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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 June 30, 2011.

OR

 

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

for the transition period from              to             .

 

 

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

 

Delaware   87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

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

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

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

 

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

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


Table of Contents

PROSHARES TRUST II

Table of Contents

 

Part I. FINANCIAL INFORMATION    Page  
Item 1.   Condensed Financial Statements.      1   
Item 2.   Management’s Discussion and Analysis of Financial Condition and Results of Operations.      118   
Item 3.   Quantitative and Qualitative Disclosures About Market Risk.      155   
Item 4.   Controls and Procedures.      172   

Part II. OTHER INFORMATION

  
Item 1.   Legal Proceedings.      173   
Item 1A.   Risk Factors.      173   
Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds.      173   
Item 3.   Defaults Upon Senior Securities.      176   
Item 4.   Removed and Reserved.      176   
Item 5.   Other Information.      176   
Item 6.   Exhibits.      176   


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 DJ-UBS Natural Gas

     22   

ProShares Short DJ-UBS Natural Gas

     23   

ProShares UltraShort DJ-UBS Natural Gas

     24   

ProShares Ultra Gold

     25   

ProShares Short Gold

     30   

ProShares UltraShort Gold

     31   

ProShares Ultra Silver

     36   

ProShares UltraShort Silver

     41   

ProShares Ultra Euro

     46   

ProShares UltraShort Euro

     51   

ProShares Ultra Yen

     56   

ProShares UltraShort Yen

     61   

ProShares Ultra VIX Short-Term Futures ETF

     66   

ProShares VIX Short-Term Futures ETF

     67   

ProShares Short VIX Short-Term Futures ETF

     72   

ProShares UltraShort VIX Short-Term Futures ETF

     73   

ProShares Ultra VIX Mid-Term Futures ETF

     74   

ProShares VIX Mid-Term Futures ETF

     75   

ProShares Short VIX Mid-Term Futures ETF

     80   

ProShares UltraShort VIX Mid-Term Futures ETF

     81   

ProShares Trust II

     82   

Notes to Financial Statements

     86   

 

-1-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

000000000000000 000000000000000
     June 30, 2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 9,009       $ 17,743   

Short-term U.S. government and agency obligations (Note 3)
(cost $18,514,256 and $16,426,195, respectively)

     18,514,669         16,426,651   

Unrealized appreciation on swap agreements

     —           1,755,750   
  

 

 

    

 

 

 

Total assets

     18,523,678         18,200,144   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     15,033         13,486   

Unrealized depreciation on swap agreements

     1,813,382         —     
  

 

 

    

 

 

 

Total liabilities

     1,828,415         13,486   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     16,695,263         18,186,658   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 18,523,678       $ 18,200,144   
  

 

 

    

 

 

 

Shares outstanding

     500,014         500,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 33.39       $ 36.37   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 33.38       $ 36.27   
  

 

 

    

 

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-2-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations (111% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.050% due 07/07/11

   $ 1,951,000       $ 1,950,997   

0.060% due 07/14/11†

     1,152,000         1,151,996   

0.058% due 07/21/11†

     2,441,000         2,440,975   

0.053% due 07/28/11†

     676,000         675,995   

0.023% due 08/04/11†

     2,576,000         2,575,965   

0.048% due 08/18/11†

     1,830,000         1,829,964   

0.044% due 08/25/11†

     4,115,000         4,114,908   

0.035% due 09/08/11†

     1,154,000         1,153,978   

0.014% due 09/15/11†

     2,620,000         2,619,891   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $18,514,256)

      $ 18,514,669   
     

 

 

 

 

 

 

Swap Agreements^

 

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

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

     07/06/11       $ 8,152,130       $ (435,944

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

     07/06/11         25,337,039         (1,377,438
        

 

 

 
         $ (1,813,382
        

 

 

 

 

All or partial amount segregated as collateral for swap agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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 SIX MONTHS ENDED JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months
ended
June 30, 2011
    Three months
ended
June 30, 2010
    Six months
ended
June 30, 2011
    Six months
ended
June 30, 2010
 

Investment Income

        

Interest

   $ 3,412      $ 6,549      $ 9,271      $ 11,318   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     48,436        28,875        94,549        60,926   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     48,436        28,875        94,549        60,926   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (45,024     (22,326     (85,278     (49,608
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     (1,213,954     (2,396,285     1,990,167        (2,738,144

Short-term U.S. government and agency obligations

     123        89        123        966   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (1,213,831     (2,396,196     1,990,290        (2,737,178
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     (2,137,478     1,020,246        (3,569,132     (636,568

Short-term U.S. government and agency obligations

     (303     194        (43     2,550   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (2,137,781     1,020,440        (3,569,175     (634,018
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (3,351,612     (1,375,756     (1,578,885     (3,371,196
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (3,396,636   $ (1,398,082   $ (1,664,163   $ (3,420,804
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (6.19   $ (2.74   $ (3.07   $ (6.63
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     548,366        509,904        542,555        516,312   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-4-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 18,186,658   

Addition of 50,000 shares

     1,782,755   

Redemption of 50,000 shares

     (1,609,987
  

 

 

 

Net addition (redemption) of 0 shares

     172,768   
  

 

 

 

Net investment income (loss)

     (85,278

Net realized gain (loss)

     1,990,290   

Change in net unrealized appreciation/depreciation

     (3,569,175
  

 

 

 

Net income (loss)

     (1,664,163
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 16,695,263   
  

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-5-


Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ (1,664,163   $ (3,420,804

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

    

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

     (2,088,061     8,268,742   

Change in unrealized appreciation/depreciation on investments

     3,569,175        634,018   

Increase (Decrease) in management fee payable

     1,547        (5,877
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (181,502     5,476,079   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,782,755        5,958,070   

Payment on shares redeemed

     (1,609,987     (9,976,249
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     172,768        (4,018,179
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (8,734     1,457,900   

Cash, beginning of period

     17,743        78,112   
  

 

 

   

 

 

 

Cash, end of period

   $ 9,009      $ 1,536,012   
  

 

 

   

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-6-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

000000000000000 000000000000000
     June 30, 2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 13,740       $ 10,654   

Short-term U.S. government and agency obligations (Note 3)
(cost $27,261,191 and $1,594,783, respectively)

     27,261,465         1,594,842   

Unrealized appreciation on swap agreements

     2,252,534         —     
  

 

 

    

 

 

 

Total assets

     29,527,739         1,605,496   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     31,970         1,273   

Unrealized depreciation on swap agreements

     —           164,150   
  

 

 

    

 

 

 

Total liabilities

     31,970         165,423   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     29,495,769         1,440,073   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 29,527,739       $ 1,605,496   
  

 

 

    

 

 

 

Shares outstanding

     609,997         30,003   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 48.35       $ 48.00   
  

 

 

    

 

 

 

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

   $ 48.67       $ 48.30   
  

 

 

    

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-7-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations (92% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.005% due 07/07/11†

   $ 10,203,000       $ 10,202,986   

0.010% due 07/28/11†

     656,000         655,995   

0.015% due 08/04/11†

     1,993,000         1,992,973   

0.048% due 08/18/11†

     309,000         308,994   

0.045% due 08/25/11†

     5,581,000         5,580,874   

0.021% due 09/15/11†

     8,290,000         8,289,655   

0.011% due 09/22/11

     115,000         114,994   

0.015% due 09/29/11

     115,000         114,994   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $27,261,191)

      $ 27,261,465   
     

 

 

 

 

 

 

Swap Agreements^

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

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

     07/06/11       $ (14,458,798   $ 494,019   

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

     07/06/11         (44,002,256     1,758,515   
       

 

 

 
        $ 2,252,534   
       

 

 

 

 

All or partial amount segregated as collateral for swap agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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 SIX MONTHS ENDED JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months
ended
June 30, 2011
    Three months
ended
June 30, 2010
    Six months
ended
June 30, 2011
    Six months
ended
June 30, 2010
 

Investment Income

        

Interest

   $ 2,051      $ 1,438      $ 2,791      $ 2,318   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     73,560        10,734        79,037        19,491   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     73,560        10,734        79,037        19,491   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (71,509     (9,296     (76,246     (17,173
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     (5,131,689     688,684        (5,516,002     551,420   

Short-term U.S. government and agency obligations

     1,169        —          1,166        (82
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (5,130,520     688,684        (5,514,836     551,338   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     2,333,550        (548,694     2,416,684        (220,929

Short-term U.S. government and agency obligations

     257        36        215        413   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     2,333,807        (548,658     2,416,899        (220,516
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (2,796,713     140,026        (3,097,937     330,822   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (2,868,222   $ 130,730      $ (3,174,183   $ 313,649   
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (4.20   $ 2.36      $ (8.62   $ 6.06   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     682,524        55,497        368,065        51,771   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-9-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED

JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 1,440,073   

Addition of 1,780,000 shares (Note 1)

     84,549,839   

Redemption of 1,200,006 shares (Note 1)

     (53,319,960
  

 

 

 

Net addition (redemption) of 579,994 shares (Note 1)

     31,229,879   
  

 

 

 

Net investment income (loss)

     (76,246

Net realized gain (loss)

     (5,514,836

Change in net unrealized appreciation/depreciation

     2,416,899   
  

 

 

 

Net income (loss)

     (3,174,183
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 29,495,769   
  

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-10-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ (3,174,183   $ 313,649   

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

    

Decrease (Increase) in segregated cash balances for swap agreements

     —          65,800   

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

     (25,666,408     69,494   

Change in unrealized appreciation/depreciation on investments

     (2,416,899     220,516   

Increase (Decrease) in management fee payable

     30,697        1,136   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (31,226,793     670,595   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     84,549,839        3,370,174   

Payment on shares redeemed

     (53,319,960     (3,226,596
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     31,229,879        143,578   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     3,086        814,173   

Cash, beginning of period

     10,654        90,383   
  

 

 

   

 

 

 

Cash, end of period

   $ 13,740      $ 904,556   
  

 

 

   

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-11-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

000000000000000 000000000000000
     June 30, 2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 3,864,304       $ 905,158   

Segregated cash balances with brokers for futures contracts

     29,816,100         10,631,250   

Short-term U.S. government and agency obligations (Note 3)
(cost $382,581,117 and $244,384,335, respectively)

     382,583,422         244,394,920   

Unrealized appreciation on swap agreements

     —           5,649,644   

Receivable from capital shares sold

     18,214,973         —     

Receivable on open futures contracts

     1,843,059         3,035,150   
  

 

 

    

 

 

 

Total assets

     436,321,858         264,616,122   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           36,266,723   

Management fee payable

     244,818         216,322   

Unrealized depreciation on swap agreements

     9,679,803         —     
  

 

 

    

 

 

 

Total liabilities

     9,924,621         36,483,045   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     426,397,237         228,133,077   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 436,321,858       $ 264,616,122   
  

 

 

    

 

 

 

Shares outstanding

     9,999,170         4,562,504   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 42.64       $ 50.00   
  

 

 

    

 

 

 

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

   $ 42.18       $ 49.98   
  

 

 

    

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-12-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations (90% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.005% due 07/07/11

   $ 21,106,000       $ 21,105,970   

0.064% due 07/14/11†

     10,947,000         10,946,964   

0.058% due 07/21/11

     16,364,000         16,363,828   

0.035% due 07/28/11†

     19,575,000         19,574,859   

0.021% due 08/04/11†

     71,671,000         71,670,018   

0.028% due 08/11/11†

     26,046,000         26,045,568   

0.023% due 08/18/11†

     32,705,000         32,704,362   

0.045% due 08/25/11†

     10,373,000         10,372,767   

0.033% due 09/01/11

     20,671,000         20,670,477   

0.034% due 09/08/11†

     10,792,000         10,791,796   

0.022% due 09/15/11†

     57,152,000         57,149,622   

0.016% due 09/22/11†

     78,030,000         78,025,545   

0.015% due 09/29/11

     7,162,000         7,161,646   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $382,581,117)

      $ 382,583,422   
     

 

 

 

 

 

 

Futures Contracts Purchased

 

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

Crude Oil – NYMEX, expires September 2011

     3,681       $ 353,228,760       $ (8,560,860

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

     07/06/11       $ 167,208,929       $ (5,067,105

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

     07/06/11         332,370,201         (4,612,698
        

 

 

 
         $ (9,679,803
        

 

 

 

 

All or partial amount segregated as collateral for swap agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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 SIX MONTHS ENDED JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months
ended

June 30, 2011
    Three months
ended

June 30, 2010
    Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Investment Income

        

Interest

   $ 39,410      $ 132,798      $ 137,728      $ 174,054   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     657,181        841,537        1,456,224        1,445,462   

Brokerage commissions

     25,104        51,622        54,773        79,965   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     682,285        893,159        1,510,997        1,525,427   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (642,875     (760,361     (1,373,269     (1,351,373
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     11,804,564        (11,447,341     34,464,884        8,078,781   

Swap agreements

     (19,651,096     (45,766,422     39,873,011        (12,270,907

Short-term U.S. government and agency obligations

     8,033        2,683        12,962        45,375   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (7,838,499     (57,211,080     74,350,857        (4,146,751
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (28,278,000     (9,058,300     (13,973,620     (15,378,680

Swap agreements

     (5,895,327     17,726,009        (15,329,447     1,334,168   

Short-term U.S. government and agency obligations

     (12,459     18,945        (8,280     41,803   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (34,185,786     8,686,654        (29,311,347     (14,002,709
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (42,024,285     (48,524,426     45,039,510        (18,149,460
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (42,667,160   $ (49,284,787   $ 43,666,241      $ (19,500,833
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (7.60   $ (5.76   $ 6.92      $ (2.78
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     5,611,258        8,560,855        6,305,952        7,008,498   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-14-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED

JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 228,133,077   

Addition of 17,475,000 shares (Note 1)

     786,629,115   

Redemption of 12,038,334 shares (Note 1)

     (632,031,196
  

 

 

 

Net addition (redemption) of 5,436,666 shares (Note 1)

     154,597,919   
  

 

 

 

Net investment income (loss)

     (1,373,269

Net realized gain (loss)

     74,350,857   

Change in net unrealized appreciation/depreciation

     (29,311,347
  

 

 

 

Net income (loss)

     43,666,241   
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 426,397,237   
  

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-15-


Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ 43,666,241      $ (19,500,833

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

    

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

     (19,184,850     (7,324,639

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

     (138,196,782     (123,037,745

Change in unrealized appreciation/depreciation on investments

     15,337,727        (1,375,971

Decrease (Increase) in receivable on futures contracts

     1,192,091        1,466,444   

Increase (Decrease) in management fee payable

     28,496        162,519   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (97,157,077     (149,610,225
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     768,414,142        695,289,489   

Payment on shares redeemed

     (668,297,919     (537,708,197
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     100,116,223        157,581,292   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,959,146        7,971,067   

Cash, beginning of period

     905,158        80,936   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,864,304      $ 8,052,003   
  

 

 

   

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-16-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2011
(unaudited)
     December 31,
2010
 

Assets

     

Cash

   $ 1,249,378       $ 4,007,347   

Segregated cash balances with brokers for futures contracts

     9,059,758         4,252,500   

Short-term U.S. government and agency obligations (Note 3)
(cost $123,613,509 and $135,631,915, respectively)

     123,614,651         135,637,192   

Unrealized appreciation on swap agreements

     6,899,392         —     

Receivable from capital shares sold

     19,578,874         —     
  

 

 

    

 

 

 

Total assets

     160,402,053         143,897,039   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           6,313,753   

Payable on open futures contracts

     —           1,140,144   

Management fee payable

     113,611         117,277   

Unrealized depreciation on swap agreements

     —           4,111,608   
  

 

 

    

 

 

 

Total liabilities

     113,611         11,682,782   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     160,288,442         132,214,257   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 160,402,053       $ 143,897,039   
  

 

 

    

 

 

 

Shares outstanding

     3,319,944         2,600,003   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 48.28       $ 50.85   
  

 

 

    

 

 

 

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

   $ 48.80       $ 50.85   
  

 

 

    

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-17-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations (77% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.050% due 07/07/11†

   $ 12,535,000       $ 12,534,982   

0.065% due 07/14/11†

     12,893,000         12,892,957   

0.058% due 07/21/11

     9,894,000         9,893,896   

0.012% due 07/28/11†

     11,862,000         11,861,915   

0.022% due 08/04/11†

     14,013,000         14,012,808   

0.015% due 08/11/11†

     12,250,000         12,249,797   

0.045% due 08/18/11†

     1,842,000         1,841,964   

0.044% due 08/25/11†

     10,847,000         10,846,756   

0.026% due 09/01/11

     1,289,000         1,288,967   

0.036% due 09/08/11†

     9,613,000         9,612,818   

0.010% due 09/15/11†

     18,416,000         18,415,234   

0.011% due 09/22/11†

     5,226,000         5,225,702   

0.015% due 09/29/11

     2,937,000         2,936,855   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $123,613,509)

      $ 123,614,651   
     

 

 

 

 

 

 

Futures Contracts Sold

 

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

Crude Oil – NYMEX, expires September 2011

     1,146       $ 109,970,160       $ 2,287,900   

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

     07/06/11       $ (73,730,860   $ 2,781,226   

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

     07/06/11         (136,879,095     4,118,166   
       

 

 

 
        $ 6,899,392   
       

 

 

 

 

All or partial amount segregated as collateral for swap agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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 SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months
ended
June 30, 2011
    Three months
ended
June 30, 2010
    Six months
ended
June 30, 2011
    Six months
ended
June 30, 2010
 

Investment Income

        

Interest

   $ 25,984      $ 33,056      $ 62,434      $ 55,494   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     401,339        189,102        699,551        406,784   

Brokerage commissions

     16,653        15,543        32,302        27,722   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     417,992        204,645        731,853        434,506   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (392,008     (171,589     (669,419     (379,012
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     7,076,973        5,375,460        2,465,383        5,001,258   

Swap agreements

     24,452,132        16,625,026        15,128,493        18,583,440   

Short-term U.S. government and agency obligations

     9,722        7,620        10,149        8,525   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     31,538,827        22,008,106        17,604,025        23,593,223   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     5,409,880        3,248,810        4,672,320        3,865,930   

Swap agreements

     7,491,982        1,175,687        11,011,000        (618,247

Short-term U.S. government and agency obligations

     (5,295     1,417        (4,135     7,912   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     12,896,567        4,425,914        15,679,185        3,255,595   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     44,435,394        26,434,020        33,283,210        26,848,818   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 44,043,386      $ 26,262,431      $ 32,613,791      $ 26,469,806   
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 11.02      $ 20.97      $ 9.90      $ 20.23   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     3,997,966        1,252,640        3,294,495        1,308,456   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-19-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED

JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 132,214,257   

Addition of 7,080,000 shares (Note 1)

     304,540,395   

Redemption of 6,360,059 shares (Note 1)

     (309,080,001
  

 

 

 

Net addition (redemption) of 719,941 shares (Note 1)

     (4,539,606
  

 

 

 

Net investment income (loss)

     (669,419

Net realized gain (loss)

     17,604,025   

Change in net unrealized appreciation/depreciation

     15,679,185   
  

 

 

 

Net income (loss)

     32,613,791   
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 160,288,442   
  

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-20-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ 32,613,791      $ 26,469,806   

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

    

Decrease (Increase) in segregated cash balances for swap agreements

     —          (387,100

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

     (4,807,258     1,909,912   

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

     12,018,406        35,378,783   

Change in unrealized appreciation/depreciation on investments

     (11,006,865     610,335   

Decrease (Increase) in receivable on futures contracts

     —          (417,984

Increase (Decrease) in management fee payable

     (3,666     (34,507

Increase (Decrease) in payable on futures contracts

     (1,140,144     (1,271,069
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     27,674,264        62,258,176   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     284,961,521        245,392,705   

Payment on shares redeemed

     (315,393,754     (284,420,793
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (30,432,233     (39,028,088
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (2,757,969     23,230,088   

Cash, beginning of period

     4,007,347        75,409   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,249,378      $ 23,305,497   
  

 

 

   

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-21-


Table of Contents

PROSHARES ULTRA DJ-UBS NATURAL GAS*

STATEMENT OF FINANCIAL CONDITION

 

     June 30,  2011
(unaudited)
 

Assets

  

Cash

   $ 400   

Offering costs (Note 5)

     26,624   
  

 

 

 

Total assets

     27,024   
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable for offering costs

     26,624   
  

 

 

 

Total liabilities

     26,624   
  

 

 

 

Shareholders’ equity

  

Shareholders’ equity

   $ 400   
  

 

 

 

Total liabilities and shareholders’ equity

   $ 27,024   
  

 

 

 

 

* See Note 1.

 

 

 

 

 

See accompanying notes to financial statements.

 

-22-


Table of Contents

PROSHARES SHORT DJ-UBS NATURAL GAS*

STATEMENTS OF FINANCIAL CONDITION

 

000000000000000 000000000000000
     June 30,  2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 200       $ 200   

Offering costs (Note 5)

     29,090         —     
  

 

 

    

 

 

 

Total assets

     29,290         200   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for offering costs

     29,090         —     
  

 

 

    

 

 

 

Total liabilities

     29,090         —     
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     200         200   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 29,290       $ 200   
  

 

 

    

 

 

 

 

* See Note 1.

 

 

 

 

 

See accompanying notes to financial statements.

 

-23-


Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS*

STATEMENT OF FINANCIAL CONDITION

 

     June 30,  2011
(unaudited)
 

Assets

  

Cash

   $ 400   

Offering costs (Note 5)

     26,624   
  

 

 

 

Total assets

     27,024   
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable for offering costs

     26,624   
  

 

 

 

Total liabilities

     26,624   
  

 

 

 

Shareholders’ equity

  

Shareholders’ equity

   $ 400   
  

 

 

 

Total liabilities and shareholders’ equity

   $ 27,024   
  

 

 

 

 

* See Note 1.

 

 

 

 

 

See accompanying notes to financial statements.

 

-24-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 1,189,728       $ 1,262,424   

Segregated cash balances with brokers for futures contracts

     430,494         467,775   

Short-term U.S. government and agency obligations (Note 3)
(cost $296,045,464 and $249,242,580, respectively)

     296,053,835         249,250,657   

Unrealized appreciation on forward agreements

     —           8,724,587   

Receivable on open futures contracts

     —           60,830   
  

 

 

    

 

 

 

Total assets

     297,674,057         259,766,273   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     228,476         204,198   

Unrealized depreciation on forward agreements

     14,680,169         —     
  

 

 

    

 

 

 

Total liabilities

     14,908,645         204,198   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     282,765,412         259,562,075   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 297,674,057       $ 259,766,273   
  

 

 

    

 

 

 

Shares outstanding

     3,650,014         3,750,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 77.47       $ 69.22   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 76.78       $ 70.72   
  

 

 

    

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-25-


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations (105% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.050% due 07/07/11†

   $ 16,092,000       $ 16,091,978   

0.059% due 07/14/11†

     54,960,000         54,959,819   

0.058% due 07/21/11†

     20,507,000         20,506,785   

0.021% due 08/04/11

     24,013,000         24,012,671   

0.015% due 08/11/11

     7,803,000         7,802,870   

0.048% due 08/18/11†

     26,233,000         26,232,488   

0.044% due 08/25/11†

     46,744,000         46,742,948   

0.054% due 09/01/11

     12,146,000         12,145,693   

0.035% due 09/08/11†

     56,353,000         56,351,935   

0.020% due 09/15/11†

     26,596,000         26,594,894   

0.011% due 09/22/11

     2,306,000         2,305,868   

0.015% due 09/29/11

     2,306,000         2,305,886   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $296,045,464)

      $ 296,053,835   
     

 

 

 

 

 

 

Futures Contracts Purchased

 

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

Gold Futures – COMEX, expires August 2011

     84       $ 12,623,520       $ (216,870

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

     07/07/11       $ 93,920       $ 141,401,256       $ (3,702,742

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

     07/07/11         273,300         411,466,815         (10,977,427
           

 

 

 
            $ (14,680,169
           

 

 

 

 

All or partial amount segregated as collateral for forward agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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.

 

-26-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months
ended
June 30, 2011
    Three months
ended
June 30, 2010
    Six months
ended
June 30, 2011
    Six months
ended
June 30, 2010
 

Investment Income

        

Interest

   $ 46,720      $ 77,349      $ 118,504      $ 102,169   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     655,099        447,194        1,208,434        830,426   

Brokerage commissions

     905        1,067        1,810        2,071   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     656,004        448,261        1,210,244        832,497   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (609,284     (370,912     (1,091,740     (730,328
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     645,135        984,644        823,165        905,501   

Forward agreements

     41,966,226        45,292,173        49,809,607        42,807,434   

Short-term U.S. government and agency obligations

     4        —          (148     5,759   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     42,611,365        46,276,817        50,632,624        43,718,694   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (386,850     62,390        (522,850     318,770   

Forward agreements

     (22,067,679     (8,015,828     (23,404,756     (523,305

Short-term U.S. government and agency obligations

     (2,106     13,222        294        14,523   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (22,456,635     (7,940,216     (23,927,312     (190,012
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     20,154,730        38,336,601        26,705,312        43,528,682   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 19,545,446      $ 37,965,689      $ 25,613,572      $ 42,798,354   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 5.51      $ 10.43      $ 7.23      $ 11.79   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     3,546,717        3,640,124        3,540,622        3,630,125   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-27-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 259,562,075   

Addition of 350,000 shares

     27,749,979   

Redemption of 450,000 shares

     (30,160,214
  

 

 

 

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

     (2,410,235
  

 

 

 

Net investment income (loss)

     (1,091,740

Net realized gain (loss)

     50,632,624   

Change in net unrealized appreciation/depreciation

     (23,927,312
  

 

 

 

Net income (loss)

     25,613,572   
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 282,765,412   
  

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-28-


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ 25,613,572      $ 42,798,354   

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

    

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

     37,281        (171,521

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

     (46,802,884     (27,330,200

Change in unrealized appreciation/depreciation on investments

     23,404,462        508,782   

Decrease (Increase) in receivable on futures contracts

     60,830        32,930   

Increase (Decrease) in management fee payable

     24,278        10,886   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,337,539        15,849,231   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     27,749,979        55,273,217   

Payment on shares redeemed

     (30,160,214     (52,059,074
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,410,235     3,214,143   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (72,696     19,063,374   

Cash, beginning of period

     1,262,424        96,468   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,189,728      $ 19,159,842   
  

 

 

   

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-29-


Table of Contents

PROSHARES SHORT GOLD*

STATEMENTS OF FINANCIAL CONDITION

 

     June 30,  2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 200       $ 200   

Offering costs (Note 5)

     12,424         —     
  

 

 

    

 

 

 

Total assets

     12,624         200   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for offering costs

     12,424         —     
  

 

 

    

 

 

 

Total liabilities

     12,424         —     
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     200         200   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 12,624       $ 200   
  

 

 

    

 

 

 

 

* See Note 1.

 

 

 

 

 

See accompanying notes to financial statements.

 

-30-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

0000000000000 0000000000000
     June 30,  2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 455,771       $ 404,683   

Segregated cash balances with brokers for futures contracts

     194,400         364,500   

Short-term U.S. government and agency obligations (Note 3)
(cost $90,493,286 and $80,111,190, respectively)

     90,494,051         80,114,447   

Unrealized appreciation on forward agreements

     4,408,940         —     

Receivable on open futures contracts

     44,804         —     
  

 

 

    

 

 

 

Total assets

     95,597,966         80,883,630   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           94,800   

Management fee payable

     72,412         64,932   

Unrealized depreciation on forward agreements

     —           2,991,391   
  

 

 

    

 

 

 

Total liabilities

     72,412         3,151,123   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     95,525,554         77,732,507   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 95,597,966       $ 80,883,630   
  

 

 

    

 

 

 

Shares outstanding

     3,989,901         2,739,901   
  

 

 

    

 

 

 

Net asset value per share

   $ 23.94       $ 28.37   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 24.14       $ 27.80   
  

 

 

    

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-31-


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills:

     

0.050% due 07/07/11†

   $ 8,177,000       $ 8,176,988   

0.060% due 07/14/11†

     906,000         905,997   

0.058% due 07/21/11†

     7,089,000         7,088,926   

0.006% due 07/28/11

     5,303,000         5,302,962   

0.016% due 08/04/11†

     18,611,000         18,610,745   

0.048% due 08/18/11†

     1,808,000         1,807,965   

0.045% due 08/25/11†

     25,893,000         25,892,417   

0.028% due 09/01/11

     984,000         983,975   

0.003% due 09/15/11†

     19,929,000         19,928,171   

0.011% due 09/22/11

     898,000         897,949   

0.015% due 09/29/11

     898,000         897,956   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $90,493,286)

      $ 90,494,051   
     

 

 

 

 

 

 

Futures Contracts Sold

 

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

Gold Futures – COMEX, expires August 2011

     32       $ 4,808,960       $ 80,660   

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

     07/07/11       $ (30,498   $ (45,916,264   $ 1,132,142   

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

     07/07/11         (93,200     (140,317,260     3,276,798   
         

 

 

 
          $ 4,408,940   
         

 

 

 

 

All or partial amount segregated as collateral for forward agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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.

 

-32-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months ended
June 30, 2011
    Three months ended
June 30, 2010
    Six months ended
June 30, 2011
    Six months ended
June 30, 2010
 

Investment Income

        

Interest

   $ 12,751      $ 26,319      $ 44,027      $ 39,753   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     201,127        152,203        430,641        314,538   

Brokerage commissions

     761        775        1,853        1,825   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     201,888        152,978        432,494        316,363   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (189,137     (126,659     (388,467     (276,610
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (678,575     (422,725     (897,335     (314,318

Forward agreements

     (14,757,362     (18,270,102     (22,491,989     (20,089,396

Short-term U.S. government and agency obligations

     214        53        534        2,156   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (15,435,723     (18,692,774     (23,388,790     (20,401,558
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     231,680        (1,690     373,410        (61,070

Forward agreements

     6,860,968        2,688,728        7,400,331        (381,418

Short-term U.S. government and agency obligations

     (2,020     2,175        (2,492     6,157   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     7,090,628        2,689,213        7,771,249        (436,331
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (8,345,095     (16,003,561     (15,617,541     (20,837,889
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (8,534,232   $ (16,130,220   $ (16,006,008   $ (21,114,499
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (2.42   $ (10.46   $ (4.64   $ (14.40
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     3,526,165        1,541,572        3,448,188        1,466,482   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-33-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 77,732,507   

Addition of 2,000,000 shares

     54,729,892   

Redemption of 750,000 shares

     (20,930,837
  

 

 

 

Net addition (redemption) of 1,250,000 shares

     33,799,055   
  

 

 

 

Net investment income (loss)

     (388,467

Net realized gain (loss)

     (23,388,790

Change in net unrealized appreciation/depreciation

     7,771,249   
  

 

 

 

Net income (loss)

     (16,006,008
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 95,525,554   
  

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-34-


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ (16,006,008   $ (21,114,499

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

    

Decrease (Increase) in segregated cash balances for forward agreements

     —          (409,500

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

     170,100        22,361   

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

     (10,382,096     (2,263,925

Change in unrealized appreciation/depreciation on investments

     (7,397,839     375,261   

Decrease (Increase) in receivable on futures contracts

     (44,804     —     

Increase (Decrease) in management fee payable

     7,480        2,523   

Increase (Decrease) in payable on futures contracts

     (94,800     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (33,747,967     (23,387,779
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     54,729,892        49,991,342   

Payment on shares redeemed

     (20,930,837     (25,778,777
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     33,799,055        24,212,565   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     51,088        824,786   

Cash, beginning of period

     404,683        75,790   
  

 

 

   

 

 

 

Cash, end of period

   $ 455,771      $ 900,576   
  

 

 

   

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-35-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

000000000000000 000000000000000
     June 30, 2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 2,267,056       $ 2,505,032   

Segregated cash balances with brokers for futures contracts

     6,199,200         2,395,913   

Short-term U.S. government and agency obligations (Note 3)
(cost $903,727,295 and $495,898,270, respectively)

     903,750,395         495,915,529   

Unrealized appreciation on forward agreements

     —           46,191,568   

Receivable on open futures contracts

     90,405         391,421   
  

 

 

    

 

 

 

Total assets

     912,307,056         547,399,463   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     727,807         395,544   

Unrealized depreciation on forward agreements

     29,650,423         —     
  

 

 

    

 

 

 

Total liabilities

     30,378,230         395,544   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     881,928,826         547,003,919   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 912,307,056       $ 547,399,463   
  

 

 

    

 

 

 

Shares outstanding

     5,250,014         3,500,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 167.99       $ 156.29   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 164.93       $ 158.59   
  

 

 

    

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-36-


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations (102% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.014% due 07/07/11†

   $ 43,993,000       $ 43,992,938   

0.049% due 07/14/11†

     92,141,000         92,140,696   

0.058% due 07/21/11†

     33,966,000         33,965,643   

0.006% due 07/28/11†

     14,572,000         14,571,895   

0.015% due 08/04/11†

     51,174,000         51,173,299   

0.048% due 08/11/11†

     274,987,000         274,982,435   

0.047% due 08/18/11†

     119,517,000         119,514,670   

0.044% due 08/25/11†

     34,847,000         34,846,216   

0.043% due 09/01/11

     28,223,000         28,222,286   

0.034% due 09/08/11†

     98,933,000         98,931,130   

0.012% due 09/15/11†

     17,754,000         17,753,262   

0.013% due 09/22/11†

     58,191,000         58,187,677   

0.015% due 09/29/11

     35,470,000         35,468,248   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $903,727,295)

      $ 903,750,395   
     

 

 

 

Futures Contracts Purchased

 

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

Silver Futures – COMEX, expires September 2011

     287       $ 49,983,920       $ (1,087,315

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

     07/07/11       $ 12,045,800       $ 421,855,962       $ (6,945,560

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

     07/07/11         36,914,000         1,292,765,194         (22,704,863
           

 

 

 
            $ (29,650,423
           

 

 

 

 

All or partial amount segregated as collateral for forward agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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.

 

-37-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months
ended

June 30, 2011
    Three months
ended

June 30, 2010
    Six months
ended

June 30, 2011
    Six months
ended
June 30, 2010
 

Investment Income

        

Interest

   $ 172,821      $ 80,805      $ 358,916      $ 117,250   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     2,599,506        419,415        4,107,369        791,851   

Brokerage commissions

     3,290        1,580        5,228        3,355   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     2,602,796        420,995        4,112,597        795,206   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (2,429,975     (340,190     (3,753,681     (677,956
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     4,639,205        1,254,115        8,607,516        311,419   

Forward agreements

     (210,971,245     31,635,413        58,404,905        24,739,760   

Short-term U.S. government and agency obligations

     38,696        492        40,326        7,983   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (206,293,344     32,890,020        67,052,747        25,059,162   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (9,939,230     (974,170     (4,143,535     680,035   

Forward agreements

     (95,001,841     (13,766,948     (75,841,991     10,496   

Short-term U.S. government and agency obligations

     (19,111     12,122        5,841        25,519   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (104,960,182     (14,728,996     (79,979,685     716,050   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (311,253,526     18,161,024        (12,926,938     25,775,212   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (313,683,501   $ 17,820,834      $ (16,680,619   $ 25,097,256   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (62.69   $ 6.25      $ (3.77   $ 8.74   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     5,003,860        2,850,563        4,425,705        2,871,561   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-38-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED

JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 547,003,919   

Addition of 3,700,000 shares

     728,989,750   

Redemption of 1,950,000 shares

     (377,384,224
  

 

 

 

Net addition (redemption) of 1,750,000 shares

     351,605,526   
  

 

 

 

Net investment income (loss)

     (3,753,681

Net realized gain (loss)

     67,052,747   

Change in net unrealized appreciation/depreciation

     (79,979,685
  

 

 

 

Net income (loss)

     (16,680,619
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 881,928,826   
  

 

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-39-


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ (16,680,619   $ 25,097,256   

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

    

Decrease (Increase) in segregated cash balances for forward agreements

     —          (337,800

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

     (3,803,287     104,638   

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

     (407,829,025     (12,228,756

Change in unrealized appreciation/depreciation on investments

     75,836,150        (36,015

Decrease (Increase) in receivable on futures contracts

     301,016        (30,878

Increase (Decrease) in management fee payable

     332,263        15,012   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (351,843,502     12,583,457   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     728,989,750        73,802,200   

Payment on shares redeemed

     (377,384,224     (69,247,131
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     351,605,526        4,555,069   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (237,976     17,138,526   

Cash, beginning of period

     2,505,032        75,670   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,267,056      $ 17,214,196   
  

 

 

   

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-40-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

0000000000000 0000000000000
     June 30, 2011
(unaudited)
     December 31, 2010  

Assets

     

Cash

   $ 3,193,729       $ 3,514,285   

Segregated cash balances with brokers for futures contracts

     3,512,895         512,663   

Short-term U.S. government and agency obligations (Note 3)
(cost $635,371,119 and $105,316,101, respectively)

     635,383,368         105,319,504   

Unrealized appreciation on forward agreements

     15,622,660         —     
  

 

 

    

 

 

 

Total assets

     657,712,652         109,346,452   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           227,423   

Management fee payable

     499,288         75,903   

Unrealized depreciation on forward agreements

     —           10,010,345   
  

 

 

    

 

 

 

Total liabilities

     499,288         10,313,671   
  

 

 

    

 

 

 

Shareholders’ equity

     

Shareholders’ equity

     657,213,364         99,032,781   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 657,712,652       $ 109,346,452   
  

 

 

    

 

 

 

Shares outstanding

     35,194,369         2,482,479   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 18.67       $ 39.89   
  

 

 

    

 

 

 

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

   $ 18.99       $ 39.28   
  

 

 

    

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-41-


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2011

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations (97% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.005% due 07/07/11†

   $ 20,235,000       $ 20,234,972   

0.065% due 07/14/11†

     49,364,000         49,363,837   

0.058% due 07/21/11†

     72,056,000         72,055,243   

0.010% due 07/28/11

     13,195,000         13,194,905   

0.037% due 08/04/11†

     119,384,000         119,382,364   

0.042% due 08/11/11†

     58,246,000         58,245,033   

0.046% due 08/18/11†

     117,227,000         117,224,714   

0.042% due 08/25/11†

     17,987,000         17,986,595   

0.028% due 09/01/11

     52,343,000         52,341,676   

0.031% due 09/08/11†

     19,651,000         19,650,629   

0.004% due 09/15/11

     52,767,000         52,764,805   

0.019% due 09/22/11†

     36,959,000         36,956,890   

0.015% due 09/29/11

     5,982,000         5,981,705   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $635,371,119)

      $ 635,383,368   
     

 

 

 

 

 

 

Futures Contracts Sold

 

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

Silver Futures – COMEX, expires September 2011

     207       $ 36,051,120       $ 848,525   

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

     07/07/11       $ (8,932,500   $ (312,825,083   $ 4,863,523   

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

     07/07/11         (27,553,000     (964,933,613     10,759,137   
         

 

 

 
          $ 15,622,660   
         

 

 

 

 

All or partial amount segregated as collateral for forward agreements.

 

^ The positions and counterparties herein are as of June 30, 2011. 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.

 

-42-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND 2010

(unaudited)

 

     Three months
ended
June 30, 2011
    Three months
ended

June  30, 2010
    Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Investment Income

        

Interest

   $ 57,651      $ 24,355      $ 104,548      $ 39,267   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,142,997        129,704        1,483,259        297,094   

Brokerage commissions

     1,656        1,235        2,287        1,892   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,144,653        130,939        1,485,546        298,986   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,087,002     (106,584     (1,380,998     (259,719
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     1,933,700        (447,210     210,504        (63,750

Forward agreements

     27,010,732        (19,007,793     (52,554,885     (22,117,438

Short-term U.S. government and agency obligations

     1,253        130        2,521        3,217   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     28,945,685        (19,454,873     (52,341,860     (22,177,971
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     1,138,020        173,585        1,367,945        (193,285

Forward agreements

     24,618,761        4,889,197        25,633,005        (835,316

Short-term U.S. government and agency obligations

     7,090        2,701        8,846        7,791   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     25,763,871        5,065,483        27,009,796        (1,020,810
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     54,709,556        (14,389,390     (25,332,064     (23,198,781
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 53,622,554      $ (14,495,974   $ (26,713,062   $ (23,458,500
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 2.04      $ (37.76   $ (1.75   $ (60.79
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     26,263,600        383,857        15,228,421        385,917   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-43-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED

JUNE 30, 2011

(unaudited)

 

Shareholders’ equity, at December 31, 2010

   $ 99,032,781   

Addition of 45,687,500 shares (Note 1)

     866,620,194   

Redemption of 12,975,610 shares (Note 1)

     (281,726,549
  

 

 

 

Net addition (redemption) of 32,711,890 shares (Note 1)

     584,893,645   
  

 

 

 

Net investment income (loss)

     (1,380,998

Net realized gain (loss)

     (52,341,860

Change in net unrealized appreciation/depreciation

     27,009,796   
  

 

 

 

Net income (loss)

     (26,713,062
  

 

 

 

Shareholders’ equity, at June 30, 2011

   $ 657,213,364   
  

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

-44-


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED

JUNE 30, 2011 AND 2010

(unaudited)

 

     Six months
ended

June 30, 2011
    Six months
ended

June 30, 2010
 

Cash flow from operating activities

    

Net income (loss)

   $ (26,713,062   $ (23,458,500

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

    

Decrease (Increase) in segregated cash balances for forward agreements

     —          (100

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

     (3,000,232     224,903   

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

     (530,055,018     19,196,388   

Change in unrealized appreciation/depreciation on investments

     (25,641,851     827,525   

Increase (Decrease) in management fee payable

     423,385        (11,843

Increase (Decrease) in payable on futures contracts

     (227,423     64,385   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (585,214,201     (3,157,242
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     866,620,194        53,370,408   

Payment on shares redeemed

     (281,726,549     (39,4