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Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

 

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

for the quarterly period ended September 30, 2009.

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).    ¨  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   ¨    Accelerated filer   ¨
Non-accelerated filer   x  (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.

   77

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

   87

Item 4. Controls and Procedures.

   97

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings.

   98

Item 1A. Risk Factors.

   98

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

   98

Item 3. Defaults Upon Senior Securities.

   100

Item 4. Submission of Matters to a Vote of Security Holders.

   100

Item 5. Other Information.

   100

Item 6. Exhibits.

   100


Table of Contents

Part I. FINANCIAL INFORMATION

 

Item 1. Condensed Financial Statements.

Index

 

     Page

Documents

  

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

  

ProShares Ultra DJ-UBS Commodity

   2

ProShares UltraShort DJ-UBS Commodity

   7

ProShares Ultra DJ-UBS Crude Oil

   12

ProShares UltraShort DJ-UBS Crude Oil

   17

ProShares Ultra Gold

   22

ProShares UltraShort Gold

   27

ProShares Ultra Silver

   32

ProShares UltraShort Silver

   37

ProShares Ultra Euro

   42

ProShares UltraShort Euro

   47

ProShares Ultra Yen

   52

ProShares UltraShort Yen

   57

Notes to Financial Statements

   62

 

-1-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
   December 31, 2008  

Assets

     

Cash

   $ 5,830,423    $ 1,745,354   

Segregated cash balances for swap agreements

     8,570,000      1,335,000   

Short-term U.S. government agency obligations (Note 3)

     4,488,979      —     

Unrealized appreciation on swap agreements

     481,000      184,583   

Receivable from Sponsor

     —        33,411   

Offering costs (Note 5)

     11,677      69,640   
               

Total assets

     19,382,079      3,367,988   
               

Liabilities and shareholders’ equity

     

Liabilities

     

Accounts payable

     —        42,977   

Payable to Sponsor

     25,715      —     
               

Total liabilities

     25,715      42,977   
               

Shareholders’ equity

     

Paid-in capital

     17,486,071      3,551,075   

Accumulated earnings (deficit)

     1,870,293      (226,064
               

Total shareholders’ equity

     19,356,364      3,325,011   
               

Total liabilities and shareholders’ equity

   $ 19,382,079    $ 3,367,988   
               

Shares outstanding

     800,014      150,014   
               

Net asset value per share

   $ 24.20    $ 22.16   
               

Market value per share (Note 2)

   $ 24.07    $ 22.15   
               

 

 

 

 

 

See accompanying notes to financial statements.

 

-2-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (23% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 500,000    $ 500,000

0.03% due 10/02/09

     1,617,000      1,616,999

0.02% due 10/07/09

     500,000      499,998

0.03% due 10/13/09

     1,672,000      1,671,983

0.01% due 10/19/09

     200,000      199,999
         

Total short-term U.S. government agency obligations

      $ 4,488,979
         

 

 

 

Swap Agreements^

 

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

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

   10/06/09    $ 8,232,734    $ 53,415

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

   10/06/09      30,355,281      427,585
            
         $ 481,000
            

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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 ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 1,738      $ 4,012   
                

Expenses

    

Management fee

     32,623        59,126   

Offering costs

     19,533        57,963   
                

Total expenses

     52,156        117,089   
                

Net investment income (loss)

     (50,418     (113,077
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Swap agreements

     (1,842,980     1,913,017   
                

Change in net unrealized appreciation/depreciation on

    

Swap agreements

     2,374,398        296,417   
                

Net realized and unrealized gain (loss)

     531,418        2,209,434   
                

Net income (loss)

   $ 481,000      $ 2,096,357   
                

Net income (loss) per weighted-average share

   $ 0.51      $ 2.82   
                

Weighted-average shares outstanding

     938,601        742,688   
                

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-4-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 3,325,011   

Addition of 1,200,000 shares

     25,899,594   

Redemption of 550,000 shares

     (11,964,598
        

Net addition (redemption) of 650,000 shares

     13,934,996   
        

Net investment income (loss)

     (113,077

Net realized gain (loss)

     1,913,017   

Change in net unrealized appreciation/depreciation

     296,417   
        

Net income (loss)

     2,096,357   
        

Shareholders’ equity, at September 30, 2009

   $ 19,356,364   
        

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-5-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ 2,096,357   

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

  

Increase in segregated cash balances for swap agreements

     (7,235,000

Net purchase of short-term U.S. government agency obligations

     (4,488,979

Change in unrealized appreciation/depreciation on swap agreements

     (296,417

Decrease in receivable from Sponsor

     33,411   

Increase in payable to Sponsor

     25,715   

Amortization of offering cost

     57,963   

Decrease in accounts payable

     (42,977
        

Net cash provided by (used in) operating activities

     (9,849,927
        

Cash flow from financing activities

  

Proceeds from addition of shares

     25,899,594   

Payment on shares redeemed

     (11,964,598
        

Net cash provided by (used in) financing activities

     13,934,996   
        

Net increase (decrease) in cash

     4,085,069   

Cash, at December 31, 2008

     1,745,354   
        

Cash, at September 30, 2009

   $ 5,830,423   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-6-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
    December 31, 2008

Assets

    

Cash

   $ 2,205,732      $ 1,579,140

Segregated cash balances for swap agreements

     2,575,000        1,400,000

Short-term U.S. government agency obligations (Note 3)

     599,997        —  

Receivable from Sponsor

     262,895        56,576

Offering costs (Note 5)

     46,685        278,414
              

Total assets

     5,690,309        3,314,130
              

Liabilities and shareholders’ equity

    

Liabilities

    

Accounts payable

     —          208,046

Unrealized depreciation on swap agreements

     264,668        426,201
              

Total liabilities

     264,668        634,247
              

Shareholders’ equity

    

Paid-in capital

     6,646,411        2,500,900

Accumulated earnings (deficit)

     (1,220,770     178,983
              

Total shareholders’ equity

     5,425,641        2,679,883
              

Total liabilities and shareholders’ equity

   $ 5,690,309      $ 3,314,130
              

Shares outstanding

     300,014        100,014
              

Net asset value per share

   $ 18.08      $ 26.80
              

Market value per share (Note 2)

   $ 18.12      $ 27.58
              

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-7-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (11% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.02% due 10/07/09

   $ 500,000    $ 499,998

0.03% due 10/13/09

     100,000      99,999
         

Total short-term U.S. government agency obligations

      $ 599,997
         

 

 

 

Swap Agreements^

 

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

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

   10/06/09    $ (1,774,643   $ (75,251

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

   10/06/09      (9,192,397     (189,417
             
        $ (264,668
             

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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 COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 320      $ 710   
                

Expenses

    

Offering costs

     78,092        231,729   

Limitation by Sponsor

     (65,602     (206,319
                

Total expenses

     12,490        25,410   
                

Net investment income (loss)

     (12,170     (24,700
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Swap agreements

     (457,048     (1,536,586
                

Change in net unrealized appreciation/depreciation on

    

Swap agreements

     (310,626     161,533   
                

Net realized and unrealized gain (loss)

     (767,674     (1,375,053
                

Net income (loss)

   $ (779,844   $ (1,399,753
                

Net income (loss) per weighted-average share

   $ (2.95   $ (8.77
                

Weighted-average shares outstanding

     264,688        159,538   
                

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-9-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 2,679,883   

Addition of 200,000 shares

     4,145,511   
        

Net investment income (loss)

     (24,700

Net realized gain (loss)

     (1,536,586

Change in net unrealized appreciation/depreciation

     161,533   
        

Net income (loss)

     (1,399,753
        

Shareholders’ equity, at September 30, 2009

   $ 5,425,641   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-10-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ (1,399,753

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

  

Increase in segregated cash balances for swap agreements

     (1,175,000

Net purchase of short-term U.S. government agency obligations

     (599,997

Change in unrealized appreciation/depreciation on swap agreements

     (161,533

Increase in receivable from Sponsor

     (206,319

Amortization of offering cost

     231,729   

Decrease in accounts payable

     (208,046
        

Net cash provided by (used in) operating activities

     (3,518,919
        

Cash flow from financing activities

  

Proceeds from addition of shares

     4,145,511   
        

Net increase (decrease) in cash

     626,592   

Cash, at December 31, 2008

     1,579,140   
        

Cash, at September 30, 2009

   $ 2,205,732   
        

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-11-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
   December 31, 2008

Assets

     

Cash

   $ 99,010,664    $ 40,341,120

Segregated cash balances for swap agreements

     93,010,000      —  

Segregated cash balances with brokers for futures contracts

     24,506,550      37,425,038

Short-term U.S. government agency obligations (Note 3)

     79,999,294      —  

Receivable from capital shares sold

     16,830,510      8,810,344

Receivable on open futures contracts

     11,909,407      20,527,738

Unrealized appreciation on swap agreements

     6,914,359      —  

Receivable from Sponsor

     —        16,192

Offering costs (Note 5)

     23,346      139,226
             

Total assets

     332,204,130      107,259,658
             

Liabilities and shareholders’ equity

     

Liabilities

     

Accounts payable

     —        97,742

Payable for capital shares redeemed

     —        7,388,973

Payable to Sponsor

     364,190      —  
             

Total liabilities

     364,190      7,486,715
             

Shareholders’ equity

     

Paid-in capital

     252,763,492      89,856,620

Accumulated earnings (deficit)

     79,076,448      9,916,323
             

Total shareholders’ equity

     331,839,940      99,772,943
             

Total liabilities and shareholders’ equity

   $ 332,204,130    $ 107,259,658
             

Shares outstanding

     29,250,014      6,750,014
             

Net asset value per share

   $ 11.34    $ 14.78
             

Market value per share (Note 2)

   $ 11.21    $ 13.69
             

 

 

 

 

 

See accompanying notes to financial statements.

 

-12-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (24% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 5,000,000    $ 5,000,000

0.11% due 10/05/09

     35,000,000      34,999,572

0.06% due 10/06/09

     5,000,000      4,999,958

0.05% due 10/09/09

     10,000,000      9,999,889

0.01% due 10/19/09

     25,000,000      24,999,875
         

Total short-term U.S. government agency obligations

      $ 79,999,294
         

 

 

 

Futures Contracts Purchased

 

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

Crude Oil – NYMEX, expires November 2009

   4,034    $ 284,840,740    $ 4,559,140

Swap Agreements^

 

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

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

   10/06/09    $ 150,708,713    $ 2,130,387

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

   10/06/09      228,134,667      4,783,972
            
         $ 6,914,359
            

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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.

 

-13-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 23,424      $ 93,245   
                

Expenses

    

Management fee

     471,329        1,870,800   

Brokerage commissions

     28,849        215,355   

Offering costs

     39,051        115,880   
                

Total expenses

     539,229        2,202,035   
                

Net investment income (loss)

     (515,805     (2,108,790
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (7,204,860     34,127,108   

Swap agreements

     (869,437     38,346,708   
                

Net realized gain (loss)

     (8,074,297     72,473,816   
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     8,493,570        (8,119,260

Swap agreements

     2,158,920        6,914,359   
                

Change in net unrealized appreciation/depreciation

     10,652,490        (1,204,901
                

Net realized and unrealized gain (loss)

     2,578,193        71,268,915   
                

Net income (loss)

   $ 2,062,388      $ 69,160,125   
                

Net income (loss) per weighted-average share

   $ 0.11      $ 2.40   
                

Weighted-average shares outstanding

     18,583,166        28,850,380   
                

 

 

 

 

See accompanying notes to financial statements.

 

-14-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 99,772,943   

Addition of 104,400,000 shares

     985,639,092   

Redemption of 81,900,000 shares

     (822,732,220
        

Net addition (redemption) of 22,500,000 shares

     162,906,872   
        

Net investment income (loss)

     (2,108,790

Net realized gain (loss)

     72,473,816   

Change in net unrealized appreciation/depreciation

     (1,204,901
        

Net income (loss)

     69,160,125   
        

Shareholders’ equity, at September 30, 2009

   $ 331,839,940   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-15-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ 69,160,125   

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

  

Increase in segregated cash balances for swap agreements

     (93,010,000

Decrease in segregated cash balances with brokers for futures contracts

     12,918,488   

Net purchase of short-term U.S. government agency obligations

     (79,999,294

Decrease in receivable on futures contracts

     8,618,331   

Change in unrealized appreciation/depreciation on swap agreements

     (6,914,359

Decrease in receivable from Sponsor

     16,192   

Increase in payable to Sponsor

     364,190   

Amortization of offering cost

     115,880   

Decrease in accounts payable

     (97,742
        

Net cash provided by (used in) operating activities

     (88,828,189
        

Cash flow from financing activities

  

Proceeds from addition of shares

     977,618,926   

Payment on shares redeemed

     (830,121,193
        

Net cash provided by (used in) financing activities

     147,497,733   
        

Net increase (decrease) in cash

     58,669,544   

Cash, at December 31, 2008

     40,341,120   
        

Cash, at September 30, 2009

   $ 99,010,664   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-16-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
    December 31, 2008  

Assets

    

Cash

   $ 27,211,656      $ 7,925,214   

Segregated cash balances for swap agreements

     28,570,000        —     

Segregated cash balances with brokers for futures contracts

     4,726,350        5,449,275   

Short-term U.S. government agency obligations (Note 3)

     25,082,792        —     

Receivable from capital shares sold

     —          7,269,858   

Unrealized appreciation on swap agreements

     871,693        —     

Receivable from Sponsor

     —          53,143   

Offering costs (Note 5)

     46,685        278,414   
                

Total assets

     86,509,176        20,975,904   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Accounts payable

     —          208,046   

Payable for capital shares redeemed

     —          1,999,561   

Payable on open futures contracts

     2,743,387        4,265,898   

Payable to Sponsor

     196,363        —     
                

Total liabilities

     2,939,750        6,473,505   
                

Shareholders’ equity

    

Paid-in capital

     93,578,035        15,231,359   

Accumulated earnings (deficit)

     (10,008,609     (728,960
                

Total shareholders’ equity

     83,569,426        14,502,399   
                

Total liabilities and shareholders’ equity

   $ 86,509,176      $ 20,975,904   
                

Shares outstanding

     5,050,014        500,014   
                

Net asset value per share

   $ 16.55      $ 29.00   
                

Market value per share (Note 2)

   $ 16.67      $ 31.66   
                

 

 

 

 

 

See accompanying notes to financial statements.

 

-17-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (30% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.03% due 10/02/09

   $ 1,200,000    $ 1,199,999

0.06% due 10/06/09

     5,569,000      5,568,953

0.02% due 10/07/09

     5,100,000      5,099,983

0.05% due 10/09/09

     10,000,000      9,999,889

0.03% due 10/13/09

     3,214,000      3,213,968
         

Total short-term U.S. government agency obligations

      $ 25,082,792
         

 

 

 

Futures Contracts Sold

 

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

Crude Oil – NYMEX, expires November 2009

   778    $ 54,934,580    $ (909,530

Swap Agreements^

 

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

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

   10/06/09    $ (39,192,852   $ 127,845

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

   10/06/09      (73,009,295     743,848
           
        $ 871,693
           

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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.

 

-18-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 11,290      $ 20,679   
                

Expenses

    

Management fee

     186,922        249,506   

Brokerage commissions

     18,359        71,428   

Offering costs

     78,092        231,729   
                

Total expenses

     283,373        552,663   
                

Net investment income (loss)

     (272,083     (531,984
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     8,197,190        (2,040,631

Swap agreements

     5,850,541        (10,219,787
                

Net realized gain (loss)

     14,047,731        (12,260,418
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (2,004,540     2,641,060   

Swap agreements

     2,730,237        871,693   
                

Change in net unrealized appreciation/depreciation

     725,697        3,512,753   
                

Net realized and unrealized gain (loss)

     14,773,428        (8,747,665
                

Net income (loss)

   $ 14,501,345      $ (9,279,649
                

Net income (loss) per weighted-average share

   $ 2.33      $ (2.70
                

Weighted-average shares outstanding

     6,225,014        3,437,010   
                

 

 

 

 

See accompanying notes to financial statements.

 

-19-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 14,502,399   

Addition of 15,550,000 shares

     380,310,343   

Redemption of 11,000,000 shares

     (301,963,667
        

Net addition (redemption) of 4,550,000 shares

     78,346,676   
        

Net investment income (loss)

     (531,984

Net realized gain (loss)

     (12,260,418

Change in net unrealized appreciation/depreciation

     3,512,753   
        

Net income (loss)

     (9,279,649
        

Shareholders’ equity, at September 30, 2009

   $ 83,569,426   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-20-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ (9,279,649

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

  

Increase in segregated cash balances for swap agreements

     (28,570,000

Decrease in segregated cash balances with brokers for futures contracts

     722,925   

Net purchase of short-term U.S. government agency obligations

     (25,082,792

Change in unrealized appreciation/depreciation on swap agreements

     (871,693

Decrease in receivable from Sponsor

     53,143   

Decrease in payable on futures contracts

     (1,522,511

Increase in payable to Sponsor

     196,363   

Amortization of offering cost

     231,729   

Decrease in accounts payable

     (208,046
        

Net cash provided by (used in) operating activities

     (64,330,531
        

Cash flow from financing activities

  

Proceeds from addition of shares

     387,580,201   

Payment on shares redeemed

     (303,963,228
        

Net cash provided by (used in) financing activities

     83,616,973   
        

Net increase (decrease) in cash

     19,286,442   

Cash, at December 31, 2008

     7,925,214   
        

Cash, at September 30, 2009

   $ 27,211,656   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-21-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
   December 31, 2008

Assets

     

Cash

   $ 49,564,523    $ 23,435,796

Segregated cash balances for forward agreements

     28,140,000      —  

Segregated cash balances with brokers for futures contracts

     220,969      102,966

Short-term U.S. government agency obligations (Note 3)

     58,584,646      —  

Receivable from capital shares sold

     —        4,661,921

Receivable on open futures contracts

     80,747      2,885

Unrealized appreciation on forward agreements

     1,043,873      —  

Receivable from Sponsor

     —        43,098

Offering costs (Note 5)

     52,627      284,355
             

Total assets

     137,687,385      28,531,021
             

Liabilities and shareholders’ equity

     

Liabilities

     

Accounts payable

     —        208,045

Unrealized depreciation on forward agreements

     —        586,254

Payable to Sponsor

     277,407      —  
             

Total liabilities

     277,407      794,299
             

Shareholders’ equity

     

Paid-in capital

     121,943,244      26,025,918

Accumulated earnings (deficit)

     15,466,734      1,710,804
             

Total shareholders’ equity

     137,409,978      27,736,722
             

Total liabilities and shareholders’ equity

   $ 137,687,385    $ 28,531,021
             

Shares outstanding

     3,650,014      900,014
             

Net asset value per share

   $ 37.65    $ 30.82
             

Market value per share (Note 2)

   $ 38.53    $ 31.60
             

 

 

 

 

 

See accompanying notes to financial statements.

 

-22-


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (43% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 3,000,000    $ 3,000,000

0.03% due 10/02/09

     9,064,000      9,063,992

0.11% due 10/05/09

     4,000,000      3,999,951

0.06% due 10/06/09

     8,680,000      8,679,928

0.02% due 10/07/09

     14,141,000      14,140,953

0.05% due 10/09/09

     10,100,000      10,099,888

0.03% due 10/13/09

     3,600,000      3,599,964

0.01% due 10/19/09

     6,000,000      5,999,970
         

Total short-term U.S. government agency obligations

      $ 58,584,646
         

 

 

 

Futures Contracts Purchased

 

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

Gold Futures – COMEX, expires December 2009

   68    $ 6,778,240    $ 469,880

Forward Agreements^

 

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

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

   10/05/09    $ 49,120    $ 48,913,205    $ 190,947

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

   10/05/09      220,100      219,173,379      852,926
               
            $ 1,043,873
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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 ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 17,978      $ 43,484   
                

Expenses

    

Management fee

     264,269        650,356   

Brokerage commissions

     823        3,344   

Offering costs

     78,090        231,728   
                

Total expenses

     343,182        885,428   
                

Net investment income (loss)

     (325,204     (841,944
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     164,607        518,473   

Forward agreements

     13,352,510        12,019,164   
                

Net realized gain (loss)

     13,517,117        12,537,637   
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     392,480        430,110   

Forward agreements

     1,386,595        1,630,127   
                

Change in net unrealized appreciation/depreciation

     1,779,075        2,060,237   
                

Net realized and unrealized gain (loss)

     15,296,192        14,597,874   
                

Net income (loss)

   $ 14,970,988      $ 13,755,930   
                

Net income (loss) per weighted-average share

   $ 3.68      $ 3.78   
                

Weighted-average shares outstanding

     4,067,405        3,636,461   
                

 

 

 

 

See accompanying notes to financial statements.

 

-24-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 27,736,722   

Addition of 4,350,000 shares

     150,197,019   

Redemption of 1,600,000 shares

     (54,279,693
        

Net addition (redemption) of 2,750,000 shares

     95,917,326   
        

Net investment income (loss)

     (841,944

Net realized gain (loss)

     12,537,637   

Change in net unrealized appreciation/depreciation

     2,060,237   
        

Net income (loss)

     13,755,930   
        

Shareholders’ equity, at September 30, 2009

   $ 137,409,978   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-25-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ 13,755,930   

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

  

Increase in segregated cash balances for forward agreements

     (28,140,000

Increase in segregated cash balances with brokers for futures contracts

     (118,003

Net purchase of short-term U.S. government agency obligations

     (58,584,646

Increase in receivable on futures contracts

     (77,862

Change in unrealized appreciation/depreciation on forward agreements

     (1,630,127

Decrease in receivable from Sponsor

     43,098   

Increase in payable to Sponsor

     277,407   

Amortization of offering cost

     231,728   

Decrease in accounts payable

     (208,045
        

Net cash provided by (used in) operating activities

     (74,450,520
        

Cash flow from financing activities

  

Proceeds from addition of shares

     154,858,940   

Payment on shares redeemed

     (54,279,693
        

Net cash provided by (used in) financing activities

     100,579,247   
        

Net increase (decrease) in cash

     26,128,727   

Cash, at December 31, 2008

     23,435,796   
        

Cash, at September 30, 2009

   $ 49,564,523   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-26-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
    December 31, 2008  

Assets

    

Cash

   $ 22,562,262      $ 3,104,221   

Segregated cash balances for forward agreements

     7,550,000        540,000   

Segregated cash balances with brokers for futures contracts

     201,233        27,749   

Short-term U.S. government agency obligations (Note 3)

     8,894,946        —     

Unrealized appreciation on forward agreements

     —          86,657   

Receivable from Sponsor

     —          51,088   

Offering costs (Note 5)

     52,627        284,355   
                

Total assets

     39,261,068        4,094,070   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Accounts payable

     —          208,046   

Payable on open futures contracts

     77,521        10,931   

Unrealized depreciation on forward agreements

     308,164        —     

Payable to Sponsor

     9,123        —     
                

Total liabilities

     394,808        218,977   
                

Shareholders’ equity

    

Paid-in capital

     53,680,449        4,537,070   

Accumulated earnings (deficit)

     (14,814,189     (661,977
                

Total shareholders’ equity

     38,866,260        3,875,093   
                

Total liabilities and shareholders’ equity

   $ 39,261,068      $ 4,094,070   
                

Shares outstanding

     3,000,014        200,014   
                

Net asset value per share

   $ 12.96      $ 19.37   
                

Market value per share (Note 2)

   $ 12.66      $ 19.10   
                

 

 

 

 

See accompanying notes to financial statements.

 

-27-


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (23% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 1,000,000    $ 1,000,000

0.03% due 10/02/09

     2,000,000      1,999,999

0.11% due 10/05/09

     1,700,000      1,699,979

0.03% due 10/13/09

     2,195,000      2,194,978

0.01% due 10/19/09

     2,000,000      1,999,990
         

Total short-term U.S. government agency obligations

      $ 8,894,946
         

 

 

 

Futures Contracts Sold

 

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

Gold Futures – COMEX, expires December 2009

   35    $ 3,488,800    $ (21,840

Forward Agreements^

 

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

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

   10/05/09    $ (14,998   $ (14,934,858   $ (60,575

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

   10/05/09      (59,600     (59,349,084     (247,589
               
          $ (308,164
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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.

 

-28-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 4,411      $ 13,450   
                

Expenses

    

Management fee

     23,184        60,210   

Brokerage commissions

     632        2,897   

Offering costs

     78,091        231,728   
                

Total expenses

     101,907        294,835   
                

Net investment income (loss)

     (97,496     (281,385
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (153,607     (375,691

Forward agreements

     (5,310,023     (13,101,165
                

Net realized gain (loss)

     (5,463,630     (13,476,856
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (7,900     850   

Forward agreements

     (409,537     (394,821
                

Change in net unrealized appreciation/depreciation

     (417,437     (393,971
                

Net realized and unrealized gain (loss)

     (5,881,067     (13,870,827
                

Net income (loss)

   $ (5,978,563   $ (14,152,212
                

Net income (loss) per weighted-average share

   $ (2.01   $ (5.31
                

Weighted-average shares outstanding

     2,969,579        2,663,750   
                

 

 

 

 

 

See accompanying notes to financial statements.

 

-29-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 3,875,093   

Addition of 5,700,000 shares

     94,412,574   

Redemption of 2,900,000 shares

     (45,269,195
        

Net addition (redemption) of 2,800,000 shares

     49,143,379   
        

Net investment income (loss)

     (281,385

Net realized gain (loss)

     (13,476,856

Change in net unrealized appreciation/depreciation

     (393,971
        

Net income (loss)

     (14,152,212
        

Shareholders’ equity, at September 30, 2009

   $ 38,866,260   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-30-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ (14,152,212

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

  

Increase in segregated cash balances for forward agreements

     (7,010,000

Increase in segregated cash balances with brokers for futures contracts

     (173,484

Net purchase of short-term U.S. government agency obligations

     (8,894,946

Change in unrealized appreciation/depreciation on forward agreements

     394,821   

Decrease in receivable from Sponsor

     51,088   

Increase in payable on futures contracts

     66,590   

Increase in payable to Sponsor

     9,123   

Amortization of offering cost

     231,728   

Decrease in accounts payable

     (208,046
        

Net cash provided by (used in) operating activities

     (29,685,338
        

Cash flow from financing activities

  

Proceeds from addition of shares

     94,412,574   

Payment on shares redeemed

     (45,269,195
        

Net cash provided by (used in) financing activities

     49,143,379   
        

Net increase (decrease) in cash

     19,458,041   

Cash, at December 31, 2008

     3,104,221   
        

Cash, at September 30, 2009

   $ 22,562,262   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
   December 31, 2008

Assets

     

Cash

   $ 28,959,859    $ 8,641,327

Segregated cash balances for forward agreements

     33,900,000      —  

Segregated cash balances with brokers for futures contracts

     484,381      73,705

Short-term U.S. government agency obligations (Note 3)

     25,957,854      —  

Receivable from capital shares sold

     —        1,469,530

Receivable on open futures contracts

     186,443      24,488

Unrealized appreciation on forward agreements

     5,790,951      —  

Receivable from Sponsor

     —        30,776

Offering costs (Note 5)

     13,163      71,126
             

Total assets

     95,292,651      10,310,952
             

Liabilities and shareholders’ equity

     

Liabilities

     

Accounts payable

     —        42,976

Unrealized depreciation on forward agreements

     —        256,827

Payable to Sponsor

     173,433      —  
             

Total liabilities

     173,433      299,803
             

Shareholders’ equity

     

Paid-in capital

     58,430,230      9,881,413

Accumulated earnings (deficit)

     36,688,988      129,736
             

Total shareholders’ equity

     95,119,218      10,011,149
             

Total liabilities and shareholders’ equity

   $ 95,292,651    $ 10,310,952
             

Shares outstanding

     1,700,014      350,014
             

Net asset value per share

   $ 55.95    $ 28.60
             

Market value per share (Note 2)

   $ 57.25    $ 31.50
             

 

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (27% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.03% due 10/02/09

   $ 9,160,000    $ 9,159,992

0.11% due 10/05/09

     5,109,000      5,108,938

0.06% due 10/06/09

     5,100,000      5,099,957

0.01% due 10/19/09

     6,589,000      6,588,967
         

Total short-term U.S. government agency obligations

      $ 25,957,854
         

 

 

 

Futures Contracts Purchased

 

     Number
of

Contracts
   Notional
Amount at
Value
   Unrealized
Appreciation
(Depreciation)

Silver Futures – COMEX, expires December 2009

   108    $ 8,896,500    $ 608,835

Forward Agreements^

 

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

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

   10/05/09    $ 2,055,800    $ 33,820,583    $ 1,105,221

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

   10/05/09      8,965,000      147,485,905      4,685,730
               
            $ 5,790,951
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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.

 

-33-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 9,926      $ 20,640   
                

Expenses

    

Management fee

     205,584        405,532   

Brokerage commissions

     1,330        3,564   

Offering costs

     19,533        57,963   
                

Total expenses

     226,447        467,059   
                

Net investment income (loss)

     (216,521     (446,419
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     538,547        1,113,941   

Forward agreements

     21,549,376        29,227,072   
                

Net realized gain (loss)

     22,087,923        30,341,013   
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     1,005,165        616,880   

Forward agreements

     7,281,486        6,047,778   
                

Change in net unrealized appreciation/depreciation

     8,286,651        6,664,658   
                

Net realized and unrealized gain (loss)

     30,374,574        37,005,671   
                

Net income (loss)

   $ 30,158,053      $ 36,559,252   
                

Net income (loss) per weighted-average share

   $ 14.65      $ 24.39   
                

Weighted-average shares outstanding

     2,059,253        1,498,732   
                

 

 

 

 

See accompanying notes to financial statements.

 

-34-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 10,011,149   

Addition of 2,550,000 shares

     104,403,728   

Redemption of 1,200,000 shares

     (55,854,911
        

Net addition (redemption) of 1,350,000 shares

     48,548,817   
        

Net investment income (loss)

     (446,419

Net realized gain (loss)

     30,341,013   

Change in net unrealized appreciation/depreciation

     6,664,658   
        

Net income (loss)

     36,559,252   
        

Shareholders’ equity, at September 30, 2009

   $ 95,119,218   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-35-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ 36,559,252   

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

  

Increase in segregated cash balances for forward agreements

     (33,900,000

Increase in segregated cash balances with brokers for futures contracts

     (410,676

Net purchase of short-term U.S. government agency obligations

     (25,957,854

Increase in receivable on futures contracts

     (161,955

Change in unrealized appreciation/depreciation on forward agreements

     (6,047,778

Decrease in receivable from Sponsor

     30,776   

Increase in payable to Sponsor

     173,433   

Amortization of offering cost

     57,963   

Decrease in accounts payable

     (42,976
        

Net cash provided by (used in) operating activities

     (29,699,815
        

Cash flow from financing activities

  

Proceeds from addition of shares

     105,873,258   

Payment on shares redeemed

     (55,854,911
        

Net cash provided by (used in) financing activities

     50,018,347   
        

Net increase (decrease) in cash

     20,318,532   

Cash, at December 31, 2008

     8,641,327   
        

Cash, at September 30, 2009

   $ 28,959,859   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-36-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
    December 31, 2008  

Assets

    

Cash

   $ 28,304,449      $ 992,121   

Segregated cash balances for forward agreements

     15,320,000        820,000   

Segregated cash balances with brokers for futures contracts

     141,105        22,280   

Short-term U.S. government agency obligations (Note 3)

     14,202,886        —     

Receivable from capital shares sold

     2,762,851        —     

Unrealized appreciation on forward agreements

     —          47,484   

Receivable from Sponsor

     —          38,902   

Offering costs (Note 5)

     26,317        142,197   
                

Total assets

     60,757,608        2,062,984   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Accounts payable

     —          97,742   

Payable on open futures contracts

     —          5,171   

Unrealized depreciation on forward agreements

     3,758,426        —     

Payable to Sponsor

     97,861        —     
                

Total liabilities

     3,856,287        102,913   
                

Shareholders’ equity

    

Paid-in capital

     86,471,055        2,500,900   

Accumulated earnings (deficit)

     (29,569,734     (540,829
                

Total shareholders’ equity

     56,901,321        1,960,071   
                

Total liabilities and shareholders’ equity

   $ 60,757,608      $ 2,062,984   
                

Shares outstanding

     10,300,014        100,014   
                

Net asset value per share

   $ 5.52      $ 19.60   
                

Market value per share (Note 2)

   $ 5.40      $ 17.51   
                

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-37-


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (25% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 2,000,000    $ 2,000,000

0.03% due 10/02/09

     1,188,000      1,187,999

0.11% due 10/05/09

     5,834,000      5,833,929

0.05% due 10/09/09

     1,000,000      999,989

0.03% due 10/13/09

     2,000,000      1,999,980

0.01% due 10/19/09

     2,181,000      2,180,989
         

Total short-term U.S. government agency obligations

      $ 14,202,886
         

 

 

 

Futures Contracts Sold

 

     Number
of

Contracts
   Notional
Amount at
Value
   Unrealized
Appreciation
(Depreciation)
 

Silver Futures – COMEX, expires December 2009

   25    $ 2,059,375    $ (95,805

Forward Agreements^

 

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

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

   10/05/09    $ (1,572,500   $ (25,869,669   $ (851,301

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

   10/05/09      (5,218,000     (85,842,883     (2,907,125
               
          $ (3,758,426
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

* 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.

 

-38-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 6,330      $ 11,491   
                

Expenses

    

Management fee

     98,681        136,762   

Brokerage commissions

     1,470        3,489   

Offering costs

     39,051        115,880   
                

Total expenses

     139,202        256,131   
                

Net investment income (loss)

     (132,872     (244,640
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (112,815     (299,386

Forward agreements

     (19,461,202     (24,583,814
                

Net realized gain (loss)

     (19,574,017     (24,883,200
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (309,250     (95,155

Forward agreements

     (4,999,690     (3,805,910
                

Change in net unrealized appreciation/depreciation

     (5,308,940     (3,901,065
                

Net realized and unrealized gain (loss)

     (24,882,957     (28,784,265
                

Net income (loss)

   $ (25,015,829   $ (29,028,905
                

Net income (loss) per weighted-average share

   $ (3.30   $ (6.98
                

Weighted-average shares outstanding

     7,580,992        4,156,241   
                

 

 

 

 

See accompanying notes to financial statements.

 

-39-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 1,960,071   

Addition of 18,250,000 shares

     154,138,177   

Redemption of 8,050,000 shares

     (70,168,022
        

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

     83,970,155   
        

Net investment income (loss)

     (244,640

Net realized gain (loss)

     (24,883,200

Change in net unrealized appreciation/depreciation

     (3,901,065
        

Net income (loss)

     (29,028,905
        

Shareholders’ equity, at September 30, 2009

   $ 56,901,321   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-40-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ (29,028,905

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

  

Increase in segregated cash balances for forward agreements

     (14,500,000

Increase in segregated cash balances with brokers for futures contracts

     (118,825

Net purchase of short-term U.S. government agency obligations

     (14,202,886

Change in unrealized appreciation/depreciation on forward agreements

     3,805,910   

Decrease in receivable from Sponsor

     38,902   

Decrease in payable on futures contracts

     (5,171

Increase in payable to Sponsor

     97,861   

Amortization of offering cost

     115,880   

Decrease in accounts payable

     (97,742
        

Net cash provided by (used in) operating activities

     (53,894,976
        

Cash flow from financing activities

  

Proceeds from addition of shares

     151,375,326   

Payment on shares redeemed

     (70,168,022
        

Net cash provided by (used in) financing activities

     81,207,304   
        

Net increase (decrease) in cash

     27,312,328   

Cash, at December 31, 2008

     992,121   
        

Cash, at September 30, 2009

   $ 28,304,449   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-41-


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
   December 31,
2008

Assets

     

Cash

   $ 6,465,883    $ 4,467,380

Segregated cash balances for foreign currency forward contracts

     830,000      —  

Short-term U.S. government agency obligations (Note 3)

     701,994      —  

Unrealized appreciation on foreign currency forward contracts

     34,255      —  

Receivable from Sponsor

     46,416      32,913

Offering costs (Note 5)

     11,677      69,640
             

Total assets

     8,090,225      4,569,933
             

Liabilities and shareholders’ equity

     

Liabilities

     

Accounts payable

     —        42,977

Unrealized depreciation on foreign currency forward contracts

     193,322      140,545
             

Total liabilities

     193,322      183,522
             

Shareholders’ equity

     

Paid-in capital

     6,602,808      3,958,670

Accumulated earnings (deficit)

     1,294,095      427,741
             

Total shareholders’ equity

     7,896,903      4,386,411
             

Total liabilities and shareholders’ equity

   $ 8,090,225    $ 4,569,933
             

Shares outstanding

     250,014      150,014
             

Net asset value per share

   $ 31.59    $ 29.24
             

Market value per share (Note 2)

   $ 31.53    $ 29.49
             

 

 

 

 

 

See accompanying notes to financial statements.

 

-42-


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (9% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 200,000    $ 200,000

0.11% due 10/05/09

     502,000      501,994
         

Total short-term U.S. government agency obligations

      $ 701,994
         

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

   10/02/09    4,825,525      $ 7,060,229      $ (69,465

Euro with UBS AG

   10/02/09    6,096,400        8,919,647        (90,162

Euro with Goldman Sachs International

   10/09/09    4,785,025        7,000,973        19,263   

Euro with UBS AG

   10/09/09    6,011,300        8,795,137        14,992   
               
          $ (125,372
               

Contracts to Sell

         

Euro with Goldman Sachs International

   10/02/09    (4,825,525   $ (7,060,229   $ (19,257

Euro with UBS AG

   10/02/09    (6,096,400     (8,919,647     (14,438
               
          $ (33,695
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

 

 

 

See accompanying notes to financial statements.

 

-43-


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 904      $ 2,413   
                

Expenses

    

Offering costs

     19,533        57,963   

Limitation by Sponsor

     (1,452     (13,505
                

Total expenses

     18,081        44,458   
                

Net investment income (loss)

     (17,177     (42,045
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     765,701        926,921   
                

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     (143,081     (18,522
                

Net realized and unrealized gain (loss)

     622,620        908,399   
                

Net income (loss)

   $ 605,443      $ 866,354   
                

Net income (loss) per weighted-average share

   $ 2.42      $ 3.88   
                

Weighted-average shares outstanding

     250,014        223,274   
                

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-44-


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 4,386,411   

Addition of 150,000 shares

     3,982,252   

Redemption of 50,000 shares

     (1,338,114
        

Net addition (redemption) of 100,000 shares

     2,644,138   
        

Net investment income (loss)

     (42,045

Net realized gain (loss)

     926,921   

Change in net unrealized appreciation/depreciation

     (18,522
        

Net income (loss)

     866,354   
        

Shareholders’ equity, at September 30, 2009

   $ 7,896,903   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-45-


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ 866,354   

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

  

Increase in segregated cash balances for foreign currency forward contracts

     (830,000

Net purchase of short-term U.S. government agency obligations

     (701,994

Change in unrealized appreciation/depreciation on foreign currency forward contracts

     18,522   

Increase in receivable from Sponsor

     (13,503

Amortization of offering cost

     57,963   

Decrease in accounts payable

     (42,977
        

Net cash provided by (used in) operating activities

     (645,635
        

Cash flow from financing activities

  

Proceeds from addition of shares

     3,982,252   

Payment on shares redeemed

     (1,338,114
        

Net cash provided by (used in) financing activities

     2,644,138   
        

Net increase (decrease) in cash

     1,998,503   

Cash, at December 31, 2008

     4,467,380   
        

Cash, at September 30, 2009

   $ 6,465,883   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-46-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
    December 31, 2008  

Assets

    

Cash

   $ 17,818,368      $ 7,121,112   

Segregated cash balances for foreign currency forward contracts

     4,870,000        —     

Short-term U.S. government agency obligations (Note 3)

     15,429,918        —     

Unrealized appreciation on foreign currency forward contracts

     925,523        151,153   

Receivable from Sponsor

     —          32,234   

Offering costs (Note 5)

     11,678        69,641   
                

Total assets

     39,055,487        7,374,140   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Accounts payable

     —          42,977   

Unrealized depreciation on foreign currency forward contracts

     174,147        —     

Payable to Sponsor

     73,914        —     
                

Total liabilities

     248,061        42,977   
                

Shareholders’ equity

    

Paid-in capital

     50,315,167        7,676,890   

Accumulated earnings (deficit)

     (11,507,741     (345,727
                

Total shareholders’ equity

     38,807,426        7,331,163   
                

Total liabilities and shareholders’ equity

   $ 39,055,487      $ 7,374,140   
                

Shares outstanding

     2,150,014        350,014   
                

Net asset value per share

   $ 18.05      $ 20.95   
                

Market value per share (Note 2)

   $ 18.06      $ 21.26   
                

 

 

 

 

 

See accompanying notes to financial statements.

 

-47-


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (40% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 2,000,000    $ 2,000,000

0.03% due 10/02/09

     1,000,000      999,999

0.11% due 10/05/09

     2,283,000      2,282,972

0.02% due 10/07/09

     4,447,000      4,446,985

0.03% due 10/13/09

     2,000,000      1,999,980

0.01% due 10/19/09

     3,700,000      3,699,982
         

Total short-term U.S. government agency obligations

      $ 15,429,918
         

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

   10/02/09    25,698,425      $ 37,599,381      $ 102,809   

Euro with UBS AG

   10/02/09    28,147,700        41,182,917        69,397   

Euro with UBS AG

   10/09/09    673,100        984,813        (264
               
          $ 171,942   
               

Contracts to Sell

         

Euro with Goldman Sachs International

   10/02/09    (25,698,425   $ (37,599,381   $ 357,761   

Euro with UBS AG

   10/02/09    (28,147,700     (41,182,917     395,556   

Euro with Goldman Sachs International

   10/09/09    (25,698,425     (37,599,381     (103,452

Euro with UBS AG

   10/09/09    (27,997,700     (40,963,452     (70,431
               
          $ 579,434   
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

 

 

 

See accompanying notes to financial statements.

 

-48-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 6,324      $ 19,433   
                

Expenses

    

Management fee

     74,418        193,697   

Offering costs

     19,533        57,963   
                

Total expenses

     93,951        251,660   
                

Net investment income (loss)

     (87,627     (232,227
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     (4,327,686     (11,530,010
                

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     689,838        600,223   
                

Net realized and unrealized gain (loss)

     (3,637,848     (10,929,787
                

Net income (loss)

   $ (3,725,475   $ (11,162,014
                

Net income (loss) per weighted-average share

   $ (1.80   $ (6.59
                

Weighted-average shares outstanding

     2,065,775        1,694,886   
                

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-49-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 7,331,163   

Addition of 2,800,000 shares

     63,777,785   

Redemption of 1,000,000 shares

     (21,139,508
        

Net addition (redemption) of 1,800,000 shares

     42,638,277   
        

Net investment income (loss)

     (232,227

Net realized gain (loss)

     (11,530,010

Change in net unrealized appreciation/depreciation

     600,223   
        

Net income (loss)

     (11,162,014
        

Shareholders’ equity, at September 30, 2009

   $ 38,807,426   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-50-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ (11,162,014

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

  

Increase in segregated cash balances for foreign currency forward contracts

     (4,870,000

Net purchase of short-term U.S. government agency obligations

     (15,429,918

Change in unrealized appreciation/depreciation on foreign currency forward contracts

     (600,223

Decrease in receivable from Sponsor

     32,234   

Increase in payable to Sponsor

     73,914   

Amortization of offering cost

     57,963   

Decrease in accounts payable

     (42,977
        

Net cash provided by (used in) operating activities

     (31,941,021
        

Cash flow from financing activities

  

Proceeds from addition of shares

     63,777,785   

Payment on shares redeemed

     (21,139,508
        

Net cash provided by (used in) financing activities

     42,638,277   
        

Net increase (decrease) in cash

     10,697,256   

Cash, at December 31, 2008

     7,121,112   
        

Cash, at September 30, 2009

   $ 17,818,368   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-51-


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
   December 31, 2008

Assets

     

Cash

   $ 2,081,602    $ 2,986,826

Segregated cash balances for foreign currency forward contracts

     590,000      —  

Short-term U.S. government agency obligations (Note 3)

     1,348,991      —  

Unrealized appreciation on foreign currency forward contracts

     159,811      —  

Receivable from Sponsor

     62,787      33,137

Offering costs (Note 5)

     11,677      69,639
             

Total assets

     4,254,868      3,089,602
             

Liabilities and shareholders’ equity

     

Liabilities

     

Accounts payable

     —        42,975

Unrealized depreciation on foreign currency forward contracts

     11,708      201,574
             

Total liabilities

     11,708      244,549
             

Shareholders’ equity

     

Paid-in capital

     3,969,617      2,500,350

Accumulated earnings (deficit)

     273,543      344,703
             

Total shareholders’ equity

     4,243,160      2,845,053
             

Total liabilities and shareholders’ equity

   $ 4,254,868    $ 3,089,602
             

Shares outstanding

     150,014      100,014
             

Net asset value per share

   $ 28.29    $ 28.45
             

Market value per share (Note 2)

   $ 28.23    $ 28.66
             

 

 

 

 

 

See accompanying notes to financial statements.

 

-52-


Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (32% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.04% due 10/01/09

   $ 100,000    $ 100,000

0.02% due 10/07/09

     467,000      466,999

0.03% due 10/13/09

     782,000      781,992
         

Total short-term U.S. government agency obligations

      $ 1,348,991
         

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

   10/02/09    435,500,000      $ 4,850,730      $ 85,764   

Yen with UBS AG

   10/02/09    327,690,000        3,649,909        62,877   

Yen with Goldman Sachs International

   10/09/09    435,500,000        4,850,730        (5,534

Yen with UBS AG

   10/09/09    326,620,000        3,637,991        (6,174
               
          $ 136,933   
               

Contracts to Sell

         

Yen with Goldman Sachs International

   10/02/09    (435,500,000   $ (4,850,730   $ 5,426   

Yen with UBS AG

   10/02/09    (327,690,000     (3,649,909     5,744   
               
          $ 11,170   
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

 

 

 

 

See accompanying notes to financial statements.

 

-53-


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 509      $ 1,456   
                

Expenses

    

Offering costs

     19,533        57,962   

Limitation by Sponsor

     (8,704     (29,650
                

Total expenses

     10,829        28,312   
                

Net investment income (loss)

     (10,320     (26,856
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     314,239        (393,981
                

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     248,893        349,677   
                

Net realized and unrealized gain (loss)

     563,132        (44,304
                

Net income (loss)

   $ 552,812      $ (71,160
                

Net income (loss) per weighted-average share

   $ 3.18      $ (0.46
                

Weighted-average shares outstanding

     173,927        155,509   
                

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-54-


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Shareholders’ equity, at December 31, 2008

   $ 2,845,053   

Addition of 100,000 shares

     2,725,367   

Redemption of 50,000 shares

     (1,256,100
        

Net addition (redemption) of 50,000 shares

     1,469,267   
        

Net investment income (loss)

     (26,856

Net realized gain (loss)

     (393,981

Change in net unrealized appreciation/depreciation

     349,677   
        

Net income (loss)

     (71,160
        

Shareholders’ equity, at September 30, 2009

   $ 4,243,160   
        

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-55-


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)

 

Cash flow from operating activities

  

Net income (loss)

   $ (71,160

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

  

Increase in segregated cash balances for foreign currency forward contracts

     (590,000

Net purchase of short-term U.S. government agency obligations

     (1,348,991

Change in unrealized appreciation/depreciation on foreign currency forward contracts

     (349,677

Increase in receivable from Sponsor

     (29,650

Amortization of offering cost

     57,962   

Decrease in accounts payable

     (42,975
        

Net cash provided by (used in) operating activities

     (2,374,491
        

Cash flow from financing activities

  

Proceeds from addition of shares

     2,725,367   

Payment on shares redeemed

     (1,256,100
        

Net cash provided by (used in) financing activities

     1,469,267   
        

Net increase (decrease) in cash

     (905,224

Cash, at December 31, 2008

     2,986,826   
        

Cash, at September 30, 2009

   $ 2,081,602   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-56-


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2009
(unaudited)
    December 31, 2008  

Assets

    

Cash

   $ 13,117,616      $ 1,970,377   

Segregated cash balances for foreign currency forward contracts

     3,480,000        —     

Short-term U.S. government agency obligations (Note 3)

     6,475,961        —     

Receivable from capital shares sold

     1,019,511        —     

Unrealized appreciation on foreign currency forward contracts

     67,829        135,917   

Receivable from Sponsor

     —          33,660   

Offering costs (Note 5)

     11,677        69,641   
                

Total assets

     24,172,594        2,209,595   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Accounts payable

     —          42,978   

Unrealized depreciation on foreign currency forward contracts

     912,531        —     

Payable to Sponsor

     55,725        —     
                

Total liabilities

     968,256        42,978   
                

Shareholders’ equity

    

Paid-in capital

     28,947,602        2,500,350   

Accumulated earnings (deficit)

     (5,743,264     (333,733
                

Total shareholders’ equity

     23,204,338        2,166,617   
                

Total liabilities and shareholders’ equity

   $ 24,172,594      $ 2,209,595   
                

Shares outstanding

     1,150,014        100,014   
                

Net asset value per share

   $ 20.18      $ 21.66   
                

Market value per share (Note 2)

   $ 20.25      $ 21.85   
                

 

 

 

 

 

See accompanying notes to financial statements.

 

-57-


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government agency obligations (28% of shareholders’ equity)

     

Federal Home Loan Bank, Discount Notes:

     

0.03% due 10/02/09

   $ 500,000    $ 500,000

0.11% due 10/05/09

     1,226,000      1,225,985

0.02% due 10/07/09

     3,750,000      3,749,987

0.05% due 10/09/09

     1,000,000      999,989
         

Total short-term U.S. government agency obligations

      $ 6,475,961
         

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

   10/02/09    2,040,330,000      $ 22,725,808      $ (25,686

Yen with UBS AG

   10/02/09    2,419,730,000        26,951,679        (40,287

Yen with UBS AG

   10/09/09    66,150,000        736,798        (446
               
          $ (66,419
               

Contracts to Sell

         

Yen with Goldman Sachs International

   10/02/09    (2,040,330,000   $ (22,725,808   $ (403,968

Yen with UBS AG

   10/02/09    (2,419,730,000     (26,951,679     (442,144

Yen with Goldman Sachs International

   10/09/09    (2,010,510,000     (22,393,663     25,548   

Yen with UBS AG

   10/09/09    (2,219,230,000     (24,718,449     42,281   
               
          $ (778,283
               

 

^ The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

 

 

 

See accompanying notes to financial statements.

 

-58-


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)

 

     Three months
ended
September 30, 2009
    Nine months
ended
September 30, 2009
 

Investment Income

    

Interest

   $ 5,266      $ 21,843   
                

Expenses

    

Management fee

     53,580        206,283   

Offering costs

     19,534        57,964   
                

Total expenses

     73,114        264,247   
                

Net investment income (loss)

     (67,848     (242,404
                

Realized and unrealized gain (loss) on investment activity