   

 

 

 

Net increase (decrease) in cash

     96,724        (81,653

Cash, beginning of period

     175,194        330,841   
  

 

 

   

 

 

 

Cash, end of period

   $ 271,918      $ 249,188   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 235,913       $ 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 $81,897,311 and $86,199,868, respectively)

     81,895,916         86,206,701   

Unrealized appreciation on forward agreements

     41,146,185         19,307,685   
  

 

 

    

 

 

 

Total assets

     123,302,764         105,882,964   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     39,319,300         5,138,116   

Payable on open futures contracts

     9,170         2,520   

Management fee payable

     87,547         85,625   
  

 

 

    

 

 

 

Total liabilities

     39,416,017         5,226,261   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     83,886,747         100,656,703   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 123,302,764       $ 105,882,964   
  

 

 

    

 

 

 

Shares outstanding

     758,489         1,958,489   
  

 

 

    

 

 

 

Net asset value per share

   $ 110.60       $ 51.40   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 101.27       $ 50.07   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(98% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.065% due 07/25/13

   $ 10,550,000       $ 10,549,859   

0.036% due 08/29/13†

     15,197,000         15,196,502   

0.046% due 10/03/13†

     34,386,000         34,380,613   

0.044% due 10/31/13

     21,773,000         21,768,942   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $81,897,311)

      $ 81,895,916   
     

 

 

 

Futures Contracts Sold††

 

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

Silver Futures - COMEX, expires September 2013

     2       $ 194,700       $ 23,400   

Forward Agreements^

 

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

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

   07/08/13    $ (6,443,000   $ (121,534,953   $ 26,789,324   

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

   07/08/13      (417,500     (7,875,344     4,141,484   

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

   07/08/13      (1,728,000     (32,595,437     6,806,911   

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

   07/08/13      (298,000     (5,621,204     3,408,466   
         

 

 

 
          $ 41,146,185   
         

 

 

 

 

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 June 30, 2013.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June  30,

2013
    Three months
ended June  30,

2012
    Six months
ended June  30,

2013
    Six months
ended June  30,

2012
 

Investment Income

        

Interest

   $ 16,691      $ 29,103      $ 39,046      $ 44,427   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     290,088        400,447        540,615        903,594   

Brokerage commissions

     16        17        24        25   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     290,104        400,464        540,639        903,619   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (273,413     (371,361     (501,593     (859,192
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     93,800        51,500        125,740        53,400   

Forward agreements

     51,521,527        39,011,375        80,694,099        3,325,061   

Short-term U.S. government and agency obligations

     1,956        1,632        3,097        (42
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     51,617,283        39,064,507        80,822,936        3,378,419   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (4,120     (1,780     (16,620     (48,820

Forward agreements

     40,890,897        13,286,817        21,838,500        (21,008,895

Short-term U.S. government and agency obligations

     (4,874     (1,835     (8,228     8,972   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     40,881,903        13,283,202        21,813,652        (21,048,743
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     92,499,186        52,347,709        102,636,588        (17,670,324
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 92,225,773      $ 51,976,348      $ 102,134,995      $ (18,529,516
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 57.16      $ 18.62      $ 54.51      $ (5.52
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     1,613,434        2,791,342        1,873,682        3,355,273   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 100,656,703   

Addition of 1,500,000 shares

     95,085,247   

Redemption of 2,700,000 shares

     (213,990,198
  

 

 

 

Net addition (redemption) of (1,200,000) shares

     (118,904,951 )
  

 

 

 

Net investment income (loss)

     (501,593

Net realized gain (loss)

     80,822,936   

Change in net unrealized appreciation/depreciation

     21,813,652   
  

 

 

 

Net income (loss)

     102,134,995  
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 83,886,747   
  

 

 

 

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 102,134,995     $ (18,529,516

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     5,340   

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

     4,302,557        76,411,626   

Change in unrealized appreciation/depreciation on investments

     (21,830,272     20,999,923   

Increase (Decrease) in management fee payable

     1,922        (62,866

Increase (Decrease) in payable on futures contracts

     6,650        13,210   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     84,615,302        78,837,717   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     95,085,247        236,731,671   

Payment on shares redeemed

     (179,809,014     (315,660,119
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (84,723,767     (78,928,448
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (108,465     (90,731

Cash, beginning of period

     344,378        648,166   
  

 

 

   

 

 

 

Cash, end of period

   $ 235,913      $ 557,435   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 447,495       $ 302,359   

Segregated cash balances with brokers for futures contracts

     56,925         63,250   

Short-term U.S. government and agency obligations (Note 3) (cost $3,316,853 and $3,409,716, respectively)

     3,316,934         3,409,904   

Receivable on open futures contracts

     8,338         6,612   

Receivable from Sponsor

     30,376         —     

Offering costs (Note 5)

     —           19,770   

Limitation by Sponsor

     —           2,145   
  

 

 

    

 

 

 

Total assets

     3,860,068         3,804,040   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     493         —     

Payable for offering costs

     66,741         41,000   
  

 

 

    

 

 

 

Total liabilities

     67,234         41,000   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,792,834         3,763,040   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,860,068       $ 3,804,040   
  

 

 

    

 

 

 

Shares outstanding

     100,005         100,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 37.93       $ 37.63   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 38.01       $ 37.64   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(87% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.060% due 07/25/13

   $ 3,163,000       $ 3,162,958   

0.050% due 10/03/13

     154,000         153,976   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,316,853)

      $ 3,316,934   
     

 

 

 

Futures Contracts Sold††

 

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

Euro Fx Currency Futures - CME, expires September 2013

     23       $ 3,744,113       $ 67,613   

 

†† Cash collateral in the amount of $56,925 was pledged to cover margin requirements for open futures contracts as of June 30, 2013.

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 511      $ —        $ 1,025      $ —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     493        —          493        —     

Brokerage commissions

     114        63        230        63   

Offering costs

     35,401        562        45,511        562   

Limitation by Sponsor

     (26,925     (148     (28,232     (148
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     9,083        477        18,002        477   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,572     (477     (16,977     (477
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (67,938     (2,000     (75,938     (2,000

Short-term U.S. government and agency obligations

     5        —          147        —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (67,933     (2,000     (75,791     (2,000
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     5,900        (50,313     122,669        (50,313

Short-term U.S. government and agency obligations

     53        —          (107     —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     5,953        (50,313     122,562        (50,313
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (61,980     (52,313     46,771        (52,313
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (70,552   $ (52,790   $ 29,794      $ (52,790
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (0.71   $ (0.66   $ 0.30      $ (0.66
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     100,005        80,005        100,005        80,005   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,763,040   

Net investment income (loss)

     (16,977

Net realized gain (loss)

     (75,791

Change in net unrealized appreciation/depreciation

     122,562   
  

 

 

 

Net income (loss)

     29,794   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 3,792,834   
  

 

 

 

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 29,794      $ (52,790

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

     6,325        (101,875

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

     92,863        —     

Change in unrealized appreciation/depreciation on investments

     107        —     

Decrease (Increase) in receivable on futures contracts

     (1,726     —     

Decrease (Increase) in receivable from Sponsor

     (30,376     —     

Decrease (Increase) in Limitation by Sponsor

     2,145        (148

Change in offering cost

     19,770        (40,438

Increase (Decrease) in management fee payable

     493        —     

Increase (Decrease) in payable on futures contracts

     —          53,765   

Increase (Decrease) in payable for offering costs

     25,741        41,000   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     145,136        (100,486
  

 

 

   

 

 

 

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

     145,136        3,899,514   

Cash, beginning of period

     302,359        200   
  

 

 

   

 

 

 

Cash, end of period

   $ 447,495      $ 3,899,714   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 2,103,377       $ 361,157   

Segregated cash balances with brokers for futures contracts

     1,030,656         144,540   

Short-term U.S. government and agency obligations (Note 3) (cost $19,591,538 and $3,302,725, respectively)

     19,591,494         3,302,907   

Receivable on open futures contracts

     533,851         —     

Offering costs (Note 5)

     2,926         22,129   

Limitation by Sponsor

     10,293         2,216   
  

 

 

    

 

 

 

Total assets

     23,272,597         3,832,949   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           10,950   

Payable for offering costs

     66,741         41,000   
  

 

 

    

 

 

 

Total liabilities

     66,741         51,950   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     23,205,856         3,780,999   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 23,272,597       $ 3,832,949   
  

 

 

    

 

 

 

Shares outstanding

     500,005         100,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 46.41       $ 37.81   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 46.54       $ 37.74   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(84% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.060% due 07/25/13

   $ 2,943,000       $ 2,942,961   

0.032% due 08/29/13

     9,216,000         9,215,698   

0.044% due 10/03/13

     7,434,000         7,432,835   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $19,591,538)

      $ 19,591,494   
     

 

 

 

Futures Contracts Sold††

 

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

Australian Dollar Fx Currency Futures - CME, expires September 2013

     512       $ 46,627,840       $ 1,398,641   

 

†† Cash collateral in the amount of $1,030,656 was pledged to cover margin requirements for open futures contracts as of June 30, 2013.

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR*

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

     Three months ended
June 30, 2013
    Six months ended
June 30, 2013
 

Investment Income

    

Interest

   $ 1,111      $ 1,609   
  

 

 

   

 

 

 

Expenses

    

Brokerage commissions

     3,381        3,779   

Offering costs

     34,834        44,944   

Limitation by Sponsor

     (6,735     (8,076
  

 

 

   

 

 

 

Total expenses

     31,480        40,647   
  

 

 

   

 

 

 

Net investment income (loss)

     (30,369     (39,038
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     1,793,067        1,905,097   

Short-term U.S. government and agency obligations

     26        161   
  

 

 

   

 

 

 

Net realized gain (loss)

     1,793,093        1,905,258   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     1,508,211        1,313,051   

Short-term U.S. government and agency obligations

     (67     (226
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     1,508,144        1,312,825   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     3,301,237        3,218,083   
  

 

 

   

 

 

 

Net income (loss)

   $ 3,270,868      $ 3,179,045   
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 11.63      $ 16.63   
  

 

 

   

 

 

 

Weighted-average shares outstanding

     281,324        191,165   
  

 

 

   

 

 

 

 

* Since the Fund commenced investment operations on July 17, 2012, the Statements of Operations for the three and six months ended June 30, 2012 are not available.

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,780,999   

Addition of 400,000 shares

     16,245,812   
  

 

 

 

Net investment income (loss)

     (39,038

Net realized gain (loss)

     1,905,258   

Change in net unrealized appreciation/depreciation

     1,312,825   
  

 

 

 

Net income (loss)

     3,179,045   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 23,205,856   
  

 

 

 

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR*

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

     Six months ended
June 30, 2013
 

Cash flow from operating activities

  

Net income (loss)

   $ 3,179,045   

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

     (886,116

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

     (16,288,813

Change in unrealized appreciation/depreciation on investments

     226   

Decrease (Increase) in receivable on futures contracts

     (533,851

Decrease (Increase) in Limitation by Sponsor

     (8,077

Change in offering cost

     19,203   

Increase (Decrease) in payable on futures contracts

     (10,950

Increase (Decrease) in payable for offering costs

     25,741   
  

 

 

 

Net cash provided by (used in) operating activities

     (14,503,592
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

     16,245,812   

Net cash provided by (used in) financing activities

     16,245,812   
  

 

 

 

Net increase (decrease) in cash

     1,742,220   

Cash, beginning of period

     361,157   
  

 

 

 

Cash, end of period

   $ 2,103,377   
  

 

 

 

 

* Since the Fund commenced investment operations on July 17, 2012, the Statement of Cash Flows for the six months ended June 30, 2012 is not available.

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 259,242       $ 276,372   

Short-term U.S. government and agency obligations (Note 3) (cost $519,068,669 and $553,417,216, respectively)

     519,058,420         553,430,562   

Unrealized appreciation on foreign currency forward contracts

     6,401,815         251,047   
  

 

 

    

 

 

 

Total assets

     525,719,477         553,957,981   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     14,439,668         13,282,209   

Management fee payable

     395,914         499,127   

Unrealized depreciation on foreign currency forward contracts

     1,655,091         13,398,619   
  

 

 

    

 

 

 

Total liabilities

     16,490,673         27,179,955   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     509,228,804         526,778,026   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 525,719,477       $ 553,957,981   
  

 

 

    

 

 

 

Shares outstanding

     26,400,014         27,700,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 19.29       $ 19.02   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 19.29       $ 19.01   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(102% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.010% due 07/25/13†

   $ 228,409,000       $ 228,405,955   

0.038% due 08/29/13†

     19,350,000         19,349,366   

0.049% due 10/03/13†

     22,750,000         22,746,436   

0.045% due 10/31/13

     248,603,000         248,556,663   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $519,068,669)

      $ 519,058,420   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

   07/12/13      44,814,400      $ 58,332,335      $ (783,826

Euro with UBS AG

   07/12/13      34,423,300        44,806,836        (871,265
         

 

 

 
          $ (1,655,091
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

   07/12/13      (422,574,325   $ (550,040,774   $ 3,121,033   

Euro with UBS AG

   07/12/13      (439,602,400     (572,205,246     3,280,782   
         

 

 

 
          $ 6,401,815   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 52,873      $ 151,290      $ 140,103      $ 199,019   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,203,991        2,092,889        2,384,334        4,293,156   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,203,991        2,092,889        2,384,334        4,293,156   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,151,118     (1,941,599     (2,244,231     (4,094,137
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (8,147,050     82,141,512        (11,096,730     120,954,100   

Short-term U.S. government and agency obligations

     4,812        1,301        4,419        (435
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (8,142,238     82,142,813        (11,092,311     120,953,665   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (8,918,725     8,466,287        17,894,296        (90,022,265

Short-term U.S. government and agency obligations

     (22,855     11,912        (23,595     49,354   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (8,941,580     8,478,199        17,870,701        (89,972,911
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (17,083,818     90,621,012        6,778,390        30,980,754   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (18,234,936   $ 88,679,413      $ 4,534,159      $ 26,886,617   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (0.69   $ 2.04      $ 0.17      $ 0.59   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     26,443,421        43,416,498        26,524,876        45,267,871   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 526,778,026   

Addition of 4,850,000 shares

     93,103,875   

Redemption of 6,150,000 shares

     (115,187,256
  

 

 

 

Net addition (redemption) of (1,300,000) shares

     (22,083,381
  

 

 

 

Net investment income (loss)

     (2,244,231

Net realized gain (loss)

     (11,092,311

Change in net unrealized appreciation/depreciation

     17,870,701   
  

 

 

 

Net income (loss)

     4,534,159   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 509,228,804   
  

 

 

 

See accompanying notes to financial statements.

 

40


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 4,534,159      $ 26,886,617   

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

     34,348,547        110,248,380   

Change in unrealized appreciation/depreciation on investments

     (17,870,701     89,972,911   

Increase (Decrease) in management fee payable

     (103,213     (157,836
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     20,908,792        226,950,072   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     93,103,875        214,033,529   

Payment on shares redeemed

     (114,029,797     (440,635,501
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (20,925,922     (226,601,972
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (17,130     348,100   

Cash, beginning of period

     276,372        102,088   
  

 

 

   

 

 

 

Cash, end of period

   $ 259,242      $ 450,188   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 544,997       $ 363,826   

Short-term U.S. government and agency obligations (Note 3) (cost $542,421,891 and $362,731,936, respectively)

     542,423,314         362,743,231   

Unrealized appreciation on foreign currency forward contracts

     2,828,827         38,346,817   

Receivable from capital shares sold

     —           7,613,633   
  

 

 

    

 

 

 

Total assets

     545,797,138         409,067,507   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     12,821,996         —     

Management fee payable

     385,045         271,235   

Unrealized depreciation on foreign currency forward contracts

     6,956,913         232,642   
  

 

 

    

 

 

 

Total liabilities

     20,163,954         503,877   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     525,633,184         408,563,630   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 545,797,138       $ 409,067,507   
  

 

 

    

 

 

 

Shares outstanding

     8,199,294         8,049,294   
  

 

 

    

 

 

 

Net asset value per share

   $ 64.11       $ 50.76   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 64.08       $ 50.77   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(103% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.058% due 07/25/13†

   $ 219,048,000       $ 219,045,080   

0.034% due 08/29/13†

     137,529,000         137,524,492   

0.044% due 10/03/13†

     147,681,000         147,657,863   

0.045% due 10/31/13

     38,203,000         38,195,879   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $542,421,891)

      $ 542,423,314   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

   07/12/13      8,350,733,600      $ 84,194,393      $ (2,932,909

Yen with UBS AG

   07/12/13      16,247,876,600        163,815,560        (3,766,660
         

 

 

 
          $ (6,699,569
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

   07/12/13      (62,614,065,100   $ (631,292,223   $ 2,828,827   

Yen with UBS AG

   07/12/13      (66,314,387,400     (668,599,890     (257,344
         

 

 

 
          $ 2,571,483   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 61,098      $ 42,631      $ 130,590      $ 63,202   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,239,463        572,421        2,244,561        1,162,217   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,239,463        572,421        2,244,561        1,162,217   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,178,365     (529,790     (2,113,971     (1,099,015
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     48,138,405        (10,400,196     145,024,702        10,452,808   

Short-term U.S. government and agency obligations

     5,480        997        4,818        692   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     48,143,885        (10,399,199     145,029,520        10,453,500   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (6,860,712     (8,995,775     (42,242,261     8,437,864   

Short-term U.S. government and agency obligations

     (6,064     (1,920     (9,872     8,066   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (6,866,776     (8,997,695     (42,252,133     8,445,930   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     41,277,109        (19,396,894     102,777,387        18,899,430   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 40,098,744      $ (19,926,684   $ 100,663,416      $ 17,800,415   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 4.93      $ (3.60   $ 12.85      $ 3.16   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     8,141,052        5,531,162        7,833,548        5,639,679   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 408,563,630   

Addition of 4,200,000 shares

     265,669,124   

Redemption of 4,050,000 shares

     (249,262,986
  

 

 

 

Net addition (redemption) of 150,000 shares

     16,406,138   
  

 

 

 

Net investment income (loss)

     (2,113,971

Net realized gain (loss)

     145,029,520   

Change in net unrealized appreciation/depreciation

     (42,252,133
  

 

 

 

Net income (loss)

     100,663,416   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 525,633,184   
  

 

 

 

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 100,663,416      $ 17,800,415   

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

     (179,689,955     (7,168,124

Change in unrealized appreciation/depreciation on investments

     42,252,133        (8,445,930

Increase (Decrease) in management fee payable

     113,810        (3,068
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (36,660,596     2,183,293   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     273,282,757        106,973,203   

Payment on shares redeemed

     (236,440,990     (108,952,279
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     36,841,767        (1,979,076
  

 

 

   

 

 

 

Net increase (decrease) in cash

     181,171        204,217   

Cash, beginning of period

     363,826        22,338   
  

 

 

   

 

 

 

Cash, end of period

   $ 544,997      $ 226,555   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 127,273       $ 167,546   

Short-term U.S. government and agency obligations (Note 3) (cost $4,199,570 and $6,240,818, respectively)

     4,199,586         6,240,951   
  

 

 

    

 

 

 

Total assets

     4,326,859         6,408,497   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     3,257         5,018   

Unrealized depreciation on swap agreements

     471,275         306,268   
  

 

 

    

 

 

 

Total liabilities

     474,532         311,286   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,852,327         6,097,211   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 4,326,859       $ 6,408,497   
  

 

 

    

 

 

 

Shares outstanding

     200,014         250,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 19.26       $ 24.39   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 18.96       $ 23.93   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(109% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.058% due 07/25/13†

   $ 1,428,000       $ 1,427,981   

0.038% due 08/29/13†

     693,000         692,977   

0.050% due 10/03/13†

     520,000         519,919   

0.050% due 10/31/13

     1,559,000         1,558,709   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $4,199,570)

      $ 4,199,586   
     

 

 

 

Swap Agreements^

 

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

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

   07/08/13    $ 1,822,734       $ (109,267

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

   07/08/13      3,776,452         (232,010

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

   07/08/13      2,113,290         (129,998
        

 

 

 
         $ (471,275
        

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 664      $ 1,404      $ 1,414      $ 1,929   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     10,237        19,408        22,616        41,946   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     10,237        19,408        22,616        41,946   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (9,573     (18,004     (21,202     (40,017
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     (274,078     (1,858,138     (782,975     (2,180,586

Short-term U.S. government and agency obligations

     14        —          30        —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (274,064     (1,858,138     (782,945     (2,180,586
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     (586,322     972,171        (165,007     1,393,496   

Short-term U.S. government and agency obligations

     (45     (119     (117     308   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (586,367     972,052        (165,124     1,393,804   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (860,431     (886,086     (948,069     (786,782
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (870,004   $ (904,090   $ (969,271   $ (826,799
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (4.35   $ (2.58   $ (4.65   $ (2.36
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     200,014        350,014        208,578        350,014   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 6,097,211   

Redemption of 50,000 shares

     (1,275,613
  

 

 

 

Net investment income (loss)

     (21,202

Net realized gain (loss)

     (782,945

Change in net unrealized appreciation/depreciation

     (165,124
  

 

 

 

Net income (loss)

     (969,271
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 3,852,327   
  

 

 

 

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (969,271   $ (826,799

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

     2,041,248        2,383,060   

Change in unrealized appreciation/depreciation on investments

     165,124        (1,393,804

Increase (Decrease) in management fee payable

     (1,761     (1,589
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,235,340        160,868   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     (1,275,613     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,275,613     —     
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (40,273     160,868   

Cash, beginning of period

     167,546        59,453   
  

 

 

   

 

 

 

Cash, end of period

   $ 127,273      $ 220,321   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 1,044,661       $ 2,198,932   

Segregated cash balances with brokers for futures contracts

     6,576,955         23,356,627   

Short-term U.S. government and agency obligations (Note 3) (cost $207,731,082 and $437,644,628, respectively)

     207,733,071         437,662,650   

Unrealized appreciation on swap agreements

     4,186,474         33,333,620   

Receivable on open futures contracts

     —           3,430,415   
  

 

 

    

 

 

 

Total assets

     219,541,161         499,982,244   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           16,071,243   

Payable on open futures contracts

     702,657         —     

Management fee payable

     193,390         402,037   
  

 

 

    

 

 

 

Total liabilities

     896,047         16,473,280   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     218,645,114         483,508,964   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 219,541,161       $ 499,982,244   
  

 

 

    

 

 

 

Shares outstanding

     7,249,170         16,449,170   
  

 

 

    

 

 

 

Net asset value per share

   $ 30.16       $ 29.39   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 30.11       $ 29.32   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(95% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.051% due 07/25/13†

   $ 131,096,000       $ 131,094,253   

0.043% due 08/29/13†

     32,495,000         32,493,935   

0.042% due 10/03/13†

     37,452,000         37,446,132   

0.045% due 10/31/13†

     6,700,000         6,698,751   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $207,731,082)

      $ 207,733,071   
     

 

 

 

Futures Contracts Purchased††

 

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

Crude Oil - NYMEX, expires September 2013

     1,553       $ 149,771,320       $ 312,348   

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

   07/08/13    $ 62,000,092       $ 892,115   

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

   07/08/13      91,806,162         2,304,658   

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

   07/08/13      36,864,746         242,147   

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

   07/08/13      96,863,044         747,554   
        

 

 

 
         $ 4,186,474   
        

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
†† Cash collateral in the amount of $6,576,955 was pledged to cover margin requirements for open futures contracts as of June 30, 2013.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 38,629      $ 50,164      $ 101,903      $ 63,252   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     670,575        705,397        1,510,962        1,353,126   

Brokerage commissions

     23,394        24,244        38,311        33,921   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     693,969        729,641        1,549,273        1,387,047   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (655,340     (679,477     (1,447,370     (1,323,795
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     3,790,456        (43,010,826     43,537,640        (42,969,389

Swap agreements

     16,943,213        (69,149,030     43,760,354        (53,646,332

Short-term U.S. government and agency obligations

     9,883        2,955        8,850        2,813   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     20,743,552        (112,156,901     87,306,844        (96,612,908
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (1,050,168     5,283,890        (21,648,062     11,501,350   

Swap agreements

     (21,007,097     11,098,422        (29,147,146     13,970,590   

Short-term U.S. government and agency obligations

     (4,574     8,614        (16,033     20,114   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (22,061,839     16,390,926        (50,811,241     25,492,054   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (1,318,287     (95,765,975     36,495,603        (71,120,854
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (1,973,627   $ (96,445,452   $ 35,048,233      $ (72,444,649
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (0.20   $ (10.57   $ 3.26      $ (9.40
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     9,729,390        9,122,796        10,736,739        7,710,434   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 483,508,964   

Addition of 6,700,000 shares

     182,677,095   

Redemption of 15,900,000 shares

     (482,589,178
  

 

 

 

Net addition (redemption) of (9,200,000) shares

     (299,912,083
  

 

 

 

Net investment income (loss)

     (1,447,370

Net realized gain (loss)

     87,306,844   

Change in net unrealized appreciation/depreciation

     (50,811,241
  

 

 

 

Net income (loss)

     35,048,233   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 218,645,114   
  

 

 

 

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 35,048,233      $ (72,444,649

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

     16,779,672        (12,370,270

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

     229,913,546        (173,060,277

Change in unrealized appreciation/depreciation on investments

     29,163,179        (13,990,704

Decrease (Increase) in receivable on futures contracts

     3,430,415        (32,740,847

Increase (Decrease) in management fee payable

     (208,647     65,413   

Increase (Decrease) in payable on futures contracts

     702,657        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     314,829,055        (304,541,334
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     182,677,095        479,322,944   

Payment on shares redeemed

     (498,660,421     (174,437,259
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (315,983,326     304,885,685   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,154,271     344,351   

Cash, beginning of period

     2,198,932        495,671   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,044,661      $ 840,022   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 1,819,984       $ 3,385,764   

Segregated cash balances with brokers for futures contracts

     5,860,800         10,264,090   

Short-term U.S. government and agency obligations (Note 3) (cost $34,895,166 and $64,312,441, respectively)

     34,894,234         64,313,224   
  

 

 

    

 

 

 

Total assets

     42,575,018         77,963,078   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     401,083         4,891,783   

Management fee payable

     31,034         51,925   
  

 

 

    

 

 

 

Total liabilities

     432,117         4,943,708   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     42,142,901         73,019,370   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 42,575,018       $ 77,963,078   
  

 

 

    

 

 

 

Shares outstanding

     1,169,941         1,869,941   
  

 

 

    

 

 

 

Net asset value per share

   $ 36.02       $ 39.05   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 36.26       $ 39.24   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(83% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.055% due 07/25/13

   $ 1,588,000       $ 1,587,979   

0.038% due 08/29/13

     4,976,000         4,975,837   

0.045% due 10/03/13

     23,539,000         23,535,312   

0.044% due 10/31/13

     4,796,000         4,795,106   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $34,895,166)

      $ 34,894,234   
     

 

 

 

Futures Contracts Purchased††

 

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

Natural Gas - NYMEX, expires September 2013

     2,368       $ 84,277,120       $ (5,946,238

 

†† Cash collateral in the amount of $5,860,800 was pledged to cover margin requirements for open futures contracts as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 4,949      $ 6,879      $ 16,626      $ 8,998   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     93,177        75,830        269,790        123,202   

Brokerage commissions

     23,462        43,045        56,397        59,119   

Offering costs

     —          39,029        —          45,648   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     116,639        157,904        326,187        227,969   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (111,690     (151,025     (309,561     (218,971
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     9,153,747        (21,504,204     14,901,941        (26,662,775

Short-term U.S. government and agency obligations

     2,584        1,135        3,777        1,254   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     9,156,331        (21,503,069     14,905,718        (26,661,521
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (19,990,856     34,960,080        (2,129,288     19,416,770   

Short-term U.S. government and agency obligations

     (2,990     1,064        (1,715     1,894   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (19,993,846     34,961,144        (2,131,003     19,418,664   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (10,837,515     13,458,075        12,774,715        (7,242,857
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (10,949,205   $ 13,307,050      $ 12,465,154      $ (7,461,828
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (13.32   $ 10.57      $ 9.17      $ (8.94
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     822,139        1,258,547        1,359,168        834,329   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 73,019,370   

Addition of 1,650,000 shares

     64,246,608   

Redemption of 2,350,000 shares

     (107,588,231
  

 

 

 

Net addition (redemption) of (700,000) shares

     (43,341,623
  

 

 

 

Net investment income (loss)

     (309,561

Net realized gain (loss)

     14,905,718   

Change in net unrealized appreciation/depreciation

     (2,131,003
  

 

 

 

Net income (loss)

     12,465,154   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 42,142,901   
  

 

 

 

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 12,465,154      $ (7,461,828

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

     4,403,290        (11,205,891

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

     29,417,275        (46,184,173

Change in unrealized appreciation/depreciation on investments

     1,715        (1,894

Decrease (Increase) in receivable on futures contracts

     —          (4,399,785

Change in offering cost

     —          1,879   

Increase (Decrease) in management fee payable

     (20,891     14,122   

Increase (Decrease) in payable on futures contracts

     (4,490,700     —     

Increase (Decrease) in payable for offering costs

     —          43,768   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     41,775,843        (69,193,802
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     64,246,608        68,265,160   

Payment on shares redeemed

     (107,588,231     (2,840
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (43,341,623     68,262,320   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,565,780     (931,482

Cash, beginning of period

     3,385,764        3,361,868   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,819,984      $ 2,430,386   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     June 30,  2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 190,622       $ 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 $191,167,836 and $350,608,755, respectively)

     191,165,003         350,624,904   

Receivable from capital shares sold

     2,084,318         —     

Receivable on open futures contracts

     2,420         3,980   
  

 

 

    

 

 

 

Total assets

     193,459,963         350,986,079   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     140,059         279,269   

Unrealized depreciation on forward agreements

     53,705,404         15,652,058   
  

 

 

    

 

 

 

Total liabilities

     53,845,463         15,931,327   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     139,614,500         335,054,752   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 193,459,963       $ 350,986,079   
  

 

 

    

 

 

 

Shares outstanding

     3,350,014         4,000,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 41.68       $ 83.76   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 44.63       $ 85.34   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(137% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.051% due 07/25/13

   $ 2,798,000       $ 2,797,963   

0.039% due 08/29/13†

     34,799,000         34,797,859   

0.045% due 10/03/13†

     60,894,000         60,884,460   

0.050% due 10/31/13†

     92,702,000         92,684,721   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $191,167,836)

      $ 191,165,003   
     

 

 

 

Futures Contracts Purchased††

 

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

Gold Futures - COMEX, expires August 2013

     2       $ 244,740       $ (41,260

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

   07/08/13    $ 162,700       $ 193,941,654       $ (34,265,059

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

   07/08/13      20,320         24,221,846         (7,468,030

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

   07/08/13      29,300         34,926,186         (6,059,415

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

   07/08/13      21,700         25,866,834         (5,912,900
           

 

 

 
            $ (53,705,404
           

 

 

 

 

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 June 30, 2013.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended

June 30, 2013
    Three months
ended

June  30, 2012
    Six months
ended

June 30, 2013
    Six months
ended

June  30, 2012
 

Investment Income

        

Interest

   $ 41,790      $ 61,509      $ 100,868      $ 88,900   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     519,993        815,451        1,282,605        1,721,175   

Brokerage commissions

     8        9        24        25   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     520,001        815,460        1,282,629        1,721,200   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (478,211     (753,951     (1,181,761     (1,632,300
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (32,040     (21,840     (65,540     (39,480

Forward agreements

     (67,976,609     (20,380,704     (118,358,314     (50,221,860

Short-term U.S. government and agency obligations

     5,838        521        8,497        634   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (68,002,811     (20,402,023     (118,415,357     (50,260,706
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (42,640     7,860        (26,020     45,420   

Forward agreements

     (62,927,844     (12,231,525     (38,053,346     64,192,809   

Short-term U.S. government and agency obligations

     (10,396     (1,540     (18,982     11,664   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (62,980,880     (12,225,205     (38,098,348     64,249,893   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (130,983,691     (32,627,228     (156,513,705     13,989,187   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (131,461,902   $ (33,381,179   $ (157,695,466   $ 12,356,887   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (36.33   $ (7.92   $ (41.23   $ 2.93   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     3,618,146        4,213,750        3,825,152        4,213,476   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 335,054,752   

Addition of 200,000 shares

     12,568,038   

Redemption of 850,000 shares

     (50,312,824
  

 

 

 

Net addition (redemption) of (650,000) shares

     (37,744,786
  

 

 

 

Net investment income (loss)

     (1,181,761

Net realized gain (loss)

     (118,415,357

Change in net unrealized appreciation/depreciation

     (38,098,348
  

 

 

 

Net income (loss)

     (157,695,466
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 139,614,500   
  

 

 

 

See accompanying notes to financial statements.

 

65


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (157,695,466   $ 12,356,887   

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     4,725   

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

     159,440,919        51,791,803   

Change in unrealized appreciation/depreciation on investments

     38,072,328        (64,204,473

Decrease (Increase) in receivable on futures contracts

     1,560        (10,220

Increase (Decrease) in management fee payable

     (139,210     (45,607
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     39,677,381        (106,885
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     10,483,720        47,944,608   

Payment on shares redeemed

     (50,312,824     (47,891,176
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (39,829,104     53,432   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (151,723     (53,453

Cash, beginning of period

     342,345        400,533   
  

 

 

   

 

 

 

Cash, end of period

   $ 190,622      $ 347,080   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 585,257       $ 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 $585,910,461 and $891,006,493, respectively)

     585,906,874         891,057,386   

Receivable from capital shares sold

     16,267,836         2,148,957   

Receivable on open futures contracts

     9,170         2,520   
  

 

 

    

 

 

 

Total assets

     602,793,887         894,123,114   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     387,076         657,008   

Unrealized depreciation on forward agreements

     176,550,859         145,740,706   
  

 

 

    

 

 

 

Total liabilities

     176,937,935         146,397,714   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     425,855,952         747,725,400   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 602,793,887       $ 894,123,114   
  

 

 

    

 

 

 

Shares outstanding

     27,050,028         17,400,028   
  

 

 

    

 

 

 

Net asset value per share

   $ 15.74       $ 42.97   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 17.00       $ 44.10   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(138% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.057% due 07/25/13†

   $ 214,748,000       $ 214,745,137   

0.031% due 08/29/13†

     58,972,000         58,970,067   

0.046% due 10/03/13†

     231,119,000         231,082,791   

0.050% due 10/31/13†

     81,124,000         81,108,879   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $585,910,461)

      $ 585,906,874   
     

 

 

 

Futures Contracts Purchased††

 

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

Silver Futures - COMEX, expires September 2013

     2       $ 194,700       $ (23,500

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

   07/08/13    $ 27,286,000       $ 514,698,547       $ (100,661,789

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

   07/08/13      4,638,800         87,502,148         (24,477,384

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

   07/08/13      8,445,000         159,298,880         (31,882,510

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

   07/08/13      4,775,000         90,071,303         (19,529,176
           

 

 

 
            $ (176,550,859
           

 

 

 

 

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 June 30, 2013.
^ The positions and counterparties herein are as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 102,633      $ 125,529      $ 261,893      $ 177,264   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,309,255        1,736,295        3,092,914        3,621,349   

Brokerage commissions

     12        21        20        29   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,309,267        1,736,316        3,092,934        3,621,378   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,206,634     (1,610,787     (2,831,041     (3,444,114
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (94,004     (56,400     (126,144     (58,300

Forward agreements

     (322,516,719     (219,337,173     (538,173,127     (211,228,823

Short-term U.S. government and agency obligations

     8,898        2,360        23,111        3,051   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (322,601,825     (219,391,213     (538,276,160     (211,284,072
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     4,270        1,680        16,520        48,720   

Forward agreements

     (168,444,141     (68,863,942     (30,810,153     63,997,801   

Short-term U.S. government and agency obligations

     (26,859     (4,361     (54,480     26,626   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (168,466,730     (68,866,623     (30,848,113     64,073,147   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (491,068,555     (288,257,836     (569,124,273     (147,210,925
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (492,275,189   $ (289,868,623   $ (571,955,314   $ (150,655,039
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (21.79   $ (17.60   $ (28.28   $ (9.85
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     22,587,391        16,467,610        20,222,680        15,298,929   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

69


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 747,725,400   

Addition of 10,550,000 shares

     272,435,756   

Redemption of 900,000 shares

     (22,349,890
  

 

 

 

Net addition (redemption) of 9,650,000 shares

     250,085,866   
  

 

 

 

Net investment income (loss)

     (2,831,041

Net realized gain (loss)

     (538,276,160

Change in net unrealized appreciation/depreciation

     (30,848,113
  

 

 

 

Net income (loss)

     (571,955,314
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 425,855,952   
  

 

 

 

See accompanying notes to financial statements.

 

70


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (571,955,314   $ (150,655,039

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     12,150   

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

     305,096,032        (4,080,323

Change in unrealized appreciation/depreciation on investments

     30,864,633        (64,024,427

Decrease (Increase) in receivable on futures contracts

     (6,650     (7,210

Increase (Decrease) in management fee payable

     (269,932     (44,407
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (236,271,781     (218,799,256
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     258,316,877        323,069,389   

Payment on shares redeemed

     (22,349,890     (104,263,013
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     235,966,987        218,806,376   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (304,794     7,120   

Cash, beginning of period

     890,051        772,442   
  

 

 

   

 

 

 

Cash, end of period

   $ 585,257      $ 779,562   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

71


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 336,594       $ 426,634   

Segregated cash balances with brokers for futures contracts

     144,936         158,400   

Short-term U.S. government and agency obligations (Note 3) (cost $2,922,798 and $3,570,687, respectively)

     2,922,887         3,570,894   

Receivable on open futures contracts

     —           12,000   

Offering costs (Note 5)

     2,926         22,128   

Limitation by Sponsor

     27,076         1,012   
  

 

 

    

 

 

 

Total assets

     3,434,419         4,191,068   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     84,282         —     

Payable for offering costs

     66,741         41,000   
  

 

 

    

 

 

 

Total liabilities

     151,023         41,000   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,283,396         4,150,068   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,434,419       $ 4,191,068   
  

 

 

    

 

 

 

Shares outstanding

     100,005         100,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 32.83       $ 41.50   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 33.96       $ 41.45   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

72


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PROSHARES ULTRA AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(89% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.058% due 07/25/13

   $ 73,000       $ 72,999   

0.041% due 08/29/13

     2,730,000         2,729,910   

0.044% due 10/31/13

     120,000         119,978   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $2,922,798)

      $ 2,922,887   
     

 

 

 

Futures Contracts Purchased††

 

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

Australian Dollar Fx Currency Futures - CME, expires September 2013

     72       $ 6,557,040       $ (207,107

 

†† Cash collateral in the amount of $144,936 was pledged to cover margin requirements for open futures contracts as of June 30, 2013.

See accompanying notes to financial statements.

 

73


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR*

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

     Three months
ended June 30,
2013
    Six months
ended June 30,
2013
 

Investment Income

    

Interest

   $ 424      $ 1,070   
  

 

 

   

 

 

 

Expenses

    

Brokerage commissions

     415        777   

Offering costs

     34,834        44,944   

Limitation by Sponsor

     (25,730     (26,064
  

 

 

   

 

 

 

Total expenses

     9,519        19,657   
  

 

 

   

 

 

 

Net investment income (loss)

     (9,095     (18,587
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (590,630     (739,905

Short-term U.S. government and agency obligations

     110        15   
  

 

 

   

 

 

 

Net realized gain (loss)

     (590,520     (739,890
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (332,037     (108,077

Short-term U.S. government and agency obligations

     42        (118
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (331,995     (108,195
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (922,515     (848,085
  

 

 

   

 

 

 

Net income (loss)

   $ (931,610   $ (866,672
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (9.32   $ (8.67
  

 

 

   

 

 

 

Weighted-average shares outstanding

     100,005        100,005   
  

 

 

   

 

 

 

 

* Since the Fund commenced investment operations on July 17, 2012, the Statements of Operations for the three and six months ended June 30, 2012 are not available.

See accompanying notes to financial statements.

 

74


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 4,150,068   

Net investment income (loss)

     (18,587

Net realized gain (loss)

     (739,890

Change in net unrealized appreciation/depreciation

     (108,195
  

 

 

 

Net income (loss)

     (866,672
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 3,283,396   
  

 

 

 

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR*

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

     Six months ended
June 30, 2013
 

Cash flow from operating activities

  

Net income (loss)

   $ (866,672

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

     13,464   

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

     647,889   

Change in unrealized appreciation/depreciation on investments

     118   

Decrease (Increase) in receivable on futures contracts

     12,000   

Decrease (Increase) in Limitation by Sponsor

     (26,064

Change in offering cost

     19,202   

Increase (Decrease) in payable on futures contracts

     84,282   

Increase (Decrease) in payable for offering costs

     25,741   
  

 

 

 

Net cash provided by (used in) operating activities

     (90,040
  

 

 

 

Net increase (decrease) in cash

     (90,040

Cash, beginning of period

     426,634   
  

 

 

 

Cash, end of period

   $ 336,594   
  

 

 

 

 

* Since the Fund commenced investment operations on July 17, 2012, the Statement of Cash Flows for the six months ended June 30, 2012 is not available.

See accompanying notes to financial statements.

 

76


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 118,706       $ 240,086   

Short-term U.S. government and agency obligations (Note 3) (cost $3,442,664 and $4,546,872, respectively)

     3,442,640         4,546,944   

Unrealized appreciation on foreign currency forward contracts

     2,001         89,473   
  

 

 

    

 

 

 

Total assets

     3,563,347         4,876,503   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,821         3,873   

Unrealized depreciation on foreign currency forward contracts

     39,032         2,314   
  

 

 

    

 

 

 

Total liabilities

     41,853         6,187   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,521,494         4,870,316   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,563,347       $ 4,876,503   
  

 

 

    

 

 

 

Shares outstanding

     150,014         200,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 23.47       $ 24.35   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 23.25       $ 24.32   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

77


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PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(98% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.051% due 07/25/13†

   $ 579,000       $ 578,992   

0.035% due 08/29/13†

     782,000         781,974   

0.050% due 10/03/13

     2,082,000         2,081,674   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,442,664)

      $ 3,442,640   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

   07/12/13      1,560,125      $ 2,030,725      $ (10,596

Euro with UBS AG

   07/12/13      4,001,900        5,209,044        (28,436
         

 

 

 
          $ (39,032
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

   07/12/13      (113,700   $ (147,997   $ 1,584   

Euro with UBS AG

   07/12/13      (39,200     (51,024     417   
         

 

 

 
          $ 2,001   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 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.

 

78


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 421      $ 1,087      $ 1,097      $ 1,575   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,564        15,501        19,964        38,818   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     8,564        15,501        19,964        38,818   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,143     (14,414     (18,867     (37,243
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     36,991        (617,222     (28,371     (866,798

Short-term U.S. government and agency obligations

     (5     42        9        43   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     36,986        (617,180     (28,362     (866,755
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     96,965        (171,629     (124,190     640,153   

Short-term U.S. government and agency obligations

     (74     51        (96     453   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     96,891        (171,578     (124,286     640,606   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     133,877        (788,758     (152,648     (226,149
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 125,734      $ (803,172   $ (171,515   $ (263,392
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 0.82      $ (2.87   $ (0.97   $ (0.77
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     152,761        279,684        176,257        341,772   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

79


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 4,870,316   

Redemption of 50,000 shares

     (1,177,307
  

 

 

 

Net investment income (loss)

     (18,867

Net realized gain (loss)

     (28,362

Change in net unrealized appreciation/depreciation

     (124,286
  

 

 

 

Net income (loss)

     (171,515
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 3,521,494   
  

 

 

 

See accompanying notes to financial statements.

 

80


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (171,515   $ (263,392

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

     1,104,208        4,794,371   

Change in unrealized appreciation/depreciation on investments

     124,286        (640,606

Increase (Decrease) in management fee payable

     (1,052     (1,888
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,055,927        3,888,485   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          1,209,580   

Payment on shares redeemed

     (1,177,307     (4,841,780
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,177,307     (3,632,200
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (121,380     256,285   

Cash, beginning of period

     240,086        10,469   
  

 

 

   

 

 

 

Cash, end of period

   $ 118,706      $ 266,754   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

81


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 117,893       $ 138,033   

Short-term U.S. government and agency obligations (Note 3) (cost $3,057,775 and $4,587,701, respectively)

     3,057,900         4,587,918   

Unrealized appreciation on foreign currency forward contracts

     10,228         13,523   
  

 

 

    

 

 

 

Total assets

     3,186,021         4,739,474   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,578         3,660   

Unrealized depreciation on foreign currency forward contracts

     164         507,819   
  

 

 

    

 

 

 

Total liabilities

     2,742         511,479   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,183,279         4,227,995   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,186,021       $ 4,739,474   
  

 

 

    

 

 

 

Shares outstanding

     150,014         150,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 21.22       $ 28.18   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 21.10       $ 28.28   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

82


Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(96% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.045% due 08/29/13†

   $ 3,058,000       $ 3,057,900   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,057,775)

      $ 3,057,900   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

   07/12/13      335,178,000      $ 3,379,357      $ 2,490   

Yen with UBS AG

   07/12/13      340,182,000        3,429,808        (164
         

 

 

 
          $ 2,326   
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

   07/12/13      (30,988,700   $ (312,437   $ 6,514   

Yen with UBS AG

   07/12/13      (13,025,800     (131,330     1,224   
         

 

 

 
          $ 7,738   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 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


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June 30,
2013
    Three months
ended June 30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,
2012
 

Investment Income

        

Interest

   $ 417      $ 872      $ 1,243      $ 1,244   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     7,644        11,836        18,530        24,019   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     7,644        11,836        18,530        24,019   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (7,227     (10,964     (17,287     (22,775
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (456,601     204,025        (1,674,572     (221,184

Short-term U.S. government and agency obligations

     11        1        53        16   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (456,590     204,026        (1,674,519     (221,168
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     80,626        125,587        504,360        (203,105

Short-term U.S. government and agency obligations

     67        39        (92     241   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     80,693        125,626        504,268        (202,864
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (375,897     329,652        (1,170,251     (424,032
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (383,124   $ 318,688      $ (1,187,538   $ (446,807
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (2.55   $ 2.12      $ (7.05   $ (2.98
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     150,014        150,014        168,522        150,014   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

84


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 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)

     (17,287

Net realized gain (loss)

     (1,674,519

Change in net unrealized appreciation/depreciation

     504,268   
  

 

 

 

Net income (loss)

     (1,187,538
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 3,183,279   
  

 

 

 

See accompanying notes to financial statements.

 

85


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (1,187,538   $ (446,807

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

     1,529,926        436,317   

Change in unrealized appreciation/depreciation on investments

     (504,268     202,864   

Increase (Decrease) in management fee payable

     (1,082     (342
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (162,962     192,032   
  

 

 

   

 

 

 

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

     (20,140     192,032   

Cash, beginning of period

     138,033        5,798   
  

 

 

   

 

 

 

Cash, end of period

   $ 117,893      $ 197,830   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 2,797,528       $ 2,989,958   

Segregated cash balances with brokers for futures contracts

     47,610,000         34,109,998   

Short-term U.S. government and agency obligations (Note 3) (cost $133,776,406 and $144,057,296, respectively)

     133,770,653         144,060,921   

Receivable from capital shares sold

     —           2,518,068   
  

 

 

    

 

 

 

Total assets

     184,178,181         183,678,945   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     8,438,784         14,374,851   

Payable on open futures contracts

     776,726         31,540,181   

Management fee payable

     154,652         106,449   
  

 

 

    

 

 

 

Total liabilities

     9,370,162         46,021,481   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     174,808,019         137,657,464   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 184,178,181       $ 183,678,945   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     3,124,812         1,640,001   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 55.94       $ 83.94   
  

 

 

    

 

 

 

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

   $ 55.91       $ 85.05   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(77% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.055% due 07/25/13

   $ 1,806,000       $ 1,805,976   

0.042% due 08/29/13

     20,106,000         20,105,341   

0.037% due 10/03/13

     107,314,000         107,297,187   

0.048% due 10/31/13

     4,563,000         4,562,149   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $133,776,406)

      $ 133,770,653   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires July 2013

     5,513       $ 99,509,650       $ 2,794,117   

VIX Futures - CBOE, expires August 2013

     4,009         75,770,100         (1,557,580
        

 

 

 
         $ 1,236,537   
        

 

 

 

 

†† Cash collateral in the amount of $47,610,000 was pledged to cover margin requirements for open futures contracts as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June  30,
2013
    Three months
ended June  30,
2012
    Six months
ended June  30,
2013
    Six months
ended June  30,
2012
 

Investment Income

        

Interest

   $ 19,211      $ 19,273      $ 43,539      $ 26,077   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     454,439        325,748        806,110        473,017   

Offering costs

     —          —          —          1,090   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     454,439        325,748        806,110        474,107   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (435,228     (306,475     (762,571     (448,030
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     11,156,344        (9,362,087     (44,252,605     (52,094,224

Short-term U.S. government and agency obligations

     4,792        1,293        3,030        1,147   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     11,161,136        (9,360,794     (44,249,575     (52,093,077
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     9,582,597        1,033,366        1,457,956        (16,312,581

Short-term U.S. government and agency obligations

     (9,307     703        (9,378     3,306   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     9,573,290        1,034,069        1,448,578        (16,309,275
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     20,734,426        (8,326,725     (42,800,997     (68,402,352
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 20,299,198      $ (8,633,200   $ (43,563,568   $ (68,850,382
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 4.98      $ (10.99   $ (12.80   $ (128.15
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     4,072,778        785,441        3,402,475        537,281   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 137,657,464   

Addition of 5,270,000 shares (Note 1)

     303,160,309   

Redemption of 3,785,189 shares (Note 1)

     (222,446,186
  

 

 

 

Net addition (redemption) of 1,484,811 shares (Note 1)

     80,714,123   
  

 

 

 

Net investment income (loss)

     (762,571

Net realized gain (loss)

     (44,249,575

Change in net unrealized appreciation/depreciation

     1,448,578   
  

 

 

 

Net income (loss)

     (43,563,568
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 174,808,019   
  

 

 

 

See accompanying notes to financial statements.

 

90


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June  30, 2013
    Six months ended
June  30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (43,563,568   $ (68,850,382

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

     (13,500,002     (53,061,419

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

     10,280,890        (66,194,846

Change in unrealized appreciation/depreciation on investments

     9,378        (3,306

Decrease (Increase) in receivable on futures contracts

     —          742,451   

Change in offering cost

     —          1,090   

Increase (Decrease) in management fee payable

     48,203        83,194   

Increase (Decrease) in payable on futures contracts

     (30,763,455     12,233,347   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (77,488,554     (175,049,871
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     305,678,377        401,124,260   

Payment on shares redeemed

     (228,382,253     (224,683,875
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     77,296,124        176,440,385   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (192,430     1,390,514   

Cash, beginning of period

     2,989,958        563,350   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,797,528      $ 1,953,864   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

91


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 1,181,857       $ 2,063,715   

Segregated cash balances with brokers for futures contracts

     11,902,000         7,830,000   

Short-term U.S. government and agency obligations (Note 3) (cost $57,494,504 and $79,927,870, respectively)

     57,492,428         79,930,866   

Receivable from capital shares sold

     2,121,684         —     
  

 

 

    

 

 

 

Total assets

     72,697,969         89,824,581   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           50,571,549   

Payable on open futures contracts

     516,649         1,890,675   

Management fee payable

     47,939         59,365   
  

 

 

    

 

 

 

Total liabilities

     564,588         52,521,589   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     72,133,381         37,302,992   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 72,697,969       $ 89,824,581   
  

 

 

    

 

 

 

Shares outstanding

     2,550,005         1,075,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 28.29       $ 34.70   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 28.25       $ 34.22   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

92


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(80% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.055% due 07/25/13

   $ 105,000       $ 104,998   

0.032% due 08/29/13

     5,711,000         5,710,813   

0.043% due 10/03/13

     42,064,000         42,057,410   

0.047% due 10/31/13

     9,621,000         9,619,207   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $57,494,504)

      $ 57,492,428   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires October 2013

     667       $ 13,573,450       $ 1,271,500   

VIX Futures - CBOE, expires November 2013

     1,152         23,846,400         2,637,122   

VIX Futures - CBOE, expires December 2013

     1,152         24,192,000         1,660,982   

VIX Futures - CBOE, expires January 2014

     485         10,524,500         12,830   
        

 

 

 
         $ 5,582,434   
        

 

 

 

 

†† Cash collateral in the amount of $11,902,000 was pledged to cover margin requirements for open futures contracts as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June  30,
2013
    Three months
ended June  30,
2012
    Six months
ended June  30,
2013
    Six months
ended June  30,
2012
 

Investment Income

        

Interest

   $ 6,431      $ 12,164      $ 13,751      $ 18,250   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     133,204        221,167        238,020        431,431   

Offering costs

     —          —          —          682   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     133,204        221,167        238,020        432,113   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (126,773     (209,003     (224,269     (413,863
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (2,486,914     (3,325,870     (12,747,085     (25,743,470

Short-term U.S. government and agency obligations

     824        480        1,310        (2,010
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (2,486,090     (3,325,390     (12,745,775     (25,745,480
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     7,458,863        5,016,790        7,052,844        (24,810

Short-term U.S. government and agency obligations

     (3,852     2,452        (5,072     8,553   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     7,455,011        5,019,242        7,047,772        (16,257
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     4,968,921        1,693,852        (5,698,003     (25,761,737
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 4,842,148      $ 1,484,849      $ (5,922,272   $ (26,175,600
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 2.00      $ 0.84      $ (2.80   $ (15.97
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     2,415,115        1,766,214        2,113,541        1,638,604   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

94


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 37,302,992   

Addition of 2,700,000 shares

     73,788,757   

Redemption of 1,225,000 shares

     (33,036,096
  

 

 

 

Net addition (redemption) of 1,475,000 shares

     40,752,661   
  

 

 

 

Net investment income (loss)

     (224,269

Net realized gain (loss)

     (12,745,775

Change in net unrealized appreciation/depreciation

     7,047,772   
  

 

 

 

Net income (loss)

     (5,922,272
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 72,133,381   
  

 

 

 

See accompanying notes to financial statements.

 

95


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (5,922,272   $ (26,175,600

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

     (4,072,000     (25,983,500

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

     22,433,366        28,874,161   

Change in unrealized appreciation/depreciation on investments

     5,072        (8,553

Decrease (Increase) in receivable on futures contracts

     —          798,319   

Decrease (Increase) in Limitation by Sponsor

     —          2,481   

Change in offering cost

     —          682   

Increase (Decrease) in management fee payable

     (11,426     66,834   

Increase (Decrease) in payable on futures contracts

     (1,374,026     3,015,230   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     11,058,714        (19,409,946
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     71,667,073        59,610,752   

Payment on shares redeemed

     (83,607,645     (38,950,719
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (11,940,572     20,660,033   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (881,858     1,250,087   

Cash, beginning of period

     2,063,715        627,557   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,181,857      $ 1,877,644   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

96


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30,  2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 1,944,024       $ 1,790,825   

Segregated cash balances with brokers for futures contracts

     117,095,000         38,727,007   

Short-term U.S. government and agency obligations (Note 3) (cost $95,593,040 and $97,445,279, respectively)

     95,589,019         97,440,843   

Unrealized appreciation on swap agreements

     —           301,351   

Receivable from capital shares sold

     18,016,281         18,127,289   
  

 

 

    

 

 

 

Total assets

     232,644,324         156,387,315   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     10,799,429         35,907,787   

Payable on open futures contracts

     6,404,993         35,666,735   

Management fee payable

     203,985         96,661   
  

 

 

    

 

 

 

Total liabilities

     17,408,407         71,671,183   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     215,235,917         84,716,132   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 232,644,324       $ 156,387,315   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     2,989,557         420,808   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 72.00       $ 201.32   
  

 

 

    

 

 

 

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

   $ 71.69       $ 209.00   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(44% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.055% due 07/25/13

   $ 6,040,000$         6,039,919   

0.036% due 08/29/13

     18,946,000         18,945,379   

0.033% due 10/03/13

     63,344,000         63,334,076   

0.048% due 10/31/13

     7,271,000         7,269,645   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $95,593,040)

      $ 95,589,019   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires July 2013

     13,560       $ 244,758,000       $ 6,497,591   

VIX Futures - CBOE, expires August 2013

     9,859         186,335,100         (3,256,620
        

 

 

 
         $ 3,240,971   
        

 

 

 

 

†† Cash collateral in the amount of $117,095,000 was pledged to cover margin requirements for open futures contracts as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

    Three months
ended June 30,
2013
    Three months
ended June  30,
2012
    Six months
ended June 30,

2013
    Six months
ended June 30,

2012
 

Investment Income

       

Interest

  $ 18,527      $ 14,866      $ 36,066      $ 17,781   
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

       

Management fee

    744,547        475,752        1,277,454        630,453   

Brokerage commissions

    664,479        429,454        1,221,816        612,128   

Offering costs

    —          42,876        —          50,028   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    1,409,026        948,082        2,499,270        1,292,609   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    (1,390,499     (933,216     (2,463,204     (1,274,828
 

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

       

Net realized gain (loss) on

       

Futures contracts

    17,763,794        (59,215,744     (100,473,172     (178,462,736

Swap agreements

    —          (268,863     (4,453,107     (268,863

Short-term U.S. government and agency obligations

    16,125        5,579        20,260        6,863   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    17,779,919        (59,479,028     (104,906,019     (178,724,736
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

       

Futures contracts

    21,978,092        (23,102,989     1,183,909        (51,731,012

Swap agreements

    —          (2,712,401     (301,351     (7,695,811

Short-term U.S. government and agency obligations

    (4,150     2,289        415        3,341   
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

    21,973,942        (25,813,101     882,973        (59,423,482
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    39,753,861        (85,292,129     (104,023,046     (238,148,218
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

  $ 38,363,362      $ (86,225,345   $ (106,486,250   $ (239,423,046
 

 

 

   

 

 

   

 

 

   

 

 

 

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

  $ 8.04      $ (606.32   $ (30.01   $ (2,807.30
 

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

    4,769,929        142,212        3,548,267        85,286   
 

 

 

   

 

 

   

 

 

   

 

 

 

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 SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 84,716,132   

Addition of 13,350,000 shares (Note 1)

     1,101,308,498   

Redemption of 10,781,251 shares (Note 1)

     (864,302,463
  

 

 

 

Net addition (redemption) of 2,568,749 shares (Note 1)

     237,006,035   
  

 

 

 

Net investment income (loss)

     (2,463,204

Net realized gain (loss)

     (104,906,019

Change in net unrealized appreciation/depreciation

     882,973   
  

 

 

 

Net income (loss)

     (106,486,250
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 215,235,917   
  

 

 

 

See accompanying notes to financial statements.

 

100


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (106,486,250   $ (239,423,046

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

     (78,367,993     (213,437,984

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

     1,852,239        (98,779,327

Change in unrealized appreciation/depreciation on investments

     300,936        7,692,470   

Change in offering cost

     —          1,956   

Increase (Decrease) in management fee payable

     107,324        182,328   

Increase (Decrease) in payable on futures contracts

     (29,261,742     58,779,607   

Increase (Decrease) in payable for offering costs

     —          48,072   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (211,855,486     (484,935,924
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,101,419,506        883,869,112   

Payment on shares redeemed

     (889,410,821     (399,886,540
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     212,008,685        483,982,572   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     153,199        (953,352

Cash, beginning of period

     1,790,825        2,972,032   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,944,024      $ 2,018,680   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

101


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 1,702,729       $ 2,236,726   

Segregated cash balances with brokers for futures contracts

     31,840,000         20,731,497   

Short-term U.S. government and agency obligations (Note 3) (cost $83,295,438 and $53,683,800, respectively)

     83,294,070         53,686,352   

Receivable from capital shares sold

     —           13,232,678   

Receivable on open futures contracts

     628,781         5,524,721   
  

 

 

    

 

 

 

Total assets

     117,465,580         95,411,974   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           12,699,384   

Management fee payable

     69,858         48,957   
  

 

 

    

 

 

 

Total liabilities

     69,858         12,748,341   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     117,395,722         82,663,633   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 117,465,580       $ 95,411,974   
  

 

 

    

 

 

 

Shares outstanding

     1,500,020         1,250,020   
  

 

 

    

 

 

 

Net asset value per share

   $ 78.26       $ 66.13   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 78.45       $ 65.45   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

102


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2013

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(71% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.051% due 07/25/13

   $ 5,512,000       $ 5,511,927   

0.036% due 08/29/13

     33,192,000         33,190,912   

0.029% due 10/03/13

     18,323,000         18,320,129   

0.045% due 10/31/13

     26,276,000         26,271,102   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $83,295,438)

      $ 83,294,070   
     

 

 

 

Futures Contracts Sold††

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

VIX Futures - CBOE, expires July 2013

     3,687       $ 66,550,350       $ (1,894,221

VIX Futures - CBOE, expires August 2013

     2,681         50,670,900         1,260,550   
        

 

 

 
         $ (633,671
        

 

 

 

 

†† Cash collateral in the amount of $31,840,000 was pledged to cover margin requirements for open futures contracts as of June 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 SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Three months
ended June  30,
2013
    Three months
ended June  30,
2012
    Six months
ended June 30,
2013
    Six months
ended June 30,

2012
 

Investment Income

        

Interest

   $ 7,368      $ 3,301      $ 16,633      $ 4,195   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     185,400        17,034        323,063        35,978   

Brokerage commissions

     118,168        39,043        203,189        67,872   

Offering costs

     —          42,876        —          50,028   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     303,568        98,953        526,252        153,878   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (296,200     (95,652     (509,619     (149,683
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (4,128,965     (2,781,528     21,075,146        4,076,312   

Short-term U.S. government and agency obligations

     1,978        933        2,054        786   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (4,126,987     (2,780,595     21,077,200        4,077,098   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (3,022,387     (229,628     753,504        585,922   

Short-term U.S. government and agency obligations

     (2,258     173        (3,920     424   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (3,024,645     (229,455     749,584        586,346   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (7,151,632     (3,010,050     21,826,784        4,663,444   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (7,447,832   $ (3,105,702   $ 21,317,165      $ 4,513,761   
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (8.20   $ (5.05   $ 26.35      $ 9.84   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     908,811        615,405        809,136        458,811   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 82,663,633   

Addition of 3,850,000 shares

     325,006,478   

Redemption of 3,600,000 shares

     (311,591,554
  

 

 

 

Net addition (redemption) of 250,000 shares

     13,414,924   
  

 

 

 

Net investment income (loss)

     (509,619

Net realized gain (loss)

     21,077,200   

Change in net unrealized appreciation/depreciation

     749,584   
  

 

 

 

Net income (loss)

     21,317,165   
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 117,395,722   
  

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ 21,317,165      $ 4,513,761   

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

     (11,108,503     (2,897,242

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

     (29,611,638     (13,107,863

Change in unrealized appreciation/depreciation on investments

     3,920        (424

Decrease (Increase) in receivable on futures contracts

     4,895,940        (3,886,101

Decrease (Increase) in Limitation by Sponsor

     —          (10,364

Change in offering cost

     —          1,956   

Increase (Decrease) in management fee payable

     20,901        (5,916

Increase (Decrease) in payable for offering costs

     —          48,072   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (14,482,215     (15,344,121
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     338,239,156        192,549,780   

Payment on shares redeemed

     (324,290,938     (182,181,509
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     13,948,218        10,368,271   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (533,997     (4,975,850

Cash, beginning of period

     2,236,726        5,521,055   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,702,729      $ 545,205   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2013
(unaudited)
     December 31, 2012  

Assets

     

Cash

   $ 18,442,325       $ 19,959,356   

Segregated cash balances with brokers for futures contracts

     233,901,352         141,659,913   

Short-term U.S. government and agency obligations (Note 3) (cost $2,956,779,641 and $3,335,156,145, respectively)

     2,956,751,062         3,335,285,580   

Unrealized appreciation on swap agreements

     5,031,871         33,783,473   

Unrealized appreciation on forward agreements

     92,931,875         23,037,541   

Unrealized appreciation on foreign currency forward contracts

     9,242,871         38,700,860   

Receivable from capital shares sold

     47,577,275         47,672,102   

Receivable on open futures contracts

     2,287,488         9,613,025   

Receivable from Sponsor

     30,376         —     

Offering costs (Note 5)

     5,852         257,927   

Limitation by Sponsor

     37,369         5,373   
  

 

 

    

 

 

 

Total assets

     3,366,239,716         3,649,975,150   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     102,931,653         148,045,139   

Payable on open futures contracts

     8,897,980         74,986,160   

Management fee payable

     2,451,654         2,729,857   

Payable for offering costs

     200,223         316,900   

Unrealized depreciation on swap agreements

     1,284,445         5,913,328   

Unrealized depreciation on forward agreements

     230,256,263         161,392,764   

Unrealized depreciation on foreign currency forward contracts

     8,651,200         14,141,394   
  

 

 

    

 

 

 

Total liabilities

     354,673,418         407,525,542   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     3,011,566,298         3,242,449,608   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,366,239,716       $ 3,649,975,150   
  

 

 

    

 

 

 

Shares outstanding

     94,243,272         88,414,783   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

    Three months
ended June  30,
2013
    Three months
ended June  30,
2012
    Six months
ended June  30,
2013
    Six months
ended June  30,
2012
 

Investment Income

       

Interest

  $ 420,559      $ 568,104      $ 999,479      $ 782,733   
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

       

Management fee

    7,752,342        8,106,940        15,523,073        16,210,317   

Brokerage commissions

    869,039        574,052        1,577,032        831,025   

Offering costs

    105,069        164,372        135,399        193,686   

Limitation by Sponsor

    (59,390     (196     (62,372     (148
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    8,667,060        8,845,168        17,173,132        17,234,880   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    (8,246,501     (8,277,064     (16,173,653     (16,452,147
 

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

       

Net realized gain (loss) on

       

Futures contracts

    40,803,576        (116,561,280     (82,709,936     (294,910,229

Swap agreements

    12,589,380        (36,283,230     37,115,826        (24,730,044

Forward agreement

    (318,145,751     (197,470,125     (542,161,245     (256,453,070

Foreign currency forward contracts

    39,571,745        71,328,119        132,225,029        130,318,926   

Short-term U.S. government and agency obligations

    75,010        22,680        94,145        17,329   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    (225,106,040     (278,963,836     (455,436,181     (445,757,088
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

       

Futures contracts

    20,854,581        9,485,226        (6,930,051     (45,157,994

Swap agreements

    (10,099,859     6,432,276        (24,122,719     4,527,751   

Forward agreements

    (135,449,116     (63,416,130     1,030,835        78,543,862   

Foreign currency forward contracts

    (15,601,846     (575,530     (23,967,795     (81,147,353

Short-term U.S. government and agency obligations

    (104,052     15,659        (158,014     155,931   
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

    (140,400,292     (48,058,499     (54,147,744     (43,077,803
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    (365,506,332     (327,022,335     (509,583,925     (488,834,891
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

  $ (373,752,833   $ (335,299,399   $ (525,757,578   $ (505,287,038
 

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2013

(unaudited)

 

Shareholders’ equity, at December 31, 2012

   $ 3,242,449,608   

Addition of 66,257,500 shares

     3,278,116,196   

Redemption of 58,579,011* shares

     (2,983,241,928
  

 

 

 

Net addition (redemption) of 7,678,489 shares

     294,874,268   
  

 

 

 

Net investment income (loss)

     (16,173,653

Net realized gain (loss)

     (455,436,181

Change in net unrealized appreciation/depreciation

     (54,147,744
  

 

 

 

Net income (loss)

     (525,757,578
  

 

 

 

Shareholders’ equity, at June 30, 2013

   $ 3,011,566,298   
  

 

 

 

 

* 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

COMBINED STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2013 AND 2012

(unaudited)

 

     Six months ended
June 30, 2013
    Six months ended
June 30, 2012
 

Cash flow from operating activities

    

Net income (loss)

   $ (525,757,578   $ (505,287,038

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

     (92,241,439     (316,415,058

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

     378,376,504        (33,723,101

Change in unrealized appreciation/depreciation on investments

     47,217,693        (2,080,191

Decrease (Increase) in receivable on futures contracts

     7,325,537        (38,803,668

Decrease (Increase) in receivable from Sponsor

     (30,376     —     

Decrease (Increase) in Limitation by Sponsor

     (31,996     (21,461

Change in offering cost

     58,175        (30,996

Increase (Decrease) in management fee payable

     (278,203     15,313   

Increase (Decrease) in payable on futures contracts

     (66,088,180     81,425,972   

Increase (Decrease) in payable for offering costs

     77,223        224,680   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (251,372,640     (814,695,548
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,278,211,023        3,166,756,528   

Payment on shares redeemed*

     (3,028,355,414     (2,353,658,628
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     249,855,609        813,097,900   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,517,031     (1,597,648

Cash, beginning of period

     19,959,356        19,145,045   
  

 

 

   

 

 

 

Cash, end of period

   $ 18,442,325      $ 17,547,397   
  

 

 

   

 

 

 

 

* 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

June 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 June 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”. 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. 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.

 

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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 a benchmark. 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 years ended December 31, 2012 and 2011 and the six months ended June 30, 2013. 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 Commodity    February 25, 2011    1-for-5 reverse Share split    February 25, 2011
ProShares UltraShort DJ-UBS Crude Oil    February 25, 2011    1-for-5 reverse Share split    February 25, 2011
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    February 25, 2011    1-for-4 reverse Share split    February 25, 2011
ProShares UltraShort Silver    May 11, 2012    1-for-5 reverse Share split    May 11, 2012
ProShares UltraShort Yen    October 13, 2011    1-for-3 reverse Share split    October 13, 2011
ProShares Ultra DJ-UBS Crude Oil    February 25, 2011    1-for-4 reverse Share split    February 25, 2011
ProShares Ultra DJ-UBS Natural Gas    May 11, 2012    1-for-5 reverse Share split    May 11, 2012
ProShares Ultra Silver    October 13, 2011    2-for-1 Share split    October 13, 2011
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 Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Crude Oil, 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, ProShares Ultra Silver 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 June 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 ended June 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.        June 28   

UltraShort Gold, Ultra Gold

    10:00 A.M.        June 28   

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

    2:30 P.M.        June 28   

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

    2:30 P.M.        June 28   

UltraShort DJ-UBS Commodity, Ultra DJ-UBS Commodity

    3:00 P.M.        June 28   

UltraShort Australian Dollar, Ultra Australian Dollar

    4:00 P.M.        June 28   

Short Euro, UltraShort Euro, Ultra Euro

    4:00 P.M.        June 28   

UltraShort Yen, Ultra Yen

    4:00 P.M.        June 28   

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

    4:15 P.M.        June 28   

VIX Mid-Term Futures ETF

    4:15 P.M.        June 28   

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 ended June 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, 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 ended June 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

 

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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 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 June 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

  $ 3,191,531      $ —        $ —        $ —        $ 412,248      $ 3,603,779   

UltraShort DJ-UBS Crude Oil

    231,327,320        (878,497     —          —          (380,021     230,068,802   

UltraShort DJ-UBS Natural Gas

    16,503,821        2,329,474        —          —          —          18,833,295   

UltraShort Gold

    135,973,947        41,240        51,785,690        —          —          187,800,877   

UltraShort Silver

    81,895,916        23,400        41,146,185        —          —          123,065,501   

Short Euro

    3,316,934        67,613        —          —          —          3,384,547   

UltraShort Australian Dollar

    19,591,494        1,398,641        —          —          —          20,990,135   

UltraShort Euro

    519,058,420        —          —          4,746,724        —          523,805,144   

UltraShort Yen

    542,423,314        —          —          (4,128,086     —          538,295,228   

Ultra DJ-UBS Commodity

    4,199,586        —          —          —          (471,275     3,728,311   

Ultra DJ-UBS Crude Oil

    207,733,071        312,348        —          —          4,186,474        212,231,893   

Ultra DJ-UBS Natural Gas

    34,894,234        (5,946,238     —          —          —          28,947,996   

Ultra Gold

    191,165,003        (41,260     (53,705,404     —          —          137,418,339   

Ultra Silver

    585,906,874        (23,500     (176,550,859     —          —          409,332,515   

Ultra Australian Dollar

    2,922,887        (207,107     —          —          —          2,715,780   

Ultra Euro

    3,442,640        —          —          (37,031     —          3,405,609   

Ultra Yen

    3,057,900        —          —          10,064        —          3,067,964   

VIX Short-Term Futures ETF

    133,770,653        1,236,537        —          —          —          135,007,190   

VIX Mid-Term Futures ETF

    57,492,428        5,582,434        —          —          —          63,074,862   

Ultra VIX Short-Term Futures ETF

    95,589,019        3,240,971        —          —          —          98,829,990   

Short VIX Short-Term Futures ETF

    83,294,070        (633,671     —          —          —          82,660,399   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

  $ 2,956,751,062      $ 6,502,385      $ (137,324,388   $ 591,671      $ 3,747,426      $ 2,830,268,156   

 

* 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 June 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. For the six months ended June 30, 2013, 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.

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)

 

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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 June 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 June 30, 2013, the collateral posted by counterparties consisted of cash and U.S. Treasury Securities.

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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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 June 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 June 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

   $ 412,248     

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

  

ProShares UltraShort DJ-UBS Crude Oil

   $ 1,691,667
     

ProShares UltraShort DJ-UBS Crude Oil

     433,149        

ProShares Ultra DJ-UBS Commodity

     471,275   
     

ProShares UltraShort DJ-UBS Natural Gas

     2,329,474     

ProShares Ultra DJ-UBS Natural Gas

  

 

5,946,238

     

ProShares UltraShort Gold

     51,826,930     

ProShares Ultra Gold

     53,746,664
     

ProShares UltraShort Silver

  

 

41,169,585

    

ProShares Ultra Silver

     176,574,359
     

ProShares Ultra DJ-UBS Crude Oil

  

 

4,498,822

       

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     67,613  

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

  

ProShares UltraShort Euro

     1,655,091   
     

ProShares UltraShort Australian Dollar

     1,398,641     

ProShares UltraShort Yen

    
6,956,913
  
     

ProShares UltraShort Euro

    
6,401,815
  
    

ProShares Ultra Australian Dollar

     207,107
     

ProShares UltraShort Yen

  

 

2,828,827

  

    

ProShares Ultra Euro

     39,032   
     

ProShares Ultra Euro

  

 

2,001

  

    

ProShares Ultra Yen

  

 

164

  

     

ProShares Ultra Yen

  

 

10,228

  

       

VIX Futures Contracts

  

Receivables on open futures contracts and unrealized appreciation on swap agreements

  

ProShares VIX Short-Term Futures ETF

     2,794,117  

Payable on open futures contracts and unrealized depreciation on swap agreements

  

ProShares VIX Short-Term Futures ETF

     1,557,580
     

ProShares VIX Mid-Term Futures ETF

  

 

5,582,434

    

ProShares Ultra VIX Short-Term Futures ETF

  

 

3,256,620

     

ProShares Ultra VIX Short-Term Futures ETF

     6,497,591     

ProShares Short VIX Short-Term Futures ETF

     1,894,221
     

ProShares Short VIX Short-Term Futures ETF

    
1,260,550

       
        

 

 

         

 

 

 
     

Total Trust

   $ 127,514,025     

Total Trust

   $ 253,996,931

 

* 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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Table of Contents

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 Ultra Australian Dollar

     99,030
     

ProShares UltraShort Yen

     38,346,817        

ProShares UltraShort Euro

     13,398,619   
     

ProShares Ultra Euro

     89,473        

ProShares UltraShort Yen

     232,642   
     

ProShares Ultra Yen

     13,523        

ProShares Ultra Euro

     2,314   
             

ProShares Ultra Yen

  

 

507,819

  

VIX Futures Contracts

  

Receivables on open futures contracts and unrealized appreciation on swap agreements

  

ProShares VIX Short-Term Futures ETF

     2,368,824  

Payable on open futures contracts and 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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Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 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

   $ 150,169      $ 505,167   
     

ProShares UltraShort DJ-UBS Crude Oil

     1,025,654        9,878,372   
     

ProShares UltraShort DJ-UBS Natural Gas

     (834,719     5,826,227   
     

ProShares UltraShort Gold

     20,858,050        55,074,622   
     

ProShares UltraShort Silver

     51,615,327        40,886,777   
     

ProShares Ultra DJ-UBS Commodity

     (274,078     (586,322
     

ProShares Ultra DJ-UBS Crude Oil

     20,733,669        (22,057,265
     

ProShares Ultra DJ-UBS Natural Gas

     9,153,747        (19,990,856
     

ProShares Ultra Gold

     (68,008,649     (62,970,484
     

 

ProShares Ultra Silver

     (322,610,723     (168,439,871

Foreign Exchange Contracts

  

Net realized gain (loss) on futures contracts and forward agreements/changes in unrealized appreciation/ depreciation on futures contracts and forward agreements

  

ProShares Short Euro

     (67,938     5,900   
     

 

ProShares UltraShort Australian Dollar

     1,793,067        1,508,211   
     

ProShares UltraShort Euro

     (8,147,050     (8,918,725
     

ProShares UltraShort Yen

     48,138,405        (6,860,712
     

 

ProShares Ultra Australian Dollar

     (590,630     (332,037
     

ProShares Ultra Euro

     36,991        96,965   
     

 

ProShares Ultra Yen

     (456,601     80,626   

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

     11,156,344        9,582,597   
     

ProShares VIX Mid-Term Futures ETF

     (2,486,914     7,458,863   
     

ProShares Ultra VIX Short-Term Futures ETF

     17,763,794        21,978,092   
     

ProShares Short VIX Short-Term Futures ETF

     (4,128,965     (3,022,387
        

 

 

   

 

 

 
     

Total Trust

   $ (225,181,050   $ (140,296,240

 

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Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 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

   $ 1,440,617      $ (529,837
     

ProShares UltraShort DJ-UBS Crude Oil

     54,331,980        (4,689,499
     

ProShares UltraShort DJ-UBS Natural Gas

     1,866,063        (11,132,490
     

ProShares UltraShort Gold

     3,258,237        4,384,700   
     

ProShares UltraShort Silver

     39,062,875        13,285,037   
     

ProShares Ultra DJ-UBS Commodity

     (1,858,138     972,171   
     

ProShares Ultra DJ-UBS Crude Oil

     (112,159,856     16,382,312   
     

ProShares Ultra DJ-UBS Natural Gas

     (21,504,204     34,960,080   
     

ProShares Ultra Gold

     (20,402,544     (12,223,665
     

 

ProShares Ultra Silver

     (219,393,573     (68,862,262

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

     (2,000     (50,313
     

 

ProShares UltraShort Euro

     82,141,512        8,466,287   
     

ProShares UltraShort Yen

     (10,400,196     (8,995,775
     

 

ProShares Ultra Euro

     (617,222     (171,629
     

 

ProShares Ultra Yen

     204,025        125,587   

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

     (9,362,087     1,033,366   
     

ProShares VIX Mid-Term Futures ETF

     (3,325,870     5,016,790   
     

ProShares Ultra VIX Short-Term Futures ETF

     (59,484,607     (25,815,390
     

ProShares Short VIX Short-Term Futures ETF

     (2,781,528     (229,628
        

 

 

   

 

 

 
     

Total Trust

   $ (278,986,516   $ (48,074,158

 

125


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 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

   $ 458,667      $ 263,746   
     

ProShares UltraShort DJ-UBS Crude Oil

     (5,099,504     8,378,263   
     

ProShares UltraShort DJ-UBS Natural Gas

     (2,608,140     1,920,339   
     

ProShares UltraShort Gold

     33,741,517        48,081,834   
     

ProShares UltraShort Silver

     80,819,839        21,821,880   
     

ProShares Ultra DJ-UBS Commodity

     (782,975     (165,007
     

ProShares Ultra DJ-UBS Crude Oil

     87,297,994        (50,795,208
     

ProShares Ultra DJ-UBS Natural Gas

     14,901,941        (2,129,288
     

ProShares Ultra Gold

     (118,423,854     (38,079,366
     

 

ProShares Ultra Silver

     (538,299,271     (30,793,633

Foreign Exchange Contracts

  

Net realized gain (loss) on futures contracts and forward agreements/changes in unrealized appreciation/ depreciation on futures contracts and forward agreements

  

ProShares Short Euro

     (75,938     122,669   
     

 

ProShares UltraShort Australian Dollar

     1,905,097        1,313,051   
     

ProShares UltraShort Euro

     (11,096,730     17,894,296   
     

ProShares UltraShort Yen

     145,024,702        (42,242,261
     

 

ProShares Ultra Australian Dollar

     (739,905     (108,077
     

ProShares Ultra Euro

     (28,371     (124,190
     

 

ProShares Ultra Yen

     (1,674,572     504,360   

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

     (44,252,605     1,457,956   
     

ProShares VIX Mid-Term Futures ETF

     (12,747,085     7,052,844   
     

ProShares Ultra VIX Short-Term Futures ETF

     (104,926,279     882,558   
     

ProShares Short VIX Short-Term Futures ETF

     21,075,146        753,504   
        

 

 

   

 

 

 
     

Total Trust

   $ (455,530,326   $ (53,989,730

 

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Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 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

   $ 1,514,927      $ (890,925
     

ProShares UltraShort DJ-UBS Crude Oil

     50,500,369        (5,591,189
     

ProShares UltraShort DJ-UBS Natural Gas

     6,303,174        (5,201,530
     

ProShares UltraShort Gold

     1,712,252        (28,683,373
     

ProShares UltraShort Silver

     3,378,461        (21,057,715
     

ProShares Ultra DJ-UBS Commodity

     (2,180,586     1,393,496   
     

ProShares Ultra DJ-UBS Crude Oil

     (96,615,721     25,471,940   
     

ProShares Ultra DJ-UBS Natural Gas

     (26,662,775     19,416,770   
     

ProShares Ultra Gold

     (50,261,340     64,238,229   
     

 

ProShares Ultra Silver

     (211,287,123     64,046,521   

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

     (2,000     (50,313
     

 

ProShares UltraShort Euro

     120,954,100        (90,022,265
     

ProShares UltraShort Yen

     10,452,808        8,437,864   
     

 

ProShares Ultra Euro

     (866,798     640,153   
     

 

ProShares Ultra Yen

     (221,184     (203,105

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

     (52,094,224     (16,312,581
     

ProShares VIX Mid-Term Futures ETF

     (25,743,470     (24,810
     

ProShares Ultra VIX Short-Term Futures ETF

     (178,731,599     (59,426,823
     

ProShares Short VIX Short-Term Futures ETF

     4,076,312        585,922   
        

 

 

   

 

 

 
     

Total Trust

   $ (445,774,417   $ (43,233,734

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 June 30, 2013 and December 31, 2012:

ProShares UltraShort DJ-UBS Commodity

Offsetting of Financial Assets and Derivative Assets as of June 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

   $ 412,248       $ —         $ 412,248   
  

 

 

    

 

 

    

 

 

 

Total

   $ 412,248       $ —         $ 412,248   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 115,736       $ —         $ —         $ 115,736   

Goldman Sachs International

     249,202         —           —           249,202   

UBS AG

     47,310         —           —           47,310   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 412,248       $ —         $ —         $ 412,248   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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 June 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 June 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*

   $ 948,600       $ —         $ 948,600   

Swap agreements

     433,149         —           433,149   
  

 

 

    

 

 

    

 

 

 

Total

   $ 1,381,749       $ —         $ 1,381,749   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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.

   $ 948,600       $ —         $ —         $ 948,600   

Societe Generale S.A.

     279,982         —           —           279,982   

UBS AG

     153,167         —           —           153,167   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 1,381,749       $ —         $ —         $ 1,381,749   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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

     813,170         —           813,170   
  

 

 

    

 

 

    

 

 

 

Total

   $ 813,170       $ —         $ 813,170   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 30, 2013:

 

            Gross Amounts Not Offset in the
Statement of Financial  Condition
        
     Liabilities      Instruments     Pledged      Net Amount  

Deutsche Bank AG

   $ 617,121       $ (617,121   $ —         $ —     

Goldman Sachs International

     196,049         (196,049     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 813,170       $ (813,170   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

* 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 June 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*

   $ 156,328       $ —         $ 156,328   
  

 

 

    

 

 

    

 

 

 

Total

   $ 156,328       $ —         $ 156,328   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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.

   $ 156,328       $ —         $ —         $ 156,328   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 156,328       $ —         $ —         $ 156,328   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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 June 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 June 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

   $ 51,785,690       $ —         $ 51,785,690   

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 51,785,690       $ —         $ 51,785,690   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 30,994,698       $ —         $ —         $ 30,994,698   

Goldman Sachs International

     7,224,251         —           —           7,224,251   

Societe Generale S.A.

     7,403,722         —           —           7,403,722   

UBS AG

     6,163,019         —           —           6,163,019   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 51,785,690       $ —         $ —         $ 51,785,690   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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*

     2,420         —           2,420   
  

 

 

    

 

 

    

 

 

 

Total

   $ 2,420       $ —         $ 2,420   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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.

   $ 2,420       $ —         $ (2,420   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 2,420       $ —         $ (2,420   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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

   $ 41,146,185       $ —         $ 41,146,185   

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 41,146,185       $ —         $ 41,146,185   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 26,789,324       $ —         $ —         $ 26,789,324   

Goldman Sachs International

     4,141,484         —           —           4,141,484   

Societe Generale S.A.

     6,806,911         —           —           6,806,911   

UBS AG

     3,408,466         —           —           3,408,466   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 41,146,185       $ —         $ —         $ 41,146,185   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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*

     9,170         —           9,170   
  

 

 

    

 

 

    

 

 

 

Total

   $ 9,170       $ —         $ 9,170   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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.

   $ 9,170       $ —         $ (9,170   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 9,170       $ —         $ (9,170   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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*

   $ 8,338       $ —         $ 8,338   
  

 

 

    

 

 

    

 

 

 

Total

   $ 8,338       $ —         $ 8,338   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 8,338       $ —         $ —         $ 8,338   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 8,338       $ —         $ —         $ 8,338   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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 June 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.

 

133


Table of Contents

ProShares UltraShort Australian Dollar

Offsetting of Financial Assets and Derivative Assets as of June 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*

   $ 533,851       $ —         $ 533,851   
  

 

 

    

 

 

    

 

 

 

Total

   $ 533,851       $ —         $ 533,851   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 533,851       $ —         $ —         $ 533,851   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 533,851       $ —         $ —         $ 533,851   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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 June 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.

 

134


Table of Contents

ProShort Ultrashort Euro

Offsetting of Financial Assets and Derivative Assets as of June 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

   $ 6,401,815       $ —         $ 6,401,815   
  

 

 

    

 

 

    

 

 

 

Total

   $ 6,401,815       $ —         $ 6,401,815   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 3,121,033       $ —         $ —         $ 3,121,033   

UBS AG

     3,280,782         —           —           3,280,782   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 6,401,815       $ —         $ —         $ 6,401,815   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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

   $ 1,655,091       $ —         $ 1,655,091   
  

 

 

    

 

 

    

 

 

 

Total

   $ 1,655,091       $ —         $ 1,655,091   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 783,826       $ (783,826   $ —         $ —     

UBS AG

     871,265         (871,265     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 1,655,091       $ (1,655,091   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

135


Table of Contents

ProShares Ultrashort Yen

Offsetting of Financial Assets and Derivative Assets as of June 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

   $ 2,828,827       $ —         $ 2,828,827   
  

 

 

    

 

 

    

 

 

 

Total

   $ 2,828,827       $ —         $ 2,828,827   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 2,828,827       $ —         $ —         $ 2,828,827   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,828,827       $ —         $ —         $ 2,828,827   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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

   $ 6,956,913       $ —         $ 6,956,913   
  

 

 

    

 

 

    

 

 

 

Total

   $ 6,956,913       $ —         $ 6,956,913   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 2,932,909       $ (2,932,909   $ —         $ —     

UBS AG

     4,024,004         (4,024,004     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 6,956,913       $ (6,956,913   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

136


Table of Contents

ProShares Ultra DJ-UBS Commodity

Offsetting of Financial Assets and Derivative Assets as of June 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 June 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 June 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

   $ 471,275       $ —         $ 471,275   
  

 

 

    

 

 

    

 

 

 

Total

   $ 471,275       $ —         $ 471,275   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 109,267       $ (109,267   $ —         $ —     

Goldman Sachs International

     232,010         (232,010     —           —     

UBS AG

     129,998         (129,998     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 471,275       $ (471,275   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

137


Table of Contents

ProShares Ultra DJ-UBS Crude Oil

Offsetting of Financial Assets and Derivative Assets as of June 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

     4,186,474         —           4,186,474   
  

 

 

    

 

 

    

 

 

 

Total

   $ 4,186,474       $ —         $ 4,186,474   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 892,115       $ —         $ —         $ 892,115   

Goldman Sachs International

     2,304,658         —           —           2,304,658   

Societe Generale S.A.

     242,147         —           —           242,147   

UBS AG

     747,554         —           —           747,554   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 4,186,474       $ —         $ —         $ 4,186,474   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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*

   $ 702,657       $ —         $ 702,657   

Swap agreements

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 702,657       $ —         $ 702,657   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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.

   $ 702,657       $ —         $ (702,657   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 702,657       $ —         $ (702,657   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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 June 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 June 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*

   $ 401,083       $ —         $ 401,083   
  

 

 

    

 

 

    

 

 

 

Total

   $ 401,083       $ —         $ 401,083   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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.

   $ 401,083       $ —         $ (401,083   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 401,083       $ —         $ (401,083   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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*

     2,420         —           2,420   
  

 

 

    

 

 

    

 

 

 

Total

   $ 2,420         —         $ 2,420   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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.

   $ 2,420       $ —         $ —         $ 2,420   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,420       $ —         $ —         $ 2,420   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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

   $ 53,705,404       $ —         $ 53,705,404   

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 53,705,404       $ —         $ 53,705,404   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 34,265,059       $ (34,265,059   $ —         $ —     

Goldman Sachs International

     7,468,030         (7,468,030     —           —     

Societe Generale S.A.

     6,059,415         (6,059,415     —         $ —     

UBS AG

     5,912,900         (5,912,900     —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 53,705,404       $ (53,705,404   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

* 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 June 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*

     9,170         —           9,170   
  

 

 

    

 

 

    

 

 

 

Total

   $ 9,170       $ —         $ 9,170   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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.

   $ 9,170       $ —         $ —         $ 9,170   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 9,170       $ —         $ —         $ 9,170   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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

   $ 176,550,859       $ —         $ 176,550,859   

Futures contracts*

     —           —           —     
  

 

 

    

 

 

    

 

 

 

Total

   $ 176,550,859       $ —         $ 176,550,859   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 100,661,789       $ (100,661,789   $ —         $ —     

Goldman Sachs International

     24,477,384         (24,477,384     —           —     

Societe Generale S.A.

     31,882,510         (31,882,510     —           —     

UBS AG

     19,529,176         (19,529,176     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 176,550,859       $ (176,550,859   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

* 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 June 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 June 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 June 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*

   $ 84,282       $ —         $ 84,282   
  

 

 

    

 

 

    

 

 

 

Total

   $ 84,282       $ —         $ 84,282   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 84,282       $ —         $ (84,282   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 84,282       $ —         $ (84,282   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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

   $ 2,001       $ —         $ 2,001   
  

 

 

    

 

 

    

 

 

 

Total

   $ 2,001       $ —         $ 2,001   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 1,584       $ —         $ —         $ 1,584   

UBS AG

     417         —           —           417   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,001       $ —         $ —         $ 2,001   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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

   $ 39,032       $ —         $ 39,032   
  

 

 

    

 

 

    

 

 

 

Total

   $ 39,032       $ —         $ 39,032   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 10,596       $ (10,596   $ —         $ —     

UBS AG

     28,436         (28,436     —           —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 39,032       $ (39,032   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

143


Table of Contents

ProShares Ultra Yen

Offsetting of Financial Assets and Derivative Assets as of June 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

   $ 10,228       $ —         $ 10,228   
  

 

 

    

 

 

    

 

 

 

Total

   $ 10,228       $ —         $ 10,228   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 9,004       $ —         $ —         $ 9,004   

UBS AG

     1,224         —           —           1,224   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 10,228       $ —         $ —         $ 10,228   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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

   $ 164       $ —         $ 164   
  

 

 

    

 

 

    

 

 

 

Total

   $ 164       $ —         $ 164   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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  

UBS AG

   $ 164       $ (164   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 164       $ (164   $ —         $ —     
  

 

 

    

 

 

   

 

 

    

 

 

 

 

144


Table of Contents

ProShares VIX Short-Term Futures ETF

Offsetting of Financial Assets and Derivative Assets as of June 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 June 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 June 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*

   $ 776,726       $ —         $ 776,726   
  

 

 

    

 

 

    

 

 

 

Total

   $ 776,726       $ —         $ 776,726   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 776,726       $ —         $ (776,726   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 776,726       $ —         $ (776,726   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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 June 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 June 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*

   $ 516,649       $ —         $ 516,649   
  

 

 

    

 

 

    

 

 

 

Total

   $ 516,649       $ —         $ 516,649   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 516,649       $ —         $ (516,649   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 516,649       $ —         $ (516,649   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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 June 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 June 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*

   $ 6,404,993       $ —         $ 6,404,993   
  

 

 

    

 

 

    

 

 

 

Total

   $ 6,404,993       $ —         $ 6,404,993   
  

 

 

    

 

 

    

 

 

 

Financial Liabilities, Derivative Liabilities, and Collateral Pledged by Counterparty as of June 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

   $ 6,404,993       $ —         $ (6,404,993   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 6,404,993       $ —         $ (6,404,993   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

 

 

* 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 June 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*

   $ 628,781       $ —         $ 628,781   
  

 

 

    

 

 

    

 

 

 

Total

   $ 628,781       $ —         $ 628,781   
  

 

 

    

 

 

    

 

 

 

Financial Assets, Derivative Assets, and Collateral Held by Counterparty as of June 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

   $ 628,781       $ —         $ —         $ 628,781   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 628,781       $ —         $ —         $ 628,781   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 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 June 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.

 

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:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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:

 

                   Net Amounts of  
                   Assets  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      Received      Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial     Cash Collateral     Net  
     Condition      Instruments     Pledged     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:

 

                   Net Amounts of  
                   Assets  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral      Net  
     Condition      Instruments      Received      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:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      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:

 

                   Net Amounts of  
                   Assets  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      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         —           —           389,297   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 3,729,856       $ —         $ —         $ 3,729,856   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial      Cash Collateral        
     Condition      Instruments      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:

 

                   Net Amounts of  
                   Assets  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      Received      Net Amount  

Deutsche Bank AG

   $ 10,786,801       $ —         $ —         $ 10,786,801   

Goldman Sachs International

     3,141,119         —           —           3,141,119   

Societe Generale S.A.

     3,255,649         —           —           3,255,649   

UBS AG

     2,124,116         —           —           2,124,116   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 19,307,685       $ —         $ —         $ 19,307,685   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial      Cash Collateral        
     Condition      Instruments      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:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      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:

 

                   Net Amounts of  
                   Assets  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      Received      Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial      Cash Collateral        
     Condition      Instruments      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:

 

            Gross Amounts      Net Amounts of
Assets
Presented in the
 
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      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:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial     Cash Collateral      Net  
     Condition      Instruments     Pledged      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:

 

                   Net Amounts of  
                   Assets  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      Received      Net Amount  

Goldman Sachs International

   $ 18,518,532       $ —         $ —         $ 18,518,532   

UBS AG

     19,828,285         —           —           19,828,285   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 38,346,817       $ —         $ —         $ 38,346,817   
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial     Cash Collateral      Net  
     Condition      Instruments     Pledged      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:

 

                   Net Amounts of  
                   Assets  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Assets    Assets      Financial Condition      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      Financial      Cash Collateral         
     Condition      Instruments      Received      Net Amount  
   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2012:

 

                   Net Amounts of  
                   Liabilities  
            Gross Amounts      Presented in the  
     Gross Amounts      Offset in the      Statement of  
     of Recognized      Statement of      Financial  
Liabilities    Liabilities      Financial Condition      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      Financial     Cash Collateral      Net  
     Condition      Instruments     Pledged      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         —           —           14,334,730   

Societe Generale S.A.

     8,989,866         —           —           8,989,866   

UBS AG

     10,009,024         —           —           10,009,024   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 36,764,035       $ —         $ —         $ 36,764,035   
  

 

 

    

 

 

    

 

 

    

 

 

 

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.

 

168


Table of Contents

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.

 

169


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 six months ended June 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, 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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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 and will not charge its Management Fee in the first year of operations of any Fund in an amount equal to the offering costs. The Sponsor reimbursed or will reimburse each Leveraged Fund, the Short Euro Fund and each Geared 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 if 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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Transaction fees for the three and six months ended June 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
June 30, 2013
     Six Months Ended
June 30, 2013
 

UltraShort DJ-UBS Commodity

   $ —         $ —     

UltraShort DJ-UBS Crude Oil

     92,528         117,884   

UltraShort DJ-UBS Natural Gas

     2,369         4,450   

UltraShort Gold

     37,231         43,090   

UltraShort Silver

     54,968         68,006   

Short Euro

     —           —     

UltraShort Australian Dollar

     —           —     

UltraShort Euro

     —           —     

UltraShort Yen

     —           —     

Ultra DJ-UBS Commodity

     —           283   

Ultra DJ-UBS Crude Oil

     93,314         146,558   

Ultra DJ-UBS Natural Gas

     5,706         17,416   

Ultra Gold

     12,066         13,781   

Ultra Silver

     45,423         65,674   

Ultra Australian Dollar

     —           —     

Ultra Euro

     —           —     

Ultra Yen

     —           —     

VIX Short-Term Futures ETF

     —           —     

VIX Mid-Term Futures ETF

     —           —     

Ultra VIX Short-Term Futures ETF

     263,908         477,198   

Short VIX Short-Term Futures ETF

     43,904         76,280   

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2013:

For the Three Months Ended June 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 March 31, 2013

   $ 55.1027      $ 36.4792      $ 71.8641      $ 67.8681      $ 54.0616      $ 38.6319      $ 36.8899   

Net investment income (loss)

     (0.1323     (0.0890     (0.2013     (0.1885     (0.1695     (0.0857     (0.1080

Net realized and unrealized gain (loss)#

     10.9199        (0.0509     16.9096        46.4189        56.7051        (0.6198     9.6293   

Change in net asset value from operations

     10.7876        (0.1399     16.7083        46.2304        56.5356        (0.7055     9.5213   

Net asset value, at June 30, 2013

   $ 65.8903      $ 36.3393      $ 88.5724      $ 114.0985      $ 110.5972      $ 37.9264      $ 46.4112   

Market value per share, at March 31, 2013†

   $ 51.14      $ 36.62      $ 72.24      $ 68.01      $ 55.02      $ 38.65      $ 36.41   

Market value per share, at June 30, 2013†

   $ 64.97      $ 36.45      $ 88.00      $ 106.50      $ 101.27      $ 38.01      $ 46.54   

Total Return, at net asset value^

     19.6     (0.4 )%      23.2     68.1     104.6     (1.8 )%      25.8

Total Return, at market value^

     27.0     (0.5 )%      21.8     56.6     84.1     (1.7 )%      27.8

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.99 )%      (1.22 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.06 )% 

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 )%      (0.94 )%      (1.16 )%      (0.90 )%      (0.90 )%      (0.91 )%      (1.03 )% 

 

* 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 June 30, 2013.
** Percentages are annualized.

 

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For the Three Months Ended June 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 March 31, 2013

   $ 20.0135      $ 59.0103      $ 23.6100      $ 31.6693      $ 50.2520      $ 77.1858      $ 38.4785   

Net investment income (loss)

     (0.0435     (0.1447     (0.0479     (0.0674     (0.1359     (0.1322     (0.0534

Net realized and unrealized gain (loss)

     (0.6810     5.2415        (4.3018     (1.4405     (14.0947     (35.3778     (22.6818

Change in net asset value from operations

     (0.7245     5.0968        (4.3497     (1.5079     (14.2306     (35.5100     (22.7352

Net asset value, at June 30, 2013

   $ 19.2890      $ 64.1071      $ 19.2603      $ 30.1614      $ 36.0214      $ 41.6758      $ 15.7433   

Market value per share, at March 31, 2013†

   $ 20.00      $ 59.00      $ 23.92      $ 31.56      $ 49.95      $ 77.01      $ 37.75   

Market value per share, at June 30, 2013†

   $ 19.29      $ 64.08      $ 18.96      $ 30.11      $ 36.26      $ 44.63      $ 17.00   

Total Return, at net asset value^

     (3.6 )%      8.6     (18.4 )%      (4.8 )%      (28.3 )%      (46.0 )%      (59.1 )% 

Total Return, at market value^

     (3.6 )%      8.6     (20.7 )%      (4.6 )%      (27.4 )%      (42.0 )%      (55.0 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.98 )%      (1.19 )%      (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)

     (0.91 )%      (0.90 )%      (0.89 )%      (0.94 )%      (1.14 )%      (0.87 )%      (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 June 30, 2013.
** Percentages are annualized.

 

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For the Three Months Ended June 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 March 31, 2013

   $ 42.1480      $ 22.8637      $ 23.7738      $ 54.1233      $ 26.4359      $ 75.7613      $ 92.1973   

Net investment income (loss)

     (0.0909     (0.0533     (0.0482     (0.1069     (0.0525     (0.2915     (0.3259

Net realized and unrealized gain (loss)#

     (9.2248     0.6640        (2.5057     1.9255        1.9041        (3.4739     (13.6086

Change in net asset value from operations

     (9.3157     0.6107        (2.5539     1.8186        1.8516        (3.7654     (13.9345

Net asset value, at June 30, 2013

   $ 32.8323      $ 23.4744      $ 21.2199      $ 55.9419      $ 28.2875      $ 71.9959      $ 78.2628   

Market value per share, at March 31, 2013†

   $ 42.55      $ 22.92      $ 23.69      $ 54.50      $ 26.43      $ 76.90      $ 91.08   

Market value per share, at June 30, 2013†

   $ 33.96      $ 23.25      $ 21.10      $ 55.91      $ 28.25      $ 71.69      $ 78.45   

Total Return, at net asset value^

     (22.1 )%      2.7     (10.7 )%      3.4     7.0     (5.0 )%      (15.1 )% 

Total Return, at market value^

     (20.2 )%      1.4     (10.9 )%      2.6     6.9     (6.8 )%      (13.9 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.99 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.80 )%      (1.56 )% 

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 )%      (0.90 )%      (0.81 )%      (0.81 )%      (1.77 )%      (1.52 )% 

 

* 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 June 30, 2013.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the three months ended June 30, 2012:

For the Three Months Ended June 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+  

Net asset value, at March 31, 2012

   $ 55.0086      $ 35.2448      $ 195.7666      $ 67.7407      $ 52.4356      $ 40.0000   

Net investment income (loss)

     (0.1322     (0.0906     (0.6847     (0.1553     (0.1330     (0.0060

Net realized and unrealized gain (loss)

     4.1855        14.0762        (73.8133     3.4041        17.6224        (0.5219

Change in net asset value from operations

     4.0533        13.9856        (74.4980     3.2488        17.4894        (0.5279

Net asset value, at June 30, 2012

   $ 59.0619      $ 49.2304      $ 121.2686      $ 70.9895      $ 69.9250      $ 39.4721   

Market value per share, at March 31, 2012†

   $ 54.71      $ 35.16      $ 197.40      $ 67.24      $ 52.75      $ 40.00   

Market value per share, at June 30, 2012†

   $ 58.64      $ 49.42      $ 120.52      $ 70.92      $ 67.82      $ 39.49   

Total Return, at net asset value^

     7.4     39.7     (38.1 )%      4.8     33.4     (1.3 )% 

Total Return, at market value^

     7.2     40.6     (38.9 )%      5.5     28.6     (1.3 )% 

Ratios to Average Net Assets**

            

Expense ratio

     (0.95 )%      (0.98 )%      (1.63 )%      (0.95 )%      (0.95 )%      (1.09 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.89 )%      (0.92 )%      (1.57 )%      (0.88 )%      (0.88 )%      (1.09 )% 

 

* See Note 1 of these Notes to Financial Statements.
+ From commencement of operations, June 26, 2012, through June 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 June 30, 2012.
** Percentages are annualized.

 

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For the Three Months Ended June 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 March 31, 2012

   $ 18.9713      $ 47.0450      $ 26.1013      $ 42.8123      $ 37.6935      $ 87.7900      $ 54.8939   

Net investment income (loss)

     (0.0447     (0.0958     (0.0514     (0.0745     (0.1200     (0.1789     (0.0978

Net realized and unrealized gain (loss)

     1.9805        (3.4144     (2.5316     (15.0248     8.1186        (7.8493     (17.7648

Change in net asset value from operations

     1.9358        (3.5102     (2.5830     (15.0993     7.9986        (8.0282     (17.8626

Net asset value, at June 30, 2012

   $ 20.9071      $ 43.5348      $ 23.5183      $ 27.7130      $ 45.6921      $ 79.7618      $ 37.0313   

Market value per share, at March 31, 2012†

   $ 18.97      $ 47.05      $ 25.90      $ 42.91      $ 37.40      $ 88.40      $ 54.46   

Market value per share, at June 30, 2012†

   $ 20.90      $ 43.51      $ 23.66      $ 27.54      $ 45.75      $ 79.74      $ 38.13   

Total Return, at net asset value^

     10.2     (7.5 )%      (9.9 )%      (35.3 )%      21.2     (9.1 )%      (32.5 )% 

Total Return, at market value^

     10.2     (7.5 )%      (8.6 )%      (35.8 )%      22.3     (9.8 )%      (30.0 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.98 )%      (1.31 )%      (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 )%      (0.92 )%      (1.25 )%      (0.88 )%      (0.88 )% 

 

* 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 June 30, 2012.
** Percentages are annualized.

 

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For the Three Months Ended June 30, 2012 (unaudited)

 

Per Share Operating Performance

   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 March 31, 2012

   $ 25.2458      $ 31.3676      $ 177.4817      $ 55.9502      $ 1,429.7668      $ 49.4858   

Net investment income (loss)

     (0.0515     (0.0731     (0.3902     (0.1183     (6.5621     (0.1554

Net realized and unrealized gain (loss)#

     (2.5589     2.1975        (17.0474     (0.7960     (461.0991     (4.0487

Change in net asset value from operations

     (2.6104     2.1244        (17.4376     (0.9143     (467.6612     (4.2041

Net asset value, at June 30, 2012

   $ 22.6354      $ 33.4920      $ 160.0441      $ 55.0359      $ 962.1056      $ 45.2817   

Market value per share, at March 31, 2012†

   $ 25.21      $ 31.36      $ 178.85      $ 56.74      $ 1,456.00      $ 49.07   

Market value per share, at June 30, 2012†

   $ 22.62      $ 33.39      $ 161.60      $ 55.08      $ 984.00      $ 44.92   

Total Return, at net asset value^

     (10.3 )%      6.8     (9.8 )%      (1.6 )%      (32.7 )%      (8.5 )% 

Total Return, at market value^

     (10.3 )%      6.5     (9.6 )%      (2.9 )%      (32.4 )%      (8.5 )% 

Ratios to Average Net Assets**

            

Expense ratio

     (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.74 )%      (1.57 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.88 )%      (0.88 )%      (0.80 )%      (0.80 )%      (1.71 )%      (1.52 )% 

 

* 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 June 30, 2012.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the six months ended June 30, 2013:

For the Six Months Ended June 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)

     (0.2467     (0.1744     (0.4363     (0.3363     (0.2677     (0.1698     (0.2042

Net realized and unrealized gain (loss)#

     12.0349        (3.7942     (13.1315     50.5660        59.4698        0.4677        8.8073   

Change in net asset value from operations

     11.7882        (3.9686     (13.5678     50.2297        59.2021        0.2979        8.6031   

Net asset value, at June 30, 2013

   $ 65.8903      $ 36.3393      $ 88.5724      $ 114.0985      $ 110.5972      $ 37.9264      $ 46.4112   

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 June 30, 2013†

   $ 64.97      $ 36.45      $ 88.00      $ 106.50      $ 101.27      $ 38.01      $ 46.54   

Total Return, at net asset value^

     21.8     (9.8 )%      (13.3 )%      78.6     115.2     0.8     22.8

Total Return, at market value^

     25.8     (9.9 )%      (13.4 )%      70.1     102.3     1.0     23.3

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.98 )%      (1.21 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.05 )% 

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 )%      (0.92 )%      (1.15 )%      (0.89 )%      (0.88 )%      (0.91 )%      (1.01 )% 

 

* 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 June 30, 2013.
** Percentages are annualized.

 

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For the Six Months Ended June 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)

     (0.0846     (0.2699     (0.1017     (0.1348     (0.2278     (0.3089     (0.1400

Net realized and unrealized gain (loss)#

     0.3564        13.6193        (5.0255     0.9021        (2.7998     (41.7787     (27.0894

Change in net asset value from operations

     0.2718        13.3494        (5.1272     0.7673        (3.0276     (42.0876     (27.2294

Net asset value, at June 30, 2013

   $ 19.2890      $ 64.1071      $ 19.2603      $ 30.1614      $ 36.0214      $ 41.6758      $ 15.7433   

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 June 30, 2013†

   $ 19.29      $ 64.08      $ 18.96      $ 30.11      $ 36.26      $ 44.63      $ 17.00   

Total Return, at net asset value^

     1.4     26.3     (21.0 )%      2.6     (7.8 )%      (50.2 )%      (63.4 )% 

Total Return, at market value^

     1.5     26.2     (20.8 )%      2.7     (7.6 )%      (47.7 )%      (61.5 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.15 )%      (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)

     (0.89 )%      (0.89 )%      (0.89 )%      (0.91 )%      (1.09 )%      (0.88 )%      (0.87 )% 

 

# 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 June 30, 2013.
** Percentages are annualized.

 

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For the Six Months Ended June 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)

     (0.1859     (0.1070     (0.1026     (0.2241     (0.1061     (0.6942     (0.6298

Net realized and unrealized gain (loss)

     (8.4804     (0.7685     (6.8615     (27.7714     (6.3067     (128.6277     12.7628   

Change in net asset value from operations

     (8.6663     (0.8755     (6.9641     (27.9955     (6.4128     (129.3219     12.1330   

Net asset value, at June 30, 2013

   $ 32.8323      $ 23.4744      $ 21.2199      $ 55.9419      $ 28.2875      $ 71.9959      $ 78.2628   

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 June 30, 2013†

   $ 33.96      $ 23.25      $ 21.10      $ 55.91      $ 28.25      $ 71.69      $ 78.45   

Total Return, at net asset value^

     (20.9 )%      (3.6 )%      (24.7 )%      (33.4 )%      (18.5 )%      (64.2 )%      18.3

Total Return, at market value^

     (18.1 )%      (4.4 )%      (25.4 )%      (34.3 )%      (17.4 )%      (65.7 )%      19.9

Ratios to Average Net Assets**

              

Expense ratio

     (0.99 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.86 )%      (1.55 )% 

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 )%      (0.80 )%      (1.83 )%      (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 June 30, 2013.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the six months ended June 30, 2012:

For the Six Months Ended June 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+  

Net asset value, at December 31, 2011

   $ 56.9207      $ 38.8151      $ 95.2206      $ 82.7114      $ 76.6771      $ 40.0000   

Net investment income (loss)

     (0.2523     (0.1715     (1.1058     (0.3109     (0.2561     (0.0060

Net realized and unrealized gain (loss)

     2.3935        10.5868        27.1538        (11.4110     (6.4960     (0.5219

Change in net asset value from operations

     2.1412        10.4153        26.0480        (11.7219     (6.7521     (0.5279

Net asset value, at June 30, 2012

   $ 59.0619      $ 49.2304      $ 121.2686      $ 70.9895      $ 69.9250      $ 39.4721   

Market value per share, at December 31, 2011†

   $ 56.19      $ 38.69      $ 95.84      $ 79.24      $ 79.35      $ 40.00   

Market value per share, at June 30, 2012†

   $ 58.64      $ 49.42      $ 120.52      $ 70.92      $ 67.82      $ 39.49   

Total Return, at net asset value^

     3.8     26.8     27.4     (14.2 )%      (8.8 )%      (1.3 )% 

Total Return, at market value^

     4.4     27.7     25.8     (10.5 )%      (14.5 )%      (1.3 )% 

Ratios to Average Net Assets**

            

Expense ratio

     (0.95 )%      (0.98 )%      (1.51 )%      (0.95 )%      (0.95 )%      (1.09 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.91 )%      (0.93 )%      (1.47 )%      (0.90 )%      (0.90 )%      (1.09 )% 

 

* See Note 1 of these Notes to Financial Statements.
+ From commencement of operations, June 26, 2012, through June 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 June 30, 2012.
** Percentages are annualized.

 

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For the Six Months Ended June 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)

     (0.0904     (0.1949     (0.1143     (0.1717     (0.2625     (0.3874     (0.2251

Net realized and unrealized gain (loss)

     0.6618        2.7740        (2.2479     (12.9981     (56.0240     4.2426        (5.9339

Change in net asset value from operations

     0.5714        2.5791        (2.3622     (13.1698     (56.2865     3.8552        (6.1590

Net asset value, at June 30, 2012

   $ 20.9071      $ 43.5348      $ 23.5183      $ 27.7130      $ 45.6921      $ 79.7618      $ 37.0313   

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 June 30, 2012†

   $ 20.90      $ 43.51      $ 23.66      $ 27.54      $ 45.75      $ 79.74      $ 38.13   

Total Return, at net asset value^

     2.8     6.3     (9.1 )%      (32.2 )%      (55.2 )%      5.1     (14.3 )% 

Total Return, at market value^

     2.7     6.3     (7.7 )%      (32.7 )%      (54.9 )%      0.9     (8.5 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.28 )%      (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)

     (0.91 )%      (0.90 )%      (0.91 )%      (0.93 )%      (1.23 )%      (0.90 )%      (0.90 )% 

 

* 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 June 30, 2012.
** Percentages are annualized.

 

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For the Six Months Ended June 30, 2012 (unaudited)

 

Per Share Operating Performance

   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

   $ 23.8860      $ 36.4704      $ 381.8690      $ 74.1396      $ 7,412.6879      $ 25.8664   

Net investment income (loss)

     (0.1090     (0.1518     (0.8339     (0.2526     (14.9477     (0.3262

Net realized and unrealized gain (loss)

     (1.1416     (2.8266     (220.9910     (18.8511     (6,435.6346     19.7416   

Change in net asset value from operations

     (1.2506     (2.9784     (221.8249     (19.1037     (6,450.5823     19.4154   

Net asset value, at June 30, 2012

   $ 22.6354      $ 33.4920      $ 160.0441      $ 55.0359      $ 962.1056      $ 45.2817   

Market value per share, at December 31, 2011†

   $ 23.87      $ 36.50      $ 378.70      $ 74.13      $ 7,296.00      $ 26.14   

Market value per share, at June 30, 2012†

   $ 22.62      $ 33.39      $ 161.60      $ 55.08      $ 984.00      $ 44.92   

Total Return, at net asset value^

     (5.2 )%      (8.2 )%      (58.1 )%      (25.8 )%      (87.0 )%      75.1

Total Return, at market value^

     (5.2 )%      (8.5 )%      (57.3 )%      (25.7 )%      (86.5 )%      71.8

Ratios to Average Net Assets**

            

Expense ratio

     (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.80 )%      (1.70 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.91 )%      (0.90 )%      (0.80 )%      (0.81 )%      (1.78 )%      (1.65 )% 

 

* 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 June 30, 2012.
** Percentages are annualized.

 

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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 (-1) 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 – LEGAL PROCEEDINGS

The Trust and certain principals of the Sponsor have been named as defendants (along with several other parties) in a consolidated class action lawsuit filed in the United States District Court for the Southern District of New York, styled In re ProShares Trust Securities Litigation, Civ. No. 09-cv-6935. The complaint, as amended, alleged that the defendants violated Sections 11 and 15 of the Securities Act of 1933 by including untrue statements of material fact and omitting material facts in the Registration Statement for one or more ProShares ETFs and allegedly failing to adequately disclose the Funds’ investment objectives and risks. The six Funds of the Trust named in the complaint were ProShares Ultra Silver, ProShares UltraShort Gold, ProShares Ultra Gold, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort Silver. On September 10, 2012, the District Court issued an Opinion and Order dismissing the class action lawsuit in its entirety. On December 17, 2012, the plaintiffs filed an appeal brief to the United States Court of Appeals for the Second Circuit. On July 22, 2013, the United States Court of Appeals for the Second Circuit issued an Opinion affirming the District Court’s decision dismissing the class action lawsuit in its entirety.

NOTE 10 – 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 June 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 a benchmark. 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 six months ended June 30, 2013 and 2012, each of the Funds earned interest income as follows:

 

Fund

   Interest Income
Three Months
Ended

June 30, 2013
     Interest Income
Three Months
Ended

June 30, 2012
     Interest Income
Six Months
Ended

June 30, 2013
     Interest Income
Six Months
Ended

June 30, 2012
 

ProShares UltraShort DJ-UBS Commodity

     510         978         1,235         1,659   

ProShares UltraShort DJ-UBS Crude Oil

     23,201         20,652         48,510         30,777   

ProShares UltraShort DJ-UBS Natural Gas

     3,549         2,166         5,950         3,029   

ProShares UltraShort Gold

     19,551         242,236         35,308         31,155   

ProShares UltraShort Silver

     16,691         29,103         39,046         44,427   

ProShares Short Euro

     511         —           1,025         —     

ProShares UltraShort Australian Dollar

     1,111         —           1,609         —     

ProShares UltraShort Euro

     52,873         151,290         140,103         199,019   

ProShares UltraShort Yen

     61,098         42,631         130,590         63,202   

ProShares Ultra DJ-UBS Commodity

     664         1,404         1,414         1,929   

ProShares Ultra DJ-UBS Crude Oil

     38,629         50,164         101,903         63,252   

ProShares Ultra DJ-UBS Natural Gas

     4,949         6,879         16,626         8,998   

ProShares Ultra Gold

     41,790         61,509         100,868         88,900   

ProShares Ultra Silver

     102,633         125,529         261,893         177,264   

ProShares Ultra Australian Dollar

     424         —           1,070         —     

ProShares Ultra Euro

     421         1,087         1,097         1,575   

ProShares Ultra Yen

     417         872         1,243         1,244   

ProShares VIX Short-Term Futures ETF

     19,211         19,273         43,539         26,077   

ProShares VIX Mid-Term Futures ETF

     6,431         12,164         13,751         18,250   

ProShares Ultra VIX Short-Term Futures ETF

     18,527         14,866         36,066         17,781   

ProShares Short VIX Short-Term Futures ETF

     7,368         3,301         16,633         4,195   

 

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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.

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 August 9, 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.

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 six months ended June 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.

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 June 30, 2013 Compared to the Three Months Ended June 30, 2012

ProShares UltraShort DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 3,305,997      $ 8,801,218   

NAV end of period

   $ 3,953,221      $ 3,543,535   

Percentage change in NAV

     19.6     (59.7 )% 

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

   $ 55.10      $ 55.01   

Per share NAV end of period

   $ 65.89      $ 59.06   

Percentage change in per share NAV

     19.6     7.4

Percentage change in benchmark

     (9.5 )%      (4.6 )% 

Benchmark annualized volatility

     13.0     15.7

 

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During the three months ended June 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. There was no net change in the Fund’s outstanding Shares from March 31, 2013 to June 30, 2013. By comparison, during the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 159,997 outstanding shares at March 31, 2012 to 59,997 outstanding shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 19.6% for the three months ended June 30, 2013, as compared to the increase of 7.4% for the three months ended June 30, 2012, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $65.89 per Share and reached its low for the period on April 1, 2013 at $55.79 per Share. By comparison, during the three months ended June 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 April 2, 2012 at $53.55 per Share.

The benchmark’s decline of 9.5% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 4.6% for the three months ended June 30, 2012, can be attributed to greater depreciation of the underlying components of the index during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

Net investment income (loss)

     (7,940     (14,834

Management fee

     8,450        15,812   

Net realized gain (loss)

     150,169        1,440,679   

Change in net unrealized appreciation/depreciation

     504,995        (529,884

Net income (loss)

     647,224        895,961   

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a decrease in the Fund’s benchmark index in conjunction with a significantly lower average shares outstanding from the three months ended June 30, 2012 to the three months ended June 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 June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

NAV beginning of period

   $ 141,172,634      $ 154,017,609   

NAV end of period

   $ 251,466,116      $ 82,211,941   

Percentage change in NAV

     78.1     (46.6 )% 

Shares outstanding beginning of period

     3,869,944        4,369,944   

Shares outstanding end of period

     6,919,944        1,669,944   

Percentage change in shares outstanding

     78.8     (61.8 )% 

Shares created

     7,100,000        1,300,000   

 

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     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

Shares redeemed

     4,050,000        4,000,000   

Per share NAV beginning of period

   $ 36.48      $ 35.24   

Per share NAV end of period

   $ 36.34      $ 49.23   

Percentage change in per share NAV

     (0.4 )%      39.7

Percentage change in benchmark

     (1.7 )%      (18.5 )% 

Benchmark annualized volatility

     21.8     30.2

During the three months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 3,869,944 outstanding Shares at March 31, 2013 to 6,919,944 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 4,369,944 outstanding Shares at March 31, 2012 to 1,669,944 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.4% for the three months ended June 30, 2013, as compared to the increase of 39.7% for the three months ended June 30, 2012, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 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 June 18, 2013 at $34.89 per Share. By comparison, during the three months ended June 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 May 1, 2012 at $33.30 per Share.

The benchmark’s decline of 1.7% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 18.5% for the three months ended June 30, 2012, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

Net investment income (loss)

     (438,268     (268,706

Management fee

     442,975        278,920   

Brokerage commissions

     18,494        10,438   

Net realized gain (loss)

     1,034,624        54,334,541   

Change in net unrealized appreciation/depreciation

     9,876,289        (4,691,207

Net income (loss)

     10,472,645        49,374,628   

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended June 30, 2013.

 

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ProShares UltraShort DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

NAV beginning of period

   $ 25,153,019      $ 22,025,304   

NAV end of period

   $ 19,924,537      $ 13,643,687   

Percentage change in NAV

     (20.8 )%      (38.1 )% 

Shares outstanding beginning of period

     350,008        112,508   

Shares outstanding end of period

     224,952        112,508   

Percentage change in shares outstanding

     (35.7 )%      0.0

Shares created

     100,000        62,500   

Shares redeemed

     225,056        62,500   

Per share NAV beginning of period

   $ 71.86      $ 195.77   

Per share NAV end of period

   $ 88.57      $ 121.27   

Percentage change in per share NAV

     23.2     (38.1 )% 

Percentage change in benchmark

     (13.9)     14.0

Benchmark annualized volatility

     34.3     51.8

During the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 350,008 outstanding Shares at March 31, 2013 to 224,952 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, during the three months ended June 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 of the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from March 31, 2012 to June 30, 2012.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 23.2% for the three months ended June 30, 2013, as compared to the decrease of 38.1% for the three months ended June 30, 2012, was primarily due to appreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $88.57 per Share and reached its low for the period on April 19, 2013 at $59.27 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 29, 2012 at $245.67 per Share and reached its low for the period on June 29, 2012 at $121.27 per Share.

The benchmark’s decline of 13.9% for the three months ended June 30, 2013, as compared to the benchmark’s rise of 14.0% for the three months ended June 30, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

Net investment income (loss)

     (74,590     (64,525

Management fee

     61,051        —     

Brokerage commissions

     17,088        27,710   

Offering costs

     —          39,029   

 

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     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

Limitation by Sponsor

     —          (48

Net realized gain (loss)

     (833,614     1,866,072   

Change in net unrealized appreciation/depreciation

     5,825,460        (11,132,414

Net income (loss)

     4,917,256        (9,330,867

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended June 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 June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

NAV beginning of period

   $ 104,990,435      $ 147,165,003   

NAV end of period

   $ 170,802,997      $ 129,376,591   

Percentage change in NAV

     62.7     (12.1 )% 

Shares outstanding beginning of period

     1,546,978        2,172,475   

Shares outstanding end of period

     1,496,978        1,822,475   

Percentage change in shares outstanding

     (3.2 )%      (16.1 )% 

Shares created

     950,000        —     

Shares redeemed

     1,000,000        350,000   

Per share NAV beginning of period

   $ 67.87      $ 67.74   

Per share NAV end of period

   $ 114.10      $ 70.99   

Percentage change in per share NAV

     68.1     4.8

Percentage change in benchmark

     (25.4)     (3.9 )% 

Benchmark annualized volatility

     30.0     19.9

During the three months ended June 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 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 1,546,978 outstanding Shares at March 31, 2013 to 1,496,978 outstanding Shares at June 30, 2013. By comparison, during the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 2,172,475 outstanding Shares at March 31, 2012 to 1,822,475 outstanding Shares at June 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 of 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 June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 68.1% for the three months ended June 30, 2013, as compared to the increase of 4.8% for the three months ended June 30, 2012, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $114.10 per Share and reached its low for the period on April 2, 2013 at $69.11 per Share. By comparison, during the ended June 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 April 2, 2012 at $66.51 per Share.

 

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The benchmark’s decline of 25.4% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 3.9% for the three months ended June 30, 2012, can be attributed to a greater decrease in the price of spot gold in U.S. Dollar terms during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

Net investment income (loss)

     (349,253     (302,804

Management fee

     368,796        327,032   

Brokerage commissions

     8        8   

Net realized gain (loss)

     20,859,654        3,259,056   

Change in net unrealized appreciation/depreciation

     55,071,795        4,384,516   

Net income (loss)

     75,582,196        7,340,768   

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a greater decrease in the price of spot gold in U.S. Dollar terms during the three months ended June 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 June 30, 2013 and 2012:

 

     Three Months
Ended June 30, 2013
    Three Months
Ended June 30, 2012
 

NAV beginning of period

   $ 105,879,128      $ 199,196,161   

NAV end of period

   $ 83,886,747      $ 161,421,100   

Percentage change in NAV

     (20.8 )%      (19.0 )% 

Shares outstanding beginning of period

     1,958,489        3,798,874   

Shares outstanding end of period

     758,489        2,308,489   

Percentage change in shares outstanding

     (61.3 )%      (39.2 )% 

Shares created

     900,000        970,000   

Shares redeemed

     2,100,000        2,460,385   

Per share NAV beginning of period

   $ 54.06      $ 52.44   

Per share NAV end of period

   $ 110.60      $ 69.93   

Percentage change in per share NAV

     104.6     33.4

Percentage change in benchmark

     (34.2 )%      (16.5 )% 

Benchmark annualized volatility

     42.0     30.5

During the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,958,489 outstanding Shares at March 31, 2013 to 758,489 outstanding Shares at June 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 of 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 June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease of 3,798,874 outstanding Shares at March 31, 2012 to 2,308,489 outstanding Shares at June 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 of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

 

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For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 104.6% for the three months ended June 30, 2013, as compared to the increase of 33.4% for the three months ended June 30, 2012, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 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 April 2, 2013 at $56.63 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 16, 2012 at $72.27 per Share and reached its low for the period on April 3, 2012 at $50.67 per Share.

The benchmark’s decline of 34.2% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 16.5% for the three months ended June 30, 2012, can be attributed to a greater decrease in the price of spot silver in U.S. Dollar terms during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

    Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

    (273,413     (371,361

Management fee

    290,088        400,447   

Brokerage commissions

    16        17   

Net realized gain (loss)

    51,617,283        39,064,507   

Change in net unrealized appreciation/depreciation

    40,881,903        13,283,202   

Net income (loss)

    92,225,773        51,976,348   

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a greater decrease in the price of spot silver in U.S. Dollar terms during the three months ended June 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.

ProShares Short Euro

Since the Fund commenced investment operations on June 26, 2012, the Fund’s results of operations for the period ended June 30, 2012 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013:

 

     Three Months Ended
June  30, 2013
    Period Ended
June 30,  2012
 

NAV beginning of period

   $ 3,863,386      $ 200   

NAV end of period

   $ 3,792,834      $ 3,947,410   

Percentage change in NAV

     (1.8 )%      1,973,605.0

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

   $ 38.63      $ 40.00   

 

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     Three Months Ended
June  30, 2013
    Three Months Ended
June  30, 2012
 

Per share NAV end of period

   $ 37.93      $ 39.47   

Percentage change in per share NAV

     (1.8 )%      (1.3 )% 

Percentage change in benchmark

     1.5     1.3

Benchmark annualized volatility

     7.6     8.3

During the three months ended June 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 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 March 31, 2013 to June 30, 2013. By comparison, during the period ended June 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 June 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 three months ended June 30, 2013 and the period ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.8% for the three months ended June 30, 2013, as compared to the decrease of 1.3% for the period ended June 30, 2012, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $38.63 per Share and reached its low for the period on June 18, 2013 at $36.88 per Share. By comparison, during the period ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 28, 2012 at $40.15 per Share and reached its low for the period on June 30, 2012 at $39.47 per Share.

The benchmark’s rise of 1.5% for the three months ended June 30, 2013, as compared to the benchmark’s rise of 1.3% for the period ended June 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 June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013:

 

     Three Months Ended
June 30, 2013
    Period Ended
June 30, 2012
 

Net investment income (loss)

     (8,572     (477

Management fee

     493        —     

Brokerage commissions

     114        63   

Offering costs

     35,401        562   

Limitation by Sponsor

     (26,925     (148

Net realized gain (loss)

     (67,933     (2,000

Change in net unrealized appreciation/depreciation

     5,953        (52,313

Net income (loss)

     (70,552     (52,790

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the period ended June 30, 2012, primarily due to a greater rise in the value of the Euro versus the U.S. Dollar during the three month ended June 30, 2013.

ProShares UltraShort Australian Dollar

Since the Fund commenced investment operations on July 17, 2012, a comparison of the Fund’s results of operations for the three months ended June 30, 2012 is not available.

 

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The following table provides summary performance information for the Fund for the three months ended June 30, 2013:

 

     Three Months Ended
June 30, 2013
 

NAV beginning of period

   $ 3,689,176   

NAV end of period

   $ 23,205,856   

Percentage change in NAV

     529.0

Shares outstanding beginning of period

     100,005   

Shares outstanding end of period

     500,005   

Percentage change in shares outstanding

     400.0

Shares created

     400,000   

Shares redeemed

     —     

Per share NAV beginning of period

   $ 36.89   

Per share NAV end of period

   $ 46.41   

Percentage change in per share NAV

     25.8

Percentage change in benchmark

     (12.2)

Benchmark annualized volatility

     11.8

During the three months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at March 31, 2013 to 500,005 outstanding Shares at June 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 of the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar.

For the period ended June 30, 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 28, 2013 at $46.58 per Share and reached its low for the period on April 11, 2013 at $35.89 per Share.

The benchmark’s decline of 12.2% for the three months ended June 30, 2013, can be attributed to a decline in the value of the Australian Dollar versus the U.S. Dollar during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013:

 

     Three Months Ended
June 30, 2013
 

Net investment income (loss)

     (30,369

Brokerage commissions

     3,381   

Offering costs

     34,834   

Limitation by Sponsor

     (6,735

Net realized gain (loss)

     1,793,093   

Change in net unrealized appreciation/depreciation

     1,508,144   

Net income (loss)

     3,270,868   

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June  30, 2013
    Three Months Ended
June  30, 2012
 

NAV beginning of period

   $ 516,348,251      $ 819,560,440   

NAV end of period

   $ 509,228,804      $ 896,915,348   

Percentage change in NAV

     (1.4 )%      9.4

 

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     Three Months Ended
June  30, 2013
    Three Months Ended
June  30, 2012
 

Shares outstanding beginning of period

     25,800,014        43,200,014   

Shares outstanding end of period

     26,400,014        42,900,014   

Percentage change in shares outstanding

     2.3     (0.7 )% 

Shares created

     2,750,000        8,200,000   

Shares redeemed

     2,150,000        8,500,000   

Per share NAV beginning of period

   $ 20.01      $ 18.97   

Per share NAV end of period

   $ 19.29      $ 20.91   

Percentage change in per share NAV

     (3.6 )%      10.2

Percentage change in benchmark

     1.5     (5.1 )% 

Benchmark annualized volatility

     7.6     8.3

During the three months ended June 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 of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. The decrease in the Fund’s NAV was offset by an increase from 25,800,014 outstanding shares at March 31, 2013 to 26,400,014 outstanding shares at June 30, 2013. By comparison, during the three months ended June 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 of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. The increase in the Fund’s NAV was offset by a decrease from 43,200,014 outstanding Shares at March 31, 2012 to 42,900,014 outstanding Shares at June 30, 2012.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.6% for the three months ended June 30, 2013, as compared to the per Share NAV increase of 10.2% for the three months ended June 30, 2012 was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $20.02 per Share and reached its low for the period on June 18, 2013 at $18.23 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 31, 2012 at $21.98 per Share and reached its low for the period on April 2, 2012 at $19.00 per Share.

The benchmark’s rise of 1.5% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 5.1% for the three months ended June 30, 2012, can be attributed to a rise in the value of the Euro versus the U.S. Dollar during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

    Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

    (1,151,118     (1,941,599

Management fee

    1,203,991        2,092,889   

Net realized gain (loss)

    (8,142,238     82,142,813   

Change in net unrealized appreciation/depreciation

    (8,941,580     8,478,199   

Net income (loss)

    (18,234,936     88,679,413   

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a rise in the value of the Euro versus the U.S. Dollar for the three months ended June 30, 2013.

 

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June  30, 2013
    Three Months Ended
June  30, 2012
 

NAV beginning of period

   $ 472,040,826      $ 279,884,802   

NAV end of period

   $ 525,633,184      $ 230,703,599   

Percentage change in NAV

     11.4     (17.6 )% 

Shares outstanding beginning of period

     7,999,294        5,949,294   

Shares outstanding end of period

     8,199,294        5,299,294   

Percentage change in shares outstanding

     2.5     (10.9 )% 

Shares created

     3,100,000        450,000   

Shares redeemed

     2,900,000        1,100,000   

Per share NAV beginning of period

   $ 59.01      $ 47.05   

Per share NAV end of period

   $ 64.11      $ 43.53   

Percentage change in per share NAV

     8.6     (7.5 )% 

Percentage change in benchmark

     (5.1)     3.6

Benchmark annualized volatility

     15.9     8.3

During the three months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 7,999,294 outstanding Shares at March 31, 2013 to 8,199,294 outstanding Shares at June 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 of 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 June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,949,294 outstanding Shares at March 31, 2012 to 5,299,294 outstanding Shares at June 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 of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.6% for the three months ended June 30, 2013, as compared to the decrease of 7.5% for the three months ended June 30, 2012 was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2013.

During the three months ended June 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 April 3, 2013 at $57.46 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 3, 2012 at $47.06 per Share and reached its low for the period on June 1, 2012 at $41.71 per Share.

The benchmark’s decline of 5.1% for the three months ended June 30, 2013, as compared to the benchmark’s rise of 3.6% for the three months ended June 30, 2012, can be attributed to a decrease in the value of the Japanese Yen versus the U.S. Dollar during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (1,178,365     (529,790

Management fee

     1,239,463        572,421   

 

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    Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net realized gain (loss)

    48,143,885        (10,399,199

Change in net unrealized appreciation/depreciation

    (6,866,776     (8,997,695

Net income (loss)

    40,098,744        (19,926,684

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a decrease in the value of the Japanese Yen versus the U.S. Dollar during the three months ended June 30, 2013.

ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June  30, 2013
    Three Months Ended
June  30, 2012
 

NAV beginning of period

   $ 4,722,331      $ 9,135,820   

NAV end of period

   $ 3,852,327      $ 8,231,731   

Percentage change in NAV

     (18.4 )%      (9.9 )% 

Shares outstanding beginning of period

     200,014        350,014   

Shares outstanding end of period

     200,014        350,014   

Shares created

     —          —     

Shares redeemed

     —          —     

Percentage change in shares outstanding

     0.0     0.0

Per share NAV beginning of period

   $ 23.61      $ 26.10   

Per share NAV end of period

   $ 19.26      $ 23.52   

Percentage change in per share NAV

     (18.4 )%      (9.9 )% 

Percentage change in benchmark

     (9.5)     (4.6 )% 

Benchmark annualized volatility

     13.0     15.7

During the three months ended June 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 of the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from March 31, 2013 to June 30, 2013. By comparison, during the three months ended June 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 of the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from March 31, 2012 to June 30, 2012.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.4% for the three months ended June 30, 2013, as compared to the decrease of 9.9% for the three months ended June 30, 2012, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 1, 2013 at $23.31 per Share and reached its low for the period on June 30, 2013 at $19.26 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $26.78 per Share and reached its low for the period on June 1, 2012 at $20.71 per Share.

 

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The benchmark’s decline of 9.5% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 4.6% for the three months ended June 30, 2012, can be attributed to greater depreciation of the underlying components of the index during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (9,573     (18,004

Management fee

     10,237        19,408   

Net realized gain (loss)

     (274,064     (1,858,138

Change in net unrealized appreciation/depreciation

     (586,367     972,052   

Net income (loss)

     (870,004     (904,090

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a decrease in the Fund’s benchmark index in conjunction with significantly less shares outstanding from the three months ended June 30, 2012 to the three months ended June 30, 2013.

ProShares Ultra DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 326,167,332      $ 271,822,707   

NAV end of period

   $ 218,645,114      $ 489,111,964   

Percentage change in NAV

     (33.0 )%      79.9

Shares outstanding beginning of period

     10,299,170        6,349,170   

Shares outstanding end of period

     7,249,170        17,649,170   

Percentage change in shares outstanding

     (29.6 )%      178.0

Shares created

     5,850,000        12,700,000   

Shares redeemed

     8,900,000        1,400,000   

Per share NAV beginning of period

   $ 31.67      $ 42.81   

Per share NAV end of period

   $ 30.16      $ 27.71   

Percentage change in per share NAV

     (4.8 )%      (35.3 )% 

Percentage change in benchmark

     (1.7)     (18.5 )% 

Benchmark annualized volatility

     21.8     30.2

During the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,299,170 outstanding Shares at March 31, 2013 to 7,249,170 outstanding shares at June 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 of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the three months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 6,349,170 outstanding Shares at March 31, 2012 to 17,649,170 outstanding Shares at June 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 of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.8% for the three months ended June 30, 2013, as compared to the decrease of 35.3% for the three months ended June 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 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 June 18, 2013 at $31.68 per Share and reached its low for the period on April 17, 2013 at $25.06 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 1, 2012 at $44.69 per Share and reached its low for the period on June 28, 2012 at $23.36 per Share.

The benchmark’s decline of 1.7% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 18.5% for the three months ended June 30, 2012, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (655,340     (679,477

Management fee

     670,575        705,397   

Brokerage commissions

     23,394        24,244   

Net realized gain (loss)

     20,743,552        (112,156,901

Change in net unrealized appreciation/depreciation

     (22,061,839     16,390,926   

Net income (loss)

     (1,973,627     (96,445,452

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended June 30, 2013.

ProShares Ultra DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 51,254,090      $ 36,185,805   

NAV end of period

   $ 42,142,901      $ 62,595,441   

Percentage change in NAV

     (17.8 )%      73.0

Shares outstanding beginning of period

     1,019,941        960,002   

Shares outstanding end of period

     1,169,941        1,369,941   

Percentage change in shares outstanding

     14.7     42.7

Shares created

     650,000        460,000   

Shares redeemed

     500,000        50,061   

Per share NAV beginning of period

   $ 50.25      $ 37.69   

Per share NAV end of period

   $ 36.02      $ 45.69   

Percentage change in per share NAV

     (28.3 )%      21.2

Percentage change in benchmark

     (13.9)     14.0

Benchmark annualized volatility

     34.3     51.8

During the three months ended June 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 of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by the increase from 1,019,941 outstanding Shares at March 31, 2013 to 1,169,941 outstanding shares at June 30, 2013. By comparison, during the three months ended June 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 960,002 outstanding Shares at March 31, 2012 to 1,369,941 outstanding

 

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Shares at June 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 of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.3% for the three months ended June 30, 2013, as compared to the increase of 21.2% for the three months ended June 30, 2012, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 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 June 30, 2013 at $36.02 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 18, 2012 at $51.41 per Share and reached its low for the period on April 19, 2012 at $29.42 per Share.

The benchmark’s decline of 13.9% for the three months ended June 30, 2013, as compared to the benchmark’s rise of 14.0% for the three months ended June 30, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (111,690     (151,025

Management fee

     93,177        75,830   

Brokerage commissions

     23,462        43,045   

Offering costs

     —          39,029   

Net realized gain (loss)

     9,156,331        (21,503,069

Change in net unrealized appreciation/depreciation

     (19,993,846     34,961,144   

Net income (loss)

     (10,949,205     13,307,050   

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended June 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 three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 316,462,981      $ 381,887,918   

NAV end of period

   $ 139,614,500      $ 331,012,682   

Percentage change in NAV

     (55.9 )%      (13.3 )% 

Shares outstanding beginning of period

     4,100,014        4,350,014   

Shares outstanding end of period

     3,350,014        4,150,014   

Percentage change in shares outstanding

     (18.3 )%      (4.6 )% 

 

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     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Shares created

     100,000        —     

Shares redeemed

     850,000        200,000   

Per share NAV beginning of period

   $ 77.19      $ 87.79   

Per share NAV end of period

   $ 41.68      $ 79.76   

Percentage change in per share NAV

     (46.0 %)      (9.1 )% 

Percentage change in benchmark

     (25.4)     (3.9 )% 

Benchmark annualized volatility

     30.0     19.9

During the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,100,014 outstanding Shares at March 31, 2013 to 3,350,014 outstanding shares at June 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 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 three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,350,014 outstanding Shares at March 31, 2012 to 4,150,014 outstanding Shares at June 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 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 June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 46.0% for the three months ended June 30, 2013, as compared to the decrease of 9.1% for the three months ended June 30, 2012, was primarily due to the greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $75.74 per Share and reached its low for the period on June 30, 2013 at $41.68 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $89.35 per Share and reached its low for the period on May 30, 2012 at $74.51 per Share.

The benchmark’s decline of 25.4% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 3.9% for the three months ended June 30, 2012, can be attributed to a greater decrease in the price of spot gold in U.S. Dollar terms during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (478,211     (753,951

Management fee

     519,993        815,451   

Brokerage commissions

     8        9   

Net realized gain (loss)

     (68,002,811     (20,402,023

Change in net unrealized appreciation/depreciation

     (62,980,880     (12,225,205

Net income (loss)

     (131,461,902     (33,381,179

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a greater decrease in the price of spot gold in U.S. Dollar terms during the three months ended June 30, 2013.

 

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ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 746,484,767      $ 845,367,293   

NAV end of period

   $ 425,855,952      $ 661,009,190   

Percentage change in NAV

     (43.0 )%      (21.8 )% 

Shares outstanding beginning of period

     19,400,028        15,400,028   

Shares outstanding end of period

     27,050,028        17,850,028   

Percentage change in shares outstanding

     39.4     15.9

Shares created

     8,400,000        3,250,000   

Shares redeemed

     750,000        800,000   

Per share NAV beginning of period

   $ 38.48      $ 54.89   

Per share NAV end of period

   $ 15.74      $ 37.03   

Percentage change in per share NAV

     (59.1 )%      (32.5 )% 

Percentage change in benchmark

     (34.2)     (16.5 )% 

Benchmark annualized volatility

     42.0     30.5

During the three months ended June 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 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 19,400,028 outstanding Shares at March 31, 2013 to 27,050,028 outstanding shares at June 30, 2013. By comparison, during the three months ended June 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 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 15,400,028 outstanding Shares at March 31, 2012 to 17,850,028 outstanding Shares at June 30, 2012.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 59.1% for the three months ended June 30, 2013, as compared to the decrease of 32.5% for the three months ended June 30, 2012, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $36.64 per Share and reached its low for the period on June 27, 2013 at $15.33 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 3, 2012 at $56.69 per Share and reached its low for the period on June 25, 2012 at $36.12 per Share.

The benchmark’s decline of 34.2% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 16.5% for the three months ended June 30, 2012, can be attributed to a greater decrease in the price of spot silver in U.S. Dollar terms during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (1,206,634     (1,610,787

Management fee

     1,309,255        1,736,295   

 

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     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Brokerage commissions

     12        21   

Net realized gain (loss)

     (322,601,825     (219,391,213

Change in net unrealized appreciation/depreciation

     (168,466,730     (68,866,623

Net income (loss)

     (492,275,189     (289,868,623

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a greater decrease in the price of spot silver in U.S. Dollar terms during the three months ended June 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 three months ended June 30, 2012 is not available.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013:

 

     Three Months Ended
June 30, 2013
 

NAV beginning of period

   $ 4,215,006   

NAV end of period

   $ 3,283,396   

Percentage change in NAV

     (22.1 )% 

Shares outstanding beginning of period

     100,005   

Shares outstanding end of period

     100,005   

Percentage change in shares outstanding

     0.0

Shares created

     —     

Shares redeemed

     —     

Per share NAV beginning of period

   $ 42.15   

Per share NAV end of period

   $ 32.83   

Percentage change in per share NAV

     (22.1 )% 

Percentage change in benchmark

     (12.2 )% 

Benchmark annualized volatility

     11.8

During the three months ended June 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 of 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 March 31, 2013 to June 30, 2013.

For the three months ended June 30, 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

During the three months ended June 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 June 28, 2013 at $32.72 per Share.

The benchmark’s decline of 12.2% for the three months ended June 30, 2013, can be attributed to a decrease in the value of the Australian Dollar versus the U.S. Dollar during the three months ended June 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013:

 

     Three Months Ended
June 30, 2013
 

Net investment income (loss)

     (9,095

Brokerage commissions

     415   

Offering costs

     34,834   

Limitation by Sponsor

     (25,730

Net realized gain (loss)

     (590,520

Change in net unrealized appreciation/depreciation

     (331,995

Net income (loss)

     (931,610

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 4,573,067      $ 7,574,096   

NAV end of period

   $ 3,521,494      $ 5,659,156   

Percentage change in NAV

     (23.0 )%      (25.3 )% 

Shares outstanding beginning of period

     200,014        300,014   

Shares outstanding end of period

     150,014        250,014   

Percentage change in shares outstanding

     (25.0 %)      (16.7 )% 

Shares created

     —          —     

Shares redeemed

     50,000        50,000   

Per share NAV beginning of period

   $ 22.86      $ 25.25   

Per share NAV end of period

   $ 23.47      $ 22.64   

Percentage change in per share NAV

     2.7     (10.3 )% 

Percentage change in benchmark

     1.5     (5.1 )% 

Benchmark annualized volatility

     7.6     8.3

During the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 200,014 outstanding Shares at March 31, 2013 to 150,014 outstanding Shares at June 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 of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,014 outstanding Shares at March 31, 2012 to 250,014 outstanding Shares at June 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 of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.7% for the three months ended June 30, 2013, as compared to the decrease of 10.3% for the three months ended June 30, 2012 was primarily due to an increase in the value of the assets held by the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 18, 2013 at $24.88 per Share and reached its low for the period on May 17, 2013 at $22.84 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $25.21 per Share and reached its low for the period on May 31, 2012 at $21.64 per Share.

The benchmark’s rise of 1.5% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 5.1% for the three months ended June 30, 2012, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the three months ended June 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (8,143     (14,414

Management fee

     8,564        15,501   

Net realized gain (loss)

     36,986        (617,180

Change in net unrealized appreciation/depreciation

     96,891        (171,578

Net income (loss)

     125,734        (803,172

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to an increase in the value of the Euro versus the U.S. Dollar during the three months ended June 30, 2013.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 3,566,403      $ 4,705,580   

NAV end of period

   $ 3,183,279      $ 5,024,268   

Percentage change in NAV

     (10.7 )%      6.8

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

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 23.77      $ 31.37   

Per share NAV end of period

   $ 21.22      $ 33.49   

Percentage change in per share NAV

     (10.7 )%      6.8

Percentage change in benchmark

     (5.1 )%      3.6

Benchmark annualized volatility

     15.9     8.3

During the three months ended June 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 of 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 March 31, 2013 to June 30, 2013. By comparison, during the three months ended June 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 of 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 March 31, 2012 to June 30, 2013.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.7% for the three months ended June 30, 2013, as compared to the increase of 6.8% for the three months ended June 30, 2012, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 3, 2013 at $24.40 per Share and reached its low for the period on May 17, 2013 at $19.65 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 1, 2012 at $35.08 per Share and reached its low for the period on April 3, 2012 at $31.33 per Share.

 

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The benchmark’s decline of 5.1% for the three months ended June 30, 2013, as compared to the benchmark’s rise of 3.6% for the three months ended June 30, 2012, can be attributed to a decrease in the value of the Japanese Yen versus the U.S. Dollar during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (7,227     (10,964

Management fee

     7,644        11,836   

Net realized gain (loss)

     (456,590     204,026   

Change in net unrealized appreciation/depreciation

     80,693        125,626   

Net income (loss)

     (383,124     318,688   

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a decrease in the value of the Japanese Yen versus the U.S. Dollar during the three months ended June 30, 2013.

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 218,387,479      $ 126,899,583   

NAV end of period

   $ 174,808,019      $ 137,638,067   

Percentage change in NAV

     (20.0 )%      8.5

Shares outstanding beginning of period

     4,035,001        715,001   

Shares outstanding end of period

     3,124,812        860,001   

Percentage change in shares outstanding

     (22.6 )%      20.3

Shares created

     2,110,000        1,110,000   

Shares redeemed

     3,020,189        965,000   

Per share NAV beginning of period

   $ 54.12      $ 177.48   

Per share NAV end of period

   $ 55.94      $ 160.04   

Percentage change in per share NAV

     3.4     (9.8 )% 

Percentage change in benchmark

     3.4     (9.7 )% 

Benchmark annualized volatility

     71.2     87.0

During the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 4,035,001 outstanding Shares at March 31, 2013 to 3,124,812 outstanding Shares at June 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 daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 715,001 outstanding Shares at March 31, 2012 to 860,001 outstanding Shares at June 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 June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.4% for the three months ended June 30, 2013, as compared to the decrease of 9.8% for the three months ended June 30, 2012, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 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 June 24, 2013 at $61.88 per Share and reached its low for the period on May 7, 2013 at $49.08 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 18, 2012 at $244.21 per Share and reached its low for the period on June 30, 2012 at $160.05 per Share.

The benchmark’s rise of 3.4% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 9.7% for the three months ended June 30, 2012, can be attributed to rising prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (435,228     (306,475

Management fee

     454,439        325,748   

Net realized gain (loss)

     11,161,136        (9,360,794

Change in net unrealized appreciation/depreciation

     9,573,290        1,034,069   

Net income (loss)

     20,299,198        (8,633,200

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to the rise in the Fund’s benchmark during the three months ended June 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 June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 68,072,450      $ 102,109,475   

NAV end of period

   $ 72,133,381      $ 85,306,861   

Percentage change in NAV

     6.0     (16.5 )% 

Shares outstanding beginning of period

     2,575,005        1,825,005   

Shares outstanding end of period

     2,550,005        1,550,005   

Percentage change in shares outstanding

     (1.0 )%      (15.1 )% 

Shares created

     875,000        125,000   

Shares redeemed

     900,000        400,000   

Per share NAV beginning of period

   $ 26.44      $ 55.95   

Per share NAV end of period

   $ 28.29      $ 55.04   

Percentage change in per share NAV

     7.0     (1.6 )% 

Percentage change in benchmark

     7.3     (1.5 )% 

Benchmark annualized volatility

     28.0     41.0

During the three months ended June 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 daily performance of the S&P 500 VIX Mid-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,575,005 outstanding Shares at March 31, 2013 to 2,550,005 outstanding Shares at June 30, 2013. By comparison, during the three months ended June 30, 2012, the decrease in the Fund’s NAV

 

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resulted primarily from a decrease from 1,825,005 outstanding Shares at March 31, 2012 to 1,550,005 outstanding Shares at June 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.0% for the three months ended June 30, 2013, as compared to the decrease of 1.6% for the three months ended June 30, 2012, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 24, 2013 at $28.93 per Share and reached its low for the period on May 7, 2013 at $24.07 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 4, 2012 at $66.17 per Share and reached its low for the period on May 2, 2012 at $54.44 per Share.

The benchmark’s rise of 7.3% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 1.5% for the three months ended June 30, 2012, can be attributed to a rise in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (126,773     (209,003

Management fee

     133,204        221,167   

Net realized gain (loss)

     (2,486,090     (3,325,390

Change in net unrealized appreciation/depreciation

     7,455,011        5,019,242   

Net income (loss)

     4,842,148        1,484,849   

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a rise in the Fund’s benchmark during the three months ended June 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 June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 344,396,396      $ 119,978,881   

NAV end of period

   $ 215,235,917      $ 299,133,075   

Percentage change in NAV

     (37.5 )%      149.3

Shares outstanding beginning of period

     4,545,808        83,915   

Shares outstanding end of period

     2,989,557        310,915   

Percentage change in shares outstanding

     (34.2 )%      270.5

Shares created

     7,140,000        419,500   

Shares redeemed

     8,696,251        192,500   

Per share NAV beginning of period

   $ 75.76      $ 1,429.77   

Per share NAV end of period

   $ 72.00      $ 962.11   

Percentage change in per share NAV

     (5.0 )%      (32.7 )% 

Percentage change in benchmark

     3.4     (9.7 )% 

Benchmark annualized volatility

     71.2     87.1

 

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During the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 4,545,808 outstanding Shares at March 31, 2013 to 2,989,557 outstanding Shares at June 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 of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 83,915 outstanding Shares at March 31, 2012 to 310,915 outstanding Shares at June 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 of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.0% for the three months ended June 30, 2013, as compared to the decrease of 32.7% for the three months ended June 30, 2012, was primarily due to lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 24, 2013 at $88.36 per Share and reached its low for the period on May 7, 2013 at $57.65 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 18, 2012 at $2,516.81 per Share and reached its low for the period on June 30, 2012 at $962.11 per Share.

The benchmark’s rise of 3.4% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 9.7% for the three months ended June 30, 2012, can be attributed to increasing prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (1,390,499     (933,216

Management fee

     744,547        475,752   

Brokerage commissions

     664,479        429,454   

Offering costs

     —          42,876   

Net realized gain (loss)

     17,779,919        (59,479,028

Change in net unrealized appreciation/depreciation

     21,973,942        (25,813,101

Net income (loss)

     38,363,362        (86,225,345

The Fund’s net income increased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a rise in the fund’s benchmark during the three months ended June 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.

 

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ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

NAV beginning of period

   $ 69,149,807      $ 29,692,478   

NAV end of period

   $ 117,395,722      $ 13,585,406   

Percentage change in NAV

     69.8     (54.2 )% 

Shares outstanding beginning of period

     750,020        600,020   

Shares outstanding end of period

     1,500,020        300,020   

Percentage change in shares outstanding

     100.0     (50.0 %) 

Shares created

     2,450,000        2,200,000   

Shares redeemed

     1,700,000        2,500,000   

Per share NAV beginning of period

   $ 92.20      $ 49.49   

Per share NAV end of period

   $ 78.26      $ 45.28   

Percentage change in per share NAV

     (15.1 )%      (8.5 )% 

Percentage change in benchmark

     3.4     (9.7 )% 

Benchmark annualized volatility

     71.2     87.1

During the three months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 750,020 outstanding Shares at March 31, 2013 to 1,500,020 outstanding Shares at June 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 S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,020 outstanding Shares at March 31, 2012 to 300,020 outstanding Shares at June 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.1% for the three months ended June 30, 2013, as compared to the decrease of 8.5% for the three months ended June 30, 2012, was primarily due to greater depreciation in the value of the assets of the fund during the three months ended June 30, 2013.

During the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 12, 2013 at $100.90 per Share and reached its low for the period on June 24, 2013 at $71.01 per Share. By comparison, during the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $49.34 per Share and reached its low for the period on June 1, 2012 at $32.63 per Share.

The benchmark’s rise of 3.4% for the three months ended June 30, 2013, as compared to the benchmark’s decline of 9.7% for the three months ended June 30, 2012, can be attributed to rising prices of the near-term futures contracts on the VIX Futures curve during the three months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2013 and 2012:

 

     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net investment income (loss)

     (296,200     (95,652

Management fee

     185,400        17,034   

Brokerage commissions

     118,168        39,043   

Offering costs

     —          42,876   

 

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     Three Months Ended
June 30, 2013
    Three Months Ended
June 30, 2012
 

Net realized gain (loss)

     (4,126,987     (2,780,595

Change in net unrealized appreciation/depreciation

     (3,024,645     (229,455

Net income (loss)

     (7,447,832     (3,105,702

The Fund’s net income decreased for the three months ended June 30, 2013, as compared to the three months ended June 30, 2012, primarily due to a rise in the Fund’s benchmark during the three months ended June 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.

Results of Operations for the Six Months Ended June 30, 2013 Compared to the Six Months Ended June 30, 2012

ProShares UltraShort DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 3,245,965      $ 9,107,146   

NAV end of period

   $ 3,953,221      $ 3,543,535   

Percentage change in NAV

     21.8     (61.1 )% 

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

   $ 65.89      $ 59.06   

Percentage change in per share NAV

     21.8     3.8

Percentage change in benchmark

     (10.5 )%      (3.7 )% 

Benchmark annualized volatility

     11.0     14.3

During the six months ended June 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 six months ended June 30, 2013. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to June 30, 2013. By comparison, during the six months ended June 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 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS Commodity Index.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.8% for the six months ended June 30, 2013, as compared to the increase of 3.8% for the six months ended June 30, 2012, was primarily due to a greater appreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $65.89 per Share and reached its low for the period on January 30, 2013 at $51.04 per Share. By comparison, during the six months ended June 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 February 24, 2012 at $50.01 per Share.

 

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The benchmark’s decline of 10.5% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 3.7% for the six months ended June 30, 2012 , can be attributed to a greater depreciation of the underlying components of the index during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (14,800   $ (34,337

Management fee

     16,035        35,996   

Net realized gain (loss)

     458,669        1,514,989   

Change in net unrealized appreciation/depreciation

     263,387        (890,619

Net income (loss)

   $ 707,256      $ 590,033   

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a greater decrease in the Fund’s benchmark index from the six months ended June 30, 2012 to the six months ended June 30, 2013.

ProShares UltraShort DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 89,481,266      $ 144,389,893   

NAV end of period

   $ 251,466,116      $ 82,211,941   

Percentage change in NAV

     181.0     (43.1 )% 

Shares outstanding beginning of period

     2,219,944        3,719,944   

Shares outstanding end of period

     6,919,944        1,669,944   

Percentage change in shares outstanding

     211.7     (55.1 )% 

Shares created

     9,450,000        3,600,000   

Shares redeemed

     4,750,000        5,650,000   

Per share NAV beginning of period

   $ 40.31      $ 38.82   

Per share NAV end of period

   $ 36.34      $ 49.23   

Percentage change in per share NAV

     (9.8 )%      26.8

Percentage change in benchmark

     2.5     (16.0 )% 

Benchmark annualized volatility

     18.5     26.3

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 2,219,944 outstanding Shares at December 31, 2012 to 6,919,944 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 3,719,944 outstanding Shares at December 31, 2011 to 1,669,944 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

 

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For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 9.8% for the six months ended June 30, 2013, as compared to the increase of 26.8% for the six months ended June 30, 2012, was primarily due to depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 June 18, 2013 at $34.89 per Share. By comparison, during the six months ended June 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 2.5% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 16.0% for the six months ended June 30, 2012, can be attributed to an increase in the price of WTI Crude Oil during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (759,578   $ (604,631

Management fee

     782,559        619,066   

Brokerage commission

     25,529        16,342   

Net realized gain (loss)

     (5,091,205     50,502,139   

Change in net unrealized appreciation/depreciation

     8,375,242        (5,585,868

Net income (loss)

   $ 2,524,459      $ 44,311,640   

The Fund’s net income decreased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to an increase in the price of WTI Crude Oil in conjunction with a significant increase in shares outstanding during the six months ended June 30, 2013.

ProShares UltraShort DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 12,768,340      $ 7,142,310   

NAV end of period

   $ 19,924,537      $ 13,643,687   

Percentage change in NAV

     56.0     91.0

Shares outstanding beginning of period

     125,008        75,008   

Shares outstanding end of period

     224,952        112,508   

Percentage change in shares outstanding

     80.0     50.0

Shares created

     337,500        175,000   

Shares redeemed

     237,556        137,500   

Per share NAV beginning of period

   $ 102.14      $ 95.22   

Per share NAV end of period

   $ 88.57      $ 121.27   

Percentage change in per share NAV

     (13.3 )%      27.4

Percentage change in benchmark

     (1.0 )%      (28.2 )% 

Benchmark annualized volatility

     32.9     51.9

 

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During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 125,008 outstanding Shares at December 31, 2012 to 224,952 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, during the six months ended June 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 75,008 outstanding Shares at December 31, 2011 to 112,508 outstanding Shares at June 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 of the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.3% for the six months ended June 30, 2013, as compared to the increase of 27.4% for the six months ended June 30, 2012, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 29, 2012 at $245.67 per Share and reached its low for the period on January 4, 2012 at $88.24 per Share.

The benchmark’s decline of 1.0% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 28.2% for the six months ended June 30, 2012, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (118,156   $ (109,068

Management fee

     97,194        24,973   

Brokerage commission

     26,912        41,476   

Offering costs

     —          45,648   

Net realized gain (loss)

     (2,607,139     6,303,016   

Change in net unrealized appreciation/depreciation

     1,919,348        (5,201,066

Net income (loss)

   $ (805,947   $ 992,882   

The Fund’s net income decreased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a lesser decrease in the price of Henry Hub Natural Gas in conjunction with capital shares transactions during the six months ended June 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.

 

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ProShares UltraShort Gold*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 92,416,742      $ 198,298,571   

NAV end of period

   $ 170,802,997      $ 129,376,591   

Percentage change in NAV

     84.8     (34.8 )% 

Shares outstanding beginning of period

     1,446,978        2,397,475   

Shares outstanding end of period

     1,496,978        1,822,475   

Percentage change in shares outstanding

     3.5     (24.0 )% 

Shares created

     1,200,000        —     

Shares redeemed

     1,150,000        575,000   

Per share NAV beginning of period

   $ 63.87      $ 82.71   

Per share NAV end of period

   $ 114.10      $ 70.99   

Percentage change in per share NAV

     78.6     (14.2 )% 

Percentage change in benchmark

     (28.1 )%      4.4

Benchmark annualized volatility

     22.9     20.2

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 1,446,978 outstanding Shares at December 31, 2012 to 1,496,978 outstanding Shares at June 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 of 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 six months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,397,475 outstanding Shares at December 31, 2011 to 1,822,475 outstanding Shares at June 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 of 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 six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 78.6% for the six months ended June 30, 2013, as compared to the decrease of 14.2% for the six months ended June 30, 2012, was primarily due to appreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $114.10 per Share and reached its low for the period on January 2, 2013 at $61.07 per Share. By comparison, during the six months ended June 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 February 28, 2012 at $59.66 per Share.

The benchmark’s decline of 28.1% for the six months ended June 30, 2013, as compared to the benchmark’s rise of 4.4% for the six months ended June 30, 2012, can be attributed to a decrease in the price of spot gold in U.S. Dollar terms during the six months ended June 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (559,970   $ (645,671

Management fee

     595,254        676,801   

Brokerage commission

     24        25   

Net realized gain (loss)

     33,742,722        1,713,095   

Change in net unrealized appreciation/depreciation

     48,079,807        (28,676,849

Net income (loss)

   $ 81,262,559      $ (27,609,425

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a decrease in the price of spot gold in U.S. Dollar terms during the six months ended June 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 six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 100,656,703      $ 246,813,921   

NAV end of period

   $ 83,886,747      $ 161,421,101   

Percentage change in NAV

     (16.7 )%      (34.6 )% 

Shares outstanding beginning of period

     1,958,489        3,218,874   

Shares outstanding end of period

     758,489        2,308,489   

Percentage change in shares outstanding

     (61.3 )%      (28.3 )% 

Shares created

     1,500,000        4,160,000   

Shares redeemed

     2,700,000        5,070,385   

Per share NAV beginning of period

   $ 51.40      $ 76.68   

Per share NAV end of period

   $ 110.60      $ 69.93   

Percentage change in per share NAV

     115.2     (8.8 )% 

Percentage change in benchmark

     (37.0 )%      (3.9 )% 

Benchmark annualized volatility

     34.4     33.1

During the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,958,489 outstanding Shares at December 31, 2012 to 758,489 outstanding Shares at June 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 of 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 six months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,218,874 outstanding Shares at December 31, 2011 to 2,308,489 outstanding Shares at June 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 of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

 

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For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 115.2% for the six months ended June 30, 2013, as compared to the decrease of 8.8% for the six months ended June 30, 2012, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 six months ended June 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 February 29, 2012 at $41.17 per Share.

The benchmark’s decline of 37.0% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 3.9% for the six months ended June 30, 2012, can be attributed to a greater decrease in the price of spot silver in U.S. Dollar terms during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (501,593   $ (859,192

Management fee

     540,615        903,594   

Brokerage commission

     24        25   

Net realized gain (loss)

     80,822,936        3,378,419   

Change in net unrealized appreciation/depreciation

     21,813,652        (21,048,743

Net income (loss)

   $ 102,134,995      $ (18,529,516

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a greater decrease in the price of spot silver in U.S. Dollar terms during the six months ended June 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.

ProShares Short Euro

Since the Fund commenced investment operations on June 26, 2012, the Fund’s results of operations for the period ended June 30, 2012 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and the period ended June 30, 2012:

 

     Six Months Ended
June 30, 2013
    Period Ended
June 30, 2012
 

NAV beginning of period

   $ 3,763,040      $ 200   

NAV end of period

   $ 3,792,834      $ 3,947,410   

Percentage change in NAV

     (0.8 )%      1,973,605.0

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   

 

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     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 37.63      $ 40.00   

Per share NAV end of period

   $ 37.93      $ 39.47   

Percentage change in per share NAV

     0.8     (1.3 )% 

Percentage change in benchmark

     (1.4 )%      1.3

Benchmark annualized volatility

     8.1     8.9

During the six months ended June 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 spot price of the Euro versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to June 30, 2013. By comparison, during the period ended June 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 June 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 six months ended June 30, 2013 and the period ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.8% for the six months ended June 30, 2013, as compared to the decrease of 1.3% for the period ended June 30, 2012, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 June 30, 2012, the Fund’s per Share NAV reached its high for the period on June 28, 2012 at $40.15 per Share and reached its low for the period on June 30, 2012 at $39.47 per Share.

The benchmark’s decline of 1.4% for the six months ended June 30, 2013, as compared to the benchmark’s rise of 1.3% for the period ended June 30, 2012, can be attributed to a decrease in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013:

 

    Six Months Ended
June 30, 2013
    Period Ended
June 30, 2012
 

Net investment income (loss)

  $ (16,977   $ (477

Management fee

    493        —     

Brokerage commission

    230        63   

Offering costs

    45,511        562   

Limitation by Sponsor

    (28,232     (148

Net realized gain (loss)

    (75,791     (2,000

Change in net unrealized appreciation/depreciation

    122,562        (50,313

Net income (loss)

  $ 29,794      $ (52,790

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the period ended June 30, 2012, primarily due to a decrease in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2013.

 

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ProShares UltraShort Australian Dollar

Since the Fund commenced investment operations on July 17, 2012, a comparison of the Fund’s results of operations for the six months ended June 30, 2012 is not available.

The following table provides summary performance information for the Fund for the six months ended June 30, 2013:

 

     Six Months Ended
June 30, 2013
 

NAV beginning of period

   $ 3,780,999   

NAV end of period

   $ 23,205,856   

Percentage change in NAV

     513.7

Shares outstanding beginning of period

     100,005   

Shares outstanding end of period

     500,005   

Percentage change in shares outstanding

     400.0

Shares created

     400,000   

Shares redeemed

     —     

Per share NAV beginning of period

   $ 37.81   

Per share NAV end of period

   $ 46.41   

Percentage change in per share NAV

     22.8

Percentage change in benchmark

     (12.1 )% 

Benchmark annualized volatility

     9.8

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 500,005 outstanding Shares at June 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 of the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar.

For the period ended June 30, 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark.

During the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 28, 2013 at $46.58 per Share and reached its low for the period on April 11, 2013 at $35.89 per Share.

The benchmark’s decline of 12.1% for the six months ended June 30, 2013, can be attributed to a decline in the value of the Australian Dollar versus the U.S. Dollar during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013:

 

     Six Months Ended
June 30, 2013
 

Net investment income (loss)

   $ (39,038

Brokerage commission

     3,779   

Offering costs

     44,944   

Limitation by Sponsor

     (8,076

Net realized gain (loss)

     1,905,258   

Change in net unrealized appreciation/depreciation

     1,312,825   

Net income (loss)

   $ 3,179,045   

 

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 526,778,026      $ 1,100,159,546   

NAV end of period

   $ 509,228,804      $ 896,915,348   

Percentage change in NAV

     (3.3 )%      (18.5 )% 

Shares outstanding beginning of period

     27,700,014        54,100,014   

Shares outstanding end of period

     26,400,014        42,900,014   

Percentage change in shares outstanding

     (4.7 )%      (20.7 )% 

Shares created

     4,850,000        10,350,000   

Shares redeemed

     6,150,000        21,550,000   

Per share NAV beginning of period

   $ 19.02      $ 20.34   

Per share NAV end of period

   $ 19.29      $ 20.91   

Percentage change in per share NAV

     1.4     2.8

Percentage change in benchmark

     (1.4 )%      (2.2 )% 

Benchmark annualized volatility

     8.1     8.9

During the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 27,700,014 outstanding Shares at December 31, 2012 to 26,400,014 outstanding Shares at June 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 of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 54,100,014 outstanding Shares at December 31, 2011 to 42,900,014 outstanding Shares at June 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 of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.4% for the six months ended June 30, 2013, as compared to the per Share NAV increase of 2.8% for the six months ended June 30, 2012 was primarily due to a lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2013.

During the six months ended June 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 six months ended June 30, 2012, the Fund’s per Share NAV reached its high for the period on May 31, 2012 at $21.98 per Share and reached its low for the period on February 24, 2012 at $18.67 per Share.

The benchmark’s decline of 1.4% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 2.2% for the six months ended June 30, 2012, can be attributed to a lesser decline in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (2,244,231   $ (4,094,137

Management fee

     2,384,334        4,293,156   

 

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     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net realized gain (loss)

     (11,092,311     120,953,665   

Change in net unrealized appreciation/depreciation

     17,870,701        (89,972,911

Net income (loss)

   $ 4,534,159      $ 26,886,617   

The Fund’s net income decreased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a lesser decline in the value of the Euro versus the U.S. Dollar for the six months ended June 30, 2013.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 408,563,630      $ 221,131,994   

NAV end of period

   $ 525,633,184      $ 230,703,599   

Percentage change in NAV

     28.7     4.3

Shares outstanding beginning of period

     8,049,294        5,399,294   

Shares outstanding end of period

     8,199,294        5,299,294   

Percentage change in shares outstanding

     1.9     (1.9 )% 

Shares created

     4,200,000        2,300,000   

Shares redeemed

     4,050,000        2,400,000   

Per share NAV beginning of period

   $ 50.76      $ 40.96   

Per share NAV end of period

   $ 64.11      $ 43.53   

Percentage change in per share NAV

     26.3     6.3

Percentage change in benchmark

     (12.6 )%      (3.7 )% 

Benchmark annualized volatility

     14.3     8.5

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 8,049,294 outstanding Shares at December 31, 2012 to 8,199,294 outstanding Shares at June 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 of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. By comparison, during the six months ended June 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 of 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 5,399,294 outstanding Shares at December 31, 2011 to 5,299,294 outstanding Shares at June 30, 2012.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 26.3% for the six months ended June 30, 2013, as compared to the increase of 6.3% for the six months ended June 30, 2012 was primarily due to a greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2013.

During the six months ended June 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 six months ended June 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.

 

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The benchmark’s decline of 12.6% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 3.7% for the six months ended June 30, 2012, can be attributed to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (2,113,971   $ (1,099,015

Management fee

     2,244,561        1,162,217   

Net realized gain (loss)

     145,029,520        10,453,500   

Change in net unrealized appreciation/depreciation

     (42,252,133     8,445,930   

Net income (loss)

   $ 100,663,416      $ 17,800,415   

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the six months ended June 30, 2013.

ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 6,097,211      $ 9,058,529   

NAV end of period

   $ 3,852,327      $ 8,231,731   

Percentage change in NAV

     (36.8 )%      (9.1 )% 

Shares outstanding beginning of period

     250,014        350,014   

Shares outstanding end of period

     200,014        350,014   

Percentage change in shares outstanding

     (20.0 )%      0.0

Shares created

     —          —     

Shares redeemed

     50,000        —     

Per share NAV beginning of period

   $ 24.39      $ 25.88   

Per share NAV end of period

   $ 19.26      $ 23.52   

Percentage change in per share NAV

     (21.0 )%      (9.1 )% 

Percentage change in benchmark

     (10.5 )%      (3.7 )% 

Benchmark annualized volatility

     11.0     14.3

During the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,014 outstanding shares at December 31, 2012 to 200,014 outstanding Shares at June 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 of the daily performance of the Dow Jones-UBS Commodity Index. By comparison, during the six months ended June 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 of the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2011 to June 30, 2012.

 

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For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.0% for the six months ended June 30, 2013, as compared to the decrease of 9.1% for the six months ended June 30, 2012, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 June 30, 2013 at $19.26 per Share. By comparison, during the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on February 24, 2012 at $29.02 per Share and reached its low for the period on June 1, 2012 at $20.71 per Share.

The benchmark’s decline of 10.5% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 3.7% for the six months ended June 30, 2012, can be attributed to a greater depreciation of the underlying components of the index during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (21,202   $ (40,017

Management fee

     22,616        41,946   

Net realized gain (loss)

     (782,945     (2,180,586

Change in net unrealized appreciation/depreciation

     (165,124     1,393,804   

Net income (loss)

   $ (969,271   $ (826,799

The Fund’s net income decreased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a greater decrease in the Fund’s benchmark index from the six months ended June 30, 2012 to the six months ended June 30, 2013.

ProShares Ultra DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 483,508,964      $ 251,395,322   

NAV end of period

   $ 218,645,114      $ 489,111,964   

Percentage change in NAV

     (54.8 )%      94.6

Shares outstanding beginning of period

     16,449,170        6,149,170   

Shares outstanding end of period

     7,249,170        17,649,170   

Percentage change in shares outstanding

     (55.9 )%      187.0

Shares created

     6,700,000        15,900,000   

Shares redeemed

     15,900,000        4,400,000   

Per share NAV beginning of period

   $ 29.39      $ 40.88   

Per share NAV end of period

   $ 30.16      $ 27.71   

Percentage change in per share NAV

     2.6     (32.2 )% 

Percentage change in benchmark

     2.5     (16.0 )% 

Benchmark annualized volatility

     18.5     26.3

 

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During the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 16,449,170 outstanding Shares at December 31, 2012 to 7,249,170 outstanding shares at June 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 of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 6,149,170 outstanding Shares at December 31, 2011 to 17,649,170 outstanding Shares at June 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 of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.6% for the six months ended June 30, 2013, as compared to the decrease of 32.2% for the six months ended June 30, 2012, was primarily due to appreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $33.05 per Share and reached its low for the period on April 17, 2013 at $25.06 per Share. By comparison, during the six months ended June 30, 2012, the Fund’s per Share NAV reached its high for the period on February 24, 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 2.5% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 16.0% for the six months ended June 30, 2012, can be attributed to an increase in the price of WTI Crude Oil during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (1,447,370   $ (1,323,795

Management fee

     1,510,962        1,353,126   

Brokerage commission

     38,311        33,921   

Net realized gain (loss)

     87,306,844        (96,612,908

Change in net unrealized appreciation/depreciation

     (50,811,241     25,492,054   

Net income (loss)

   $ 35,048,233      $ (72,444,649

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to an increase in the price of WTI Crude Oil during the six months ended June 30, 2013.

ProShares Ultra DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 73,019,370      $ 4,079,349   

NAV end of period

   $ 42,142,901      $ 62,595,441   

Percentage change in NAV

     (42.3 )%      1,434.4

Shares outstanding beginning of period

     1,869,941        40,002   

Shares outstanding end of period

     1,169,941        1,369,941   

 

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     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Percentage change in shares outstanding

     (37.4 )%      3,324.7

Shares created

     1,650,000        1,380,000   

Shares redeemed

     2,350,000        50,061   

Per share NAV beginning of period

   $ 39.05      $ 101.98   

Per share NAV end of period

   $ 36.02      $ 45.69   

Percentage change in per share NAV

     (7.8 )%      (55.2 )% 

Percentage change in benchmark

     (1.0 )%      (28.2 )% 

Benchmark annualized volatility

     32.9     51.9

During the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,869,941 outstanding Shares at December 31, 2012 to 1,169,941 outstanding shares at June 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 of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 40,002 outstanding Shares at December 31, 2011 to 1,369,941 outstanding Shares at June 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 of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.8% for the six months ended June 30, 2013, as compared to the decrease of 55.2% for the six months ended June 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 January 9, 2013 at $33.68 per Share. By comparison, during the six months ended June 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 1.0% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 28.2% for the six months ended June 30, 2012, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (309,561   $ (218,971

Management fee

     269,790        123,202   

Brokerage commission

     56,397        59,119   

Offering costs

     —          45,648   

Net realized gain (loss)

     14,905,718        (26,661,521

Change in net unrealized appreciation/depreciation

     (2,131,003     19,418,664   

Net income (loss)

   $ 12,465,154      $ (7,461,828

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a lesser decrease in the price of Henry Hub Natural Gas in conjunction with capital shares transactions during the six months ended June 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.

 

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ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 335,054,752      $ 326,399,360   

NAV end of period

   $ 139,614,500      $ 331,012,682   

Percentage change in NAV

     (58.3 )%      1.4

Shares outstanding beginning of period

     4,000,014        4,300,014   

Shares outstanding end of period

     3,350,014        4,150,014   

Percentage change in shares outstanding

     (16.2 )%      (3.5 )% 

Shares created

     200,000        400,000   

Shares redeemed

     850,000        550,000   

Per share NAV beginning of period

   $ 83.76      $ 75.91   

Per share NAV end of period

   $ 41.68      $ 79.76   

Percentage change in per share NAV

     (50.2 )%      5.1

Percentage change in benchmark

     (28.1 )%      4.4

Benchmark annualized volatility

     22.9     20.2

During the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 4,000,014 outstanding Shares at December 31, 2012 to 3,350,014 outstanding shares at June 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 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 six months ended June 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 of 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 4,150,014 outstanding Shares at June 30, 2012.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 50.2% for the six months ended June 30, 2013, as compared to the increase of 5.1% for the six months ended June 30, 2012, was primarily due to the depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 30, 2013 at $41.68 per Share. By comparison, during the six months ended June 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 28.1% for the six months ended June 30, 2013, as compared to the benchmark’s rise of 4.4% for the six months ended June 30, 2012, can be attributed to a decrease in the price of spot gold in U.S. Dollar terms during the six months ended June 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (1,181,761   $ (1,632,300

Management fee

     1,282,605        1,721,175   

Brokerage commission

     24        25   

Net realized gain (loss)

     (118,415,357     (50,260,706

Change in net unrealized appreciation/depreciation

     (38,098,348     64,249,893   

Net income (loss)

   $ (157,695,466   $ 12,356,887   

The Fund’s net income decreased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a decrease in the price of spot gold in U.S. Dollar terms during the six months ended June 30, 2013.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 747,725,400      $ 606,824,420   

NAV end of period

   $ 425,855,952      $ 661,009,190   

Percentage change in NAV

     (43.0 )%      8.9

Shares outstanding beginning of period

     17,400,028        14,050,028   

Shares outstanding end of period

     27,050,028        17,850,028   

Percentage change in shares outstanding

     55.5     27.0

Shares created

     10,550,000        5,800,000   

Shares redeemed

     900,000        2,000,000   

Per share NAV beginning of period

   $ 42.97      $ 43.19   

Per share NAV end of period

   $ 15.74      $ 37.03   

Percentage change in per share NAV

     (63.4 )%      (14.3 )% 

Percentage change in benchmark

     (37.0 )%      (3.9 )% 

Benchmark annualized volatility

     34.4     33.1

During the six months ended June 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 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 17,400,028 outstanding Shares at December 31, 2012 to 27,050,028 outstanding shares at June 30, 2013. By comparison, during the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 14,050,028 outstanding Shares at December 31, 2011 to 17,850,028 outstanding Shares at June 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 of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 63.4% for the six months ended June 30, 2013, as compared to the decrease of 14.3% for the six months ended June 30, 2012, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 six months ended June 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 June 25, 2012 at $36.12 per Share.

 

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The benchmark’s decline of 37.0% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 3.9% for the six months ended June 30, 2012, can be attributed to a greater decrease in the price of spot silver in U.S. Dollar terms during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (2,831,041   $ (3,444,114

Management fee

     3,092,914        3,621,349   

Brokerage commission

     20        29   

Net realized gain (loss)

     (538,276,160     (211,284,072

Change in net unrealized appreciation/depreciation

     (30,848,113     64,073,147   

Net income (loss)

   $ (571,955,314   $ (150,655,039

The Fund’s net income decreased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a greater decrease in the price of spot silver in U.S. Dollar terms during the six months ended June 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 six months ended June 30, 2012 is not available.

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013:

 

     Six Months Ended
June  30, 2013
 

NAV beginning of period

   $ 4,150,068   

NAV end of period

   $ 3,283,396   

Percentage change in NAV

     (20.9 )% 

Shares outstanding beginning of period

     100,005   

Shares outstanding end of period

     100,005   

Percentage change in shares outstanding

     0.0

Shares created

     —     

Shares redeemed

     —     

Per share NAV beginning of period

   $ 41.50   

Per share NAV end of period

   $ 32.83   

Percentage change in per share NAV

     (20.9 )% 

Percentage change in benchmark

     (12.1 )% 

Benchmark annualized volatility

     9.8

During the six months ended June 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 of 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 June 30, 2013.

For the six months ended June 30, 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

 

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During the six months ended June 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 June 28, 2013 at $32.72 per Share.

The benchmark’s decline of 12.1% for the six months ended June 30, 2013, can be attributed to a decline in the value of the Australian Dollar versus the U.S. Dollar during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013:

 

     Six Months Ended
June 30, 2013
 

Net investment income (loss)

   $ (18,587

Brokerage commission

     777   

Offering costs

     44,944   

Limitation by Sponsor

     (26,064

Net realized gain (loss)

     (739,890

Change in net unrealized appreciation/depreciation

     (108,195

Net income (loss)

   $ (866,672

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 4,870,316      $ 9,554,748   

NAV end of period

   $ 3,521,494      $ 5,659,156   

Percentage change in NAV

     (27.7 )%      (40.8 )% 

Shares outstanding beginning of period

     200,014        400,014   

Shares outstanding end of period

     150,014        250,014   

Percentage change in shares outstanding

     (25.0 )%      (37.5 )% 

Shares created

     —          50,000   

Shares redeemed

     50,000        200,000   

Per share NAV beginning of period

   $ 24.35      $ 23.89   

Per share NAV end of period

   $ 23.47      $ 22.64   

Percentage change in per share NAV

     (3.6 )%      (5.2 )% 

Percentage change in benchmark

     (1.4 )%      (2.2 )% 

Benchmark annualized volatility

     8.1     8.9

During the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 200,014 outstanding Shares at December 31, 2012 to 150,014 outstanding Shares at June 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 of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the six months ended June 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 June 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 of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.6% for the six months ended June 30, 2013, as compared to the decrease of 5.2% for the six months ended June 30, 2012 was primarily due to a lesser decrease in the value of the assets held by the Fund during the six months ended June 30, 2013.

 

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During the six months ended June 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 March 27, 2013 at $22.71 per Share. By comparison, during the six months ended June 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 May 31, 2012 at $21.64 per Share.

The benchmark’s decline of 1.4% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 2.2% for the six months ended June 30, 2012, can be attributed to a lesser decrease in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (18,867   $ (37,243

Management fee

     19,964        38,818   

Net realized gain (loss)

     (28,362     (866,755

Change in net unrealized appreciation/depreciation

     (124,286     640,606   

Net income (loss)

   $ (171,515   $ (263,392

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a lesser decrease in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2013.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 4,227,995      $ 5,471,075   

NAV end of period

   $ 3,183,279      $ 5,024,268   

Percentage change in NAV

     (24.7 )%      (8.2 )% 

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

   $ 21.22      $ 33.49   

Percentage change in per share NAV

     (24.7 )%      (8.2 )% 

Percentage change in benchmark

     (12.6 )%      (3.7 )% 

Benchmark annualized volatility

     14.3     8.5

During the six months ended June 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 of 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 June 30, 2013. By comparison, six months ended June 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 of 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 June 30, 2012.

 

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For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 24.7% for the six months ended June 30, 2013, as compared to the decrease of 8.2% for the six months ended June 30, 2012, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2013.

During the six months ended June 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 six months ended June 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 12.6% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 3.7% for the six months ended June 30, 2012, can be attributed to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (17,287   $ (22,775

Management fee

     18,530        24,019   

Net realized gain (loss)

     (1,674,519     (221,168

Change in net unrealized appreciation/depreciation

     504,268        (202,864

Net income (loss)

   $ (1,187,538   $ (446,807

The Fund’s net income decreased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the six months ended June 30, 2013.

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 137,657,464      $ 30,549,903   

NAV end of period

   $ 174,808,019      $ 137,638,067   

Percentage change in NAV

     27.0     350.5

Shares outstanding beginning of period

     1,640,001        80,001   

Shares outstanding end of period

     3,124,812        860,001   

Percentage change in shares outstanding

     90.5     975.0

Shares created

     5,270,000        1,900,000   

Shares redeemed

     3,785,189        1,120,000   

Per share NAV beginning of period

   $ 83.94      $ 381.87   

Per share NAV end of period

   $ 55.94      $ 160.04   

Percentage change in per share NAV

     (33.4 )%      (58.1 )% 

Percentage change in benchmark

     (33.6 )%      (57.9 )% 

Benchmark annualized volatility

     68.3     76.9

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,640,001 outstanding Shares at December 31, 2012 to 3,124,812 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV was offset by the

 

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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 six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 80,001 outstanding Shares at December 31, 2011 to 860,001 outstanding Shares at June 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 six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 33.4% for the six months ended June 30, 2013, as compared to the decrease of 58.1% for the six months ended June 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 May 7, 2013 at $49.08 per Share. By comparison, during the six months ended June 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 June 29, 2012 at $160.05 per Share.

The benchmark’s decline of 33.6% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 57.9% for the six months ended June 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 six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (762,571   $ (448,030

Management fee

     806,110        473,017   

Offering costs

     —          1,090   

Net realized gain (loss)

     (44,249,575     (52,093,077

Change in net unrealized appreciation/depreciation

     1,448,578        (16,309,275

Net income (loss)

   $ (43,563,568   $ (68,850,382

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to the lesser decline in the Fund’s benchmark during the six months ended June 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 six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 37,302,992      $ 90,821,428   

NAV end of period

   $ 72,133,381      $ 85,305,861   

Percentage change in NAV

     93.4     (6.1 )% 

Shares outstanding beginning of period

     1,075,005        1,225,005   

Shares outstanding end of period

     2,550,005        1,550,005   

Percentage change in shares outstanding

     137.2     26.5

Shares created

     2,700,000        925,000   

 

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     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Shares redeemed

     1,225,000        600,000   

Per share NAV beginning of period

   $ 34.70      $ 74.14   

Per share NAV end of period

   $ 28.29      $ 55.04   

Percentage change in per share NAV

     (18.5 )%      (25.8 )% 

Percentage change in benchmark

     (18.2 )%      (25.6 )% 

Benchmark annualized volatility

     26.6     35.2

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,075,005 outstanding Shares at December 31, 2012 to 2,550,005 outstanding Shares at June 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 six months ended June 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 daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,225,005 outstanding Shares at December 31, 2011 to 1,550,005 outstanding Shares at June 30, 2012.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.5% for the six months ended June 30, 2013, as compared to the decrease of 25.8% for the six months ended June 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 May 7, 2013 at $24.07 per Share. By comparison, six months ended June 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 May 2, 2012 at $54.44 per Share.

The benchmark’s decline of 18.2% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 25.6% for the six months ended June 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 six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (224,269   $ (413,863

Management fee

     238,020        431,431   

Offering costs

     —          682   

Net realized gain (loss)

     (12,745,775     (25,745,480

Change in net unrealized appreciation/depreciation

     7,047,772        (16,257

Net income (loss)

   $ (5,922,272   $ (26,175,600

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a lesser decline in the Fund’s benchmark during the six months ended June 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 six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 84,716,132      $ 9,881,113   

NAV end of period

   $ 215,235,917      $ 299,133,075   

Percentage change in NAV

     154.1     2,927.3

Shares outstanding beginning of period

     420,808        1,333   

Shares outstanding end of period

     2,989,557        310,915   

Percentage change in shares outstanding

     610.4     23,224.5

Shares created

     13,350,000        544,750   

Shares redeemed

     10,781,251        235,168   

Per share NAV beginning of period

   $ 201.32      $ 7,412.69   

Per share NAV end of period

   $ 72.00      $ 962.11   

Percentage change in per share NAV

     (64.2 )%      (87.0 )% 

Percentage change in benchmark

     (33.6 )%      (57.9 )% 

Benchmark annualized volatility

     68.3     76.9

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 420,808 outstanding Shares at December 31, 2012 to 2,989,557 outstanding Shares at June 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 of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 1,333 outstanding Shares at December 31, 2011 to 310,915 outstanding Shares at June 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 of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 64.2% for the six months ended June 30, 2013, as compared to the decrease of 87.0% for the six months ended June 30, 2012, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2013.

During the six months ended June 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 May 7, 2013 at $57.65 per Share. By comparison, during the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $6,490.23 per Share and reached its low for the period on June 30, 2012 at $962.11 per Share.

The benchmark’s decline of 33.6% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 57.9% for the six months ended June 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 six months ended June 30, 2013.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (2,463,204   $ (1,274,828

Management fee

     1,277,454        630,453   

Brokerage commission

     1,221,816        612,128   

Offering costs

     —          50,028   

 

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     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net realized gain (loss)

     (104,906,019     (178,724,736

Change in net unrealized appreciation/depreciation

     882,973        (59,423,482

Net income (loss)

   $ (106,486,250   $ (239,423,046

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a lesser decline in the fund’s benchmark during the six months ended June 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 six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

NAV beginning of period

   $ 82,663,633      $ 7,760,424   

NAV end of period

   $ 117,395,722      $ 13,585,406   

Percentage change in NAV

     42.0     75.1

Shares outstanding beginning of period

     1,250,020        300,020   

Shares outstanding end of period

     1,500,020        300,020   

Percentage change in shares outstanding

     20.0     0.0

Shares created

     3,850,000        4,700,000   

Shares redeemed

     3,600,000        4,700,000   

Per share NAV beginning of period

   $ 66.13      $ 25.87   

Per share NAV end of period

   $ 78.26      $ 45.28   

Percentage change in per share NAV

     18.3     75.1

Percentage change in benchmark

     (33.6 )%      (57.9 )% 

Benchmark annualized volatility

     68.3     76.9

During the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 1,250,020 outstanding Shares at December 31, 2012 to 1,500,020 outstanding Shares at June 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. There was no net change in the Fund’s outstanding Shares from December 31, 2011 to June 30, 2012.

For the six months ended June 30, 2013 and 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.3% for the six months ended June 30, 2013, as compared to the increase of 75.1% for the six months ended June 30, 2012, was primarily due to a lesser appreciation in the value of the assets of the fund during the six months ended June 30, 2013.

During the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 12, 2013 at $100.90 per Share and reached its low for the period on June 24, 2013 at $71.01 per Share. By comparison, during the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on March 26, 2012 at $53.68 per Share and reached its low for the period on January 3, 2012 at $27.48 per Share.

The benchmark’s decline of 33.6% for the six months ended June 30, 2013, as compared to the benchmark’s decline of 57.9% for the six months ended June 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 six months ended June 30, 2013.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2013 and 2012:

 

     Six Months Ended
June 30, 2013
    Six Months Ended
June 30, 2012
 

Net investment income (loss)

   $ (509,619   $ (149,683

Management fee

     323,063        35,978   

Brokerage commission

     203,189        67,872   

Offering costs

     —          50,028   

Net realized gain (loss)

     21,077,200        4,077,098   

Change in net unrealized appreciation/depreciation

     749,584        586,346   

Net income (loss)

   $ 21,317,165      $ 4,513,761   

The Fund’s net income increased for the six months ended June 30, 2013, as compared to the six months ended June 30, 2012, primarily due to a lesser decline in the Fund’s benchmark during the six months ended June 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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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Since ProShares UltraShort Australian Dollar, ProShares Short Euro and ProShares Ultra Australian Dollar were not conducting operations as of June 30, 2012, comparisons of positions in certain Financial Instruments held by each of ProShares UltraShort Australian Dollar, ProShares Short Euro and ProShares Ultra Australian Dollar for the six months ended June 30, 2012 are not available.

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 June 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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Swap Agreements as of June 30, 2013  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Deutsche Bank AG    Short    $ 124.4651       $ (2,097,156

Dow Jones-UBS Commodity Index

   Goldman Sachs
International
   Short    $ 124.4651         (4,702,593

Dow Jones-UBS Commodity Index

   UBS AG    Short    $ 124.4651         (1,097,705

 

Swap Agreements as of June 30, 2012  

Reference Index

           Counterparty            Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Goldman Sachs
International
   Short    $ 135.4213       $ (6,247,978

Dow Jones-UBS Commodity Index

   UBS AG    Short      135.4213         (839,312

The June 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.

 

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ProShares UltraShort DJ-UBS Crude Oil:

As of June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    September 2013      2,108       $ 96.44         1,000       $ (203,295,520

 

Swap Agreements as of June 30, 2013  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS WTI Crude Oil Subindex

   Deutsche Bank AG    Short    $ 234.5052       $ (41,002,905

Dow Jones-UBS WTI Crude Oil Subindex

   Goldman Sachs
International
   Short    $ 234.5052         (131,067,619

Dow Jones-UBS WTI Crude Oil Subindex

   Societe Generale S.A.    Short    $ 234.5052         (44,714,076

Dow Jones-UBS WTI Crude Oil Subindex

   UBS AG    Short    $ 234.5052         (82,852,782

 

Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    September 2012      902       $ 85.37         1,000       $ (77,003,740

 

Swap Agreements as of June 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    $ 218.0585       $ (35,717,240

Dow Jones-UBS WTI Crude Oil Subindex

   Societe Generale
S.A.
   Short      218.0585         (37,072,664

Dow Jones-UBS WTI Crude Oil Subindex

   UBS AG    Short      218.0585         (14,593,741

The June 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 June 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

 

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“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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

                                                                                                                             
Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    September 2013      1,120       $ 3.56         10,000       $ (39,860,800

 

                                                                                                                             
Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    September 2012      963       $ 2.833         10,000       $ (27,281,790

The June 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 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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    August 2013      2       $ 1,223.70         100       $ (244,740

 

Forward Agreements as of June 30, 2013  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,192.02       $ (191,319,210

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Short      1,192.02         (56,856,970

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,192.02         (48,157,608

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,192.02         (44,998,755

 

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Table of Contents
Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    August 2012      2       $ 1,604.20         100       $ (320,840

 

Forward Agreements as of June 30, 2012  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Short    $ 1,598.60       $ (57,706,263

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,598.60         (103,909,000

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,598.60         (96,795,230

The June 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 June 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 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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    September 2013      2       $ 19.470         5,000       $ (194,700

 

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Forward Agreements as of June 30, 2013  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 18.8631       $ (121,534,953

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Short      18.8631         (7,875,344

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      18.8631         (32,595,437

0.999 Fine Troy Ounce Silver

   UBS AG    Short      18.8631         (5,621,204

 

Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    September 2012      2       $ 27.612         5,000       $ (276,120

 

Forward Agreements as of June 30, 2012  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Short    $ 27.0826       $ (120,612,359

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      27.0826         (115,967,693

0.999 Fine Troy Ounce Silver

   UBS AG    Short      27.0826         (86,014,338

The June 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 June 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 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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Swap Agreements as of June 30, 2013  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Deutsche Bank AG    Long    $ 124.4651       $ 1,822,734   

Dow Jones-UBS Commodity Index

   Goldman Sachs
International
   Long    $ 124.4651         3,776,452   

Dow Jones-UBS Commodity Index

   UBS AG    Long    $ 124.4651         2,113,290   

 

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Swap Agreements as of June 30, 2012  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Dow Jones-UBS Commodity Index

   Goldman Sachs
International
   Long    $ 135.4213       $ 11,453,852   

Dow Jones-UBS Commodity Index

   UBS AG    Long      135.4213         4,988,984   

The June 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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    September 2013      1,553       $ 96.44         1,000       $ 149,771,320   

 

Swap Agreements as of June 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    $ 234.5052       $ 62,000,092   

Dow Jones-UBS WTI Crude Oil Subindex

   Goldman Sachs
International
   Long    $ 234.5052         91,806,162   

Dow Jones-UBS WTI Crude Oil Subindex

   Societe Generale S.A.    Long    $ 234.5052         36,864,746   

Dow Jones-UBS WTI Crude Oil Subindex

   UBS AG    Long    $ 234.5052         96,863,044   

 

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Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    September 2012      4,525       $ 85.37         1,000       $ 386,299,250   

 

Swap Agreements as of June 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    $ 218.0585       $ 189,823,923   

Dow Jones-UBS WTI Crude Oil Subindex

   Societe Generale
S.A.
   Long      218.0585         187,236,795   

Dow Jones-UBS WTI Crude Oil Subindex

   UBS AG    Long      218.0585         214,979,837   

The June 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 June 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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

                                                                                                                                         
Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    September 2013      2,368       $ 3.56         10,000       $ 84,277,120   

 

                                                                                                                                         
Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    September 2012      4,419       $ 2.833         10,000       $ 125,190,270   

The June 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

 

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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 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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    August 2013      2       $ 1,223.70         100       $ 244,740   

 

Forward Agreements as of June 30, 2013  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,192.02       $ 193,941,654   

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Long      1,192.02         24,221,846   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,192.02         34,926,186   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,192.02         25,866,834   

 

Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    August 2012      2       $ 1,604.20         100       $ 320,840   

 

Forward Agreements as of June 30, 2012  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Long    $ 1,598.60       $ 171,401,892   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,598.60         169,451,600   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,598.60         320,839,020   

The June 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 June 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

 

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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 June 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 June 30, 2013 and 2012, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    September 2013      2       $ 19.470         5,000       $ 194,700   

 

Forward Agreements as of June 30, 2013  

Reference Index

  

Counterparty

  

Long or
Short

   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 18.8631       $ 514,698,547   

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      18.8631         87,502,148   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      18.8631         159,298,880   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      18.8631         90,071,303   

 

Futures Positions as of June 30, 2012  

Contract

  

Long or
Short

  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    September 2012      2       $ 27.612         5,000       $ 276,120   

 

Forward Agreements as of June 30, 2012  

Reference Index

  

Counterparty

  

Long or
Short

   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long    $ 27.0826       $ 446,261,666   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      27.0826         528,246,113   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      27.0826         347,226,015   

The June 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 June 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

 

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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 June 30, 2013 and, as applicable, June 30, 2012, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of June 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 June 30, 2013 and 2012, which were sensitive to exchange rate price risk.

 

Futures Positions as of June 30, 2013  

Contract

  

Long or
Short

  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

   Short    September 2013      23       $ 1.3023         125,000       $ (3,744,113

 

Futures Positions as of June 30, 2012  

Contract

  

Long or
Short

  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

   Short    September 2012      25       $ 1.2666         125,000       $ (3,958,125

The June 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.

 

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ProShares UltraShort Australian Dollar:

As of June 30, 2013, 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 June 30, 2013, which were sensitive to exchange rate price risk.

 

          Futures Positions as of June 30, 2013                

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    September 2013      512       $ 91.07         1,000       $ (46,627,840

The June 30, 2013 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.

ProShares UltraShort Euro:

As of June 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 June 30, 2013 and 2012, which were sensitive to exchange rate price risk.

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2013  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    07/12/13      44,814,400        1.3016       $ 58,332,335   

Euro

   UBS AG    Long    07/12/13      34,423,300        1.3016         44,806,836   

Euro

   Goldman Sachs
International
   Short    07/12/13      (422,574,325     1.3016         (550,040,774

Euro

   UBS AG    Short    07/12/13      (439,602,400     1.3016         (572,205,246

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2012  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    07/13/12      63,067,500        1.2657       $ 79,823,488   

Euro

   UBS AG    Long    07/13/12      223,693,100        1.2657         283,124,643   

Euro

   Goldman Sachs
International
   Short    07/13/12      (791,263,425     1.2657         (1,001,488,982

Euro

   UBS AG    Short    07/13/12      (912,940,100     1.2657         (1,155,493,129

The June 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

 

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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 June 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 June 30, 2013 and 2012, which were sensitive to exchange rate price risk.

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2013  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long    07/12/13      8,350,733,600        0.010082       $ 84,194,393   

Yen

   UBS AG    Long    07/12/13      16,247,876,600        0.010082         163,815,560   

Yen

   Goldman Sachs
International
   Short    07/12/13      (62,614,065,100     0.010082         (631,292,223

Yen

   UBS AG    Short    07/12/13      (66,314,387,400     0.010082         (668,599,890

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2012  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long    07/13/12      2,305,597,000        0.012513       $ 28,849,490   

Yen

   UBS AG    Long    07/13/12      909,777,700        0.012513         11,383,873   

Yen

   Goldman Sachs
International
   Short    07/13/12      (14,551,033,100     0.012513         (182,074,269

Yen

   UBS AG    Short    07/13/12      (25,555,231,200     0.012513         (319,767,676

The June 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.

 

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ProShares Ultra Australian Dollar:

As of June 30, 2013, 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 June 30, 2013, which were sensitive to exchange rate price risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

   Long    September 2013      72       $ 91.07         1,000       $ 6,557,040   

The June 30, 2013 futures notional value is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional value 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 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 June 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 June 30, 2013 and 2012, which were sensitive to exchange rate price risk.

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2013  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    07/12/13      1,560,125        1.3016       $ 2,030,725   

Euro

   UBS AG    Long    07/12/13      4,001,900        1.3016         5,209,044   

Euro

   Goldman Sachs
International
   Short    07/12/13      (113,700     1.3106         (147,997

Euro

   UBS AG    Short    07/12/13      (39,200     1.3106         (51,024

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2012  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long    07/13/12      3,111,925        1.2657       $ 3,938,712   

Euro

   UBS AG    Long    07/13/12      6,099,200        1.2657         7,719,657   

Euro

   Goldman Sachs
International
   Short    07/13/12      (94,100     1.2657         (119,101

Euro

   UBS AG    Short    07/13/12      (175,000     1.2657         (221,494

The June 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.

 

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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.

ProShares Ultra Yen:

As of June 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 June 30, 2013 and 2012, which were sensitive to exchange rate price risk.

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2013  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long    07/12/13      335,178,000        0.010082       $ 3,379,357   

Yen

   UBS AG    Long    07/12/13      340,182,000        0.010082         3,429,808   

Yen

   Goldman Sachs
International
   Short    07/12/13      (30,988,700     0.010082         (312,437

Yen

   UBS AG    Short    07/12/13      (13,025,800     0.010082         (131,330

 

                                                                                                                                                           
Foreign Currency Forward Contracts as of June 30, 2012  

Reference Currency

   Counterparty    Long
or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long    07/13/12      382,717,100        0.012513       $ 4,788,865   

Yen

   UBS AG    Long    07/13/12      449,100,000        0.012513         5,619,502   

Yen

   Goldman Sachs
International
   Short    07/13/12      (4,462,700     0.012513         (55,841

Yen

   UBS AG    Short    07/13/12      (24,415,100     0.012513         (305,501

The June 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.

 

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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 June 30, 2013 and 2012, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of June 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 June 30, 2013 and 2012, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2013      5,513       $ 18.05         1,000       $ 99,509,650   

VIX Futures (CBOE)

   Long    August 2013      4,009         18.90         1,000         75,770,100   

 

Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2012      3,904       $ 19.55         1,000       $ 76,323,200   

VIX Futures (CBOE)

   Long    August 2012      2,855         21.95         1,000         62,667,250   

The June 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 June 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 June 30, 2013 and 2012, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2013      667       $ 20.35         1,000       $ 13,573,450   

VIX Futures (CBOE)

   Long    November 2013      1,152         20.70         1,000         23,846,400   

VIX Futures (CBOE)

   Long    December 2013      1,152         21.00         1,000         24,192,000   

VIX Futures (CBOE)

   Long    January 2014      485         21.70         1,000         10,524,500   

 

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Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2012      639       $ 24.60         1,000       $ 15,719,400   

VIX Futures (CBOE)

   Long    November 2012      1,103         25.45         1,000         28,071,350   

VIX Futures (CBOE)

   Long    December 2012      1,103         26.00         1,000         28,678,000   

VIX Futures (CBOE)

   Long    January 2013      465         27.65         1,000         12,857,250   

The June 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 June 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 June 30, 2013 and 2012, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2013      13,560       $ 18.05         1,000       $ 244,758,000   

VIX Futures (CBOE)

   Long    August 2013      9,859         18.90         1,000         186,335,100   

 

Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2012      16,212       $ 19.55         1,000       $ 316,944,600   

VIX Futures (CBOE)

   Long    August 2012      11,781         21.95         1,000         258,592,950   

 

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Swap Agreements as of June 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      5,515.55       $ 25,923,085   

The June 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 June 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 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 June 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 June 30, 2013 and 2012, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2013  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    July 2013      3,687       $ 18.05         1,000       $ (66,550,350

VIX Futures (CBOE)

   Short    August 2013      2,681         18.90         1,000         (50,670,900

 

Futures Positions as of June 30, 2012  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    July 2012         383       $ 19.55         1,000       $   (7,487,650

VIX Futures (CBOE)

   Short    August 2012      273       $ 21.95         1,000           (5,992,350

The June 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.

 

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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 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.

 

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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 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

 

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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).

 

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 June 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 June 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.

The Trust and certain principals of the Sponsor have been named as defendants (along with several other parties) in a consolidated class action lawsuit filed in the United States District Court for the Southern District of New York, styled In re ProShares Trust Securities Litigation, Civ. No. 09-cv-6935. The complaint, as amended, alleged that the defendants violated Sections 11 and 15 of the Securities Act of 1933 by including untrue statements of material fact and omitting material facts in the Registration Statement for one or more ProShares ETFs and allegedly failing to adequately disclose the Funds’ investment objectives and risks. The six Funds of the Trust named in the complaint were ProShares Ultra Silver, ProShares UltraShort Gold, ProShares Ultra Gold, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort Silver. On September 10, 2012, the District Court issued an Opinion and Order dismissing the class action lawsuit in its entirety. On December 17, 2012, the plaintiffs filed an appeal brief to the United States Court of Appeals for the Second Circuit. On July 22, 2013, the United States Court of Appeals for the Second Circuit issued an Opinion affirming the District Court’s decision dismissing the class action lawsuit in its entirety.

 

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 or a VIX 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 and VIX 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 Fund or a VIX Fund have to components included in the applicable benchmark index and the proportional weight that such components carry within the index.

A Commodity Index Fund or a VIX Fund 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 or a VIX 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

 

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  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 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). Therefore, as of June 30, 2013, the Trust had two effective registration statements outstanding: 1) an effective Form S-1 Registration Statement (No. 333-188215); and 2) an effective Form S-3 Registration Statement (No. 333-187820). 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 July 31, 2013, the Trust had two effective registration statements outstanding: 1) an effective Form S-1 Registration Statement (No. 333-188215); and 2) an effective 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.

 

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Title of Securities Registered

   Amount
Registered
As of June 30, 2013
     Shares Sold
For the
Three Months
Ended

June 30, 2013
     Sale Price of Shares
Sold For the

Three Months Ended
June 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

   $ 2,175,000,000         7,100,000       $ 259,356,018   

ProShares UltraShort DJ-UBS Natural Gas Common Units of Beneficial Interest

   $ 570,000,000         100,000       $ 6,818,260   

ProShares UltraShort Gold Common Units of Beneficial Interest

   $ 1,000,000,000         950,000       $ 81,284,134   

ProShares UltraShort Silver Common Units of Beneficial Interest1

   $ 2,900,000,000         900,000       $ 67,860,673   

ProShares Short Euro Common Units of Beneficial Interest

   $ 200,000,000         —         $ —     

ProShares UltraShort Australian Dollar Common Units of Beneficial Interest

   $ 200,000,000         400,000       $ 16,245,812   

ProShares UltraShort Euro Common Units of Beneficial Interest1

   $ 3,053,506,872         2,750,000       $ 52,781,919   

ProShares UltraShort Yen Common Units of Beneficial Interest1

   $ 1,600,000,000         3,100,000       $ 200,262,980   

ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest

   $ 300,000,000         —         $ —     

ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest1

   $ 4,808,246,073         5,850,000       $ 158,411,916   

ProShares Ultra DJ-UBS Natural Gas Common Units of Beneficial Interest

   $ 680,000,000         650,000       $ 28,314,359   

ProShares Ultra Gold Common Units of Beneficial Interest

   $ 1,000,000,000         100,000       $ 4,926,245   

ProShares Ultra Silver Common Units of Beneficial Interest1

   $ 3,500,000,000         8,400,000       $ 186,695,150   

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

   $ 3,450,000,000         2,110,000       $ 108,548,127   

ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest

   $ 1,300,000,000         875,000       $ 22,681,917   

ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest

   $ 8,000,000,000         7,140,000       $ 475,164,642   

ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest

   $ 2,750,000,000         2,450,000       $ 208,309,306   

Total:

   $ 39,186,752,945         42,875,000         1,877,661,458   

 

1 

On July 30, 2013, a Registration Statement on Form S-3 (No. 333-189967) was declared effective, which registered additional Shares for ProShares UltraShort DJ-UBS Crude Oil (increasing its total amount registered to $3,275,000,000) and ProShares UltraShort Yen (increasing its total amount registered to $1,800,000,000) and partially terminated registered and unissued Shares of ProShares Ultra DJ-UBS Crude Oil (decreasing its total amount registered to $4,408,246,073), ProShares Ultra Silver (decreasing its total amount registered to $3,300,000,000), ProShares UltraShort Silver (decreasing its total amount registered to $2,700,000,000), ProShares UltraShort Euro (decreasing its total amount registered to $2,753,506,872) and ProShares VIX Short-Term Futures ETF (decreasing its total amount registered to $3,250,000,000).

 

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  (c) From April 1, 2013 to June 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

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares UltraShort DJ-UBS Crude Oil

     

04/01/13 to 04/30/13

     1,200,000       $ 42.23   

05/01/13 to 05/31/13

     900,000       $ 37.95   

06/01/13 to 06/30/13

     1,950,000       $ 38.31   

ProShares UltraShort DJ-UBS Natural Gas

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     87,500       $ 68.68   

06/01/13 to 06/30/13

     137,556       $ 79.64   

ProShares UltraShort Gold

     

04/01/13 to 04/30/13

     50,000       $ 77.54   

05/01/13 to 05/31/13

     250,000       $ 84.32   

06/01/13 to 06/30/13

     700,000       $ 94.42   

ProShares UltraShort Silver

     

04/01/13 to 04/30/13

     850,000       $ 75.77   

05/01/13 to 05/31/13

     300,000       $ 81.03   

06/01/13 to 06/30/13

     950,000       $ 98.28   

ProShares Short Euro

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares UltraShort Australian Dollar

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares UltraShort Euro

     

04/01/13 to 04/30/13

     500,000       $ 19.14   

05/01/13 to 05/31/13

     900,000       $ 19.62   

06/01/13 to 06/30/13

     750,000       $ 19.25   

ProShares UltraShort Yen

     

04/01/13 to 04/30/13

     1,200,000       $ 63.38   

05/01/13 to 05/31/13

     550,000       $ 66.97   

06/01/13 to 06/30/13

     1,150,000       $ 64.24   

ProShares Ultra DJ-UBS Commodity

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares Ultra DJ-UBS Crude Oil

     

04/01/13 to 04/30/13

     2,400,000       $ 28.97   

05/01/13 to 05/31/13

     4,050,000       $ 29.99   

06/01/13 to 06/30/13

     2,450,000       $ 29.78   

ProShares Ultra DJ-UBS Natural Gas

     

04/01/13 to 04/30/13

     500,000       $ 52.95   

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares Ultra Gold

     

04/01/13 to 04/30/13

     450,000       $ 58.91   

05/01/13 to 05/31/13

     300,000       $ 60.39   

06/01/13 to 06/30/13

     100,000       $ 56.84   

ProShares Ultra Silver

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     400,000       $ 22.43   

06/01/13 to 06/30/13

     350,000       $ 17.36   

 

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ProShares Ultra Australian Dollar

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares Ultra Euro

     

04/01/13 to 04/30/13

     50,000       $ 23.55   

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares Ultra Yen

     

04/01/13 to 04/30/13

     —         $ —     

05/01/13 to 05/31/13

     —         $ —     

06/01/13 to 06/30/13

     —         $ —     

ProShares VIX Short-Term Futures ETF

     

04/01/13 to 04/30/13

     1,070,000       $ 56.82   

05/01/13 to 05/31/13

     80,000       $ 49.52   

06/01/13 to 06/30/13

     1,870,189       $ 57.57   

ProShares VIX Mid-Term Futures ETF

     

04/01/13 to 04/30/13

     475,000       $ 25.90   

05/01/13 to 05/31/13

     200,000       $ 24.92   

06/01/13 to 06/30/13

     225,000       $ 27.44   

ProShares Ultra VIX Short-Term Futures ETF

     

04/01/13 to 04/30/13

     2,485,000       $ 78.26   

05/01/13 to 05/31/13

     1,160,000       $ 60.56   

06/01/13 to 06/30/13

     5,051,251       $ 74.82   

ProShares Short VIX Short-Term Futures ETF

     

04/01/13 to 04/30/13

     1,000,000       $ 90.05   

05/01/13 to 05/31/13

     400,000       $ 91.65   

06/01/13 to 06/30/13

     300,000       $ 86.36   

Total:

     37,791,496       $ 53.62   

 

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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: August 9, 2013

/s/ Edward Karpowicz

By:   Edward Karpowicz
Principal Financial Officer
Date: August 9, 2013