Attached files

file filename
EX-32.2 - EXHIBIT 32.2 - ProShares Trust IIdex322.htm
EX-31.2 - EXHIBIT 31.2 - ProShares Trust IIdex312.htm
EX-31.1 - EXHIBIT 31.1 - ProShares Trust IIdex311.htm
EX-32.1 - EXHIBIT 32.1 - ProShares Trust IIdex321.htm
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 March 31, 2010.

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   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.

   80

Item 3.

 

Quantitative and Qualitative Disclosures About Market Risk.

   90

Item 4.

 

Controls and Procedures.

   106

Part II. OTHER INFORMATION

  

Item 1.

 

Legal Proceedings.

   107

Item 1A.

 

Risk Factors.

   107

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds.

   107

Item 3.

 

Defaults Upon Senior Securities.

   108

Item 4.

 

Reserved.

   109

Item 5.

 

Other Information.

   109

Item 6.

 

Exhibits.

   109


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

 

     March 31, 2010
(unaudited)
   December 31, 2009

Assets

     

Cash

   $ 2,771,807    $ 78,112

Short-term U.S. government and agency obligations (Note 3)
(cost $10,231,547 and $18,504,220, respectively)

     10,232,735      18,503,052

Unrealized appreciation on swap agreements

     —        1,177,968
             

Total assets

     13,004,542      19,759,132
             

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     10,037      15,200

Unrealized depreciation on swap agreements

     478,846      —  
             

Total liabilities

     488,883      15,200
             

Shareholders’ equity

     

Paid-in capital

     9,651,811      14,857,362

Accumulated earnings (deficit)

     2,863,848      4,886,570
             

Total shareholders’ equity

     12,515,659      19,743,932
             

Total liabilities and shareholders’ equity

   $ 13,004,542    $ 19,759,132
             

Shares outstanding

     500,014      700,014
             

Net asset value per share

   $ 25.03    $ 28.21
             

Market value per share (Note 2)

   $ 25.04    $ 28.43
             

 

 

 

 

 

See accompanying notes to financial statements.

 

-2-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (82% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.080% due 04/08/10†

   $ 1,000,000    $ 999,984

0.120% due 05/20/10

     1,000,000      999,800

0.260% due 08/26/10†

     5,740,000      5,735,351

0.195% due 09/09/10†

     2,500,000      2,497,600
         

Total short-term U.S. government and agency obligations
(cost $10,231,547)

      $ 10,232,735
         

 

 

 

Swap Agreements^

 

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

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

   04/06/10    $ 6,167,454    $ (111,661

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

   04/06/10      18,876,326      (367,185
              
         $ (478,846
              

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amount segregated as collateral for swap agreements.

 

 

 

See accompanying notes to financial statements.

 

-3-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three  months
ended
March 31, 2009
 

Investment Income

    

Interest

   $ 4,769      $ 483   
                

Expenses

    

Management fee

     32,051        —     

Offering costs

     —          19,108   

Limitation by Sponsor

     —          (3,946
                

Total expenses

     32,051        15,162   
                

Net investment income (loss)

     (27,282     (14,679
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Swap agreements

     (341,859     37,775   

Short-term U.S. government and agency obligations

     877        —     
                

Net realized gain (loss)

     (340,982     37,775   
                

Change in net unrealized appreciation/depreciation on

    

Swap agreements

     (1,656,814     (984,387

Short-term U.S. government and agency obligations

     2,356        —     
                

Change in net unrealized appreciation/depreciation

     (1,654,458     (984,387
                

Net realized and unrealized gain (loss)

     (1,995,440     (946,612
                

Net income (loss)

   $ (2,022,722   $ (961,291
                

Net income (loss) per weighted-average share

   $ (3.87   $ (2.82
                

Weighted-average shares outstanding

     522,792        340,570   
                

 

 

 

See accompanying notes to financial statements.

 

-4-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 19,743,932   

Addition of 100,000 shares

     2,604,725   

Redemption of 300,000 shares

     (7,810,276
        

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

     (5,205,551
        

Net investment income (loss)

     (27,282

Net realized gain (loss)

     (340,982

Change in net unrealized appreciation/depreciation

     (1,654,458
        

Net income (loss)

     (2,022,722
        

Shareholders’ equity, at March 31, 2010

   $ 12,515,659   
        

 

 

 

 

See accompanying notes to financial statements.

 

-5-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended
March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ (2,022,722   $ (961,291

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

    

(Increase) in segregated cash balances for swap agreements

     —          (5,110,000

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

     8,272,673        (3,501,897

Change in unrealized appreciation/depreciation on investments

     1,654,458        984,387   

(Increase) in receivable from Sponsor

     —          (3,946

Amortization of offering cost

     —          19,108   

(Decrease) in management fee payable

     (5,163     —     
                

Net cash provided by (used in) operating activities

     7,899,246        (8,573,639
                

Cash flow from financing activities

    

Proceeds from addition of shares

     2,604,725        10,807,188   

Payment on shares redeemed

     (7,810,276     —     
                

Net cash provided by (used in) financing activities

     (5,205,551     10,807,188   
                

Net increase (decrease) in cash

     2,693,695        2,233,549   

Cash, beginning of period

     78,112        1,745,354   
                

Cash, end of period

   $ 2,771,807      $ 3,978,903   
                

 

 

 

See accompanying notes to financial statements.

 

-6-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
    December 31, 2009  

Assets

    

Cash

   $ 1,523,091      $ 90,383   

Segregated cash balances for swap agreements

     215,000        485,000   

Short-term U.S. government and agency obligations (Note 3)
(cost $2,871,763 and $2,568,287, respectively)

     2,871,994        2,568,141   

Unrealized appreciation on swap agreements

     111,160        —     
                

Total assets

     4,721,245        3,143,524   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Management fee payable

     3,487        2,493   

Unrealized depreciation on swap agreements

     —          216,605   
                

Total liabilities

     3,487        219,098   
                

Shareholders’ equity

    

Paid-in capital

     6,660,256        5,049,843   

Accumulated earnings (deficit)

     (1,942,498     (2,125,417
                

Total shareholders’ equity

     4,717,758        2,924,426   
                

Total liabilities and shareholders’ equity

   $ 4,721,245      $ 3,143,524   
                

Shares outstanding

     300,014        200,014   
                

Net asset value per share

   $ 15.73      $ 14.62   
                

Market value per share (Note 2)

   $ 15.67      $ 14.65   
                

 

 

 

 

See accompanying notes to financial statements.

 

-7-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (61% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.060% due 04/08/10

   $ 203,000    $ 202,998

0.125% due 04/29/10†

     1,500,000      1,499,835

0.135% due 05/13/10

     170,000      169,971

0.260% due 08/26/10†

     1,000,000      999,190
         

Total short-term U.S. government and agency obligations
(cost $2,871,763)

      $ 2,871,994
         

 

 

 

Swap Agreements^

 

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

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

   04/06/10    $ (2,342,111   $ 27,226

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

   04/06/10      (7,086,944     83,934
           
        $ 111,160
           

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amounts segregated as collateral for foreign currency forward contracts.

 

 

 

 

See accompanying notes to financial statements.

 

-8-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March  31, 2009
 

Investment Income

    

Interest

   $ 880      $ 236   
                

Expenses

    

Management fee

     8,757        —     

Offering costs

     —          76,394   

Limitation by Sponsor

     —          (69,563
                

Total expenses

     8,757        6,831   
                

Net investment income (loss)

     (7,877     (6,595
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Swap agreements

     (137,264     (11,377

Short-term U.S. government and agency obligations

     (82     —     
                

Net realized gain (loss)

     (137,346     (11,377
                

Change in net unrealized appreciation/depreciation on

    

Swap agreements

     327,765        131,498   

Short-term U.S. government and agency obligations

     377        —     
                

Change in net unrealized appreciation/depreciation

     328,142        131,498   
                

Net realized and unrealized gain (loss)

     190,796        120,121   
                

Net income (loss)

   $ 182,919      $ 113,526   
                

Net income (loss) per weighted-average share

   $ 0.76      $ 1.14   
                

Weighted-average shares outstanding

     240,014        100,014   
                

 

 

 

See accompanying notes to financial statements.

 

-9-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 2,924,426   

Addition of 100,000 shares

     1,610,413   
        

Net investment income (loss)

     (7,877

Net realized gain (loss)

     (137,346

Change in net unrealized appreciation/depreciation

     328,142   
        

Net income (loss)

     182,919   
        

Shareholders’ equity, at March 31, 2010

   $ 4,717,758   
        

 

 

 

 

 

See accompanying notes to financial statements.

 

-10-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended
March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ 182,919      $ 113,526   

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

    

Decrease (Increase) in segregated cash balances for swap agreements

     270,000        —     

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

     (303,476     (617,979

Change in unrealized appreciation/depreciation on investments

     (328,142     (131,498

(Increase) in receivable from Sponsor

     —          (69,563

Amortization of offering cost

     —          76,394   

Increase (Decrease) in management fee payable

     994        —     
                

Net cash provided by (used in) operating activities

     (177,705     (629,120
                

Cash flow from financing activities

    

Proceeds from addition of shares

     1,610,413        —     
                

Net increase (decrease) in cash

     1,432,708        (629,120

Cash, beginning of period

     90,383        1,579,140   
                

Cash, end of period

   $ 1,523,091      $ 950,020   
                

 

 

 

 

See accompanying notes to financial statements.

 

-11-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
   December 31, 2009

Assets

     

Cash

   $ 26,662,962    $ 80,936

Segregated cash balances for swap agreements

     141,143      —  

Segregated cash balances with brokers for futures contracts

     10,821,600      13,574,925

Short-term U.S. government and agency obligations (Note 3)
(cost $169,091,979 and $323,044,324, respectively)

     169,096,580      323,026,067

Unrealized appreciation on swap agreements

     4,737,235      21,129,076

Receivable on open futures contracts

     3,199,375      1,466,444
             

Total assets

     214,658,895      359,277,448
             

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     14,560,790      35,195,574

Management fee payable

     168,065      262,204
             

Total liabilities

     14,728,855      35,457,778
             

Shareholders’ equity

     

Paid-in capital

     36,880,956      190,554,540

Accumulated earnings (deficit)

     163,049,084      133,265,130
             

Total shareholders’ equity

     199,930,040      323,819,670
             

Total liabilities and shareholders’ equity

   $ 214,658,895    $ 359,277,448
             

Shares outstanding

     15,100,014      25,650,014
             

Net asset value per share

   $ 13.24    $ 12.62
             

Market value per share (Note 2)

   $ 13.06    $ 12.68
             

 

 

 

See accompanying notes to financial statements.

 

-12-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (85% of shareholders’ equity)

     

U.S. Cash Management Bills:

     

0.145% due 06/10/10†

   $ 63,500,000    $ 63,482,855

U.S. Treasury Bills:

     

0.055% due 04/08/10†

     29,519,000      29,518,684

0.070% due 04/15/10†

     8,000,000      7,999,782

0.105% due 04/22/10

     5,000,000      4,999,600

0.135% due 05/13/10

     12,000,000      11,997,960

0.120% due 05/20/10

     5,000,000      4,999,000

0.260% due 08/26/10†

     14,650,000      14,638,134

0.220% due 09/16/10

     24,000,000      23,975,040

0.286% due 12/16/10†

     7,500,000      7,485,525
         

Total short-term U.S. government and agency obligations
(cost $169,091,979)

      $ 169,096,580
         

 

 

 

Futures Contracts Purchased

 

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

Crude Oil – NYMEX, expires May 2010

   2,004    $ 167,855,040    $ 10,557,420

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

   04/06/10    $ 97,624,389    $ 1,629,258

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

   04/06/10      134,402,141      3,107,977
            
         $ 4,737,235
            

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amount segregated as collateral for swap agreements.

 

 

See accompanying notes to financial statements.

 

-13-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended
March 31, 2009
 

Investment Income

    

Interest

   $ 41,256      $ 33,715   
                

Expenses

    

Management fee

     603,925        709,691   

Brokerage commissions

     28,343        131,950   

Offering costs

     —          38,202   
                

Total expenses

     632,268        879,843   
                

Net investment income (loss)

     (591,012     (846,128
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     19,526,122        (43,721,221

Swap agreements

     33,495,515        (37,518,862

Short-term U.S. government and agency obligations

     42,692        —     
                

Net realized gain (loss)

     53,064,329        (81,240,083
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (6,320,380     5,863,760   

Swap agreements

     (16,391,841     (15,801,864

Short-term U.S. government and agency obligations

     22,858        —     
                

Change in net unrealized appreciation/depreciation

     (22,689,363     (9,938,104
                

Net realized and unrealized gain (loss)

     30,374,966        (91,178,187
                

Net income (loss)

   $ 29,783,954      $ (92,024,315
                

Net income (loss) per weighted-average share

   $ 1.37      $ (2.49
                

Weighted-average shares outstanding

     21,755,570        37,000,570   
                

 

 

See accompanying notes to financial statements.

 

-14-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 323,819,670   

Addition of 15,950,000 shares

     172,930,688   

Redemption of 26,500,000 shares

     (326,604,272
        

Net addition (redemption) of (10,550,000) shares

     (153,673,584
        

Net investment income (loss)

     (591,012

Net realized gain (loss)

     53,064,329   

Change in net unrealized appreciation/depreciation

     (22,689,363
        

Net income (loss)

     29,783,954   
        

Shareholders’ equity, at March 31, 2010

   $ 199,930,040   
        

 

 

 

 

 

See accompanying notes to financial statements.

 

-15-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended

March 31, 2010
    Three months
ended
March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ 29,783,954      $ (92,024,315

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

    

(Increase) in segregated cash balances for swap agreements

     (141,143     (95,000,000

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

     2,753,325        (3,873,825

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

     153,952,345        (131,406,251

(Increase) Decrease in receivable on futures contracts

     (1,732,931     15,753,691   

Change in unrealized appreciation/depreciation on investments

     16,368,983        15,801,864   

(Increase) Decrease in receivable from Sponsor

     —          16,192   

Amortization of offering cost

     —          38,202   

(Decrease) in management fee payable

     (94,139     —     

(Decrease) Increase in payable to Sponsor

     —          693,499   
                

Net cash provided by (used in) operating activities

     200,890,394        (290,000,943
                

Cash flow from financing activities

    

Proceeds from addition of shares

     172,930,688        635,371,765   

Payment on shares redeemed

     (347,239,056     (333,505,100
                

Net cash provided by (used in) financing activities

     (174,308,368     301,866,665   
                

Net increase (decrease) in cash

     26,582,026        11,865,722   

Cash, beginning of period

     80,936        40,341,120   
                

Cash, end of period

   $ 26,662,962      $ 52,206,842   
                

 

 

 

See accompanying notes to financial statements.

 

-16-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
    December 31, 2009  

Assets

    

Cash

   $ 1,789,963      $ 75,409   

Segregated cash balances for swap agreements

     100,500        —     

Segregated cash balances with brokers for futures contracts

     5,702,400        4,162,725   

Short-term U.S. government and agency obligations (Note 3)
(cost $96,332,687 and $66,498,959, respectively)

     96,335,531        66,495,308   

Receivable from capital shares sold

     25,323,073        8,244,946   
                

Total assets

     129,251,467        78,978,388   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

     2,328,253        1,271,069   

Management fee payable

     91,087        68,204   

Unrealized depreciation on swap agreements

     2,776,423        982,489   
                

Total liabilities

     5,195,763        2,321,762   
                

Shareholders’ equity

    

Paid-in capital

     141,630,650        94,438,947   

Accumulated earnings (deficit)

     (17,574,946     (17,782,321
                

Total shareholders’ equity

     124,055,704        76,656,626   
                

Total liabilities and shareholders’ equity

   $ 129,251,467      $ 78,978,388   
                

Shares outstanding

     10,250,014        5,600,014   
                

Net asset value per share

   $ 12.10      $ 13.69   
                

Market value per share (Note 2)

   $ 12.27      $ 13.65   
                

 

 

 

See accompanying notes to financial statements.

 

-17-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (78% of shareholders’ equity)

     

Federal National Mortgage Association, Discount Notes:

     

0.090% due 04/06/10

   $ 4,400,000    $ 4,399,945

U.S. Cash Management Bills:

     

0.065% due 04/01/10†

     5,000,000      5,000,000

U.S. Treasury Bills:

     

0.060% due 04/08/10†

     7,150,000      7,149,916

0.105% due 04/22/10†

     8,000,000      7,999,360

0.105% due 04/29/10†

     20,000,000      19,997,800

0.260% due 08/26/10†

     20,840,000      20,823,120

0.195% due 09/09/10†

     26,000,000      25,975,040

0.286% due 12/16/10

     5,000,000      4,990,350
         

Total short-term U.S. government and agency obligations
(cost $96,332,687)

      $ 96,335,531
         

 

 

 

Futures Contracts Sold

 

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

Crude Oil – NYMEX, expires May 2010

   1,056    $ 88,450,560    $ (2,446,780

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

   04/06/10    $ (60,189,544   $ (1,183,320

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

   04/06/10      (99,427,228     (1,593,103
             
        $ (2,776,423
             

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amount segregated as collateral for swap agreements.

 

 

See accompanying notes to financial statements.

 

-18-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March  31, 2009
 

Investment Income

    

Interest

   $ 22,438      $ 1,891   
                

Expenses

    

Management fee

     217,682        —     

Brokerage commissions

     12,179        33,690   

Offering costs

     —          76,394   

Limitation by Sponsor

     —          (17,350
                

Total expenses

     229,861        92,734   
                

Net investment income (loss)

     (207,423     (90,843
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (374,202     3,491,939   

Swap agreements

     1,958,414        —     

Short-term U.S. government and agency obligations

     905        —     
                

Net realized gain (loss)

     1,585,117        3,491,939   
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     617,120        3,720,580   

Swap agreements

     (1,793,934     (78,476

Short-term U.S. government and agency obligations

     6,495        —     
                

Change in net unrealized appreciation/depreciation

     (1,170,319     3,642,104   
                

Net realized and unrealized gain (loss)

     414,798        7,134,043   
                

Net income (loss)

   $ 207,375      $ 7,043,200   
                

Net income (loss) per weighted-average share

   $ 0.03      $ 9.52   
                

Weighted-average shares outstanding

     6,824,458        739,458   
                

 

 

 

See accompanying notes to financial statements.

 

-19-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 76,656,626   

Addition of 13,350,000 shares

     172,029,659   

Redemption of 8,700,000 shares

     (124,837,956
        

Net addition (redemption) of 4,650,000 shares

     47,191,703   
        

Net investment income (loss)

     (207,423

Net realized gain (loss)

     1,585,117   

Change in net unrealized appreciation/depreciation

     (1,170,319
        

Net income (loss)

     207,375   
        

Shareholders’ equity, at March 31, 2010

   $ 124,055,704   
        

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-20-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended
March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ 207,375      $ 7,043,200   

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

    

(Increase) in segregated cash balances for swap agreements

     (100,500     (6,600,000

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

     (1,539,675     (1,865,058

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

     (29,833,728     (17,940,529

Change in unrealized appreciation/depreciation on investments

     1,787,439        78,476   

(Increase) in receivable from Sponsor

     —          (17,350

Amortization of offering cost

     —          76,394   

Increase (Decrease) in management fee payable

     22,883        —     

Increase (Decrease) in payable on futures contracts

     1,057,184        (4,265,898
                

Net cash provided by (used in) operating activities

     (28,399,022     (23,490,765
                

Cash flow from financing activities

    

Proceeds from addition of shares

     154,951,532        163,271,062   

Payment on shares redeemed

     (124,837,956     (131,021,430
                

Net cash provided by (used in) financing activities

     30,113,576        32,249,632   
                

Net increase (decrease) in cash

     1,714,554        8,758,867   

Cash, beginning of period

     75,409        7,925,214   
                

Cash, end of period

   $ 1,789,963      $ 16,684,081   
                

 

 

 

See accompanying notes to financial statements.

 

-21-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
   December 31, 2009

Assets

     

Cash

   $ 16,182,814    $ 96,468

Segregated cash balances with brokers for futures contracts

     465,564      480,837

Short-term U.S. government and agency obligations (Note 3)
(cost $145,306,355 and $168,088,591, respectively)

     145,304,735      168,085,670

Unrealized appreciation on forward agreements

     2,258,263      —  

Receivable on open futures contracts

     20,700      32,930
             

Total assets

     164,232,076      168,695,905
             

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —        6,835,057

Management fee payable

     130,592      149,879

Unrealized depreciation on forward agreements

     —        5,234,260
             

Total liabilities

     130,592      12,219,196
             

Shareholders’ equity

     

Paid-in capital

     123,764,008      120,971,898

Accumulated earnings (deficit)

     40,337,476      35,504,811
             

Total shareholders’ equity

     164,101,484      156,476,709
             

Total liabilities and shareholders’ equity

   $ 164,232,076    $ 168,695,905
             

Shares outstanding

     3,600,014      3,550,014
             

Net asset value per share

   $ 45.58    $ 44.08
             

Market value per share (Note 2)

   $ 45.38    $ 44.68
             

 

 

 

See accompanying notes to financial statements.

 

-22-


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (89% of shareholders’ equity)

     

Federal National Mortgage Association, Discount Notes:

     

0.090% due 04/06/10

   $ 5,300,000    $ 5,299,934

U.S. Treasury Bills:

     

0.069% due 04/08/10†

     42,645,000      42,644,426

0.070% due 04/15/10

     5,000,000      4,999,864

0.105% due 04/22/10†

     50,000,000      49,996,000

0.105% due 04/29/10

     3,400,000      3,399,626

0.135% due 05/13/10

     2,000,000      1,999,660

0.120% due 05/20/10

     4,000,000      3,999,200

0.260% due 08/26/10†

     5,500,000      5,495,545

0.195% due 09/09/10†

     19,500,000      19,481,280

0.220% due 09/16/10

     4,000,000      3,995,840

0.258% due 11/18/10

     4,000,000      3,993,360
         

Total short-term U.S. government and agency obligations
(cost $145,306,355)

      $ 145,304,735
         

 

 

 

Futures Contracts Purchased

 

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

Gold Futures – COMEX, expires June 2010

   69    $ 7,690,050    $ 62,180

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

   04/06/10    $ 31,420    $ 35,050,581    $ 247,423

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

   04/06/10      255,900      285,469,245      2,010,840
               
            $ 2,258,263
               

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amount segregated as collateral for forward agreements.

 

 

See accompanying notes to financial statements.

 

-23-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended
March 31, 2009
 

Investment Income

    

Interest

   $ 24,820      $ 9,474   
                

Expenses

    

Management fee

     383,232        128,042   

Brokerage commissions

     1,004        1,282   

Offering costs

     —          76,394   
                

Total expenses

     384,236        205,718   
                

Net investment income (loss)

     (359,416     (196,244
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (79,143     130,476   

Forward agreements

     (2,484,739     (379,449

Short-term U.S. government and agency obligations

     5,759        —     
                

Net realized gain (loss)

     (2,558,123     (248,973
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     256,380        (28,279

Forward agreements

     7,492,523        (2,495,392

Short-term U.S. government and agency obligations

     1,301        —     
                

Change in net unrealized appreciation/depreciation

     7,750,204        (2,523,671
                

Net realized and unrealized gain (loss)

     5,192,081        (2,772,644
                

Net income (loss)

   $ 4,832,665      $ (2,968,888
                

Net income (loss) per weighted-average share

   $ 1.33      $ (1.16
                

Weighted-average shares outstanding

     3,620,014        2,551,681   
                

 

 

See accompanying notes to financial statements.

 

-24-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 156,476,709   

Addition of 600,000 shares

     27,481,133   

Redemption of 550,000 shares

     (24,689,023
        

Net addition (redemption) of 50,000 shares

     2,792,110   
        

Net investment income (loss)

     (359,416

Net realized gain (loss)

     (2,558,123

Change in net unrealized appreciation/depreciation

     7,750,204   
        

Net income (loss)

     4,832,665   
        

Shareholders’ equity, at March 31, 2010

   $ 164,101,484   
        

 

 

 

 

 

See accompanying notes to financial statements.

 

-25-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended
March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ 4,832,665      $ (2,968,888

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

    

(Increase) in segregated cash balances for forward agreements

     —          (60,520,000

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

     15,273        (224,879

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

     22,782,236        (48,348,356

Decrease in receivable on futures contracts

     12,230        2,885   

Change in unrealized appreciation/depreciation on investments

     (7,493,824     2,495,392   

(Increase) Decrease in receivable from Sponsor

     —          43,098   

Amortization of offering cost

     —          76,394   

(Decrease) in management fee payable

     (19,287     —     

(Decrease) Increase in payable to counterparty

     —          6,017,364   

(Decrease) Increase in payable to Sponsor

     —          84,944   
                

Net cash provided by (used in) operating activities

     20,129,293        (103,342,046
                

Cash flow from financing activities

    

Proceeds from addition of shares

     27,481,133        112,092,538   

Payment on shares redeemed

     (31,524,080     (8,079,532
                

Net cash provided by (used in) financing activities

     (4,042,947     104,013,006   
                

Net increase (decrease) in cash

     16,086,346        670,960   

Cash, beginning of period

     96,468        23,435,796   
                

Cash, end of period

   $ 16,182,814      $ 24,106,756   
                

 

 

 

 

See accompanying notes to financial statements.

 

-26-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
    December 31, 2009  

Assets

    

Cash

   $ 1,855,278      $ 75,790   

Segregated cash balances for forward agreements

     100,500        —     

Segregated cash balances with brokers for futures contracts

     276,639        140,916   

Short-term U.S. government and agency obligations (Note 3)
(cost $63,655,513 and $66,312,955, respectively)

     63,657,304        66,310,764   

Unrealized appreciation on forward agreements

     —          2,144,062   
                

Total assets

     65,889,721        68,671,532   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

     —          1,014,755   

Payable on open futures contracts

     108,161        —     

Management fee payable

     57,361        53,966   

Unrealized depreciation on forward agreements

     926,084        —     
                

Total liabilities

     1,091,606        1,068,721   
                

Shareholders’ equity

    

Paid-in capital

     88,359,984        86,180,401   

Accumulated earnings (deficit)

     (23,561,869     (18,577,590
                

Total shareholders’ equity

     64,798,115        67,602,811   
                

Total liabilities and shareholders’ equity

   $ 65,889,721      $ 68,671,532   
                

Shares outstanding (Note 9)

     1,340,003        1,290,003   
                

Net asset value per share (Note 9)

   $ 48.36      $ 52.41   
                

Market value per share (Note 2) (Note 9)

   $ 48.55      $ 51.75   
                

 

 

 

See accompanying notes to financial statements.

 

-27-


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (98% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.073% due 04/08/10†

   $ 30,001,000    $ 30,000,576

0.105% due 04/22/10

     8,370,000      8,369,331

0.105% due 04/29/10

     4,600,000      4,599,494

0.135% due 05/13/10

     8,000,000      7,998,640

0.260% due 08/26/10†

     9,700,000      9,692,143

0.195% due 09/09/10†

     3,000,000      2,997,120
         

Total short-term U.S. government and agency obligations
(cost $63,655,513)

      $ 63,657,304
         

 

 

 

Futures Contracts Sold

 

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

Gold Futures – COMEX, expires June 2010

        41      $ 4,569,450      $ (20,240

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

   04/06/10    $ (11,898   $ (13,272,814   $ (104,326

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

   04/06/10      (100,200     (111,778,110     (821,758
               
          $ (926,084
               

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amount segregated as collateral for forward agreements.

 

 

See accompanying notes to financial statements.

 

-28-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March 31, 2009
 

Investment Income

    

Interest

   $ 13,434      $ 3,412   
                

Expenses

    

Management fee

     162,335        —     

Brokerage commissions

     1,050        1,220   

Offering costs

     —          76,394   

Limitation by Sponsor

     —          (3,314
                

Total expenses

     163,385        74,300   
                

Net investment income (loss)

     (149,951     (70,888
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     108,407        (197,607

Forward agreements

     (1,819,294     (5,455,094

Short-term U.S. government and agency obligations

     2,103        —     
                

Net realized gain (loss)

     (1,708,784     (5,652,701
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (59,380     28,474   

Forward agreements

     (3,070,146     1,075,366   

Short-term U.S. government and agency obligations

     3,982        —     
                

Change in net unrealized appreciation/depreciation

     (3,125,544     1,103,840   
                

Net realized and unrealized gain (loss)

     (4,834,328     (4,548,861
                

Net income (loss)

   $ (4,984,279   $ (4,619,749
                

Net income (loss) per weighted-average share (Note 9)

   $ (3.58   $ (12.22
                

Weighted-average shares outstanding (Note 9)

     1,390,558        378,003   
                

 

 

See accompanying notes to financial statements.

 

-29-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 67,602,811   

Addition of 300,000 shares (Note 9)

     14,766,261   

Redemption of 250,000 shares (Note 9)

     (12,586,678
        

Net addition (redemption) of 50,000 shares (Note 9)

     2,179,583   
        

Net investment income (loss)

     (149,951

Net realized gain (loss)

     (1,708,784

Change in net unrealized appreciation/depreciation

     (3,125,544
        

Net income (loss)

     (4,984,279
        

Shareholders’ equity, at March 31, 2010

   $ 64,798,115   
        

 

 

 

 

See accompanying notes to financial statements.

 

-30-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ (4,984,279   $ (4,619,749

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

    

(Increase) in segregated cash balances for forward agreements

     (100,500     (19,160,000

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

     (135,723     (209,931

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

     2,657,442        (14,168,541

Change in unrealized appreciation/depreciation on investments

     3,066,164        (1,075,366

(Increase) in receivable from Sponsor

     —          (3,314

(Increase) in receivable due from counterparty

     —          (1,896,590

Amortization of offering cost

     —          76,394   

Increase (Decrease) in management fee payable

     3,395        —     

Increase in payable on futures contracts

     108,161        91,536   
                

Net cash provided by (used in) operating activities

     614,660        (40,965,561
                

Cash flow from financing activities

    

Proceeds from addition of shares

     14,766,261        56,790,244   

Payment on shares redeemed

     (13,601,433     (6,669,608
                

Net cash provided by (used in) financing activities

     1,164,828        50,120,636   
                

Net increase (decrease) in cash

     1,779,488        9,155,075   

Cash, beginning of period

     75,790        3,104,221   
                

Cash, end of period

   $ 1,855,278      $ 12,259,296   
                

 

 

 

See accompanying notes to financial statements.

 

-31-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
   December 31, 2009

Assets

     

Cash

   $ 14,991,929    $ 75,670

Segregated cash balances for forward agreements

     133,400      —  

Segregated cash balances with brokers for futures contracts

     870,750      928,138

Short-term U.S. government and agency obligations (Note 3)
(cost $151,602,805 and $157,779,376, respectively)

     151,608,899      157,772,073

Unrealized appreciation on forward agreements

     6,549,257      —  

Receivable on open futures contracts

     89,655      —  
             

Total assets

     174,243,890      158,775,881
             

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     2,871,974      6,007,423

Management fee payable

     135,929      123,889

Unrealized depreciation on forward agreements

     —        7,228,187
             

Total liabilities

     3,007,903      13,359,499
             

Shareholders’ equity

     

Paid-in capital

     128,412,931      109,869,748

Accumulated earnings (deficit)

     42,823,056      35,546,634
             

Total shareholders’ equity

     171,235,987      145,416,382
             

Total liabilities and shareholders’ equity

   $ 174,243,890    $ 158,775,881
             

Shares outstanding

     2,950,014      2,550,014
             

Net asset value per share

   $ 58.05    $ 57.03
             

Market value per share (Note 2)

   $ 57.77    $ 56.15
             

 

 

 

See accompanying notes to financial statements.

 

-32-


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (89% of shareholders’ equity)

     

Federal National Mortgage Association, Discount Notes:

     

0.090% due 04/06/10

   $ 8,200,000    $ 8,199,898

U.S. Cash Management Bills:

     

0.065% due 04/01/10

     4,900,000      4,900,000

U.S. Treasury Bills:

     

0.067% due 04/08/10†

     47,481,000      47,480,380

0.105% due 04/22/10

     5,480,000      5,479,562

0.105% due 04/29/10

     6,500,000      6,499,285

0.135% due 05/13/10†

     29,000,000      28,995,070

0.260% due 08/26/10†

     31,600,000      31,574,404

0.195% due 09/09/10

     16,500,000      16,484,160

0.286% due 12/16/10

     2,000,000      1,996,140
         

Total short-term U.S. government and agency obligations
(cost $151,602,805)

      $ 151,608,899
         

 

 

 

Futures Contracts Purchased

 

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

Silver Futures – COMEX, expires May 2010

        129    $ 11,304,270    $ 1,085,405

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

   04/06/10    $ 4,700,800    $ 82,271,521    $ 1,632,851

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

   04/06/10      14,124,000      247,192,598      4,916,406
               
            $ 6,549,257
               

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amount segregated as collateral for forward agreements.

 

See accompanying notes to financial statements.

 

-33-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended

March 31, 2010
    Three months
ended

March 31, 2009
 

Investment Income

    

Interest

   $ 36,445      $ 2,949   
                

Expenses

    

Management fee

     372,436        51,942   

Brokerage commissions

     1,775        893   

Offering costs

     —          19,109   
                

Total expenses

     374,211        71,944   
                

Net investment income (loss)

     (337,766     (68,995
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (942,696     131,064   

Forward agreements

     (6,895,653     2,723,177   

Short-term U.S. government and agency obligations

     7,491        —     
                

Net realized gain (loss)

     (7,830,858     2,854,241   
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     1,654,205        (29,469

Forward agreements

     13,777,444        1,425,756   

Short-term U.S. government and agency obligations

     13,397        —     
                

Change in net unrealized appreciation/depreciation

     15,445,046        1,396,287   
                

Net realized and unrealized gain (loss)

     7,614,188        4,250,528   
                

Net income (loss)

   $ 7,276,422      $ 4,181,533   
                

Net income (loss) per weighted-average share

   $ 2.52      $ 5.40   
                

Weighted-average shares outstanding

     2,892,792        775,014   
                

 

 

See accompanying notes to financial statements.

 

-34-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 145,416,382   

Addition of 700,000 shares

     34,990,226   

Redemption of 300,000 shares

     (16,447,043
        

Net addition (redemption) of 400,000 shares

     18,543,183   
        

Net investment income (loss)

     (337,766

Net realized gain (loss)

     (7,830,858

Change in net unrealized appreciation/depreciation

     15,445,046   
        

Net income (loss)

     7,276,422   
        

Shareholders’ equity, at March 31, 2010

   $ 171,235,987   
        

 

 

 

 

See accompanying notes to financial statements.

 

-35-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ 7,276,422      $ 4,181,533   

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

    

(Increase) in segregated cash balances for forward agreements

     (133,400     (26,750,000

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

     57,388        (431,671

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

     6,176,571        (20,850,418

(Increase) Decrease in receivable on futures contracts

     (89,655     24,488   

Change in unrealized appreciation/depreciation on investments

     (13,790,841     (1,425,756

(Increase) Decrease in receivable from Sponsor

     —          30,776   

Amortization of offering cost

     —          19,109   

Increase (Decrease) in management fee payable

     12,040        —     

(Decrease) Increase in payable to counterparty

     —          6,462,153   

(Decrease) Increase in payable to Sponsor

     —          21,166   
                

Net cash provided by (used in) operating activities

     (491,475     (38,718,620
                

Cash flow from financing activities

    

Proceeds from addition of shares

     34,990,226        48,630,737   

Payment on shares redeemed

     (19,582,492     (7,591,814
                

Net cash provided by (used in) financing activities

     15,407,734        41,038,923   
                

Net increase (decrease) in cash

     14,916,259        2,320,303   

Cash, beginning of period

     75,670        8,641,327   
                

Cash, end of period

   $ 14,991,929      $ 10,961,630   
                

 

 

 

See accompanying notes to financial statements.

 

-36-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
    December 31, 2009  

Assets

    

Cash

   $ 8,988,884      $ 78,312   

Segregated cash balances for forward agreements

     60,300        —     

Segregated cash balances with brokers for futures contracts

     135,000        447,653   

Short-term U.S. government and agency obligations (Note 3)
(cost $62,981,989 and $64,775,162, respectively)

     62,984,158        64,772,241   

Unrealized appreciation on forward agreements

     —          2,859,064   

Receivable on open futures

     83,560        —     
                

Total assets

     72,251,902        68,157,270   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

     —          3,588,515   

Management fee payable

     55,675        52,610   

Unrealized depreciation on forward agreements

     2,865,449        —     
                

Total liabilities

     2,921,124        3,641,125   
                

Shareholders’ equity

    

Paid-in capital

     117,014,222        103,237,063   

Accumulated earnings (deficit)

     (47,683,444     (38,720,918
                

Total shareholders’ equity

     69,330,778        64,516,145   
                

Total liabilities and shareholders’ equity

   $ 72,251,902      $ 68,157,270   
                

Shares outstanding (Note 9)

     1,705,001        1,370,001   
                

Net asset value per share (Note 9)

   $ 40.66      $ 47.09   
                

Market value per share (Note 2) (Note 9)

   $ 40.80      $ 47.90   
                

 

 

 

See accompanying notes to financial statements.

 

-37-


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (91% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.070% due 04/08/10†

   $ 22,939,000    $ 22,938,690

0.105% due 04/22/10

     8,870,000      8,869,290

0.135% due 05/13/10

     8,500,000      8,498,555

0.260% due 08/26/10†

     11,700,000      11,690,523

0.195% due 09/09/10†

     5,000,000      4,995,200

0.220% due 09/16/10

     3,000,000      2,996,880

0.258% due 11/18/10†

     3,000,000      2,995,020
         

Total short-term U.S. government and agency obligations
(cost $62,981,989)

      $ 62,984,158
         

 

 

 

Futures Contracts Sold

 

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

Silver Futures – COMEX, expires May 2010

        20      $ 1,752,600      $ (182,135

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

   04/06/10    $ (1,937,500   $ (33,909,350   $ (708,141

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

   04/06/10      (5,923,000     (103,661,977     (2,157,308
               
          $ (2,865,449
               

 

^ The positions and counterparties herein are as of March 31, 2010. 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.

 

All or partial amount segregated as collateral for forward agreements.

 

 

See accompanying notes to financial statements.

 

-38-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March 31, 2009
 

Investment Income

    

Interest

   $ 14,912      $ 1,167   
                

Expenses

    

Management fee

     167,390        —     

Brokerage commissions

     657        640   

Offering costs

     —          38,202   

Limitation by Sponsor

     —          (12,401
                

Total expenses

     168,047        26,441   
                

Net investment income (loss)

     (153,135     (25,274
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     383,460        (69,297

Forward agreements

     (3,109,645     (804,613

Short-term U.S. government and agency obligations

     3,087        —     
                

Net realized gain (loss)

     (2,723,098     (873,910
                

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (366,870     2,513   

Forward agreements

     (5,724,513     (668,099

Short-term U.S. government and agency obligations

     5,090        —     
                

Change in net unrealized appreciation/depreciation

     (6,086,293     (665,586
                

Net realized and unrealized gain (loss)

     (8,809,391     (1,539,496
                

Net income (loss)

   $ (8,962,526   $ (1,564,770
                

Net income (loss) per weighted-average share (Note 9)

   $ (5.77   $ (16.80
                

Weighted-average shares outstanding (Note 9)

     1,552,001        93,168   
                

 

 

See accompanying notes to financial statements.

 

-39-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 64,516,145   

Addition of 620,000 shares (Note 9)

     27,705,812   

Redemption of 285,000 shares (Note 9)

     (13,928,653
        

Net addition (redemption) of 335,000 shares (Note 9)

     13,777,159   
        

Net investment income (loss)

     (153,135

Net realized gain (loss)

     (2,723,098

Change in net unrealized appreciation/depreciation

     (6,086,293
        

Net income (loss)

     (8,962,526
        

Shareholders’ equity, at March 31, 2010

   $ 69,330,778   
        

 

 

 

 

See accompanying notes to financial statements.

 

-40-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March 31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ (8,962,526   $ (1,564,770

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

    

(Increase) in segregated cash balances for forward agreements

     (60,300     (9,870,000

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

     312,653        (214,608

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

     1,793,173        (11,177,667

Change in unrealized appreciation/depreciation on investments

     5,719,423        668,099   

(Increase) in receivable from Sponsor

     —          (12,401

(Increase) in receivable due from counterparty

     —          (2,815,333

(Increase) in receivable on open futures contracts

     (83,560     (44,641

Amortization of offering cost

     —          38,202   

Increase (Decrease) in management fee payable

     3,065        —     

(Decrease) in payable on open futures contracts

     —          (5,171
                

Net cash provided by (used in) operating activities

     (1,278,072     (24,998,290
                

Cash flow from financing activities

    

Proceeds from addition of shares

     27,705,812        30,328,103   

Payment on shares redeemed

     (17,517,168     (3,164,702
                

Net cash provided by (used in) financing activities

     10,188,644        27,163,401   
                

Net increase (decrease) in cash

     8,910,572        2,165,111   

Cash, beginning of period

     78,312        992,121   
                

Cash, end of period

   $ 8,988,884      $ 3,157,232   
                

 

 

 

See accompanying notes to financial statements.

 

-41-


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
   December 31, 2009

Assets

     

Cash

   $ 1,926,968    $ 79,160

Short-term U.S. government and agency obligations (Note 3)
(cost $7,741,852 and $7,736,562, respectively)

     7,741,909      7,736,270
             

Total assets

     9,668,877      7,815,430
             

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     7,628      6,315

Unrealized depreciation on foreign currency forward contracts

     318,386      277,258
             

Total liabilities

     326,014      283,573
             

Shareholders’ equity

     

Paid-in capital

     9,314,071      6,602,808

Accumulated earnings (deficit)

     28,792      929,049
             

Total shareholders’ equity

     9,342,863      7,531,857
             

Total liabilities and shareholders’ equity

   $ 9,668,877    $ 7,815,430
             

Shares outstanding

     350,014      250,014
             

Net asset value per share

   $ 26.69    $ 30.13
             

Market value per share (Note 2)

   $ 26.74    $ 30.17
             

 

 

 

See accompanying notes to financial statements.

 

-42-


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (83% of shareholders’ equity)

     

U.S. Cash Management Bills:

     

0.065% due 04/01/10

   $ 100,000    $ 100,000

U.S. Treasury Bills:

     

0.060% due 04/08/10

     1,264,000      1,263,986

0.105% due 04/22/10

     4,150,000      4,149,668

0.135% due 05/13/10

     330,000      329,944

0.260% due 08/26/10†

     900,000      899,271

0.195% due 09/09/10†

     1,000,000      999,040
         

Total short-term U.S. government and agency obligations
(cost $7,741,852)

      $ 7,741,909
         

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

   04/09/10    8,133,525      $ 10,984,377      $ (181,407

Euro with UBS AG

   04/09/10    6,300,300        8,508,595        (134,361
               
          $ (315,768
               

Contracts to Sell

         

Euro with Goldman Sachs International

   04/09/10    (238,800   $ (322,501   $ (606

Euro with UBS AG

   04/09/10    (356,300     (481,185     (2,012
               
          $ (2,618
               

 

^ The positions and counterparties herein are as of March 31, 2010. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

All or partial amount segregated as collateral for foreign currency forward contracts.

 

 

 

See accompanying notes to financial statements.

 

-43-


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March  31, 2009
 

Investment Income

    

Interest

   $ 1,480      $ 690   
                

Expenses

    

Management fee

     19,300        —     

Offering costs

     —          19,109   

Limitation by Sponsor

     —          (7,343
                

Total expenses

     19,300        11,766   
                

Net investment income (loss)

     (17,820     (11,076
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     (842,093     (185,286

Short-term U.S. government and agency obligations

     435        —     
                

Net realized gain (loss)

     (841,658     (185,286
                

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     (41,128     (150,247

Short-term U.S. government and agency obligations

     349        —     
                

Change in net unrealized appreciation/depreciation

     (40,779     (150,247
                

Net realized and unrealized gain (loss)

     (882,437     (335,533
                

Net income (loss)

   $ (900,257   $ (346,609
                

Net income (loss) per weighted-average share

   $ (3.06   $ (1.76
                

Weighted-average shares outstanding

     294,458        196,681   
                

 

 

See accompanying notes to financial statements.

 

-44-


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 7,531,857   

Addition of 100,000 shares

     2,711,263   
        

Net investment income (loss)

     (17,820

Net realized gain (loss)

     (841,658

Change in net unrealized appreciation/depreciation

     (40,779
        

Net income (loss)

     (900,257
        

Shareholders’ equity, at March 31, 2010

   $ 9,342,863   
        

 

 

 

 

See accompanying notes to financial statements.

 

-45-


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March  31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ (900,257   $ (346,609

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

     —          (1,220,000

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

     (5,290     (3,241,901

Change in unrealized appreciation/depreciation on investments

     40,779        150,247   

(Increase) in receivable from Sponsor

     —          (7,343

Amortization of offering cost

     —          19,109   

Increase (Decrease) in management fee payable

     1,313        —     
                

Net cash provided by (used in) operating activities

     (863,455     (4,646,497
                

Cash flow from financing activities

    

Proceeds from addition of shares

     2,711,263        2,531,478   
                

Net increase (decrease) in cash

     1,847,808        (2,115,019

Cash, beginning of period

     79,160        4,467,380   
                

Cash, end of period

   $ 1,926,968      $ 2,352,361   
                

 

 

 

See accompanying notes to financial statements.

 

-46-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
   December 31, 2009  

Assets

     

Cash

   $ 8,724,620    $ 76,035   

Short-term U.S. government and agency obligations (Note 3)
(cost $279,058,585 and $98,876,200, respectively)

     279,060,352      98,870,358   

Unrealized appreciation on foreign currency forward contracts

     7,659,661      1,954,967   
               

Total assets

     295,444,633      100,901,360   
               

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     216,279      53,574   
               

Total liabilities

     216,279      53,574   
               

Shareholders’ equity

     

Paid-in capital

     285,207,521      110,049,449   

Accumulated earnings (deficit)

     10,020,833      (9,201,663
               

Total shareholders’ equity

     295,228,354      100,847,786   
               

Total liabilities and shareholders’ equity

   $ 295,444,633    $ 100,901,360   
               

Shares outstanding

     14,200,014      5,400,014   
               

Net asset value per share

   $ 20.79    $ 18.68   
               

Market value per share (Note 2)

   $ 20.80    $ 18.70   
               

 

 

 

See accompanying notes to financial statements.

 

-47-


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (95% of shareholders’ equity)

     

Federal National Mortgage Association, Discount Notes:

     

0.090% due 04/06/10

   $ 1,790,000    $ 1,789,978

U.S. Cash Management Bills:

     

0.056% due 04/01/10

     15,900,000      15,900,000

U.S. Treasury Bills:

     

0.072% due 04/08/10

     88,285,000      88,283,772

0.070% due 04/15/10

     200,000      199,994

0.105% due 04/22/10

     18,240,000      18,238,541

0.105% due 04/29/10

     6,300,000      6,299,307

0.120% due 05/20/10

     26,000,000      25,994,800

0.237% due 08/26/10†

     24,000,000      23,980,560

0.195% due 09/09/10†

     16,500,000      16,484,160

0.220% due 09/16/10

     47,000,000      46,951,120

0.258% due 11/18/10

     21,000,000      20,965,140

0.286% due 12/16/10†

     14,000,000      13,972,980
         

Total short-term U.S. government and agency obligations
(cost $279,058,585)

      $ 279,060,352
         

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with UBS AG

   04/09/10    19,463,200      $ 26,285,176      $ 59,338
             

Contracts to Sell

         

Euro with Goldman Sachs International

   04/09/10    (226,729,525   $ (306,199,668   $ 3,643,543

Euro with UBS AG

   04/09/10    (231,621,500     (312,806,312     3,956,780
             
          $ 7,600,323
             

 

^ The positions and counterparties herein are as of March 31, 2010. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

All or partial amount segregated as collateral for foreign currency forward contracts.

 

See accompanying notes to financial statements.

 

-48-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March  31, 2009
 

Investment Income

    

Interest

   $ 38,955      $ 5,186   
                

Expenses

    

Management fee

     481,122        44,213   

Offering costs

     —          19,109   
                

Total expenses

     481,122        63,322   
                

Net investment income (loss)

     (442,167     (58,136
                

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     13,941,207        (4,546,811

Short-term U.S. government and agency obligations

     11,153        —     
                

Net realized gain (loss)

     13,952,360        (4,546,811
                

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     5,704,694        1,681,648   

Short-term U.S. government and agency obligations

     7,609        —     
                

Change in net unrealized appreciation/depreciation

     5,712,303        1,681,648   
                

Net realized and unrealized gain (loss)

     19,664,663        (2,865,163
                

Net income (loss)

   $ 19,222,496      $ (2,923,299
                

Net income (loss) per weighted-average share

   $ 1.88      $ (2.57
                

Weighted-average shares outstanding

     10,208,903        1,139,458   
                

 

 

 

See accompanying notes to financial statements.

 

-49-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2010

(unaudited)

 

Shareholders’ equity, at December 31, 2009

   $ 100,847,786   

Addition of 8,800,000 shares

     175,158,072   
        

Net investment income (loss)

     (442,167

Net realized gain (loss)

     13,952,360   

Change in net unrealized appreciation/depreciation

     5,712,303   
        

Net income (loss)

     19,222,496   
        

Shareholders’ equity, at March 31, 2010

   $ 295,228,354   
        

 

 

 

 

See accompanying notes to financial statements.

 

-50-


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended

March  31, 2010
    Three months
ended

March  31, 2009
 

Cash flow from operating activities

    

Net income (loss)

   $ 19,222,496      $ (2,923,299

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

     —          (6,010,000

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

     (180,182,385     (27,831,279

Change in unrealized appreciation/depreciation on investments

     (5,712,303     (1,681,648

(Increase) Decrease in receivable from Sponsor

     —          32,234   

Amortization of offering cost

     —          19,109   

Increase (Decrease) in management fee payable

     162,705        —     

(Decrease) Increase in payable to Sponsor

     —          11,979   
                

Net cash provided by (used in) operating activities

     (166,509,487     (38,382,904
                

Cash flow from financing activities

    

Proceeds from addition of shares

     175,158,072        44,944,272   

Payment on shares redeemed

     —          (4,376,700
                

Net cash provided by (used in) financing activities

     175,158,072        40,567,572   
                

Net increase (decrease) in cash

     8,648,585        2,184,668   

Cash, beginning of period

     76,035        7,121,112   
                

Cash, end of period

   $ 8,724,620      $ 9,305,780   
                

 

 

 

See accompanying notes to financial statements.

 

-51-


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2010
(unaudited)
    December 31, 2009  

Assets

    

Cash

   $ 905,949      $ 85,344   

Short-term U.S. government and agency obligations (Note 3)
(cost $3,229,859 and $4,155,279, respectively)

     3,230,090        4,155,133   
                

Total assets

     4,136,039        4,240,477   
                

Liabilities and shareholders’ equity

    

Liabilities

    

Management fee payable

     3,326        3,397   

Unrealized depreciation on foreign currency forward contracts

     266,470        315,813   
                

Total liabilities

     269,796        319,210   
                

Shareholders’ equity

    

Paid-in capital

     3,969,617        3,969,617   

Accumulated earnings (deficit)

     (103,374     (48,350
                

Total shareholders’ equity

     3,866,243        3,921,267   
                

Total liabilities and shareholders’ equity

   $ 4,136,039      $ 4,240,477   
                

Shares outstanding

     150,014        150,014   
                

Net asset value per share

   $ 25.77      $ 26.14   
                

Market value per share (Note 2)

   $ 25.81      $ 26.58   
                

 

 

 

See accompanying notes to financial statements.

 

-52-


Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2010

(unaudited)

 

     Principal Amount    Value

Short-term U.S. government and agency obligations (84% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.060% due 04/08/10

   $ 1,148,000    $ 1,147,987

0.105% due 04/22/10

     1,083,000      1,082,913

0.260% due 08/26/10†

     1,000,000      999,190
         

Total short-term U.S. government and agency obligations
(cost $3,229,859)

      $ 3,230,090
         

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

   04/09/10    399,930,000      $ 4,276,092      $ (143,534

Yen with UBS AG

   04/09/10    353,640,000        3,781,154        (127,334
               
          $ (270,868
               

Contracts to Sell

         

Yen with Goldman Sachs International

   04/09/10    (7,200,000   $ (76,983   $ 1,389   

Yen with UBS AG

   04/09/10    (20,600,000     (220,257     3,009   
               
          $ 4,398   
               

 

^ The positions and counterparties herein are as of March 31, 2010. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

All or partial amount segregated as collateral for foreign currency forward contracts.

 

 

See accompanying notes to financial statements.

 

-53-


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009

(unaudited)

 

     Three months
ended
March 31, 2010
    Three months
ended

March  31, 2009
 

Investment Income

    

Interest

   $ 913      $ 508   
                

Expenses

    

Management fee

     9,651        —     

Offering costs

     —          19,108