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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, 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
| 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. | 88 | ||
|
Item 3. |
Quantitative and Qualitative Disclosures About Market Risk. | 104 | ||
|
Item 4. |
Controls and Procedures. | 121 | ||
|
Part II. OTHER INFORMATION |
||||
|
Item 1. |
Legal Proceedings. | 122 | ||
|
Item 1A. |
Risk Factors. | 122 | ||
|
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds. | 123 | ||
|
Item 3. |
Defaults Upon Senior Securities. | 125 | ||
|
Item 4. |
Reserved. | 125 | ||
|
Item 5. |
Other Information. | 125 | ||
|
Item 6. |
Exhibits. | 125 | ||
| 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: |
||
| 2 | ||
| 7 | ||
| 12 | ||
| 17 | ||
| 22 | ||
| 23 | ||
| 28 | ||
| 29 | ||
| 34 | ||
| 39 | ||
| 44 | ||
| 49 | ||
| 54 | ||
| 59 | ||
| 64 |
-1-
PROSHARES ULTRA DJ-UBS COMMODITY
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | |||||
|
Assets |
||||||
|
Cash |
$ | 1,536,012 | $ | 78,112 | ||
|
Short-term U.S. government and agency obligations (Note 3)
|
10,236,860 | 18,503,052 | ||||
|
Unrealized appreciation on swap agreements |
541,400 | 1,177,968 | ||||
|
Total assets |
12,314,272 | 19,759,132 | ||||
|
Liabilities and shareholders’ equity |
||||||
|
Liabilities |
||||||
|
Management fee payable |
9,323 | 15,200 | ||||
|
Total liabilities |
9,323 | 15,200 | ||||
|
Shareholders’ equity |
||||||
|
Paid-in capital |
10,839,183 | 14,857,362 | ||||
|
Accumulated earnings (deficit) |
1,465,766 | 4,886,570 | ||||
|
Total shareholders’ equity |
12,304,949 | 19,743,932 | ||||
|
Total liabilities and shareholders’ equity |
$ | 12,314,272 | $ | 19,759,132 | ||
|
Shares outstanding |
550,014 | 700,014 | ||||
|
Net asset value per share |
$ | 22.37 | $ | 28.21 | ||
|
Market value per share (Note 2) |
$ | 22.16 | $ | 28.43 | ||
See accompanying notes to financial statements.
-2-
PROSHARES ULTRA DJ-UBS COMMODITY
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (83% of shareholders’ equity) |
||||||
|
U.S. Treasury Bills: |
||||||
|
0.260% due 08/26/10† |
$ | 5,740,000 | $ | 5,738,465 | ||
|
0.195% due 09/09/10† |
2,500,000 | 2,499,257 | ||||
|
0.230% due 10/07/10 |
2,000,000 | 1,999,138 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 10,236,860 | ||||
Swap Agreements^
|
Termination
Date |
Notional
Amount at Value* |
Unrealized
Appreciation (Depreciation) |
|||||
|
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index |
07/06/10 | $ 6,292,846 | $ | 138,031 | |||
|
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index |
07/06/10 | 18,324,499 | 403,369 | ||||
| $ | 541,400 | ||||||
| ^ | The positions and counterparties herein are as of June 30, 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-
PROSHARES ULTRA DJ-UBS COMMODITY
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three
months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 6,549 | $ | 1,791 | $ | 11,318 | $ | 2,274 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
28,875 | 30,449 | 60,926 | 26,503 | ||||||||||||
|
Offering costs |
— | 19,322 | — | 38,430 | ||||||||||||
|
Total expenses |
28,875 | 49,771 | 60,926 | 64,933 | ||||||||||||
|
Net investment income (loss) |
(22,326 | ) | (47,980 | ) | (49,608 | ) | (62,659 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Swap agreements |
(2,396,285 | ) | 3,718,222 | (2,738,144 | ) | 3,755,997 | ||||||||||
|
Short-term U.S. government and agency obligations |
89 | — | 966 | — | ||||||||||||
|
Net realized gain (loss) |
(2,396,196 | ) | 3,718,222 | (2,737,178 | ) | 3,755,997 | ||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Swap agreements |
1,020,246 | (1,093,594 | ) | (636,568 | ) | (2,077,981 | ) | |||||||||
|
Short-term U.S. government and agency obligations |
194 | — | 2,550 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
1,020,440 | (1,093,594 | ) | (634,018 | ) | (2,077,981 | ) | |||||||||
|
Net realized and unrealized gain (loss) |
(1,375,756 | ) | 2,624,628 | (3,371,196 | ) | 1,678,016 | ||||||||||
|
Net income (loss) |
$ | (1,398,082 | ) | $ | 2,576,648 | $ | (3,420,804 | ) | $ | 1,615,357 | ||||||
|
Net income (loss) per weighted-average share |
$ | (2.74 | ) | $ | 2.73 | $ | (6.63 | ) | $ | 2.51 | ||||||
|
Weighted-average shares outstanding |
509,904 | 942,322 | 516,312 | 643,108 | ||||||||||||
.
See accompanying notes to financial statements.
-4-
PROSHARES ULTRA DJ-UBS COMMODITY
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 19,743,932 | ||
|
Addition of 250,000 shares |
5,958,070 | |||
|
Redemption of 400,000 shares |
(9,976,249 | ) | ||
|
Net addition (redemption) of (150,000) shares |
(4,018,179 | ) | ||
|
Net investment income (loss) |
(49,608 | ) | ||
|
Net realized gain (loss) |
(2,737,178 | ) | ||
|
Change in net unrealized appreciation/depreciation |
(634,018 | ) | ||
|
Net income (loss) |
(3,420,804 | ) | ||
|
Shareholders’ equity, at June 30, 2010 |
$ | 12,304,949 | ||
See accompanying notes to financial statements.
-5-
PROSHARES ULTRA DJ-UBS COMMODITY
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | (3,420,804 | ) | $ | 1,615,357 | |||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for swap agreements |
— | (12,960,000 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
8,268,742 | (9,637,846 | ) | |||||
|
Change in unrealized appreciation/depreciation on investments |
634,018 | 2,077,981 | ||||||
|
(Increase) Decrease in receivable from Sponsor |
— | 26,503 | ||||||
|
Amortization of offering cost |
— | 38,430 | ||||||
|
(Decrease) in management fee payable |
(5,877 | ) | — | |||||
|
Net cash provided by (used in) operating activities |
5,476,079 | (18,839,575 | ) | |||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
5,958,070 | 25,899,595 | ||||||
|
Payment on shares redeemed |
(9,976,249 | ) | — | |||||
|
Net cash provided by (used in) financing activities |
(4,018,179 | ) | 25,899,595 | |||||
|
Net increase (decrease) in cash |
1,457,900 | 7,060,020 | ||||||
|
Cash, beginning of period |
78,112 | 1,745,354 | ||||||
|
Cash, end of period |
$ | 1,536,012 | $ | 8,805,374 | ||||
See accompanying notes to financial statements.
-6-
PROSHARES ULTRASHORT DJ-UBS COMMODITY
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | |||||||
|
Assets |
||||||||
|
Cash |
$ | 904,556 | $ | 90,383 | ||||
|
Segregated cash balances for swap agreements |
419,200 | 485,000 | ||||||
|
Short-term U.S. government and agency obligations (Note 3)
|
2,499,060 | 2,568,141 | ||||||
|
Total assets |
3,822,816 | 3,143,524 | ||||||
|
Liabilities and shareholders’ equity |
||||||||
|
Liabilities |
||||||||
|
Management fee payable |
3,629 | 2,493 | ||||||
|
Unrealized depreciation on swap agreements |
437,534 | 216,605 | ||||||
|
Total liabilities |
441,163 | 219,098 | ||||||
|
Shareholders’ equity |
||||||||
|
Paid-in capital |
5,193,421 | 5,049,843 | ||||||
|
Accumulated earnings (deficit) |
(1,811,768 | ) | (2,125,417 | ) | ||||
|
Total shareholders’ equity |
3,381,653 | 2,924,426 | ||||||
|
Total liabilities and shareholders’ equity |
$ | 3,822,816 | $ | 3,143,524 | ||||
|
Shares outstanding |
200,014 | 200,014 | ||||||
|
Net asset value per share |
$ | 16.91 | $ | 14.62 | ||||
|
Market value per share (Note 2) |
$ | 17.01 | $ | 14.65 | ||||
See accompanying notes to financial statements.
-7-
PROSHARES ULTRASHORT DJ-UBS COMMODITY
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
S hort-term U.S. government and agency obligations (74% of shareholders’ equity) |
||||||
|
U.S. Treasury Bills: |
||||||
|
0.260% due 08/26/10† |
$ | 1,000,000 | $ | 999,733 | ||
|
0.190% due 09/23/10† |
1,000,000 | 999,631 | ||||
|
0.205% due 11/04/10 |
500,000 | 499,696 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 2,499,060 | ||||
Swap Agreements^
|
Termination
Date |
Notional
Amount at Value* |
Unrealized
Appreciation (Depreciation) |
||||||||
|
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index |
07/06/10 | $ | (1,504,460 | ) | $ | (107,599 | ) | |||
|
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index |
07/06/10 | (5,246,244 | ) | (329,935 | ) | |||||
| $(437,534) | ||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-8-
PROSHARES ULTRASHORT DJ-UBS COMMODITY
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 1,438 | $ | 154 | $ | 2,318 | $ | 390 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
10,734 | — | 19,491 | — | ||||||||||||
|
Offering costs |
— | 77,243 | — | 153,637 | ||||||||||||
|
Limitation by Sponsor |
— | (71,154 | ) | — | (140,717 | ) | ||||||||||
|
Total expenses |
10,734 | 6,089 | 19,491 | 12,920 | ||||||||||||
|
Net investment income (loss) |
(9,296 | ) | (5,935 | ) | (17,173 | ) | (12,530 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Swap agreements |
688,684 | (1,068,161 | ) | 551,420 | (1,079,538 | ) | ||||||||||
|
Short-term U.S. government and agency obligations |
— | — | (82 | ) | — | |||||||||||
|
Net realized gain (loss) |
688,684 | (1,068,161 | ) | 551,338 | (1,079,538 | ) | ||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Swap agreements |
(548,694 | ) | 340,661 | (220,929 | ) | 472,159 | ||||||||||
|
Short-term U.S. government and agency obligations |
36 | — | 413 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
(548,658 | ) | 340,661 | (220,516 | ) | 472,159 | ||||||||||
|
Net realized and unrealized gain (loss) |
140,026 | (727,500 | ) | 330,822 | (607,379 | ) | ||||||||||
|
Net income (loss) |
$ | 130,730 | $ | (733,435 | ) | $ | 313,649 | $ | (619,909 | ) | ||||||
|
Net income (loss) per weighted-average share |
$ | 0.47 | $ | (6.54 | ) | $ | 1.21 | $ | (5.84 | ) | ||||||
|
Weighted-average shares outstanding |
277,487 | 112,102 | 258,854 | 106,091 | ||||||||||||
See accompanying notes to financial statements.
-9-
PROSHARES ULTRASHORT DJ-UBS COMMODITY
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 2,924,426 | ||
|
Addition of 200,000 shares |
3,370,174 | |||
|
Redemption of 200,000 shares |
(3,226,596 | ) | ||
|
Net addition (redemption) of 0 shares |
143,578 | |||
|
Net investment income (loss) |
(17,173 | ) | ||
|
Net realized gain (loss) |
551,338 | |||
|
Change in net unrealized appreciation/depreciation |
(220,516 | ) | ||
|
Net income (loss) |
313,649 | |||
|
Shareholders’ equity, at June 30, 2010 |
$ | 3,381,653 | ||
See accompanying notes to financial statements.
-10-
PROSHARES ULTRASHORT DJ-UBS COMMODITY
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | 313,649 | $ | (619,909 | ) | |||
|
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 | (790,000 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
69,494 | (1,064,989 | ) | |||||
|
Change in unrealized appreciation/depreciation on investments |
220,516 | (472,159 | ) | |||||
|
(Increase) in receivable from Sponsor |
— | (140,717 | ) | |||||
|
Amortization of offering cost |
— | 153,637 | ||||||
|
Increase (Decrease) in management fee payable |
1,136 | — | ||||||
|
Net cash provided by (used in) operating activities |
670,595 | (2,934,137 | ) | |||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
3,370,174 | 3,165,714 | ||||||
|
Payment on shares redeemed |
(3,226,596 | ) | — | |||||
|
Net cash provided by (used in) financing activities |
143,578 | 3,165,714 | ||||||
|
Net increase (decrease) in cash |
814,173 | 231,577 | ||||||
|
Cash, beginning of period |
90,383 | 1,579,140 | ||||||
|
Cash, end of period |
$ | 904,556 | $ | 1,810,717 | ||||
See accompanying notes to financial statements.
-11-
PROSHARES ULTRA DJ-UBS CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | |||||
|
Assets |
||||||
|
Cash |
$ | 8,052,003 | $ | 80,936 | ||
|
Segregated cash balances with brokers for futures contracts |
20,899,564 | 13,574,925 | ||||
|
Short-term U.S. government and agency obligations (Note 3)
|
446,105,615 | 323,026,067 | ||||
|
Unrealized appreciation on swap agreements |
22,463,244 | 21,129,076 | ||||
|
Receivable from capital shares sold |
6,742,296 | — | ||||
|
Receivable on open futures contracts |
— | 1,466,444 | ||||
|
Total assets |
504,262,722 | 359,277,448 | ||||
|
Liabilities and shareholders’ equity |
||||||
|
Liabilities |
||||||
|
Payable for capital shares redeemed |
2,585,828 | 35,195,574 | ||||
|
Management fee payable |
424,723 | 262,204 | ||||
|
Total liabilities |
3,010,551 | 35,457,778 | ||||
|
Shareholders’ equity |
||||||
|
Paid-in capital |
387,487,874 | 190,554,540 | ||||
|
Accumulated earnings (deficit) |
113,764,297 | 133,265,130 | ||||
|
Total shareholders’ equity |
501,252,171 | 323,819,670 | ||||
|
Total liabilities and shareholders’ equity |
$ | 504,262,722 | $ | 359,277,448 | ||
|
Shares outstanding |
52,050,014 | 25,650,014 | ||||
|
Net asset value per share |
$ | 9.63 | $ | 12.62 | ||
|
Market value per share (Note 2) |
$ | 9.53 | $ | 12.68 | ||
See accompanying notes to financial statements.
-12-
PROSHARES ULTRA DJ-UBS CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (89% of shareholders’ equity) |
||||||
|
U.S. Cash Management Bills: |
||||||
|
0.077% due 07/15/10† |
$ | 81,100,000 | $ | 81,097,056 | ||
|
U.S. Treasury Bills: |
||||||
|
0.150% due 07/22/10 |
22,000,000 | 21,998,348 | ||||
|
0.050% due 07/29/10 |
49,000,000 | 48,993,748 | ||||
|
0.185% due 08/26/10 |
63,650,000 | 63,632,980 | ||||
|
0.160% due 09/09/10 |
49,000,000 | 48,985,442 | ||||
|
0.220% due 09/16/10† |
24,000,000 | 23,992,147 | ||||
|
0.230% due 10/07/10† |
10,000,000 | 9,995,688 | ||||
|
0.200% due 10/21/10† |
49,000,000 | 48,975,828 | ||||
|
0.208% due 11/04/10† |
61,000,000 | 60,962,936 | ||||
|
0.220% due 11/18/10† |
30,000,000 | 29,978,574 | ||||
|
0.286% due 12/16/10† |
7,500,000 | 7,492,868 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 446,105,615 | ||||
Futures Contracts Purchased
|
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation) |
||||||
|
Crude Oil – NYMEX, expires September 2010 |
4,598 | $ | 350,183,680 | $ | 1,499,120 | |||
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 |
07/06/10 | $ | 240,847,937 | $ | 9,836,917 | |||
|
Swap agreement with UBS AG based on Dow Jones-UBS Crude Oil Sub-Index |
07/06/10 | 411,408,299 | 12,626,327 | |||||
| $ | 22,463,244 | |||||||
| ^ | The positions and counterparties herein are as of June 30, 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-
PROSHARES ULTRA DJ-UBS CRUDE OIL
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three
months
ended June 30, 2010 |
Three
months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 132,798 | $ | 36,106 | $ | 174,054 | $ | 69,821 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
841,537 | 689,780 | 1,445,462 | 1,399,471 | ||||||||||||
|
Brokerage commissions |
51,622 | 54,556 | 79,965 | 186,506 | ||||||||||||
|
Offering costs |
— | 38,627 | — | 76,829 | ||||||||||||
|
Total expenses |
893,159 | 782,963 | 1,525,427 | 1,662,806 | ||||||||||||
|
Net investment income (loss) |
(760,361 | ) | (746,857 | ) | (1,351,373 | ) | (1,592,985 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Futures contracts |
(11,447,341 | ) | 85,053,189 | 8,078,781 | 41,331,968 | |||||||||||
|
Swap agreements |
(45,766,422 | ) | 76,735,007 | (12,270,907 | ) | 39,216,145 | ||||||||||
|
Short-term U.S. government and agency obligations |
2,683 | — | 45,375 | — | ||||||||||||
|
Net realized gain (loss) |
(57,211,080 | ) | 161,788,196 | (4,146,751 | ) | 80,548,113 | ||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Futures contracts |
(9,058,300 | ) | (22,476,590 | ) | (15,378,680 | ) | (16,612,830 | ) | ||||||||
|
Swap agreements |
17,726,009 | 20,557,303 | 1,334,168 | 4,755,439 | ||||||||||||
|
Short-term U.S. government and agency obligations |
18,945 | — | 41,803 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
8,686,654 | (1,919,287 | ) | (14,002,709 | ) | (11,857,391 | ) | |||||||||
|
Net realized and unrealized gain (loss) |
(48,524,426 | ) | 159,868,909 | (18,149,460 | ) | 68,690,722 | ||||||||||
|
Net income (loss) |
$ | (49,284,787 | ) | $ | 159,122,052 | $ | (19,500,833 | ) | $ | 67,097,737 | ||||||
|
Net income (loss) per weighted-average share |
$ | (1.44 | ) | $ | 5.11 | $ | (0.70 | ) | $ | 1.97 | ||||||
|
Weighted-average shares outstanding |
34,243,421 | 31,169,794 | 28,033,992 | 34,069,075 | ||||||||||||
See accompanying notes to financial statements.
-14-
PROSHARES ULTRA DJ-UBS CRUDE OIL
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 323,819,670 | ||
|
Addition of 68,650,000 shares |
702,031,785 | |||
|
Redemption of 42,250,000 shares |
(505,098,451 | ) | ||
|
Net addition (redemption) of 26,400,000 shares |
196,933,334 | |||
|
Net investment income (loss) |
(1,351,373 | ) | ||
|
Net realized gain (loss) |
(4,146,751 | ) | ||
|
Change in net unrealized appreciation/depreciation |
(14,002,709 | ) | ||
|
Net income (loss) |
(19,500,833 | ) | ||
|
Shareholders’ equity, at June 30, 2010 |
$ | 501,252,171 | ||
See accompanying notes to financial statements.
-15-
PROSHARES ULTRA DJ-UBS CRUDE OIL
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six
months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | (19,500,833 | ) | $ | 67,097,737 | |||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for swap agreements |
— | (56,600,000 | ) | |||||
|
(Increase) Decrease in segregated cash balances with brokers for futures contracts |
(7,324,639 | ) | 20,120,527 | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
(123,037,745 | ) | (105,996,361 | ) | ||||
|
Change in unrealized appreciation/depreciation on investments |
(1,375,971 | ) | (4,755,439 | ) | ||||
|
Decrease in receivable on futures contracts |
1,466,444 | 20,527,738 | ||||||
|
(Increase) Decrease in receivable from Sponsor |
— | 16,192 | ||||||
|
Amortization of offering cost |
— | 76,829 | ||||||
|
Increase (Decrease) in management fee payable |
162,519 | — | ||||||
|
(Decrease) Increase in payable to Sponsor |
— | 538,361 | ||||||
|
Net cash provided by (used in) operating activities |
(149,610,225 | ) | (58,974,416 | ) | ||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
695,289,489 | 754,505,680 | ||||||
|
Payment on shares redeemed |
(537,708,197 | ) | (682,567,291 | ) | ||||
|
Net cash provided by (used in) financing activities |
157,581,292 | 71,938,389 | ||||||
|
Net increase (decrease) in cash |
7,971,067 | 12,963,973 | ||||||
|
Cash, beginning of period |
80,936 | 40,341,120 | ||||||
|
Cash, end of period |
$ 8,052,003 | $ 53,305,093 | ||||||
See accompanying notes to financial statements.
-16-
PROSHARES ULTRASHORT DJ-UBS CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | ||||||
|
Assets |
|||||||
|
Cash |
$ | 23,305,497 | $ | 75,409 | |||
|
Segregated cash balances for swap agreements |
387,100 | — | |||||
|
Segregated cash balances with brokers for futures contracts |
2,252,813 | 4,162,725 | |||||
|
Short-term U.S. government and agency obligations (Note 3)
|
31,124,437 | 66,495,308 | |||||
|
Receivable from capital shares sold |
— | 8,244,946 | |||||
|
Receivable on open futures contracts |
417,984 | — | |||||
|
Total assets |
57,487,831 | 78,978,388 | |||||
|
Liabilities and shareholders’ equity |
|||||||
|
Liabilities |
|||||||
|
Payable for capital shares redeemed |
4,527,290 | — | |||||
|
Payable on open futures contracts |
— | 1,271,069 | |||||
|
Management fee payable |
33,697 | 68,204 | |||||
|
Unrealized depreciation on swap agreements |
1,600,736 | 982,489 | |||||
|
Total liabilities |
6,161,723 | 2,321,762 | |||||
|
Shareholders’ equity |
|||||||
|
Paid-in capital |
42,638,623 | 94,438,947 | |||||
|
Accumulated earnings (deficit) |
8,687,485 | (17,782,321 | ) | ||||
|
Total shareholders’ equity |
51,326,108 | 76,656,626 | |||||
|
Total liabilities and shareholders’ equity |
$ | 57,487,831 | $ | 78,978,388 | |||
|
Shares outstanding |
3,400,014 | 5,600,014 | |||||
|
Net asset value per share |
$ | 15.10 | $ | 13.69 | |||
|
Market value per share (Note 2) |
$ | 15.24 | $ | 13.65 | |||
See accompanying notes to financial statements.
-17-
PROSHARES ULTRASHORT DJ-UBS CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (61% of shareholders’ equity) |
||||||
|
U.S. Treasury Bills: |
||||||
|
0.260% due 08/26/10† |
$ | 2,140,000 | $ | 2,139,428 | ||
|
0.195% due 09/09/10† |
14,000,000 | 13,995,840 | ||||
|
0.200% due 11/04/10† |
10,000,000 | 9,993,924 | ||||
|
0.286% due 12/16/10† |
5,000,000 | 4,995,245 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 31,124,437 | ||||
Futures Contracts Sold
|
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation) |
||||||||
|
Crude Oil – NYMEX, expires September 2010 |
445 | $ | 33,891,200 | $ | 802,030 | |||||
|
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 |
07/06/10 | $ | (26,682,771 | ) | $ | (398,913 | ) | |||
|
Swap agreement with UBS AG based on Dow Jones-UBS Crude Oil Sub-Index |
07/06/10 | (42,068,224 | ) | (1,201,823 | ) | |||||
| $ | (1,600,736 | ) | ||||||||
| ^ | The positions and counterparties herein are as of June 30, 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-
PROSHARES ULTRASHORT DJ-UBS CRUDE OIL
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 33,056 | $ | 7,498 | $ | 55,494 | $ | 9,389 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
189,102 | 79,934 | 406,784 | 62,584 | ||||||||||||
|
Brokerage commissions |
15,543 | 19,379 | 27,722 | 53,069 | ||||||||||||
|
Offering costs |
— | 77,243 | — | 153,637 | ||||||||||||
|
Total expenses |
204,645 | 176,556 | 434,506 | 269,290 | ||||||||||||
|
Net investment income (loss) |
(171,589 | ) | (169,058 | ) | (379,012 | ) | (259,901 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Futures contracts |
5,375,460 | (13,729,760 | ) | 5,001,258 | (10,237,821 | ) | ||||||||||
|
Swap agreements |
16,625,026 | (16,070,328 | ) | 18,583,440 | (16,070,328 | ) | ||||||||||
|
Short-term U.S. government and agency obligations |
7,620 | — | 8,525 | — | ||||||||||||
|
Net realized gain (loss) |
22,008,106 | (29,800,088 | ) | 23,593,223 | (26,308,149 | ) | ||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Futures contracts |
3,248,810 | 925,020 | 3,865,930 | 4,645,600 | ||||||||||||
|
Swap agreements |
1,175,687 | (1,780,068 | ) | (618,247 | ) | (1,858,544 | ) | |||||||||
|
Short-term U.S. government and agency obligations |
1,417 | — | 7,912 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
4,425,914 | (855,048 | ) | 3,255,595 | 2,787,056 | |||||||||||
|
Net realized and unrealized gain (loss) |
26,434,020 | (30,655,136 | ) | 26,848,818 | (23,521,093 | ) | ||||||||||
|
Net income (loss) |
$ | 26,262,431 | $ | (30,824,194 | ) | $ | 26,469,806 | $ | (23,780,994 | ) | ||||||
|
Net income (loss) per weighted-average share |
$ | 4.19 | $ | (9.38 | ) | $ | 4.05 | $ | (11.77 | ) | ||||||
|
Weighted-average shares outstanding |
6,263,201 | 3,286,278 | 6,542,279 | 2,019,904 | ||||||||||||
See accompanying notes to financial statements.
-19-
PROSHARES ULTRASHORT DJ-UBS CRUDE OIL
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 76,656,626 | ||
|
Addition of 18,350,000 shares |
237,147,759 | |||
|
Redemption of 20,550,000 shares |
(288,948,083 | ) | ||
|
Net addition (redemption) of (2,200,000) shares |
(51,800,324 | ) | ||
|
Net investment income (loss) |
(379,012 | ) | ||
|
Net realized gain (loss) |
23,593,223 | |||
|
Change in net unrealized appreciation/depreciation |
3,255,595 | |||
|
Net income (loss) |
26,469,806 | |||
|
Shareholders’ equity, at June 30, 2010 |
$ | 51,326,108 | ||
See accompanying notes to financial statements.
-20-
PROSHARES ULTRASHORT DJ-UBS CRUDE OIL
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | 26,469,806 | $ | (23,780,994 | ) | |||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for swap agreements |
(387,100 | ) | (37,840,000 | ) | ||||
|
Decrease (Increase) in segregated cash balances with brokers for futures contracts |
1,909,912 | (3,778,675 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
35,378,783 | (57,482,866 | ) | |||||
|
Change in unrealized appreciation/depreciation on investments |
610,335 | 1,858,544 | ||||||
|
(Increase) in receivable on futures contracts |
(417,984 | ) | — | |||||
|
(Increase) Decrease in receivable from Sponsor |
— | 53,143 | ||||||
|
Amortization of offering cost |
— | 153,637 | ||||||
|
(Decrease) in management fee payable |
(34,507 | ) | — | |||||
|
(Decrease) Increase in payable to Sponsor |
— | 9,441 | ||||||
|
(Decrease) in payable on futures contracts |
(1,271,069 | ) | (4,265,898 | ) | ||||
|
Net cash provided by (used in) operating activities |
62,258,176 | (125,073,668 | ) | |||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
245,392,705 | 337,112,487 | ||||||
|
Payment on shares redeemed |
(284,420,793 | ) | (195,430,244 | ) | ||||
|
Net cash provided by (used in) financing activities |
(39,028,088 | ) | 141,682,243 | |||||
|
Net increase (decrease) in cash |
23,230,088 | 16,608,575 | ||||||
|
Cash, beginning of period |
75,409 | 7,925,214 | ||||||
|
Cash, end of period |
$ | 23,305,497 | $ | 24,533,789 | ||||
See accompanying notes to financial statements.
-21-
PROSHARES SHORT DJ-UBS NATURAL GAS*
STATEMENT OF FINANCIAL CONDITION
JUNE 30, 2010
(unaudited)
|
Assets |
|||
|
Cash |
$ | 200 | |
|
Total assets |
$ | 200 | |
|
Shareholders’ equity |
|||
|
Paid-in capital |
$ | 200 | |
|
Total shareholders’ equity |
$ | 200 | |
| * | See Note 1. |
See accompanying notes to financial statements.
-22-
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | |||||
|
Assets |
||||||
|
Cash |
$ | 19,159,842 | $ | 96,468 | ||
|
Segregated cash balances with brokers for futures contracts |
652,358 | 480,837 | ||||
|
Short-term U.S. government and agency obligations (Note 3)
|
195,430,393 | 168,085,670 | ||||
|
Receivable on open futures contracts |
— | 32,930 | ||||
|
Total assets |
215,242,593 | 168,695,905 | ||||
|
Liabilities and shareholders’ equity |
||||||
|
Liabilities |
||||||
|
Payable for capital shares redeemed |
— | 6,835,057 | ||||
|
Management fee payable |
160,765 | 149,879 | ||||
|
Unrealized depreciation on forward agreements |
5,757,565 | 5,234,260 | ||||
|
Total liabilities |
5,918,330 | 12,219,196 | ||||
|
Shareholders’ equity |
||||||
|
Paid-in capital |
131,021,098 | 120,971,898 | ||||
|
Accumulated earnings (deficit) |
78,303,165 | 35,504,811 | ||||
|
Total shareholders’ equity |
209,324,263 | 156,476,709 | ||||
|
Total liabilities and shareholders’ equity |
$ | 215,242,593 | $ | 168,695,905 | ||
|
Shares outstanding |
3,750,014 | 3,550,014 | ||||
|
Net asset value per share |
$ | 55.82 | $ | 44.08 | ||
|
Market value per share (Note 2) |
$ | 55.83 | $ | 44.68 | ||
See accompanying notes to financial statements.
-23-
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (93% of shareholders’ equity) |
||||||
|
U.S. Cash Management Bills: |
||||||
|
0.107% due 07/15/10 |
$ | 12,000,000 | $ | 11,999,564 | ||
|
U.S. Treasury Bills: |
||||||
|
0.150% due 07/22/10 |
11,000,000 | 10,999,174 | ||||
|
0.120% due 07/29/10 |
21,000,000 | 20,997,320 | ||||
|
0.260% due 08/26/10† |
5,500,000 | 5,498,529 | ||||
|
0.181% due 09/09/10† |
44,000,000 | 43,986,928 | ||||
|
0.220% due 09/16/10 |
4,000,000 | 3,998,691 | ||||
|
0.190% due 09/23/10 |
14,500,000 | 14,494,651 | ||||
|
0.185% due 09/30/10 |
24,500,000 | 24,489,281 | ||||
|
0.230% due 10/07/10† |
13,000,000 | 12,994,395 | ||||
|
0.150% due 10/14/10† |
12,000,000 | 11,994,627 | ||||
|
0.204% due 11/04/10† |
20,000,000 | 19,987,848 | ||||
|
0.258% due 11/18/10† |
4,000,000 | 3,997,143 | ||||
|
0.210% due 11/26/10† |
10,000,000 | 9,992,242 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 195,430,393 | ||||
Futures Contracts Purchased
|
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation) |
||||||||||
|
Gold Futures – COMEX, expires August 2010 |
116 | $ | 14,452,440 | $ | 124,570 | |||||||
|
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 |
07/06/10 | $ | 37,420 | $ | 46,554,222 | $ | (640,540 | ) | ||||
|
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold |
07/06/10 | 285,800 | 355,563,780 | (5,117,025 | ) | |||||||
| $ | (5,757,565 | ) | ||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-24-
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 77,349 | $ | 16,032 | $ | 102,169 | $ | 25,506 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
447,194 | 258,045 | 830,426 | 386,087 | ||||||||||||
|
Brokerage commissions |
1,067 | 1,239 | 2,071 | 2,521 | ||||||||||||
|
Offering costs |
— | 77,244 | — | 153,638 | ||||||||||||
|
Total expenses |
448,261 | 336,528 | 832,497 | 542,246 | ||||||||||||
|
Net investment income (loss) |
(370,912 | ) | (320,496 | ) | (730,328 | ) | (516,740 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Futures contracts |
984,644 | 223,390 | 905,501 | 353,866 | ||||||||||||
|
Forward agreements |
45,292,173 | (953,897 | ) | 42,807,434 | (1,333,346 | ) | ||||||||||
|
Short-term U.S. government and agency obligations |
— | — | 5,759 | — | ||||||||||||
|
Net realized gain (loss) |
46,276,817 | (730,507 | ) | 43,718,694 | (979,480 | ) | ||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Futures contracts |
62,390 | 65,909 | 318,770 | 37,630 | ||||||||||||
|
Forward agreements |
(8,015,828 | ) | 2,738,924 | (523,305 | ) | 243,532 | ||||||||||
|
Short-term U.S. government and agency obligations |
13,222 | — | 14,523 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
(7,940,216 | ) | 2,804,833 | (190,012 | ) | 281,162 | ||||||||||
|
Net realized and unrealized gain (loss) |
38,336,601 | 2,074,326 | 43,528,682 | (698,318 | ) | |||||||||||
|
Net income (loss) |
$ | 37,965,689 | $ | 1,753,830 | $ | 42,798,354 | $ | (1,215,058 | ) | |||||||
|
Net income (loss) per weighted-average share |
$ | 10.43 | $ | 0.41 | $ | 11.79 | $ | (0.36 | ) | |||||||
|
Weighted-average shares outstanding |
3,640,124 | 4,273,640 | 3,630,125 | 3,417,417 | ||||||||||||
See accompanying notes to financial statements.
-25-
PROSHARES ULTRA GOLD
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 156,476,709 | ||
|
Addition of 1,150,000 shares |
55,273,217 | |||
|
Redemption of 950,000 shares |
(45,224,017 | ) | ||
|
Net addition (redemption) of 200,000 shares |
10,049,200 | |||
|
Net investment income (loss) |
(730,328 | ) | ||
|
Net realized gain (loss) |
43,718,694 | |||
|
Change in net unrealized appreciation/depreciation |
(190,012 | ) | ||
|
Net income (loss) |
42,798,354 | |||
|
Shareholders’ equity, at June 30, 2010 |
$ | 209,324,263 | ||
See accompanying notes to financial statements.
-26-
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six
months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | 42,798,354 | $ | (1,215,058 | ) | |||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for forward agreements |
— | (62,320,000 | ) | |||||
|
(Increase) in segregated cash balances with brokers for futures contracts |
(171,521 | ) | (345,113 | ) | ||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
(27,330,200 | ) | (67,998,364 | ) | ||||
|
Change in unrealized appreciation/depreciation on investments |
508,782 | (243,532 | ) | |||||
|
(Increase) in receivable due from counterparty |
— | (5,083,218 | ) | |||||
|
Decrease in receivable on futures contracts |
32,930 | 2,885 | ||||||
|
(Increase) Decrease in receivable from Sponsor |
— | 43,098 | ||||||
|
Amortization of offering cost |
— | 153,638 | ||||||
|
Increase (Decrease) in management fee payable |
10,886 | — | ||||||
|
(Decrease) Increase in payable to Sponsor |
— | 342,989 | ||||||
|
Net cash provided by (used in) operating activities |
15,849,231 | (136,662,675 | ) | |||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
55,273,217 | 151,401,468 | ||||||
|
Payment on shares redeemed |
(52,059,074 | ) | (16,570,607 | ) | ||||
|
Net cash provided by (used in) financing activities |
3,214,143 | 134,830,861 | ||||||
|
Net increase (decrease) in cash |
19,063,374 | (1,831,814 | ) | |||||
|
Cash, beginning of period |
96,468 | 23,435,796 | ||||||
|
Cash, end of period |
$ | 19,159,842 | $ | 21,603,982 | ||||
See accompanying notes to financial statements.
-27-
STATEMENT OF FINANCIAL CONDITION
JUNE 30, 2010
(unaudited)
|
Assets |
|||
|
Cash |
$ | 200 | |
|
Total assets |
$ | 200 | |
|
Shareholders’ equity |
|||
|
Paid-in capital |
$ | 200 | |
|
Total shareholders’ equity |
$ | 200 | |
| * | See Note 1. |
See accompanying notes to financial statements.
-28-
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31,
2009 |
|||||||
|
Assets |
||||||||
|
Cash |
$ | 900,576 | $ | 75,790 | ||||
|
Segregated cash balances for forward agreements |
409,500 | — | ||||||
|
Segregated cash balances with brokers for futures contracts |
118,555 | 140,916 | ||||||
|
Short-term U.S. government and agency obligations (Note 3)
|
68,580,846 | 66,310,764 | ||||||
|
Unrealized appreciation on forward agreements |
1,762,644 | 2,144,062 | ||||||
|
Total assets |
71,772,121 | 68,671,532 | ||||||
|
Liabilities and shareholders’ equity |
||||||||
|
Liabilities |
||||||||
|
Payable for capital shares redeemed |
— | 1,014,755 | ||||||
|
Management fee payable |
56,489 | 53,966 | ||||||
|
Total liabilities |
56,489 | 1,068,721 | ||||||
|
Shareholders’ equity |
||||||||
|
Paid-in capital |
111,407,721 | 86,180,401 | ||||||
|
Accumulated earnings (deficit) |
(39,692,089 | ) | (18,577,590 | ) | ||||
|
Total shareholders’ equity |
71,715,632 | 67,602,811 | ||||||
|
Total liabilities and shareholders’ equity |
$ | 71,772,121 | $ | 68,671,532 | ||||
|
Shares outstanding (Note 1) |
1,889,901 | 1,290,003 | ||||||
|
Net asset value per share (Note 1) |
$ | 37.95 | $ | 52.41 | ||||
|
Market value per share (Note 1) (Note 2) |
$ | 37.95 | $ | 51.75 | ||||
See accompanying notes to financial statements.
-29-
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (96% of shareholders’ equity) |
||||||
|
U.S. Cash Management Bills: |
||||||
|
0.044% due 07/15/10 |
$ | 14,000,000 | $ | 13,999,492 | ||
|
U.S. Treasury Bills: |
||||||
|
0.150% due 07/22/10 |
7,000,000 | 6,999,474 | ||||
|
0.163% due 07/29/10 |
6,000,000 | 5,999,234 | ||||
|
0.260% due 08/26/10† |
9,700,000 | 9,697,406 | ||||
|
0.180% due 09/09/10† |
7,500,000 | 7,497,772 | ||||
|
0.190% due 09/23/10 |
6,900,000 | 6,897,455 | ||||
|
0.185% due 09/30/10† |
4,500,000 | 4,498,031 | ||||
|
0.230% due 10/07/10† |
6,000,000 | 5,997,413 | ||||
|
0.210% due 11/26/10 |
7,000,000 | 6,994,569 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 68,580,846 | ||||
Futures Contracts Sold
|
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation) |
|||||||
|
Gold Futures – COMEX, expires August 2010 |
22 | $ | 2,740,980 | $ | (21,930 | ) | |||
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 |
07/06/10 | $ | (14,798 | ) | $ | (18,410,192 | ) | $ | 250,973 | ||||
|
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold |
07/06/10 | (98,800 | ) | (122,917,080 | ) | 1,511,671 | |||||||
| $ | 1,762,644 | ||||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-30-
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three
months
ended June 30, 2010 |
Three
months
ended June 30, 2009 |
Six
months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 26,319 | $ | 5,627 | $ | 39,753 | $ | 9,039 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
152,203 | 40,340 | 314,538 | 37,026 | ||||||||||||
|
Brokerage commissions |
775 | 1,045 | 1,825 | 2,265 | ||||||||||||
|
Offering costs |
— | 77,243 | — | 153,637 | ||||||||||||
|
Total expenses |
152,978 | 118,628 | 316,363 | 192,928 | ||||||||||||
|
Net investment income (loss) |
(126,659 | ) | (113,001 | ) | (276,610 | ) | (183,889 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Futures contracts |
(422,725 | ) | (24,477 | ) | (314,318 | ) | (222,084 | ) | ||||||||
|
Forward agreements |
(18,270,102 | ) | (2,336,048 | ) | (20,089,396 | ) | (7,791,142 | ) | ||||||||
|
Short-term U.S. government and agency obligations |
53 | — | 2,156 | — | ||||||||||||
|
Net realized gain (loss) |
(18,692,774 | ) | (2,360,525 | ) | (20,401,558 | ) | (8,013,226 | ) | ||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Futures contracts |
(1,690 | ) | (19,724 | ) | (61,070 | ) | 8,750 | |||||||||
|
Forward agreements |
2,688,728 | (1,060,650 | ) | (381,418 | ) | 14,716 | ||||||||||
|
Short-term U.S. government and agency obligations |
2,175 | — | 6,157 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
2,689,213 | (1,080,374 | ) | (436,331 | ) | 23,466 | ||||||||||
|
Net realized and unrealized gain (loss) |
(16,003,561 | ) | (3,440,899 | ) | (20,837,889 | ) | (7,989,760 | ) | ||||||||
|
Net income (loss) |
$ | (16,130,220 | ) | $ | (3,553,900 | ) | $ | (21,114,499 | ) | $ | (8,173,649 | ) | ||||
|
Net income (loss) per weighted-average share (Note 1) |
$ | (10.46 | ) | $ | (5.70 | ) | $ | (14.40 | ) | $ | (16.29 | ) | ||||
|
Weighted-average shares outstanding (Note 1) |
1,541,572 | 623,959 | 1,466,482 | 501,660 | ||||||||||||
See accompanying notes to financial statements.
-31-
PROSHARES ULTRASHORT GOLD
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 67,602,811 | ||
|
Addition of 1,150,000 shares (Note 1) |
49,991,342 | |||
|
Redemption of 550,102 shares (Note 1) |
(24,764,022 | ) | ||
|
Net addition (redemption) of 599,898 shares (Note 1) |
25,227,320 | |||
|
Net investment income (loss) |
(276,610 | ) | ||
|
Net realized gain (loss) |
(20,401,558 | ) | ||
|
Change in net unrealized appreciation/depreciation |
(436,331 | ) | ||
|
Net income (loss) |
(21,114,499 | ) | ||
|
Shareholders’ equity, at June 30, 2010 |
$ | 71,715,632 | ||
See accompanying notes to financial statements.
-32-
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six
months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | (21,114,499 | ) | $ | (8,173,649 | ) | ||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for forward agreements |
(409,500 | ) | (20,460,000 | ) | ||||
|
Decrease (Increase) in segregated cash balances with brokers for futures contracts |
22,361 | (192,195 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
(2,263,925 | ) | (19,499,386 | ) | ||||
|
Change in unrealized appreciation/depreciation on investments |
375,261 | (14,716 | ) | |||||
|
(Increase) Decrease in receivable due from counterparty |
— | 1,845,084 | ||||||
|
(Increase) in receivable on futures contracts |
— | (36,809 | ) | |||||
|
(Increase) Decrease in receivable from Sponsor |
— | 37,026 | ||||||
|
Amortization of offering cost |
— | 153,637 | ||||||
|
Increase (Decrease) in management fee payable |
2,523 | — | ||||||
|
(Decrease) in payable on futures contracts |
— | (10,931 | ) | |||||
|
Net cash provided by (used in) operating activities |
(23,387,779 | ) | (46,351,939 | ) | ||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
49,991,342 | 88,548,995 | ||||||
|
Payment on shares redeemed |
(25,778,777 | ) | (33,013,605 | ) | ||||
|
Net cash provided by (used in) financing activities |
24,212,565 | 55,535,390 | ||||||
|
Net increase (decrease) in cash |
824,786 | 9,183,451 | ||||||
|
Cash, beginning of period |
75,790 | 3,104,221 | ||||||
|
Cash, end of period |
$ | 900,576 | $ | 12,287,672 | ||||
See accompanying notes to financial statements.
-33-
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | |||||
|
Assets |
||||||
|
Cash |
$ | 17,214,196 | $ | 75,670 | ||
|
Segregated cash balances for forward agreements |
337,800 | — | ||||
|
Segregated cash balances with brokers for futures contracts |
823,500 | 928,138 | ||||
|
Short-term U.S. government and agency obligations (Note 3)
|
170,026,348 | 157,772,073 | ||||
|
Receivable on open futures contracts |
30,878 | — | ||||
|
Total assets |
188,432,722 | 158,775,881 | ||||
|
Liabilities and shareholders’ equity |
||||||
|
Liabilities |
||||||
|
Payable for capital shares redeemed |
— | 6,007,423 | ||||
|
Management fee payable |
138,901 | 123,889 | ||||
|
Unrealized depreciation on forward agreements |
7,217,691 | 7,228,187 | ||||
|
Total liabilities |
7,356,592 | 13,359,499 | ||||
|
Shareholders’ equity |
||||||
|
Paid-in capital |
120,432,240 | 109,869,748 | ||||
|
Accumulated earnings (deficit) |
60,643,890 | 35,546,634 | ||||
|
Total shareholders’ equity |
181,076,130 | 145,416,382 | ||||
|
Total liabilities and shareholders’ equity |
$ | 188,432,722 | $ | 158,775,881 | ||
|
Shares outstanding |
2,850,014 | 2,550,014 | ||||
|
Net asset value per share |
$ | 63.54 | $ | 57.03 | ||
|
Market value per share (Note 2) |
$ | 62.67 | $ | 56.15 | ||
See accompanying notes to financial statements.
-34-
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (94% of shareholders’ equity) |
||||||
|
U.S. Cash Management Bills: |
||||||
|
0.053% due 07/15/10 |
$ | 13,600,000 | $ | 13,599,506 | ||
|
U.S. Treasury Bills: |
||||||
|
0.163% due 07/29/10 |
9,700,000 | 9,698,762 | ||||
|
0.260% due 08/26/10† |
31,600,000 | 31,591,550 | ||||
|
0.191% due 09/09/10† |
20,000,000 | 19,994,058 | ||||
|
0.190% due 09/23/10 |
4,000,000 | 3,998,525 | ||||
|
0.185% due 09/30/10 |
3,500,000 | 3,498,469 | ||||
|
0.230% due 10/07/10† |
14,700,000 | 14,693,661 | ||||
|
0.207% due 11/04/10† |
45,000,000 | 44,972,658 | ||||
|
0.220% due 11/18/10† |
20,000,000 | 19,985,716 | ||||
|
0.210% due 11/26/10 |
6,000,000 | 5,995,345 | ||||
|
0.286% due 12/16/10 |
2,000,000 | 1,998,098 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 170,026,348 | ||||
| Futures Contracts Purchased | ||||||||
|
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation) |
||||||
|
Silver Futures – COMEX, expires September 2010 |
122 | $ | 11,411,880 | $ | 111,235 | |||
| 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 |
07/06/10 | $ | 4,720,800 | $ | 88,477,234 | $ | (1,815,115 | ) | ||||
|
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver |
07/06/10 | 13,994,000 | 262,275,548 | (5,402,576 | ) | |||||||
| $ | (7,217,691 | ) | ||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-35-
PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 80,805 | $ | 7,765 | $ | 117,250 | $ | 10,714 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
419,415 | 148,006 | 791,851 | 199,948 | ||||||||||||
|
Brokerage commissions |
1,580 | 1,341 | 3,355 | 2,234 | ||||||||||||
|
Offering costs |
— | 19,321 | — | 38,430 | ||||||||||||
|
Total expenses |
420,995 | 168,668 | 795,206 | 240,612 | ||||||||||||
|
Net investment income (loss) |
(340,190 | ) | (160,903 | ) | (677,956 | ) | (229,898 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Futures contracts |
1,254,115 | 444,330 | 311,419 | 575,394 | ||||||||||||
|
Forward agreements |
31,635,413 | 4,954,519 | 24,739,760 | 7,677,696 | ||||||||||||
|
Short-term U.S. government and agency obligations |
492 | — | 7,983 | — | ||||||||||||
|
Net realized gain (loss) |
32,890,020 | 5,398,849 | 25,059,162 | 8,253,090 | ||||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Futures contracts |
(974,170 | ) | (358,816 | ) | 680,035 | (388,285 | ) | |||||||||
|
Forward agreements |
(13,766,948 | ) | (2,659,464 | ) | 10,496 | (1,233,708 | ) | |||||||||
|
Short-term U.S. government and agency obligations |
12,122 | — | 25,519 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
(14,728,996 | ) | (3,018,280 | ) | 716,050 | (1,621,993 | ) | |||||||||
|
Net realized and unrealized gain (loss) |
18,161,024 | 2,380,569 | 25,775,212 | 6,631,097 | ||||||||||||
|
Net income (loss) |
$ | 17,820,834 | $ | 2,219,666 | $ | 25,097,256 | $ | 6,401,199 | ||||||||
|
Net income (loss) per weighted-average share |
$ | 6.25 | $ | 1.35 | $ | 8.74 | $ | 5.27 | ||||||||
|
Weighted-average shares outstanding |
2,850,563 | 1,647,816 | 2,871,561 | 1,213,826 | ||||||||||||
See accompanying notes to financial statements.
-36-
PROSHARES ULTRA SILVER
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 145,416,382 | ||
|
Addition of 1,350,000 shares |
73,802,200 | |||
|
Redemption of 1,050,000 shares |
(63,239,708 | ) | ||
|
Net addition (redemption) of 300,000 shares |
10,562,492 | |||
|
Net investment income (loss) |
(677,956 | ) | ||
|
Net realized gain (loss) |
25,059,162 | |||
|
Change in net unrealized appreciation/depreciation |
716,050 | |||
|
Net income (loss) |
25,097,256 | |||
|
Shareholders’ equity, at June 30, 2010 |
$ | 181,076,130 | ||
See accompanying notes to financial statements.
-37-
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | 25,097,256 | $ | 6,401,199 | ||||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for forward agreements |
(337,800 | ) | (31,690,000 | ) | ||||
|
Decrease (Increase) in segregated cash balances with brokers for futures contracts |
104,638 | (455,730 | ) | |||||
|
Net (purchase) of short-term U.S. government and agency obligations |
(12,228,756 | ) | (30,999,293 | ) | ||||
|
Change in unrealized appreciation/depreciation on investments |
(36,015 | ) | 1,233,708 | |||||
|
(Increase) in receivable due from counterparty |
— | (2,243,695 | ) | |||||
|
(Increase) Decrease in receivable on futures contracts |
(30,878 | ) | 24,488 | |||||
|
(Increase) Decrease in receivable from Sponsor |
— | 30,776 | ||||||
|
Amortization of offering cost |
— | 38,430 | ||||||
|
Increase (Decrease) in management fee payable |
15,012 | — | ||||||
|
(Decrease) Increase in payable to Sponsor |
— | 155,604 | ||||||
|
Net cash provided by (used in) operating activities |
12,583,457 | (57,504,513 | ) | |||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
73,802,200 | 81,428,295 | ||||||
|
Payment on shares redeemed |
(69,247,131 | ) | (19,880,349 | ) | ||||
|
Net cash provided by (used in) financing activities |
4,555,069 | 61,547,946 | ||||||
|
Net increase (decrease) in cash |
17,138,526 | 4,043,433 | ||||||
|
Cash, beginning of period |
75,670 | 8,641,327 | ||||||
|
Cash, end of period |
$ | 17,214,196 | $ | 12,684,760 | ||||
See accompanying notes to financial statements.
-38-
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | |||||||
|
Assets |
||||||||
|
Cash |
$ | 10,829,844 | $ | 78,312 | ||||
|
Segregated cash balances for forward agreements |
100 | — | ||||||
|
Segregated cash balances with brokers for futures contracts |
222,750 | 447,653 | ||||||
|
Short-term U.S. government and agency obligations (Note 3)
|
45,583,644 | 64,772,241 | ||||||
|
Unrealized appreciation on forward agreements |
2,023,748 | 2,859,064 | ||||||
|
Receivable from capital shares sold |
1,630,724 | — | ||||||
|
Total assets |
60,290,810 | 68,157,270 | ||||||
|
Liabilities and shareholders’ equity |
||||||||
|
Liabilities |
||||||||
|
Payable for capital shares redeemed |
— | 3,588,515 | ||||||
|
Payable on open futures contracts |
64,385 | — | ||||||
|
Management fee payable |
40,767 | 52,610 | ||||||
|
Total liabilities |
105,152 | 3,641,125 | ||||||
|
Shareholders’ equity |
||||||||
|
Paid-in capital |
122,365,076 | 103,237,063 | ||||||
|
Accumulated earnings (deficit) |
(62,179,418 | ) | (38,720,918 | ) | ||||
|
Total shareholders’ equity |
60,185,658 | 64,516,145 | ||||||
|
Total liabilities and shareholders’ equity |
$ | 60,290,810 | $ | 68,157,270 | ||||
|
Shares outstanding (Note 1) |
1,879,914 | 1,370,001 | ||||||
|
Net asset value per share (Note 1) |
$ | 32.02 | $ | 47.09 | ||||
|
Market value per share (Note 1) (Note 2) |
$ | 32.46 | $ | 47.90 | ||||
See accompanying notes to financial statements.
-39-
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (76% of shareholders’ equity) |
||||||
|
U.S. Cash Management Bills: |
||||||
|
0.040% due 07/15/10 |
$ | 4,500,000 | $ | 4,499,837 | ||
|
U.S. Treasury Bills: |
||||||
|
0.260% due 08/26/10† |
11,700,000 | 11,696,872 | ||||
|
0.183% due 09/09/10† |
9,500,000 | 9,497,178 | ||||
|
0.220% due 09/16/10 |
3,000,000 | 2,999,018 | ||||
|
0.185% due 09/30/10† |
4,500,000 | 4,498,031 | ||||
|
0.230% due 10/07/10† |
5,000,000 | 4,997,844 | ||||
|
0.200% due 11/04/10† |
2,500,000 | 2,498,481 | ||||
|
0.258% due 11/18/10† |
3,000,000 | 2,997,857 | ||||
|
0.210% due 11/26/10† |
1,900,000 | 1,898,526 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 45,583,644 | ||||
| Futures Contracts Sold | |||||||||
|
Number of
Contracts |
Notional
Amount at Value |
Unrealized
Appreciation (Depreciation) |
|||||||
|
Silver Futures – COMEX, expires September 2010 |
33 | $ | 3,086,820 | $ | (8,550 | ) | |||
| 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 |
07/06/10 | $ | (1,627,500 | ) | $ | (30,502,605 | ) | $ | 506,214 | ||||
|
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver |
07/06/10 | (4,628,000 | ) | (86,737,976 | ) | 1,517,534 | |||||||
| $ | 2,023,748 | ||||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-40-
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 24,355 | $ | 3,994 | $ | 39,267 | $ | 5,161 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
129,704 | 50,482 | 297,094 | 38,081 | ||||||||||||
|
Brokerage commissions |
1,235 | 1,379 | 1,892 | 2,019 | ||||||||||||
|
Offering costs |
— | 38,627 | — | 76,829 | ||||||||||||
|
Total expenses |
130,939 | 90,488 | 298,986 | 116,929 | ||||||||||||
|
Net investment income (loss) |
(106,584 | ) | (86,494 | ) | (259,719 | ) | (111,768 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Futures contracts |
(447,210 | ) | (117,274 | ) | (63,750 | ) | (186,571 | ) | ||||||||
|
Forward agreements |
(19,007,793 | ) | (4,317,999 | ) | (22,117,438 | ) | (5,122,612 | ) | ||||||||
|
Short-term U.S. government and agency obligations |
130 | — | 3,217 | — | ||||||||||||
|
Net realized gain (loss) |
(19,454,873 | ) | (4,435,273 | ) | (22,177,971 | ) | (5,309,183 | ) | ||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Futures contracts |
173,585 | 211,582 | (193,285 | ) | 214,095 | |||||||||||
|
Forward agreements |
4,889,197 | 1,861,879 | (835,316 | ) | 1,193,780 | |||||||||||
|
Short-term U.S. government and agency obligations |
2,701 | — | 7,791 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
5,065,483 | 2,073,461 | (1,020,810 | ) | 1,407,875 | |||||||||||
|
Net realized and unrealized gain (loss) |
(14,389,390 | ) | (2,361,812 | ) | (23,198,781 | ) | (3,901,308 | ) | ||||||||
|
Net income (loss) |
$ | (14,495,974 | ) | $ | (2,448,306 | ) | $ | (23,458,500 | ) | $ | (4,013,076 | ) | ||||
|
Net income (loss) per weighted-average share (Note 1) |
$ | (9.44 | ) | $ | (6.31 | ) | $ | (15.20 | ) | $ | (16.61 | ) | ||||
|
Weighted-average shares outstanding (Note 1) |
1,535,428 | 388,298 | 1,543,669 | 241,548 | ||||||||||||
See accompanying notes to financial statements.
-41-
PROSHARES ULTRASHORT SILVER
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 64,516,145 | ||
|
Addition of 1,420,000 shares (Note 1) |
55,001,132 | |||
|
Redemption of 910,087 shares (Note 1) |
(35,873,119 | ) | ||
|
Net addition (redemption) of 509,913 shares (Note 1) |
19,128,013 | |||
|
Net investment income (loss) |
(259,719 | ) | ||
|
Net realized gain (loss) |
(22,177,971 | ) | ||
|
Change in net unrealized appreciation/depreciation |
(1,020,810 | ) | ||
|
Net income (loss) |
(23,458,500 | ) | ||
|
Shareholders’ equity, at June 30, 2010 |
$ | 60,185,658 | ||
See accompanying notes to financial statements.
-42-
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | (23,458,500 | ) | $ | (4,013,076 | ) | ||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for forward agreements |
(100 | ) | (27,980,000 | ) | ||||
|
Decrease (Increase) in segregated cash balances with brokers for futures contracts |
224,903 | (409,810 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
19,196,388 | (30,351,323 | ) | |||||
|
Change in unrealized appreciation/depreciation on investments |
827,525 | (1,193,780 | ) | |||||
|
(Increase) Decrease in receivable due from counterparty |
— | 2,293,957 | ||||||
|
(Increase) Decrease in receivable from Sponsor |
— | 38,081 | ||||||
|
Amortization of offering cost |
— | 76,829 | ||||||
|
(Decrease) in management fee payable |
(11,843 | ) | — | |||||
|
Increase (Decrease) in payable on futures contracts |
64,385 | (5,171 | ) | |||||
|
Net cash provided by (used in) operating activities |
(3,157,242 | ) | (61,544,293 | ) | ||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
53,370,408 | 80,494,533 | ||||||
|
Payment on shares redeemed |
(39,461,634 | ) | (13,231,208 | ) | ||||
|
Net cash provided by (used in) financing activities |
13,908,774 | 67,263,325 | ||||||
|
Net increase (decrease) in cash |
10,751,532 | 5,719,032 | ||||||
|
Cash, beginning of period |
78,312 | 992,121 | ||||||
|
Cash, end of period |
$ | 10,829,844 | $ | 6,711,153 | ||||
See accompanying notes to financial statements.
-43-
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | ||||||
|
Assets |
|||||||
|
Cash |
$ | 9,773,269 | $ | 79,160 | |||
|
Short-term U.S. government and agency obligations (Note 3) (cost $6,797,097 and $7,736,562, respectively) |
6,797,605 | 7,736,270 | |||||
|
Total assets |
16,570,874 | 7,815,430 | |||||
|
Liabilities and shareholders’ equity |
|||||||
|
Liabilities |
|||||||
|
Management fee payable |
11,834 | 6,315 | |||||
|
Unrealized depreciation on foreign currency forward contracts |
229,998 | 277,258 | |||||
|
Total liabilities |
241,832 | 283,573 | |||||
|
Shareholders’ equity |
|||||||
|
Paid-in capital |
18,340,903 | 6,602,808 | |||||
|
Accumulated earnings (deficit) |
(2,011,861 | ) | 929,049 | ||||
|
Total shareholders’ equity |
16,329,042 | 7,531,857 | |||||
|
Total liabilities and shareholders’ equity |
$ | 16,570,874 | $ | 7,815,430 | |||
|
Shares outstanding |
750,014 | 250,014 | |||||
|
Net asset value per share |
$ | 21.77 | $ | 30.13 | |||
|
Market value per share (Note 2) |
$ | 21.76 | $ | 30.17 | |||
See accompanying notes to financial statements.
-44-
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (42% of shareholders’ equity) |
||||||
|
U.S. Treasury Bills: |
||||||
|
0.260% due 08/26/10† |
$ | 900,000 | $ | 899,759 | ||
|
0.178% due 09/09/10† |
3,000,000 | 2,999,109 | ||||
|
0.185% due 09/30/10 |
2,000,000 | 1,999,125 | ||||
|
0.230% due 10/07/10 |
900,000 | 899,612 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 6,797,605 | ||||
Foreign Currency Forward Contracts^
|
Settlement Date |
Local Currency |
Notional Amount
at Value (USD) |
Unrealized
Appreciation (Depreciation) |
||||||||||
|
Contracts to Purchase |
|||||||||||||
|
Euro with Goldman Sachs International |
07/02/10 | 12,336,325 | $ | 15,086,098 | $ | (102,348 | ) | ||||||
|
Euro with UBS AG |
07/02/10 | 14,965,800 | 18,301,685 | (128,691 | ) | ||||||||
|
Euro with Goldman Sachs International |
07/16/10 | 11,770,325 | 14,393,937 | (25 ,065 | ) | ||||||||
|
Euro with UBS AG |
07/16/10 | 14,939,500 | 18,269,522 | (33,342 | ) | ||||||||
| $ | (289,446 | ) | |||||||||||
|
Contracts to Sell |
|||||||||||||
|
Euro with Goldman Sachs International |
07/02/10 | (12,336,325 | ) | $ | (15,086,098 | ) | $ | 26,297 | |||||
|
Euro with UBS AG |
07/02/10 | (14,965,800 | ) | (18,301,685 | ) | 33,151 | |||||||
| $ | 59,448 | ||||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-45-
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 4,342 | $ | 819 | $ | 5,822 | $ | 1,509 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
30,631 | — | 49,931 | — | ||||||||||||
|
Offering costs |
— | 19,321 | — | 38,430 | ||||||||||||
|
Limitation by Sponsor |
— | (4,710 | ) | — | (12,053 | ) | ||||||||||
|
Total expenses |
30,631 | 14,611 | 49,931 | 26,377 | ||||||||||||
|
Net investment income (loss) |
(26,289 | ) | (13,792 | ) | (44,109 | ) | (24,868 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Foreign currency forward contracts |
(2,103,157 | ) | 346,506 | (2,945,250 | ) | 161,220 | ||||||||||
|
Short-term U.S. government and agency obligations |
(46 | ) | — | 389 | — | |||||||||||
|
Net realized gain (loss) |
(2,103,203 | ) | 346,506 | (2,944,861 | ) | 161,220 | ||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Foreign currency forward contracts |
88,388 | 274,806 | 47,260 | 124,559 | ||||||||||||
|
Short-term U.S. government and agency obligations |
451 | — | 800 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
88,839 | 274,806 | 48,060 | 124,559 | ||||||||||||
|
Net realized and unrealized gain (loss) |
(2,014,364 | ) | 621,312 | (2,896,801 | ) | 285,779 | ||||||||||
|
Net income (loss) |
$ | (2,040,653 | ) | $ | 607,520 | $ | (2,940,910 | ) | $ | 260,911 | ||||||
|
Net income (loss) per weighted-average share |
$ | (3.67 | ) | $ | 2.73 | $ | (6.90 | ) | $ | 1.24 | ||||||
|
Weighted-average shares outstanding |
556,607 | 222,541 | 426,257 | 209,683 | ||||||||||||
See accompanying notes to financial statements.
-46-
PROSHARES ULTRA EURO
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 7,531,857 | ||
|
Addition of 850,000 shares |
20,023,154 | |||
|
Redemption of 350,000 shares |
(8,285,059 | ) | ||
|
Net addition (redemption) of 500,000 shares |
11,738,095 | |||
|
Net investment income (loss) |
(44,109 | ) | ||
|
Net realized gain (loss) |
(2,944,861 | ) | ||
|
Change in net unrealized appreciation/depreciation |
48,060 | |||
|
Net income (loss) |
(2,940,910 | ) | ||
|
Shareholders’ equity, at June 30, 2010 |
$ | 16,329,042 | ||
See accompanying notes to financial statements.
-47-
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six
months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | (2,940,910 | ) | $ | 260,911 | |||
|
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 |
— | (1,340,000 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
939,465 | (3,354,900 | ) | |||||
|
Change in unrealized appreciation/depreciation on investments |
(48,060 | ) | (124,559 | ) | ||||
|
(Increase) in receivable from Sponsor |
— | (12,053 | ) | |||||
|
Amortization of offering cost |
— | 38,430 | ||||||
|
Increase (Decrease) in management fee payable |
5,519 | — | ||||||
|
Net cash provided by (used in) operating activities |
(2,043,986 | ) | (4,532,171 | ) | ||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
20,023,154 | 3,982,254 | ||||||
|
Payment on shares redeemed |
(8,285,059 | ) | (1,338,114 | ) | ||||
|
Net cash provided by (used in) financing activities |
11,738,095 | 2,644,140 | ||||||
|
Net increase (decrease) in cash |
9,694,109 | (1,888,031 | ) | |||||
|
Cash, beginning of period |
79,160 | 4,467,380 | ||||||
|
Cash, end of period |
$ | 9,773,269 | $ | 2,579,349 | ||||
See accompanying notes to financial statements.
-48-
STATEMENTS OF FINANCIAL CONDITION
|
June 30,
2010
(unaudited) |
December 31, 2009 | ||||||
|
Assets |
|||||||
|
Cash |
$ | 11,440,343 | $ | 76,035 | |||
|
Short-term U.S. government and agency obligations (Note 3)
|
434,314,870 | 98,870,358 | |||||
|
Unrealized appreciation on foreign currency forward contracts |
5,633,186 | 1,954,967 | |||||
|
Receivable from capital shares sold |
15,072,708 | ||||||
|
Total assets |
466,461,107 | 100,901,360 | |||||
|
Liabilities and shareholders’ equity |
|||||||
|
Liabilities |
|||||||
|
Payable for capital shares redeemed |
3,748,085 | — | |||||
|
Management fee payable |
388,296 | 53,574 | |||||
|
Total liabilities |
4,136,381 | 53,574 | |||||
|
Shareholders’ equity |
|||||||
|
Paid-in capital |
380,564,999 | 110,049,449 | |||||
|
Accumulated earnings (deficit) |
81,759,727 | (9,201,663 | ) | ||||
|
Total shareholders’ equity |
462,324,726 | 100,847,786 | |||||
|
Total liabilities and shareholders’ equity |
$ | 466,461,107 | $ | 100,901,360 | |||
|
Shares outstanding |
18,500,014 | 5,400,014 | |||||
|
Net asset value per share |
$ | 24.99 | $ | 18.68 | |||
|
Market value per share (Note 2) |
$ | 25.01 | $ | 18.70 | |||
See accompanying notes to financial statements.
-49-
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (94% of shareholders’ equity) |
||||||
|
U.S. Cash Management Bills: |
||||||
|
0.150% due 07/15/10 |
$ | 28,000,000 | $ | 27,998,984 | ||
|
U.S. Treasury Bills: |
||||||
|
0.150% due 07/22/10 |
24,000,000 | 23,998,198 | ||||
|
0.164% due 08/26/10 |
42,700,000 | 42,688,582 | ||||
|
0.184% due 09/09/10 |
30,500,000 | 30,490,938 | ||||
|
0.220% due 09/16/10 |
47,000,000 | 46,984,622 | ||||
|
0.190% due 09/23/10 |
22,000,000 | 21,991,884 | ||||
|
0.185% due 09/30/10 |
14,000,000 | 13,993,875 | ||||
|
0.230% due 10/07/10 |
31,300,000 | 31,286,503 | ||||
|
0.150% due 10/14/10 |
49,000,000 | 48,978,058 | ||||
|
0.200% due 10/21/10† |
22,000,000 | 21,989,147 | ||||
|
0.207% due 11/04/10† |
68,000,000 | 67,958,683 | ||||
|
0.258% due 11/18/10 |
21,000,000 | 20,985,002 | ||||
|
0.210% due 11/26/10† |
21,000,000 | 20,983,708 | ||||
|
0.286% due 12/16/10† |
14,000,000 | 13,986,686 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 434,314,870 | ||||
Foreign Currency Forward Contracts^
|
Settlement
Date |
Local
Currency |
Notional
Amount at Value (USD) |
Unrealized
Appreciation (Depreciation) |
||||||||||
|
Contracts to Purchase |
|||||||||||||
|
Euro with Goldman Sachs International |
07/02/10 | 388,264,025 | $ | 474,808,280 | $ | (1,258,789 | ) | ||||||
|
Euro with UBS AG |
07/02/10 | 437,601,200 | 535,142,737 | (1,175,967 | ) | ||||||||
|
Euro with UBS AG |
07/16/10 | 12,458,700 | 15,235,751 | (7,195 | ) | ||||||||
| $ | (2,441,951 | ) | |||||||||||
|
Contracts to Sell |
|||||||||||||
|
Euro with Goldman Sachs International |
07/02/10 | (388,264,025 | ) | $ | (474,808,280 | ) | $ | 2,698,790 | |||||
|
Euro with UBS AG |
07/02/10 | (437,601,200 | ) | (535,142,737 | ) | 3,694,669 | |||||||
|
Euro with Goldman Sachs International |
07/16/10 | (346,717,925 | ) | (424,001,532 | ) | 738,327 | |||||||
|
Euro with UBS AG |
07/16/10 | (421,237,200 | ) | (515,131,193 | ) | 943,351 | |||||||
| $ | 8,075,137 | ||||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-50-
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three
months
ended June 30, 2010 |
Three
months
ended June 30, 2009 |
Six
months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 194,264 | $ | 7,923 | $ | 233,219 | $ | 13,109 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
1,008,849 | 75,067 | 1,489,971 | 119,279 | ||||||||||||
|
Offering costs |
— | 19,320 | — | 38,430 | ||||||||||||
|
Total expenses |
1,008,849 | 94,387 | 1,489,971 | 157,709 | ||||||||||||
|
Net investment income (loss) |
(814,585 | ) | (86,464 | ) | (1,256,752 | ) | (144,600 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Foreign currency forward contracts |
74,527,067 | (2,655,513 | ) | 88,468,274 | (7,202,324 | ) | ||||||||||
|
Short-term U.S. government and agency obligations |
14,181 | — | 25,334 | — | ||||||||||||
|
Net realized gain (loss) |
74,541,248 | (2,655,513 | ) | 88,493,608 | (7,202,324 | ) | ||||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Foreign currency forward contracts |
(2,026,475 | ) | (1,771,263 | ) | 3,678,219 | (89,615 | ) | |||||||||
|
Short-term U.S. government and agency obligations |
38,706 | — | 46,315 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
(1,987,769 | ) | (1,771,263 | ) | 3,724,534 | (89,615 | ) | |||||||||
|
Net realized and unrealized gain (loss) |
72,553,479 | (4,426,776 | ) | 92,218,142 | (7,291,939 | ) | ||||||||||
|
Net income (loss) |
$ | 71,738,894 | $ | (4,513,240 | ) | $ | 90,961,390 | $ | (7,436,539 | ) | ||||||
|
Net income (loss) per weighted-average share |
$ | 3.97 | $ | (2.41 | ) | $ | 6.42 | $ | (4.94 | ) | ||||||
|
Weighted-average shares outstanding |
18,089,025 | 1,869,245 | 14,170,732 | 1,506,368 | ||||||||||||
See accompanying notes to financial statements.
-51-
PROSHARES ULTRASHORT EURO
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 100,847,786 | ||
|
Addition of 18,000,000 shares |
391,534,450 | |||
|
Redemption of 4,900,000 shares |
(121,018,900 | ) | ||
|
Net addition (redemption) of 13,100,000 shares |
270,515,550 | |||
|
Net investment income (loss) |
(1,256,752 | ) | ||
|
Net realized gain (loss) |
88,493,608 | |||
|
Change in net unrealized appreciation/depreciation |
3,724,534 | |||
|
Net income (loss) |
90,961,390 | |||
|
Shareholders’ equity, at June 30, 2010 |
$ | 462,324,726 | ||
See accompanying notes to financial statements.
-52-
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six
months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | 90,961,390 | $ | (7,436,539 | ) | |||
|
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 |
— | (5,600,000 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
(335,398,197 | ) | (24,499,309 | ) | ||||
|
Change in unrealized appreciation/depreciation on investments |
(3,724,534 | ) | 89,615 | |||||
|
(Increase) Decrease in receivable from Sponsor |
— | 32,234 | ||||||
|
Amortization of offering cost |
— | 38,430 | ||||||
|
Increase (Decrease) in management fee payable |
334,722 | — | ||||||
|
(Decrease) Increase in payable to Sponsor |
— | 87,046 | ||||||
|
Net cash provided by (used in) operating activities |
(247,826,619 | ) | (37,288,523 | ) | ||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
376,461,742 | 56,064,196 | ||||||
|
Payment on shares redeemed |
(117,270,815 | ) | (17,335,592 | ) | ||||
|
Net cash provided by (used in) financing activities |
259,190,927 | 38,728,604 | ||||||
|
Net increase (decrease) in cash |
11,364,308 | 1,440,081 | ||||||
|
Cash, beginning of period |
76,035 | 7,121,112 | ||||||
|
Cash, end of period |
$ | 11,440,343 | $ | 8,561,193 | ||||
See accompanying notes to financial statements.
-53-
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | ||||||
|
Assets |
|||||||
|
Cash |
$ | 827,044 | $ | 85,344 | |||
|
Short-term U.S. government and agency obligations (Note 3)
|
3,198,817 | 4,155,133 | |||||
|
Unrealized appreciation on foreign currency forward contracts |
269,399 | — | |||||
|
Total assets |
4,295,260 | 4,240,477 | |||||
|
Liabilities and shareholders’ equity |
|||||||
|
Liabilities |
|||||||
|
Management fee payable |
3,175 | 3,397 | |||||
|
Unrealized depreciation on foreign currency forward contracts |
— | 315,813 | |||||
|
Total liabilities |
3,175 | 319,210 | |||||
|
Shareholders’ equity |
|||||||
|
Paid-in capital |
3,969,617 | 3,969,617 | |||||
|
Accumulated earnings (deficit) |
322,468 | (48,350 | ) | ||||
|
Total shareholders’ equity |
4,292,085 | 3,921,267 | |||||
|
Total liabilities and shareholders’ equity |
$ | 4,295,260 | $ | 4,240,477 | |||
|
Shares outstanding |
150,014 | 150,014 | |||||
|
Net asset value per share |
$ | 28.61 | $ | 26.14 | |||
|
Market value per share (Note 2) |
$ | 28.65 | $ | 26.58 | |||
See accompanying notes to financial statements.
-54-
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (75% of shareholders’ equity) |
||||||
|
U.S. Cash Management Bills: |
||||||
|
0.150% due 07/15/10 |
$ | 100,000 | $ | 99,996 | ||
|
U.S. Treasury Bills: |
||||||
|
0.260% due 08/26/10† |
1,000,000 | 999,733 | ||||
|
0.170% due 09/09/10 |
500,000 | 499,852 | ||||
|
0.185% due 09/30/10 |
500,000 | 499,781 | ||||
|
0.230% due 10/07/10 |
700,000 | 699,698 | ||||
|
0.200% due 11/04/10 |
400,000 | 399,757 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 3,198,817 | ||||
Foreign Currency Forward Contracts^
|
Settlement
Date |
Local
Currency |
Notional
Amount at Value (USD) |
Unrealized
Appreciation (Depreciation) |
||||||||||
|
Contracts to Purchase |
|||||||||||||
|
Yen with Goldman Sachs International |
07/02/10 | 409,000,000 | $ | 4,625,954 | $ | 145,751 | |||||||
|
Yen with UBS AG |
07/02/10 | 348,900,000 | 3,946,199 | 125,131 | |||||||||
|
Yen with Goldman Sachs International |
07/16/10 | 409,000,000 | 4,625,954 | 11,055 | |||||||||
|
Yen with UBS AG |
07/16/10 | 348,900,000 | 3,946,199 | 10,630 | |||||||||
| $ | 292,567 | ||||||||||||
|
Contracts to Sell |
|||||||||||||
|
Yen with Goldman Sachs International |
07/02/10 | (409,000,000 | ) | $ | (4,625,954 | ) | $ | (11,784 | ) | ||||
|
Yen with UBS AG |
07/02/10 | (348,900,000 | ) | (3,946,199 | ) | (11,384 | ) | ||||||
| $ | (23,168 | ) | |||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-55-
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three
months
ended June 30, 2010 |
Three
months
ended June 30, 2009 |
Six
months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 1,633 | $ | 439 | $ | 2,546 | $ | 947 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
9,418 | — | 19,069 | — | ||||||||||||
|
Offering costs |
— | 19,321 | — | 38,429 | ||||||||||||
|
Limitation by Sponsor |
— | (10,460 | ) | — | (20,946 | ) | ||||||||||
|
Total expenses |
9,418 | 8,861 | 19,069 | 17,483 | ||||||||||||
|
Net investment income (loss) |
(7,785 | ) | (8,422 | ) | (16,523 | ) | (16,536 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Foreign currency forward contracts |
(102,356 | ) | 142,595 | (198,293 | ) | (708,220 | ) | |||||||||
|
Short-term U.S. government and agency obligations |
— | — | (69 | ) | — | |||||||||||
|
Net realized gain (loss) |
(102,356 | ) | 142,595 | (198,362 | ) | (708,220 | ) | |||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Foreign currency forward contracts |
535,869 | 2,666 | 585,212 | 100,784 | ||||||||||||
|
Short-term U.S. government and agency obligations |
114 | — | 491 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
535,983 | 2,666 | 585,703 | 100,784 | ||||||||||||
|
Net realized and unrealized gain (loss) |
433,627 | 145,261 | 387,341 | (607,436 | ) | |||||||||||
|
Net income (loss) |
$ | 425,842 | $ | 136,839 | $ | 370,818 | $ | (623,972 | ) | |||||||
|
Net income (loss) per weighted-average share |
$ | 2.84 | $ | 0.89 | $ | 2.47 | $ | (4.27 | ) | |||||||
|
Weighted-average shares outstanding |
150,014 | 153,860 | 150,014 | 146,147 | ||||||||||||
See accompanying notes to financial statements.
-56-
PROSHARES ULTRA YEN
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 3,921,267 | ||
|
Net investment income (loss) |
(16,523 | ) | ||
|
Net realized gain (loss) |
(198,362 | ) | ||
|
Change in net unrealized appreciation/depreciation |
585,703 | |||
|
Net income (loss) |
370,818 | |||
|
Shareholders’ equity, at June 30, 2010 |
$ | 4,292,085 | ||
See accompanying notes to financial statements.
-57-
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | 370,818 | $ | (623,972 | ) | |||
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
|
(Increase) in segregated cash balances for foreign currency forward contracts |
— | (590,000 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
956,807 | (2,387,932 | ) | |||||
|
Change in unrealized appreciation/depreciation on investments |
(585,703 | ) | (100,784 | ) | ||||
|
(Increase) in receivable from Sponsor |
— | (20,946 | ) | |||||
|
Amortization of offering cost |
— | 38,429 | ||||||
|
(Decrease) in management fee payable |
(222 | ) | — | |||||
|
Net cash provided by (used in) operating activities |
741,700 | (3,685,205 | ) | |||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
— | 2,725,365 | ||||||
|
Net increase (decrease) in cash |
741,700 | (959,840 | ) | |||||
|
Cash, beginning of period |
85,344 | 2,986,826 | ||||||
|
Cash, end of period |
$ | 827,044 | $ | 2,026,986 | ||||
See accompanying notes to financial statements.
-58-
STATEMENTS OF FINANCIAL CONDITION
|
June 30, 2010
(unaudited) |
December 31, 2009 | |||||||
|
Assets |
||||||||
|
Cash |
$ | 8,096,921 | $ | 75,424 | ||||
|
Short-term U.S. government and agency obligations (Note 3)
|
147,246,664 | 62,595,795 | ||||||
|
Unrealized appreciation on foreign currency forward contracts |
— | 4,865,068 | ||||||
|
Total assets |
155,343,585 | 67,536,287 | ||||||
|
Liabilities and shareholders’ equity |
||||||||
|
Liabilities |
||||||||
|
Management fee payable |
118,764 | 48,370 | ||||||
|
Unrealized depreciation on foreign currency forward contracts |
9,892,013 | — | ||||||
|
Total liabilities |
10,010,777 | 48,370 | ||||||
|
Shareholders’ equity |
||||||||
|
Paid-in capital |
162,279,164 | 69,482,929 | ||||||
|
Accumulated earnings (deficit) |
(16,946,356 | ) | (1,995,012 | ) | ||||
|
Total shareholders’ equity |
145,332,808 | 67,487,917 | ||||||
|
Total liabilities and shareholders’ equity |
$ | 155,343,585 | $ | 67,536,287 | ||||
|
Shares outstanding |
7,700,014 | 3,150,014 | ||||||
|
Net asset value per share |
$ | 18.87 | $ | 21.42 | ||||
|
Market value per share (Note 2) |
$ | 18.84 | $ | 21.30 | ||||
See accompanying notes to financial statements.
-59-
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2010
(unaudited)
| Principal Amount | Value | |||||
|
Short-term U.S. government and agency obligations (101% of shareholders’ equity) |
||||||
|
U.S. Treasury Bills: |
||||||
|
0.150% due 07/22/10 |
$ | 16,000,000 | $ | 15,998,799 | ||
|
0.129% due 07/29/10 |
18,000,000 | 17,997,703 | ||||
|
0.220% due 08/26/10† |
33,200,000 | 33,191,122 | ||||
|
0.186% due 09/09/10† |
16,000,000 | 15,995,246 | ||||
|
0.220% due 09/16/10† |
3,000,000 | 2,999,018 | ||||
|
0.190% due 09/23/10† |
9,600,000 | 9,596,459 | ||||
|
0.185% due 09/30/10 |
6,000,000 | 5,997,375 | ||||
|
0.230% due 10/07/10 |
15,000,000 | 14,993,532 | ||||
|
0.210% due 11/04/10 |
5,000,000 | 4,996,962 | ||||
|
0.258% due 11/18/10† |
8,000,000 | 7,994,287 | ||||
|
0.210% due 11/26/10† |
16,000,000 | 15,987,587 | ||||
|
0.286% due 12/16/10† |
1,500,000 | 1,498,574 | ||||
|
Total short-term U.S. government and agency obligations
|
$ | 147,246,664 | ||||
| Foreign Currency Forward Contracts^ | |||||||||||||
|
Settlement
Date |
Local
Currency |
Notional
Amount at Value (USD) |
Unrealized
Appreciation (Depreciation) |
||||||||||
|
Contracts to Purchase |
|||||||||||||
|
Yen with Goldman Sachs International |
07/02/10 | 14,174,880,000 | $ | 160,323,562 | $ | 493,977 | |||||||
|
Yen with UBS AG |
07/02/10 | 14,601,420,000 | 165,147,901 | 784,908 | |||||||||
|
Yen with UBS AG |
07/16/10 | 151,200,000 | 1,710,132 | (1,049 | ) | ||||||||
| $ | 1,277,836 | ||||||||||||
|
Contracts to Sell |
|||||||||||||
|
Yen with Goldman Sachs International |
07/02/10 | (14,174,880,000 | ) | $ | (160,323,562 | ) | $ | (5,129,712 | ) | ||||
|
Yen with UBS AG |
07/02/10 | (14,601,420,000 | ) | (165,147,901 | ) | (5,297,007 | ) | ||||||
|
Yen with Goldman Sachs International |
07/16/10 | (12,675,790,000 | ) | (143,368,255 | ) | (342,619 | ) | ||||||
|
Yen with UBS AG |
07/16/10 | (13,146,220,000 | ) | (148,689,006 | ) | (400,511 | ) | ||||||
| $ | (11,169,849 | ) | |||||||||||
| ^ | The positions and counterparties herein are as of June 30, 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.
-60-
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2010 AND 2009
(unaudited)
|
Three months
ended June 30, 2010 |
Three months
ended June 30, 2009 |
Six months
ended June 30, 2010 |
Six
months
ended June 30, 2009 |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest |
$ | 69,595 | $ | 11,195 | $ | 86,129 | $ | 16,577 | ||||||||
|
Expenses |
||||||||||||||||
|
Management fee |
364,439 | 113,131 | 598,770 | 152,703 | ||||||||||||
|
Offering costs |
— | 19,321 | — | 38,430 | ||||||||||||
|
Total expenses |
364,439 | 132,452 | 598,770 | 191,133 | ||||||||||||
|
Net investment income (loss) |
(294,844 | ) | (121,257 | ) | (512,641 | ) | (174,556 | ) | ||||||||
|
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
|
Net realized gain (loss) on |
||||||||||||||||
|
Foreign currency forward contracts |
(432,430 | ) | (4,105,677 | ) | 298,913 | (1,400,418 | ) | |||||||||
|
Short-term U.S. government and agency obligations |
1,343 | — | 4,937 | — | ||||||||||||
|
Net realized gain (loss) |
(431,087 | ) | (4,105,677 | ) | 303,850 | (1,400,418 | ) | |||||||||
|
Change in net unrealized appreciation/depreciation on |
||||||||||||||||
|
Foreign currency forward contracts |
(17,979,091 | ) | (665,624 | ) | (14,757,081 | ) | 734,901 | |||||||||
|
Short-term U.S. government and agency obligations |
10,624 | — | 14,528 | — | ||||||||||||
|
Change in net unrealized appreciation/depreciation |
(17,968,467 | ) | (665,624 | ) | (14,742,553 | ) | 734,901 | |||||||||
|
Net realized and unrealized gain (loss) |
(18,399,554 | ) | (4,771,301 | ) | (14,438,703 | ) | (665,517 | ) | ||||||||
|
Net income (loss) |
$ | (18,694,398 | ) | $ | (4,892,558 | ) | $ | (14,951,344 | ) | $ | (840,073 | ) | ||||
|
Net income (loss) per weighted-average share |
$ | (2.50 | ) | $ | (2.13 | ) | $ | (2.40 | ) | $ | (0.50 | ) | ||||
|
Weighted-average shares outstanding |
7,474,190 | 2,291,772 | 6,221,285 | 1,666,865 | ||||||||||||
See accompanying notes to financial statements.
-61-
PROSHARES ULTRASHORT YEN
STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY
FOR THE SIX MONTHS ENDED
JUNE 30, 2010
(unaudited)
|
Shareholders’ equity, at December 31, 2009 |
$ | 67,487,917 | ||
|
Addition of 5,450,000 shares |
112,049,212 | |||
|
Redemption of 900,000 shares |
(19,252,977 | ) | ||
|
Net addition (redemption) of 4,550,000 shares |
92,796,235 | |||
|
Net investment income (loss) |
(512,641 | ) | ||
|
Net realized gain (loss) |
303,850 | |||
|
Change in net unrealized appreciation/depreciation |
(14,742,553 | ) | ||
|
Net income (loss) |
(14,951,344 | ) | ||
|
Shareholders’ equity, at June 30, 2010 |
$ | 145,332,808 | ||
See accompanying notes to financial statements.
-62-
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
FOR THE SIX MONTHS ENDED
JUNE 30, 2010 AND 2009
(unaudited)
|
Six months
ended June 30, 2010 |
Six months
ended June 30, 2009 |
|||||||
|
Cash flow from operating activities |
||||||||
|
Net income (loss) |
$ | (14,951,344 | ) | $ | (840,073 | ) | ||
|
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 |
— | (7,020,000 | ) | |||||
|
Net sale (purchase) of short-term U.S. government and agency obligations |
(84,636,341 | ) | (28,999,132 | ) | ||||
|
Change in unrealized appreciation/depreciation on investments |
14,742,553 | (734,901 | ) | |||||
|
(Increase) Decrease in receivable from Sponsor |
— | 33,660 | ||||||
|
Amortization of offering cost |
— | 38,430 | ||||||
|
Increase (Decrease) in management fee payable |
70,394 | — | ||||||
|
(Decrease) Increase in payable to Sponsor |
— | 111,268 | ||||||
|
Net cash provided by (used in) operating activities |
(84,774,738 | ) | (37,410,748 | ) | ||||
|
Cash flow from financing activities |
||||||||
|
Proceeds from addition of shares |
112,049,212 | 68,279,994 | ||||||
|
Payment on shares redeemed |
(19,252,977 | ) | (26,102,933 | ) | ||||
|
Net cash provided by (used in) financing activities |
92,796,235 | 42,177,061 | ||||||
|
Net increase (decrease) in cash |
8,021,497 | 4,766,313 | ||||||
|
Cash, beginning of period |
75,424 | 1,970,377 | ||||||
|
Cash, end of period |
$ | 8,096,921 | $ | 6,736,690 | ||||
See accompanying notes to financial statements.
-63-
NOTES TO FINANCIAL STATEMENTS
June 30, 2010
(unaudited)
NOTE 1 –
ORGANIZATION
ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) was organized as a Delaware statutory trust on October 9, 2007 and offers common units of beneficial interest (the “Shares”) in each of its twelve series (each, a “Fund”, and collectively, the “Funds”). The twelve separate series are: ProShares Ultra DJ-UBS Commodity (formerly ProShares Ultra DJ-AIG Commodity), ProShares UltraShort DJ-UBS Commodity (formerly ProShares UltraShort DJ-AIG Commodity), ProShares Ultra DJ-UBS Crude Oil (formerly ProShares Ultra DJ-AIG Crude Oil), ProShares UltraShort DJ-UBS Crude Oil (formerly ProShares UltraShort DJ-AIG Crude Oil), ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen. The Trust has also registered shares for two additional series: ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (each, a “New Fund,” and collectively, the “New Funds”). As of June 30, 2010, each of the New Funds had seed capital of $200, but had not commenced investment operations.
The Trust had no operations prior to November 24, 2008 other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares of each Fund at an aggregate purchase price of $350 in each of the Funds.
Eight of the Funds, ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen, commenced investment operations on November 24, 2008, and four of the Funds, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver and ProShares UltraShort Silver, commenced investment operations on December 1, 2008. As of June 30, 2010, ProShares Short DJ-UBS Natural Gas and ProShares Short Gold had not yet commenced investment operations.
Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the daily performance of its corresponding benchmark. Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (opposite) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the inverse (opposite) of the daily performance of its corresponding benchmark. Each Fund generally invests in Financial Instruments (i.e., commodity-based or currency-based instruments whose value is derived from the value of an underlying asset, rate or index) as a substitute for investing directly in a commodity or currency in order to gain exposure to the commodity index, commodity or currency. Financial Instruments also are used to produce economically “leveraged” or “inverse” investment results and may include futures contracts and options on futures contracts, swap agreements, forward contracts and other commodity-based or currency-based options contracts.
The Funds do not seek to achieve their stated investment objective over a period of time greater than one day because mathematical compounding prevents the Funds from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (+200 or -200%) of the period return of the corresponding benchmark and will likely differ significantly. Investors should monitor their ProShares holdings consistent with their strategies, as frequently as daily.
ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort DJ-UBS Crude Oil each have a benchmark designed to track the performance of commodity futures contracts. The daily performance of these indexes and the corresponding funds will likely be very different from the daily performance of the price of the related physical commodities.
On May 6, 2009, UBS Securities LLC acquired the commodity business of AIG Financial Products Corp. Effective May 7, 2009, the Dow Jones-AIG Commodity Indexes were re-branded as the Dow Jones-UBS Commodity Indexes. The Dow Jones-UBS Commodity Indexes have an identical methodology to the Dow Jones-AIG
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Commodity Indexes and take the identical form and format of the Dow Jones-AIG Commodity Indexes. In connection therewith:
The following Indexes were renamed:
|
Former Index Name |
New Index Name |
|
| Dow Jones-AIG Commodity Index | Dow Jones-UBS Commodity Index | |
| Dow Jones-AIG Crude Oil Sub-Index | Dow Jones-UBS Crude Oil Sub-Index |
The following Funds were renamed:
|
Former Fund Name |
New Fund Name |
|
| ProShares Ultra DJ-AIG Commodity | ProShares Ultra DJ-UBS Commodity | |
| ProShares UltraShort DJ-AIG Commodity | ProShares UltraShort DJ-UBS Commodity | |
| ProShares Ultra DJ-AIG Crude Oil | ProShares Ultra DJ-UBS Crude Oil | |
| ProShares UltraShort DJ-AIG Crude Oil | ProShares UltraShort DJ-UBS Crude Oil |
Prior to the opening of trading on the NYSE Arca on April 15, 2010, ProShares UltraShort Gold executed a 1-for-5 reverse split of shares, and ProShares UltraShort Silver executed a 1-for-10 reverse split of shares. The funds traded at their post-split prices on April 15, 2010. The ticker symbols for the funds did not change, and they continue to trade on the NYSE Arca.
NOTE 2 –
SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by each Fund and each New Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the period ended December 31, 2009, as filed with the SEC on March 1, 2010.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in these financial statements. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.
Statement of Cash Flows
The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated June 30, 2010, and represents non-segregated cash with the custodian and does not include short-term investments.
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Final Net Asset Value for Fiscal Period
The times of the calculation of the Funds’ final net asset value for creation and redemption of fund shares for the period ended June 30, 2010 were as follows. All times are Eastern Time:
| NAV Calculation Time | NAV Calculation Date | |||
|
UltraSilver, UltraShort Silver |
7:00 A.M. | June 30 | ||
|
Ultra Gold, UltraShort Gold |
10:00 A.M. | June 30 | ||
|
Ultra DJ-UBS Commodity, UltraShort DJ-UBS Commodity |
2:30 P.M. | June 30 | ||
|
Ultra DJ-UBS Crude Oil, UltraShort DJ-UBS Crude Oil |
2:30 P.M. | June 30 | ||
|
Ultra Euro, UltraShort Euro |
4:00 P.M. | June 30 | ||
|
Ultra Yen, UltraShort Yen |
4:00 P.M. | June 30 |
Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended June 30, 2010
Market value per share is determined at the close of the New York Stock Exchange and may be later than when the Funds’ NAV per share is calculated.
For financial reporting purposes, the Fund values transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differs from those used in the calculation of some Funds’ final creation/redemption NAV for the three months ended June 30, 2010.
Investment Valuation
Short-term investments are valued at market price.
Derivatives (e.g., futures, swaps and forward agreements) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures in the Gold and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value price would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policy is intended to result in a calculation of a Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
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Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
The following table summarizes the valuation of investments at June 30, 2010 using the fair value hierarchy:
| Level I – Quoted Prices |
Level II – Other
Significant
Observable Inputs |
|||||||||||||||||||||
|
Short-Term
U.S. Government and Agencies |
Futures
Contracts |
Forward
Agreements |
Foreign Currency
Forward Contracts |
Swap
Agreements |
Total | |||||||||||||||||
|
Ultra DJ-UBS Commodity |
$ | 10,236,860 | $ | — | $ | — | $ | — | $ | 541,400 | $ | 10,778,260 | ||||||||||
|
UltraShort DJ-UBS Commodity |
2,499,060 | — | — | — | (437,534 | ) | 2,061,526 | |||||||||||||||
|
Ultra DJ-UBS Crude Oil |
446,105,615 | 1,499,120 | — | — | 22,463,244 | 470,067,979 | ||||||||||||||||
|
UltraShort DJ-UBS Crude Oil |
31,124,437 | 802,030 | — | — | (1,600,736 | ) | 30,325,731 | |||||||||||||||
|
Ultra Gold |
195,430,393 | 124,570 | (5,757,565 | ) | — | — | 189,797,398 | |||||||||||||||
|
UltraShort Gold |
68,580,846 | (21,930 | ) | 1,762,644 | — | — | 70,321,560 | |||||||||||||||
|
Ultra Silver |
170,026,348 | 111,235 | (7,217,691 | ) | — | — | 162,919,892 | |||||||||||||||
|
UltraShort Silver |
45,583,644 | (8,550 | ) | 2,023,748 | — | — | 47,598,842 | |||||||||||||||
|
Ultra Euro |
6,797,605 | — | — | (229,998 | ) | — | 6,567,607 | |||||||||||||||
|
UltraShort Euro |
434,314,870 | — | — | 5,633,186 | — | 439,948,056 | ||||||||||||||||
|
Ultra Yen |
3,198,817 | — | — | 269,399 | — | 3,468,216 | ||||||||||||||||
|
UltraShort Yen |
147,246,664 | — | — | (9,892,013 | ) | — | 137,354,651 | |||||||||||||||
At June 30, 2010, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.
At June 30, 2010, there were no significant transfers in or out of Level I and Level II fair value measurements.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation/depreciation on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciation between periods are reflected in the Statements of Operations. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
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Brokerage Commissions and Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis.
Federal Income Tax
Each Fund and each New Fund is registered as a series of a Delaware statutory trust and is or will be treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s or New Fund’s Shares is or will be required to take into account its allocable share of its Fund’s or New Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the Financial Accounting Standards Board and on-going analysis of tax law, regulation, and interpretations thereof.
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements and/or used as margin for a Fund’s trading in futures and forward contracts.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions that the Sponsor believes in combination should produce daily returns consistent with a Fund’s objective.
All open derivative positions at period-end for each Fund are disclosed in the Schedule of Investments and the notional value of these open positions relative to the shareholders’ equity of each Fund is generally representative of the notional value of open positions to shareholders’ equity throughout the reporting period for each respective Fund. The volume associated with derivative positions varies on a daily basis as each Fund transacts derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ equity consistent with each Fund’s investment objective.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
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Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of an underlying commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of a commodity at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as cash balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. Pursuant to the futures contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.
Swap Agreements
The Funds may enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) commodities, or to create an economic hedge against a position. Swap agreements are two-party contracts entered into primarily with institutional investors for a specified period, ranging from a day to more than one year. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. In the case of futures contracts based indices, such as those used by the Commodity Index Funds, the reference interest rate is zero. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of securities or other underlying instruments.
Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by an Ultra Fund, the Ultra Fund would be entitled to settlement payments in the event the benchmark increases and would be required to make payments to the swap counterparties in the event the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by an UltraShort Fund, the UltraShort Fund would be required to make payments to the swap counterparties in the event the benchmark increases and would be entitled to settlement payments in the event the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.
The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate NAV at least equal to such accrued excess is maintained in a segregated account by the Funds’ Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced Index.
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The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
Swap agreements involve, to varying degrees, elements of market risk (commodity price risk) and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will enter into swap agreements only with large, well-capitalized and well established financial institutions. The creditworthiness of each of the firms which is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties and limiting the net amount due from any individual counterparty. All of the outstanding swap agreements at June 30, 2010 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.
The Funds collateralize swap agreements with cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments and such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek return of this collateral and may incur certain costs and time delays in exercising its right with respect to the collateral.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
Forward Contracts
A forward contract is an agreement between two parties to purchase or sell a specified quantity of a commodity or currency at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts are, in general, not cleared or guaranteed by a third party. The Funds may collateralize forward commodity contracts with cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments and such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral.
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The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties.
A Fund will enter into forward contracts only with large, well-capitalized and well established financial institutions. The creditworthiness of each of the firms which is a party to a forward contract is monitored by the Sponsor.
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Fair Value of Derivative Instruments
as of June 30, 2010
|
Asset Derivatives |
Liability Derivatives |
|||||||||||||
|
Derivatives not accounted for as hedging instruments |
Statements of Financial Condition Location |
Fund |
Unrealized
Appreciation |
Statements of Financial Condition Location |
Fund |
Unrealized
Depreciation |
||||||||
|
Commodities Contracts |
Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements | ProShares Ultra DJ-UBS Commodity | $ | 541,400 | Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements | ProShares UltraShort DJ-UBS Commodity | $ | 437,534 | ||||||
| ProShares Ultra DJ-UBS Crude Oil* | 23,962,364 | ProShares UltraShort DJ-UBS Crude Oil | 1,600,736 | |||||||||||
| ProShares UltraShort DJ-UBS Crude Oil* | 802,030 | ProShares Ultra Gold | 5,757,565 | |||||||||||
| ProShares Ultra Gold* | 124,570 | ProShares UltraShort Gold* | 21,930 | |||||||||||
| ProShares UltraShort Gold | 1,762,644 | ProShares Ultra Silver | 7,217,691 | |||||||||||
|
ProShares Ultra Silver* |
111,235 | ProShares UltraShort Silver* | 8,550 | |||||||||||
|
ProShares UltraShort Silver |
2,023,748 | |||||||||||||
|
Foreign Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts | ProShares Ultra Euro | 59,448 | Unrealized appreciation on foreign currency forward contracts | ProShares Ultra Euro | 289,446 | ||||||||
| ProShares UltraShort Euro | 8,075,137 | ProShares UltraShort Euro | 2,441,951 | |||||||||||
| ProShares Ultra Yen | 292,567 | ProShares Ultra Yen | 23,168 | |||||||||||
| ProShares UltraShort Yen | 1,278,885 | ProShares UltraShort Yen | 11,170,898 | |||||||||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts. |
-72-
Fair Value of Derivative Instruments
as of December 31, 2009
|
Asset Derivatives |
Liability Derivatives |
|||||||||||||||
|
Derivatives not accounted for as hedging instruments |
Statements of Financial Condition Location |
Fund |
Unrealized
Appreciation |
Statements of Financial Condition Location |
Fund |
Unrealized
Depreciation |
||||||||||
|
Commodities Contracts |
Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements | ProShares Ultra DJ-UBS Commodity | $ | 1,177,968 | Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements | ProShares UltraShort DJ-UBS Commodity | $ | 216,605 | ||||||||
| ProShares Ultra DJ-UBS Crude Oil | 38,006,876 | ** | ProShares UltraShort DJ-UBS Crude Oil | 4,046,389 | ** | |||||||||||
| ProShares UltraShort Gold | 2,183,202 | ** | ProShares Ultra Gold | 5,428,460 | ** | |||||||||||
| ProShares UltraShort Silver | 3,043,799 | ** | ProShares Ultra Silver | 7,796,987 | ** | |||||||||||
|
Foreign Exchange Contracts |
Unrealized appreciation on foreign currency forward contracts | ProShares Ultra Euro | 383 | Unrealized appreciation on foreign currency forward contracts | ProShares Ultra Euro | 277,641 | ||||||||||
| ProShares UltraShort Euro | 1,965,377 | ProShares UltraShort Euro | 10,410 | |||||||||||||
| ProShares Ultra Yen | 5,135 | ProShares Ultra Yen | 320,948 | |||||||||||||
| ProShares UltraShort Yen | 4,880,828 | ProShares UltraShort Yen | 15,760 | |||||||||||||
| ** | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts. |
-73-
The Effect of Derivative Instruments on the Statements of Operations
For the three months ended June 30, 2010
|
Derivatives not accounted for as hedging instruments |
Location of Gain or
(Loss) on Derivatives
|
Fund |
Realized Gain
or (Loss) on Derivatives Recognized in Income |
Change in
Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income |
||||||||
| Commodity Contracts |
Net realized gain (loss) on transactions from futures, swaps, and/or forwards/changes in unrealized appreciation/ depreciation of futures, swaps, and/or forwards |
ProShares Ultra DJ-UBS Commodity | $ | (2,396,285 | ) | $ | 1,020,246 | |||||
| ProShares UltraShort DJ-UBS Commodity | 688,684 | (548,694 | ) | |||||||||
| ProShares Ultra DJ-UBS Crude Oil | (57,213,763 | ) | 8,667,709 | |||||||||
| ProShares UltraShort DJ-UBS Crude Oil | 22,000,486 | 4,424,497 | ||||||||||
| ProShares Ultra Gold | 46,276,817 | (7,953,438 | ) | |||||||||
| ProShares UltraShort Gold | (18,692,827 | ) | 2,687,038 | |||||||||
| ProShares Ultra Silver | 32,889,528 | (14,741,118 | ) | |||||||||
| ProShares UltraShort Silver | (19,455,003 | ) | 5,062,782 | |||||||||
| Foreign Exchange Contracts |
Net realized gain (loss) on transactions from foreign currency transactions/changes in unrealized appreciation/ depreciation of foreign currency transactions |
ProShares Ultra Euro | (2,103,157 | ) | 88,388 | |||||||
| ProShares UltraShort Euro | 74,527,067 | (2,026,475 | ) | |||||||||
| ProShares Ultra Yen | (102,356 | ) | 535,869 | |||||||||
| ProShares UltraShort Yen | (432,430 | ) | (17,979,091 | ) | ||||||||
The Effect of Derivative Instruments on the Statements of Operations
For the three months ended June 30, 2009
|
Derivatives not accounted for as hedging instruments |
Location of Gain or (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain
or (Loss) on Derivatives Recognized in Income |
Change in
Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||
| Commodity Contracts |
Net realized gain (loss) on transactions from futures, swaps, and/or forwards/changes in unrealized appreciation /depreciation of futures, swaps, and/or forwards |
ProShares Ultra DJ-UBS Commodity | $ | 3,718,222 | $ | (1,093,594 | ) | |||||
| ProShares UltraShort DJ-UBS Commodity | (1,068,161 | ) | 340,661 | |||||||||
| ProShares Ultra DJ-UBS Crude Oil | 161,788,196 | (1,919,287 | ) | |||||||||
| ProShares UltraShort DJ-UBS Crude Oil | (29,800,088 | ) | (855,048 | ) | ||||||||
| ProShares Ultra Gold | (730,507 | ) | 2,804,833 | |||||||||
| ProShares UltraShort Gold | (2,360,525 | ) | (1,080,374 | ) | ||||||||
| ProShares Ultra Silver | 5,398,849 | (3,018,280 | ) | |||||||||
| ProShares UltraShort Silver | (4,435,273 | ) | 2,073,461 | |||||||||
| Foreign Exchange Contracts |
Net realized gain (loss) on transactions from foreign currency transactions/changes in unrealized appreciation /depreciation of foreign currency transactions |
ProShares Ultra Euro | 346,506 | 274,806 | ||||||||
| ProShares UltraShort Euro | (2,655,513 | ) | (1,771,263 | ) | ||||||||
| ProShares Ultra Yen | 142,595 | 2,666 | ||||||||||
| ProShares UltraShort Yen | (4,105,677 | ) | (665,624 | ) | ||||||||
-74-
The Effect of Derivative Instruments on the Statements of Operations
For the six months ended June 30, 2010
|
Derivatives not accounted for as hedging instruments |
Location of Gain or (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain
or (Loss) on Derivatives Recognized in Income |
Change in
Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income |
||||||||
| Commodity Contracts |
Net realized gain (loss) on transactions from futures, swaps, and/or forwards/changes in unrealized appreciation/ depreciation of futures, swaps, and/or forwards |
ProShares Ultra DJ-UBS Commodity | $ | (2,738,144 | ) | $ | (636,568 | ) | ||||
| ProShares UltraShort DJ-UBS Commodity | 551,420 | (220,929 | ) | |||||||||
| ProShares Ultra DJ-UBS Crude Oil | (4,192,126 | ) | (14,044,512 | ) | ||||||||
| ProShares UltraShort DJ-UBS Crude Oil | 23,584,698 | 3,247,683 | ||||||||||
| ProShares Ultra Gold | 43,712,935 | (204,535 | ) | |||||||||
| ProShares UltraShort Gold | (20,403,714 | ) | (442,488 | ) | ||||||||
| ProShares Ultra Silver | 25,051,179 | 690,531 | ||||||||||
| ProShares UltraShort Silver | (22,181,188 | ) | (1,028,601 | ) | ||||||||
| Foreign Exchange Contracts |
Net realized gain (loss) on transactions from foreign currency transactions/changes in unrealized appreciation/ depreciation of foreign currency transactions |
ProShares Ultra Euro | (2,945,250 | ) | 47,260 | |||||||
| ProShares UltraShort Euro | 88,468,274 | 3,678,219 | ||||||||||
| ProShares Ultra Yen | (198,293 | ) | 585,212 | |||||||||
| ProShares UltraShort Yen | 298,913 | (14,757,081 | ) | |||||||||
The Effect of Derivative Instruments on the Statements of Operations
For the six months ended June 30, 2009
|
Derivatives not accounted for as hedging instruments |
Location of Gain or (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain
or (Loss) on Derivatives Recognized in Income |
Change in
Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||
| Commodity Contracts |
Net realized gain (loss) on transactions from futures, swaps, and/or forwards/changes in unrealized appreciation /depreciation of futures, swaps, and/or forwards |
ProShares Ultra DJ-UBS Commodity | $ | 3,755,997 | $ | (2,077,981 | ) | |||||
| ProShares UltraShort DJ-UBS Commodity | (1,079,538 | ) | 472,159 | |||||||||
| ProShares Ultra DJ-UBS Crude Oil | 80,548,113 | (11,857,391 | ) | |||||||||
| ProShares UltraShort DJ-UBS Crude Oil | (26,308,149 | ) | 2,787,056 | |||||||||
| ProShares Ultra Gold | (979,480 | ) | 281,162 | |||||||||
| ProShares UltraShort Gold | (8,013,226 | ) | 23,466 | |||||||||
| ProShares Ultra Silver | 8,253,090 | (1,621,993 | ) | |||||||||
| ProShares UltraShort Silver | (5,309,183 | ) | 1,407,875 | |||||||||
| Foreign Exchange Contracts |
Net realized gain (loss) on transactions from foreign currency transactions/changes in unrealized appreciation/ depreciation of foreign currency transactions |
ProShares Ultra Euro | 161,220 | 124,559 | ||||||||
| ProShares UltraShort Euro | (7,202,324 | ) | (89,615 | ) | ||||||||
| ProShares Ultra Yen | (708,220 | ) | 100,784 | |||||||||
| ProShares UltraShort Yen | (1,400,418 | ) | 734,901 | |||||||||
-75-
NOTE 4 – AGREEMENTS
Management Fee
Each Fund pays and each New Fund will pay the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of the average daily NAV of such Fund. In the first year of the Funds’ operations, the Sponsor waived the Management Fee to the extent that such amounts cumulatively exceed the organization and offering costs incurred by the Fund. The Management Fee is or will be paid in consideration of the Sponsor’s services as commodity pool operator and commodity trading advisor, and for managing the business and affairs of the Funds and the New Funds. From the Management Fee, the Sponsor pays or will pay the fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent and the licensors for the Commodity Index Funds (Dow Jones & Company, Inc. and UBS Securities LLC, together, “DJ-UBS”), the routine operational, administrative and other ordinary expenses of each Fund and each New Fund, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund and each New Fund after the commencement of its trading operations, including, but not limited to, expenses such as ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund or a New Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees. Each Fund incurs and pays, and each New Fund will incur and pay, its non-recurring and unusual fees and expenses. No other management fee is paid by the Fund or will be paid by the New Fund.
The Administrator
The Sponsor and the Trust, for itself and on behalf of each Fund and each New Fund, has appointed Brown Brothers Harriman & Co. (“BBH&Co.”) as the Administrator of the Funds and the New Funds, and the Sponsor, the Trust, on its own behalf and on behalf of each Fund and each New Fund, and BBH&Co. have entered into an Administrative Agency Agreement (the “Administration Agreement”) in connection therewith. Pursuant to the terms of the Administration Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co. prepares and files certain regulatory filings on behalf of the Funds and the New Funds. BBH&Co. may also perform other services for the Funds and the New Funds pursuant to the Administration Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co. from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds and the New Funds. The Administrator’s fees are or will be paid on behalf of the Funds and the New Funds by the Sponsor.
The Custodian
BBH&Co. serves as Custodian of the Funds and the New Funds, and the Trust, on its own behalf and on behalf of each Fund and each New Fund, and BBH&Co. have entered into a Custodian Agreement in connection therewith. Pursuant to the terms of the Custodian Agreement, BBH&Co. is responsible for the holding and safekeeping of assets delivered to it by the Funds and the New Funds, and performing various administrative duties in accordance with instructions delivered to BBH&Co. by the Funds and the New Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Shares and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund and each New Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund and each New Fund, has entered into a Distribution Services Agreement with SEI.
Routine Operational, Administrative and Other Ordinary Expenses
The Sponsor pays or will pay all of the routine operational, administrative and other ordinary expenses of each Fund and each New Fund generally, as determined by the Sponsor including, but not limited to, fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent, DJ-UBS, accounting and auditing fees and expenses, tax preparation expenses, legal
-76-
fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund or a New Fund, FINRA filing fees, individual K-1 preparation and mailing fees not exceeding 0.10% per annum of the NAV of a Fund and a New Fund, and report preparation and mailing expenses.
Non-Recurring Fees and Expenses
Each Fund pays and each New Fund will pay all non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring fees and expenses are fees and expenses such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds or the New Funds. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.
NOTE 5 – ORGANIZATION AND OFFERING COSTS
Organization costs are expensed as incurred and offering costs will be amortized by the Funds over a twelve month period on a straight-line basis. The Sponsor did not collect any fee in the first year of operation of each Fund in an amount equal to the organization and offering fees. The Sponsor reimbursed each Fund to the extent that its organization and offering costs exceeded 0.95% of its average daily NAV for the first year of operations. At December 31, 2009 and June 30, 2010, all organization and offering costs have been expensed and paid.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems Shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Fund. Creation Units may be created or redeemed only by Authorized Participants.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions—is not relevant to retail investors.
Transaction Fees on Creation and Redemption Transactions
Authorized Participants pay a fixed transaction fee of $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co. for services in processing the creation and redemption of Creation Units. Authorized Participants are required to pay a variable transaction fee of up to 0.10% of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The variable transaction fee is 0.022% for the Commodity Funds and Commodity Index Funds and 0.00% for the Currency Funds. The Sponsor will provide the Authorized Participant with prompt notice in advance of any such waiver or adjustment of transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
-77-
The transaction fees that are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity were as follows:
|
Fund |
Three Months Ended
June 30, 2010 |
Six Months Ended
June 30, 2010 |
||||
|
Ultra DJ-UBS Commodity |
$ | 1,223 | $ | 3,498 | ||
|
UltraShort DJ-UBS Commodity |
1,091 | 1,438 | ||||
|
Ultra DJ-UBS Crude Oil |
159,680 | 269,064 | ||||
|
UltraShort DJ-UBS Crude Oil |
49,588 | 115,454 | ||||
|
Ultra Gold |
10,575 | 22,063 | ||||
|
UltraShort Gold |
10,397 | 16,375 | ||||
|
Ultra Silver |
18,798 | 30,299 | ||||
|
UltraShort Silver |
10,987 | 20,069 | ||||
|
Ultra Euro |
— | — | ||||
|
UltraShort Euro |
— | — | ||||
|
Ultra Yen |
— | — | ||||
|
UltraShort Yen |
— | — | ||||
-78-
NOTE 7 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended June 30, 2010:
Ultra ProShares
For the Three Month Period Ended June 30, 2010 (unaudited)
|
Per Share Operating Performance |
Ultra DJ-UBS
Commodity |
Ultra DJ-UBS
Crude Oil |
Ultra Gold | Ultra Silver | Ultra Euro | Ultra Yen | ||||||||||||||||||
|
Net asset value, at March 31, 2010 |
$ | 25.0306 | $ | 13.2404 | $ | 45.5836 | $ | 58.0458 | $ | 26.6928 | $ | 25.7725 | ||||||||||||
|
Net investment income (loss) |
(0.0438 | ) | (0.0222 | ) | (0.1019 | ) | (0.1193 | ) | (0.0472 | ) | (0.0519 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
(2.6147 | ) | (3.5880 | ) | 10.3379 | 5.6087 | (4.8740 | ) | 2.8906 | |||||||||||||||
|
Change in net asset value from operations |
(2.6585 | ) | (3.6102 | ) | 10.2360 | 5.4894 | (4.9212 | ) | 2.8387 | |||||||||||||||
|
Net asset value, at June 30, 2010 |
$ | 22.3721 | $ | 9.6302 | $ | 55.8196 | $ | 63.5352 | $ | 21.7716 | $ | 28.6112 | ||||||||||||
|
Market value per share, at March 31, 2010 |
$ | 25.04 | $ | 13.06 | $ | 45.38 | $ | 57.77 | $ | 26.74 | $ | 25.81 | ||||||||||||
|
Market value per share, at June 30, 2010 |
$ | 22.16 | $ | 9.53 | $ | 55.83 | $ | 62.67 | $ | 21.76 | $ | 28.65 | ||||||||||||
|
Total Return, at net asset value^ |
(10.62 | )% | (27.27 | )% | 22.46 | % | 9.46 | % | (18.44 | )% | 11.01 | % | ||||||||||||
|
Total Return, at market value^ |
(11.50 | )% | (27.03 | )% | 23.03 | % | 8.48 | % | (18.62 | )% | 11.00 | % | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.01 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.73 | )% | (0.86 | )% | (0.79 | )% | (0.77 | )% | (0.82 | )% | (0.79 | )% | ||||||||||||
| ^ | Percentages are not annualized for the period ended June 30, 2010. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
-79-
UltraShort ProShares
For the Three Month Period Ended June 30, 2010 (unaudited)
|
Per Share Operating Performance* |
UltraShort DJ-
UBS Commodity |
UltraShort DJ-
UBS Crude Oil |
UltraShort
Gold |
UltraShort
Silver |
UltraShort
Euro |
UltraShort
Yen |
||||||||||||||||||
|
Net asset value, at March 31, 2010 |
$ | 15.7251 | $ | 12.1030 | $ | 48.3567 | $ | 40.6632 | $ | 20.7907 | $ | 21.3981 | ||||||||||||
|
Net investment income (loss) |
(0.0335 | ) | (0.0274 | ) | (0.0822 | ) | (0.0694 | ) | (0.0450 | ) | (0.0394 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
1.2155 | 3.0203 | (10.3277 | ) | (8.5787 | ) | 4.2448 | (2.4843 | ) | |||||||||||||||
|
Change in net asset value from operations |
1.1820 | 2.9929 | (10.4099 | ) | (8.6481 | ) | 4.1998 | (2.5237 | ) | |||||||||||||||
|
Net asset value, at June 30, 2010 |
$ | 16.9071 | $ | 15.0959 | $ | 37.9468 | $ | 32.0151 | $ | 24.9905 | $ | 18.8744 | ||||||||||||
|
Market value per share, at March 31, 2010 |
$ | 15.67 | $ | 12.27 | $ | 48.55 | $ | 40.80 | $ | 20.80 | $ | 21.44 | ||||||||||||
|
Market value per share, at June 30, 2010 |
$ | 17.01 | $ | 15.24 | $ | 37.95 | $ | 32.46 | $ | 25.01 | $ | 18.84 | ||||||||||||
|
Total Return, at net asset value^ |
7.52 | % | 24.73 | % | (21.53 | )% | (21.27 | )% | 20.20 | % | (11.79 | )% | ||||||||||||
|
Total Return, at market value^ |
8.55 | % | 24.21 | % | (21.83 | )% | (20.44 | )% | 20.24 | % | (12.13 | )% | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.03 | )% | (0.95 | )% | (0.96 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.82 | )% | (0.86 | )% | (0.79 | )% | (0.78 | )% | (0.77 | )% | (0.77 | )% | ||||||||||||
| * | See Note 1. |
| ^ | Percentages are not annualized for the period ended June 30, 2010. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
-80-
Selected data for a Share outstanding throughout the three months ended June 30, 2009:
Ultra ProShares
For the Three Month Period Ended June 30, 2009 (unaudited)
|
Per Share Operating Performance |
Ultra DJ-UBS
Commodity |
Ultra DJ-UBS
Crude Oil |
Ultra Gold | Ultra Silver | Ultra Euro | Ultra Yen | ||||||||||||||||||
|
Net asset value, at March 31, 2009 |
$ | 18.8152 | $ | 8.5907 | $ | 33.0984 | $ | 39.8233 | $ | 26.2836 | $ | 23.6272 | ||||||||||||
|
Net investment income (loss) |
(0.0509 | ) | (0.0240 | ) | (0.0750 | ) | (0.0976 | ) | (0.0620 | ) | (0.0547 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
4.0799 | 4.4969 | 0.6734 | 2.8820 | 2.9426 | 1.1580 | ||||||||||||||||||
|
Change in net asset value from operations |
4.0290 | 4.4729 | 0.5984 | 2.7844 | 2.8806 | 1.1033 | ||||||||||||||||||
|
Net asset value, at June 30, 2009 |
$ | 22.8442 | $ | 13.0636 | $ | 33.6968 | $ | 42.6077 | $ | 29.1642 | $ | 24.7305 | ||||||||||||
|
Market value per share, at March 31, 2009 |
$ | 18.83 | $ | 8.42 | $ | 33.31 | $ | 38.99 | $ | 26.22 | $ | 23.61 | ||||||||||||
|
Market value per share, at June 30, 2009 |
$ | 22.92 | $ | 13.16 | $ | 33.28 | $ | 40.49 | $ | 29.21 | $ | 24.70 | ||||||||||||
|
Total Return, at net asset value^ |
21.41 | % | 52.07 | % | 1.81 | % | 6.99 | % | 10.96 | % | 4.67 | % | ||||||||||||
|
Total Return, at market value^ |
21.72 | % | 56.29 | % | (0.09 | )% | 3.85 | % | 11.40 | % | 4.62 | % | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.02 | )% | (0.95 | )% | (0.96 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.92 | )% | (0.97 | )% | (0.91 | )% | (0.91 | )% | (0.90 | )% | (0.90 | )% | ||||||||||||
| ^ | Percentages are not annualized for the period ended June 30, 2009. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
-81-
UltraShort ProShares
For the Three Month Period Ended June 30, 2009 (unaudited)
|
Per Share Operating Performance* |
UltraShort DJ-
UBS Commodity |
UltraShort DJ-
UBS Crude Oil |
UltraShort
Gold |
UltraShort
Silver |
UltraShort
Euro |
UltraShort
Yen |
||||||||||||||||||
|
Net asset value, at March 31, 2009 |
$ | 27.9302 | $ | 31.1426 | $ | 80.9444 | $ | 114.8284 | $ | 22.4857 | $ | 25.2351 | ||||||||||||
|
Net investment income (loss) |
(0.0529 | ) | (0.0514 | ) | (0.1811 | ) | (0.2228 | ) | (0.0463 | ) | (0.0529 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
(6.9757 | ) | (14.1493 | ) | (5.4153 | ) | (25.6156 | ) | (2.6328 | ) | (1.6669 | ) | ||||||||||||
|
Change in net asset value from operations |
(7.0286 | ) | (14.2007 | ) | (5.5964 | ) | (25.8384 | ) | (2.6791 | ) | (1.7198 | ) | ||||||||||||
|
Net asset value, at June 30, 2009 |
$ | 20.9016 | $ | 16.9419 | $ | 75.3480 | $ | 88.9900 | $ | 19.8066 | $ | 23.5153 | ||||||||||||
|
Market value per share, at March 31, 2009 |
$ | 28.97 | $ | 31.84 | $ | 80.85 | $ | 117.40 | $ | 22.54 | $ | 25.19 | ||||||||||||
|
Market value per share, at June 30, 2009 |
$ | 20.95 | $ | 16.80 | $ | 76.30 | $ | 93.50 | $ | 19.83 | $ | 23.46 | ||||||||||||
|
Total Return, at net asset value^ |
(25.16 | )% | (45.60 | )% | (6.91 | )% | (22.50 | )% | (11.91 | )% | (6.82 | )% | ||||||||||||
|
Total Return, at market value^ |
(27.68 | )% | (47.24 | )% | (5.63 | )% | (20.36 | )% | (12.02 | )% | (6.87 | )% | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.07 | )% | (0.96 | )% | (0.96 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.93 | )% | (1.02 | )% | (0.91 | )% | (0.92 | )% | (0.87 | )% | (0.87 | )% | ||||||||||||
| * | See Note 1. |
| ^ | Percentages are not annualized for the period ended June 30, 2009. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
-82-
Selected data for a Share outstanding throughout the six months ended June 30, 2010:
Ultra ProShares
For the Six Month Period Ended June 30, 2010 (unaudited)
|
Per Share Operating Performance |
Ultra DJ-UBS
Commodity |
Ultra DJ-UBS
Crude Oil |
Ultra Gold | Ultra Silver | Ultra Euro | Ultra Yen | ||||||||||||||||||
|
Net asset value, at December 31, 2009 |
$ | 28.2051 | $ | 12.6245 | $ | 44.0778 | $ | 57.0257 | $ | 30.1257 | $ | 26.1393 | ||||||||||||
|
Net investment income (loss) |
(0.0961 | ) | (0.0482 | ) | (0.2012 | ) | (0.2361 | ) | (0.1035 | ) | (0.1101 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
(5.7369 | ) | (2.9461 | ) | 11.9430 | 6.7456 | (8.2506 | ) | 2.5820 | |||||||||||||||
|
Change in net asset value from operations |
(5.8330 | ) | (2.9943 | ) | 11.7418 | 6.5095 | (8.3541 | ) | 2.4719 | |||||||||||||||
|
Net asset value, at June 30, 2010 |
$ | 22.3721 | $ | 9.6302 | $ | 55.8196 | $ | 63.5352 | $ | 21.7716 | $ | 28.6112 | ||||||||||||
|
Market value per share, at December 31, 2009 |
$ | 28.43 | $ | 12.68 | $ | 44.68 | $ | 56.15 | $ | 30.17 | $ | 26.58 | ||||||||||||
|
Market value per share, at June 30, 2010 |
$ | 22.16 | $ | 9.53 | $ | 55.83 | $ | 62.67 | $ | 21.76 | $ | 28.65 | ||||||||||||
|
Total Return, at net asset value^ |
(20.68 | )% | (23.72 | )% | 26.64 | % | 11.42 | % | (27.73 | )% | 9.46 | % | ||||||||||||
|
Total Return, at market value^ |
(22.05 | )% | (24.84 | )% | 24.96 | % | 11.61 | % | (27.88 | )% | 7.79 | % | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.00 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.77 | )% | (0.89 | )% | (0.84 | )% | (0.81 | )% | (0.84 | )% | (0.82 | )% | ||||||||||||
| ^ | Percentages are not annualized for the period ended June 30, 2010. |
| ** | Percentages are annualized. |
-83-
UltraShort ProShares
For the Six Month Period Ended June 30, 2010 (unaudited)
|
Per Share Operating Performance |
UltraShort DJ-
UBS Commodity |
UltraShort DJ-
UBS Crude Oil |
UltraShort
Gold |
UltraShort
Silver |
UltraShort
Euro |
UltraShort
Yen |
||||||||||||||||||
|
Net asset value, at December 31, 2009 |
$ | 14.6211 | $ | 13.6886 | $ | 52.4052 | $ | 47.0920 | $ | 18.6755 | $ | 21.4246 | ||||||||||||
|
Net investment income (loss) |
(0.0663 | ) | (0.0579 | ) | (0.1886 | ) | (0.1682 | ) | (0.0887 | ) | (0 .0824 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
2.3523 | 1.4652 | (14.2698 | ) | (14.9087 | ) | 6.4037 | (2 .4678 | ) | |||||||||||||||
|
Change in net asset value from operations |
2.2860 | 1.4073 | (14.4584 | ) | (15.0769 | ) | 6.3150 | (2 .5502 | ) | |||||||||||||||
|
Net asset value, at June 30, 2010 |
$ | 16.9071 | $ | 15.0959 | $ | 37.9468 | $ | 32.0151 | $ | 24.9905 | $ | 18.8744 | ||||||||||||
|
Market value per share, at December 31, 2009 |
$ | 14.65 | $ | 13.65 | $ | 51.75 | $ | 47.90 | $ | 18.70 | $ | 21 .30 | ||||||||||||
|
Market value per share, at June 30, 2010 |
$ | 17.01 | $ | 15.24 | $ | 37.95 | $ | 32.46 | $ | 25.01 | $ | 18 .84 | ||||||||||||
|
Total Return, at net asset value^ |
15.63 | % | 10.28 | % | (27.59 | )% | (32.02 | )% | 33.81 | % | (11.90 | )% | ||||||||||||
|
Total Return, at market value^ |
16.11 | % | 11.65 | % | (26.67 | )% | (32.23 | )% | 33.74 | % | (11.55 | )% | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.01 | )% | (0.96 | )% | (0.96 | )% | (0.95 | )% | (0 .95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0 .95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.84 | )% | (0.89 | )% | (0.84 | )% | (0.83 | )% | (0.80 | )% | (0 .81 | )% | ||||||||||||
| ^ | Percentages are not annualized for the period ended June 30, 2010. |
| ** | Percentages are annualized. |
-84-
Selected data for a Share outstanding throughout the six months ended June 30, 2009:
Ultra ProShares
For the Six Month Period Ended June 30, 2009 (unaudited)
|
Per Share Operating Performance |
Ultra DJ-
UBS Commodity |
Ultra DJ-
UBS Crude Oil |
Ultra Gold | Ultra Silver | Ultra Euro | Ultra Yen | ||||||||||||||||||
|
Net asset value, at December 31, 2008 |
$ | 22.1647 | $ | 14.7811 | $ | 30.8181 | $ | 28.6021 | $ | 29.2400 | $ | 28.4465 | ||||||||||||
|
Net investment income (loss) |
(0.0974 | ) | (0.0468 | ) | (0.1512 | ) | (0.1894 | ) | (0.1186 | ) | (0.1131 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
0.7769 | (1.6707 | ) | 3.0299 | 14.1950 | 0.0428 | (3.6029 | ) | ||||||||||||||||
|
Change in net asset value from operations |
0.6795 | (1.7175 | ) | 2.8787 | 14.0056 | (0.0758 | ) | (3.7160 | ) | |||||||||||||||
|
Net asset value, at June 30, 2009 |
$ | 22.8442 | $ | 13.0636 | $ | 33.6968 | $ | 42.6077 | $ | 29.1642 | $ | 24.7305 | ||||||||||||
|
Market value per share, at December 31, 2008 |
$ | 22.15 | $ | 13.69 | $ | 31.60 | $ | 31.50 | $ | 29.49 | $ | 28.66 | ||||||||||||
|
Market value per share, at June 30, 2009 |
$ | 22.92 | $ | 13.16 | $ | 33.28 | $ | 40.49 | $ | 29.21 | $ | 24.70 | ||||||||||||
|
Total Return, at net asset value^ |
3.07 | % | (11.62 | )% | 9.34 | % | 48.97 | % | (0.26 | )% | (13.06 | )% | ||||||||||||
|
Total Return, at market value^ |
3.48 | % | (3.87 | )% | 5.32 | % | 28.54 | % | (0.95 | )% | (13.82 | )% | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.07 | )% | (0.95 | )% | (0.96 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.92 | )% | (1.03 | )% | (0.91 | )% | (0.92 | )% | (0.90 | )% | (0.90 | )% | ||||||||||||
| ^ | Percentages are not annualized for the period ended June 30, 2009. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
-85-
UltraShort ProShares
For the Six Month Period Ended June 30, 2009 (unaudited)
|
Per Share Operating Performance* |
UltraShort DJ-
UBS Commodity |
UltraShort DJ-
UBS Crude Oil |
UltraShort
Gold |
UltraShort
Silver |
UltraShort
Euro |
UltraShort
Yen |
||||||||||||||||||
|
Net asset value, at December 31, 2008 |
$ | 26.7951 | $ | 29.0040 | $ | 96.8701 | $ | 195.9875 | $ | 20.9453 | $ | 21.6631 | ||||||||||||
|
Net investment income (loss) |
(0.1181 | ) | (0.1287 | ) | (0.3666 | ) | (0.4627 | ) | (0.0960 | ) | (0.1047 | ) | ||||||||||||
|
Net realized and unrealized gain (loss) |
(5.7754 | ) | (11.9334 | ) | (21.1555 | ) | (106.5348 | ) | (1.0427 | ) | 1.9569 | |||||||||||||
|
Change in net asset value from operations |
(5.8935 | ) | (12.0621 | ) | (21.5221 | ) | (106.9975 | ) | (1.1387 | ) | 1.8522 | |||||||||||||
|
Net asset value, at June 30, 2009 |
$ | 20.9016 | $ | 16.9419 | $ | 75.3480 | $ | 88.9900 | $ | 19.8066 | $ | 23.5153 | ||||||||||||
|
Market value per share, at December 31, 2008 |
$ | 27.58 | $ | 31.66 | $ | 95.50 | $ | 175.10 | $ | 21.26 | $ | 21.85 | ||||||||||||
|
Market value per share, at June 30, 2009 |
$ | 20.95 | $ | 16.80 | $ | 76.30 | $ | 93.50 | $ | 19.83 | $ | 23.46 | ||||||||||||
|
Total Return, at net asset value^ |
(21.99 | )% | (41.59 | )% | (22.22 | )% | (54.59 | )% | (5.44 | )% | 8.55 | % | ||||||||||||
|
Total Return, at market value^ |
(24.04 | )% | (46.94 | )% | (20.10 | )% | (46.60 | )% | (6.73 | )% | 7.37 | % | ||||||||||||
|
Ratios to Average Net Assets** |
||||||||||||||||||||||||
|
Expense ratio |
(0.95 | )% | (1.18 | )% | (0.96 | )% | (0.97 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Expense ratio, excluding brokerage commissions |
(0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | (0.95 | )% | ||||||||||||
|
Net investment income (loss) |
(0.92 | )% | (1.14 | )% | (0.92 | )% | (0.92 | )% | (0.87 | )% | (0.87 | )% | ||||||||||||
| * | See Note 1. |
| ^ | Percentages are not annualized for the period ended June 30, 2009. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
-86-
NOTE 8 – RISK
Correlation Risk
The Funds do not seek to achieve their stated investment objective over a period of time greater than one day because mathematical compounding prevents the Funds from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (+200 or -200%) of the period return of the corresponding benchmark and will likely differ significantly.
A number of factors may affect a Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund’s correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards and disruptions or illiquidity in the markets for the commodities or Financial Instruments (i.e., commodity-based or currency-based instruments whose value is derived from the value of an underlying asset, rate or index) in which the Fund invests. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. In addition, there is a special form of correlation risk that derives from these Funds’ use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the target return for the same period stated in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index may cause a decrease in the performance relative to the target return for the same period.
Counterparty Risk
A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments and repurchase agreements entered into by the Fund. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. The Funds structure swap agreements such that either party can terminate the contract without penalty prior to the termination date. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit ratings are investment grade, as determined by a nationally recognized statistical rating organization, or, if unrated, judged by the Sponsor to be of comparable quality.
Leverage Risk
Leverage offers a means of magnifying market movements into larger changes in an investment’s value and provides greater investment exposure than an unleveraged investment. Swap agreements, borrowing, futures contracts and forward contracts, all may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.
Liquidity Risk
In certain circumstances, such as the disruption of the orderly markets for the commodities or Financial Instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Sponsor. Such a situation may prevent a Fund from limiting losses, realizing gains or achieving a high correlation or inverse correlation with its underlying index.
NOTE 9– SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in its Funds’ financial statements through this date.
-87-
| Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor or the Trustee (as each term is defined below) assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor or the Trustee is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Introduction
ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and currently organized into separate series. The following twelve series of the Trust, ProShares Ultra DJ-UBS Commodity (formerly ProShares Ultra DJ-AIG Commodity), ProShares UltraShort DJ-UBS Commodity (formerly ProShares UltraShort DJ-AIG Commodity), ProShares Ultra DJ-UBS Crude Oil (formerly ProShares Ultra DJ-AIG Crude Oil), ProShares UltraShort DJ-UBS Crude Oil (formerly ProShares UltraShort DJ-AIG Crude Oil), ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen (each, a “Fund” and collectively, the “Funds”) issue common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca exchange (“NYSE Arca”). The Trust has also registered shares for two additional series: ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (collectively, the “New Funds”). As of June 30, 2010, each of the New Funds had seed capital of $200, but had not commenced investment operations; therefore, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, Statements of Cash Flows and results of operations for the New Funds are not included in this Quarterly Report on Form 10-Q.
ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”), commodity pool operator and commodity trading advisor. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.
Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in three different ways. References to “Ultra ProShares”, “Short ProShares” or “UltraShort ProShares” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks.
Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the daily performance of its corresponding benchmark. Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (opposite) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the inverse (opposite) of the daily performance of its corresponding benchmark. Each Fund generally invests in Financial Instruments (i.e., commodity-based or currency-based instruments whose value is derived from the value of an underlying asset, rate or index) as a substitute for investing directly in a commodity or currency in order to gain exposure to the commodity index, commodity or currency. Financial Instruments also are used to produce economically “leveraged” or “inverse” investment results and may include futures contracts and options on futures contracts, swap agreements, forward contracts and other commodity-based or currency-based options contracts.
The Funds do not seek to achieve their stated investment objective over a period of time greater than one day because mathematical compounding prevents the Funds from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (+200 or -200%) of the period return of the corresponding benchmark and will likely differ significantly.
-88-
ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort DJ-UBS Crude Oil each have a benchmark designed to track the performance of commodity futures contracts. The daily performance of these indexes and the corresponding funds will likely be very different from the daily performance of the price of the related physical commodities.
Each Fund continuously offers and redeems its Shares in blocks of 50,000 Shares (“Creation Units”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective net asset value per Share (“NAV”). Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
Liquidity and Capital Resources
In order to collateralize derivatives positions in commodities or currencies, a significant portion of the NAV of each Fund is held in cash and/or U.S. Treasury Securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and/or used as margin for each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three-month and six-month periods ended June 30, 2010 and June 30, 2009, each of the Funds earned interest income as follows:
|
Fund |
Interest Income
Three Months Ended June 30, 2010 |
Interest Income
Three Months Ended June 30, 2009 |
Interest Income
Six Months Ended June 30, 2010 |
Interest Income
Six Months Ended June 30, 2009 |
||||||||
|
ProShares Ultra DJ-UBS Commodity |
$ | 6,549 | $ | 1,791 | $ | 11,318 | $ | 2,274 | ||||
|
ProShares UltraShort DJ-UBS Commodity |
1,438 | 154 | 2,318 | 390 | ||||||||
|
ProShares Ultra DJ-UBS Crude Oil |
132,798 | 36,106 | 174,054 | 69,821 | ||||||||
|
ProShares UltraShort DJ-UBS Crude Oil |
33,056 | 7,498 | 55,494 | 9,389 | ||||||||
|
ProShares Ultra Gold |
77,349 | 16,032 | 102,169 | 25,506 | ||||||||
|
ProShares UltraShort Gold |
26,319 | 5,627 | 39,753 | 9,039 | ||||||||
|
ProShares Ultra Silver |
80,805 | 7,765 | 117,250 | 10,714 | ||||||||
|
ProShares UltraShort Silver |
24,355 | 3,994 | 39,267 | 5,161 | ||||||||
|
ProShares Ultra Euro |
4,342 | 819 | 5,822 | 1,509 | ||||||||
|
ProShares UltraShort Euro |
194,264 | 7,923 | 233,219 | 13,109 | ||||||||
|
ProShares Ultra Yen |
1,633 | 439 | 2,546 | 947 | ||||||||
|
ProShares UltraShort Yen |
69,595 | 11,195 | 86,129 | 16,577 | ||||||||
Each Fund’s underlying swaps, futures and forward contracts, as the case may be, are subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may
-89-
limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The Trust is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust’s liquidity needs.
Because each Fund enters into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Results of Operations for the Three-Month Period Ended June 30, 2010 Compared to the Three-Month Period Ended June 30, 2009
NAV of ProShares Ultra DJ-UBS Commodity
The Fund’s NAV decreased from $12,515,659 at March 31, 2010 to $12,304,949 at June 30, 2010. The decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Commodity Index. The decrease in the Fund’s NAV was offset by an increase in outstanding Shares, which increased from 500,014 Shares at March 31, 2010 to 550,014 Shares at June 30, 2010 due to 150,000 Shares (3 Creation Units) being created and 100,000 Shares (2 Creation Units) being redeemed during the period. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 10.61%. During the three-month period ended June 30, 2010, the benchmark index declined by a cumulative 4.85% and had an annualized volatility of 17.09%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $13,170,908 at March 31, 2009 to $30,839,963 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 700,014 Shares at March 31, 2009 to 1,350,014 Shares at June 30, 2009 due to 650,000 Shares (13 Creation Units) being created and no Shares being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Commodity Index. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 21.41%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 11.61% and had an annualized volatility of 25.32%.
NAV of ProShares UltraShort DJ-UBS Commodity
The Fund’s NAV decreased from $4,717,758 at March 31, 2010 to $3,381,653 at June 30, 2010. The decrease in the Fund’s NAV resulted from a decrease in outstanding Shares, which decreased from 300,014 Shares at March 31, 2010 to 200,014 Shares at June 30, 2010 due to 100,000 Shares (2 Creation Units) being created and 200,000 Shares (4 Creation Units) being redeemed during the period. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 7.52%. During the three-month period ended June 30, 2010, the benchmark index declined by a cumulative 4.85% and had an annualized volatility of 17.09%.
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By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $2,793,409 at March 31, 2009 to $5,225,688 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 100,014 Shares at March 31, 2009 to 250,014 Shares at June 30, 2009 due to 150,000 Shares (3 Creation Units) being created and no Shares being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 25.16%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 11.61% and had an annualized volatility of 25.32%.
NAV of ProShares Ultra DJ-UBS Crude Oil
The Fund’s NAV increased from $199,930,040 at March 31, 2010 to $501,252,171 at June 30, 2010. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 15,100,014 Shares at March 31, 2010 to 52,050,014 Shares at June 30, 2010 due to 52,700,000 Shares (1,054 Creation Units) being created and 15,750,000 Shares (315 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 27.26%. During the three-month period ended June 30, 2010, the benchmark index declined by a cumulative 13.6% and had an annualized volatility of 30.41%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV decreased from $304,110,416 at March 31, 2009 to $209,670,516 at June 30, 2009. The decrease in the Fund’s NAV resulted from a decrease in outstanding Shares, which decreased from 35,400,014 Shares at March 31, 2009 to 16,050,014 Shares at June 30, 2009 due to 15,800,000 Shares (316 Creation Units) being created and 35,150,000 Shares (703 Creation Units) being redeemed during the period. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 52.06%. During the three- month period ended June 30, 2009, the benchmark index rose by a cumulative 26.27% and had an annualized volatility of 42.59%.
NAV of ProShares UltraShort DJ-UBS Crude Oil
The Fund’s NAV decreased from $124,055,704 at March 31, 2010 to $51,326,108 at June 30, 2010. The decrease in the Fund’s NAV resulted from a decrease in outstanding Shares, which decreased from 10,250,014 Shares at March 31, 2010 to 3,400,014 Shares at June 30, 2010 due to 5,000,000 Shares (100 Creation Units) being created and 11,850,000 Shares (237 Creation Units) being redeemed during the period. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 24.73%. During the three-month period ended June 30, 2010, the benchmark index declined by a cumulative 13.6% and had an annualized volatility of 30.41%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $43,600,089 at March 31, 2009 to $128,758,820 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 1,400,014 Shares at March 31, 2009 to 7,600,014 Shares at June 30, 2009 due to 8,350,000 Shares (167 Creation Units) being created and 2,150,000 Shares (43 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund
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seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 45.60%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 26.27% and had an annualized volatility of 42.59%.
NAV of ProShares Ultra Gold
The Fund’s NAV increased from $164,101,484 at March 31, 2010 to $209,324,263 at June 30, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 3,600,014 Shares at March 31, 2010 to 3,750,014 Shares at June 30, 2010 due to 550,000 Shares (11 Creation Units) being created and 400,000 Shares (8 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 22.45%. During the three-month period ended June 30, 2010, the benchmark index rose by a cumulative 11.52% and had an annualized volatility of 16.03%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $125,774,217 at March 31, 2009 to $156,690,604 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 3,800,014 Shares at March 31, 2009 to 4,650,014 Shares at June 30, 2009 due to 1,100,000 Shares (22 Creation Units) being created and 250,000 Shares (5 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 1.81%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 1.96% and had an annualized volatility of 18.62%.
NAV of ProShares UltraShort Gold*
The Fund’s NAV increased from $64,798,115 at March 31, 2010 to $71,715,632 at June 30, 2010. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 1,340,003 Shares at March 31, 2010 to 1,889,901 Shares at June 30, 2010 due to 850,000 Shares (17 Creation Units) being created and 300,102 Shares (6 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 21.53%. During the three-month period ended June 30, 2010, the benchmark index rose by a cumulative 11.52% and had an annualized volatility of 16.03%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $50,995,214 at March 31, 2009 to $51,236,834 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 630,003 Shares at March 31, 2009 to 680,003 Shares at June 30, 2009 due to 380,000 Shares (38 Creation Units) being created and 330,000 Shares (33 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 6.91%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 1.96% and had an annualized volatility of 18.62%.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of Part I. |
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NAV of ProShares Ultra Silver
The Fund’s NAV increased from $171,235,987 at March 31, 2010 to $181,076,130 at June 30, 2010. The increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease in outstanding Shares, which decreased from 2,950,014 Shares at March 31, 2010 to 2,850,014 Shares at June 30, 2010 due to 650,000 Shares (13 Creation Units) being created and 750,000 Shares (15 Creation Units) being redeemed during the period. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 9.46%. During the three-month period ended June 30, 2010, the benchmark index rose by a cumulative 7.09% and had an annualized volatility of 35.63%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $53,762,075 at March 31, 2009 to $78,824,836 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 1,350,014 Shares at March 31, 2009 to 1,850,014 Shares at June 30, 2009 due to 850,000 Shares (17 Creation Units) being created and 350,000 Shares (7 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 6.99%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 6.33% and had an annualized volatility of 39.33%.
NAV of ProShares UltraShort Silver*
The Fund’s NAV decreased from $69,330,778 at March 31, 2010 to $60,185,658 at June 30, 2010. The decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase in outstanding Shares, which increased from 1,705,001 Shares at March 31, 2010 to 1,879,914 Shares at June 30, 2010 due to 800,000 Shares (16 Creation Units) being created and 625,087 Shares (12 Creation Units) being redeemed during the period. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 21.27%. During the three-month period ended June 30, 2010, the benchmark index rose by a cumulative 7.09% and had an annualized volatility of 35.63%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $28,707,227 at March 31, 2009 to $68,967,304 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 250,001 Shares at March 31, 2009 to 775,001 Shares at June 30, 2009 due to 645,000 Shares (129 Creation Units) being created and 120,000 Shares (24 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 22.50%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 6.33% and had an annualized volatility of 39.33%.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of Part I. |
NAV of ProShares Ultra Euro
The Fund’s NAV increased from $9,342,863 at March 31, 2010 to $16,329,042 at June 30, 2010. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 350,014 Shares at March 31, 2010 to 750,014 Shares at June 30, 2010 due to 750,000 Shares (15 Creation Units) being created and 350,000 Shares (7 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to
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200% of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 18.44%. During the three-month period ended June 30, 2010, the benchmark index declined by a cumulative 9.48% and had an annualized volatility of 12.47%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $6,571,280 at March 31, 2009 to $7,291,462 at June 30, 2009. The Fund had no creation or redemption activity during the quarter. The increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 10.96%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 5.59% and had an annualized volatility of 13.30%.
NAV of ProShares UltraShort Euro
The Fund’s NAV increased from $295,228,354 at March 31, 2010 to $462,324,726 at June 30, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 14,200,014 Shares at March 31, 2010 to 18,500,014 Shares at June 30, 2010 due to 9,200,000 Shares (184 Creation Units) being created and 4,900,000 Shares (98 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 20.20%. During the three-month period ended June 30, 2010, the benchmark index declined by a cumulative 9.48% and had an annualized volatility of 12.47%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV decreased from $47,220,268 at March 31, 2009 to $39,613,566 at June 30, 2009. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 2,100,014 Shares at March 31, 2009 to 2,000,014 Shares at June 30, 2009 due to 500,000 Shares (10 Creation Units) being created and 600,000 Shares (12 Creation Units) being redeemed during the period. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 11.92%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 5.59% and had an annualized volatility of 13.30%.
NAV of ProShares Ultra Yen
The Fund’s NAV increased from $3,866,243 at March 31, 2010 to $4,292,085 at June 30, 2010. The Fund had no creation or redemption activity during the quarter. The increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 11.02%. During the three-month period ended June 30, 2010, the benchmark index rose by a cumulative 5.77% and had an annualized volatility of 12.57%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV increased from $3,544,412 at March 31, 2009 to $4,946,446 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 150,014 Shares at March 31, 2009 to 200,014 Shares at June 30, 2009 due to 50,000 Shares (1 Creation Unit) being created and no Shares being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Japanese
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Yen versus the U.S. Dollar. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 4.67%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 2.80% and had an annualized volatility of 14.20%.
NAV of ProShares UltraShort Yen
The Fund’s NAV increased from $130,528,652 at March 31, 2010 to $145,332,808 at June 30, 2010. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 6,100,014 Shares at March 31, 2010 to 7,700,014 Shares at June 30, 2010 due to 2,250,000 Shares (45 Creation Units) being created and 650,000 Shares (13 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the three-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 11.79%. During the three-month period ended June 30, 2010, the benchmark index rose by a cumulative 5.77% and had an annualized volatility of 12.57%.
By comparison, during the three-month period ended June 30, 2009, the Fund’s NAV decreased from $59,302,780 at March 31, 2009 to $41,152,049 at June 30, 2009. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 2,350,014 Shares at March 31, 2009 to 1,750,014 Shares at June 30, 2009 due to 500,000 Shares (10 Creation Units) being created and 1,100,000 Shares (22 Creation Units) being redeemed during the period. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the three-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 6.81%. During the three-month period ended June 30, 2009, the benchmark index rose by a cumulative 2.80% and had an annualized volatility of 14.20%.
Results of Operations for the Six-Month Period Ended June 30, 2010 Compared to the Six-Month Period Ended June 30, 2009
NAV of ProShares Ultra DJ-UBS Commodity
The Fund’s NAV decreased from $19,743,932 at December 31, 2009 to $12,304,949 at June 30, 2010. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 700,014 Shares at December 31, 2009 to 550,014 Shares at June 30, 2010 due to 250,000 Shares (5 Creation Units) being created and 400,000 Shares (8 Creation Units) being redeemed during the period. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Commodity Index. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 20.68%. During the six-month period ended June 30, 2010, the benchmark index declined by a cumulative 9.66% and had an annualized volatility of 17.30%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $3,325,011 at December 31, 2008 to $30,839,963 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 150,014 Shares at December 31, 2008 to 1,350,014 Shares at June 30, 2009 due to 1,200,000 Shares (24 Creation Units) being created and no Shares being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Commodity Index. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 3.07%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 4.51% and had an annualized volatility of 28.03%.
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NAV of ProShares UltraShort DJ-UBS Commodity
The Fund’s NAV increased from $2,924,426 at December 31, 2009 to $3,381,653 at June 30, 2010. There was no net change in the outstanding Shares from December 31, 2009 to June 30, 2010 due to 200,000 Shares (4 Creation Units) being created and 200,000 Shares (4 Creation Units) being redeemed during the period. The increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 15.63%. During the six-month period ended June 30, 2010, the benchmark index declined by a cumulative 9.66% and had an annualized volatility of 17.30%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $2,679,883 at December 31, 2008 to $5,225,688 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 100,014 Shares at December 31, 2008 to 250,014 Shares at June 30, 2009 due to 150,000 Shares (3 Creation Units) being created and no Shares being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 21.99%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 4.51% and had an annualized volatility of 28.03%.
NAV of ProShares Ultra DJ-UBS Crude Oil
The Fund’s NAV increased from $323,819,670 at December 31, 2009 to $501,252,171 at June 30, 2010. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 25,650,014 Shares at December 31, 2009 to 52,050,014 Shares at June 30, 2010 due to 68,650,000 Shares (1,373 Creation Units) being created and 42,250,000 Shares (845 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 23.72%. During the six-month period ended June 30, 2010, the benchmark index declined by a cumulative 10.62% and had an annualized volatility of 28.84%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $99,772,943 at December 31, 2008 to $209,670,516 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 6,750,014 Shares at December 31, 2008 to 16,050,014 Shares at June 30, 2009 due to 81,000,000 Shares (1,620 Creation Units) being created and 71,700,000 Shares (1,434 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 11.62%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 2.62% and had an annualized volatility of 57.64%.
NAV of ProShares UltraShort DJ-UBS Crude Oil
The Fund’s NAV decreased from $76,656,626 at December 31, 2009 to $51,326,108 at June 30, 2010. The decrease in the Fund’s NAV resulted from a decrease in outstanding Shares, which decreased from 5,600,014 Shares at December 31, 2009 to 3,400,014 Shares at June 30, 2010 due to 18,350,000 Shares (367 Creation Units) being created and 20,550,000 Shares (411 Creation Units) being redeemed during the period. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical
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correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 10.28%. During the six-month period ended June 30, 2010, the benchmark index declined by a cumulative 10.62% and had an annualized volatility of 28.84%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $14,502,399 at December 31, 2008 to $128,758,820 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 500,014 Shares at December 31, 2008 to 7,600,014 Shares at June 30, 2009 due to 12,600,000 Shares (252 Creation Units) being created and 5,500,000 Shares (110 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 41.72%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 2.62% and had an annualized volatility of 57.64%.
NAV of ProShares Ultra Gold
The Fund’s NAV increased from $156,476,709 at December 31, 2009 to $209,324,263 at June 30, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 3,550,014 Shares at December 31, 2009 to 3,750,014 Shares at June 30, 2010 due to 1,150,000 Shares (23 Creation Units) being created and 950,000 Shares (19 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 26.64%. During the six-month period ended June 30, 2010, the benchmark index rose by a cumulative 14.39% and had an annualized volatility of 17.21%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $27,736,722 at December 31, 2008 to $156,690,604 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 900,014 Shares at December 31, 2008 to 4,650,014 Shares at June 30, 2009 due to 4,250,000 Shares (85 Creation Units) being created and 500,000 Shares (10 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 9.32%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 7.44% and had an annualized volatility of 25.20%.
NAV of ProShares UltraShort Gold*
The Fund’s NAV increased from $67,602,811 at December 31, 2009 to $71,715,632 at June 30, 2010. The increase in the Fund’s NAV resulted an increase in outstanding Shares, which increased from 1,290,003 Shares at December 31, 2009 to 1,889,901 Shares at June 30, 2010 due to 1,150,000 Shares (23 Creation Units) being created and 550,102 Shares (11 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 27.59%. During the six-month period ended June 30, 2010, the benchmark index rose by a cumulative 14.39% and had an annualized volatility of 17.21%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $3,875,093 at December 31, 2008 to $51,236,834 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 40,003 Shares at December 31, 2008 to 680,003 Shares at June 30,
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2009 due to 1,050,000 Shares (105 Creation Units) being created and 410,000 Shares (41 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 22.25%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 7.44% and had an annualized volatility of 25.20%.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of Part I. |
NAV of ProShares Ultra Silver
The Fund’s NAV increased from $145,416,382 at December 31, 2009 to $181,076,130 at June 30, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 2,550,014 Shares at December 31, 2009 to 2,850,014 Shares at June 30, 2010 due to 1,350,000 Shares (27 Creation Units) being created and 1,050,000 Shares (21 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 11.42%. During the six-month period ended June 30, 2010, the benchmark index rose by a cumulative 10.30% and had an annualized volatility of 33.97%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $10,011,149 at December 31, 2008 to $78,824,836 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 350,014 Shares at December 31, 2008 to 1,850,014 Shares at June 30, 2009 due to 2,050,000 Shares (41 Creation Units) being created and 550,000 Shares (11 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 48.95%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 29.19% and had an annualized volatility of 40.25%.
NAV of ProShares UltraShort Silver*
The Fund’s NAV decreased from $64,516,145 at December 31, 2009 to $60,185,658 at June 30, 2010. The decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase in outstanding Shares, which increased from 1,370,001 Shares at December 31, 2009 to 1,879,914 Shares at June 30, 2010 due to 1,420,000 Shares (28 Creation Units) being created and 910,087 Shares (18 Creation Units) being redeemed during the period. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 32.02%. During the six-month period ended June 30, 2010, the benchmark index rose by a cumulative 10.30% and had an annualized volatility of 33.97%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $1,960,071 at December 31, 2008 to $68,967,304 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 10,001 Shares at December 31, 2008 to 775,001 Shares at June 30, 2009 due to 915,000 Shares (183 Creation Units) being created and 150,000 Shares (30 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 54.60%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 29.19% and had an annualized volatility of 40.25%.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of Part I. |
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NAV of ProShares Ultra Euro
The Fund’s NAV increased from $7,531,857 at December 31, 2009 to $16,329,042 at June 30, 2010. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 250,014 Shares at December 31, 2009 to 750,014 Shares at June 30, 2010 due to 850,000 Shares (17 Creation Units) being created and 350,000 Shares (7 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 27.73%. During the six-month period ended June 30, 2010, the benchmark index declined by a cumulative 14.58% and had an annualized volatility of 10.95%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $4,386,411 at December 31, 2008 to $7,291,462 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 150,014 Shares at December 31, 2008 to 250,014 Shares at June 30, 2009 due to 150,000 Shares (3 Creation Units) being created and 50,000 Shares (1 Creation Unit) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 0.26%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 0.43% and had an annualized volatility of 15.70%.
NAV of ProShares UltraShort Euro
The Fund’s NAV increased from $100,847,786 at December 31, 2009 to $462,324,726 at June 30, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 5,400,014 Shares at December 31, 2009 to 18,500,014 Shares at June 30, 2010 due to 18,000,000 Shares (360 Creation Units) being created and 4,900,000 Shares (98 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 33.81%. During the six-month period ended June 30, 2010, the benchmark index declined by a cumulative 14.58% and had an annualized volatility of 10.95%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $7,331,163 at December 31, 2008 to $39,613,566 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 350,014 Shares at December 31, 2008 to 2,000,014 Shares at June 30, 2009 due to 2,450,000 Shares (49 Creation Units) being created and 800,000 Shares (16 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 5.44%. During the six-month period ended June 30, 2009, the benchmark index rose by a cumulative 0.43% and had an annualized volatility of 15.70%.
NAV of ProShares Ultra Yen
The Fund’s NAV increased from $3,921,267 at December 31, 2009 to $4,292,085 at June 30, 2010. The Fund had no creation or redemption activity during the period. The increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the six-month period ended June 30,
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2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 9.46%. During the six-month period ended June 30, 2010, the benchmark index rose by a cumulative 5.31% and had an annualized volatility of 11.67%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $2,845,053 at December 31, 2008 to $4,946,446 at June 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 100,014 Shares at December 31, 2008 to 200,014 Shares at June 30, 2009 due to 100,000 Shares (2 Creation Units) being created and no Shares being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 13.06%. During the six-month period ended June 30, 2009, the benchmark index declined by a cumulative 5.78% and had an annualized volatility of 15.20%.
NAV of ProShares UltraShort Yen
The Fund’s NAV increased from $67,487,917 at December 31, 2009 to $145,332,808 at June 30, 2010. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 3,150,014 Shares at December 31, 2009 to 7,700,014 Shares at June 30, 2010 due to 5,450,000 Shares (109 Creation Units) being created and 900,000 Shares (18 Creation Units) being redeemed during the period. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the six-month period ended June 30, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 11.90%. During the six-month period ended June 30, 2010, the benchmark index rose by a cumulative 5.31% and had an annualized volatility of 11.67%.
By comparison, during the six-month period ended June 30, 2009, the Fund’s NAV increased from $2,166,617 at December 31, 2008 to $41,152,049 at June 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 100,014 Shares at December 31, 2008 to 1,750,014 Shares at June 30, 2009 due to 2,850,000 Shares (57 Creation Units) being created and 1,200,000 Shares (24 Creation Units) being redeemed during the period. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the six-month period ended June 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 8.55%. During the six-month period ended June 30, 2009, the benchmark index declined by a cumulative 5.78% and had an annualized volatility of 15.20%.
Off-Balance Sheet Arrangements and Contractual Obligations
As of August 9, 2010 the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of payments that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. One officer of the Trust also serves as an officer and owner of the Sponsor.
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Market Risk
Trading in futures contracts involves each Fund entering into contractual commitments to purchase or sell a commodity underlying the Fund’s benchmark at a specified date and price, should it hold such futures contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it would be required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Each Fund’s exposure to market risk is influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of securities or other underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to a swap agreement defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovery collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of securities at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
| • |
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
| • |
limiting the outstanding amounts due from counterparties to the Funds; |
| • |
not posting margin directly with a counterparty; |
| • |
limiting the amount of margin or premium posted at a futures commission merchant (“FCM”); and |
| • |
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
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The FCM for each Fund, in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund, all assets of the Fund relating to domestic futures trading, and the FCM is not allowed to commingle such assets with other assets of the FCM. In addition, CFTC regulations also require the FCM to hold in a secure account assets of each Fund related to foreign futures trading.
Critical Accounting Policies
The Funds’ critical accounting policies are as follows:
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures or forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
Derivatives (e.g., futures, swaps and forward agreements) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards.
Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.
When market closing prices are not available, the Sponsor may value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.
Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
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Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis.
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| Item 3. | Quantitative and Qualitative Disclosures About Market Risk. |
Quantitative Disclosure
Commodity Price Sensitivity
Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which are sensitive to commodity price risk. As of June 30, 2010 and June 30, 2009, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:
ProShares Ultra DJ-UBS Commodity :
As of June 30, 2010, the ProShares Ultra DJ-UBS Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s swap positions as of June 30, 2010, which are sensitive to commodity price risk.
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
||||||
|
Dow Jones-UBS Commodity Index |
Goldman Sachs International | Long | $ | 125.747 | $ | 6,292,846 | ||||
|
Dow Jones-UBS Commodity Index |
UBS AG | Long | 125.747 | 18,324,499 | ||||||
The June 30, 2010 swap notional amount is calculated by multiplying units times the closing level of the Index. The notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2009, filed with the U.S. Securities and Exchange Commission on March 1, 2010 (the “Form 10-K”) for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares Ultra DJ-UBS Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s swap positions as of June 30, 2009, which are sensitive to commodity price risk.
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
||||||
|
Dow Jones-UBS Commodity Index |
Goldman Sachs International | Long | $ | 122.529 | $ | 61,519,921 | ||||
The June 30, 2009 swap notional amount is calculated by multiplying units times the closing level of the Index. The notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or financing costs associated with the swaps. The Fund will
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generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares UltraShort DJ-UBS Commodity :
As of June 30, 2010, the ProShares UltraShort DJ-UBS Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s short swap positions as of June 30, 2010, which are sensitive to commodity price risk.
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
|||||||
|
Dow Jones-UBS Commodity Index |
Goldman Sachs International | Short | $ | 125.747 | $ | (1,504,460 | ) | ||||
|
Dow Jones-UBS Commodity Index |
UBS AG | Short | 125.747 | (5,246,244 | ) | ||||||
The June 30, 2010 short swap notional amount is calculated by multiplying units times the closing level of the Index. The short notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for any spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by minus two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares UltraShort DJ-UBS Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s short swap positions as of June 30, 2009, which are sensitive to commodity price risk.
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
|||||||
|
Dow Jones-UBS Commodity Index |
Goldman Sachs International | Short | $ | 122.529 | $ | (10,532,313 | ) | ||||
The June 30, 2009 short swap notional amount is calculated by multiplying units times the closing level of the Index. The short notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for any spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of
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exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by minus two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares Ultra DJ-UBS Crude Oil :
As of June 30, 2010, the ProShares Ultra DJ-UBS Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||
|
Crude Oil (NYMEX) |
Long | September 2010 | 4,598 | $ | 76.16 | 1,000 | $ | 350,183,680 | ||||||
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
||||||
|
Dow Jones-UBS Crude Oil Sub-Index |
Goldman Sachs International | Long | $ | 232.493 | $ | 240,847,937 | ||||
|
Dow Jones-UBS Crude Oil Sub-Index |
UBS AG | Long | 232.493 | 411,408,299 | ||||||
The June 30, 2010 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2010 swap notional amount is calculated by multiplying the number of units times the closing level of the Index. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares Ultra DJ-UBS Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to commodity price risk.
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Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||||
|
Crude Oil (NYMEX) |
Long | September 2009 | 2,554 | $ | 70.84 | 1,000 | $ | 180,925,360 | ||||||||
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
||||||
|
Dow Jones-UBS Crude Oil Sub-Index |
Goldman Sachs International | Long | $ | 256.184 | $ | 238,396,978 | ||||
The June 30, 2009 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2009 swap notional amount is calculated by multiplying the number of units times the closing level of the Index. These notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares UltraShort DJ-UBS Crude Oil :
As of June 30, 2010, the ProShares UltraShort DJ-UBS Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
|||||||||
|
Crude Oil (NYMEX) |
Short | September 2010 | 445 | $ | 76.16 | 1,000 | $ | (33,891,200 | ) | ||||||
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
|||||||
|
Dow Jones-UBS Crude Oil Sub-Index |
Goldman Sachs International | Short | $ | 232.493 | $ | (26,682,771 | ) | ||||
|
Dow Jones-UBS Crude Oil Sub-Index |
UBS AG | Short | 232.493 | (42,068,224 | ) | ||||||
The June 30, 2010 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2010 short swap notional amount is calculated by multiplying the number of units times the closing level of the Index. These short notional amounts will increase
-107-
(decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares UltraShort DJ-UBS Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
|||||||||
|
Crude Oil (NYMEX) |
Short | September 2009 | 1,209 | $ | 70.84 | 1,000 | $ | (85,645,560 | ) | ||||||
Swap Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Index Close |
Notional Amount
at Value |
|||||||
|
Dow Jones-UBS Crude Oil Sub-Index |
Goldman Sachs International | Short | $ | 256.184 | $ | (171,876,791 | ) | ||||
The June 30, 2009 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2009 swap notional amount is calculated by multiplying the number of units times the closing level of the Index. The short notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.
ProShares Ultra Gold :
As of June 30, 2010, the ProShares Ultra Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to commodity price risk.
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Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||
|
Gold Futures (COMEX) |
Long | August 2010 | 116 | $ | 1,245.90 | 100 | $ | 14,452,440 | ||||||
Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
||||||
|
0.995 Fine Troy Ounce Gold |
Goldman Sachs International | Long | $ | 1,244.10 | $ | 46,554,222 | ||||
|
0.995 Fine Troy Ounce Gold |
UBS AG | Long | 1,244.10 | 355,563,780 | ||||||
The June 30, 2010 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2010 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares Ultra Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||
|
Gold Futures (COMEX) |
Long | August 2009 | 90 | $ | 936.50 | 100 | $ | 8,428,500 | ||||||
Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
||||||
|
0.995 Fine Troy Ounce Gold |
Goldman Sachs International | Long | $ | 934.53 | $ | 305,329,642 | ||||
The June 30, 2009 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2009 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each
-109-
day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares UltraShort Gold :
As of June 30, 2010, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
|||||||||
|
Gold Futures (COMEX) |
Short | August 2010 | 22 | $ | 1,245.90 | 100 | $ | (2,740,980 | ) | ||||||
Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
|||||||
|
0.995 Fine Troy Ounce Gold |
Goldman Sachs International | Short | $ | 1,244.10 | $ | (18,410,192 | ) | ||||
|
0.995 Fine Troy Ounce Gold |
UBS AG | Short | 1,244.10 | (122,917,080 | ) | ||||||
The June 30, 2010 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2010 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
|||||||||
|
Gold Futures (COMEX) |
Short | August 2009 | 49 | $ | 936.50 | 100 | $ | (4,588,850 | ) | ||||||
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Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
|||||||
|
0.995 Fine Troy Ounce Gold |
Goldman Sachs International | Short | $ | 934.53 | $ | (97,563,063 | ) | ||||
The June 30, 2009 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2009 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares Ultra Silver :
As of June 30, 2010, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||
|
Silver Futures (COMEX) |
Long | September 2010 | 122 | $ | 18.708 | 5,000 | $ | 11,411,880 | ||||||
Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
||||||
|
0.999 Fine Troy Ounce Silver |
Goldman Sachs International | Long | $ | 18.7420 | $ | 88,477,234 | ||||
|
0.999 Fine Troy Ounce Silver |
UBS AG | Long | 18.7420 | 262,275,548 | ||||||
The June 30, 2010 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2010 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding
-111-
performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
||||||||
|
Silver Futures (COMEX) |
Long | September 2009 | 66 | $ | 13.965 | 5,000 | $ | 4,608,450 | ||||||
Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
||||||
|
0.999 Fine Troy Ounce Silver |
Goldman Sachs International | Long | $ | 13.9411 | $ | 153,042,608 | ||||
The June 30, 2009 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2009 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares UltraShort Silver :
As of June 30, 2010, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
|||||||||
|
Silver Futures (COMEX) |
Short | September 2010 | 33 | $ | 18.708 | 5,000 | $ | (3,086,820 | ) | ||||||
-112-
Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
|||||||
|
0.999 Fine Troy Ounce Silver |
Goldman Sachs International | Short | $ | 18.7420 | $ | (30,502,605 | ) | ||||
|
0.999 Fine Troy Ounce Silver |
UBS AG | Short | 18.7420 | (86,737,976 | ) | ||||||
The June 30, 2010 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2010 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to commodity price risk.
Futures Positions
|
Contract |
Long or
Short |
Expiration | Contracts |
Valuation
Price |
Contract
Multiplier |
Notional Amount
at Value |
|||||||||
|
Silver Futures (COMEX) |
Short | September 2009 | 70 | $ | 13.965 | 5,000 | $ | (4,887,750 | ) | ||||||
Forward Agreements
|
Reference Index |
Counterparty |
Long or
Short |
Valuation
Price |
Notional Amount
at Value |
|||||||
|
0.999 Fine Troy Ounce Silver |
Goldman Sachs International | Short | $ | 13.9411 | $ | (133,074,770 | ) | ||||
The June 30, 2009 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2009 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
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Exchange Rate Sensitivity
Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Funds’ Financial Instruments, which are sensitive to changes in exchange rates. As of June 30, 2010, each of the Currency Funds’ positions were as follows:
ProShares Ultra Euro :
As of June 30, 2010, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to exchange rate price risk.
Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Euro | Forward Rate |
Market Value
USD |
|||||||||
|
Euro |
Goldman Sachs International | Long | 07/02/10 | 12,336,325 | 1.2229 | $ | 15,086,098 | ||||||||
|
Euro |
UBS AG | Long | 07/02/10 | 14,965,800 | 1.2229 | 18,301,685 | |||||||||
|
Euro |
Goldman Sachs International | Long | 07/16/10 | 11,770,325 | 1.2229 | 14,393,937 | |||||||||
|
Euro |
UBS AG | Long | 07/16/10 | 14,939,500 | 1.2229 | 18,269,522 | |||||||||
|
Euro |
Goldman Sachs International | Short | 07/02/10 | (12,336,325 | ) | 1.2229 | (15,086,098 | ) | |||||||
|
Euro |
UBS AG | Short | 07/02/10 | (14,965,800 | ) | 1.2229 | (18,301,685 | ) | |||||||
The June 30, 2010 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to exchange rate price risk.
Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Euro | Forward Rate |
Market Value
USD |
|||||||||
|
Euro |
Goldman Sachs International | Long | 07/10/09 | 10,539,475 | 1.4027 | $ | 14,784,236 | ||||||||
|
Euro |
Goldman Sachs International | Short | 07/10/09 | (143,600 | ) | 1.4027 | (201,435 | ) | |||||||
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The June 30, 2009 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares UltraShort Euro :
As of June 30, 2010, the ProShares UltraShort Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to exchange rate price risk.
Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Euro | Forward Rate |
Market Value
USD |
|||||||||
|
Euro |
Goldman Sachs International | Long | 07/02/10 | 388,264,025 | 1.2229 | $ | 474,808,280 | ||||||||
|
Euro |
UBS AG | Long | 07/02/10 | 437,601,200 | 1.2229 | 535,142,737 | |||||||||
|
Euro |
UBS AG | Long | 07/16/10 | 12,458,700 | 1.2229 | 15,235,751 | |||||||||
|
Euro |
Goldman Sachs International | Short | 07/02/10 | (388,264,025 | ) | 1.2229 | (474,808,280 | ) | |||||||
|
Euro |
UBS AG | Short | 07/02/10 | (437,601,200 | ) | 1.2229 | (535,142,737 | ) | |||||||
|
Euro |
Goldman Sachs International | Short | 07/16/10 | (346,717,925 | ) | 1.2229 | (424,001,532 | ) | |||||||
|
Euro |
UBS AG | Short | 07/16/10 | (421,237,200 | ) | 1.2229 | (515,131,193 | ) | |||||||
The June 30, 2010 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
As of June 30, 2009, the ProShares UltraShort Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to exchange rate price risk.
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Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Euro | Forward Rate |
Market Value
USD |
|||||||||
|
Euro |
Goldman Sachs International | Long | 07/10/09 | 1,639,300 | 1.4027 | $ | 2,299,526 | ||||||||
|
Euro |
Goldman Sachs International | Short | 07/10/09 | (58,078,775 | ) | 1.4027 | (81,469,933 | ) | |||||||
The June 30, 2009 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares Ultra Yen :
As of June 30, 2010, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to exchange rate price risk.
Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Yen | Forward Rate |
Market Value
USD |
|||||||||
|
Yen |
Goldman Sachs International | Long | 07/02/10 | 409,000,000 | 0.011310 | $ | 4,625,954 | ||||||||
|
Yen |
UBS AG | Long | 07/02/10 | 348,900,000 | 0.011310 | 3,946,199 | |||||||||
|
Yen |
Goldman Sachs International | Long | 07/16/10 | 409,000,000 | 0.011310 | 4,625,954 | |||||||||
|
Yen |
UBS AG | Long | 07/16/10 | 348,900,000 | 0.011310 | 3,946,199 | |||||||||
|
Yen |
Goldman Sachs International | Short | 07/02/10 | (409,000,000 | ) | 0.011310 | (4,625,954 | ) | |||||||
|
Yen |
UBS AG | Short | 07/02/10 | (348,900,000 | ) | 0.011310 | (3,946,199 | ) | |||||||
The June 30, 2010 USD market value equals the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
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As of June 30, 2009, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to exchange rate price risk.
Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Yen | Forward Rate |
Market Value
USD |
|||||||||
|
Yen |
Goldman Sachs International | Long | 07/10/09 | 971,090,000 | 0.010381 | $ | 10,080,518 | ||||||||
|
Yen |
Goldman Sachs International | Short | 07/10/09 | (18,080,000 | ) | 0.010381 | (187,682 | ) | |||||||
The June 30, 2009 USD market value equals the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
ProShares UltraShort Yen :
As of June 30, 2010, the ProShares UltraShort Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2010, which are sensitive to exchange rate price risk.
Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Yen | Forward Rate |
Market Value
USD |
|||||||||
|
Yen |
Goldman Sachs International | Long | 07/02/10 | 14,174,880,000 | 0.011310 | $ | 160,323,562 | ||||||||
|
Yen |
UBS AG | Long | 07/02/10 | 14,601,420,000 | 0.011310 | 165,147,901 | |||||||||
|
Yen |
UBS AG | Long | 07/16/10 | 151,200,000 | 0.011310 | 1,710,132 | |||||||||
|
Yen |
Goldman Sachs International | Short | 07/02/10 | (14,174,880,000 | ) | 0.011310 | (160,323,562 | ) | |||||||
|
Yen |
UBS AG | Short | 07/02/10 | (14,601,420,000 | ) | 0.011310 | (165,147,901 | ) | |||||||
|
Yen |
Goldman Sachs International | Short | 07/16/10 | (12,675,790,000 | ) | 0.011310 | (143,368,255 | ) | |||||||
|
Yen |
UBS AG | Short | 07/16/10 | (13,146,220,000 | ) | 0.011310 | (148,689,006 | ) | |||||||
The June 30, 2010 USD market value equals the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
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As of June 30, 2009, the ProShares UltraShort Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2009, which are sensitive to exchange rate price risk.
Foreign Currency Forward Contracts
|
Reference Currency |
Counterparty |
Long or
Short |
Settlement
Date |
Yen | Forward Rate |
Market Value
USD |
|||||||||
|
Yen |
Goldman Sachs International | Long | 07/10/09 | 784,020,000 | 0.010381 | $ | 8,138,615 | ||||||||
|
Yen |
Goldman Sachs International | Short | 07/10/09 | (8,706,920,000 | ) | 0.010381 | (90,383,245 | ) | |||||||
The June 30, 2009 USD market value equals the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
Qualitative Disclosure
As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Fund, currently operational, to seek daily investment results, before fees and expenses, which correspond to twice (200%) the daily performance, whether positive or negative, of its corresponding benchmark. Each Ultra ProShares Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the daily performance of its corresponding benchmark. Each UltraShort ProShares Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the inverse (opposite) of the daily performance of its corresponding benchmark. The Funds do not seek to achieve these stated investment objectives over a period of time greater than one day because mathematical compounding prevents the Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Investors should monitor their ProShares holdings consistent with their strategies, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.
Primary Market Risk Exposure
Each Fund’s investment objective and corresponding benchmark defines the primary market risks that the Funds are exposed to. For example, the primary market risk that the ProShares Ultra DJ-UBS Crude Oil and the ProShares UltraShort DJ-UBS Crude Oil Funds are exposed to are direct and inverse exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Dow Jones-UBS Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
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Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.
As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contract or forward agreement into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund. Performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).
Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. Dollar, and, in turn, the swap agreements, futures contracts, forward contracts thereof and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund. Performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).
Managing Market Risks
Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (200% or -200%), regardless of market direction or sentiment. As described above in Item 2 of this Quarterly Report on Form 10-Q, this is done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments and repurchase agreements
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entered into by the Fund. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. Each Fund intends to enter into swap and forward agreements only with large, established and well capitalized financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, and limiting the net amount due from any individual counterparty.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in a non-interest bearing demand deposit account. The Funds also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).
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| Item 4. | Controls and Procedures. |
Disclosure Controls and Procedures
Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of June 30, 2010, to provide reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Funds’ internal control over financial reporting that occurred during the quarter ended June 30, 2010 that have materially affected, or are reasonably likely to materially affect, the Funds’ internal control over financial reporting.
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| Item 1. | Legal Proceedings. |
None.
| Item 1A. | Risk Factors. |
Except as noted below, there has not been a material change to the Risk Factors previously disclosed in Part I, Item 1A in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2009.
Regulatory changes or actions, including the implementation of new legislation, may alter the operations and profitability of the Funds.
Considerable regulatory attention has been focused on non-traditional investment pools which are publicly distributed in the United States. There is a possibility of future regulatory changes altering, perhaps to a material extent, the nature of an investment in the Funds or the ability of the Funds to continue to implement their investment strategies.
The futures markets are subject to comprehensive statutes, regulations, and margin requirements. In addition, the SEC, CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of swaps and futures transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Funds is impossible to predict, but could be substantial and adverse.
In particular, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) was signed into law by President Obama on July 21, 2010. The Act will make sweeping changes to the way in which the U.S. financial system is supervised and regulated. Title VII of the Dodd-Frank Act sets forth a new legislative framework for over-the-counter (“OTC”) derivatives, including Financial Instruments, such as swaps, in which the Funds may invest. Title VII of the Dodd-Frank Act makes broad changes to the OTC derivatives market, grants significant new authority to the SEC and the CFTC to regulate OTC derivatives and market participants, and will require clearing and exchange trading of many OTC derivatives transactions.
Provisions in the Dodd-Frank Act include the requirement that position limits on commodity futures contracts be established; new registration, recordkeeping, capital and margin requirements for “swap dealers” and “major swap participants” as determined by the Dodd-Frank Act and applicable regulations; and the forced use of clearinghouse mechanisms for many OTC derivative transactions. Additionally, the new law requires the aggregation, for purposes of position limits, of all positions in futures held by a single entity and its affiliates, whether such positions exist on U.S. futures exchanges, non-U.S. futures exchanges, or in over-the-counter contracts.
The CFTC, SEC and other federal regulators have been tasked with developing the rules and regulations enacting the provisions of the Dodd-Frank Act. Because there is a one-year period prescribed in which most of the mandated rulemaking and regulations will be implemented, it is not possible at this time to gauge the exact nature and scope of the impact of the Dodd-Frank Act on any of the Funds, but it is expected that swap dealers, major market participants and swap counterparties, including the Funds, will experience new and/or additional regulations, requirements, compliance burdens and associated costs. The new law and the rules to be promulgated may negatively impact a Fund’s ability to meet its investment objective either through limits or requirements imposed on it or upon its counterparties. In particular, new position limits imposed on a Fund or its counterparties may impact that Fund’s ability to invest in a manner that efficiently meets its investment objective, and new requirements, including capital and mandatory clearing, may increase the cost of a Fund’s investments and cost of doing business, which could adversely affect investors.
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| Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds. |
| (a) | None. |
| (b) | As described in the Trust’s Registration Statement on Form S-1 (No. 333-146801), which was declared effective on November 21, 2008, its Registration Statement on Form S-1 (No. 333-156888), which was declared effective on February 13, 2009, and its Registration Statement on Form S-3 (No. 333-163511), which was automatically declared effective on December 4, 2009, substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury Securities or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. or the applicable foreign currency with respect to a Currency Fund) that may be used to collateralize swap agreements or forward contracts or deposited with FCMs as margin in connection with any futures transactions. Each Fund continuously offers and redeems its Shares in blocks of 50,000 Shares. |
|
Title of Securities Registered |
Amount Registered |
Shares Sold
for the three months ended June 30, 2010 |
Sale Price of Shares
Sold
for the three months ended June 30, 2010 |
||||||
|
ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest |
$ | 1,500,000,000 | 150,000 | $ | 3,353,345 | ||||
|
ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest |
$ | 2,500,000,000 | 100,000 | $ | 1,759,761 | ||||
|
ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest |
$ | 7,000,000,000 | 52,700,000 | $ | 529,101,097 | ||||
|
ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest |
$ | 4,500,000,000 | 5,000,000 | $ | 65,118,100 | ||||
|
ProShares Ultra Gold Common Units of Beneficial Interest |
$ | 3,000,000,000 | 550,000 | $ | 27,792,084 | ||||
|
ProShares UltraShort Gold Common Units of Beneficial Interest |
$ | 3,000,000,000 | 850,000 | * | $ | 35,225,081 | |||
|
ProShares Ultra Silver Common Units of Beneficial Interest |
$ | 2,000,000,000 | 650,000 | $ | 38,811,974 | ||||
|
ProShares UltraShort Silver Common Units of Beneficial Interest |
$ | 2,000,000,000 | 800,000 | * | $ | 27,295,320 | |||
|
ProShares Ultra Euro Common Units of Beneficial Interest |
$ | 1,500,000,000 | 750,000 | $ | 17,311,891 | ||||
|
ProShares UltraShort Euro Common Units of Beneficial Interest |
$ | 1,500,000,000 | 9,200,000 | $ | 216,376,378 | ||||
|
ProShares Ultra Yen Common Units of Beneficial Interest |
$ | 1,500,000,000 | — | $ | — | ||||
|
ProShares UltraShort Yen Common Units of Beneficial Interest |
$ | 1,500,000,000 | 2,250,000 | $ | 47,666,311 | ||||
|
Total: |
$ | 31,500,000,000 | 73,000,000 | $ | 1,009,811,342 | ||||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of Part I. |
-123-
| (c) | From March 31, 2010 through June 30, 2010, the number of Shares redeemed and average price per Share for each Fund were as follows: |
|
Fund |
Total Number of
Shares Redeemed |
Average Price
Per Share |
|||
|
ProShares Ultra DJ-UBS Commodity |
|||||
|
04/01/10 to 04/30/10 |
— | $ | — | ||
|
05/01/10 to 05/31/10 |
— | — | |||
|
06/01/10 to 06/30/10 |
100,000 | 21.66 | |||
|
ProShares UltraShort DJ-UBS Commodity |
|||||
|
04/01/10 to 04/30/10 |
50,000 | 14.96 | |||
|
05/01/10 to 05/31/10 |
— | — | |||
|
06/01/10 to 06/30/10 |
150,000 | 16.52 | |||
|
ProShares Ultra DJ-UBS Crude Oil |
|||||
|
04/01/10 to 04/30/10 |
4,800,000 | 13.65 | |||
|
05/01/10 to 05/31/10 |
2,000,000 | 10.64 | |||
|
06/01/10 to 06/30/10 |
8,950,000 | 10.24 | |||
|
ProShares UltraShort DJ-UBS Crude Oil |
|||||
|
04/01/10 to 04/30/10 |
4,000,000 | 12.01 | |||
|
05/01/10 to 05/31/10 |
7,550,000 | 14.77 | |||
|
06/01/10 to 06/30/10 |
300,000 | 15.09 | |||
|
ProShares Ultra Gold |
|||||
|
04/01/10 to 04/30/10 |
200,000 | 46.97 | |||
|
05/01/10 to 05/31/10 |
200,000 | 55.71 | |||
|
06/01/10 to 06/30/10 |
— | — | |||
|
ProShares UltraShort Gold* |
|||||
|
04/01/10 to 04/30/10 |
102 | 45.68 | |||
|
05/01/10 to 05/31/10 |
300,000 | 40.58 | |||
|
06/01/10 to 06/30/10 |
— | — | |||
|
ProShares Ultra Silver |
|||||
|
04/01/10 to 04/30/10 |
350,000 | 61.15 | |||
|
05/01/10 to 05/31/10 |
200,000 | 64.65 | |||
|
06/01/10 to 06/30/10 |
200,000 | 62.30 | |||
|
ProShares UltraShort Silver* |
|||||
|
04/01/10 to 04/30/10 |
175,087 | 38.22 | |||
|
05/01/10 to 05/31/10 |
350,000 | 33.46 | |||
|
06/01/10 to 06/30/10 |
100,000 | 35.43 | |||
|
ProShares Ultra Euro |
|||||
|
04/01/10 to 04/30/10 |
— | — | |||
|
05/01/10 to 05/31/10 |
350,000 | 23.67 | |||
|
06/01/10 to 06/30/10 |
— | — | |||
|
ProShares UltraShort Euro |
|||||
|
04/01/10 to 04/30/10 |
— | — | |||
|
05/01/10 to 05/31/10 |
950,000 | 23.94 | |||
|
06/01/10 to 06/30/10 |
3,950,000 | 24.88 | |||
|
ProShares Ultra Yen |
|||||
|
04/01/10 to 04/30/10 |
— | — | |||
|
05/01/10 to 05/31/10 |
— | — | |||
|
06/01/10 to 06/30/10 |
— | — | |||
|
ProShares UltraShort Yen |
|||||
|
04/01/10 to 04/30/10 |
— | — | |||
|
05/01/10 to 05/31/10 |
650,000 | 21.80 | |||
|
06/01/10 to 06/30/10 |
— | — | |||
|
Total: |
35,875,189 | $ | 16.53 | ||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of Part 1. |
-124-
| Item 3. | Defaults Upon Senior Securities. |
None.
| Item 4. | Reserved. |
| Item 5. | Other Information. |
None.
| Item 6. | Exhibits. |
|
Exhibit No. |
Description of Document |
|
| 31.1 | Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1) | |
| 31.2 | Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1) | |
| 32.1 | Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2) | |
| 32.2 | Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2) |
| (1) | Filed herewith |
| (2) | Furnished herewith |
-125-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| PROSHARES TRUST II |
|
/s/ Louis Mayberg |
|
By: Louis Mayberg |
|
Principal Executive Officer |
|
Date: August 9, 2010 |
|
/s/ Edward Karpowicz |
|
By: Edward Karpowicz |
|
Principal Financial Officer |
|
Date: August 9, 2010 |
No information found
* THE VALUE IS THE MARKET VALUE AS OF THE LAST DAY OF THE QUARTER FOR WHICH THE 13F WAS FILED.
| FUND | NUMBER OF SHARES | VALUE ($) | PUT OR CALL |
|---|
| DIRECTORS | AGE | BIO | OTHER DIRECTOR MEMBERSHIPS |
|---|
No information found
No Customers Found
No Suppliers Found
Price
Yield
| Owner | Position | Direct Shares | Indirect Shares |
|---|